UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | |||||||||
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J.P. Morgan Mutual Fund Group | |||||||||
(Exact name of registrant as specified in charter) | |||||||||
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522 Fifth Avenue New York, NY |
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(Address of principal executive offices) |
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Stephen M. Benham | |||||||||
(Name and address of agent for service) | |||||||||
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Registrant’s telephone number, including area code: | (800) 480-4111 |
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Date of fiscal year end: | August 31 |
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Date of reporting period: | September 1, 2004 to August 31, 2005 |
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Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
ANNUAL REPORT AUGUST 31, 2005
JPMorgan Funds
Income
Funds
JPMorgan Bond Fund
JPMorgan Emerging Markets Debt Fund
JPMorgan Enhanced Income Fund
JPMorgan Global Strategic Income Fund
JPMorgan Short Term Bond Fund
JPMorgan Short Term Bond Fund II
CONTENTS
President's Letter | 1 | ||||||
Fund Commentaries: | |||||||
Bond Fund | 3 | ||||||
Emerging Markets Debt Fund | 6 | ||||||
Enhanced Income Fund | 9 | ||||||
Global Strategic Income Fund | 12 | ||||||
Short Term Bond Fund | 15 | ||||||
Short Term Bond Fund II | 18 | ||||||
Schedules of Portfolio Investments | 21 | ||||||
Financial Statements | 90 | ||||||
Financial Highlights | 110 | ||||||
Notes to Financial Statements | 126 | ||||||
Report of Independent Registered Public Accounting Firm | 143 | ||||||
Trustees | 144 | ||||||
Officers | 146 | ||||||
Schedule of Shareholder Expenses | 148 | ||||||
Board Approval of Investment Advisory Agreements | 152 | ||||||
Tax Letter | 157 | ||||||
Highlights
• Long-term rates defied Fed action
• Savings and investor demand held down rates
• Returns tend to favor longer bonds
• Low bond yields appear vulnerable
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
JPMorgan
Income Funds
PRESIDENT'S LETTER SEPTEMBER 15, 2005
Dear Shareholder:
We are pleased to present this annual report for the JPMorgan Income Funds for the one-year period ended August 31, 2005. Inside, you'll find in-depth information on some of our income funds along with an update from the portfolio management team.
In the past 12 months, with deflationary fears firmly in the rear-view mirror, the economy pushed forward. U.S. employment figures maintained a healthy overall pace, with unemployment ending the period at 4.9%. U.S. economic growth continued to show resiliency, with 4.4% Gross Domestic Product (GDP) growth for calendar 2004 and 3.3% for the second quarter of 2005. Inflation showed modest gains, increasing 3.6% for the one-year period ended August 31, 2005.
Long-term rates defied Fed action
The big surprise in the fixed income market was the Federal Reserve's tightening campaign that lifted the target federal funds rate to 3.50% by August 31, 2005. As yields on shorter-maturity securities followed the upward trend, yields at the long end of the curve remained impervious.
Throughout the 12-months, the yield on the two-year Treasury climbed 143 basis points to yield 3.84% by the end of the period. In contrast, the yield on the 10-year Treasury slid 11 basis points to 4.02%, and the 30-year Treasury declined 67 basis points to 4.25% for the same one-year period.
Savings and investor demand held down rates
There has been considerable public debate about why long-term rates have remained so low. Probable causes include a high rate of global savings, pension funds rebalancing their assets and liabilities, and the carry trade. In addition, demand for long-maturity securities has been bolstered by the markets' belief that the Federal Reserve will reach a neutral federal funds rate of 50 to 75 basis points higher than the current rate and thus end its tightening stance.
As such, the market managed to keep downward pressure on longer-term rates, and the yield curve flattened. Demand for U.S. fixed-income securities from foreign investors seeking yield and domestic investors seeking quality helped keep rates on the downswing.
Returns tend to favor longer bonds
Given the prominence of yield-curve flattening, longer-maturity securities were the fiscal year's best performers. Most of the spread sectors (non-Treasury) outperformed comparable-duration Treasuries for the year. Commercial mortgage-backed securities were the best performers, followed by mortgage-backed and asset-backed securities.
Corporate and high-yield securities rallied along with the equity market in the final months of 2004, but performance was relatively flat through the first eight months of 2005. This primarily was due to significant weakness in the auto sector, which plunged on the downgrades of Ford and General Motors to below investment-grade status.
"Given the prominence of the yield-curve flattening, longer-maturity securities were the fiscal year's best performers."
JPMorgan
Income Funds
CONTINUED
Low bond yields appear vulnerable
Given our expectations for stronger U.S. and global growth throughout the second half of 2005, and the consequent risk of an upsurge in inflation, current low bond yields appear vulnerable to a correction. Bond yields may move higher on any evidence of rising inflation, which may emerge in the wake of Hurricane Katrina. We are concerned that high energy prices simultaneously will cause inflation to accelerate and growth to slow. It is possible that economic growth could slow on its own, allowing inflation to remain in the Federal Reserve's comfort zone. Combating this outcome, however, are continued strong productivity, strong corporate profits, employment growth leading to gains in real aggregate compensation, and strong consumer confidence led by increases in net worth. Any potential drag on the economy, such as higher energy prices or the trade deficit, may have less impact than in past cycle s.
We look for the Federal Reserve to continue raising rates at a measured pace while focusing on inflation. We expect the Fed to end its tightening cycle by early 2006, with yields rising across the curve. Yet, if interest rates stabilize and core inflation remains under control, the stage could be set for a meaningful market recovery.
On behalf of all of us at JPMorgan Asset Management, thank you for the continued confidence and trust that you have placed in us. We look forward to serving your investment needs for many years to come. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-480-4111.
Sincerely,
George C.W. Gatch
President
JPMorgan Funds
JPMORGAN INCOME FUNDS
2
JPMorgan
Bond Fund
AS OF AUGUST 31, 2005 (Unaudited)
FUND FACTS | |||||||
Fund Inception | 7/26/93 | ||||||
Fiscal Year End | August 31 | ||||||
Net Assets as of 8/31/2005 (In Thousands) | $597,299 | ||||||
Primary Benchmark | Lehman Aggregate Bond Index | ||||||
Average Credit Quality | AA | ||||||
Duration | 4.2 Years |
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Bond Fund, which seeks to provide high total return consistent with moderate risk of capital and maintenance of liquidity, returned 5.33% (Institutional Class Shares) for the one-year period ended August 31, 2005. This compares to the 4.15% return of its benchmark, the Lehman Aggregate Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The majority of performance came from investments in residential mortgages, commercial mortgage-backed securities and credit sectors. The Fund benefited from an ongoing rally in the residential mortgage market, caused in part by low fixed-rate supply and strong foreign demand. Our allocation to investment grade corporate bonds was positive as we favored specific credits and sectors, notably BBB-rated corporate credits and financial paper. Investments in emerging-market and high-yield debt also enhanced returns as both sectors performed exceptionally well over the year. Other positives were our holdings in asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS). Our decision to underweight Treasury and agency debt proved favorable as both sectors unde rperformed. Our duration positioning was a modest negative.
Q: HOW WAS THE FUND MANAGED?
A: We managed our allocation to the mortgage sector based on valuation, which had a positive impact on performance. Security selection played an important role in our position as we added specific coupon issues at favorable price levels. We also benefited by holding an underweight in Treasury and agency debt, finding more compelling opportunities in other high-quality sectors.
Despite rising energy prices, the Fund benefited as corporate profits remained healthy and investor sentiment was largely positive. Overall, we held a neutral stance on investment-grade corporate bonds, while favoring certain BBB credits and financial institution paper. Looking forward, we believe that market fundamentals remain firm and we have the flexibility to add to the corporate sector should spreads widen from fair value. The Fund also benefited from outstanding performance in the extended sectors. High-yield debt prospered on low default rates and strong revenue growth, while credit upgrades and high commodity prices drove emerging-market debt to outperform.
We managed duration based on our belief that the Federal Reserve would tighten less aggressively than market expectations. Because we also expected that short-term rates would rise more quickly than long-term rates, we implemented curve-flattening trades into our strategy. In particular, we took profits on our 10- and 30-year curve flattener in May and added a 5- and 30-year flattener in June.
JPMORGAN INCOME FUNDS
3
JPMorgan
Bond Fund
CONTINUED
(Unaudited)
PORTFOLIO COMPOSITION*
* Percentages indicated are based upon net assets as of August 31, 2005. The portfolio's composition is subject to change.
JPMORGAN INCOME FUNDS
4
ANNUAL REPORT AUGUST 31
2005
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2005
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||||
CLASS A SHARES | |||||||||||||||||||
Without Sales Charge | 5.06 | % | 6.79 | % | 6.32 | % | |||||||||||||
With Sales Charge* | 0.36 | % | 5.80 | % | 5.83 | % | |||||||||||||
CLASS B SHARES | |||||||||||||||||||
Without CDSC | 4.23 | % | 5.99 | % | 5.92 | % | |||||||||||||
With CDSC** | (0.77 | %) | 5.67 | % | 5.92 | % | |||||||||||||
CLASS C SHARES | |||||||||||||||||||
Without CDSC | 4.13 | % | 6.07 | % | 5.96 | % | |||||||||||||
With CDSC*** | 3.13 | % | 6.07 | % | 5.96 | % | |||||||||||||
SELECT CLASS SHARES | 5.12 | % | 6.72 | % | 6.28 | % | |||||||||||||
INSTITUTIONAL CLASS SHARES | 5.33 | % | 6.88 | % | 6.45 | % | |||||||||||||
ULTRA SHARES | 5.45 | % | 7.02 | % | 6.56 | % |
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, a 2% CDSC for the five year period and 0% for the ten year period.
*** Assumes 1% CDSC for the one year period and 0% thereafter.
TEN-YEAR PERFORMANCE (8/31/95 TO 8/31/05)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risk. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 7/26/93.
Returns for the Institutional Class Shares prior to 9/10/01 (offering date of the Institutional Class Shares) are calculated using the historical expenses of the J.P. Morgan Institutional Bond Fund, which are similar to the expenses of the Institutional Class Shares.
Returns for the Select Class Shares prior to 9/10/01 (offering date of the Select Class Shares) are calculated using the historical expenses of the J.P. Morgan Bond Fund, which are similar to the expenses of the Select Class Shares.
Returns for the Ultra Shares prior to 9/10/01 (offering date of the Ultra Shares) are calculated using the historical expenses of the J.P. Morgan Institutional Bond Fund-Ultra, which are lower than the expenses of the Ultra Shares.
Returns for the Class A and B Shares prior to 9/10/01 (offering date of the Class A and B Shares) are calculated using the historical expenses of the J.P. Morgan Bond Fund, which are lower than the expenses of the Class A and B Shares.
Returns for the Class C Shares prior to 3/31/03 (offering date of the Class C Shares) are calculated using the historical expenses of the Select Class Shares, which are lower than the expenses of the Class C Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Bond Fund, Lehman Aggregate Bond Index, and Lipper Intermediate Investment Grade Debt Funds Index from August 31, 1995 to August 31, 2005. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include expenses or a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Lehman Ag gregate Bond Index is composed of the Lehman Gov't/Credit Index and the Mortgage-Backed Securities Index and includes U.S. treasury issues, agency issues, corporate bond issues and mortgage backed securities. The Lipper Intermediate Investment Grade Debt Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver and reimbursement of the Fund's fees / expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
JPMORGAN INCOME FUNDS
5
JPMorgan
Emerging Markets Debt Fund
AS OF AUGUST 31, 2005 (Unaudited)
FUND FACTS | |||||||
Fund Inception | 4/17/97 | ||||||
Fiscal Year End | August 31 | ||||||
Net Assets as of 8/31/2005 (In Thousands) | $34,448 | ||||||
Primary Benchmark | Emerging Markets Bond Index Global | ||||||
Average Credit Quality | BB | ||||||
Duration | 6.4 Years |
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Emerging Markets Debt Fund, which seeks to provide high total return from a portfolio of fixed income securities of emerging markets issuers, had a total return of 19.87% (Select Class Shares) for the one-year period ended August 31, 2005. This compares to the 13.99% return from the Fund's benchmark, the Emerging Markets Bond Index Global.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The majority of our outperformance came from investments in Argentina, Russia, Venezuela and Mexico. The Fund benefited when Argentina overcame its legal issues and finalized its debt restructuring plan in June. The strong performance in Russia was characterized by high oil prices, a rapid accumulation of foreign reserves, and a growing stabilization fund. Security selection was a major source of outperformance, as our holdings in Venezuela, a major oil exporter, benefited from surging oil prices. Also contributing were the numerous credit upgrades given by the rating agencies, as countries demonstrated greater willingness and ability to repay debt. We benefited by holding an underweight in Mexico, as its performance lagged behind the broader market. Our negatives were lim ited to Ecuador, where we were underweight during a market rally.
The Fund was positioned into the local currency debt markets of Mexico, Colombia and Uruguay. Local yields in these markets had been very high and the positions also performed well as the U.S. dollar weakened early in the period.
Q: HOW WAS THE FUND MANAGED?
A: Strong fundamentals, improved credit quality and sustained inflows supported an ongoing rally in emerging-markets debt through the beginning of the year. Economic indicators suggested that the global economy grew at a medium pace while inflation was well contained. New issuance continued to be ahead of schedule after several countries pre-financed their 2005 and, in some cases, their 2006 funding needs. The environment became turbulent during March due to concerns that the U.S. Federal Reserve would raise short-term interest rates more aggressively. Liquidity fears, combined with negative developments in the automobile industry, caused all credit-sensitive sectors to underperform for the month. As investor sentiment improved, the market recovered on news of low inflat ion, high demand for commodities, and steady global growth.
We increased our allocations to Venezuela and Russia during the first quarter, believing that their debt was undervalued relative to their fundamentals. This decision later proved favorable in the face of high commodity prices, as both countries benefited from being major exporters of oil. Peru, Brazil and Uruguay also prospered due to higher prices for metals and agricultural products. Recently, the Fund reduced the allocation to the riskier segments of the market, moving Brazil to an underweight position compared to the index and reducing the overweight to Venezuela. The allocation was shifted to Argentina, Peru, the Ukraine and Russia. These credits have lower current financing needs, which bodes well for a potentially higher-rate environment, whose credit strength should allow bonds to perform in both a rising and falling market.
JPMORGAN INCOME FUNDS
6
ANNUAL REPORT AUGUST 31
2005
(Unaudited)
PORTFOLIO COMPOSITION*
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS*
* Percentages indicated are based upon net assets as of August 31, 2005. The portfolio's composition is subject to change.
JPMORGAN INCOME FUNDS
7
JPMorgan
Emerging Markets Debt Fund
CONTINUED
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2005
1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
SELECT CLASS SHARES | 19.87 | % | 13.20 | % | 11.23 | % |
JPMORGAN INCOME FUNDS
LIFE OF FUND PERFORMANCE (4/17/97 TO 8/31/05)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risk. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 4/17/97.
The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of the JPMorgan Emerging Markets Debt Fund, Emerging Markets Bond Index Global and Lipper Emerging Markets Debt Funds Index from April 17, 1997 to August 31, 2005. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include expenses or a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Emerging Markets Bond Index Global is an unmanaged index which tracks total return for external currency-denominated debt (Brady bonds, loans, Eurobonds and U.S. dollar-denominated local market inst ruments) in emerging markets. The Lipper Emerging Markets Debt Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index.
The Select Class Shares have a minimum investment of $1,000,000 and carry no sales charge.
Performance may reflect the waiver and reimbursement of the Fund's fees / expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations. The Fund is also subject to the additional risk of nondiversified "regional" fund investing.
8
JPMorgan
Enhanced Income Fund
AS OF AUGUST 31, 2005 (Unaudited)
FUND FACTS | |||||||
Fund Inception | 11/30/01 | ||||||
Fiscal Year End | August 31 | ||||||
Net Assets as of 8/31/2005 (In Thousands) | $163,344 | ||||||
Primary Benchmark | 3 Month LIBOR Index | ||||||
Average Credit Quality | AA | ||||||
Duration | 0.4 Years |
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Enhanced Income Fund, which seeks high current income consistent with principal preservation, returned 2.69% (Institutional Class Shares) for the one-year period ended August 31, 2005. This compares to the 2.55% return of its benchmark, the 3 Month LIBOR Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The majority of our performance came from investments in floating-rate asset-backed securities (ABS), corporate bonds and mortgage-backed securities (MBS). Healthy profits, strong economic growth and robust demand led these sectors to outperform the benchmark for most of the period. The Fund had positive total returns for every month during the period, even amid negative developments in the credit sectors and a significant increase in front-end U.S. Treasury rates.
Q: HOW WAS THE FUND MANAGED?
A: Despite rising energy prices, corporate bonds performed well as profits were strong and investor sentiment was largely positive. In response to downgrades in the auto industry, we reduced our credit exposure by moving some of our holdings into asset-backed securities, mortgage-backed securities (MBS) and collateralized mortgage obligations (CMOs). As the second quarter brought an improved environment in the credit sectors, we modestly increased our allocation to both corporate bonds and MBS, benefiting from higher yields. We added credit exposure on a name-by-name basis, while continuing to favor financial institution paper.
We increased our allocation to select asset-backed securities, adding floating-rate AAA-rated home equity loans, which proved resilient to spread widening during March and April. Security selection played an important role in our mortgage positioning as we added specific coupon issues at favorable price levels. We continued to add floating rate CMOs, which benefited the portfolio in a rising rate environment.
We maintained a neutral duration position early in the period, but later reduced our duration exposure when economic indicators were supportive of further rate increases. When inflation fears caused a jump in interest rates, we responded by partially covering our short-duration position. Additionally, we purchased U.S. Treasury Inflation-Protected Securities (TIPS).
JPMORGAN INCOME FUNDS
9
JPMorgan
Enhanced Income Fund
CONTINUED
(Unaudited)
PORTFOLIO COMPOSITION*
* Percentages indicated are based upon net assets as of August 31, 2005. The portfolio's composition is subject to change.
JPMORGAN INCOME FUNDS
10
ANNUAL REPORT AUGUST 31
2005
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2005
1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||
INSTITUTIONAL CLASS SHARES | 2.69 | % | 1.70 | % | 1.78 | % |
LIFE OF FUND PERFORMANCE (11/30/01 TO 8/31/05)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risk. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 11/30/01.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Enhanced Income Fund and 3 Month LIBOR Index from November 30, 2001 to August 31, 2005. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the index does not include expenses or a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of securities included in the benchmark. The 3 Month LIBOR Index is an abbreviation for the "London Interbank Offered Rate". Similarly to the Fed Funds Rate, it represents the rate at which banks are willing to loan each other reserves. The LIBOR is an average of the rate charged on dollar-denominated deposits traded between banks in London. The benchmark presented is the total return of the 3 Month LIBOR for the period presented.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver and reimbursement of the Fund's fees / expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
JPMORGAN INCOME FUNDS
11
JPMorgan
Global Strategic Income Fund
AS OF AUGUST 31, 2005 (Unaudited)
FUND FACTS | |||||||
Fund Inception | 3/17/97 | ||||||
Fiscal Year End | August 31 | ||||||
Net Assets as of 8/31/2005 (In Thousands) | $22,302 | ||||||
Primary Benchmark | Lehman Aggregate Bond Index | ||||||
Average Credit Quality | A | ||||||
Duration | 4.5 Years |
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Global Strategic Income Fund, which seeks to provide high total return from a portfolio of fixed income securities of foreign and domestic issuers, had a total return of 7.63% (Institutional Class Shares) for the one-year period ended August 31, 2005. This compares to the 4.15% return of its benchmark, the Lehman Aggregate Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The strongest contributors to performance were our holdings in high-yield and emerging-markets debt. High-yield debt prospered on low default rates and strong revenue growth, while credit upgrades and high commodity prices drove emerging-markets debt to outperform. Our decision to underweight Treasury and agency debt proved favorable as both sectors underperformed. Our international positioning was a modest negative.
Q: HOW WAS THE FUND MANAGED?
A: Strong fundamentals, improved credit quality and sustained inflows supported an ongoing rally in emerging-markets debt through the beginning of year. On a similar note, solid corporate profits and low default rates led to favorable conditions in the high-yield debt sector. We maintained a significant allocation in these sectors, but reduced our exposure as spreads tightened substantially. The environment became turbulent in March on concerns that the U.S. Federal Reserve would raise short-term interest rates more aggressively. Liquidity fears, combined with credit downgrades in the automobile industry, caused all credit-sensitive sectors to underperform in the month. Investor sentiment improved as the market recovered on news of low inflation, healthy corporate profit s and steady global growth.
We reduced our exposure to investment-grade corporate bonds, but continued to favor BBB-rated credits and financial institution paper. Consistent with the Fund's strategy, we maintained a strategic underweight in the mortgage sector, making purchases in specific coupon issues at favorable price levels. We also benefited by holding an underweight in Treasury and agency debt, finding more compelling opportunities in other high-quality sectors.
JPMORGAN INCOME FUNDS
12
ANNUAL REPORT AUGUST 31
2005
(Unaudited)
PORTFOLIO COMPOSITION*
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS*
* Percentages indicated are based upon net assets as of August 31, 2005. The portfolio's composition is subject to change.
JPMORGAN INCOME FUNDS
13
JPMorgan
Global Strategic Income Fund
CONTINUED
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2005
1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||||
CLASS A SHARES | |||||||||||||||||||
Without Sales Charge | 7.04 | % | 5.85 | % | 5.49 | % | |||||||||||||
With Sales Charge* | 2.20 | % | 4.88 | % | 4.91 | % | |||||||||||||
CLASS B SHARES | |||||||||||||||||||
Without CDSC | 6.64 | % | 5.77 | % | 5.44 | % | |||||||||||||
With CDSC** | 1.64 | % | 5.44 | % | 5.44 | % | |||||||||||||
CLASS C SHARES | |||||||||||||||||||
Without CDSC | 6.75 | % | 5.79 | % | 5.45 | % | |||||||||||||
With CDSC*** | 5.75 | % | 5.79 | % | 5.45 | % | |||||||||||||
CLASS M SHARES | |||||||||||||||||||
Without Sales Charge | 6.88 | % | 5.81 | % | 5.47 | % | |||||||||||||
With Sales Charge**** | 3.68 | % | 5.17 | % | 5.09 | % | |||||||||||||
SELECT CLASS SHARES | 7.30 | % | 6.09 | % | 5.63 | % | |||||||||||||
INSTITUTIONAL CLASS SHARES | 7.63 | % | 6.44 | % | 5.97 | % |
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, a 2% CDSC for the five year period and since inception.
*** Assumes 1% CDSC for the one year and 0% thereafter.
**** Sales charge on Class M shares is 3.0%.
LIFE OF FUND PERFORMANCE (3/17/97 TO 8/31/05)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risk. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 3/17/97.
Returns for the Institutional Class Shares prior to 9/10/01 (offering date of the Institutional Class Shares) are calculated using the historical expenses of the J.P. Morgan Institutional Global Strategic Income Fund, which are similar to the expenses of the Institutional Class Shares.
Returns for the Select Class Shares prior to 9/10/01 (offering date of the Select Class Shares) are calculated using the historical expenses of the J.P. Morgan Global Strategic Income Fund, which are similar to the expenses of the Select Class Shares.
Returns for the Class A Shares prior to 9/10/01 (offering date of the Class A Shares) are calculated using the historical expenses of the J.P. Morgan Global Strategic Income Fund, which are lower than the expenses of the Class A Shares.
Returns for Class B, Class C and Class M Shares prior to 2/19/05 (offering date of Class B, Class C and Class M shares) are calculated using the historical expenses of Class A shares, which are lower than Class B, Class C and Class M shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Global Strategic Income Fund, Lehman Aggregate Bond Index, and Lipper Multi-Sector Income Funds Index from March 17, 1997 to August 31, 2005. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include expenses or a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities inclu ded in the benchmark. The Lehman Aggregate Bond Index is composed of the Lehman Gov't/Credit Index and the Mortgage-Backed Securities Index and includes U.S. treasury issues, agency issues, corporate bond issues and mortgage-backed securities. The Lipper Multi-Sector Income Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver and reimbursement of the Fund's fees / expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
JPMORGAN INCOME FUNDS
14
JPMorgan
Short Term Bond Fund
AS OF AUGUST 31, 2005 (Unaudited)
FUND FACTS | |||||||
Fund Inception | 9/13/93 | ||||||
Fiscal Year End | August 31 | ||||||
Net Assets as of 8/31/2005 (In Thousands) | $633,888 | ||||||
Primary Benchmark | Merrill Lynch 1-3 Year Treasury Index | ||||||
Average Credit Quality | AA | ||||||
Duration | 1.6 Years |
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Short Term Bond Fund, which seeks to provide high total return consistent with low volatility of principal, returned 1.75% (Institutional Class Shares) for the one-year period ended August 31, 2005. This compares to the 1.15% return of its benchmark index, the Merrill Lynch 1-3 Year Treasury Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The majority of performance came from investments in asset-backed securities (ABS), mortgage-backed securities (MBS) and corporate bonds. Healthy profits, strong economic growth and robust demand led these sectors to outperform the U.S. Treasury market for most of the period. The Fund also benefited from its allocation in high-yield and emerging-markets debt as both sectors had an outstanding year. Our international positions detracted from performance.
Q: HOW WAS THE FUND MANAGED?
A: Despite rising energy prices, corporate bonds performed well as profits were strong and investor sentiment was largely positive. In response to the downgrades in the auto industry, we reduced our credit exposure by moving some of our holdings into ABS, commercial mortgage-backed securities (CMBS) and collateralized mortgage obligations (CMOs). As the second quarter brought about an improved environment in the credit sectors, we modestly increased our allocation to both corporate bonds and MBS, benefiting from higher yields. We added credit exposure on a name-by-name basis, while continuing to favor financial institution paper.
We increased our allocation in select asset-backed securities, adding AAA-rated home equity loans, which proved resilient to spread widening during March and April. Security selection played an important role in our mortgage positioning as we added specific coupon issues at favorable price levels. We also added a modest amount of floating-rate CMOs, which benefited the Fund in a rising rate environment. Recently, we increased our fixed-rate CMO exposure by switching out of specific corporate and ABS names that had reached rich levels.
Our allocation to extended sectors was a major contributor to performance. High-yield debt had a prosperous year on low default rates and strong revenue growth, while credit upgrades and high commodity prices drove emerging-markets spreads to tighten. We maintained a neutral-duration position early in the period, but later reduced our duration exposure when economic indicators were supportive of further rate increases. When inflation fears caused a jump in interest rates, we responded by partially covering our short-duration position. Additionally, we purchased U.S. Treasury Inflation-Protected Securities (TIPS).
JPMORGAN INCOME FUNDS
15
JPMorgan
Short Term Bond Fund
CONTINUED
(Unaudited)
PORTFOLIO COMPOSITION*
* Percentages indicated are based upon net assets as of August 31, 2005. The portfolio's composition is subject to change.
JPMORGAN INCOME FUNDS
16
ANNUAL REPORT AUGUST 31
2005
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2005
1 YEAR | 5 YEARS | 10 YEARS | |||||||||||||||||
CLASS A SHARES | |||||||||||||||||||
Without Sales Charge | 1.29 | % | 3.93 | % | 4.65 | % | |||||||||||||
With Sales Charge* | (1.71 | %) | 3.29 | % | 4.34 | % | |||||||||||||
SELECT CLASS SHARES | 1.52 | % | 4.08 | % | 4.73 | % | |||||||||||||
INSTITUTIONAL CLASS SHARES | 1.75 | % | 4.36 | % | 5.00 | % |
* Sales Charge for Class A Shares is 3.00%.
TEN-YEAR FUND PERFORMANCE (8/31/95 TO 8/31/05)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risk. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 9/13/93.
Returns for the Institutional Class Shares prior to 9/10/01 (offering date of the Institutional Class Shares) are calculated using the historical expenses of the J.P. Morgan Institutional Short Term Bond Fund, which are similar to the expenses of the Institutional Class Shares.
Returns for the Select Class Shares prior to 9/10/01 (offering date of the Select Class Shares) are calculated using the historical expenses of the J.P. Morgan Short Term Bond Fund, which are similar to the expenses of the Select Class Shares.
Returns for the Class A Shares prior to 9/10/01 (offering date of the Class A Shares) are calculated using the historical expenses of the J.P. Morgan Short Term Bond Fund, which are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Short Term Bond Fund, Merrill Lynch 1-3 Year Treasury Index, and Lipper Short-Term Investment Grade Debt Funds Index from August 31, 1995 to August 31, 2005. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include expenses or a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Merrill Lynch 1-3 Year Treasury Index is an unmanaged index which measures short-term bond performance. The Lipper Short-Term Investment Grade Debt Funds Index represents the total returns of the f unds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver and reimbursement of the Fund's fees / expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
JPMORGAN INCOME FUNDS
17
JPMorgan
Short Term Bond Fund II
AS OF AUGUST 31, 2005 (Unaudited)
FUND FACTS | |||||||
Fund Inception | 11/30/90 | ||||||
Fiscal Year End | August 31 | ||||||
Net Assets as of 8/31/2005 (In Thousands) | $845,123 | ||||||
Primary Benchmark | Lehman 1-3 Year U.S. Gov't Bond Index | ||||||
Average Credit Quality | AA | ||||||
Duration | 1.8 Years |
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Short Term Bond Fund II, which seeks a high level of income, consistent with preservation of capital, returned 1.35% (Select Class Shares) for the one-year period ended August 31, 2005. This compares to the 1.27% return of its benchmark, the Lehman 1-3 Year U.S. Government Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The majority of our performance came from investments in asset-backed securities (ABS), mortgage-backed securities (MBS) and corporate bonds. Healthy profits, strong economic growth and robust demand led these sectors to outperform the benchmark for most of the period.
Q: HOW WAS THE FUND MANAGED?
A: Despite rising energy prices, corporate bonds performed well as profits were strong and investor sentiment was largely positive. In response to the downgrades in the auto industry, we reduced our credit exposure by moving some of our holdings into asset-backed securities, commercial mortgage-backed securities (CMBS) and collateralized mortgage obligations (CMOs). The Fund also reduced its allocation in agency debt. As the second quarter brought about an improved environment in the credit sectors, we modestly increased our allocation to both corporate bonds and MBS, benefiting from higher yields. We added credit exposure on a name-by-name basis, while continuing to favor financial institution paper.
We increased our allocation to select asset-backed securities, adding AAA-rated home equity loans, which proved resilient to spread widening during March and April. Security selection played an important role in our mortgage positioning as we added specific coupon issues at favorable price levels. We also added a modest amount of floating-rate CMOs, which benefited the portfolio in a rising rate environment. Recently, we increased our fixed-rate CMO exposure by switching out of specific corporate and ABS names that had reached rich levels.
We maintained a neutral-duration position early in the period, but later reduced our duration exposure when economic indicators were supportive of further rate increases. When inflation fears caused a jump in interest rates, we responded by partially covering our short-duration position. Additionally, we purchased U.S. Treasury Inflation-Protected Securities (TIPS).
JPMORGAN INCOME FUNDS
18
ANNUAL REPORT AUGUST 31
2005
(Unaudited)
PORTFOLIO COMPOSITION*
* Percentages indicated are based upon net assets as of August 31, 2005. The portfolio's composition is subject to change.
JPMORGAN INCOME FUNDS
19
JPMorgan
Short Term Bond Fund II
CONTINUED
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2005
1 YEAR | 5 YEARS | 10 YEARS | |||||||||||||||||
CLASS A SHARES | |||||||||||||||||||
Without Sales Charge | 1.09 | % | 3.81 | % | 4.39 | % | |||||||||||||
With Sales Charge* | (1.98 | %) | 3.18 | % | 4.07 | % | |||||||||||||
CLASS M SHARES | |||||||||||||||||||
Without Sales Charge | 0.83 | % | 3.55 | % | 4.23 | % | |||||||||||||
With Sales Charge** | (0.72 | %) | 3.24 | % | 4.07 | % | |||||||||||||
SELECT CLASS SHARES | 1.35 | % | 4.05 | % | 4.69 | % |
* Sales Charge for Class A Shares is 3.00%.
** Sales Charge for Class M Shares is 1.50%.
TEN-YEAR FUND PERFORMANCE (8/31/95 TO 8/31/05)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risk. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 11/30/90.
Returns for the Class A Shares prior to 5/6/96 (offering date of the Class A Shares) are calculated using the historical expenses of the Select Class Shares, which are lower than the expenses of the Class A Shares.
Returns for the Class M Shares prior to 7/1/99 (offering date of the Class M Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class M Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short Term Bond Fund II, Lehman 1-3 Year U.S. Gov't Bond Index, and Lipper Short-Term Investment Grade Debt Funds Index from August 31, 1995 to August 31, 2005. The performance of the Fund assumes reinvestments of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include expenses or a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Lehman 1-3 Year U.S. Gov't Bond Index is composed of bonds covered by the U.S. Government Bond Index with maturities of one to three years. The Lipper Short-Term Investment Grade Debt Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver and reimbursement of the Fund's fees / expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
JPMORGAN INCOME FUNDS
20
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - 148.1% | |||||||||||
Asset Backed Securities - 20.5% | |||||||||||
$ | 3,551 | American Express Credit Account Master Trust Series 2004-C, Class C, FRN, 4.07%, 02/15/12 (e) (m) | $ | 3,561 | |||||||
AmeriCredit Automobile Receivables Trust | |||||||||||
3,300 | Series 2003-CF, Class A4, 3.48%, 05/06/10 (m) | 3,276 | |||||||||
2,110 | Series 2003-DM, Class A3B, FRN, 3.78%, 12/06/07 (m) | 2,111 | |||||||||
2,790 | Series 2003-DM, Class A4, 2.84%, 08/06/10 (m) | 2,748 | |||||||||
980 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 965 | |||||||||
4,595 | Capital Auto Receivables Asset Trust Series 2003-2, Class A4A, 1.96%, 01/15/09 (m) | 4,507 | |||||||||
Capital One Auto Finance Trust | |||||||||||
1,140 | Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 1,125 | |||||||||
3,250 | Series 2004-A, Class A4, FRN, 3.67%, 03/15/11 (m) | 3,254 | |||||||||
Capital One Master Trust | |||||||||||
3,930 | Series 2000-4, Class C, FRN, 4.37%, 08/15/08 (e) (m) | 3,932 | |||||||||
6,480 | Series 2001-8A, Class A, 4.60%, 08/15/09 (m) | 6,509 | |||||||||
Capital One Multi-Asset Execution Trust | |||||||||||
7,580 | Series 03-A, FRN, 4.82%, 12/15/10 (e) (m) | 7,767 | |||||||||
3,013 | Series 2003-A4, Class A4, 3.65%, 07/15/11 (m) | 2,965 | |||||||||
1,500 | Capital One Prime Auto Receivables Trust Series 2005-1 Class A4, FRN, 3.69%, 04/15/11 (m) | 1,500 | |||||||||
CARSS Finance LP (Cayman Islands) | |||||||||||
542 | Series 2004-A, Class B1, FRN, 3.85%, 01/15/11 (e) (m) | 542 | |||||||||
903 | Series 2004-A, Class B1, FRN, 4.52%, 01/15/11 (e) (m) | 904 | |||||||||
660 | Citibank Credit Card Issuance Trust Series 2003-C2, Class C2, FRN, 4.43%, 03/20/08 (m) | 663 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Asset Backed Securities - Continued | |||||||||||
Citigroup Mortgage Loan Trust, Inc. | |||||||||||
$ | 2,569 | Series 2003-HE3, Class A, FRN, 4.02%, 12/25/33 (m) | $ | 2,575 | |||||||
2,230 | Series 2005-OPT1, Class A1B, FRN, 3.85%, 02/25/35 (m) | 2,232 | |||||||||
Countrywide Asset-Backed Certificates | |||||||||||
938 | Series 2003-5, Class AF3, 3.61%, 04/25/30 (m) | 935 | |||||||||
1,785 | Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 1,795 | |||||||||
1,320 | Series 2004-1, Class M1, FRN, 4.14%, 03/25/34 (m) | 1,326 | |||||||||
1,080 | Series 2004-1, Class M2, FRN, 4.19%, 03/25/34 (m) | 1,083 | |||||||||
712 | Series 2004-BC, Class 1A, FRN, 3.87%, 04/25/34 (m) | 712 | |||||||||
1,146 | Countrywide Home Equity Loan Trust Series 2004-I, Class A, FRN, 3.86%, 05/15/29 (m) | 1,150 | |||||||||
2,600 | First Franklin Mortgage Loan Asset Backed Certificates Series 2005-FF2, Class A2B, FRN, 3.82%, 03/25/35 (m) | 2,599 | |||||||||
3,250 | Ford Credit Floorplan Master Owner Trust II Series 2005-1A, Class A, FRN, 3.72%, 05/15/10 (m) | 3,250 | |||||||||
3,000 | GE Equipment Small Ticket LLC Series 2005-1A, Class A3, 4.38%, 07/22/09 (e) (m) | 3,000 | |||||||||
1,000 | GMAC Mortgage Corp. Loan Trust Series 2004-HE, Class 1A2, FRN, 3.74%, 06/25/34 (m) | 1,001 | |||||||||
1,325 | Gracechurch Card Funding plc (United Kingdom) Series 2005-14, Class A, 3.59%, 11/16/09 (m) | 1,325 | |||||||||
1,738 | GSAMP Trust Series 2004-OPT, Class A1, FRN, 3.98%, 11/25/34 (m) | 1,742 | |||||||||
958 | Household Mortgage Loan Trust Series 2004-HC1, Class A, FRN, 3.96%, 01/20/34 (m) | 961 | |||||||||
Long Beach Mortgage Loan Trust | |||||||||||
1,027 | Series 2003-3, Class A, FRN, 3.96%, 07/25/33 (m) | 1,028 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 21
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Asset Backed Securities - Continued | |||||||||||
$ | 2,000 | Series 2003-4, Class M1, FRN, 4.32%, 08/25/33 (m) | $ | 2,011 | |||||||
2,030 | Series 2004-1, Class M1, FRN, 4.14%, 02/25/34 (m) | 2,038 | |||||||||
1,360 | Series 2004-1, Class M2, FRN, 4.19%, 02/25/34 (m) | 1,364 | |||||||||
1,407 | Series 2004-3, Class A3, FRN, 3.90%, 07/25/34 (m) | 1,407 | |||||||||
1,500 | Series 2004-3, Class M1, FRN, 4.21%, 07/25/34 (m) | 1,513 | |||||||||
1,905 | M&I Auto Loan Trust Series 2003-1, Class A4, 2.97%, 04/20/09 (m) | 1,872 | |||||||||
2,000 | MASTR Asset Backed Securities Trust Series 2005-14, Class A, 3.87%, 12/25/34 (m) | 2,002 | |||||||||
3,000 | MBNA Credit Card Master Note Trust Series 2001-C2, Class C2, FRN, 4.72%, 12/15/13 (e) (m) | 3,065 | |||||||||
New Century Home Equity Loan Trust | |||||||||||
1,215 | Series 2005-1, Class A2B, FRN, 3.86%, 03/25/35 (m) | 1,216 | |||||||||
1,350 | Series 2005-1, Class M1, FRN, 4.09%, 03/25/35 (m) | 1,350 | |||||||||
1,565 | Series 2005-2, Class A2B, FRN, 3.82%, 06/25/35 (m) | 1,565 | |||||||||
Option One Mortgage Loan Trust | |||||||||||
988 | Series 2003-1, Class A2, FRN, 4.06%, 02/25/33 (m) | 991 | |||||||||
924 | Series 2003-5 Class A2, FRN, 3.96%, 08/25/33 (m) | 926 | |||||||||
934 | Series 2005-2, Class A2, FRN, 3.72%, 05/25/35 (m) | 934 | |||||||||
5,998 | PP&L Transition Bond Co. LLC Series 1999-1, Class A8, 7.15%, 06/25/09 (m) | 6,429 | |||||||||
Residential Asset Securities Corp. | |||||||||||
1,500 | Series 1999-1, Class A8, 3.84%, 05/25/34 | 1,501 | |||||||||
791 | Series 2002-KS4, Class AIIB, FRN, 3.89%, 07/25/32 | 792 | |||||||||
1,786 | Series 2003-KS5, Class AIIB, FRN, 3.93%, 07/25/33 | 1,789 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Asset Backed Securities - Continued | |||||||||||
SLM Student Loan Trust | |||||||||||
$ | 4,975 | Series 2003-11, Class A5, 2.99%, 12/15/22 (e) | $ | 4,899 | |||||||
2,769 | Series 2003-12, Class A2, FRN, 3.46%, 12/15/12 | 2,770 | |||||||||
2,580 | Triad Auto Receivables Owner Trust Series 2003-B, Class A4, 3.20%, 12/13/10 | 2,541 | |||||||||
Wachovia Asset Securitization, Inc. | |||||||||||
2,176 | Series 2002-HE2, Class A, FRN, 4.07%, 12/25/32 | 2,187 | |||||||||
1,800 | Series 2003-HE3, Class A, FRN, 3.89%, 11/25/33 | 1,800 | |||||||||
2,455 | WFS Financial Owner Trust Series 2003-4, Class A4, 3.15%, 05/20/11 | 2,427 | |||||||||
Total Asset Backed Securities | 122,432 | ||||||||||
(Cost $123,052) | |||||||||||
Collateralized Mortgage Obligations - 24.4% Agency CMO - 6.5% | |||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||
13,359 | Series 2564, Class LS, FRN, IO, 4.08%, 01/15/17 (m) | 1,019 | |||||||||
5,476 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 679 | |||||||||
1,000 | Series 2701, Class SH, FRN, 9.65%, 12/15/26 (m) | 1,061 | |||||||||
17,155 | Series 2701, Class ST, IO, FRN, 3.43%, 08/15/21 (m) | 1,139 | |||||||||
7,293 | Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 547 | |||||||||
4,534 | Series 2760, Class GI, IO, 4.50%, 02/15/11 (m) | 199 | |||||||||
7,611 | Series 2772 Class GI, IO, 5.00%, 11/15/22 (m) | 680 | |||||||||
10,197 | Series 2779, Class SM, IO, FRN, 3.58%, 10/15/18 (m) | 813 | |||||||||
5,847 | Series 2781, Class PL, IO, 5.00%, 10/15/23 (m) | 469 | |||||||||
35,415 | Series 2791, Class SI, FRN, IO, 3.58%, 12/15/31 (m) | 2,559 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 22
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Agency CMO - Continued | |||||||||||
$ | 29,926 | Series 2813, Class SB, FRN, IF, IO, 3.48%, 02/15/34 (m) | $ | 2,114 | |||||||
5,940 | Series 2857, Class NI, IO, 5.00%, 04/15/17 (m) | 302 | |||||||||
32,452 | Series 2861, Class GS IO, FRN, 3.63%, 01/15/21 (m) | 1,373 | |||||||||
6,911 | Series 2891, Class LI, IO, 5.00%, 06/15/24 (m) | 645 | |||||||||
10,712 | Series 2894, Class S, FRN, IO, 3.63%, 03/15/31 (m) | 864 | |||||||||
7,323 | Series 2971, Class Pl, IO, 5.50%, 03/15/26 (m) | 958 | |||||||||
1,992 | Federal Home Loan Mortgage Corp. STRIPS Series 232, IO, 5.00%, 08/01/35 (m) | 427 | |||||||||
Federal National Mortgage Association | |||||||||||
1,331 | Series 2003-18, Class DB, 4.50%, 09/25/22 (m) | 1,329 | |||||||||
572 | Series 2003-19, Class JP, 4.50%, 11/25/22 (m) | 571 | |||||||||
11,109 | Series 2004-61, Class TS, FRN, IO, 3.46%, 10/25/31 (m) | 618 | |||||||||
8,227 | Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 974 | |||||||||
87,534 | Federal National Mortgage Association Interest STRIPS Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 18,847 | |||||||||
Government National Mortgage Association | |||||||||||
4,248 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 264 | |||||||||
6,457 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 560 | |||||||||
2,533 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 136 | |||||||||
39,147 | |||||||||||
Non-Agency CMO - 17.9% | |||||||||||
Adjustable Rate Mortgage Trust | |||||||||||
1,553 | Series 2005-4, Class 7A2, FRN, 3.87%, 08/25/35 (m) | 1,551 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Non-Agency CMO - Continued | |||||||||||
$ | 4,419 | Series 2005-6, Class 6A21, FRN, 3.87%, 09/25/35 (m) | $ | 4,421 | |||||||
983 | Series 2005-6A Class 2A1, FRN, 3.95%, 11/25/35 (m) | 983 | |||||||||
5,364 | Countrywide Alternative Loan Trust Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 5,449 | |||||||||
Countrywide Home Loans | |||||||||||
15,115 | Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 15,127 | |||||||||
11,493 | Series 2004-28R, Class A1, 5.50%, 08/25/33 (m) | 11,644 | |||||||||
1,866 | Series 2004-K, Class 2A, FRN, 3.87%, 11/15/29 (m) | 1,870 | |||||||||
5,172 | CS First Boston Mortgage Securities Corp. Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 5,198 | |||||||||
3,000 | Granite Mortgages plc (United Kingdom) Series 2004-3, Class 1A3, FRN, 3.53%, 09/20/44 (m) | 3,001 | |||||||||
2,498 | Greenpoint Mortgage Funding Trust Series 2005-AR4, Class4A1A, FRN, 3.95%, 10/25/45 (m) | 2,500 | |||||||||
7,471 | GSMPS Mortgage Loan Trust Series 2005-RP1, Class 1AF, FRN, 3.99%, 01/25/35 (e) (m) | 7,495 | |||||||||
Harborview Mortgage Loan Trust | |||||||||||
9,963 | Series 2005-3, Class 2A1A, FRN, 3.83%, 06/19/35 (m) | 9,933 | |||||||||
1,997 | Series 2005-8, Class A2A, FRN, 3.92%, 09/19/35 (m) | 1,996 | |||||||||
4,926 | Indymac Index Mortgage Loan Trust Series 2004-AR7, Class A1, FRN, 4.08%, 09/25/34 (m) | 4,956 | |||||||||
1,957 | Medallion Trust (Australia) Series 2004-1G, Class A1, FRN, 3.97%, 05/25/35 (m) | 1,962 | |||||||||
2,500 | Permanent Financing plc (United Kingdom) Series 4, Class 2A, FRN, 3.45%, 03/10/09 (m) | 2,500 | |||||||||
RESI Finance LP (Cayman Islands) | |||||||||||
3,856 | Series 2003-B, Class B3, FRN, 5.12%, 07/10/35 (e) | 3,929 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 23
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Non-Agency CMO - Continued | |||||||||||
$ | 6,609 | Series 2003-C, Class B3, FRN, 4.97%, 09/10/35 (e) | $ | 6,715 | |||||||
1,265 | Series 2003-C, Class B4, FRN, 5.17%, 09/10/35 (e) | 1,285 | |||||||||
1,419 | Series 2003-D, Class B3, FRN, 4.87%, 12/10/35 (e) | 1,423 | |||||||||
2,052 | Series 2003-D, Class B4, FRN, 5.07%, 12/10/35 (e) | 2,058 | |||||||||
2,391 | Series 2005-A, B3, FRN, 4.15%, 03/10/37 (e) | 2,391 | |||||||||
800 | Series 2005-A, Class B4, FRN, 4.25%, 03/10/37 (e) | 800 | |||||||||
1,376 | RMAC plc (United Kingdom) Series 2004-NS1, Class A1B, FRN, 3.50%, 12/12/20 (e) | 1,376 | |||||||||
627 | Saco I, Inc. Series 1997-2, Class 1A5, 7.00%, 08/25/36 (e) (m) | 626 | |||||||||
2,871 | Structured Asset Mortgage Investments, Inc. Series 2005-AK2, Class 2A1, FRN, 3.87%, 05/25/45 | 2,860 | |||||||||
2,612 | Washington Mutual Mortgage Securities Corp. Series 2005-AR2, Class 2A21, FRN, 3.97%, 01/25/45 | 2,616 | |||||||||
106,665 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $149,895) | 145,812 | ||||||||||
Corporate Bonds - 31.6% Aerospace & Defense - 0.1% | |||||||||||
415 | L-3 Communications Corp. 5.88%, 01/15/15 (m) | 410 | |||||||||
Auto Components - 0.1% | |||||||||||
549 | TRW Automotive, Inc. 9.38%, 02/15/13 | 609 | |||||||||
Automobiles - 1.7% | |||||||||||
1,765 | American Honda Finance Corp. FRN, 3.88%, 05/11/07 (e) (m) | 1,767 | |||||||||
2,800 | DaimlerChrysler NA Holding Corp. FRN, 4.43%, 05/24/06 (m) | 2,809 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Automobiles - Continued | |||||||||||
Ford Motor Credit Co. | |||||||||||
$ | 3,530 | 7.88%, 06/15/10 (m) | $ | 3,549 | |||||||
2,300 | FRN, 4.39%, 03/21/07 (m) | 2,269 | |||||||||
10,394 | |||||||||||
Capital Markets - 2.0% | |||||||||||
755 | Arch Western Finance LLC 6.75%, 07/01/13 (m) | 770 | |||||||||
Bear Stearns Cos., Inc. (The) | |||||||||||
1,640 | FRN, 3.83%, 04/29/08 (m) | 1,643 | |||||||||
2,290 | FRN, 3.77%, 01/16/07 (m) | 2,295 | |||||||||
1,850 | Goldman Sachs Group, Inc. 6.35%, 02/15/34 (m) | 1,983 | |||||||||
1,900 | Merrill Lynch & Co., Inc. FRN, 4.00%, 02/06/09 (m) | 1,905 | |||||||||
Morgan Stanley | |||||||||||
2,310 | FRN, 3.70%, 01/12/07 (m) | 2,311 | |||||||||
1,000 | FRN, 3.88%, 11/09/07 (m) | 1,001 | |||||||||
11,908 | |||||||||||
Chemicals - 0.2% | |||||||||||
490 | Huntsman International LLC 9.88%, 03/01/09 (m) | 522 | |||||||||
775 | PolyOne Corp. 10.63%, 05/15/10 (m) | 832 | |||||||||
1,354 | |||||||||||
Commercial Banks - 6.3% | |||||||||||
2,000 | BBVA Bancomer Capital Trust I (Mexico) 10.50%, 02/16/11 (e) (m) | 2,053 | |||||||||
2,025 | BBVA Bancomer S.A. (Cayman Islands) VAR, 5.38%, 07/22/15 (e) (m) | 2,071 | |||||||||
2,795 | HSBC Capital Funding LP (Jersey) VAR, 4.61%, 12/31/49 (e) (m) | 2,725 | |||||||||
1,720 | Industrial Bank of Korea (South Korea) VAR, 4.00%, 05/19/14 (e) (m) | 1,663 | |||||||||
2,100 | KeyCorp FRN, 3.85%, 07/23/07 (m) | 2,104 | |||||||||
1,545 | Korea First Bank (South Korea) VAR, 7.27%, 03/03/34 (e) (m) | 1,732 | |||||||||
2,510 | RBS Capital Trust I VAR, 5.51%, 12/31/49 | 2,611 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 24
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Commercial Banks - Continued | |||||||||||
$ | 1,750 | Royal Bank of Scotland plc (United Kingdom) FRN, 3.84%, 11/24/06 (e) | $ | 1,751 | |||||||
1,660 | Shinhan Bank (South Korea) VAR, 5.66%, 03/02/35 | 1,620 | |||||||||
1,585 | Sumitomo Mitsui Banking Corp. (Japan) VAR, 5.63%, 07/29/49 (e) | 1,615 | |||||||||
6,150 | UBS AG 4.15%, 07/20/06 | 6,144 | |||||||||
2,005 | United Overseas Bank Ltd. (Singapore) VAR, 5.38%, 09/03/19 (e) | 2,057 | |||||||||
2,500 | Wachovia Corp. FRN, 3.72%, 07/20/07 | 2,502 | |||||||||
1,500 | Wells Fargo & Co. FRN, 3.51%, 03/23/07 | 1,502 | |||||||||
2,800 | Westpac Banking Corp. (Australia) FRN, 3.90%, 05/25/07 (e) | 2,803 | |||||||||
2,335 | Woori Bank (South Korea) VAR, 5.75%, 03/13/14 (e) | 2,397 | |||||||||
37,350 | |||||||||||
Commercial Services & Supplies - 0.2% | |||||||||||
740 | Allied Waste North America 6.13%, 02/15/14 (m) | 690 | |||||||||
490 | Iron Mountain, Inc. 6.63%, 01/01/16 (m) | 464 | |||||||||
1,154 | |||||||||||
Construction & Engineering - 0.6% | |||||||||||
3,255 | Caterpillar Financial Services Corp. FRN, 3.91%, 02/26/07(m) | 3,260 | |||||||||
Consumer Finance - 2.6% | |||||||||||
2,910 | Capital One Financial Corp. 8.75%, 02/01/07 (m) | 3,082 | |||||||||
1,090 | Household Finance Corp. FRN, 3.90%, 02/09/07 (m) | 1,092 | |||||||||
3,110 | HSBC Finance Corp. FRN, 3.89%, 05/09/08 (m) | 3,112 | |||||||||
1,330 | International Lease Finance Corp 4.88%, 09/01/10 (m) | 1,341 | |||||||||
1,815 | Mizuho JGB Investment LLC VAR, 9.87%, 12/31/49 (e) (m) | 2,048 | |||||||||
2,680 | Mizuho Preferred Capital Co. LLC VAR, 8.79%, 12/31/49 (e) (m) | 2,949 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Consumer Finance - Continued | |||||||||||
$ | 1,900 | SLM Corp. FRN, 3.73%, 01/25/08 | $ | 1,900 | |||||||
15,524 | |||||||||||
Containers & Packaging - 0.3% | |||||||||||
565 | Crown European Holdings S.A. (France) 9.50%, 03/01/11 (m) | 623 | |||||||||
275 | Graphic Packaging International Corp. 9.50%, 08/15/13 (m) | 282 | |||||||||
635 | Owens Brockway Glass Container, Inc. 8.25%, 05/15/13 (m) | 679 | |||||||||
1,584 | |||||||||||
Diversified Financial Services - 3.8% | |||||||||||
1,905 | Aiful Corp. (Japan) 5.00%, 08/10/10 (e) (m) | 1,921 | |||||||||
3,000 | Aries Vermoegensverwaltungs GmbH (Germany) 9.60%, 10/25/14 (e) | 3,930 | |||||||||
2,190 | Credit Suisse First Boston USA, Inc. FRN, 3.45%, 06/02/08 (m) | 2,192 | |||||||||
1,000 | General Electric Capital Corp. FRN, 3.86%, 05/19/08 (m) | 1,001 | |||||||||
3,100 | Links Finance LLC FRN, 3.75%, 09/15/08 (e) (m) | 3,100 | |||||||||
1,570 | Mantis Reef Ltd. (Australia) Series B, 4.80%, 11/03/09 (e) (m) | 1,564 | |||||||||
Pricoa Global Funding I | |||||||||||
2,595 | 3.90%, 12/15/08 (e) | 2,555 | |||||||||
4,225 | FRN, 3.62%, 12/22/06 (e) | 4,235 | |||||||||
715 | Resona Preferred Global Securities Cayman Ltd. (Cayman Islands) VAR, 7.19%, 12/29/49 (e) | 757 | |||||||||
1,120 | UFJ Finance Aruba AEC (Aruba) 6.75%, 07/15/13 | 1,255 | |||||||||
310 | UGS Corp. 10.00%, 06/01/12 | 347 | |||||||||
22,857 | |||||||||||
Diversified Telecommunication Services - 1.3% | |||||||||||
650 | BellSouth Corp. 6.00%, 11/15/34 (m) | 686 | |||||||||
910 | Deutsche Telekom International Finance BV (Netherlands) 5.25%, 07/22/13 (m) | 939 | |||||||||
805 | Qwest Corp 8.88%, 03/15/12 | 880 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 25
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Diversified Telecommunication Services - Continued | |||||||||||
$ | 550 | SBC Communications, Inc 6.15%, 09/15/34 | $ | 592 | |||||||
Sprint Capital Corp. | |||||||||||
2,190 | 6.00%, 01/15/07 | 2,240 | |||||||||
1,200 | 6.90%, 05/01/19 | 1,385 | |||||||||
610 | 8.75%, 03/15/32 | 851 | |||||||||
7,573 | |||||||||||
Electric Utilities - 1.0% | |||||||||||
1,090 | Dominion Resources, Inc. Series A, 7.20%, 09/15/14 (m) | 1,262 | |||||||||
2,520 | Exelon Corp. 4.90%, 06/15/15 (m) | 2,513 | |||||||||
2,010 | Progress Energy, Inc. 6.85%, 04/15/12 | 2,215 | |||||||||
5,990 | |||||||||||
Electronic Equipment & Instruments - 0.1% | |||||||||||
545 | Celestica, Inc. (Canada) 7.88%, 07/01/11 (m) | 561 | |||||||||
Food & Staples Retailing - 0.6% | |||||||||||
1,380 | Delhaize America, Inc. 9.00%, 04/15/31 (m) | 1,699 | |||||||||
2,110 | Safeway, Inc. 4.13%, 11/01/08 | 2,078 | |||||||||
3,777 | |||||||||||
Gas Utilities - 0.2% | |||||||||||
1,155 | Enterprise Products Partners LP 6.65%, 10/15/34 (m) | 1,263 | |||||||||
Health Care Equipment & Supplies - 0.1% | |||||||||||
615 | Fresenius Medical Care Capital Trust II 7.88%, 02/01/08 (m) | 637 | |||||||||
Health Care Providers & Services - 0.2% | |||||||||||
980 | HCA, Inc. 6.38%, 01/15/15 (m) | 1,006 | |||||||||
2,000 | Mariner Health Group, Inc. 9.50%, 04/01/06 (d) (m) | - | (h) | ||||||||
430 | Service Corp. International 6.75%, 04/01/16 | 436 | |||||||||
1,442 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Hotels, Restaurants & Leisure - 0.3% | |||||||||||
$ | 620 | ITT Corp. 7.38%, 11/15/15 (m) | $ | 679 | |||||||
690 | MGM Grand, Inc. 5.88%, 02/27/14 (m) | 666 | |||||||||
585 | Vail Resorts, Inc. 6.75%, 02/15/14 | 598 | |||||||||
1,943 | |||||||||||
Household Durables - 0.5% | |||||||||||
1,910 | Centex Corp 5.45%, 08/15/12 (m) | 1,936 | |||||||||
355 | Sealy Mattress Co. 8.25%, 06/15/14 | 379 | |||||||||
745 | Standard Pacific Corp. 6.88%, 05/15/11 | 745 | |||||||||
3,060 | |||||||||||
Household Products - 0.3% | |||||||||||
1,900 | Spectrum Brands, Inc. 7.38%, 02/01/15 | 1,829 | |||||||||
Industrial Conglomerates - 0.3% | |||||||||||
1,365 | Hutchison Whampoa Ltd. (Cayman Islands) 7.45%, 11/24/33 (e) (m) | 1,614 | |||||||||
Insurance - 2.2% | |||||||||||
815 | Arch Capital Group Ltd. (Bermuda) 7.35%, 05/01/34 (m) | 939 | |||||||||
2,320 | Aspen Insurance Holdings Ltd. (Bermuda) 6.00%, 08/15/14 (m) | 2,406 | |||||||||
830 | Axis Capital Holdings Ltd. (Bermuda) 5.75%, 12/01/14 (m) | 856 | |||||||||
800 | Endurance Specialty Holdings Ltd. (Bermuda) 7.00%, 07/15/34 (m) | 902 | |||||||||
2,500 | Nippon Life Insurance (Japan) 4.88%, 08/09/10 (e) (m) | 2,512 | |||||||||
845 | Odyssey Re Holdings Corp. 7.65%, 11/01/13 (m) | 913 | |||||||||
1,500 | Platinum Underwriters Finance, Inc 7.50%, 06/01/17 (e) (m) | 1,569 | |||||||||
1,250 | Protective Life Secured Trust FRN, 3.66%, 01/14/08 | 1,251 | |||||||||
1,700 | Stingray Pass-Through Trust (Cayman Islands) 5.90%, 01/12/15 (e) | 1,716 | |||||||||
13,064 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 26
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Internet & Catalog Retail - 0.4% | |||||||||||
$ | 1,960 | IAC/InterActiveCorp. 7.00%, 01/15/13 | $ | 2,117 | |||||||
IT Services - 0.1% | |||||||||||
500 | Sungard Data Systems, Inc. 10.25%, 08/15/15 (e) | 523 | |||||||||
Media - 1.6% | |||||||||||
460 | Cablevision Systems Corp. 8.00%, 04/15/12 (m) | 457 | |||||||||
455 | Charter Communications Operating LLC/Charter Communications Operating Capital 8.00%, 04/30/12 (e) (m) | 461 | |||||||||
420 | Comcast Corp. 7.05%, 03/15/33 (m) | 490 | |||||||||
1,900 | Dex Media, Inc. SUB, 0.00%, 11/15/13 (m) | 1,544 | |||||||||
675 | DirecTV Holdings LLC 6.38%, 06/15/15 (e) (m) | 673 | |||||||||
495 | Echostar DBS Corp. 6.38%, 10/01/11 (m) | 492 | |||||||||
1,385 | News America, Inc. 6.20%, 12/15/34 (m) | 1,435 | |||||||||
1,285 | TCI Communications, Inc. 8.75%, 08/01/15 | 1,635 | |||||||||
930 | Time Warner Entertainment Co. LP 8.38%, 03/15/23 | 1,170 | |||||||||
1,130 | Time Warner, Inc. 7.63%, 04/15/31 (m) | 1,377 | |||||||||
9,734 | |||||||||||
Metals & Mining - 0.5% | |||||||||||
Falconbridge Ltd. (Canada) | |||||||||||
1,465 | 6.00%, 10/15/15 (m) | 1,537 | |||||||||
455 | 6.20%, 06/15/35 (m) | 464 | |||||||||
840 | Newmont Mining Corp. 5.88%, 04/01/35 (m) | 863 | |||||||||
2,864 | |||||||||||
Multi-Utilities - 0.2% | |||||||||||
1,220 | Dominion Resources, Inc. 5.00%, 03/15/13 (m) | 1,230 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Multiline Retail - 0.3% | |||||||||||
$ | 2,020 | Wal-Mart Stores, Inc. 5.25%, 09/01/35 | $ | 2,038 | |||||||
Oil, Gas & Consumable Fuels - 0.8% | |||||||||||
395 | Chesapeake Energy Corp. 6.50%, 08/15/17 (e) (m) | 403 | |||||||||
950 | Gazstream SA (Denmark) 5.63%, 07/22/13 (e) | 950 | |||||||||
Kinder Morgan Energy Partners LP | |||||||||||
490 | 7.30%, 08/15/33 (m) | 593 | |||||||||
945 | 7.40%, 03/15/31 (m) | 1,149 | |||||||||
1,410 | Nexen, Inc. (Canada) 5.88%, 03/10/35 (m) | 1,431 | |||||||||
380 | Ras Laffan LNG III 5.84%, 09/30/27 (e) | 390 | |||||||||
4,916 | |||||||||||
Paper & Forest Products - 0.2% | |||||||||||
840 | Georgia Pacific Corp. 7.70%, 06/15/15 (m) | 951 | |||||||||
Real Estate - 0.6% | |||||||||||
2,360 | iStar Financial, Inc., REIT 5.15%, 03/01/12 (m) | 2,341 | |||||||||
1,500 | Simon Property Group LP 5.10%, 06/15/15 (e) | 1,498 | |||||||||
3,839 | |||||||||||
Road & Rail - 0.5% | |||||||||||
3,093 | CSX Corp. FRN, 4.01%, 08/03/06 (m) | 3,098 | |||||||||
Software - 0.4% | |||||||||||
2,305 | Computer Associates International, Inc. 5.63%, 12/01/14 (e) (m) | 2,359 | |||||||||
Thrifts & Mortgage Finance - 0.2% | |||||||||||
1,250 | Sovereign Bancorp, Inc. FRN, 4.15%, 03/01/09 (e) | 1,250 | |||||||||
Wireless Telecommunication Services - 0.8% | |||||||||||
1,325 | America Movil S.A. de C.V. (Mexico) 6.38%, 03/01/35 (m) | 1,312 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 27
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Wireless Telecommunication Services - Continued | |||||||||||
$ | 1,555 | Motorola, Inc. 7.50%, 05/15/25 (m) | $ | 1,909 | |||||||
220 | PanAmSat Corp. 9.00%, 08/15/14 (m) | 232 | |||||||||
1,060 | Rogers Wireless Communications, Inc. (Canada) 6.38%, 03/01/14 (a) | 1,078 | |||||||||
4,531 | |||||||||||
Total Corporate Bonds | 188,607 | ||||||||||
(Cost $187,332) | |||||||||||
Foreign Government Securities - 5.7% | |||||||||||
EUR | 7,023 | Bundesrepublik Deutschland (Germany) 4.75%, 07/04/34 | 10,450 | ||||||||
$ | 730 | Federal Republic of Brazil (Brazil) 11.00%, 08/17/40 (m) | 870 | ||||||||
1,125 | Government of Argentina (Argentina) FRN, 4.00%, 08/03/12 | 872 | |||||||||
2,465 | Government of Colombia (Colombia) 9.75%, 04/09/11 | 2,785 | |||||||||
Government of Peru (Peru) | |||||||||||
2,425 | 7.35%, 07/21/25 | 2,516 | |||||||||
2,020 | 8.75%, 11/21/33 | 2,384 | |||||||||
Government of Ukraine (Ukraine) | |||||||||||
742 | 6.88%, 03/04/11 (e) | 787 | |||||||||
2,663 | 7.65%, 06/11/13 | 2,929 | |||||||||
2,820 | Government of Venezuela (Venezuela) 9.25%, 09/15/27 | 3,060 | |||||||||
2,000 | National Agricultural Cooperative Federation (South Korea) VAR, 5.75%, 06/18/14 | 2,036 | |||||||||
1,090 | Russian Federation (Russia) 12.75%, 06/24/28 | 2,034 | |||||||||
United Mexican States (Mexico) | |||||||||||
1,785 | 8.30%, 08/15/31 | 2,262 | |||||||||
850 | 11.50%, 05/15/26 | 1,377 | |||||||||
Total Foreign Government Securities | 34,362 | ||||||||||
(Cost $32,347) | |||||||||||
Private Placements - 3.5% | |||||||||||
4,123 | 180 East End Avenue, Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City 6.88%, 12/28/28 (e) (i) (f) (m) | 4,789 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Private Placements - Continued | |||||||||||
$ | 731 | 200 East 27th St., Secured by Second Mortgage and Agreement on Co-op Apartment Building in New York City 6.72%, 01/01/13 (e) (i) (f) | $ | 787 | |||||||
10,559 | 200 East 57th St., Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City 6.50%, 01/01/14 (e) (i) (f) | 11,665 | |||||||||
3,027 | 81 Irving Place, Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City 6.95%, 01/01/29 (e) (i) (f) | 3,522 | |||||||||
Total Private Placements | 20,763 | ||||||||||
(Cost $18,440) | |||||||||||
U.S. Government Agency Securities - 57.2% | |||||||||||
8,090 | Federal Home Loan Mortgage Corp. 6.25%, 07/15/32 | 10,076 | |||||||||
47,500 | Federal Home Loan Mortgage Corp. Gold Pool 5.50%, 09/15/35 | 47,975 | |||||||||
Federal National Mortgage Association | |||||||||||
733 | 6.00%, 01/01/35 | 750 | |||||||||
- | (h) | 8.00%, 08/01/22 | - | (h) | |||||||
Federal National Mortgage Association Pool | |||||||||||
38,950 | TBA, 5.00%, 09/25/20 - 10/25/34 | 39,055 | |||||||||
98,905 | TBA, 5.10%, 09/25/35 | 98,225 | |||||||||
118,870 | TBA, 5.50%, 08/25/35 - 09/25/35 | 120,074 | |||||||||
24,750 | TBA, 6.00%, 09/25/35 | 25,322 | |||||||||
Total U.S. Government Agency Securities (Cost $337,674) | 341,477 | ||||||||||
U.S. Treasury Obligations - 3.3% | |||||||||||
U.S. Treasury Bonds | |||||||||||
1,525 | 5.38%, 02/15/31 (k) | 1,788 | |||||||||
350 | 7.25%, 05/15/16 (k) | 444 | |||||||||
U.S. Treasury Notes | |||||||||||
87 | 1.66%, 01/15/15 | 86 | |||||||||
1,000 | 3.38%, 02/28/07 | 993 | |||||||||
300 | 3.38%, 10/15/09 (k) | 295 | |||||||||
1,305 | 3.50%, 02/15/10 (k) | 1,286 | |||||||||
1,795 | 3.63%, 06/15/10 | 1,776 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 28
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
U.S. Treasury Obligations - Continued | |||||||||||
$ | 335 | 3.88%, 07/31/07 (k) | $ | 335 | |||||||
1,075 | 3.88%, 05/15/09 (k) | 1,076 | |||||||||
2,195 | 4.00%, 02/15/15 | 2,189 | |||||||||
6,290 | 4.13%, 05/15/15 | 6,331 | |||||||||
2,980 | 4.25%, 08/15/15 | 3,036 | |||||||||
Total U.S. Treasury Obligations | 19,635 | ||||||||||
(Cost $19,265) | |||||||||||
NUMBER OF CONTRACTS | |||||||||||
Options Purchased - 1.9% | |||||||||||
Call Options Purchased - 1.3% | |||||||||||
- | (h) | Call Option on Federal Fund 30 Day, expiring 09/16/2005 @95.75. | 69 | ||||||||
- | (h) | Call Option on Federal Fund 30 Day, expiring 09/23/2005 @117.00. | 656 | ||||||||
- | (h) | Call Option on Federal Fund 30 Day, expiring 09/23/2005 @119.00. | 219 | ||||||||
20,900 | Call Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/2005 @100.28. | 142 | |||||||||
125,960 | Call Option on Interest Rate Swap, expiring 06/23/06. If exercised the Fund receives 4.08% and pays floating 3 month LIBOR expiring 06/27/07, European Style. | 243 | |||||||||
5,175 | Call Option on Interest Rate Swap, expiring 07/14/08. If exercised the Fund receives 4.87% and pays floating 3 month LIBOR expiring 07/16/18, European Style. | 269 | |||||||||
3,900 | Call Option on Interest Rate Swap, expiring 07/21/08. If exercised the Fund receives 4.91% and pays floating 3 month LIBOR expiring 07/23/18, European Style. | 208 | |||||||||
6,850 | Call Option on Interest Rate Swap, expiring 07/30/07. If exercised the Fund receives 4.83% and pays floating 3 month LIBOR expiring 08/01/17, European Style. | 325 |
NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE | |||||||||
Call Options Purchased - Continued | |||||||||||
7,800 | Call Option on Interest Rate Swap, expiring 07/30/07. If exercised the Fund receives 4.82% and pays floating 3 month LIBOR expiring 08/01/17, European Style. | $ | 365 | ||||||||
6,950 | Call Option on Interest Rate Swap, expiring 08/01/07. If exercised the Fund receives 4.93% and pays floating 3 month LIBOR expiring 08/03/17, European Style. | 360 | |||||||||
7,900 | Call Option on Interest Rate Swap, expiring 08/02/07. If exercised the Fund receives 4.93% and pays floating 3 month LIBOR expiring 08/06/17, European Style. | 408 | |||||||||
19,750 | Call Option on Interest Rate Swap, expiring 08/03/07. If exercised the Fund receives 4.93% and pays floating 3 month LIBOR expiring 08/07/17, European Style. | 1,015 | |||||||||
6,900 | Call Option on Interest Rate Swap, expiring 08/06/07. If exercised the Fund receives 4.92% and pays floating 3 month LIBOR expiring 08/08/17, European Style. | 353 | |||||||||
39,300 | Call Option on Interest Rate Swap, expiring 08/06/07. If exercised the Fund receives 4.99% and pays floating 3 month LIBOR expiring 08/08/17, European Style. | 2,140 | |||||||||
- | (h) | Call Option on U.S. 10 Year Treasury Note Future, expiring 11/22/2005 @110.00. | 694 | ||||||||
- | (h) | Call Option on U.S. 10 Year Treasury Note Future, expiring 09/23/2005 @113.00. | 12 | ||||||||
- | (h) | Call Option on U.S. 10 Year Treasury Note Future, expiring 10/21/2005 @113.00. | 32 | ||||||||
- | (h) | Call Option on U.S. 5 Year Treasury Note Future, expiring 11/22/2005 @108.50. | 172 | ||||||||
Total Call Options Purchased | 7,682 | ||||||||||
(Cost $5,543) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 29
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Put Options Purchased - 0.6% | |||||||||||
- | (h) | Put Option on Federal Fund 30 day, expiring 09/23/2005 @117.00. | $ | 29 | |||||||
16,300 | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 10/06/2005 @97.91, European Style. | 14 | |||||||||
40,000 | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 09/07/2005 @98.95, European Style. | 36 | |||||||||
44,500 | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 09/07/2005 @99.00, European Style. | 47 | |||||||||
16,300 | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 10/06/2005 @97.58, European Style. | 9 | |||||||||
11,600 | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 10/06/2005 @98.28, European Style. | 16 | |||||||||
38,600 | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 11/07/2005 @98.45, European Style. | 151 | |||||||||
5,175 | Put Option on Interest Rate Swap, expiring on 07/14/08. If exercised the Fund pays 4.87% and receives 3 month LIBOR, expiring 07/16/18, European Style. | 189 | |||||||||
3,900 | Put Option on Interest Rate Swap, expiring on 07/21/08. If exercised the Fund pays 4.91% and receives 3 month LIBOR, expiring 07/23/18, European Style. | 139 | |||||||||
6,850 | Put Option on Interest Rate Swap, expiring on 07/30/07. If exercised the Fund pays 4.83% and receives 3 month LIBOR, expiring 08/01/17, European Style. | 203 | |||||||||
7,800 | Put Option on Interest Rate Swap, expiring on 07/30/07. If exercised the Fund pays 4.82% and receives 3 month LIBOR, expiring 08/01/17, European Style. | 233 |
NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE | |||||||||
Put Options Purchased - Continued | |||||||||||
6,950 | Put Option on Interest Rate Swap, expiring on 08/01/07. If exercised the Fund pays 4.93% and receives 3 month LIBOR, expiring 08/03/17, European Style. | $ | 186 | ||||||||
7,900 | Put Option on Interest Rate Swap, expiring on 08/02/07. If exercised the Fund pays 4.93% and receives 3 month LIBOR, expiring 08/06/17, European Style. | 211 | |||||||||
19,750 | Put Option on Interest Rate Swap, expiring on 08/03/07. If exercised the Fund pays 4.93% and receives 3 month LIBOR, expiring 08/07/17, European Style. | 531 | |||||||||
6,900 | Put Option on Interest Rate Swap, expiring on 08/06/07. If exercised the Fund pays 4.92% and receives 3 month LIBOR, expiring 08/08/17, European Style. | 189 | |||||||||
39,300 | Put Option on Interest Rate Swap, expiring on 08/06/07. If exercised the Fund pays 4.99% and receives 3 month LIBOR, expiring 08/08/17, European Style. | 988 | |||||||||
31,400 | Put Option on Interest Rate Swap, expiring on 09/07/05. If exercised the Fund pays 4.21% and receives 3 month LIBOR, expiring 09/09/10, European Style. | 141 | |||||||||
- | (h) | Put Option on U.S. 10 Year Treasury Note, expiring 10/21/2005 @108.00. | 3 | ||||||||
- | (h) | Put Option on U.S. 10 Year Treasury Note Future, expiring 09/23/2005 @109.00. | 4 | ||||||||
- | (h) | Put Option on U.S. 10 Year Treasury Note Future, expiring 09/23/2005 @110.00. | 3 | ||||||||
- | (h) | Put Option on U.S. 10 Year Treasury Note Future, expiring 11/22/2005 @108.00. | 8 | ||||||||
- | (h) | Put Option on U.S. 5 Year Treasury Note Future, expiring 11/22/2005 @108.50. | 206 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 30
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Put Options Purchased - Continued | |||||||||||
- | (h) | Put Option on U.S. 5 Year Treasury Note Future, expiring 10/31/2005 @96.19. | $ | 1 | |||||||
Total Put Options Purchased | 3,537 | ||||||||||
(Cost $5,567) | |||||||||||
Total Options Purchased (Cost $11,110) | 11,219 | ||||||||||
Total Long-Term Investments | 884,307 | ||||||||||
(Cost $879,115) | |||||||||||
SHARES | |||||||||||
Short-Term Investments - 7.0% | |||||||||||
Investment Companies - 7.0% | |||||||||||
42,109 | JPMorgan Prime Money Market Fund (b) (m) | 42,109 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
U.S. Treasury Securities - 0.0% (g) | |||||||||||
$ | 137 | U.S. Treasury Bills (n) 3.19%, 10/13/05 | $ | 136 | |||||||
Total Short-Term Investments | 42,245 | ||||||||||
(Cost $42,246) | |||||||||||
Total Investments - 155.1% (Cost $921,361) | $926,552 | ||||||||||
Liabilities in Excess of Other Assets - (55.1)% | (329,253 | ) | |||||||||
NET ASSETS - 100.0% | $ | 597,299 |
Percentages indicated are based on net assets.
Futures Contracts
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 8/31/05 (USD) | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | |||||||||||||||
Long Futures Outstanding | |||||||||||||||||||
51 | 30 Day Federal Fund | September, 2005 | $ | 20,486 | $ | 5 | |||||||||||||
283 | 2 Year U.S. Treasury Notes | December, 2005 | 58,608 | 206 | |||||||||||||||
390 | 5 Year U.S. Treasury Notes | December, 2005 | 42,266 | 314 | |||||||||||||||
670 | 10 Year U.S. Treasury Notes | December, 2005 | 75,092 | 628 | |||||||||||||||
96 | U.S. Treasury Bonds | December, 2005 | 11,331 | 122 | |||||||||||||||
145 | Eurodollars | December, 2006 | 34,728 | 79 | |||||||||||||||
Short Futures Outstanding | |||||||||||||||||||
(186 | ) | EURO-BUND | September, 2005 | (23,055 | ) | (280 | ) | ||||||||||||
(1 | ) | 2 Year U.S. Treasury Notes | December, 2005 | (207 | ) | (1 | ) | ||||||||||||
(205 | ) | 5 Year U.S. Treasury Notes | December, 2005 | (22,217 | ) | (172 | ) | ||||||||||||
(401 | ) | 10 Year U.S. Treasury Notes | December, 2005 | (44,943 | ) | (503 | ) | ||||||||||||
(120 | ) | U.S. Treasury Bonds | December, 2005 | (14,164 | ) | (168 | ) | ||||||||||||
(145 | ) | Eurodollars | December, 2007 | (34,708 | ) | (71 | ) | ||||||||||||
$ | 159 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 31
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
Forward Foreign Currency Exchange Contracts
CONTRACTS TO SELL | SETTLEMENT DATE | SETTLEMENT VALUE (USD) | VALUE AT 8/31/05 (USD) | NET UNREALIZED DEPRECIATION (USD) | |||||||||||||||
8,314 | EUR9/15/2005 | $ | 10,061 | $ | 10,263 | $ | (202 | ) |
Short Positions
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
$ | (71,500 | ) | Federal National Mortgage Association, 5.10%, 09/25/35 TBA | $ | (71,008 | ) | |||||
(27,100 | ) | Federal National Mortgage Association, 5.50%, 08/25/35 TBA | (27,385 | ) | |||||||
(115,125 | ) | Federal National Mortgage Association, 5.50%, 09/25/35 TBA | (116,277 | ) |
Total Short Positions | $ | (214,670 | ) | ||||
(Proceeds Received $213,107) |
Options Written
UNITS | CALL OPTIONS WRITTEN | VALUE | |||||||||
- | (h) | Call Option on Euro, expiring 09/16/2005 @96. | $ | (74 | ) | ||||||
(41,800 | ) | Call Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/2005 @100.71, European Style. | (157 | ) | |||||||
(15,400 | ) | Call Option on Interest Rate Swap, expiring 11/08/05. If exercised the Fund receives 4.80% and pays floating 3 month LIBOR expiring 11/10/15, European Style. | (451 | ) | |||||||
(26,175 | ) | Call Option on Interest Rate Swap, expiring 01/31/06. If exercised the Fund receives 4.80% and pays floating 3 month LIBOR expiring 02/02/16, European Style. | (862 | ) | |||||||
(24,900 | ) | Call Option on Interest Rate Swap, expiring 06/23/06. If exercised the Fund receives 4.25% and pays floating 3 month LIBOR expiring 06/2711, European Style. | (305 | ) | |||||||
(8,600 | ) | Call Option on Interest Rate Swap, expiring 08/11/15. If exercised the Fund receives 5.29% and pays floating 3 month LIBOR expiring 08/13/25, European Style. | (396 | ) | |||||||
(8,650 | ) | Call Option on Interest Rate Swap, expiring 08/17/15. If exercised the Fund receives 5.12% and pays floating 3 month LIBOR expiring 08/19/25, European Style. | (437 | ) | |||||||
(30,850 | ) | Call Option on Interest Rate Swap, expiring 08/05/15. If exercised the Fund receives 5.33% and pays floating 3 month LIBOR expiring 08/07/25, European Style. | (1,730 | ) | |||||||
- | (h) | Call Option on U.S. 10 Year Treasury Note Future, expiring 09/30/2005 @113. | (13 | ) | |||||||
- | (h) | Call Option on U.S. 10 Year Treasury Note Future, expiring 10/21/2005 @111. | (108 | ) | |||||||
- | (h) | Call Option on U.S. 10 Year Treasury Note Future, expiring 11/22/2005 @113. | (204 | ) | |||||||
- | (h) | Call Option on U.S. 10 Year Treasury Note Future, expiring 11/22/2005 @111. | (122 | ) | |||||||
- | (h) | Call Option on U.S. Long Bond Future, expiring 09/23/2005 @118. | (795 | ) | |||||||
- | (h) | Call Option on U.S. Long Bond Future, expiring 11/22/2005 @118. | (178 | ) | |||||||
$ | (5,832 | ) | |||||||||
PUT OPTIONS WRITTEN | |||||||||||
- | (h) | Put Option on Fed Fund 30 Day Note, 09/07/2005 @96.38. | $ | (1 | ) | ||||||
(80,000 | ) | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring, 09/07/2005 @97.98, European Style. | (1 | ) | |||||||
(107,000 | ) | Put Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring, 09/07/2005 @100.50, European Style. | (18 | ) | |||||||
(58,000 | ) | Put Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 09/07/2005 @101.00, European Style. | (93 | ) | |||||||
(23,200 | ) | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 10/06/2005 @97.51, European Style. | (13 | ) | |||||||
(32,600 | ) | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 10/06/2005 @96.83, European Style. | (8 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 32
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
UNITS | PUT OPTIONS WRITTEN | VALUE | |||||||||
(32,600 | ) | Put Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/2005 @96.56, European Style. | $ | (5 | ) | ||||||
(77,200 | ) | Put Option on FNMA, 30 Year Fixed, 5.00%, TBA, expiring 11/07/2005 @97.50, European Style. | (139 | ) | |||||||
(15,400 | ) | Put Option on Interest Rate Swap, expiring 11/08/05. If exercised the Fund pays 4.80% and receives floating 3 month LIBOR, expiring 11/10/15, European Style. | (47 | ) | |||||||
(26,175 | ) | Put Option on Interest Rate Swap, expiring 01/31/06. If exercised the Fund pays 4.80% and receives floating 3 month LIBOR, expiring 02/02/16, European Style. | (238 | ) | |||||||
(8,600 | ) | Put Option on Interest Rate Swap, expiring 08/11/15. If exercised the Fund pays 5.29% and receives floating 3 month LIBOR, expiring 08/13/25, European Style. | (376 | ) | |||||||
(8,650 | ) | Put Option on Interest Rate Swap, expiring 08/17/15. If exercised the Fund pays 5.12% and receives floating 3 month LIBOR, expiring 08/19/25, European Style. | (377 | ) | |||||||
(30,850 | ) | Put Option on Interest Rate Swap, expiring 08/05/15. If exercised the Fund pays 5.33% and receives floating 3 month LIBOR, expiring 08/07/25, European Style. | (1,190 | ) | |||||||
- | (h) | Put Option on U.S. 10 Year Treasury Note Future, expiring 10/31/2005 @108. | (2 | ) | |||||||
- | (h) | Put Option on U.S. 10 Year Treasury Note Future, expiring 11/22/2005 @110. | (15 | ) | |||||||
- | (h) | Put Option on U.S. 10 Year Treasury Note Future, expiring 09/23/2005 @110. | (27 | ) | |||||||
- | (h) | Put Option on U.S. Long Bond Future, expiring 09/23/2005 @116. | (30 | ) | |||||||
- | (h) | Put Option on U.S. Long Bond Future, expiring 09/23/2005 @118. | (173 | ) | |||||||
$ | (2,753 | ) | |||||||||
Total Options Written (Premiums received $8,532) | $ | (8,585 | ) |
Swap Contracts
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 30 year FNMA, 6.5%, TBA 09/05, price less 103.19, the Fund receives positive, pays negative. | 09/07/05 | $ | 70,000 | $ | 55 | ||||||||||
Swap - price lock with Citibank, N.A. on 30 year FNMA, 6.5%, TBA 09/05, price less 103.00, the Fund receives positive, pays negative. | 09/07/05 | 15,000 | 12 | ||||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 Year FNMA, 5.00%, 09/05, price less 99.47, the Fund receives positive, pays negative. | 09/07/05 | 46,500 | (94 | ) | |||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 Year FHLMC Gold, 5.50%, 09/05, price less 100.22, the Fund receives positive, pays negative. | 09/07/05 | 13,650 | 109 | ||||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 Year FNMA, 5.0%, 09/05, price less 98.77, the Fund receives positive, pays negative. | 09/07/05 | 5,500 | 27 | ||||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 Year FNMA, 6.0%, 09/05, price less 102.11, the Fund receives positive, pays negative. | 09/07/05 | 5,500 | 6 | ||||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 6.5%, 09/05, price less 103.20, the Fund receives positive, pays negative. | 09/07/05 | 9,000 | 8 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 33
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 5.0%, 09/05, price less 98.88, the Fund receives positive, pays negative. | 09/07/05 | $ | 14,000 | $ | 53 | ||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 6.0%, 09/05, price less 102.16, the Fund receives positive, pays negative. | 09/07/05 | 14,000 | 14 | ||||||||||||
Swap - price lock with Lehman Brothers Special Financing on 30 yr FNMA, 5.00%, 09/05, price less 98, the Fund receives negative, pays positive. | 09/07/05 | 32,585 | (418 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on U.S. Treasury Note, 4.12%, 07/12/10, price less 98.19, the Fund receives positive, pays negative. | 09/08/05 | 5,850 | 98 | ||||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 15 Year FNMA, 5.50%, 09/05, price less 101.45, the Fund receives positive, pays negative. | 09/12/05 | 14,000 | 92 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on FHLMC, 4.50%, 01/15/14, price less 100.25, the Fund receives positive, pays negative. | 09/14/05 | 10,495 | 133 | ||||||||||||
Swap - price lock with Lehman Brothers Special Financing on FHLMC, 6.25%, 07/15/32, price less 120.1, the Fund receives positive, pays negative. | 09/14/05 | 6,815 | 322 | ||||||||||||
Swap - price lock with Citibank N.A. on U.S. Treasury Note, 4.00%, 03/15/10, price less 98.79, the Fund receives positive, pays negative. | 09/20/05 | 17,300 | 305 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 year FNMA, 5.5%, 10/05, price less 101.67, the Fund receives positive, pays negative. | 10/06/05 | 29,000 | 100 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 year FNMA, 6.5%, TBA 10/05, price less 98.09, the Fund receives negative, pays positive. | 10/06/05 | 17,000 | (165 | ) | |||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 year FNMA, 5.50%, TBA 10/05, price less 99.94, the Fund receives positive, pays negative. | 10/06/05 | 50,100 | 361 | ||||||||||||
Swap - price lock with Morgan Stanley Capital Services on 30 year FNMA, 5.5%, TBA 10/05, price less 100.21, the Fund receives negative, pays positive. | 10/06/05 | 82,000 | (407 | ) | |||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 year FNMA, 5.5%, TBA 10/05, price less 99.81, the Fund receives positive, pays negative. | 10/06/05 | 62,000 | 557 | ||||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 year FNMA, 5.0%, TBA 10/05, price less 99.41, the Fund receives positive, pays negative. | 10/06/05 | 50,000 | 376 | ||||||||||||
Swap - price lock with Citibank on 30 year FNMA, 5.5%, TBA 10/05, price less 99.29, the Fund receives negative, pays positive. | 10/06/05 | 6,000 | (22 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 34
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 30 year FNMA, 5.5%, TBA 10/05, price less 100.41, the Fund receives negative, pays positive. | 10/08/05 | $ | 28,000 | $ | (109 | ) | |||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 year FNMA, 5.0%, 10/05, price less 99.58, the Fund receives positive, pays negative. | 10/11/05 | 90,000 | 872 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 year FNMA, 5.5%, 10/05, price less 101.34, the Fund receives positive, pays negative. | 10/11/05 | 20,000 | 134 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 year FNMA, 5.5%, 10/05, price less 101.47, the Fund receives negative, pays positive. | 10/11/05 | 45,000 | (258 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 year FNMA, 4.5%, 10/05, price less 97.44, the Fund receives negative, pays positive. | 10/11/05 | 12,000 | (195 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 year FNMA, 4.5%, 10/05, price less 97.62, the Fund receives negative, pays positive. | 10/11/05 | 45,000 | (649 | ) | |||||||||||
Swap - price lock with Union Bank of Switzerland AG, London on 30 Year GNMA, 5.50%, 10/05, price less 101.22, the Fund receives positive, pays negative. | 10/13/05 | 16,600 | 25 | ||||||||||||
Swap - price lock with Citibank, N.A. on U.S. Treasury Note, 4.25%, 08/15, price less 99.90, the Fund receives positive, pays negative. | 10/19/05 | 9,200 | 169 | ||||||||||||
Swap - price lock with Citibank, N.A. on 30year FNMA, 4.5%, TBA 11/05, price less 95.73, the Fund receives negative, pays positive. | 11/07/05 | 21,000 | (220 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on 30 year FNMA, 5.5%, TBA 09/05, price less 100.11, the Fund receives positive, pays negative. | 11/07/05 | 36,000 | 206 | ||||||||||||
Swap - Forward Rate Agreement with Merrill Lynch Capital Services, the Fund receives 4.25% semi-annually and pays 3 month LIBOR. | 12/21/05 | 196,000 | 17 | ||||||||||||
Swap - Forward Rate Agreement with Merrill Lynch Capital Services, the Fund receives 4.31% semi-annually and pays 3 month LIBOR. | 03/13/06 | 157,000 | 82 | ||||||||||||
Swap - Forward Rate Agreement with Merrill Lynch Capital Services, the Fund receives 3.42% quarterly and pays 3 month LIBOR. | 03/15/06 | 347,000 | (521 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 52.5 (105 per annum) BPS times notional amount of Brazilian Government International Bond 12.25%, 03/06/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/06 | 9,750 | (72 | ) | |||||||||||
Swap - Interest Rate with Merril Lynch Capital Services, the Fund pays 4.57% semi-annually and receives 3 month LIBOR. | 06/21/06 | 250,000 | (48 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 35
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - Forward Rate Agreement with Merrill Lynch Capital Services, the Fund receives 4.31% semi-annually and pays 3 month LIBOR. | 06/21/06 | $ | 157,000 | $ | 115 | ||||||||||
Swap - Forward Rate Agreement with Merrill Lynch Capital Services, the Fund pays 3.96% quarterly and receives 3 month LIBOR. | 03/21/07 | 347,000 | 197 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 117.5 (235 per annum) BPS times notional amount of Brazilian Government International Bond 12.25%, 03/06/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/07 | 9,750 | 251 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund pays semi-annual payment of 61.5 (123 per annum) BPS times notional amount of Columbia Government International Bond 10.38%, 01/28/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/07 | 30,400 | (224 | ) | |||||||||||
Swap - Interest Rate with Deutsche Bank AG, New York, the Fund receives 4.28% semi-annually and pays 3 month LIBOR. | 07/26/07 | 25,840 | 65 | ||||||||||||
Swap - Interest Rate with Credit Suisse First Boston, Inc., the Fund receives 4.36% semi-annually and pays 3 month LIBOR. | 08/01/07 | 25,650 | 97 | ||||||||||||
Swap - Interest Rate with Credit Suisse First Boston, Inc., the Fund receives 4.39% semi-annually and pays 3 month LIBOR. | 08/05/07 | 25,370 | 54 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.49% semi-annually and receives 3 month LIBOR. | 08/12/07 | 25,940 | 100 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.45% semi-annually and pays 3 month LIBOR. | 08/15/07 | 25,770 | 79 | ||||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund receives 4.41% semi-annually and pays 3 month LIBOR. | 08/16/07 | 25,770 | 113 | ||||||||||||
Swap - Interest Rate with Barclays, the Fund receives 4.35% semi-annually and pays 3 month LIBOR. | 08/26/07 | 26,140 | 82 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 61.5 (123 per annum) BPS times notional amount of Russian Federation, 5.0% 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 02/20/10 | 30,000 | (606 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 63 (126 per annum) BPS times notional amount of Aries Vermoegensverwaltungs, 9.0%, 10/25/14. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 02/20/10 | 30,000 | 694 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund pays semi-annual payment of 57.5 (115 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 03/20/10 | 38,000 | (374 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 36
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 95 (190 per annum) BPS times notional amount of Gazpru 8.62%, 04/28/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 03/20/10 | $ | 38,000 | $ | 463 | ||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 54 (108 per annum) BPS times notional amount of Mexico Government International Bond 7.5%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 10,000 | (185 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 59.5 (119 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 10,000 | 231 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 70 (140 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 9,000 | 281 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund pays semi-annual payment of 56 (112 per annum) BPS times notional amount of Mexico Government International Bond 7.5%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 9,000 | (188 | ) | |||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 50 (100 per annum) BPS times notional amount of Mexico Government International Bond, 8.30%, 08/15/31. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 05/20/10 | 15,000 | 222 | ||||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 58.25 (116.5 per annum) BPS times notional amount of Pemex, 9.50% 09/15/27. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 05/20/10 | 15,000 | (204 | ) | |||||||||||
Credit default contract with Goldman Sachs Credit Management, Fund pays quarterly payment of 22.5 (90 per annum) BPS times notional amount of Dow Jones CDX NA IG HVOL. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 4,100 | (11 | ) | |||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 163 (326 per annum) BPS times notional amount of Brazilian Government International Bond 12.25%, 03/06/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 19,000 | (3 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 37
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 50 (100 per annum) BPS times notional amount of Mexico Government International Bond, 8.30%, 08/15/31. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | $ | 11,000 | $ | 178 | ||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 62.5 (125 per annum) BPS times notional amount of Pemex. 9.50% 09/15/27. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 11,000 | (181 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 52.5 (105 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 8,000 | 141 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 53 (106 per annum) BPS times notional amount of Mexico Government International Bond 7.5%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 8,000 | (122 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 52 (104 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 10,000 | 144 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 5.25 (105 per annum) BPS times notional amount of Mexico Government International Bond 7.5%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 10,000 | (148 | ) | |||||||||||
Credit default contract with Bank of America, Fund pays Quarterly of 19.75 (79 per annum) BPS times notional amount of The Kroger Co., 5.0%, 02/01/13. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 8,050 | (96 | ) | |||||||||||
Credit default contract with Goldman Sachs Credit Management, Fund receives semi-annual payment of 34.75 (139 per annum) BPS times notional amount of Delhaize America, 8.32%, 04/15/11. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 5,600 | 73 | ||||||||||||
Swap - Interest Rate with Deutsche Bank AG, New York, the Fund pays 4.46% semi-annually and receives 3 month LIBOR. | 07/12/10 | 5,850 | (52 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund pays semi-annual payment of 48 (96 per annum) BPS times notional amount of Mexico Government International Bond 7.5%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 07/20/10 | 6,000 | (60 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 38
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Deutsche Bank AG, London, Fund receives semi-annual payment of 50.5 (101 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | $ | 6,000 | $ | 75 | ||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 95 (190 per annum) BPS times notional amount of Government of Ukraine 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | 11,000 | 98 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund pays semi-annual payment of 45 (90 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 07/20/10 | 11,000 | (59 | ) | |||||||||||
Swap - Interest Rate with Deutsche Bank AG, New York, the Fund pays 4.47% semi-annually and receives 3 month LIBOR. | 07/26/10 | 11,050 | (97 | ) | |||||||||||
Swap - Interest Rate with Credit Suisse First Boston, Inc., the Fund pays 4.53% semi-annually and receives 3 month LIBOR. | 08/01/10 | 11,000 | (124 | ) | |||||||||||
Swap - Interest Rate with Credit Suisse First Boston Inc., the Fund pays 4.53% semi-annually and receives 3 month LIBOR. | 08/01/10 | 8,830 | (103 | ) | |||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund pays 4.60% semi-annually and receives 3 month LIBOR. | 08/04/10 | 22,075 | (324 | ) | |||||||||||
Swap - Interest Rate with Credit Suisse First Boston, Inc., the Fund pays 4.57% semi-annually and receives 3 month LIBOR. | 08/05/10 | 10,990 | (72 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.19% semi-annually and receives 3 month LIBOR. | 08/08/10 | 14,385 | 61 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.67% semi-annually and receives 3 month LIBOR. | 08/12/10 | 11,140 | (192 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.61% semi-annually and receives 3 month LIBOR. | 08/16/10 | 11,050 | (159 | ) | |||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund pays 4.54% semi-annually and receives 3 month LIBOR. | 08/16/10 | 11,050 | (129 | ) | |||||||||||
Swap - Interest Rate with Merrill Lynch Capital Services, the Fund receives 4.58% semi-annually and pays 3 month LIBOR. | 08/16/10 | 8,885 | (114 | ) | |||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 85 (170 per annum) BPS times notional amount of Government of Ukraine 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 8,500 | (20 | ) | |||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund pays semi-annual payment of 37.5 (75 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 08/20/10 | 8,500 | 19 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 39
JPMorgan Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund pays semi-annual payment of 45 (90 per annum) BPS times notional amount of Russian Federation, 5.0%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 08/20/10 | $ | 7,250 | $ | (48 | ) | |||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 92 (184 per annum) BPS times notional amount of Government of Ukraine 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 7,250 | 34 | ||||||||||||
Swap - Interest Rate with Barclays, the Fund pays 4.46% semi-annually and receives 3 month LIBOR. | 08/26/10 | 11,180 | (87 | ) | |||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund pays 4.31% quarterly and receives 3 month LIBOR. | 09/02/10 | 22,380 | - | ||||||||||||
Swap - rate lock with Lehman Brothers Special Financing on 5 Year Forward Contract, rate less 4.50%, the Fund pays positive, receives negative. | 09/09/10 | 15,700 | 147 | ||||||||||||
Swap - rate lock with Lehman Brothers Special Financing on 5 Year Forward Contract, rate less 4.50%, the Fund pays positive, receives negative. | 09/09/10 | 15,700 | 147 | ||||||||||||
Credit default contract with Bank of America, Fund pays quarterly payment of 8 (32 per annum) BPS times notional amount of Cambell Soup Co. 4.88%, 10/01/13. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 09/20/10 | 3,750 | (2 | ) | |||||||||||
Credit default contract with Bank of America, Fund pays quarterly payment of 8 (32 per annum) BPS times notional amount of Walt Disney Co., 6.38%, 03/01/12. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 09/20/10 | 3,150 | - | ||||||||||||
Credit default contract with Goldman Sachs Credit Management, Fund pays quarterly payment of 10.12 (40.5 per annum) BPS times notional amount of Capital One Financial 7.13%, 08/01/08. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 09/20/10 | 3,800 | (4 | ) | |||||||||||
Credit default contract with Lehman Brothers Special Financing, Fund pays quarterly payment of 11.75 (47 per annum) BPS times notional amount of Gannett Co., 6.37%, 04/01/12. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 09/20/10 | 6,400 | (11 | ) | |||||||||||
Credit default contract with Merrill Lynch Capital Services, Fund receives Quarterly of 15.75 (63 per annum) BPS times notional amount of Enterprise Products, 6.38%, 02/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 09/20/10 | 3,150 | 11 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 40
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Merrill Lynch Capital Services, Fund pays Quarterly of 9.75 (39 per annum) BPS times notional amount of Anadarko Petroleum., 6.13%, 03/15/12. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 09/20/10 | $ | 3,150 | $ | (5 | ) | |||||||||
Swap - Interest Rate with Credit Suisse First Boston, Inc., the Fund pays 4.93% semi-annually and receives 3 month LIBOR. | 08/03/17 | 521 | (13 | ) | |||||||||||
Swap - Interest Rate with Goldman Sachs Credit Management, the Fund pays 4.93% semi-annually and receives 3 month LIBOR. | 08/07/17 | 1,975 | (48 | ) | |||||||||||
Swap - Interest Rate with Goldman Sachs Credit Management, the Fund pays 4.99% semi-annually and receives 3 month LIBOR. | 08/08/17 | 2,350 | (69 | ) | |||||||||||
Swap - Interest Rate with Goldman Sachs Credit Management, the Fund receives 5.33% semi-annually and pays 3 month LIBOR. | 08/07/25 | 6,787 | 119 | ||||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund receives 5.12% semi-annually and pays 3 month LIBOR. | 08/19/25 | 1,900 | 13 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 5.29% semi-annually and pays 3 month LIBOR. | 08/13/25 | 1,900 | 26 | ||||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund pays 5.14% semi-annually and receives 3 month LIBOR. | 07/15/32 | 7,365 | (517 | ) | |||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund receives 5.02% semi-annually and pays 3 month LIBOR. | 08/04/35 | 6,250 | 324 | ||||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund pays 4.72% quarterly and receives 3 month LIBOR. | 09/02/35 | 6,300 | - |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 41
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - 96.4% | |||||||||||
Corporate Bonds - 13.5% | |||||||||||
Brazil - 2.2% | |||||||||||
BRL | 1,730 | Citibank N.A. 15.00%, 07/02/10 (e) | $ | 744 | |||||||
Germany - 10.4% | |||||||||||
$ | 2,500 | Aries Vermoegensverwaltungs GmbH 9.60%, 10/25/2014 (e) | 3,278 | ||||||||
295 | Deutsche Bank AG for Gazstream S.A. 5.63%, 07/22/13 (e) | 295 | |||||||||
3,573 | |||||||||||
Luxembourg - 0.3% | |||||||||||
100 | Gaz Capital S.A. 8.62%, 04/28/34 (e) | 127 | |||||||||
Ukraine - 0.6% | |||||||||||
195 | Dresdner Kleinwort Wasserstein for CJSC The EXIM of Ukraine 7.75%, 09/23/09 | 203 | |||||||||
Total Corporate Bonds (Cost $4,415) | 4,647 | ||||||||||
Foreign Government Securities - 82.5% Argentina - 12.0% | |||||||||||
Republic of Argentina | |||||||||||
ARS | 4,638 | 5.82%, 12/31/33 (m) | 1,896 | ||||||||
$ | 2,875 | FRN, 4.00%, 08/03/12 (m) | 2,228 | ||||||||
4,124 | |||||||||||
Brazil - 12.4% | |||||||||||
300 | Banco Nacional de Desenvolvimento Economico e Social Regulation S, VAR, 5.83%, 06/16/08 | 300 | |||||||||
Federal Republic of Brazil | |||||||||||
2,607 | 11.00%, 08/17/40 | 3,106 | |||||||||
144 | 12.25%, 03/06/30 | 190 | |||||||||
260 | 12.75%, 01/15/20 | 351 | |||||||||
354 | FRN, 4.31%, 04/15/12 | 341 | |||||||||
4,288 | |||||||||||
Colombia - 2.0% | |||||||||||
Government of Colombia | |||||||||||
241 | 9.75%, 04/09/11 | 272 | |||||||||
COP | 865,000 | 11.75%, 03/01/10 | 409 | ||||||||
681 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Dominican Republic - 1.3% | |||||||||||
Dominican Republic | |||||||||||
$ | 357 | 9.04%, 01/23/18 (e) | $ | 387 | |||||||
44 | 9.50%, 09/27/11 | 49 | |||||||||
436 | |||||||||||
El Salvador - 0.8% | |||||||||||
Republic of El Salvador | |||||||||||
120 | 7.63%, 09/21/34 (e) | 134 | |||||||||
135 | 8.25%, 04/10/32 (e) (m) | 147 | |||||||||
281 | |||||||||||
Indonesia - 0.7% | |||||||||||
230 | Republic of Indonesia 7.25%, 04/20/15 (e) | 227 | |||||||||
Mexico - 6.2% | |||||||||||
United Mexican States | |||||||||||
175 | 5.87%, 01/15/14 | 183 | |||||||||
MXN | 9,000 | 8.00%, 12/19/13 (m) | 790 | ||||||||
$ | 435 | 8.30%, 08/15/31 | 551 | ||||||||
MXN | 6,000 | 10.00%, 12/05/24 (m) | 599 | ||||||||
2,123 | |||||||||||
Panama - 2.2% | |||||||||||
Republic of Panama | |||||||||||
$ | 280 | 7.25%, 03/15/15 | 304 | ||||||||
220 | 8.13%, 04/28/34 | 248 | |||||||||
25 | 8.88%, 09/30/27 | 30 | |||||||||
155 | 9.37%, 04/01/29 | 196 | |||||||||
778 | |||||||||||
Peru - 5.3% | |||||||||||
Government of Peru | |||||||||||
521 | VAR, 5.00%, 03/07/17 | 505 | |||||||||
385 | 7.35%, 07/21/25 | 399 | |||||||||
129 | 8.38%, 05/03/16 | 149 | |||||||||
645 | 8.75%, 11/21/33 | 761 | |||||||||
1,814 | |||||||||||
Phillippines - 2.0% | |||||||||||
Government of Philippines | |||||||||||
230 | 9.88%, 01/15/19 | 251 | |||||||||
380 | 10.63%, 03/16/25 | 431 | |||||||||
682 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 42
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Russia - 11.4% | |||||||||||
Russian Federation | |||||||||||
$ | 1,075 | 8.25%, 03/31/10 | $ | 1,166 | |||||||
1,495 | Regulation S, 12.75%, 06/24/28 | 2,790 | |||||||||
3,956 | |||||||||||
Turkey - 4.4% | |||||||||||
Republic of Turkey | |||||||||||
595 | 7.38%, 02/05/25 | 580 | |||||||||
660 | 11.88%, 01/15/30 | 939 | |||||||||
1,519 | |||||||||||
Ukraine - 5.6% | |||||||||||
Government of Ukraine | |||||||||||
325 | 6.88%, 03/04/11 (e) | 345 | |||||||||
620 | 7.65%, 06/11/13 (e) (m) | 682 | |||||||||
155 | 6.88%, 03/04/11 | 164 | |||||||||
685 | 7.65%, 06/11/13 | 754 | |||||||||
1,945 | |||||||||||
Uruguay - 2.1% | |||||||||||
Republic of Uruguay | |||||||||||
240 | 9.25%, 05/17/17 | 263 | |||||||||
UYU 20,500 | 17.75%, 02/04/06 | 453 | |||||||||
716 | |||||||||||
Venezuela - 14.1% | |||||||||||
Government of Venezuela | |||||||||||
$ | 500 | 6.75%, 03/31/20 | 501 | ||||||||
85 | 7.00%, 02/01/18 | 78 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Venezuela - Continued | |||||||||||
$ | 185 | 7.65%, 04/21/25 | $ | 172 | |||||||
1,580 | 9.25%, 09/15/27 | 1,714 | |||||||||
1,616 | 10.75%, 09/19/13 | 1,925 | |||||||||
320 | 13.63%, 08/15/18 | 442 | |||||||||
1 | VAR, 0.00%, 04/15/20 | 30 | |||||||||
4,862 | |||||||||||
| Total Foreign Government Securities (Cost $26,256) | 28,432 | |||||||||
U. S. Treasury Obligations - 0.4% | |||||||||||
135 | U.S. Treasury Notes 6.87%, 05/15/06 (m) (k) (Cost $140) | 138 | |||||||||
Total Long-Term Investments (Cost $30,811) | 33,217 | ||||||||||
SHARES | |||||||||||
Short-Term Investment - 1.9% | |||||||||||
Investment Company - 1.9% | |||||||||||
654 | JPMorgan Prime Money Market Fund (b) (m) (Cost $654) | 654 | |||||||||
Total Investments - 98.3% | $ | 33,871 | |||||||||
(Cost $31,465) | |||||||||||
Other Assets in Excess of | |||||||||||
Liabilities - 1.7% | 577 | ||||||||||
NET ASSETS - 100.0% | $ | 34,448 |
Futures Contracts
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 8/31/05 (USD) | UNREALIZED (DEPRECIATION) (USD) | |||||||||||||||
Short Futures Outstanding | |||||||||||||||||||
(6 | ) | U.S. Treasury Bonds | 12/20/05 | $ | (708 | ) | $ | (3 | ) | ||||||||||
(41 | ) | 10 Year U.S. Treasury Notes | 12/31/05 | (4,595 | ) | (53 | ) | ||||||||||||
$ | (56 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 43
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
Forward Foreign Currency Exchange Contracts
CONTRACTS TO SELL | SETTLEMENT DATE | SETTLEMENT VALUE (USD) | VALUE AT 8/31/05 (USD) | NET UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | |||||||||||||||
621 | ARS9/2/05 | $ | 212 | $ | 213 | $ | (1 | ) | |||||||||||
1,972 | ARS9/6/05 | 678 | 677 | 1 | |||||||||||||||
$ | 890 | $ | 890 | $ | - |
Swap Contracts
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 52.5 (105 per annum) BPS times notional amount of Government of Brazil, 12.25%, 03/06/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/06 | $ | 300 | $ | (2 | ) | |||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 117.5 (235 per annum) BPS times notional amount of Government of Brazil, 12.25%, 03/06/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/07 | 300 | 8 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 61.5 (123 per annum) BPS times notional amount of Government of Columbia, 10.38%, 01/28/33. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/07 | 1,000 | (7 | ) | |||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 112 (224 per annum) BPS times notional amount of Gazprom, 8.63%, 04/28/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 03/20/10 | 1,000 | 44 | ||||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 66 (132 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 03/20/10 | 1,000 | (30 | ) | |||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 74.5 (149 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 1,300 | 49 | ||||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 63.5 (127 per annum) BPS times notional amount of Pemex, 9.50%, 09/15/27. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 1,300 | (26 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 44
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 75 (150 per annum) BPS times notional amount of Aries, 7.75%, 10/25/09. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | $ | 1,000 | $ | 39 | ||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 75 (150 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 1,000 | (38 | ) | |||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 52.5 (105 per annum) BPS times notional amount of United Mexican States, 8.30%, 08/15/31. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 1,000 | 16 | ||||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 62.5 (125 per annum) BPS times notional amount of Pemex, 9.50%, 09/15/27. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 1,000 | (17 | ) | |||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 163 (326 per annum) BPS times notional amount of Government of Brazil, 12.25%, 03/06/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 600 | - | (h) | |||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund pays semi-annual payment of 48 (96 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 07/20/10 | 2,000 | (20 | ) | |||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 50.5 (101 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | 2,000 | 21 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 95 (190 per annum) BPS times notional amount of Government of Ukraine, 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | 500 | 4 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 45 (90 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/01/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | 500 | (3 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 45
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives semi-annual payment of 38.5 (77 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | $ | 70 | $ | - | (h) | |||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 40.5 (81 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 08/20/10 | 70 | - | (h) | |||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 85 (170 per annum) BPS times notional amount of Government of Ukraine 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 750 | (2 | ) | |||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 37.5 (75 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/01/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 750 | 2 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 45 (90 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 300 | (2 | ) | |||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 92 (184 per annum) BPS times notional amount of Government of Ukraine, 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 300 | 1 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 46
JPMorgan Enhanced Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - 115.0% | |||||||||||
Preferred Stocks - 1.0% | |||||||||||
Diversified Financial Services - 1.0% | |||||||||||
- | (h) | Lehman CR-ANB Amro, Zero Coupon (a) | $ | 900 | |||||||
1 | Zurich RegCaps Funding Trust, VAR, 4.32% (e) | 686 | |||||||||
Total Preferred Stocks (Cost $1,576) | 1,586 | ||||||||||
PRINCIPAL AMOUNT | |||||||||||
Asset Backed Securities - 32.4% | |||||||||||
$ | 1,299 | American Express Credit Account Master Trust Series 2004-C, Class C, FRN, 4.07%, 02/15/12 (e) (m) | 1,303 | ||||||||
Ameriquest Mortgage Securities, Inc. | |||||||||||
550 | Series 2004-R11, Class M1, FRN, 4.30%, 11/25/34 (m) | 553 | |||||||||
500 | Series 2005-R2, Class M2, FRN, 4.12%, 04/25/35 (m) | 500 | |||||||||
400 | Asset Backed Funding Certificates Series 2005-HE1, Class M2, FRN, 4.08%, 02/25/35 (m) | 401 | |||||||||
350 | Bear Stearns Asset Backed Securities, Inc. Series 2005-HE3, Class M1, FRN, 4.07%, 03/25/35 (m) | 350 | |||||||||
1,600 | Capital One Master Trust Series 2000-4, Class C, FRN, 4.37%, 08/15/08 (m) | 1,601 | |||||||||
Capital One Multi-Asset Execution Trust | |||||||||||
1,650 | Series 2003-A, FRN, 4.82%, 12/15/10, (m) | 1,691 | |||||||||
1,700 | Series 2003-B1, Class B1, FRN, 4.74%, 02/17/09 (m) | 1,709 | |||||||||
602 | CARSS Finance LP (Cayman Islands) Series 2004-A, Class B1, FRN, 3.85%, 01/15/11 (e) (m) | 602 | |||||||||
Centex Home Equity | |||||||||||
746 | Series 2004-A, Class AV2, FRN, 3.89%, 06/25/34 (m) | 747 | |||||||||
590 | Series 2004-B, Class AV1, FRN, 3.84%, 03/25/34 (m) | 590 | |||||||||
355 | Series 2004-C, Class AV2, FRN, 3.92%, 01/25/34 (m) | 355 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Asset Backed Securities - Continued | |||||||||||
Citibank Credit Card Issuance Trust | |||||||||||
$ | 1,400 | Series 2000-C1, Class C1, 7.45%, 09/15/07 (m) | $ | 1,402 | |||||||
2,050 | Series 2003-C2, Class C2, FRN, 4.43%, 03/20/08 (m) | 2,058 | |||||||||
2,900 | Series 2004-B1, Class B1, FRN, 3.83%, 05/20/11 (m) | 2,906 | |||||||||
Citifinancial Mortgage Securities, Inc. | |||||||||||
26 | Series 2003-3, Class AV1, FRN, 3.93%, 08/25/33 (m) | 26 | |||||||||
1,373 | Series 2003-HE3, Class A, FRN, 4.02%, 12/25/33 (m) | 1,377 | |||||||||
Citigroup Mortgage Loan Trust, Inc. | |||||||||||
1,250 | Series 2005-OPT1, Class A1B, FRN, 3.85%, 02/25/35 (m) | 1,251 | |||||||||
1,050 | Series 2005-OPT4, Class M2, FRN, 3.85%, 07/25/35 (e) | 1,050 | |||||||||
2,000 | CNH Equipment Trust Series 2004-A, Class A3A, FRN, 3.64%, 10/15/08 (m) | 2,001 | |||||||||
Countrywide Asset-Backed Certificates | |||||||||||
488 | Series 2004-6, Class 2A4, FRN, 4.09%, 11/25/34 (m) | 490 | |||||||||
300 | Series 2005-4, Class MV4, FRN, 4.28%, 05/25/35 (m) | 301 | |||||||||
200 | Series 2005-BC1, Class M1, FRN, 4.05%, 03/25/35 (m) | 200 | |||||||||
200 | Series 2005-BC1, Class M2, FRN, 4.08%, 05/25/35 (m) | 200 | |||||||||
Countrywide Home Equity Loan Trust | |||||||||||
2,000 | Series 2003-C, Class A, FRN, 3.84%, 05/15/29 (m) | 2,002 | |||||||||
900 | Series 2004-BC1, Class M1, FRN, 4.14%, 02/25/34 (m) | 900 | |||||||||
176 | EQCC Home Equity Loan Trust Series 2002-1, Class 2A, FRN, 3.94%, 11/25/31 (m) | 177 | |||||||||
1,359 | Fifth Third Home Equity Loan Trust Series 2003-1, Class A, FRN, 3.86%, 09/20/23 (m) | 1,359 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 47
JPMorgan Enhanced Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Asset Backed Securities - Continued | |||||||||||
$ | 1,346 | Fleet Home Equity Trust Series 2003-1, Class A, FRN, 3.86%, 01/20/33 (m) | $ | 1,347 | |||||||
700 | Ford Credit Floorplan Master Owner Trust Series 2005-1A, Class A, FRN, 3.72%, 05/15/10 (m) | 700 | |||||||||
GE Corporate Aircraft Financing LLC | |||||||||||
380 | Series 2003-1A, Class A1, FRN, 3.81%, 06/25/10 (e) (m) | 380 | |||||||||
2,077 | Series 2004-1A, Class A1, FRN, 3.73%, 08/25/11 (e) (m) | 2,076 | |||||||||
GMAC Mortgage Corp. Loan Trust | |||||||||||
3,400 | Series 2004-HE1, Class A1, FRN, 3.72%, 01/20/34 (m) | 3,400 | |||||||||
950 | Series 2004-HE4, Class A2, FRN, 3.83%, 03/25/35 (m) | 952 | |||||||||
237 | Greenpoint Home Equity Loan Trust Series 2003-1, Class A, FRN, 3.84%, 04/15/29 (m) | 237 | |||||||||
286 | HFC Home Equity Loan Asset Backed Certificates Series 2002-2, Class A, FRN, 3.91%, 04/20/32 (m) | 286 | |||||||||
200 | Household Automotive Trust Series 2002-3, Class A4B, FRN, 3.92%, 05/18/09 (m) | 200 | |||||||||
Household Mortgage Loan Trust | |||||||||||
737 | Series 2003-HC1, Class A, FRN, 3.96%, 02/20/33 | 738 | |||||||||
264 | Series 2004-HC1, Class A, FRN, 3.96%, 01/20/34 | 264 | |||||||||
1,255 | Lehman XS Trust Series 2005-2, Class 1A1, FRN, 3.92%, 08/25/35 | 1,255 | |||||||||
Long Beach Mortgage Loan Trust | |||||||||||
2,050 | Series 2003-4, Class M1, FRN, 4.32%, 08/25/33 | 2,061 | |||||||||
450 | Series 2005-1, Class 2A2, 3.89%, 02/25/35 | 451 | |||||||||
400 | Series 2005-2, Class M4, FRN, 4.26%, 04/25/35 | 400 | |||||||||
1,204 | Metris Master Trust Series 2004-1, Class A, FRN, 3.89%, 04/20/11 | 1,207 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Asset Backed Securities - Continued | |||||||||||
Morgan Stanley ABS Capital I | |||||||||||
$ | 150 | Series 2005-HE2, Class M3, FRN, 4.12%, 01/25/35 | $ | 150 | |||||||
100 | Series 2005-HE2, Class M4, FRN, 4.27%, 01/25/35 | 100 | |||||||||
550 | New Century Home Equity Loan Trust Series 2004-3, Class M1, FRN, 4.26%, 11/25/34 | 553 | |||||||||
Option One Mortgage Loan Trust | |||||||||||
228 | Series 2002-1, Class A, FRN, 3.93%, 02/25/32 | 228 | |||||||||
656 | Series 2003-1, Class A2, FRN, 4.06%, 02/25/33 | 658 | |||||||||
2,300 | Series 2005-1, Class A3, FRN, 3.88%, 02/25/35 | 2,304 | |||||||||
300 | Series 2005-2, Class M1, FRN, 4.08%, 05/25/35 | 301 | |||||||||
39 | Option One Woodbridge Loan Trust Series 2002-2, Class A, FRN, 3.91%, 06/25/32 | 39 | |||||||||
550 | Park Place Securities, Inc. Series 2004-WHQ2, Class M2, FRN, 4.27%, 02/25/35 | 551 | |||||||||
161 | Residential Asset Securities Corp. Series 2003-KS11, Class A11B, FRN, 3.94%, 01/25/34 | 162 | |||||||||
598 | Residential Funding Mortgage Securities II Series 2003-HS4, Class A1B, FRN, 3.90%, 01/29/29 | 599 | |||||||||
500 | Securitized Asset Backed Receivables LLC Trust Series 2005-OP1, Class M2, FRN, 4.09%, 01/25/35 | 500 | |||||||||
1,689 | Wachovia Asset Securitization, Inc. Series 2004-HE1, Class A, FRN, 3.31%, 06/25/34 (e) | 1,691 | |||||||||
1,000 | William Street Funding Corp. Series 2005-1, Class A, FRN, 3.43%, 01/23/11 (e) | 1,000 | |||||||||
Total Asset Backed Securities (Cost $52,918) | 52,892 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 48
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Collateralized Mortgage Obligations - 24.7% Agency CMO - 5.0% | |||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||
$ | 2,782 | Series 2638, Class KI, IO, 5.00%, 11/15/27 (m) | $ | 355 | |||||||
3,530 | Series 2645, Class SB, FRN, IO, 3.53%, 07/15/27 (m) | 256 | |||||||||
1,556 | Series 2827, Class AS, FRN, IO, 3.53%, 06/15/22 (m) | 98 | |||||||||
68 | Series 2836, Class HZ, 4.00%, 08/15/19 (m) | 68 | |||||||||
2,402 | Series 2928, Class IN, IO, 5.00%, 10/15/24 | 256 | |||||||||
1,961 | Series 2975, Class IO, IO, 5.50%, 06/15/26 (m) | 211 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS | |||||||||||
4,069 | Series 227, IO, 5.00%, 12/01/34 (m) | 870 | |||||||||
10,807 | Series 232, IO, 5.00%, 08/01/35 (m) | 2,317 | |||||||||
Federal National Mortgage Association | |||||||||||
5,000 | Series 2002-81, Class SJ, IO, FRN, 3.86%, 04/25/32 (m) | 556 | |||||||||
2,943 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 369 | |||||||||
164 | Class 2003-62, Class OB, 3.50%, 07/25/14 (m) | 164 | |||||||||
2,000 | Series 2005-63, Class PK, IO, 5.50%, 10/25/24 (m) | 225 | |||||||||
Federal National Mortgage Association Grantor Trust | |||||||||||
415 | Series 2002-36, Class FS, FRN, 4.14%, 06/25/32 (m) | 418 | |||||||||
618 | Series 2002-36, Class FT, FRN, 4.14%, 06/25/32 (m) | 623 | |||||||||
96 | Federal National Mortgage Association Interest STRIPS Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 21 | |||||||||
1,381 | Federal National Mortgage Association Whole Loan Series 2003-121, Class FC, FRN, 4.04%, 02/25/28 (m) | 1,385 | |||||||||
8,192 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Non-Agency CMO - 19.7% | |||||||||||
Adjustable Rate Mortgage Trust | |||||||||||
$ | 1,903 | Series 2004-5, Class 7A2, FRN, 4.02%, 04/25/35 (m) | $ | 1,904 | |||||||
2,109 | Series 2005-1, Class 5A2, FRN, 3.97%, 05/25/35 (m) | 2,110 | |||||||||
774 | Series 2005-8, Class 7A2, FRN, 3.92%, 11/25/35 (m) | 774 | |||||||||
1,471 | CalSTRS Trust Series 2002-C6, Class A1, FRN, 3.91%, 11/20/12 (e) (m) | 1,475 | |||||||||
850 | Calwest Industrial Trust Series 2003-CALA, Series A, FRN, 3.84%, 06/15/15 (e) (m) | 851 | |||||||||
1,425 | Countrywide Alternative Loan Trust Series 2005-9CB, Class 1A1, FRN, 4.14%, 05/25/35 (m) | 1,416 | |||||||||
170 | Countrywide Home Loan Mortgage Pass Through Trust Series 2002-31, Class A3, 5.75%, 01/25/33 (m) | 171 | |||||||||
998 | CR Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) (m) | 1,057 | |||||||||
798 | Downey Savings & Loan Association Mortgage Loan Trust Series 2005-AR5, Class 2A1A, FRN, 3.92%, 08/19/45 (m) | 798 | |||||||||
614 | GS Mortgage Securities Corp. II Series 2003-FL6A, Class A1, FRN, 3.72%, 11/15/15 (e) (m) | 614 | |||||||||
2,220 | GSMPS Mortgage Loan Trust Series 2005-RP1, Class 1AF, FRN, 3.99%, 01/25/35 (e) (m) | 2,227 | |||||||||
Harborview Mortgage Loan Trust | |||||||||||
790 | Series 2005-3, Class 2A1A, FRN, 3.83%, 06/19/35 (m) | 788 | |||||||||
1,498 | Series 2005-8, Class 1A2A, FRN, 3.92%, 09/19/35 (m) | 1,497 | |||||||||
Indymac Index Mortgage Loan Trust | |||||||||||
1,837 | Series 2004-AR7, Class A1, FRN, 4.08%, 09/25/34 | 1,848 | |||||||||
609 | Series 2004-AR8, Class 2A1, FRN, 4.05%, 11/25/34 | 610 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 49
JPMorgan Enhanced Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Non-Agency CMO - Continued | |||||||||||
$ | 1,450 | LB-UBS Commercial Mortgage Trust Series 2003-C5, Class A2, 3.48%, 07/15/27 | $ | 1,421 | |||||||
2,986 | Medallion Trust (Australia) Series 2004-1G, Class A1, FRN, 3.97%, 05/25/35 | 2,994 | |||||||||
1,850 | Mound Financing plc (United Kingdom) Series 3A, Class A1-1, FRN, 3.89%, 02/08/08 (e) | 1,850 | |||||||||
99 | Residential Asset Securitization Trust Series 2002-A14J, Class A2, 5.15%, 01/25/33 | 99 | |||||||||
790 | RMAC plc (United Kingdom) Series 2004-NS1, Class A1B, FRN, 3.50%, 12/12/20 (e) | 790 | |||||||||
1,900 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS, Class 1A1, FRN, 3.99%, 10/25/35 | 1,900 | |||||||||
1,585 | Structured Asset Securities Corp. Series 2005-5, Class 2A1, 5.50%, 04/25/35 | 1,589 | |||||||||
1,063 | Thornburg Mortgage Securities Trust Series 2003-2, Class A1, FRN, 3.98%, 04/25/43 | 1,062 | |||||||||
2,324 | Washington Mutual, Inc. Series 2005-AR9, Class A1A, FRN, 3.96%, 07/25/45 | 2,326 | |||||||||
32,171 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $40,385) | 40,363 | ||||||||||
Corporate Bonds - 40.2% Automobiles - 2.9% | |||||||||||
2,200 | DaimlerChrysler N.A. Holding Corp. Series D, FRN, 4.13%, 11/17/06 (m) | 2,202 | |||||||||
Ford Motor Credit Co. | |||||||||||
1,500 | FRN, 4.39%, 3/21/07 (m) | 1,480 | |||||||||
600 | 6.88%, 2/1/2006 (m) | 604 | |||||||||
420 | General Motors Acceptance Corp. 6.75%, 1/15/06 (m) | 422 | |||||||||
4,708 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Capital Markets - 1.6% | |||||||||||
$ | 750 | Lehman Brothers Holdings E-Capital Trust I FRN, 4.59%, 8/19/65 (e) | $ | 752 | |||||||
Morgan Stanley | |||||||||||
600 | FRN, 3.73%, 1/18/08 | 600 | |||||||||
1,250 | FRN, 3.88%, 11/9/07 | 1,251 | |||||||||
2,603 | |||||||||||
Commercial Banks - 9.2% | |||||||||||
3,300 | Banco Santander Chile (Chile) FRN, 3.72%, 12/9/09 (e) (m) | 3,312 | |||||||||
4,600 | Deutsche Bank AG FRN, 4.02%, 5/15/07 (m) | 4,599 | |||||||||
700 | Hana Bank FRN, 4.28%, 9/29/06 (m) | 704 | |||||||||
1,300 | ING Bank NV (Netherlands) FRN, 3.83%, 10/14/14 | 1,301 | |||||||||
1,550 | KeyCorp FRN, 3.85%, 7/23/07 | 1,553 | |||||||||
National Australia Bank Ltd. (Australia) | |||||||||||
1,000 | FRN, 3.75%, 6/23/14 | 1,000 | |||||||||
1,600 | FRN, 3.89%, 3/12/13 | 1,608 | |||||||||
700 | FRN, 4.21%, 8/29/13 | 702 | |||||||||
300 | Sovereign Bancorp, Inc. FRN, 4.15%, 3/1/09 | 300 | |||||||||
15,079 | |||||||||||
Consumer Finance - 2.2% | |||||||||||
500 | Capital One Bank 6.88%, 2/1/06 (m) | 505 | |||||||||
3,100 | HSBC Finance Corp FRN, 3.81%, 7/27/07 (m) | 3,108 | |||||||||
3,613 | |||||||||||
Diversified Financial Services - 9.7% | |||||||||||
Counts Trust | |||||||||||
1,400 | Series 2002-10, FRN, 4.57%, 8/15/07 (e) (i) (m) | 1,410 | |||||||||
1,400 | Series 2002-11, FRN, 4.62%, 8/15/07 (e) (i) (m) | 1,411 | |||||||||
1,030 | International Lease Finance Corp. 4.0%, 1/17/06 (m) | 1,029 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 50
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Diversified Financial Services - Continued | |||||||||||
$ | 2,100 | Links Finance LLC FRN, 3.75%, 9/15/08 | $ | 2,100 | |||||||
800 | MBNA Europe Funding plc (United Kingdom) FRN, 3.86%, 9/7/2007 (e) | 800 | |||||||||
RACERS | |||||||||||
1,700 | Series 2005-16, Class C, FRN, 3.50%, 9/20/07 (e) (i) (m) | 1,693 | |||||||||
2,000 | Series 2005-8, Class MM, FRN, 3.52%, 5/9/06 (e) (i) (m) | 1,997 | |||||||||
1,400 | Series 2005-7, Class C, FRN, 3.71%, 9/1/05 (e) (i) (m) | 1,400 | |||||||||
2,900 | Sigma Finance Corp. FRN, 3.71%, 9/15/06 (m) | 2,900 | |||||||||
1,200 | Twin Reefs Pass-Through Trust FRN, 4.57, 12/31/49 (e) | 1,197 | |||||||||
15,937 | |||||||||||
Diversified Telecommunication Services - 0.2% | |||||||||||
350 | SBC Communications, Inc. 5.75%, 5/2/06 (m) | 354 | |||||||||
Electric Utilities - 1.8% | |||||||||||
900 | Appalachian Power Co. FRN, 3.81%, 6/29/07 (m) | 903 | |||||||||
500 | Pepco Holdings, Inc. FRN, 4.00%, 6/1/10 | 500 | |||||||||
650 | Pinnacle West Energy Corp. FRN, 4.00%, 4/1/07 (e) | 650 | |||||||||
850 | PSEG Funding Trust I 5.38%, 11/16/07 | 863 | |||||||||
2,916 | |||||||||||
Food & Staples Retailing - 0.5% | |||||||||||
750 | Safeway, Inc. FRN, 4.16%, 11/1/05 (m) | 750 | |||||||||
Food Products - 0.5% | |||||||||||
800 | Cadbury Schweppes Finance plc (United Kingdom) 5.75%, 4/19/06 | 807 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Gas Utility - 0.4% | |||||||||||
$ | 700 | Texas Municipal Gas Corp. 2.60%, 7/1/07 (e) | $ | 690 | |||||||
Insurance - 3.9% | |||||||||||
2,400 | ASIF Global Financing FRN, 3.65%, 3/14/08 (e) (m) | 2,406 | |||||||||
1,950 | Oil Insurance Ltd. (Bermuda) VAR, 3.86%, 4/8/09 (m) | 1,951 | |||||||||
400 | Platinum Underwriters Holdings Ltd. (Bermuda) 6.37%, 11/16/07 | 406 | |||||||||
1,550 | Two-Rock Pass Through Trust (Bermuda) FRN, 4.72, 12/31/49 (e) | 1,538 | |||||||||
6,301 | |||||||||||
Pharmaceuticals - 0.7% | |||||||||||
1,100 | Merck & Co., Inc. VAR, 4.73%, 2/22/11 (e) (m) | 1,101 | |||||||||
Property & Casualty Insurance - 0.8% | |||||||||||
1,250 | Chubb Corp. 4.93%, 11/16/07 (m) | 1,264 | |||||||||
Real Estate - 2.5% | |||||||||||
300 | Duke Realty FRN, 3.7%, 12/22/06 (m) | 300 | |||||||||
1,000 | iStar Financial, Inc. (REIT) FRN, 4.15%, 3/3/08 | 999 | |||||||||
2,700 | Westfield Capital Corp. Ltd. (Australia) FRN, 4.00%, 11/2/07 (e) | 2,705 | |||||||||
4,004 | |||||||||||
Road & Rail - 0.5% | |||||||||||
851 | CSX Corp. FRN, 4.01%, 8/3/06 (m) | 853 | |||||||||
Telecommunication Services - 1.5% | |||||||||||
Bellsouth Corp. | |||||||||||
1,900 | FRN, 3.92%, 11/15/07 (m) | 1,903 | |||||||||
600 | FRN, 4.26%, 4/26/21 (e) (m) | 600 | |||||||||
2,503 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 51
JPMorgan Enhanced Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Thrifts & Mortgage Finance - 1.3% | |||||||||||
$ | 2,200 | Countrywide Home Loans, Inc. FRN, Series 2002-31, Class-A3, 4.04%, 11/16/07 (m) | $ | 2,206 | |||||||
Total Corporate Bonds (Cost $65,658) | 65,689 | ||||||||||
Municipal Bonds - 0.7% Illinois - 0.6% | |||||||||||
1,000 | State of Illinois, Taxable, Pension GO 2.50%, 06/01/08 | 957 | |||||||||
North Carolina - 0.1% | |||||||||||
200 | Wake Forest University VAR, 3.09%, 7/1/17 (e) | 200 | |||||||||
Total Municipal Bonds (Cost $1,199) | 1,157 | ||||||||||
U.S. Government Agency Securities - 15.7% | |||||||||||
Federal National Mortgage Association Pool | |||||||||||
7,850 | TBA, 5.10%, 09/25/35 | 7,796 | |||||||||
17,630 | TBA, 5.50%, 09/25/35 | 17,806 | |||||||||
Total U.S. Government Agency Securities (Cost $25,420) | 25,602 | ||||||||||
U.S. Treasury Obligations - 0.3% | |||||||||||
260 | U.S. Treasury Bills Zero Coupon 12/01/05 (k) (m) | 258 | |||||||||
204 | U.S. Treasury Notes 1.66%, 01/15/15 | 203 | |||||||||
Total U.S. Treasury Obligations (Cost $456) | 461 | ||||||||||
Total Long Term Investments (Cost $187,612) | 187,750 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Short-Term Investments - 2.8% | |||||||||||
Investment Company - 2.8% | |||||||||||
$ | 4,603 | JPMorgan Prime Money Market Fund (b) (m) (Cost $4,603) | $4,603 | ||||||||
NUMBER OF CONTRACTS | |||||||||||
Call Options Purchased - 0.0% (g) | |||||||||||
- | (h) | Call Option on Federal Fund 30 Day, expiring 09/19/05 @ 696.25 | 1 | ||||||||
5,100 | Call Option on FNMA, 30 year fixed, 5.50%, TBA, expiring 10/06/05 @ 100.28, European Style | 35 | |||||||||
Total Call Options Purchased (Cost $31) | 36 | ||||||||||
Put Options Purchased - 0.0% (g) | |||||||||||
4,000 | Put Option on FMNA, 30 Year Fixed, 5.50%, TBA expiring 10/06/05 @ 97.58, European Style (Cost $27) | 2 | |||||||||
Total Investments - 117.8% | $ | 192,391 | |||||||||
(Cost $192,273) | |||||||||||
Liabilities in Excess of Other Assets - (17.8)% | (29,047) | ||||||||||
NET ASSETS - 100.0% | $ | 163,344 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 52
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
Futures Contracts
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 8/31/05 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | |||||||||||||||||||
36 | 30 Day Federal Funds | September, 2005 | $ | 14,460 | $ | (1 | ) | ||||||||||||
17 | U.S. Treasury Bonds | December, 2005 | 2,007 | 22 | |||||||||||||||
138 | 2 Year U.S. Treasury Notes | December, 2005 | 28,579 | 115 | |||||||||||||||
93 | 10 Year U.S. Treasury Notes | December, 2005 | 10,423 | 148 | |||||||||||||||
Short Futures Outstanding | |||||||||||||||||||
(168 | ) | 5 Year U.S. Treasury Notes | December, 2005 | (18,207 | ) | (142 | ) | ||||||||||||
(18 | ) | 10 Year U.S. Treasury Notes | December, 2005 | (2,017 | ) | (23 | ) | ||||||||||||
$ | 119 |
Options Written
UNITS | CALL OPTIONS WRITTEN | VALUE | |||||||||
(10,200 | ) | Call option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @ 100.71, European Style | $ | (38 | ) | ||||||
PUT OPTIONS WRITTEN | |||||||||||
(8,000 | ) | Put option on FNMA, 30 Year Fixed, 5.50%, 10/05 , TBA, expiring 10/06/05 @ 96.56, European Style | $ | (1 | ) | ||||||
Totall Options Written | $ | (39 | ) | ||||||||
(Premiums received $48) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 53
JPMorgan Global Strategic Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - 97.3% | |||||||||||
Asset Backed Securities - 1.4% | |||||||||||
AmeriCredit Automobile Receivables Trust | |||||||||||
$ | 10 | Series 2003-CF, Class A4, 3.48%, 05/06/10 (m) | $ | 10 | |||||||
15 | Series 2003-DM, Class A4, 2.84%, 08/06/10 (m) | 15 | |||||||||
10 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 10 | |||||||||
Capital Auto Receivables Asset Trust | |||||||||||
25 | Series 2003-2, Class A4A, 1.96%, 01/15/09 (m) | 24 | |||||||||
10 | Series 2003-2, Class A3B, FRN, 3.61%, 02/15/07 (m) | 10 | |||||||||
10 | Capital One Auto Finance Trust Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 10 | |||||||||
15 | Citibank Credit Card Issuance Trust Series 2001-A6, Class A6, 5.65%, 06/16/08 (m) | 15 | |||||||||
Countrywide Asset-Backed Certificates | |||||||||||
10 | Series 2003-5, Class AF3, 3.61%, 04/25/30 (m) | 9 | |||||||||
15 | Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 15 | |||||||||
75 | Ford Credit Auto Owner Trust Series 2004-A, Class A4, 3.54%, 11/15/08 (m) | 74 | |||||||||
10 | Long Beach Mortgage Loan Trust Series 2003-3, Class A, FRN, 3.96%, 07/25/33 | 10 | |||||||||
10 | M&I Auto Loan Trust Series 2003-1, Class A4, 2.97%, 04/20/09 | 10 | |||||||||
Onyx Acceptance Grantor Trust | |||||||||||
15 | Series 2003-C, Class A4, 2.66%, 05/17/10 | 15 | |||||||||
10 | Series 2003-D, Series A4, 3.20%, 03/15/10 | 10 | |||||||||
6 | Option One Mortgage Loan Trust Series 2003-5 Class A2, FRN, 3.96%, 08/25/33 | 6 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Asset Backed Securities - Continued | |||||||||||
$ | 20 | PSE&G Transition Funding LLC Series 2001-1, Class A6, 6.61%, 06/15/15 | $ | 23 | |||||||
Residential Asset Securities Corp. | |||||||||||
4 | Series 2002-KS4, Class AIIB, FRN, 3.89%, 07/25/32 | 3 | |||||||||
8 | Series 2003-KS5, Class AIIB, FRN, 3.93%, 07/25/33 | 8 | |||||||||
20 | Triad Auto Receivables Owner Trust Series 2003-B, Class A4, 3.20%, 12/13/10 | 20 | |||||||||
13 | Wachovia Asset Securitization, Inc. Series 2002-HE2, Class A, FRN, 4.07%, 12/25/32 | 12 | |||||||||
15 | WFS Financial Owner Trust Series 2003-4, Class A4, 3.15%, 05/20/11 | 15 | |||||||||
Total Asset Backed Securities | 324 | ||||||||||
(Cost $328) | |||||||||||
Collateralized Mortgage Obligations - 3.0% | |||||||||||
Agency CMO - 0.8% | |||||||||||
861 | Federal National Mortgage Association Interest STRIPS Series 357, Class 2, TBA, IO, 5.00%, 02/01/35 (m) | 185 | |||||||||
Non-Agency CMO - 2.2% | |||||||||||
25 | Bear Stearns Commercial Mortgage Securities Series 2004-PWR6, Class A4, 4.52%, 11/11/41 (m) | 25 | |||||||||
CS First Boston Mortgage Securities Corp. | |||||||||||
2,094 | Series 1997-2, Class X, IO, VAR, 9.44%, 06/25/20 (e) (m) | 11 | |||||||||
150 | Series 2001-CK1, Class A3, 6.38%, 12/16/35 (m) | 162 | |||||||||
1 | DLJ Mortgage Acceptance Corp. Series 1997-D, Class CTFS, HB, VAR, 109.10%, 07/28/27 (e) (m) | 1 | |||||||||
Greenwich Capital Commercial Funding Corp. | |||||||||||
45 | Series 2003-C1, Class A4, 4.11%, 07/05/35 | 44 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 54
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Non-Agency CMO - Continued | |||||||||||
$ | 40 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 | $ | 41 | |||||||
40 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 | 40 | |||||||||
60 | LB-UBS Commercial Mortgage Trust Series 2001-C2, Class A2, 6.65%, 11/15/27 | 66 | |||||||||
29 | MASTR Alternative Loans Trust Series 2004-13, Class 10A1, 8.00%, 01/25/35 | 30 | |||||||||
20 | Morgan Stanley Dean Witter Capital I Series 2003-HQ2, Class A2, 4.92%, 03/12/35 | 20 | |||||||||
40 | Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 | 41 | |||||||||
481 | |||||||||||
Total Collateralized Mortgage Obligations | 666 | ||||||||||
(Cost $842) | |||||||||||
Corporate Bonds - 29.9% | |||||||||||
Aerospace & Defense - 0.3% | |||||||||||
15 | General Dynamics Corp. 2.13%, 05/15/06 (m) | 15 | |||||||||
L-3 Communications Corp. | |||||||||||
10 | 5.88%, 01/15/15 | 10 | |||||||||
40 | 6.38%, 10/15/15 (e) | 40 | |||||||||
65 | |||||||||||
Auto Components - 0.4% | |||||||||||
35 | Tenneco Automotive, Inc. 8.63%, 11/15/14 | 36 | |||||||||
TRW Automotive, Inc. | |||||||||||
10 | 9.38%, 02/15/13 | 11 | |||||||||
30 | 11.00%, 02/15/13 | 35 | |||||||||
10 | United Components, Inc. 9.38%, 06/15/13 | 10 | |||||||||
92 | |||||||||||
Building Products - 0.1% | |||||||||||
10 | Jacuzzi Brands, Inc. 9.63%, 07/01/10 | 11 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Capital Markets - 0.3% | |||||||||||
$ | 40 | Arch Western Finance LLC 6.75%, 07/01/13 (m) | $ | 41 | |||||||
5 | National Rural Utilities Cooperative Finance Corp. 6.50%, 03/01/07 | 5 | |||||||||
15 | Nell AF SARL (Luxembourg) 8.38%, 08/15/15 (e) | 15 | |||||||||
61 | |||||||||||
Chemicals - 1.1% | |||||||||||
10 | Albemarle Corp. 5.10%, 02/01/15 (m) | 10 | |||||||||
40 | Chemtura Corp. 9.88%, 08/01/12 (m) | 46 | |||||||||
5 | Dow Chemical Co. (The) 7.38%, 11/01/29 (m) | 6 | |||||||||
20 | Huntsman International LLC 7.38%, 01/01/15 (e) | 20 | |||||||||
25 | Huntsman LLC 11.50%, 07/15/12 | 29 | |||||||||
15 | ICI Wilmington, Inc. 5.63%, 12/01/13 | 16 | |||||||||
10 | Lyondell Chemical Co. 9.63%, 05/01/07 | 11 | |||||||||
40 | Nalco Co. 7.75%, 11/15/11 | 42 | |||||||||
PolyOne Corp. | |||||||||||
10 | 8.88%, 05/01/12 | 10 | |||||||||
25 | 10.63%, 05/15/10 | 27 | |||||||||
Terra Capital, Inc. | |||||||||||
5 | 11.50%, 06/01/10 | 6 | |||||||||
20 | 12.88%, 10/15/08 | 23 | |||||||||
246 | |||||||||||
Commercial Banks - 1.6% | |||||||||||
20 | ANZ Capital Trust 5.36%, 12/31/49 (e) (m) | 21 | |||||||||
10 | Cadets Trust 4.80%, 07/15/13 (e) (m) | 10 | |||||||||
10 | FleetBoston Financial Corp. 7.25%, 09/15/05 (m) | 10 | |||||||||
5 | ForeningsSparbanken AB (Sweden) VAR, 9.00%, 12/31/49 (e) | 6 | |||||||||
15 | HBOS Treasury Services plc (United Kingdom) 3.60%, 08/15/07 (e) | 15 | |||||||||
HSBC Capital Funding LP/Jersey Channel Islands (Jersey) | |||||||||||
130 | VAR, 4.61%, 12/31/49 (e) | 127 | |||||||||
30 | VAR, 9.55%, 12/31/49 (e) | 36 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 55
JPMorgan Global Strategic Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Commercial Banks - Continued | |||||||||||
$ | 15 | Industrial Bank of Korea (South Korea) VAR, 4.00%, 05/19/14 (e) | $ | 14 | |||||||
10 | KBC Bank Funding Trust III VAR, 9.86%, 11/29/49 (e) | 12 | |||||||||
RBS Capital Trust I | |||||||||||
85 | VAR, 5.51%, 12/31/49 | 88 | |||||||||
5 | VAR, 6.43%, 12/29/49 | 6 | |||||||||
20 | SunTrust Bank 2.50%, 11/01/06 | 19 | |||||||||
364 | |||||||||||
Commercial Services & Supplies - 0.8% | |||||||||||
70 | Allied Waste North America Series B, 7.38%, 04/15/14 (m) | 66 | |||||||||
10 | Cendant Corp. 7.13%, 03/15/15 (m) | 11 | |||||||||
45 | Corrections Corp. of America 6.25%, 03/15/13 (m) | 44 | |||||||||
30 | Iron Mountain, Inc. 8.63%, 04/01/13 | 32 | |||||||||
25 | United Rentals North America, Inc. 6.50%, 02/15/12 | 24 | |||||||||
177 | |||||||||||
Consumer Finance - 2.2% | |||||||||||
American General Finance Corp. | |||||||||||
25 | 3.00%, 11/15/06 (m) | 24 | |||||||||
5 | 4.50%, 11/15/07 (m) | 5 | |||||||||
Ford Motor Credit Co. | |||||||||||
65 | FRN, 5.17%, 01/15/10 | 61 | |||||||||
25 | 7.00%, 10/01/13 | 24 | |||||||||
240 | 7.38%, 10/28/09 (m) | 239 | |||||||||
70 | 7.88%, 06/15/10 | 70 | �� | ||||||||
35 | General Motors Acceptance Corp. 6.88%, 08/28/12 | 33 | |||||||||
35 | SLM Corp. 5.63%, 04/10/07 | 36 | |||||||||
492 | |||||||||||
Containers & Packaging - 0.6% | |||||||||||
20 | AEP Industries, Inc. 7.88%, 03/15/13 (e) (m) | 20 | |||||||||
30 | Graphic Packaging International Corp. 9.50%, 08/15/13 | 31 | |||||||||
15 | Group 1 Automotive, Inc. 8.25%, 08/15/13 | 15 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Containers & Packaging - Continued | |||||||||||
$ | 20 | Jefferson Smurfit Corp. US 7.50%, 06/01/13 | $ | 19 | |||||||
55 | Owens-Brockway Glass Container, Inc. 8.25%, 05/15/13 | 59 | |||||||||
144 | |||||||||||
Diversified Financial Services - 4.5% | |||||||||||
20 | ACCO Brands Corp. 7.63%, 08/15/15 (e) (m) | 20 | |||||||||
250 | Aries Vermoegensverwaltungs GmbH (Germany) 9.60%, 10/25/14 | 328 | |||||||||
30 | CanWest Media, Inc. (Canada) 8.00%, 09/15/12 | 31 | |||||||||
30 | Consolidated Communications Illinois/Texas Holdings, Inc. 9.75%, 04/01/12 (m) | 32 | |||||||||
460 | Core Investment Grade Bond Trust I 4.66%, 11/30/07 (m) | 462 | |||||||||
5 | Prudential Holdings LLC 8.70%, 12/18/23 (e) | 7 | |||||||||
55 | UGS Corp. 10.00%, 06/01/12 (e) | 62 | |||||||||
55 | Visant Corp. 7.63%, 10/01/12 | 56 | |||||||||
998 | |||||||||||
Diversified Telecommunication Services - 3.2% | |||||||||||
20 | BellSouth Corp. 6.00%, 11/15/34 (m) | 21 | |||||||||
20 | Cincinnati Bell, Inc. 8.38%, 01/15/14 (m) | 20 | |||||||||
40 | Citizens Communications Co. 6.25%, 01/15/13 (m) | 39 | |||||||||
Deutsche Telekom International Finance BV (Netherlands) | |||||||||||
30 | 5.25%, 07/22/13 (m) | 31 | |||||||||
5 | 8.75%, 06/15/30 (m) | 7 | |||||||||
France Telecom S.A. (France) | |||||||||||
15 | 8.00%, 03/01/11 | 17 | |||||||||
10 | 8.75%, 03/01/31 | 14 | |||||||||
15 | MCI, Inc. 8.74%, 05/01/14 | 17 | |||||||||
Qwest Communications International, Inc. | |||||||||||
10 | 7.50%, 02/15/14 | 9 | |||||||||
30 | FRN, 7.29%, 02/15/09 | 30 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 56
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Diversified Telecommunication Services - Continued | |||||||||||
$ | 50 | Qwest Corp. 8.88%, 03/15/12 | $ | 55 | |||||||
75 | Royal KPN NV (Netherlands) 8.00%, 10/01/10 | 87 | |||||||||
SBC Communications, Inc. | |||||||||||
10 | 5.10%, 09/15/14 | 10 | |||||||||
20 | 5.63%, 06/15/16 | 21 | |||||||||
Sprint Capital Corp. | |||||||||||
110 | 6.90%, 05/01/19 | 127 | |||||||||
5 | 8.75%, 03/15/32 | 7 | |||||||||
180 | Verizon Global Funding Corp. 7.38%, 09/01/12 | 208 | |||||||||
720 | |||||||||||
Electric Utilities - 1.1% | |||||||||||
10 | Alabama Power Co. Series Y, 2.80% 12/01/06 (m) | 10 | |||||||||
5 | Aquila, Inc. 9.95%, 02/01/11 | 6 | |||||||||
20 | CMS Energy Corp. 7.75%, 08/01/10 (m) | 22 | |||||||||
50 | Dominion Resources, Inc. 6.30%, 03/15/33 (m) | 54 | |||||||||
5 | DTE Energy Co. 6.38%, 04/15/33 (m) | 5 | |||||||||
15 | FPL Group Capital, Inc. 7.63%, 09/15/06 (m) | 16 | |||||||||
10 | Pacificorp 4.30%, 09/15/08 | 10 | |||||||||
Progress Energy, Inc. | |||||||||||
25 | 6.85%, 04/15/12 | 28 | |||||||||
5 | 7.00%, 10/30/31 | 6 | |||||||||
Sierra Pacific Resources | |||||||||||
25 | 6.75%, 08/15/17 (e) | 28 | |||||||||
15 | 8.63%, 03/15/14 | 15 | |||||||||
50 | Tenaska Alabama Partners LP 7.00%, 06/30/21 (e) | 52 | |||||||||
252 | |||||||||||
Electronic Equipment & Instruments - 0.3% | |||||||||||
40 | Celestica, Inc. (Canada) 7.88%, 07/01/11 (m) | 41 | |||||||||
25 | Flextronics International Ltd. (Singapore) 6.50%, 05/15/13 (m) | 25 | |||||||||
66 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Energy Equipment & Services - 0.1% | |||||||||||
$ | 15 | Hanover Compressor Co. 9.00%, 06/01/14 | $ | 17 | |||||||
5 | Transocean, Inc. (Cayman Islands) 7.50%, 04/15/31 | 7 | |||||||||
24 | |||||||||||
Food & Staples Retailing - 0.1% | |||||||||||
20 | Safeway, Inc. 4.13%, 11/01/08 | 20 | |||||||||
Food Products - 0.0% (g) | |||||||||||
10 | Del Monte Corp. 6.75%, 02/15/15 (e) (m) | 10 | |||||||||
Gas Utilities - 0.3% | |||||||||||
55 | Amerigas Partners LP 7.25%, 05/20/15 (e) (m) | 58 | |||||||||
Health Care Equipment & Supplies - 0.1% | |||||||||||
25 | Fresenius Medical Care Capital Trust II 7.88%, 02/01/08 | 26 | |||||||||
Health Care Providers & Services - 1.5% | |||||||||||
15 | Alderwoods Group, Inc. 7.75%, 09/15/12 (m) | 16 | |||||||||
25 | Extendicare Health Services, Inc. 6.88%, 05/01/14 (m) | 25 | |||||||||
60 | HCA, Inc. 6.75%, 07/15/13 | 63 | |||||||||
700 | Mariner Health Group, Inc. 9.50%, 04/01/06 (d) (f) (m) | - | (h) | ||||||||
45 | Select Medical Corp. 7.63%, 02/01/15 | 44 | |||||||||
Service Corp. International | |||||||||||
35 | 6.75%, 04/01/16 | 35 | |||||||||
40 | 7.00%, 06/15/17 (e) | 41 | |||||||||
35 | Stewart Enterprises, Inc. 6.25%, 02/15/13 (e) | 34 | |||||||||
65 | Tenet Healthcare Corp. 9.25%, 02/01/15 (e) | 67 | |||||||||
15 | Triad Hospitals, Inc. 7.00%, 11/15/13 | 15 | |||||||||
340 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 57
JPMorgan Global Strategic Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Hotels, Restaurants & Leisure - 0.9% | |||||||||||
$ | 25 | Argosy Gaming Co. 7.00%, 01/15/14 (m) | $ | 27 | |||||||
40 | ITT Corp. 7.38%, 11/15/15 | 44 | |||||||||
70 | MGM Mirage 6.75%, 09/01/12 | 72 | |||||||||
50 | Vail Resorts, Inc. 6.75% 02/15/14 | 51 | |||||||||
194 | |||||||||||
Household Durables - 0.8% | |||||||||||
25 | ALH Finance LLC/ALH Finance Corp. 8.50%, 01/15/13 (m) | 24 | |||||||||
20 | Ames True Temper FRN, 7.60% 01/15/12 (m) | 20 | |||||||||
Beazer Homes USA, Inc. | |||||||||||
10 | 6.50%, 11/15/13 (m) | 10 | |||||||||
35 | 6.88%, 07/15/15 (m) | 34 | |||||||||
35 | DR Horton, Inc. 5.25%, 02/15/15 (m) | 34 | |||||||||
20 | Meritage Home Corp. 6.25%, 03/15/15 | 19 | |||||||||
35 | Sealy Mattress Co. 8.25%, 06/15/14 | 37 | |||||||||
178 | |||||||||||
Household Products - 0.5% | |||||||||||
45 | Gregg Appliances, Inc. 9.00%, 02/01/13 (e) | 44 | |||||||||
20 | Playtex Products, Inc. 8.00% 03/01/11 | 21 | |||||||||
45 | Spectrum Brands, Inc. 7.38%, 02/01/15 | 43 | |||||||||
108 | |||||||||||
Insurance - 1.4% | |||||||||||
10 | Arch Capital Group Ltd. (Bermuda) 7.35%, 05/01/34 (m) | 11 | |||||||||
20 | Aspen Insurance Holdings Ltd. (Bermuda) 6.00%, 08/15/14 (m) | 21 | |||||||||
210 | ING Capital Funding Trust III VAR, 8.44% 12/31/49 | 246 | |||||||||
20 | Monumental Global Funding II 3.90%, 06/15/09 (e) | 20 | |||||||||
5 | Odyssey Re Holdings Corp. 7.65%, 11/01/13 | 5 | |||||||||
303 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
IT Services - 0.1% | |||||||||||
$ | 20 | Sungard Data Systems, Inc. 9.13%, 08/15/13 (e) | $ | 21 | |||||||
Machinery - 0.2% | |||||||||||
50 | Terex Corp. 7.38%, 01/15/14 | 52 | |||||||||
Media - 2.8% | |||||||||||
30 | Cablevision Systems Corp. 8.00%, 04/15/12 (m) | 30 | |||||||||
65 | Charter Communications Operating LLC/Charter Communications Operating Capital 8.00%, 04/30/12 (e) (m) | 66 | |||||||||
10 | CSC Holdings, Inc. 7.63%, 07/15/18 | 10 | |||||||||
85 | Dex Media, Inc. SUB, 0.00%, 11/15/13 (m) | 69 | |||||||||
65 | DirecTV Holdings LLC 6.38%, 03/06/30 (e) (m) | 65 | |||||||||
Echostar DBS Corp. | |||||||||||
45 | 6.38%, 10/01/11 (m) | 45 | |||||||||
15 | 6.63%, 10/01/14 (m) | 15 | |||||||||
15 | Houghton Mifflin Co. 9.88%, 02/01/13 | 16 | |||||||||
25 | Lodgenet Entertainment Corp. 9.50%, 06/15/13 | 27 | |||||||||
5 | News America, Inc. 6.20%, 12/15/34 | 5 | |||||||||
30 | RH Donnelley Finance Corp. I 10.88%, 12/15/12 (e) | 35 | |||||||||
20 | Sinclair Broadcast Group, Inc. 8.00%, 03/15/12 | 21 | |||||||||
30 | Sun Media Corp. (Canada) 7.63%, 02/15/13 | 32 | |||||||||
10 | TCI Communications, Inc. 7.88%, 02/15/26 | 12 | |||||||||
10 | Time Warner Entertainment Co. LP 8.38%, 03/15/23 | 13 | |||||||||
65 | Time Warner, Inc. 7.63%, 04/15/31 (m) | 79 | |||||||||
25 | Vertis, Inc. 9.75%, 04/01/09 | 26 | |||||||||
25 | Videotron Ltee (Canada) 6.88%, 01/15/14 | 26 | |||||||||
40 | Warner Music Group 7.38%, 04/15/14 | 41 | |||||||||
633 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 58
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Metals & Mining - 0.1% | |||||||||||
$ | 25 | Novelis, Inc. (Canada) 7.25%, 02/15/15 (e) | $ | 25 | |||||||
Multi-Utilities - 0.4% | |||||||||||
25 | AES Corp. (The) 7.75%, 03/01/14 (m) | 27 | |||||||||
15 | Dominion Resources, Inc. Series A, 8.13%, 06/15/10 (m) | 17 | |||||||||
20 | Dynegy Holdings, Inc. 10.13%, 07/15/13 (e) (m) | 22 | |||||||||
10 | PSEG Power LLC 8.63%, 04/15/31 | 14 | |||||||||
80 | |||||||||||
Multiline Retail - 0.1% | |||||||||||
30 | JC Penney Co., Inc. 6.88%, 10/15/15 | 33 | |||||||||
Office Electronics - 0.1% | |||||||||||
20 | Xerox Corp. 7.63%, 06/15/13 | 21 | |||||||||
Oil, Gas & Consumable Fuels - 1.4% | |||||||||||
5 | Alberta Energy Co., Ltd. (Canada) 7.38%, 11/01/31 (m) | 6 | |||||||||
15 | BP Capital Markets plc (United Kingdom) 2.75%, 12/29/06 (m) | 15 | |||||||||
50 | Chesapeake Energy Corp. 6.63%, 01/15/16 (m) | 51 | |||||||||
20 | Denbury Resources, Inc. 7.50%, 04/01/13 (m) | 21 | |||||||||
Kinder Morgan Energy Partners LP | |||||||||||
5 | 5.13%, 11/15/14 | 5 | |||||||||
5 | 7.30%, 08/15/33 | 6 | |||||||||
10 | 7.40%, 03/15/31 | 12 | |||||||||
5 | 7.75%, 03/15/32 | 6 | |||||||||
35 | Newfield Exploration Co. 6.63%, 09/01/14 | 37 | |||||||||
45 | Pogo Producing Co. 6.63%, 03/15/15 (e) | 46 | |||||||||
15 | Premcor Refining Group, Inc. (The) 7.50%, 06/15/15 | 16 | |||||||||
25 | Valero Energy Corp. 7.50%, 04/15/32 | 31 | |||||||||
55 | Whiting Petroleum Corp. 7.25%, 05/01/13 | 55 | |||||||||
307 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Paper & Forest Products - 0.7% | |||||||||||
$ | 25 | Ainsworth Lumber Co., Ltd. (Canada) 7.25%, 10/01/12 (m) | $ | 23 | |||||||
20 | Domtar, Inc. 7.13%, 08/15/15 (m) | 20 | |||||||||
75 | Georgia-Pacific Corp. 9.50%, 12/01/11 | 89 | |||||||||
5 | International Paper Co. 5.85%, 10/30/12 | 5 | |||||||||
15 | Millar Western Forest Products Ltd. (Canada) 7.75%, 11/15/13 | 14 | |||||||||
151 | |||||||||||
Personal Products - 0.0% (g) | |||||||||||
311 | Drypers Corp. Series B, 10.25%, 06/15/07 (d) (f) (m) | 3 | |||||||||
Pharmaceuticals - 0.0% (g) | |||||||||||
5 | Mylan Laboratories, Inc. 6.38%, 08/15/15 (e) | 5 | |||||||||
Real Estate - 0.2% | |||||||||||
50 | Host Marriott LP 6.38%, 03/15/15 | 50 | |||||||||
Road & Rail - 0.1% | |||||||||||
Norfolk Southern Corp. | |||||||||||
2 | 5.59%, 05/17/25 | 2 | |||||||||
4 | 5.64%, 05/17/29 | 4 | |||||||||
3 | 7.25%, 02/15/31 | 4 | |||||||||
1 | 7.80%, 05/15/27 | 1 | |||||||||
11 | |||||||||||
Semiconductors & Semiconductor Equipment - 0.2% | |||||||||||
25 | Advanced Micro Devices, Inc. 7.75%, 11/01/12 (m) | 25 | |||||||||
25 | Freescale Semiconductor, Inc. 7.13%, 07/15/14 | 27 | |||||||||
52 | |||||||||||
Textiles, Apparel & Luxury Goods - 0.2% | |||||||||||
35 | Russell Corp. 9.25%, 05/01/10 | 37 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 59
JPMorgan Global Strategic Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Wireless Telecommunication Services - 1.1% | |||||||||||
$ | 20 | Intelsat Bermuda Ltd. (Bermuda) FRN, 8.70%, 01/15/12 (e) | $ | 20 | |||||||
New Cingular Wireless Services, Inc. | |||||||||||
10 | 7.88%, 03/01/11 (m) | 12 | |||||||||
75 | 8.13%, 05/01/12 (m) | 89 | |||||||||
10 | 8.75%, 03/01/31 (m) | 14 | |||||||||
15 | PanAmSat Corp. 9.00%, 08/15/14 | 16 | |||||||||
25 | PanAmSat Holding Corp. SUB, 10.38%, 11/01/14 | 17 | |||||||||
45 | Rogers Wireless, Inc. (Canada) 6.38%, 03/01/14 | 46 | |||||||||
35 | Rural Cellular Corp. 8.25%, 03/15/12 | 37 | |||||||||
251 | |||||||||||
Total Corporate Bonds | 6,681 | ||||||||||
(Cost $7,390) | |||||||||||
Foreign Government Securities - 28.4% | |||||||||||
Argentina - 1.6% | |||||||||||
Government of Argentina | |||||||||||
90 | FRN, 4.00%, 08/03/12 | 70 | |||||||||
304 | 8.28%, 12/31/33 | 290 | |||||||||
360 | |||||||||||
Belgium - 0.2% | |||||||||||
EUR | 25 | Kingdom of Belgium 4.25%, 09/28/13 (l) | 34 | ||||||||
Brazil - 1.0% | |||||||||||
Federal Republic of Brazil | |||||||||||
$ | 33 | FRN, 4.31%, 04/15/12 | 32 | ||||||||
20 | 8.88%, 10/14/19 | 21 | |||||||||
45 | 11.00%, 08/17/40 | 54 | |||||||||
55 | 12.25%, 03/06/30 | 73 | |||||||||
35 | 12.75%, 01/15/20 | 47 | |||||||||
227 | |||||||||||
Canada - 1.7% | |||||||||||
Government of Canada | |||||||||||
CAD | 35 | 5.50%, 06/01/10 (l) | 32 | ||||||||
CAD | 15 | 8.00%, 06/01/27 (l) | 20 | ||||||||
$ | 150 | Province of Ontario 6.00%, 02/21/06 | 151 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Canada - Continued | |||||||||||
Province of Quebec | |||||||||||
$ | 100 | 6.13%, 01/22/11 | $ | 109 | |||||||
50 | 7.50%, 09/15/29 | 69 | |||||||||
381 | |||||||||||
Colombia - 0.7% | |||||||||||
Government of Columbia | |||||||||||
50 | 8.25%, 12/22/14 | 54 | |||||||||
77 | 9.75%, 04/09/11 (m) | 88 | |||||||||
15 | 10.75%, 01/15/13 | 18 | |||||||||
160 | |||||||||||
Dominican Republic - 1.3% | |||||||||||
Dominican Republic | |||||||||||
215 | 9.04%, 01/23/18 (e) | 233 | |||||||||
56 | 9.50%, 09/27/11 | 61 | |||||||||
294 | |||||||||||
El Salvador - 0.7% | |||||||||||
Government of El Salvador | |||||||||||
20 | 7.63%, 09/21/34 (e) | 22 | |||||||||
115 | 8.25%, 04/10/32 (e) (m) | 125 | |||||||||
147 | |||||||||||
France - 4.6% | |||||||||||
Government of France | |||||||||||
EUR | 560 | 4.00%, 04/25/09 (l) | 729 | ||||||||
EUR | 20 | 4.00%, 04/25/13 (l) | 26 | ||||||||
EUR | 120 | 4.00%, 04/25/14 (l) | 159 | ||||||||
EUR | 40 | 5.00%, 10/25/16 (l) | 58 | ||||||||
EUR | 30 | 5.75%, 10/25/32 (l) | 51 | ||||||||
1,023 | |||||||||||
Germany - 3.2% | |||||||||||
Bundesrepublik Deutschland | |||||||||||
EUR | 220 | 4.75%, 07/04/34 (l) | 328 | ||||||||
EUR | 215 | 5.25%, 01/04/11 (l) | 299 | ||||||||
EUR | 50 | 6.25%, 01/04/24 (l) | 85 | ||||||||
712 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 60
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Italy - 0.7% | |||||||||||
$ | 150 | Government of Italy 3.63%, 09/14/07 | $ | 149 | |||||||
Malaysia - 0.5% | |||||||||||
100 | Government of Malaysia 7.50%, 07/15/11 | 115 | |||||||||
Mexico - 0.8% | |||||||||||
140 | United Mexican States 8.30%, 08/15/31 | 177 | |||||||||
Panama - 1.0% | |||||||||||
Government of Panama | |||||||||||
115 | 7.25%, 03/15/15 | 125 | |||||||||
90 | 8.88%, 09/30/27 | 109 | |||||||||
234 | |||||||||||
Peru - 1.5% | |||||||||||
Government of Peru | |||||||||||
201 | VAR, 5.00%, 03/07/17 | 194 | |||||||||
71 | 8.38%, 05/03/16 | 82 | |||||||||
57 | 8.75%, 11/21/33 | 67 | |||||||||
343 | |||||||||||
Philippines - 0.6% | |||||||||||
125 | Government of Philippines 10.63%, 03/16/25 | 142 | |||||||||
Russia - 1.5% | |||||||||||
Russian Federation | |||||||||||
100 | 8.25%, 03/31/10 | 109 | |||||||||
115 | 12.75%, 06/24/28 | 215 | |||||||||
324 | |||||||||||
South Africa - 0.6% | |||||||||||
95 | Government of South Africa 8.50%, 06/23/17 | 122 | |||||||||
Trinidad & Tobago - 0.1% | |||||||||||
20 | Government of Trinidad & Tobago 9.75%, 07/01/20 | 28 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Turkey - 0.5% | |||||||||||
Government of Turkey | |||||||||||
$ | 65 | 7.38%, 02/05/25 | $ | 63 | |||||||
40 | 11.88%, 01/15/30 | 57 | |||||||||
120 | |||||||||||
Ukraine - 1.8% | |||||||||||
Government of Ukraine | |||||||||||
150 | 6.88%, 03/04/11 (e) | 159 | |||||||||
230 | 7.65%, 06/11/13 | 253 | |||||||||
412 | |||||||||||
United Kingdom - 1.2% | |||||||||||
U.K. Treasury Gilt | |||||||||||
GBP | 15 | 4.75%, 09/07/15 (l) | 28 | ||||||||
GBP | 70 | 5.00%, 03/07/08 (l) | 129 | ||||||||
GBP | 20 | 5.75%, 12/07/09 (l) | 38 | ||||||||
GBP | 20 | 6.00%, 12/07/28 (l) | 46 | ||||||||
GBP | 10 | 8.00%, 09/27/13 (l) | 22 | ||||||||
263 | |||||||||||
Venezuela - 2.6% | |||||||||||
Government of Venezuela | |||||||||||
$ | 65 | 7.00%, 02/01/18 | 60 | ||||||||
105 | 9.25%, 09/15/27 | 114 | |||||||||
263 | 10.75%, 09/19/13 | 313 | |||||||||
60 | 13.63%, 08/15/18 | 83 | |||||||||
570 | |||||||||||
Total Foreign Government Securities | 6,337 | ||||||||||
(Cost $5,944) | |||||||||||
Private Placements - 11.1% | |||||||||||
428 | 86-06/86-42 155th St., Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, New York, 7.00%, 01/01/14 (e) (f) (i) | 462 | |||||||||
1,271 | 270 5th Ave., Secured by First Mortgage and Agreement on Co-op Apartment Building in Brooklyn, New York, 6.93%, 08/01/18 (e) (f) (i) | 1,416 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 61
JPMorgan Global Strategic Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Private Placements - Continued | |||||||||||
$ | 503 | 3512 Oxford Ave., Secured by First Mortgage and Agreement on Co-op Apartment in Riverdale, New York, 8.45%, 06/01/17 (e) (f) (i) | $ | 589 | |||||||
Total Private Placements | 2,467 | ||||||||||
Cost ($2,202) | |||||||||||
U.S. Government Agency Mortgages - 11.6% | |||||||||||
69 | Federal Home Loan Mortgage Corp. Gold Pool 6.00%, 05/01/17 - 01/01/35 (m) | 70 | |||||||||
Federal National Mortgage Association Pool | |||||||||||
905 | 5.50%, 06/01/34-12/01/34 (m) | 914 | |||||||||
871 | 6.00%, 03/01/33-01/01/35 (m) | 892 | |||||||||
462 | 6.50%, 01/01/35-02/01/35 (m) | 477 | |||||||||
218 | 7.00%, 01/01/35-02/01/35 (m) | 228 | |||||||||
Total U.S. Government Agency Mortgages (Cost $2,606) | 2,581 | ||||||||||
U.S. Government Agency Security - 6.8% | |||||||||||
1,500 | Federal Home Loan Mortgage Corp. Gold Pool TBA, 5.50%, 09/15/35 (Cost $1,506) | 1,515 | |||||||||
U.S. Treasury Obligations - 5.1% (m) | |||||||||||
U.S. Treasury Notes | |||||||||||
110 | 1.88%, 11/30/05 (k) | 110 | |||||||||
30 | 2.50%, 09/30/06 | 30 | |||||||||
110 | 3.13%, 01/31/07 | 109 | |||||||||
90 | 3.50%, 02/15/10 | 89 | |||||||||
30 | 3.63%, 01/15/10 | 30 | |||||||||
10 | 3.63%, 06/15/10 | 10 | |||||||||
40 | 3.75%, 03/31/07 | 40 | |||||||||
15 | 3.75%, 05/15/08 | 15 | |||||||||
5 | 3.88%, 05/15/10 | 5 | |||||||||
130 | 4.00%, 03/15/10 | 131 | |||||||||
10 | 4.00%, 04/15/10 | 10 | |||||||||
25 | 4.00%, 02/15/15 | 25 | |||||||||
80 | 4.13%, 05/15/15 | 80 | |||||||||
178 | 4.25%, 11/15/14 | 181 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
U.S. Treasury Obligations - Continued | |||||||||||
$ | 60 | 5.38%, 02/15/31 | $ | 70 | |||||||
125 | 5.50%, 08/15/28 (k) | 146 | |||||||||
50 | 6.63%, 05/15/07 | 52 | |||||||||
Total U.S. Treasury Obligations | 1,133 | ||||||||||
(Cost $1,103) | |||||||||||
SHARES | |||||||||||
Warrants - 0.0% (g) | |||||||||||
- | (h) | Startec Global Communications, expires 05/15/08 (a) (m) (Cost $0 (h)) | - | (h) | |||||||
Total Long-Term Investments | 21,704 | ||||||||||
(Cost $21,921) | |||||||||||
Short-Term Investments - 8.8% | |||||||||||
Investment Company - 8.8% | |||||||||||
1,966 | JPMorgan Prime Money Market Fund (b) (m) (Cost $1,966) | 1,966 | |||||||||
PRINCIPAL AMOUNT | |||||||||||
U.S. Treasury Securities - 0.1% | |||||||||||
$ | 26 | U.S. Treasury Bills 3.11%, 09/29/05 (k) (n) (Cost $26) | 26 | ||||||||
Total Short-Term Investments (Cost $1,992) | 1,992 | ||||||||||
Total Investments - 106.2% | $ | 23,696 | |||||||||
(Cost $23,913) | |||||||||||
Liabilities in Excess of Other Assets - (6.2)% | (1,394 | ) | |||||||||
NET ASSETS - 100.0% | $ | 22,302 |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 62
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
Futures Contracts
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 8/31/05 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | |||||||||||||||||||
2 | EURO SCHATZ | September, 2005 | $ | 213 | - | (h) | |||||||||||||
9 | U.S. Treasury Bonds | December, 2005 | 1,062 | 11 | |||||||||||||||
11 | 2 Year U.S. Treasury Notes | December, 2005 | 2,278 | 9 | |||||||||||||||
4 | 5 Year U.S. Treasury Notes | December, 2005 | 434 | 4 | |||||||||||||||
Short Futures Outstanding | |||||||||||||||||||
(5 | ) | EURO-BUND | September, 2005 | (620 | ) | (8 | ) | ||||||||||||
(2 | ) | U.S. Treasury Bonds | December, 2005 | (236 | ) | (3 | ) | ||||||||||||
(4 | ) | 5 Year U.S. Treasury Notes | December, 2005 | (433 | ) | (3 | ) | ||||||||||||
(20 | ) | 10 Year U.S. Treasury Notes | December, 2005 | (2,241 | ) | (26 | ) | ||||||||||||
$ | (16 | ) |
Forward Foreign Currency Exchange Contracts
CONTRACTS TO BUY | SETTLEMENT DATE | SETTLEMENT VALUE (USD) | VALUE AT 8/31/05 (USD) | NET UNREALIZED APPRECIATION (USD) | |||||||||||||||||||
10 | EUR | 9/26/05 | $ | 12 | $ | 12 | - | (h) | |||||||||||||||
CONTRACTS TO SELL | SETTLEMENT DATE | SETTLEMENT VALUE (USD) | VALUE AT 8/31/05 (USD) | NET UNREALIZED DEPRECIATION (USD) | |||||||||||||||||||
60 | CAD | 9/26/05 | $ | 49 | $ | 50 | $ | (1 | ) | ||||||||||||||
1,469 | EUR | 9/26/05 | 1,792 | 1,814 | (22 | ) | |||||||||||||||||
147 | GBP | 9/26/05 | 256 | 265 | (9 | ) | |||||||||||||||||
$ | 2,097 | $ | 2,129 | $ | (32 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 63
JPMorgan Short Term Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - 114.2% | |||||||||||
Preferred Stocks - 1.4% | |||||||||||
Capital Markets - 1.1% | |||||||||||
7 | Pinto Totta International Finance VAR, 7.77% (e) | $ | 6,983 | ||||||||
Commercial Banks - 0.1% | |||||||||||
400 | Royal Bank of Scotland Group plc ADR (United Kingdom) Series 1, 9.12%, 12/31/49 | 472 | |||||||||
Consumer Finance - 0.2% | |||||||||||
13 | SLM Corp. Series B, VAR, 4.07% (m) | 1,259 | |||||||||
Total Preferred Stocks (Cost $9,300) | 8,714 | ||||||||||
PRINCIPAL AMOUNT | |||||||||||
Asset Backed Securities - 11.3% | |||||||||||
$ | 2,858 | American Express Credit Account Master Trust Series 2004-C, Class C, FRN, 4.07%, 02/15/12 (e) (m) | 2,866 | ||||||||
AmeriCredit Automobile Receivables Trust | |||||||||||
2,800 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 2,722 | |||||||||
4,900 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 4,901 | |||||||||
550 | Capital One Auto Finance Trust Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 543 | |||||||||
Capital One Multi-Asset Execution Trust | |||||||||||
4,400 | Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 4,354 | |||||||||
1,300 | Series 2005-A2, Class A2, 4.05%, 02/15/11 (m) | 1,296 | |||||||||
3,650 | Carmax Auto Owner Trust Series 2003-2, Class A4, 3.07%, 10/15/10 (m) | 3,590 | |||||||||
CARSS Finance LP (Cayman Islands) | |||||||||||
361 | Series 2004-A, Class B1, FRN, 3.85%, 01/15/11 (e) (m) | 361 | |||||||||
843 | Series 2004-A, Class B2, FRN, 4.52%, 01/15/11 (e) (m) | 844 | |||||||||
Citibank Credit Card Issuance Trust | |||||||||||
4,375 | Series 2001-C3, Class C3, 6.65%, 05/15/08 (m) | 4,449 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Asset Backed Securities - Continued | |||||||||||
$ | 4,000 | Series 2002-B1, Class B1, FRN, 3.80%, 06/25/09 (m) | $ | 4,013 | |||||||
5,050 | Series 2003-C2, Class C2, FRN, 4.43%, 03/20/08 (m) | 5,070 | |||||||||
Countrywide Asset-Backed Certificates | |||||||||||
2,566 | Series 2003-5, Class AF3, 3.61%, 04/25/30 (m) | 2,555 | |||||||||
2,200 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 2,193 | |||||||||
1,650 | Daimler Chrysler Auto Trust Series 2005-B, Class A4, 4.20%, 07/08/10 (m) | 1,649 | |||||||||
777 | EQCC Home Equity Loan Trust Series 2002-1, Class 2A, FRN, 3.94%, 11/25/31 (m) | 779 | |||||||||
1,700 | Household Automotive Trust Series 2003-2, Class A4, 3.02%, 12/17/10 | 1,671 | |||||||||
4,000 | Long Beach Mortgage Loan Trust Series 2004-3, Class M1, FRN, 4.21%, 07/25/34 | 4,034 | |||||||||
3,900 | New Century Home Equity Loan Trust Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 | 3,890 | |||||||||
1,900 | Providian Gateway Master Trust Series 2004-DA, Class D, 4.40%, 09/15/11 (e) | 1,880 | |||||||||
4,100 | SLM Student Loan Trust Series 2003-11, Class A5, 2.99%, 12/15/22 (e) | 4,037 | |||||||||
WFS Financial Owner Trust | |||||||||||
6,400 | Series 2003-3, Class A4, 3.25%, 05/20/11 | 6,327 | |||||||||
4,392 | Series 2002-2, Class A4, SUB, 4.50%, 02/20/10 | 4,400 | |||||||||
3,500 | World Omni Auto Receivables Trust Series 2003-B, Class A4, 2.87%, 11/15/10 | 3,434 | |||||||||
Total Asset Backed Securities (Cost $72,401) | 71,858 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 64
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Collateralized Mortgage Obligations - 27.4% | |||||||||||
Agency CMO - 10.2% | |||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||
$ | 2,829 | Series 1565, Class P, 6.00%, 08/15/08 (m) | $ | 2,875 | |||||||
8,364 | Series 2564, Class LS, IO, FRN, 4.08%, 01/15/17 (m) | 638 | |||||||||
11,325 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 631 | |||||||||
4,056 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 503 | |||||||||
10,286 | Series 2750, Class IQ, IO, 5.00%, 10/15/21 (m) | 781 | |||||||||
9,407 | Series 2780, Class IE, IO, 4.50%, 05/15/11 (m) | 372 | |||||||||
17,708 | Series 2791, Class SI, IF, IO, 3.58%, 12/15/31 (m) | 1,280 | |||||||||
17,896 | Series 2814, Class S, IF, FRN, IO, 3.53%, 10/15/30 (m) | 985 | |||||||||
11,250 | Series 2852, IO, 5.00%, 11/15/25 (m) | 1,404 | |||||||||
6,718 | Series 2894, Class S, IO, FRN, 3.63%, 03/15/31 (m) | 542 | |||||||||
6,500 | Series 2929, Class PB, 5.00%, 09/15/24 (m) | 6,576 | |||||||||
3,950 | Series 2931, Class GA, 5.00%, 11/15/28 (m) | 4,001 | |||||||||
7,920 | Series 2939, Class HP, 5.00%, 04/15/28 (m) | 8,010 | |||||||||
9,080 | Series 2975, Class HA, 5.50%, 07/15/23 (m) | 9,263 | |||||||||
9,800 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) | 1,121 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS | |||||||||||
1,865 | Series 227, IO, 5.00%, 12/01/34 (m) | 399 | |||||||||
11,803 | Series 232, IO, 5.00%, 08/01/35 (m) | 2,530 | |||||||||
Federal National Mortgage Association | |||||||||||
14,159 | Series 2004-61, Class TS, IF, IO, 3.46%, 10/25/31 (m) | 788 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Agency CMO - Continued | |||||||||||
$ | 3,854 | Series 2005-41, Class WA, 5.50%, 10/25/23 (m) | $ | 3,928 | |||||||
5,625 | Series 2005-55, Class LC, 5.50%, 03/25/24 (m) | 5,734 | |||||||||
39,797 | Federal National Mortgage Association Interest STRIPS Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 8,569 | |||||||||
Government National Mortgage Association | |||||||||||
41,634 | Series 2003-85, Class CS, IF, IO, 3.59%, 02/20/24 | 2,309 | |||||||||
13,001 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 | 1,127 | |||||||||
64,366 | |||||||||||
Non-Agency CMO - 17.2% | |||||||||||
1,398 | ABN Amro Mortgage Corp. Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 1,393 | |||||||||
1,250 | Banc of America Commercial Mortgage, Inc. Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,237 | |||||||||
2,873 | Bank of America Alternative Loan Trust Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 2,905 | |||||||||
10,136 | CalSTRS Trust Series 2002-C6, Class A2, 3.99%, 11/20/12 (e) (m) | 10,073 | |||||||||
1,973 | Calwest Industrial Trust Series 2003-CALA, Class A, FRN, 3.84%, 06/15/15 (e) (m) | 1,974 | |||||||||
3,600 | Citigroup Mortgage Loan Trust, Inc. Series 2005-WF2, Class AF4, SUB, 1.00%, 08/25/35 | 3,600 | |||||||||
2,594 | CR Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) (i) (m) | 2,747 | |||||||||
3,700 | CS First Boston Mortgage Securities Corp. Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 3,678 | |||||||||
2,686 | First Union Commercial Mortgage Securities, Inc. Series 1997-C1, Class A3, 7.38%, 04/18/29 (m) | 2,768 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 65
JPMorgan Short Term Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Non-Agency CMO - Continued | |||||||||||
$ | 4,100 | Greenwich Capital Commercial Funding Corp. Series 2005-GG3, Class A2, VAR, 4.31%, 08/10/42 | $ | 4,074 | |||||||
5,550 | GS Mortgage Securities Corp. II Series 2004-GG2, Class A3, 4.60%, 08/10/38 (m) | 5,584 | |||||||||
LB-UBS Commercial Mortgage Trust | |||||||||||
2,950 | Series 2003-C1, Class A2, 3.32%, 03/15/27 | 2,884 | |||||||||
7,300 | Series 2003-C5, Class A2, 3.48%, 07/15/27 | 7,156 | |||||||||
8,300 | Series 2004-C7, Class A2, 3.99%, 10/15/29 | 8,151 | |||||||||
295 | Mastr Adjustable Rate Mortgages Trust Series 2003-6, Class 1A1, FRN, 2.31%, 12/25/33 | 294 | |||||||||
6,941 | Morgan Stanley Capital I Series 1998-HF2, Class A2, 6.48%, 11/15/30 | 7,275 | |||||||||
7,163 | Structured Adjustable Rate Mortgage Loan Trust Series 2004-6, Class 5A1, VAR, 5.01%, 06/25/34 | 7,138 | |||||||||
4,179 | Structured Asset Securities Corp. Series 2005-5, Class 2A1, 5.50%, 04/25/35 | 4,190 | |||||||||
7,900 | Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Class A2, 4.78%, 03/15/42 | 7,989 | |||||||||
10,230 | Washington Mutual, Inc. Series 2004-S3, Class 2A1, 5.50%, 07/25/34 | 10,287 | |||||||||
Wells Fargo Mortgage Backed Securities Trust | |||||||||||
3,540 | Series 2003-N, Class 1A4, FRN, 4.62%, 12/25/33 | 3,541 | |||||||||
10,100 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 | 10,033 | |||||||||
108,971 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $177,711) | 173,337 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Corporate Bonds - 41.9% Automobiles - 1.1% | |||||||||||
$ | 3,000 | DaimlerChrysler NA Holding Corp. 4.13%, 03/07/07 (m) | $ | 2,978 | |||||||
3,950 | DaimlerChrysler NA Holding Corp. FRN, 4.43%, 05/24/06 (m) | 3,963 | |||||||||
6,941 | |||||||||||
Building Products - 0.8% | |||||||||||
2,650 | Centex Corp. 4.88%, 08/15/08 (m) | 2,667 | |||||||||
2,301 | Saint-Gobain Nederland BV (Netherlands) 5.38%, 06/20/07 | 2,335 | |||||||||
5,002 | |||||||||||
Chemicals - 0.6% | |||||||||||
3,500 | Huntsman International LLC 9.88%, 03/01/09 | 3,728 | |||||||||
Commercial Banks - 17.4% | |||||||||||
1,764 | Abbey National plc (United Kingdom) VAR 7.35%, 12/31/49 (m) | 1,820 | |||||||||
2,500 | Bacob Bank SC (Belgium) VAR, 7.25%, 12/31/49 (e) (m) | 2,629 | |||||||||
2,800 | BBVA Bancomer Capital Trust I (Mexico) 10.50%, 02/16/11 (e) (m) | 2,874 | |||||||||
2,650 | BBVA Bancomer S.A. (Cayman Islands) VAR, 5.38%, 07/22/15 (e) (m) | 2,710 | |||||||||
3,600 | BNP US Funding LLC VAR, 7.74%, 12/31/49 (e) (m) | 3,841 | |||||||||
1,200 | Chohung Bank (South Korea) VAR, 4.63%, 11/03/14 (e) (m) | 1,179 | |||||||||
11,450 | Deutsche Bank AG (Germany) FRN 4.02%, 05/15/07 (m) | 11,449 | |||||||||
1,300 | Deutsche Bank Capital Funding Trust I (Germany) VAR, 7.87%, 12/31/49 (e) (m) | 1,445 | |||||||||
3,500 | ForeningsSparbanken AB (Sweden) VAR, 7.50%, 12/31/49 (e) | 3,618 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 66
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Commercial Banks - Continued | |||||||||||
$ | 2,000 | HSBC Capital Funding LP/Jersey Channel Islands (Jersey) VAR, 9.55%, 12/31/49 (e) | $ | 2,408 | |||||||
4,050 | Industrial Bank of Korea (South Korea) VAR, 4.00%, 05/19/14 (e) | 3,915 | |||||||||
2,000 | KBC Bank Funding Trust III VAR, 9.86%, 11/29/49 (e) | 2,384 | |||||||||
Koram Bank (South Korea) | |||||||||||
3,350 | VAR 4.68%, 06/18/13 | 3,304 | |||||||||
2,800 | 6.95%, 12/06/11 | 2,874 | |||||||||
5,000 | Korea First Bank (South Korea) VAR, 6.25%, 10/02/13 | 5,187 | |||||||||
2,000 | Mizuho Preferred Capital Co. LLC VAR, 8.79%, 12/31/49 (e) | 2,201 | |||||||||
5,905 | Natexis Ambs Co. LLC VAR, 8.44%, 12/31/49 (e) | 6,500 | |||||||||
1,700 | Nordea Bank Finland plc VAR, 7.50%, 12/31/49 (e) | 1,769 | |||||||||
1,150 | Popular North America, Inc. 6.13%, 10/15/06 | 1,167 | |||||||||
6,795 | Royal Bank of Scotland Group plc (United Kingdom) Series 3, 7.82%, 12/31/49 | 6,873 | |||||||||
11,000 | Sigma Finance Corp. 3.71%, 09/15/06 (e) (i) (m) | 11,000 | |||||||||
5,150 | Skandinaviska Enskilda Banken AB (Sweden) VAR, 8.12%, 09/06/49 (e) | 5,339 | |||||||||
2,600 | Sovereign Bank VAR 4.38%, 08/01/13 | 2,583 | |||||||||
2,950 | Svenska Handelsbanken (Sweden) VAR, 7.12%, 12/31/49 (e) | 3,060 | |||||||||
7,800 | UBS AG FRN, 4.15%, 07/20/06 | 7,792 | |||||||||
2,000 | Unicredito Italiano Capital Trust II VAR, 9.20%, 12/31/49 (e) | 2,391 | |||||||||
Woori Bank (South Korea) | |||||||||||
2,150 | 4.50%, 12/08/09 (e) | 2,138 | |||||||||
1,430 | VAR, 5.75%, 03/13/14 (e) | 1,468 | |||||||||
4,650 | Zions Bancorp. 2.70%, 05/01/06 (m) | 4,607 | |||||||||
110,525 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Consumer Finance - 0.7% | |||||||||||
$ | 2,250 | Ford Motor Credit Co. 4.95%, 01/15/08 (m) | $ | 2,164 | |||||||
900 | General Motors Acceptance Corp. 6.75%, 01/15/06 (m) | 905 | |||||||||
1,250 | MBNA America Bank NA 4.63%, 08/03/09 | 1,262 | |||||||||
4,331 | |||||||||||
Containers & Packaging - 0.6% | |||||||||||
3,500 | Smurfit-Stone Container Enterprises, Inc. 9.75%, 02/01/11 | 3,653 | |||||||||
Diversified Financial Services - 4.2% | |||||||||||
Counts Trust | |||||||||||
3,450 | Series 2002-10, FRN, 4.57%, 08/15/07 (e) (i) (m) | 3,476 | |||||||||
3,450 | Series 2002-11, FRN, 4.62%, 08/15/07 (e) (i) (m) | 3,476 | |||||||||
International Lease Finance Corp. | |||||||||||
1,400 | 3.13%, 05/03/07 | 1,372 | |||||||||
2,100 | 4.35%, 09/15/08 | 2,090 | |||||||||
1,650 | Mantis Reef Ltd. (Australia) 4.69%, 11/14/08 (e) | 1,642 | |||||||||
Racers | |||||||||||
6,100 | Series 2005-16, Class C, FRN, 3.50%, 09/20/07 (e) (i) | 6,075 | |||||||||
3,300 | Series 2005-7, Class C, FRN, 3.52%, 05/09/06 (e) (i) (m) | 3,294 | |||||||||
1,700 | Tokai Preferred Capital Co. LLC FRN, 9.98%, 12/31/49 (e) | 1,855 | |||||||||
3,100 | Twin Reefs Pass-Through Trust FRN, 4.57%, 12/31/49 (e) | 3,093 | |||||||||
26,373 | |||||||||||
Diversified Telecommunication Services - 2.2% | |||||||||||
3,300 | Alltel Corp. 4.66%, 05/17/07 (m) | 3,320 | |||||||||
3,700 | British Telecommunications plc (United Kingdom) 7.75%, 12/15/05 (m) | 3,738 | |||||||||
3,050 | France Telecom S.A. (France) 7.45%, 03/01/06 (m) | 3,096 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 67
JPMorgan Short Term Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Diversified Telecommunication Services - Continued | |||||||||||
$ | 600 | New York Telephone Co. 6.00%, 04/15/08 | $ | 620 | |||||||
2,000 | Sprint Capital Corp. SUB, 4.78%, 08/17/06 (m) | 2,010 | |||||||||
1,450 | Telecom Italia Capital S.A. (Luxembourg) 4.00%, 01/15/10 (e) | 1,412 | |||||||||
14,196 | |||||||||||
Electric Utilities - 1.3% | |||||||||||
1,600 | CC Funding Trust I 6.90%, 02/16/07 (m) | 1,655 | |||||||||
1,450 | Dominion Resources, Inc. Series G, SUB, 3.66%, 11/15/06 (m) | 1,440 | |||||||||
1,500 | Pacificorp 5.65%, 11/01/06 | 1,524 | |||||||||
3,300 | PSEG Funding Trust I 5.38%, 11/16/07 | 3,352 | |||||||||
7,971 | |||||||||||
Gas Utilities - 0.5% | |||||||||||
1,790 | Texas Municipal Gas Corp. 2.60%, 07/01/07 (e) | 1,764 | |||||||||
1,500 | Kinder Morgan Energy Partners LP 6.30%, 02/01/09 | 1,574 | |||||||||
3,338 | |||||||||||
Health Care Equipment & Supplies - 0.2% | |||||||||||
950 | Hospira, Inc. 4.95%, 06/15/09 | 964 | |||||||||
Hotels, Restaurants & Leisure - 1.4% | |||||||||||
2,650 | Caesars Entertainment, Inc. 7.88%, 12/15/05 | 2,667 | |||||||||
3,500 | Host Marriott LP 9.25%, 10/01/07 | 3,745 | |||||||||
2,650 | Starwood Hotels & Resorts Worldwide, Inc. 7.38%, 05/01/07 | 2,746 | |||||||||
9,158 | |||||||||||
Insurance - 4.2% | |||||||||||
5,350 | ASIF Global Financing FRN, 3.65%, 03/14/08 (e) (m) | 5,363 | |||||||||
8,200 | Links Finance LLC FRN, 3.75%, 09/15/08 (e) (i) | 8,199 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Insurance - Continued | |||||||||||
$ | 750 | Nippon Life Insurance (Japan) 4.88%, 08/09/10 | $ | 753 | |||||||
3,650 | Oil Insurance Ltd. (Bermuda) VAR, 3.73%, 04/08/09 (e) (i) (m) | 3,651 | |||||||||
3,100 | Platinum Underwriters Holdings Ltd. (Bermuda) 6.37%, 11/16/07 (e) | 3,149 | |||||||||
1,300 | St. Paul Travelers Cos, Inc. (The) 5.01%, 08/16/07 | 1,312 | |||||||||
4,150 | Two-Rock Pass Through Trust (Bermuda) FRN, 4.72%, 12/31/49 (e) | 4,120 | |||||||||
26,547 | |||||||||||
Internet & Catalog Retail - 0.6% | |||||||||||
3,500 | RH Donnelley, Inc. 8.88%, 12/15/10 | 3,784 | |||||||||
Media - 1.0% | |||||||||||
2,600 | Comcast Cable Communications, Inc. 6.20%, 11/15/08 (m) | 2,731 | |||||||||
850 | Dex Media East LLC/Dex Media East Finance Co. 12.13%, 11/15/12 (m) | 1,005 | |||||||||
2,650 | Echostar DBS Corp. 9.13%, 01/15/09 (m) | 2,799 | |||||||||
6,535 | |||||||||||
Multi-Utilities - 0.2% | |||||||||||
1,400 | Duke Capital LLC 4.33%, 11/16/06 (m) | 1,397 | |||||||||
Oil, Gas & Consumable Fuels - 1.0% | |||||||||||
1,800 | Pemex Project Funding Master Trust FRN, 4.71%, 06/15/10 (e) | 1,867 | |||||||||
4,000 | Salomon Brothers AG for OAO Gazprom (Germany) 9.13%, 04/25/07 | 4,260 | |||||||||
6,127 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 68
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Paper & Forest Products - 0.3% | |||||||||||
$ | 2,000 | Georgia Pacific Corp. 7.38%, 07/15/08 (m) | $ | 2,110 | |||||||
Property & Casualty Insurance - 0.7% | |||||||||||
4,700 | Chubb Corp. 4.93%, 11/16/07 (m) | 4,753 | |||||||||
Real Estate - 1.1% | |||||||||||
iStar Financial, Inc., REIT | |||||||||||
2,000 | 4.88%, 01/15/09 | 1,997 | |||||||||
950 | 5.38%, 04/15/10 | 962 | |||||||||
3,850 | Simon Property Group LP 3.75%, 01/30/09 | 3,744 | |||||||||
6,703 | |||||||||||
Thrifts & Mortgage Finance - 1.8% | |||||||||||
2,150 | Countrywide Home Loans, Inc. 2.88%, 02/15/07 (m) | 2,108 | |||||||||
6,750 | Spintab AB (Sweden) VAR, 7.50%, 12/31/49 (e) | 6,947 | |||||||||
2,500 | Washington Mutual, Inc. 7.50%, 08/15/06 (m) | 2,564 | |||||||||
11,619 | |||||||||||
Total Corporate Bonds (Cost $267,804) | 265,755 | ||||||||||
Foreign Government Securities - 4.2% | |||||||||||
EUR | 4,050 | Bundesrepublik Deutschland (Germany) 4.75%, 07/04/34 | 6,026 | ||||||||
$ | 4,250 | Government of Chile (Chile) FRN 4.07%, 01/28/08 (m) | 4,271 | ||||||||
3,543 | Government of Columbia (Columbia) 9.75%, 04/09/11 (m) | 4,004 | |||||||||
EUR | 3,950 | Government of France (France) 5.75%, 10/25/32 | 6,677 | ||||||||
$ | 2,250 | Government of Ukraine (Ukraine) 7.65%, 06/11/13 | 2,475 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Foreign Government Securities - Continued | |||||||||||
$ | 3,170 | National Agricultural Cooperative Federation (South Korea) VAR, 5.75%, 06/18/14 | $ | 3,228 | |||||||
Total Foreign Government Securities (Cost $25,985) | 26,681 | ||||||||||
Municipal Bonds - 1.6% | |||||||||||
Illinois - 0.4% | |||||||||||
2,350 | State of Illinois, Taxable, Pension GO, 2.50%, 06/01/08 | 2,248 | |||||||||
South Carolina - 0.7% | |||||||||||
4,700 | South Carolina Student Loan Corp. Series A-1, Rev., VAR, GTD Student Loans, 3.50%, 06/01/33 | 4,700 | |||||||||
Texas - 0.5% | |||||||||||
3,150 | Texas State Public Financing Authority, Taxable, Unemployment Compensation Series B, Rev., 2.63%, 06/15/06 | 3,113 | |||||||||
Total Municipal Bonds (Cost $10,196) | 10,061 | ||||||||||
U.S. Government Agency Mortgages - 26.0% | |||||||||||
Federal National Mortgage Association Pool | |||||||||||
26,450 | TBA, 5.10%, 09/25/35 | 26,268 | |||||||||
137,140 | TBA, 5.50%, 09/25/35 | 138,511 | |||||||||
Total U.S. Government Agency Mortgages (Cost $163,758) | 164,779 | ||||||||||
U.S. Treasury Obligations - 0.4% | |||||||||||
2,547 | U.S. Treasury Notes 1.63%, 01/15/15 (k) (Cost $2,479) | 2,544 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 69
JPMorgan Short Term Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Options Purchased - 0.0% (g) | |||||||||||
Call Options Purchased - 0.0% (g) | |||||||||||
1 | Call Option on Federal Fund 30 Day, expiring 09/19/05 @96.25 | $ | 4 | ||||||||
39,800 | Call Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @100.28, European Style (Cost $202) | 270 | |||||||||
274 | |||||||||||
Put Options Purchased - 0.0% (g) | |||||||||||
31,000 | Put Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @97.58, European Style (Cost $213) | 17 | |||||||||
Total Options Purchased (Cost $415) | 291 | ||||||||||
Total Long-Term Investments (Cost $730,049) | 724,020 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Short-Term Investments - 11.8% | |||||||||||
U.S. Treasury Securities - 0.2% | |||||||||||
$ | 1,500 | U.S. Treasury Bills 3.52%, 12/01/05 (k) (m) (n) | $ | 1,487 | |||||||
SHARES | |||||||||||
Investment Company - 11.6% | |||||||||||
73,385 | JPMorgan Prime Money Market Fund (b) (m) | 73,385 | |||||||||
Total Short-Term Investments (Cost $74,872) | 74,872 | ||||||||||
Total Investments - 126.0% (Cost $804,921) | 798,892 | ||||||||||
Liabilities in Excess of Other Assets - (26.0)% | (165,004 | ) | |||||||||
NET ASSETS - 100.0% | $ | 633,888 |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 70
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
Futures Contracts
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 8/31/05 (USD) | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | |||||||||||||||
Long Futures Outstanding | |||||||||||||||||||
165 | Eurodollars | December, 2005 | $ | 39,567 | $ | (249 | ) | ||||||||||||
30 | 2 Year U.S. Treasury Notes | December, 2005 | 6,213 | 27 | |||||||||||||||
22 | 5 Year U.S. Treasury Notes | December, 2005 | 2,384 | - | (h) | ||||||||||||||
218 | 10 Year U.S. Treasury Notes | December, 2005 | 24,433 | 196 | |||||||||||||||
Short Futures Outstanding | |||||||||||||||||||
(181 | ) | EURO-BUND | September, 2005 | (27,677 | ) | (278 | ) | ||||||||||||
(87 | ) | 10 U.S. Treasury Notes | December, 2005 | (9,751 | ) | (112 | ) | ||||||||||||
(82 | ) | Eurodollars | December, 2006 | (19,639 | ) | 85 | |||||||||||||
(83 | ) | Eurodollars | December, 2007 | (19,867 | ) | (57 | ) | ||||||||||||
$ | (388 | ) |
Forward Foreign Currency Exchange Contracts
CONTRACTS TO SELL | SETTLEMENT DATE | SETTLEMENT VALUE (USD) | VALUE AT 8/31/05 (USD) | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | |||||||||||||||||||
10,560 | EUR | 11/18/05 | $ | 13,075 | $ | 13,075 | $ | - | (b) |
Options Written
UNITS | CALL OPTIONS WRITTEN | VALUE | |||||||||
79,600 | Call option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @96.56, European Style | $ | (298 | ) | |||||||
PUT OPTIONS WRITTEN | |||||||||||
62,000 | Put option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @100.71, European Style | $ | (10 | ) | |||||||
Total Options Written | $ | (308 | ) | ||||||||
(Premiums received $378) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 71
JPMorgan Short Term Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
Swap Contracts
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - price lock with Credit Suisse First Boston International on U.S. Treasury Note, 3.38%, 02/15/08, price less 98.39, the Fund receives positive, pays negative. | 09/07/05 | $ | 11,700 | $ | 61 | ||||||||||
Swap - price lock with Credit Suisse First Boston International on U.S. Treasury Note, 3.38%, 02/28/07, price less 99.07, the Fund receives positive, pays negative. | 09/07/05 | 142,600 | 399 | ||||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 5.50%, 09/05, price less 100.03, the Fund receives negative, pays positive. | 09/07/05 | 25,700 | (241 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 6.50%, 09/05, price less 103.20, the Fund receives positive, pays negative. | 09/07/05 | 10,000 | 8 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 30 Year FNMA, 6.50%, 09/05, price less 103.18, the Fund receives positive, pays negative. | 09/07/05 | 55,000 | 43 | ||||||||||||
Swap - price lock with Credit Suisse First Boston International on U.S. Treasury Note, 2.63%, 03/15/09, price less 95.12, the Fund receives negative, pays positive. | 09/08/05 | 91,700 | (796 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 5.50%, TBA, 10/05, price less 100.44, the Fund receives negative, pays positive. | 10/06/05 | 4,000 | (15 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.50%, TBA, 04/15/15, price less 101.67, the Fund receives positive, pays negative. | 10/06/05 | 31,000 | 76 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 4.50%, TBA, 10/05, price less 98.09, the Fund receives negative, pays positive. | 10/06/05 | 13,300 | (129 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 30 Year FNMA, 5.50%, TBA, 10/05, price less 100.41, the Fund receives negative, pays positive. | 10/06/05 | 22,000 | (86 | ) | |||||||||||
Swap - price lock with Morgan Stanley Capital Services on 30 Year FNMA, 5.50%, TBA, 10/05, price less 100.21, the Fund receives negative, pays positive. | 10/06/05 | 44,000 | (218 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.00%, TBA, 10/05, price less 99.58, the Fund receives positive, pays negative. | 10/11/05 | 66,000 | 639 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.50%, TBA, 10/05, price less 101.34, the Fund receives positive, pays negative. | 10/11/05 | 15,000 | 101 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.50%, TBA, 10/05, price less 101.47, the Fund receives negative, pays positive. | 10/11/05 | 33,000 | (190 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 72
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 4.50%, TBA, 10/05, price less 97.44, the Fund receives negative, pays positive. | 10/11/05 | $ | 9,000 | $ | (146 | ) | |||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 4.50%, TBA, 10/05, price less 97.62, the Fund receives negative, pays positive. | 10/11/05 | 33,000 | (476 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on U.S. Treasury Note, 4.25%, 08/15/15, price less 99.90, the Fund receives positive, pays negative. | 10/19/05 | 8,205 | 151 | ||||||||||||
Swap - spread lock with Citibank, N.A. on 4 Year Spread Lock, price less 43.00 BPS, the Fund receives positive, pays negative. | 11/01/05 | 19,000 | (11 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 4.50%, TBA, 11/05, price less 95.73, the Fund receives negative, pays positive. | 11/07/05 | 16,000 | (168 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 5.50%, TBA, 11/05, price less 100.11, the Fund receives positive, pays negative. | 11/07/05 | 28,000 | 162 | ||||||||||||
Swap - price lock with Credit Suisse First Boston International on U.S. Treasury Note, 3.88%, 07/31/07, price less 99.46, the Fund receives positive, pays negative. | 11/09/05 | 65,000 | 334 | ||||||||||||
Credit default contract with Citibank, N.A., Fund receives quarterly payment of 1.25 (5 per annum) BPS times notional amount of Cargill, Inc., 4.38%, 06/01/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/02/05 | 4,700 | 1 | ||||||||||||
Credit default contract with Citibank, N.A., Fund receives quarterly payment of 6.75 (27 per annum) BPS times notional amount of Amerada Hess Corp., 6.65%, 08/15/11. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/20/05 | 2,600 | 2 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 3.50 (14 per annum) BPS times notional amount of Wachovia Corp., 3.63%, 02/17/09. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/20/05 | 10,000 | 6 | ||||||||||||
Swap - Forward Rate Agreement with Merrill Lynch Capital Services, the Fund receives 4.40% quarterly and pays 3 month LIBOR. | 06/21/06 | 506,000 | 385 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 4.75 (19 per annum) BPS times notional amount of Prudential, 6.38%, 06/23/09. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 09/20/06 | 7,600 | 10 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 4 (16 per annum) BPS times notional amount of Coca Cola, 5.75%, 03/15/11. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/31/06 | 5,300 | 9 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 73
JPMorgan Short Term Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 52.5 (105 per annum) BPS times notional amount of Brazilian Government, 12.25%, 03/06/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/07 | $ | 8,200 | $ | (61 | ) | |||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 58.75 (235 per annum) BPS times notional amount of Brazil Government, 12.25%, 03/6/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/07 | 8,200 | 211 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 12 (48 per annum) BPS times notional amount of Suntrust Capital III, 2.48%, 03/15/28. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/30/07 | 7,600 | 14 | ||||||||||||
Swap - Interest Rate with Citibank, N.A. , the Fund receives 4.31% quarterly and pays 3 month LIBOR. | 07/30/07 | 29,600 | 21 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.49% quarterly and pays 3 month LIBOR. | 08/13/07 | 30,000 | 115 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.45% quarterly and pays 3 month LIBOR. | 08/15/07 | 15,000 | 45 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.48% quarterly and pays 3 month LIBOR. | 08/15/07 | 18,500 | 67 | ||||||||||||
Credit default contract with Citibank, N.A., Fund receives quarterly payment of 3.5 (14 per annum) BPS times notional amount of General Electric Capital Corp., 3.50%, 05/01/08. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/20/07 | 15,000 | 11 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 5 (20 per annum) BPS times notional amount of Berkshire Hathaway, Inc., 9.75%, 01/15/08. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 03/20/10 | 12,100 | 11 | ||||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 77.5 (155 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 10,000 | (405 | ) | |||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 125 (250 per annum) BPS times notional amount of Gazpru, 8.63%, 04/28/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 10,000 | 548 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 74
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 121.5 (243 per annum) BPS times notional amount of Gazpru, 8.63%, 04/28/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | $ | 10,000 | $ | 512 | ||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 76 (152 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 10,000 | (389 | ) | |||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 70 (140 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 7,000 | 218 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund pays semi-annual payment of 56 (112 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 7,000 | (145 | ) | |||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund pays semi-annual payment of 72 (144 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 31,000 | (909 | ) | |||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 71 (142 per annum) BPS times notional amount of Aries, 9.60%, 10/25/14. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 31,000 | 1,012 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 62.5 (125 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 20,000 | 432 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund pays semi-annual payment of 56.5 (113 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 20,000 | (348 | ) | |||||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 50 (100 per annum) BPS times notional amount of United Mexican States, 8.30%, 08/15/31. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 05/20/10 | 7,000 | 103 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 75
JPMorgan Short Term Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 58.25 (116.5 per annum) BPS times notional amount of Pemex, 9.50%, 09/15/27. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 05/20/10 | $ | 7,000 | $ | (95 | ) | |||||||||
Credit default contract with Citibank, N.A., Fund receives semi-annual payment of 52.5 (105 per annum) BPS times notional amount of United Mexican States, 8.30%, 08/15/31. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 5,000 | 81 | ||||||||||||
Credit default contract with Citibank, N.A., Fund pays semi-annual payment of 62.5 (125 per annum) BPS times notional amount of Pemex, 9.50%, 09/15/27. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 5,000 | (82 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund receives semi-annual payment of 52 (104 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 4,000 | 58 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund pays semi-annual payment of 52.5 (105 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 4,000 | (59 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund pays semi-annual payment of 48 (96 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 07/20/10 | 10,000 | (100 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund receives semi-annual payment of 50.5 (101 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | 10,000 | 125 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund receives semi-annual payment of 95 (190 per annum) BPS times notional amount of Government of Ukraine, 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | 10,000 | 89 | ||||||||||||
Credit default contract with Morgan Stanley Capital Services, Fund pays semi-annual payment of 45 (90 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 07/20/10 | 10,000 | (53 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 76
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.49% quarterly and receives 3 month LIBOR. | 07/29/10 | $ | 12,825 | $ | (118 | ) | |||||||||
Swap - Interest Rate with Credit Suisse First Boston International, the Fund pays 4.53% quarterly and receives 3 month LIBOR. | 08/01/10 | 7,040 | (82 | ) | |||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund pays 4.60% quarterly and receives 3 month LIBOR. | 08/04/10 | 17,600 | (258 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.19% quarterly and receives 3 month LIBOR. | 08/08/10 | 13,785 | 59 | ||||||||||||
Swap - Interest Rate with Citibank, N.A. , the Fund pays 4.67% quarterly and receives 3 month LIBOR. | 08/12/10 | 12,900 | (221 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.66% quarterly and receives 3 month LIBOR. | 08/16/10 | 8,000 | (134 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.61% quarterly and receives 3 month LIBOR. | 08/16/10 | 6,450 | (93 | ) | |||||||||||
Swap - Interest Rate with Merrill Lynch Capital Servicing, the Fund pays 4.58% quarterly and receives 3 month LIBOR. | 08/16/10 | 7,070 | (91 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund receives semi-annual payment of 86.5 (173 per annum) BPS times notional amount of Government of Ukraine, 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 15,000 | (6 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund pays semi-annual payment of 37.5 (75 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 08/20/10 | 15,000 | 8 | ||||||||||||
Credit default contract with Morgan Stanley Capital Servicing, Fund receives semi-annual payment of 85 (170 per annum) BPS times notional amount of Government of Ukraine, 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 12,000 | (28 | ) | |||||||||||
Credit default contract with Morgan Stanley Capital Servicing, Fund pays semi-annual payment of 37.5 (75 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 08/20/10 | 12,000 | 27 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund pays semi-annual payment of 45 (90 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 08/20/10 | 6,500 | (43 | ) | |||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 92 (184 per annum) BPS times notional amount of Government of Ukraine, 7.65%, 06/11/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 08/20/10 | 6,500 | 31 | ||||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund receives 5.02% semi-annually and pays 3 month LIBOR. | 08/04/35 | 5,000 | 259 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 77
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - 120.3% | |||||||||||
Asset Backed Securities - 17.2% | |||||||||||
$ | 4,721 | American Express Credit Account Master Trust Series 2004-C, Class C, FRN, 4.07%, 02/15/12 (e) (m) | $ | 4,734 | |||||||
AmeriCredit Automobile Receivables Trust | |||||||||||
3,650 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 3,549 | |||||||||
6,850 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 6,851 | |||||||||
3,000 | Capital Auto Receivables Asset Trust Series 2003-2, Class A4A, 1.96%, 01/15/09 (m) | 2,942 | |||||||||
1,800 | Capital One Auto Finance Trust Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 1,776 | |||||||||
6,500 | Capital One Master Trust Series 2000-4, Class C, FRN, 4.37%, 08/15/08 (e) (m) | 6,504 | |||||||||
3,600 | Capital One Multi-Asset Execution Trust Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 3,563 | |||||||||
6,200 | Carmax Auto Owner Trust Series 2003-2, Class A4, 3.07%, 10/15/10 (m) | 6,099 | |||||||||
1,987 | CARSS Finance LP (Cayman Islands) Series 2004-A, Class B1, FRN, 3.85%, 01/15/11(e) (m) | 1,987 | |||||||||
Citibank Credit Card Issuance Trust | |||||||||||
7,250 | Series 2001-C3, Class C3, 6.65%, 05/15/08 (m) | 7,373 | |||||||||
8,500 | Series 2003-C2, Class C2, FRN, 4.43%, 03/20/08 (m) | 8,534 | |||||||||
Countrywide Asset-Backed Certificates | |||||||||||
4,894 | Series 2003-5, Class AF3, 3.61%, 04/25/30 (m) | 4,874 | |||||||||
6,700 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 6,679 | |||||||||
11,700 | Gracechurch Card Funding plc (United Kingdom) Series 5, Class A2, 2.70%, 08/15/08 (m) | 11,543 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Asset Backed Securities - Continued | |||||||||||
$ | 7,000 | New Century Home Equity Loan Trust Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 | $ | 6,981 | |||||||
7,300 | Onyx Acceptance Grantor Trust Series 2003-D, Series A4, 3.20%, 03/15/10 | 7,219 | |||||||||
2,740 | Providian Gateway Master Trust Series 2004-DA, Class D, 4.40%, 09/15/11 (e) | 2,710 | |||||||||
3,186 | Residential Asset Securitization Trust Series 2003-KS7, Class AI3, 3.37%, 12/25/28 | 3,170 | |||||||||
6,900 | SLM Student Loan Trust Series 2003-11, Class A5, 2.99%, 12/15/22 (e) | 6,794 | |||||||||
7,900 | Triad Auto Receivables Owner Trust Series 2003-B, Class A4, 3.20%, 12/13/10 | 7,780 | |||||||||
Volkswagen Auto Loan Enhanced Trust | |||||||||||
7,300 | Series 2003-1, Class A4, 1.93%, 01/20/10 | 7,118 | |||||||||
4,300 | Series 2003-2, Class A4, 2.94%, 03/22/10 | 4,221 | |||||||||
15,600 | WFS Financial Owner Trust Series 2003-3, Class A4, 3.25%, 05/20/11 | 15,422 | |||||||||
7,200 | World Omni Auto Receivables Trust Series 2003-B, Class A4, 2.87%, 11/15/10 | 7,063 | |||||||||
Total Asset Backed Securities | 145,486 | ||||||||||
(Cost $147,086) | |||||||||||
Collateralized Mortgage Obligations - 30.4% | |||||||||||
Agency CMO - 9.7% | |||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||
11,675 | Series 2564, Class LS, IO, FRN, 4.08%, 01/15/17 (m) | 891 | |||||||||
24,535 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 1,367 | |||||||||
6,084 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 755 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 78
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Agency CMO - Continued | |||||||||||
$ | 5,984 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | $ | 480 | |||||||
26,562 | Series 2791, Class SI, IF, IO, 3.58%, 12/15/31 (m) | 1,919 | |||||||||
30,509 | Series 2813, Class SB, IF, IO, 3.48%, 02/15/34 (m) | 2,155 | |||||||||
47,452 | Series 2850, Class SM, IF, IO, 3.58%, 12/15/30 (m) | 2,639 | |||||||||
9,441 | Series 2894, Class S, IF, IO, 3.63%, 03/15/31 (m) | 761 | |||||||||
9,300 | Series 2929, Class PA, 5.00%, 08/15/18 (m) | 9,366 | |||||||||
9,831 | Series 2939, Class HP, 5.00%, 04/15/28 (m) | 9,943 | |||||||||
12,169 | Series 2975, Class HA, 5.50%, 07/15/23 (m) | 12,414 | |||||||||
9,800 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) | 1,121 | |||||||||
16,135 | Federal Home Loan Mortgage Corp. STRIPS Series 232, IO, 5.00%, 08/01/35 (m) | 3,459 | |||||||||
Federal National Mortgage Association | |||||||||||
9,327 | Series 2003-3, Class HS, IF, IO, 4.01%, 09/25/16 (m) | 708 | |||||||||
11,335 | Series 2004-61, Class TS, IF, IO, 3.46%, 10/25/31 (m) | 630 | |||||||||
5,734 | Series 2005-41, Class WA , 5.50%, 10/25/23 (m) | 5,845 | |||||||||
14,717 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 1,847 | |||||||||
10,473 | Series 2005-55, Class LC, 5.50%, 03/25/24 (m) | 10,677 | |||||||||
Federal National Mortgage Association Interest STRIPS | |||||||||||
1,828 | Series 353, Class 2, IO, 5.00%, 07/25/34 (m) | 382 | |||||||||
62,637 | Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 13,487 | |||||||||
Government National Mortgage Association | |||||||||||
18 | Series 2002-24, Class FA, FRN, 4.07%, 04/16/32 (m) | 18 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Agency CMO - Continued | |||||||||||
$ | 4,334 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | $ | 270 | |||||||
6,583 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 571 | |||||||||
2,583 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 138 | |||||||||
81,843 | |||||||||||
Non-Agency - 20.7% | |||||||||||
2,182 | ABN Amro Mortgage Corp. Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 2,173 | |||||||||
1,950 | Banc of America Commercial Mortgage, Inc. Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,930 | |||||||||
4,704 | Bank of America Alternative Loan Trust Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 4,756 | |||||||||
18,527 | CalSTRS Trust Series 2002-C6, Class A2, 3.99%, 11/20/12 (e) (m) | 18,412 | |||||||||
3,339 | Calwest Industrial Trust Series 2003-CALA, Class A, FRN, 3.84%, 06/15/15 (e) (m) | 3,341 | |||||||||
5,100 | Citigroup Mortgage Loan Trust, Inc. Series 2005-WF2, Class AF4, SUB, 1.00%, 08/25/35 | 5,100 | |||||||||
3,990 | CR Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) (i) (m) | 4,227 | |||||||||
6,200 | CS First Boston Mortgage Securities Corp. Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 6,163 | |||||||||
4,600 | First Union Commercial Mortgage Securities, Inc. Series 1997-C1, Class A3, 7.38%, 04/18/29 (m) | 4,742 | |||||||||
5,900 | Greenwich Capital Commercial Funding Corp Series 2005-GG3, Class A2, VAR, 4.31%, 08/10/42 (m) | 5,862 | |||||||||
9,300 | GS Mortgage Securities Corp. II Series 2004-GG2, Class A3, 4.60%, 08/10/38 (m) | 9,357 | |||||||||
LB-UBS Commercial Mortgage Trust | |||||||||||
5,100 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 4,987 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 79
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Non-Agency - Continued | |||||||||||
$ | 9,300 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) | $ | 9,117 | |||||||
5,700 | Series 2004-C2, Class A2, 3.25%, 03/15/29 (m) | 5,498 | |||||||||
8,700 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) | 8,544 | |||||||||
495 | Mastr Adjustable Rate Mortgages Trust Series 2003-6, Class 1A1, FRN, 2.31%, 12/25/33 | 494 | |||||||||
11,819 | Morgan Stanley Capital I Series 1998-HF2, Class A2, 6.48%, 11/15/30 | 12,386 | |||||||||
11,875 | Structured Adjustable Rate Mortgage Loan Trust Series 2004-6, Class 5A1, VAR, 5.01%, 06/25/34 | 11,834 | |||||||||
6,197 | Structured Asset Securities Corp. Series 2005-5, Class 2A1, 5.50%, 04/25/35 | 6,212 | |||||||||
11,250 | Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Class A2, 4.78%, 03/15/42 | 11,376 | |||||||||
15,226 | Washington Mutual, Inc. Series 2004-S3, Class 2A1, 5.50%, 07/25/34 | 15,312 | |||||||||
Wells Fargo Mortgage Backed Securities Trust | |||||||||||
6,083 | Series 2003-N, Class 1A4, FRN, 4.62%, 12/25/33 | 6,084 | |||||||||
16,988 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 | 16,875 | |||||||||
174,782 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $261,691) | 256,625 | ||||||||||
Corporate Bonds - 45.3% | |||||||||||
Automobiles - 1.2% | |||||||||||
3,600 | DaimlerChrysler NA Holding Corp. 4.13%, 03/07/07 (m) | 3,574 | |||||||||
7,000 | DaimlerChrysler NA Holding Corp. FRN, 4.43%, 05/24/06 (m) | 7,023 | |||||||||
10,597 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Building Products - 0.8% | |||||||||||
$ | 3,750 | Centex Corp. 4.88%, 08/15/08 (m) | $ | 3,774 | |||||||
3,200 | Saint-Gobain Nederland BV (Netherlands) 5.38%, 06/20/07 | 3,248 | |||||||||
7,022 | |||||||||||
Commercial Banks - 15.7% | |||||||||||
2,900 | Abbey National plc (United Kingdom) VAR, 7.35%, 12/31/49 (m) | 2,993 | |||||||||
4,500 | Bacob Bank SC (Belgium) VAR, 7.25%, 12/31/49 (e) (m) | 4,732 | |||||||||
3,800 | BBVA Bancomer S.A. (Cayman Islands) VAR, 5.38%, 07/22/15 (e) (m) | 3,886 | |||||||||
5,400 | BNP US Funding LLC VAR, 7.74%, 12/31/49 (e) (m) | 5,762 | |||||||||
17,650 | Deutsche Bank AG FRN, 4.02%, 05/15/07 (m) | 17,648 | |||||||||
1,900 | Deutsche Bank Capital Funding Trust I VAR, 7.87%, 12/31/49 (e) (m) | 2,112 | |||||||||
6,200 | ForeningsSparbanken AB (Sweden) VAR, 7.50%, 12/31/49 (e) | 6,409 | |||||||||
5,750 | Industrial Bank of Korea (South Korea) VAR, 4.00%, 05/19/14 (e) (m) | 5,559 | |||||||||
Korea First Bank (South Korea) | |||||||||||
3,750 | VAR, 5.75%, 03/10/13 (e) (m) | 3,817 | |||||||||
2,850 | VAR, 6.25%, 10/02/13 | 2,957 | |||||||||
5,400 | Mizuho JGB Investment LLC VAR, 9.87%, 12/31/49 (e) (m) | 6,094 | |||||||||
10,100 | Natexis Ambs Co. LLC VAR, 8.44%, 12/31/49 (e) | 11,117 | |||||||||
2,750 | Nordea Bank Finland plc VAR, 7.50%, 12/31/49 (e) | 2,861 | |||||||||
1,650 | Popular North America, Inc. 6.13%, 10/15/06 | 1,674 | |||||||||
11,540 | Royal Bank of Scotland Group plc (United Kingdom) Series 3, 7.82%, 12/31/49 | 11,671 | |||||||||
600 | Royal Bank of Scotland Group plc (ADR) (United Kingdom) Series 1, 9.12%, 12/31/49 | 707 | |||||||||
9,050 | Skandinaviska Enskilda Banken AB (Sweden) VAR, 8.12%, 09/06/49 (e) | 9,382 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 80
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Commercial Banks - Continued | |||||||||||
$ | 3,800 | Sovereign Bank VAR, 4.38%, 08/01/13 | $ | 3,775 | |||||||
4,950 | Svenska Handelsbanken (Sweden) VAR, 7.12%, 12/31/49 (e) | 5,134 | |||||||||
11,400 | UBS AG FRN, 4.15%, 07/20/06 | 11,389 | |||||||||
Woori Bank (South Korea) | |||||||||||
3,250 | 4.50%, 12/08/09 (e) | 3,232 | |||||||||
1,950 | 4.88%, 07/02/13 | 1,949 | |||||||||
8,000 | Zions Bancorp. 2.70%, 05/01/06 (m) | 7,926 | |||||||||
132,786 | |||||||||||
Consumer Finance - 1.7% | |||||||||||
Capital One Bank | |||||||||||
4,600 | 4.25%, 12/01/08 (m) | 4,574 | |||||||||
2,100 | 6.88%, 02/01/06 (m) | 2,122 | |||||||||
3,200 | Ford Motor Credit Co. 4.95%, 01/15/08 (m) | 3,078 | |||||||||
1,500 | General Motors Acceptance Corp. 6.75%, 01/15/06 (m) | 1,509 | |||||||||
2,700 | MBNA America Bank NA 4.63%, 08/03/09 | 2,726 | |||||||||
14,009 | |||||||||||
Diversified Financial Services - 5.6% | |||||||||||
Counts Trust | |||||||||||
6,050 | Series 2002-10, FRN, 4.57%, 08/15/07 (e) (i) (m) | 6,095 | |||||||||
6,050 | Series 2002-11, FRN, 4.62%, 08/15/07 (e) (i) (m) | 6,097 | |||||||||
3,400 | International Lease Finance Corp. 4.35%, 09/15/08 (m) | 3,384 | |||||||||
11,800 | Links Finance LLC FRN, 3.75%, 09/15/08 (e) (i) (m) | 11,799 | |||||||||
1,350 | Pricoa Global Funding I 3.90%, 12/15/08 (e) | 1,330 | |||||||||
Racers | |||||||||||
4,700 | Series 2005-7, Class C, FRN, 3.52%, 05/09/06 (e) (i) (m) | 4,692 | |||||||||
9,100 | Series 2005-16, Class C, FRN, 3.50%, 09/20/07(e) (i) | 9,062 | |||||||||
4,600 | Twin Reefs Pass-Through Trust FRN, 4.57%, 12/31/49 (e) | 4,590 | |||||||||
47,049 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Diversified Telecommunication Services - 3.3% | |||||||||||
$ | 4,750 | Alltel Corp. 4.66%, 05/17/07 (m) | $ | 4,780 | |||||||
7,950 | BellSouth Corp. 5.00%, 10/15/06 (m) | 8,027 | |||||||||
5,150 | France Telecom S.A. (France) 7.45%, 03/01/06 (m) | 5,227 | |||||||||
950 | New York Telephone Co. 6.00%, 04/15/08 | 982 | |||||||||
4,000 | Sprint Capital Corp. SUB, 4.78%, 08/17/06 (m) | 4,019 | |||||||||
Telecom Italia Capital S.A. (Luxembourg) | |||||||||||
2,500 | 4.00%, 11/15/08 | 2,464 | |||||||||
2,300 | 4.00%, 01/15/10 (e) | 2,239 | |||||||||
27,738 | |||||||||||
Electric Utilities - 3.8% | |||||||||||
2,250 | Dominion Resources, Inc. Series G, SUB, 3.66%, 11/15/06 (m) | 2,234 | |||||||||
5,300 | National Rural Utilities Cooperative Finance Corp. 6.00%, 05/15/06 (m) | 5,372 | |||||||||
4,800 | Niagara Mohawk Power Corp. 7.75%, 05/15/06 (m) | 4,913 | |||||||||
2,600 | Pacificorp 5.65%, 11/01/06 | 2,642 | |||||||||
4,700 | Pepco Holdings, Inc. 5.50%, 08/15/07 | 4,792 | |||||||||
4,700 | PSEG Funding Trust I 5.38%, 11/16/07 | 4,774 | |||||||||
6,950 | Virginia Electric & Power Co. Series A, 5.38%, 02/01/07 | 7,052 | |||||||||
31,779 | |||||||||||
Food Products - 0.4% | |||||||||||
3,400 | Kraft Foods, Inc. 5.25%, 06/01/07 (m) | 3,453 | |||||||||
Gas Utilities - 0.6% | |||||||||||
2,100 | Kinder Morgan Energy Partners LP 6.30%, 02/01/09 (m) | 2,204 | |||||||||
2,995 | Texas Municipal Gas Corp. 2.60%, 07/01/07 (e) (m) | 2,952 | |||||||||
5,156 | |||||||||||
Health Care Equipment & Supplies - 0.2% | |||||||||||
1,550 | Hospira, Inc. 4.95%, 06/15/09 (m) | 1,573 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 81
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
Insurance - 5.6% | |||||||||||
$ | 3,000 | AON Corp. 6.95%, 01/15/07 (m) | $ | 3,089 | |||||||
ASIF Global Financing | |||||||||||
5,300 | 2.50%, 01/30/07 (e) (m) | 5,171 | |||||||||
9,100 | FRN, 3.65%, 03/14/08 (e) (m) | 9,122 | |||||||||
2,700 | Mantis Reef Ltd. (Australia) 4.69%, 11/14/08 (e) | 2,686 | |||||||||
5,900 | Metropolitan Life Global Funding I 4.75%, 06/20/07 (e) | 5,951 | |||||||||
1,100 | Nippon Life Insurance (Japan) 4.88%, 08/09/10 (e) | 1,105 | |||||||||
6,150 | Oil Insurance Ltd. (Bermuda) VAR, 3.73%, 04/08/09 (e) (i) (m) | 6,151 | |||||||||
4,400 | Platinum Underwriters Holdings Ltd 6.37%, 11/16/07 (e) | 4,470 | |||||||||
2,000 | Principal Life Global Funding I 5.13%, 06/28/07 (e) | 2,022 | |||||||||
1,950 | St. Paul Travelers Cos, Inc. (The) 5.01%, 08/16/07 | 1,968 | |||||||||
6,000 | Two-Rock Pass Through Trust (Bermuda) FRN, 4.72%, 12/31/49 (e) | 5,956 | |||||||||
47,691 | |||||||||||
Multi-Utilities - 0.7% | |||||||||||
Duke Capital LLC | |||||||||||
3,650 | 4.30%, 05/18/06 (m) | 3,651 | |||||||||
2,400 | 4.33%, 11/16/06 (m) | 2,394 | |||||||||
6,045 | |||||||||||
Oil, Gas & Consumable Fuels - 0.4% | |||||||||||
3,300 | Pemex Project Funding Master Trust FRN, 4.71%, 06/15/10 (e) | 3,422 | |||||||||
Property & Casualty Insurance - 0.8% | |||||||||||
6,650 | Chubb Corp. 4.93%, 11/16/07 (m) | 6,725 | |||||||||
Real Estate - 1.7% | |||||||||||
iStar Financial, Inc., REIT | |||||||||||
2,900 | 4.88%, 01/15/09 (m) | 2,896 | |||||||||
1,300 | 5.38%, 04/15/10 (m) | 1,317 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Real Estate - Continued | |||||||||||
$ | 5,550 | Simon Property Group LP 3.75%, 01/30/09 | $ | 5,397 | |||||||
4,600 | Socgen Real Estate Co. LLC VAR, 7.64%, 12/31/49 (e) | 4,883 | |||||||||
14,493 | |||||||||||
Thrifts & Mortgage Finance - 2.8% | |||||||||||
Countrywide Home Loans, Inc. | |||||||||||
10,750 | 2.88%, 02/15/07 (m) | 10,538 | |||||||||
750 | 5.50%, 08/01/06 (m) | 757 | |||||||||
7,500 | Spintab AB (Sweden) VAR, 7.50%, 12/31/49 (e) | 7,719 | |||||||||
4,350 | Washington Mutual, Inc. 7.50%, 08/15/06 (m) | 4,462 | |||||||||
23,476 | |||||||||||
Total Corporate Bonds | 383,014 | ||||||||||
(Cost $382,085) | |||||||||||
Foreign Government Securities - 1.9% | |||||||||||
4,670 | National Agricultural Cooperative Federation (South Korea) VAR, 5.75%, 06/18/14 | 4,755 | |||||||||
7,550 | Government of Chile (Chile) FRN, 4.07%, 01/28/08 (m) | 7,588 | |||||||||
3,300 | United Mexican States (Mexico) FRN, 4.27%, 01/13/09 | 3,346 | |||||||||
Total Foreign Government Securities | 15,689 | ||||||||||
(Cost $15,754) | |||||||||||
Municipal Bonds - 0.6% | |||||||||||
Texas | |||||||||||
5,150 | Texas State Public Financing Authority, Taxable, Unemployment Compensation Series B, Rev., 2.63%, 06/15/06 (Cost $5,146) | 5,089 | |||||||||
U.S. Government Agency Mortgages - 24.5% | |||||||||||
Federal National Mortgage Association Pool | |||||||||||
39,900 | TBA, 5.10%, 09/25/35 (m) | 39,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 82
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Long-Term Investments - continued | |||||||||||
U.S. Government Agency Mortgages - Continued | |||||||||||
$ | 165,400 | TBA, 5.50%, 09/25/35 (m) | $ | 167,054 | |||||||
20 | Government National Mortgage Association Pool 8.50%, 08/15/30 (m) | 22 | |||||||||
Total U.S. Government Agency Mortgages (Cost $205,338) | 206,701 | ||||||||||
U.S. Treasury Obligations - 0.4% | |||||||||||
3,463 | U.S. Treasury Notes 1.63%, 01/15/15 (k) (Cost $3,371) | 3,459 | |||||||||
NUMBER OF CONTRACTS | |||||||||||
Options Purchased - 0.0% (g) | |||||||||||
Call Options Purchased - 0.0% (g) | |||||||||||
1 | Call Option on Federal Fund 30 Day, expiring 09/19/05 @96.25 | 5 | |||||||||
56,500 | Call Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @100.28, European Style (Cost $288) | 384 | |||||||||
389 | |||||||||||
Put Options Purchased - 0.0% (g) | |||||||||||
44,000 | Put Option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @97.58, European Style (Cost $303) | 24 | |||||||||
Total Options Purchased | 413 | ||||||||||
(Cost $591) | |||||||||||
Total Long-Term Investments | 1,016,476 | ||||||||||
(Cost $1,024,659) |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | |||||||||
Short-Term Investments - 4.4% | |||||||||||
U.S. Treasury Securities - 0.2% | |||||||||||
$ | 1,450 | U.S. Treasury Bills 3.47%, 12/01/05 (k) (m) | $ | 1,438 | |||||||
SHARES | |||||||||||
Investment Companies - 4.2% | |||||||||||
35,926 | JPMorgan Prime Money Market Fund (b) (m) | 35,926 | |||||||||
Total Short-Term Investments (Cost $37,363) | 37,364 | ||||||||||
Total Investments - 124.7% | $ | 1,053,840 | |||||||||
(Cost $1,062,022) | |||||||||||
Liabilities in Excess of Other Assets - (24.7)% | (208,717) | ||||||||||
NET ASSETS - 100.0% | $ | 845,123 |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 83
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
Futures Contracts
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 8/31/05 (USD) | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | |||||||||||||||
Long Futures Outstanding | |||||||||||||||||||
106 | 30 Day Fed Funds | September, 2005 | $ | 42,578 | $ | (3 | ) | ||||||||||||
265 | Eurodollars | December, 2005 | 63,547 | (446 | ) | ||||||||||||||
332 | 10 Year U.S. Treasury Notes | December, 2005 | 37,210 | 294 | |||||||||||||||
Short Futures Outstanding | |||||||||||||||||||
(132 | ) | Eurodollars | December, 2005 | (31,614 | ) | 138 | |||||||||||||
(11 | ) | 2 Year U.S. Treasury Notes | December, 2005 | (2,278 | ) | - | (h) | ||||||||||||
(446 | ) | 5 Year U.S. Treasury Notes | December, 2005 | (48,335 | ) | (362 | ) | ||||||||||||
(132 | ) | 10 Year U.S. Treasury Notes | December, 2005 | (14,794 | ) | (169 | ) | ||||||||||||
(133 | ) | Eurodollars | December, 2007 | (31,835 | ) | (92 | ) | ||||||||||||
$ | (640 | ) |
Options Written
UNITS | CALL OPTIONS WRITTEN | VALUE | |||||||||
(113,000 | ) | Call option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @96.56, European Style | $ | (424 | ) | ||||||
PUT OPTIONS WRITTEN | |||||||||||
(88,000 | ) | Put option on FNMA, 30 Year Fixed, 5.50%, TBA, expiring 10/06/05 @100.71, European Style | $(14) | ||||||||
Total Options Written | $ | (438 | ) | ||||||||
(Premiums received $536) |
Swap Contracts
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 6.50%, TBA, 09/05, price less 103.20, the Fund receives positive, pays negative. | 09/07/05 | $ | 15,000 | $ | 12 | ||||||||||
Swap - price lock with Deutsche Bank AG, New York on 30 Year FNMA, 6.50%, TBA, 09/05, price less 103.19, the Fund receives positive, pays negative. | 09/07/05 | 75,000 | 59 | ||||||||||||
Swap - price lock with Credit Suisse First Boston International on Treasury Note, 3.63%, 04/30/07, price less 99.41, the Fund receives positive, pays negative. | 09/26/05 | 127,800 | 310 | ||||||||||||
Swap - price lock with Citibank, N.A. on U.S. Treasury Note, 3.13%, 01/31/07, price less 98.83, the Fund receives positive, pays negative. | 09/29/05 | 109,350 | 268 | ||||||||||||
Swap - price lock with Citibank, N.A. on U.S. Treasury Note, 3.38%, 02/15/08, price less 98.44, the Fund receives positive, pays negative. | 09/29/05 | 44,150 | 216 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 84
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - price lock with Citibank, N.A. on U.S. Treasury Note, 2.63%, 03/15/09, price less 95.45, theFund receives negative, pays positive. | 10/03/05 | $ | 88,550 | $ | (526 | ) | |||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 5.50%, TBA, 10/05, price less 100.44, theFund receives negative, pays positive. | 10/06/05 | 6,000 | (22 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.50%, TBA, 10/05, price less 101.67, the Fund receives positive, pays negative. | 10/06/05 | 31,000 | 107 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 4.50%, TBA, 10/05, price less 98.09, the Fund receives negative, pays positive. | 10/06/05 | 18,500 | (179 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 30 Year FNMA, 5.50%, TBA, 10/05, price less 100.41, the Fund receives negative, pays positive. | 10/06/05 | 30,000 | (117 | ) | |||||||||||
Swap - price lock with Morgan Stanley Capital Services on 30 Year FNMA, 5.50%, TBA, 10/05, price less 100.21, the Fund receives negative, pays positive. | 10/06/05 | 63,000 | (312 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.00%, TBA, 10/05, price less 99.58, the Fund receives positive, pays negative. | 10/11/05 | 94,000 | 911 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.50%, TBA, 10/05, price less 101.34, the Fund receives positive, pays negative. | 10/11/05 | 20,000 | 134 | ||||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 5.50%, TBA, 10/05, price less 101.47, the Fund receives negative, pays positive. | 10/11/05 | 47,000 | (270 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 4.50%, TBA, 10/05, price less 97.44, the Fund receives negative, pays positive. | 10/11/05 | 12,000 | (195 | ) | |||||||||||
Swap - price lock with Deutsche Bank AG, New York on 15 Year FNMA, 4.50%, TBA, 10/05, price less 97.62, the Fund receives negative, pays positive. | 10/11/05 | 47,000 | (677 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on Treasury Note, 4.25%, TBA, 08/15/15, price less 99.9, the Fund receives positive, pays negative. | 10/19/05 | 12,105 | 223 | ||||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 4.50%, TBA, 11/05, price less 95.73, theFund receives negative, pays positive. | 11/07/05 | 23,000 | (241 | ) | |||||||||||
Swap - price lock with Citibank, N.A. on 30 Year FNMA, 5.50%, TBA, 11/05, price less 100.11, the Fund receives positive, pays negative. | 11/07/05 | 40,000 | 231 | ||||||||||||
Swap - price lock with Credit Suisse First Boston International on U.S. Treasury Note, 3.88%, 07/31/07, price less 99.68, the Fund receives positive, pays negative. | 11/16/05 | 92,000 | 264 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 85
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Citibank, N.A., Fund receives quarterly payment of 1.25 (5 per annum) BPS times notional amount of Cargill, Inc., 4.38%, 06/01/13. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/02/05 | $ | 6,700 | $ | 1 | ||||||||||
Credit default contract with Citibank, N.A., Fund receives quarterly payment of 6.75 (27 per annum) BPS times notional amount of Amerada Hess Corp., 6.65%, 08/15/11. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/20/05 | 3,900 | 2 | ||||||||||||
Swap - Forward Rate Agreement with Merrill Lynch Capital Services, the Fund receives 4.40% quarterly and pays 3 month LIBOR. | 06/21/06 | 751,000 | 572 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 12 (48 per annum) BPS times notional amount of SunTrust Capital III, 2.48%, 315/28. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/30/07 | 12,400 | 22 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.31% quarterly and pays 3 month LIBOR. | 07/29/07 | 14,200 | 10 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.43% quarterly and pays 3 month LIBOR. | 08/08/07 | 46,600 | 134 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.49% quarterly and pays 3 month LIBOR. | 08/13/07 | 30,000 | 115 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.45% quarterly and pays 3 month LIBOR. | 08/15/07 | 22,000 | 67 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund receives 4.48% quarterly and pays 3 month LIBOR. | 08/15/07 | 21,500 | 77 | ||||||||||||
Credit default contract with Citibank, N.A., Fund receives quarterly payment of 3.5 (14 per annum) BPS times notional amount of General Electric Capital Corp., 3.5%, 05/01/08. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 12/20/07 | 23,000 | 17 | ||||||||||||
Credit default contract with Deutsche Bank AG, New York, Fund receives quarterly payment of 5 (20 per annum) BPS times notional amount of Berkshire Hathaway, 9.75%, 01/15/18. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 03/20/10 | 17,500 | 16 | ||||||||||||
Credit default contract with Morgan Stanley Captial Services, Fund receives semi-annual payment of 70 (140 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 10,000 | 311 | ||||||||||||
Credit default contract with Morgan Stanley Captial Services, Fund pays semi-annual payment of 56 (112 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 10,000 | (208 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 86
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund pays semi-annual payment of 62.5 (125 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | $ | 44,000 | $ | (925 | ) | |||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 60 (120 per annum) BPS times notional amount of Aries, 9.60%, 10/25/14. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 44,000 | 1,017 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund receives semi-annual payment of 62.5 (125 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 04/20/10 | 30,000 | 649 | ||||||||||||
Credit default contract with Union Bank of Switzerland AG, London, Fund pays semi-annual payment of 56.5 (113 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 04/20/10 | 30,000 | (523 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund receives semi-annual payment of 52 (104 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 06/20/10 | 4,000 | 58 | ||||||||||||
Credit default contract with Deutsche Bank AG, London, Fund pays semi-annual payment of 52.5 (105 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 06/20/10 | 4,000 | (59 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund pays semi-annual payment of 48 (96 per annum) BPS times notional amount of United Mexican States, 7.50%, 04/08/33. Upon a defined credit event Fund receives notional amount and delivers a defined deliverable obligation. | 07/20/10 | 15,000 | (150 | ) | |||||||||||
Credit default contract with Deutsche Bank AG, London, Fund receives semi-annual payment of 52 (101 per annum) BPS times notional amount of Russian Federation, 5.00%, 03/31/30. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. | 07/20/10 | 15,000 | 187 | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.49% quarterly and receives 3 month LIBOR. | 07/29/10 | 6,175 | (57 | ) | |||||||||||
Swap - Interest Rate with Credit Suisse First Boston International, the Fund pays 4.53% quarterly and receives 3 month LIBOR. | 08/01/10 | 10,065 | (117 | ) | |||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund pays 4.60% quarterly and receives 3 month LIBOR. | 08/04/10 | 25,000 | (366 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 87
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS AS OF AUGUST 31, 2005
(Amounts in thousands)
(CONTINUED)
DESCRIPTION | EXPIRATION DATE | UNDERLYING NOTIONAL VALUE (USD) | UNREALIZED APPRECIATION/ (DEPRECIATION) (USD) | ||||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.19% quarterly and receives 3 month LIBOR. | 08/08/10 | $ | 20,910 | $ | 89 | ||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.61% quarterly and receives 3 month LIBOR. | 08/09/10 | 20,000 | (292 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.67% quarterly and receives 3 month LIBOR. | 08/12/10 | 12,900 | (221 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.66% quarterly and receives 3 month LIBOR. | 08/16/10 | 9,200 | (154 | ) | |||||||||||
Swap - Interest Rate with Citibank, N.A., the Fund pays 4.61% quarterly and receives 3 month LIBOR. | 08/16/10 | 9,450 | (137 | ) | |||||||||||
Swap - Interest Rate with Merrill Lynch Capital Services, the Fund pays 4.58% quarterly and receives 3 month LIBOR. | 08/16/10 | 9,950 | (128 | ) | |||||||||||
Swap - Interest Rate with Lehman Brothers Special Financing, the Fund receives 5.02% quarterly and pays 3 month LIBOR. | 08/04/35 | 7,100 | 368 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 88
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF PORTFOLIO INVESTMENTS
Abbrevations:
(a) - Non-income producing security.
(b) - Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management, Inc.
(d) - Defaulted Security.
(e) - All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers.Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees.
(f) - Fair Valued Investment. The following are approximately the market value and percentage of the net assets that are fair valued (amounts in thousands):
Fund | Market Value | Percentage | |||||||||
JPMorgan Bond Fund | $ | 20,763 | 3.5 | % | |||||||
JPMorgan Global Strategic Income Fund | 2,470 | 11.1 | % |
(g) - Amount rounds to less than 0.1%.
(h) - Amount rounds to less than one thousand.
(i) - Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(k) - Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l) - All or a portion of this security is segregated for current or potential holdings of forward foreign currency exchange contracts.
(m) - All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements.
(n) - The rate shown is the effective yield at the date of purchase.
ADR - American Depositary Receipt
ARS - Argentine Peso
BRL - Brazilian Real
CAD - Canadian Dollar
CDX NA IG HVOL - Credit Default Index North America Investment Grade High Volume
COP - Colombian Peso
CMO - Collateralized Mortgage Obligation
EUR - Euro
FNMA - Federal National Mortgage Association
FRN - Floating Rate Note. The rate shown is the rate in effect as of August 31, 2005.
GBP - British Pound
GO - General Obligation
GTD - Guaranteed
MXN - Mexican Peso
RACERS - Restructured Asset Certificates with Enhanced Returns
REIT - Real Estate Investment Trust
REV - Revenue Bond
STRIPS - Separate Trading of Registered Interest and Principal of Securities
SUB - Step-up Bond. The rate shown is the rate in effect as of August 31, 2005.
TBA - To Be Announced
USD - United States Dollar
UYU - Uruguay Peso
VAR - Variable. The interest rate shown is the rate in effect at August 31, 2005.
HB High Coupon Bonds (a.k.a. 'IOettes') represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the REMIC trust and allocating them to the small principal of the HB class.
IF Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The rate shown is the rate in effect at August 31, 2005.
IO Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 89
JPMorgan Funds
STATEMENT OF ASSETS
AND LIABILITIES AS OF AUGUST 31, 2005
(Amounts in thousands, except per share amounts)
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | |||||||||||||
ASSETS | |||||||||||||||
Investments in non-affiliates, at value | $ | 884,443 | $ | 33,217 | $ | 187,788 | |||||||||
Investments in affiliates, at value | 42,109 | 654 | 4,603 | ||||||||||||
Total investment securities, at value | 926,552 | 33,871 | 192,391 | ||||||||||||
Cash | 85 | - | - | ||||||||||||
Foreign currency, at value | 1 | - | - | ||||||||||||
Receivables: | |||||||||||||||
Investment securities sold | 392,444 | 948 | 20,481 | ||||||||||||
Fund shares sold | 778 | 357 | - | ||||||||||||
Interest and dividends | 4,643 | 613 | 696 | ||||||||||||
Tax reclaims | 11 | - | - | ||||||||||||
Variation margin on futures contracts | 895 | - | 39 | ||||||||||||
Unrealized gain on forward foreign currency exchange contracts | - | 1 | - | ||||||||||||
Unrealized appreciation on open swap contracts | 8,776 | 184 | - | ||||||||||||
Premiums for open swap contracts purchased | 42 | - | - | ||||||||||||
Total Assets | 1,334,227 | 35,974 | 213,607 | ||||||||||||
LIABILITIES | |||||||||||||||
Payables: | |||||||||||||||
Due to custodian | - | 2 | 1,891 | ||||||||||||
Foreign currency due to custodian, at value | - | 184 | |||||||||||||
Dividends | 729 | 24 | 70 | ||||||||||||
Investment securities purchased | 503,368 | 890 | 48,166 | ||||||||||||
Securities sold short | 214,670 | - | - | ||||||||||||
Fund shares redeemed | 482 | 141 | - | ||||||||||||
Variation margin on futures contracts | 607 | 30 | - | ||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 202 | 1 | - | ||||||||||||
Outstanding options written, at fair value | 8,585 | - | 39 | ||||||||||||
Unrealized depreciation on open swap contracts | 7,818 | 147 | - | ||||||||||||
Accrued liabilities: | |||||||||||||||
Investment advisory fees | 155 | 18 | 13 | ||||||||||||
Administration fees | 34 | 3 | - | ||||||||||||
Shareholder servicing fees | 63 | - | - | ||||||||||||
Distribution fees | 3 | - | - | ||||||||||||
Custodian and accounting fees | 26 | 16 | 7 | ||||||||||||
Trustees' fees - deferred compensation plan | 3 | - | 1 | ||||||||||||
Other | 183 | 70 | 76 | ||||||||||||
Total Liabilities | 736,928 | 1,526 | 50,263 | ||||||||||||
NET ASSETS | $ | 597,299 | $ | 34,448 | $ | 163,344 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 90
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF ASSETS
AND LIABILITIES AS OF AUGUST 31, 2005
(Amounts in thousands, except per share amounts)
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | |||||||||||||
NET ASSETS | |||||||||||||||
Paid in capital | $ | 578,756 | $ | 26,793 | $ | 170,058 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | (1,120 | ) | 129 | (45 | ) | ||||||||||
Accumulated net realized gains (losses) from investments, securities sold short, futures, foreign exchange transactions, written options and swaps | 15,172 | 5,141 | (6,914 | ) | |||||||||||
Net unrealized appreciation (depreciation) from investments, securities sold short, futures, foreign exchange translations, written options and swaps | 4,491 | 2,385 | 245 | ||||||||||||
Net Assets | $ | 597,299 | $ | 34,448 | $ | 163,344 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 5,963 | $ | - | $ | - | |||||||||
Class B | $ | 2,283 | $ | - | $ | - | |||||||||
Class C | $ | 425 | $ | - | $ | - | |||||||||
Select Class | $ | 202,659 | $ | 34,448 | $ | - | |||||||||
Institutional Class | $ | 259,697 | $ | - | $ | 163,344 | |||||||||
Ultra | $ | 126,272 | $ | - | $ | - | |||||||||
Total | $ | 597,299 | $ | 34,448 | $ | 163,344 | |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||||||||||||||
Class A | 606 | - | - | ||||||||||||
Class B | 233 | - | - | ||||||||||||
Class C | 43 | - | - | ||||||||||||
Select Class | 20,767 | 3,708 | - | ||||||||||||
Institutional Class | 26,626 | - | 16,642 | ||||||||||||
Ultra | 12,943 | - | - | ||||||||||||
61,218 | 3,708 | 16,642 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 91
JPMorgan Funds
STATEMENT OF ASSETS
AND LIABILITIES (CONTINUED) AS OF AUGUST 31, 2005
(Amounts in thousands, except per share amounts)
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | |||||||||||||
NET ASSETS | |||||||||||||||
Class A - Redemption price per share | $ | 9.85 | $ | - | $ | - | |||||||||
Class B - Offering price per share (a) | $ | 9.78 | $ | - | $ | - | |||||||||
Class C - Offering price per share (a) | $ | 9.83 | $ | - | $ | - | |||||||||
Select Class - Offering and redemption price per share | $ | 9.76 | $ | 9.29 | $ | - | |||||||||
Institutional Class - Offering and redemption price per share | $ | 9.75 | $ | - | $ | 9.82 | |||||||||
Ultra - Offering and redemption price per share | $ | 9.76 | $ | - | $ | - | |||||||||
Class A maximum sales charge | 4.50 | % | 0.00 | % | 0.00 | % | |||||||||
Class A Maximum Public Offering Price Per Share (net asset value per share/100% - maximum sales charge) | $ | 10.31 | $ | - | $ | - | |||||||||
Cost of Investments | $ | 921,361 | $ | 31,465 | $ | 192,273 | |||||||||
Proceeds received from securities sold short | $ | 213,107 | $ | - | $ | - | |||||||||
Cost of foreign currency | $ | 1 | $ | - | $ | - | |||||||||
Premiums received from options written | $ | 8,532 | $ | - | $ | 48 |
(a) Redemption price for Class B and Class C Shares varies based upon the length of time the shares are held.
(b) Amount rounds to less than $1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 92
STATEMENT OF ASSETS
AND LIABILITIES (CONTINUED) AS OF AUGUST 31, 2005
(Amounts in thousands, except per share amounts)
Global Strategic Income Fund | Short Term Bond Fund | Short Term Bond Fund II | |||||||||||||
ASSETS | |||||||||||||||
Investments in non-affiliates, at value | $ | 21,730 | $ | 725,507 | $ | 1,017,914 | |||||||||
Investments in affiliates, at value | 1,966 | 73,385 | 35,926 | ||||||||||||
Total investment securities, at value | 23,696 | 798,892 | 1,053,840 | ||||||||||||
Cash | 17 | - | - | ||||||||||||
Foreign currency, at value | 15 | 237 | - | ||||||||||||
Receivables: | |||||||||||||||
Investment securities sold | 554 | 36,235 | 86,238 | ||||||||||||
Fund shares sold | 22 | 157 | 189 | ||||||||||||
Interest and dividends | 298 | 5,459 | 6,196 | ||||||||||||
Tax reclaims | - | 13 | 20 | ||||||||||||
Variation margin on futures contracts | - | 305 | 537 | ||||||||||||
Unrealized gain on forward foreign currency exchange contracts | - | (b) | - | - | |||||||||||
Unrealized appreciation on open swap contracts | - | 6,444 | 6,447 | ||||||||||||
Expense reimbursements | 32 | - | - | ||||||||||||
Total Assets | 24,634 | 847,742 | 1,153,467 | ||||||||||||
LIABILITIES | |||||||||||||||
Payables: | |||||||||||||||
Due to custodian | - | 2,097 | 15 | ||||||||||||
Foreign currency due to custodian, at value | |||||||||||||||
Dividends | 41 | 863 | 2,390 | ||||||||||||
Investment securities purchased | 2,068 | 203,540 | 296,833 | ||||||||||||
Securities sold short | - | - | - | ||||||||||||
Fund shares redeemed | 120 | 164 | 1,546 | ||||||||||||
Variation margin on futures contracts | 3 | 360 | 579 | ||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 32 | - | (b) | - | |||||||||||
Outstanding options written, at fair value | - | 308 | 438 | ||||||||||||
Unrealized depreciation on open swap contracts | - | 6,196 | 5,876 | ||||||||||||
Accrued liabilities: | |||||||||||||||
Investment advisory fees | - | (b) | 134 | 191 | |||||||||||
Administration fees | - | (b) | 5 | 62 | |||||||||||
Shareholder servicing fees | 5 | 34 | 123 | ||||||||||||
Distribution fees | 9 | 1 | 123 | ||||||||||||
Custodian and accounting fees | 27 | 20 | 25 | ||||||||||||
Trustees' fees - deferred compensation plan | - | (b) | 3 | 6 | |||||||||||
Other | 27 | 129 | 137 | ||||||||||||
Total Liabilities | 2,332 | 213,854 | 308,344 | ||||||||||||
NET ASSETS | $ | 22,302 | $ | 633,888 | $ | 845,123 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 93
JPMorgan Funds
STATEMENT OF ASSETS
AND LIABILITIES AS OF AUGUST 31, 2005
(Amounts in thousands, except per share amounts)
Global Strategic Income Fund | Short Term Bond Fund | Short Term Bond Fund II | |||||||||||||
NET ASSETS | |||||||||||||||
Paid in capital | $ | 49,196 | $ | 649,661 | $ | 868,336 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | 245 | (319 | ) | (1,773 | ) | ||||||||||
Accumulated net realized gains (losses) from investments, securities sold short, futures, foreign exchange transactions, written options and swaps | (26,875 | ) | (9,349 | ) | (13,288 | ) | |||||||||
Net unrealized appreciation (depreciation) from investments, securities sold short, futures, foreign exchange translations, written options and swaps | (264 | ) | (6,105 | ) | (8,152 | ) | |||||||||
Net Assets | $ | 22,302 | $ | 633,888 | $ | 845,123 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 3,965 | $ | 3,393 | $ | 41,311 | |||||||||
Class B | $ | 6,715 | $ | - | $ | - | |||||||||
Class C | $ | 2,631 | $ | - | $ | - | |||||||||
Class M | $ | 5,057 | $ | - | $ | 371,756 | |||||||||
Select Class | $ | 1,892 | $ | 159,035 | $ | 432,056 | |||||||||
Institutional Class | $ | 2,042 | $ | 471,460 | $ | - | |||||||||
Total | $ | 22,302 | $ | 633,888 | $ | 845,123 | |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||||||||||||||
Class A | 425 | 352 | 4,124 | ||||||||||||
Class B | 720 | - | - | ||||||||||||
Class C | 282 | - | - | ||||||||||||
Class M | 542 | - | 37,106 | ||||||||||||
Select Class | 203 | 16,496 | 43,057 | ||||||||||||
Institutional Class | 219 | 48,900 | - | ||||||||||||
2,391 | 65,748 | 84,287 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 94
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF ASSETS
AND LIABILITIES (CONTINUED) AS OF AUGUST 31, 2005
(Amounts in thousands, except per share amounts)
Global Strategic Income Fund | Short Term Bond Fund | Short Term Bond Fund II | |||||||||||||
NET ASSETS | |||||||||||||||
Class A - Redemption price per share | $ | 9.33 | $ | 9.64 | $ | 10.02 | |||||||||
Class B - Offering price per share (a) | $ | 9.32 | $ | - | $ | - | |||||||||
Class C - Offering price per share (a) | $ | 9.33 | $ | - | $ | - | |||||||||
Class M Offering price per share | $ | 9.33 | $ | - | $ | 10.02 | |||||||||
Select Class - Offering and redemption price per share | $ | 9.33 | $ | 9.64 | $ | 10.03 | |||||||||
Institutional Class - Offering and redemption price per share | $ | 9.33 | $ | 9.64 | $ | - | |||||||||
Class A maximum sales charge | 4.50 | % | 3.00 | % | 3.00 | % | |||||||||
Class A Maximum Public Offering Price Per Share (net asset value per share/100% - maximum sales charge) | $ | 9.77 | $ | 9.94 | $ | 10.33 | |||||||||
Class M maximum sales charge | 3.00 | % | 0.00 | % | 1.50 | % | |||||||||
Class M Maximum Public Offering Price Per Share (net asset value per share/100% - maximum sales charge) | $ | 9.62 | $ | - | $ | 10.17 | |||||||||
Cost of Investments | $ | 23,913 | $ | 804,921 | $ | 1,062,022 | |||||||||
Cost of foreign currency | $ | 15 | $ | 235 | $ | - | |||||||||
Premiums received from options written | $ | - | $ | 378 | $ | 536 |
(a) Redemption price for Class B and Class C Shares varies based upon the length of time the shares are held.
(b) Amount rounds to less than $1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 95
JPMorgan Funds
STATEMENT OF
OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2005
(Amounts in thousands)
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | |||||||||||||
INVESTMENT INCOME | |||||||||||||||
Interest income | $ | 33,689 | $ | 2,600 | $ | 6,499 | |||||||||
Dividend income from affiliates (c) | 1,261 | 24 | 125 | ||||||||||||
Foreign taxes withheld | (15 | ) | - | - | |||||||||||
Total investment income | 34,935 | 2,624 | 6,624 | ||||||||||||
EXPENSES | |||||||||||||||
Investment advisory fees | 2,418 | 235 | 578 | ||||||||||||
Administration fees | 1,034 | 43 | 305 | ||||||||||||
Distribution fees | 27 | - | - | ||||||||||||
Shareholder servicing fees | 875 | 84 | 231 | ||||||||||||
Custodian and accounting fees | 89 | 56 | 31 | ||||||||||||
Interest expense | 8 | 5 | - | (b) | |||||||||||
Professional fees | 111 | 97 | 85 | ||||||||||||
Trustees' fees | 10 | - | (b) | 3 | |||||||||||
Printing and mailing costs | 54 | 8 | 11 | ||||||||||||
Registration and filing fees | 84 | 26 | 21 | ||||||||||||
Transfer agent fees | 86 | 20 | 15 | ||||||||||||
Other | 54 | 3 | 21 | ||||||||||||
Total expenses | 4,850 | 577 | 1,301 | ||||||||||||
Less amounts waived | (753 | ) | (156 | ) | (824 | ) | |||||||||
Less earnings credits | (41 | ) | - | (10 | ) | ||||||||||
Less expense reimbursements | (22 | ) | - | - | |||||||||||
Net expenses | 4,034 | 421 | 467 | ||||||||||||
Net Investment Income (Loss) | 30,901 | 2,203 | 6,157 | ||||||||||||
REALIZED/UNREALIZED GAIN (LOSSES): | |||||||||||||||
Net realized gain (loss) on transactions from: | |||||||||||||||
Investments | $ | 8,656 | $ | 6,154 | $ | (517 | ) | ||||||||
Securities sold short | 1,453 | - | - | ||||||||||||
Options written | 6,898 | - | - | ||||||||||||
Futures | (5,481 | ) | (67 | ) | 54 | ||||||||||
Swaps | 9,109 | 16 | - | ||||||||||||
Foreign currency transactions | 1,160 | 86 | (1 | ) | |||||||||||
Change in net unrealized appreciation/ depreciation of: | |||||||||||||||
Investments | (11,067 | ) | (2,336 | ) | (34 | ) | |||||||||
Securities sold short | (1,563 | ) | - | - | |||||||||||
Options written | 2,117 | - | 9 | ||||||||||||
Futures | 19 | (63 | ) | 130 | |||||||||||
Swaps | (217 | ) | 38 | - | |||||||||||
Foreign currency translations | (201 | ) | 36 | - | |||||||||||
Net realized/unrealized gains (losses) | 10,883 | 3,864 | (359 | ) | |||||||||||
Change in net assets resulting from operations | $ | 41,784 | $ | 6,067 | $ | 5,798 | |||||||||
(c) Includes reimbursements of investment advisory, administration and shareholder servicing fees | $ | 92 | $ | 2 | $ | 10 |
(b) Amount rounds to less than $1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 96
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF
OPERATIONS (CONTINUED) FOR THE YEAR ENDED AUGUST 31, 2005
(Amounts in thousands)
Global Strategic Income Fund | Short Term Bond Fund | Short Term Bond Fund II | |||||||||||||
INVESTMENT INCOME | |||||||||||||||
Interest income | $ | 1,566 | $ | 25,508 | $ | 36,327 | |||||||||
Dividend income | - | 527 | - | ||||||||||||
Dividend income from affiliates (c) | 118 | 962 | 1,207 | ||||||||||||
Foreign taxes withheld | - | (b) | (34 | ) | (39 | ) | |||||||||
Total investment income | 1,684 | 26,963 | 37,495 | ||||||||||||
EXPENSES | |||||||||||||||
Investment advisory fees | 144 | 1,716 | 2,539 | ||||||||||||
Administration fees | 41 | 881 | 1,309 | ||||||||||||
Distribution fees | 60 | 8 | 1,874 | ||||||||||||
Shareholder servicing fees | 52 | 869 | 2,539 | ||||||||||||
Custodian and accounting fees | 77 | 73 | 84 | ||||||||||||
Interest expense | 1 | 3 | 2 | ||||||||||||
Professional fees | 82 | 98 | 144 | ||||||||||||
Trustees' fees | - | (b) | 8 | 12 | |||||||||||
Printing and mailing costs | 18 | 33 | 55 | ||||||||||||
Registration and filing fees | 24 | 32 | 49 | ||||||||||||
Transfer agent fees | 38 | 62 | 84 | ||||||||||||
Other | 9 | 47 | 125 | ||||||||||||
Total expenses | 546 | 3,830 | 8,816 | ||||||||||||
Less amounts waived | (195 | ) | (1,416 | ) | (1,095 | ) | |||||||||
Less earnings credits | (1 | ) | (20 | ) | (17 | ) | |||||||||
Less expense reimbursements | (46 | ) | (8 | ) | - | ||||||||||
Net expenses | 304 | 2,386 | 7,704 | ||||||||||||
Net Investment Income (Loss) | 1,380 | 24,577 | 29,791 | ||||||||||||
REALIZED/UNREALIZED GAIN (LOSSES): | |||||||||||||||
Net realized gain (loss) on transactions from: | |||||||||||||||
Investments | $ | 2,122 | $ | (4,585 | ) | $ | (9,646 | ) | |||||||
Options written | - | 416 | 418 | ||||||||||||
Futures | 50 | (3,803 | ) | (787 | ) | ||||||||||
Swaps | - | (1,416 | ) | (1,656 | ) | ||||||||||
Foreign currency transactions | 241 | 911 | - | ||||||||||||
Change in net unrealized appreciation/ depreciation of: | |||||||||||||||
Investments | (1,649 | ) | (5,765 | ) | (8,409 | ) | |||||||||
Options written | - | 69 | 99 | ||||||||||||
Futures | (41 | ) | 34 | (574 | ) | ||||||||||
Swaps | - | 759 | 967 | ||||||||||||
Foreign currency translations | (48 | ) | (5 | ) | - | ||||||||||
Net realized/unrealized gains (losses) | 675 | (13,385 | ) | (19,588 | ) | ||||||||||
Change in net assets resulting from operations | $ | 2,055 | $ | 11,192 | $ | 10,203 | |||||||||
(c) Includes reimbursements of investment advisory, administration and shareholder servicing fees | $ | 9 | $ | 66 | $ | 79 |
(b) Amount rounds to less than $1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 97
JPMorgan Funds
STATEMENT OF CHANGES
IN NET ASSETS FOR THE YEARS INDICATED
(Amounts in thousands)
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
Net investment income (loss) | $ | 30,901 | $ | 35,765 | $ | 2,203 | $ | 3,228 | |||||||||||
Net realized gain (loss) on investments, securities sold short, options written, futures, swaps and foreign currency transactions | 21,795 | 23,049 | 6,189 | 6,497 | |||||||||||||||
Change in net unrealized appreciation/depreciation of investments, securities sold short, options written, futures, swaps and foreign currency translations | (10,912 | ) | 14,183 | (2,325 | ) | (2,578 | ) | ||||||||||||
Change in net assets resulting from operations | 41,784 | 72,997 | 6,067 | 7,147 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
From net investment income | (164 | ) | (78 | ) | - | - | |||||||||||||
From net realized gains | (91 | ) | (71 | ) | - | - | |||||||||||||
Class B Shares | |||||||||||||||||||
From net investment income | (62 | ) | (58 | ) | - | - | |||||||||||||
From net realized gains | (55 | ) | (76 | ) | - | - | |||||||||||||
Class C Shares | |||||||||||||||||||
From net investment income | (9 | ) | (7 | ) | - | - | |||||||||||||
From net realized gains | (6 | ) | (9 | ) | - | - | |||||||||||||
Select Class Shares | |||||||||||||||||||
From net investment income | (8,133 | ) | (7,804 | ) | (2,457 | ) | (3,506 | ) | |||||||||||
From net realized gains | (5,643 | ) | (8,959 | ) | (4,588 | ) | - | ||||||||||||
Institutional Class Shares | |||||||||||||||||||
From net investment income | (12,001 | ) | (13,088 | ) | - | - | |||||||||||||
From net realized gains | (8,858 | ) | (11,950 | ) | - | - | |||||||||||||
Ultra Shares | |||||||||||||||||||
From net investment income | (13,890 | ) | (14,764 | ) | - | - | |||||||||||||
From net realized gains | (10,597 | ) | (13,144 | ) | - | - | |||||||||||||
Total distributions to shareholders | (59,509 | ) | (70,008 | ) | (7,045 | ) | (3,506 | ) | |||||||||||
CAPITAL SHARE TRANSACTIONS | |||||||||||||||||||
Increase (decrease) | (277,832 | ) | (344,128 | ) | (719 | ) | (27,807 | ) | |||||||||||
NET ASSETS | |||||||||||||||||||
Total increase (decrease) in net assets | (295,557 | ) | (341,139 | ) | (1,697 | ) | (24,166 | ) | |||||||||||
Beginning of period | 892,856 | 1,233,995 | 36,145 | 60,311 | |||||||||||||||
End of period | $ | 597,299 | $ | 892,856 | $ | 34,448 | $ | 36,145 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1,120 | ) | $ | (361 | ) | $ | 129 | $ | 129 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 98
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF CHANGES
IN NET ASSETS FOR THE YEARS INDICATED
(Amounts in thousands)
Enhanced Income Fund | Global Strategic Income Fund | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
Net investment income (loss) | $ | 6,157 | $ | 5,561 | $ | 1,380 | $ | 3,878 | |||||||||||
Net realized gain (loss) on investments, securities sold short, options written, futures, swaps and foreign currency transactions | (464 | ) | (1,528 | ) | 2,413 | 6,443 | |||||||||||||
Change in net unrealized appreciation/depreciation of investments, securities sold short, options written, futures, swaps and foreign currency translations | 105 | 330 | (1,738 | ) | (4,212 | ) | |||||||||||||
Change in net assets resulting from operations | 5,798 | 4,363 | 2,055 | 6,109 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
From net investment income | - | - | (104 | ) | (28 | ) | |||||||||||||
Class B Shares | |||||||||||||||||||
From net investment income | - | - | (149 | ) | - | ||||||||||||||
Class C Shares | |||||||||||||||||||
From net investment income | - | - | (58 | ) | - | ||||||||||||||
Class M Shares | |||||||||||||||||||
From net investment income | - | - | (124 | ) | - | ||||||||||||||
Select Class Shares | |||||||||||||||||||
From net investment income | - | - | (96 | ) | (154 | ) | |||||||||||||
Institutional Class Shares | |||||||||||||||||||
From net investment income | (6,102 | ) | (5,541 | ) | (782 | ) | (3,689 | ) | |||||||||||
Total distributions to shareholders | (6,102 | ) | (5,541 | ) | (1,313 | ) | (3,871 | ) | |||||||||||
CAPITAL SHARE TRANSACTIONS | |||||||||||||||||||
Increase (decrease) | (130,104 | ) | (59,478 | ) | (20,984 | ) | (70,427 | ) | |||||||||||
NET ASSETS | |||||||||||||||||||
Total increase (decrease) in net assets | (130,408 | ) | (60,656 | ) | (20,242 | ) | (68,189 | ) | |||||||||||
Beginning of period | 293,752 | 354,408 | 42,544 | 110,733 | |||||||||||||||
End of period | $ | 163,344 | $ | 293,752 | $ | 22,302 | $ | 42,544 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (45 | ) | $ | (105 | ) | $ | 245 | $ | (148 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 99
JPMorgan Funds
STATEMENT OF CHANGES
IN NET ASSETS FOR THE YEARS INDICATED
(Amounts in thousands)
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
Net investment income (loss) | $ | 24,577 | $ | 20,769 | $ | 29,791 | $ | 27,977 | |||||||||||
Net realized gain (loss) on investments, securities sold short, options written, futures, swaps and foreign currency transactions | (8,477 | ) | 3,116 | (11,671 | ) | 1,244 | |||||||||||||
Change in net unrealized appreciation/depreciation of investments, securities sold short, options written, futures, swaps and foreign currency translations | (4,908 | ) | (5,507 | ) | (7,917 | ) | (5,601 | ) | |||||||||||
Change in net assets resulting from operations | 11,192 | 18,378 | 10,203 | 23,620 | |||||||||||||||
Net equalization credits/(debits) | - | - | - | (357 | ) | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
From net investment income | (107 | ) | (131 | ) | (1,413 | ) | (955 | )(a) | |||||||||||
Class M Shares | |||||||||||||||||||
From net investment income | - | - | (13,004 | ) | (15,711 | )(a) | |||||||||||||
Select Class Shares | |||||||||||||||||||
From net investment income | (4,429 | ) | (2,353 | ) | (14,903 | ) | (11,173 | )(a) | |||||||||||
Institutional Class Shares | |||||||||||||||||||
From net investment income | (21,549 | ) | (17,897 | ) | - | - | |||||||||||||
Ultra Shares | |||||||||||||||||||
From net investment income | - | - | - | - | |||||||||||||||
Total distributions to shareholders | (26,085 | ) | (20,381 | ) | (29,320 | ) | (27,839 | ) | |||||||||||
CAPITAL SHARE TRANSACTIONS | |||||||||||||||||||
Increase (decrease) | (90,441 | ) | (195,985 | ) | (326,704 | ) | (358,251 | ) | |||||||||||
NET ASSETS | |||||||||||||||||||
Total increase (decrease) in net assets | (105,334 | ) | (197,988 | ) | (345,821 | ) | (362,827 | ) | |||||||||||
Beginning of period | 739,222 | 937,210 | 1,190,944 | 1,553,771 | |||||||||||||||
End of period | $ | 633,888 | $ | 739,222 | $ | 845,123 | $ | 1,190,944 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (319 | ) | $ | 2,034 | $ | (1,773 | ) | $ | (2,251 | ) |
(a) Includes return of capital of $7, $80 and $62 for Class A, Class M and Select Class, respectively (amounts in thousands).
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 100
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF CHANGES
IN NET ASSETS FOR THE YEARS INDICATED
(Amounts in thousands)
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
CAPITAL TRANSACTIONS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 3,751 | $ | 1,767 | $ | - | $ | - | |||||||||||
Dividends reinvested | 240 | 143 | - | - | |||||||||||||||
Cost of shares redeemed | (981 | ) | (907 | ) | - | - | |||||||||||||
Change in net assets from Class A capital transactions | $ | 3,010 | $ | 1,003 | $ | - | $ | - | |||||||||||
Class B Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 811 | $ | 237 | $ | - | $ | - | |||||||||||
Dividends reinvested | 53 | 67 | - | - | |||||||||||||||
Cost of shares redeemed | (523 | ) | (836 | ) | - | - | |||||||||||||
Change in net assets from Class B capital transactions | $ | 341 | $ | (532 | ) | $ | - | $ | - | ||||||||||
Class C Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 414 | $ | 127 | $ | - | $ | - | |||||||||||
Dividends reinvested | 14 | 14 | - | - | |||||||||||||||
Cost of shares redeemed | (210 | ) | (199 | ) | - | - | |||||||||||||
Change in net assets from Class C capital transactions | $ | 218 | $ | (58 | ) | $ | - | $ | - | ||||||||||
Select Class Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 89,091 | $ | 45,098 | $ | 39,420 | $ | 14,341 | |||||||||||
Dividends reinvested | 12,184 | 15,587 | 6,068 | 3,085 | |||||||||||||||
Cost of shares redeemed | (83,731 | ) | (179,415 | ) | (46,207 | ) | (45,233 | ) | |||||||||||
Redemption fees | - | - | - | (b) | - | ||||||||||||||
Change in net assets from Select Class capital transactions | $ | 17,544 | $ | (118,730 | ) | $ | (719 | ) | $ | (27,807 | ) | ||||||||
Institutional Class Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 73,182 | $ | 75,515 | $ | - | $ | - | |||||||||||
Dividends reinvested | 13,217 | 15,282 | - | - | |||||||||||||||
Cost of shares redeemed | (138,577 | ) | (252,219 | ) | - | - | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (52,178 | ) | $ | (161,422 | ) | $ | - | $ | - | |||||||||
Ultra Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 57,221 | $ | 69,894 | $ | - | $ | - | |||||||||||
Dividends reinvested | 21,223 | 24,753 | - | - | |||||||||||||||
Cost of shares redeemed | (325,211 | ) | (159,036 | ) | - | - | |||||||||||||
Change in net assets from Ultra capital transactions | $ | (246,767 | ) | $ | (64,389 | ) | $ | - | $ | - |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 101
JPMorgan Funds
STATEMENT OF CHANGES
IN NET ASSETS (CONTINUED) FOR THE YEARS INDICATED
(Amounts in thousands)
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
SHARE TRANSACTIONS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
Issued | 383 | 177 | - | - | |||||||||||||||
Reinvested | 24 | 14 | - | - | |||||||||||||||
Redeemed | (100 | ) | (91 | ) | - | - | |||||||||||||
Change in Class A Shares | 307 | 100 | - | - | |||||||||||||||
Class B Shares | |||||||||||||||||||
Issued | 83 | 24 | - | - | |||||||||||||||
Reinvested | 5 | 7 | - | - | |||||||||||||||
Redeemed | (53 | ) | (86 | ) | - | - | |||||||||||||
Change in Class B Shares | 35 | (55 | ) | - | - | ||||||||||||||
Class C Shares | |||||||||||||||||||
Issued | 42 | 13 | - | - | |||||||||||||||
Reinvested | 1 | 1 | - | - | |||||||||||||||
Redeemed | (21 | ) | (20 | ) | - | - | |||||||||||||
Change in Class C Shares | 22 | (6 | ) | - | - | ||||||||||||||
Select Class Shares | |||||||||||||||||||
Issued | 9,140 | 4,528 | 4,280 | 1,542 | |||||||||||||||
Reinvested | 1,251 | 1,575 | 681 | 330 | |||||||||||||||
Redeemed | (8,565 | ) | (18,118 | ) | (5,026 | ) | (4,787 | ) | |||||||||||
Redemption fees | - | - | - | (b) | - | ||||||||||||||
Change in Select Class Shares | 1,826 | (12,015 | ) | (65 | ) | (2,915 | ) | ||||||||||||
Institutional Class Shares | |||||||||||||||||||
Issued | 7,505 | 7,584 | - | - | |||||||||||||||
Reinvested | 1,358 | 1,545 | - | - | |||||||||||||||
Redeemed | (14,161 | ) | (25,296 | ) | - | - | |||||||||||||
Change in Institutional Class Shares | (5,298 | ) | (16,167 | ) | - | - | |||||||||||||
Ultra Shares | |||||||||||||||||||
Issued | 5,835 | 7,078 | - | - | |||||||||||||||
Reinvested | 2,179 | 2,501 | - | - | |||||||||||||||
Redeemed | (33,265 | ) | (16,016 | ) | - | - | |||||||||||||
Change in Ultra Shares | (25,251 | ) | (6,437 | ) | - | - |
(b) Amount rounds to less than 1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 102
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF CHANGES
IN NET ASSETS (CONTINUED) FOR THE YEARS INDICATED
(Amounts in thousands)
Enhanced Income Fund | Global Strategic Income Fund | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
CAPITAL TRANSACTIONS | |||||||||||||||||||
Class A Shares: | |||||||||||||||||||
Proceeds from shares issued | $ | - | $ | - | $ | 1,178 | $ | 838 | |||||||||||
Shares issued in connection with Fund reorganization (Note 9) | - | - | 3,011 | - | |||||||||||||||
Dividends reinvested | - | - | 69 | 26 | |||||||||||||||
Cost of shares redeemed | - | - | (1,137 | ) | (466 | ) | |||||||||||||
Change in net assets from Class A capital transactions | $ | - | $ | - | $ | 3,121 | $ | 398 | |||||||||||
Class B Shares | |||||||||||||||||||
Proceeds from shares issued | $ | - | $ | - | $ | 482 | $ | - | |||||||||||
Shares issued in connection with Fund reorganization (Note 9) | - | - | 7,328 | - | |||||||||||||||
Dividends reinvested | - | - | 80 | - | |||||||||||||||
Cost of shares redeemed | - | - | (1,218 | ) | (317 | ) | |||||||||||||
Change in net assets from Class B capital transactions | $ | - | $ | - | $ | 6,672 | $ | (317 | ) | ||||||||||
Class C Shares | |||||||||||||||||||
Proceeds from shares issued | $ | - | $ | - | $ | 276 | $ | - | |||||||||||
Shares issued in connection with Fund reorganization (Note 9) | - | - | 2,925 | - | |||||||||||||||
Dividends reinvested | - | - | 36 | - | |||||||||||||||
Cost of shares redeemed | - | - | (626 | ) | - | ||||||||||||||
Change in net assets from Class C capital transactions | $ | - | $ | - | $ | 2,611 | $ | - | |||||||||||
Class M Shares | |||||||||||||||||||
Proceeds from shares issued | $ | - | $ | - | $ | 14 | $ | - | |||||||||||
Shares issued in connection with Fund reorganization (Note 9) | - | - | 6,507 | - | |||||||||||||||
Dividends reinvested | - | - | - | - | |||||||||||||||
Cost of shares redeemed | - | - | (1,492 | ) | - | ||||||||||||||
Change in net assets from Class M capital transactions | $ | - | $ | - | $ | 5,029 | $ | - | |||||||||||
Select Class Shares | |||||||||||||||||||
Proceeds from shares issued | $ | - | $ | - | $ | 695 | $ | 271 | |||||||||||
Dividends reinvested | - | - | 88 | 141 | |||||||||||||||
Cost of shares redeemed | - | - | (1,313 | ) | (1,058 | ) | |||||||||||||
Change in net assets from Select Class capital transactions | $ | - | $ | - | $ | (530 | ) | $ | (646 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 103
JPMorgan Funds
STATEMENT OF CHANGES
IN NET ASSETS FOR THE YEARS INDICATED
(Amounts in thousands)
Enhanced Income Fund | Global Strategic Income Fund | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
CAPITAL TRANSACTIONS | |||||||||||||||||||
Institutional Class Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 56,236 | $ | 263,773 | $ | 1,797 | $ | 861 | |||||||||||
Dividends reinvested | 4,840 | 3,814 | 103 | 263 | |||||||||||||||
Cost of shares redeemed | (191,180 | ) | (327,065 | ) | (39,787 | ) | (70,986 | ) | |||||||||||
Change in net assets from Institutional Class capital transactions | $ | (130,104 | ) | $ | (59,478 | ) | $ | (37,887 | ) | $ | (69,862 | ) | |||||||
SHARE TRANSACTIONS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
Issued | - | - | 128 | 93 | |||||||||||||||
Shares issued in connection with Fund reorganization (Note 9) | - | - | 325 | - | |||||||||||||||
Reinvested | - | - | 7 | 3 | |||||||||||||||
Redeemed | - | - | (123 | ) | (52 | ) | |||||||||||||
Change in Class A Shares | - | - | 337 | 44 | |||||||||||||||
Class B Shares | |||||||||||||||||||
Issued | - | - | 51 | - | |||||||||||||||
Shares issued in connection with Fund reorganization (Note 9) | - | - | 792 | - | |||||||||||||||
Reinvested | - | - | 9 | - | |||||||||||||||
Redeemed | - | - | (132 | ) | (36 | ) | |||||||||||||
Change in Class B Shares | - | - | 720 | (36 | ) | ||||||||||||||
Class C Shares | |||||||||||||||||||
Issued | - | - | 30 | - | |||||||||||||||
Shares issued in connection with Fund reorganization (Note 9) | - | - | 316 | - | |||||||||||||||
Reinvested | - | - | 4 | - | |||||||||||||||
Redeemed | - | - | (68 | ) | - | ||||||||||||||
Change in Class C Shares | - | - | 282 | - |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 104
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF CHANGES
IN NET ASSETS (CONTINUED) FOR THE YEARS INDICATED
(Amounts in thousands)
Enhanced Income Fund | Global Strategic Income Fund | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
SHARE TRANSACTIONS | |||||||||||||||||||
Class M Shares | |||||||||||||||||||
Issued | - | - | 2 | - | |||||||||||||||
Shares issued in connection with Fund Reorganization (Note 9) | - | - | 702 | - | |||||||||||||||
Reinvested | - | - | - | - | |||||||||||||||
Redeemed | - | - | (162 | ) | - | ||||||||||||||
Change in Class M Shares | - | - | 542 | - | |||||||||||||||
Select Class Shares | |||||||||||||||||||
Issued | - | - | 75 | 30 | |||||||||||||||
Reinvested | - | - | 10 | 15 | |||||||||||||||
Redeemed | - | - | (142 | ) | (116 | ) | |||||||||||||
Change in Select Class Shares | - | - | (57 | ) | (71 | ) | |||||||||||||
Institutional Class Shares | |||||||||||||||||||
Issued | 5,720 | 26,783 | 193 | 94 | |||||||||||||||
Reinvested | 492 | 388 | 11 | 29 | |||||||||||||||
Redeemed | (19,434 | ) | (33,263 | ) | (4,321 | ) | (7,786 | ) | |||||||||||
Change in Institutional Class Shares | (13,222 | ) | (6,092 | ) | (4,117 | ) | (7,663 | ) |
(b) Amount rounds to less than 1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 105
JPMorgan Funds
STATEMENT OF CHANGES
IN NET ASSETS FOR THE YEARS INDICATED
(Amounts in thousands)
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
CAPITAL TRANSACTIONS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 2,274 | $ | 1,777 | $ | 4,516 | $ | 45,840 | |||||||||||
Dividends reinvested | 88 | 60 | 1,265 | 815 | |||||||||||||||
Cost of shares redeemed | (1,576 | ) | (7,872 | ) | (19,040 | ) | (35,304 | ) | |||||||||||
Change in net assets from Class A capital transactions | $ | 786 | $ | (6,035 | ) | $ | (13,259 | ) | $ | 11,351 | |||||||||
Class M Shares | |||||||||||||||||||
Proceeds from shares issued | $ | - | $ | - | $ | 27,844 | $ | 62,729 | |||||||||||
Dividends reinvested | - | - | 2 | 20 | |||||||||||||||
Cost of shares redeemed | - | - | (289,937 | ) | (584,516 | ) | |||||||||||||
Change in net assets from Class M capital transactions | $ | - | $ | - | $ | (262,091 | ) | $ | (521,767 | ) | |||||||||
Select Class Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 117,275 | $ | 46,594 | $ | 87,195 | $ | 354,225 | |||||||||||
Dividends reinvested | 1,911 | 1,497 | 876 | 1,103 | |||||||||||||||
Cost of shares redeemed | (52,431 | ) | (75,703 | ) | (139,425 | ) | (203,163 | ) | |||||||||||
Change in net assets from Select Class capital transactions | $ | 66,755 | $ | (27,612 | ) | $ | (51,354 | ) | $ | 152,165 | |||||||||
Institutional Class Shares | |||||||||||||||||||
Proceeds from shares issued | $ | 115,405 | $ | 232,147 | $ | - | $ | - | |||||||||||
Dividends reinvested | 14,337 | 12,345 | - | - | |||||||||||||||
Cost of shares redeemed | (287,724 | ) | (406,830 | ) | - | - | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (157,982 | ) | $ | (162,338 | ) | $ | - | $ | - |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 106
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF CHANGES
IN NET ASSETS (CONTINUED) FOR THE YEARS INDICATED
(Amounts in thousands)
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||
Year Ended 8/31/2005 | Year Ended 8/31/2004 | Year Ended 8/31/2005 | Year Ended 8/31/2004 | ||||||||||||||||
SHARE TRANSACTIONS | |||||||||||||||||||
Class A Shares | |||||||||||||||||||
Issued | 233 | 180 | 447 | 4,499 | |||||||||||||||
Reinvested | 9 | 6 | 125 | 80 | |||||||||||||||
Redeemed | (162 | ) | (800 | ) | (1,885 | ) | (3,449 | ) | |||||||||||
Change in Class A Shares | 80 | (614 | ) | (1,313 | ) | 1,130 | |||||||||||||
Class M Shares | |||||||||||||||||||
Issued | - | - | 2,759 | 6,131 | |||||||||||||||
Reinvested | - | - | - | (b) | 2 | ||||||||||||||
Redeemed | - | - | (28,681 | ) | (57,237 | ) | |||||||||||||
Change in Class M Shares | - | - | (25,922 | ) | (51,104 | ) | |||||||||||||
Select Class Shares | |||||||||||||||||||
Issued | 12,075 | 4,723 | 8,603 | 34,518 | |||||||||||||||
Reinvested | 196 | 152 | 86 | 108 | |||||||||||||||
Redeemed | (5,395 | ) | (7,682 | ) | (13,773 | ) | (19,866 | ) | |||||||||||
Change in Select Class Shares | 6,876 | (2,807 | ) | (5,084 | ) | 14,760 | |||||||||||||
Institutional Class Shares | |||||||||||||||||||
Issued | 11,837 | 23,525 | - | - | |||||||||||||||
Reinvested | 1,475 | 1,252 | - | - | |||||||||||||||
Redeemed | (29,572 | ) | (41,331 | ) | - | - | |||||||||||||
Change in Institutional Class Shares | (16,260 | ) | (16,554 | ) | - | - |
(b) Amount rounds to less than 1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 107
JPMorgan Global Strategic Income Fund
STATEMENT OF
CASH FLOWS FOR THE YEAR ENDED AUGUST 31, 2005
(Amounts in thousands)
INCREASE (DECREASE) IN CASH: | |||||||
Cash flows provided by operating activities: | |||||||
Net interest and dividend income received | $ | 1,875 | |||||
Operating expenses paid | (472 | ) | |||||
Expense reimbursements received | 32 | ||||||
Purchases of long-term investments | (129,980 | ) | |||||
Net (purchases)/sales of short-term investments | 1,373 | ||||||
Proceeds from dispostion of long term investments and principal paydowns | 156,393 | ||||||
Net cash provided for futures transactions | 30 | ||||||
Net cash provided for foreign exchange transactions | 336 | ||||||
Net cash provided by operating activities | 29,587 | ||||||
Cash flows used by financing activities: | |||||||
Proceeds from shares sold | 4,422 | ||||||
Cash received in reorganization - See Note 9 | 215 | ||||||
Payment from shares redeemed | (45,458 | ) | |||||
Cash distributions paid | (1,081 | ) | |||||
Net cash used in financing activities | (41,902 | ) | |||||
Net increase (decrease) in cash | (12,315 | ) | |||||
Cash, beginning of year | 12,332 | ||||||
Cash, end of year | $ | 17 |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 108
ANNUAL REPORT AUGUST 31
2005
STATEMENT OF
CASH FLOWS (CONTINUED) FOR THE YEAR ENDED AUGUST 31, 2005
(Amounts in thousands)
RECONCILIATION OF NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATION TO NET CASH PROVIDED BY OPERATING ACTIVITIES: | |||||||
Net increase (decrease) in net assets resulting from operations | $ | 2,055 | |||||
Decrease in market value of investments* | 25,673 | ||||||
Decrease in receivable for investment securities sold | (373 | ) | |||||
Decrease in dividends and interest receivable | 191 | ||||||
Increase in expense reimbursement receivable | (14 | ) | |||||
Decrease in unrealized appreciation on foreign exchange contracts | 47 | ||||||
Decrease in net variation margin receivable | 21 | ||||||
Increase in payable for investment securities purchased | 1,943 | ||||||
Decrease in accrued expenses | (122 | ) | |||||
Increase in other assets and liabilities (net) in reorganization - See Note 9 | 166 | ||||||
Total adjustments | 27,532 | ||||||
Net cash provided by operating activities | $ | 29,587 |
NON-CASH TRANSACTIONS
In connection with the reorganization described in Note 9, the Global Strategic Income Fund acquired $19,390 of investments and other assets and liabilities (net) of $381 in exchange for the issuance of capital shares with a value of $19,771.
CASH PAID FOR INTEREST | $ | 1 |
* Excludes investments received in connection with the reorganization described in Note 9.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 109
JPMorgan Funds
FINANCIAL HIGHLIGHTS
Class A
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||
Investment operations: | Distributions: | ||||||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Tax Return of Capital | Total distributions | Net Asset value, end of period | Total return (excludes sales charge) (d) | ||||||||||||||||||||||||||||||||||
BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 10.05 | 0.36 | 0.13 | 0.49 | (0.39 | ) | (0.30 | ) | - | (0.69 | ) | $ | 9.85 | 5.06 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 10.03 | 0.32 | 0.32 | 0.64 | (0.32 | ) | (0.30 | ) | - | (0.62 | ) | $ | 10.05 | 6.61 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.07 | 0.40 | 0.04 | 0.44 | (0.40 | ) | (0.08 | ) | - | (0.48 | ) | $ | 10.03 | 4.32 | % | |||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 10.08 | 0.31 | 0.05 | 0.36 | (0.31 | ) | (0.06 | ) | - | (0.37 | ) | $ | 10.07 | 3.72 | % | |||||||||||||||||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 9.89 | 0.06 | (c) | 0.20 | 0.26 | (0.07 | ) | - | - | (0.07 | ) | $ | 10.08 | 2.63 | % | |||||||||||||||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.08 | 0.30 | 0.33 | 0.63 | (0.38 | ) | - | - | (0.38 | ) | $ | 9.33 | 7.04 | % | ||||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 8.92 | 0.48 | (c) | 0.15 | 0.63 | (0.47 | ) | - | - | (0.47 | ) | $ | 9.08 | 7.20 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 8.64 | 0.40 | (c) | 0.31 | 0.71 | (0.43 | ) | - | - | (0.43 | ) | $ | 8.92 | 8.33 | % | |||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 8.91 | 0.55 | (0.33 | ) | 0.22 | (0.47 | ) | (0.02 | ) | - | (0.49 | ) | $ | 8.64 | 2.54 | % | ||||||||||||||||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 9.13 | 0.09 | (c) | (0.22 | ) | (0.13 | ) | (0.09 | ) | - | - | (0.09 | ) | $ | 8.91 | (2.30 | )% | |||||||||||||||||||||||||
SHORT TERM BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.84 | 0.31 | (0.19 | ) | 0.12 | (0.32 | ) | - | - | (0.32 | ) | $ | 9.64 | 1.29 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.85 | 0.20 | (0.01 | ) | 0.19 | (0.20 | ) | - | - | (0.20 | ) | $ | 9.84 | 1.92 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.03 | 0.24 | (0.03 | ) | 0.21 | (0.25 | ) | (0.14 | ) | - | (0.39 | ) | $ | 9.85 | 2.08 | % | ||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 10.01 | 0.27 | 0.05 | 0.32 | (0.26 | ) | (0.04 | ) | - | (0.30 | ) | $ | 10.03 | 3.18 | % | |||||||||||||||||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 9.87 | 0.05 | (c) | 0.15 | 0.20 | (0.06 | ) | - | - | (0.06 | ) | $ | 10.01 | 2.01 | % | |||||||||||||||||||||||||||
SHORT TERM BOND FUND II | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 10.21 | 0.31 | (0.20 | ) | 0.11 | (0.30 | ) | - | - | (0.30 | ) | $ | 10.02 | 1.09 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 10.23 | 0.21 | (c) | (0.02 | ) | 0.19 | (0.21 | ) | - | - | (h) | (0.21 | ) | $ | 10.21 | 1.85 | % | |||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.33 | 0.23 | (c) | (0.04 | ) | 0.19 | (0.24 | ) | (0.05 | ) | - | (h) | (0.29 | ) | $ | 10.23 | 1.88 | % | ||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 10.38 | 0.25 | 0.06 | 0.31 | (0.25 | ) | (0.11 | ) | - | (0.36 | ) | $ | 10.33 | 3.06 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2001 | $ | 9.89 | 0.43 | (c) | 0.53 | 0.96 | (0.47 | ) | - | - | (0.47 | ) | $ | 10.38 | 9.95 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.94 | 0.56 | (0.05 | ) | 0.51 | (0.56 | ) | - | - | (0.56 | ) | $ | 9.89 | 5.27 | % |
(a) The fund changed its fiscal year end from October 31 to August 31.
(b) Commencement of offering of class of shares.
(c) Calculated based upon average shares outstanding.
(d) Not annualized for periods less than one year.
(e) Annualized for periods less than one year.
(f) Includes interest expense for custody overdraft of 1 basis point.
(g) Due to the size of net assets and fixed expenses, ratios may appear disproportionate.
(h) Rounds to less than $0.01.
(i) Effective February 19, 2005, the contractual expense limitation is 1.15%.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 110
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||
Ratios to average net assets: (e) | |||||||||||||||||||||||
Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (d) | |||||||||||||||||||
BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 5,963 | 0.75 | % | 3.63 | % | 1.31 | % | 559 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 3,004 | 0.75 | % | 3.19 | % | 1.88 | % | 571 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 2,000 | 0.75 | % | 3.86 | % | 1.59 | % | 679 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 1,000 | 0.75 | % | 3.59 | % | 5.64 | % | 572 | % | |||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 70,000 | 0.75 | % | 3.93 | % | 10.75 | % | 423 | % | |||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 3,965 | 1.17 | %(i) | 4.29 | % | 2.11 | % | 461 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 802 | 1.27 | %(f) | 5.31 | % | 4.23 | % | 152 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 300 | 1.25 | % | 4.45 | % | 7.26 | % | 248 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 70 | 1.25 | % | 6.20 | % | 35.90 | %(g) | 178 | % | |||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 70 | 1.25 | % | 6.99 | % | 11.01 | % | 107 | % | |||||||||||||
SHORT TERM BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 3,393 | 0.75 | % | 3.20 | % | 1.21 | % | 194 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 3,000 | 0.75 | % | 2.00 | % | 1.17 | % | 261 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 9,000 | 0.75 | % | 2.39 | % | 1.10 | % | 386 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 10,000 | 0.75 | % | 3.01 | % | 1.00 | % | 215 | % | |||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 2,000 | 0.75 | % | 3.62 | % | 10.76 | % | 160 | % | |||||||||||||
SHORT TERM BOND FUND II | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 41,311 | 0.75 | % | 2.94 | % | 1.00 | % | 201 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 55,000 | 0.75 | % | 2.03 | % | 1.10 | % | 253 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 44,000 | 0.75 | % | 2.31 | % | 0.96 | % | 319 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 70,000 | 0.75 | % | 2.66 | % | 1.00 | % | 192 | % | |||||||||||||
Year Ended October 31, 2001 | $ | 52,000 | 0.75 | % | 4.25 | % | 1.15 | % | 315 | % | |||||||||||||
Year Ended October 31, 2000 | $ | 19,000 | 0.75 | % | 5.68 | % | 1.37 | % | 139 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 111
JPMorgan Funds
FINANCIAL HIGHLIGHTS
(CONTINUED)
Class B
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||
Investment operations: | Distributions: | ||||||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Net Asset value, end of period | Total return (excludes sales charge) (e) | ||||||||||||||||||||||||||||||||||
BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.97 | 0.29 | 0.12 | 0.41 | (0.30 | ) | (0.30 | ) | - | (0.60 | ) | $ | 9.78 | 4.23 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.95 | 0.25 | 0.32 | 0.57 | (0.25 | ) | (0.30 | ) | - | (d) | (0.55 | ) | $ | 9.97 | 5.89 | % | ||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.05 | 0.33 | (0.03 | ) | 0.30 | (0.32 | ) | (0.08 | ) | - | (0.40 | ) | $ | 9.95 | 2.94 | % | ||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 10.08 | 0.24 | 0.03 | 0.27 | (0.24 | ) | (0.06 | ) | - | (0.30 | ) | $ | 10.05 | 2.83 | % | |||||||||||||||||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 9.89 | 0.06 | (c) | 0.19 | 0.25 | (0.06 | ) | - | - | (0.06 | ) | $ | 10.08 | 2.53 | % | |||||||||||||||||||||||||||
GLOBAL STRATEGIC | |||||||||||||||||||||||||||||||||||||||||||
February 18, 2005(b) To August 31, 2005 | $ | 9.26 | 0.19 | 0.06 | 0.25 | (0.19 | ) | - | - | (0.19 | ) | $ | 9.32 | 2.77 | % |
(a) The fund changed its fiscal year end from October 31 to August 31.
(b) Commencement of offering of class of shares.
(c) Calculated based upon average shares outstanding.
(d) Amount rounds to less than $0.01.
(e) Not annualized for periods less than one year.
(f) Annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 112
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||
Ratios to average net assets: (f) | |||||||||||||||||||||||
Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (e) | |||||||||||||||||||
BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 2,283 | 1.44 | % | 2.93 | % | 1.90 | % | 559 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 1,972 | 1.50 | % | 2.48 | % | 2.36 | % | 571 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 2,000 | 1.50 | % | 3.19 | % | 2.14 | % | 679 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 1,000 | 1.50 | % | 2.80 | % | 6.02 | % | 572 | % | |||||||||||||
September 10, 2001(b) To October 31, 2001 | $ | 64 | 1.48 | % | 4.07 | % | 11.25 | % | 423 | % | |||||||||||||
GLOBAL STRATEGIC | |||||||||||||||||||||||
February 18, 2005(b) To August 31, 2005 | $ | 6,715 | 1.65 | % | 3.91 | % | 2.43 | % | 461 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 113
JPMorgan Funds
FINANCIAL HIGHLIGHTS
(CONTINUED)
Class C
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||
Investment operations: | Distributions: | ||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net Asset value, end of period | Total return (excludes sales charge) (b) | |||||||||||||||||||||||||||||||
BOND FUND | |||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 10.03 | 0.28 | 0.12 | 0.40 | (0.30 | ) | (0.30 | ) | (0.60 | ) | $ | 9.83 | 4.13 | % | ||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 10.01 | 0.24 | 0.33 | 0.57 | (0.25 | ) | (0.30 | ) | (0.55 | ) | $ | 10.03 | 5.84 | % | ||||||||||||||||||||||||
March 31, 2003(a) To August 31, 2003 | $ | 10.22 | 0.14 | (0.21 | ) | (0.07 | ) | (0.14 | ) | - | (0.14 | ) | $ | 10.01 | (0.69 | )% | |||||||||||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||||||||||||||||||
February 18, 2005(a) To August 31, 2005 | $ | 9.26 | 0.19 | 0.07 | 0.26 | (0.19 | ) | - | (0.19 | ) | $ | 9.33 | 2.88 | % |
(a) Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 114
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||
Ratios to average net assets: (c) | |||||||||||||||||||||||
Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||
BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 425 | 1.42 | % | 2.96 | % | 1.82 | % | 559 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 211 | 1.50 | % | 2.45 | % | 2.36 | % | 571 | % | |||||||||||||
March 31, 2003(a) To August 31, 2003 | $ | 200 | 1.50 | % | 3.02 | % | 1.78 | % | 679 | % | |||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||
February 18, 2005(a) To August 31, 2005 | $ | 2,631 | 1.65 | % | 3.91 | % | 2.42 | % | 461 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 115
JPMorgan Funds
FINANCIAL HIGHLIGHTS
(CONTINUED)
Class M
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||
Investment operations: | Distri butions: | ||||||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Net Asset value, end of period | Total return (excludes sales charge) (e) | ||||||||||||||||||||||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||||||||||||||||||||||
February 18, 2005(a) To August 31, 2005 | $ | 9.26 | 0.20 | 0.07 | 0.27 | (0.20 | ) | - | - | (0.20 | ) | $ | 9.33 | 3.00 | % | ||||||||||||||||||||||||||||
SHORT TERM BOND FUND II | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 10.21 | 0.28 | (0.20 | ) | 0.08 | (0.27 | ) | - | - | (0.27 | ) | $ | 10.02 | 0.83 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 10.23 | 0.18 | (c) | (0.02 | ) | 0.16 | (0.18 | ) | - | - | (d) | (0.18 | ) | $ | 10.21 | 1.58 | % | |||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.33 | 0.21 | (c) | (0.04 | ) | 0.17 | (0.22 | ) | (0.05 | ) | - | (d) | (0.27 | ) | $ | 10.23 | 1.64 | % | ||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 10.37 | 0.23 | 0.06 | 0.29 | (0.22 | ) | (0.11 | ) | - | (0.33 | ) | $ | 10.33 | 2.92 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2001 | $ | 9.89 | 0.35 | (c) | 0.58 | 0.93 | (0.45 | ) | - | - | (0.45 | ) | $ | 10.37 | 9.63 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.94 | 0.54 | (0.05 | ) | 0.49 | (0.54 | ) | - | - | (0.54 | ) | $ | 9.89 | 5.04 | % |
(a) Commencement of offering of class of shares.
(b) The fund changed its fiscal year end from October 31 to August 31.
(c) Calculated based upon average shares outstanding.
(d) Rounds to less than $0.01.
(e) Not annualized for periods less than one year.
(f) Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 116
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||
Ratios to average net assets: (f) | |||||||||||||||||||||||
Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (e) | |||||||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||
February 18, 2005(a) To August 31, 2005 | $ | 5,057 | 1.45 | % | 4.09 | % | 2.20 | % | 461 | % | |||||||||||||
SHORT TERM BOND FUND II | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 371,756 | 1.00 | % | 2.67 | % | 1.03 | % | 201 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 643,278 | 1.00 | % | 1.75 | % | 1.04 | % | 253 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 1,168,000 | 1.00 | % | 2.07 | % | 1.04 | % | 319 | % | |||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 1,127,000 | 1.00 | % | 2.41 | % | 1.03 | % | 192 | % | |||||||||||||
Year Ended October 31, 2001 | $ | 689,000 | 1.00 | % | 3.45 | % | 1.11 | % | 315 | % | |||||||||||||
Year Ended October 31, 2000 | $ | 13,000 | 0.99 | % | 5.51 | % | 1.73 | % | 139 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 117
JPMorgan Funds
FINANCIAL HIGHLIGHTS
(CONTINUED)
Select Class
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||
Investment operations: | Distributions: | ||||||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Redemption fees | Net Asset value, end of period | ||||||||||||||||||||||||||||||||||
BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.97 | 0.36 | 0.13 | 0.49 | (0.40 | ) | (0.30 | ) | - | (0.70 | ) | - | $ | 9.76 | ||||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.94 | 0.33 | 0.33 | 0.66 | (0.33 | ) | (0.30 | ) | - | (0.63 | ) | - | $ | 9.97 | ||||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.04 | 0.40 | (0.01 | ) | 0.39 | (0.41 | ) | (0.08 | ) | - | (0.49 | ) | - | $ | 9.94 | |||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 10.08 | 0.32 | 0.02 | 0.34 | (0.32 | ) | (0.06 | ) | - | (0.38 | ) | - | $ | 10.04 | ||||||||||||||||||||||||||||
Year Ended October 31, 2001(a) | $ | 9.43 | 0.52 | (d) | 0.70 | 1.22 | (0.57 | ) | - | - | (0.57 | ) | - | $ | 10.08 | ||||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.41 | 0.58 | 0.02 | 0.60 | (0.58 | ) | - | - | (0.58 | ) | - | $ | 9.43 | |||||||||||||||||||||||||||||
EMERGING MARKETS DEBT FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.58 | 0.61 | 1.08 | 1.69 | (0.67 | ) | (1.31 | ) | - | (1.98 | ) | - | (e) | $ | 9.29 | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.02 | 0.67 | 0.60 | 1.27 | (0.71 | ) | - | - | (0.71 | ) | - | $ | 9.58 | |||||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 7.53 | 0.68 | 1.53 | 2.21 | (0.72 | ) | - | - | (0.72 | ) | - | $ | 9.02 | |||||||||||||||||||||||||||||
August 1, 2002 To August 31, 2002(c) | $ | 7.05 | 0.05 | 0.49 | 0.54 | (0.06 | ) | - | - | (0.06 | ) | - | $ | 7.53 | |||||||||||||||||||||||||||||
Year Ended July 31, 2002 | $ | 7.82 | 0.77 | (0.77 | ) | - | (0.77 | ) | - | - | (0.77 | ) | - | $ | 7.05 | ||||||||||||||||||||||||||||
Year Ended July 31, 2001 | $ | 8.77 | 0.88 | (0.87 | ) | 0.01 | (0.96 | ) | - | - | (0.96 | ) | - | $ | 7.82 | ||||||||||||||||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.08 | 0.46 | 0.19 | 0.65 | (0.40 | ) | - | - | (0.40 | ) | - | $ | 9.33 | |||||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 8.92 | 0.49 | (d) | 0.16 | 0.65 | (0.49 | ) | - | - | (0.49 | ) | - | $ | 9.08 | ||||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 8.65 | 0.45 | (d) | 0.27 | 0.72 | (0.45 | ) | - | - | (0.45 | ) | - | $ | 8.92 | ||||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 8.95 | 0.45 | (0.31 | ) | 0.14 | (0.42 | ) | - | (0.02 | ) | (0.44 | ) | - | $ | 8.65 | |||||||||||||||||||||||||||
Year Ended October 31, 2001(a) | $ | 9.42 | 0.67 | (d) | (0.38 | ) | 0.29 | (0.76 | ) | - | - | (0.76 | ) | - | $ | 8.95 | |||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.47 | 0.87 | (0.26 | ) | 0.61 | (0.66 | ) | - | - | (0.66 | ) | - | $ | 9.42 |
(a) Prior to the open of business on September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split.
(b) The fund changed its fiscal year end from October 31 to August 31.
(c) The fund changed its fiscal year end from July 31 to August 31.
(d) Calculated based upon average shares outstanding.
(e) Amount rounds to less than $0.01.
(f) Not annualized for periods less than one year.
(g) Annualized for periods less than one year.
(h) Includes interest expense for custody overdraft of 1 basis point.
(i) Percentages prior to September 10, 2001 reflect the portfolio turnover of The U.S. Fixed Income Portfolio, in which the Fund invested all of its investable assets.
(j) Percentages prior to September 10, 2001 reflect the portfolio turnover of The Emerging Markets Debt Portfolio, in which the Fund invested all of its investable assets.
(k) Percentages prior to September 10, 2001 reflect the portfolio turnover of The Global Strategic Income Portfolio, in which the Fund invested all of its investable assets.
(l) Percentages prior to September 10, 2001 reflect the portfolio turnover The Short Term Bond Portfolio, in which the Fund invested all of its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 118
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||||||
Ratios to average net assets: (g) | |||||||||||||||||||||||||||
Total return (excludes sales charge) (f) | Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (f) | ||||||||||||||||||||||
BOND FUND | |||||||||||||||||||||||||||
Year Ended August 31, 2005 | 5.12 | % | $ | 202,659 | 0.66 | % | 3.72 | % | 0.74 | % | 559 | % | |||||||||||||||
Year Ended August 31, 2004 | 6.88 | % | $ | 188,775 | 0.66 | % | 3.33 | % | 0.78 | % | 571 | % | |||||||||||||||
Year Ended August 31, 2003 | 3.82 | % | $ | 308,000 | 0.66 | % | 3.97 | % | 0.76 | % | 679 | % | |||||||||||||||
November 1, 2001 To August 31, 2002(b) | 3.57 | % | $ | 312,000 | 0.66 | % | 3.95 | % | 0.74 | % | 572 | % | |||||||||||||||
Year Ended October 31, 2001(a) | 13.32 | % | $ | 315,000 | 0.69 | % | 5.77 | % | 0.70 | % | 423 | %(i) | |||||||||||||||
Year Ended October 31, 2000 | 6.61 | % | $ | 240,000 | 0.69 | % | 6.19 | % | 0.69 | % | 531 | %(i) | |||||||||||||||
EMERGING MARKETS DEBT FUND | |||||||||||||||||||||||||||
Year Ended August 31, 2005 | 19.87 | % | $ | 34,448 | 1.25 | % | 6.56 | % | 1.72 | % | 337 | % | |||||||||||||||
Year Ended August 31, 2004 | 14.56 | % | $ | 36,145 | 1.26 | %(h) | 7.01 | % | 1.65 | % | 166 | % | |||||||||||||||
Year Ended August 31, 2003 | 30.49 | % | $ | 60,000 | 1.25 | % | 8.11 | % | 1.52 | % | 157 | % | |||||||||||||||
August 1, 2002 To August 31, 2002(c) | 7.69 | % | $ | 41,000 | 1.25 | % | 9.86 | % | 1.30 | % | 12 | % | |||||||||||||||
Year Ended July 31, 2002 | (0.67 | )% | $ | 35,000 | 1.25 | % | 9.59 | % | 1.54 | % | 110 | %(j) | |||||||||||||||
Year Ended July 31, 2001 | (0.17 | %) | $ | 35,000 | 1.25 | % | 11.20 | % | 1.92 | % | 141 | %(j) | |||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||||||
Year Ended August 31, 2005 | 7.30 | % | $ | 1,892 | 0.95 | % | 4.30 | % | 1.86 | % | 461 | % | |||||||||||||||
Year Ended August 31, 2004 | 7.48 | % | $ | 2,364 | 1.01 | %(h) | 5.44 | % | 1.95 | % | 152 | % | |||||||||||||||
Year Ended August 31, 2003 | 8.48 | % | $ | 3,000 | 1.00 | % | 5.10 | % | 1.48 | % | 248 | % | |||||||||||||||
November 1, 2001 To August 31, 2002(b) | 1.61 | % | $ | 5,000 | 1.00 | % | 6.08 | % | 1.48 | % | 178 | % | |||||||||||||||
Year Ended October 31, 2001(a) | 5.46 | % | $ | 5,000 | 1.00 | % | 7.32 | % | 2.63 | % | 107 | %(k) | |||||||||||||||
Year Ended October 31, 2000 | 6.57 | % | $ | 7,000 | 1.00 | % | 7.05 | % | 2.50 | % | 266 | %(k) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 119
JPMorgan Funds
FINANCIAL HIGHLIGHTS
(CONTINUED)
Select Class (continued)
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||
Investment operations: | Distributions: | ||||||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Net Asset value, end of period | Total return (excludes sales charge) (f) | ||||||||||||||||||||||||||||||||||
SHORT TERM BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.84 | 0.32 | (0.17 | ) | 0.15 | (0.35 | ) | - | - | (0.35 | ) | $ | 9.64 | 1.52 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.86 | 0.22 | (0.02 | ) | 0.20 | (0.22 | ) | - | - | (0.22 | ) | $ | 9.84 | 1.99 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.04 | 0.26 | (0.03 | ) | 0.23 | (0.27 | ) | (0.14 | ) | - | (0.41 | ) | $ | 9.86 | 2.28 | % | ||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 10.03 | 0.28 | 0.04 | 0.32 | (0.27 | ) | (0.04 | ) | - | (0.31 | ) | $ | 10.04 | 3.21 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2001(a) | $ | 9.61 | 0.51 | (d) | 0.46 | 0.97 | (0.55 | ) | - | - | (0.55 | ) | $ | 10.03 | 10.39 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.70 | 0.58 | (0.09 | ) | 0.49 | (0.58 | ) | - | - | (0.58 | ) | $ | 9.61 | 5.19 | % | |||||||||||||||||||||||||||
SHORT TERM BOND FUND II | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 10.22 | 0.32 | (0.18 | ) | 0.14 | (0.33 | ) | - | - | (0.33 | ) | $ | 10.03 | 1.35 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 10.25 | 0.23 | (d) | (0.03 | ) | 0.20 | (0.23 | ) | - | - | (e) | (0.23 | ) | $ | 10.22 | 2.01 | % | |||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.35 | 0.27 | (d) | (0.05 | ) | 0.22 | (0.27 | ) | (0.05 | ) | - | (e) | (0.32 | ) | $ | 10.25 | 2.15 | % | ||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 10.40 | 0.26 | 0.07 | 0.33 | (0.27 | ) | (0.11 | ) | - | (0.38 | ) | $ | 10.35 | 3.30 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2001 | $ | 9.90 | 0.42 | (d) | 0.57 | 0.99 | (0.49 | ) | - | - | (0.49 | ) | $ | 10.40 | 10.29 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.95 | 0.59 | (0.05 | ) | 0.54 | (0.59 | ) | - | - | (0.59 | ) | $ | 9.90 | 5.56 | % |
(a) Prior to the open of business on September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split.
(b) The fund changed its fiscal year end from October 31 to August 31.
(c) The fund changed its fiscal year end from July 31 to August 31.
(d) Calculated based upon average shares outstanding.
(e) Amount rounds to less than $0.01.
(f) Not annualized for periods less than one year.
(g) Annualized for periods less than one year.
(h) Includes interest expense for custody overdraft of 1 basis point.
(l) Percentages prior to September 10, 2001 reflect the portfolio turnover The Short Term Bond Portfolio, in which the Fund invested all of its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 120
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||
Ratios to average net assets: (g) | |||||||||||||||||||||||
Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (f) | |||||||||||||||||||
SHORT TERM BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 159,035 | 0.56 | % | 3.48 | % | 0.68 | % | 194 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 94,681 | 0.58 | % | 2.22 | % | 0.73 | % | 261 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 122,000 | 0.56 | % | 2.59 | % | 0.71 | % | 386 | % | |||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 122,000 | 0.57 | % | 3.22 | % | 0.72 | % | 215 | % | |||||||||||||
Year Ended October 31, 2001(a) | $ | 67,000 | 0.60 | % | 5.22 | % | 0.82 | % | 160 | %(l) | |||||||||||||
Year Ended October 31, 2000 | $ | 38,000 | 0.60 | % | 6.00 | % | 0.82 | % | 271 | %(l) | |||||||||||||
SHORT TERM BOND FUND II | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 432,056 | 0.50 | % | 3.21 | % | 0.68 | % | 201 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 492,178 | 0.50 | % | 2.26 | % | 0.70 | % | 253 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 342,000 | 0.50 | % | 2.58 | % | 0.70 | % | 319 | % | |||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 144,000 | 0.50 | % | 2.91 | % | 0.70 | % | 192 | % | |||||||||||||
Year Ended October 31, 2001 | $ | 144,000 | 0.50 | % | 4.15 | % | 0.77 | % | 315 | % | |||||||||||||
Year Ended October 31, 2000 | $ | 21,000 | 0.45 | % | 5.99 | % | 1.02 | % | 139 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 121
JPMorgan Funds
FINANCIAL HIGHLIGHTS
(CONTINUED)
Institutional Class
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||
Investment operations: | Distributions: | ||||||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Net Asset value, end of period | Total return (excludes sales charge) (d) | ||||||||||||||||||||||||||||||||||
BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.96 | 0.38 | 0.13 | 0.51 | (0.42 | ) | (0.30 | ) | - | (0.72 | ) | $ | 9.75 | 5.33 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.94 | 0.35 | 0.32 | 0.67 | (0.35 | ) | (0.30 | ) | - | (0.65 | ) | $ | 9.96 | 6.96 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.04 | 0.42 | (0.02 | ) | 0.40 | (0.42 | ) | (0.08 | ) | - | (0.50 | ) | $ | 9.94 | 3.99 | % | ||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 10.08 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | - | (0.40 | ) | $ | 10.04 | 3.71 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2001 | $ | 9.43 | 0.58 | (c) | 0.65 | 1.23 | (0.58 | ) | - | - | (0.58 | ) | $ | 10.08 | 13.46 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.41 | 0.60 | 0.02 | 0.62 | (0.60 | ) | - | (j) | - | (0.60 | ) | $ | 9.43 | 6.83 | % | |||||||||||||||||||||||||||
ENHANCED INCOME FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.84 | 0.28 | (0.02 | ) | 0.26 | (0.28 | ) | - | - | (0.28 | ) | $ | 9.82 | 2.69 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.86 | 0.14 | (0.02 | ) | 0.12 | (0.14 | ) | - | - | (0.14 | ) | $ | 9.84 | 1.28 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 9.98 | 0.23 | (0.12 | ) | 0.11 | (0.23 | ) | - | - | (0.23 | ) | $ | 9.86 | 1.14 | % | |||||||||||||||||||||||||||
November 30, 2001(b) To August 31, 2002 | $ | 10.00 | 0.18 | (0.02 | ) | 0.16 | (0.18 | ) | - | - | (0.18 | ) | $ | 9.98 | 1.58 | % | |||||||||||||||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.08 | (0.12 | ) | 0.80 | 0.68 | (0.43 | ) | - | - | (0.43 | ) | $ | 9.33 | 7.63 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 8.92 | 0.51 | (c) | 0.17 | 0.68 | (0.52 | ) | - | - | (0.52 | ) | $ | 9.08 | 7.85 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 8.65 | 0.48 | (c) | 0.27 | 0.75 | (0.48 | ) | - | - | (0.48 | ) | $ | 8.92 | 8.86 | % | |||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 8.95 | 0.47 | (0.30 | ) | 0.17 | (0.45 | ) | - | (0.02 | ) | (0.47 | ) | $ | 8.65 | 1.92 | % | ||||||||||||||||||||||||||
Year Ended October 31, 2001 | $ | 9.29 | 0.69 | (c) | (0.16 | ) | 0.53 | (0.87 | ) | - | - | (0.87 | ) | $ | 8.95 | 5.86 | % | ||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.35 | 0.88 | (0.25 | ) | 0.63 | (0.69 | ) | - | - | (0.69 | ) | $ | 9.29 | 6.93 | % | |||||||||||||||||||||||||||
SHORT TERM BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.85 | 0.36 | (0.19 | ) | 0.17 | (0.38 | ) | - | - | (0.38 | ) | $ | 9.64 | 1.75 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.86 | 0.25 | (0.02 | ) | 0.23 | (0.24 | ) | - | - | (0.24 | ) | $ | 9.85 | 2.38 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.05 | 0.28 | (0.04 | ) | 0.24 | (0.29 | ) | (0.14 | ) | - | (0.43 | ) | $ | 9.86 | 2.44 | % | ||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 10.03 | 0.29 | 0.06 | 0.35 | (0.29 | ) | (0.04 | ) | - | (0.33 | ) | $ | 10.05 | 3.55 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2001 | $ | 9.58 | 0.54 | (c) | 0.46 | 1.00 | (0.55 | ) | - | - | (0.55 | ) | $ | 10.03 | 10.70 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.67 | 0.60 | (0.08 | ) | 0.52 | (0.61 | ) | - | - | (0.61 | ) | $ | 9.58 | 5.49 | % |
(a) The fund changed its fiscal year end from October 31 to August 31.
(b) Commencement of operations.
(c) Calculated based upon average shares outstanding.
(d) Not annualized for periods less than one year.
(e) Annualized for periods less than one year.
(f) Includes interest expense for custody overdraft of 1 basis point.
(g) Percentages prior to September 10, 2001 reflect the portfolio turnover of The U.S. Fixed Income Portfolio, in which the Fund invested all of its investable assets.
(h) Percentages prior to September 10, 2001 reflect the portfolio turnover of The Emerging Markets Debt Portfolio, in which the Fund invested all of its investable assets.
(i) Percentages prior to September 10, 2001 reflect the portfolio turnover of The Short Term Bond Portfolio, in which the Fund invested all of its investable assets.
(j) Amount is less than $0.005.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 122
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||
Ratios to average net assets: (e) | |||||||||||||||||||||||
Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (d) | |||||||||||||||||||
BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 259,697 | 0.49 | % | 3.85 | % | 0.59 | % | 559 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 318,100 | 0.49 | % | 3.51 | % | 0.62 | % | 571 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 478,000 | 0.49 | % | 4.10 | % | 0.60 | % | 679 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 747,000 | 0.49 | % | 4.14 | % | 0.58 | % | 572 | % | |||||||||||||
Year Ended October 31, 2001 | $ | 1,016,000 | 0.49 | % | 5.98 | % | 0.51 | % | 423 | %(g) | |||||||||||||
Year Ended October 31, 2000 | $ | 907,000 | 0.49 | % | 6.37 | % | 0.49 | % | 531 | %(g) | |||||||||||||
ENHANCED INCOME FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 163,344 | 0.20 | % | 2.66 | % | 0.56 | % | 128 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 293,752 | 0.20 | % | 1.47 | % | 0.56 | % | 156 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 354,000 | 0.20 | % | 2.33 | % | 0.56 | % | 328 | % | |||||||||||||
November 30, 2001(b) To August 31, 2002 | $ | 300,000 | 0.20 | % | 2.40 | % | 0.68 | % | 120 | % | |||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 2,042 | 0.65 | % | 4.45 | % | 1.36 | % | 461 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 40,000 | 0.66 | %(f) | 5.63 | % | 1.22 | % | 152 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 108,000 | 0.65 | % | 5.42 | % | 0.97 | % | 248 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 135,000 | 0.65 | % | 6.44 | % | 0.98 | % | 178 | % | |||||||||||||
Year Ended October 31, 2001 | $ | 143,000 | 0.65 | % | 7.50 | % | 0.80 | % | 107 | %(h) | |||||||||||||
Year Ended October 31, 2000 | $ | 163,000 | 0.65 | % | 7.36 | % | 0.80 | % | 266 | %(h) | |||||||||||||
SHORT TERM BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 471,460 | 0.30 | % | 3.60 | % | 0.53 | % | 194 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 641,869 | 0.30 | % | 2.49 | % | 0.55 | % | 261 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 806,000 | 0.30 | % | 2.85 | % | 0.55 | % | 386 | % | |||||||||||||
November 1, 2001 To August 31, 2002(a) | $ | 618,000 | 0.30 | % | 3.53 | % | 0.54 | % | 215 | % | |||||||||||||
Year Ended October 31, 2001 | $ | 697,000 | 0.30 | % | 5.52 | % | 0.48 | % | 160 | %(i) | |||||||||||||
Year Ended October 31, 2000 | $ | 415,000 | 0.30 | % | 6.30 | % | 0.47 | % | 271 | %(i) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 123
JPMorgan Funds
FINANCIAL HIGHLIGHTS
(CONTINUED)
Ultra
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||
Investment operations: | Distributions: | ||||||||||||||||||||||||||||||||||||||||||
Net Asset value, beginning of period | Net Investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Tax return of capital | Total distributions | Net Asset value, end of period | Total return (excludes sales charge) (d) | ||||||||||||||||||||||||||||||||||
BOND FUND | |||||||||||||||||||||||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 9.97 | 0.32 | 0.20 | 0.52 | (0.43 | ) | (0.30 | ) | - | (0.73 | ) | $ | 9.76 | 5.45 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2004 | $ | 9.95 | 0.36 | 0.32 | 0.68 | (0.36 | ) | (0.30 | ) | - | (0.66 | ) | $ | 9.97 | 7.05 | % | |||||||||||||||||||||||||||
Year Ended August 31, 2003 | $ | 10.05 | 0.43 | (0.02 | ) | 0.41 | (0.43 | ) | (0.08 | ) | - | (0.51 | ) | $ | 9.95 | 4.08 | % | ||||||||||||||||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 10.09 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | - | (0.40 | ) | $ | 10.05 | 3.80 | % | |||||||||||||||||||||||||||
Year Ended October 31, 2001(a) | $ | 9.47 | 0.54 | (c) | 0.72 | 1.26 | (0.62 | ) | (0.02 | ) | - | (0.64 | ) | $ | 10.09 | 13.63 | % | ||||||||||||||||||||||||||
Year Ended October 31, 2000 | $ | 9.46 | 0.64 | (0.02 | ) | 0.62 | (0.61 | ) | - | - | (0.61 | ) | $ | 9.47 | 6.92 | % |
(a) Prior to the open of business on September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split.
(b) The fund changed its fiscal year from October 31 to August 31.
(c) Calculated based upon average shares outstanding.
(d) Not annualized for periods less than one year.
(e) Annualized for periods less than one year.
(f) Percentages prior to September 10, 2001 reflect the portfolio turnover of The U.S. Fixed Income Portfolio,
in which the Fund invested all of its investable assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 124
ANNUAL REPORT AUGUST 31
2005
FINANCIAL HIGHLIGHTS
Ratios/Supplemental data: | |||||||||||||||||||||||
Ratios to average net assets: (e) | |||||||||||||||||||||||
Net assets end of period (000's) | Net expenses | Net Investment income (loss) | Expenses without waivers reimbursements and earnings credits | Portfolio turnover rate (d) | |||||||||||||||||||
BOND FUND | |||||||||||||||||||||||
Year Ended August 31, 2005 | $ | 126,272 | 0.40 | % | 3.90 | % | 0.51 | % | 559 | % | |||||||||||||
Year Ended August 31, 2004 | $ | 380,794 | 0.40 | % | 3.59 | % | 0.56 | % | 571 | % | |||||||||||||
Year Ended August 31, 2003 | $ | 444,000 | 0.40 | % | 4.19 | % | 0.55 | % | 679 | % | |||||||||||||
November 1, 2001 To August 31, 2002(b) | $ | 609,000 | 0.40 | % | 4.20 | % | 0.53 | % | 572 | % | |||||||||||||
Year Ended October 31, 2001(a) | $ | 598,000 | 0.37 | % | 6.08 | % | 0.47 | % | 423 | %(f) | |||||||||||||
Year Ended October 31, 2000 | $ | 466,000 | 0.35 | % | 6.49 | % | 0.42 | % | 531 | %(f) |
SEE NOTES TO FINANCIAL STATEMENTS.
JPMORGAN INCOME FUNDS 125
JPMorgan Funds
NOTES TO FINANCIAL
STATEMENTS
1. Organization
JPMorgan Mutual Fund Group ("MFG") was organized as a Massachusetts business trust on May 11, 1987. JPMorgan Trust I ("JPM I") was formed on November 12, 2004 as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004. MFG and JPM I (the "Trusts") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end management investment companies.
The following are the six separate funds of the Trusts (collectively, the "Funds") covered by this report:
FUND | CLASSES OFFERED | ||||||
Bond Fund | Class A, Class B, Class C, Select Class, Institutional Class and Ultra | ||||||
Emerging Markets Debt Fund | Select Class | ||||||
Enhanced Income Fund | Institutional Class | ||||||
Global Strategic Income Fund | Class A, Class B, Class C, Class M, Select Class and Institutional Class | ||||||
Short Term Bond Fund | Class A, Select Class and Institutional Class | ||||||
Short Term Bond Fund II | Class A, Class M and Select Class |
Effective February 19, 2005, Emerging Markets Debt Fund was renamed from Fleming Emerging Markets Debt Fund with the approval of the Board of Trustees.
Effective February 18, 2005, Class B, Class C and Class M shares commenced operations in the Global Strategic Income Fund.
The Funds, excluding Short Term Bond Fund II, are separate series of JPM I. Short Term Bond Fund II is a separate series of MFG.
Prior to February 19, 2005, Bond Fund, Global Strategic Income Fund and Short Term Bond Fund were a separate series of J.P. Morgan Institutional Funds. Enhanced Income Fund was a separate series of J.P. Morgan Series Trust. Emerging Markets Debt Fund was a separate series of J.P. Morgan Funds. On August 19, 2004, the Board of Trustees of the then existing Trusts approved Agreements and Plans of Reorganization regarding the reorganization of each series of their respective Trust into a corresponding series of J.P. Morgan Mutual Fund Series ("JPMMFS").
At a special meeting of shareholders of the Funds held on January 20, 2005, and adjourned and reconvened on February 3, 2005, shareholders of each of the Funds, except for Short Term Bond Fund II, approved the Agreement and Plan of Reorganization with respect to each Fund. Effective after the close of business on February 18, 2005 pursuant to the Agreement and Plan of Reorganization, the Funds were each reorganized, by means of a tax-free reorganization, as a separate series of JPMMFS. Each corresponding series of JPMMFS had no assets, liabilities or operations prior to the reorganization. The event had no impact on the net assets or results of operations of the Funds.
Additionally, the shareholders of JPMMFS approved an Agreement and Plan of Reorganization and Redomiciliation providing for the reorganization and redomiciliation of each series of JPMMFS as a corresponding series of JPM I, including those series of JPMMFS such as the Funds which became a series of JPMMFS as of February 18, 2005. Therefore, effective after the close of business on February 18, 2005, pursuant to the Agreement and Plan of Reorganization and Redomiciliation, each Fund, other than Short Term Bond Fund II, was reorganized and redomiciled, by means of a tax-free reorganization, as a separate series of JPM I. Each corresponding series of JPM I had no
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assets, liabilities or operations prior to the reorganization. The event had no impact on the net assets or results of operations of the Funds.
Class A and Class M 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 during the current fiscal year bore different transfer agent 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 redemption charges as described in the Funds' prospectus.
On November 11, 2004, the Board of Trustees approved the increase of the maximum front-end sales charge for Class A shares from 1.50% to 3.00% for Short Term Bond Fund and Short Term Bond Fund II for shares purchased on or after November 15, 2004.
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 System 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 of 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 less than 61 days), 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 Board of Trustees. Such pricing services and broker-dealers generally provide bid-side quotations. Short-term investments maturing in less than 61 days are generally 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. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material.
B. 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
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(CONTINUED)
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.
C. 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 i lliquid securities as of August 31, 2005 (amounts in thousands):
Illiquid | Restricted* | ||||||||||||||||||
FUND | |||||||||||||||||||
Bond Fund | $ | 20,763 | 3.48 | % | $ | 20,763 | 3.48 | % | |||||||||||
Enhanced Income Fund | 7,911 | 4.85 | 7,911 | 4.85 | |||||||||||||||
Global Strategic Income Fund | 2,467 | 11.06 | 2,467 | 11.06 | |||||||||||||||
Short Term Bond Fund | 41,918 | 6.61 | 41,918 | 6.61 | |||||||||||||||
Short Term Bond Fund II | 48,123 | 5.69 | 48,123 | 5.69 |
* Includes illiquid securities
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 Fund's credit risk is limited to failure of the exchange or board of trade.
As of August 31, 2005, the Funds had outstanding futures contracts as listed on their Schedules of Portfolio Investments.
E. Foreign Currency Translation - The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates, or at the mean of the current bid and asked prices, of such currencies against the U.S. dollar as quoted by a major bank. The market
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value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the periods, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such realized foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end.
F. Forward Foreign Currency Exchange Contracts - The Funds may enter into forward foreign currency exchange contracts (obligations to purchase or sell foreign currency in the future on a date and price fixed at the time the contracts are entered into) to manage a Fund's exposure to foreign currency exchange fluctuations. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized appreciation or depreciation until the contract settlement date. When the forward contract is closed, or the delivery of the currency exchange is made or taken, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The Funds are subject to off-balance sheet risk to the extent of the value of the contracts for purchases of foreign currency and in an unlimited amount for sales of foreign currency.
As of August 31, 2005, the Funds had outstanding forward foreign currency exchange contracts as listed on their Schedules of Portfolio Investments.
G. Written Options - When a Fund writes an option, an amount equal to the premium received by the Fund is included in the Funds' Statement of Assets and Liabilities as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Fund realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written. If a call option is exercised, the premium is added to the proceeds from the sale of underlying secu rity in determining whether there has been a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the security.
The Funds write options on securities, futures and interest rate swaps ("swaptions"). These options are settled for cash and subject the Funds to unlimited risk of loss. The Funds, however, are not subject to credit risk on written options as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
As of August 31, 2005, the Funds had written options contracts outstanding as listed on their Schedules of Portfolio Investments and on the following page.
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Transactions in options written during the twelve months ended August 31, 2005, were as follows (amounts in thousands):
Bond Fund | Enhanced Income Fund | ||||||||||||||||||
Number of Units | Premiums Received | Number of Units | Premiums Received | ||||||||||||||||
Options outstanding at August 31, 2004 | (507,318 | ) | $ | 2,803 | - | $ | - | ||||||||||||
Options written | (3,104,017 | ) | 30,045 | (18,200 | ) | 48 | |||||||||||||
Options expired or terminated in closing purchase transactions | 2,954,685 | (24,316 | ) | ||||||||||||||||
Options exercised | - | - | - | - | |||||||||||||||
Options outstanding at August 31, 2005 | (656,650 | ) | $ | 8,532 | (18,200 | ) | $ | 48 | |||||||||||
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||
Number of Units | Premiums Received | Number of Units | Premiums Received | ||||||||||||||||
Options outstanding at August 31, 2004 | - | $ | - | - | $ | - | |||||||||||||
Options written | (479,101 | ) | 802 | (483,501 | ) | 965 | |||||||||||||
Options expired or terminated in closing purchase transactions | 337,501 | (424 | ) | 282,501 | (429 | ) | |||||||||||||
Options exercised | - | - | - | - | |||||||||||||||
Options outstanding at August 31, 2005 | (141,600 | ) | $ | 378 | (201,000 | ) | $ | 536 |
H. Swaps - The Funds may engage in various swap transactions, including forward rate agreements, interest rate, currency, fixed income, index and total return swaps, primarily to manage duration and yield curve risk, or as alternatives to direct investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of the swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller.
The Funds may also engage in credit default contracts which involve the exchange of a periodic premium for protection against a defined credit event (such as payment default or bankruptcy). Under the terms of the contract, one party acts as a guarantor receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to
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purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the contract. The Funds may enter into credit default contracts in which they or their counterparties act as guarantors. By acting as the guarantor of the contract, the Funds assume the market and credit risk of the underlying instrument including liquidity and loss of value.
Premiums paid to or by the Funds are accrued daily and included in realized gain (loss) on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the contracts.
As of August 31, 2005, the Funds had outstanding swap agreements as listed on their Schedules of Portfolio Investments.
I. Short Sales - The Funds 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 the Funds is held by one broker. Interest 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 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.
J. Commitments - The Funds may enter into commitments to buy and sell investments to settle on future dates as part of their normal investment activities. These commitments are reported at market value in the financial statements. Credit risks exist on these commitments to the extent of any difference between the sales price and current market value the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends.
K. Dollar Rolls - The Funds may enter into dollar rolls, principally using To Be Announced (TBA) securities, in which the Funds sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Funds account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Funds are required to purchase may decline below the agreed upon repurchase price of those securities.
The Funds had TBA Dollar Rolls outstanding as of August 31, 2005, which are included in Receivable for Investment securities sold and Payable for Investment securities purchased on the Statement of Assets and Liabilities. The Funds segregate assets with a current value at least equal to the amount of their TBA Dollar Rolls.
L. 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 interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes
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STATEMENTS
(CONTINUED)
withheld (if any) is recorded on the ex-dividend date or when the Funds first learn of the dividend.
Purchases of TBA, when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Funds' policy to segregate assets with a current value at least equal to the amount of their TBA, when-issued or delayed delivery purchase commitments.
M. 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 series, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
N. 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 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.
O. 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.
P. Dividends and Distributions to Shareholders - Dividends from net investment income are declared and paid monthly. 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"), s uch 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 | |||||||||||||
Bond Fund | $ | - | $ | 2,599 | $ | (2,599 | ) | ||||||||
Emerging Markets Debt Fund | - | 254 | (254 | ) | |||||||||||
Enhanced Income Fund | - | 5 | (5 | ) | |||||||||||
Global Strategic Income Fund | 1,909 | 326 | (2,235 | ) | |||||||||||
Short Term Bond Fund | - | (845 | ) | 845 | |||||||||||
Short Term Bond Fund II | - | 7 | (7 | ) |
The reclassifications for the Funds relate primarily to differences in character for tax purposes of paydown gains and losses, swap and futures payments and foreign currency gains and losses. In addition, the reclassification for Global Strategic Income Fund relates to the tax differences acquired through the merger of Strategic Income Fund into Global Strategic Income Fund.
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2005
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Q. Equalization - Short Term Bond Fund II and Global Strategic Income Fund (after the reorganization) use the accounting practice known as equalization by which a portion of the proceeds from sales and costs of redemptions of Trust shares of beneficial interest equivalent, on a per-share basis, to the amount of undistributed net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or redemptions of Trust shares.
R. Redemption Fees - Generally shares of the Emerging Markets Debt Fund and the Global Strategic Income Fund held for less than 60 days are subject to a redemption fee of 2.00%, based on the redeemed share's market value. The redemption fee applies to most shares purchased after February 18, 2005. Redemption fees are paid directly to the applicable Fund.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee - Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management Inc. (the "Advisor") acts as the investment advisor to the Funds. The Advisor is a wholly-owned subsidiary of JPMorgan Asset Management Holdings, Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. ("JPMorgan"). The Advisor supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund's respective average daily net assets. The annual fee rate for each Fund is as follows:
Bond Fund | 0.30 | % | |||||
Emerging Markets Debt Fund | 0.70 | % | |||||
Enhanced Income Fund | 0.25 | % | |||||
Global Strategic Income Fund | 0.45 | % | |||||
Short Term Bond Fund | 0.25 | % | |||||
Short Term Bond Fund II | 0.25 | % |
The Advisor waived Investment Advisory Fees and/or reimbursed expenses as outlined in Note 3.F.
The Funds may invest in one or more money market funds advised by the Advisor or its 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.
B. Administration Fee - Effective February 19, 2005, pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the "Administrator"), an indirect, wholly-owned subsidiary of JPMorgan, began providing 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 the money market funds; Investor Balanced Fund, Investor Conservative Growth Fund, Investor Growth Fund and Investor Growth & Income Fund) and 0.075% of the average daily n et assets in excess of $25 billion of all such funds.
Prior to February 19, 2005, JPMorgan Chase Bank, N.A. ("JPMCB") served as the Funds' Administrator subject to the same fee agreements.
JPMORGAN INCOME FUNDS 133
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(CONTINUED)
JPMCB and the Administrator waived Administration fees and/or reimbursed expenses as outlined in Note 3.F.
Effective July 1, 2005, J.P. Morgan Investor Services, Co. ("JPMIS"), an indirect, wholly-owned subsidiary of JPMorgan, began serving 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, 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 - Effective February 19, 2005, pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the "Distributor"), a wholly-owned subsidiary of JPMorgan, began serving as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. The Distributor receives no compensation in its capacity as the Funds' underwriter.
Prior to February 19, 2005, J.P. Morgan Fund Distributors, Inc. ("JPMFD"), a wholly-owned subsidiary of The BISYS Group, Inc., served as the Funds' exclusive underwriter. JPMFD received no compensation in its capacity as the Funds' underwriter.
The Trustees have adopted a Distribution Plan (the "Distribution Plan") for Class A, B, C and M 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 | Class M | ||||||||||||||||
FUND | |||||||||||||||||||
Bond Fund | 0.25 | 0.75 | 0.75 | n/a | |||||||||||||||
Global Strategic Income Fund | 0.25 | 0.75 | 0.75 | 0.50 | |||||||||||||||
Short Term Bond Fund | 0.25 | n/a | n/a | n/a | |||||||||||||||
Short Term Bond Fund II | 0.25 | n/a | n/a | 0.35 |
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A and Class M 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 February 19, 2005 to August 31, 2005, the Distributor received the following amounts:
12b-1 | Front End Sales Charge | CDSC | |||||||||||||
FUND | |||||||||||||||
Bond Fund | $ | 14 | $ | 52 | $ | 7 | |||||||||
Global Strategic Income Fund | 50 | 9 | 7 | ||||||||||||
Short Term Bond Fund | 3 | 7 | - | ||||||||||||
Short Term Bond Fund II | 855 | 7 | - |
JPMFD and the Distributor waived Distribution Fees as outlined in Note 3.F.
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D. Shareholder Servicing Fees - Effective February 19, 2005, the Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides account administration and personal account maintenance services to the shareholders. For performing these services, 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 | Class M | Select Class | Institutional Class | Ultra | |||||||||||||||||||||||||
FUND | |||||||||||||||||||||||||||||||
Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | 0.10 | 0.00 | * | |||||||||||||||||||||||
Emerging Markets Debt Fund | n/a | n/a | n/a | n/a | 0.25 | n/a | n/a | ||||||||||||||||||||||||
Enhanced Income Fund | n/a | n/a | n/a | n/a | n/a | 0.10 | n/a | ||||||||||||||||||||||||
Global Strategic Income Fund | 0.25 | 0.25 | 0.25 | 0.30 | 0.25 | 0.10 | n/a | ||||||||||||||||||||||||
Short Term Bond Fund | 0.25 | n/a | n/a | n/a | 0.25 | 0.10 | n/a | ||||||||||||||||||||||||
Short Term Bond Fund II | 0.25 | n/a | n/a | 0.25 | 0.25 | n/a | n/a |
* Prior to February 19, 2005, the Shareholder Servicing Fee for Bond Fund Ultra Shares was 0.05%.
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 fees earned to such financial intermediaries for performing such services.
Prior to February 19, 2005, JPMCB served as the Funds' Shareholder Servicing Agent. JPMCB was subject to the fee rates disclosed in the previous table.
JPMCB and the Distributor waived shareholder servicing fees as outlined in Note 3.F.
E. Custodian and Fund Accounting Fees - JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and fund accounting services are included in custodian and accounting fees in the Statement of Operations. The 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.
F. Waivers and Reimbursements - The Advisor, Administrator and Distributor have contractually agreed to waive fees or reimburse the Funds to the extent that total operating expenses (excluding interest expenses on short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees' deferred compensation plans) exceed the percentages of the Funds' respective average daily net assets as shown in the table below (%):
Class A | Class B | Class C | Class M | Select Class | Institutional Class | Ultra | |||||||||||||||||||||||||
FUND | |||||||||||||||||||||||||||||||
Bond Fund | 0.75 | 1.50 | 1.50 | n/a | 0.69 | 0.49 | 0.40 | ||||||||||||||||||||||||
Emerging Markets Debt Fund | n/a | n/a | n/a | n/a | 1.25 | n/a | n/a | ||||||||||||||||||||||||
Enhanced Income Fund | n/a | n/a | n/a | n/a | n/a | 0.25 | n/a | ||||||||||||||||||||||||
Global Strategic Income Fund * | 1.15 | 1.65 | 1.65 | 1.45 | 0.90 | 0.65 | n/a | ||||||||||||||||||||||||
Short Term Bond Fund | 0.75 | n/a | n/a | n/a | 0.60 | 0.30 | n/a | ||||||||||||||||||||||||
Short Term Bond Fund II** | 0.75 | n/a | n/a | 0.99 | 0.50 | n/a | n/a |
* Prior to February 19, 2005, the contractual expense limitation for Global Strategic Income Fund Class A and Select Class were 1.25% and 1.00%, respectively.
** Prior to February 19, 2005, the contractual expense limitation for Short Term Bond Fund II Class M was 1.00%.
JPMORGAN INCOME FUNDS 135
JPMorgan Funds
NOTES TO FINANCIAL
STATEMENTS
(CONTINUED)
The contractual expense limitation agreements were in effect for the year ended August 31, 2005. The expense limitation percentages in the table above are due to expire December 31, 2006.
For the year ended August 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 expects the Funds to repay any such waived fees and reimbursed expenses in future years.
Contractual Waivers | |||||||||||||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Distribution | Total | Contractual Reimbursements | ||||||||||||||||||||||
FUND | |||||||||||||||||||||||||||
Bond Fund | $ | - | $ | 566 | $ | 127 | $ | - | $ | 693 | $ | 22 | |||||||||||||||
Emerging Markets Debt Fund | 50 | 22 | 84 | - | 156 | - | |||||||||||||||||||||
Enhanced Income Fund | 274 | 226 | 231 | - | 731 | - | |||||||||||||||||||||
Global Strategic Income Fund | 131 | 41 | 23 | - | 195 | 46 | |||||||||||||||||||||
Short Term Bond Fund | 36 | 762 | 569 | - | 1,367 | 8 | |||||||||||||||||||||
Short Term Bond Fund II | - | 282 | 803 | 10 | 1,095 | - |
Voluntary Waivers | |||||||||||||||
Investment Advisory | Administration | Total | |||||||||||||
FUND | |||||||||||||||
Bond Fund | $ | - | $ | 60 | $ | 60 | |||||||||
Enhanced Income Fund | 14 | 79 | 93 | ||||||||||||
Short Term Bond Fund | - | 49 | 49 |
G. Other - Certain officers of the Trust are affiliated with the Advisor, the Administrator, the Sub-administrator and the Distributor. Such officers receive no compensation from the Funds for serving in their respective roles.
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 year ended August 31, 2005, Short Term Bond Fund incurred approximately (in thousands) $83 as 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.
JPMORGAN INCOME FUNDS 136
ANNUAL REPORT AUGUST 31
2005
NOTES TO FINANCIAL
STATEMENTS
4. Class Specific Expenses
The Funds' class specific expenses for the year ended August 31, 2005 are as follows (amounts in thousands):
Distribution | Shareholder Servicing | Transfer Agent* | |||||||||||||
BOND FUND | |||||||||||||||
Class A | $ | 10 | $ | 10 | $ | 14 | |||||||||
Class B | 15 | 5 | 8 | ||||||||||||
Class C | 2 | 1 | 1 | ||||||||||||
Select Class | n/a | 494 | 21 | ||||||||||||
Institutional Class | n/a | 281 | 11 | ||||||||||||
Ultra | n/a | 84 | 7 | ||||||||||||
$ | 27 | $ | 875 | $ | 62 | ||||||||||
EMERGING MARKETS DEBT FUND | |||||||||||||||
Select Class | $n/a | $ | 84 | $ | 12 | ||||||||||
ENHANCED INCOME FUND | |||||||||||||||
Institutional Class | $n/a | $ | 231 | $ | 9 | ||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||
Class A | $ | 6 | $ | 6 | $ | 5 | |||||||||
Class B | 28 | 9 | n/a | ||||||||||||
Class C | 11 | 4 | n/a | ||||||||||||
Class M | 15 | 9 | n/a | ||||||||||||
Select Class | n/a | 5 | 7 | ||||||||||||
Institutional Class | n/a | 19 | 8 | ||||||||||||
$ | 60 | $ | 52 | $ | 20 | ||||||||||
SHORT TERM BOND FUND | |||||||||||||||
Class A | $ | 8 | $ | 7 | $ | 9 | |||||||||
Select Class | n/a | 298 | 15 | ||||||||||||
Institutional Class | n/a | 564 | 15 | ||||||||||||
$ | 8 | $ | 869 | $ | 39 | ||||||||||
SHORT TERM BOND FUND II | |||||||||||||||
Class A | $ | 122 | $ | 122 | $ | 34 | |||||||||
Class M | 1,752 | 1,251 | 5 | ||||||||||||
Select Class | n/a | 1,166 | 11 | ||||||||||||
$ | 1,874 | $ | 2,539 | $ | 50 |
* Effective February 19, 2005, the Funds no longer bear class specific charges relating to Transfer Agent Fees. The amounts in the table above relate to the fees charged to each specific class prior to February 19, 2005.
JPMORGAN INCOME FUNDS 137
JPMorgan Funds
NOTES TO FINANCIAL
STATEMENTS
(CONTINUED)
5. Investment Transactions
During the year ended August 31, 2005, 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) | Purchases of U.S. Government | Sales of U.S. Government | ||||||||||||||||
FUND | |||||||||||||||||||
Bond Fund | $ | 762,803 | $ | 958,135 | $ | 4,825,417 | $ | 4,928,434 | |||||||||||
Emerging Markets Debt Fund | 92,126 | 95,126 | 17,209 | 19,077 | |||||||||||||||
Enhanced Income Fund | 188,702 | 314,688 | 108,193 | 82,646 | |||||||||||||||
Global Strategic Income Fund | 26,428 | 52,308 | 105,495 | 104,458 | |||||||||||||||
Short Term Bond Fund | 457,830 | 604,095 | 886,685 | 706,650 | |||||||||||||||
Short Term Bond Fund II | 717,787 | 1,079,521 | 1,348,132 | 1,116,340 |
6. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at August 31, 2005, were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||
FUND | |||||||||||||||||||
Bond Fund | $ | 922,174 | 15,315 | (10,937 | ) | $ | 4,378 | ||||||||||||
Emerging Markets Debt Fund | 31,511 | 2,466 | (106 | ) | 2,360 | ||||||||||||||
Enhanced Income Fund | 192,337 | 425 | (479 | ) | (54 | ) | |||||||||||||
Global Strategic Income Fund | 23,919 | 1,000 | (1,223 | ) | (223 | ) | |||||||||||||
Short Term Bond Fund | 805,466 | 2,549 | (9,123 | ) | (6,574 | ) | |||||||||||||
Short Term Bond Fund II | 1,062,886 | 4,494 | (13,540 | ) | (9,046 | ) |
For all of the Funds, the difference between book and tax basis appreciation/(depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended August 31, 2005 was as follows (amounts in thousands):
Distributions paid from: | |||||||||||||||||||
Ordinary Income | Net Long-Term Capital Gains | Tax Return of Capital | Total Distributions Paid | ||||||||||||||||
Bond Fund | $ | 47,067 | $ | 12,442 | $ | - | $ | 59,509 | |||||||||||
Emerging Markets Debt Fund | 2,840 | 4,205 | - | 7,045 | |||||||||||||||
Enhanced Income Fund | 6,102 | - | - | 6,102 | |||||||||||||||
Global Strategic Income Fund | 1,313 | - | - | 1,313 | |||||||||||||||
Short Term Bond Fund | 26,085 | - | - | 26,085 | |||||||||||||||
Short Term Bond Fund II | 29,320 | - | - | 29,320 |
JPMORGAN INCOME FUNDS 138
ANNUAL REPORT AUGUST 31
2005
NOTES TO FINANCIAL
STATEMENTS
The tax character of distributions paid during the fiscal year ended August 31, 2004 was as follows (amounts in thousands):
Distributions paid from: | |||||||||||||||||||
Ordinary Income | Net Long-Term Capital Gains | Tax Return of Capital | Total Distributions Paid | ||||||||||||||||
Bond Fund | $ | 50,592 | $ | 19,416 | $ | - | $ | 70,008 | |||||||||||
Emerging Markets Debt Fund | 3,506 | - | - | 3,506 | |||||||||||||||
Enhanced Income Fund | 5,541 | - | - | 5,541 | |||||||||||||||
Global Strategic Income Fund | 3,871 | - | - | 3,871 | |||||||||||||||
Short Term Bond Fund | 20,381 | - | - | 20,381 | |||||||||||||||
Short Term Bond Fund II | 27,690 | - | 149 | 27,839 |
At August 31, 2005, 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) | |||||||||||||
Bond Fund | $ | 14,541 | $ | 2,339 | $ | 3,071 | |||||||||
Emerging Markets Debt Fund | 1,384 | 3,899 | 2,395 | ||||||||||||
Enhanced Income Fund | 26 | (6,439 | ) | 67 | |||||||||||
Global Strategic Income Fund | 255 | (26,869 | ) | (237 | ) | ||||||||||
Short Term Bond Fund | 1,460 | (3,020 | ) | (6,549 | ) | ||||||||||
Short Term Bond Fund II | 624 | (2,332 | ) | (8,415 | ) |
For Bond Fund, the cumulative timing differences primarily consist of mark-to-market of open forwards, futures and options, wash sales outstanding, distributions payable, post October loss deferrals, deferred compensation and straddle loss deferrals. For Emerging Markets Debt Fund, the cumulative timing differences primarily consist of mark-to-market on open futures, wash sales outstanding and distributions payable. For Enhanced Income Fund, the cumulative timing differences primarily consist of mark-to-market of open futures and options, wash sales outstanding, distributions payable, post October loss deferrals and straddle loss deferrals. For Global Strategic Income Fund, the cumulative timing differences primarily consist of mark-to-market on open forwards and futures, outstanding wash sales, distributions payable and straddle loss deferrals. For Short Term Bond Fund, the cumulative timing di fferences primarily consist of mark-to-market on open forwards, futures and options, wash sales outstanding, distributions payable, post October loss deferrals and straddle loss deferrals. For Short Term Bond Fund II, the cumulative timing differences primarily consist of mark-to-market on open futures and options, wash sales outstanding, distributions payable, post October loss deferrals and straddle loss deferrals.
JPMORGAN INCOME FUNDS 139
JPMorgan Funds
NOTES TO FINANCIAL
STATEMENTS
(CONTINUED)
As of August 31, 2005, the following Funds had net capital loss carryforwards, which are available to offset future realized gains (amounts in thousands):
Expires | |||||||||||||||||||||||||||||||||||||||
2006 | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | Total | |||||||||||||||||||||||||||||||
FUND | |||||||||||||||||||||||||||||||||||||||
Enhanced Income Fund | - | - | - | - | 1,180 | 792 | 3,941 | 526 | 6,439 | ||||||||||||||||||||||||||||||
Global Strategic Income Fund | 570 | 4,926 | 7,690 | * | 5,237 | * | 8,446 | * | - | - | - | 26,869 | |||||||||||||||||||||||||||
Short Term Bond Fund | - | - | - | - | - | - | 1,803 | 1,217 | 3,020 | ||||||||||||||||||||||||||||||
Short Term Bond Fund II | - | - | - | - | - | - | 1,675 | 656 | 2,331 |
During the year ended August 31, 2005, Global Strategic Income Fund utilized capital loss carryovers of $2,111 (in thousands).
* A portion of this capital loss carried forward was acquired through the merger with JPMorgan Strategic Income Fund and may be limited under IRC Sections 381-384.
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 year ended August 31, 2005, the Funds deferred to September 1, 2005 post October capital losses of (amounts in thousands):
Capital Losses | Currency Losses | ||||||||||
Bond Fund | $ | - | $ | 677 | |||||||
Enhanced Income Fund | 297 | - | |||||||||
Short Term Bond Fund | 5,886 | 910 | |||||||||
Short Term Bond Fund II | 10,693 | - |
7. Borrowings
Effective February 19, 2005, the Funds began relying 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 (formerly One Group Mutual Funds) and may be relied upon by the Funds because they are investment companie s in the same "group of investment companies" (as defined in Section 12(d)(1)(G) of the Investment Company Act of 1940).
In addition, effective February 18, 2005, 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.
Prior to February 18, 2005, the Funds were allowed to borrow money for temporary or emergency purposes, pursuant to a Line of Credit dated April 17, 2003. This agreement enabled the Funds to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and a syndicate of banks, which permitted borrowings up to $250 million, collectively.
JPMORGAN INCOME FUNDS 140
ANNUAL REPORT AUGUST 31
2005
NOTES TO FINANCIAL
STATEMENTS
Interest was charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which was allocated on a pro-rata basis to the Funds. This agreement was terminated as of February 18, 2005.
The outstanding borrowings from another fund and average borrowings for the year ended August 31, 2005, were as follows (amounts in thousands):
Outstanding Balance at August 31, 2005 | Average Borrowings | Number of Days Used | Interest Paid | ||||||||||||||||
FUND | |||||||||||||||||||
Bond Fund | $ | - | $ | 17,776 | 1 | $ | 2 | ||||||||||||
Emerging Markets Debt Fund | - | 14,681 | 3 | 4 | |||||||||||||||
Enhanced Income Fund | - | 2,686 | 11 | 3 | |||||||||||||||
Global Strategic Income Fund | - | 332 | 3 | - | (b) | ||||||||||||||
Short Term Bond Fund | - | 3,440 | 10 | 3 |
(b) Amount rounds to less than $1,000
8. 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.
The ability of the issuers of debt, asset-backed and mortgage-backed securities, along with counterparties to swap and option agreements, to meet their obligations may be affected by the economic and political developments in a specific industry or region. The value of asset-backed and mortgage-backed securities can be significantly affected by changes in interest rates or rapid principal payments including prepayments.
A Fund is subject to the risk that should the Fund decide to sell an illiquid investment when a ready buyer is not available at a price the Fund deems representative of their value, the value of the Fund's net assets could be adversely affected.
9. Business Combinations
On August 19, 2004, the Board of Trustees of the Trusts approved management's proposal to merge JPMorgan Strategic Income Fund (the "Target Fund") into JPMorgan Global Strategic Income Fund (the "Acquiring Fund").
After shareholder approval was obtained, the merger was effective after the close of business February 18, 2005. The Acquiring Fund acquired all of the assets and liabilities of the corresponding Target Fund as shown in the table below. The merger transaction was structured to qualify as a tax-free reorganization under the Internal Revenue Code of 1986. Pursuant to the Agreement and Plan of Reorganization, shareholders of the Target Fund received a number of shares of the corresponding class in the corresponding Acquiring Fund with a value equal to their holdings in the Target Fund as of the close of business on date of the reorganization.
JPMORGAN INCOME FUNDS 141
JPMorgan Funds
NOTES TO FINANCIAL
STATEMENTS
(CONTINUED)
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation immediately before and after the reorganization (amounts in thousands, except per share amounts):
Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation | ||||||||||||||||
TARGET FUND | |||||||||||||||||||
JPMorgan Strategic Income Fund | $ | 828 | |||||||||||||||||
Class A | 322 | $ | 3,011 | $ | 9.34 | ||||||||||||||
Class B | 784 | $ | 7,328 | $ | 9.35 | ||||||||||||||
Class C | 313 | $ | 2,925 | $ | 9.35 | ||||||||||||||
Class M | 698 | $ | 6,507 | $ | 9.32 | ||||||||||||||
ACQUIRING FUND | |||||||||||||||||||
JPMorgan Global Strategic Income Fund | $ | 360 | |||||||||||||||||
Class A | 89 | $ | 827 | $ | 9.26 | ||||||||||||||
Institutional | 2,506 | $ | 23,220 | $ | 9.27 | ||||||||||||||
Select | 270 | $ | 2,502 | $ | 9.26 | ||||||||||||||
POST REORGANIZATION | |||||||||||||||||||
JPMorgan Global Strategic Income Fund | $ | 1,188 | |||||||||||||||||
Class A | 414 | $ | 3,838 | $ | 9.26 | ||||||||||||||
Class B | 792 | $ | 7,328 | $ | 9.26 | ||||||||||||||
Class C | 316 | $ | 2,925 | $ | 9.26 | ||||||||||||||
Class M | 702 | $ | 6,507 | $ | 9.26 | ||||||||||||||
Institutional | 2,506 | $ | 23,220 | $ | 9.27 | ||||||||||||||
Select | 270 | $ | 2,502 | $ | 9.26 |
JPMORGAN INCOME FUNDS 142
JPMorgan Funds
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
JPMorgan Mutual Fund Group and JPMorgan Trust I:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations, of cash flows and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the Funds listed in Note 1 to such financial statements (which Funds are separate portfolios of JPMorgan Mutual Fund Group and JPMorgan Trust I and are hereafter collectively referred to as the "Funds") at August 31, 2005, the results of each of their operations and the cash flows of the JPMorgan Global Strategic Income Fund for the year then ended and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and fina ncial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, NY
October 25, 2005
JPMORGAN INCOME FUNDS 143
JPMorgan Funds
TRUSTEES
(Unaudited)
Name (Year of Birth); Positions With the Trusts (Since) | 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; Vice President & Treasurer of Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | �� | 114 | None. | |||||||||||
Roland R. Eppley, Jr. (1932); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1989. | Retired; President & Chief Executive Officer, Eastern Sales Bankcard (1971-1988). | 114 | Director, Janel Hydro, Inc. (automotive) (1993-present). | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer of Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979-present). | 113 | * | Director, Cardinal Health, Inc (CAH) (1994-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). | 114 | Trustee of Bronx-Lebanon Hospital Center (1992-present); Director of New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000-present); Director of Lincoln Center Institute for the Arts in Education (1999-present). | ||||||||||||
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). | 114 | Director of Providian Financial Corp. (banking) (2002-present). | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | 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). | 113 | * | 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). | 113 | * | Director, Mather LifeWays (1994-present); Director, 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). | 114 | Director of Radio Shack Corporation (electronics) (1987-present); Director of The National Football Foundation and College Hall of Fame (1994-present); Trustee of the Berklee College of Music (1998-present); Trustee of the Stratton Mountain School (2001-present). | ||||||||||||
JPMORGAN INCOME FUNDS 144
ANNUAL REPORT AUGUST 31
2005
TRUSTEES
(Unaudited)
Name (Year of Birth); Positions With the Trusts (Since) | Principal Occupations During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee(1) | Other Directorships Held Outside Fund Complex | ||||||||||||
Independent Trustees (continued) | |||||||||||||||
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). | 113 | * | Director, American University in Cairo. | |||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman of Lumelite Corporation (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer of Lumelite Corporation (1985-2002). | 114 | Trustee of Morgan Stanley Funds (209 portfolios) (1995-present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1990. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2002-present); Investment Officer, Wabash College (2004-present); self-employed consultant (January 2000-present); Director of Investments, Eli Lilly and Company (1988-1999). | 113 | * | Director, AMS Group (2001-present); Director, Wabash College (1988-present); Trustee, Seabury-Western Theological Seminary (1993-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). | 114 | 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 of Vista Capital Management (investment management) (1990-1998); Chief Investment Executive of Chase Manhattan Private Bank (investment management) (1990-1998). | 114 | None. | ||||||||||||
(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 for which the Board of Trustees serves includes nine registered investment companies (114 funds) as of August 31, 2005.
* This Trustee does not oversee the UM Investment Trust II which is the registered investment company for the Undiscovered Managers Spinnaker Fund, and therefore oversees eight registered investment companies (113 funds) as of August 31, 2005.
** 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 522 Fifth Avenue, New York, NY 10036.
JPMORGAN INCOME FUNDS 145
JPMorgan Funds
OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | ||||||
George C.W. Gatch (1962), President (2005) | Managing Director of 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 (2005)* | Director and Vice President of 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 (2005) | Vice President, 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., 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 (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 JP Morgan 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 (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 (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 (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 (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004-2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | ||||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JP Morgan Chase & Co. (formerly Bank One Corporation) since 1990. | ||||||
Nancy E. Fields (1949), Assistant Secretary (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). | ||||||
Ellen W. O'Brien (1957), Assistant Secretary (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. | ||||||
Suzanne E. Cioffi (1967), Assistant Treasurer (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. | ||||||
JPMORGAN INCOME FUNDS 146
ANNUAL REPORT AUGUST 31
2005
OFFICERS (CONTINUED)
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | ||||||
Christopher D. Walsh (1965), Assistant Treasurer (2005) | Vice President, JPMorgan Funds Management, Inc.; Mr. Walsh has managed all aspects of institutional and retail mutual fund administration and vendor relationships within the mutual funds, commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC products. Mr. Walsh was a director of Mutual Fund Administration at Prudential Investments from 1996 to 2000. | ||||||
Arthur A. Jensen (1966), Assistant Treasurer (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 522 Fifth Avenue, New York, NY 10036.
* 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.
JPMORGAN INCOME FUNDS 147
JPMorgan Funds
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
August 31, 2005
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, March 1, 2005, and continued to hold your shares at the end of the reporting period, August 31, 2005.
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.
JPMORGAN INCOME FUNDS 148
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
August 31, 2005
(Unaudited)
Beginning Account Value, March 1, 2005 | Ending Account Value, August 31, 2005 | Expenses Paid During March 1, 2005 to August 31, 2005 | Annualized Expense Ratio | ||||||||||||||||
BOND FUND | |||||||||||||||||||
Class A | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.10 | $ | 3.83 | 0.75 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.42 | $ | 3.82 | 0.75 | % | |||||||||||
Class B | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.90 | $ | 7.13 | 1.40 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.15 | $ | 7.12 | 1.40 | % | |||||||||||
Class C | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.00 | $ | 7.08 | 1.39 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.20 | $ | 7.07 | 1.39 | % | |||||||||||
Select Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.80 | $ | 3.32 | 0.65 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.63 | $ | 3.31 | 0.65 | % | |||||||||||
Institutional Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.50 | $ | 2.50 | 0.49 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.74 | $ | 2.50 | 0.49 | % | |||||||||||
Ultra | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,027.10 | $ | 2.04 | 0.40 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.19 | $ | 2.04 | 0.40 | % | |||||||||||
EMERGING MARKETS DEBT FUND | |||||||||||||||||||
Select Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.80 | $ | 6.54 | 1.25 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.90 | $ | 6.36 | 1.25 | % | |||||||||||
ENHANCED INCOME FUND | |||||||||||||||||||
Institutional Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.40 | $ | 1.07 | 0.21 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.15 | $ | 1.07 | 0.21 | % |
JPMORGAN INCOME FUNDS 149
JPMorgan Funds
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
August 31, 2005
(Unaudited)
Beginning Account Value, March 1, 2005 | Ending Account Value, August 31, 2005 | Expenses Paid During March 1, 2005 to August 31, 2005 | Annualized Expense Ratio | ||||||||||||||||
GLOBAL STRATEGIC INCOME FUND | |||||||||||||||||||
Class A | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,032.80 | $ | 5.94 | 1.16 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.36 | $ | 5.90 | 1.16 | % | |||||||||||
Class B | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.00 | $ | 8.49 | 1.66 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,016.84 | $ | 8.44 | 1.66 | % | |||||||||||
Class C | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,030.10 | $ | 8.49 | 1.66 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,016.84 | $ | 8.44 | 1.66 | % | |||||||||||
Class M | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.30 | $ | 7.48 | 1.46 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,017.85 | $ | 7.43 | 1.46 | % | |||||||||||
Select Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.10 | $ | 4.67 | 0.91 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.62 | $ | 4.63 | 0.91 | % | |||||||||||
Institutional Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.40 | $ | 3.39 | 0.66 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.88 | $ | 3.36 | 0.66 | % | |||||||||||
SHORT TERM BOND FUND | |||||||||||||||||||
Class A | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.20 | $ | 3.80 | 0.75 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.42 | $ | 3.82 | 0.75 | % | |||||||||||
Select Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.40 | $ | 2.79 | 0.55 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.43 | $ | 2.80 | 0.55 | % | |||||||||||
Institutional Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.50 | $ | 1.52 | 0.30 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.69 | $ | 1.53 | 0.30 | % |
JPMORGAN INCOME FUNDS 150
ANNUAL REPORT AUGUST 31
2005
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
August 31, 2005
(Unaudited)
Beginning Account Value, March 1, 2005 | Ending Account Value, August 31, 2005 | Expenses Paid During March 1, 2005 to August 31, 2005 | Annualized Expense Ratio | ||||||||||||||||
SHORT TERM BOND FUND II | |||||||||||||||||||
Class A | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.50 | $ | 3.80 | 0.75 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.42 | $ | 3.82 | 0.75 | % | |||||||||||
Class M | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.20 | $ | 5.07 | 1.00 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.16 | $ | 5.09 | 1.00 | % | |||||||||||
Select Class | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.80 | $ | 2.54 | 0.50 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.68 | $ | 2.55 | 0.50 | % |
JPMORGAN INCOME FUNDS 151
JPMorgan Funds
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board of Trustees, at meetings held in person in July and August 2005, considered the continuation of each of the investment advisory agreements for the Funds whose annual report is contained herein (each an "Advisory Agreement"). At the July meeting, the Board's investment sub-committees (money market, equity and fixed income) met to review and consider performance and expense information for each Fund. Each investment sub-committee reported to the full Board, which then considered the investment sub-committee's preliminary findings. At and following the July meeting, the Trustees requested additional information from the Funds' management. At the August meeting, the Trustees continued their review and consideration, including the review of management's response to the Trustees' July request. The Trustees, including a majority of the Trustees, who are not "inte rested persons" (as defined in the '40 Act) of any party to the Advisory Agreement or any of their affiliates, approved the Advisory Agreement on August 10, 2005.
The Trustees, as part of their review of the investment advisory arrangements for the Funds, receive from the Adviser and review on a regular basis over the course of the year, information regarding the performance of the Funds. This information includes the Funds' performance against the Funds' peers and benchmarks and analyses by the Adviser of the Funds' performance. In addition, with respect to all Funds, except the money market Funds, the Trustees have engaged an independent consultant to similarly review the performance of each of the Funds, at each of the Trustees' regular meetings. The Adviser also periodically provides comparative information regarding the Funds' expense ratios and those of the peer groups. In addition, in preparation for the July and August meetings, the Trustees requested and evaluated extensive materials from the Adviser, including performance and expense i nformation compiled by Lipper Inc. ("Lipper"), an independent provider of investment company data. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Agreement with representatives of the Adviser and with counsels to the Trust and received a memorandum from independent counsel to the Trustees discussing the legal standards for their consideration of the proposed approval. The Trustees also discussed the proposed approval in private sessions with independent counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining to approve the Advisory Agreement.
In their deliberations, each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees determined that the overall arrangement between the Funds and the Adviser, as provided in the Advisory Agreement was fair and reasonable and that the continuance of the investment advisory contract was in the best interests of each Fund and its shareholders.
The matters discussed below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee Meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the
JPMORGAN INCOME FUNDS 152
ANNUAL REPORT AUGUST 31
2005
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
background and experience of the Adviser's senior management and expertise of, and the amount of attention given to the Funds by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Funds and the infrastructure supporting the team. The quality of the administrative services provided by JPMorgan Funds Management, Inc. ("JPMF") an affiliate of the Adviser was also considered. The Board of Trustees also considered its knowledge of the nature and quality of the services provided by the Adviser to the Funds gained from their experience as Trustees of the Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, the benefits to the Funds of the integration of the infrastructure supporting the heritage One Group and JPMorgan Funds, their overall confidence in the Adviser's integrity and the Adviser's responsiveness to concerns raised by them, including the Adviser's willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Funds.
Based on these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser
At the request of the Trustees, the Adviser provided information regarding the profitability to the Adviser and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser's determination of its and its affiliates revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous as sumptions regarding allocations and the fact that publicly-traded fund managers' operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser of each of the Investment Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential "fall-out" or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Board considered that the Adviser discontinued third-party soft dollar arrangements with respect to securities transactions it executes for the Funds but that certain non-affiliated subadvisers continued to benefit from such soft dollar arrangements.
The Trustees also considered that JPMF and JPMorgan Distribution Services, Inc. ("JPMDS") affiliates of the Adviser are expected to earn fees from the Funds for providing administrative and shareholder services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered
JPMORGAN INCOME FUNDS 153
JPMorgan Funds
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds' distributor and that these fees are generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, NA for custody and fund accounting and other related services.
Economies of Scale
The Trustees noted that the proposed investment advisory fee schedule for the Funds does not contain breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Adviser has in place that serve to limit the overall net expense ratio at competitive levels. The Trustees also recognized that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of money market fund assets or non-money market fund assets, as applicable, advised by the Adviser, and that the Funds were benefiting from that breakpoint. The Trustees concluded that shareholders benefited from the lower expense ratios which resulted from these factors.
Independent Written Evaluation
The Trustees noted that, upon their direction, the Funds' Chief Compliance Officer for the Bond Fund, Emerging Markets Debt Fund, Enhanced Income Fund, Global Strategic Income Fund, Short Term Bond Fund, and Short Term Bond Fund II had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees of these Funds. The Trustees indicated that the written evaluation had been relied upon in this regard in determining whether to continue the Advisory Agreement. The Trustees considered the evaluation as noted in the Investment Performance section of this report.
Fees Relative to Adviser's Other Clients
The Trustees received and considered information about the nature, extent and quality of services and fee rates offered to other clients of the Adviser for comparable services. The Trustees also considered the complexity of investment management for the Funds relative to the Adviser's other clients and the differences in the nature, extent and quality of the services provided to the different clients. The Trustees noted that the fee rates charged to the Funds in comparison to those charged to the Adviser's other clients were reasonable.
Investment Performance
The Trustees received and considered relative performance and expense information for the Fund in a report prepared by Lipper. The Trustees considered the total return performance information, which included each Fund's ranking within a performance universe made up of funds with the same Lipper investment classification and objective (the "Universe Group") by total return for one-year, three-year, five-year and ten-year periods, as applicable. The Trustees also considered each Fund's performance in comparison to the performance results of a group (the "Peer Group") of funds. The Trustees reviewed a description of Lipper's methodology for selecting mutual funds in the Fund's Peer Group and Universe Group. As part of this review, the Trustees also reviewed each Fund's performance against its benchmark and considered the performance information provided for each of the Funds at regular
JPMORGAN INCOME FUNDS 154
ANNUAL REPORT AUGUST 31
2005
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
Board meetings. The attention that was given to the Lipper reports and the actions taken as a result of the review of each Fund's investment performance is summarized below:
The Trustees noted that the Bond Fund's contractual advisory fee was in the first quintile of the Fund's Peer Group and the net advisory fee was in the first quintile of the Fund's Universe Group and concluded that the advisory fee was reasonable.
The Trustees noted that the performance of the Emerging Markets Debt Fund was better than that of its Universe Group median for the one year and three year periods.
The Trustees noted that although the three year performance of the Enhanced Income Fund lagged that of its Universe Group, the Fund's one-year performance demonstrated improvement as the Fund had outperformed the median of its Universe Group. The Trustees found such performance satisfactory in view of the recent improvement.
The Trustees recognized that the one, three and five year performance of the Global Strategic Income Fund lagged that of its Universe Group. The Trustees and the Fund Chief Compliance Officer noted the Adviser's process to periodically review the Fund and address the Fund's performance results. The Trustees directed the Adviser to report to them at each quarterly board meeting about the results of such reviews and steps taken to improve performance and actual performance results.
The Trustees recognized that the one, three and five year performance of the Short Term Bond Fund lagged that of its Universe Group. The Trustees and the Fund Chief Compliance Officer noted the Adviser's process to periodically review the Fund and address the Fund's performance results. The Trustees directed the Adviser to report to them at each quarterly board meeting about the results of such reviews and steps taken to improve performance and actual performance results.
The Trustees recognized that the one, three and five year performance of the Short Term Bond Fund II lagged that of its Universe Group. The Trustees concluded after review and discussion that the performance did not result from investment management issues that required action. However, the Trustees accepted the Fund Chief Compliance Officer's recommendation that the Trustees closely monitor the Fund and request a performance update by senior investment personnel at each quarterly meeting of the Fixed Income Investment Sub-Committee until improved performance is demonstrated over a period of time.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by the Fund to the Adviser by comparing that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Fund. The Trustees recognized that Lipper reported the Funds' management fee rate as the combined contractual advisory fee rate and the administration fee. The Trustees also considered the fee waiver and/or expense reimbursement arrangements currently in place for the Fund and considered the net advisory fee rate after taking waivers and reimbursements into account. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The attention that was given to the Lipper reports and the actions taken as a result of the
JPMORGAN INCOME FUNDS 155
JPMorgan Funds
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
review of each Fund's advisory fees and expense ratios is summarized below:
The Trustees noted that the Bond Fund's contractual advisory fee was in the first quintile of the Fund's Peer Group and the net advisory fee was in the first quintile of the Fund's Universe Group and concluded that the advisory fee was reasonable.
The Trustees noted that although the Emerging Markets Debt Fund's contractual and net advisory fee rates were higher than the majority of its Peer Group and Universe Group, respectively, the total expenses were lower than the median of the Fund's Universe Group and concluded that the advisory fee was reasonable.
The Trustees noted that the Enhanced Income Fund's contractual advisory fee was within a reasonable range of the median of its Peer Group and the fee was considered reasonable recognizing that the net advisory fee and total actual expenses were lower than the median of the Fund's Universe Group.
The Trustees noted that the Global Strategic Income Fund's contractual advisory fee was within a reasonable range of the median of its Peer Group and the fee was considered reasonable recognizing that, and the net advisory fee and total actual expenses was lower than the median of the Fund's Universe Group.
The Trustees noted that the Short Term Bond Fund's contractual advisory fee was in the first quintile of the Fund's Peer Group and the net advisory fee was in the first quintile of the Fund's Universe Group and concluded that the advisory fee was reasonable.
The Trustees noted that the Short Term Bond Fund II's contractual advisory fee was in the second quintile of the Fund's Peer Group and the net advisory fee was in the first quintile of the Fund's Universe Group and concluded that the advisory fee was reasonable.
JPMORGAN INCOME FUNDS 156
ANNUAL REPORT AUGUST 31
2005
TAX LETTER (UNAUDITED)
Bond Fund
Emerging Markets Debt Fund
Enhanced Income Fund
Global Strategic Income Fund
Short Term Bond Fund
Short Term Bond Fund II
Certain tax information for the Income Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended August 31, 2005. 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, 2005. The information necessary to complete your income tax returns for the calendar year ending December 31, 2005 will be received under separate cover.
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 August 31, 2005 (amounts in thousands):
Long-Term Capital Gain Distribution | |||||||
Bond Fund | $ | 12,442 | |||||
Emerging Markets Debt Fund | $ | 4,205 |
JPMORGAN INCOME FUNDS 157
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.
No sooner than 30 days after the end of each month, each Fund will make available upon request a complete uncertified schedule of its portfolio holdings as of the last day of that month. Not later than 60 days after the end of each fiscal quarter, each Fund will make available a complete schedule of its portfolio holdings as of the last day of that quarter, as filed in a certified filing with the SEC. In addition to providing hard copies upon request, each Fund will post these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on the SEC's website at www.sec.gov.
Shareholders may request portfolio holdings schedules at no charge by calling 1-800-480-4111.
A description of each Fund's policies and procedures with respect to the disclosure of the Fund's portfolio holdings is available in the Statement of Additional Information.
A copy of proxy policies and procedures are available without charge upon request by calling 1-800-480-4111 and on the Commission's website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by each Fund to JPMIM. A copy of each 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. Each 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.
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© J.P. Morgan Chase & Co., 2005 All rights reserved. October 2005.
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. The code of ethics in effect as of August 31, 2005 is included as Exhibit 12(a)(1).
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 a “non-interested” trustee 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 |
2004 - $232,294 * |
2005 - $77,610 |
(* The 2004 fees include fees for funds that are no longer in this Registrant.)
(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) |
2003 – $8,277,000 ** |
2004 – $9,397,000 |
(** For the period May 6, 2003 through December 31, 2003 – Services provided by the Auditor were not required to be approved prior to May 6, 2003).
The audit-related fees consist of aggregate fees billed for assurance and related services by the Auditor to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”), that were reasonably related to the performance of the annual audit of the 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 |
2004 - $22,800 * |
2005 - $7,800 |
(* The 2004 fees include fees for funds that are no longer in this Registrant.)
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 August 31, 2004 and August 31, 2005.
For the last two fiscal years, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(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 |
2004 – Not applicable |
2005 – 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 accountant 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.
2004 – None
2005 – 91%
(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 Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $28.3 million in 2003 and $25.3 million in 2004.
(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 Auditor’s independence. All services provided by the Auditor to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee
member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
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.
J.P. Morgan Investor Services Co. began serving as the sub-administrator and, in such capacity, assisted with financial reporting for the period covered by this report. All pre-existing policies and procedures remain substantially the same.
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.
The Code of Ethics that is the subject of the disclosure required by Item 2 is attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).
Certifications pursuant to 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 Mutual Fund Group
By: | /s/ George C.W. Gatch |
|
| George C.W. Gatch | |
| President and Principal Executive Officer | |
| November 7, 2005 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ George C.W. Gatch |
|
| George C.W. Gatch | |
| President and Principal Executive Officer | |
| November 7, 2005 |
By: | /s/ Stephanie J. Dorsey |
|
| Stephanie J. Dorsey | |
| Treasurer and Principal Financial Officer | |
| November 7, 2005 |