<Page>
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OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08358
-------------------------------------------
J.P. Morgan Mutual Fund Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
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(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: August 31, 2003
------------------------------------------------------
Date of reporting period: September 1, 2002 through August 31, 2003
------------------------------------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Include a copy of the report transmitted to stockholders pursuant to
Rule 30e-1 under the Act (17 CFR 270.30e-1).
<Page>
[GRAPHIC]
JPMORGAN FUNDS
ANNUAL REPORT AUGUST 31, 2003
MONEY MARKET FUNDS
100% U.S. TREASURY SECURITIES MONEY
MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
TREASURY PLUS MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
CALIFORNIA TAX FREE MONEY MARKET FUND
NEW YORK TAX FREE MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
LIQUID ASSETS MONEY MARKET FUND
PRIME MONEY MARKET FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Facts:
100% U.S. Treasury Securities Money Market Fund 3
U.S. Government MoneyMarket Fund 4
Treasury Plus Money Market Fund 5
Federal Money Market Fund 6
California Tax Free Money Market Fund 7
New York Tax Free MoneyMarket Fund 8
Tax Free Money Market Fund 9
Liquid Assets Money Market Fund 10
Prime Money Market Fund 11
Portfolios of Investments 12
Financial Statements 110
Notes to Financial Statements 125
Financial Highlights 154
</Table>
HIGHLIGHTS
- - Economic weakness persists
- - Investor optimism grows
NOT FDIC INSURED MAY LOSE VALUE / NO BANK GUARANTEE
JPMORGAN FUNDS ARE DISTRIBUTED BY J.P. MORGAN FUND DISTRIBUTORS, INC.
<Page>
JPMORGAN MONEY MARKET FUNDS
PRESIDENT'S LETTER OCTOBER 6, 2003
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Money Market Funds
for the year ended August 31, 2003. Inside you will find in-depth information on
our money market funds.
ECONOMIC WEAKNESS PERSISTS
The U.S. economy continued to send mixed signals through most of the period. In
the autumn of 2002, investors were confronted with contradictory economic data,
lackluster corporate earnings, a declining stock market and escalating
geopolitical risk, all of which combined to hold back the recovery. In response,
many elected to buy only the highest quality issues. In November, the Federal
Reserve Board once again eased short-term interest rates, cutting them by 1/2
percent.
Dominating attention during the winter were concerns about an impending war with
Iraq, the outbreak of SARS, an increased threat of terrorism and rising energy
prices. In general, consumer prices were higher, suggesting that household real
income had fallen. Energy was certainly more expensive, putting more pressure on
the American consumer. In fact, consumer confidence -- which had remained strong
through the recession -- began to falter. According to the Conference Board, the
measure of consumer confidence fell in February to its lowest level since 1993.
INVESTOR OPTIMISM GROWS
Money market funds saw large inflows through most of the period. Despite low
yields, money markets were seen as a safe haven by many risk-averse investors.
However, investors had good news to celebrate during the spring, including a
quick end to the combat phase of the Iraq war, better-than-expected corporate
earnings, the passage of a new tax package and a more positive economic outlook.
Business remained reluctant to invest and hire, but consumers were more
optimistic and continued to take advantage of low mortgage interest rates. Money
flowed back into riskier, higher yielding issues as investors took on more risk
for the possibility of an increased return.
To support the emerging recovery, investors expected the Federal Reserve Board
to ease interest rates by 1/2 percent. In June, however, the Fed cut the Federal
Funds Rate by just 1/4 percent to 1%. Yields surged after the conservative cut
as investors speculated that the easing cycle had ended. As economic
fundamentals continued to improve, many economists predicted that third-quarter
GDP growth could be near 5%.
1
<Page>
In the months ahead, your portfolio managers will continue to work hard to
maintain strong performance. They will try to obtain the highest possible yields
while focusing on the preservation of your principal. The portfolio management
team and all of us at JPMorgan Fleming Asset Management appreciate your
continued investment with us and we anticipate serving your investment needs for
many years to come. Should you have any questions, please feel free to contact
the JPMorgan Funds Service Center at 1-800-348-4782.
Sincerely,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE MAINTAINING LIQUIDITY AND PROVIDING CAPITAL
PRESERVATION
Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS
AND NOTES
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES
Net assets $5.0 BILLION
Average maturity 78 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 0.0%
2-7 days 0.3%
8-30 days 23.0%
31-60 days 18.7%
61-90 days 22.6%
91-180 days 34.4%
181+ days 1.0%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.41%
Premier Shares 0.55%
Agency Shares 0.75%
Institutional Shares 0.80%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.31%, 0.54%, 0.68% and
0.69% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan 100% U.S. Treasury
Securities Money Market Fund are now available upon request. Please contact your
JPMorgan Fleming representative to obtain further information regarding this
facility and information on holdings.
(UNAUDITED)
3
<Page>
JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE STILL MAINTAINING LIQUIDITY AND PRESERVING CAPITAL
Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY AND ITS AGENCIES INCLUDING TREASURY
BILLS, BONDS, NOTES, AND REPURCHASE AGREEMENTS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES
Net assets $9.5 BILLION
Average maturity 49 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC rating* CLASS 1
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) Class 1 status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 7.5%
2-7 days 21.9%
8-30 days 17.3%
31-60 days 19.1%
61-90 days 10.3%
91-180 days 23.0%
181+ days 0.9%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.51%
Premier Shares 0.65%
Agency Shares 0.84%
Institutional Shares 0.90%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.42%, 0.53%, 0.79% and
0.78% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan U.S. Government Money
Market Fund are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
4
<Page>
JPMORGAN TREASURY PLUS MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE STILL MAINTAINING LIQUIDITY AND PRESERVING CAPITAL
Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND
NOTES AS WELL AS REPURCHASE AGREEMENTS WHICH ARE FULLY COLLATERALIZED
BY OBLIGATIONS ISSUED OR GUARANTEED BY THE U.S. TREASURY
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, RESERVE AND INSTITUTIONAL SHARES
Net assets $3.8 BILLION
Average maturity 44 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC rating* EXEMPT
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) exempt status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 0.0%
2-7 days 50.2%
8-30 days 10.0%
31-60 days 17.8%
61-90 days 3.4%
91-180 days 15.7%
181+ days 2.9%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.44%
Premier Shares 0.58%
Agency Shares 0.78%
Institutional Shares 0.83%
Reserve Shares 0.33%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares, Reserve Shares
and Institutional Shares reflect the reimbursements or waivers of certain
expenses. Without these subsidies, the yields would have been 0.31%, 0.54%,
0.69%, 0.69% and 0.28% for Morgan Shares, Premier Shares, Agency Shares, Reserve
Shares and Institutional Shares, respectively.
A list of prior-day portfolio holdings of the JPMorgan Treasury Plus Money
Market Fund are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
5
<Page>
JPMORGAN FEDERAL MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE STILL PRESERVING CAPITAL AND MAINTAINING LIQUIDITY
Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND
NOTES AS WELL AS OBLIGATIONS ISSUED OR GUARANTEED BY THE U.S. TREASURY AND
ITS AGENCIES
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES
Net assets $3.6 BILLION
Average maturity 45 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC rating* APPROVED
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) "approved" status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 12.9%
2-7 days 12.3%
8-30 days 44.9%
31-60 days 8.9%
61-90 days 6.4%
91-180 days 8.4%
181+ days 6.2%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.36%
Premier Shares 0.61%
Agency Shares 0.80%
Institutional Shares 0.86%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.25%, 0.59%, 0.72% and
0.74% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan Federal Money Market Fund
are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
6
<Page>
JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME EXEMPT FROM FEDERAL AND CALIFORNIA INCOME TAXES;
PRESERVING CAPITAL AND MAINTAINING LIQUIDITY*
Primary Investments CALIFORNIA SHORT-TERM MUNICIPAL OBLIGATIONS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN SHARES
Net assets $149.1 MILLION
Average maturity 56 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 15.1%
2-7 days 60.6%
8-30 days 1.3%
31-60 days 1.3%
61-90 days 3.5%
91-180 days 2.7%
181+ days 15.5%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- --------------------------------------------------------
Morgan Shares 0.39% 0.66%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yield for Morgan Shares reflects the reimbursements or waivers of
certain expenses. Without these subsidies, the yield would have been 0.15%.
(2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1
minus the effective tax rate. The effective combined federal, state and local
tax rate used for this illustration is 41.05%.
* A portion of the Fund's income distributions may be subject to the Alternative
Minimum Tax (AMT), and some investors may be subject to certain state and local
taxes.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
(UNAUDITED)
7
<Page>
JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME EXCLUDED FROM GROSS INCOME AND EXEMPT FROM NEW YORK
STATE AND NEW YORK CITY PERSONAL INCOME TAXES; PRESERVING CAPITAL AND
MAINTAINING LIQUIDITY*
Primary Investments NEW YORK SHORT-TERM MUNICIPAL OBLIGATIONS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN AND RESERVE SHARES
Net assets $1.8 BILLION
Average maturity 52 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 9.5%
2-7 days 62.1%
8-30 days 1.6%
31-60 days 4.0%
61-90 days 1.4%
91-180 days 6.2%
181+ days 15.2%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- --------------------------------------------------------
Morgan Shares 0.36% 0.63%
Reserve Shares 0.16% 0.28%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares and Reserve Shares reflect the reimbursements
or waivers of certain expenses. Without these subsidies, the yields would have
been 0.25% for Morgan Shares and 0.07% for Reserve Shares.
(2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1
minus the effective tax rate. The effective combined federal, state and local
tax rate used for this illustration is 43.10%.
* A portion of the Fund's income distributions may be subject to the Alternative
Minimum Tax (AMT), and some investors may be subject to certain state and local
taxes.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
(UNAUDITED)
8
<Page>
JPMORGAN TAX FREE MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME EXCLUDED FROM GROSS INCOME WHILE PRESERVING CAPITAL AND
MAINTAINING LIQUIDITY
Primary Investments SHORT-TERM MUNICIPAL OBLIGATIONS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES
Net assets $11.1 BILLION
Average maturity 50 DAYS
S&P rating** AAAm
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
** This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
MATURITY SCHEDULE
<Table>
1 day 15.3%
2-7 days 61.7%
8-30 days 2.5%
31-60 days 2.7%
61-90 days 1.2%
91-180 days 3.3%
181+ days 13.3%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- --------------------------------------------------------
Morgan Shares 0.34% 0.52%
Premier Shares 0.48% 0.74%
Agency Shares 0.67% 1.03%
Institutional Shares 0.73% 1.12%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.25%, 0.46%, 0.61% and
0.62% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
(2) Taxable equivalent yields are calculated based on the SEC yield divided by 1
minus the effective tax rate. The effective federal tax rate used for this
illustration is 35.00%.
* A portion of the Fund's income distributions may be subject to the Alternative
Minimum Tax (AMT), and some investors may be subject to certain state and local
taxes.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
(UNAUDITED)
9
<Page>
JPMORGAN LIQUID ASSETS MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION AND SAME-DAY
LIQUIDITY
Primary Investments HIGH QUALITY, SHORT-TERM, U.S. DOLLAR-DENOMINATED MONEY
MARKET INSTRUMENTS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES
Net assets $2.6 BILLION
Average maturity 60 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 19.8%
2-7 days 6.9%
8-30 days 21.3%
31-60 days 15.7%
61-90 days 5.4%
91-180 days 28.9%
181+ days 2.0%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.61%
Premier Shares 0.75%
Agency Shares 0.94%
Institutional Shares 1.00%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.23%, 0.62%, 0.82% and
0.83% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan Liquid Assets Money
Market Fund are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
10
<Page>
JPMORGAN PRIME MONEY MARKET FUND
AS OF AUGUST 31, 2003
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE MAINTAINING LIQUIDITY AND PRESERVING CAPITAL
Primary Investments HIGH QUALITY, SHORT-TERM, U.S. DOLLAR-DENOMINATED MONEY MARKET INSTRUMENTS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, SELECT, CASH MANAGEMENT, INSTITUTIONAL, RESERVE, B
AND C SHARES
Net assets $49.4 BILLION
Average maturity 50 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC rating* CLASS 1
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) Class 1 status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 8.3%
2-7 days 14.8%
8-30 days 31.8%
31-60 days 16.6%
61-90 days 5.4%
91-180 days 21.3%
181+ days 1.8%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.53%
Premier Shares 0.67%
Agency Shares 0.86%
Select Shares 0.68%
Cash Management Shares 0.17%
Institutional Shares 0.92%
Reserve Shares 0.42%
B Shares 0.08%
C Shares 0.08%
</Table>
Past performance is not a guarantee of future results. Yields will fluctuate. An
investment in a money market fund is not insured by the FDIC or any other
government agency. Although money market funds strive to preserve the value of
the investment at $1.00 per share, it is possible to lose money by investing in
a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares, Select Shares,
Cash Management Shares, Institutional Shares, Reserve Shares, B Shares and C
Shares reflect the reimbursements or waivers of certain expenses. Without these
subsidies, the yields would have been 0.49%, 0.66%, 0.81%, 0.64%, 0.16%, 0.81%,
0.40%, (0.11%) and (0.11%) for Morgan Shares, Premier Shares, Agency Shares,
Select Shares, Cash Management Shares, Institutional Shares, Reserve Shares, B
Shares and C Shares, respectively.
A list of prior-day portfolio holdings of the JPMorgan Prime Money Market Fund
are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
11
<Page>
JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ---------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 100.0%
U.S. Treasury Bills,
$ 12,756 0.88%, 09/04/03 $ 12,755
355,495 1.10%, 09/11/03 355,386
412,337 1.07%, 09/18/03 412,128
374,876 0.96%, 09/25/03 374,636
110,843 0.91%, 10/02/03 110,756
293,136 0.86%, 10/09/03 292,869
370,887 1.10%, 10/16/03 370,377
133,691 1.01%, 10/23/03 133,495
24,417 0.92%, 10/30/03 24,380
556,202 0.92%, 11/20/03 555,065
125,000 1.10%, 11/06/03 124,748
168,673 0.93%, 11/13/03 168,356
277,697 0.93%, 11/28/03 277,062
131,937 0.94%, 12/04/03 131,614
70,000 0.95%, 12/11/03 69,814
327,515 0.79%, 12/18/03 326,736
431,072 0.93%, 12/26/03 429,780
253,453 1.01%, 02/05/04 252,342
189,559 1.03%, 02/12/04 188,674
211,373 1.03%, 02/19/04 210,336
100,000 1.04%, 02/26/04 99,488
50,000 U.S. Treasury Notes & Bonds,
3.00%, 02/29/04 50,407
- ---------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 4,971,204
(Cost $4,971,204)*
- ---------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
12
<Page>
JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ---------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 79.3%
Federal Farm Credit Bank,
$ 10,681 1.13%, 09/29/03, DN $ 10,672
23,000 1.80%, 11/03/03 23,001
50,000 1.12%, 12/01/03, DN 49,858
100,000 1.00%, 04/15/04, FRN 99,987
75,000 1.04%, 05/14/04, DN 74,445
550,000 0.99%, 09/19/03, FRN 550,000
Federal Home Loan Bank,
47,296 1.01%, 09/05/03, DN 47,291
405 5.13%, 09/15/03 406
49,143 1.01%, 10/22/03, DN 49,073
36,400 1.17%, 10/24/03, DN 36,337
179,525 1.14%, 11/07/03, DN 179,144
160,000 0.99%, 05/27/04, Ser. 369, FRN 159,934
335,000 1.11%, 09/03/04, FRN 335,000
Federal Home Loan Mortgage Corp.,
40,000 1.19%, 09/05/03, DN 39,995
114,653 1.12%, 09/11/03, DN 114,617
6,944 3.50%, 09/15/03 6,950
100,000 1.18%, 09/24/03, DN 99,925
15,000 1.19%, 09/30/03, DN 14,986
79,900 1.17%, 10/09/03, DN 79,801
98,885 1.18%, 10/20/03, DN 98,726
38,600 1.15%, 10/24/03, DN 38,535
50,000 1.06%, 10/30/03, DN 49,914
76,845 1.19%, 11/06/03, DN 76,677
68,000 6.38%, 11/15/03 68,676
190,009 0.88%, 11/21/03, DN 189,633
290,000 1.05%, 12/01/03, DN 289,232
192,000 1.00%, 12/15/03, DN 191,441
31,865 3.25%, 12/15/03 32,053
388,000 0.99%, 12/19/03, DN 386,833
170,000 1.04%, 12/23/03, DN 169,445
95,000 0.99%, 12/31/03, DN 94,684
49,000 3.25%, 01/15/04 49,400
110,000 1.30%, 01/29/04, DN 109,404
111,500 1.13%, 02/12/04, DN 110,929
135,565 1.15%, 02/26/04, DN 134,798
12,071 1.15%, 03/08/04, DN 11,998
Federal National Mortgage Association,
227,500 1.10%, 09/10/03, DN 227,438
192,000 1.23%, 09/15/03, DN 191,908
130,400 1.15%, 09/24/03, DN 130,304
280,215 1.18%, 10/01/03, DN 279,939
355,000 1.19%, 10/08/03, DN 354,564
220,243 1.17%, 10/15/03, DN 219,928
</Table>
See notes to financial statements.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
$ 293,368 1.17%, 10/22/03, DN $ 292,880
66,658 1.04%, 10/29/03, DN 66,546
100,000 0.95%, 11/14/03, DN 99,805
180,000 1.14%, 11/19/03, DN 179,549
172,531 1.10%, 12/04/03, DN 172,034
94,000 0.95%, 12/10/03, DN 93,753
96,022 1.07%, 01/28/04, DN 95,597
36,300 1.14%, 02/18/04, DN 36,105
165,000 1.15%, 02/25/04, DN 164,071
225,000 0.98%, 05/27/04, FRN 224,903
272,000 0.98%, 06/17/04, MTN, FRN 271,957
250,000 0.98%, 07/30/04, FRN 249,827
Student Loan Marketing Association,
28,725 1.42%, 09/02/03, DN 28,724
32,029 1.03%, 09/12/03, DN 32,019
11,396 1.02%, 09/17/03, DN 11,391
26,500 1.00%, 09/23/03, DN 26,484
-----------------------------------------------------------------------------
Total U.S. Government Agency Securities 7,523,526
(Cost $7,523,526)
-----------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 20.7%
571,038 Deutsche Bank Securities, Inc., 1.07%, dated
08/29/03, due 09/02/03, repurchase price
$571,106, collateralized by U.S. Government
Agency Securities 571,038
691,179 Greenwich Capital Markets, Inc., 1.08%,
dated 08/29/03, due 09/02/03, repurchase
price $691,262, collateralized by U.S.
Government Agency Securities 691,179
700,000 UBS Warburg LLC, 1.08%, dated 08/29/03,
due 09/02/03, repurchase price $700,084,
collateralized by U.S. Government
Agency Securities 700,000
-----------------------------------------------------------------------------
Total Repurchase Agreements 1,962,217
(Cost $1,962,217)
- ---------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 9,485,743
(Cost $9,485,743)*
- ---------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
14
<Page>
JPMORGAN TREASURY PLUS MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ---------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 57.7%
U.S. Treasury Bills,
$ 275,000 0.81%, 09/04/03 $ 274,982
75,000 1.11%, 09/11/03 74,977
275,000 0.81%, 09/18/03 274,895
285,000 1.03%, 10/09/03 284,690
335,000 1.16%, 10/16/03 334,514
120,000 0.99%, 11/28/03 119,711
100,000 0.90%, 12/11/03 99,748
200,000 0.91%, 12/26/03 199,414
50,000 0.91%, 01/02/04 49,845
150,000 1.03%, 02/19/04 149,270
50,000 1.02%, 02/26/04 49,748
100,000 U.S. Treasury Notes & Bonds,
2.13%, 08/31/04 100,877
-----------------------------------------------------------------------------
Total U.S. Treasury Securities 2,012,671
(Cost $2,012,671)
-----------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 42.3%
5,000 Deutsche Bank Securities, Inc., 1.02%,
dated 08/29/03, due 09/02/03, repurchase
price $5,001, collateralized by U.S.
Treasury Securities 5,000
672,284 Deutsche Bank Securities, Inc., 1.02%,
dated 08/29/03, due 09/02/03, repurchase
price $672,360, collateralized by U.S.
Treasury Securities 672,284
100,000 Greenwich Capital Markets, Inc., 1.01%,
dated 08/29/03, due 09/02/03, repurchase
price $100,011, collateralized by U.S.
Treasury Securities 100,000
700,000 Merrill Lynch & Co., Inc., 1.01%, dated
08/29/03, due 09/02/03, repurchase
price $700,079, collateralized by U.S.
Treasury Securities 700,000
-----------------------------------------------------------------------------
Total Repurchase Agreements 1,477,284
(Cost $1,477,284)
- ---------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 3,489,955
(Cost $3,489,955)*
- ---------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
15
<Page>
JPMORGAN FEDERAL MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ---------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES -- 1.9%
U.S. Treasury Bills,
$ 11,946 0.90%, 09/04/03 $ 11,945
6,046 0.88%, 11/20/03 6,034
50,000 1.04%, 02/26/04 49,744
-----------------------------------------------------------------------------
Total U.S. Treasury Securities 67,723
(Cost $67,723)
-----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 98.1%
Federal Farm Credit Bank,
24,200 1.15%, 09/23/03, DN 24,183
62,350 1.17%, 09/29/03, DN 62,293
21,886 1.23%, 10/27/03, DN 21,844
22,000 1.80%, 11/03/03 22,001
10,500 1.19%, 11/13/03, DN 10,475
24,975 1.17%, 11/25/03, DN 24,906
17,475 1.27%, 01/06/04, DN 17,397
100,000 1.00%, 04/15/04, FRN 99,987
125,000 1.01%, 05/05/04, FRN 124,996
250,000 1.02%, 07/02/04, DN 250,000
50,000 1.04%, 07/09/04, DN 49,549
450,000 0.99%, 09/19/03, FRN 449,999
Federal Home Loan Bank,
62,851 1.05%, 09/03/03, DN 62,847
72,704 1.00%, 09/05/03, DN 72,696
22,429 1.14%, 09/10/03, DN 22,423
42,700 1.12%, 09/12/03, DN 42,685
25,000 5.13%, 09/15/03 25,037
94,481 0.98%, 09/17/03, DN 94,440
60,000 1.03%, 10/08/03, DN 59,937
100,857 1.01%, 10/22/03, DN 100,713
136,862 1.02%, 10/24/03, DN 136,657
2,903 1.14%, 11/07/03, DN 2,897
25,870 5.38%, 01/05/04 26,229
170,000 1.05%, 01/07/04, DN 169,368
19,500 1.10%, 02/11/04, DN 19,403
48,150 3.75%, 04/15/04 48,945
120,000 0.99%, 05/27/04, Ser. 369, FRN 119,951
50,000 3.38%, 06/15/04 50,841
19,500 1.13%, 07/21/04 19,495
110,000 1.11%, 09/03/04, FRN 110,000
Student Loan Marketing Association,
66,334 1.02%, 09/02/03, DN 66,332
142,871 1.00%, 09/12/03, DN 142,827
239,445 1.02%, 09/15/03, DN 239,350
</Table>
See notes to financial statements.
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
$ 68,604 1.02%, 09/17/03, DN $ 68,573
222,222 1.03%, 09/19/03, DN 222,108
113,500 1.00%, 09/23/03, DN 113,431
41,939 1.17%, 11/12/03, DN 41,841
19,570 1.25%, 12/02/03, DN 19,507
22,300 3.38%, 07/15/04 22,701
Tennessee Valley Authority,
100,000 0.94%, 09/04/03, DN 99,992
95,000 0.99%, 09/18/03, DN 94,955
28,250 4.75%, 07/15/04 29,103
-----------------------------------------------------------------------------
Total U.S. Government Agency Securities 3,502,914
(Cost $3,502,914)
- ---------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 3,570,637
(Cost $3,570,637)*
- ---------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
17
<Page>
JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ---------------------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 100.0%
CALIFORNIA -- 91.8%
$ 1,500 ABAG Finance Authority for Nonprofit Corps,
Point Loma Nazarene University, Rev., FRDO,
0.90%, 09/04/03 $ 1,500
1,500 ABN AMRO Munitops Certificate Trust,
Ser. 2003-1, GO, FRDO, AMBAC, 0.84%,
09/04/03 1,500
3,000 ABN AMRO Munitops Certificate Trust,
Ser. 2003-11, GO, FRDO, FSA, 1.20%,
06/01/04 3,000
1,200 Alameda County IDA, Scientific Technology
Project, Ser. A, Rev., FRDO, 0.90%, 09/03/03 1,200
3,135 Auburn Union School District, COP, FRDO,
FSA, 0.85%, 09/02/03 3,135
575 California Communities Housing Finance
Agency, Subordinated, Ser. B, Rev., FRDO,
0.85%, 09/04/03 575
1,300 California Economic Development Financing
Authority, IDR, Standard Abrasives
Manufacturing Project, Rev., FRDO, 0.85%,
09/03/03 1,300
1,000 California Educational Facilities Authority,
Loyola Marymount University, Ser. B, Rev.,
FRDO, MBIA, 0.85%, 09/04/03 1,000
150 California Educational Facilities Authority,
Stanford University, FLOATS, Ser. PA-542,
Rev., FRDO, 0.86%, 09/03/03 150
500 California Educational Facilities Authority,
University of San Francisco, Rev., FRDO,
0.85%, 09/04/03 500
2,700 California Health Facilities Financing
Authority, Ser. B, Rev., FRDO, AMBAC,
0.77%, 09/01/03 2,700
2,000 California Housing Finance Agency, Home
Mortgage, Ser. J, Rev., FRDO, FSA, 0.76%,
09/01/03 2,000
100 California Housing Finance Agency, Home
Mortgage, Ser. J, Rev., FRDO, MBIA, 0.76%,
09/01/03 100
900 California Housing Finance Agency, Home
Mortgage, Ser. U, Rev., FRDO, MBIA, 0.76%,
09/01/03 900
100 California Housing Finance Agency, Multi-Family
Housing, Ser. A, Rev., FRDO, 0.80%, 09/06/03 100
1,000 California Housing Finance Agency, Ser.
D, Rev., FRDO, FSA, 0.90%, 09/04/03 1,000
</Table>
See notes to financial statements.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- CONTINUED
$ 1,000 California Infrastructure & Economic
Development Bank, IDR, Adams Rite
Manufacturing Co. Project, Ser. A, Rev.,
FRDO, 0.85%, 09/03/03 $ 1,000
1,610 California Infrastructure & Economic
Development Bank, IDR, Pleasant Mattress,
Inc. Project, Ser. A, Rev., FRDO, 0.85%, 09/01/03 1,610
1,950 California Infrastructure & Economic
Development Bank, IDR, Standard Abrasive
Manufacturing Project, Ser. A, Rev., FRDO,
0.85%, 09/04/03 1,950
400 California PCFA, PCR, ExxonMobil Project, Rev.,
FRDO, 0.70%, 09/01/03 400
100 California PCFA, Solid Waste Disposal, Gilton
Solid Waste Management, Ser. A, Rev., FRDO,
0.85%, 09/02/03 100
1,000 California Pollution Control Financing Authority,
PCR, Sierra Pacific Industries Project, Rev., FRDO,
0.85%, 09/03/03 1,000
535 California School Facilities Financing Corp.,
Capital Improvement Financing Project, Ser. B,
COP, FRDO, 0.85%, 09/01/03 535
1,000 California State Department of Water
Resources, Power Supply, EAGLE, Ser. 2002-6017,
Class A, Rev., FRDO, AMBAC, 0.86%, 09/04/03 1,000
430 California State Department of Water Resources,
Power Supply, Ser. B-6, Rev., FRDO, 0.75%,
09/01/03 430
4,000 California State Department of Water Resources,
Power Supply, Ser. C-12, Rev., FRDO, 0.85%,
09/03/03 4,000
700 California State Department of Water Resources,
Power Supply, Ser. C-13, Rev., FRDO, FSA, 0.79%,
09/03/03 700
750 California State Municipal Securities Trust
Certificates, Ser. 1998-47, Class A, Rev., FRDO,
AMBAC, #, 0.90%, 09/03/03 750
300 California State, Municipal Securities Trust
Receipts, Ser. SGA-40, GO, FRDO, FGIC, 0.83%,
09/01/03 300
300 California State, Municipal Securities Trust
Receipts, Ser. SGA-55, GO, FRDO, FGIC, 0.83%,
09/03/03 300
14,000 California State, Ser. A, RAN, 2.00%, 06/16/04 14,092
2,000 California Statewide Communities
Development Authority, Cathedral High School
Project, Rev., FRDO, 0.85%, 09/03/03 2,000
</Table>
See notes to financial statements.
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- CONTINUED
$ 2,000 California Statewide Communities
Development Authority, Kaiser Permanente,
Ser. A, Rev., FRDO, 0.91%, 09/03/03 $ 2,000
3,000 California Statewide Communities
Development Authority, Kaiser Permanente,
Ser. A, Rev., FRDO, 1.38%, 12/04/03 3,000
1,000 California Statewide Communities
Development Authority, Kaiser Permanente,
Ser. B, Rev., FRDO, 0.91%, 09/03/03 1,000
1,000 California Statewide Communities
Development Authority, Multi-Family
Housing, Canyon Springs Apartments,
Ser. KK, Rev., FRDO, 0.85%, 09/04/03 1,000
2,200 Charter Mac Floater Certificate Trust I,
Ser. CAL-1, MBIA, 1.00%, 09/04/03 2,200
2,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2,
Rev., FRDO, MBIA, 1.00%, 09/04/03 2,000
900 Colton Redevelopment Agency,
Multi-Family Housing, 1985 Issue A,
Rev., FRDO, 0.75%, 09/04/03 900
600 East Bay Municipal Utility District,
Water System, Sub Ser. A, Rev.,
FRDO, FSA, 0.76%, 09/03/03 600
2,125 East Bay Municipal Utility District,
Water Systems, Sub Ser. B, Rev.,
FRDO, FSA, 0.80%, 09/03/03 2,125
1,600 Elsinore Valley Municipal Water
District, COP, Ser. A, FRDO, FGIC,
0.85%, 09/04/03 1,600
1,000 Fremont Unified High School District,
Santa Clara County, GO, TRAN,
1.50%, 06/30/04 1,005
5,368 Glendale, California, Hospital, FLOATS,
Ser. 590, Rev., FRDO, MBIA, 0.88%, 09/04/03 5,368
300 Hayward, California, Multi-Family Housing,
Shorewoood, Ser. A, Rev., FRDO, 0.85%, 09/05/03 300
700 Irvine Ranch Water District, CONS,
Rev., FRDO, 0.75%, 09/01/03 700
800 Irvine Ranch Water District, No. 102,
103, 105 & 106, GO, FRDO, 0.71%, 09/01/03 800
600 Irvine Ranch Water District, No. 105, 140,
240 & 250, GO, FRDO, 0.75%, 09/01/03 600
2,300 Irvine Unified School District, Special Tax,
Community Facilities District No. 01-1,
FRDO, 0.75%, 09/01/03 2,300
69 Irvine, California, Improvement Bond Act of
1915, Assessment District No. 93-14, Special
Assessment, FRDO, 0.85%, 09/01/03 69
</Table>
See notes to financial statements.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- CONTINUED
$ 2,400 Irvine, California, Improvement Bond Act of
1915, Assessment District No. 97-16, Rev.,
FRDO, 0.75%, 09/01/03 $ 2,400
3,000 La Quinta Redevelopment Agency, Tax
Allocation, Multi-Family Housing, MiraFlores
Apartments, Ser. A, Rev., FRDO, 0.80%, 09/04/03 3,000
200 Lodi, California, Electric Systems, COP, Ser. A,
FRDO, MBIA, 0.74%, 09/03/03 200
100 Los Angeles County Metropolitan Transportation
Authority, Proposition C, Second Ser., Ser.
A, Rev., FRDO, MBIA, 0.85%,09/03/03 100
415 Los Angeles County Metropolitan Transportation
Authority, Sales Tax, Floating Rate Receipts,
Ser. SG-54, 0.86%, 09/03/03 415
100 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-4, Rev., FRDO, 0.80%,
09/04/03 100
575 Los Angeles Housing Authority, Multi-Family
Housing, Ser. A, Rev., FRDO, 0.80%, 09/02/03 575
2,000 Los Angeles Unified School District, Floating
Rate Trust Receipts, Ser. L-2-J, Regulation D,
GO, FRDO, MBIA, 0.85%, 09/07/03 2,000
2,000 Los Angeles Unified School District, Floating
Rate Trust Receipts, Ser. L-6-J, GO, FRDO, FSA,
1.10%, 09/30/03 2,000
1,840 Los Angeles, California, Single Family Mortgage,
FLOATS, Ser. PT-707, Rev., FRDO, 0.95%, 09/04/03 1,840
2,000 Los Angeles, California, Water & Power, Ser.
RR-II-R-4510, Rev., FRDO, MBIA, 0.86%, 09/02/03 2,000
1,000 Marysville Joint Unified School District, GO,
TRAN, 2.50%, 10/15/03 1,001
1,000 Metropolitan Water District of Southern
California, Waterworks, Ser. B-2, Rev., FRDO,
0.80%, 09/03/03 1,000
1,000 Monrovia Unified School District, Municipal
Securities Trust Receipts, Ser. SGA-70, GO, FRDO,
MBIA, 0.83%, 09/07/03 1,000
3,100 Newport Beach, California, Hoag Memorial
Presbyterian Hospital, Rev., FRDO, 0.76%, 09/01/03 3,100
3,000 Oceanside, California, Multi-Family Housing,
Lakeridge Apartments Project, Rev., FRDO, 0.77%,
09/04/03 3,000
100 Ontario Redevelopment Agency, IDR, Safariland
Project, Rev., FRDO, 0.90%, 09/05/03 100
300 Ontario Redevelopment Agency, Multi-Family
Housing, Seasons at Gateway, Sub Ser. B, Rev.,
FRDO, 0.85%, 09/04/03 300
2,000 Orange County Sanitation District, COP, Ser. A,
FRDO, 0.75%, 09/01/03 2,000
</Table>
See notes to financial statements.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- CONTINUED
$ 949 Orange County, Apartment Development Corp.,
Multi-Family Housing, Niguel Summit 2, Ser. B,
Rev., FRDO, 0.80%, 09/06/03 $ 949
700 Orange County, Apartment Development Corp.,
Multi-Family Housing, Pointe Niguel Project, Ser.
C, Rev., FRDO, 0.85%, 09/01/03 700
800 Orange County, Apartment Development Corp.,
Wood Canyon Villas, Issue E, Rev., FRDO,
0.85%, 09/02/03 800
2,020 Pasadena, California, Rose Bowl Improvements
Project, COP, FRDO, 0.85%, 09/03/03 2,020
1,500 Petaluma City School District, GO, TRAN, 2.00%,
06/30/04 1,513
1,000 Pleasant Hill Redevelopment Agency, Multi-Family
Housing, Chateau III, Ser. A, Rev., FRDO, 0.85%,
09/03/03 1,000
800 Riverside County Asset Leasing Corp., Southwest
Justice Center, Ser. B, Rev., FRDO, MBIA, 0.75%,
09/03/03 800
900 Riverside Unified School District, School Facility
Bridge Program, COP, FRDO, FSA, 0.90%, 09/02/03 900
4,000 Sacramento County Housing Authority,
Multi-Family Housing, Ashford, Ser. D, Rev.,
FRDO, 0.77%, 09/04/03 4,000
550 San Bernardino County Housing Authority,
Multi-Family Housing, Victoria Terrace Project,
Ser. A, Rev., FRDO, 0.95%, 09/01/03 550
300 San Diego, California, Multi-Family Housing,
Issue A, Rev., FRDO, 0.80%, 09/03/03 300
370 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SG-110, Rev., FRDO, FGIC, 0.78%,
09/01/03 370
1,000 San Francisco City & County Airports
Commission, International Airport, Municipal
Villa Monterey Securities Trust Receipts, Ser. SGA-50,
FRDO, MBIA, 0.86%, 09/02/03 1,000
1,000 San Jose Unified School District/Santa Clara
County, GO, TRAN, 2.50%, 10/29/03 1,001
1,000 San Jose, California, Airport, Ser. II-R-2004, Rev.,
FRDO, FSA, 0.86%, 09/04/03 1,000
700 San Jose, California, Multi-Family Housing,
Apartments, Ser. F, Rev., FRDO,
0.80%, 09/04/03 700
500 Santa Ana Housing Authority, Multi-Family
Housing, Vintage Apartments, Ser. A, Rev.,
FRDO, 0.80%, 09/04/03 500
497 Santa Ana Unified School District, COP, FRDO,
0.80%, 09/02/03 497
</Table>
See notes to financial statements.
22
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- CONTINUED
$ 1,000 Santa Clara Valley Transportation Authority, Rev.,
BAN, GAN, 3.00%, 12/04/03 $ 1,004
2,000 Santa Cruz County, GO, TRAN, 2.00%, 07/01/04 2,015
4,300 Solano County Board Education, GO, TRAN,
2.50%, 11/13/03 4,307
600 Three Valleys Municipal Water District, Miramar
Water Treatment, COP, FRDO, 0.85%, 09/03/03 600
425 Upland Community Redevelopment Agency,
Multi-Family Housing, Northwoods Project,
Ser. 168-A, Rev., FRDO, 0.80%, 09/03/03 425
1,000 Visalia Unified School District, GO, TRAN, 2.00%,
09/04/04 1,010
4,000 West Contra Costa Unified School District, FLOATS,
Ser. PT-1828, GO, FRDO, FGIC, 0.86%, 09/04/03 4,000
1,000 West Contra Costa Unified School District, GO,
TRAN, 2.50%, 11/06/03 1,001
------------
137,487
PUERTO RICO -- 8.2%
2,000 Municipal Securities Trust Certificates, Ser.
7005, Class A, Special Obligation, FRDO, 0.78%,
09/03/03 2,000
2,100 Puerto Rico Commonwealth, Floating Rate Trust
Receipts, Ser. M-4J, GO, FRDO, FSA, 0.85%, 09/02/03 2,100
1,235 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226,
0.81%, 09/06/03 1,235
510 Puerto Rico Commonwealth, GO, (p), 6.45%,
07/01/04 541
2,000 Puerto Rico Electric Power Authority, Rev., FRDO,
1.60%, 09/05/03 2,000
400 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 0.86%,
09/04/03 400
800 Puerto Rico Highway & Transportation Authority,
Ser. 816, Rev., FRDO, MBIA, 0.86%, 09/04/03 800
1,800 Puerto Rico Highway & Transportation Authority,
Ser. II-R-66, Rev., FRDO, MBIA-IBC, 0.86%, 09/03/03 1,800
170 Puerto Rico Highway & Transportation Authority,
Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA,
0.83%, 09/04/03 170
1,300 TICS/TOCS Trust, Commonwealth
of Puerto Rico, Ser. 2001-2, GO,
FRDO, FSA, 0.83%, 09/05/03 1,300
------------
12,346
- ---------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 149,833
(Cost $149,833)*
- ---------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
23
<Page>
JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ---------------------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 100.0%
NEW YORK -- 98.0%
$ 12,000 ABN AMRO Munitops Certificates Trust, Ser.
1999-13, FRDO, FGIC, 0.85%, 09/03/03 $ 12,000
455 Albany IDA, IDR, Newkirk Productions, Inc.
Project, Ser. A, Rev., FRDO, 0.90%, 09/04/03 455
2,300 Allegany County, IDA, Environmental Facilties,
Atlantic Richfield Project, Rev., FRDO, 0.86%,
09/01/03 2,300
9,950 Auburn, New York, Ser. B, GO, BAN,
1.38%, 06/11/04 9,977
1,150 Babylon IDA, IDR, Edwin Berger/Lambro
Industries, Rev., FRDO, 0.85%, 09/03/03 1,150
10,000 Beekmantown Central School District, GO, BAN,
1.30%, 06/25/04 10,026
2,000 Binghamton City School District, GO, BAN,
2.50%, 10/24/03 2,002
12,000 Board of Cooperative Educational Services
First Supervisory District, Suffolk County,
RAN, 1.38%, 06/28/04 12,037
11,300 Board of Cooperative Educational Services of
Second Supervisory District, Westchester, RAN,
1.50%, 06/30/04 11,339
4,990 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, GO, RAN,
1.50%, 06/25/04 5,010
3,700 Board of Cooperative Educational Services
Sole Supervisory District, Oswego County,
RAN, 1.25%, 06/30/04 3,706
10,000 Board of Cooperative Educational Services
Sole Supervisory District, Oswego County,
Rev., RAN, 1.38%, 06/29/04 10,031
2,000 Board of Cooperative Educational Services
Sole Supervisory District, Oswego County,
Rev., RAN, 1.75%, 06/29/04 2,011
2,500 Board of Cooperative Educational Services
Sole Supervisory District, Oswego County,
Ser. B, RAN, 1.50%, 06/30/04 2,508
100 Broome County IDA, IDR,
Binghamton Realty Project, Rev.,
FRDO, 0.80%, 09/04/03 100
2,000 Canandaigua City School District,
GO, RAN, 1.50%, 05/06/04 2,002
8,000 Candor Central School District,
GO, BAN, 2.15%, 11/21/03 8,011
3,708 Chautauqua County, GO, BAN, 1.75%,
08/06/04 3,732
</Table>
See notes to financial statements.
24
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 15,000 Chautauqua County, GO, TAN, 1.75%,
01/15/04 $ 15,028
2,762 Clinton County, GO, BAN, 1.75%,
07/22/04 2,779
4,000 Copiague Union Free School District, GO, TAN,
1.50%, 06/29/04 4,016
3,390 Cortland County, GO, BAN, 3.00%,
03/05/04 3,422
2,000 Delhi Central School District, GO, RAN,
1.50%, 06/25/04 2,006
1,700 Dutchess County IDA, Civic Facilities, Marist
College, Ser. A, Rev., FRDO, 0.85%, 09/03/03 1,700
2,625 Dutchess County IDA, Marist College
Civic Facilities, Ser. A, Rev., FRDO,
0.85%, 09/01/03 2,625
4,000 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 2002-6003, Class A, COP, Rev.,
FRDO, FSA, #, 0.86%, 09/04/03 4,000
5,990 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 3C-7, Class A, FRDO, #, 0.86%,
09/03/03 5,990
3,300 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 3C-7, Class A, FRDO, #, 0.86%,
09/04/03 3,300
10,000 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 94-3203, Class A, FRDO, #,
0.86%, 09/03/03 10,000
8,805 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 94-3205, Class A, FRDO, #,
0.86%, 09/05/03 8,805
9,910 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 94-3208, Class A, FRDO, #,
0.86%, 09/04/03 9,910
12,155 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 96-3207, Class A, FRDO, #,
0.86%, 09/03/03 12,155
5,900 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 96C-3203, Class A, FRDO, #,
0.86%, 09/04/03 5,900
14,850 Eagle Tax Exempt Trust, Weekly Option
Mode, Ser. 96C-3208, Class A, FRDO, #,
0.86%, 09/02/03 14,850
8,135 Eagle Tax Exempt Trust, Weekly Partner
Certificate, Class A, Rev., FRDO, AMBAC, #,
0.86%, 09/04/03 8,135
10,000 East Islip Union Free School District, GO,
TAN, 1.50%, 06/29/04 10,037
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 3,500 Elmira Heights Central School District, GO,
RAN, 1.25%, 10/23/03 $ 3,502
2,700 Erie County Water Authority, Ser. A, Rev.,
FRDO, AMBAC, 0.73%, 09/02/03 2,700
1,400 Erie County Water Authority, Ser. B, Rev.,
FRDO, AMBAC, 0.73%, 09/02/03 1,400
7,500 Fabius-Pompey Central School District, GO,
BAN, 1.38%, 12/12/03 7,507
4,000 Farmingdale Union Free School District, GO,
BAN, 2.25%, 11/19/03 4,006
4,000 Fayetteville-Manlius Central School District,
TAN, GO, 1.75%, 06/18/04 4,024
5,355 Fonda-Fultonville Central School District, GO,
BAN, 1.90%, 04/09/04 5,377
2,820 Franklin County IDA, Trudeau Institute, Inc.
Project, Rev., FRDO, 0.80%, 09/05/03 2,820
5,000 Fulton City School District, GO, RAN,
1.25%, 06/25/04 5,010
1,600 Glen Cove, New York, GO, BAN, 2.50%,
12/04/03 1,603
530 Glens Falls IDA, IDR, Broad Street Center
Project, Rev., FRDO, 0.88%, 09/02/03 530
13,340 Gorham-Middlesex Central School District,
GO, BAN, 1.50%, 04/23/04 13,340
7,275 Gorham-Middlesex Central School District,
GO, BAN, 1.75%, 01/23/04 7,275
3,740 Great Neck North Water Authority, Water
System, Ser. A, Rev., FRDO, FGIC, 0.80%,
09/01/03 3,740
1,000 Guilderland IDA, IDR, Northeastern Industrial
Park, Ser. A, Rev., FRDO, 0.80%, 09/01/03 1,000
3,600 Hempstead Village, New York, GO, TAN,
2.00%, 12/11/03 3,605
2,000 Islip IDA, Brentwood Distribution Co. Facility,
Rev., FRDO, 0.85%, 09/03/03 2,000
1,900 Jefferson County IDA, Fisher Gauge LTD
Facilities, Rev., FRDO, 0.90%, 09/05/03 1,900
5,000 Levittown Union Free School District, GO,
BAN, 1.50%, 10/16/03 5,003
8,780 Long Island Power Authority, Electric Systems,
Floating Rate Receipts, Ser. SG-125, 0.86%,
09/03/03 8,780
7,710 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-1051, Rev., FRDO, FSA, 0.84%,
09/04/03 7,710
</Table>
See notes to financial statements.
26
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 4,375 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-368, Rev., FRDO, #, 0.93%,
09/02/03 $ 4,375
4,360 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-841, Rev., FRDO, FSA, 0.86%,
09/04/03 4,360
7,495 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PT-386, 0.84%, 09/04/03 7,495
462 Long Island Power Authority, Electric Systems,
Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA, 0.76%,
09/03/03 462
2,000 Long Island Power Authority, Electric Systems,
Ser. 7, Sub Ser. 7-B, Rev., FRDO, MBIA, 0.80%,
09/01/03 2,000
5,000 Long Island Power Authority, Electric Systems,
Ser. B, Rev., 3.00%, 06/01/04 5,074
300 Long Island Power Authority, Electric Systems,
Ser. D, Rev., FRDO, FSA, 0.80%, 09/04/03 300
700 Long Island Power Authority, Electric Systems,
Sub Ser. 3-B, Rev., FRDO, 0.80%, 09/01/03 700
20,000 Metroplitan Transport Authority, 0.85%,
09/04/03 20,000
15,000 Metropolitan Transportation Authority, 0.90%,
10/06/03 15,000
6,815 Metropolitan Transportation Authority,
Dedicated Tax Fund, FLOATS, Ser. PA-683,
0.86%, 09/07/03 6,815
3,300 Metropolitan Transportation Authority, EAGLE,
Ser. 2002-6021, Class A, Rev., FRDO, MBIA,
0.86%, 09/03/03 3,300
5,000 Metropolitan Transportation Authority, EAGLE,
Ser. 2002-6028, Class A, Rev., FRDO, MBIA,
0.86%, 09/04/03 5,000
5,990 Metropolitan Transportation Authority, FLOATS,
Ser. PT-1547, Rev., FRDO, FGIC, 0.86%, 09/04/03 5,990
7,020 Metropolitan Transportation Authority, Ser.
2003-6, Rev., FRDO, AMBAC, 0.96%, 09/04/03 7,020
10,000 Metropolitan Transportation Authority, Ser.
848-D, Rev., FRDO, FGIC, 0.88%, 09/04/03 10,000
13,775 Metropolitan Transportation Authority, Ser.
D-1, Rev., FRDO, FSA, 0.85%, 09/04/03 13,775
5,700 Metropolitan Transportation Authority, Ser.
D-2, Rev., FRDO, FSA, 0.85%, 09/04/03 5,700
4,200 Metropolitan Transportation Authority, Ser.
G-1, Rev., FRDO, AMBAC, 0.76%, 09/03/03 4,200
</Table>
See notes to financial statements.
27
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 9,995 Metropolitan Transportation Authority,
Service Contract, FLOATS, Ser. PA-1042R, Rev.,
FRDO, MBIA, 0.86%, 09/04/03 $ 9,995
5,405 Metropolitan Transportation Authority,
Service Contract, FLOATS, Ser. PA-1105, Rev.,
FRDO, 0.86%, 09/04/03 5,405
10,000 Municipal Securities Trust Certificates, Ser.
2001-116, Class A, Rev., FRDO, #, (i), 0.83%,
09/04/03 10,000
1,820 Nassau County Interim Finance Authority,
FLOATS, Ser. PA-901, Rev., FRDO, AMBAC,
0.86%, 09/05/03 1,820
7,500 Nassau County Interim Finance Authority,
Municipal Securities Trust Receipts, Special
Tax, Ser. SGA-108, FRDO, 0.85%, 09/02/03 7,500
4,695 New Rochelle, New York, GO, BAN,
2.00%, 04/09/04 4,720
5,500 New York City Housing Development Corp.,
Multi-Family Housing, 55 Pierrepont
Development, Ser. A, Rev., FRDO, 0.80%,
09/02/03 5,500
2,670 New York City Housing Development Corp.,
Multi-Family Housing, Columbus Apartments,
Ser. A, Rev., FRDO, 0.80%, 09/03/03 2,670
3,400 New York City Housing Development Corp.,
Multi-Family Rental Housing, 100 Jane Street
Development, Ser. A, Rev., FRDO, 0.82%,
09/05/03 3,400
3,300 New York City Housing Development Corp.,
Multi-Family Rental Housing, Columbus Green,
Ser. A, Rev., FRDO, 0.80%, 09/05/03 3,300
13,100 New York City Housing Development Corp.,
Multi-Family Rental Housing, Lyric Development,
Ser. A, Rev., FRDO, 0.82%, 09/04/03 13,100
300 New York City Housing Development Corp.,
Multi-Family Rental Housing, Tribeca Tower, Ser.
A, Rev., FRDO, 0.85%, 09/05/03 300
3,300 New York City Housing Development Corp.,
Multi-Family Rental Housing, West 43rd Street
Development, Ser. A, Rev., FRDO, 0.82%,
09/02/03 3,300
2,400 New York City Housing Development Corp.,
Multi-Family Rental Housing, West 89th Street
Development, Ser. A, Rev., FRDO, 0.85%,
09/04/03 2,400
</Table>
See notes to financial statements.
28
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 2,000 New York City IDA, Civic Facilities, Abraham
Joshua Heschel Project, Rev., FRDO, 0.90%,
09/04/03 $ 2,000
13,920 New York City IDA, Civic Facilities, Center
for Jewish History Project, Rev., FRDO, 0.79%,
09/01/03 13,920
5,150 New York City IDA, Civic Facilities, Columbia
Grammar & Prep School, Rev., FRDO, 0.85%,
09/04/03 5,150
1,600 New York City IDA, Civic Facilities, Hewitt
School Project, Rev., FRDO, 0.85%, 09/04/03 1,600
4,660 New York City IDA, Civic Facilities, Jamaica
First Packaging LLC Project, Rev., FRDO,
0.85%, 09/02/03 4,660
580 New York City IDA, Civic Facilities, Municipal
Securities Trust Receipts, Ser. SGA-110, Rev.,
FRDO, 0.83%, 09/04/03 580
2,800 New York City IDA, IDR, DXB Videotape, Inc.
Project, Rev., FRDO, 0.90%, 09/03/03 2,800
5,400 New York City IDA, Special Facilities, Korean
Airlines Co., Ser. C, Rev., FRDO, 0.78%,
09/03/03 5,400
30,100 New York City Metro Transit Authority,
1.10%, 09/08/03 30,101
8,000 New York City Municipal Water Finance
Authority, Water & Sewer System, Ser. F,
Sub Ser. F-1, Rev., FRDO, 0.79%, 09/02/03 8,000
15,960 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Floating
Trust Receipts, Ser. 11, Rev., FRDO, FSA,
0.85%, 09/04/03 15,960
2,900 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-1076, Rev., FRDO, 0.87%, 09/04/03 2,900
5,100 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-1085, Rev., FRDO, FGIC, 0.86%,
09/04/03 5,100
8,410 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-447, Rev., FRDO, FGIC, 0.84%, 09/04/03 8,410
6,495 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-900, Rev., FRDO, 0.87%, 09/05/03 6,495
</Table>
See notes to financial statements.
29
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 3,300 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Municipal
Securities Trust Receipts, Ser. SGA-12, Rev.,
FRDO, 0.83%, 09/05/03 $ 3,300
7,255 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Municipal
Securities Trust Receipts, Ser. SGA-13, Rev.,
FRDO, 0.83%, 09/05/03 7,255
2,390 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Municipal
Securities Trust Receipts, Ser. SGB-25, Rev.,
FRDO, MBIA, 0.86%, 09/02/03 2,390
9,000 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Municipal
Securities Trust Receipts, Ser. SGB-27, Rev.,
FRDO, FSA, 0.86%, 09/04/03 9,000
4,900 New York City Transit Authority, Metropolitan
Transportation Authority, Floating Rate Trust
Receipts, Triborough, COP, Ser. PMD-10, FRDO,
AMBAC, 0.88%, 09/01/03 4,900
20,000 New York City Transitional Finance Authority,
Floating Rate Receipts, Ser. L-21, Regulation D,
Rev., FRDO, 0.85%, 09/04/03 20,000
9,995 New York City Transitional Finance Authority,
FLOATS, Ser. PA-830, Rev., FRDO, 0.86%,
09/04/03 9,995
11,355 New York City Transitional Finance Authority,
FLOATS, Ser. PA-831, Rev., FRDO, 0.86%,
09/04/03 11,355
13,160 New York City Transitional Finance Authority,
FLOATS, Ser. PT-406, Rev., FRDO, 0.86%,
09/04/03 13,160
9,610 New York City Transitional Finance Authority,
Future Tax Secured, Ser. A, Rev., FRDO, 0.80%,
09/04/03 9,610
600 New York City Transitional Finance Authority,
Future Tax Secured, Ser. A-2, Rev., FRDO, 0.85%,
09/02/03 600
1,400 New York City Transitional Finance Authority,
Future Tax Secured, Ser. B, Rev., FRDO, 0.80%,
09/01/03 1,400
2,710 New York City Transitional Finance Authority,
Future Tax Secured, Sub Ser. B-3, Rev., FRDO,
0.80%, 09/01/03 2,710
400 New York City Transitional Finance Authority,
Future Tax Secured, Sub Ser. C-4, Rev., FRDO,
0.77%, 09/01/03 400
</Table>
See notes to financial statements.
30
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 300 New York City Transitional Finance Authority,
Future Tax Secured, Sub Ser. C-5, Rev., FRDO,
0.82%, 09/01/03 $ 300
8,385 New York City Transitional Finance Authority,
Merlots, Ser. A-40, Rev., FRDO, MBIA-IBC,
0.86%, 09/04/03 8,385
6,740 New York City Transitional Finance Authority,
Municipal Trust Certificates, Ser. ZTC-55,
Class A, Rev., FRDO, MBIA, 0.93%, 09/04/03 6,740
5,200 New York City Transitional Finance Authority,
New York City Recovery, Ser. 1, Sub Ser. 1-A,
Rev., FRDO, 0.80%, 09/04/03 5,200
2,900 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO,
0.79%, 09/02/03 2,900
2,200 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO,
0.79%, 09/02/03 2,200
800 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO,
0.82%, 09/01/03 800
10,000 New York City Transitional Finance Authority,
Rev., BAN, 2.50%, 11/06/03 10,015
2,025 New York City Transitional Finance Authority,
Ser. 2003-1, FRDO, FGIC, 0.96%, 09/04/03 2,025
11,600 New York City Transitional Finance Authority,
Sub Ser. 2-A, Rev., FRDO, 0.80%, 09/01/03 11,600
9,100 New York City Transitional Finance Authority,
Sub Ser. 2-E, Rev., FRDO, 0.79%, 09/02/03 9,100
3,985 New York City Trust for Cultural Resources,
American Museum of Natural History, Ser. B,
Rev., FRDO, MBIA, 0.73%, 09/03/03 3,985
2,588 New York City Trust for Cultural Resources,
Carnegie Hall, Rev., FRDO, 0.85%, 09/02/03 2,588
10,210 New York City Trust for Cultural Resources,
Floating Certificates, Ser. 162, Rev., FRDO,
AMBAC, 1.05%, 09/03/03 10,210
10,920 New York City, New York, FLOATS, Ser. PA-878,
1.00%, 09/02/03 10,920
8,465 New York City, New York, FLOATS, Ser. PT-1670,
GO, FRDO, AMBAC, 0.84%, 09/04/03 8,465
9,245 New York City, New York, FLOATS, Ser. PT-405,
0.86%, 09/02/03 9,245
9,720 New York City, New York, Merlots, Ser. A-36,
GO, FRDO, AMBAC, 0.86%, 09/03/03 9,720
</Table>
See notes to financial statements.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 1,300 New York City, New York, Municipal Securities
Trust Receipts, Ser. SG-109, 0.86%, 09/01/03 $ 1,300
1,000 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGA-51, FRDO, AMBAC,
0.83%, 09/02/03 1,000
115 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGB-33, GO, FRDO, FSA,
0.86%, 09/01/03 115
12,865 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC,
0.85%, 09/02/03 12,865
900 New York City, New York, Ser. B, GO, FRDO,
FGIC, 0.85%, 09/01/03 900
430 New York City, New York, Ser. B, Sub Ser. B-3,
GO, FRDO, MBIA, 0.85%, 09/01/03 430
700 New York City, New York, Ser. B, Sub Ser. B-6,
GO, FRDO, MBIA, 0.80%, 09/01/03 700
3,000 New York City, New York, Ser. F-2, GO, FRDO,
0.80%, 09/06/03 3,000
270 New York City, New York, Ser. H, Sub Ser. H-2,
GO, FRDO, MBIA, 0.80%, 09/01/03 270
2,800 New York City, New York, Ser. H, Sub Ser. H-2,
GO, FRDO, MBIA, 0.80%, 09/01/03 2,800
1,000 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 0.75%, 09/01/03 1,000
2,800 New York City, New York, Ser. H, Sub Ser. H-6,
GO, FRDO, MBIA, 0.74%, 09/02/03 2,800
2,400 New York City, New York, Ser. H, Sub Ser. H-6,
GO, FRDO, MBIA, 0.74%, 09/02/03 2,400
100 New York City, New York, Sub Ser. A-4, GO,
FRDO, 0.80%, 09/01/03 100
1,400 New York City, New York, Sub Ser. A-4, GO,
FRDO, 0.80%, 09/01/03 1,400
1,700 New York City, New York, Sub Ser. A-6, GO,
FRDO, FSA, 0.80%, 09/01/03 1,700
5,000 New York City, New York, Sub Ser. C-2, GO,
FRDO, 0.80%, 09/03/03 5,000
2,300 New York City, New York, Sub Ser. C-4, GO,
FRDO, 0.80%, 09/03/03 2,300
3,000 New York City, New York, Sub Ser. C-5, GO,
FRDO, 0.78%, 09/03/03 3,000
3,660 New York City, New York, Sub Ser. G-2, GO,
FRDO, 0.80%, 09/03/03 3,660
1,500 New York City, New York, Sub. Ser. E-4, GO,
FRDO, 0.85%, 09/01/03 1,500
</Table>
See notes to financial statements.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 10,420 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-100, Rev., FRDO,
MBIA-IBC, 0.84%, 09/04/03 $ 10,420
1,395 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-99, Rev., FRDO,
AMBAC, 0.84%, 09/03/03 1,395
12,100 New York Local Government Assistance Corp.,
Municipal Securities Trust Receipts, Ser.
SGA-59, Rev., FRDO, 0.85%, 09/01/03 12,100
20,000 New York Local Government Assistance Corp.,
Senior Lien, Ser. A-BV, Rev., FRDO, FGIC, 0.73%,
09/04/03 20,000
900 New York Local Government Assistance Corp.,
Ser. A, Rev., FRDO, 0.75%, 09/01/03 900
1,845 New York Local Government Assistance Corp.,
Ser. B, Rev., FRDO, 0.80%, 09/04/03 1,845
1,250 New York Local Government
Assistance Corp., Ser. C, Rev., FRDO, 0.80%,
09/02/03 1,250
4,700 New York Local Government Assistance Corp.,
Ser. D, Rev., FRDO, 0.75%, 09/02/03 4,700
2,800 New York Local Government Assistance Corp.,
Ser. G, Rev., FRDO, 0.73%, 09/02/03 2,800
3,245 New York Mortgage Agency, FLOATS, Ser.
PA-657, Rev., FRDO, 0.87%, 09/07/03 3,245
9,965 New York Mortgage Agency, FLOATS, Ser.
PA-77, 0.87%, 09/04/03 9,965
5,665 New York Mortgage Agency, FLOATS, Ser.
PA-870, Rev., FRDO, 0.87%, 09/04/03 5,665
3,770 New York Mortgage Agency, FLOATS, Ser.
PT-1190, Rev., FRDO, 0.87%, 09/06/03 3,770
3,860 New York State Dorm Authority, Beverwyck,
Inc., Rev., FRDO, 0.83%, 09/03/03 3,860
9,415 New York State Dorm Authority, FLOATS,
Ser. PA-409, Rev., FRDO, AMBAC, 0.84%,
09/01/03 9,415
2,670 New York State Dorm Authority, FLOATS,
Ser. PA-419, Rev., FRDO, 0.84%, 09/01/03 2,670
6,995 New York State Dorm Authority, FLOATS,
Ser. PA-434, Rev., FRDO, FSA, 0.84%,
09/04/03 6,995
3,545 New York State Dorm Authority, FLOATS,
Ser. PA-449, 0.84%, 09/05/03 3,545
9,340 New York State Dorm Authority, FLOATS,
Ser. PA-541, 0.84%, 09/07/03 9,340
</Table>
See notes to financial statements.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 905 New York State Dorm Authority, FLOATS,
Ser. PT-130, 0.84%, 09/07/03 $ 905
5,860 New York State Dorm Authority, FLOATS,
Ser. PT-1447, Rev., FRDO, MBIA, 0.84%, 09/04/03 5,860
4,200 New York State Dorm Authority, FLOATS,
Ser. PT-1621, Rev., FRDO, MBIA, 0.84%, 09/04/03 4,200
4,910 New York State Dorm Authority, FLOATS,
Ser. PT-1742, Rev., FRDO, MBIA, 0.84%,
09/04/03 4,910
5,995 New York State Dorm Authority, FLOATS, Ser. PT-801,
Rev., FRDO, MBIA-IBC, 1.00%, 09/04/03 5,995
30,000 New York State Dorm Authority, Mental
Health Services, Sub Ser. D-2E, Rev., FRDO,
0.85%, 09/02/03 30,000
2,000 New York State Dorm Authority, Municipal
Securities Trust Receipts, Ser. SGA-132, Rev.,
FRDO, 0.83%, 09/04/03 2,000
440 New York State Dorm Authority, New York
Public Library, Ser. A, Rev., FRDO, MBIA,
0.80%, 09/02/03 440
2,400 New York State Dorm Authority, Oxford University
Press, Inc., Rev., FRDO, 0.85%, 09/01/03 2,400
25,000 New York State Eagle Trust, FRDO, 0.86%,
09/04/03 25,000
9,345 New York State Energy Research &
Development Authority, FLOATS, Ser.
PA-411, 0.84%, 09/01/03 9,345
1,100 New York State Energy Research &
Development Authority, PCR, New York
Electric & Gas, Ser. B, Rev., FRDO, 0.85%, 09/01/03 1,100
6,400 New York State Energy Research & Development
Authority, PCR, Orange & Rockland Project,
Ser. A, Rev., FRDO, FGIC, 0.73%, 09/01/03 6,400
7,477 New York State Environmental Facilities
Corp., Clean Water & Drinking, FLOATS,
Ser. 731, Rev., FRDO, 0.85%, 09/04/03 7,477
10,625 New York State Environmental Facilities
Corp., PCR, FLOATS, Ser. PA-853, Rev.,
FRDO, 0.84%, 09/04/03 10,625
10,875 New York State Environmental Facilities Corp., Ser.
767, Rev., FRDO, FGIC, 0.85%, 09/04/03 10,875
3,900 New York State Housing Finance Agency,
10 Liberty Street, Rev., FRDO, 0.80%,
09/04/03 3,900
9,700 New York State Housing Finance Agency,
101 West End, Rev., FRDO, 0.78%,
09/04/03 9,700
</Table>
See notes to financial statements.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 9,150 New York State Housing Finance Agency,
101 West End, Rev., FRDO, 0.78%,
09/04/03 $ 9,150
3,400 New York State Housing Finance Agency,
150 East 44th Street Housing, Ser. A,
Rev., FRDO, 0.78%, 09/03/03 3,400
21,500 New York State Housing Finance Agency,
150 East 44th Street, Ser. A, Rev., FRDO,
0.78%, 09/04/03 21,500
10,300 New York State Housing Finance Agency,
Bennington Hills Housing, Ser. A, Rev.,
FRDO, 0.85%, 09/04/03 10,300
2,495 New York State Housing Finance Agency,
FLOATS, Ser. PA-143, Rev., FRDO,
0.93%, 09/06/03 2,495
8,640 New York State Housing Finance Agency,
FLOATS, Ser. PA-423, 0.84%, 09/07/03 8,640
5,950 New York State Housing Finance Agency,
FLOATS, Ser. PA-805, Rev., FRDO, FSA,
0.84%, 09/04/03 5,950
3,205 New York State Housing Finance Agency, FLOATS,
Ser. PA-927, Rev., FRDO, AMBAC, 0.87%, 09/04/03 3,205
3,600 New York State Housing Finance Agency,
Lakeview Homes, Ser. II-A, Rev., FRDO,
0.85%, 09/04/03 3,600
4,600 New York State Housing Finance Agency,
Multi-Family Housing, Secured Mortgage,
Ser. A, Rev., FRDO, 0.82%, 09/02/03 4,600
200 New York State Housing Finance
Agency, Multi-Family Housing, Ser. A,
Rev., FRDO, 0.85%, 09/03/03 200
3,500 New York State Housing Finance Agency,
Normandie Court I Project, Rev., FRDO,
0.75%, 09/05/03 3,500
10,000 New York State Housing Finance Agency,
Ser. A, Rev., FRDO, 0.78%, 09/04/03 10,000
9,200 New York State Housing Finance Agency,
Ser. A, Rev., FRDO, 0.85%, 09/03/03 9,200
9,500 New York State Housing Finance Agency,
Ser. I, Rev., FRDO, 0.82%, 09/03/03 9,500
10,000 New York State Housing Finance Agency,
Tallyrand Crescent, Rev., FRDO, 0.85%, 09/05/03 10,000
4,200 New York State Housing Finance Agency,
Union Square South Housing, Rev.,
FRDO, 0.85%, 09/04/03 4,200
8,400 New York State Medical Care Facilities
Finance Agency, FLOATS, Ser. PA-113,
Rev., FRDO, 0.84%, 09/04/03 8,400
</Table>
See notes to financial statements.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 5,920 New York State Medical Care Facilities
Finance Agency, FLOATS, Ser. PA-408,
Rev., FRDO, FGIC, 0.84%, 09/01/03 $ 5,920
5,625 New York State Medical Care Facilities
Finance Agency, FLOATS, Ser. PA-61,
FRDO, 0.87%, 09/04/03 5,625
3,125 New York State Medical Care Facilities
Finance Agency, FLOATS, Ser. PA-72, #,
0.87%, 09/01/03 3,125
8,140 New York State Medical Care Facilities
Finance Agency, FLOATS, Ser. PA-82,
0.87%, 09/04/03 8,140
3,350 New York State Medical Care Facilities
Finance Agency, FLOATS, Ser. PT-17,
0.84%, 09/01/03 3,350
13,100 New York State Thruway Authority,
Floating Rate Reciepts, Ser. SG-121,
Rev., FRDO, 0.87%, 09/04/03 13,100
44,705 New York State Thruway Authority,
Floating Rate Trust Receipts, Ser.
SG-119, Rev., FRDO, 0.80%, 09/01/03 44,706
8,250 New York State Thruway Authority,
General Highway & Bridge Trust Fund,
FLOATS, Ser. PT-1910, 0.84%, 09/04/03 8,250
9,995 New York State Thruway Authority,
General Highway & Bridge Trust Fund,
FLOATS, Ser. PT-777, Rev., FRDO,
MBIA, 0.84%, 09/04/03 9,995
1,385 New York State Thruway Authority,
Municipal Securities Trust Receipts,
Ser. SGA-66, Rev., FRDO, 0.83%, 09/05/03 1,385
1,300 New York State Thruway Authority,
Rev., FRDO, FGIC, 0.85%, 09/01/03 1,300
100 New York State Urban Development Corp.,
Floating Rate Trust Receipts, Ser. SG-163,
0.84%, 09/04/03 100
9,100 New York State Urban Development Corp.,
FLOATS, Ser. 768, Rev., FRDO, MBIA-IBC,
0.85%, 09/04/03 9,100
2,000 New York State, Housing Finance Agency,
Saxony Housing, 240 E. 39th St. Housing,
Rev., FRDO, 0.82%, 09/04/03 2,000
25,520 New York State, Ser. A, GO, FRDO, 1.50%,
02/07/04 25,522
12,260 Newburgh City School District, GO, RAN,
1.38%, 05/27/04 12,270
6,000 Newburgh City School District, GO, RAN,
1.50%, 06/24/04 6,021
</Table>
See notes to financial statements.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 13,531 Newfane Central School District, GO, BAN,
1.60%, 02/19/04 $ 13,554
4,995 Niagara Falls Bridge Commission, Tolls,
FLOATS, Ser. PA-530, 0.84%, 09/05/03 4,995
6,700 Niagara Falls City School District, GO, RAN,
2.50%, 10/10/03 6,703
6,820 Oneida County IDA, Champion Home, Rev.,
FRDO, 0.90%, 09/04/03 6,820
3,060 Oneida County IDA, Rev., FRDO, 1.05%, 09/05/03 3,060
8,800 Oneida Indian Nation, Rev., FRDO, 0.80%, 09/03/03 8,800
5,275 Onondaga County IDA, IDR, Albany
Molecular Research Project, Rev., FRDO,
0.85%, 09/03/03 5,275
3,675 Orangetown, New York, Ser. B, GO, BAN,
1.50%, 01/15/04 3,675
19,405 Oxford Academy & Central School District,
GO, BAN, 1.38%, 06/18/04 19,465
2,000 Oyster Bay, New York, Ser. A, GO, TAN,
1.75%, 01/23/04 2,003
2,000 Oyster Bay, New York, Ser. B, BAN, 1.38%,
06/11/04 2,005
2,000 Oyster Bay, New York, Ser. C, BAN, 1.38%, 06/11/04 2,005
10,000 Phelps-Clifton Springs Central School
District, GO, BAN, 1.63%, 04/30/04 10,029
7,575 Phelps-Clifton Springs Central School
District, GO, BAN, 2.13%, 12/19/03 7,590
12,000 Phelps-Clifton Springs Central School
District, GO, BAN, 2.50%, 10/30/03 12,013
25,000 Port Authority of New York & New Jersey,
CONS, Ser. VV, Rev., 1.15%, 12/15/03 25,003
3,555 Port Authority of New York & New Jersey,
Ser. 129, Rev., CONS, 1.40%, 11/01/03 3,555
1,115 Port Jervis IDA, The Future Home Tech, Inc.,
Rev., FRDO, 1.00%, 09/03/03 1,115
6,360 Poughkeepsie IDA, Senior Living Facility, Manor
at Woodside Project, Rev., FRDO, 0.95%, 09/03/03 6,360
10,000 Ravena Coeymans Selkirk Central School
District, BAN, GO, 1.50%, 06/18/04 10,039
14,000 Rochester, New York, Ser. I, GO, BAN,
2.00%, 03/04/04 14,059
10,000 Rochester, New York, Ser. II, GO, BAN,
2.25%, 10/23/03 10,006
600 Rockland County IDA, IDR, X Products Corp.
Project, Rev., FRDO, 0.95%, 09/02/03 600
1,750 Rockland County IDA, Shock Tech, Inc.
Project, Rev., FRDO, 1.05%, 09/03/03 1,750
5,000 Shenendehowa Central School District,
GO, RAN, 1.25%, 06/18/04 5,003
</Table>
See notes to financial statements.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 7,000 South Glens Falls Central School District,
RAN, 1.38%, 06/17/04 $ 7,016
2,000 Southeast IDA, IDR, Unilock New York,
Inc. Project, Rev., FRDO, 0.95%,
09/01/03 2,000
900 St. Lawrence County IDA, IDB, PCR,
Reynolds Metals, Rev., FRDO, 0.85%,
09/01/03 900
10,300 Steuben-Allegany Counties Board of
Cooperative Educational Services
Sole Supervisory District, GO, RAN,
1.25%, 06/30/04 10,323
3,605 Suffolk County IDA, Civic Facilities, Guide
Dog Foundation, Inc., Rev., FRDO, 0.85%,
09/04/03 3,605
5,000 Suffolk County Water Authority, Rev., BAN,
FRDO, 0.78%, 09/03/03 5,000
500 Suffolk County Water Authority, Rev., BAN,
FRDO, 0.78%, 09/03/03 500
10,000 Sullivan West Central School District, GO,
BAN, 1.63%, 04/16/04 10,027
19,630 The New York Power Authority, General
Purpose, GO, FRDO, 2.95%, 10/15/03 19,630
10,000 The New York State Power Authority,
General Purpose, GO, FRDO, 2.90%, 04/15/04 10,134
7,400 Tompkins-Seneca-Tioga Board of
Cooperative Educational Services,
GO, RAN, 1.75%, 06/30/04 7,439
2,500 Triborough Bridge & Tunnel Authority,
EAGLE Ser. 2003-2004, Class A, Rev.,
FRDO, FGIC, 0.86%, 09/04/03 2,500
7,675 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-1080, Rev., FRDO,
0.87%, 09/04/03 7,675
5,765 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-1090, Rev., FRDO,
MBIA, 0.84%, 09/04/03 5,765
3,995 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-200, Rev., FRDO, (p),
0.87%, 09/04/03 3,995
4,995 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-665, 0.87%, 09/06/03 4,995
18,025 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PT-427, Rev., FRDO,
0.87%, 09/04/03 18,025
100 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. B, Rev., FRDO,
AMBAC, 0.78%, 09/02/03 100
</Table>
See notes to financial statements.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 3,400 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. C, Rev., FRDO,
AMBAC, 0.78%, 09/02/03 $ 3,400
10,000 Triborough Bridge & Tunnel Authority,
Ser. 839, Rev., FRDO, MBIA, 0.86%, 09/04/03 10,000
6,800 Triborough Bridge & Tunnel Authority,
Special Obligation, Ser. B, Rev., FRDO,
FSA, 0.80%, 09/01/03 6,800
100 Triborough Bridge & Tunnel Authority,
Special Obligation, Ser. D, Rev., FRDO,
FSA, 0.78%, 09/07/03 100
19,350 Watkins Glen Central School District,
Ser. B, GO, BAN, 1.38%, 06/17/04 19,371
4,685 Westchester County IDA, Civic
Facilities, Community Housing Innovations,
Inc., Rev., FRDO, 0.85%, 09/04/03 4,685
3,835 Westchester County IDA, Civic Facilities,
Northern Westchester Hospital, Rev.,
FRDO, 0.85%, 09/03/03 3,835
2,725 Westchester County IDA, Civic
Facilties, The Masters School, Rev.,
FRDO, 0.85%, 09/05/03 2,725
9,300 Westchester County IDA, IDR, Levister
Redevelopment Co., LLC, Ser. A, Rev.,
FRDO, 0.85%, 09/02/03 9,300
------------
1,790,740
PUERTO RICO -- 2.0%
10,045 Municipal Securities Trust Certificates, Ser. 7005,
Class A, Special Obligation, FRDO, 0.78%, 09/03/03 10,045
6,000 Puerto Rico Commonwealth, Floating
Rate Trust Receipts, Ser. M-4J, GO,
FRDO, FSA, 0.85%, 09/02/03 6,000
360 Puerto Rico Commonwealth, FLOATS,
Ser. PA-625, GO, FRDO, AMBAC, 0.81%, 09/04/03 360
400 Puerto Rico Commonwealth, Trust
Receipts, Ser. 3, Class F, GO, FRDO,
MBIA, 0.83%, 09/04/03 400
18,000 Puerto Rico Highway & Transportation
Authority, FLOATS, Ser. 815-D, Rev.,
FRDO, MBIA, 0.86%, 09/04/03 18,000
895 Puerto Rico Highway & Transportation
Authority, Ser. II-R-66, Rev., FRDO,
MBIA-IBC, 0.86%, 09/03/03 895
------------
35,700
- ---------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 1,826,440
(Cost $1,826,440)*
- ---------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
39
<Page>
JPMORGAN TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ---------------------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 100.0%
ALABAMA -- 1.1%
$ 10,900 ABN-AMRO Munitops Certificate Trust, Ser.
2002-21, Rev., FRDO, MBIA, #, 1.65%, 09/03/03 $ 10,900
22,400 Alabama Special Care Facilities Financing
Authority, Ascension Health Credit,
Ser. B, Rev., FRDO, 0.82%, 09/01/03 22,400
900 Alabama Special Care Facilities Financing
Authority, Montgomery Hospital, Rev.,
FRDO, FGIC, 0.73%, 09/02/03 900
5,000 Birmingham Airport Authority, Municipal
Securities Trust Receipts, Ser. SGA-47, Rev.,
FRDO, MBIA, #, 0.90%, 09/05/03 5,000
7,035 Birmingham Waterworks & Sewer Board,
Water & Sewer, FLOATS, Ser. 781, Rev.,
FRDO, MBIA, 0.89%, 09/04/03 7,035
10,000 DCH Health Care Authority, Alabama
Healthcare Facilities, Rev., FRDO,
0.85%, 09/04/03 10,000
3,000 Infirmary Health System Special Care Facilities
Financing Authority, Ser. A, Rev., FRDO,
0.85%, 09/02/03 3,000
5,735 Jefferson County, Sewer, EAGLE, Ser.
2002-6016, Class A, Rev., FRDO, FGIC,
0.90%, 09/04/03 5,735
2,100 Mobile County, IDA, PCR, ExxonMobil Project,
Rev., FRDO, 0.80%, 09/01/03 2,100
9,000 Montgomery BMC Special Care Facilities
Financing Authority, Hospital, VHA Alabama,
Inc., Ser. F, Rev., FRDO, AMBAC, 0.85%,
09/01/03 9,000
4,000 Selma IDB, IDR, Specialty Minerals Project,
Rev., FRDO, 0.95%, 09/05/03 4,000
4,800 St. Clair County IDB, IDR, National Cement
Co., Inc. Project II, Rev., FRDO, 1.80%, 09/05/03 4,800
6,035 Tuscaloosa County Board of Education,
TAW, FRDO, 0.86%, 09/04/03 6,035
33,000 University of Alabama, Hospital, Ser. B, Rev.,
FRDO, AMBAC, 0.78%, 09/03/03 33,000
------------
123,905
ALASKA -- 1.3%
3,400 Alaska Housing Finance Corp., Floating Rate
Trust Receipts, Ser. L-20, Regulation D, Rev.,
FRDO, 0.90%, 09/05/03 3,400
2,850 Alaska Housing Finance Corp., Floating Rate
Trust Receipts, Ser. L-25, Regulation D, Rev.,
FRDO, MBIA, 0.90%, 09/02/03 2,850
255 Alaska Housing Finance Corp., FLOATS, Ser.
PT-464, Rev., FRDO, 0.88%, 09/04/03 255
</Table>
See notes to financial statements.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
ALASKA -- CONTINUED
$ 25,620 Alaska Housing Finance Corp., Government
Purpose, Ser. A, Rev., FRDO, MBIA,
0.85%, 09/04/03 $ 25,620
9,700 Alaska Housing Finance Corp., Government
Purpose, Ser. B, Rev., FRDO, MBIA, 0.84%, 09/04/03 9,700
10,000 Alaska Housing Finance Corp., State Capital Project,
Ser. C, Rev., FRDO, MBIA, 0.82%, 09/04/03 10,000
13,800 North Slope Boro, Alaska, Exempt Facilities,
BP Exploration Alaska Project, Rev., FRDO,
0.90%, 09/01/03 13,800
21,000 Valdez, Alaska, Marine Terminal, Exxon Pipeline
Co. Project, Ser. A, Rev., FRDO, 0.80%, 09/01/03 21,000
20,000 Valdez, Alaska, Marine Terminal, Exxon Pipeline
Co. Project, Ser. B, Rev., FRDO, 0.80%, 09/01/03 20,000
26,925 Valdez, Alaska, Marine Terminal, Exxon Pipeline
Co. Project, Ser. C, Rev., FRDO, 0.80%, 09/01/03 26,925
13,980 Valdez, Alaska, Marine Terminal, ExxonMobil
Project, Rev., FRDO, 0.80%, 09/01/03 13,980
------------
147,530
ARIZONA -- 0.6%
7,700 Apache County IDA, IDR, Tucson Electrical Power,
Springerville, Rev., FRDO, 0.90%, 09/01/03 7,700
4,200 Apache County IDA, IDR, Tucson Electric Power,
Floating Rate Trust Receipts, Ser. 83-A, Rev., FRDO,
0.85%, 09/04/03 4,200
7,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Salt River Project, FRDO, 0.90%, 09/04/03 7,000
3,840 Maricopa County Public Finance Corp., Floating
Rate Certificates, Ser. 511, Rev., FRDO, AMBAC,
0.89%, 09/04/03 3,840
5,730 Phoenix, Arizona, FLOATS, Ser. PA-862, GO, FRDO,
1.10%, 09/04/03 5,730
723 Salt River Project Agricultural Improvement
& Power District, Electric Systems, Floating Rate
Certificates, Ser. 274, Rev., FRDO, 0.89%, 09/04/03 723
25,000 Salt River Project Agricultural Improvement
& Power District, Electric Systems, Floating Rate
Receipts, Ser. SG-160, Rev., FRDO, 0.88%, 09/04/03 25,000
16,600 University of Arizona, Main Campus & Research,
Ser. A, COP, Rev., FRDO, AMBAC, 0.85%, 09/05/03 16,600
------------
70,793
ARKANSAS -- 0.1%
5,500 Columbia County, Solid Waste Disposal, Albemarle
Corp. Project, Rev., FRDO, 1.00%, 09/04/03 5,500
6,300 Little Rock Metrocentre Improvement
District No. 1, Little Rock Newspapers, Inc., Rev.,
FRDO, 0.85%, 09/01/03 6,300
------------
11,800
</Table>
See notes to financial statements.
41
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- 8.3%
$ 3,995 ABN AMRO Munitops Certificate Trust, Ser.
2003-11, GO, FRDO, FSA, 1.20%, 06/01/04 $ 3,995
300 California Economic Development Financing
Authority, IDR, Standard Abrasives Manufacturing
Project, Rev., FRDO, 0.85%, 09/03/03 300
200 California Economic Development Financing
Authority, IDR, Volk Enterprises, Inc. Project,
Rev., FRDO, 0.90%, 09/04/03 200
19,000 California Higher Education Loan Authority,
Ser. A, Rev., FRDO, 1.05%, 06/01/04 19,000
22,500 California Higher Education Loan Authority,
Ser. C, Rev., FRDO, 1.05%, 06/01/04 22,500
580 California Housing Finance Agency, FLOATS, Ser.
PA-539R, Rev., FRDO, 0.86%, 09/01/03 580
14,995 California Housing Finance Agency, FLOATS, Ser.
PT-843, Rev., FRDO, 0.97%, 09/04/03 14,995
29,635 California Housing Finance Agency, Home
Mortgage, Ser. U, Rev., FRDO, FSA, 0.76%,
09/01/03 29,635
23,000 California Housing Finance Agency, Private
Home Mortgage, Ser. X-2, Rev., FRDO, FSA,
0.81%, 09/03/03 23,000
1,100 California PCFA, PCR, ExxonMobil Project, Rev.,
FRDO, 0.70%, 09/01/03 1,100
7,600 California State Department of Water Resources,
Power Supply, Ser. B-2, Rev., FRDO,
0.85%, 09/01/03 7,600
18,700 California State Department of Water Resources,
Power Supply, Ser. B-4, Rev., FRDO,
0.80%, 09/01/03 18,700
3,500 California State Department of Water Resources,
Power Supply, Ser. C-12, Rev., FRDO, 0.85%,
09/03/03 3,500
4,995 California State Public Works Board, FLOATS, Ser.
PA-865, Rev., FRDO, AMBAC, 0.86%, 09/04/03 4,995
2,000 California State, Floating Rate, Ser. C-2, GO, FRDO,
0.85%, 09/02/03 2,000
563,000 California State, Ser. A, RAN, 2.00%, 06/16/04 566,787
9,400 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. A, Rev., FRDO,
0.91%, 09/03/03 9,400
18,800 Charter Mac Floater Certificate Trust I, Ser. CAL-1,
MBIA, 1.00%, 09/04/03 18,800
8,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2,
Rev., FRDO, MBIA, 1.00%, 09/04/03 8,000
2,300 Colton Redevelopment Agency, Multi-Family
Housing, 1985 Issue A, Rev., FRDO, 0.75%, 09/04/03 2,300
1,100 East Bay Municipal Utility District, Water Systems,
Sub Ser. B, Rev., FRDO, FSA, 0.80%, 09/03/03 1,100
</Table>
See notes to financial statements.
42
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- CONTINUED
$ 1,725 Glendale, California, Hospital, FLOATS, Ser. 590,
Rev., FRDO, MBIA, 0.88%, 09/04/03 $ 1,725
300 Irvine Ranch Water District, CONS, Rev., FRDO,
0.75%, 09/01/03 300
500 Irvine Ranch Water District, Improvement
District No. 182, Ser. A, GO, FRDO, 0.85%, 09/01/03 500
600 Irvine Ranch Water District, Improvement District
No. 282, Ser. A, GO, FRDO, 0.85%, 09/01/03 600
700 Irvine Ranch Water District, No. 102, 103, 105
& 106, GO, FRDO, 0.71%, 09/01/03 700
2,300 Irvine Unified School District, Special Tax, Community
Facilities District No. 01-1, FRDO, 0.75%, 09/01/03 2,300
600 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 97-16, Rev., FRDO, 0.75%,
09/01/03 600
6,500 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 97-17, Special Assessment,
FRDO, 0.75%, 09/01/03 6,500
100 Lodi, California, Electric Systems, COP, Ser. A, FRDO,
MBIA, 0.74%, 09/03/03 100
1,300 Los Angeles Community Redevelopment Agency,
Multi-Family Housing, Security Building Project,
Ser. A, Rev., FRDO, 0.90%, 09/01/03 1,300
20,000 Los Angeles County, Ser. A, GO, TRAN, 2.00%,
06/30/04 20,180
900 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-4, Rev., FRDO, 0.80%,
09/04/03 900
12,205 Los Angeles Unified School District, Floating Rate
Receipts, Ser. SG-162, GO, FRDO, MBIA,
0.86%,09/04/03 12,205
4,995 Los Angeles Unified School District, FLOATS, Ser.
PA-1115, GO, FRDO, FSA, 0.86%, 09/04/03 4,995
3,540 Los Angeles, California, Multi-Family Housing, Rev.,
FRDO, 0.84%, 09/02/03 3,540
4,000 Manteca Financing Authority, Municipal Securities
Trust Receipts, Ser. SGA-147, Rev., FRDO, MBIA,
0.83%, 09/04/03 4,000
1,400 Metropolitan Water District of Southern California,
Ser. B-2, Rev., FRDO, 0.80%, 09/04/03 1,400
400 Metropolitan Water District of Southern California,
Waterworks, Ser. B-2, Rev., FRDO, 0.80%, 09/03/03 400
5,600 Morgan Hill Unified School District, Floating Rate
Receipts, Ser. SG-145, GO, FRDO, FGIC,
0.86%,09/02/03 5,600
7,700 Municipal Securities Trust Certificates, Ser. 2001-135,
Class A, GO, FRDO, FGIC, #, 0.85%, 09/01/03 7,700
7,970 Municipal Securities Trust Certificates, Ser. 2001-136,
Class A, Rev., FRDO, FGIC, #, 0.85%, 09/01/03 7,970
</Table>
See notes to financial statements.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
CALIFORNIA -- CONTINUED
$ 1,000 Orange County Sanitation District, COP, Ser. B,
FRDO, 0.75%, 09/01/03 $ 1,000
3,900 Orange County, Apartment Development Corp.,
Bear Brand Apartments Project, Ser. Z, Rev.,
FRDO, 0.74%, 09/02/03 3,900
1,700 Orange County, Apartment Development Corp.,
Wood Canyon Villas, Issue E, Rev., FRDO,
0.85%, 09/02/03 1,700
7,400 Riverside County Asset Leasing Corp., Southwest
Justice Center, Ser. B, Rev., FRDO, MBIA, 0.75%,
09/03/03 7,400
600 San Diego Housing Authority, Multi-Family Housing,
Nobel Courts, Ser. L, Rev., FRDO, 0.80%, 09/04/03 600
13,300 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SGA-50, FRDO, MBIA, 0.86%, 09/02/03 13,300
28,265 San Jose Unified School District/Santa Clara County,
GO, TRAN, 2.50%, 10/29/03 28,304
1,800 San Jose, California, Multi-Family Housing, Villa
Monterey Apartments, Ser. F, Rev., FRDO, 0.80%,
09/04/03 1,800
500 San Leandro, California, Multi-Family Housing,
Parkside, Rev., FRDO, 0.80%, 09/04/03 500
29,000 Santa Clara Valley Transportation Authority, Rev.,
BAN, GAN, 3.00%, 12/04/03 29,125
2,600 Southern California Public Power Authority,
Southern Transmission Project, Rev., FRDO,
AMBAC, 0.74%, 09/03/03 2,600
10,000 West Contra Costa Unified School District, GO, TRAN,
2.50%, 11/06/03 10,014
6,010 Yuba County, GO, TRAN, 2.50%, 10/15/03 6,016
------------
948,261
COLORADO -- 1.3%
10,420 Adams & Arapahoe Joint School District, School
District No. 28-J, Ser. II-R-157, GO, FRDO, 0.90%,
09/04/03 10,420
1,000 Arapahoe County, Capital Improvement Trust,
Federal Highway, FLOATS, Ser. PT-437, Rev.,
FRDO, (p), 0.91%, 09/04/03 1,000
7,100 Arapahoe County, Multi-Family Housing, Highline
Oaks Apartments, Rev., FRDO, 0.80%, 09/04/03 7,100
2,850 Arvada, Colorado, Rev., FRDO, FSA, 1.10%, 09/01/03 2,850
15,000 Boulder Valley School District No. Re-2, Ser. A, GO,
TAN, 1.75%, 06/30/04 15,095
5,000 Boulder Valley School District No. Re-2, Ser. A, GO,
TAN, 2.00%, 06/30/04 5,042
9,950 Broomfield, Colorado, FLOATS, COP, Ser. PT-1643,
FRDO, AMBAC, 0.88%, 09/04/03 9,950
</Table>
See notes to financial statements.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
COLORADO -- CONTINUED
$ 1,600 Colorado Housing & Finance Authority,
Multi-Family Housing, Diamond Project, Rev.,
FRDO, 0.86%,09/02/03 $ 1,600
3,150 Colorado Springs, Colorado, The Colorado
College, Rev., FRDO, 0.90%, 09/03/03 3,150
2,500 Colorado Student Obligation Bond Authority,
Student Loans, Senior Lien, Ser. A-3, Rev., FRDO,
AMBAC, 0.89%, 09/03/03 2,500
31,155 Denver City & County, Airport, Floating Rate
Certificates, Ser. 153, Rev., FRDO, MBIA, 1.20%,
09/04/03 31,155
5,000 Denver City & County, Airport, Floating Rate
Certificates, Ser. N-12, Regulation D, Rev., FRDO,
FGIC, 0.95%, 09/02/03 5,000
10,995 Denver City & County, Airport, Ser. II-R-147, Rev.,
FRDO, FGIC, 1.25%, 09/04/03 10,995
4,985 Denver City & County, Airport, Ser. ROC-II-R-98,
Rev., FRDO, FSA, 1.00%, 09/04/03 4,985
5,000 Denver City & County, Wellington E. Web Project,
COP, Ser. C-3, FRDO, AMBAC, 0.85%, 09/04/03 5,000
10,000 Douglas County, Multi-Family Housing, Autumn
Chase Project, Rev., FRDO, 0.85%, 09/01/03 10,000
3,620 Lower Colorado River Authority, FLOATS,
Ser. PT-1523, Rev., FRDO, MBIA, 0.88%, 09/04/03 3,620
5,000 Regional Transportation District, Transit Vehicles
Project, COP, Ser. A, FRDO, AMBAC, 0.82%, 09/04/03 5,000
4,610 Smith Creek Metropolitan District, Rev., FRDO,
0.85%, 09/07/03 4,610
7,060 Thornton, Colorado, Ser. RR-II-R-1052, COP, FRDO,
AMBAC, 0.90%, 09/01/03 7,060
------------
146,132
CONNECTICUT -- 0.2%
2,765 Connecticut State Housing Finance Authority,
Housing Mortgage Finance Program, Sub Ser. D-3,
Rev., FRDO, AMBAC, 0.80%, 09/05/03 2,765
5,495 Connecticut State, FLOATS, Ser. PA-1056, GO, FRDO,
FSA, 0.81%, 09/04/03 5,495
15,130 West Haven, Connecticut, GO, BAN, 2.00%, 01/29/04 15,185
------------
23,445
DELAWARE -- 0.2%
7,000 Delaware River & Bay Authority, Ser. B, Rev., FRDO,
AMBAC, 0.78%, 09/04/03 7,000
16,500 Delaware State Economic Development Authority,
Hospital Billing, Ser. B, Rev., FRDO, AMBAC,
0.85%, 09/03/03 16,500
------------
23,500
</Table>
See notes to financial statements.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA -- 2.4%
$ 625 District of Columbia Housing Finance Agency,
Floating Rate Receipts, Ser. L-1, Regulation D,
Rev., FRDO, 0.90%, 09/04/03 $ 625
11,220 District of Columbia Housing Finance Agency,
FLOATS, Ser. PT-1380, Rev., FRDO,
0.88%, 09/04/03 11,220
8,195 District of Columbia Housing Finance Agency,
FLOATS, Ser. PT-1381, Rev., FRDO, 0.88%, 09/04/03 8,195
3,165 District of Columbia Housing Finance Agency,
Multi-Family Housing, Trenton Park Apartments
Project, Rev., FRDO, 1.05%, 09/05/03 3,165
5,970 District of Columbia Water & Sewer Authority,
Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO,
FSA, 0.88%, 09/04/03 5,970
2,800 District of Columbia, American Psychology
Association, Rev., FRDO, 0.90%, 09/04/03 2,800
29,605 District of Columbia, American University Issue,
Rev., FRDO, AMBAC, 0.85%, 09/03/03 29,605
17,600 District of Columbia, American University, Rev.,
FRDO, 0.85%, 09/03/03 17,600
12,000 District of Columbia, American University, Ser. A,
Rev., FRDO, AMBAC, 0.85%, 09/04/03 12,000
7,500 District of Columbia, Enterprise Zone,
House on F Street Project, Rev., FRDO,
0.95%, 09/03/03 7,500
6,100 District of Columbia, FLOATS, Ser. PT-806, GO,
FRDO, FSA, 1.10%, 09/04/03 6,100
21,335 District of Columbia, George Washington
University, Ser. C, Rev., FRDO, MBIA,
0.85%, 09/03/03 21,335
2,340 District of Columbia, National Children's Center,
Inc., Rev., FRDO, 0.85%, 09/07/03 2,340
4,200 District of Columbia, National Geographic Society,
Rev., FRDO, 0.85%, 09/04/03 4,200
13,210 District of Columbia, Pooled Loan Program, Ser.
A, Rev., FRDO, 0.85%, 09/02/03 13,210
26,880 District of Columbia, Ser. A, GO, FRDO, FSA,
0.85%, 09/04/03 26,880
30,495 District of Columbia, Ser. B, GO, FRDO, FSA,
0.85%, 09/04/03 30,495
29,300 District of Columbia, Ser. C, GO, FRDO, FGIC,
0.85%, 09/04/03 29,300
10,000 District of Columbia, Ser. D, GO, FRDO, FGIC,
0.85%, 09/04/03 10,000
7,690 District of Columbia, Smithsonian Museum,
Ser. B, Rev., FRDO, 0.80%, 09/04/03 7,690
</Table>
See notes to financial statements.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA -- CONTINUED
$ 14,500 Eagle Tax Exempt Trust, Weekly Option Mode,
District of Columbia, Water & Sewer, Ser. 3, Class 7,
Rev., #, FRDO, 0.90%, 09/03/03 $ 14,500
6,155 Eagle Tax Exempt Trust, Weekly Option Mode,
District of Columbia, Water & Sewer, Ser.
98-5202, #, FRDO, 0.90%, 09/04/03 6,155
------------
270,885
FLORIDA -- 3.2%
9,345 ABN AMRO Munitops Certificate Trust, Ser. 2003-6,
Rev., FRDO, MBIA, 1.18%, 11/23/03 9,345
27,075 Alachua County Health Facilities Authority, FLOATS,
Ser. PT-834, Rev., FRDO, MBIA, 0.88%, 09/04/03 27,075
5,000 Broward County, Professional Sports Facility,
Municipal Securities Trust Receipts, Ser. SGA-38,
Rev., FRDO, MBIA, 0.90%, 09/01/03 5,000
1,150 Collier County, Health Facilities Authority, The
Moorings, Inc. Project, Rev., FRDO, 0.82%, 09/03/03 1,150
2,545 Dade County Housing Finance Authority,
Multi-Family Housing, Kendall Court Apartments,
Ser. 4, Rev., FRDO, 0.90%, 09/06/03 2,545
4,275 Escambia County Housing Finance Authority,
Single Family Mortgage, FLOATS, Ser. PT-1228,
Rev., FRDO, MBIA, 0.93%, 09/04/03 4,275
5,275 Florida Housing Finance Agency, Multi-Family
Housing, Banyon Bay Partners, Ser. L, Rev., FRDO,
0.85%, 09/02/03 5,275
5,135 Florida Housing Finance Agency, Multi-Family
Housing, Ser. AA, Rev., FRDO, 0.80%, 09/05/03 5,135
6,350 Florida Housing Finance Agency, Multi-Family
Housing, Ser. FF, Rev., FRDO, 0.80%, 09/03/03 6,350
7,340 Florida Housing Finance Corp., Multi-Family
Housing, Island Club Project, Ser. A, Rev., FRDO,
0.85%, 09/02/03 7,340
20,400 Florida Municipal Power Authority, 0.83%, 09/04/03 20,400
7,000 Florida State Board of Education, Capital Outlay,
FLOATS, Ser. PT-1223, GO, FRDO, 0.88%, 09/04/03 7,000
16,800 Florida State Board of Public Education, Public
Education, Municipal Securities Trust Receipts,
Ser. SGA-102, GO, FRDO, 0.90%, 09/01/03 16,800
11,000 Florida State Department of Environmental
Protection, Preservation, FLOATS, Ser. 722,
Rev., FRDO, FGIC, 0.89%, 09/04/03 11,000
5,370 Florida State Division of Bond Finance, General
Services, FLOATS, Ser. PA-967, FRDO, 0.88%, 09/04/03 5,370
5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO,
0.88%, 09/04/03 5,295
15,000 Fort Lauderdale, Florida, Pine Crest Prep School
Project, Rev., FRDO, FSA, 0.85%, 09/02/03 15,000
</Table>
See notes to financial statements.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
FLORIDA -- CONTINUED
$ 1,840 Greater Orlando Aviation Authority, Airport
Facilities, FLOATS, Ser. PT-1904, Rev., FRDO, FSA,
0.90%, 09/04/03 $ 1,840
25,000 Greater Orlando Aviation Authority, Airport
Facilities, Ser. E, Rev., FRDO, FSA, 0.90%, 09/04/03 25,000
4,790 Gulf Breeze, Florida, Local Government Loan
Program, Floating Rate Receipts, Ser. B, Rev.,
FRDO, FGIC, 0.85%, 09/07/03 4,790
11,705 Jacksonville Electric Authority, Municipal
Securities Trust Receipts, Ser. SGA-17, Rev., FRDO,
0.90%, 09/07/03 11,705
9,055 Jacksonville Electric Authority, Ser. II-R-119, Special
Obligation, FRDO, 0.90%, 09/04/03 9,055
4,995 Jacksonville Electric Authority, Ser. II-R-120, Rev.,
FRDO, 0.90%, 09/04/03 4,995
1,000 Jacksonville Health Facilities Authority, River
Garden Project, Rev., FRDO, 0.85%, 09/07/03 1,000
6,000 Lakeland, Florida, Energy Systems, Rev., FRDO,
0.82%, 09/03/03 6,000
6,925 Lee County, Water & Sewer, Ser. RR-II-R-4021, Rev.,
FRDO, MBIA, 0.90%, 09/01/03 6,925
2,790 Miami Health Facilities Authority, Mercy Hospital
Project, Rev., FRDO, 0.82%, 09/04/03 2,790
14,250 Miami-Dade County School Board, Floating Rate
Trust Receipts, COP, Ser. L-4J, FRDO, MBIA, 1.10%,
09/30/03 14,250
6,000 Miami-Dade County, Miami Aviation, Floating Rate
Receipts, Ser. SG-141, Rev., FRDO, FGIC, 0.88%,
09/07/03 6,000
18,110 Nassau County, PCR, Private Activity, Rayonier, Rev.,
FRDO, 0.85%, 09/04/03 18,110
1,215 Orange County Housing Finance Authority, Floating
Rate Trust Receipts, Ser. N-6, Regulation D, Rev.,
FRDO, 0.90%, 09/04/03 1,215
1,845 Orange County Housing Finance Authority, FLOATS,
Ser. PT-558, Rev., FRDO, 0.91%, 09/04/03 1,845
4,900 Orange County Housing Finance Authority,
Multi-Family Housing, Regal Pointe Apartments,
Ser. A, Rev., FRDO, 0.85%, 09/02/03 4,900
2,450 Orange County School Board, COP, Ser. B, FRDO,
MBIA, 0.80%, 09/01/03 2,450
1,800 Orlando & Orange County Expressway Authority,
Ser. C-2, Rev., FRDO, FSA, 0.85%, 09/02/03 1,800
10,000 Orlando & Orange County Expressway Authority,
Ser. D, Rev., FRDO, FSA, 0.85%, 09/02/03 10,000
15,000 Orlando Utilities Commission, Water & Electric,
Ser. A, Rev., FRDO, 0.80%, 09/04/03 15,000
</Table>
See notes to financial statements.
48
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
FLORIDA -- CONTINUED
$ 49,400 Palm Beach County School Board, COP, Ser. B, FRDO,
FSA, 0.79%, 09/03/03 $ 49,400
3,000 St. Johns County IDA, Healthcare, Glenmoor
St. Johns Project, Ser. C, Rev., FRDO, 0.82%, 09/04/03 3,000
7,000 Tampa, Florida, Occupational License Tax, Ser. B,
Rev., FRDO, FGIC, 0.77%, 09/03/03 7,000
4,100 University of North Florida Foundation, Inc.,
Parking System, Rev., FRDO, 0.90%, 09/05/03 4,100
3,600 West Orange Healthcare District, Ser. B,
Rev., FRDO, 0.85%, 09/05/03 3,600
------------
371,125
GEORGIA -- 4.0%
16,610 ABN AMRO Munitops Certificate Trust,
Ser. 2000-4, Rev., FRDO, FGIC, #, 1.10%, 08/06/04 16,610
6,035 Atlanta Urban Residential Finance Authority,
Multi-Family Housing, The Park at Lakewood,
Rev., FRDO, 0.95%, 09/01/03 6,035
4,385 Atlanta, Georgia, Airport, FLOATS, Ser. PT-737,
Rev., FRDO, FGIC, 0.95%, 09/04/03 4,385
30,000 Atlanta, Georgia, Airport, Rev., BAN,
2.25%, 10/30/03 30,000
7,500 Atlanta, Georgia, Airport, Ser. B-3, Rev., FRDO,
MBIA, 0.82%, 09/04/03 7,500
20,000 Atlanta, Georgia, Airport, Ser. C-1, Rev., FRDO,
MBIA, 0.85%, 09/04/03 20,000
6,000 Atlanta, Georgia, Water & Wastewater, Municipal
Securities Trust Receipts, Ser. SGA-145, Rev., FRDO,
MBIA, 0.90%, 09/04/03 6,000
15,205 Atlanta, Georgia, Water & Wastewater, Municipal
Securities Trust Receipts, Ser. ZTC-4, Class A,
FRDO, 1.03%, 09/03/03 15,205
9,000 Augusta, Georgia, Water & Sewer, Municipal
Securities Trust Receipts, Ser. SGS-140, Rev., FRDO,
FSA, 0.90%, 09/04/03 9,000
5,995 Bibb County, FLOATS, Ser. PT-1842, GO, FRDO,
0.88%, 09/04/03 5,995
7,160 Clayton County Housing Authority, Multi-Family
Housing, Chateau Forest Apartments, Ser. E, Rev.,
FRDO, FSA, 0.84%, 09/03/03 7,160
11,200 Cobb County Housing Authority, Multi-Family
Housing, Terrell Mill I Project, Rev., FRDO,
#, 0.95%, 09/03/03 11,200
25,000 Cobb County Kennestone Hospital Authority,
Equipment Pool Project, Anticipation Certificates,
Rev., FRDO, 0.87%, 09/03/03 25,000
9,250 De Kalb County Housing Authority, Multi-Family
Housing, Chapel Run Apartments Project, Rev.,
FRDO, 0.87%, 09/05/03 9,250
</Table>
See notes to financial statements.
49
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
GEORGIA -- CONTINUED
$ 12,745 De Kalb County Housing Authority, Multi-Family
Housing, Robins Landing Project, Rev., FRDO,
0.87%, 09/02/03 $ 12,745
800 Fulton County Development Authority, Arthritis
Foundation, Inc. Project, Rev., FRDO,
0.85%, 09/04/03 800
1,720 Fulton County Development Authority, Morehouse
College Project, Rev., FRDO, 0.85%, 09/05/03 1,720
9,865 Georgia Local Government, COP, FLOATS, Ser.
PT-678, FRDO, 0.88%, 09/04/03 9,865
54,164 Georgia Municipal Association, Inc., Pooled Bond,
COP, FRDO, MBIA, 0.81%, 09/03/03 54,164
8,445 Georgia Municipal Electric Authority, FLOATS, Ser.
PA-1187, Rev., FRDO, MBIA-IBC, 0.88%, 09/04/03 8,445
8,555 Georgia Municipal Electric Authority, FLOATS, Ser.
PT-1518, 0.88%, 09/04/03 8,555
9,610 Georgia Municipal Electric Authority, Ser.
RR-II-R-1016, Rev., FRDO, FSA, 0.90%, 09/04/03 9,610
21,970 Georgia State Road & Thruway Authority, FLOATS,
Ser. PT-1501, Rev., FRDO, 0.84%, 09/04/03 21,970
10,095 Georgia State, FLOATS, Ser. PT-374, 0.84%, 09/04/03 10,095
1,700 Glynn-Brunswick Memorial Hospital Authority,
Anticipation Certificates, Southeast Georgia Project,
Rev., FRDO, MBIA, 0.77%, 09/04/03 1,700
4,360 Griffin-Spalding County Development Authority,
Industrial Development, Norcom, Inc. Project, Rev.,
FRDO, 0.91%, 09/03/03 4,360
6,000 Gwinnett County Development Authority, Civic &
Cultural Center Project, Rev., FRDO, 0.77%, 09/04/03 6,000
10,000 Gwinnett County Hospital Authority, Gwinnett
Hospital Systems, Inc. Project, Anticipation
Certificates, Rev., RAN, FRDO, 0.85%, 09/04/03 10,000
5,900 Hapeville Development Authority, IDR, Tend-
Hapeville Hotel LTD, Rev., FRDO, 0.85%, 09/01/03 5,900
10,000 Metropolitan Atlanta Rapid Transit Authority, Sales
Tax, Ser. B, Rev., FRDO, 0.80%, 09/04/03 10,000
20,000 Municipal Electric Authority of Georgia, 0.84%,
09/03/03 20,000
30,000 Municipal Electric Authority of Georgia, 0.85%,
09/04/03 30,000
32,100 Municipal Electric Authority of Georgia, Sub Ser.
B, Rev., FRDO, 0.80%, 09/03/03 32,100
8,600 Private Colleges & Universities Authority, Emory
University, Ser. B, Rev., FRDO, 0.80%, 09/04/03 8,600
13,200 Private Colleges & Universities Facilities Authority,
Emory University, Ser. B, Rev., FRDO, 0.80%, 09/05/03 13,200
5,200 Tift County Hospital Authority, Anticipation Certificates,
Ser. A, Rev., FRDO, AMBAC, 0.77%, 09/03/03 5,200
------------
458,369
</Table>
See notes to financial statements.
50
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
HAWAII -- 0.4%
$ 1,005 Hawaii State Housing Finance & Development Corp.,
Single Family Mortgage, FLOATS, Ser. PA-73A, Rev.,
FRDO, 0.97%, 09/03/03 $ 1,005
3,955 Hawaii State Housing Finance & Development Corp.,
Single Family Mortgage, FLOATS, Ser. PT-574, Rev.,
FRDO, 1.05%, 01/01/04 3,955
10,000 Hawaii State, Airport Systems, Rev., FRDO, 2.00%,
08/26/04 10,084
5,080 Hawaii State, FLOATS, Ser. PT-1707, GO, FRDO, FSA,
0.88%, 09/04/03 5,080
19,790 Hawaii State, Highway, FLOATS, Ser. PT-1058, FRDO,
0.88%, 09/04/03 19,790
5,150 Honolulu City & County, Ser. A, GO, FRDO, 0.77%,
09/03/03 5,150
1,000 Honolulu City & County, Ser. A, GO, FRDO, 0.77%,
09/03/03 1,000
------------
46,064
IDAHO -- 0.2%
10,500 Idaho Housing & Finance Association, Single Family
Mortgage, Ser. C, Class 1, Rev., FRDO, 0.90%,
09/04/03 10,500
3,750 Idaho Housing & Finance Association, Single Family
Mortgage, Ser. F-1, Class 1, Rev., FRDO, 0.90%,
09/01/03 3,750
10,000 Idaho State, GO, TAN, 2.00%, 06/30/04 10,084
------------
24,334
ILLINOIS -- 7.6%
9,850 ABN AMRO Munitops Certificate Trust, Ser. 2001-10,
GO, FRDO, MBIA, 1.55%, 09/03/03 9,850
15,010 ABN AMRO Munitops Certificate Trust, Ser. 2001-21,
GO, FRDO, MBIA, 0.92%, 09/04/03 15,010
10,815 ABN AMRO Munitops Certificate Trust, Ser. 2001-27,
Rev., FRDO, FSA, 1.01%, 09/05/03 10,815
6,175 ABN AMRO Munitops Certificate Trust, Ser. 2002-23,
GO, FRDO, MBIA, 1.90%, 10/08/03 6,175
9,995 ABN AMRO Munitops Certificate Trust, Ser. 2002-3,
Rev., FRDO, 1.01%, 09/05/03 9,995
10,000 Chicago Board of Education, FLOATS, Ser. SG-103,
Adj., 0.88%, 09/04/03 10,000
34,950 Chicago Housing Authority, Capital Improvement
Program, Floating Rate Receipts, Ser. L-40,
Regulation D, Rev., FRDO, 0.90%, 09/03/03 34,950
41,600 Chicago O'Hare International Airport, ACES, General
Airport Second Lien, Ser. A, Rev., FRDO, 0.83%,
09/03/03 41,600
3,675 Chicago O'Hare International Airport, ACES, General
Airport Second Lien, Ser. B, Rev., FRDO, 0.78%,
09/04/03 3,675
</Table>
See notes to financial statements.
51
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
ILLINOIS -- CONTINUED
$ 6,400 Chicago O'Hare International Airport, ACES, General
Airport Second Lien, Ser. B, Rev., FRDO, 0.83%,
09/03/03 $ 6,400
4,750 Chicago, Illinois, IDR, Elston Block Co. Project, Rev.,
FRDO, 0.92%, 09/04/03 4,750
19,540 Chicago, Illinois, Midway Airport, Floating Rate
Receipts, Ser. SG-97, Rev., FRDO, MBIA, 0.88%,
09/04/03 19,540
6,275 Chicago, Illinois, Multi-Family Housing, Barbara
Jean Wright Apartments, Ser. A, Rev., FRDO,
0.92%, 09/04/03 6,275
20,000 Chicago, Illinois, Municipal Securities Trust Receipts,
Ser. SGA-99, GO, FRDO, FGIC, 0.90%, 09/04/03 20,000
13,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC, 0.85%,
09/04/03 13,000
14,165 Chicago, Illinois, Skyway Toll Bridge, Municipal Trust
Certificates, Ser. ZTC-3, Class A, FRDO, 1.03%,
09/04/03 14,165
20,000 Chicago, Illinois, Temporary Notes, GO, FRDO, 1.22%,
01/07/04 20,000
19,090 Chicago, Illinois, Tender Notes, GO, FRDO, 1.28%,
01/08/04 19,090
4,503 Cook County, Floating Rate Certificates, Ser. 403,
GO, FRDO, FGIC, 0.89%, 09/04/03 4,503
10,120 Cook County, FLOATS, Ser. PA-856, GO, FRDO, FGIC,
0.88%, 09/04/03 10,120
7,435 Cook County, FLOATS, Ser. PT-1497, GO, FRDO, FGIC,
0.88%, 09/04/03 7,435
2,725 Cook County, Municipal Trust Receipts, Ser. SG-7,
0.91%, 09/03/03 2,725
11,545 Du Page Cook & Will Counties Community College
District No. 502, Municipal Trust Certificates, Ser. 56,
Class A, GO, FRDO, 1.03%, 09/03/03 11,545
5,450 Du Page County Community Unit School District
No. 200 Wheaton, Ser. RR-II-R-4013, GO, FRDO, FSA,
0.90%, 09/05/03 5,450
10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO, MBIA,
0.90%, 09/04/03 10,000
7,055 Franklin Park, Illinois, Municipal Securities Trust
Receipts, Ser. SGB-14, GO, FRDO, AMBAC, #,
0.90%, 09/04/03 7,055
13,925 Glendale Heights, Illinois, Glendale Heights Hospital,
FLOATS, Ser. PT-1602, 0.84%, 09/02/03 13,925
41,000 Illinois Health Facilities Authority, 0.99%, 09/09/03 41,000
3,500 Illinois Development Finance Authority, American
Youth Hostels Project, Rev., FRDO, 0.85%, 09/01/03 3,500
17,900 Illinois Development Finance Authority, Chicago
Symphony Orchestra, Rev., FRDO, 0.85%, 09/04/03 17,900
</Table>
See notes to financial statements.
52
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
ILLINOIS -- CONTINUED
$ 2,605 Illinois Development Finance Authority, IDR, CFC
International, Inc. Project, Rev., FRDO, 0.92%,
09/01/03 $ 2,605
4,485 Illinois Development Finance Authority, IDR, CHS
Acquisition Corp. Project, Rev., FRDO, 0.92%,
09/04/03 4,485
1,560 Illinois Development Finance Authority, IDR, Toughy
LTD Partnership Project, Rev., FRDO,
0.92%, 09/01/03 1,560
13,400 Illinois Development Finance Authority, Multi-Family
Housing, FLOATS, Ser. PT-1795, 0.89%, 09/04/03 13,400
15,300 Illinois Development Finance Authority, PCR,
Commonwealth Edison Co. Project, Ser. B, Rev.,
FRDO, 0.80%, 09/03/03 15,300
1,300 Illinois Development Finance Authority, Residential
Rental, Rev., FRDO, 0.90%, 09/04/03 1,300
8,900 Illinois Educational Facilities Authority, Arts Club of
Chicago, Rev., FRDO, 0.85%, 09/03/03 8,900
6,895 Illinois Educational Facilities Authority, FLOATS, Ser.
PA-896, Rev., FRDO, 0.88%, 09/04/03 6,895
10,000 Illinois Educational Facilities Authority, John F.
Kennedy Health Care, Rev., FRDO, 0.85%, 09/04/03 10,000
5,000 Illinois Educational Facilities Authority, St. Xavier
University Project, Ser. A, Rev., FRDO,
0.84%, 09/03/03 5,000
11,275 Illinois Educational Facilities Authority, University
Pooled Financing Program, Rev., FRDO, FGIC,
0.85%, 09/07/03 11,275
10,330 Illinois Health Facilities Authority, Floating Rate
Trust Receipts, Ser. L-26, Regulation D, Rev., (p),
FRDO, 0.90%, 09/02/03 10,330
28,300 Illinois Health Facilities Authority, Gottlieb Health
Resources, Inc., Rev., FRDO, 0.83%, 09/04/03 28,300
14,300 Illinois Health Facilities Authority, Health Care
Systems, Rev., FRDO, 0.85%, 09/01/03 14,300
25,500 Illinois Health Facilities Authority, Herman M. Finch
University, Rev., FRDO, 0.85%, 09/01/03 25,500
10,500 Illinois Health Facilities Authority, Multi-Family
Housing, Park Plaza Center, Rev., FRDO, 0.85%,
09/03/03 10,500
9,145 Illinois Health Facilities Authority, St. Luke's Medical
Center Obligation, Ser. B, Rev., FRDO, MBIA,
0.87%, 09/01/03 9,145
13,900 Illinois Health Facilities Authority, Swedish Covenant
Hospital Project, Rev., FRDO, AMBAC,
0.84%, 09/02/03 13,900
19,100 Illinois Health Facilities Authority, Swedish Covenant
Hospital Project, Ser. A, Rev., FRDO, AMBAC,
0.84%, 09/01/03 19,100
</Table>
See notes to financial statements.
53
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
ILLINOIS -- CONTINUED
$ 1,900 Illinois Health Facilities Authority, The Carle
Foundation, Ser. B, Rev., FRDO, AMBAC, 0.85%,
09/03/03 $ 1,900
2,640 Illinois Housing Development Authority, Floating
Rate Trust Receipts, Ser. L-19, Regulation D, Rev.,
FRDO, 0.95%, 09/04/03 2,640
10,360 Illinois Housing Development Authority, Homeowner
Mortgage, Sub Ser. A-2, Rev., 1.18%, 04/29/04 10,360
7,600 Illinois Housing Development Authority, Multi-Family
Housing, Camelot, Rev., FRDO, MBIA,
0.90%, 09/01/03 7,600
15,140 Illinois Housing Development Authority,
Multi-Family Housing, Lakeshore Plaza, Ser. A,
Rev., FRDO, MBIA, 0.85%, 09/02/03 15,140
10,465 Illinois State, FLOATS, Ser. PT-379, GO, FRDO, MBIA,
0.88%, 09/04/03 10,465
50,000 Illinois State, GO, 1.50%, 05/15/04 50,188
50,000 Illinois State, GO, 2.00%, 01/15/04 50,193
15,000 Illinois State, GO, 2.00%, 04/15/04 15,096
2,075 Illinois State, Municipal Securities Trust Receipts, Ser.
SGA-103, GO, FRDO, 0.90%, 09/01/03 2,075
3,255 Illinois State, Sales Tax, Municipal Securities Trust
Certificates, Ser. SG-9, 0.88%, 09/04/03 3,255
2,570 Lake County, IDR, A.L. Hansen Manufacturing Co.
Project, Rev., FRDO, 0.90%, 09/04/03 2,570
1,655 Libertyville, Illinois, IDR, Libertyville Manor Project,
Rev., FRDO, 0.91%, 09/03/03 1,655
20,000 Regional Transportation Authority, FLOATS, Ser.
818-D, Rev., FRDO, FGIC, 0.89%, 09/04/03 20,000
5,990 Regional Transportation Authority, FLOATS, Ser.
PT-1448, Rev., FRDO, FGIC, 0.88%, 09/04/03 5,990
15,235 Regional Transportation Authority, FLOATS, Ser.
PT-1833, Rev., FRDO, FGIC, 0.88%, 09/04/03 15,235
9,995 Regional Transportation Authority, FLOATS, Ser.
PT-790, Rev., FRDO, MBIA, 0.88%, 09/04/03 9,995
10,000 Regional Transportation Authority, FLOATS, Ser.
SG-82, FRDO, 0.88%, 09/03/03 10,000
9,400 University of Illinois, Health Services Facilities System,
Ser. B, Rev., FRDO, 0.85%, 09/01/03 9,400
5,800 Will County, Environmental Facilities, ExxonMobil
Corp. Project, Rev., FRDO, 0.85%, 09/01/03 5,800
4,300 Will County, Exempt Facilities, ExxonMobil Project,
Rev., FRDO, 0.85%, 09/01/03 4,300
------------
866,100
INDIANA -- 1.5%
6,095 Carmel School Building Corp., Ser. RR-II-R-S014, Rev.,
FRDO, MBIA, 0.90%, 09/04/03 6,095
6,420 Danville Multi-School Building Corp., FLOATS, Ser.
PT-1483, Rev., FRDO, FSA, 0.88%, 09/04/03 6,420
</Table>
See notes to financial statements.
54
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
INDIANA -- CONTINUED
$ 5,000 DeKalb County Economic Development, New Process
Steel Project, Rev., FRDO, 1.00%, 09/05/03 $ 5,000
15,000 Indiana Health Facility Financing Authority, Ascension
Health Credit Group, Ser. A-4, Rev., FRDO,
1.15%, 03/02/04 15,000
16,900 Indiana Health Facility Financing Authority,
Ascension Health Credit Group, Ser. B, Rev., FRDO,
0.83%, 09/03/03 16,900
4,600 Indiana Health Facility Financing Authority, Clarian
Health Obligation Group, Ser. C, Rev., FRDO,
0.82%, 09/02/03 4,600
2,485 Indiana Health Facility Financing Authority,
Community Hospitals Project, Ser. A, Rev., FRDO,
0.85%, 09/05/03 2,485
5,055 Indiana Health Facility Financing Authority, FLOATS,
Ser. PA-1069, 0.88%, 09/04/03 5,055
1,100 Indiana Secondary Market Educational Loans, Inc.,
Ser. B, Rev., FRDO, AMBAC, 0.90%, 09/02/03 1,100
6,665 Indiana State Office Building Commission, Capital
Complex, FLOATS, Ser. PT-381, 0.88%, 09/06/03 6,665
15,995 Indiana Toll Road Commission, FLOATS, Ser. PT-1595,
0.84%, 09/02/03 15,995
19,500 Indiana Transportation Finance Authority, Municipal
Securities Trust Receipts, Ser. SGA-113, Rev., FRDO,
0.90%, 09/01/03 19,500
9,000 Indiana Transportation Finance Authority, Rev., BAN,
1.50%, 10/03/03 9,004
8,975 Indianapolis Airport Authority, Floating Trust
Certificates, Ser. F-10J, Regulation D, Rev., FRDO,
1.00%, 09/03/03 8,975
8,380 Indianapolis Local Public Improvement Bond Bank,
FLOATS, Ser. PT-1408, Rev., FRDO, MBIA,
0.88%, 09/04/03 8,380
9,995 Indianapolis Local Public Improvement Bond Bank,
FLOATS, Ser. PT-382, Rev., FRDO, 0.88%, 09/04/03 9,995
8,500 Indianapolis Local Public Improvement Bond Bank,
Ser. F-2, Rev., FRDO, MBIA, 0.77%, 09/01/03 8,500
90 Lafayette, Indiana, Economic Development, Health
Quest Realty XI Project, Rev., FRDO, 0.88%, 09/01/03 90
9,200 Monroe County Hospital Authority, Rev., FRDO,
MBIA, 0.82%, 09/02/03 9,200
190 Muncie, Indiana, Economic Development, Health
Quest Realty Project, Rev., FRDO, 0.88%, 09/01/03 190
6,585 Purdue University, FLOATS, Ser. PA-760, Rev., FRDO,
0.88%, 09/04/03 6,585
10,000 Whiting, Indiana, Environmental Facilities, BP
Products North America Project, Ser. B, Rev., FRDO,
0.90%, 09/01/03 10,000
------------
175,734
</Table>
See notes to financial statements.
55
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
IOWA -- 0.1%
$ 3,900 Des Moines, Iowa, 1.20%, 01/28/04 $ 3,900
3,450 Des Moines, Iowa, 1.20%, 01/28/04 3,450
6,000 Iowa Finance Authority, Single Family Mortgage,
Ser. F, Rev., FRDO, 0.90%, 09/03/03 6,000
------------
13,350
KANSAS -- 1.6%
53,700 Burlington, Kansas, PCR, Floating Rate Trust Receipts,
Ser. 2002-L3, Rev., FRDO, MBIA, 0.90%, 09/01/03 53,700
2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser.
2000-1601, FRDO, 0.90%, 09/02/03 2,000
5,400 Kansas City, Kansas, IDB, PQ Corp. Project, Rev.,
FRDO, 0.85%, 09/01/03 5,400
18,000 Kansas State Department of Transportation,
Highway, Ser. C-1, Rev., FRDO, 0.80%, 09/02/03 18,000
15,000 Kansas State Department of Transportation,
Highway, Ser. C-2, Rev., FRDO, 0.80%, 09/02/03 15,000
35,000 Kansas State Department of Transportation,
Highway, Ser. D, Rev., FRDO, 0.73%, 09/02/03 35,000
6,200 Kansas State Department of Transportation, Ser.
C-1, Rev., FRDO, 0.80%, 09/03/03 6,200
10,225 Kansas State Department of Transportation, Ser. C-3,
Rev., FRDO, 0.80%, 09/03/03 10,225
11,090 Lawrence, Kansas, Ser. 2003-I, GO, 1.50%, 06/01/04 11,116
9,780 Overland Park, Kansas, Floating Rate Receipts, Ser.
SG-155, 0.88%, 09/04/03 9,780
4,470 Sedgwick & Shawnee Counties, Single Family
Housing, FLOATS, Ser. PT-523, Rev., FRDO,
0.93%, 09/04/03 4,470
1,500 Wichita, Kansas, Hospital Facilities Improvement,
Riverside, Ser. IV, Rev., FRDO, 0.90%, 09/05/03 1,500
7,740 Wichita, Kansas, Multi-Family Housing, FLOATS,
Ser. PT-1641, Rev., FRDO, 1.02%, 09/04/03 7,740
------------
180,131
KENTUCKY -- 0.6%
14,075 Jeffersontown, Kentucky, Lease Program, Kentucky
League of Cities Funding Trust, Rev., FRDO,
0.88%, 09/04/03 14,075
24,000 Kentucky Association of Counties, COP, Rev., TRAN,
2.00%, 06/30/04 24,217
2,240 Kentucky Development Finance Authority, Pooled
Loan Program, Ser. A, Rev., FRDO, FGIC,
0.85%, 09/04/03 2,240
7,020 Kentucky State Property & Buildings Commission,
FLOATS, Ser. PA-875, Rev., FRDO, 0.88%, 09/04/03 7,020
</Table>
See notes to financial statements.
56
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
KENTUCKY -- CONTINUED
$ 15,000 Louisville & Jefferson County Metropolitan Sewer
District, Sewer & Drain Systems, Floating Rate
Receipts, Ser. SG-132, Rev., FRDO, FGIC, 0.88%,
09/03/03 $ 15,000
10,000 Louisville & Jefferson County Metropolitan Sewer
District, Sewer & Drain Systems, Ser. B, Rev., FRDO,
FSA, 0.83%, 09/02/03 10,000
------------
72,552
LOUISIANA -- 1.2%
12,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-17,
Rev., FRDO, AMBAC, #, 0.92%, 09/02/03 12,000
6,200 East Baton Rouge Parish, PCR, Exxon Corp. Project,
Rev., FRDO, 0.80%, 09/01/03 6,200
9,000 East Baton Rouge Parish, Solid Waste Disposal
Authority, Exxon Corp. Project, Rev., FRDO,
0.85%, 09/01/03 9,000
5,225 Ernest N. Morial-New Orleans Exhibit Hall Authority,
Special Tax, Ser. RR-II-R-5017, FRDO, AMBAC,
0.90%, 09/02/03 5,225
1,875 Iberia Parish IDB, IDR, Cuming Insulation Corp.
Project, Rev., FRDO, 0.97%, 09/04/03 1,875
2,945 Jefferson Parish Home Mortgage Authority, Single
Family Mortgage, FLOATS, Ser. PT-492, Rev., FRDO,
0.97%, 09/04/03 2,945
3,000 Lake Charles Harbor & Terminal District, District
Dock & Wharf, Conoco, Inc. Project, Rev., FRDO,
0.90%, 09/02/03 3,000
4,540 Louisiana Housing Finance Agency, FLOATS, Ser.
PT-1340, Rev., FRDO, 1.35%, 09/04/03 4,540
8,300 Louisiana Offshore Terminal Authority, Deepwater
Port, 1st Stage Loop LLC, Rev., FRDO, 0.80%, 09/01/03 8,300
31,470 Louisiana Public Facilities Authority, 0.83%, 09/04/03 31,470
15,000 Louisiana Public Facilities Authority, 0.86%, 10/08/03 15,000
100 Louisiana Public Facilities Authority, IDB, Kenner
Hotel LTD, Rev., FRDO, 0.85%, 09/01/03 100
5,995 Louisiana Public Facilities Authority, LSU Alumni
Association Project, Rev., FRDO, 0.88%, 09/02/03 5,995
11,700 Louisiana Public Facilities Authority, Tiger Athletic
Foundation Project, Rev., FRDO, 0.88%, 09/04/03 11,700
11,170 Louisiana State, Floating Rate Certificates, Ser. 217,
GO, FRDO, MBIA, 0.89%, 09/04/03 11,170
220 New Orleans Aviation Board, Ser. C, GO, FRDO,
MBIA, 0.85%, 09/04/03 220
4,000 South Louisiana Port Commission, Marine Terminal
Facilities, Occidental Petroleum, Rev., FRDO,
0.85%, 09/04/03 4,000
4,740 Tobacco Settlement Financing Corp., FLOATS, Ser.
PA-1079, Rev., FRDO, 1.10%, 09/04/03 4,740
------------
137,480
</Table>
See notes to financial statements.
57
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
MAINE -- 0.2%
$ 9,800 Maine Finance Authority, Jackson Lab Issue, Ser.
2002, Rev., FRDO, 0.87%, 09/04/03 $ 9,800
2,510 Maine State Housing Authority, FLOATS, Ser.
PT-1438, Rev., FRDO, 0.91%, 09/04/03 2,510
10,000 Maine State, GO, BAN, 1.75%, 06/24/04 10,061
------------
22,371
MARYLAND -- 1.2%
5,575 Baltimore County, Oak Crest Village, Inc. Project,
Ser. A, Rev., FRDO, 0.85%, 09/04/03 5,575
8,200 Baltimore IDA, IDR, Baltimore Capital Acquisition,
Rev., FRDO, 0.83%, 09/03/03 8,200
4,915 Maryland Community Development Administration
Department of Housing & Community
Development, FLOATS, Ser. PT-12, 0.85%, 09/01/03 4,915
3,000 Maryland Community Development Administration,
Department of Housing and Community
Development, Multi-Family Housing, Parklane
Apartments, Rev., FRDO, 0.90%, 09/03/03 3,000
11,000 Maryland State Economic Development Corp.,
Floating Rate Receipts, Ser. L9-J, Rev., FRDO, FSA,
0.95%, 09/03/03 11,000
2,550 Maryland State Health & Higher Educational
Facilities Authority, Loyola College Issue, Ser. B,
Rev., FRDO, MBIA, 0.93%, 09/05/03 2,550
9,000 Maryland State Health & Higher Educational
Facilities Authority, Municipal Securities Trust
Receipts, Ser. SGA-143, Rev., FRDO, 0.90%, 09/04/03 9,000
24,100 Maryland State Health & Higher Educational
Facilities Authority, Ser. D, Rev., FRDO, 0.80%,
09/06/03 24,100
20,065 Maryland State Stadium Authority, Sports Facilities
Lease, Rev., FRDO, 0.90%, 09/03/03 20,065
8,185 Maryland State, FLOATS, Ser. PA-858, GO, FRDO,
0.84%, 09/04/03 8,185
6,400 Montgomery County Housing Opportunities
Commission, Multi-Family Housing, Falklands, Ser.
B, Rev., FRDO, 0.73%, 09/05/03 6,400
10,700 Montgomery County Housing Opportunities
Commission, Multiple Purpose, Ser. C, Rev., FRDO,
0.78%, 09/03/03 10,700
16,800 Montgomery County Housing Opportunities
Commission, Multi-Family Housing, Grosvenor,
Ser. A, Rev., FRDO, 0.73%, 09/06/03 16,800
1,400 Northeast Waste Disposal Authority, Resource
Recovery, Harford County Resources, Rev., FRDO,
AMBAC, 0.72%, 09/03/03 1,400
------------
131,890
</Table>
See notes to financial statements.
58
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
MASSACHUSETTS -- 4.6%
$ 8,000 Arlington, Massachusetts, GO, BAN,
1.50%, 04/08/04 $ 8,019
6,030 Canton Housing Authority, Multi-Family Housing,
Canton Arboretum Apartments, Rev., FRDO,
0.80%, 09/02/03 6,030
9,010 Clipper Tax-Exempt Trust, COP, Ser. 2001-4, FRDO,
1.25%, 02/15/04 9,010
40,000 Commonwealth of Massachusetts, 0.88%, 09/15/03 40,000
21,000 Commonwealth of Massachusetts, 0.88%, 09/15/03 21,000
56,500 Commonwealth of Massachusetts, 0.90%, 09/16/03 56,500
33,000 Commonwealth of Massachusetts, 0.90%, 09/22/03 33,000
7,000 Commonwealth of Massachusetts, 0.90%, 09/22/03 7,000
20,000 Duxbury, Massachusetts, GO, BAN, 1.75%, 01/15/04 20,037
20,000 Gateway Regional School District, GO, BAN,
1.625%, 05/05/04 20,063
15,000 Masconomet Regional School District, GO, BAN,
1.50%, 02/12/04 15,023
10,000 Massachusetts Bay Transportation Authority,
Floating Certificates, Ser. SG-156, Rev., FRDO,
0.80%, 09/01/03 10,000
5,750 Massachusetts Bay Transportation Authority,
Municipal Securities Trust Receipts, Special
Assessment, Ser. SGA-123, FRDO, 0.90%, 09/04/03 5,750
10,000 Massachusetts Development Finance Agency, Clark
University, Ser. A, Rev., FRDO, AMBAC, 0.85%,
09/02/03 10,000
4,910 Massachusetts Development Financing Agency, The
Bridge Issue, Rev., FRDO, 0.85%, 09/03/03 4,910
10,700 Massachusetts Health & Educational Facilities
Authority, Fairview Extended, Ser. B, Rev., FRDO,
0.80%, 09/02/03 10,700
10,000 Massachusetts Health & Educational Facilities
Authority, Capital Asset Program, Ser. M1-A, Pool 1,
Rev., FRDO, 0.77%, 09/04/03 10,000
11,910 Massachusetts Health & Educational Facilities
Authority, FLOATS, Ser. PT-1668, Rev., FRDO,
0.81%, 09/04/03 11,910
8,300 Massachusetts Health & Educational Facilities
Authority, Partners in Healthcare, Ser. D-6, Rev.,
FRDO, 0.85%, 09/01/03 8,300
2,200 Massachusetts Health & Educational Facilities
Authority, University of Massachusetts, Ser. A, Rev.,
FRDO, 0.73%, 09/03/03 2,200
19,715 Massachusetts Housing Finance Agency, Single
Family Housing, Ser. L, Rev., 1.40%, 11/13/03 19,715
10,000 Massachusetts Housing Finance Agency, Single
Family Notes, Ser. M, Rev., 1.15%, 05/01/04 10,000
2,506 Massachusetts State Turnpike Authority, FLOATS,
Ser. 334, Rev., FRDO, MBIA, 0.83%, 09/04/03 2,506
</Table>
See notes to financial statements.
59
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
MASSACHUSETTS -- CONTINUED
$ 5,100 Massachusetts State Water Pollution Abatement
Trust, Municipal Securities Trust Receipts, Ser.
SGA-87, Rev., FRDO, 0.90%, 09/01/03 $ 5,100
4,320 Massachusetts State Water Resources Authority,
Ser. A, Rev., FRDO, FGIC, 0.78%, 09/03/03 4,320
7,200 Massachusetts State Water Resources Authority,
Ser. B, Rev., FRDO, FGIC, 0.80%, 09/03/03 7,200
2,500 Massachusetts State Water Resources Authority,
Sub Ser. B, Rev., FRDO, FGIC, 0.78%, 09/02/03 2,500
6,600 Massachusetts State Water Resources Authority,
Sub Ser. C, Rev., FRDO, FGIC, 0.78%, 09/03/03 6,600
1,100 Massachusetts State Water Resources Authority,
Sub Ser. D, Rev., FRDO, 0.80%, 09/01/03 1,100
12,780 Massachusetts State, Central Artery, Ser. B, GO,
FRDO, 0.87%, 09/01/03 12,780
7,380 Massachusetts State, FLOATS, Ser. PA-1033R, GO,
FRDO, FSA, 0.81%, 09/04/03 7,380
9,995 Massachusetts State, FLOATS, Ser. PA-800, 0.81%,
09/04/03 9,995
7,830 Massachusetts State, FLOATS, Ser. PT-1576, GO,
FRDO, MBIA, 0.81%, 09/04/03 7,830
10,125 Massachusetts State, FLOATS, Ser. PT-1609, GO,
FRDO, FGIC, 0.81%, 09/04/03 10,125
8,195 Massachusetts State, FLOATS, Ser. PT-1618, GO,
FRDO, FSA, 0.81%, 09/04/03 8,195
10,670 Massachusetts State, FLOATS, Ser. PT-1696, GO,
FRDO, MBIA-IBC, 0.81%, 09/04/03 10,670
10,275 Massachusetts State, FLOATS, Ser. PT-1702, GO,
FRDO, FGIC, 0.81%, 09/04/03 10,275
5,900 Massachusetts State, Ser. B, GO, FRDO, 0.80%,
09/04/03 5,900
4,995 Massachusetts State, Ser. II-R-104, GO, FRDO,
1.60%, 09/04/03 4,995
8,950 Medford, Massachusetts, GO, BAN, 3.00%, 11/14/03 8,978
13,000 Peabody, Massachusetts, GO, BAN, 2.00%, 02/13/04 13,051
16,610 Route 3 North Transit Improvement Association, Ser.
B, Rev., FRDO, AMBAC, 0.79%, 09/04/03 16,610
3,600 Sandwich, Massachusetts, GO, BAN, 2.00%, 02/12/04 3,614
24,494 Westford, Massachusetts, GO, BAN, 1.50%, 05/11/04 24,561
------------
523,452
MICHIGAN -- 4.1%
30,795 ABN AMRO Munitops Certificate Trust, Ser. 2000-16,
GO, FRDO, FGIC, 0.90%, 09/05/03 30,795
5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-29,
GO, FRDO, FGIC, 1.05%, 02/13/04 5,000
16,080 Detroit, Michigan, Sewer Disposal, Second Lien, Ser.
E, Rev., FRDO, FGIC, 1.50%, 10/23/03 16,080
</Table>
See notes to financial statements.
60
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
MICHIGAN -- CONTINUED
$ 7,450 East Lansing School District, Municipal Securities
Trust Receipts, Ser. SGA-114, GO, FRDO,
0.90%, 09/04/03 $ 7,450
9,255 Holt Public Schools, GO, FRDO, 0.85%, 09/03/03 9,255
8,885 Howell Public Schools, FLOATS, Ser. PT-1502,
GO, FRDO, 0.88%, 09/04/03 8,885
5,500 Kent Hospital Financing Authority, Spectrum Health,
Ser. B, Rev., FRDO, MBIA, 0.82%, 09/05/03 5,500
9,000 Michigan Higher Education Student Loan Authority,
Ser. XII-F, Rev., FRDO, AMBAC, 0.85%, 09/03/03 9,000
5,280 Michigan Municipal Bond Authority, FLOATS, Ser.
PA-852, Rev., FRDO, 0.88%, 09/04/03 5,280
8,220 Michigan Municipal Bond Authority, FLOATS, Ser.
PA-942, Rev., FRDO, 0.88%, 09/04/03 8,220
8,530 Michigan Municipal Bond Authority, FLOATS, Ser.
PT-1477, Rev., FRDO, 0.84%, 09/04/03 8,530
6,205 Michigan Municipal Bond Authority, FLOATS, Ser.
PT-397, Rev., FRDO, 0.88%, 09/04/03 6,205
20,000 Michigan Municipal Bond Authority, Ser. B-1,
Rev., 2.00%, 08/20/04 20,188
5,000 Michigan Public Power Agency, Municipal Trust
Certificates, Ser. 42, Class A, 1.03%, 09/01/03 5,000
9,500 Michigan State Building Authority, Facilities
Program, Ser. I, Rev., FRDO, 0.85%, 09/03/03 9,500
45,300 Michigan State Building Authority, Multi-Modal
Facilities Program, Ser. II, Rev., FRDO, 0.80%,
09/04/03 45,300
10,550 Michigan State Building Authority, Ser. RR-II-R-1049,
Rev., FRDO, 0.90%, 09/04/03 10,550
5,000 Michigan State Building Authority, Ser. RR-II-R-220,
Rev., FRDO, 0.90%, 09/04/03 5,000
8,970 Michigan State Hospital Finance Authority, FLOATS,
Ser. PA-919, 0.88%, 09/04/03 8,970
7,495 Michigan State Hospital Finance Authority, FLOATS,
Ser. PT-668, Rev., FRDO, MBIA, 0.88%, 09/04/03 7,495
6,350 Michigan State Housing Development Authority,
Multi-Family Housing, Canton Club, Ser. A, Rev.,
FRDO, 0.83%, 09/06/03 6,350
7,225 Michigan State Housing Development Authority,
Multi-Family Housing, River Place Apartments,
Rev., FRDO, 0.90%, 09/04/03 7,225
6,000 Michigan State Housing Development Authority,
Ser. 1999-B2, Rev., FRDO, MBIA, 0.90%, 09/05/03 6,000
825 Michigan State Housing Development Authority,
Ser. 2000-A, Rev., FRDO, MBIA, 0.85%, 09/05/03 825
17,375 Michigan State Housing Development Authority,
Ser. D, Rev., 1.40%, 12/01/03 17,375
</Table>
See notes to financial statements.
61
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ---------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ---------------------------------------------------------------------------------------------
MICHIGAN -- CONTINUED
$ 4,860 Michigan State University, Ser. A, Rev., FRDO,
0.80%, 09/01/03 $ 4,860
1,500 Michigan State University, Ser. A, Rev., FRDO,
0.80%, 09/01/03 1,500
18,935 Michigan State University, Ser. A-2, Rev., Adj.,
0.85%, 09/03/03 18,935
28,100 Michigan State, Ser. A, Rev., GAN, FRDO, FSA,
0.79%, 09/04/03 28,100
15,000 Michigan State, Ser. C, Rev., GAN, FRDO, FSA,
0.80%, 09/04/03 15,000
6,000 Michigan State, Floating Rate Trust Receipts, Ser.
L-43J, GO, FRDO, 0.90%, 09/04/03 6,000
10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA,
0.79%, 09/05/03 10,500
37,700 Michigan State, Ser. B, Rev., GAN, FRDO, FSA,
0.79%, 09/05/03 37,700
1,175 Michigan Strategic Fund, Wayne Disposal, Oakland
Project, Rev., FRDO, 0.93%, 09/03/03 1,175
17,770 Milan Area Schools, GO, FRDO, 0.85%, 09/04/03 17,770
10,000 Oakland University, Rev., FRDO, FGIC,
0.85%,09/04/03 10,000
17,240 Saline Area Schools, GO, FRDO, 0.85%, 09/02/03 17,240
300 University of Michigan, Hospital, Ser. A, Rev.,
FRDO, 0.85%, 09/01/03 300
6,080 University of Michigan, Hospital, Ser. A-2, Rev.,
FRDO, 0.85%, 09/01/03 6,080
2,300 University of Michigan, Medical Service Plan, Ser.
A-1, Rev., FRDO, 0.85%, 09/01/03 2,300
300 University of Michigan, Medical Services Plan, Ser.
A, Rev., FRDO, 0.80%, 09/04/03 300
9,200 Wayne Charter County, Detroit Metropolitan,
Wayne Charter Airport, Junior Lien, Rev., FRDO,
FSA, 0.83%, 09/04/03 9,200
13,700 Wayne Charter County, Wayne Charter Airport,
Floating Rate Receipts, Ser. SG-122, Rev., FRDO,
0.88%, 09/04/03 13,700
------------
470,638
MINNESOTA -- 0.9%
8,360 Minneapolis & St. Paul Metropolitan Airports
Commission, Municipal Securities Trust Receipts,
Ser. SG-136, Rev., FRDO, FGIC, 0.90%, 09/04/03 8,360
9,000 Minneapolis & St. Paul Metropolitan Airports
Commission, Municipal Securities Trust Receipts,
Ser. SGA-127, Rev., FRDO, FGIC, 0.90%, 09/02/03 9,000
5,635 Minneapolis, Minnesota, FLOATS, Ser. PA-711, GO,
FRDO, 0.88%, 09/04/03 5,635
4,400 Minnesota Housing Finance Agency, Residential
Housing, Ser. B, Rev., FRDO, 0.95%, 09/03/03 4,400
</Table>
See notes to financial statements.
62
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
MINNESOTA -- CONTINUED
$ 15,110 Minnesota Housing Finance Agency, Residential
Housing, Ser. H, Rev., FRDO, 1.00%, 07/22/04 $ 15,110
5,805 Minnesota Housing Finance Agency, Single Family
Mortgage, Ser. I, Rev., FRDO, 1.38%, 01/01/04 5,805
24,030 Minnesota Housing Finance Agency, Single Family
Mortgage, Ser. J, Rev., FRDO, 1.40%, 01/01/04 24,030
4,995 Minnesota Public Facilities Authority, PCR, Water,
Ser. II-R-31, Rev., FRDO, 0.90%, 09/04/03 4,995
4,300 St. Louis Park, Minnesota, Catholic Finance Corp.,
Rev., FRDO, 0.90%, 09/04/03 4,300
21,450 University of Minnesota, Ser. C, Rev., FRDO,
0.90%, 09/03/03 21,450
---------------
103,085
MISSISSIPPI -- 0.5%
600 Jackson County, PCR, Chevron USA, Inc. Project, Rev.,
FRDO, 0.80%, 09/01/03 600
26,705 Jackson County, Port Facilities, Chevron USA, Inc.
Project, Rev., FRDO, 0.87%, 09/01/03 26,705
1,545 Mississippi Business Finance Corp., IDR, Choctaw
Maid Farms, Inc. Project, Rev., FRDO,
0.95%, 09/01/03 1,545
8,430 Mississippi Development Bank Special Obligation,
FLOATS, Ser. PT-1494, Rev., FRDO, FSA, 0.88%,
09/04/03 8,430
3,855 Mississippi Home Corp., Single Family Housing,
FLOATS, Ser. PT-620, Rev., FRDO, 0.93%, 09/04/03 3,855
4,385 Mississippi State, Ser. RR-II-R-1043, GO, FRDO, FGIC,
0.90%, 09/03/03 4,385
15,000 Perry County, PCR, Leaf River Forest Production
Project, Rev., FRDO, 0.85%, 09/03/03 15,000
---------------
60,520
MISSOURI -- 0.8%
11,320 Bi-State Development Agency, Metropolitan
District, FLOATS, Ser. PT-1593, Rev., FRDO,
FSA, 0.88%, 09/04/03 11,320
6,840 Independence IDA, Multi-Family Housing, FLOATS,
Ser. PT-314, FRDO, 0.88%, 09/04/03 6,840
3,025 Kansas City IDA, IDR, Livers Bronze Co. Project, Rev.,
FRDO, 1.00%, 09/06/03 3,025
3,000 Missouri Higher Education Loan Authority, Student
Loan, Ser. B, Rev., FRDO, 0.90%, 09/02/03 3,000
1,600 Missouri Higher Education Loan Authority, Student
Loan, Ser. B, Rev., FRDO, MBIA, 0.90%, 09/01/03 1,600
3,925 Missouri Housing Development Commission, FLOATS,
Ser. PT-1286, Rev., FRDO, 1.35%, 09/04/03 3,925
4,230 Missouri Housing Development Commission, FLOATS,
Ser. PT-341, Rev., FRDO, 1.05%, 09/01/03 4,230
</Table>
See notes to financial statements.
63
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
MISSOURI -- CONTINUED
$ 5,520 Missouri Housing Development Commission,
Mortgage, FLOATS, Ser. PT-495, Rev., FRDO,
0.93%, 09/04/03 $ 5,520
10,000 Missouri Housing Development Commission, Single
Family Mortgage, FLOATS, Ser. L-5J, Regulation
D, Rev., FRDO, 1.15%, 09/30/03 10,000
18,100 Missouri State Health & Educational Facilities
Authority, Assemblies of God College, Rev.,
FRDO, 0.85%, 09/02/03 18,100
2,500 Missouri State Health & Educational Facilities
Authority, EAGLE, Ser. 2002-6026, Class A, Rev.,
FRDO, 0.90%, 09/04/03 2,500
9,985 Missouri State Highways & Transit Commission,
FLOATS, Ser. PT-657, Rev., FRDO, 0.88%, 09/04/03 9,985
6,110 Missouri State Housing Development Commission,
FLOATS, Ser. PT-223, Rev., FRDO, 0.93%, 09/04/03 6,110
11,125 O'Fallon, Missouri, COP, FLOATS, Ser. PT-1396, FRDO,
MBIA, 0.88%, 09/04/03 11,125
---------------
97,280
MONTANA -- 0.0%^
2,235 Montana Board of Housing, FLOATS, Ser. PT-356,
0.97%, 09/05/03 2,235
MULTIPLE STATES -- 3.0%
5,010 ABN AMRO Munitops Certificate Trust, Ser. 2002-37,
Rev., FRDO, 1.25%, 12/04/03 5,010
37,640 ABN-AMRO Munitops Certificate Trust, Ser. 2002-1,
Rev., FRDO, 1.05%, 09/01/03 37,640
42,500 Charter Mac Floater Certificate Trust I, Ser. NAT-1,
Rev., FRDO, MBIA, 1.03%, 09/02/03 42,500
10,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2,
Rev., FRDO, MBIA, 1.03%, 09/04/03 10,000
15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3,
Rev., FRDO, MBIA, 1.03%, 09/04/03 15,000
14,000 Charter Mac Floater Certificate Trust I, Ser. NAT-4,
Rev., FRDO, 1.03%, 09/02/03 14,000
5,705 Clipper Tax-Exempt Trust, COP, Ser. 1999-2, FRDO,
1.13%, 09/02/03 5,705
26,205 Clipper Tax-Exempt Trust, COP, Ser. 2002-9, FRDO,
1.13%, 09/04/03 26,205
20,000 Clipper Tax-Exempt Trust, COP, Ser. 2003-5, FRDO,
1.03%, 09/04/03 20,000
6,000 Eagle Tax Exempt Trust, Ser. 2000-1003, Rev., FRDO,
FGIC, 0.90%, 09/03/03 6,000
9,364 Government Development Bank for Municipal
Commercial Paper, 0.85%, 12/01/03 9,364
9,982 Government Development Bank for Municipal
Commercial Paper, 0.90%, 09/25/03 9,982
</Table>
See notes to financial statements.
64
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
MULTIPLE STATES -- CONTINUED
$ 3,500 IBM Tax Exempt Grantor Trust, IBM Project, FLOATS,
1.03%, 09/03/03 $ 3,500
17,100 IBM Tax Exempt Trust, IBM Project, FLOATS, Ser.
2001-D, Rev., FRDO, 1.03%, 09/02/03 17,100
32,941 Koch Floating Rate Trust, Weekly Certificates, Ser. 1,
Rev., FRDO, 1.08%, 09/04/03 32,941
30,560 MBIA Capital Corp., FLOATS, 0.98%, 09/04/03 30,560
45,470 Puttable Floating Option Tax-Exempt Receipts,
SunAmerica Trust, Ser. 2001-2, Class A Certificates,
0.97%, 09/05/03 45,470
10,400 SunAmerica Trust, Ser. 2, Class A Certificates, Rev.,
FRDO, 1.02%, 09/03/03 10,400
---------------
341,377
NEBRASKA -- 0.3%
12,350 Lincoln, Nebraska, Electric Systems, FLOATS, Ser.
PT-1548, Rev., FRDO, 0.88%, 09/04/03 12,350
3,285 NEBHELP, Inc., Multi-Modal, Ser. A-11, Rev., FRDO,
MBIA, 0.90%, 09/05/03 3,285
4,755 Nebraska Investment Finance Authority, Single
Family Housing, Floating Rate Trust Receipts, Ser.
2002-L1, Rev., FRDO, 0.95%, 09/01/03 4,755
9,755 Nebraska Investment Finance Authority, Single
Family Housing, Floating Rate Trust Receipts, Ser.
N-7, Regulation D, Rev., FRDO, 1.20%, 10/19/03 9,755
6,000 Nebraska Investment Finance Authority, Single
Family Housing, Ser. E, Rev., FRDO, 0.90%, 09/04/03 6,000
900 Sidney, Nebraska, IDR, Pennington Seed, Inc. Project,
Rev., FRDO, 0.95%, 09/02/03 900
---------------
37,045
NEVADA -- 1.2%
15,000 Clark County School District, FRDO, 0.90%, 09/03/03 15,000
6,805 Clark County, Airport Improvement, Sub Lien, Ser.
A-1, Rev., FRDO, 0.77%, 09/03/03 6,805
575 Clark County, Airport Improvement, Sub Lien, Ser.
A-2, Rev., FRDO, 0.83%, 09/03/03 575
18,200 Clark County, Airport Revenue, Sub Lien, Ser. C, Rev.,
FRDO, FGIC, 0.77%, 09/04/03 18,200
5,300 Clark County, IDR, Nevada Cogeneration Association
#2, Rev., FRDO, 0.90%, 09/01/03 5,300
15,210 Clark County, Nevada, Airport Revenue, Sub-Lien,
Ser. B-2, Rev., FRDO, 0.73%, 09/03/03 15,210
14,800 Nevada Housing Division, Multi-Family Housing,
Park Vista Apartments, Ser. A, Rev., FRDO,
0.85%, 09/05/03 14,800
9,500 Nevada Housing Division, Multi-Unit Housing,
Flamingo Road, Ser. A, Rev., FRDO, #,
1.20%, 09/05/03 9,500
</Table>
See notes to financial statements.
65
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEVADA -- CONTINUED
$ 7,800 Nevada Housing Division, Multi-Unit Housing, Fort
Apache, Ser. A, Rev., FRDO, 1.20%, 09/05/03 $ 7,800
3,390 Nevada Housing Division, Multi-Unit Housing,
Horizon, Ser. A, Rev., FRDO, 0.87%, 09/05/03 3,390
4,350 Nevada Housing Division, Multi-Unit Housing,
Joshua Villas, Ser. E, Rev., FRDO, 0.87%, 09/05/03 4,350
5,455 Nevada Housing Division, Multi-Unit Housing,
Judith Villas, Ser. C, Rev., FRDO, 0.87%, 09/03/03 5,455
6,750 Nevada Housing Division, Multi-Unit Housing, Ser.
A, Rev., FRDO, 0.87%, 09/06/03 6,750
3,195 Nevada Housing Division, Multi-Unit Housing, Ser.
M, Rev., FRDO, 0.87%, 09/01/03 3,195
4,800 Nevada State, FLOATS, Ser. PT-403, GO, FRDO,
0.88%, 09/04/03 4,800
9,000 Nevada State, FLOATS, Ser. SG-39, 0.88%, 09/05/03 9,000
5,800 Truckee Meadows Water Authority, Municipal
Securities Trust Receipts, Ser. SGA-137, Rev., FRDO,
FSA, 0.90%, 09/01/03 5,800
---------------
135,930
NEW HAMPSHIRE -- 0.2%
6,000 New Hampshire Health & Education Facilities
Authority, Riverbend, Rev., FRDO, 0.85%, 09/05/03 6,000
5,475 New Hampshire Higher Educational & Health
Facilities Authority, Ser. 772, Rev., FRDO, FGIC,
0.89%, 09/04/03 5,475
6,300 New Hampshire Higher Educational & Health
Facilities Authority, VHA New England, Inc., Ser. C,
Rev., FRDO, AMBAC, 0.85%, 09/06/03 6,300
5,365 New Hampshire State Housing Finance Authority,
Single Family Housing, FLOATS, Ser. PT-624, Rev.,
FRDO, 0.93%, 09/04/03 5,365
---------------
23,140
NEW JERSEY -- 1.2%
20,000 Essex County, Essex Vocational School, BAN,
2.25%, 11/06/03 20,018
5,100 Garden State Preservation Trust, Open Space &
Farmland, Ser. 2003-5, Rev., FRDO, FSA,
0.92%, 09/04/03 5,100
18,700 Jersey City, New Jersey, Promissory Note, GO,
1.75%, 02/27/04 18,751
7,900 Mercer County Improvement Authority, Atlantic
Foundation & Johnson, Rev., FRDO, MBIA,
0.78%, 09/03/03 7,900
4,985 New Jersey Economic Development Authority,
FLOATS, Ser. PA-828, Rev., FRDO, AMBAC, 0.82%,
09/04/03 4,985
</Table>
See notes to financial statements.
66
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEW JERSEY -- CONTINUED
$ 12,200 New Jersey Economic Development Authority,
Foreign Trade Zone Project, Rev.,
FRDO, 0.85%, 09/01/03 $ 12,200
4,995 New Jersey Economic Development Authority, Ser.
A, GO, FRDO, AMBAC, 1.20%, 09/04/03 4,995
1,470 New Jersey Sports & Exposition Authority, State
Contract, Ser. C, Rev., FRDO, MBIA, 0.80%, 09/01/03 1,470
12,820 New Jersey State Educational Facilities Authority,
Floating Rate Certificates, Ser. SG-148, Rev.,
FRDO, 0.82%, 09/04/03 12,820
5,315 New Jersey State Educational Facilities Authority,
FLOATS, Ser. PT-1599, 0.82%, 09/02/03 5,315
10,000 New Jersey State Housing & Mortgage Finance
Agency, Ser. EE, Rev., MBIA, 1.10%, 04/01/04 10,000
25,000 New Jersey State Turnpike Authority, Ser. C-1, Rev.,
FRDO, FSA, 0.85%, 09/03/03 25,000
10,365 New Jersey Transportation Trust Fund Authority,
FLOATS, Ser. PT-1926, Rev., FRDO, MBIA,
0.86%, 09/04/03 10,365
---------------
138,919
NEW MEXICO -- 0.2%
3,200 Chaves County, IDR, Friona Industries LP, Ser. A,
Rev., FRDO, 1.00%, 09/04/03 3,200
1,000 Farmington, New Mexico, PCR, Arizona Public
Services Co., Ser. B, Rev., FRDO, 0.80%, 09/01/03 1,000
5,970 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-1308, Rev., FRDO, 1.35%, 09/04/03 5,970
6,670 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-1378, Rev., FRDO, 1.35%, 09/04/03 6,670
3,830 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-196, FRDO, 0.93%, 09/04/03 3,830
5,395 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-643, Rev., FRDO, 0.93%, 09/04/03 5,395
---------------
26,065
NEW YORK -- 11.5%
24,795 ABN AMRO Munitops Certificate Trust, Ser.
2002-19, Rev., FRDO, MBIA-IBC, 1.08%, 09/05/03 24,795
270 Eagle Tax-Exempt Trust, Weekly Option Mode,
Ser. 96C-4901, Class A, #, FRDO, 0.95%, 09/03/03 270
2,300 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-522, Rev., FRDO, FSA,
0.86%, 09/04/03 2,300
9,700 Long Island Power Authority, Electric Systems,
Ser. D, Rev., FRDO, FSA, 0.80%, 09/04/03 9,700
10,600 Long Island Power Authority, Electric Systems, Sub
Ser. 3-B, Rev., FRDO, 0.80%, 09/01/03 10,600
31,000 Metropolitan Transportation Authority, 0.90%,
10/06/03 31,000
</Table>
See notes to financial statements.
67
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 9,440 Metropolitan Transportation Authority, Dedicated
Tax, FLOATS, Ser. PT-395, 0.86%, 09/04/03 $ 9,440
14,350 Metropolitan Transportation Authority, FLOATS, Ser.
PT-1547, Rev., FRDO, FGIC, 0.86%, 09/04/03 14,350
28,900 Metropolitan Transportation Authority, Ser. D-1,
Rev., FRDO, FSA, 0.85%, 09/04/03 28,900
10,000 Metropolitan Transportation Authority, Ser. D-2,
Rev., FRDO, FSA, 0.85%, 09/04/03 10,000
63,065 Metropolitan Transportation Authority, Ser. G-2,
Rev., FRDO, AMBAC, 0.76%, 09/03/03 63,065
25,000 Metropolitan Transportation Authority, Tax Exempt,
0.85%, 09/02/03 25,000
1,520 Monroe County Airport Authority, FLOATS, Ser.
PA-585, Rev., FRDO, MBIA, 0.87%, 09/06/03 1,520
7,555 Municipal Securities Trust Certificates, Ser. 2001-116,
Class A, Rev., FRDO, #, 0.83%, 09/04/03 7,555
11,300 Nassau County Interim Finance Authority, FLOATS,
Ser. PA-901, Rev., FRDO, AMBAC, 0.86%, 09/05/03 11,300
14,800 New York City IDA, Civic Facilities, Center for Jewish
History Project, Rev., FRDO, 0.79%, 09/01/03 14,800
400 New York City IDA, Civic Facilities, Municipal
Securities Trust Receipts, Ser. SGA-110, Rev., FRDO,
0.83%, 09/04/03 400
5,550 New York City Municipal Water Finance Authority,
Water & Sewer System, FLOATS, Ser. PA-446, Rev.,
Adj., FGIC, 0.84%, 09/04/03 5,550
50,710 New York City Municipal Water Finance Authority,
Water & Sewer System, Ser. F, Sub Ser. F-1, Rev.,
FRDO, 0.79%, 09/02/03 50,710
8,000 New York City Municipal Water Finance Authority,
Water & Sewer System, Ser. F, Sub Ser. F-2, Rev.,
FRDO, 0.77%, 09/01/03 8,000
13,900 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Fiscal Year 2003, Sub Ser.
C-2, Rev., FRDO, 0.80%, 09/02/03 13,900
4,995 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1045,
Rev., FRDO, 0.87%, 09/04/03 4,995
13,545 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1054,
0.86%, 09/04/03 13,545
5,885 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1076,
Rev., FRDO, 0.87%, 09/04/03 5,885
9,895 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1085,
Rev., FRDO, FGIC, 0.86%, 09/04/03 9,895
</Table>
See notes to financial statements.
68
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 6,385 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Municipal Securities Trust
Receipts, Ser. SGA-12, Rev., FRDO, 0.83%, 09/05/03 $ 6,385
2,000 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Municipal Securities Trust
Receipts, Ser. SGB-27, Rev., FRDO, FSA, 0.86%,
09/04/03 2,000
31,400 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC,
0.80%, 09/01/03 31,400
21,800 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. C, Rev., FRDO,
0.77%, 09/01/03 21,800
6,550 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC,
0.85%, 09/01/03 6,550
1,900 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC,
0.85%, 09/01/03 1,900
16,575 New York City Transitional Finance Authority,
Floating Rate Trust Receipts, Ser. L-11, Rev., FRDO,
0.85%, 09/03/03 16,575
8,995 New York City Transitional Finance Authority,
FLOATS, Ser. PA-1043-R, Rev., FRDO, 0.86%, 09/02/03 8,995
10,300 New York City Transitional Finance Authority,
Future Tax Secured, Ser. B, Rev., FRDO, 0.80%,
09/01/03 10,300
13,650 New York City Transitional Finance Authority,
Future Tax Secured, Ser. C, Rev., FRDO, 0.82%,
09/01/03 13,650
9,800 New York City Transitional Finance Authority, Future
Tax Secured, Sub Ser. C-4, Rev., FRDO, 0.77%, 09/01/03 9,800
15,840 New York City Transitional Finance Authority, Future
Tax Secured, Sub Ser. C-5, Rev., FRDO, 0.82%,
09/01/03 15,840
16,200 New York City Transitional Finance Authority,
Recovery, Ser. 1, Sub Ser. 1-E, Rev., FRDO,
0.79%, 09/04/03 16,200
2,100 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-B, Rev., FRDO,
0.88%, 09/01/03 2,100
88,200 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO,
0.79%, 09/02/03 88,199
12,500 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO,
0.79%, 09/02/03 12,500
</Table>
See notes to financial statements.
69
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 25,656 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO,
0.82%, 09/01/03 $ 25,656
52,600 New York City Transitional Finance Authority,
Rev., BAN, 2.50%, 11/06/03 52,690
39,700 New York City Transitional Finance Authority,
Sub Ser. 2-A, Rev., FRDO, 0.80%, 09/01/03 39,700
7,185 New York City Transitional Finance Authority,
Sub Ser. 2-E, Rev., FRDO, 0.79%, 09/02/03 7,185
4,300 New York City, New York, Housing Development
Corp., Multi-Family Housing, Monterey, Ser. A,
Rev., FRDO, 0.80%, 09/05/03 4,300
9,000 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGA-51, FRDO, AMBAC,
0.83%, 09/02/03 9,000
5,410 New York City, New York, Municipal Securities Trust
Receipts, Ser. SGB-33, GO, FRDO, FSA,
0.86%, 09/01/03 5,410
1,610 New York City, New York, Ser. B, GO, FRDO, FGIC,
0.80%, 09/01/03 1,610
8,500 New York City, New York, Ser. B, Sub Ser. B-4, GO,
FRDO, MBIA, 0.85%, 09/01/03 8,500
7,500 New York City, New York, Ser. B, Sub Ser. B-6, GO,
FRDO, MBIA, 0.80%, 09/01/03 7,500
9,200 New York City, New York, Ser. B-2, Sub. Ser. B-5,
GO, FRDO, MBIA, 0.80%, 09/01/03 9,200
5,000 New York City, New York, Ser. H, Sub Ser. H-2, GO,
FRDO, MBIA, 0.80%, 09/01/03 5,000
900 New York City, New York, Ser. H, Sub Ser. H-3, FRDO,
GO, FSA, 0.75%, 09/01/03 900
1,400 New York City, New York, Ser. H, Sub Ser. H-3, GO,
FRDO, FSA, 0.75%, 09/01/03 1,400
1,700 New York City, New York, Ser. H, Sub Ser. H-3, GO,
FRDO, FSA, 0.75%, 09/01/03 1,700
3,200 New York City, New York, Ser. H, Sub Ser. H-3, GO,
FRDO, FSA, 0.75%, 09/01/03 3,200
1,200 New York City, New York, Ser. H, Sub Ser. H-3, GO,
FRDO, FSA, 0.75%, 09/01/03 1,200
7,900 New York City, New York, Ser. H, Sub Ser. H-6, GO,
FRDO, MBIA, 0.74%, 09/02/03 7,900
20,000 New York City, New York, Sub Ser. A-3, GO, FRDO,
0.80%, 09/01/03 20,000
8,600 New York City, New York, Sub Ser. A-4, GO, FRDO,
0.80%, 09/01/03 8,600
7,600 New York City, New York, Sub Ser. A-4, GO, FRDO,
0.80%, 09/01/03 7,600
300 New York City, New York, Sub Ser. A-5, GO, FRDO,
0.85%, 09/01/03 300
</Table>
See notes to financial statements.
70
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 22,750 New York City, New York, Sub Ser. A-6, GO, FRDO,
FSA, 0.80%, 09/01/03 $ 22,750
12,000 New York City, New York, Sub Ser. C-5, GO, FRDO,
0.78%, 09/03/03 12,000
3,700 New York City, New York, Sub. Ser. E-3, GO, FRDO,
0.75%, 09/01/03 3,700
42,700 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-99, Rev., FRDO,
AMBAC, 0.84%, 09/03/03 42,700
11,100 New York State Dorm Authority, FLOATS,
Ser. PA-419, Rev., FRDO, 0.84%, 09/01/03 11,100
10,000 New York State Dorm Authority, FLOATS,
Ser. PT-1447, Rev., FRDO, MBIA, 0.84%, 09/04/03 10,000
7,000 New York State Dorm Authority, FLOATS,
Ser. PT-1621, Rev., FRDO, MBIA, 0.84%, 09/04/03 7,000
9,000 New York State Dorm Authority, FLOATS,
Ser. PT-1742, Rev., FRDO, MBIA, 0.84%, 09/04/03 9,000
8,140 New York State Dorm Authority, FLOATS,
Ser. PT-407, Rev., FRDO, AMBAC, 1.10%, 09/03/03 8,140
4,985 New York State Dorm Authority, New York Public
Library, Ser. A, Rev., FRDO, MBIA, 0.80%, 09/02/03 4,985
7,120 New York State Dormitory Authority, FLOATS,
Ser. PA-1089, Rev., FRDO, AMBAC, 0.84%, 09/04/03 7,120
6,445 New York State Dormitory Authority, FLOATS.
Ser. PA-773-R, Rev., FRDO, MBIA, 0.84%, 09/04/03 6,445
10,450 New York State Energy Research & Development
Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO,
AMBAC, 0.84%, 09/04/03 10,450
36,769 New York State Environmental Facilities Corp.,
Clean Water & Drinking, FLOATS, Ser. 731, Rev.,
FRDO, 0.85%, 09/04/03 36,769
4,695 New York State Environmental Facilities Corp.,
PCR, FLOATS, Ser. PA-174, Rev., FRDO, MBIA,
0.84%, 09/03/03 4,695
11,180 New York State Environmental Facilities Corp.,
PCR, FLOATS, Ser. PA-198, Rev., FRDO, MBIA,
0.84%, 09/04/03 11,180
7,750 New York State Environmental Facilities Corp.,
PCR, FLOATS, Ser. PA-906, Rev., FRDO,
0.84%, 09/04/03 7,750
6,600 New York State Housing Finance Agency, 10 Liberty
Street, Rev., FRDO, 0.80%, 09/04/03 6,600
17,200 New York State Housing Finance Agency,
Multi-Family Housing, Ser. A, Rev., FRDO,
0.85%, 09/03/03 17,200
4,300 New York State Housing Finance Agency,
Normandie Court I Project, Rev., FRDO,
0.75%, 09/05/03 4,300
</Table>
See notes to financial statements.
71
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 1,300 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-113, Rev., FRDO,
0.84%, 09/04/03 $ 1,300
9,000 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-72, #, 0.87%, 09/01/03 9,000
6,365 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PT-414, Rev., FRDO, #,
1.35%, 12/29/03 6,365
10,000 New York State Thruway Authority, Floating Rate
Trust Receipts, Ser. SG-119, Rev., FRDO,
0.80%, 09/01/03 10,000
6,580 New York State Thruway Authority, General
Highway & Bridge Trust Fund, FLOATS, Ser. PT-1800,
Rev., FRDO, MBIA, 0.84%, 09/04/03 6,580
7,310 New York State Thruway Authority, Highway & Bridge
Trust Fund, FLOATS, Ser. PT-1425, Rev., FRDO, FGIC,
0.84%, 09/04/03 7,310
11,040 New York State Thruway Authority, Highway
& Bridge Trust Fund, FLOATS, Ser. PT-1578, Rev.,
FRDO, MBIA, 0.84%, 09/04/03 11,040
15,200 New York State Urban Development Corp.,
Floating Rate Trust Receipts, Ser. SG-163,
0.84%, 09/04/03 15,200
12,600 New York State Urban Development Corp.,
FLOATS, Ser. 768, Rev., FRDO, MBIA-IBC,
0.85%, 09/04/03 12,600
5,245 New York State Urban Development Corp.,
FLOATS, Ser. PA-1108, Rev., FRDO, 0.84%, 09/04/03 5,245
7,290 New York State Urban Development Corp., FLOATS,
Ser. PT-1644, Rev., FRDO, 0.84%, 09/04/03 7,290
4,200 New York State, Housing Finance Agency, Saxony
Housing, 240 E. 39th St. Housing, Rev., FRDO,
0.82%, 09/04/03 4,200
15,910 Orange County IDA, Civic Facilities, Arden Hill
Hospital Project, Rev., FRDO, FSA, 0.80%, 09/04/03 15,910
13,090 Port Authority of New York & New Jersey, Rev.,
FRDO, 0.97%, 09/04/03 13,090
3,100 St. Lawrence County IDA, IDB, PCR, Reynolds Metals,
Rev., FRDO, 0.85%, 09/01/03 3,100
6,675 Triborough Bridge & Tunnel Authority, FLOATS, Ser.
PA-1090, Rev., FRDO, MBIA, 0.84%, 09/04/03 6,675
24,790 Triborough Bridge & Tunnel Authority, FLOATS, Ser.
PA-948, Rev., FRDO, 0.87%, 09/02/03 24,790
15,000 Triborough Bridge & Tunnel Authority, Ser. C, Rev.,
FRDO, AMBAC, 0.80%, 09/02/03 15,000
4,200 Triborough Bridge & Tunnel Authority, Special
Obligation, Ser. B, Rev., FRDO, FSA, 0.80%, 09/01/03 4,200
</Table>
See notes to financial statements.
72
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 7,000 Triborough Bridge & Tunnel Authority, Special
Obligation, Ser. D, Rev., FRDO, FSA, 0.78%, 09/07/03 $ 7,000
5,000 Ulster County, BAN, 1.75%, 06/11/04 5,029
---------------
1,305,028
NORTH CAROLINA -- 1.6%
15,350 Charlotte, North Carolina, Airport, Ser. D, Rev.,
FRDO, MBIA, 0.77%, 09/03/03 15,350
11,400 Charlotte, North Carolina, Government Facilities,
COP, Ser. F, FRDO, 1.03%, 11/29/03 11,400
4,700 Charlotte-Mecklenberg Hospital Authority, Health
Care Systems, Ser. D, Rev., FRDO, 0.79%, 09/04/03 4,700
1,700 Durham, North Carolina, Water & Sewer Utility
Systems, Rev., FRDO, 0.90%, 09/04/03 1,700
8,900 Fayetteville Public Works Commission, Rev., FRDO,
FSA, 0.79%, 09/03/03 8,900
2,500 Greensboro, North Carolina, Enterprise Systems,
Ser. B, Rev., FRDO, 0.85%, 09/02/03 2,500
20,190 Greensboro, North Carolina, Enterprise Systems,
Ser. B, Rev., FRDO, 0.85%, 09/04/03 20,190
600 Guilford County Industrial Facilities & PCFA,
Industrial Development, Neal Manufacturing,
Inc., Rev., FRDO, 0.95%, 09/01/03 600
4,900 Iredell County Public Facilities Corp., Iredell County
Schools Project, Rev., FRDO, AMBAC,
0.85%, 09/05/03 4,900
12,680 Mecklenburg County, FLOATS, Ser. PA-710, GO,
FRDO, (p), 0.83%, 09/04/03 12,680
22,445 Municipal Securities Trust Certificates, Ser. 2001-125,
Class A, GO, FRDO, #, 0.85%, 09/01/03 22,445
9,310 North Carolina Educational Facilities Finance Agency,
Elon College, Rev., FRDO, 0.82%, 09/03/03 9,310
7,460 North Carolina Housing Finance Agency, FLOATS,
Ser. PT-465, 0.93%, 09/04/03 7,460
19,530 North Carolina Medical Care Commission, Baptist
Hospitals Project, Rev., FRDO, 0.78%, 09/04/03 19,530
5,000 North Carolina Medical Care Commission, Health
Care Facilities, Union Regional Medical Center
Project, Ser. B, Rev., FRDO, 0.85%, 09/04/03 5,000
2,900 North Carolina Medical Care Commission, Hospital,
Lincoln Health Systems Project, Ser. A, Rev.,
FRDO, 0.85%, 09/01/03 2,900
5,900 North Carolina State, Ser. D, GO, FRDO,
0.80%, 09/04/03 5,900
19,935 Union County, Enterprise Systems, Ser. B, Rev.,
FRDO, FSA, 0.77%, 09/04/03 19,935
3,300 University of North Carolina at Chapel Hill, Ser. A,
Rev., FRDO, 0.80%, 09/01/03 3,300
---------------
178,700
</Table>
See notes to financial statements.
73
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
NORTH DAKOTA -- 0.1%
$ 3,900 Grand Forks, North Dakota, Health Care Facilities,
United Hospital Obligation Group, Ser. A, Rev.,
FRDO, 0.82%, 09/01/03 $ 3,900
7,095 North Dakota State Housing Finance Agency,
Ser. II-R-140, Rev., FRDO, 0.95%, 09/04/03 7,095
---------------
10,995
OHIO -- 1.1%
3,450 Columbus, Ohio, Ser. 1, GO, FRDO, 0.75%, 09/04/03 3,450
8,000 Franklin County, Franklin County Hospital,
Ser. II-R-55, Rev., FRDO, 0.90%, 09/04/03 8,000
4,395 Greene County, Fairview Extended, Ser. B, Rev.,
FRDO, 0.80%, 09/02/03 4,395
9,000 Hamilton County, Healthcare Facilities, Twin
Towers & Twin Lakes, Ser. A, Rev., FRDO,
0.95%, 09/04/03 9,000
14,000 Hamilton County, Healthcare Facilities, Twin
Towers & Twin Lakes, Ser. B, Rev., FRDO,
0.95%, 09/04/03 14,000
4,100 Hamilton County, Hospital Facilities, Health Alliance,
Ser. E, Rev., FRDO, MBIA, 0.78%, 09/03/03 4,100
14,000 Ohio State Air Quality Development Authority, JMG
Funding LTD Partnership, Ser. B, Rev., FRDO,
0.95%, 09/02/03 14,000
11,100 Ohio State Air Quality Development Authority, JMG
Funding LTD Partnership, Ser. B, Rev., FRDO,
0.95%, 09/04/03 11,100
500 Ohio State Air Quality Development Authority, PCR,
Ohio Edison Project, Ser. C, Rev., FRDO,0.90%, 09/01/03 500
8,975 Ohio State Building Authority, Floating Rate Trust
Receipts, Ser. L-41, Regulation D, Rev., FRDO,
0.95%, 09/04/03 8,975
10,440 Ohio State Building Authority, FLOATS, Ser. PA-908,
Rev., FRDO, AMBAC, 1.05%, 09/04/03 10,440
9,480 Ohio State Building Authority, FLOATS, Ser.
PA-939-P, Rev., FRDO, 0.88%, 09/04/03 9,480
4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev.,
FRDO, FGIC, 0.90%, 09/04/03 4,995
5,000 Ohio State Water Development Authority,
Environmental Facilities, Premcor Refining Group,
Rev., FRDO, 1.40%, 12/27/03 5,000
2,800 Ohio State Water Development Authority, PCR, Ohio
Edison Co. Project, Ser. B, Rev., FRDO,
0.89%, 09/01/03 2,800
10,000 Ohio State Water Development Authority, Pure
Water Development, Ser. B, Rev., FRDO, MBIA,
0.80%, 09/03/03 10,000
7,755 Ohio State, Ser. RR II-R-208, GO, FRDO, FSA,
1.00%, 09/04/03 7,755
---------------
127,990
</Table>
See notes to financial statements.
74
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
OKLAHOMA -- 0.4%
$ 4,815 Oklahoma Housing Finance Agency, Single Family
Mortgage, FLOATS, Ser. PT-342, Rev., FRDO,
1.05%, 09/01/03 $ 4,815
4,930 Oklahoma Housing Finance Agency, Single Family
Mortgage, FLOATS, Ser. PT-493, Rev., FRDO,
0.93%, 09/04/03 4,930
10,000 Payne County Economic Development Authority,
Student Housing, OSUF Phase III Project, Rev., FRDO,
AMBAC, 0.86%, 09/04/03 10,000
10,490 Tulsa County Home Finance Authority, Multi-Family
Housing, Waterford Apartments Project, Rev., FRDO,
0.85%, 09/04/03 10,490
4,780 Tulsa County Home Finance Authority, Single
Family Mortgage, FLOATS, Ser. PT-644, Rev., FRDO,
0.93%, 09/04/03 4,780
6,500 Tulsa Industrial Authority, Justin Industries Project,
Rev., FRDO, 0.85%, 09/04/03 6,500
---------------
41,515
OREGON -- 0.5%
5,200 Oregon State Department of Administrative Services,
State Lottery, FLOATS, Ser. PT-1394, Rev., FRDO, FSA,
0.88%, 09/04/03 5,200
8,200 Oregon State Housing & Community Services
Department, Department of Housing and
Development, Covenant Retirement, Ser. A, Rev.,
FRDO, 0.93%, 09/02/03 8,200
12,320 Oregon State Housing & Community Services
Department, Single Family Mortgage Program,
Ser. D, Rev., 1.18%, 04/15/04 12,320
2,515 Oregon State, Floating Rate Trust Receipts,
Ser. A-18, Regulation D, 0.95%, 09/07/03 2,515
15,750 State of Oregon Heath & Housing, 0.86%, 09/02/03 15,750
10,500 State of Oregon Heath & Housing, Tax Exempt,
0.85%, 09/02/03 10,500
---------------
54,485
PENNSYLVANIA -- 4.6%
6,745 Allegheny County Hospital Development Authority,
FLOATS, Ser. PA-748, Rev., FRDO, MBIA,
0.89%, 09/04/03 6,745
9,690 Berks County IDA, Health Care-Lutheran Services,
Ser. A, Rev., FRDO, AMBAC, 0.85%, 09/05/03 9,690
7,000 Bucks County IDA, Law School Admission Council,
Rev., FRDO, 0.80%, 09/03/03 7,000
4,645 Chester County Health & Educational Facilities
Authority, Barclay Friends Project, Ser. B, Rev.,
FRDO, 0.82%, 09/02/03 4,645
</Table>
See notes to financial statements.
75
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
PENNSYLVANIA -- CONTINUED
$ 8,300 Clarion County IDA, Energy Development, Piney
Creek Project, Rev., FRDO, 0.85%, 09/02/03 $ 8,300
7,420 Delaware Valley Regional Financial Authority, Local
Government, FLOATS, Ser. PT-1878, Rev., FRDO,
AMBAC, 0.84%, 09/04/03 7,420
9,245 Delaware Valley Regional Financial Authority,
Local Government, FLOATS, Ser. PT-792, Rev.,
FRDO, AMBAC, 0.84%, 09/04/03 9,245
12,495 Delaware Valley Regional Financial Authority, Local
Government, FLOATS, Ser. PA-1028, Rev., FRDO,
0.88%, 09/04/03 12,495
26,995 Delaware Valley Regional Financial Authority, Local
Government, FLOATS, Ser. PA-1041, Rev., FRDO,
0.88%, 09/04/03 26,995
13,815 Delaware Valley Regional Financial Authority, Local
Government, FLOATS, Ser. PT-749, Rev., FRDO,
0.88%, 09/04/03 13,815
9,200 Delaware Valley Regional Financial Authority, Local
Government, Rev., FRDO, 0.82%, 09/03/03 9,200
6,400 Delaware Valley Regional Financial Authority, Local
Government, Ser. A, Rev., FRDO, 0.82%, 09/01/03 6,400
5,000 Delaware Valley Regional Financial Authority, Local
Government, Ser. A, Rev., FRDO, 0.82%, 09/01/03 5,000
2,700 Delaware Valley Regional Financial Authority, Local
Government, Ser. A, Rev., FRDO, 0.82%, 09/01/03 2,700
700 Delaware Valley Regional Financial Authority, Local
Government, Ser. B, Rev., FRDO, 0.82%, 09/01/03 700
14,400 Delaware Valley Regional Financial Authority, Local
Government, Ser. D, Rev., FRDO, 0.82%, 09/03/03 14,400
5,900 Eagle Tax Exempt Trust, Weekly Option Mode,
Class A, FRDO, #, 0.90%, 09/03/03 5,900
11,600 Emmaus General Authority, Pennsylvania Loan
Project, Ser. A, Rev., FRDO, FSA, 0.85%, 09/04/03 11,600
35,000 Emmaus General Authority, Rev., FRDO, FSA, (p),
0.85%, 09/01/03 35,000
42,500 Emmaus General Authority, Ser. D, Rev., FRDO,
0.88%, 09/01/03 42,500
7,090 Emmaus General Authority, Sub Ser. G-16, Rev.,
FRDO, 0.86%, 09/02/03 7,090
8,135 Lehigh County, FLOATS, Ser. PA-976, 0.84%, 09/04/03 8,135
10,000 Montgomery County Redevelopment Authority,
Multi-Family Housing, Kingswood Apartments
Project, Ser. A, Rev., FRDO, 0.80%, 09/01/03 10,000
13,330 North Penn Water Authority, Municipal Securities
Trust Receipts, Ser. SGA-30, Rev., FRDO, FGIC,
0.90%, 09/02/03 13,330
</Table>
See notes to financial statements.
76
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
PENNSYLVANIA -- CONTINUED
$ 7,600 Pennsylvania Convention Center Authority, FLOATS,
Ser. PT-1224, Rev., FRDO, FGIC, 0.84%, 09/04/03 $ 7,600
4,880 Pennsylvania Energy Development Authority, B&W
Ebensburg Project, Rev., FRDO, 0.85%, 09/04/03 4,880
5,200 Pennsylvania Higher Education Assistance Agency,
Student Loan, Ser. A, Rev., FRDO, AMBAC,
0.85%, 09/04/03 5,200
10,000 Pennsylvania Higher Education Assistance Agency,
Student Loan, Ser. C, Rev., FRDO, AMBAC,
0.85%, 09/03/03 10,000
9,630 Pennsylvania Intergovernmental Cooperative
Authority, Floating Rate Receipts, Ser. SG-67, Rev.,
FRDO, FGIC, 0.84%, 09/03/03 9,630
5,500 Pennsylvania State Higher Education Assistance
Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC,
0.85%, 09/04/03 5,500
8,800 Pennsylvania State Higher Education Assistance
Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC,
0.90%, 09/04/03 8,800
12,180 Pennsylvania State, FLOATS, Ser. PT-1793, GO, FRDO,
0.84%, 09/04/03 12,180
12,300 Pennsylvania Turnpike Commission, Ser. A-3, Rev.,
FRDO, 0.85%, 09/04/03 12,300
8,900 Pennsylvania Turnpike Commission, Ser. B, Rev.,
FRDO, 0.82%, 09/04/03 8,900
20,000 Philadelphia, Pennsylvania, GO, TRAN,
2.00%, 06/30/04 20,163
700 Philadelphia, Pennsylvania, Water & Wastewater
Systems, Floating Rate Receipts, Ser. SG-158,
Rev., FRDO, FGIC, 0.84%, 09/04/03 700
6,170 Philadelphia, Pennsylvania, Water & Wastewater
Systems, Floating Rate Trust Receipts, Ser. L-16,
Regulation D, Rev., FRDO, FGIC, 0.90%, 09/04/03 6,170
65,800 Philadelphia, Pennsylvania, Water & Wastewater
Systems, Rev., FRDO, FSA, 0.79%, 09/02/03 65,800
10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts,
Ser. SG-71, 0.84%, 09/03/03 10,905
19,800 Sayre Health Care Facilities Authority, VHR
Pennsylvania Capital Financing Project, Ser. K, Rev.,
FRDO, AMBAC, 0.85%, 09/02/03 19,800
10,000 Sayre Health Care Facilities Authority, VHR
Pennsylvania Capital Financing Project, Ser. M, Rev.,
FRDO, AMBAC, 0.85%, 09/02/03 10,000
11,500 Temple University of the Commonwealth System,
Higher Education, Rev., 1.20%, 05/04/04 11,500
7,500 University of Pittsburgh, Commonwealth System of
Higher Education, University Capital Project, Ser B.,
Rev., FRDO, 0.80%, 09/03/03 7,500
</Table>
See notes to financial statements.
77
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
PENNSYLVANIA -- CONTINUED
$ 7,500 University of Pittsburgh, Commonwealth System of
Higher Education, University Capital Project,
Ser B., Rev., FRDO, 0.80%, 09/03/03 $ 7,500
---------------
523,333
PUERTO RICO -- 0.5%
7,995 Puerto Rico Commonwealth, Floater, Ser. 838, GO,
FRDO, MBIA, 1.05%, 09/04/03 7,995
3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625,
GO, FRDO, AMBAC, 0.81%, 09/04/03 3,315
16,535 Puerto Rico Commonwealth, FLOATS, Ser. PA-659,
GO, FRDO, MBIA, 0.81%, 09/04/03 16,535
800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226,
0.81%, 09/06/03 800
1,700 Puerto Rico Commonwealth, Trust Receipts, Ser. 3,
Class F, GO, FRDO, MBIA, 0.83%, 09/04/03 1,700
18,745 Puerto Rico Electric Power Authority, FLOATS, Ser.
PA-1044, Rev., FRDO, FSA, 0.81%, 09/02/03 18,745
4,900 Puerto Rico Government Development Bank, Rev.,
FRDO, MBIA, 0.69%, 09/04/03 4,900
1,600 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 815-D, Rev., FRDO, MBIA,0.86%, 09/04/03 1,600
600 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. PA-472, Rev., FRDO, FSA,0.81%, 09/04/03 600
1,200 Puerto Rico Highway & Transportation Authority,
Ser. 816, Rev., FRDO, MBIA, 0.86%, 09/04/03 1,200
1,330 Puerto Rico Highway & Transportation Authority,
Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA,
0.83%, 09/04/03 1,330
1,700 TICS/TOCS Trust, Commonwealth of Puerto Rico,
Ser. 2001-2, GO, FRDO, FSA, 0.83%, 09/05/03 1,700
---------------
60,420
RHODE ISLAND -- 0.5%
5,900 Rhode Island Clean Water Finance Agency, PCR,
FLOATS, Ser. PT-1535, 0.88%, 09/04/03 5,900
4,100 Rhode Island Health & Educational Building Corp.,
Hospital Financing Care New England, Ser. A, Rev.,
FRDO, 0.90%, 09/01/03 4,100
4,700 Rhode Island Health & Educational Building Corp.,
Moses Brown School Issue, Rev., FRDO, MBIA,
0.90%, 09/01/03 4,700
8,500 Rhode Island Industrial Facilities Corp., Marine Terminal,
Exxon-Mobil Project, Rev., FRDO, 0.80%, 09/01/03 8,500
26,365 Rhode Island State & Providence Plantations,
Consolidated Capital Development Loan, Ser. B, GO,
FRDO, 0.80%, 09/04/03 26,365
8,450 Rhode Island State, FLOATS, Ser. PT-1589, COP,
FRDO, MBIA, 0.88%, 09/04/03 8,450
---------------
58,015
</Table>
See notes to financial statements.
78
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
SOUTH CAROLINA -- 0.7%
$ 3,000 Cherokee County, IDB, Oshkosh Truck Project, Rev.,
FRDO, 1.00%, 09/03/03 $ 3,000
7,480 Darlington County, PCR, Floating Rate Receipts,
Ser. L-36, Rev., FRDO, AMBAC, 0.90%, 09/03/03 7,480
2,150 Florence County, Solid Waste Disposal & Wastewater
Treatment, Roche Carolina, Inc., Rev., FRDO,
0.90%, 09/01/03 2,150
2,000 South Carolina Jobs & Economic Development
Authority, Concept Packaging Group Project, Rev.,
FRDO, 1.00%, 09/05/03 2,000
28,900 South Carolina Jobs & Economic Development
Authority, FLOATS, Ser. PT- 499, Rev., FRDO,
1.03%, 09/04/03 28,900
3,375 South Carolina Jobs & Economic Development
Authority, South Carolina Catholic Diocese Project,
Rev., FRDO, 0.90%, 09/04/03 3,375
4,600 South Carolina Jobs & Economic Development
Authority, Specialty Minerals Project, Rev., FRDO,
0.95%, 09/02/03 4,600
3,450 South Carolina Jobs & Economic Development
Authority, Valley Proteins, Inc. Project, Rev., FRDO,
0.95%, 09/06/03 3,450
4,710 South Carolina State Housing Finance
& Development Authority, Rental Housing,
Oak Ridge/McGuire, FRDO, 0.85%, 09/03/03 4,710
2,645 South Carolina State Housing Finance
& Development Authority, Rental
Housing, Waverly Place Project, Rev.,
FRDO, 0.85%, 09/07/03 2,645
5,310 South Carolina State Public Service Authority,
FLOATS, Ser. PT-1525, Rev., FRDO, FSA,
0.88%, 09/04/03 5,310
6,000 South Carolina State, FLOATS, Ser. PT-1225, FRDO,
0.84%, 09/04/03 6,000
3,030 South Carolina State, FLOATS, Ser. PT-423,
0.88%, 09/04/03 3,030
8,085 University of South Carolina, Athletic Facilities,
Ser. B, Rev., BAN, 2.00%, 03/19/04 8,123
---------------
84,773
SOUTH DAKOTA -- 0.0%^
4,710 South Dakota Economic Development Finance
Authority, Hastings Filters, Inc. Project, Rev., FRDO,
1.00%, 09/01/03 4,710
195 South Dakota Housing Development Authority,
FLOATS, Ser. PT-73, FRDO, 0.88%, 09/04/03 195
---------------
4,905
</Table>
See notes to financial statements.
79
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
TENNESSEE -- 2.7%
$ 5,000 ABN-AMRO Munitops Certificate Trust, Ser.
2002-25, GO, FRDO, MBIA, 1.05%, 11/07/03 $ 5,000
4,000 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-1-E, Rev.,
FRDO, AMBAC, 0.82%, 09/01/03 4,000
3,195 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-1-F, Rev.,
FRDO, AMBAC, 0.82%, 09/01/03 3,195
3,740 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-2-F, Rev.,
FRDO, AMBAC, 0.82%, 09/01/03 3,740
1,120 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-2C, Rev.,
FRDO, AMBAC, 0.82%, 09/01/03 1,120
30,970 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-4-A, Rev.,
FRDO, 0.82%, 09/01/03 30,970
12,865 Bristol Health & Educational Facilities Board, FLOATS,
Ser. PA-1096, Rev., FRDO, FGIC, 0.88%, 09/04/03 12,865
4,845 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Fund, Rev.,
FRDO, 0.85%, 09/01/03 4,845
21,700 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Fund,
Rev., FRDO, 0.85%, 09/01/03 21,700
36,180 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Fund, Rev.,
FRDO, 0.85%, 09/01/03 36,180
3,000 Jackson IDB, Solid Waste Disposal, Florida Steel
Corp. Project, FRDO, 0.95%, 09/03/03 3,000
100 Knoxville Utilities Board, Wastewater Systems, Rev.,
FRDO, FSA, 0.81%, 09/01/03 100
7,485 Knoxville, Tennessee, Utilities Board, Gas Systems,
Rev., FRDO, 0.81%, 09/01/03 7,485
14,000 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board,
Ascension Health Credit, Ser. B-2, Rev., FRDO,
1.25%, 01/05/04 14,000
14,800 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board, Belmont
University Project, Rev., FRDO, 0.83%, 09/03/03 14,800
20,000 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board,
Vanderbilt University, Ser. B, Rev., FRDO,
0.80%, 09/01/03 20,000
2,500 Metropolitan Government Nashville & Davidson
County IDB, Country Music Hall of Fame, Rev.,
FRDO, 0.85%, 09/02/03 2,500
</Table>
See notes to financial statements.
80
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
TENNESSEE -- CONTINUED
$ 3,345 Metropolitan Government Nashville & Davidson
County IDB, L&S LLC Project, Rev., FRDO,
0.95%, 09/04/03 $ 3,345
2,495 Metropolitan Government Nashville & Davidson
County, Energy, FLOATS, Ser. PT-1526, Rev., FRDO,
AMBAC, 0.88%, 09/04/03 2,495
6,995 Metropolitan Government Nashville & Davidson
County, FLOATS, Ser. PT-394, GO, FRDO,
0.89%, 09/03/03 6,995
7,000 Metropolitan Government Nashville & Davidson
County, Health & Educational Facility Board, Ascension
Health Credit, Ser. B-1, Rev., FRDO, 1.00%, 12/31/03 7,000
16,000 Metropolitan Government of Nashville,
0.90%, 01/07/04 16,000
4,900 Montgomery County Public Building Authority,
Pooled Financing, Montgomery County Loan Pool,
Rev., FRDO, 0.85%, 09/05/03 4,900
31,310 Montgomery County Public Building Authority,
Pooled Financing, Tennessee County Loan Pool,
Rev., FRDO, 0.85%, 09/01/03 31,310
1,500 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-A-1, Rev.,
FRDO, AMBAC, 0.87%, 09/02/03 1,500
2,500 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-A-2, Rev.,
FRDO, AMBAC, 0.87%, 09/02/03 2,500
6,000 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-C-2, Rev.,
FRDO, AMBAC, 0.87%, 09/04/03 6,000
1,005 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-D-3, Rev.,
FRDO, AMBAC, 0.87%, 09/07/03 1,005
3,200 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. III-B-3, Rev.,
FRDO, AMBAC, 0.87%, 09/04/03 3,200
6,800 Sevier County Public Building Authority, Local
Government Public Improvement,
Ser. III-C-5, Rev., FRDO, AMBAC, 0.87%, 09/02/03 6,800
1,600 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. III-D-3, Rev.,
FRDO, AMBAC, 0.87%, 09/01/03 1,600
2,500 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. III-E-3, Rev.,
FRDO, AMBAC, 0.87%, 9/01/03 2,500
5,155 Shelby County Health, Educational & Housing Facilities
Board, Rhodes College, Rev., FRDO, 0.85%, 09/01/03 5,155
500 South Pittsburg IDB, Lodge Manufacturing
Co. Project, Rev., FRDO, 0.95%, 09/03/03 500
</Table>
See notes to financial statements.
81
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
TENNESSEE -- CONTINUED
$ 18,050 Stewart County IDB, Solid Waste Disposal, Standard
Gypsum Project, Rev., FRDO, 0.89%, 09/04/03 $ 18,050
---------------
306,355
TEXAS -- 12.8%
31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999-6,
FRDO, #, 0.92%, 09/04/03 31,495
10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-9,
FRDO, #, 0.92%, 09/03/03 10,000
13,280 ABN AMRO Munitops Certificate Trust, Ser. 2000-10,
FRDO, MBIA, 0.92%, 09/04/03 13,280
14,990 ABN AMRO Munitops Certificate Trust, Ser. 2000-11,
FRDO, 0.97%, 09/05/03 14,990
16,685 ABN AMRO Munitops Certificate Trust, Ser. 2000-13,
Class C, FRDO, 1.20%, 02/29/04 16,685
8,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-26,
GO, FRDO, 0.92%, 09/03/03 8,000
5,500 ABN AMRO Munitops Certificate Trust, Ser. 2002-16,
GO, FRDO, 0.89%, 02/29/04 5,500
35,800 Aldine Independent School District, School Buildings,
GO, FRDO, 1.00%, 10/17/03 35,800
2,900 Angelina & Neches River Authority, IDB, Solid Waste,
Ser. 1984-D, Rev., FRDO, 0.87%, 09/01/03 2,900
4,200 Angelina & Neches River Authority, IDB, Solid Waste,
Ser. 1984-E, Rev., FRDO, 0.87%, 09/01/03 4,200
5,595 Arlington Independent School District, FLOATS, Ser.
PA-874, GO, FRDO, 0.88%, 09/04/03 5,595
4,350 Austin Higher Education Authority, Concordia
University at Austin, Rev., FRDO, 0.85%, 09/01/03 4,350
5,000 Austin, Texas, Electric Utilities System, Ser. 2003-0032,
Class A, Rev., FRDO, MBIA, 0.90%, 09/04/03 5,000
995 Bexar County Health Facilities Development Corp.,
FLOATS, Ser. PT-444, Rev., FRDO, 0.88%, 09/04/03 995
9,100 Bexar County Housing Finance Authority,
Multi-Family Housing, Altamonte Apartment
Projects, Rev., FRDO, 0.80%, 09/01/03 9,100
11,375 Bexar County Housing Finance Authority,
Multi-Family Housing, Fountainhead Apartments,
Rev., FRDO, 0.80%, 09/05/03 11,375
6,610 Brazos River Authority, FLOATS, Ser. PT-679, Rev.,
FRDO, MBIA, 0.88%, 09/04/03 6,610
4,200 Brazos River Habor Navigation District, Brazoria
County Environmental, Merey Sweeny LP Project,
Ser. A, Rev., FRDO, 0.92%, 09/01/03 4,200
22,400 Brownsville, Texas, Utilities Systems, Sub Lien, Ser.
B, Rev., FRDO, MBIA, 0.85%, 09/04/03 22,400
8,719 Collin County Housing Finance Corp., Multi-Family
Housing, Preston Bend Apartments Project, Rev.,
FRDO, 0.80%, 09/04/03 8,719
</Table>
See notes to financial statements.
82
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
TEXAS -- CONTINUED
$ 10,445 Dallas Area Rapid Trust, 0.85%, 09/04/03 $ 10,445
5,000 Dallas-Fort Worth International Airport Facilities
Improvement Corp., Flight Safety Project, Rev.,
FRDO, 0.93%, 09/05/03 5,000
4,995 Dallas-Fort Worth International Airport Facilities
Improvement Corp., FLOATS, Ser. PT-805, Rev., FRDO,
FSA, 1.15%, 09/04/03 4,995
200 Dallas-Fort Worth Regional Airport, Municipal
Securities Trust Receipts, Ser. SGA-49, FRDO,
MBIA, 0.92%, 09/01/03 200
5,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Class A, #, 0.90%, 09/03/03 5,000
10,475 Eagle Tax Exempt Trust, Weekly Option Mode,
Round Rock, Texas, COP, Ser. 2001-4304, Class A,
0.90%, 09/05/03 10,475
2,420 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 3C-7, Class A, #, FRDO, 0.90%, 09/01/03 2,420
3,910 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 99-4302, #, FRDO, 0.90%, 09/03/03 3,910
5,000 Greater East Texas Higher Education Authority,
Ser. B, Rev., FRDO, 0.88%, 09/01/03 5,000
25,000 Greater Texas Student Loan Corp., Ser. A, Rev.,
FRDO, 0.88%, 09/02/03 25,000
10,000 Greater Texas Student Loan Corp., Ser. A, Rev.,
FRDO, 0.88%, 09/04/03 10,000
17,500 Guadalupe-Blanco River Authority, PCR, Central
Power & Light Co. Project, Rev.,
FRDO, 0.85%, 09/01/03 17,500
3,100 Gulf Coast IDA, Marine Terminal, Amoco Oil Co.
Project, Rev., FRDO, 0.90%, 09/01/03 3,100
5,800 Gulf Coast IDA, Tax Exempt Facilities, BP Global
Power Corp. Project, Rev., FRDO, 0.90%, 09/01/03 5,800
4,800 Gulf Coast Waste Disposal Authority, Environmental
Facilities, ExxonMobil Project, Ser. B, Rev., FRDO,
0.85%, 09/01/03 4,800
23,515 Gulf Coast Waste Disposal Authority, PCR, Amoco
Oil Co. Project, Rev., FRDO, 0.80%, 09/01/03 23,515
5,700 Gulf Coast Waste Disposal Authority, PCR, Exxon
Project, Rev., FRDO, 0.67%, 09/01/03 5,700
5,000 Harlandale Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-100, GO,
FRDO, 0.90%, 09/05/03 5,000
9,540 Harris County Health Facilities Development
Authority, FLOATS, Ser. PT-1665, Rev., FRDO,
(p), 0.88%, 09/04/03 9,540
52,792 Harris County, GO, 0.90%, 12/03/03 52,792
31,500 Harris County, Promissory Note, 0.90%, 10/08/03 31,500
</Table>
See notes to financial statements.
83
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
TEXAS -- CONTINUED
$ 7,225 Harris County, Ser. RR-II-R-1029, Rev., FRDO,
FSA, 0.90%, 09/02/03 $ 7,225
4,700 Harris County, Toll Road, 0.90%, 10/08/03 4,700
6,800 Hays Memorial Health Facilities Development Corp.,
Central Texas Medical Center Project, Ser. A, Rev.,
FRDO, 0.85%, 09/01/03 6,800
29,245 Houston Higher Education Finance Corp., Floating
Rate Receipts, Ser. SG-139, Rev., FRDO,
0.88%, 09/04/03 29,245
1,965 Houston Housing Finance Corp., Single Family
Mortgage, FLOATS, Ser. PT-1, FRDO, FSA, 0.88%,
09/04/03 1,965
13,300 Houston Housing Finance Corp., Single Family
Mortgage, Ser. B, Rev., 1.18%, 10/30/03 13,300
17,500 Houston, Texas, Airport Systems, Floating Rate
Receipts, Ser. SG-149, Rev., FRDO, FSA, 0.90%,
09/03/03 17,500
18,925 Houston, Texas, Floating Rate Certificates, COP, Ser.
523, FRDO, MBIA, 0.89%, 09/04/03 18,925
4,335 Houston, Texas, FLOATS, Ser. PT-781, GO, FRDO, FSA,
0.88%, 09/04/03 4,335
3,000 Houston, Texas, Rev., FRDO, 0.90%, 09/04/03 3,000
30,000 Houston, Texas, Water & Sewer Systems, 0.87%,
10/08/03 30,000
11,270 Hurst-Euless-Bedford Independent School District,
Floating Rate Receipts, Ser. SG-98, GO, FRDO,
0.88%, 09/04/03 11,270
6,500 Keller Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-111, GO, FRDO,
0.90%, 09/01/03 6,500
14,285 Keller Independent School District, Municipal Trust
Certificates, Ser. 30, Class A, FRDO, 1.03%, 09/02/03 14,285
19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590,
Rev., FRDO, FSA, 0.88%, 09/01/03 19,425
13,175 Lower Neches Valley Authority Industrial
Development Corp., Exempt Facilities, ExxonMobil
Project, Ser. A, Rev., FRDO, 0.80%, 09/01/03 13,175
3,400 Lower Neches Valley Authority Industrial
Development Corp., Onyx Environmental Services,
Rev., FRDO, 0.95%, 09/04/03 3,400
5,455 Mansfield Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-129, GO, FRDO,
0.90%, 09/03/03 5,455
5,290 Mission Consolidated Independent School District,
Municipal Securities Trust Receipts, Ser. SGA-105, GO,
FRDO, 0.90%, 09/05/03 5,290
</Table>
See notes to financial statements.
84
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
TEXAS -- CONTINUED
$ 17,050 New Caney Independent School District, Floating
Rate Certificates, Ser. SG-142, GO, FRDO,
0.88%, 09/04/03 $ 17,050
7,885 North Central Texas Health Facility Development
Corp., FLOATS, Ser. PT-1411, Rev., FRDO, AMBAC,
0.88%, 09/04/03 7,885
20,000 North East Independent School District, Floating
Rate Certificates, Ser. SG-143, GO, FRDO,
0.88%, 09/02/03 20,000
1,400 North Texas Higher Education Authority, Student
Loan, Ser. F, Rev., FRDO, AMBAC, 0.90%, 09/02/03 1,400
20,000 North Texas Tollway Authority, Floating Rate
Receipts, Ser. SG-168, Rev., FRDO, AMBAC,
0.88%, 09/04/03 20,000
4,000 Pasadena Independent School District, Ser. A, GO,
FRDO, 1.35%, 08/15/04 4,000
11,735 Pharr San Juan Alamo Independent School District,
Municipal Securities Trust Receipts, Ser. SGA-101,
GO, FRDO, 0.90%, 09/04/03 11,735
12,500 Port Arthur Navigation District, Texaco, Inc. Project,
Rev., FRDO, 0.87%, 09/01/03 12,500
9,000 Port Corpus Christi Authority, Nueces County Marine
Terminal, Reynolds Metals Co. Project, Rev.,
FRDO, 0.90%, 09/04/03 9,000
8,485 Richardson, Texas, Refinancing & Improvement, GO,
FRDO, 1.00%, 06/16/04 8,485
8,780 San Angelo Independent School District, GO, FRDO,
0.83%, 09/04/03 8,780
10,760 San Antonio, Texas, Electric & Gas, FLOATS, Ser.
PT-1498, Rev., FRDO, 0.89%, 09/04/03 10,760
11,190 San Antonio, Texas, Electric & Gas, FLOATS, Ser.
SG-101, (p), 0.88%, 09/04/03 11,190
9,540 San Antonio, Texas, Electric & Gas, FLOATS, Ser.
SG-105, (p), 0.88%, 09/04/03 9,540
11,000 San Antonio, Texas, Electric & Gas, Junior Lien,
Rev., FRDO, 0.90%, 09/04/03 11,000
10,315 San Antonio, Texas, Electric & Gas, Municipal
Securities Trust Receipts, Ser. SGA-48, Rev., FRDO,
#, 0.90%, 09/05/03 10,315
40,000 San Antonio, Texas, Water Authority, Tax Exempt,
0.85%, 09/09/03 40,000
3,935 San Antonio, Texas, Water, FLOATS, Ser. SG-159,
Rev., Adj., FSA, 0.88%, 09/04/03 3,935
10,430 San Antonio, Texas, Water, Municipal Securities Trust
Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 0.90%,
09/01/03 10,430
</Table>
See notes to financial statements.
85
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
TEXAS -- CONTINUED
$ 5,000 San Antonio, Texas, Water, Municipal Securities Trust
Receipts, Ser. SGA-42, Rev., FRDO, MBIA, 0.90%,
09/01/03 $ 5,000
9,000 Schertz-Seguin Local Government Corp., Texas
Contract, Floating Rate Certificates, Ser. SG-151, Rev.,
FRDO, FSA, 0.85%, 09/01/03 9,000
3,430 Tarrant County Housing Finance Corp., Multi-Family
Housing, Remington Project, Rev., FRDO, 0.85%,
09/01/03 3,430
1,440 Tarrant Regional Water District, FLOATS, Ser.
PT-1691, Rev., FRDO, FSA, 0.91%, 09/04/03 1,440
9,250 Texas Department of Housing & Community Affairs,
Multi-Family Housing, Reading, Rev., FRDO, 0.90%,
09/02/03 9,250
2,500 Texas State Affordable Housing Corp., Multi-Family
Housing, Ser. 780, Rev., FRDO, MBIA, 0.89%,
09/04/03 2,500
1,100 Texas State Department of Housing & Community
Affairs, Multi-Family Housing, Timber Point
Apartments, Ser. A-1, Rev., FRDO, 0.90%, 09/01/03 1,100
20,000 Texas State Turnpike Authority, Central Texas
Turnpike Authority, First Tier, Ser. B, Rev., FRDO,
AMBAC, 0.77%, 09/04/03 20,000
3,000 Texas State Turnpike Authority, Dallas North Thruway,
Floating Rate Receipts, Ser. SG-70, 0.88%, 09/03/03 3,000
4,200 Texas State, Floating Rate Certificates, Ser. 290, GO,
FRDO, (p), 0.89%, 09/04/03 4,200
9,970 Texas State, Floating Rate Certificates, Ser. SG-152,
GO, FRDO, 0.85%, 09/01/03 9,970
8,100 Texas State, Ser. A, GO, 5.70%, 10/01/03 8,129
442,600 Texas State, TRAN, 2.00%, 08/31/04 446,312
4,110 Texas State, Veteran's Housing Assistance, Ser. A-1,
GO, FRDO, 0.95%, 09/02/03 4,110
5,625 Trinity River Authority, Ser. RR-II-R-2006, Rev., FRDO,
MBIA, 0.90%, 09/04/03 5,625
4,255 University of Texas, Municipal Trust Certificates, Ser.
ZTC-52, Class A, Rev., FRDO, 1.03%, 09/04/03 4,255
6,000 West Harris County Regional Water Authority,
Municipal Securities Trust Receipts, Ser. SGA-148,
Rev., FRDO, #, MBIA, 0.90%, 09/03/03 6,000
3,600 West Side Calhoun County Naval District, Sewer &
Solid Waste Disposal, BP Chemicals, Inc. Project,
Rev., FRDO, 0.90%, 09/01/03 3,600
---------------
1,453,607
UTAH -- 2.6%
600 Carbon County, PCR, PacifiCorp Project, Rev., FRDO,
AMBAC, 0.85%, 09/01/03 600
12,000 Intermountain Power Agency, 0.83%, 09/03/03 12,000
</Table>
See notes to financial statements.
86
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
UTAH -- CONTINUED
$ 13,200 Intermountain Power Agency, 0.85%, 09/02/03 $ 13,200
60,000 Intermountain Power Agency, 0.90%, 09/02/03 60,000
15,000 Intermountain Power Agency, 0.95%, 09/04/03 15,000
7,665 Intermountain Power Agency, Power Supply,
Municipal Trust Receipts, Ser. SG-6, 0.88%, 09/03/03 7,665
7,500 Intermountain Power Agency, Power Supply, Ser. E,
Rev., FRDO, AMBAC, 0.97%, 10/30/03 7,500
5,330 Salt Lake City Municipal Building Authority, FLOATS,
Ser. PT-1744, Rev., FRDO, AMBAC, 0.88%, 09/04/03 5,330
18,680 Salt Lake City, Utah, Airport, Ser. A, Rev., FRDO,
0.88%, 09/04/03 18,680
4,000 Salt Lake City, Utah, Rowland Hall St. Marks School
Project, Rev., FRDO, 0.83%, 09/03/03 4,000
5,240 Salt Lake City, Utah, Salt Lake City Airport, Floating
Rate Trust Receipts, Ser. 2002-L, Class 20, Rev., FRDO,
FGIC, 0.90%, 09/04/03 5,240
7,645 Salt Lake County, FLOATS, Ser. PT-420, GO, FRDO,
0.97%, 09/04/03 7,645
28,560 University of Utah, Floating Rate Trust Receipts, Ser.
N-15, Regulation D, Rev., FRDO, MBIA, 0.95%,
09/04/03 28,560
52,900 Utah County, Utah Hospital, IHC Health Services, Inc.,
Ser. C, Rev., FRDO, 0.85%, 09/01/03 52,900
7,000 Utah Housing Corp., Single-Family Mortgage, Ser.
E-1, Class I, Rev., FRDO, 0.90%, 09/03/03 7,000
5,000 Utah Housing Finance Agency, Single Family
Mortgage, Ser. C-1, Class I, Rev., FRDO, 0.90%,
09/02/03 5,000
6,610 Utah Housing Finance Agency, Single Family
Mortgage, Ser. D-1, Rev., FRDO, 0.90%, 09/01/03 6,610
4,235 Utah Housing Finance Agency, Single Family
Mortgage, Ser. E-1, Rev., FRDO, 0.90%, 09/02/03 4,235
4,995 Utah Housing Finance Agency, Single Family
Mortgage, Ser. F-2, Class I, Rev., FRDO,
0.90%, 09/01/03 4,995
11,200 Utah State Board of Regents, Student Loan Weekly
Amount, Ser. Q, Rev., FRDO, AMBAC, 0.90%,
09/03/03 11,200
21,000 Utah Transit Authority, Sales Tax & Transportation,
Utah Light Rail Transit, Rev., FRDO, 0.80%, 09/01/03 21,000
---------------
298,360
VERMONT -- 0.2%
11,400 Vermont Economic Development Authority, 0.90%,
10/07/03 11,400
5,900 Vermont Educational & Health Buildings Financing
Agency, Hospital, VHA New England, Ser. D, Rev.,
FRDO, AMBAC, 0.85%, 09/05/03 5,900
</Table>
See notes to financial statements.
87
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
VERMONT -- CONTINUED
$ 5,000 Vermont Student Assistance Corp., Student Loans,
Rev., FRDO, 1.00%, 09/01/03 $ 5,000
---------------
22,300
VIRGINIA -- 0.6%
2,400 Alexandria Redevelopment & Housing Authority,
Residential Care Facility, Multi-Mode, First Mortgage,
Goodwin House, Ser. B, Rev., FRDO, 0.80%,
09/01/03 2,400
3,600 Fairfax County, Energy Northwest Electric, FLOATS,
Ser. PA-977R, GO, FRDO, 0.84%, 09/04/03 3,600
2,000 Harrisonburg Redevelopment & Housing Authority,
Multi-Family Housing, Misty Ridge Project, Ser. A,
Rev., FRDO, 0.88%, 09/01/03 2,000
8,000 James City & County IDA, Multi-Family Housing,
Chambrel Project, Rev., FRDO, 0.85%, 09/02/03 8,000
4,400 King George County IDA, Exempt Facilities,
Birchwood Power Partners Project, Rev. FRDO,
0.90%, 09/01/03 4,400
9,340 Loudoun County IDA, Howard Hughes Medical
Center, Ser. A, Rev., FRDO, 0.82%, 09/01/03 9,340
23,590 Virginia Commonwealth Transportation Board,
Floating Rate Receipts, Ser. SG-137, Rev., FRDO,
0.88%, 09/04/03 23,590
8,885 Virginia Public School Authority, FLOATS, Ser. PT-431,
Rev., FRDO, 0.84%, 09/02/03 8,885
11,100 Virginia State, IDA, 0.85%, 10/07/03 11,100
---------------
73,315
WASHINGTON -- 2.4%
17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16,
FRDO, MBIA, 0.91%, 09/04/03 17,676
5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1,
GO, FRDO, MBIA, 0.92%, 09/05/03 5,000
9,005 Broadway Office Properties, FLOATS, Ser. PT-1586,
Rev., FRDO, MBIA, 0.88%, 09/04/03 9,005
1,500 Clark County Public Utility District No. 1, Municipal
Securities Trust Receipts, Ser. SGA-118, Rev., FRDO,
FSA, 0.90%, 09/01/03 1,500
10,295 Clark County School District No. 114 Evergreen,
Municipal Trust Certificates, Ser. 54-A, GO, FRDO,
FSA, 1.03%, 09/02/03 10,295
6,995 Energy Northwest, Electric, FLOATS, Ser. PT-734, Rev.,
FRDO, MBIA, 0.88%, 09/04/03 6,995
15,000 Energy Northwest, Project No. 3, Ser. D-3-1, Rev.,
FRDO, FSA, 0.79%, 09/04/03 15,000
13,650 King County, FLOATS, Ser. PA-904, GO, FRDO, 1.05%,
09/04/03 13,650
5,345 King County, Ser. RR-II-R-1028, GO, FRDO, FSA,
0.90%, 09/02/03 5,345
</Table>
See notes to financial statements.
88
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
WASHINGTON -- CONTINUED
$ 4,430 Port of Seattle, FLOATS, Ser. PT-728, Rev., FRDO,
FGIC, 0.93%, 09/04/03 $ 4,430
1,130 Seattle Housing Authority, Low Income Housing
Assistance, Bayview Manor Project, Ser. B, Rev.,
FRDO, 0.90%, 09/03/03 1,130
19,885 Seattle, Washington, Drain & Wastewater Utilities,
Municipal Securities Trust Receipts, Ser. SG-135, Rev.,
FRDO, MBIA, 0.88%, 09/04/03 19,885
11,965 Seattle, Washington, Municipal Light & Power,
FLOATS, Ser. PT-1421, Rev., FRDO, FSA, 0.88%,
09/04/03 11,965
4,000 Seattle, Washington, Municipal Securities Trust
Receipts, Ser. SGA-142, GO, FRDO, 0.90%, 09/04/03 4,000
9,400 Seattle, Washington, Water Systems, Rev., FRDO,
0.70%, 09/03/03 9,400
10,000 Snohomish County Public Utility District No. 1,
Generation Systems, Ser. A, Rev., FRDO, FSA, 0.79%,
09/03/03 10,000
18,035 Snohomish County Public Utility District No. 1,
Generation Systems, Ser. A-2, Rev., FRDO, FSA, 0.79%,
09/04/03 18,035
8,500 Snohomish County Public Utility District No. 1,
Municipal Securities Trust Receipts, Ser. SGA-124,
Rev., FRDO, FSA, 0.90%, 09/01/03 8,500
5,103 Tacoma, Washington, Electric Systems, Floating Rate
Certificates, Ser. 507, Rev., FRDO, FGIC, 0.89%, 09/04/03 5,103
11,370 Tacoma, Washington, Electric Systems, FLOATS, Ser.
PT-1404, Rev., FRDO, AMBAC, 0.88%, 09/04/03 11,370
12,885 Washington State Floating Rate Trust Receipts, Ser.
L-15, Regulation D, GO, FRDO, 1.35%, 09/01/03 12,885
1,050 Washington State Housing Finance Commission,
Non-Profit Housing, Golden Sands Project, Rev.,
FRDO, 0.95%, 09/01/03 1,050
4,000 Washington State Housing Finance Commission,
Nonprofit Housing, Rockwood Retirement
Communities, Rev., FRDO, 0.95%, 09/01/03 4,000
2,640 Washington State Housing Finance Commission,
Nonprofit Housing, YMCA Snohomish County
Project, Rev., FRDO, 0.95%, 09/01/03 2,640
2,880 Washington State Housing Finance Commission,
Spokane Community College Foundation, Ser. A,
Rev., FRDO, 0.85%, 09/05/03 2,880
6,480 Washington State Public Power Supply System
Project No. 2, Electric, Ser. 2-A2, Rev., FRDO, MBIA,
0.77%, 09/04/03 6,480
14,790 Washington State Public Power Supply System,
Project No. 2, Electric, Ser. 2A-1, Rev., FRDO, MBIA,
0.77%, 09/04/03 14,790
</Table>
See notes to financial statements.
89
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
WASHINGTON -- CONTINUED
$ 12,980 Washington State Public Power Supply System,
Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA,
0.85%, 09/04/03 $ 12,980
2,490 Washington State, FLOATS, Ser. PA-1111, GO,
FRDO, 1.05%, 09/04/03 2,490
13,710 Washington State, Rev., FRDO, 0.90%, 09/04/03 13,710
16,400 Washington State, Ser. VR-96A, GO, FRDO,
0.73%, 09/03/03 16,400
---------------
278,589
WEST VIRGINIA -- 0.4%
3,940 West Virginia Economic Development Authority,
IDR, Gemark Services West VA/M & M, Rev.,
FRDO, 0.95%, 09/03/03 3,940
13,400 West Virginia School Building Authority, 0.87%,
09/09/03 13,400
5,765 West Virginia State Building Commission, FLOATS,
Ser. PA-520, 0.89%, 09/04/03 5,765
5,700 West Virginia State Hospital Finance Authority,
VHA Mid-Atlantic, Ser. D, Rev., FRDO, AMBAC,
0.85%, 09/02/03 5,700
5,000 West Virginia State Hospital Finance Authority,
VHA Mid-Atlantic, Ser. E, Rev., FRDO, AMBAC,
0.85%, 09/02/03 5,000
4,000 West Virginia State Hospital Finance Authority,
VHA Mid-Atlantic, Ser. C, Rev., FRDO, AMBAC,
0.85%, 09/03/03 4,000
10,000 West Virginia State Parkways Economic
Development & Tourism Authority, Rev., FRDO,
FGIC, 0.78%, 09/02/03 10,000
---------------
47,805
WISCONSIN -- 1.5%
7,045 Dane County, Ser. RR-II-R-2003, GO, FRDO, 0.90%,
09/04/03 7,045
5,845 Dane County, Ser. RR-II-R-4504, GO, FRDO, 0.90%,
09/04/03 5,845
1,260 Eagle Tax Exempt Trust, Weekly Option Mode, Ser.
94-4904, FRDO, #, 0.95%, 09/04/03 1,260
1,150 Wisconsin Housing & Economic Development
Authority, Home Ownership, Floating Rate Trust
Receipts, Ser. 18, Rev., FRDO, 0.95%, 09/07/03 1,150
4,000 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. A, Rev., FRDO,
0.90%, 09/04/03 4,000
20,000 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. B, Rev., FRDO,
0.90%, 09/02/03 20,000
</Table>
See notes to financial statements.
90
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
WISCONSIN -- CONTINUED
$ 5,000 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. E, Rev., FRDO,
0.90%, 09/04/03 $ 5,000
3,975 Wisconsin Housing & Economic Development
Authority, Ser. D, Rev., FRDO, MBIA, 0.93%, 09/02/03 3,975
3,545 Wisconsin Housing & Economic Development
Authority, Ser. E, Rev., FRDO, MBIA, 0.93%, 09/02/03 3,545
5,465 Wisconsin Housing & Economic Development
Authority, Ser. F, Rev., FRDO, MBIA, 0.88%, 09/02/03 5,465
4,355 Wisconsin Housing & Economic Development
Authority, Ser. G, Rev., FRDO, MBIA, 0.93%, 09/02/03 4,355
5,400 Wisconsin Housing & Economic Development
Authority, Ser. I, Rev., FRDO, MBIA, 0.93%, 09/02/03 5,400
15,120 Wisconsin Housing & Economic Development
Authority, Single-Family Housing, FLOATS, Ser.
PT-598, Rev., FRDO, 0.97%, 09/04/03 15,120
7,300 Wisconsin State Health & Educational Facilities
Authority, Felican Health Care, Inc., Rev., FRDO,
0.84%, 09/03/03 7,300
22,800 Wisconsin State Health & Educational Facilities
Authority, Felician Services, Ser. A, Rev., FRDO,
AMBAC, 0.84%, 09/03/03 22,800
8,580 Wisconsin State Health & Educational Facilities
Authority, FLOATS, Ser. PT-858, Rev., FRDO, MBIA,
0.88%, 09/04/03 8,580
25,000 Wisconsin State Health & Educational Facilities
Authority, Wheaton Franciscan Services, Rev., FRDO,
0.82%, 09/02/03 25,000
15,300 Wisconsin State Health & Educational Facilities
Authority, Wheaton Franciscan Services, Ser. B, Rev.,
FRDO, 0.82%, 09/03/03 15,300
6,240 Wisconsin State, Clean Water, FLOATS, Ser. PA-915,
Rev., FRDO, 0.88%, 09/04/03 6,240
9,510 Wisconsin State, Ser. II-R-135, GO, FRDO, (p),
0.90%, 09/04/03 9,510
---------------
176,890
WYOMING -- 1.0%
400 Kemmerer, Wyoming, PCR, Exxon Project, Rev.,
FRDO, 0.67%, 09/01/03 400
1,300 Lincoln County, PCR, Exxon Project, Ser. C, Rev.,
FRDO, 0.67%, 09/01/03 1,300
7,000 Lincoln County, PCR, Exxon Project, Ser. D, Rev.,
FRDO, 0.67%, 09/01/03 7,000
6,400 Sublette County, PCR, Exxon Project, Ser. A, Rev.,
FRDO, 0.85%, 09/01/03 6,400
5,700 Sublette County, PCR, Exxon Project, Ser. B, Rev.,
FRDO, 0.85%, 09/01/03 5,700
</Table>
See notes to financial statements.
91
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
WYOMING -- CONTINUED
$ 4,600 Uinta County, PCR, Amoco Project, Rev., FRDO,
0.80%, 09/01/03 $ 4,600
12,860 Wyoming Community Development Authority,
Housing, FLOATS, Ser. PT-195, 1.15%, 09/01/03 12,860
7,900 Wyoming Community Development Authority,
Housing, Ser. 7, Rev., FRDO, 0.90%, 09/02/03 7,900
5,000 Wyoming Community Development Authority,
Housing, Ser. 8, Rev., FRDO, 0.90%, 09/02/03 5,000
5,955 Wyoming Community Development Authority,
Housing, Ser. II-R-141, Rev., FRDO, 0.95%, 09/04/03 5,955
7,245 Wyoming Community Development Authority,
Single Family Mortgage, Ser. A, Rev., FRDO, 0.84%,
09/03/03 7,245
22,000 Wyoming Community Development Authority,
Single Family Mortgage, Ser. A, Rev., FRDO,
0.84%, 09/04/03 22,000
25,000 Wyoming State, Education Fund, Rev., TRAN,
1.50%, 06/29/04 25,107
8,000 Wyoming State, Education Fund, Rev., TRAN,
1.75%, 06/29/04 8,051
---------------
119,518
- ------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 11,452,335
(Cost $11,452,335) *
- ------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
92
<Page>
JPMORGAN LIQUID ASSETS MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 4.5%
Federal Home Loan Mortgage Corp.,
$ 20,000 0.98%, 12/19/03, DN $ 19,941
20,000 1.15%, 02/26/04, DN 19,886
75,235 Federal National Mortgage Association,
1.14%, 02/18/04, DN 74,830
--------------------------------------------------------------------------------
Total U.S. Government Agency Securities 114,657
(Cost $114,657)
--------------------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 46.5%
ASSET BACKED SECURITIES -- 9.9%
30,000 Grampian Funding LLC, 1.21%,
11/07/03 29,932
K2 (USA) LLC,
40,000 1.19%, 09/29/03 39,963
50,000 1.08%, 03/15/04 49,999
Links Finance LLC,
85,000 1.39%, 02/17/04 85,000
50,000 1.08%, 03/11/04, FRN 49,999
---------------
254,893
BANKING -- 1.9%
Bank of America Corp.,
5,000 5.75%, 03/01/04, Ser. H, MTN 5,116
18,725 6.63%, 06/15/04 19,525
25,000 Westpac Banking Corp./New York, 1.13%,
06/14/04, FRN 25,011
---------------
49,652
DIVERSIFIED -- 0.4%
General Electric Capital Corp.,
1,000 8.09%, 04/01/04, Ser. A, MTN, SUB 1,041
2,000 5.38%, 04/23/04, Ser. A, MTN 2,055
6,000 1.19%, 09/09/03, FRN 6,000
---------------
9,096
FINANCIAL SERVICES -- 29.4%
4,000 Associates Corp. of North America,
5.75%, 11/01/03 4,031
Beta Finance, Inc.,
30,000 1.06%, 05/19/04, MTN, FRN, # 29,999
50,000 1.06%, 06/02/04, MTN, FRN, # 49,998
CC USA, Inc.,
25,000 1.07%, 03/18/04, MTN, FRN, # 24,999
25,000 1.07%, 03/31/04, Ser. 1, MTN, FRN, # 25,000
40,000 1.07%, 06/24/04, MTN, FRN, # 40,000
8,000 Citigroup, Inc., 5.70%, 02/06/04 8,159
</Table>
See notes to financial statements.
93
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- CONTINUED
$ 18,335 Countrywide Home Loans, Inc., 1.65%,
10/01/03, Ser. J, MTN, FRN $ 18,342
Dorada Finance, Inc.,
54,000 1.08%, 02/12/04, MTN, FRN, # 53,998
25,000 1.08%, 02/20/04, Ser. 1, MTN, FRN, # 24,999
30,000 1.07%, 03/31/04, MTN, FRN, # 30,000
10,000 1.06%, 05/24/04, Ser. 1, MTN, FRN, # 10,000
74,000 Fairway Finance Corp., 1.06%, 11/26/03 73,995
40,000 Goldman Sachs Group, Inc., 1.24%, 10/30/03
Household Finance Corp., 40,000
28,850 1.28%, 09/26/03, MTN, FRN 28,852
10,000 1.41%, 09/26/03, Ser. 2, MTN, FRN 10,001
5,250 1.56%, 10/08/03, MTN, FRN 5,249
19,320 1.38%, 10/15/03, MTN, FRN 19,320
12,000 1.56%, 12/19/03, Ser. 1, MTN, FRN 12,016
5,000 John Hancock Global Funding II, 1.27%,
09/15/03, MTN, FRN, # 5,000
67,000 Money Market Trust, 1.25%, 07/09/04, Ser. A-1,
FRN, #, (i) 67,000
Morgan Stanley,
5,105 5.63%, 01/20/04 5,194
30,000 1.29%, 03/19/04, Ser. 1, MTN, FRN 30,037
55,000 1.49%, 04/05/04, Ser. 1, MTN, FRN 55,140
24,000 1.43%, 05/14/04, Ser. C, MTN, FRN 24,061
Premium Asset Trust/GEFA,
35,000 1.46%, 06/01/04, Ser. 2002-6, FRN, # 35,035
25,000 5.25%, 07/19/04, Ser. 2001-6, # 25,871
---------------
756,296
TRANSPORTATION -- 4.9%
125,000 Network Rail LTD (United Kingdom),
1.04%, 12/16/03 124,617
--------------------------------------------------------------------------------
Total Corporate Notes & Bonds 1,194,554
(Cost $1,194,554)
--------------------------------------------------------------------------------
COMMERCIAL PAPER -- 17.9%
ASSET BACKED SECURITIES -- 8.6%
10,000 Amsterdam Funding Corp., 1.25%, 10/20/03 9,983
75,000 Aquinas Funding LLC, 1.05%, 01/15/04 74,704
50,000 Atlantis One Funding Corp., 1.04%, 12/17/03 49,845
27,000 Cantabric Financing LLC, 1.09%, 11/12/03 26,941
Four Winds Funding Corp.,
7,600 1.20%, 09/05/03 7,599
5,800 1.20%, 09/09/03 5,798
</Table>
See notes to financial statements.
94
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- CONTINUED
$ 25,000 New Center Asset Trust, 1.25%, 10/17/03 $ 24,960
20,000 Windmill Funding Corp., 1.25%, 10/23/03 19,964
---------------
219,794
AUTOMOTIVE -- 1.6%
DaimlerChrysler N.A. Holdings Corp.,
8,400 1.23%, 09/02/03 8,400
1,000 1.22%, 09/10/03 1,000
4,200 1.23%, 09/23/03 4,197
Ford Motor Credit Co.,
8,800 1.23%, 09/08/03 8,798
5,000 1.26%, 10/02/03 4,995
General Motors Acceptance Corp.,
12,600 1.25%, 09/12/03 12,594
1,400 1.26%, 09/16/03 1,399
---------------
41,383
BANKING -- 2.9%
20,000 Caisse des Depots at Consignations (France),
1.04%, 12/30/03 19,931
15,000 Hamburgische Landesbank (Germany),
1.28%, 10/16/03 14,976
40,000 Norddeutsche Landesbank Girozentrale
(Germany), 1.03%, 12/23/03 39,870
---------------
74,777
BROADCASTING/CABLE -- 0.5%
13,000 Time Warner Entertainment, 1.18%,
09/03/03 12,999
FINANCIAL SERVICES -- 2.6%
Allianz Finance Corp. (Germany),
28,020 1.04%, 10/09/03 27,989
38,998 1.08%, 11/07/03 38,920
---------------
66,909
FOOD/BEVERAGE PRODUCTS -- 0.5%
Cadbury Schweppes PLC (United Kingdom),
2,095 1.22%, 09/08/03 2,095
10,700 1.22%, 09/16/03 10,694
1,200 1.22%, 09/22/03 1,199
---------------
13,988
INSURANCE -- 0.8%
20,000 Prudential Funding Corp., 1.20%, 10/16/03 19,970
</Table>
See notes to financial statements.
95
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
RETAILING -- 0.4%
$ 10,000 Sears Roebuck Acceptance Corp.,
1.25%, 09/30/03 $ 9,990
--------------------------------------------------------------------------------
Total Commercial Paper 459,810
(Cost $459,810)
--------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 30.6%
15,000 Abbey National Treasury Services PLC
(United Kingdom) (Yankee), 1.04%, 09/12/03,
Floating Rate 15,000
20,000 Alliance Finance Corp. (Germany) (Yankee),
1.03%, 12/09/03 20,000
35,000 Banco Bilbao Vizcaya Argentaria SA (Spain)
(Yankee), 1.29%, 10/22/03 35,000
50,000 Bank One Corp., 1.12%, 06/17/04, Floating Rate 50,031
30,000 BNP Paribas/New York (Yankee), 1.06%,
06/10/04 Canadian Imperial
Bank of Commerce (Canada) (Yankee), 29,995
10,000 1.04%, 09/09/03, Floating Rate 10,000
50,000 1.06%, 01/27/04, Floating Rate 50,000
Credit Agricole Indosuez/New York (Yankee),
14,500 1.04%, 09/25/03, Floating Rate 14,500
35,000 1.04%, 06/04/04, Floating Rate 34,995
50,000 Credit Lyonnais (France) (Yankee), 1.05%, 12/31/03 50,000
25,000 Credit Suisse First Boston (Switzerland)
(Yankee), 1.19%, 09/04/03 25,000
15,000 Goldman Sachs Group, Inc., 1.26%, 11/07/03 15,000
75,000 HBOS Treasury Services PLC
(United Kingdom) (Yankee), 1.26%, 10/22/03 74,999
25,000 ING Bank N.V. (The Netherlands) (Yankee),
1.37%, 01/30/04 25,000
25,000 Landesbank Baden-Wurttemberg (Germany)
(Yankee), 1.14%, 02/26/04 25,000
25,000 Landesbank Hessen-Thuringen Girozentrale
(Germany) (Yankee), 1.32%, 10/24/03 25,002
20,000 Norddeutsche Landesbank Girozentrale
(Germany) (Yankee), 1.25%, 10/24/03 20,000
65,000 Nordea Bank AB (Sweden) (Yankee), 1.06%, 01/27/04 65,000
15,000 Royal Bank of Canada/New York (Yankee),
1.04%, 09/12/03, Floating Rate 15,000
</Table>
See notes to financial statements.
96
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- CONTINUED
Societe Generale (France) (Yankee),
$ 60,000 1.25%, 10/16/03 $ 60,000
40,500 1.03%, 12/09/03 40,500
10,000 Toronto Dominion Bank/New York (Yankee),
1.04%, 09/09/03, Floating Rate 10,000
25,000 UniCredito Italiano SPA (Italy) (Yankee),
1.06%, 01/07/04 25,000
30,000 Westdeutsche Landesbank Girozentrale
(Germany) (Yankee), 1.05%, 05/03/04 29,998
20,500 Westdeutsche Landesbank Girozentrale/New York
(Yankee), 1.03%, 09/22/03, Floating Rate 20,500
--------------------------------------------------------------------------------
Total Certificates of Deposit 785,520
(Cost $785,520)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.5%
13,281 Greenwich Capital Markets, Inc., 1.08%,
dated 08/29/03, due 09/02/03, repurchase
price $13,283, collateralized by
U.S. Government Agency Securities
(Cost $13,281) 13,281
--------------------------------------------------------------------------------
Total Investments -- 100.0% $ 2,567,822
(Cost $2,567,822)*
--------------------------------------------------------------------------------
</Table>
See notes to financial statements.
97
<Page>
JPMORGAN PRIME MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
- ------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 8.6%
Federal Home Loan Mortgage Corp.,
$ 221,389 1.11%, 09/11/03, DN $ 221,321
307,475 1.08%, 12/10/03, DN 306,552
293,500 1.09%, 12/15/03, DN 292,567
195,000 1.01%, 12/17/03, DN 194,415
600,000 0.98%, 12/19/03, DN 598,219
328,294 1.08%, 01/29/04, DN 326,821
221,904 1.08%, 01/30/04, DN 220,899
184,944 1.13%, 02/17/04, DN 183,960
115,000 1.14%, 02/23/04, DN 114,363
218,000 1.14%, 02/26/04, DN 216,766
300,000 1.12%, 03/05/04, DN 298,264
225,000 1.15%, 03/17/04, DN 223,577
Federal National Mortgage Association,
306,058 1.11%, 09/03/03, DN 306,039
474,844 1.07%, 01/28/04, DN 472,733
274,810 0.97%, 07/30/04, FRN 274,810
--------------------------------------------------------------------------------
Total U.S. Government Agency Securities 4,251,306
(Cost $4,251,306)
--------------------------------------------------------------------------------
STATE AND MUNICIPAL OBLIGATIONS -- 0.0%^
5,460 Wake Forest University, Ser. 1997, Rev.,
FRDO, 1.11%, 09/02/03
(Cost $5,460) 5,460
CORPORATE NOTES & Bonds -- 16.1%
ASSET BACKED SECURITIES -- 3.9%
K2 (USA) LLC,
200,000 1.07%, 02/17/04 200,000
50,000 1.40%, 02/23/04, FRN 50,000
50,000 1.07%, 03/15/04 49,999
100,000 1.07%, 03/17/04, FRN 99,997
90,000 1.07%, 04/20/04 89,997
80,000 1.02%, 05/10/04, # 79,994
80,000 1.07%, 05/12/04, MTN, FRN 79,994
125,000 1.07%, 05/17/04 124,996
95,000 1.06%, 06/08/04, MTN, FRN, # 94,996
Links Finance LLC,
100,000 1.07%, 03/03/04 99,997
100,000 1.08%, 03/12/04 100,000
100,000 1.07%, 03/22/04 99,999
100,000 1.07%, 03/24/04 99,999
100,000 1.07%, 03/24/04 99,997
100,000 1.06%, 03/29/04, # 99,997
</Table>
See notes to financial statements.
98
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- CONTINUED
$ 447,000 Special Purpose Accounts Receivables
Cooperative Corp., 1.15%, 01/26/04, Ser.
2003-5, FRN, # $ 447,001
---------------
1,916,963
BANKING -- 1.9%
150,000 Landesbank Rheinland-Pfalz Girozentrale
(Germany), 1.24%, 10/21/03 149,741
769,980 Wells Fargo Bank N.A., 1.15%, 09/14/03, MTN, FRN 769,980
---------------
919,721
DIVERSIFIED -- 1.7%
General Electric Capital Corp.,
468,000 1.19%, 09/09/03, FRN 468,000
400,000 1.14%, 09/19/03, MTN, FRN 400,000
---------------
868,000
FINANCIAL SERVICES -- 8.4%
Associates Corp. of North America,
110,000 1.22%, 06/15/04, FRN 110,000
75,000 1.11%, 06/25/04, MTN, FRN 75,000
Beta Finance, Inc.,
72,000 1.38%, 02/12/04, MTN, # 71,998
260,000 1.39%, 02/18/04, MTN, # 260,000
167,000 1.07%, 05/17/04, MTN, FRN, # 166,994
119,000 1.06%, 05/19/04, MTN, FRN, # 118,996
100,000 1.06%, 06/07/04, Ser. 2, MTN, FRN, # 99,996
CC USA, Inc.,
125,000 1.08%, 02/09/04, MTN, FRN, # 124,992
125,000 1.08%, 02/27/04, MTN, FRN, # 125,000
150,000 1.08%, 03/08/04, MTN, FRN, # 150,000
50,000 1.07%, 03/18/04, MTN, FRN, # 49,997
75,000 1.07%, 03/24/04, MTN, FRN, # 74,996
120,000 1.06%, 06/07/04, MTN, FRN, # 119,995
106,300 Citigroup, Inc., 5.70%, 02/06/04 108,263
Dorada Finance, Inc.,
23,000 1.25%, 10/23/03 22,958
120,000 1.07%, 03/08/04, MTN, FRN, # 119,997
150,000 1.06%, 04/15/04, MTN, FRN, # 149,993
60,000 1.06%, 05/24/04, MTN, FRN, # 59,998
264,000 Goldman Sachs Group, Inc., 1.36%, 09/13/04,
Ser. A, MTN, FRN, # 264,048
HBOS Treasury Services PLC
(United Kingdom),
300,000 1.27%, 09/05/03, MTN, FRN, # 300,000
455,000 1.12%, 11/20/03, MTN, FRN, # 455,001
</Table>
See notes to financial statements.
99
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- CONTINUED
Money Market Trust,
$ 60,000 1.15%, 06/03/04, Ser. 2003-A, #, (i) $ 60,000
220,000 1.25%, 07/09/04, Ser. A-1, FRN, #, (i) 220,000
260,000 Morgan Stanley, 1.22%, 09/15/03, Ser. 1, MTN, FRN 260,000
Restructured Asset Securities with Enhanced
Returns (RACERS),
150,000 1.35%, 09/02/03, Ser. 2000-7-ZCM,
FRN, #, (i) 150,000
465,000 1.30%, 10/01/03, Ser. 2001-8-MM,
FRN, #, (i) 464,991
---------------
4,183,213
OIL & GAS -- 0.2%
100,000 BP Capitals Markets PLC (United Kingdom),
1.05%, 03/08/04, FRN 99,997
--------------------------------------------------------------------------------
Total Corporate Notes & Bonds 7,987,894
(Cost $7,987,894)
--------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 0.9%
Blue Heron Funding LTD,
260,000 1.14%, 03/19/04, Ser. 2-A, Class A, FRN, # 260,000
175,000 1.13%, 05/28/04, Ser. 7-A, Class A1, FRN, # 175,000
--------------------------------------------------------------------------------
Total Asset Backed Securities 435,000
(Cost $435,000)
--------------------------------------------------------------------------------
FUNDING AGREEMENTS/GIC -- 0.2%
100,000 Jackson National Life Global Funding,
1.18%, 02/21/04, FRN, #, (i)
(Cost $100,000) 100,000
COMMERCIAL PAPER -- 35.9%
ASSET BACKED SECURITIES-- 16.6%
379,500 Alpine Securitization Corp., 1.06%, 09/18/03 379,309
Amsterdam Funding Corp.,
50,000 1.06%, 09/19/03 49,974
50,000 1.05%, 01/08/04 49,812
50,000 1.05%, 01/09/04 49,810
75,000 Aquinas Funding LLC, 1.15%, 02/27/04 74,571
Atlantis One Funding Corp.,
147,529 1.25%, 09/05/03 147,509
75,000 1.24%, 09/09/03 74,979
109,000 1.21%, 09/19/03 108,934
</Table>
See notes to financial statements.
100
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- CONTINUED
$ 24,665 1.25%, 10/15/03 $ 24,627
70,000 1.19%, 10/30/03 69,863
100,993 1.04%, 12/10/03 100,701
50,000 1.04%, 12/17/03 49,845
42,377 1.08%, 01/26/04 42,190
79,950 1.15%, 01/28/04 79,569
84,549 1.13%, 02/05/04 84,132
37,742 1.13%, 02/11/04 37,549
30,789 1.13%, 02/17/04 30,626
25,171 1.15%, 02/18/04 25,034
Beta Finance, Inc.,
50,775 1.15%, 09/15/03 50,752
33,000 1.03%, 10/10/03 32,963
Blue Ridge Asset Funding Corp.,
200,000 1.05%, 09/12/03 199,936
150,000 1.06%, 09/18/03 149,925
50,000 Cantabric Financing LLC (Ireland), 1.10%, 11/21/03 49,876
167,183 Compass Securitization LLC, 1.06%, 09/22/03 167,080
125,750 Concord Minutemen Capital Co., 1.14%, 09/18/04 125,750
Corporate Asset Funding,
205,000 1.14%, 09/12/03 204,929
66,000 1.20%, 09/15/03 65,969
22,000 Corporate Receivables Corp., 1.25%, 09/03/03 21,998
Edison Asset Securitization LLC,
317,357 1.20%, 09/10/03 317,262
25,000 1.07%, 09/22/03 24,984
92,000 1.25%, 09/23/03 91,930
124,000 0.94%, 09/24/03 123,926
46,111 1.25%, 10/16/03 46,039
285,000 1.12%, 02/05/04 283,608
30,000 1.13%, 02/11/04 29,847
FCAR Owner Trust Series I,
93,000 1.15%, 09/12/03 92,967
75,000 0.95%, 09/19/03 74,964
Giro Multi-Funding Corp.,
34,096 1.07%, 09/03/03 34,094
156,021 1.03%, 09/10/03 155,981
150,000 1.07%, 09/16/03 149,933
50,113 1.04%, 10/01/03 50,070
99,316 1.04%, 10/15/03 99,190
100,320 1.04%, 10/16/03 100,190
</Table>
See notes to financial statements.
101
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- CONTINUED
Grampian Funding LLC,
$ 30,000 1.25%, 09/02/03 $ 29,999
290,000 0.95%, 09/23/03 289,832
110,000 1.15%, 02/24/04 109,382
125,000 Greyhawk Funding LLC, 1.04%, 01/12/04 124,520
120,000 Jupiter Securitization Corp., 1.06%, 09/23/03 119,922
K2 (USA) LLC,
20,100 1.25%, 10/17/03 20,068
35,000 1.09%, 01/14/04 34,857
53,000 1.03%, 01/15/04 52,794
36,500 1.14%, 02/09/04 36,314
Mont Blanc Capital Corp.,
50,000 1.23%, 09/03/03 49,997
60,000 1.07%, 09/22/03 59,963
Montauk Funding Corp.,
195,000 1.07%, 10/15/03, FRN 195,000
100,000 1.07%, 01/15/04 100,000
50,000 1.07%, 02/17/04 50,000
Park Granada LLC,
200,000 1.13%, 09/02/03 199,994
80,000 1.10%, 09/15/03 79,966
60,000 0.97%, 09/16/03 59,976
55,000 0.97%, 09/17/03 54,976
35,000 1.06%, 09/25/03 34,975
140,000 1.08%, 09/29/03 139,882
100,000 1.06%, 10/20/03 99,856
100,000 1.06%, 10/21/03 99,853
90,203 1.07%, 10/22/03 90,066
52,000 1.08%, 10/28/03 51,911
Scaldis Capital LLC,
66,020 1.01%, 09/11/03 66,001
190,954 1.07%, 09/22/03 190,835
100,000 1.04%, 10/21/03 99,856
47,913 1.09%, 11/18/03 47,800
Sheffield Receivables Corp.,
35,608 1.26%, 09/03/03 35,606
300,000 1.07%, 02/25/04 300,000
Sigma Finance, Inc.,
44,000 1.22%, 09/03/03 43,997
54,245 0.95%, 09/08/03 54,235
50,000 0.95%, 09/09/03 49,989
122,000 1.08%, 09/24/03 121,916
175,000 1.04%, 10/01/03 174,848
50,000 1.03%, 10/08/03 49,947
150,000 1.07%, 11/14/03 149,670
</Table>
See notes to financial statements.
102
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- CONTINUED
Special Purpose Accounts Receivable
Cooperative Corp.,
$ 25,000 1.07%, 09/23/03 $ 24,984
50,000 1.07%, 02/12/04 50,000
Thames Asset Global Securitization (TAGS),
15,119 1.21%, 09/02/03 15,118
156,617 1.06%, 09/22/03 156,520
165,329 Tulip Funding Corp., 1.08%, 12/01/03 164,878
50,000 Variable Funding Capital Corp., 1.03%, 10/07/03 49,949
---------------
8,253,449
AUTOMOTIVE -- 0.2%
100,000 DaimlerChrysler N.A. Holdings Corp.,
1.25%, 09/10/03 99,969
BANKING -- 11.7%
Alliance & Leicester PLC (United Kingdom),
100,000 1.04%, 10/03/03 99,908
26,500 1.04%, 12/10/03 26,424
35,000 1.20%, 09/02/03 34,999
225,000 Anz (Delaware), Inc. (Australia), 1.05%, 09/08/03 224,954
Citibank Credit Card Issuance Trust,
100,000 1.07%, 09/04/03 99,991
200,000 1.05%, 09/08/03 199,959
108,000 1.04%, 09/10/03 107,972
100,000 1.04%, 09/23/03 99,936
100,000 1.05%, 09/26/03 99,927
100,000 1.08%, 10/16/03 99,865
85,000 Credit Agricole Indosuez SA (France), 1.07%, 10/01/03 84,924
Danske Bank AS (Denmark),
175,000 1.19%, 09/04/03 174,983
200,000 1.05%, 09/30/03 199,831
200,000 Den Norske Bank (Norway), 1.08%, 01/30/04 199,094
160,000 Depfa Deutsche Pfandbrief Bank AG (Germany),
1.09%, 11/21/03 159,609
Hamburgische Landesbank (Germany),
130,000 1.18%, 09/04/03 129,987
140,000 1.19%, 10/02/03 139,857
130,000 1.19%, 10/24/03 129,771
ING Bank N.V. (The Netherlands),
20,000 1.22%, 09/02/03 19,999
100,000 1.18%, 09/04/03 99,990
27,000 1.04%, 10/06/03 26,973
49,000 1.05%, 01/05/04 48,821
</Table>
See notes to financial statements.
103
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
BANKING -- CONTINUED
$ 50,000 Landesbank Schleswig-Holstein Girozentrale
(Germany), 1.18%, 09/03/03 $ 50,000
65,000 Natexis Banques Populaires (France),
1.04%, 10/10/03 64,927
National Bank of New Zealand (New Zealand),
200,000 1.24%, 10/21/03 199,656
26,000 1.09%, 01/26/04 25,884
150,000 Norddeutsche Landesbank Girozentrale
(Germany), 1.07%, 10/23/03 149,768
Nordea North America (Sweden),
50,000 1.16%, 09/02/03 49,998
52,000 1.25%, 09/03/03 51,996
200,000 1.06%, 09/25/03 199,859
100,000 Santander Central Hispano SA (Spain),
1.11%, 02/11/04 99,497
Societe Generale (France),
500,000 1.21%, 09/22/03 499,647
150,000 1.19%, 10/09/03 149,811
315,000 1.19%, 10/10/03 314,594
Spintab AB (Germany),
100,000 1.04%, 11/05/03 99,812
110,000 1.10%, 02/02/04 109,482
37,000 Stadshypotek Delaware, Inc., 1.07%, 10/15/03 36,952
250,000 Svenska Handelsbanken, Inc. (Sweden),
1.07%, 10/22/03 249,621
75,000 Swiss Re Financial Products Corp. (Switzerland),
1.03%, 09/30/03 74,938
Wells Fargo Bank, N.A.,
675,000 1.05%, 02/13/04, Floating Rate 675,001
100,000 1.04%, 06/17/04, Floating Rate 99,992
Westdeutsche Landesbank Girozentrale (Germany),
70,000 1.20%, 09/02/03 69,998
49,000 1.03%, 11/03/03 48,912
---------------
5,828,119
DIVERSIFIED -- 2.3%
General Electric Capital Corp.,
300,000 1.26%, 09/03/03 299,978
85,000 1.26%, 09/03/03 84,994
248,181 1.07%, 10/09/03 247,901
59,421 1.09%, 11/05/03 59,304
200,000 1.09%, 12/02/03 199,443
236,241 1.09%, 12/03/03 235,576
---------------
1,127,196
</Table>
See notes to financial statements.
104
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.2%
Allianz Finance Corp. (Germany),
$ 90,000 1.22%, 09/05/03 $ 89,988
65,000 1.04%, 10/10/03 64,927
54,000 1.08%, 11/07/03 53,891
Cafco LLC,
24,000 1.06%, 10/14/03 23,970
200,000 1.07%, 11/07/03 199,601
200,000 1.07%, 11/20/03 199,522
CC USA, Inc.,
23,500 1.25%, 10/20/03 23,460
35,000 1.25%, 10/23/03 34,937
Citigroup Global Markets Holdings, Inc.,
170,000 1.03%, 10/06/03 169,830
250,000 1.04%, 10/10/03 249,719
200,000 CRC Funding LLC, 1.07%, 11/07/03 199,602
100,000 CXC, Inc., 1.15%, 02/25/04 99,435
100,000 Discover Card Master Trust, 1.08%, 10/09/03 99,886
90,952 Govco, Inc., 1.03%, 10/14/03 90,840
8,000 HBOS Treasury Services PLC (United Kingdom),
1.06%, 10/23/03 7,988
PB Finance (Delaware), Inc.,
41,000 1.07%, 09/23/03 40,973
173,000 1.06%, 10/27/03 172,715
110,000 1.10%, 01/26/04 109,506
150,000 1.13%, 02/04/04 149,266
---------------
2,080,056
INSURANCE -- 0.5%
250,000 Prudential Funding Corp., 1.20%, 10/15/03 249,633
TRANSPORTATION -- 0.4%
Network Rail (United Kingdom),
152,000 1.03%, 12/12/03 151,556
34,000 1.04%, 12/16/03 33,896
---------------
185,452
--------------------------------------------------------------------------------
Total Commercial Paper 17,823,874
(Cost $17,823,874)
--------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 31.6%
485,000 Abbey National Treasury Services PLC
(United Kingdom) (Yankee), 1.04%,
09/12/03, Floating Rate 484,996
ABN-AMRO Bank N.V.
(The Netherlands) (Yankee),
600,000 1.05%, 01/27/04, Floating Rate 599,988
</Table>
See notes to financial statements.
105
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- CONTINUED
$ 48,000 1.24%, 03/17/04 $ 48,020
Barclays Bank PLC (United Kingdom) (Yankee),
600,000 1.18%, 09/02/03 599,999
100,000 1.03%, 09/07/04, Floating Rate 99,964
BNP Paribas (France) (Yankee),
500,000 1.02%, 12/08/03 500,000
100,000 1.38%, 02/05/04 100,000
250,000 1.38%, 02/05/04 250,000
310,000 BNP Paribas/New York (Yankee), 1.06%, 06/10/04 309,952
200,000 Canadian Imperial Bank of Commerce
(Canada) (Yankee), 1.05%, 09/29/03 199,996
Canadian Imperial Bank of
Commerce/New York (Yankee),
421,000 1.04%, 09/09/03, Floating Rate 420,997
138,000 0.93%, 12/29/03, Floating Rate 137,989
Citibank N.A.,
50,000 1.20%, 10/09/03 50,000
100,000 1.20%, 10/10/03 100,000
Credit Agricole Indosuez/New York (Yankee),
225,000 1.18%, 10/03/03 225,000
230,000 1.04%, 06/04/04, Floating Rate 229,965
Credit Lyonnais (France) (Yankee),
75,000 1.04%, 12/08/03 75,002
100,000 1.14%, 02/06/04 100,009
65,000 Credit Lyonnais/New York (Yankee),
1.16%, 10/09/03 65,009
Deutsche Bank AG (Germany) (Yankee),
400,000 1.06%, 02/23/04 400,000
265,000 1.08%, 10/02/03, Floating Rate 265,000
750,000 Deutsche Bank AG/New York (Yankee),
1.03%, 12/18/03 749,999
150,000 Fortis Bank (Belgium) (Yankee), 1.05%, 10/15/03 149,996
Goldman Sachs Group, Inc.,
550,000 1.26%, 11/07/03 550,000
175,000 0.99%, 12/23/03 175,000
HBOS Treasury Services PLC (United
Kingdom) (Yankee),
200,000 1.21%, 09/12/03 200,000
100,000 1.26%, 09/17/03 100,000
350,000 0.99%, 09/22/03 350,000
200,000 1.03%, 12/15/03 200,000
350,000 1.37%, 01/30/04 350,000
</Table>
See notes to financial statements.
106
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- CONTINUED
ING Bank N.V. (The Netherlands) (Yankee),
$ 100,000 1.21%, 09/29/03 $ 100,000
325,000 1.05%, 09/30/03 325,000
200,000 1.04%, 10/15/03 200,000
325,000 1.05%, 01/05/04 325,000
100,000 1.41%, 08/05/04 100,000
Landesbank Baden-Wuerttemberg/New York
(Yankee),
350,000 1.05%, 09/10/04, Floating Rate 349,946
50,000 1.11%, 03/15/04, Floating Rate 50,011
350,000 Landesbank Hessen-Thuringen
Girozentrale (Germany) (Yankee), 1.05%, 01/02/04 350,000
Lloyds TSB Bank PLC (United Kingdom) (Yankee),
50,000 1.22%, 09/08/03 50,000
50,000 1.19%, 09/22/03 50,001
50,000 1.20%, 09/25/03 50,001
300,000 Montauk Funding Corp., 1.08%, 11/20/03 300,000
150,000 Natexis Banques Popularies (France)
(Yankee), 1.08%, 12/12/03 150,000
Norddeutsche Landesbank Girozentrale
(Germany) (Yankee),
200,000 1.04%, 10/06/03, Floating Rate 199,996
100,000 1.25%, 10/28/03 100,000
100,000 Nordea Bank Finland PLC (Finland)
(Yankee), 1.19%, 10/14/03 100,000
Royal Bank of Canada/New York (Yankee),
355,000 1.04%, 09/12/03, Floating Rate 354,997
300,000 1.04%, 09/30/03, Floating Rate 299,993
Societe Generale (France) (Yankee),
500,000 1.20%, 10/10/03 500,000
200,000 1.25%, 10/16/03 200,000
250,000 1.40%, 08/05/04 250,000
50,000 Svenska Handelsbanken, Inc. (Sweden)
(Yankee), 1.21%, 09/05/03 50,000
Toronto Dominion Bank/New York (Yankee),
100,000 1.04%, 11/21/03 100,001
100,000 1.13% 02/09/04 100,009
150,000 1.12% 02/19/04 150,000
90,000 1.04%, 09/09/03, Floating Rate 89,999
UniCredito Italiano SPA (Italy) (Yankee),
300,000 1.00%, 09/22/03 300,000
300,000 1.05%, 10/14/03 300,001
200,000 0.92%, 10/27/03 199,963
400,000 US Bank N.A., 1.05%, 02/24/04,
Floating Rate 399,981
</Table>
See notes to financial statements.
107
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
- ------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- CONTINUED
Wells Fargo Bank, N.A.,
$ 200,000 1.05%, 01/20/04, Floating Rate $ 199,992
475,000 1.05%, 02/06/04, Floating Rate 474,980
Westdeutsche Landesbank Girozentrale
(Germany) (Yankee),
350,000 1.25%, 10/24/03 350,000
200,000 1.05%, 01/05/04 200,000
100,000 1.10%, 02/12/04 100,000
170,000 1.05%, 05/03/04 169,989
--------------------------------------------------------------------------------
Total Certificates of Deposit 15,676,741
(Cost $15,676,741)
--------------------------------------------------------------------------------
TIME DEPOSITS -- 6.3%
550,000 BNP Paribas (France), 1.13%, 09/02/03 550,000
243,133 Fifth Third Bank, 1.00%, 09/02/03 243,133
Goldman Sachs Group, Inc.,
200,000 1.24%, 10/30/03 200,000
350,000 1.19%, 12/11/03 350,000
250,000 Natexis Banques Populaires (France), 1.09%,
09/02/03 250,000
900,000 National Australia Bank LTD (Australia), 1.09%,
09/02/03 900,000
54,000 Royal Bank of Canada (Canada), 1.13%,
09/02/03 54,000
600,000 Suntrust Bank, 1.00%, 09/02/03 600,000
--------------------------------------------------------------------------------
Total Time Deposits 3,147,133
(Cost $3,147,133)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
137,716 Deutsche Bank Securities, Inc., 1.02%, dated
08/29/03, due 09/02/03, repurchase price $137,732,
collateralized by U.S. Treasury Securities 137,716
10,750 Greenwich Capital Markets, Inc., 1.01%, dated
08/29/03, due 09/02/03, repurchase price
$10,751, collateralized by U.S. Government
Agency Securities 10,750
68,893 Greenwich Capital Markets, Inc., 1.08%, dated
08/29/03, due 09/02/03, repurchase price
$68,901, collateralized by U.S. Government
Agency Securities 68,893
--------------------------------------------------------------------------------
Total Repurchase Agreements 217,359
(Cost $217,359)
--------------------------------------------------------------------------------
Total Investments -- 100.0% $ 49,644,767
(Cost $49,644,767)*
--------------------------------------------------------------------------------
</Table>
See notes to financial statements.
108
<Page>
Abbreviations:
* -- The cost of securities is substantially the same for federal income
tax purposes.
^ -- Amount rounds to less than 0.1%.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
(i) -- Security is illiquid and may be difficult to sell.
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the earlier of the reset date and the date of the
prerefunded call.
Adj. -- Adjustable. Maturity date shown is actual maturity date. The interest
rate shown is the rate in effect at August 31, 2003.
ACES -- Auction Rate Securities.
AMBAC -- American Municipal Bond Assurance Corp.
BAN -- Bond Anticipation Note.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
DN -- Discount Note: The rate shown is the effective yield at the date of
purchase.
EAGLE -- Earnings of accrual generated on local tax-exempt securities.
FGIC -- Financial Guaranty Insurance Co.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next
interest reset date. The interest rate shown is the rate in effect at
August 31, 2003.
FRN -- Floating Rate Note. The maturity date shown is the actual maturity
date. The rate shown is the rate in effect at August 31, 2003.
FSA -- Financial Securities Assistance.
GAN -- Grant Anticipation Note.
GO -- General Obligation Bond.
IBC -- Insured Bond Certificates.
IDA -- Industrial Development Authority.
IDB -- Industrial Development Board.
IDR -- Industrial Development Revenue.
MBIA -- Municipal Bond Insurance Association.
MTN -- Medium Term Note.
PCFA -- Pollution Control Financing Authority.
PCR -- Pollution Control Revenue.
RAN -- Revenue Anticipation Note.
Rev. -- Revenue Bond.
Ser. -- Series.
SUB -- Step-up bond. The rate shown is the rate in effect as of August 31,
2003.
TAN -- Tax Anticipation Note.
TAW -- Tax Anticipation Warrant.
TRAN -- Tax & Revenue Anticipation Note.
USD -- United States Dollar.
See notes to financial statements.
109
<Page>
JPMORGAN FUNDS
Statement of Assets and Liabilities
As of August 31, 2003
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
100% U.S.
TREASURY SECURITIES U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 4,971,204 $ 9,485,743
Cash --^ --^
Receivables:
Fund shares sold 107 --
Interest 754 3,540
Expense reimbursements 2 --
- -------------------------------------------------------------------------------------------------
Total Assets 4,972,067 9,489,283
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 1,132 2,278
Accrued liabilities:
Investment advisory fees 441 801
Administration fees 384 441
Shareholder servicing fees 931 1,477
Distribution fees 22 168
Custodian fees 202 311
Trustees' fees -- deferred compensation plan 677 1,231
Other 615 411
- -------------------------------------------------------------------------------------------------
Total Liabilities 4,404 7,118
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 4,967,517 9,482,047
Accumulated undistributed (overdistributed)
net investment income (36) (160)
Accumulated net realized gain (loss)
on investments 182 278
- -------------------------------------------------------------------------------------------------
Total Net Assets $ 4,967,663 $ 9,482,165
- -------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001 par
value; unlimited number of shares authorized):
Morgan 2,535,198 3,076,049
Premier 488,882 1,113,733
Agency 817,215 3,765,093
Institutional 1,126,294 1,527,216
Net asset value, offering and redemption price per
share (all classes) $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------
Cost of investments $ 4,971,204 $ 9,485,743
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
110
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 3,489,955 $ 3,570,637
Cash --^ 2
Receivables:
Investment securities sold 300,347 --
Interest 1,193 2,971
- -------------------------------------------------------------------------------------------------
Total Assets 3,791,495 3,573,610
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 994 1,328
Accrued liabilities:
Investment advisory fees 316 310
Administration fees 196 260
Shareholder servicing fees 578 364
Distribution fees 57 3
Custodian fees 162 180
Trustees' fees -- deferred compensation plan 463 195
Other 154 413
- -------------------------------------------------------------------------------------------------
Total Liabilities 2,920 3,053
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 3,788,876 3,570,738
Accumulated undistributed (overdistributed)
net investment income (46) (186)
Accumulated net realized gain (loss) on investments (255) 5
- -------------------------------------------------------------------------------------------------
Total Net Assets $ 3,788,575 $ 3,570,557
- -------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Morgan 782,307 311,008
Premier 1,228,146 1,214,947
Agency 1,246,787 333,488
Institutional 297,471 1,711,771
Reserve 234,218 --
Net asset value, offering and redemption price per
share (all classes) $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------
Cost of investments $ 3,489,955 $ 3,570,637
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
111
<Page>
<Table>
<Caption>
CALIFORNIA NEW YORK
TAX FREE TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 149,833 $ 1,826,440
Cash 22 102
Receivables:
Investment securities sold -- 26,600
Fund shares sold -- 2
Interest 430 5,508
- -------------------------------------------------------------------------------------------------
Total Assets 150,285 1,858,652
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 37 129
Investment securities purchased 1,010 19,630
Accrued liabilities:
Investment advisory fees 13 159
Administration fees 4 146
Shareholder servicing fees 35 557
Distribution fees -- 32
Custodian fees 15 85
Trustees' fees -- deferred compensation plan 12 271
Other 12 245
- -------------------------------------------------------------------------------------------------
Total Liabilities 1,138 21,254
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 149,196 1,837,240
Accumulated undistributed (overdistributed)
net investment income (49) (260)
Accumulated net realized gain (loss) on investments -- 418
- -------------------------------------------------------------------------------------------------
Total Net Assets $ 149,147 $ 1,837,398
- -------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Morgan 149,212 1,662,521
Reserve -- 174,821
Net asset value, offering and redemption price
per share (all classes) $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------
Cost of investments $ 149,833 $ 1,826,440
=================================================================================================
</Table>
See notes to financial statements.
112
<Page>
<Table>
<Caption>
TAX FREE LIQUID ASSETS
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 11,452,335 $ 2,567,822
Cash 13 --
Receivables:
Investment securities sold 126,140 --
Fund shares sold 11 12
Interest 24,527 4,863
- -------------------------------------------------------------------------------------------------
Total Assets 11,603,026 2,572,697
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Due to custodian -- 44
Dividends 3,559 600
Investment securities purchased 454,538 --
Accrued liabilities:
Investment advisory fees 960 231
Administration fees 816 46
Shareholder servicing fees 955 41
Distribution fees 11 --
Custodian fees 344 108
Trustees' fees -- deferred compensation plan 261 1
Other 661 169
- -------------------------------------------------------------------------------------------------
Total Liabilities 462,105 1,240
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 11,144,658 2,571,399
Accumulated undistributed (overdistributed)
net investment income (3,818) (9)
Accumulated net realized gain (loss) on investments 81 67
- -------------------------------------------------------------------------------------------------
Total Net Assets $ 11,140,921 $ 2,571,457
- -------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Morgan 655,915 18,404
Premier 3,430,541 36,015
Agency 725,339 284,072
Institutional 6,332,659 2,232,909
Net asset value, offering and redemption price
per share (all classes) $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------
Cost of investments $ 11,452,335 $ 2,567,822
=================================================================================================
</Table>
See notes to financial statements.
113
<Page>
<Table>
<Caption>
PRIME
MONEY MARKET
FUND
- -------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 49,644,767
Cash 11
Receivables:
Fund shares sold 372
Interest 50,394
- -------------------------------------------------------------------------------------------------
Total Assets 49,695,544
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 17,114
Investment securities purchased 213,177
Accrued liabilities:
Investment advisory fees 4,207
Administration fees 3,660
Shareholder servicing fees 3,295
Distribution fees 171
Custodian fees 1,786
Trustees' fees -- deferred compensation plan 2,536
Other 1,369
- -------------------------------------------------------------------------------------------------
Total Liabilities 247,315
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 49,449,541
Accumulated undistributed (overdistributed) net investment income (1,313)
Accumulated net realized gain (loss) on investments 1
- -------------------------------------------------------------------------------------------------
Total Net Assets $ 49,448,229
- -------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding ($0.001
par value; unlimited number of shares authorized):
Morgan 4,626,551
Premier 5,412,608
Agency 12,648,663
Class B 10,104
Class C 563
Institutional 25,076,660
Reserve 355,439
Select 775,570
Cash Management 544,046
Net asset value, offering and redemption price per share (all classes)* $ 1.00
- -------------------------------------------------------------------------------------------------
Cost of investments $ 49,644,767
=================================================================================================
</Table>
*Redemption price for Class B and Class C may be reduced by contingent deferred
sales charge.
See notes to financial statements.
114
<Page>
Statement of Operations
For the year ended August 31, 2003
(Amounts in thousands)
<Table>
<Caption>
100% U.S.
TREASURY SECURITIES U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 73,527 $ 131,275
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 5,486 9,277
Administration fees 5,486 9,277
Shareholder servicing fees 14,191 18,761
Distribution fees 3,168 4,199
Custodian and accounting fees 386 624
Printing and postage 11 39
Professional fees 179 266
Registration fees 126 137
Transfer agent fees 893 812
Trustees' fees 59 100
Other 117 255
- -------------------------------------------------------------------------------------------------
Total expenses 30,102 43,747
- -------------------------------------------------------------------------------------------------
Less amounts waived 4,924 7,959
Less expense reimbursements 25 --
Less earnings credits --^ --^
- -------------------------------------------------------------------------------------------------
Net expenses 25,153 35,788
- -------------------------------------------------------------------------------------------------
Net investment income 48,374 95,487
- -------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 231 281
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 48,605 $ 95,768
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
115
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 53,329 $ 59,091
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 3,856 4,200
Administration fees 3,856 4,200
Shareholder servicing fees 7,856 7,323
Distribution fees 1,442 381
Custodian and accounting fees 320 327
Printing and postage 14 4
Professional fees 137 117
Registration fees 639 14
Transfer agent fees 284 658
Trustees' fees 41 45
Other 120 102
- -------------------------------------------------------------------------------------------------
Total expenses 18,565 17,371
- -------------------------------------------------------------------------------------------------
Less amounts waived 3,233 3,211
Less earnings credits --^ --^
- -------------------------------------------------------------------------------------------------
Net expenses 15,332 14,160
- -------------------------------------------------------------------------------------------------
Net investment income 37,997 44,931
- -------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 15 24
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 38,012 $ 44,955
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
116
<Page>
<Table>
<Caption>
CALIFORNIA NEW YORK
TAX FREE TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 1,978 $ 27,858
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 156 2,121
Administration fees 156 2,121
Shareholder servicing fees 547 7,425
Distribution fees 156 2,484
Custodian and accounting fees 4 121
Printing and postage 1 1
Professional fees 37 77
Registration fees 45 --
Transfer agent fees 36 543
Trustees' fees 2 23
Other 4 43
- -------------------------------------------------------------------------------------------------
Total expenses 1,144 14,959
- -------------------------------------------------------------------------------------------------
Less amounts waived 284 2,081
Less earnings credits --^ --^
- -------------------------------------------------------------------------------------------------
Net expenses 860 12,878
- -------------------------------------------------------------------------------------------------
Net investment income 1,118 14,980
- -------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 5 417
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 1,123 $ 15,397
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
117
<Page>
<Table>
<Caption>
TAX FREE LIQUID ASSETS
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest income $ 125,582 $ 31,962
Dividend income 125 --
- -------------------------------------------------------------------------------------------------
Total investment income 125,707 31,962
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 9,952 2,256
Administration fees 9,952 2,256
Shareholder servicing fees 16,837 2,376
Distribution fees 702 18
Custodian and accounting fees 785 212
Printing and postage 38 8
Professional fees 282 90
Registration fees 705 163
Transfer agent fees 336 101
Trustees' fees 108 25
Other 257 37
- -------------------------------------------------------------------------------------------------
Total expenses 39,954 7,542
- -------------------------------------------------------------------------------------------------
Less amounts waived 8,241 3,886
Less earnings credits 4 1
- -------------------------------------------------------------------------------------------------
Net expenses 31,709 3,655
- -------------------------------------------------------------------------------------------------
Net investment income 93,998 28,307
- -------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 858 73
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 94,856 $ 28,380
=================================================================================================
</Table>
See notes to financial statements.
118
<Page>
<Table>
<Caption>
PRIME
MONEY MARKET
FUND
- -------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 758,664
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 52,172
Administration fees 52,172
Shareholder servicing fees 77,880
Distribution fees 2,912
Custodian and accounting fees 3,606
Printing and postage 17
Professional fees 1,082
Registration fees (1,983)
Transfer agent fees 4,383
Trustees' fees 559
Other 844
- -------------------------------------------------------------------------------------------------
Total expenses 193,644
- -------------------------------------------------------------------------------------------------
Less amounts waived 37,351
Less earnings credits --^
- -------------------------------------------------------------------------------------------------
Net expenses 156,293
- -------------------------------------------------------------------------------------------------
Net investment income 602,371
- -------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 9
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 602,380
=================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
119
<Page>
Statement of Changes in Net Assets For the periods indicated
(Amounts in thousands)
<Table>
<Caption>
100% U.S. TREASURY
SECURITIES U.S. GOVERNMENT
MONEY MARKET FUND MONEY MARKET FUND
------------------------------- -------------------------------
YEAR ENDED YEAR ENDED
8/31/03 8/31/02 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 48,374 $ 90,951 $ 95,487 $ 160,187
Net realized gain (loss) on investments 231 406 281 71
- -------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 48,605 91,357 95,768 160,258
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (48,312) (90,951) (95,524) (160,284)
Net realized gain on investment transactions (60) (1,071) (3) (120)
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (48,372) (92,022) (95,527) (160,404)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (268,077) (93,636) 115,592 196,512
- -------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (267,844) (94,301) 115,833 196,366
NET ASSETS:
Beginning of period 5,235,507 5,329,808 9,366,332 9,169,966
- -------------------------------------------------------------------------------------------------------------------------------
End of period $ 4,967,663 $ 5,235,507 $ 9,482,165 $ 9,366,332
- -------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME $ (36) $ (98) $ (160) $ (123)
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
120
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET FUND MONEY MARKET FUND
------------------------------- -------------------------------
YEAR ENDED YEAR ENDED
8/31/03 8/31/02 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 37,997 $ 72,344 $ 44,931 $ 106,084
Net realized gain (loss) on investments 15 60 24 704
- -------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 38,012 72,404 44,955 106,788
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (38,099) (72,229) (44,861) (106,246)
Net realized gain on investment transactions -- -- (66) (779)
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (38,099) (72,229) (44,927) (107,025)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (215,318) 1,166,546 (761,408) 2,229,239
- -------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (215,405) 1,166,721 (761,380) 2,229,002
NET ASSETS:
Beginning of period 4,003,980 2,837,259 4,331,937 2,102,935
- -------------------------------------------------------------------------------------------------------------------------------
End of period $ 3,788,575 $ 4,003,980 $ 3,570,557 $ 4,331,937
- -------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME $ (46) $ 56 $ (186) $ (256)
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
121
<Page>
<Table>
<Caption>
CALIFORNIA TAX FREE NEW YORK TAX FREE
MONEY MARKET FUND MONEY MARKET FUND
------------------------------- -------------------------------
YEAR ENDED YEAR ENDED
8/31/03 8/31/02 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 1,118 $ 1,533 $ 14,980 $ 27,181
Net realized gain (loss) on investments 5 11 417 457
- -------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 1,123 1,544 15,397 27,638
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,133) (1,579) (14,748) (27,725)
Net realized gain (loss) on investment transactions -- -- (386) (34)
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (1,133) (1,579) (15,134) (27,759)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (13,914) 80,351 (465,972) (135,502)
- -------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (13,924) 80,316 (465,709) (135,623)
NET ASSETS:
Beginning of period 163,071 82,755 2,303,107 2,438,730
- -------------------------------------------------------------------------------------------------------------------------------
End of period $ 149,147 $ 163,071 $ 1,837,398 $ 2,303,107
- -------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME $ (49) $ (49) $ (260) $ (528)
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
122
<Page>
<Table>
<Caption>
TAX FREE LIQUID ASSETS
MONEY MARKET FUND MONEY MARKET FUND
------------------------------- -------------------------------
YEAR 4/1/02*
YEAR ENDED ENDED THROUGH
8/31/03 8/31/02 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 93,998 $ 99,873 $ 28,307 $ 5,151
Net realized gain (loss) on investments 858 302 73 20
- -------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 94,856 100,175 28,380 5,171
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (94,379) (103,426) (28,315) (5,152)
Net realized gain on investment transactions -- -- (6) (20)
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (94,379) (103,426) (28,321) (5,172)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 2,189,669 7,010,568 1,356,372 1,215,027
- -------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 2,190,146 7,007,317 1,356,431 1,215,026
NET ASSETS:
Beginning of period 8,950,775 1,943,458 1,215,026 --
- -------------------------------------------------------------------------------------------------------------------------------
End of period $ 11,140,921 $ 8,950,775 $ 2,571,457 $ 1,215,026
- -------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME $ (3,818) $ (3,558) $ (9) $ (1)
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
See notes to financial statements.
123
<Page>
<Table>
<Caption>
PRIME
MONEY MARKET FUND
-------------------------------
YEAR ENDED
8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 602,371 $ 1,183,028
Net realized gain (loss) on investments 9 1,403
- -------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 602,380 1,184,431
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (603,707) (1,182,928)
Net realized gain on investment transactions (147) (1,417)
- -------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (603,854) (1,184,345)
- -------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 519,344 19,647,317
- -------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 517,870 19,647,403
NET ASSETS:
Beginning of period 48,930,359 29,282,956
- -------------------------------------------------------------------------------------------------------------------------------
End of period $ 49,448,229 $ 48,930,359
- -------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (1,313) $ 31
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
124
<Page>
JPMORGAN FUNDS
Notes to Financial Statements
1. ORGANIZATION
JPMorgan Mutual Fund Trust ("MFT" or "the Trust") was organized on February 4,
1994 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end management
investment company. MFT was formerly named Mutual Fund Trust. The name change
went into effect May 1, 2003.
The following are nine separate portfolios of the Trust (collectively, the
"Funds").
<Table>
<Caption>
FUND CLASSES OFFERED
- -------------------------------------------------------------------------------------------
JPMorgan 100% U.S. Treasury Securities
Money Market Fund ("USTS") Morgan, Premier, Agency, Institutional
JPMorgan U.S. Government Money
Market Fund ("USG") Morgan, Premier, Agency, Institutional
JPMorgan Treasury Plus Money
Market Fund ("TP") Morgan, Premier, Agency, Institutional, Reserve
JPMorgan Federal Money
Market Fund ("FED") Morgan, Premier, Agency, Institutional
JPMorgan California Tax Free Money
Market Fund ("CTF") Morgan
JPMorgan New York Tax Free Money
Market Fund ("NYTF") Morgan, Reserve
JPMorgan Tax Free Money
Market Fund ("TF") Morgan, Premier, Agency, Institutional
JPMorgan Liquid Assets Money
Market Fund ("LA") Morgan, Premier, Agency, Institutional
JPMorgan Prime Money
Market Fund ("PRM") Morgan, Premier, Agency, Class B, Class C,
Institutional, Reserve, Select, Cash
Management
</Table>
All classes of shares have equal rights as to earnings, assets and voting
privileges except that each class may bear different transfer agent,
distribution and shareholder servicing fees and each class has exclusive voting
rights with respect to its distribution plan and shareholder servicing
agreement.
2. REORGANIZATIONS
Prior to the open of business on September 10, 2001, the Acquiring Funds
acquired all the net assets of the Target Funds, as shown in the tables below,
pursuant to Plans of Reorganization approved by the Target Funds' shareholders
on July 3, 2001, and July 25, 2001. The transactions were structured for tax
purposes to qualify as tax-free reorganizations under the Internal Revenue Code.
Under each Reorganization Plan, shareholders of the Target Funds received shares
in the Acquiring Funds with a value equal to their holdings in the Target Funds.
125
<Page>
Shareholders of the Target Funds received the following class of Shares of the
Acquiring Funds:
<Table>
<Caption>
ACQUIRING SHARES
TARGET FUNDS FUND RECEIVED
- ---------------------------------------------------------------------------
J.P. Morgan Treasury Money
Market Reserves Fund TP Reserve Shares
J.P. Morgan Institutional Treasury
Money Market Fund TP Institutional Shares
J.P. Morgan Institutional Service
Treasury Money Market Fund TP Premier Shares
J.P. Morgan Federal Money
Market Fund FED Premier Shares
J.P. Morgan Institutional Federal
Money Market Fund FED Institutional Shares
J.P. Morgan Institutional Service
Federal Money Market Fund FED Premier Shares
J.P. Morgan Prime Money
Market Fund PRM Select Shares
J.P. Morgan Institutional Prime
Money Market Fund PRM Institutional Shares
J.P. Morgan Institutional Service
Prime Money Market Fund PRM Premier Shares
J.P. Morgan Prime Money Market
Reserves Fund PRM Reserve Shares
J.P. Morgan Institutional Prime
Direct Money Market Fund PRM Agency Shares
J.P. Morgan Prime Cash
Management Fund PRM Cash Management Shares
J.P. Morgan Tax Exempt Money
Market Fund TF Premier Shares
J.P. Morgan Institutional
Tax Exempt Money Market Fund TF Institutional Shares
J.P. Morgan Institutional Service
Tax Exempt Money Market Fund TF Premier Shares
</Table>
126
<Page>
The following is a summary of Beneficial Interest Outstanding, Shares
Outstanding, Net Assets and Net Asset Value Per Share immediately before and
after the Reorganizations (amounts in thousands, except per share amounts):
<Table>
<Caption>
JPMORGAN
TREASURY PLUS MONEY MARKET FUND REORGANIZATION
- -----------------------------------------------------------------------------------------
BENEFICIAL NET ASSET
INTEREST SHARES VALUE
OUTSTANDING OUTSTANDING NET ASSETS PER SHARE
- -----------------------------------------------------------------------------------------
Target Funds
J.P. Morgan Treasury Money
Market Reserves Fund 94,137 -- $ 94,097 $ 1.00
J.P. Morgan Institutional
Treasury Money
Market Fund 310,752 -- $ 310,665 $ 1.00
J.P. Morgan Institutional
Service Treasury Money
Market Fund 507,600 -- $ 507,445 $ 1.00
Acquiring Fund
JPMorgan Treasury Plus
Money Market Fund
Vista Shares (Renamed
Morgan Shares) 1,352,315 $ 1,352,126 $ 1.00
Premier Shares 325,008 $ 324,992 $ 1.00
Institutional Shares
(Renamed Agency Shares) 965,202 $ 965,226 $ 1.00
Post Reorganization Fund
JPMorgan Treasury Plus
Money Market Fund
Morgan Shares 1,352,315 $ 1,352,126 $ 1.00
Premier Shares 832,608 $ 832,437 $ 1.00
Agency Shares 965,202 $ 965,226 $ 1.00
Institutional Shares 310,752 $ 310,665 $ 1.00
Reserve Shares 94,137 $ 94,097 $ 1.00
</Table>
127
<Page>
<Table>
<Caption>
JPMORGAN
FEDERAL MONEY MARKET FUND REORGANIZATION
- --------------------------------------------------------------------------------------------
BENEFICIAL NET ASSET
INTEREST SHARES VALUE
OUTSTANDING OUTSTANDING NET ASSETS PER SHARE
- --------------------------------------------------------------------------------------------
Target Funds
J.P. Morgan Federal Money
Market Fund 1,683,861 -- $ 1,683,381 $ 1.00
J.P. Morgan Institutional
Federal Money
Market Fund 2,447,081 -- $ 2,447,079 $ 1.00
J.P. Morgan Institutional
Service Federal
Money Market Fund 27,508 -- $ 27,508 $ 1.00
Acquiring Fund
JPMorgan Federal Money
Market Fund II
(Renamed JPMorgan
Federal Money Market Fund)
Vista Shares (Renamed
Morgan Shares) 657,732 $ 657,737 $ 1.00
Premier Shares 281,550 $ 281,551 $ 1.00
Institutional Shares
(Renamed Agency Shares) 1,176,516 $ 1,176,546 $ 1.00
Reserve Shares* 1,001 $ 1,001 $ 1.00
Post Reorganization Fund
JPMorgan Federal Money
Market Fund
Morgan Shares 658,733 $ 658,738 $ 1.00
Premier Shares 1,992,919 $ 1,992,440 $ 1.00
Agency Shares 1,176,516 $ 1,176,546 $ 1.00
Institutional Shares 2,447,081 $ 2,447,079 $ 1.00
</Table>
* In conjunction with the Fund Reorganization, Reserve Shares merged into
Morgan Shares.
128
<Page>
<Table>
<Caption>
JPMORGAN
PRIME MONEY MARKET FUND REORGANIZATION
- -------------------------------------------------------------------------------------------------
BENEFICIAL NET ASSET
INTEREST SHARES VALUE
OUTSTANDING OUTSTANDING NET ASSETS PER SHARE
- -------------------------------------------------------------------------------------------------
Target Funds
J.P. Morgan Prime Money
Market Fund 2,959,209 -- $ 2,959,283 $ 1.00
J.P. Morgan Institutional
Prime Money
Market Fund 19,841,553 -- $ 19,841,087 $ 1.00
J.P. Morgan Institutional
Service
Prime Money
Market Fund 993,962 -- $ 993,883 $ 1.00
J.P. Morgan Prime
Money Market
Reserves Fund 121,016 -- $ 121,009 $ 1.00
J.P. Morgan Institutional
Prime
Direct Money
Market Fund 27,613 -- $ 27,614 $ 1.00
J.P. Morgan Prime Cash
Management Fund 139,285 -- $ 139,283 $ 1.00
Acquiring Fund
JPMorgan Prime Money
Market Fund II
(Renamed JPMorgan
Prime Money Market Fund)
Vista Shares (Renamed
Morgan Shares) 10,478,092 $ 10,477,967 $ 1.00
Class B 17,511 $ 17,502 $ 1.00
Class C 303 $ 303 $ 1.00
Premier Shares 2,282,312 $ 2,282,320 $ 1.00
Institutional Shares
(Renamed Agency Shares) 17,352,444 $ 17,352,408 $ 1.00
Reserve Shares 10,001 $ 10,002 $ 1.00
Post Reorganization Fund
JPMorgan Prime Money
Market Fund
Morgan Shares 10,478,092 $ 10,477,967 $ 1.00
Class B 17,511 $ 17,502 $ 1.00
Class C 303 $ 303 $ 1.00
Premier Shares 3,276,274 $ 3,276,203 $ 1.00
Agency Shares 17,380,057 $ 17,380,022 $ 1.00
Institutional Shares 19,841,553 $ 19,841,087 $ 1.00
Reserve Shares 131,017 $ 131,011 $ 1.00
Cash Management Shares 139,285 $ 139,283 $ 1.00
Select Shares 2,959,209 $ 2,959,283 $ 1.00
</Table>
129
<Page>
<Table>
<Caption>
JPMORGAN
TAX FREE MONEY MARKET FUND REORGANIZATION
- ---------------------------------------------------------------------------------------------
BENEFICIAL NET ASSET
INTEREST SHARES VALUE
OUTSTANDING OUTSTANDING NET ASSETS PER SHARE
- ---------------------------------------------------------------------------------------------
Target Funds
J.P. Morgan Tax Exempt
Money Market Fund 1,989,832 -- $ 1,989,763 $ 1.00
J.P. Morgan Institutional
Tax Exempt Money
Market Fund 1,606,636 -- $ 1,606,663 $ 1.00
J.P. Morgan Institutional
Service Tax Exempt
Money Market Fund 62,224 -- $ 62,227 $ 1.00
Acquiring Fund
JPMorgan Tax Free
Money Market Fund
Vista Shares (Renamed
Morgan Shares) 859,836 $ 859,225 $ 1.00
Premier Shares 119,034 $ 119,019 $ 1.00
Institutional Shares
(Renamed Agency Shares) 887,548 $ 887,450 $ 1.00
Reserve Shares* 1 $ 1 $ 1.00
Post Reorganization Fund
JPMorgan Tax Free
Money Market Fund
Morgan Shares 859,837 $ 859,226 $ 1.00
Premier Shares 2,171,090 $ 2,171,009 $ 1.00
Agency Shares 887,548 $ 887,450 $ 1.00
Institutional Shares 1,606,636 $ 1,606,663 $ 1.00
</Table>
* In conjunction with the Fund Reorganization, Reserve Shares merged into
Morgan Shares.
3. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized
cost which approximates market value. The Trust's use of amortized cost is
subject to the Trust's compliance with certain conditions as specified under
Rule 2a-7 of the 1940 Act.
130
<Page>
B. REPURCHASE AGREEMENTS -- PRM and LA may engage in repurchase agreement
transactions that are collateralized by money market instruments or corporate
debt securities that, at the time the transaction is entered into, are rated at
least investment grade. USTS, USG, TP, FED, CTF, NYTF, TF engage in repurchase
agreements that are fully collateralized, primarily by U.S. Treasury and
Government Agency securities. All collateral is held by the Fund's custodian
bank, subcustodian or a bank with which the custodian bank has entered into a
subcustodian agreement, or is segregated in the Federal Reserve Book Entry
System. In connection with transactions in repurchase agreements, if the seller
defaults and the value of the collateral declines, realization of the collateral
by the Fund may be delayed or limited.
C. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts.
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust are allocated
proportionately among each of the Funds within the Trust in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating net asset value per share of each class, investment income, realized
and unrealized gains and losses and expenses other than class specific expenses
are allocated daily to each class of shares based upon the proportion of net
assets of each class at the beginning of each day.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The policy of the Funds is to comply with the
provisions of the Internal Revenue Code applicable to regulated investment
companies and to distribute to shareholders all of their distributable net
investment income and net realized gain on investments. In addition, the Funds
intend to make distributions as required to avoid excise taxes. Accordingly, no
provision for Federal income or excise tax is necessary.
G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting
131
<Page>
principles generally accepted in the United States of America. To the extent
these "book/tax" differences are permanent in nature, (i.e., that they result
from other than timing of recognition --"temporary differences"), such amounts
are reclassified within the capital accounts based on their Federal tax-basis
treatment.
The following amounts were reclassified within the capital accounts at August
31, 2003 (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
- ------------------------------------------------------------------------------
CTF $ (14) $ 15 $ (1)
NYTF -- 36 (36)
TF (2) 121 (119)
PRM -- (8) 8
</Table>
The reclassifications for CTF primarily relate to the character for tax purposes
of overdistributions. For NYTF, TF, and PRM, the reclassification primarily
relates to the character for tax purposes of dividends paid.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to an Investment Advisory Agreement, J.P.
Morgan Fleming Asset Management (USA), Inc. ("JPMFAM" or "Advisor") acts as the
investment adviser to the Funds. JPMFAM, is a direct wholly owned subsidiary of
JPMorgan Chase Bank ("JPMCB") and an indirect wholly owned subsidiary of J.P.
Morgan Chase & Co. ("JPMorgan"). The Advisor supervises the investments of each
respective Fund and for such services is paid a fee. The fee is accrued daily
and paid monthly at an annual rate equal to 0.10% of the average daily net
assets for each respective Fund.
The Advisor waived fees and/or reimbursed expenses as outlined in Note 4.E.
B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
132
<Page>
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Morgan, Premier, Class B, Class C, Reserve and Cash Management Shares of the
Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans
provide that each Fund shall pay distribution fees, including payments to the
Distributor, at annual rates of the average daily net assets as shown in the
table below (%):
<Table>
<Caption>
CASH
FUND MORGAN PREMIER CLASS B CLASS C RESERVE MANAGEMENT
- ------------------------------------------------------------------------------------------
USTS 0.10 n/a n/a n/a n/a n/a
USG 0.10 0.10 n/a n/a n/a n/a
TP 0.10 n/a n/a n/a 0.25 n/a
FED 0.10 n/a n/a n/a n/a n/a
CTF 0.10 n/a n/a n/a n/a n/a
NYTF 0.10 n/a n/a n/a 0.30 n/a
TF 0.10 n/a n/a n/a n/a n/a
LA 0.10 n/a n/a n/a n/a n/a
PRM n/a n/a 0.75 0.75 0.25 0.50
</Table>
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in Note 4.E.
C. SHAREHOLDER SERVICING FEES -- The Trust has entered into a Shareholder
Servicing Agreement on behalf of the Funds with JPMCB, under which JPMCB
provides account administration and personal account maintenance services to the
shareholders. JPMCB may obtain the services of one or more shareholder servicing
agents. For these services JPMCB or the Shareholder Servicing Agent will receive
a fee that is computed daily and paid monthly equal to a percentage of the
average daily net assets as shown in the table below (%):
<Table>
<Caption>
CASH
FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT
- -------------------------------------------------------------------------------------------------------------
USTS 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
USG 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
TP 0.35 0.25 0.10 n/a n/a 0.10 0.25 n/a n/a
FED 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
CTF 0.35 n/a n/a n/a n/a n/a n/a n/a n/a
NYTF 0.35 n/a n/a n/a n/a n/a 0.35 n/a n/a
TF 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
LA 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
PRM 0.35 0.25 0.10 0.25 0.25 0.10 0.25 0.25 0.25
</Table>
133
<Page>
The Funds may be sold to or through financial intermediaries who are customers
of JPMCB, including financial institutions and broker-dealers, that may be paid
fees by JPMCB or its affiliates for services provided to their clients that
invest in the Funds. Organizations that provide recordkeeping or other services
to certain employee benefit or retirement plans that include the Funds as
investment alternatives may also be paid a fee.
The Shareholder Servicing Agents have waived fees as outlined in Note 4.E.
D. CUSTODIAN AND ACCOUNTING FEES -- Effective May 5, 2003, JPMCB provides
portfolio custody and portfolio accounting services for the Funds. Compensation
for such services is presented in the Statement of Operations as custodian fees.
The custodian fees may be reduced by credits earned by each Fund, based on the
uninvested cash balances held by the custodian. Such earning credits are
presented separately in the Statement of Operations. The amounts paid to JPMCB
for custody and accounting fees were as follows (in thousands):
<Table>
<Caption>
FUND AMOUNT
-----------------------------
USTS $ 126
USG 187
TP 87
FED 94
CTF 2
NYTF 46
TF 243
LA 76
PRM 1,015
</Table>
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate of 0.10% of the average daily net assets for
complex wide money market fund assets up to $100 billion and 0.05% on assets in
excess of $100 billion.
BISYS Fund Services, LP ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator.
134
<Page>
The Administrator has contractually agreed to reimburse the Funds to the extent
that total operating expenses (excluding interest, taxes, extraordinary expenses
and expenses related to the deferred compensation plan) exceed the percentages
of their respective average daily net assets as shown in the table below (%):
<Table>
<Caption>
CASH
FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT
- --------------------------------------------------------------------------------------------------------
USTS 0.59 0.46^ 0.25 n/a n/a 0.20 n/a n/a n/a
USG 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
TP 0.59 0.45 0.25 n/a n/a 0.20 0.70 n/a n/a
FED 0.70 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
CTF 0.55 n/a n/a n/a n/a n/a n/a n/a n/a
NYTF 0.59 n/a n/a n/a n/a n/a 0.79 n/a n/a
TF 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
LA 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
PRM 0.59 0.45 0.30^^ 1.24 1.24 0.20 0.70 0.44 0.97
</Table>
^ The limitation percentage prior to September 8, 2002, was 0.48%.
^^ The limitation percentage prior to January 1, 2003, was 0.26%.
The contractual expense limitation agreements were in effect for the year ended
August 31, 2003, for the Funds. The expense limitation percentages in the table
above are due to expire as follows:
<Table>
<Caption>
CASH
FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT
- ------------------------------------------------------------------------------------------------------------------
USTS 12/31/03 12/31/03 12/31/03 n/a n/a 12/31/03 n/a n/a n/a
USG 12/31/03 12/31/03 12/31/03 n/a n/a 12/31/03 n/a n/a n/a
TP 12/31/03 12/31/04 12/31/03 n/a n/a 12/31/04 12/31/04 n/a n/a
FED 12/31/03 12/31/04 12/31/03 n/a n/a 12/31/04 n/a n/a n/a
CTF 12/31/03 n/a n/a n/a n/a n/a n/a n/a n/a
NYTF 12/31/03 n/a n/a n/a n/a n/a 12/31/03 n/a n/a
TF 12/31/03 12/31/04 12/31/03 n/a n/a 12/31/04 n/a n/a n/a
LA 12/31/03 12/31/03 12/31/03 n/a n/a 12/31/03 n/a n/a n/a
PRM 12/31/03 12/31/04 12/31/04 12/31/03 12/31/03 12/31/04 12/31/04 12/31/04 12/31/04
</Table>
The Administrator waived fees and/or reimbursed expenses as outlined in Note
4.E.
135
<Page>
F. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 2003, the Funds'
vendors waived fees and the Administrator contractually reimbursed expenses for
each of the Funds as follows (amounts in thousands):
<Table>
<Caption>
VOLUNTARY WAIVERS
---------------------------------------
SHAREHOLDER
FUND ADMINISTRATION SERVICING TOTAL
-----------------------------------------------
USTS $ 15 $ -- $ 15
LA 1,202 -- 1,202
PRM 2,427 1,093 3,520
-----------------------------------------------
Total $ 3,644 $ 1,093 $ 4,737
===============================================
</Table>
<Table>
<Caption>
CONTRACTUAL WAIVERS
---------------------------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
FUND ADVISOR ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
- -------------------------------------------------------------------------------------------------------------------------
USTS $ -- $ 837 $ 1,385 $ 2,687 $ 4,909 $ 25
USG -- 4,203 1,347 2,409 7,959 --
TP -- 1,406 1,181 646 3,233 --
FED -- 715 2,218 278 3,211 --
CTF -- 89 39 156 284 --
NYTF -- 63 1 2,017 2,081 --
TF -- 2,279 5,400 562 8,241 --
LA 171 644 1,851 18 2,684 --
PRM -- 3,381 30,450 -- 33,831 --
- ------------------------------------------------------------------------------------------------------------------------
Total $ 171 $ 13,617 $ 43,872 $ 8,773 $ 66,433 $ 25
========================================================================================================================
</Table>
G. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain of the Funds may purchase securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate are affliated with the Funds.
The SEC has granted an exemptive order permitting each Fund to engage in
principal transactions with J.P. Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
136
<Page>
5. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended August 31, 2003, are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
- ----------------------------------------------------------------------
USTS
Morgan $ 11,087 $ 3,168 $ 772
Premier 1,310 -- 35
Agency 959 -- 66
Institutional 835 -- 20
- ----------------------------------------------------------------------
$ 14,191 $ 3,168 $ 893
- ----------------------------------------------------------------------
USG
Morgan $ 11,152 $ 3,187 $ 682
Premier 2,531 1,012 62
Agency 3,794 -- 38
Institutional 1,284 -- 30
- ----------------------------------------------------------------------
$ 18,761 $ 4,199 $ 812
- ----------------------------------------------------------------------
TP
Morgan $ 2,982 $ 852 $ 165
Premier 2,526 -- 36
Agency 1,183 -- 34
Institutional 575 -- 20
Reserve 590 590 29
- ----------------------------------------------------------------------
$ 7,856 $ 1,442 $ 284
- ----------------------------------------------------------------------
FED
Morgan $ 1,335 $ 381 $ 478
Premier 3,616 -- 87
Agency 396 -- 43
Institutional 1,976 -- 50
- ----------------------------------------------------------------------
$ 7,323 $ 381 $ 658
======================================================================
</Table>
137
<Page>
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
- ----------------------------------------------------------------------
CTF
Morgan $ 547 $ 156 $ 36
- ----------------------------------------------------------------------
NYTF
Morgan $ 6,791 $ 1,940 $ 530
Reserve 634 544 13
- ----------------------------------------------------------------------
$ 7,425 $ 2,484 $ 543
- ----------------------------------------------------------------------
TF
Morgan $ 2,457 $ 702 $ 148
Premier 8,550 -- 95
Agency 860 -- 38
Institutional 4,970 -- 55
- ----------------------------------------------------------------------
$ 16,837 $ 702 $ 336
- ----------------------------------------------------------------------
LA
Morgan $ 62 $ 18 $ 35
Premier 127 -- 19
Agency 246 -- 20
Institutional 1,941 -- 27
- ----------------------------------------------------------------------
$ 2,376 $ 18 $ 101
- ----------------------------------------------------------------------
PRM
Morgan $ 20,441 $ -- $ 3,760
Premier 14,274 -- 153
Agency 13,045 -- 131
Class B 30 90 8
Class C 2 5 --^
Institutional 25,882 -- 173
Reserve 1,011 1,011 16
Select 2,292 -- 127
Cash Management 903 1,806 15
- ----------------------------------------------------------------------
$ 77,880 $ 2,912 $ 4,383
======================================================================
</Table>
^ Amount rounds to less than one thousand.
138
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended August 31, 2003, and for the
year ended August 31, 2002, respectively, are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02
--------------------------------- ---------------------------------
NET NET
INVESTMENT REALIZED INVESTMENT REALIZED
INCOME GAIN INCOME GAIN
- ------------------------------------------------------------------------------------------
USTS
Morgan $ 24,263 $ 34 $ 62,290 $ 803
Premier 4,451 7 4,704 39
Agency 10,629 9 20,972 218
Institutional 8,969 10 2,985 11
- ------------------------------------------------------------------------------------------
$ 48,312 $ 60 $ 90,951 $ 1,071
- ------------------------------------------------------------------------------------------
USG
Morgan $ 26,848 $ 1 $ 62,610 $ 51
Premier 9,729 1 20,040 15
Agency 44,401 1 68,962 51
Institutional 14,546 -- 8,672 3
- ------------------------------------------------------------------------------------------
$ 95,524 $ 3 $ 160,284 $ 120
- ------------------------------------------------------------------------------------------
TP
Morgan $ 6,988 $ -- $ 20,433 $ --
Premier 9,186 -- 14,880 --
Agency 13,515 -- 24,183 --
Institutional 6,795 -- 9,517 --
Reserve 1,615 -- 3,216 --
- ------------------------------------------------------------------------------------------
$ 38,099 $ -- $ 72,229 $ --
- ------------------------------------------------------------------------------------------
FED
Morgan $ 2,728 $ 6 $ 9,623 $ 90
Premier 13,807 23 30,113 242
Agency 4,738 6 17,971 124
Institutional 23,588 31 48,539 323
- ------------------------------------------------------------------------------------------
$ 44,861 $ 66 $ 106,246 $ 779
- ------------------------------------------------------------------------------------------
CTF
Morgan $ 1,133 $ -- $ 1,579 $ --
- ------------------------------------------------------------------------------------------
NYTF
Morgan $ 13,831 $ 355 $ 26,970 $ 31
Reserve 917 31 755 3
- ------------------------------------------------------------------------------------------
$ 14,748 $ 386 $ 27,725 $ 34
==========================================================================================
</Table>
139
<Page>
<Table>
<Caption>
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02
--------------------------------- ---------------------------------
NET NET
INVESTMENT REALIZED INVESTMENT REALIZED
INCOME GAIN INCOME GAIN
- ------------------------------------------------------------------------------------------
TF
Morgan $ 4,971 $ -- $ 10,529 $ --
Premier 28,176 -- 35,766 --
Agency 9,026 -- 14,441 --
Institutional 52,206 -- 42,690 --
- ------------------------------------------------------------------------------------------
$ 94,379 $ -- $ 103,426 $ --
- ------------------------------------------------------------------------------------------
LA
Morgan $ 167 $ --^ $ 88 $ --
Premier 551 --^ 117 1
Agency 2,856 1 257 1
Institutional 24,741 5 4,690 18
- ------------------------------------------------------------------------------------------
$ 28,315 $ 6 $ 5,152 $ 20
- ------------------------------------------------------------------------------------------
PRM
Morgan $ 52,751 $ 13 $ 161,387 $ 224
Premier 57,405 15 95,052 148
Agency 156,314 34 348,599 383
Class B 33 --^ 151 1
Class C 2 --^ 6 --
Institutional 322,886 80 551,186 610
Reserve 3,076 1 3,847 10
Select 9,496 2 20,304 31
Cash Management 1,744 2 2,396 10
- ------------------------------------------------------------------------------------------
$ 603,707 $ 147 $ 1,182,928 $ 1,417
==========================================================================================
</Table>
^ Amount rounds to less than one thousand.
140
<Page>
7. FEDERAL INCOME TAX MATTERS
The tax character of distributions paid during the periods ended August 31,
2003, and August 31, 2002, were as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02
--------------------------------------------------------- -----------------------------------------------------------
TAX EXEMPT ORDINARY LONG-TERM TOTAL TAX EXEMPT ORDINARY LONG-TERM TOTAL
INCOME INCOME CAPITAL GAIN DISTRIBUTION INCOME INCOME CAPITAL GAIN DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------------------------
USTS $ -- $ 48,372 $ -- $ 48,372 $ -- $ 92,022 $ -- $ 92,022
USG -- 95,527 -- 95,527 -- 160,404 -- $ 160,404
TP -- 38,099 -- 38,099 -- 72,229 -- $ 72,229
FED -- 44,927 -- 44,927 -- 107,025 -- $ 107,025
CTF 1,115 18 -- 1,133 1,547 32 -- $ 1,579
NYTF 14,676 458 -- 15,134 27,339 420 -- $ 27,759
TF 93,988 272 119 94,379 100,494 2,932 -- $ 103,426
LA -- 28,321 -- 28,321 -- 5,172 -- $ 5,172
PRM -- 603,854 -- 603,854 -- 1,184,345 -- $ 1,184,345
</Table>
At August 31, 2003, the components of net assets (excluding paid in capital) on
a tax basis were as follows (amounts in thousands):
<Table>
<Caption>
USTS USG TP
- -----------------------------------------------------------------------------------
Current distributable ordinary income $ 1,955 $ 3,615 $ 1,410
Plus/Less: cumulative timing differences (1,809) (3,507) (1,456)
--------- --------- ---------
Undistributed ordinary income or
overdistribution of ordinary income $ 146 $ 108 $ (46)
========= ========= =========
Current distributable long-term capital
gain or tax basis capital loss carryover --^ 11 (255)
Plus/Less: cumulative timing differences -- -- --
--------- --------- ---------
Undistributed long-term gains/
accumulated capital loss --^ 11 (255)
========= ========= =========
Unrealized appreciation (depreciation) $ -- $ -- $ --
========= ========= =========
</Table>
<Table>
<Caption>
FED CTF NYTF
- -----------------------------------------------------------------------------------
Current Distributable Tax Exempt Income $ -- $ -- $ 140
Current distributable ordinary income 1,342 -- 389
Plus/Less: cumulative timing differences (1,523) (49) (400)
--------- --------- ---------
Undistributed ordinary income or
overdistribution of ordinary income $ (181) $ (49) $ 129
========= ========= =========
Current distributable long-term capital
gain or tax basis capital loss carryover -- -- 29
Plus/Less: cumulative timing differences -- -- --
--------- --------- ---------
Undistributed long-term
gains/accumulated capital loss -- -- 29
========= ========= =========
Unrealized appreciation (depreciation) $ -- $ -- $ --
========= ========= =========
</Table>
^ Amount rounds to less than one thousand.
141
<Page>
<Table>
<Caption>
TF LA PRM
- -----------------------------------------------------------------------------------
Current distributable tax exempt income $ -- $ -- $ --
Current distributable ordinary income -- 660 18,329
Plus/Less: cumulative timing differences (3,818) (601) (19,642)
--------- --------- ---------
Undistributed ordinary income or
overdistribution of ordinary income $ (3,818) $ 59 $ (1,313)
========= ========= =========
Current distributable long-term capital
gain or tax basis capital loss carryover 80 -- --
Plus/Less: cumulative timing differences -- -- --
--------- --------- ---------
Undistributed long-term gains/
accumulated capital loss 80 -- --
========= ========= =========
Unrealized appreciation (depreciation) $ -- $ -- $ --
========= ========= =========
</Table>
For USTS, USG, TP, FED, CTF, TF, LA and PRM, the cumulative timing differences
primarily consist of dividends payable and deferred compensation. For NYTF, the
cumulative timing difference consists of dividends payable, deferred
compensation and post October loss deferral.
At August 31, 2003, the following Funds have capital loss carryovers which will
be available to offset capital gains. To the extent that any net capital loss
carryovers are used to offset future capital gains, it is probable that the
gains so offset will not be distributed to shareholders (amounts in thousands).
<Table>
<Caption>
EXPIRATION
AMOUNT DATE
- ----------------------------------------------------
TP $ (219) August 31, 2008
(36) August 31, 2009
--------
(255)
</Table>
During the year ended August 31, 2003, TP, CTF, and TF utilized capital loss
carryforwards of $15, $4, and $657, respectively (amounts in thousands).
8. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
As of August 31, 2003, LA and PRM invested 37.6% and 26.7%, respectively, of
total investments in securities issued by institutions in the financial services
industry including banks, broker dealers and insurance companies. General
economic conditions, as well as exposure to credit losses arising from possible
financial difficulties of borrowers, play an important role in the operation of
the financial services industry.
142
<Page>
CTF, NYTF and TF invest substantially all of their assets in a diversified
portfolio of debt obligations issued by states, territories and possessions of
the United States and by the District of Columbia, and by their political
subdivisions and duly constituted authorities, with CTF primarily investing in
issuers in the State of California, and NYTF primarily investing in issuers in
the State of New York. The issuers' abilities to meet their obligations may be
affected by economic or political developments in a specific state or region.
In the normal course of business, the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
9. SUBSEQUENT EVENT
On September 1, 2003 Robert Fleming Inc. and J.P. Morgan Fleming Asset
Management (USA) Inc. merged into J.P. Morgan Investment Management, Inc.
("JPMIM"). The investment advisory services and personnel providing investment
advice have not changed as a result of the merger. Effective September 1, 2003,
JPMIM, the surviving entity, will serve as adviser to all the funds.
On October 1, 2003, JPMIM changed from being a wholly-owned subsidiary of J.P.
Morgan ("Parent") to being an indirectly wholly-owned subsidiary of the Parent,
with the intermediary being J.P. Morgan Fleming Asset Management Holdings Inc.
143
<Page>
10. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (Amounts in
thousands):
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
<Table>
<Caption>
MORGAN^ PREMIER
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 6,776,952 6,776,951 $ 2,050,702 2,050,702
Shares issued in reinvestment of distributions 14,095 14,095 1,250 1,249
Shares redeemed (7,781,503) (7,781,501) (1,915,748) (1,915,748)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (990,456) (990,455) $ 136,204 136,203
=================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 10,314,404 10,314,412 $ 905,565 905,563
Shares issued in reinvestment of distributions 41,451 41,451 2,121 2,121
Shares redeemed (10,857,005) (10,857,007) (687,896) (687,896)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (501,150) (501,144) $ 219,790 219,788
=================================================================================================================
<Caption>
AGENCY@ INSTITUTIONAL
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 4,968,483 4,968,483 $ 5,930,523 5,930,523
Shares issued in reinvestment of distributions 7,593 7,593 4,721 4,722
Shares redeemed (5,248,891) (5,248,890) (5,076,254) (5,076,254)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (272,815) (272,814) $ 858,990 858,991
=================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 6,533,319 6,533,319 $ 886,767 886,767
Shares issued in reinvestment of distributions 14,742 14,742 2,593 2,593
Shares redeemed (6,627,631) (6,627,631) (622,066) (622,057)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (79,570) (79,570) $ 267,294 267,303
=================================================================================================================
</Table>
^ Formerly Vista Shares.
@ Formerly Institutional Shares.
* For Institutional Shares, from commencement of operations on September 10,
2001.
144
<Page>
U.S. GOVERNMENT MONEY MARKET FUND
<Table>
<Caption>
MORGAN^ PREMIER
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 11,505,562 11,505,571 $ 4,867,870 4,867,870
Shares issued in reinvestment of distributions 11,649 11,649 7,060 7,060
Shares redeemed (11,815,954) (11,815,963) (4,808,850) (4,808,850)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (298,743) (298,743) $ 66,080 66,080
=================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 14,899,594 14,899,592 $ 4,696,629 4,696,625
Shares issued in reinvestment of distributions 28,756 28,756 13,895 13,895
Shares redeemed (15,703,649) (15,703,649) (4,914,063) (4,914,063)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (775,299) (775,301) $ (203,539) (203,543)
=================================================================================================================
<Caption>
AGENCY@ INSTITUTIONAL
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 28,452,633 28,452,632 $ 9,580,574 9,580,573
Shares issued in reinvestment of distributions 27,436 27,435 9,812 9,813
Shares redeemed (29,211,858) (29,211,859) (8,510,342) (8,510,342)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (731,789) (731,792) $ 1,080,044 1,080,044
=================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 25,336,802 25,336,802 $ 5,667,034 5,667,034
Shares issued in reinvestment of distributions 43,240 43,240 6,352 6,352
Shares redeemed (24,651,864) (24,651,864) (5,226,214) (5,226,214)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 728,178 728,178 $ 447,172 447,172
=================================================================================================================
</Table>
^ Formerly Vista Shares.
@ Formerly Institutional Shares.
* For Institutional Shares, from commencement of operations on September 10,
2001.
145
<Page>
TREASURY PLUS MONEY MARKET FUND
<Table>
<Caption>
MORGAN^ PREMIER
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 5,531,658 5,531,657 $ 6,571,629 6,571,629
Shares issued in reinvestment of distributions 4,046 4,047 1,962 1,962
Shares redeemed (5,856,791) (5,856,795) (6,163,135) (6,163,134)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (321,087) (321,091) $ 410,456 410,457
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 8,543,551 8,543,525 $ 4,775,127 4,775,127
Shares issued in connection with fund reorganization (note 2) -- -- 507,445 507,600
Shares issued in reinvestment of distributions 10,617 10,617 3,118 3,118
Shares redeemed (9,017,947) (9,017,947) (4,794,351) (4,794,351)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (463,779) (463,805) $ 491,339 491,494
============================================================================================================================
<Caption>
AGENCY@ INSTITUTIONAL
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 8,914,743 8,914,743 $ 6,993,523 6,993,523
Shares issued in reinvestment of distributions 9,425 9,425 5,472 5,471
Shares redeemed (9,093,885) (9,093,885) (7,133,307) (7,133,302)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (169,717) (169,717) $ (134,312) (134,308)
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 11,465,056 11,465,056 $ 7,160,765 7,160,765
Shares issued in connection with fund reorganization (note 2) -- -- 310,665 310,752
Shares issued in reinvestment of distributions 17,410 17,410 7,132 7,132
Shares redeemed (11,010,007) (11,010,007) (7,046,870) (7,046,870)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 472,459 472,459 $ 431,692 431,779
============================================================================================================================
<Caption>
RESERVE
----------------------------
AMOUNT SHARES
- --------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- --------------------------------------------------------------------------------------------
Shares sold $ 709,925 709,925
Shares issued in reinvestment of distributions 1,377 1,378
Shares redeemed (711,960) (711,960)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (658) (657)
============================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- --------------------------------------------------------------------------------------------
Shares sold $ 1,162,982 1,162,982
Shares issued in connection with fund reorganization (note 2) 94,097 94,137
Shares issued in reinvestment of distributions 1,952 1,952
Shares redeemed (1,024,196) (1,024,196)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 234,835 234,875
============================================================================================
</Table>
^ Formerly Vista Shares
@ Formerly Institutional Shares.
* For Institutional and Reserve Shares, from commencement of operations on
September 10, 2001.
146
<Page>
FEDERAL MONEY MARKET FUND
<Table>
<Caption>
MORGAN^ PREMIER
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 730,646 730,643 $ 5,877,312 5,877,310
Shares issued in reinvestment of distributions 2,042 2,042 2,370 2,370
Shares redeemed (873,924) (873,923) (6,069,550) (6,069,550)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (141,236) (141,238) $ (189,868) (189,870)
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 1,285,693 1,285,693 $ 7,091,868 7,091,868
Shares issued in connection with fund reorganization (note 2) 1,001 1,001 1,710,889 1,711,369
Shares issued in reinvestment of distributions 7,180 7,180 6,980 6,980
Shares redeemed (1,499,950) (1,499,950) (7,680,485) (7,680,485)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (206,076) (206,076) $ 1,129,252 1,129,732
============================================================================================================================
<Caption>
AGENCY@ INSTITUTIONAL
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 1,916,272 1,916,272 $ 6,055,216 6,054,030
Shares issued in reinvestment of distributions 1,380 1,380 13,339 13,339
Shares redeemed (2,106,886) (2,106,886) (6,309,625) (6,308,433)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (189,234) (189,234) $ (241,070) (241,064)
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,410,637 2,410,637 $ 10,250,685 10,250,685
Shares issued in connection with fund reorganization (note 2) -- -- 2,447,079 2,447,081
Shares issued in reinvestment of distributions 6,180 6,180 31,586 31,586
Shares redeemed (3,062,586) (3,062,586) (10,776,517) (10,776,517)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (645,769) (645,769) $ 1,952,833 1,952,835
============================================================================================================================
<Caption>
RESERVE
----------------------------
AMOUNT SHARES
- --------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2002*
- --------------------------------------------------------------------------------------------
Shares sold $ -- --
Shares issued in connection with fund reorganization (note 2) (1,001) (1,001)
Shares issued in reinvestment of distributions -- --
Shares redeemed -- --
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (1,001) (1,001)
============================================================================================
</Table>
^ Formerly Vista Shares
@ Formerly Institutional Shares.
* For Institutional and Reserve Shares, from commencement of operations on
September 10, 2001.
147
<Page>
CALIFORNIA TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN^
----------------------------
AMOUNT SHARES
- --------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- --------------------------------------------------------------------------------------------
Shares sold $ 470,080 470,082
Shares issued in reinvestment of distributions 280 280
Shares redeemed (484,274) (484,275)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (13,914) (13,913)
============================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002
- --------------------------------------------------------------------------------------------
Shares sold $ 437,801 437,801
Shares issued in reinvestment of distributions 552 552
Shares redeemed (358,002) (358,002)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 80,351 80,351
============================================================================================
</Table>
^ Formerly Vista Shares.
148
<Page>
NEW YORK TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN^ RESERVE
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,685,034 2,685,035 $ 157,434 157,433
Shares issued in reinvestment of distributions 10,305 10,305 928 928
Shares redeemed (3,156,594) (3,156,594) (163,079) (163,079)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (461,255) (461,254) $ (4,717) (4,718)
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 3,483,464 3,483,464 $ 276,532 276,532
Shares issued in reinvestment of distributions 19,928 19,928 725 725
Shares redeemed (3,818,432) (3,818,432) (97,719) (97,719)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (315,040) (315,040) $ 179,538 179,538
============================================================================================================================
</Table>
^ Formerly Vista Shares.
149
<Page>
TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN^ PREMIER
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 1,239,654 1,239,654 $ 12,469,538 12,469,545
Shares issued in reinvestment of distributions 2,354 2,354 3,773 3,773
Shares redeemed (1,489,347) (1,489,347) (12,110,456) (12,110,464)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (247,339) (247,339) $ 362,855 362,854
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,166,957 2,166,957 $ 12,250,326 12,250,326
Shares issued in connection with fund reorganization (note 2) 1 1 2,051,990 2,052,056
Shares issued in reinvestment of distributions 5,573 5,573 6,386 6,386
Shares redeemed (2,176,569) (2,176,569) (11,356,662) (11,356,662)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (4,038) (4,038) $ 2,952,040 2,952,106
============================================================================================================================
<Caption>
AGENCY@ INSTITUTIONAL
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 3,061,611 3,061,611 $ 27,825,383 27,825,382
Shares issued in reinvestment of distributions 4,197 4,197 26,713 26,713
Shares redeemed (3,432,944) (3,432,944) (25,410,807) (25,410,806)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (367,136) (367,136) $ 2,441,289 2,441,289
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 4,036,424 4,036,424 $ 17,612,670 17,612,670
Shares issued in connection with fund reorganization (note 2) -- -- 1,606,663 1,606,636
Shares issued in reinvestment of distributions 8,449 8,449 22,933 22,933
Shares redeemed (3,873,703) (3,873,703) (15,350,869) (15,350,869)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 171,170 171,170 $ 3,891,397 3,891,370
============================================================================================================================
</Table>
^ Formerly Vista Shares.
@ Formerly Institutional Shares.
* For Institutional Shares, from commencement of operations on September 10,
2001.
150
<Page>
LIQUID ASSETS MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 41,433 41,433 $ 254,965 254,965
Shares issued in reinvestment of distributions 156 156 456 456
Shares redeemed (40,689) (40,689) (245,143) (245,142)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 900 900 $ 10,278 10,279
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 23,482 23,482 $ 34,620 34,620
Shares issued in reinvestment of distributions 88 88 108 108
Shares redeemed (6,066) (6,066) (8,992) (8,992)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 17,504 17,504 $ 25,736 25,736
============================================================================================================================
<Caption>
AGENCY INSTITUTIONAL
---------------------------- ----------------------------
AMOUNT SHARES AMOUNT SHARES
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,702,858 2,702,858 $ 9,336,047 9,336,047
Shares issued in reinvestment of distributions 2,258 2,258 18,384 18,384
Shares redeemed (2,473,595) (2,473,596) (8,240,758) (8,240,757)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 231,521 231,520 $ 1,113,673 1,113,674
============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 75,072 75,072 $ 1,676,712 1,676,712
Shares issued in reinvestment of distributions 238 238 3,740 3,740
Shares redeemed (22,758) (22,758) (561,217) (561,217)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 52,552 52,552 $ 1,119,235 1,119,235
============================================================================================================================
</Table>
* For the period from April 1, 2002 (commencement of operations) through
August 31, 2002.
151
<Page>
PRIME MONEY MARKET FUND
<Table>
<Caption>
MORGAN^ PREMIER
------------------------------ ------------------------------
AMOUNT SHARES AMOUNT SHARES
- --------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 19,430,639 19,430,640 $ 32,907,116 32,907,113
Shares issued in reinvestment of distributions 39,643 39,643 10,165 10,165
Shares redeemed (22,395,554) (22,395,555) (32,686,869) (32,686,869)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (2,925,272) (2,925,272) $ 230,412 230,409
================================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 31,146,230 31,145,581 $ 39,727,933 39,727,974
Shares issued in connection with fund reorganization (note 2) -- -- 993,883 993,962
Shares issued in reinvestment of distributions 123,505 123,505 21,646 21,646
Shares redeemed (34,084,449) (34,083,794) (37,715,271) (37,715,317)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (2,814,714) (2,814,708) $ 3,028,191 3,028,265
================================================================================================================================
<Caption>
AGENCY@ CLASS B
------------------------------ ------------------------------
AMOUNT SHARES AMOUNT SHARES
- --------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 75,329,197 75,329,195 $ 16,176 16,177
Shares issued in reinvestment of distributions 108,352 108,352 29 28
Shares redeemed (75,351,083) (75,351,084) (19,413) (19,413)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 86,466 86,463 $ (3,208) (3,208)
================================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 110,364,729 110,364,784 $ 49,866 49,866
Shares issued in connection with fund reorganization (note 2) 27,614 27,613 -- --
Shares issued in reinvestment of distributions 236,129 236,129 128 128
Shares redeemed (114,800,874) (114,800,914) (54,428) (54,428)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (4,172,402) (4,172,388) $ (4,434) (4,434)
================================================================================================================================
<Caption>
CLASS C INSTITUTIONAL
------------------------------ ------------------------------
AMOUNT SHARES AMOUNT SHARES
- --------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,217 2,217 $ 269,286,703 269,286,690
Shares issued in reinvestment of distributions 1 1 139,752 139,752
Shares redeemed (2,283) (2,283) (266,231,348) (266,231,355)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (65) (65) $ 3,195,107 3,195,087
================================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,029 2,029 $ 337,668,768 337,668,780
Shares issued in connection with fund reorganization (note 2) -- -- 19,841,087 19,841,553
Shares issued in reinvestment of distributions 4 4 243,192 243,192
Shares redeemed (1,708) (1,708) (335,871,910) (335,871,952)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 325 325 $ 21,881,137 21,881,573
================================================================================================================================
<Caption>
RESERVE SELECT
------------------------------ ------------------------------
AMOUNT SHARES AMOUNT SHARES
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 837,293 837,293 $ 2,851,148 2,851,148
Shares issued in reinvestment of distributions 1,651 1,651 9,195 9,195
Shares redeemed (876,193) (876,193) (3,148,945) (3,148,945)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (37,249) (37,249) $ (288,602) (288,602)
================================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- --------------------------------------------------------------------------------------------------------------------------------
Shares sold $ 910,702 910,702 $ 5,422,509 5,422,509
Shares issued in connection with fund reorganization (note 2) 121,009 121,016 2,959,283 2,959,209
Shares issued in reinvestment of distributions 1,804 1,804 19,673 19,673
Shares redeemed (650,835) (650,835) (7,337,218) (7,337,219)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 382,680 382,687 $ 1,064,247 1,064,172
================================================================================================================================
</Table>
^ Formerly Vista Shares.
@ Formerly Institutional Shares.
* For Institutional Shares and Select Shares, from commencement of operations
on September 10, 2001.
152
<Page>
<Table>
<Caption>
CASH MANAGEMENT
------------------------------
AMOUNT SHARES
- ----------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2003
- ----------------------------------------------------------------------------------------------
Shares sold $ 2,026,984 2,026,986
Shares issued in reinvestment of distributions 401 401
Shares redeemed (1,765,630) (1,765,630)
- ----------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 261,755 261,757
==============================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2002*
- ----------------------------------------------------------------------------------------------
Shares sold $ 1,458,680 1,458,680
Shares issued in connection with fund reorganization (note 2) 139,283 139,285
Shares issued in reinvestment of distributions 1,362 1,362
Shares redeemed (1,317,038) (1,317,038)
- ----------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 282,287 282,289
==============================================================================================
</Table>
* For Cash Management Shares from commencement of operations on September 10,
2001.
153
<Page>
JPMORGAN FUNDS
Financial Highlights
<Table>
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
----------------------------------------------------
MORGAN^
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.75% 1.55% 4.75% 5.02% 4.31%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 2,535 $ 3,526 $ 4,027 $ 3,535 $ 3,312
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.77% 1.53% 4.59% 4.92% 4.15%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.69% 0.71% 0.71% 0.71%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.67% 1.43% 4.47% 4.80% 4.03%
- -----------------------------------------------------------------------------------------------------
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
----------------------------------------------------
PREMIER
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.88% 1.68% 4.84% 5.12% 4.40%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 489 $ 353 $ 133 $ 116 $ 24
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.46% 0.46% 0.48% 0.49% 0.50%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.85% 1.52% 4.70% 5.02% 4.22%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.48% 0.52% 0.53% 0.56%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.84% 1.50% 4.66% 4.98% 4.16%
- -----------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
154
<Page>
<Table>
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@ INSTITUTIONAL
---------------------------------------------------- --------------------
YEAR ENDED YEAR 9/10/01**
---------------------------------------------------- ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.05 0.01 0.02
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.05 0.01 0.02
-------- -------- -------- -------- -------- -------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.09% 1.89% 5.11% 5.38% 4.67% 1.14% 1.85%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 818 $ 1,090 $ 1,170 $ 872 $ 895 $ 1,126 $ 267
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ----------------------------------------------------------------------------------------------------------------------------
Net expenses 0.25% 0.25% 0.25% 0.25% 0.24% 0.20% 0.20%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income 1.11% 1.86% 4.93% 5.26% 4.51% 1.08% 1.67%
- ----------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.32% 0.32% 0.35% 0.34% 0.32% 0.32% 0.33%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 1.04% 1.79% 4.83% 5.17% 4.43% 0.96% 1.54%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
155
<Page>
<Table>
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
----------------------------------------------------
MORGAN^
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.84% 1.65% 4.93% 5.48% 4.55%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 3,077 $ 3,375 $ 4,150 $ 3,398 $ 3,538
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.84% 1.67% 4.80% 5.35% 4.46%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.68% 0.69% 0.69% 0.69%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.74% 1.58% 4.70% 5.25% 4.36%
- -----------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
----------------------------------------------------
PREMIER
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.05
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.05
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.98% 1.79% 5.08% 5.62% 4.70%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 1,113 $ 1,047 $ 1,251 $ 1,134 $ 922
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.96% 1.79% 4.95% 5.50% 4.60%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.57% 0.57% 0.59% 0.58% 0.58%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.84% 1.67% 4.81% 5.37% 4.47%
- -----------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
156
<Page>
<Table>
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@ INSTITUTIONAL
---------------------------------------------------- --------------------
YEAR ENDED YEAR 9/10/01**
---------------------------------------------------- ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.06 0.05 0.01 0.02
Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05 0.01 0.02
-------- -------- -------- -------- -------- -------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.17% 1.98% 5.28% 5.83% 4.92% 1.23% 1.96%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 3,766 $ 4,497 $ 3,769 $ 2,639 $ 2,913 $ 1,526 $ 447
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ----------------------------------------------------------------------------------------------------------------------------
Net expenses 0.26% 0.26% 0.26% 0.26% 0.25% 0.20% 0.20%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income 1.17% 1.98% 5.09% 5.66% 4.80% 1.13% 1.89%
- ----------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.32% 0.32% 0.33% 0.33% 0.31% 0.32% 0.32%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 1.11% 1.92% 5.02% 5.59% 4.74% 1.01% 1.77%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
157
<Page>
<Table>
<Caption>
TREASURY PLUS MONEY MARKET FUND
----------------------------------------------------
MORGAN^
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.79% 1.59% 4.77% 5.29% 4.39%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 782 $ 1,103 $ 1,567 $ 1,367 $ 1,734
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.82% 1.57% 4.70% 5.14% 4.27%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.70% 0.70% 0.72% 0.71% 0.69%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.71% 1.46% 4.57% 5.02% 4.17%
- -----------------------------------------------------------------------------------------------------
<Caption>
TREASURY PLUS MONEY MARKET FUND
----------------------------------------------------
PREMIER
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.94% 1.73% 4.91% 5.44% 4.54%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 1,228 $ 818 $ 326 $ 228 $ 476
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.91% 1.68% 4.84% 5.28% 4.42%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.49% 0.49% 0.52% 0.51% 0.50%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.87% 1.64% 4.77% 5.22% 4.37%
- -----------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
158
<Page>
<Table>
<Caption>
TREASURY PLUS MONEY MARKET FUND
----------------------------------------------------
AGENCY@
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.14% 1.93% 5.12% 5.65% 4.75%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 1,247 $ 1,416 $ 944 $ 904 $ 980
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- -----------------------------------------------------------------------------------------------------
Net expenses 0.25% 0.25% 0.25% 0.25% 0.24%
- -----------------------------------------------------------------------------------------------------
Net investment income 1.14% 1.88% 5.04% 5.48% 4.61%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.34% 0.34% 0.36% 0.36% 0.31%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 1.05% 1.79% 4.93% 5.37% 4.54%
- -----------------------------------------------------------------------------------------------------
<Caption>
TREASURY PLUS MONEY MARKET FUND
-------------------------------------------
INSTITUTIONAL RESERVE
-------------------------------------------
YEAR 9/10/01** YEAR 9/10/01**
ENDED THROUGH ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/03 8/31/02
- --------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- --------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.01 0.01
Less dividends from net investment income 0.01 0.02 0.01 0.01
-------- --------- -------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- --------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.19% 1.90% 0.68% 1.40%
============================================================================================
RATIOS/SUPPLEMENTAL DATA:
- --------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 298 $ 432 $ 234 $ 235
- --------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- --------------------------------------------------------------------------------------------
Net expenses 0.20% 0.20% 0.70% 0.70%
- --------------------------------------------------------------------------------------------
Net investment income 1.18% 1.87% 0.68% 1.35%
- --------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.34% 0.34% 0.75% 0.74%
- --------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 1.04% 1.73% 0.63% 1.31%
- --------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
159
<Page>
<Table>
<Caption>
FEDERAL MONEY MARKET FUND
----------------------------------------------------
MORGAN^
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.05 0.05 0.04
Less dividends from net investment income 0.01 0.01 0.05 0.05 0.04
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.70% 1.51% 4.84% 5.29% 4.46%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 311 $ 452 $ 658 $ 576 $ 550
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.70% 0.70% 0.70% 0.70% 0.70%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.72% 1.53% 4.57% 5.17% 4.35%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.79% 0.72% 0.74% 0.75% 0.78%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.63% 1.51% 4.53% 5.12% 4.27%
- -----------------------------------------------------------------------------------------------------
<Caption>
FEDERAL MONEY MARKET FUND
----------------------------------------------------
PREMIER
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.05 0.05
Less dividends from net investment income 0.01 0.02 0.05 0.05 0.05
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.95% 1.77% 5.07% 5.50% 4.67%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 1,214 $ 1,404 $ 276 $ 279 $ 298
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.45% 0.45% 0.49% 0.50% 0.50%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.96% 1.73% 4.78% 5.35% 4.56%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.47% 0.49% 0.50% 0.50%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.94% 1.71% 4.78% 5.35% 4.56%
- -----------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
160
<Page>
<Table>
<Caption>
FEDERAL MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@ INSTITUTIONAL
---------------------------------------------------- --------------------
YEAR ENDED YEAR 9/10/01**
---------------------------------------------------- ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.06 0.05 0.01 0.02
Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05 0.01 0.02
-------- -------- -------- -------- -------- -------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.14% 1.96% 5.30% 5.75% 4.92% 1.20% 1.93%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 334 $ 523 $ 1,169 $ 287 $ 248 $ 1,712 $ 1,953
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ----------------------------------------------------------------------------------------------------------------------------
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.20% 0.20%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income 1.20% 2.02% 5.01% 5.61% 4.79% 1.20% 1.97%
- ----------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.33% 0.32% 0.34% 0.34% 0.34% 0.32% 0.32%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 1.13% 1.96% 4.93% 5.53% 4.71% 1.08% 1.85%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
161
<Page>
<Table>
<Caption>
CALIFORNIA TAX FREE MONEY MARKET FUND
----------------------------------------------------
MORGAN^
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.72% 1.13% 2.70% 3.00% 2.66%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 149 $ 163 $ 83 $ 78 $ 68
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.55% 0.55% 0.55% 0.55% 0.55%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.72% 1.05% 2.68% 3.03% 2.55%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.73% 0.76% 0.83% 0.90% 0.94%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.54% 0.84% 2.40% 2.68% 2.16%
- -----------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
162
<Page>
<Table>
<Caption>
NEW YORK TAX FREE MONEY MARKET FUND
----------------------------------------------------
MORGAN^
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.72% 1.20% 2.98% 3.27% 2.66%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 1,662 $ 2,123 $ 2,439 $ 1,831 $ 1,505
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- -----------------------------------------------------------------------------------------------------
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.72% 1.17% 2.88% 3.24% 2.61%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.69% 0.71% 0.70% 0.71%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.62% 1.07% 2.76% 3.13% 2.49%
- -----------------------------------------------------------------------------------------------------
<Caption>
NEW YORK TAX FREE MONEY MARKET FUND
------------------------------------------------
RESERVE
------------------------------------------------
YEAR ENDED 7/31/00**
--------------------------------- THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00
- -------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.03 --+
Less dividends from net investment income 0.01 0.01 0.03 --+
-------- --------- ---------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.52% 1.00% 2.77% 0.28%
=================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 175 $ 180 $ --* $ --*
- -------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- -------------------------------------------------------------------------------------------------
Net expenses 0.79% 0.79% 0.90% 0.79%
- -------------------------------------------------------------------------------------------------
Net investment income 0.50% 0.85% 2.57% 3.04%
- -------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.87% 0.90% 1560.21%!! 1.49%
- -------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.42% 0.74% (1556.74%)!! 2.34%
- -------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
** Commencement of offering of class of shares.
+ Less than .005.
(b) Not annualized for periods less than one year.
* Amount rounds to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
See notes to financial statements.
163
<Page>
<Table>
<Caption>
TAX FREE MONEY MARKET FUND
----------------------------------------------------
MORGAN^
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.69% 1.21% 3.13% 3.37% 2.73%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 655 $ 903 $ 907 $ 895 $ 754
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.72% 1.14% 3.09% 3.33% 2.68%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.69% 0.72% 0.75% 0.73%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.62% 1.04% 2.96% 3.17% 2.54%
- -----------------------------------------------------------------------------------------------------
<Caption>
TAX FREE MONEY MARKET FUND
----------------------------------------------------
PREMIER
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: YEAR ENDED
- -----------------------------------------------------------------------------------------------------
8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.83% 1.35% 3.21% 3.41% 2.78%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 3,429 $ 3,066 $ 116 $ 120 $ 130
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.45% 0.45% 0.51% 0.55% 0.54%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.82% 1.25% 3.17% 3.40% 2.74%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.48% 0.53% 0.59% 0.56%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.80% 1.22% 3.15% 3.26% 2.72%
- -----------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
164
<Page>
<Table>
<Caption>
TAX FREE MONEY MARKET FUND
--------------------------------------------------------------------------
AGENCY@ INSTITUTIONAL
---------------------------------------------------- -------------------
YEAR ENDED YEAR 9/10/01**
---------------------------------------------------- ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.03 0.04 0.03 0.01 0.02
Less dividends from net investment income 0.01 0.02 0.03 0.04 0.03 0.01 0.02
-------- -------- -------- -------- -------- -------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.02% 1.54% 3.47% 3.71% 3.07% 1.09% 1.54%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 725 $ 1,091 $ 921 $ 640 $ 476 $ 6,332 $ 3,891
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ----------------------------------------------------------------------------------------------------------------------------
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.20% 0.20%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income 1.05% 1.45% 3.42% 3.67% 3.01% 1.05% 1.46%
- ----------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.33% 0.33% 0.36% 0.39% 0.35% 0.32% 0.33%
- ----------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.98% 1.38% 3.32% 3.54% 2.92% 0.93% 1.33%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
165
<Page>
<Table>
<Caption>
LIQUID ASSETS MONEY MARKET FUND
---------------------------------------------------------------------------------
MORGAN PREMIER AGENCY INSTITUTIONAL
------------------ ------------------ ------------------ ------------------
YEAR 4/1/02** YEAR 4/1/02** YEAR 4/1/02** YEAR 4/1/02**
ENDED THROUGH ENDED THROUGH ENDED THROUGH ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/03 8/31/02 8/31/03 8/31/02 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01
Less dividends from net investment income 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01
------- -------- ------- -------- ------- -------- ------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.95% 0.64% 1.09% 0.70% 1.29% 0.78% 1.35% 0.81%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 18 $ 17 $ 36 $ 26 $ 284 $ 53 $ 2,233 $ 1,119
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses 0.54% 0.45% 0.40% 0.31% 0.21% 0.13% 0.15% 0.08%
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.95% 1.51% 1.08% 1.65% 1.16% 1.82% 1.27% 1.87%
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.87% 0.83% 0.51% 0.63% 0.33% 0.44% 0.33% 0.40%
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.62% 1.13% 0.97% 1.33% 1.04% 1.51% 1.09% 1.55%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of operations.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
166
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
-----------------------------------------------------
MORGAN^
-----------------------------------------------------
YEAR ENDED 10/1/98**
----------------------------------------- THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- ------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.06 0.04
Less dividends from net investment income 0.01 0.02 0.05 0.06 0.04
-------- -------- -------- -------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.87% 1.71% 5.10% 5.65% 4.26%
======================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 4,627 $ 7,552 $ 10,367 $ 1,475 $ 515
- ------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ------------------------------------------------------------------------------------------------------
Net expenses 0.59% 0.58% 0.59% 0.59% 0.59%
- ------------------------------------------------------------------------------------------------------
Net investment income 0.90% 1.72% 4.82% 5.53% 4.61%
- ------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.62% 0.61% 0.61% 0.61% 0.72%
- ------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.87% 1.69% 4.80% 5.51% 4.48%
- ------------------------------------------------------------------------------------------------------
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------------
PREMIER
---------------------------------------------------
YEAR ENDED
---------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- ----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05
------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.01% 1.85% 5.25% 5.81% 4.90%
====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 5,412 $ 5,182 $ 2,153 $ 1,841 $ 1,094
- ----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ----------------------------------------------------------------------------------------------------
Net expenses 0.45% 0.44% 0.45% 0.45% 0.45%
- ----------------------------------------------------------------------------------------------------
Net investment income 1.00% 1.80% 4.96% 5.67% 4.77%
- ----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.46% 0.47% 0.49% 0.49% 0.49%
- ----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.99% 1.77% 4.92% 5.63% 4.73%
- ----------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
167
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
----------------------------------------------------
AGENCY@
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN (1) 1.20% 2.05% 5.45% 6.01% 5.10%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 12,648 $ 12,562 $ 16,676 $ 9,430 $ 8,161
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 0.26% 0.25% 0.26% 0.26% 0.26%
- -----------------------------------------------------------------------------------------------------
Net investment income 1.20% 2.08% 5.15% 5.86% 4.96%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.31% 0.32% 0.33% 0.33% 0.33%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 1.15% 2.01% 5.08% 5.79% 4.89%
- -----------------------------------------------------------------------------------------------------
<Caption>
PRIME MONEY MARKET FUND
----------------------------------------------------
CLASS B
----------------------------------------------------
YEAR ENDED
----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.04 0.05 0.04
Less dividends from net investment income --+ 0.01 0.04 0.05 0.04
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN (1) 0.25% 1.05% 4.43% 4.97% 4.07%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- -----------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 10 $ 13 $ 18 $ 11 $ 36
- -----------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
- -----------------------------------------------------------------------------------------------------
Net expenses 1.21% 1.23% 1.24% 1.25% 1.25%
- -----------------------------------------------------------------------------------------------------
Net investment income 0.27% 1.10% 4.17% 4.87% 4.00%
- -----------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 1.27% 1.26% 1.26% 1.27% 1.47%
- -----------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.21% 1.07% 4.15% 4.85% 3.78%
- -----------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
+ Amount rounds to less than $.005.
(1) Total Return figures do not include the effect of any deferred sales load.
See notes to financial statements.
168
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
--------------------------------------------------------------------------
CLASS C INSTITUTIONAL
---------------------------------------------------- -------------------
YEAR ENDED YEAR 9/10/01**
---------------------------------------------------- ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.04 0.05 0.04 0.01 0.02
Less dividends from net investment income --+ 0.01 0.04 0.05 0.04 0.01 0.02
-------- -------- -------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1)(b) 0.25% 1.05% 4.43% 4.95% 3.85% 1.27% 2.02%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ---------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 1 $ 1 $ --* $ --* $ 1 $ 25,075 $ 21,881
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ---------------------------------------------------------------------------------------------------------------------------
Net expenses 1.21% 1.23% 1.24% 1.26% 1.45% 0.20% 0.19%
- ---------------------------------------------------------------------------------------------------------------------------
Net investment income 0.25% 1.16% 4.17% 4.86% 3.75% 1.24% 2.06%
- ---------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 1.27% 1.26% 1.26% 1.26% 1.45% 0.31% 0.32%
- ---------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.19% 1.13% 4.15% 4.86% 3.75% 1.13% 1.93%
- ---------------------------------------------------------------------------------------------------------------------------
<Caption>
PRIME MONEY MARKET FUND
-----------------------------------------
RESERVE
-----------------------------------------
YEAR ENDED 7/31/00**
------------------------------ THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00
- ------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.05 0.01
Less dividends from net investment income 0.01 0.02 0.05 0.01
-------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------
TOTAL RETURN (1)(b) 0.76% 1.60% 4.88% 0.50%
==========================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 355 $ 393 $ 10 $ --*
- ------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ------------------------------------------------------------------------------------------
Net expenses 0.70% 0.68% 0.79% 0.79%
- ------------------------------------------------------------------------------------------
Net investment income 0.76% 1.41% 4.62% 5.33%
- ------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.71% 0.72% 2.17% 1.45%
- ------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.75% 1.37% 3.24% 4.67%
- ------------------------------------------------------------------------------------------
</Table>
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
(1) Total Return figures do not include the effect of any front-end or deferred
sales load.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
* Amount rounds to less than one million.
See notes to financial statements.
169
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------
SELECT CASH MANAGEMENT
--------------------- ---------------------
YEAR 9/10/01** YEAR 9/10/01**
ENDED THROUGH ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.02 0.01 0.01
Less dividends from net investment income 0.01 0.02 0.01 0.01
--------- --------- --------- ---------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------
TOTAL RETURN (b) 1.02% 1.78% 0.50% 1.25%
==============================================================================================
RATIOS/SUPPLEMENTAL DATA:
- ----------------------------------------------------------------------------------------------
Net assets, end of period (millions) $ 776 $ 1,064 $ 544 $ 282
- ----------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
- ----------------------------------------------------------------------------------------------
Net expenses 0.44% 0.42% 0.95% 0.96%
- ----------------------------------------------------------------------------------------------
Net investment income 1.03% 1.83% 0.48% 1.17%
- ----------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.46% 0.96% 0.99%
- ----------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 1.00% 1.79% 0.47% 1.14%
- ----------------------------------------------------------------------------------------------
</Table>
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
170
<Page>
JPMORGAN FUNDS
Report of Independent Auditors
To the Trustees and Shareholders of
J.P.Morgan Mutual Fund Trust:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the JPMorgan 100% U.S. Treasury
Securities Money Market Fund, JPMorgan U.S. Government Money Market Fund,
JPMorgan Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund,
JPMorgan California Tax Free Money Market Fund, JPMorgan New York Tax Free Money
Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Liquid Assets Money
Market Fund, and JPMorgan Prime Money Market Fund (separate portfolios of
J.P.Morgan Mutual Fund Trust, hereafter referred to as the "Funds") at August
31, 2003, the results of each of their operations for the year then ended and
the changes in each of their net assets and the financial highlights for each of
the periods presented, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at August
31, 2003 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
October 20, 2003
171
<Page>
JPMORGAN FUNDS
Trustee and Officer Information (unaudited)
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Trusts and other
investment companies within the JPMorgan Funds complex.
<Table>
<Caption>
POSITIONS NUMBER OF PORT- OTHER
HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Since 1994 Retired; Vice President 71 None
522 Fifth Avenue, and Treasurer of
New York, NY 10036; Ingersoll-Rand Company
12/4/1941 (manufacturer of
industrial equipment)
(1972-2000)
Roland R. Eppley, Jr.; Trustee Since 1994 Retired 71 Director, Janel Hydro,
522 Fifth Avenue, Inc. (1993-present)
New York, NY 10036;
4/1/1932
Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke Energy
522 Fifth Avenue, Capital Cities/ABC, Corporation (1997-Present)
New York, NY 10036; Inc. (communications) Director of Elan
8/22/1945 (1986-1998); President Corporation, Plc
of Diversified (pharmaceuticals)
Publishing Group (2001-Present); Director of
(1991-1997) The Phoenix Companies
(wealth management
services) (2002-Present)
Matthew Healey; Trustee and Since 2001 Retired; Chief Executive 71 None
522 Fifth Avenue, President of Officer of certain
New York, NY 10036; the Board of J.P. Morgan Fund Trusts
8/23/1937 Trustees (1982-2001)
Fergus Reid, III; Trustee and Since 1994 Chairman of Lumelite 71 Trustee of 16 Morgan
522 Fifth Avenue, Chairman of Corporation (plastics Stanley Funds
New York, NY 10036; the Board of manufacturing) (1995-Present)
8/12/1932 Trustees (1985-present)
James J. Schonbachler; Trustee Since 2001 Retired; Managing 71 None
522 Fifth Avenue, Director of Bankers
New York, NY 10036; Trust Company,
1/26/1943 (financial services)
(1968-1998); Group Head
and Director of Bankers
Trust, A.G., Zurich and
BT Brokerage Corp.
(financial services)
(1995-2002)
Robert J. Higgins; Trustee Since 2002 Director of 71 Director of Providian
522 Fifth Avenue, Administration of the Financial Corp. (banking)
New York, NY 10036; State of Rhode Island (2002-Present)
10/9/1945 (2003-Present);
President - Consumer
Banking and Investment
Services Fleet Boston
Financial (1971-2002)
</Table>
172
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF PORT- OTHER
HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the City 71 Trustee of the Albert
522 Fifth Avenue, University of New York, Einstein School of Medicine
New York, NY 10036; since September 1, (1998-Present); Trustee of
11/10/1941 1999; President, Bronx University (New York)
Lebanon Hospital Center
Adelphi University (1992-Present); Director of
(New York) (1998-1999). New Plan Excel Realty
Trust, Inc (real estate
investment company)
(2000-Present); Director of
Lincoln Center Institute
for the Arts in Education
(1999-Present); Director of
Jewish Community Relations
Counsel of New York, Inc
(2000-Present); Director of
United Way of New York City
(2002-Present).
William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 71 Director of Radio Shack
522 Fifth Avenue, Emeritus (March 2001- Corporation (electronics)
New York, NY 10036; October 2002), and (1987-Present); Director of
3/13/1937 Chairman and Chief the Griswold Company
Executive Officer, (securities brokerage)
Boston Stock Exchange (2002-Present); Director of
(June 1985-March The National Football
2001). Foundation and College Hall
of Fame (1994-
Present); Trustee of the
Berklee College of Music
(1998-Present); Trustee of
the Stratton Mountain
School (2001-Present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Since 1998 Retired; Chief 71 Director of Glenview Trust;
522 Fifth Avenue, Executive Officer of Director of Pizza
New York, NY 10036; Chase Mutual Funds Magia; Trustee of St.
7/20/1935 (investment company) Catherine College
(1989-1998); Chief Trust; Trustee of
Investment Executive of Bellarmine University
Chase Manhattan Private of Marion Washington
Bank (investment Airport Trust; Director
management) (1990-1995) Board Trust; Director of
Springfield Washington
Economic Development
Board Trust.
</Table>
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment adviser or have an
investment adviser that is an affiliated person of the investment adviser of
any of the other investment companies. The JPMorgan Fund complex for which
the Trustees serve includes 11 investment companies.
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of J.P. Morgan Chase & Co.
173
<Page>
<Table>
<Caption>
POSITIONS
HELD WITH PRINCIPAL
NAME, EACH TERM OF OFFICE OCCUPATIONS
CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS
- ----------------------------------------------------------------------------------------------------------------
George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management
522 Fifth Avenue, Inc.; Head of J.P. Morgan Fleming's U.S. Mutual Funds
New York, NY and Financial Intermediaries Business ("FFI"); he has
10036; held numerous positions throughout the firm in
12/21/1962 business management, marketing and sales.
David Wezdenko; Treasurer Since 2001 Managing Director, J.P. Morgan Investment Management
522 Fifth Avenue, Inc.; Chief Operating Officer for FFI; since joining
New York, NY J.P. Morgan Chase in 1996, he has held numerous
10036; financial and operation related positions supporting
10/2/1963 the J.P. Morgan pooling funds business.
Sharon J. Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan Investment Management
522 Fifth Avenue, Inc.; Head of Business and Product Strategy for
New York, NY FFI; since joining J.P. Morgan Chase in 1996, she has
10036; held numerous positions throughout the asset
6/15/1959 management business in mutual funds
marketing, legal and product development.
Stephen M. Ungerman; Vice Since 2001 Vice President, J.P. Morgan Investment Management
522 Fifth Avenue, President Inc.; Fund Administration - Pooled Vehicles; prior to
New York, NY and joining J.P. Morgan Chase in 2000, he held a number of
10036; Assistant senior management positions in Prudential Financial's
6/2/1953 Treasurer asset management business, including assistant General
Counsel, Tax Director and Co-head of Fund
Administration Department; Mr. Ungerman also served as
the Assistant Treasurer of all mutual funds managed
by Prudential.
Judy R. Bartlett; Vice Since 2001 Vice President and Assistant General Counsel,
522 Fifth Avenue, President J.P. Morgan Investment Management Inc., since
New York, NY and September 2000; from August 1998 through August
10036; Assistant 2000, she was an attorney at New York Life Insurance
5/29/1965 Secretary Company where she served as Assistant Secretary for
the Mainstay Funds.
Joseph J. Bertini; Vice Since 2001 Vice President and Assistant General Counsel,
522 Fifth Avenue, President J.P. Morgan Investment Management Inc.
New York, NY and
10036; Assistant
11/4/1965 Secretary
Wayne H. Chan Vice Since 2003 Vice President and Assistant General Counsel,
522 Fifth Avenue, President J.P. Morgan Investment Management Inc. since September
New York, NY and 2002; Mr. Chan was an associate at the law firm of
10036 Assistant Shearman & Sterling LLP from May 2001 through September
6/27/1965 Secretary 2002; Swidler Berlin Shereff Friedman LLP from June 1999
through May 2001 and Whitman Breed Abbott & Morgan LLP
from September 1997 through May 1999
Paul M. DeRusso Assistant Since 2001 Vice President, J.P. Morgan Investment Management, Inc.;
522 Fifth Avenue, Treasurer Manager of the Budgeting and Expense Group of Funds
New York, NY Administration Group.
10036
12/3/1954
Lai Ming Fung Assistant Since 2001 Associate, J.P. Morgan Investment Management, Inc.;
522 Fifth Avenue, Treasurer Budgeting Analyst for the Budgeting and Expense Group
New York, NY of Funds Administration Group.
10036
9/08/1974
Mary D. Squires Assistant Since 2001 Vice President, J.P. Morgan Investment Management, Inc.;
522 Fifth Avenue, Treasurer Ms. Squires has held numerous financial and operations
New York, NY positions supporting the J.P. Morgan Chase organization
10036 complex.
1/8/1955
</Table>
174
<Page>
<Table>
<Caption>
POSITIONS
HELD WITH PRINCIPAL
NAME, EACH TERM OF OFFICE OCCUPATIONS
CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS
- ----------------------------------------------------------------------------------------------------------------
Nimish S. Bhatt Assistant Since 2001 Senior Vice President of Alternative Investment and
3435 Stelzer Rd. Treasurer Tax Services of BISYS Fund Services, Inc. since January
Columbus, OH 2002; held various positions within BISYS since
43219 1996, including Senior Vice President of Fund
6/6/1963 Administration and Financial Services, Vice President
and Director of International Operation, Vice President
of Financial Administration and Vice President of Tax.
Arthur A. Jensen Assistant Since 2001 Vice President of Financial Services of BISYS Fund
3435 Selzer Rd. Treasurer Services, Inc. since June 2001; formerly Section Manager
Columbus, OH of Northern Trust Company and Accounting Supervisor at
43219 Allstate Insurance Company.
9/28/1966
Martin R. Dean Assistant Since 2001 Vice President of Regulatory Services of BISYS Fund
3435 Stelzer Rd. Treasurer Services, Inc.
Columbus, OH
43219
11/27/1963
Alaina Metz Assistant Since 2001 Chief Administrative Officer of BISYS Fund
3435 Stelzer Rd. Secretary Services, Inc.; formerly, Supervisor of the Blue Sky
Columbus, OH Department of Alliance Capital Management, L.P.
43219
4/7/1967
Ryan M. Louvar Assistant Since 2003 Counsel of Legal Services, BISYS Fund Services Inc.
60 State Street, Secretary since 2000; formerly Attorney at Hill, Farrer & Burrill
Suite 1300 LLP from 1999 to 2000 and Knapp Petersen & Clarke, PC
Boston, MA from 1997 to 1999.
02109
2/18/1972
Lisa Hurley Assistant Since 2001 Executive Vice President and General Counsel of BISYS
60 State Street, Secretary Fund Services, Inc.
Suite 1300
Boston, MA
02109
5/29/1955
Thomas J. Smith Vice President Since 2002 Managing Director, Head of Compliance for J.P. Morgan
522 Fifth Avenue, and Assistant Chase & Co.'s asset management business in the
New York, NY Secretary Americas.
10036
6/24/1955
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
175
<Page>
TAX LETTER (UNAUDITED)
JPMorgan 100% U.S. Treasury Securities Money Market Fund ("USTS")
JPMorgan U.S. Government Money Market Fund ("USG")
JPMorgan Treasury Plus Money Market Fund ("TP")
JPMorgan Federal Money Market Fund ("FED")
JPMorgan California Tax Free Money Market Fund ("CTF")
JPMorgan New York Tax Free Money Market Fund ("NYTF")
JPMorgan Tax Free Money Market Fund ("TF")
JPMorgan Liquid Assets Money Market Fund ("LA")
JPMorgan Prime Money Market Fund ("PRM")
Certain tax information regarding the JPMorgan Mutual Funds is required to be
provided to shareholders based upon the Funds' income and distributions for the
taxable year ended August 31, 2003. The information and distributions reported
in this letter may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 2003. The information
necessary to complete your income tax returns for the calendar year ending
December 31, 2003 will be received under separate cover.
The following schedule presents the source and percentage of income from
government obligations for the fiscal year ended August 31, 2003.
<Table>
<Caption>
USTS USG TP FED LA PRM
- ------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations 99.89% 0.04% 48.37% 2.39% -- --
Federal Farm Credit Bank -- 10.39% -- 35.13% 0.10% --
Federal Home Loan Bank -- 13.04% -- 38.34% 1.07% --
Student Loan Marketing Association -- 2.12% -- 12.11% 0.39% --
Tennessee Valley Authority -- 0.04% -- 11.42% -- --
Federal Home Loan Mortgage -- 9.22% -- -- -- 0.06%
Federal National Mortgage Association -- 22.95% -- -- 0.10% 0.58%
</Table>
Also, for the fiscal year ended August 31, 2003:
* The dividends paid from net investment income are 99.62%, 99.51% and 99.71%
exempt from Federal income tax for CTF, NYTF and TF, respectively.
* For shareholders who are subject to the Alternative Minimum Tax, the
percentage of income from private activity bonds issued after August 7,
1986, which may be considered a tax preference item, was 17.44%, 7.51% and
13.86% for CTF, NYTF and TF, respectively.
During the period ended August 31, 2003, TF had long-term capital gain
distributions of $119 (amount in thousands).
176
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JPMorgan Family of Funds
U.S. EQUITY FUNDS
Capital Growth Fund
Disciplined Equity Fund
Disciplined Equity Value Fund
Diversified Fund
Dynamic Small Cap Fund
Equity Growth Fund
Equity Income Fund
Growth and Income Fund
Mid Cap Equity Fund
Mid Cap Growth Fund
Mid Cap Value Fund
Small Cap Equity Fund
Small Cap Growth Fund
Trust Small Cap Equity Fund
U.S. Equity Fund
U.S. Small Company Fund
U.S. Small Company Opportunities Fund
Value Opportunities Fund
INTERNATIONAL EQUITY FUNDS
Fleming Asia Equity Fund
Fleming Emerging Markets Equity Fund
Fleming European Fund
Fleming International Equity Fund
Fleming International Growth Fund
Fleming International Opportunities Fund
Fleming International Value Fund
Fleming Japan Fund
SPECIALTY FUNDS
Global 50 Fund
Global Healthcare Fund
Market Neutral Fund
TAX AWARE FUNDS
Fleming Tax Aware International Opportunities Fund
Tax Aware Disciplined Equity Fund
Tax Aware Enhanced Income Fund
Tax Aware Large Cap Growth Fund
Tax Aware Large Cap Value Fund
Tax Aware Short-Intermediate Income Fund
Tax Aware U.S. Equity Fund
INCOME FUNDS
Bond Fund
Bond Fund II
Enhanced Income Fund
Fleming Emerging Markets Debt Fund
Global Strategic Income Fund
Short Term Bond Fund
Short Term Bond Fund II
Strategic Income Fund
U.S. Treasury Income Fund
TAX FREE FUNDS
California Bond Fund
Intermediate Tax Free Income Fund
New Jersey Tax Free Income Fund
New York Intermediate Tax Free Income Fund
Tax Free Income Fund
MONEY MARKET FUNDS
100% U.S. Treasury Securities Money Market Fund
California Tax Free Money Market Fund
Federal Money Market Fund
Liquid Assets Money Market Fund
New York Tax Free Money Market Fund
Prime Money Market Fund
Tax Free Money Market Fund
Treasury Plus Money Market Fund
U.S. Government Money Market Fund
Funds may be registered under separate registrants.
<Page>
ANNUAL REPORT
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
funds. It is not authorized for distribution to prospective investors in the
funds unless preceded or accompanied by a prospectus.
To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The
prospectus contains more complete information, including charges and expenses.
Please read it carefully before you invest or send money.
JPMorgan Funds Fulfillment Center
393 Manley Street
WestBridgewater, MA 02379-1039
(C) J.P. Morgan Chase & Co., 2003 All Rights Reserved. October 2003
AN-MMKT-803
<Page>
ITEM 2. CODE OF ETHICS.
(a) Disclose whether, as of the end of the period covered by the report,
the registrant has adopted a code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party. If the registrant has not adopted such a code
of ethics, explain why it has not done so.
THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S
PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING
OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS.
THE REGISTRANT WILL PROVIDE ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF
THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert
serving on its audit committee; or
(ii) Does not have an audit committee financial expert
serving on its audit committee.
THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT
LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is
"independent." In order to be considered "independent" for
purposes of this Item, a member of an audit committee may not,
other than in his or her capacity as a member of the audit
committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory,
or other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-
2(a)(19)).
THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A
"NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES
AND EXCHANGE COMMISSION FOR PURPOSES AUDIT COMMITTEE FINANCIAL EXPERT
DETERMINATIONS.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for
each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees
billed in each of the last two fiscal years for assurance and related services
by the principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
(c) Disclose, under the caption TAX FEES, the aggregate fees billed in
each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning.
Registrants shall describe the nature of the services comprising the fees
disclosed under this category.
(d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed
in each of the last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through
(c) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of
paragraphs (b) through (d) of this Item that were approved
<Page>
by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended
on the principal accountant's engagement to audit the registrant's financial
statements for the most recent fiscal year that were attributed to work
performed by persons other than the principal accountant's full-time, permanent
employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the registrant for
each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant's audit committee of the board of
directors has considered whether the provision of nonaudit services that were
rendered to the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled
by, or under common control with the investment adviser that provides ongoing
services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH FISCAL YEARS ENDING ON
OR AFTER DECEMBER 15, 2003.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
NOT APPLICABLE.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report
on this Form N-CSR must, unless it invests exclusively in non-voting securities,
describe the policies and procedures that it uses to determine how to vote
proxies relating to portfolio securities, including the procedures that the
company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
NOT APPLICABLE
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
officer or officers and principal financial officer or officers, or persons
performing similar functions, about the effectiveness of the registrant's
disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act
(17 CFR 270.30a-2(c))) based on their evaluation of these controls and
procedures as of a date within 90 days of the filing date of the report that
includes the disclosure required by this paragraph.
THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE
CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND
PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT
THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO
ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR
IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS
AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS
THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE
REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL
FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED
DISCLOSURE.
<Page>
(b) Disclose whether or not there were significant changes in the
registrant's internal controls or in other factors that could significantly
affect these controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR
(THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT)
THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT,
THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
ITEM 10. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number
the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit.
NOT APPLICABLE - SEE ITEM 2 ABOVE.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2 under
the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE
ATTACHED HERETO.
<Page>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Mutual Fund Trust
--------------------------------------------------------------------
By (Signature and Title)* /s/ David Wezdenko
-------------------------------------------------------
David Wezdenko, Treasurer
Date October 21,2003
----------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ David Wezdenko
-------------------------------------------------------
David Wezdenko, Treasurer
Date October 21, 2003
----------------------------------------------------------------------------
By (Signature and Title)* /s/ George C.W. Gatch
-------------------------------------------------------
George C.W. Gatch, President
Date October 21, 2003
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.