<Page>
-----------------------------
OMB APPROVAL
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Expires: November 30, 2005
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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 811-07841
---------------------------------------------
J.P. Morgan Mutual Fund Select Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: August 31, 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
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
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience coupled with our GLOBAL
INTELLECTUAL CAPITAL is the foundation from which our investment products have
been built. We have investment professionals based in 44 countries across the
globe. This local insight provides us with a global view of every investment
decision we make which we believe is crucial in light of the ever-increasing
rise of globalization in our market place. JPMorgan Fleming Asset Management is
dedicated to working as an EXPERIENCED PARTNER with your financial advisor to
help provide you with the WEALTH SOLUTIONS your portfolio needs.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries: 2
JPMorgan California Bond Fund 2
JPMorgan Intermediate Tax Free Income Fund 4
JPMorgan New Jersey Tax Free Income Fund 6
JPMorgan New York Intermediate Tax Free Income Fund 8
JPMorgan Tax Free Income Fund 10
Portfolio of Investments 12
Financial Statements 50
Notes to Financial Statements 57
Financial Highlights 80
</Table>
HIGHLIGHTS
- - Economic Weakness Persists
- - Investor Optimism Grows
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMorgan
Tax Free Funds
PRESIDENT'S LETTER OCTOBER 6, 2003
[PHOTO OF GEORGE C. W. GATCH]
"The U.S. economy continued to send mixed signals through most of the period."
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Tax Free Funds for
the year ended August 31, 2003. Inside you will find in-depth information on our
tax-free funds along with updates from the portfolio management team.
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
Better news was forthcoming in the spring. The combat phase of the Iraq war
ended quickly and investors could also celebrate better-than-expected corporate
earnings, the passage of a new tax package and a more positive economic outlook.
Businesses remained reluctant to invest and hire, but consumers seemed
optimistic and continued to take advantage of low mortgage interest rates. 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%.
The supply of tax-exempt bonds was heavy as state and local governments issued
new debt to meet budget shortfalls. For most of the period, investor interest
was strong and more than adequate to absorb the supply. However, the August
issuance proved to be too much for the market, driving yield spreads wider.
In the months ahead, your portfolio managers will continue to work hard to
maintain strong performance. They will strive 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
<Page>
JPMorgan
California Bond Fund
AS OF AUGUST 31, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 12/23/1996
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2003
(In Millions) $ 165.1
Primary Benchmark LEHMAN CALIFORNIA
COMPETITIVE
INTERMEDIATE BOND
INDEX (1-17)
Average Credit Quality AA+
Duration 5.8 YEARS
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan California Bond Fund, which seeks to provide high after-tax return
for California residents consistent with moderate risk of capital, had a
total return of 1.67% (Institutional Shares) for the one-year period ended
August 31, 2003. This compares with the 2.35% return of its benchmark index,
the Lehman California Competitive Intermediate Bond Index (1-17).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed its benchmark during the period. The primary reason
was our high-quality bias at a time when lower quality issues performed
better. The Fund was overweight in insured paper and high-quality uninsured
paper. We were underweight in hospitals, airports, tobacco debt and other
high-yield sectors, which experienced a technical rebound following a severe
widening in spreads. Then and now, we are concerned about the stability of
these credits as municipalities continue to struggle with budget deficits. We
plan to maintain our high-quality bias.
Q: HOW WAS THE FUND MANAGED?
A: Although California's economy has been resilient, investors were troubled by
the state's large budget deficit. In fact, Moody's Investor's Service,
Standard & Poor's and Fitch Ratings had all given California a negative
credit rating. To restore cash reserves, the state issued nearly $8 billion
in new bonds.
Because we expected the Fed to begin raising rates, we reduced our overweight
in shorter maturities and adopted a more neutral yield curve stance. As Fed
rate cuts continued and rate increases were delayed, we overweighted the 10-
to 15-year part of the yield curve. We sold into strong retail demand, took
profits on long-term securities, and purchased select issues at attractive
prices. Our high-quality bias hurt performance slightly when lower quality
issues outperformed. As California spreads widened, we bought high-quality
issues, avoiding State of California general obligation bonds and funded
those purchases with out-of-state paper. We increased our weightings in
essential service revenue bonds, which should be insulated from budget
issues.
2
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/23/96)
-------------------------------------------------
CLASS A SHARES
Without Sales Charge 1.51% 5.04% 4.62% 5.16%
With Sales Charge* (3.05%) 3.43% 3.66% 4.44%
-------------------------------------------------
INSTITUTIONAL SHARES 1.67% 5.25% 4.79% 5.31%
-------------------------------------------------
SELECT SHARES 1.45% 5.02% 4.61% 5.15%
</Table>
* Sales Charge for Class A Shares is 4.50%.
[CHART]
LIFE OF FUND PERFORMANCE (12/23/96 TO 8/31/03)
<Table>
<Caption>
JPMORGAN CALIFORNIA BOND FUND LEHMAN CALIFORNIA COMPETITIVE LIPPER CALIFORNIA MUNICIPAL
(INSTITUTIONAL SHARES) INTERMEDIATE BOND INDEX (1-17) DEBT FUNDS INDEX
12/23/96 $ 3,000,000 $ 3,000,000 $ 3,000,000
12/31/96 $ 3,009,300 $ 3,000,000 $ 3,000,000
1/31/97 $ 3,003,281 $ 3,010,800 $ 2,996,400
2/28/97 $ 3,028,809 $ 3,034,585 $ 3,023,667
3/31/97 $ 2,999,127 $ 2,999,688 $ 2,981,941
4/30/97 $ 3,016,822 $ 3,018,886 $ 3,009,076
5/31/97 $ 3,061,169 $ 3,061,150 $ 3,055,115
6/30/97 $ 3,090,250 $ 3,089,925 $ 3,087,805
7/31/97 $ 3,165,343 $ 3,167,482 $ 3,182,909
8/31/97 $ 3,135,906 $ 3,140,875 $ 3,148,534
9/30/97 $ 3,174,791 $ 3,166,630 $ 3,191,354
10/31/97 $ 3,179,236 $ 3,187,213 $ 3,210,183
11/30/97 $ 3,193,224 $ 3,198,369 $ 3,229,444
12/31/97 $ 3,241,761 $ 3,236,749 $ 3,280,792
1/31/98 $ 3,265,102 $ 3,274,295 $ 3,312,944
2/28/98 $ 3,266,734 $ 3,280,189 $ 3,312,281
3/31/98 $ 3,258,894 $ 3,277,565 $ 3,312,944
4/30/98 $ 3,238,363 $ 3,263,799 $ 3,291,410
5/31/98 $ 3,287,586 $ 3,309,166 $ 3,347,364
6/30/98 $ 3,295,477 $ 3,320,748 $ 3,361,088
7/31/98 $ 3,303,386 $ 3,332,371 $ 3,367,810
8/31/98 $ 3,355,910 $ 3,383,023 $ 3,425,063
9/30/98 $ 3,408,933 $ 3,431,400 $ 3,476,781
10/31/98 $ 3,410,296 $ 3,436,204 $ 3,464,960
11/30/98 $ 3,421,209 $ 3,447,887 $ 3,480,552
12/31/98 $ 3,423,262 $ 3,452,714 $ 3,482,641
1/31/99 $ 3,470,503 $ 3,494,837 $ 3,521,298
2/28/99 $ 3,448,986 $ 3,484,353 $ 3,504,044
3/31/99 $ 3,453,125 $ 3,493,063 $ 3,510,701
4/30/99 $ 3,450,708 $ 3,495,858 $ 3,515,967
5/31/99 $ 3,431,729 $ 3,476,281 $ 3,488,191
6/30/99 $ 3,382,998 $ 3,432,828 $ 3,430,985
7/31/99 $ 3,407,356 $ 3,455,484 $ 3,437,504
8/31/99 $ 3,398,156 $ 3,443,044 $ 3,394,879
9/30/99 $ 3,413,108 $ 3,459,915 $ 3,392,502
10/31/99 $ 3,391,264 $ 3,438,464 $ 3,333,812
11/30/99 $ 3,420,090 $ 3,469,066 $ 3,367,484
12/31/99 $ 3,402,647 $ 3,443,048 $ 3,332,125
1/31/2000 $ 3,404,689 $ 3,454,410 $ 3,308,467
2/29/2000 $ 3,434,650 $ 3,483,082 $ 3,362,395
3/31/2000 $ 3,490,291 $ 3,534,632 $ 3,448,809
4/30/2000 $ 3,474,934 $ 3,514,131 $ 3,417,424
5/31/2000 $ 3,471,112 $ 3,519,050 $ 3,400,337
6/30/2000 $ 3,547,129 $ 3,592,247 $ 3,498,607
7/31/2000 $ 3,585,438 $ 3,632,121 $ 3,554,935
8/31/2000 $ 3,637,785 $ 3,689,145 $ 3,632,077
9/30/2000 $ 3,629,782 $ 3,674,757 $ 3,609,558
10/31/2000 $ 3,657,369 $ 3,697,908 $ 3,642,766
11/30/2000 $ 3,674,192 $ 3,716,768 $ 3,669,722
12/31/2000 $ 3,748,411 $ 3,776,979 $ 3,764,034
1/31/2001 $ 3,791,143 $ 3,826,458 $ 3,779,843
2/28/2001 $ 3,796,830 $ 3,835,641 $ 3,791,938
3/31/2001 $ 3,814,295 $ 3,852,902 $ 3,816,586
4/30/2001 $ 3,751,741 $ 3,797,420 $ 3,741,781
5/31/2001 $ 3,805,015 $ 3,849,824 $ 3,788,179
6/30/2001 $ 3,828,987 $ 3,870,228 $ 3,812,423
7/31/2001 $ 3,878,764 $ 3,924,024 $ 3,875,710
8/31/2001 $ 3,951,297 $ 3,996,226 $ 3,974,928
9/30/2001 $ 3,941,419 $ 3,985,437 $ 3,950,283
10/31/2001 $ 4,001,722 $ 4,026,088 $ 3,991,761
11/30/2001 $ 3,958,504 $ 3,997,100 $ 3,955,835
12/31/2001 $ 3,920,502 $ 3,967,522 $ 3,911,134
1/31/2002 $ 3,985,190 $ 4,035,763 $ 3,965,499
2/28/2002 $ 4,030,621 $ 4,082,981 $ 4,009,120
3/31/2002 $ 3,942,351 $ 3,998,055 $ 3,917,311
4/30/2002 $ 4,015,679 $ 4,072,419 $ 3,986,256
5/31/2002 $ 4,044,591 $ 4,107,849 $ 4,016,152
6/30/2002 $ 4,076,544 $ 4,139,069 $ 4,047,478
7/31/2002 $ 4,116,494 $ 4,183,357 $ 4,093,215
8/31/2002 $ 4,171,655 $ 4,236,904 $ 4,151,339
9/30/2002 $ 4,257,174 $ 4,320,795 $ 4,262,179
10/31/2002 $ 4,165,645 $ 4,229,626 $ 4,147,527
11/30/2002 $ 4,150,232 $ 4,228,357 $ 4,135,914
12/31/2002 $ 4,236,972 $ 4,298,548 $ 4,223,181
1/31/2003 $ 4,211,126 $ 4,283,073 $ 4,187,707
2/28/2003 $ 4,262,502 $ 4,342,179 $ 4,252,197
3/31/2003 $ 4,260,371 $ 4,346,522 $ 4,249,221
4/30/2003 $ 4,293,175 $ 4,373,905 $ 4,284,914
5/31/2003 $ 4,385,908 $ 4,460,508 $ 4,389,895
6/30/2003 $ 4,356,084 $ 4,428,392 $ 4,386,383
7/31/2003 $ 4,215,382 $ 4,299,083 $ 4,219,262
8/31/2003 $ 4,241,096 $ 4,336,485 $ 4,247,531
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 12/23/96.
Returns for the Select Shares prior to 4/21/97 (offering date of Select Shares)
are calculated using the historical expenses of the Institutional Shares, which
are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 9/10/01 (offering date of Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan California Bond Fund, Lehman California
Competitive Intermediate Bond Index (1-17), and Lipper California Municipal Debt
Funds Index from December 23, 1996 to August 31, 2003. The performance of the
Fund assumes reinvestment of all dividends. The performance of the indices
reflects an initial investment at the end of the month following the Fund's
inception. The performance of the indices does not include a sales charge and
has been adjusted to reflect reinvestment of all dividends and capital gains of
the securities included in the benchmark. The Lehman California Competitive
Intermediate Bond Index (1-17) is an unmanaged index of California general
obligation and revenue bonds which measures California-tax exempt bond market
performance and reflects the universe of securities in which the funds invest.
The Lipper California Municipal Debt Funds Index represents the total returns of
the funds in the category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
3
<Page>
JPMorgan Intermediate Tax Free
Income Fund
AS OF AUGUST 31, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2003
(In Millions) $ 1,643.3
Primary Benchmark LEHMAN COMPETITIVE
INTERMEDIATE (1-17
MATURITIES) INDEX
Average Credit Quality AA
Duration 5.7 YEARS
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Intermediate Tax Free Income Fund, which seeks to provide monthly
dividends, which are excluded from gross income, and to protect the value of
your investment by investing primarily in municipal obligations, had a total
return of 2.44% (Select Shares) for the one-year period ended August 31,
2003. This compares with the 3.21% return of its benchmark index, the Lehman
Competitive Intermediate (1-17 maturities) Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed its benchmark during the period. The primary reason
was our high-quality bias at a time when lower quality issues performed
better. The Fund was overweight in insured paper and high-quality uninsured
paper. We were underweight in hospitals, airports, tobacco debt and other
high-yield sectors, which experienced a technical rebound following a severe
widening in spreads. Then and now, we are concerned about the stability of
these credits as municipalities continue to struggle with budget deficits. We
plan to maintain our high-quality bias. Another detractor was our overweight
to the front end of the yield curve, which underperformed the 15-year range.
Q: HOW WAS THE FUND MANAGED?
A: We reduced our overweight in shorter maturities and adopted a more neutral
yield curve stance. We sold into strong retail demand and made purchases in
the institutional market. We continued to buy high-quality, liquid securities
to give us the flexibility to swap one asset for another if interest rates
rise. Because they are tax-exempt in all 50 states and offer tremendous
liquidity, we increased weightings in Puerto Rico securities. We took
advantage of the heavy supply in both New York and California and
overweighted those sectors, funding the purchases by selling general market
paper. As spreads tightened in the spring, we removed our overweight to New
York, purchasing more high-quality general market issues. We took advantage
of the heavy supply in California to overweight that sector. Because of
historically tight spreads, we also sold callable paper.
4
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
INSTITUTIONAL SHARES 2.60% 6.00% 4.92% 5.35%
-------------------------------------------------
SELECT SHARES# 2.44% 5.89% 4.85% 5.32%
</Table>
# Formerly Institutional Shares
[CHART]
LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
<Table>
<Caption>
JPMORGAN INTERMEDIATE TAX FREE LEHMAN COMPETITIVE INTERMEDIATE LIPPER INTERMEDIATE MUNICIPAL
INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS INDEX
8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000
9/30/93 $ 1,018,900 $ 1,010,500 $ 1,011,400
10/31/93 $ 1,018,594 $ 1,012,521 $ 1,013,018
11/30/93 $ 1,009,936 $ 1,005,332 $ 1,006,839
12/31/93 $ 1,028,115 $ 1,024,232 $ 1,023,351
1/31/94 $ 1,039,938 $ 1,035,499 $ 1,033,892
2/28/94 $ 1,014,460 $ 1,012,097 $ 1,011,973
3/31/94 $ 991,635 $ 980,114 $ 983,638
4/30/94 $ 994,015 $ 988,739 $ 987,769
5/31/94 $ 998,289 $ 995,661 $ 995,572
6/30/94 $ 994,196 $ 992,375 $ 992,685
7/31/94 $ 1,004,337 $ 1,007,161 $ 1,005,094
8/31/94 $ 1,008,856 $ 1,011,291 $ 1,008,913
9/30/94 $ 999,877 $ 1,000,369 $ 998,521
10/31/94 $ 985,979 $ 988,564 $ 987,538
11/30/94 $ 963,301 $ 974,329 $ 972,823
12/31/94 $ 987,480 $ 989,821 $ 987,318
1/31/95 $ 1,011,772 $ 1,011,102 $ 1,006,472
2/28/95 $ 1,036,257 $ 1,035,267 $ 1,027,407
3/31/95 $ 1,045,894 $ 1,046,966 $ 1,036,448
4/30/95 $ 1,052,588 $ 1,049,060 $ 1,038,728
5/31/95 $ 1,074,482 $ 1,077,594 $ 1,063,138
6/30/95 $ 1,068,143 $ 1,073,176 $ 1,059,843
7/31/95 $ 1,079,999 $ 1,085,840 $ 1,069,487
8/31/95 $ 1,089,827 $ 1,098,870 $ 1,079,968
9/30/95 $ 1,092,552 $ 1,104,913 $ 1,085,368
10/31/95 $ 1,107,519 $ 1,115,963 $ 1,095,679
11/30/95 $ 1,118,262 $ 1,129,800 $ 1,107,293
12/31/95 $ 1,129,333 $ 1,137,370 $ 1,114,380
1/31/96 $ 1,144,353 $ 1,148,061 $ 1,123,072
2/29/96 $ 1,141,836 $ 1,143,814 $ 1,119,591
3/31/96 $ 1,121,625 $ 1,132,261 $ 1,108,283
4/30/96 $ 1,120,055 $ 1,129,770 $ 1,106,288
5/31/96 $ 1,117,479 $ 1,128,640 $ 1,106,288
6/30/96 $ 1,124,407 $ 1,138,234 $ 1,113,147
7/31/96 $ 1,137,675 $ 1,148,023 $ 1,122,943
8/31/96 $ 1,136,196 $ 1,148,482 $ 1,123,392
9/30/96 $ 1,145,399 $ 1,159,622 $ 1,133,615
10/31/96 $ 1,157,884 $ 1,172,146 $ 1,144,724
11/30/96 $ 1,179,074 $ 1,191,604 $ 1,161,666
12/31/96 $ 1,172,117 $ 1,187,790 $ 1,158,529
1/31/97 $ 1,175,399 $ 1,192,304 $ 1,161,426
2/28/97 $ 1,185,037 $ 1,202,200 $ 1,170,136
3/31/97 $ 1,171,172 $ 1,188,375 $ 1,158,201
4/30/97 $ 1,178,785 $ 1,196,218 $ 1,164,224
5/31/97 $ 1,194,227 $ 1,211,649 $ 1,177,962
6/30/97 $ 1,206,289 $ 1,223,160 $ 1,188,799
7/31/97 $ 1,235,360 $ 1,251,904 $ 1,214,596
8/31/97 $ 1,226,219 $ 1,242,640 $ 1,205,243
9/30/97 $ 1,239,462 $ 1,255,812 $ 1,218,019
10/31/97 $ 1,247,270 $ 1,262,719 $ 1,223,865
11/30/97 $ 1,252,634 $ 1,268,275 $ 1,228,638
12/31/97 $ 1,268,667 $ 1,284,255 $ 1,244,365
1/31/98 $ 1,281,354 $ 1,297,098 $ 1,254,818
2/28/98 $ 1,280,457 $ 1,298,136 $ 1,255,445
3/31/98 $ 1,281,225 $ 1,298,915 $ 1,256,198
4/30/98 $ 1,274,691 $ 1,293,589 $ 1,250,420
5/31/98 $ 1,295,724 $ 1,311,958 $ 1,267,176
6/30/98 $ 1,298,704 $ 1,316,681 $ 1,271,484
7/31/98 $ 1,302,989 $ 1,320,236 $ 1,274,408
8/31/98 $ 1,325,401 $ 1,339,115 $ 1,292,760
9/30/98 $ 1,341,571 $ 1,354,783 $ 1,306,722
10/31/98 $ 1,342,107 $ 1,356,951 $ 1,307,114
11/30/98 $ 1,343,718 $ 1,360,750 $ 1,309,989
12/31/98 $ 1,351,915 $ 1,364,968 $ 1,314,181
1/31/99 $ 1,371,112 $ 1,382,440 $ 1,328,900
2/28/99 $ 1,360,966 $ 1,376,357 $ 1,321,857
3/31/99 $ 1,358,924 $ 1,377,046 $ 1,321,593
4/30/99 $ 1,363,001 $ 1,381,039 $ 1,325,293
5/31/99 $ 1,353,324 $ 1,374,410 $ 1,317,474
6/30/99 $ 1,330,723 $ 1,356,680 $ 1,299,556
7/31/99 $ 1,341,369 $ 1,363,870 $ 1,305,664
8/31/99 $ 1,340,564 $ 1,359,915 $ 1,299,658
9/30/99 $ 1,342,039 $ 1,363,451 $ 1,300,438
10/31/99 $ 1,335,999 $ 1,355,952 $ 1,291,335
11/30/99 $ 1,346,420 $ 1,368,020 $ 1,302,311
12/31/99 $ 1,344,401 $ 1,362,138 $ 1,296,451
1/31/2000 $ 1,338,889 $ 1,359,686 $ 1,290,746
2/29/2000 $ 1,346,119 $ 1,369,475 $ 1,300,685
3/31/2000 $ 1,362,003 $ 1,390,291 $ 1,319,285
4/30/2000 $ 1,355,874 $ 1,385,704 $ 1,313,744
5/31/2000 $ 1,352,891 $ 1,381,131 $ 1,308,357
6/30/2000 $ 1,381,843 $ 1,411,377 $ 1,335,310
7/31/2000 $ 1,398,978 $ 1,427,467 $ 1,350,532
8/31/2000 $ 1,414,786 $ 1,445,453 $ 1,367,279
9/30/2000 $ 1,410,259 $ 1,441,261 $ 1,363,314
10/31/2000 $ 1,422,105 $ 1,454,377 $ 1,374,629
11/30/2000 $ 1,428,362 $ 1,462,958 $ 1,381,227
12/31/2000 $ 1,459,500 $ 1,492,802 $ 1,408,990
1/31/2001 $ 1,479,787 $ 1,511,761 $ 1,425,193
2/28/2001 $ 1,481,711 $ 1,515,691 $ 1,429,754
3/31/2001 $ 1,493,713 $ 1,527,817 $ 1,440,763
4/30/2001 $ 1,477,880 $ 1,515,289 $ 1,427,796
5/31/2001 $ 1,494,136 $ 1,530,593 $ 1,442,503
6/30/2001 $ 1,504,595 $ 1,539,317 $ 1,451,446
7/31/2001 $ 1,522,199 $ 1,557,789 $ 1,468,863
8/31/2001 $ 1,546,859 $ 1,581,000 $ 1,491,043
9/30/2001 $ 1,546,085 $ 1,580,684 $ 1,488,956
10/31/2001 $ 1,563,865 $ 1,596,649 $ 1,503,250
11/30/2001 $ 1,543,066 $ 1,582,918 $ 1,487,616
12/31/2001 $ 1,529,487 $ 1,571,837 $ 1,476,459
1/31/2002 $ 1,557,629 $ 1,597,773 $ 1,497,868
2/28/2002 $ 1,575,231 $ 1,616,786 $ 1,514,644
3/31/2002 $ 1,541,363 $ 1,586,876 $ 1,487,077
4/30/2002 $ 1,576,815 $ 1,619,248 $ 1,516,075
5/31/2002 $ 1,585,014 $ 1,628,478 $ 1,524,262
6/30/2002 $ 1,603,242 $ 1,646,391 $ 1,539,809
7/31/2002 $ 1,623,282 $ 1,665,654 $ 1,557,671
8/31/2002 $ 1,639,190 $ 1,683,643 $ 1,572,002
9/30/2002 $ 1,669,351 $ 1,714,622 $ 1,599,355
10/31/2002 $ 1,644,979 $ 1,690,789 $ 1,575,044
11/30/2002 $ 1,638,070 $ 1,683,856 $ 1,568,587
12/31/2002 $ 1,670,668 $ 1,717,197 $ 1,599,645
1/31/2003 $ 1,665,488 $ 1,714,277 $ 1,593,886
2/28/2003 $ 1,688,472 $ 1,737,249 $ 1,615,882
3/31/2003 $ 1,687,966 $ 1,738,117 $ 1,615,397
4/30/2003 $ 1,697,756 $ 1,748,546 $ 1,625,735
5/31/2003 $ 1,733,579 $ 1,785,266 $ 1,658,738
6/30/2003 $ 1,725,257 $ 1,777,946 $ 1,650,942
7/31/2003 $ 1,667,979 $ 1,725,319 $ 1,601,083
8/31/2003 $ 1,678,741 $ 1,737,741 $ 1,612,931
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 1/1/97.
Returns for the Select Shares include performance of a predecessor account for
the period dating back to 8/31/93, prior to the Fund's commencement of
operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
Returns for the Institutional Shares prior to 9/10/01 (offering date of
Institutional Shares) are calculated using the historical expenses of the of the
Select Shares, which are higher than the expenses of the Institutional Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Intermediate Tax Free Income Fund, Lehman Competitive
Intermediate (1-17 maturities) Index, and Lipper Intermediate Municipal Debt
Funds Index from August 31, 1993 to August 31, 2003. The performance of the Fund
assumes reinvestment of all dividends. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
unmanaged Lehman NY Competitive Intermediate Bond (1-17 maturities) Index
represents the performance of municipal bonds with maturities from 1 to 17
years. The Lipper Intermediate Municipal Debt Funds Index represents the total
returns of the funds in the category, as defined by Lipper, Inc. Investors
cannot invest directly in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
5
<Page>
JPMorgan New Jersey Tax Free
Income Fund
AS OF AUGUST 31, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2003
(In Millions) $ 75.3
Primary Benchmark LEHMAN
COMPETITIVE
INTERMEDIATE (1-17
MATURITIES) INDEX
Average Credit Quality AA
Duration 6.1 YEARS
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan New Jersey Tax Free Income Fund, which seeks to provide monthly
dividends that are excluded from gross income for Federal tax purposes and
are exempt from New Jersey gross income tax, had a total return of 2.58%
(Select Shares) for the one-year period ended August 31, 2003. This compares
with the 3.21% return of its benchmark index, the Lehman Competitive
Intermediate (1-17 maturities) Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: A primary reason why the Fund underperformed its benchmark was our
high-quality bias at a time when lower quality issues performed better. We
were overweight in insured paper and high-quality uninsured paper. We were
underweight in hospitals, airports, tobacco debt and other high-yield
sectors, which experienced a technical rebound following a severe widening in
spreads. Then and now, we are concerned about the stability of these credits
as municipalities continue to struggle with budget deficits. We plan to
maintain our high-quality bias. Early in the period, a detractor was our
overweight in the 5- to 15-year portion of the yield curve, which
underperformed the 20- to 30-year portion. However, in the spring, we
overweighted the 10- to 15-year part of the yield curve, which helped
performance as the curve flattened.
Q: HOW WAS THE FUND MANAGED?
A: Because we expected the Fed to begin raising rates, we reduced our overweight
in shorter maturities and adopted a more neutral yield curve stance. As Fed
rate cuts continued and rate increases were delayed, we overweighted the 10-
to 15-year part of the yield curve. Taking advantage of strong retail demand,
we sold issues that were appealing to the individual investor and replaced
them with quality names at attractive prices. We also took profits on
long-term securities. We reduced our holdings in Puerto Rico, which are
tax-exempt in all 50 states. In addition, we purchased high-quality,
essential service revenue issues and local general obligation bonds, which
should appreciate in value. We also sold callable paper because of
historically tight spreads.
6
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
CLASS A SHARES
Without Sales Charge 1.92% 6.11% 4.93% 5.13%
With Sales Charge* (2.68%) 4.49% 3.97% 4.65%
-------------------------------------------------
CLASS B SHARES
Without CDSC 1.31% 5.75% 4.71% 5.02%
With CDSC** (3.54%) 4.85% 4.39% 5.02%
-------------------------------------------------
SELECT SHARES# 2.58% 6.31% 5.05% 5.19%
</Table>
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the five year period and 0%
for the ten year period.
# Formerly Institutional Shares
[CHART]
LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
<Table>
<Caption>
JPMORGAN NEW JERSEY TAX FREE LEHMAN COMPETITIVE INTERMEDIATE LIPPER NEW JERSEY MUNICIPAL
INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS AVERAGE
8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000
9/30/93 $ 1,016,200 $ 1,010,500 $ 1,011,400
10/31/93 $ 1,015,590 $ 1,012,521 $ 1,012,007
11/30/93 $ 1,010,309 $ 1,005,332 $ 1,000,875
12/31/93 $ 1,025,666 $ 1,024,232 $ 1,021,993
1/31/94 $ 1,034,076 $ 1,035,499 $ 1,032,929
2/28/94 $ 1,015,566 $ 1,012,097 $ 1,004,420
3/31/94 $ 999,114 $ 980,114 $ 958,417
4/30/94 $ 1,002,112 $ 988,739 $ 961,772
5/31/94 $ 1,006,020 $ 995,661 $ 969,562
6/30/94 $ 1,002,599 $ 992,375 $ 963,648
7/31/94 $ 1,010,921 $ 1,007,161 $ 980,897
8/31/94 $ 1,014,661 $ 1,011,291 $ 984,624
9/30/94 $ 1,009,284 $ 1,000,369 $ 968,083
10/31/94 $ 998,989 $ 988,564 $ 948,915
11/30/94 $ 981,107 $ 974,329 $ 927,185
12/31/94 $ 1,001,416 $ 989,821 $ 953,053
1/31/95 $ 1,019,842 $ 1,011,102 $ 980,978
2/28/95 $ 1,039,321 $ 1,035,267 $ 1,007,170
3/31/95 $ 1,048,467 $ 1,046,966 $ 1,015,932
4/30/95 $ 1,055,492 $ 1,049,060 $ 1,017,354
5/31/95 $ 1,072,274 $ 1,077,594 $ 1,048,180
6/30/95 $ 1,070,880 $ 1,073,176 $ 1,038,222
7/31/95 $ 1,080,839 $ 1,085,840 $ 1,044,244
8/31/95 $ 1,090,243 $ 1,098,870 $ 1,054,895
9/30/95 $ 1,092,096 $ 1,104,913 $ 1,061,752
10/31/95 $ 1,102,252 $ 1,115,963 $ 1,077,254
11/30/95 $ 1,110,960 $ 1,129,800 $ 1,095,459
12/31/95 $ 1,118,848 $ 1,137,370 $ 1,106,743
1/31/96 $ 1,131,715 $ 1,148,061 $ 1,112,498
2/29/96 $ 1,132,847 $ 1,143,814 $ 1,103,375
3/31/96 $ 1,117,213 $ 1,132,261 $ 1,087,487
4/30/96 $ 1,116,878 $ 1,129,770 $ 1,083,572
5/31/96 $ 1,116,320 $ 1,128,640 $ 1,084,655
6/30/96 $ 1,122,906 $ 1,138,234 $ 1,095,068
7/31/96 $ 1,134,247 $ 1,148,023 $ 1,105,362
8/31/96 $ 1,133,794 $ 1,148,482 $ 1,104,477
9/30/96 $ 1,140,256 $ 1,159,622 $ 1,118,946
10/31/96 $ 1,150,062 $ 1,172,146 $ 1,130,247
11/30/96 $ 1,166,853 $ 1,191,604 $ 1,148,783
12/31/96 $ 1,153,785 $ 1,187,790 $ 1,144,303
1/31/97 $ 1,156,900 $ 1,192,304 $ 1,145,562
2/28/97 $ 1,165,692 $ 1,202,200 $ 1,154,841
3/31/97 $ 1,153,103 $ 1,188,375 $ 1,141,445
4/30/97 $ 1,159,906 $ 1,196,218 $ 1,150,462
5/31/97 $ 1,174,637 $ 1,211,649 $ 1,165,648
6/30/97 $ 1,185,913 $ 1,223,160 $ 1,176,256
7/31/97 $ 1,210,343 $ 1,251,904 $ 1,209,191
8/31/97 $ 1,202,718 $ 1,242,640 $ 1,196,494
9/30/97 $ 1,215,226 $ 1,255,812 $ 1,210,493
10/31/97 $ 1,222,032 $ 1,262,719 $ 1,217,393
11/30/97 $ 1,227,409 $ 1,268,275 $ 1,224,210
12/31/97 $ 1,242,628 $ 1,284,255 $ 1,242,451
1/31/98 $ 1,254,309 $ 1,297,098 $ 1,253,882
2/28/98 $ 1,253,055 $ 1,298,136 $ 1,253,380
3/31/98 $ 1,252,303 $ 1,298,915 $ 1,253,882
4/30/98 $ 1,245,165 $ 1,293,589 $ 1,246,860
5/31/98 $ 1,266,831 $ 1,311,958 $ 1,266,186
6/30/98 $ 1,270,885 $ 1,316,681 $ 1,271,124
7/31/98 $ 1,273,808 $ 1,320,236 $ 1,273,158
8/31/98 $ 1,296,864 $ 1,339,115 $ 1,293,274
9/30/98 $ 1,310,999 $ 1,354,783 $ 1,308,535
10/31/98 $ 1,310,082 $ 1,356,951 $ 1,306,441
11/30/98 $ 1,312,833 $ 1,360,750 $ 1,310,752
12/31/98 $ 1,319,660 $ 1,364,968 $ 1,313,243
1/31/99 $ 1,336,947 $ 1,382,440 $ 1,327,557
2/28/99 $ 1,326,118 $ 1,376,357 $ 1,319,990
3/31/99 $ 1,325,057 $ 1,377,046 $ 1,320,518
4/30/99 $ 1,329,032 $ 1,381,039 $ 1,323,687
5/31/99 $ 1,318,533 $ 1,374,410 $ 1,314,818
6/30/99 $ 1,299,810 $ 1,356,680 $ 1,294,307
7/31/99 $ 1,307,998 $ 1,363,870 $ 1,297,672
8/31/99 $ 1,301,328 $ 1,359,915 $ 1,281,711
9/30/99 $ 1,299,896 $ 1,363,451 $ 1,276,200
10/31/99 $ 1,289,237 $ 1,355,952 $ 1,256,546
11/30/99 $ 1,301,227 $ 1,368,020 $ 1,269,237
12/31/99 $ 1,293,940 $ 1,362,138 $ 1,255,276
1/31/2000 $ 1,286,565 $ 1,359,686 $ 1,244,731
2/29/2000 $ 1,299,559 $ 1,369,475 $ 1,260,166
3/31/2000 $ 1,321,521 $ 1,390,291 $ 1,286,882
4/30/2000 $ 1,314,914 $ 1,385,704 $ 1,278,131
5/31/2000 $ 1,310,180 $ 1,381,131 $ 1,269,056
6/30/2000 $ 1,343,197 $ 1,411,377 $ 1,302,432
7/31/2000 $ 1,361,061 $ 1,427,467 $ 1,321,448
8/31/2000 $ 1,380,252 $ 1,445,453 $ 1,341,270
9/30/2000 $ 1,373,903 $ 1,441,261 $ 1,332,820
10/31/2000 $ 1,386,131 $ 1,454,377 $ 1,345,081
11/30/2000 $ 1,399,576 $ 1,462,958 $ 1,353,421
12/31/2000 $ 1,441,983 $ 1,492,802 $ 1,389,287
1/31/2001 $ 1,455,826 $ 1,511,761 $ 1,399,845
2/28/2001 $ 1,461,941 $ 1,515,691 $ 1,407,264
3/31/2001 $ 1,475,829 $ 1,527,817 $ 1,419,085
4/30/2001 $ 1,454,725 $ 1,515,289 $ 1,402,482
5/31/2001 $ 1,470,145 $ 1,530,593 $ 1,416,647
6/30/2001 $ 1,483,964 $ 1,539,317 $ 1,429,822
7/31/2001 $ 1,502,217 $ 1,557,789 $ 1,450,983
8/31/2001 $ 1,527,905 $ 1,581,000 $ 1,473,764
9/30/2001 $ 1,516,599 $ 1,580,684 $ 1,458,437
10/31/2001 $ 1,542,381 $ 1,596,649 $ 1,474,479
11/30/2001 $ 1,518,936 $ 1,582,918 $ 1,459,735
12/31/2001 $ 1,502,836 $ 1,571,837 $ 1,446,159
1/31/2002 $ 1,530,789 $ 1,597,773 $ 1,470,165
2/28/2002 $ 1,550,536 $ 1,616,786 $ 1,487,219
3/31/2002 $ 1,517,044 $ 1,586,876 $ 1,461,044
4/30/2002 $ 1,552,240 $ 1,619,248 $ 1,487,051
5/31/2002 $ 1,562,795 $ 1,628,478 $ 1,496,271
6/30/2002 $ 1,579,673 $ 1,646,391 $ 1,509,288
7/31/2002 $ 1,599,893 $ 1,665,654 $ 1,526,041
8/31/2002 $ 1,617,012 $ 1,683,643 $ 1,539,318
9/30/2002 $ 1,651,131 $ 1,714,622 $ 1,564,716
10/31/2002 $ 1,619,429 $ 1,690,789 $ 1,533,579
11/30/2002 $ 1,606,311 $ 1,683,856 $ 1,529,898
12/31/2002 $ 1,645,827 $ 1,717,197 $ 1,563,862
1/31/2003 $ 1,637,598 $ 1,714,277 $ 1,555,104
2/28/2003 $ 1,662,980 $ 1,737,249 $ 1,576,098
3/31/2003 $ 1,664,643 $ 1,738,117 $ 1,572,788
4/30/2003 $ 1,677,461 $ 1,748,546 $ 1,585,842
5/31/2003 $ 1,719,733 $ 1,785,266 $ 1,621,207
6/30/2003 $ 1,711,478 $ 1,777,946 $ 1,613,425
7/31/2003 $ 1,646,100 $ 1,725,319 $ 1,559,214
8/31/2003 $ 1,658,666 $ 1,737,741 $ 1,567,789
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 1/1/97.
Returns for the Select Shares include performance of a predecessor account for
the period dating back to 8/31/93, prior to the Fund's commencement of
operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan New Jersey Tax Free Income Fund, Lehman Competitive
Intermediate (1-17 maturities) Index, and Lipper New Jersey Municipal Debt Funds
Index from August 31, 1993 to August 31, 2003. The performance of the Fund
assumes reinvestment of all dividends. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
unmanaged Lehman Competitive Intermediate (1-17) Index represents the
performance of municipal bonds with maturities from 1 to 17 years. The Lipper
New Jersey Municipal Debt Funds Index represents the total returns of the funds
in the category, as defined by Lipper, Inc. Investors cannot invest directly in
an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
7
<Page>
JPMorgan New York Intermediate
Tax Free Income Fund
AS OF AUGUST 31, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2003
(In Millions) $ 754.5
Primary Benchmark LEHMAN NY
COMPETITIVE
INTERMEDIATE (1-17
MATURITIES) INDEX
Average Credit Quality AA
Duration 5.8 YEARS
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan New York Intermediate Tax Free Income Fund, which seeks to provide
monthly dividends that are excluded from gross income for Federal income tax
purposes and are exempt from New York State and New York City personal income
taxes, had a total return of 2.32% (Select Shares) for the one-year period
ended August 31, 2003. This compares with the 3.16% return of its benchmark
index, the Lehman NY Competitive Intermediate (1-17 maturities) Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed its benchmark during the period. The primary reason
was our high-quality bias at a time when lower quality issues performed
better. The Fund was overweight in insured paper and high-quality uninsured
paper. We were underweight in hospitals, airports, tobacco debt and other
high-yield sectors, which experienced a technical rebound following a severe
widening in spreads. Then and now, we are concerned about the stability of
these credits as municipalities continue to struggle with budget deficits. We
plan to maintain our high-quality bias. Early in the period, a detractor was
our overweight in the 5- to 15-year portion of the yield curve, which
under-performed the 20- to 30-year portion. However, in the spring, we
overweighted the 10- to 15-year part of the yield curve, which helped
performance as the curve flattened.
Q: HOW WAS THE FUND MANAGED?
A: Because we expected the Fed to begin raising rates, we reduced our overweight
in shorter maturities and adopted a more neutral yield curve stance. As Fed
rate cuts continued and rate increases were delayed, we overweighted the 10-
to 15-year part of the yield curve. We continued to focus on high-quality
liquid issues. Supply of New York issues was heavy and we took advantage of
widening spreads by increasing our weightings to New York bonds. During the
winter, we added New York City issues inside of five years when spreads
widened dramatically. We funded these purchases by reducing our holdings in
out-of-state and Puerto Rico paper. When spreads tightened by nearly 1/4
percent in the spring, we sold some of our New York City holdings. We also
sold callable paper because of historically tight spreads.
8
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
CLASS A SHARES
Without Sales Charge 2.15% 5.54% 4.60% 4.97%
With Sales Charge* (2.43%) 3.93% 3.65% 4.48%
-------------------------------------------------
CLASS B SHARES
Without CDSC 1.34% 4.81% 4.17% 4.75%
With CDSC** (3.60%) 3.89% 3.83% 4.75%
-------------------------------------------------
CLASS C SHARES
Without CDSC 1.32% 4.81% 4.17% 4.75%
With CDSC*** 0.34% 4.81% 4.17% 4.75%
-------------------------------------------------
INSTITUTIONAL SHARES 2.40% 5.74% 4.72% 5.03%
-------------------------------------------------
SELECT SHARES# 2.32% 5.62% 4.65% 4.99%
</Table>
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the five year period and 0%
for the ten year period.
*** Assumes 1% CDSC for the one year period and 0% thereafter.
# Formerly Institutional Shares
[CHART]
LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
<Table>
<Caption>
JPMORGAN NEW YORK INTERMEDIATE TAX LEHMAN NY COMPETITIVE INTERMEDIATE LIPPER NEW YORK INTERMEDIATE MUNICIPAL
FREE INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS AVERAGE
8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000
9/30/93 $ 1,011,100 $ 1,008,200 $ 1,009,200
10/31/93 $ 1,008,876 $ 1,010,922 $ 1,010,613
11/30/93 $ 1,005,143 $ 1,004,048 $ 1,002,528
12/31/93 $ 1,020,521 $ 1,021,920 $ 1,021,576
1/31/94 $ 1,031,849 $ 1,032,752 $ 1,031,792
2/28/94 $ 1,004,712 $ 1,012,614 $ 1,009,402
3/31/94 $ 977,283 $ 982,235 $ 976,495
4/30/94 $ 974,351 $ 990,682 $ 982,354
5/31/94 $ 980,002 $ 999,103 $ 990,410
6/30/94 $ 976,180 $ 997,804 $ 987,141
7/31/94 $ 989,066 $ 1,011,574 $ 1,000,270
8/31/94 $ 993,715 $ 1,015,924 $ 1,003,271
9/30/94 $ 978,411 $ 1,004,342 $ 991,132
10/31/94 $ 962,952 $ 991,587 $ 977,256
11/30/94 $ 938,782 $ 977,804 $ 959,274
12/31/94 $ 960,656 $ 994,427 $ 976,829
1/31/95 $ 978,140 $ 1,009,343 $ 995,389
2/28/95 $ 1,007,484 $ 1,033,769 $ 1,019,676
3/31/95 $ 1,016,451 $ 1,044,624 $ 1,027,834
4/30/95 $ 1,022,651 $ 1,047,653 $ 1,029,889
5/31/95 $ 1,050,978 $ 1,076,464 $ 1,055,327
6/30/95 $ 1,040,784 $ 1,071,943 $ 1,051,528
7/31/95 $ 1,051,504 $ 1,083,948 $ 1,060,992
8/31/95 $ 1,060,757 $ 1,098,473 $ 1,072,769
9/30/95 $ 1,067,122 $ 1,103,526 $ 1,076,631
10/31/95 $ 1,081,101 $ 1,116,989 $ 1,087,182
11/30/95 $ 1,098,183 $ 1,132,739 $ 1,099,032
12/31/95 $ 1,109,164 $ 1,140,441 $ 1,105,956
1/31/96 $ 1,115,598 $ 1,150,477 $ 1,114,140
2/29/96 $ 1,112,809 $ 1,145,300 $ 1,108,681
3/31/96 $ 1,096,116 $ 1,135,680 $ 1,097,927
4/30/96 $ 1,091,622 $ 1,134,430 $ 1,095,072
5/31/96 $ 1,091,841 $ 1,132,842 $ 1,093,649
6/30/96 $ 1,099,811 $ 1,143,038 $ 1,102,070
7/31/96 $ 1,114,109 $ 1,154,125 $ 1,111,547
8/31/96 $ 1,112,772 $ 1,153,894 $ 1,110,325
9/30/96 $ 1,124,122 $ 1,168,087 $ 1,121,539
10/31/96 $ 1,135,476 $ 1,180,119 $ 1,131,745
11/30/96 $ 1,154,892 $ 1,199,709 $ 1,149,400
12/31/96 $ 1,143,805 $ 1,196,709 $ 1,145,262
1/31/97 $ 1,147,694 $ 1,200,898 $ 1,146,980
2/28/97 $ 1,157,564 $ 1,210,985 $ 1,155,927
3/31/97 $ 1,144,715 $ 1,198,270 $ 1,143,790
4/30/97 $ 1,153,530 $ 1,207,257 $ 1,150,767
5/31/97 $ 1,168,872 $ 1,224,038 $ 1,165,381
6/30/97 $ 1,179,041 $ 1,236,401 $ 1,176,219
7/31/97 $ 1,209,342 $ 1,267,558 $ 1,204,213
8/31/97 $ 1,196,402 $ 1,257,798 $ 1,194,218
9/30/97 $ 1,208,366 $ 1,271,130 $ 1,205,922
10/31/97 $ 1,215,496 $ 1,278,884 $ 1,211,469
11/30/97 $ 1,222,424 $ 1,284,767 $ 1,216,315
12/31/97 $ 1,240,271 $ 1,301,212 $ 1,232,127
1/31/98 $ 1,250,814 $ 1,313,704 $ 1,242,723
2/28/98 $ 1,250,563 $ 1,315,149 $ 1,243,593
3/31/98 $ 1,250,689 $ 1,317,385 $ 1,243,842
4/30/98 $ 1,243,685 $ 1,310,007 $ 1,236,255
5/31/98 $ 1,264,703 $ 1,331,491 $ 1,255,293
6/30/98 $ 1,268,118 $ 1,337,217 $ 1,259,435
7/31/98 $ 1,273,444 $ 1,340,025 $ 1,261,576
8/31/98 $ 1,296,493 $ 1,359,857 $ 1,280,752
9/30/98 $ 1,314,125 $ 1,375,632 $ 1,295,865
10/31/98 $ 1,310,577 $ 1,378,658 $ 1,295,347
11/30/98 $ 1,312,150 $ 1,382,380 $ 1,297,290
12/31/98 $ 1,320,285 $ 1,386,666 $ 1,302,090
1/31/99 $ 1,338,505 $ 1,405,247 $ 1,317,454
2/28/99 $ 1,328,868 $ 1,398,643 $ 1,309,682
3/31/99 $ 1,327,008 $ 1,399,202 $ 1,308,372
4/30/99 $ 1,330,458 $ 1,403,819 $ 1,311,643
5/31/99 $ 1,321,011 $ 1,396,800 $ 1,303,511
6/30/99 $ 1,298,290 $ 1,378,782 $ 1,284,088
7/31/99 $ 1,307,378 $ 1,385,951 $ 1,289,867
8/31/99 $ 1,301,495 $ 1,383,041 $ 1,283,546
9/30/99 $ 1,303,187 $ 1,386,222 $ 1,284,060
10/31/99 $ 1,293,413 $ 1,377,488 $ 1,271,476
11/30/99 $ 1,305,959 $ 1,390,988 $ 1,284,318
12/31/99 $ 1,301,780 $ 1,385,007 $ 1,277,126
1/31/2000 $ 1,296,963 $ 1,381,267 $ 1,271,379
2/29/2000 $ 1,309,155 $ 1,392,317 $ 1,282,567
3/31/2000 $ 1,327,876 $ 1,413,063 $ 1,305,525
4/30/2000 $ 1,322,564 $ 1,408,117 $ 1,298,083
5/31/2000 $ 1,317,803 $ 1,403,329 $ 1,291,982
6/30/2000 $ 1,346,004 $ 1,435,466 $ 1,322,861
7/31/2000 $ 1,362,694 $ 1,451,686 $ 1,338,735
8/31/2000 $ 1,381,363 $ 1,469,687 $ 1,357,076
9/30/2000 $ 1,374,318 $ 1,466,013 $ 1,351,104
10/31/2000 $ 1,387,237 $ 1,479,794 $ 1,364,345
11/30/2000 $ 1,396,115 $ 1,488,524 $ 1,371,713
12/31/2000 $ 1,431,018 $ 1,518,890 $ 1,404,222
1/31/2001 $ 1,448,047 $ 1,537,725 $ 1,420,090
2/28/2001 $ 1,450,654 $ 1,540,185 $ 1,421,794
3/31/2001 $ 1,461,679 $ 1,554,663 $ 1,433,879
4/30/2001 $ 1,446,477 $ 1,544,868 $ 1,419,827
5/31/2001 $ 1,463,690 $ 1,560,626 $ 1,435,020
6/30/2001 $ 1,474,668 $ 1,568,897 $ 1,443,199
7/31/2001 $ 1,489,710 $ 1,587,097 $ 1,460,518
8/31/2001 $ 1,514,886 $ 1,611,538 $ 1,483,594
9/30/2001 $ 1,502,918 $ 1,603,480 $ 1,472,615
10/31/2001 $ 1,519,751 $ 1,619,355 $ 1,486,899
11/30/2001 $ 1,503,490 $ 1,607,047 $ 1,472,625
12/31/2001 $ 1,490,259 $ 1,596,602 $ 1,460,697
1/31/2002 $ 1,517,680 $ 1,623,584 $ 1,484,652
2/28/2002 $ 1,536,195 $ 1,644,528 $ 1,503,211
3/31/2002 $ 1,505,318 $ 1,614,434 $ 1,474,499
4/30/2002 $ 1,537,231 $ 1,646,884 $ 1,503,105
5/31/2002 $ 1,539,844 $ 1,653,142 $ 1,509,418
6/30/2002 $ 1,557,244 $ 1,671,822 $ 1,524,663
7/31/2002 $ 1,574,997 $ 1,689,711 $ 1,540,977
8/31/2002 $ 1,590,747 $ 1,708,805 $ 1,558,081
9/30/2002 $ 1,623,198 $ 1,739,221 $ 1,587,529
10/31/2002 $ 1,597,876 $ 1,715,046 $ 1,562,764
11/30/2002 $ 1,585,253 $ 1,705,613 $ 1,552,918
12/31/2002 $ 1,620,604 $ 1,740,067 $ 1,585,995
1/31/2003 $ 1,614,608 $ 1,738,153 $ 1,577,272
2/28/2003 $ 1,638,504 $ 1,761,270 $ 1,599,827
3/31/2003 $ 1,634,735 $ 1,761,446 $ 1,597,108
4/30/2003 $ 1,646,015 $ 1,771,839 $ 1,608,128
5/31/2003 $ 1,683,709 $ 1,808,339 $ 1,642,542
6/30/2003 $ 1,675,290 $ 1,800,925 $ 1,632,029
7/31/2003 $ 1,614,142 $ 1,749,778 $ 1,579,478
8/31/2003 $ 1,627,613 $ 1,762,727 $ 1,592,430
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 1/1/97.
Returns prior to 1/1/97 for the Select Shares include performance of a
predecessor account for the period dating back to 8/31/93, prior to the Fund's
commencement of operations on 1/1/97. Returns for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
Returns for Class A and B Shares prior to 2/16/01 (offering date of Class A and
B Shares) are calculated using the historical expenses of the Select Shares,
which are lower than the expenses for Class A and B Shares. Returns for the
Institutional Shares prior to 9/10/01 (offering date of Institutional Shares)
are calculated using the historical expenses of the of the Select Shares, which
are higher than the expenses of the Institutional Shares. The graph illustrates
comparative performance for $1,000,000 invested in Select Shares of the JPMorgan
New York Intermediate Tax Free Income Fund, Lehman NY Competitive Intermediate
(1-17 maturities) Index, and Lipper New York Intermediate Municipal Debt Funds
Average from August 31, 1993 to August 31, 2003. The performance of the Fund
assumes reinvestment of all dividends. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
unmanaged Lehman NY Competitive Intermediate (1-17 maturities) Index represents
the performance of NY municipal bonds with maturities from 1 to 17 years. The
Lipper New York Intermediate Municipal Debt Funds Average describes the average
total returns for all the funds in the indicated category, as defined by Lipper,
Inc. Investors cannot invest directly in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes. Select Shares
have a $1,000,000 minimum initial deposit and carry no sales charge. Certain
fees and expenses of the Fund are currently being waived and reimbursed as
described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
9
<Page>
JPMorgan
Tax Free Income Fund
AS OF AUGUST 31, 2003 (Unaudited)
FUND FACTS
<Table>
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2003
(In Millions) $ 721.4
Primary Benchmark LEHMAN MUNICIPAL
BOND INDEX
Average Credit Quality AA
Duration 7.4 YEARS
</Table>
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Free Income Fund, which seeks to provide monthly dividends that
are excluded from gross income for Federal tax purposes, and to protect the
value of your investment by investing primarily in municipal obligations, had
a total return of 2.14% (Select Shares) for the one-year period ended August
31, 2003. This compares with a 3.13% return for its benchmark index, the
Lehman Municipal Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed its benchmark because it had a high-quality bias at a
time when lower quality issues performed better. The Fund was overweight in
insured paper and high-quality uninsured paper. We were underweight in
hospitals, airports, tobacco debt and other high-yield sectors, which
experienced a technical rebound following a severe widening in spreads. Then
and now, we are concerned about the stability of these credits as
municipalities continue to struggle with budget deficits. We plan to maintain
our high-quality bias. Early in the period, a detractor was our overweight in
the 5- to 15-year portion of the yield curve, which underperformed the 20- to
30-year portion. However, in the spring, we overweighted the 10- to 15-year
part of the yield curve, which helped performance as the curve flattened.
Q: HOW WAS THE FUND MANAGED?
A: Because we expected the Fed to begin raising rates, we reduced our overweight
in shorter maturities and adopted a more neutral yield curve stance. As Fed
rate cuts continued and rate increases were delayed, we overweighted the 10-
to 15-year part of the yield curve. Early in the period, we took overweight
positions in non-callable and zero coupon bonds. We also took advantage of
the heavy supply in both New York and California and overweighted those
sectors, funding the purchases by selling general market paper. However, as
spreads tightened in the spring, we reduced our New York holdings and took
advantage of the heavy supply in California to overweight that sector. We
continued to focus on high-quality liquid issues. We also took profits on
long-term securities and sold callable paper because of historically tight
spreads.
10
<Page>
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
-------------------------------------------------
CLASS A SHARES
Without Sales Charge 2.15% 5.88% 4.59% 5.31%
With Sales Charge* (2.40%) 4.29% 3.63% 4.82%
-------------------------------------------------
CLASS B SHARES
Without CDSC 1.11% 5.09% 4.12% 5.07%
With CDSC** (3.75%) 4.18% 3.79% 5.07%
-------------------------------------------------
SELECT SHARES# 2.14% 5.87% 4.58% 5.31%
</Table>
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the five year period and 0%
for the ten year period.
# Formerly Institutional Shares
[CHART]
LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
<Table>
<Caption>
JPMORGAN TAX FREE INCOME LEHMAN MUNICIPAL LIPPER GENERAL MUNICIPAL
FUND (SELECT SHARES) BOND INDEX DEBT FUNDS INDEX
8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000
9/30/93 $ 1,015,400 $ 1,011,400 $ 1,011,500
10/31/93 $ 1,015,806 $ 1,013,322 $ 1,013,118
11/30/93 $ 1,009,305 $ 1,004,404 $ 1,002,886
12/31/93 $ 1,024,142 $ 1,025,597 $ 1,022,944
1/31/94 $ 1,033,666 $ 1,037,289 $ 1,034,196
2/28/94 $ 1,013,923 $ 1,010,423 $ 1,008,858
3/31/94 $ 990,907 $ 969,299 $ 966,688
4/30/94 $ 988,034 $ 977,538 $ 969,878
5/31/94 $ 992,183 $ 986,043 $ 978,413
6/30/94 $ 988,512 $ 980,028 $ 972,249
7/31/94 $ 998,299 $ 997,962 $ 988,972
8/31/94 $ 1,004,887 $ 1,001,455 $ 992,136
9/30/94 $ 996,346 $ 986,734 $ 976,758
10/31/94 $ 982,098 $ 969,170 $ 958,102
11/30/94 $ 959,706 $ 951,628 $ 938,365
12/31/94 $ 985,042 $ 972,564 $ 961,167
1/31/95 $ 1,007,206 $ 1,000,379 $ 990,387
2/28/95 $ 1,030,271 $ 1,029,490 $ 1,019,901
3/31/95 $ 1,041,192 $ 1,041,329 $ 1,029,284
4/30/95 $ 1,048,792 $ 1,042,579 $ 1,029,284
5/31/95 $ 1,070,607 $ 1,075,837 $ 1,062,118
6/30/95 $ 1,064,077 $ 1,066,477 $ 1,050,222
7/31/95 $ 1,072,696 $ 1,076,609 $ 1,057,048
8/31/95 $ 1,079,668 $ 1,090,282 $ 1,069,099
9/30/95 $ 1,083,231 $ 1,097,151 $ 1,075,834
10/31/95 $ 1,099,588 $ 1,113,059 $ 1,092,832
11/30/95 $ 1,113,443 $ 1,131,536 $ 1,114,580
12/31/95 $ 1,127,361 $ 1,142,399 $ 1,127,397
1/31/96 $ 1,136,154 $ 1,151,081 $ 1,132,809
2/29/96 $ 1,136,268 $ 1,143,254 $ 1,124,653
3/31/96 $ 1,117,178 $ 1,128,620 $ 1,107,445
4/30/96 $ 1,113,715 $ 1,125,460 $ 1,102,794
5/31/96 $ 1,113,715 $ 1,125,010 $ 1,103,456
6/30/96 $ 1,123,405 $ 1,137,272 $ 1,113,718
7/31/96 $ 1,133,290 $ 1,147,622 $ 1,123,296
8/31/96 $ 1,135,104 $ 1,147,392 $ 1,122,734
9/30/96 $ 1,149,520 $ 1,163,456 $ 1,139,912
10/31/96 $ 1,162,969 $ 1,176,603 $ 1,152,565
11/30/96 $ 1,182,856 $ 1,198,134 $ 1,172,735
12/31/96 $ 1,173,393 $ 1,193,102 $ 1,167,810
1/31/97 $ 1,173,393 $ 1,195,369 $ 1,167,693
2/28/97 $ 1,182,663 $ 1,206,367 $ 1,177,969
3/31/97 $ 1,167,643 $ 1,190,322 $ 1,163,479
4/30/97 $ 1,178,969 $ 1,200,321 $ 1,173,485
5/31/97 $ 1,195,946 $ 1,218,325 $ 1,190,384
6/30/97 $ 1,207,188 $ 1,231,362 $ 1,204,430
7/31/97 $ 1,243,283 $ 1,265,470 $ 1,240,563
8/31/97 $ 1,230,104 $ 1,253,575 $ 1,226,421
9/30/97 $ 1,245,234 $ 1,268,492 $ 1,241,874
10/31/97 $ 1,252,955 $ 1,276,611 $ 1,250,070
11/30/97 $ 1,260,473 $ 1,284,143 $ 1,257,195
12/31/97 $ 1,279,884 $ 1,302,891 $ 1,277,562
1/31/98 $ 1,293,579 $ 1,316,311 $ 1,289,826
2/28/98 $ 1,293,061 $ 1,316,706 $ 1,289,826
3/31/98 $ 1,293,191 $ 1,317,891 $ 1,291,116
4/30/98 $ 1,284,914 $ 1,311,960 $ 1,283,240
5/31/98 $ 1,308,814 $ 1,332,689 $ 1,304,029
6/30/98 $ 1,312,478 $ 1,337,887 $ 1,308,723
7/31/98 $ 1,316,416 $ 1,341,232 $ 1,311,341
8/31/98 $ 1,340,638 $ 1,362,021 $ 1,331,798
9/30/98 $ 1,358,602 $ 1,379,046 $ 1,347,646
10/31/98 $ 1,354,391 $ 1,379,046 $ 1,342,795
11/30/98 $ 1,358,047 $ 1,383,873 $ 1,347,360
12/31/98 $ 1,362,936 $ 1,387,332 $ 1,349,785
1/31/99 $ 1,381,336 $ 1,403,841 $ 1,364,498
2/28/99 $ 1,372,219 $ 1,397,665 $ 1,356,857
3/31/99 $ 1,370,024 $ 1,399,621 $ 1,357,400
4/30/99 $ 1,375,915 $ 1,403,120 $ 1,361,200
5/31/99 $ 1,365,183 $ 1,394,982 $ 1,351,536
6/30/99 $ 1,341,428 $ 1,374,895 $ 1,330,182
7/31/99 $ 1,345,453 $ 1,379,844 $ 1,332,576
8/31/99 $ 1,332,267 $ 1,368,805 $ 1,316,718
9/30/99 $ 1,329,603 $ 1,369,353 $ 1,313,295
10/31/99 $ 1,314,046 $ 1,354,564 $ 1,295,040
11/30/99 $ 1,328,238 $ 1,368,922 $ 1,307,343
12/31/99 $ 1,318,542 $ 1,358,655 $ 1,294,923
1/31/2000 $ 1,313,004 $ 1,352,813 $ 1,284,564
2/29/2000 $ 1,329,023 $ 1,368,506 $ 1,302,805
3/31/2000 $ 1,356,932 $ 1,398,476 $ 1,331,336
4/30/2000 $ 1,348,655 $ 1,390,225 $ 1,322,150
5/31/2000 $ 1,338,675 $ 1,382,996 $ 1,313,291
6/30/2000 $ 1,373,079 $ 1,419,645 $ 1,347,174
7/31/2000 $ 1,394,362 $ 1,439,378 $ 1,365,900
8/31/2000 $ 1,413,464 $ 1,461,545 $ 1,387,345
9/30/2000 $ 1,405,408 $ 1,453,945 $ 1,378,743
10/31/2000 $ 1,420,164 $ 1,469,793 $ 1,393,082
11/30/2000 $ 1,432,520 $ 1,480,963 $ 1,402,276
12/31/2000 $ 1,472,487 $ 1,517,543 $ 1,438,455
1/31/2001 $ 1,482,647 $ 1,532,567 $ 1,449,243
2/28/2001 $ 1,490,060 $ 1,537,471 $ 1,456,055
3/31/2001 $ 1,500,491 $ 1,551,308 $ 1,468,286
4/30/2001 $ 1,473,632 $ 1,534,554 $ 1,447,730
5/31/2001 $ 1,491,021 $ 1,551,127 $ 1,464,234
6/30/2001 $ 1,503,546 $ 1,561,520 $ 1,476,387
7/31/2001 $ 1,525,497 $ 1,584,630 $ 1,499,714
8/31/2001 $ 1,554,634 $ 1,610,777 $ 1,526,709
9/30/2001 $ 1,545,617 $ 1,605,300 $ 1,514,190
10/31/2001 $ 1,567,565 $ 1,624,403 $ 1,529,937
11/30/2001 $ 1,546,560 $ 1,610,758 $ 1,514,332
12/31/2001 $ 1,528,001 $ 1,595,456 $ 1,498,280
1/31/2002 $ 1,555,352 $ 1,623,057 $ 1,521,653
2/28/2002 $ 1,577,594 $ 1,642,696 $ 1,540,065
3/31/2002 $ 1,540,047 $ 1,610,499 $ 1,510,804
4/30/2002 $ 1,574,698 $ 1,641,904 $ 1,538,301
5/31/2002 $ 1,582,729 $ 1,651,920 $ 1,547,838
6/30/2002 $ 1,600,456 $ 1,669,430 $ 1,562,697
7/31/2002 $ 1,623,502 $ 1,690,966 $ 1,582,700
8/31/2002 $ 1,641,848 $ 1,711,257 $ 1,598,210
9/30/2002 $ 1,684,372 $ 1,748,734 $ 1,632,252
10/31/2002 $ 1,647,652 $ 1,719,705 $ 1,597,485
11/30/2002 $ 1,635,460 $ 1,712,482 $ 1,591,575
12/31/2002 $ 1,675,856 $ 1,748,615 $ 1,627,385
1/31/2003 $ 1,666,303 $ 1,744,244 $ 1,617,295
2/28/2003 $ 1,691,798 $ 1,768,663 $ 1,641,878
3/31/2003 $ 1,692,644 $ 1,769,725 $ 1,639,251
4/30/2003 $ 1,703,476 $ 1,781,405 $ 1,654,004
5/31/2003 $ 1,747,597 $ 1,823,090 $ 1,693,370
6/30/2003 $ 1,735,189 $ 1,815,250 $ 1,684,564
7/31/2003 $ 1,663,699 $ 1,751,717 $ 1,627,120
8/31/2003 $ 1,677,221 $ 1,764,854 $ 1,639,161
</Table>
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the
future results. Investment returns and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost.
The Fund commenced operations on 1/1/97.
Returns for the Select Shares include performance of a predecessor account for
the period dating back to 8/31/93, prior to the Fund's commencement of
operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
Returns for Class A and B Shares prior to 2/16/01 (offering date of Class A and
B Shares) are calculated using the historical expenses of the Select Shares,
which are lower than the expenses for Class A and B Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Free Income Fund, Lehman Municipal Bond Index, and
Lipper General Municipal Debt Funds Index from August 31, 1993 to August 31,
2003. The performance of the Fund assumes reinvestment of all dividends. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Lehman Municipal Bond Index is a broad-based
index that replicates the long-term, investment grade tax-exempt bond market.
The Lipper General Municipal Debt Funds Index represents the total returns of
the funds in the category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMorgan California Bond Fund
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.3%
STATE AND MUNICIPAL OBLIGATIONS -- 96.3%
CALIFORNIA -- 84.5%
$ 250 Bell Community Redevelopment Agency,
Tax Allocation, Bell Redevelopment
Project Area, FSA, 6.30%, 11/1/13 @+ $ 257
260 Burlingame Financing Authority,
Rev., 4.75%, 10/15/11 + 276
1,000 California Educational Facilities Authority,
Claremont University Center, Ser. 1998-C,
Rev., 1.73%, 5/1/28 + 1,001
140 California Educational Facilities Authority,
Dominican University,
Rev., 4.85%, 12/1/06 + 150
750 California Educational Facilities Authority,
Stanford University, Ser. P,
Rev., 5.25%, 12/1/13 + 829
1,100 California Educational Facilities Authority,
University of Southern California, Ser. A,
Rev., 5.60%, 10/1/06 + 1,224
1,460 California State Department of Water
Resources, Central Valley Project,
Ser. J-3, Rev., 7.00%, 12/1/12 + 1,785
540 California State Department of Water
Resources, Central Valley Project, Ser. J-3,
Rev., (p), 7.00%, 12/1/12 + 674
3,335 California State Department of Water
Resources, Rev., 5.50%, 12/1/08 + 3,788
665 California State Department of Water
Resources, Rev., (p), 5.50%, 12/1/08 + 759
4,461 California State University, California
State Polytechnic University Pamona,
Campus Energy Project, Tax Exempt
Master Lease, Rev., 5.06%, 3/15/14 + 4,641
120 California State, GO, (p), MBIA-IBC,
6.25%, 10/1/19 + 122
1,675 California Statewide Communities
Development Authority, Catholic
Healthcare West, COP, 6.00%, 7/1/09 + 1,833
1,840 Calleguas-Las Virgines Public Financing
Authority, Water District, Ser. B, Rev.,
MBIA, 5.25%, 7/1/13 + 2,020
490 Carson Redevelopment Agency,
Redevelopment Project Area No. 1,
Tax Allocation, MBIA, 5.50%, 10/1/14 + 549
$ 150 Coachella Valley Recreation & Park
District, Improvement Bond Act of 1915,
Reassessment District 1, Special
Assessment, MBIA, 4.63%, 9/2/10 + $ 161
1,500 Contra Costa Transportation Authority,
Sales Tax, Ser. A, Rev., FGIC,
6.00%, 3/1/06 + 1,651
1,850 Contra Costa Water District, Ser. G,
Rev., (p), MBIA, 5.75%, 10/1/04 + 1,980
2,500 Contra Costa Water District, Ser. K, Rev.,
FSA, 5.50%, 10/1/11 + 2,808
2,505 Corona Community Facilities District,
Corona Facilities, No. 97-2, Eagle Glen,
Special Tax, 5.75%, 9/1/16 + 2,506
2,500 Duarte Redevelopment Agency, Single
Family Mortgage, Mortgage Backed
Securities Program, Ser. A,
Rev., (p), 6.88%, 11/1/11 + 3,072
1,310 El Monte City School District, Ser. A, GO,
FSA, 6.25%, 5/1/20 + 1,467
1,000 Fallbrook Union High School District,
San Diego County, GO,
FGIC, 5.38%, 9/1/12 + 1,110
1,000 Foothill Eastern Transportation Corridor
Agency, California Toll Road, Senior Lien,
Ser. A, Rev., (p), 6.00%, 1/1/07 + 1,124
1,000 Fremont-Newark Community College
District, Ser. A, GO, MBIA, 5.50%, 8/1/13 + 1,105
100 Fullerton University Foundation, Ser.
A, Rev., MBIA, 5.50%, 7/1/10 + 112
100 Fullerton University Foundation, Ser. A,
Rev., MBIA, 5.50%, 7/1/11 + 111
545 Golden West Schools Financing Authority,
Ser. A, Rev., MBIA, 5.80%, 2/1/16 + 622
1,000 Long Beach, California, Long Beach
Harbor, Rev., MBIA, 6.00%, 5/15/06 + 1,087
500 Los Angeles County Community Facilities
District No. 3, Improvement Area B,
Special Tax, Ser. A, AMBAC,
5.63%, 9/1/11 + 558
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,395 Los Angeles County Community Facilities
District No. 3, Improvement Area B,
Special Tax, Ser. A, AMBAC,
5.63%, 9/1/13 + $ 1,537
1,000 Los Angeles County Community Facilities
District No. 3, Improvement Area B,
Special Tax, Ser. A, AMBAC, 5.63%, 9/1/14 1,110
1,000 Los Angeles County Public Works
Financing Authority, Multiple Capital
Facilities Project, Ser. B, Rev.,
AMBAC, 6.00%, 12/1/07 1,145
4,255 Los Angeles Harbor Department, Ser. A,
Rev., AMBAC, 5.50%, 8/1/05 + 4,553
4,405 Los Angeles Unified School District, COP,
Ser. B, FSA, 5.00%, 10/1/06 + 4,818
125 Los Angeles Unified School District,
Ser. A, GO, FGIC, 6.00%, 7/1/15 + 146
1,300 Los Angeles, California, American
Academy of Dramatic Arts, COP, Ser. A,
Adj., 4.70%, 11/1/30 + 1,372
500 Los Angeles, California, Department of
Water & Power Systems, Ser. A-A-1,
Rev., 5.25%, 7/1/04 @+ 517
5,110 Los Angeles, California, Sonnenblick Del
Rio, West Los Angeles, COP, AMBAC,
6.13%, 11/1/15 + 5,818
1,000 Los Angeles, California, Water & Power
Systems, Ser. B, Rev. FSA, 5.13%, 7/1/15 + 1,073
1,000 Los Angeles, California, Water & Power
Systems, Ser. B, Rev. FSA, 5.13%, 7/1/16 + 1,059
1,000 Modesto Irrigation District Financing
Authority, Ser. A, Rev., MBIA,
5.45%, 10/1/07 1,113
1,300 Mojave Unified School District School
Facilities Improvement District No. 1,
GO, FGIC, 5.25%, 8/1/18 1,362
1,255 Mountain View/Santa Clara County,
Capital Projects, COP, 5.00%, 8/1/14 + 1,334
1,385 Mountain View/Santa Clara County,
Capital Projects, COP, 5.25%, 8/1/16 + 1,476
1,485 Mountain View/Santa Clara County,
Capital Projects, COP, 5.25%, 8/1/18 + 1,569
$ 4,750 Northern California Power Agency,
California-Oregon Transportation Project,
Ser. A, Rev., MBIA, 7.00%, 5/1/13 $ 5,781
560 Northern California Power Agency,
Public Power, Ser. A, Rev., AMBAC,
5.80%, 7/1/09 642
1,000 Orange County Local Transportation
Authority, Measure M, 2nd Ser., Sales
Tax, Ser. A, Rev., MBIA, 5.25%, 2/15/05 1,057
2,000 Orange County Public Financing
Authority, Waste Management Systems,
Rev., AMBAC, 5.75%, 12/1/09 2,257
600 Pacifica, California, Street Improvement
Project, COP, AMBAC, 5.75%, 11/1/19 660
2,000 Pasadena, California, Old Pasadena
Packing Facilities Project, COP,
6.25%, 1/1/18 2,276
2,490 Pittsburg Redevelopment Agency,
Tax Allocation, Los Medanos Community
Development Project, Ser. A, MBIA,
5.25%, 8/1/15 2,730
425 Port of Oakland, Ser. K, Rev., FGIC,
5.25%, 11/1/07 468
360 Rancho Water District Financing Authority,
Ser. A, Rev., FSA, 5.50%, 8/1/10 405
1,210 Richmond, California, Taxable Limited
Obligation Pension, Ser. A, GO, MBIA,
7.02%, 8/1/05 1,316
35 Richmond, California, Wastewater, Rev.,
FGIC, 5.20%, 8/1/11 38
1,250 Riverside County Transportation
Commission, Sales Tax, Ser. A, Rev.,
FGIC, 6.00%, 6/1/09 1,436
250 Sacramento County Sanitation District,
Financing Authority, Ser. A, Rev.,
5.25%, 12/1/12 272
150 Sacramento County Sanitation District,
Financing Authority, Ser. A, Rev.,
5.75%, 12/1/10 172
1,200 Sacramento Regional County Sanitation
District, GO, 5.00%, 8/1/04 1,242
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,000 San Bernardino, California, Single Family
Mortgage, Ser. A, Rev., (p),
7.50%, 5/1/23 $ 1,294
1,200 San Diego County Regional Transportation
Commission, Sales Tax, 2nd Ser., Ser. A,
Rev., AMBAC, 6.00%, 4/1/06 1,325
1,170 San Francisco City & County Airports
Commission, International Airport,
Issue 27-B, 2nd Ser., Rev., FGIC,
5.25%, 5/1/13 1,263
1,000 San Francisco City & County Airports
Commission, Issue 15-B, 2nd Ser.,
Rev., FSA, 5.50%, 5/1/06 1,094
2,000 San Francisco City & County
Redevelopment Financing Authority,
San Francisco Redevelopment Project,
Tax Allocation, Ser. B, FGIC, 5.00%, 8/1/11 2,174
1,005 San Francisco City & County
Redevelopment Financing Authority,
San Francisco Redevelopment Project,
Tax Allocation, Ser. C, FGIC, 5.25%, 8/1/15 1,089
5,000 San Jose Financing Authority, Civic Center
Project, Ser. D, Adj., Rev., AMBAC,
5.00%, 6/1/38 5,398
1,240 San Jose Redevelopment Agency,
Merged Area Redevelopment Project,
Tax Allocation, MBIA, 6.00%, 8/1/07 1,407
3,000 San Jose Redevelopment Agency,
Merged Area Redevelopment Project,
Tax Allocation, MBIA, 6.00%, 8/1/15 3,498
4,000 San Marcos University Corp., Auxiliary
Organization, Rev. Adj., 3.35%, 7/1/32 4,123
585 San Mateo County Community College
District, Election of 2001, Ser. A, GO,
FGIC, 5.38%, 9/1/19 619
250 San Mateo County Joint Powers Authority,
Capital Projects Program, Rev., MBIA,
6.50%, 7/1/15 303
2,445 Santa Ana Financing Authority, Police
Administration & Holding Facility, Ser.
A, Rev., MBIA, 6.25%, 7/1/24 2,812
$ 1,000 Santa Clara County Financing Authority,
Ser. A, Rev., AMBAC, 5.75%, 11/15/13 $ 1,142
2,605 South Bayside Waste Management
Authority, Solid Waste System, Rev.,
AMBAC, 6.13%, 3/1/17 2,947
1,200 South Orange County Public Financing
Authority, Special Tax, Senior Lien, Ser. A,
(p), MBIA, 6.20%, 9/1/03 1,224
5,000 South Orange County Public Financing
Authority, Special Tax, Senior Lien, Ser. A,
MBIA, 5.00%, 9/1/12 5,408
3,725 Southern California Public Power
Authority, San Juan Unit 3, Power Project,
Ser. A, Rev., FSA, 5.50%, 1/1/14 4,146
1,000 Turlock Irrigation District, Ser. A, Rev.,
MBIA, 6.00%, 1/1/07 1,117
1,000 University of California, UC Medical
Center, Rev., AMBAC, 10.00%, 7/1/06 1,217
4,000 Walnut Valley Unified School District,
Ser. A, GO, MBIA, 7.20%, 2/1/16 4,885
--------------------------------------------------------------
138,621
--------------------------------------------------------------
CONNECTICUT -- 1.5%
2,040 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater,
9.68%, 12/15/09 + 2,526
MICHIGAN -- 1.3%
2,000 Michigan State Hospital Finance Authority,
Ascension Health Credit, Ser. B, Adj.,
Rev., 5.30%, 11/15/33 2,196
NEW YORK -- 0.6%
1,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 6/1/08 995
PUERTO RICO -- 8.2%
115 Puerto Rico Commonwealth, Public
Improvement, GO, 5.00%, 7/1/07 124
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PUERTO RICO -- CONTINUED
$ 1,280 Puerto Rico Commonwealth, Public
Improvement, GO, (p), MBIA-IBC,
3.00%, 7/1/06 $ 1,285
4,250 Puerto Rico Commonwealth, Public
Improvement, GO, MBIA-IBC,
6.00%, 7/1/29 4,647
2,500 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 7/1/18 2,683
3,000 Puerto Rico Electric Power Authority,
Ser. BB, Rev., MBIA, 6.00%, 7/1/11 3,474
125 Puerto Rico Electric Power Authority,
Ser. Z, Rev., 5.10%, 7/1/06 134
420 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 7/1/15 472
500 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 5.75%, 8/1/13 560
--------------------------------------------------------------
13,379
--------------------------------------------------------------
VIRGIN ISLANDS -- 0.2%
375 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Lien Notes,
Ser. A, Rev., 5.63%, 10/1/10 391
--------------------------------------------------------------
Total State and Municipal Obligations 158,108
(Cost $150,929)
--------------------------------------------------------------
<Caption>
SHARES ISSUER VALUE
- -----------------------------------------------------------------------------------
SHORT TERM INVESTMENTS -- 3.7%
MONEY MARKET FUND -- 3.7%
6,102 JPMorgan Tax Free Money Market Fund (a) $ 6,102
(Cost $6,102)
--------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 164,210
(COST $157,031)
--------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION) (USD)
- -------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
125 Eurodollar December, 2004 $ 30,350 $ 58
126 Eurodollar June, 2004 30,895 47
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
JPMorgan Intermediate Tax Free Income Fund
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.8%
STATE AND MUNICIPAL OBLIGATIONS -- 96.8%
ALABAMA -- 1.6%
$ 8,485 Alabama Public School & College
Authority, Capital Improvement,
Ser. D, Rev., 5.25%, 8/1/05 + $ 9,076
5,000 Jefferson County, Capital Improvements,
Ser. D., Rev., FGIC, (p), 5.00%, 8/1/12 + 5,434
10,360 Jefferson County, Capital Improvements,
Ser. D, Rev., (p), FGIC, 5.00%, 8/1/12 + 11,259
1,000 Shelby County Board of Education,
Capital Outlay School Warrants, AMBAC,
5.70%, 2/1/09 1,071
--------------------------------------------------------------
26,840
--------------------------------------------------------------
ARIZONA -- 0.4%
2,435 Arizona Health Facilities Authority,
Catholic Healthcare West, Ser. A, Rev.,
6.13%, 7/1/09 + 2,658
4,005 Phoenix IDA, Single Family Mortgage,
Ser. 2-A, Adj., Rev, 3.50%, 3/1/28 4,281
--------------------------------------------------------------
6,939
--------------------------------------------------------------
CALIFORNIA -- 9.7%
5,000 Alameda County, COP, Ser. A, MBIA,
5.38%, 12/1/10 + 5,616
1,725 Alvord Unified School District, Ser. A, GO,
MBIA, 5.90%, 2/1/17 + 1,979
3,520 Anaheim Public Financing Authority,
Convention Center Project, Ser. A, Rev.,
AMBAC, 5.50%, 8/1/11 + 3,946
1,795 Anaheim Public Financing Authority,
Distribution System, Ser. A, Rev., MBIA,
5.00%, 10/1/18 + 1,854
2,180 Anaheim Public Financing Authority,
Electric System Generation, Ser. B, Rev.,
FSA, 5.25%, 10/1/14 + 2,366
1,840 California State Department of Water
Resources, Central Valley Project, Ser. J-1,
Adj., Rev, 7.00%, 12/1/12 + 2,245
500 California State Department of Water
Resources, Central Valley Project, Ser. J-1,
Rev., (p), 7.00%, 12/1/12 + 620
$ 9,485 California Statewide Communities
Development Authority, Catholic
Healthcare West, COP, 6.00%, 7/1/09 + $ 10,381
3,145 Calleguas-Las Virgines Public Financing
Authority, Water District, Ser. B, Rev.,
MBIA, 5.25%, 7/1/15 + 3,404
3,310 Calleguas-Las Virgines Public Financing
Authority, Water District, Ser. B, Rev.,
MBIA, 5.25%, 7/1/16 + 3,553
1,855 Calleguas-Las Virgines Public Financing
Authority, Water District, Ser. B, Rev.,
MBIA, 5.25%, 7/1/19 + 1,944
1,500 Calleguas-Las Virgines Public Financing
Authority, Water District, Ser. B, Rev.,
MBIA, 5.25%, 7/1/20 + 1,560
4,265 Coast Community College District,
Election 2002, Ser. A, GO, MBIA, 5.00%,
8/1/17 + 4,439
2,435 Coast Community College District,
Election 2002, Ser. A, GO, MBIA, 5.00%,
8/1/20 + 2,476
2,000 Coast Community College District,
Election 2002, Ser. A, GO, MBIA, 5.00%,
8/1/21 + 2,018
10,435 Contra Costa Water District, Ser. K, Rev.,
FSA, 5.50%, 10/1/14 + 11,531
1,115 Gilroy Unified School District, Measure J
Capital Projects, COP, MBIA, 5.50%,
9/1/11 + 1,251
1,000 Los Angeles Community Redevelopment
Agency, Tax Allocation, Hollywood
Redevelopment Project, Ser. C, MBIA,
5.50%, 7/1/16 + 1,115
3,000 Los Angeles County Metropolitan
Transportation Authority, Sales Tax,
1st Ser., Ser. B, Rev., FSA, 5.25%, 7/1/11 + 3,310
2,500 Los Angeles County Public Works
Financing Authority, Ser. A, Rev., MBIA,
6.00%, 9/1/06 + 2,797
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,675 Los Angeles Unified School District,
Election of 1997, Ser. E, GO, MBIA, 5.00%,
7/1/11 + $ 1,820
1,015 Los Angeles Unified School District,
Ser. A, GO, FGIC, 6.00%, 7/1/08 + 1,165
7,555 Los Angeles Unified School District,
Ser. A, GO, MBIA, 5.38%, 7/1/17 + 8,115
1,805 Los Angeles Unified School District,
Ser. B, GO, (p), FGIC, 5.38%, 7/1/08 + 2,055
4,090 Los Angeles Unified School District,
Ser. D, GO, (p), FGIC, 5.50%, 7/1/10 + 4,649
4,825 Los Angeles, California, Ser. A, GO, (p),
5.00%, 9/1/11 + 5,287
3,000 Oakland Redevelopment Agency, Central
District Redevelopment, Tax Allocation,
FGIC, 5.50%, 9/1/18 3,221
7,895 Oakland Redevelopment Agency, Central
District Redevelopment, Tax Allocation,
FGIC, 5.50%, 9/1/19 8,414
1,460 Pleasant Valley School District-Ventura
County, Ser. A, GO, MBIA, 5.85%, 2/1/18 1,670
3,150 Rancho Santiago Community College,
Election of 2002, Ser. A, GO, MBIA, 5.00%,
9/1/16 3,308
17,075 San Jose Financing Authority, Civic Center
Project, Ser. D, Adj., Rev., AMBAC, 5.00%,
6/1/38 18,435
2,045 San Marcos Public Facilities Authority,
Tax Allocation, Project Areas No. 1-2-3,
Ser. A, FGIC, 5.25%, 8/1/17 2,177
2,835 Solano County, COP, MBIA, 5.00%,
11/1/11 3,089
2,000 Solano County, COP, MBIA, 5.25%,
11/1/13 2,184
2,000 Solano County, COP, MBIA, 5.25%,
11/1/16 2,146
5,500 Southern California Public Power
Authority, Power Project, San Juan Power,
Ser. B, Adj., Rev., FSA, 5.25%, 1/1/20 5,996
5,150 Southern California Public Power
Authority, San Juan Unit 3, Power Project,
Ser. A, Rev., FSA, 5.38%, 1/1/12 5,679
$ 5,000 Southern California Public Power
Authority, San Juan Unit 3, Power Project,
Ser. A, Rev., FSA, 5.50%, 1/1/13 $ 5,564
3,205 Southern California Public Power
Authority, San Juan Unit 3, Power Project,
Ser. A, Rev., FSA, 5.50%, 1/1/14 3,567
1,295 Tulare County, Ser. G, Rev., 6.40%,
6/1/14 (i)+ 1,295
--------------------------------------------------------------
158,241
--------------------------------------------------------------
COLORADO -- 0.3%
1,000 La Plata County School District No. 9-R,
Durango, GO, MBIA, 5.00%, 11/1/10 + 1,097
1,000 La Plata County School District No. 9-R,
Durango, GO, MBIA, 5.25%, 11/1/14 + 1,092
1,000 La Plata County School District No. 9-R,
Durango, GO, MBIA, 5.25%, 11/1/15 + 1,083
1,000 La Plata County School District No. 9-R,
Durango, GO, MBIA, 5.25%, 11/1/16 + 1,073
1,000 La Plata County School District No. 9-R,
Durango, GO, MBIA, 5.25%, 11/1/18 + 1,055
--------------------------------------------------------------
5,400
--------------------------------------------------------------
CONNECTICUT -- 2.6%
4,735 Connecticut State Special Tax,
Transportation Infrastructure, Tax
Obligation, Ser. A, Rev., TRAN, (p), FGIC,
5.40%, 6/1/05 + 5,115
19,405 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater, 9.68%,
12/15/09 + 24,031
7,240 Connecticut State, Ser. B, GO, (p), 5.88%,
6/15/10 + 8,340
3,905 Waterbury, Connecticut, Ser. A, GO, FSA,
5.50%, 4/1/13 4,313
--------------------------------------------------------------
41,799
--------------------------------------------------------------
DISTRICT OF COLUMBIA -- 1.8%
770 District of Columbia, Ser. A, GO, (p),
MBIA-IBC, 6.00%, 6/1/07 + 874
6,465 District of Columbia, Ser. A, GO, MBIA,
5.00%, 6/1/14 + 6,814
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
DISTRICT OF COLUMBIA -- CONTINUED
$ 11,455 District of Columbia, Ser. A, GO, MBIA,
5.00%, 6/1/15 + $ 11,970
2,450 District of Columbia, Ser. A, GO, MBIA-IBC,
6.00%, 6/1/07 + 2,752
6,795 District of Columbia, Ser. C, GO, (p), FGIC,
5.25%, 12/1/03 + 6,865
--------------------------------------------------------------
29,275
--------------------------------------------------------------
FLORIDA -- 3.1%
2,610 Coral Springs Improvement District,
Water & Sewer, GO, MBIA,
6.00%, 6/1/10 + 2,899
1,750 Dade County, Aviation, Ser. B, Rev.,
AMBAC, 6.40%, 10/1/06 + 1,868
1,495 Florida State Board of Education, Capital
Outlay, Public Education, Ser. B, GO,
5.25%, 6/1/12 + 1,642
2,000 Florida State Department of Corrections,
Okeechobee Correctional, COP, AMBAC,
6.00%, 3/1/08 + 2,151
30,000 Orlando Utilities Commission, Water &
Electric, Multi-Modal, Ser. A, Adj.,
Rev., 4.10%, 10/1/23 31,882
10,250 Orlando Utilities Commission, Water &
Electric, Ser. A, Rev., BAN, 3.25%,
9/1/03 (i) 10,251
--------------------------------------------------------------
50,693
--------------------------------------------------------------
GEORGIA -- 1.9%
1,720 Forsyth County School District, GO,
5.00%, 7/1/12 + 1,849
2,630 Fulton County School District, GO,
6.38%, 5/1/14 + 3,147
1,250 Georgia Municipal Electric Authority,
Power, Ser. A, Rev., 6.50%, 1/1/12 + 1,444
5,000 Georgia Municipal Electric Authority,
Power, Ser. DD, Rev., MBIA-IBC, 7.00%,
1/1/08 + 5,848
6,000 Georgia State, Ser. B, GO, 7.20%,
3/1/07 + 6,961
$ 3,000 Georgia State, Ser. B, GO, 6.30%,
3/1/10 + $ 3,502
2,500 Gwinnette County School District, Ser. B,
GO, 6.40%, 2/1/08 + 2,880
5,000 Metropolitan Atlanta Rapid
Transportation Authority, Ser. P, Rev.,
AMBAC, 6.25%, 7/1/11 + 5,890
--------------------------------------------------------------
31,521
--------------------------------------------------------------
HAWAII -- 0.1%
2,000 Honolulu City & County, Ser. A, GO,
7.35%, 7/1/06 + 2,288
ILLINOIS -- 4.7%
1,500 Chicago Metropolitan Water Reclamation
District, Capital Improvement Bonds, GO,
(p), 7.00%, 1/1/08 + 1,768
10,000 Chicago Metropolitan Water Reclamation
District, Capital Improvement Bonds, GO,
(p), 5.50%, 12/1/12 + 11,245
10,025 Chicago Metropolitan Water Reclamation
District, GO, 5.50%, 12/1/09 + 11,301
6,055 Chicago O'Hare International Airport,
Passenger Facilities Charge, Ser. A, Rev.,
AMBAC, 5.38%, 1/1/07 + 6,551
1,245 Chicago Park District, Harbor Facilities,
Rev., (p), 5.38%, 1/1/06 + 1,345
4,150 Chicago, Wastewater Transmission,
Second Lien, Rev., MBIA, 5.50%, 1/1/18 + 4,579
2,882 Illinois Development Finance Authority,
IDR, Rev. 4.90%, 8/1/28 (i)+ 3,022
12,970 Illinois Educational Facilities Authority,
DePaul University, Ser. A, Rev., AMBAC,
5.00%, 9/1/18 + 13,154
1,665 Illinois Health Facilities Authority, Rev.,
6.63%, 2/15/12 + 1,883
3,770 Illinois Health Facilities Authority,
Riverside Health Systems, Rev., 6.75%,
11/15/10 + 4,352
1,810 Illinois State, 1st Ser., GO, 5.25%,
8/1/05 + 1,935
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 2,565 Illinois State, 1st Ser., GO, 5.50%,
8/1/06 + $ 2,814
4,000 Illinois State, 1st Ser., GO, 5.50%,
8/1/07 + 4,439
770 Illinois State, GO, 5.50%, 8/1/06 + 810
2,000 Illinois State, GO, (p), MBIA, 5.25%,
6/1/08 + 2,252
50 Metropolitan Pier & Exposition Authority,
Dedicated State Tax, Ser. A-2002, Rev.,
8.50%, 6/15/06 + 59
1,330 Metropolitan Pier & Exposition Authority,
Dedicated State Tax, Ser. A-2002, Rev.,
(p), 8.50%, 6/15/06 + 1,568
1,000 Regional Transportation Authority, Ser. B,
GO, AMBAC, 6.40%, 6/1/12 1,175
2,810 Regional Transportation Authority, Ser. D,
Rev., FGIC, 7.75%, 6/1/07 3,324
--------------------------------------------------------------
77,576
--------------------------------------------------------------
INDIANA -- 1.3%
10,560 Indiana Housing Finance Authority, Single
Family Mortgage, Ser. B-2, Rev., 4.00%,
1/1/34 + 11,031
10,615 Indiana Housing Finance Authority, Single
Family Mortgage, Ser. D-2, Rev., 3.60%,
1/1/32 + 10,654
--------------------------------------------------------------
21,685
--------------------------------------------------------------
IOWA -- 0.5%
2,095 Iowa Finance Authority, Hospital Facilities,
Rev., 6.75%, 2/15/15 + 2,302
2,385 Iowa Finance Authority, Hospital Facilities,
Rev., 6.75%, 2/15/16 + 2,613
2,440 Iowa Finance Authority, Hospital Facilities,
Rev., 6.75%, 2/15/17 + 2,653
--------------------------------------------------------------
7,568
--------------------------------------------------------------
KENTUCKY -- 0.0% ^
40 Owensboro, Kentucky, Electric Light &
Power, Rev., (p), 10.50%, 1/1/04 41
LOUISIANA -- 0.2%
$ 3,500 Lake Charles Harbor & Terminal
District, Reynolds Metals Co. Project,
Rev., 5.50%, 5/1/06 + $ 3,500
MARYLAND -- 1.4%
3,000 Maryland State Stadium Authority, Lease,
Convention Center Expansion, Rev.,
AMBAC, 5.75%, 12/15/08 + 3,208
3,000 Maryland State Stadium Authority, Lease,
Convention Center Expansion, Rev.,
AMBAC, 5.80%, 12/15/09 + 3,210
6,500 Maryland State Transportation Authority,
Transportation Facilities Project, Special
Obligation, Rev., 5.80%, 7/1/06 + 7,173
9,238 State of Maryland, Tax Exempt MSR
Lease, 5.19%, 7/1/16 (i) 9,854
--------------------------------------------------------------
23,445
--------------------------------------------------------------
MASSACHUSETTS -- 4.5%
5,650 Massachusetts Bay Transportation
Authority, General Transportation
Systems, Ser. A, Rev., 7.00%, 3/1/08 + 6,617
2,045 Massachusetts Bay Transportation
Authority, General Transportation
Systems, Ser. A, Rev., MBIA,
5.50%, 3/1/14 + 2,262
6,750 Massachusetts Health and Educational
Facilities Authority, Harvard University,
Ser. Z, Rev., 5.00%, 1/15/07 + 7,314
1,420 Massachusetts State College Building
Authority, Ser. A, Rev., 7.50%, 5/1/11 + 1,769
10,000 Massachusetts State Turnpike Authority,
Ser. A, Rev., (p), 5.00%, 1/1/13 + 10,858
9,500 Massachusetts State Water Pollution
Abatement, MWRA Program, Sub Ser. A,
Rev., 6.00%, 8/1/15 + 10,639
2,000 Massachusetts State Water Resources
Authority, Ser. A, Rev., FSA, 5.50%,
8/1/13 + 2,234
3,000 Massachusetts State Water Resources
Authority, Ser. C, Rev., FGIC, 5.25%,
12/1/15 + 3,283
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -----------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MASSACHUSETTS -- CONTINUED
$ 5,000 Massachusetts State, CONS, Ser. C,
GO, (p), 5.75%, 10/1/10 + $ 5,683
18,545 Massachusetts State, Federal Highway,
Ser. A, Rev., GAN, FSA, 5.75%, 12/15/12 + 20,821
1,210 Southeastern Massachusetts University
Building Authority, Ser. A, Rev., AMBAC,
5.90%, 5/1/09 1,309
1,000 Southeastern Massachusetts University
Building Authority, Ser. A, Rev., AMBAC,
5.90%, 5/1/10 1,081
--------------------------------------------------------------
73,870
--------------------------------------------------------------
MICHIGAN -- 6.4%
3,910 Grand Rapids, Michigan, Water Supply,
Rev., FGIC, 5.75%, 1/1/13 + 4,354
13,050 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. A, Rev., (p), MBIA, 6.25%, 11/15/09 + 15,491
10,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Adj., Rev., 5.30%, 11/15/33 + 10,981
2,905 Michigan State Hospital Finance
Authority, Mercy Health Services, Ser.
T, Rev., 5.75%, 8/15/04 + 3,015
3,755 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
5.50%, 12/1/05 + 4,060
4,160 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
6.00%, 12/1/11 + 4,682
4,405 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
6.00%, 12/1/12 + 4,929
10,750 Michigan State Trunk Line, Ser. A, Rev.,
5.25%, 11/1/13 + 11,783
3,565 Michigan State Underground Storage
Tank Financial Assurance Authority,
Ser. I, Rev., AMBAC, 5.75%, 5/1/10 + 3,887
9,000 Michigan Strategic Fund, Dow Chemical
Project, Rev., Adj., 4.60%, 6/1/14 + 9,115
$ 16,000 Monroe County Economic
Development Corp., Limited Obligation,
Detroit Edison Co., Ser. CC, Rev., Adj.
AMBAC, 4.65%, 10/1/24 + $ 16,824
10,000 Wayne Charter County, Detroit
Metropolitan, Wayne Charter Airport,
Ser. A, Rev., MBIA, 5.25%, 12/1/06 10,864
3,780 Wayne Charter County, Detroit
Metropolitan, Wayne Charter Airport,
Ser. A, Rev., MBIA, 5.50%, 12/1/07 4,185
--------------------------------------------------------------
104,170
--------------------------------------------------------------
MINNESOTA -- 0.9%
5,000 University of Minnesota, Ser. A, Rev.,
5.75%, 7/1/10 5,678
8,000 University of Minnesota, Ser. A, Rev.,
5.75%, 7/1/15 9,120
--------------------------------------------------------------
14,798
--------------------------------------------------------------
MISSISSIPPI -- 1.3%
2,505 Mississippi Higher Education Assistance
Corp., Ser. B, Rev., 5.60%, 9/1/04 + 2,536
4,000 Mississippi State, Capital Improvements
Issue, Ser. I, GO, (p), 5.50%, 11/1/06 + 4,446
2,000 Mississippi State, GO, 5.75%, 12/1/12 + 2,272
10,870 Mississippi State, GO, (p), 6.20%,
2/1/08 + 12,390
--------------------------------------------------------------
21,644
--------------------------------------------------------------
MISSOURI -- 1.9%
17,685 Missouri Housing Development
Commission, Homeowner Loan Program,
Single Family Mortgage, Ser. C-1, Adj.,
Rev., 3.50%, 9/1/34 + 18,664
9,750 Missouri Housing Development
Commission, Homeowner Loan Program,
Single Family Mortgage, Ser. B-1, Adj.,
Rev., 3.50%, 9/1/34 + 10,248
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MISSOURI -- CONTINUED
$ 1,105 Missouri State Environmental
Improvement & Energy Resources
Authority, State Revolving Funds
Program, Ser. B, Rev., 5.50%, 7/1/12 + $ 1,242
1,265 Missouri State Health & Educational
Facilities Authority, University of
Missouri, Columbia Arena Project, Rev.,
5.00%, 11/1/11 + 1,379
----------------------------------------------------------------------
31,533
----------------------------------------------------------------------
NEBRASKA -- 0.3%
5,245 NEBHELP, Inc., Sub Ser. A-5B, Rev.,
MBIA, 6.20%, 6/1/13 5,628
NEVADA -- 0.6%
8,200 Clark County School District, Ser. A, GO,
MBIA, 7.00%, 6/1/11 + 9,904
NEW HAMPSHIRE -- 0.3%
4,900 New Hampshire Higher Educational &
Health Facilities Authority, Dartmouth
College, Rev., 6.75%, 6/1/07 5,652
NEW JERSEY -- 2.2%
3,245 Elizabeth, New Jersey, GO, AMBAC,
6.25%, 8/15/08 + 3,562
955 New Jersey Economic Development
Authority, Market Transition Facility,
Senior Lien, Ser. A, Rev., (p), MBIA,
5.80%, 7/1/04 1,011
3,490 New Jersey State Turnpike Authority,
Rev., (p), 5.70%, 5/1/13 3,902
3,260 New Jersey State Turnpike Authority, Ser.
G, Rev., (p), 5.75%, 1/1/09 3,586
10,000 New Jersey State, GO, 5.50%, 5/1/07 11,090
2,630 New Jersey Transportation Trust Fund
Authority, Ser. B, Rev., (p), MBIA, 5.50%,
6/15/05 2,876
$ 4,570 New Jersey Transportation Trust Fund
Authority, Transportation Systems, Ser. A,
Rev., 5.75%, 6/15/15 $ 5,167
4,370 New Jersey Transportation Trust Fund
Authority, Transportation Systems, Ser.
B, Rev., MBIA, 5.50%, 6/15/09 4,721
----------------------------------------------------------------------
35,915
----------------------------------------------------------------------
NEW MEXICO -- 0.8%
5,570 New Mexico Mortgage Finance Authority,
Single Family Mortgage, Ser. A-2, Rev.,
5.25%, 3/1/34 5,876
3,000 New Mexico Mortgage Finance Authority,
Single Family Mortgage, Ser. D, Adj.,
Rev., 3.25%, 9/1/33 + 3,219
3,125 New Mexico Mortgage Finance Authority,
Single Family Mortgage, Ser. PG, Class
C-2, Rev., 4.70%, 9/1/33 3,199
----------------------------------------------------------------------
12,294
----------------------------------------------------------------------
NEW YORK -- 12.5%
1,500 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA, 5.50%,
12/1/13 + 1,704
22,630 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev., 5.50%,
7/1/17 + 24,594
5,000 Metropolitan Transportation Authority,
Service Contract, Ser. B, Rev., FGIC,
5.25%, 7/1/09 + 5,546
24,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., Adj., 5.50%, 11/1/26 26,500
11,500 New York City, New York, Ser. G, GO,
5.50%, 8/1/09 12,556
10,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 6.50%, 12/1/04 10,188
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 6,300 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 6/1/08 $ 6,271
5,000 New York State Dormitory Authority,
Personal Income Tax, Rev., FSA, 5.50%,
3/15/16 5,488
6,035 New York State Dormitory Authority,
School Districts Financing Program,
Ser. A, Rev., MBIA, 5.25%, 10/1/07 6,691
4,025 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FGIC, 5.50%, 5/15/13 4,484
1,500 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FSA, 5.50%, 5/15/13 1,671
8,152 New York State Dormitory Authority,
State University of New York, Stoney
Brook University, Rev., 3.92%, 3/27/07 (i)+ 8,385
3,345 New York State Environmental Facilities
Corp., New York City Municipal Water
Project, Clean Water & Drinking, State
Revolving Funds, Ser. D, Rev., 5.38%,
6/15/13 3,668
6,600 New York State Environmental Facilities
Corp., New York City Municipal Water
Project, Clean Water & Drinking, State
Revolving Funds, Ser. D, Rev., 5.38%,
6/15/16 7,151
5,040 New York State Environmental Facilities
Corp., New York City Municipal Water
Project, Clean Water & Drinking, State
Revolving Funds, Ser. D, Rev., 5.38%,
6/15/16 5,472
7,745 New York State Environmental Facilities
Corp., New York City Municipal Water
Project, Clean Water & Drinking, State
Revolving Funds, Ser. D, Rev., 5.38%,
6/15/17 8,327
$ 8,325 New York State Environmental Facilities
Corp., New York City Municipal Water
Project, Clean Water & Drinking, State
Revolving Funds, Ser. D, Rev., 5.38%,
6/15/18 $ 8,894
8,055 New York State Environmental Facilities
Corp., State Revolving Funds, New York
City Municipal Project, Clean Water &
Drinking, Sub Ser. E, Rev., 5.38%, 7/15/19 8,539
4,335 New York State Housing Finance Agency,
Housing Project Mortgage, Ser. A, Rev.,
FSA, 5.40%, 11/1/05 4,630
3,950 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. A,
Rev., FGIC, 5.25%, 4/1/10 4,350
700 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. B,
Rev., (p), FGIC, 6.00%, 4/1/04 734
10,000 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., AMBAC, 5.50%, 4/1/11 11,132
5,000 New York State Thruway Authority, Local
Highway & Bridge, Service Contract, Rev.,
5.10%, 4/1/08 5,438
10,000 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., 5.20%, 4/1/09 10,867
5,000 New York State, Ser. B, GO, 5.70%,
8/15/10 5,383
3,910 Port Authority of New York & New Jersey,
Consolidated Bonds, 112th Ser., Rev.,
5.00%, 12/1/05 4,159
----------------------------------------------------------------------
202,822
----------------------------------------------------------------------
NORTH CAROLINA -- 1.9%
2,000 Cabarrus County, Installment Financing
Contract, COP, 5.75%, 4/1/11 + 2,263
2,000 Cabarrus County, Installment Financing
Contract, COP, 5.75%, 4/1/12 + 2,281
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NORTH CAROLINA -- CONTINUED
$ 9,155 North Carolina Municipal Power Agency
No. 1, Catawba Electric, Ser. B, Rev.,
AMBAC, 6.00%, 1/1/08 $ 10,353
8,900 North Carolina Municipal Power Agency
No. 1, Catawba Electric, Ser. B, Rev.,
6.13%, 1/1/06 9,613
6,275 North Carolina Municipal Power Agency
No. 1, Catawba Electric, Ser. B, Rev.,
6.25%, 1/1/07 6,890
----------------------------------------------------------------------
31,400
----------------------------------------------------------------------
NORTH DAKOTA -- 0.6%
8,925 North Dakota State Housing Finance
Agency, Housing Finance Program, Ser.
C, Rev., 5.55%, 1/1/31 9,200
OHIO -- 3.2%
8,690 Columbus, Ohio, Ser. 1, GO, 5.25%,
11/15/05 + 9,409
6,000 Columbus, Ohio, Ser. 1, GO, 5.50%,
11/15/06 + 6,665
4,000 Montgomery County, Solid Waste, Rev.,
MBIA, 5.50%, 11/1/10 + 4,368
3,360 Ohio State Building Authority, Adult
Correctional State Facilities, Ser. A, Rev.,
(p), MBIA, 5.75%, 10/1/04 3,563
6,000 Ohio State Turnpike Commission, Ser. A,
Rev., (p), MBIA, 5.40%, 2/15/06 6,627
17,000 Ohio State Turnpike Commission, Ser. A,
Rev., (p), MBIA, 5.50%, 2/15/06 18,816
2,100 Ohio State Water Development Authority,
Rev., (p), 9.38%, 12/1/10 2,536
----------------------------------------------------------------------
51,984
----------------------------------------------------------------------
OKLAHOMA -- 0.4%
7,000 Oklahoma Housing Finance Agency,
Single Family Mortgage, Ser. B-1, Adj,
Rev., 3.50%, 9/1/33 7,301
OREGON -- 0.8%
$ 3,000 Oregon State Department of
Transportation, Highway User Tax, Ser. A,
Rev., 5.50%, 11/15/19 $ 3,213
5,300 Oregon State, State Board of Higher
Education, Ser. A, GO, (p), 6.00%, 8/1/06 6,020
3,000 Washington County, Union High School
District No. 3, Hillsboro, GO, (p), MBIA,
6.00%, 11/1/05 3,293
----------------------------------------------------------------------
12,526
----------------------------------------------------------------------
PENNSYLVANIA -- 3.1%
19,024 Pennsylvania Higher Education, 4.64%,
4/30/09 (i) 19,765
13,755 Pennsylvania Housing Finance Agency,
Single Family Housing, Ser. 73-A, Rev.,
5.25%, 4/1/33 14,328
2,800 Pennsylvania State Higher Educational
Facilities Authority, University of
Pennsylvania, Health Services, Ser. A,
Rev., 6.00%, 1/1/06 3,017
2,000 Pennsylvania State Higher Educational
Facilities Authority, University of
Pennsylvania, Health Services, Ser. A,
Rev., 6.00%, 1/1/07 2,150
7,645 Pennsylvania State University, Rev.,
5.00%, 3/1/07 8,304
3,500 Philadelphia Authority, IDR, Rev., 2.15%,
1/1/18 (i) 3,435
----------------------------------------------------------------------
50,999
----------------------------------------------------------------------
PUERTO RICO -- 2.6%
5,500 Puerto Rico Commonwealth, GO,
MBIA-IBC, 5.50%, 7/1/09 6,216
29,350 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 7/1/18 31,493
5,105 Puerto Rico Highway & Transportation
Authority, Ser. F, Rev., 5.00%, 7/1/08 5,513
----------------------------------------------------------------------
43,222
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SOUTH CAROLINA -- 2.6%
$ 1,000 Piedmont Municipal Power Agency,
Electric, Rev., (p), MBIA, 6.20%, 1/1/08 $ 1,146
15,000 Piedmont Municipal Power Agency,
Electric, Rev., FGIC, 6.75%, 1/1/20 @ 18,207
5,500 South Carolina Jobs & Economic
Development Authority, Hospital Facilities
Improvement, Palmetto Health Alliance,
Ser. A, Rev., (p), 7.00%, 12/15/10 6,666
3,000 South Carolina Jobs & Economic
Development Authority, Hospital Facilities
Improvement, Palmetto Health Alliance,
Ser. A, Rev., (p), 7.13%, 12/15/10 3,696
3,140 South Carolina State Housing Finance &
Development Authority, Ser. A, Rev.,
AMBAC, 3.60%, 7/1/33 3,129
10,310 South Carolina State, State School
Facilities, Ser. A, GO, 4.25%, 1/1/15 10,329
----------------------------------------------------------------------
43,173
----------------------------------------------------------------------
SOUTH DAKOTA -- 0.4%
6,615 South Dakota Housing Development
Authority, Ser. E, Rev., 5.00%, 5/1/28 + 7,004
TENNESSEE -- 0.8%
3,320 Knox County, Public Improvement, GO, (p),
6.00%, 5/1/08 + 3,840
3,500 Knox County, Public Improvement, GO, (p),
6.00%, 5/1/08 + 4,048
5,335 Tennergy Corp., Gas, Rev., MBIA, 5.00%,
6/1/09 5,825
----------------------------------------------------------------------
13,713
----------------------------------------------------------------------
TEXAS -- 9.4%
3,205 Alvin Independent School District, 1.79%,
2/15/22 (i)+ 3,265
3,375 Alvin Independent School District, 3.58%,
2/15/23 (i)+ 3,438
3,550 Alvin Independent School District, 4.00%,
2/15/24 (i)+ 3,691
3,735 Alvin Independent School District, 2.00%,
2/15/25 (i)+ 3,883
$ 2,000 Austin Independent School District,
Public Property Finance Contractual
Obligation, GO, MBIA, 5.25%, 2/1/08 + $ 2,205
5,255 Austin, Texas, Utility Systems, Rev.,
MBIA-IBC, 5.80%, 11/15/06 + 5,877
18,495 Beaumont Water & Sewer, Rev., 3.50%,
9/1/23 (i)+ 18,772
1,305 Dallas County Flood Control District, GO,
(p), 9.25%, 4/1/08 + 1,670
6,200 Dallas, Texas, Civic Center, Improvement,
Rev., MBIA, 5.25%, 8/15/07 + 6,849
2,505 Duncanville Independent School District,
Capital Appreciation, GO, 0.00%,
2/15/28 + 2,617
6,220 Harris County, GO, 5.88%, 10/1/07 + 7,044
8,675 Houston, Texas, Ser. A, GO, 5.50%,
3/1/08 + 9,673
5,000 Humble Independent School District,
Ser. C, GO, 0.00%, 2/15/16 + 2,681
5,880 Humble Independent School District,
Ser. C, GO, 0.00%, 2/15/17 + 2,964
1,520 Katy Independent School District, Ser. A,
GO, 5.00%, 2/15/11 + 1,641
5,875 Lubbock Health Facilities Development
Corp., St. Joseph Health Systems, Rev.,
5.25%, 7/1/11 + 6,151
7,500 Pearland Independent School District,
4.27%, 2/15/25 (i) 7,744
7,500 Pearland Independent School District,
Unlimited Tax, 4.27%, 2/15/24 (i) 7,585
5,950 Texas Department of Housing &
Community Affairs, Single Family Housing,
Ser. B, Rev., MBIA, 5.35%, 3/1/33 6,194
10,025 Texas Public Building Authority, Capital
Appreciation, Rev., (p), MBIA, 0.00%,
8/1/06 9,434
7,375 Texas State Department of Housing &
Community Affairs, Residential Mortgage,
Ser. A, Rev., 4.75%, 1/1/25 7,753
7,500 Texas State, Ser. A, GO, 6.00%, 10/1/09 8,633
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 4,700 Texas Water Development Board, State
Revolving Fund, Senior Lien, Ser. A,
Rev., 5.00%, 7/15/07 $ 5,132
3,000 Texas Water Development Board, State
Revolving Fund, Senior Lien, Ser. A, Rev.,
5.25%, 7/15/09 3,281
1,000 Texas Water Development Board, State
Revolving Fund, Senior Lien, Ser. A, Rev.,
5.63%, 7/15/11 1,100
3,175 Texas Water Development Board, State
Revolving Fund, Senior Lien, Ser. B, Rev.,
5.25%, 7/15/08 3,484
7,385 Tomball Independent School District,
Ser. B, 4.27%, 2/15/26 (i) 7,385
3,270 Tomball Independent School District,
U.T. Schoolhouse, 2.68%, 2/15/23 (i) 3,311
----------------------------------------------------------------------
153,457
----------------------------------------------------------------------
UTAH -- 0.5%
3,800 Intermountain Power Agency, Utah Power
Supply, Ser. B, Rev., MBIA, 6.50%,
7/1/10 + 4,452
10 Salt Lake City, Utah, GO, 5.50%, 6/15/11 11
2,840 Salt Lake City, Utah, GO, (p), 5.50%,
6/15/10 3,207
----------------------------------------------------------------------
7,670
----------------------------------------------------------------------
VERMONT -- 0.8%
4,100 Burlington, Vermont, Electric, Ser. A, Rev.,
MBIA, 6.38%, 7/1/09 + 4,770
3,510 Vermont State, Ser. A, GO, (p), 6.40%,
1/15/05 3,821
3,510 Vermont State, Ser. A, GO, (p), 6.50%,
1/15/05 3,825
----------------------------------------------------------------------
12,416
----------------------------------------------------------------------
VIRGIN ISLANDS -- 0.7%
2,500 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Lien Notes, Ser. A,
Rev., 5.63%, 10/1/10 2,606
$ 5,000 Virgin Islands Public Finance
Authority, Senior Lien, Fund Lien Notes,
Ser. C, Rev., 5.50%, 10/1/06 $ 5,389
3,070 Virgin Islands Water & Power Authority,
Electric Systems, Rev., 5.25%, 7/1/07 3,265
----------------------------------------------------------------------
11,260
----------------------------------------------------------------------
VIRGINIA -- 2.4%
5,415 Chesapeake Bay Bridge & Tunnel
Commission, General Resolution, Rev.,
(p), FGIC, 5.75%, 7/1/05 + 5,955
7,060 Virginia Commonwealth Transportation
Board, Federal Highway Reimbursement
Anticipation Note, Rev., 5.50%, 10/1/05 7,642
3,135 Virginia Commonwealth Transportation
Board, Federal Highway Reimbursement
Anticipation Note, Rev., 5.50%, 10/1/06 3,471
20,355 Virginia Commonwealth Transportation
Board, Federal Highway Reimbursement
Anticipation Note, Rev., 5.50%, 10/1/08 22,995
----------------------------------------------------------------------
40,063
----------------------------------------------------------------------
WASHINGTON -- 3.3%
1,245 Conservation & Renewable Energy
System, Conservation Project, Rev.,
5.00%, 10/1/10 + 1,339
1,000 Conservation & Renewable Energy
System, Conservation Project, Rev.,
5.00%, 10/1/11 + 1,065
1,380 Conservation & Renewable Energy
System, Conservation Project, Rev.,
5.00%, 10/1/12 + 1,460
2,865 Conservation & Renewable Energy
System, Conservation Project, Rev.,
5.00%, 10/1/13 + 3,017
1,505 Conservation & Renewable Energy
System, Conservation Project, Rev.,
5.00%, 10/1/14 + 1,576
34,000 Energy Northwest, Washington Electric,
Ser. B, Rev., MBIA, 5.50%, 7/1/18 + 37,985
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
WASHINGTON -- (CONTINUED)
$ 115 Washington Public Power Supply System,
Nuclear Project No. 2, Ser. A, Rev.,
7.25%, 7/1/06 $ 131
1,885 Washington Public Power Supply System,
Nuclear Project No. 2, Ser. A, Rev., (p),
7.25%, 7/1/06 2,163
4,500 Washington State, Ser. B & AT-7, GO,
6.40%, 6/1/17 5,381
----------------------------------------------------------------------
54,117
----------------------------------------------------------------------
WISCONSIN -- 2.0%
1,245 Milwaukee County, Corporate Purpose,
Ser. A, GO, 5.38%, 9/1/05 + 1,338
2,350 Milwaukee County, Corporate Purpose,
Ser. A, GO, 5.63%, 9/1/10 + 2,623
6,250 Wisconsin Health & Educational Facilities
Authority, Ser. 1999-C, Rev., 5.70%,
5/1/14 (i) 6,444
6,250 Wisconsin Health & Educational Facilities
Authority, Ser. 1999-D, Rev., 5.95%,
5/1/19 (i) 6,540
1,000 Wisconsin State, GO, 6.25%, 5/1/12 1,162
2,775 Wisconsin State, Ser. 1, GO, 5.00%,
11/1/07 3,045
6,275 Wisconsin State, Ser. 1, GO, 5.50%,
11/1/11 7,004
4,450 Wisconsin State, Ser. 3, GO, 5.20%,
11/1/09 4,933
----------------------------------------------------------------------
33,089
----------------------------------------------------------------------
Total State and Municipal Obligations
(Cost $1,506,458) 1,587,635
----------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.2%
MUNICIPAL SECURITIES -- 0.3%
CALIFORNIA -- 0.0% ^
$ 200 Irvine Ranch Water District, Capital
Improvement Project, COP, FRDO,
0.85%, 9/2/03 + $ 200
100 Irvine Ranch Water District, Improvement
District No. 182, Ser. A, GO, FRDO, 0.85%,
9/2/03 + 100
----------------------------------------------------------------------
300
----------------------------------------------------------------------
MULTIPLE STATES -- 0.3%
3,803 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-34, FRDO, #,
1.05%, 12/1/29 3,803
NEW YORK -- 0.0% ^
100 Port Authority of New York &
New Jersey, Special Obligation, Versatile
Structure Obligation, Ser. 6, Rev., FRDO,
0.90%, 9/2/03 100
----------------------------------------------------------------------
Total Municipal Securities
(Cost $4,203) 4,203
<Caption>
SHARES
- -------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 2.9%
46,891 JPMorgan Tax Free Money Market Fund (a)+
(Cost $46,891) 46,891
Total Short-Term Investments
(Cost $51,094) 51,094
----------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(COST $1,557,552) $ 1,638,729
----------------------------------------------------------------------
</Table>
Future Contracts
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION)(USD)
- ---------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
1,693 Eurodollar June, 2004 $ 415,124 $ 625
1,692 Eurodollar December, 2004 410,818 786
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
JPMorgan New Jersey Tax Free Income Fund
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003
(Amount in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 95.5%
STATE AND MUNICIPAL OBLIGATIONS -- 95.5%
CONNECTICUT -- 2.4%
$ 1,225 Connecticut State, Residual
Certificates, Ser. 529-Y, GO, Inverse
Floater, 9.68%, 12/15/09 $ 1,517
230 East Hartford, Connecticut, GO,
FGIC, 5.25%, 05/01/15 252
----------------------------------------------------------------------
1,769
----------------------------------------------------------------------
NEW JERSEY -- 70.3%
400 Atlantic City, New Jersey, Ser. B,
GO, MBIA, 4.00%, 08/01/08 + 422
625 Atlantic City, New Jersey, Ser. B, GO,
MBIA, 4.00%, 08/01/09 655
140 Atlantic City, New Jersey, Ser. B, GO,
MBIA, 4.00%, 08/01/10 145
410 Bayonne, New Jersey, Ser. B, GO, FSA,
5.00%, 01/15/16 438
455 Bayonne, New Jersey, Ser. B, GO, FSA,
5.25%, 01/15/18 492
480 Bayonne, New Jersey, Ser. B, GO, FSA,
5.25%, 01/15/19 516
505 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/20 554
530 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/21 579
535 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/22 581
395 Bayshore Regional Sewer Authority,
Rev., (p), MBIA, 5.50%, 04/01/06 439
285 Bergen County, General Improvement,
GO, 4.00%, 07/15/11 293
1,225 Delaware River Port Authority,
Pennsylvania & New Jersey, Port District
Project, Ser. A, Rev., FSA, 5.25%, 01/01/12 1,347
1,700 Delaware River Port Authority,
Pennsylvania & New Jersey, Port District
Project, Ser. B, Rev., FSA, 5.70%, 01/01/21 1,787
100 Deptford Township Municipal Utilities
Authority, Rev., AMBAC, 4.88%, 02/01/10 108
570 Edison Township, School District,
GO, 6.50%, 06/01/04 593
$ 1,385 Ewing Township School District, School
Bond Resource Fund, GO, (p), FGIC,
5.30%, 08/01/08 $ 1,550
850 Freehold Regional High School District,
GO, FGIC, 5.00%, 03/01/16 909
130 Freehold Township Board of Education,
GO, MBIA, 5.00%, 02/15/11 141
300 Galloway Township, GO, AMBAC, 5.00%,
11/01/10 329
100 Gloucester County Improvement Authority,
County Guaranteed, Ser. A, Rev., MBIA,
5.35%, 08/01/09 112
220 Gloucester County Improvement Authority,
County Guaranteed, Ser. A, Rev., MBIA,
5.55%, 08/01/12 242
225 Gloucester County Improvement Authority,
County Guaranteed, Ser. A, Rev., MBIA,
5.70%, 08/01/15 245
1,720 Hillsborough Township School District,
GO, FSA, 5.38%, 10/01/14 1,908
160 Howell Township, GO, MBIA, 5.00%,
01/01/09 175
2,685 Hudson County, COP, MBIA, 6.00%,
06/01/11 3,078
1,425 Hudson County, COP, MBIA, 7.00%,
12/01/12 1,752
1,500 Hudson County, COP, MBIA, 6.25%,
12/01/14 1,779
500 Hunterdon Central Regional High School
District, GO, (p), FSA, 5.40%, 05/01/05 543
200 Jersey City Municipal Utilities Authority,
Rev., FSA, 5.25%, 12/01/12 221
475 Jersey City, New Jersey, School
Improvement, School Board Fund, Ser. B,
GO, AMBAC, 5.25%, 03/01/14 520
315 Little Egg Harbor Municipal Utilities
Authority, Water & Sewage, Ser. E, Rev.,
AMBAC, 5.25%, 07/01/09 351
100 Long Hill Township, GO, 5.15%, 08/15/06 109
170 Long Hill Township, GO, 5.15%, 08/15/07 188
380 Lopatcong Township Board of Education,
GO, (p), FSA, 5.63%, 07/15/10 433
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 400 Lopatcong Township Board of Education,
GO, (p), FSA, 5.70%, 07/15/10 $ 457
450 Lopatcong Township Board of Education,
GO, (p), FSA, 5.70%, 07/15/10 514
55 Lower Township, General Improvement,
GO, FSA, 4.25%, 07/15/11 57
100 Mainland Regional High School District,
School Board Resource Fund, GO, 5.20%,
11/15/06 110
105 Mainland Regional High School District,
School Board Resource Fund, GO, 5.20%,
11/15/07 117
60 Mainland Regional High School District,
School Board Resource Fund, GO, 5.25%,
11/15/08 68
110 Mainland Regional High School District,
School Board Resource Fund, GO, 5.25%,
11/15/09 124
115 Mainland Regional High School District,
School Board Resource Fund, GO, 5.25%,
11/15/10 127
220 Mercer County, GO, MBIA, 4.35%,
05/01/05 231
150 Middlesex County, General Improvement,
GO, 5.30%, 01/15/09 166
210 Middletown Township Board of Education,
GO, (p), MBIA, 5.80%, 08/01/07 237
2,500 Middletown Township Board of Education,
GO, (p), MBIA, 5.85%, 08/01/07 2,827
220 Midland Park Board of Education, GO,
FSA, 4.13%, 08/15/06 + 234
1,000 Musconetcong Sewage Authority,
Project I, Rev., MBIA, 5.25%, 01/01/14 1,091
1,060 New Jersey Economic Development
Authority, New Jersey Performing Arts
Center Project, Ser. A, Rev., AMBAC,
6.00%, 06/15/08 1,210
100 New Jersey Economic Development
Authority, Rev., FSA, 5.50%, 11/15/09 113
$ 100 New Jersey Health Care Facilities
Financing Authority, St. Elizabeth
Hospital Obligation Group, Rev., 6.00%,
07/01/14 $ 101
720 New Jersey State Educational Facilities
Authority, Capital Improvement Fund, Ser.
A, Rev., 5.00%, 09/01/08 791
2,545 New Jersey State Educational Facilities
Authority, Drew University Issue, Ser. C,
Rev., MBIA, 5.25%, 07/01/13 2,722
600 New Jersey State Educational Facilities
Authority, Drew University, Ser. C, Rev.,
FGIC, 5.25%, 07/01/18 649
115 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 4.88%, 07/01/04 117
1,000 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 5.70%, 07/01/28 973
1,050 New Jersey State Educational Facilities
Authority, Higher Education Equipment
Leasing Fund, Ser. A, Rev., 5.00%,
09/01/08 1,156
1,000 New Jersey State Educational Facilities
Authority, Princeton University, Ser. E,
Rev., 5.25%, 07/01/13 1,078
135 New Jersey State Educational Facilities
Authority, Rowan College, Ser. E, Rev., (p),
AMBAC, 5.75%, 07/01/06 151
200 New Jersey State Turnpike Authority, Rev.,
(p), 6.75%, 01/01/09 220
75 New Jersey State Turnpike Authority,
Ser. C, Rev., 6.50%, 01/01/16 88
260 New Jersey State Turnpike Authority,
Ser. C, Rev. (p), 6.50%, 01/01/16 311
440 New Jersey State Turnpike Authority,
Ser. C, Rev., MBIA-IBC, 6.50%, 01/01/16 524
350 New Jersey State, Ser. D, GO, 8.00%,
02/15/07 414
100 New Jersey State, Ser. D, GO, 6.00%,
02/15/11 114
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 1,320 New Jersey State, Transportation
Trust Fund Authority, Ser. A, Rev.
(p), 5.00%, 06/15/09 $ 1,458
200 New Jersey Transportation Trust Fund
Authority, Ser. C, Rev., 5.00%, 12/15/06 219
400 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.63%, 06/15/14 447
1,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.75%, 06/15/16 1,136
100 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev. (p), 6.00%, 06/15/10 116
1,000 New Jersey Wastewater Treatment Trust,
Ser. D, Rev., MBIA, 7.00%, 07/01/10 1,205
1,140 Northwest Bergen County Utilities
Authority, Utility Systems, Rev.,
MBIA, 6.00%, 07/15/07 1,166
500 Ocean County Utilities Authority,
New Jersey Wastewater, GO, 6.00%,
01/01/07 557
1,270 State of New Jersey, GO, 5.25%, 07/01/10 1,407
1,105 Summit, New Jersey, School Board
Resource Fund, GO, (p), 5.70%, 06/01/09 1,261
35 Summit, New Jersey, School Board
Resource Fund, GO, (p), 5.70%, 06/01/09 40
100 Union County Improvement Authority,
Plainfield Board of Education Project,
Rev., FGIC, 6.25%, 08/01/07 114
1,175 West New York, New Jersey, Improvement,
GO, AMBAC, 4.75%, 08/15/05 1,250
----------------------------------------------------------------------
51,002
----------------------------------------------------------------------
NEW MEXICO -- 0.4%
250 New Mexico State Highway Commission,
Senior Sub Lien, Ser. D, Rev., 5.00%,
06/15/12 270
NEW YORK -- 2.3%
$ 1,500 Port Authority of New York & New Jersey,
CONS, 93rd Ser., Rev., 6.13%, 06/01/94 $ 1,681
NORTH CAROLINA -- 0.4%
275 New Hanover County, Public
Improvement, GO, 5.75%, 11/01/11 311
PUERTO RICO -- 18.2%
1,375 Puerto Rico Commonwealth, GO, MBIA,
6.50%, 07/01/12 1,650
250 Puerto Rico Commonwealth, GO, MBIA-
IBC, 7.00%, 07/01/10 304
135 Puerto Rico Commonwealth, Public
Improvement, GO, 5.00%, 07/01/06 145
250 Puerto Rico Commonwealth, Public
Improvement, GO, FSA, 5.50%, 07/01/14 281
250 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, FGIC, 5.25%,
07/01/12 277
235 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, MBIA, 5.50%,
07/01/16 264
580 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, MBIA-IBC,
5.50%, 07/01/16 651
2,000 Puerto Rico Commonweath, GO, 5.75%,
07/01/17 2,276
230 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA, 5.50%,
07/01/15 259
210 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA, 5.50%,
07/01/16 236
3,000 Puerto Rico Highway & Transportation
Authority, Ser. F, Rev., 5.00%, 07/01/07 3,238
380 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC, 5.50%,
07/01/13 428
1,200 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC, 5.50%,
07/01/15 1,350
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PUERTO RICO -- CONTINUED
$ 315 Puerto Rico Highway & Transportation
Authority, Ser. Z, Rev., MBIA, 6.25%,
07/01/14 $ 375
400 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.00%, 07/01/05 422
1,000 University of Puerto Rico, Ser. O, Rev.,
MBIA, 5.75%, 06/01/17 1,102
----------------------------------------------------------------------
13,258
----------------------------------------------------------------------
TEXAS -- 1.5%
1,000 El Paso, Texas, GO, FSA, 5.00%, 08/15/09 1,098
Total State and Municipal Obligations 69,389
(Cost $67,245)
----------------------------------------------------------------------
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 4.5%
- -------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 4.5%
3,283 JPMorgan Tax Free Money Market Fund (a)
(Cost $3,283) $ 3,283
----------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(COST $70,528) $ 72,672
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
JPMorgan New York Intermediate Tax Free Income Fund
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003
(Amount in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.6%
STATE AND MUNICIPAL OBLIGATIONS -- 98.6%
ARIZONA -- 0.6%
$ 4,280 Arizona Health Facilities Authority,
Catholic Healthcare West, Ser. A, Rev.,
6.13%, 07/01/09 + $ 4,672
CALIFORNIA -- 0.3%
630 Lancaster Financing Authority, Tax
Allocation, Redevelopment Projects,
Project No. 5 & 6, MBIA, 5.00%, 02/01/13 + 677
650 Lancaster Financing Authority, Tax
Allocation, Redevelopment Projects,
Project No. 5 & 6, MBIA, 5.00%, 02/01/14 + 695
1,040 Lancaster Redevelopment Agency, Tax
Allocation, Redevelopment Project Areas,
MBIA, 5.00%, 08/01/11 + 1,131
----------------------------------------------------------------------
2,503
----------------------------------------------------------------------
CONNECTICUT -- 1.8%
10,605 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater, 9.68%,
12/15/09 + 13,133
ILLINOIS -- 0.4%
2,882 Illinois Development Finance Authority,
Riverside Health & Fitness Center Project,
Ser. 1998-C, Rev., 5.20%, 08/01/28 (i)+ 3,082
MASSACHUSETTS -- 0.2%
1,000 Massachusetts State, Ser. A, GO, 6.00%,
11/01/11 + 1,146
MICHIGAN -- 0.6%
3,800 Michigan State Hospital Finance Authority,
Ascension Health Credit, Ser. B, Adj.,
Rev., 5.30%, 11/15/33 + 4,173
MULTIPLE STATES -- 0.2%
1,707 Koch Finance Tax Exempt Lease Trust,
5.21%, 07/01/04 (i) 1,720
NEW HAMPSHIRE -- 0.0% ^
$ 200 Nashua, New Hampshire, Capital
Improvement, Ser. A, GO, 5.50%,
07/15/10 $ 224
NEW JERSEY -- 0.2%
540 Camden County Improvement Authority,
County Guaranteed Lease, Ser. A, Rev.,
FGIC, 5.25%, 09/01/13 + 588
1,025 New Jersey State Educational Facilities
Authority, Higher Education, Capital
Improvement, Ser. B, Rev., 5.75%,
09/01/10 1,162
----------------------------------------------------------------------
1,750
----------------------------------------------------------------------
NEW YORK -- 84.0%
1,120 Allegany County IDA, Alfred University,
Civic Facilities, Rev., MBIA, 5.25%,
08/01/11 + 1,225
1,175 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. A, Rev.,
AMBAC, 5.50%, 08/01/15 + 1,293
1,000 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. B, Rev.,
AMBAC, 5.50%, 08/01/15 + 1,101
1,290 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. B, Rev.,
AMBAC, 5.75%, 08/01/15 + 1,446
150 Arkport Central School District, GO, FSA,
5.20%, 06/15/09 + 168
500 Attica Central School District, GO, FSA,
5.00%, 06/15/15 + 551
6,895 Babylon IDA, Civic Facilities, Winthrop S.
Nassau University East, Inc. Project,
Ser. A, Rev., AMBAC, 6.63%, 08/01/19 + 7,932
3,000 Babylon, New York, Waste Facilities, GO,
FGIC, 9.00%, 08/01/11 @ + 4,058
1,040 Beacon City School District, GO, MBIA,
5.50%, 07/15/11 + 1,190
650 Brentwood Union Free School District,
GO, FSA, 5.63%, 06/15/13 + 714
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,660 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/13 + $ 1,859
1,100 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/14 + 1,231
1,660 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/15 + 1,863
685 Brockport Central School District, GO,
FGIC, 5.75%, 06/15/17 + 785
500 Bronxville Union Free School District, GO,
5.25%, 10/15/10 + 555
500 Brookhaven, New York, Public
Improvement, GO, AMBAC, 5.25%,
11/15/09 + 559
1,085 Brookhaven, New York, Public
Improvement, GO, AMBAC, 5.30%,
11/15/11 + 1,202
4,597 Buffalo, New York, State University of
New York, 5.50%, 01/01/07 (i) 4,967
590 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.40%, 07/15/16 + 664
305 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.50%, 07/15/17 + 344
375 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.50%, 07/15/18 + 423
1,000 Canandaigua City School District, Ser. A,
GO, FSA, 5.38%, 04/01/15 + 1,093
250 Chenango Forks Central School District,
GO, FGIC, 5.63%, 06/15/11 + 287
850 Chenango Forks Central School District,
GO, FGIC, 5.70%, 06/15/12 + 980
370 City of Buffalo, Buffalo School, Ser. B,
GO, MBIA, 5.38%, 11/15/14 + 404
1,500 Cleveland Hill Union Free School District,
Cheektowaga, GO, FGIC, 5.50%, 10/15/13 + 1,649
1,730 Cleveland Hill Union Free School District,
Cheektowaga, GO, FGIC, 5.50%, 10/15/14 + 1,897
2,250 Eastport-South Manor Central School
District, GO, FGIC, 4.50%, 06/15/07 + 2,438
2,300 Eastport-South Manor Central School
District, GO, FGIC, 4.50%, 06/15/08 + 2,500
2,200 Eastport-South Manor Central School
District, GO, FGIC, 4.63%, 06/15/09 + 2,393
$ 1,325 Erie County Water Authority,
Improvement & Extension, Rev.,
5.75%, 12/01/08 + $ 1,452
320 Fayetteville-Manlius Central School
District, GO, FGIC, 5.00%, 06/15/12 + 347
1,050 Goshen Central School District, GO, FGIC,
5.00%, 06/15/16 + 1,130
1,050 Goshen Central School District, GO, FGIC,
5.00%, 06/15/17 + 1,122
885 Goshen Central School District, GO, FGIC,
5.00%, 06/15/18 + 929
1,000 Goshen Central School District, GO, FGIC,
5.00%, 06/15/19 + 1,052
915 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/08 + 1,006
1,480 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/09 + 1,627
1,545 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/10 + 1,689
1,000 Ilion Central School District, Ser. B, GO,
FGIC, 5.00%, 06/15/14 + 1,075
320 Irvington Union Free School District, GO,
FSA, 5.00%, 04/01/12 + 343
300 Irvington Union Free School District, GO,
FSA, 5.00%, 04/01/13 + 319
1,070 Lindenhurst Union Free School District,
GO, FGIC, 5.25%, 07/15/12 + 1,157
1,295 Lindenhurst Union Free School District,
GO, FGIC, 5.25%, 07/15/16 + 1,383
1,460 Lindenhurst Union Free School District,
GO, FGIC, 5.25%, 07/15/17 + 1,552
5,250 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA, 5.50%,
12/01/12 + 5,944
1,875 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA, 5.50%,
12/01/13 + 2,130
3,000 Long Island Power Authority, Electric
Systems, Ser. A, Rev., AMBAC, 5.50%,
12/01/08 + 3,388
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 8,770 Long Island Power Authority, Electric
Systems, Ser. A, Rev., AMBAC,
5.50%, 12/01/11 + $ 9,838
160 Longwood Central School District at
Middle Island, GO, FSA, 4.80%, 06/15/13 + 178
525 Mahopac Central School District, Ser.
B, GO, MBIA, 5.60%, 06/15/14 + 581
815 Mahopac Central School District, Ser. B,
GO, MBIA, 5.60%, 06/15/15 + 896
1,090 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.38%, 06/15/09 + 1,229
2,180 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.38%, 06/15/12 + 2,470
2,485 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.40%, 06/15/13 + 2,820
3,135 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.70%, 06/15/16 + 3,614
1,800 Metropolitan Transportation Authority,
Commuter Facilities, Ser. A, Rev., (p),
MBIA, 6.10%, 07/01/08 + 2,087
500 Metropolitan Transportation Authority,
Commuter Facilities, Ser. B, Rev., (p),
MBIA, 6.10%, 07/01/09 + 583
2,700 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev., (p),
MBIA, 5.50%, 10/01/10 + 3,063
5,500 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev., (p),
MBIA, 6.25%, 04/01/11 + 6,475
1,100 Metropolitan Transportation Authority,
Ser. A, Rev., MBIA, 4.50%, 11/15/07 + 1,190
1,000 Metropolitan Transportation Authority,
Ser. E, Rev., MBIA, 5.50%, 11/15/12 + 1,121
12,000 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev., 5.75%,
07/01/16 + 13,396
2,610 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev., 5.75%,
07/01/18 + 2,891
5,000 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev., FSA,
5.75%, 01/01/18 + 5,671
$ 300 Metropolitan Transportation
Authority, Service Contract, Ser. B, Rev.,
FGIC, 5.25%, 01/01/11 + $ 328
4,285 Metropolitan Transportation Authority,
Transportation Facilities, Ser. A, Rev., (p),
MBIA, 6.00%, 07/01/12 + 5,007
510 Metropolitan Transportation Authority,
Transportation Facilities, Ser. C, Rev., (p),
FSA, 5.25%, 07/01/10 + 568
2,000 Metropolitan Transportation Authority,
Transportation Facilities, Ser. K, Rev., (p),
MBIA, 6.30%, 07/01/07 + 2,301
1,125 Monroe County, GO, 5.30%, 06/01/07 + 1,210
1,230 Monroe County, Public Improvement, GO,
6.00%, 03/01/12 + 1,380
1,000 Monroe County, Public Improvement, GO,
6.00%, 03/01/14 + 1,122
1,000 Monroe County, Public Improvement, GO,
6.00%, 03/01/18 + 1,121
1,000 Monroe County, Public Improvement, GO,
6.00%, 03/01/19 + 1,109
65 Monroe County, Public Improvement, GO,
AMBAC, 5.88%, 06/01/08 + 74
1,030 Monroe County, Public Improvement, GO,
FGIC, 5.00%, 03/01/15 + 1,083
100 Monroe County, Public Improvement, GO,
FGIC, 5.00%, 03/01/16 + 104
385 Monroe County, Public Improvement, GO,
MBIA-IBC, 6.00%, 03/01/15 + 445
500 Monroe County, Public Improvement, Ser.
A, GO, 4.70%, 06/01/08 + 533
1,065 Monroe County, Public Improvement, Ser.
P, GO, (p), AMBAC, 5.88%, 06/01/08 + 1,222
1,020 Monticello Central School District, GO,
FGIC, 5.63%, 06/15/06 + 1,123
365 Municipal Assistance Corporation for the
City of New York, Ser. G, Rev., 6.00%,
07/01/07 + 412
6,500 Municipal Assistance Corporation for the
City of New York, Ser. G, Rev., 6.00%,
07/01/08 7,366
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 250 Municipal Assistance Corporation
for the City of New York, Ser. I, Rev.,
6.25%, 07/01/08 $ 286
2,750 Municipal Assistance Corporation for the
City of New York, Ser. O, Rev., 5.25%,
07/01/08 + 3,051
1,705 Nassau County IDA, Civic Facility, Hofstra
University Project, Rev., MBIA, 5.00%,
07/01/06 1,850
4,740 Nassau County IDA, Civic Facility, Hofstra
University Project, Rev., MBIA, 5.25%,
07/01/09 5,257
3,330 Nassau County, Comb Sewer Districts,
Ser. F, GO, MBIA, 5.35%, 07/01/08 3,686
4,360 Nassau County, Comb Sewer Districts,
Ser. F, GO, MBIA, 5.35%, 07/01/09 4,844
1,800 New Rochelle City School District, Ser. A,
GO, FSA, 5.00%, 12/15/07 1,987
575 New Rochelle City School District, Ser. A,
GO, FSA, 5.00%, 12/15/10 630
345 New York City IDA, Civic Facilities, Mount
St. Vincent College, Rev., 7.00%, 05/01/08 356
1,000 New York City IDA, Civic Facilities, New
School for Social Research, Ser. A, Rev.,
MBIA, 5.75%, 09/01/15 1,090
1,260 New York City IDA, Civic Facilities,
New York Blood Center, Inc. Project,
Rev., (p), 7.20%, 05/01/04 1,310
3,605 New York City IDA, Civic Facilities,
Nightingale-Bamford School, Rev.,
AMBAC, 5.00%, 01/15/10 3,909
1,400 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. A, Rev., (p), AMBAC, 6.00%, 06/15/09 1,625
3,000 New York City Municipal Water Finance
Authority, Water & Sewer System, Ser.
A, Rev., FGIC, 5.75%, 06/15/31 3,163
6,500 New York City Municipal Water Finance
Authority, Water & Sewer System, Ser. B,
Rev., MBIA, 5.80%, 06/15/29 7,278
$ 3,555 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. D, Rev., 5.25%, 06/15/15 $ 3,806
1,000 New York City Transit Authority,
Metropolitan Transportation Authority,
Triborough, COP, Ser. A, AMBAC,
5.63%, 01/01/12 1,105
2,480 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., 5.00%, 05/01/07 2,703
4,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.38%, 02/15/10 4,511
1,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.75%, 08/15/09 1,157
5,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.75%, 08/15/09 5,783
2,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 6.00%, 08/15/09 2,340
520 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., 5.50%, 02/01/13 570
695 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., 6.13%, 11/15/14 796
3,380 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., (p), 5.50%, 02/01/11 3,830
3,305 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., (p), 6.13%, 05/15/10 3,888
2,500 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., FSA, 6.00%, 11/15/10 2,888
1,215 New York City Transitional Finance
Authority, Future Tax Secured, Ser.
C, Rev., TRAN, 5.50%, 02/01/11 1,347
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,000 New York City Trust for Cultural
Resources, Educational Broadcasting
Corp., Ser. 1999, Rev., 4.60%,
01/01/04 (i)+ $ 2,020
1,000 New York City, New York, Ser. E, GO,
MBIA-IBC, 5.75%, 08/01/11 1,121
670 New York City, New York, Capital
Appreciation, Ser. E, GO, (p), 6.35%,
05/15/08 786
5,000 New York City, New York, Ser. B, GO, FGIC,
5.75%, 08/01/13 5,557
160 New York City, New York, Ser. D, GO, FGIC,
5.75%, 08/01/09 180
50 New York City, New York, Ser. F, GO, 5.25%,
08/01/05 53
1,245 New York City, New York, Ser. F, GO, 5.75%,
02/01/12 1,322
755 New York City, New York, Ser. F, GO, (p),
5.75%, 02/01/06 836
4,905 New York City, New York, Ser. G, GO,
5.00%, 08/01/07 5,259
3,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 2,986
11,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 6.50%, 12/01/04 11,206
2,475 New York Local Government Assistance
Corp., Senior Lien, Ser. AA, Rev., 5.00%,
04/01/12 2,648
9,000 New York Local Government Assistance
Corp., Ser. A, Rev., (p), 5.90%, 04/01/05 9,833
2,000 New York Local Government Assistance
Corp., Ser. E, Rev., FSA, 6.00%, 04/01/14 2,300
2,060 New York Mortgage Agency, Home Owner
Mortgage, Ser. 94, Rev., 5.35%, 04/01/23 2,197
635 New York Municipal Bond Bank Agency,
Special Program, Ser. A, Rev., 6.88%,
03/15/06 648
125 New York State Dormitory Authority,
Canisius College, Rev., MBIA, 4.85%,
07/01/13 132
$ 115 New York State Dormitory Authority,
Canisius College, Rev., MBIA, 4.95%,
07/01/14 $ 122
1,545 New York State Dormitory Authority,
Child Care Facilities, Service Contract,
Ser. A, Rev., 5.38%, 04/01/13 1,673
2,500 New York State Dormitory Authority, City
University System, 3rd Generation
Reserve, Rev., FSA, 5.38%, 07/01/13 2,707
440 New York State Dormitory Authority, City
University System, CONS, Ser. 1, Rev.,
MBIA, (p), 5.13%, 01/01/08 494
3,565 New York State Dormitory Authority, City
University System, CONS, Ser. A, Rev.,
FSA, 5.75%, 07/01/13 4,048
1,000 New York State Dormitory Authority, City
University System, CONS, Ser. B, Rev.,
6.00%, 07/01/14 1,138
2,000 New York State Dormitory Authority, City
University System, CONS, Ser. B, Rev.,
FGIC, 5.75%, 07/01/07 2,242
320 New York State Dormitory Authority, City
University, 3rd Ser., Rev., 6.00%,
07/01/06 353
445 New York State Dormitory Authority, City
University, 3rd Ser., Rev., (p), 6.00%,
07/01/06 497
2,125 New York State Dormitory Authority,
Columbia University, Ser. A, Rev., 5.00%,
07/01/10 2,332
2,000 New York State Dormitory Authority,
Columbia University, Ser. A, Rev., 5.25%,
07/01/12 2,213
1,545 New York State Dormitory Authority,
Columbia University, Ser. A, Rev., 5.25%,
07/01/13 1,695
2,880 New York State Dormitory Authority,
Columbia University, Ser. A, Rev., 5.25%,
07/01/14 3,145
895 New York State Dormitory Authority,
Columbia University, Ser. A, Rev., 5.25%,
07/01/16 968
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,565 New York State Dormitory Authority,
Concord Nursing Home, Inc., Rev.,
6.25%, 07/01/16 $ 3,864
480 New York State Dormitory Authority, FHA
Insured Nursing Home, Ser. A, Rev.,
MBIA, 5.50%, 08/01/20 501
1,070 New York State Dormitory Authority,
Lenox Hill Hospital Obligation Group,
Rev., 5.00%, 07/01/05 1,130
1,180 New York State Dormitory Authority,
Lenox Hill Hospital Obligation Group,
Rev., 5.00%, 07/01/07 1,264
1,000 New York State Dormitory Authority,
Lenox Hill Hospital Obligation Group,
Rev., 5.25%, 07/01/08 1,085
320 New York State Dormitory Authority, Long
Island University, Rev., 5.00%, 09/01/12 338
2,055 New York State Dormitory Authority,
Manhattan College, Rev., 5.50%, 07/01/09 2,272
1,770 New York State Dormitory Authority,
Manhattan College, Rev., 5.50%, 07/01/10 1,948
1,295 New York State Dormitory Authority,
Master Boces Program, Ser. A, Rev., FSA,
5.00%, 08/15/11 1,404
1,000 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer Center,
Rev., MBIA, 5.50%, 07/01/09 1,122
1,000 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer Center,
Rev., MBIA, 5.50%, 07/01/23 1,078
445 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer Center,
Rev., MBIA, 5.75%, 07/01/19 503
2,340 New York State Dormitory Authority,
Mental Health Services Facilities
Improvement, Ser. B, Rev., 6.00%,
08/15/16 2,659
130 New York State Dormitory Authority,
Mental Health Services Facilities
Improvement, Ser. B, Rev., MBIA,
5.50%, 02/15/12 141
$ 1,385 New York State Dormitory Authority,
Mental Health Services Facilities
Improvement, Ser. B, Rev., MBIA, 5.60%,
08/15/13 $ 1,504
1,380 New York State Dormitory Authority,
Municipal Health Facilities Improvement
Program, Ser. 1, Rev., FSA, 5.00%,
01/15/07 1,490
500 New York State Dormitory Authority,
New York University, Ser. 1, Rev.,
AMBAC, 5.50%, 07/01/14 556
1,925 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/16 2,152
1,455 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/18 1,616
3,150 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/23 3,396
1,570 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/24 1,690
2,480 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/25 2,664
8,360 New York State Dormitory Authority,
New York University, Ser. A, Rev., AMBAC,
5.75%, 07/01/13 9,492
2,000 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/09 2,271
1,000 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/15 1,139
3,500 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/16 3,999
2,530 New York State Dormitory Authority,
North Shore University Hospital, Rev.,
MBIA, 5.50%, 11/01/10 2,846
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,450 New York State Dormitory Authority,
Pratt Institute, Rev., 6.25%, 07/01/14 $ 3,902
4,000 New York State Dormitory Authority,
Rochester Institute of Technology, Rev.,
MBIA, 5.30%, 07/01/17 4,240
1,150 New York State Dormitory Authority,
School Districts Financing Program, Ser.
A, Rev., MBIA, 5.25%, 10/01/09 1,280
3,855 New York State Dormitory Authority,
School Districts Financing Program,
Ser. A, Rev., MBIA, 5.25%, 10/01/10 4,272
1,055 New York State Dormitory Authority,
School Districts Financing Program,
Ser. C, Rev., MBIA, 5.50%, 10/01/11 1,181
2,010 New York State Dormitory Authority,
School Districts Financing Program,
Ser. C, Rev., MBIA, 5.50%, 10/01/12 2,250
4,160 New York State Dormitory Authority,
School Districts Financing Program,
Ser. E, Rev., MBIA, 5.00%, 10/01/11 4,514
2,025 New York State Dormitory Authority,
School Districts Financing Program,
Ser. E, Rev., MBIA, 5.00%, 10/01/12 2,190
1,335 New York State Dormitory Authority,
School Districts Financing Program,
Ser. F, Rev., MBIA, 6.50%, 10/01/20 1,619
1,575 New York State Dormitory Authority,
Ser. C, Rev., 7.38%, 05/15/10 1,878
425 New York State Dormitory Authority,
Ser. C, Rev., (p), 7.38%, 05/15/09 521
1,345 New York State Dormitory Authority,
Service Contract, Child Care Facility,
Rev., 5.13%, 04/01/12 1,443
1,105 New York State Dormitory Authority,
Special Act School Districts Program,
Rev., MBIA, 5.30%, 07/01/11 1,201
2,065 New York State Dormitory Authority, State
Service Contract, Albany County, Rev.,
5.25%, 04/01/12 2,192
340 New York State Dormitory Authority, State
Service Contract, Albany County, Rev.,
5.50%, 04/01/08 375
$ 500 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., 6.50%, 05/15/06 $ 556
1,180 New York State Dormitory Authority, State
University Educational Facilities, Ser. A,
Rev., FGIC, 5.50%, 05/15/06 1,291
6,725 New York State Dormitory Authority, State
University Educational Facilities, Ser. A,
Rev., FGIC, 5.50%, 05/15/13 7,492
800 New York State Dormitory Authority, State
University Educational Facilities, Ser. A,
Rev., MBIA-IBC, 5.50%, 05/15/10 894
28,582 New York State Dormitory Authority,
State University of New York, Stoney
Brook University, Rev., 3.92%,
03/27/07 (i) + 29,396
10,000 New York State Dormitory Authority,
The City University of New York, CONS,
Rev., AMBAC, 5.75%, 07/01/13 11,354
1,545 New York State Dormitory Authority,
The City University of New York, Special
Obligation, Ser. D, MBIA-IBC, 5.75%,
07/01/06 1,708
5,000 New York State Energy Research &
Development Authority, PCR, New York
State Electric & Gas Corp., Ser. E, Rev.,
MBIA, 5.90%, 12/01/06 5,626
460 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., 5.75%, 06/15/11 523
700 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., 5.75%, 06/15/12 797
1,590 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/11 1,825
2,950 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/11 3,386
4,130 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/12 4,746
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,170 New York State Environmental
Facilities Corp., PCR, State Water
Revolving Fund, Rev., (p), 5.75%,
06/15/12 $ 2,494
425 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. B, Rev., 5.20%, 05/15/14 463
300 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. E, Rev., MBIA, 6.00%, 06/15/11 346
5,415 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. E, Rev., MBIA, 6.00%, 06/15/12 6,264
460 New York State Environmental Facilities
Corp., State Water Revolving Fund, Ser. B,
Rev., 5.70%, 07/15/14 531
4,650 New York State Environmental Facilities
Corp., State Water Revolving Fund, Ser. B,
Rev., (p), 5.70%, 07/15/09 5,173
1,000 New York State Environmental Facilities
Corp., State Water Revolving Fund, Ser. D,
Rev., 5.50%, 06/15/13 1,109
3,320 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. L, Rev., 5.00%, 11/15/11 3,618
265 New York State Housing Finance Agency,
Multi-Family Mortgage Housing, Ser. A,
Rev., 6.95%, 08/15/12 268
1,250 New York State Housing Finance Agency,
State University Construction, Ser. A, Rev.,
(p), 8.00%, 05/01/11 1,566
390 New York State Medical Care Facilities
Finance Agency, FHA Insured Mortgage
Project, St. Charles Memorial Hospital,
Ser. F, Rev., (p), 6.20%, 08/15/05 425
440 New York State Medical Care Facilities
Finance Agency, Hospital and Nursing
Home, Insured Mortgage, Ser. C, Rev.,
(p), 5.75%, 02/15/08 499
1,345 New York State Thruway Authority, Capital
Appreciation, Special Obligation, Ser. A,
Rev., 0.00%, 01/01/04 1,338
$ 4,900 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. A,
Rev., FGIC, 5.25%, 04/01/08 $ 5,406
865 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. B-1,
Rev., (p), FGIC, 5.60%, 04/01/10 989
735 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., 5.25%, 04/01/14 780
2,550 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., 6.00%, 04/01/11 2,815
3,765 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., (p), 6.00%, 04/01/07 4,327
5,000 New York State Thruway Authority, Local
Highway & Bridge, Service Contract, Rev.,
(p), MBIA, 5.63%, 04/01/09 5,723
2,890 New York State Thruway Authority, Local
Highway & Bridge, Service Contract, Rev.,
MBIA, 5.50%, 04/01/10 3,225
3,800 New York State Urban Development Corp.,
Correctional & Youth Facilities Services,
Ser. A, Rev., MBIA-IBC, 5.25%, 01/01/11 4,157
3,045 New York State Urban Development Corp.,
Correctional Capital Facilities, Ser. A, Rev.,
FSA, 5.25%, 01/01/14 3,312
1,000 New York State Urban Development Corp.,
State Facilities, Rev., 5.60%, 04/01/15 1,100
250 New York State Urban Development Corp.,
Youth Facilities Services Contract, Ser. B,
Rev., 5.60%, 04/01/11 276
45 New York State Urban Development Corp.,
Youth Facilities Services Contract, Ser. B,
Rev., 5.88%, 04/01/14 50
1,000 New York State, GO, 2.75%, 07/01/04 1,014
3,000 New York State, GO, 6.00%, 03/01/07 3,342
1,940 Niagara Falls Bridge Commission, Tolls,
Ser. B, Rev., FGIC, 5.25%, 10/01/15 2,123
1,045 Oneida County, GO, FGIC, 5.50%,
03/15/11 1,168
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,000 Oneida-Herkimer Solid Waste
Management Authority, Solid Waste
Systems, Rev., FSA, 5.50%, 04/01/11 $ 1,113
1,230 Onondaga County, GO, 5.25%, 05/15/13 1,360
1,280 Onondaga County, GO, 5.25%, 05/15/14 1,406
1,335 Onondaga County, GO, 5.25%, 05/15/15 1,466
785 Onondaga County, GO, 5.25%, 05/15/16 859
2,500 Onondaga County, Ser. A, GO, 5.00%,
05/01/12 2,695
495 Onondaga County, Ser. A, GO, 5.25%,
05/15/13 539
445 Onondaga County, Ser. A, GO, 5.25%,
05/15/14 482
515 Onondaga County, Ser. A, GO, 5.25%,
05/15/15 555
510 Onondaga County, Ser. A, GO, 5.25%,
05/15/16 546
9,425 Port Authority of New York & New Jersey,
120th Ser., Rev., MBIA, 5.75%, 10/15/07 10,564
775 Red Creek Central School District, GO,
FSA, 5.50%, 06/15/14 867
390 Rockland County, Various Purposes,
Ser. A, GO, 4.50%, 10/01/09 416
195 Rondout Valley Central School District,
GO, FSA, 5.13%, 03/01/17 217
865 Rondout Valley Central School District,
GO, FSA, 5.25%, 03/01/18 970
930 Rondout Valley Central School District,
GO, FSA, 5.25%, 03/01/19 1,043
1,050 Scotia Glenville Central School District,
GO, FGIC, 5.40%, 06/15/12 1,194
1,050 Scotia Glenville Central School District,
GO, FGIC, 5.50%, 06/15/13 1,200
1,025 Scotia Glenville Central School District,
GO, FGIC, 5.50%, 06/15/14 1,171
275 Shenendehowa Central School District,
Clifton Park, GO, FSA, 5.50%, 07/15/11 311
500 Stillwater Central School District, GO,
MBIA, 5.20%, 06/15/11 557
1,940 Suffolk County, Public Improvement,
Ser. C, GO, MBIA, 5.00%, 07/15/09 2,132
$ 1,730 Suffolk County, Public Improvement,
Ser. C, GO, MBIA, 5.25%, 07/15/13 $ 1,889
1,215 Suffolk County, Public Improvement,
Ser. C, GO, MBIA, 5.25%, 07/15/14 1,325
3,865 Suffolk County, Southwest Sewer District,
GO, MBIA, 6.00%, 02/01/08 4,382
500 The New York Power Authority, General
Purpose, Rev., (p), 7.00%, 01/01/10 605
2,000 The New York Power Authority, Rev.,
5.00%, 11/15/06 2,187
1,300 The New York Power Authority, Rev.,
5.50%, 11/15/07 1,456
2,000 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. B, Rev., GO,
5.00%, 11/15/10 2,184
7,890 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. SR, Rev., (p),
5.50%, 01/01/12 8,789
9,125 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. Y, Rev., (p), 6.00%,
01/01/12 10,548
1,680 Unadilla ETC Central School District, GO,
FGIC, 4.50%, 06/15/07 1,809
1,000 Unadilla ETC Central School District, GO,
FGIC, 4.50%, 06/15/08 1,078
1,980 Unadilla ETC Central School District, GO,
FGIC, 4.50%, 06/15/09 2,126
500 Uniondale Union Free School District, GO,
FGIC, 5.00%, 06/01/07 547
465 Utica, New York, Public Improvement, GO,
6.00%, 01/15/04 472
675 Utica, New York, Public Improvement, GO,
6.00%, 01/15/12 730
295 Utica, New York, Public Improvement, GO,
6.10%, 01/15/13 316
1,150 Warren County, Public Improvement, GO,
FGIC, 4.00%, 07/15/09 1,206
565 Warwick Valley Central School District, GO,
FSA, 5.50%, 01/15/14 618
600 Watertown City School District, GO, FSA,
5.63%, 06/15/16 689
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,365 Watertown City School District, GO,
FSA, 5.63%, 06/15/17 $ 1,568
1,245 Watertown City School District, GO,
FSA, 5.63%, 06/15/18 1,431
2,870 Westchester County Healthcare Corp.,
Sub Ser. B, Rev., 5.20%, 11/01/16 3,059
8,140 Westchester County Healthcare Corp.,
Sub Ser. B, Rev., 5.25%, 11/01/12 8,884
1,700 Westchester County IDA, Civic Facilities,
Children's Village Project, Ser. A, Rev.,
5.30%, 03/15/14 1,783
1,150 Westchester County, GO, (p), 6.70%,
11/01/06 1,320
1,705 William Floyd Union Free School District
of the Mastics-Moriches-Shirley, Ser. B,
GO, MBIA, 4.63%, 06/15/08 1,847
1,000 Windsor Central School District, GO, FGIC,
5.50%, 06/15/13 1,142
1,170 Windsor Central School District, GO,
FGIC, 5.50%, 06/15/14 1,337
650 Windsor Central School District, GO, FGIC,
5.50%, 06/15/15 743
----------------------------------------------------------------------
626,194
----------------------------------------------------------------------
PUERTO RICO -- 9.2%
260 Puerto Rico Commonwealth Trust, 7.00%,
12/04/03 (i) 264
3,000 Puerto Rico Commonwealth, GO, MBIA,
6.50%, 07/01/12 3,601
3,500 Puerto Rico Commonwealth, Public
Improvement, GO, 6.00%, 07/01/29 3,827
1,120 Puerto Rico Commonwealth, Public
Improvement, GO, FSA, 5.50%, 07/01/12 1,261
1,980 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, MBIA-IBC,
5.50%, 07/01/16 2,222
15,000 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 07/01/18 + 16,096
1,300 Puerto Rico Electric Power Authority,
Ser. HH, Rev., FSA, 5.50%, 07/01/10 1,464
$ 210 Puerto Rico Electric Power Authority,
Ser. JJ, Rev., MBIA, 5.25%, 07/01/15 $ 231
1,500 Puerto Rico Electric Power Authority,
Ser. KK, Rev., FSA, 5.25%, 07/01/13 1,659
1,825 Puerto Rico Highway & Transportation
Authority, Rev., 5.00%, 07/01/06 1,957
7,395 Puerto Rico Highway & Transportation
Authority, Rev., 5.00%, 07/01/07 7,984
2,000 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev., Adj., FSA,
5.00%, 07/01/26 2,173
8,430 Puerto Rico Highway & Transportation
Authority, Ser. F, Rev., 5.00%, 07/01/07 9,101
1,500 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC, 5.50%,
07/01/15 1,687
1,500 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 6.00%, 08/01/15 1,705
4,725 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.00%, 07/01/07 5,101
4,500 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.25%, 07/01/08 4,910
1,570 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.50%, 07/01/12 1,715
1,345 Puerto Rico Public Buildings Authority,
Rev., MBIA-IBC, 5.50%, 07/01/15 1,513
----------------------------------------------------------------------
68,471
----------------------------------------------------------------------
VIRGIN ISLANDS -- 0.8%
1,390 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Loan Notes, Ser. A,
Rev., 5.00%, 10/01/03 1,393
4,000 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Loan Notes, Ser. A,
Rev., 6.38%, 10/01/19 4,393
----------------------------------------------------------------------
5,786
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
VIRGINIA -- 0.3%
$ 1,740 Virginia Resources Authority,
Infrastructure, Pooled Loan Bond Project,
Ser. B, Rev., 5.00%, 11/01/12 $ 1,891
----------------------------------------------------------------------
Total State and Municipal Obligations 734,745
(Cost $701,218)
----------------------------------------------------------------------
<Caption>
SHARES ISSUER VALUE
- -------------------------------------------------------------------------------------------\
SHORT-TERM INVESTMENTS -- 1.4%
MONEY MARKET FUND -- 1.4%
10,092 JPMorgan Tax Free Money Market Fund (a) $ 10,092
(Cost $10,092)
----------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 744,837
(COST $711,310)
----------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION) (USD)
- -----------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
403 Eurodollar June, 2004 $ 98,816 $ 149
402 Eurodollar December, 2004 97,606 187
SHORT FUTURES OUTSTANDING
(168) 5 Year Treasury Notes December, 2003 (18,456) (29)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
JPMorgan Tax Free Income Fund
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.0%
STATE AND MUNICIPAL OBLIGATIONS -- 96.0%
ALABAMA -- 0.6%
$ 1,805 Jefferson County, Sewer, Ser. D,
Rev., (p), 5.75%, 02/01/07 + $ 2,029
2,195 Jefferson County, Sewer, Ser. D,
Rev., (p), 5.75%, 02/01/07 + 2,468
----------------------------------------------------------------------
4,497
----------------------------------------------------------------------
ARIZONA -- 0.9%
5,300 Pima County Unified School District No. 1,
Tucson, GO, FGIC, 7.50%, 07/01/10 6,588
CALIFORNIA -- 11.8%
6,000 California Infrastructure & Economic
Development Bank, State Revolving Fund,
Clean Water, Rev., 5.00%, 10/01/15 + 6,375
5,750 California State Department of Water
Resources, Power Supply, Ser. A, Rev.,
MBIA, 5.13%, 05/01/18 + 5,921
2,000 California State, GO, MBIA-IBC,
6.50%, 11/01/09 + 2,359
1,000 California State, Veterans Bonds,
Ser. AM, GO, 9.00%, 10/01/05 + 1,140
1,000 Fullerton University Foundation, Auxiliary
Organization, Ser. A, Rev., MBIA,
5.75%, 07/01/30 + 1,066
4,000 Los Angeles Harbor Department,
Rev., (p), 7.60%, 10/01/18 + 5,057
3,000 Modesto Irrigation District Financing
Authority, Ser. A, Rev., MBIA,
6.00%, 10/01/15 + 3,338
2,015 Nevada Union High School District,
New Haven, GO, FSA, 12.00%, 08/01/07 + 2,722
2,090 Nevada Union High School District,
New Haven, GO, FSA, 12.00%, 08/01/09 + 3,060
2,830 Nevada Union High School District,
New Haven, GO, FSA, 12.00%, 08/01/10 + 4,253
2,370 Nevada Union High School District,
New Haven, GO, FSA, 12.00%, 08/01/11 + 3,652
3,705 Nevada Union High School District,
New Haven, GO, FSA, 12.00%, 08/01/13 + 5,974
$ 3,335 Nevada Union High School District,
New Haven, GO, FSA, 12.00%, 08/01/14 + $ 5,516
1,000 Nevada Union High School District,
New Haven, GO, FSA,
12.00%, 08/01/15 + 1,678
9,930 Pomona Unified School District, Ser. A,
GO, MBIA, 6.15%, 08/01/15 11,343
2,510 Riverside, California, Electric, Rev.,
FSA, 5.25%, 10/01/15 2,713
4,135 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/19 1,802
4,425 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/20 1,789
5,145 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/22 1,811
5,500 Southern California Public Power
Authority, Power Project, San Juan Power,
Ser. B, Adj., Rev., FSA, 5.25%, 01/01/20 5,996
6,475 Southern California Public Power
Authority, San Juan Unit 3, Power Project,
Ser. A, Rev., FSA, 5.50%, 01/01/14 7,206
----------------------------------------------------------------------
84,771
----------------------------------------------------------------------
COLORADO -- 1.5%
1,145 Colorado Water Resources & Power
Development Authority, Drinking Water,
Ser. A, Rev., 5.25%, 09/01/11 + 1,255
100 Colorado Water Resources & Power
Development Authority, Drinking Water,
Ser. A, Rev., 5.25%, 09/01/13 + 108
2,000 Denver City & County, Airport, Ser. A,
Rev., AMBAC, 6.00%, 11/15/17 + 2,179
570 Douglas County, Sales & Use Tax, Rev.,
FSA, 5.35%, 10/15/14 + 612
4,400 Platte River Power Authority, Ser. DD,
Rev., MBIA, 6.00%, 06/01/06 4,878
1,595 Platte River Power Authority, Ser. DD,
Rev., MBIA, 6.00%, 06/01/07 1,798
----------------------------------------------------------------------
10,830
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CONNECTICUT -- 1.5%
$ 4,555 Waterbury, Connecticut, Ser. A, GO, FSA,
5.50%, 04/01/14 $ 5,013
5,055 Waterbury, Connecticut, Ser. A, GO, FSA,
5.50%, 04/01/15 5,552
----------------------------------------------------------------------
10,565
----------------------------------------------------------------------
DELAWARE -- 0.9%
5,000 Delaware State Economic Development
Authority, Osteopathic Hospital
Association of Delaware, Ser. A, Rev., (p),
6.90%, 01/01/18 + 6,145
FLORIDA -- 4.7%
2,200 Dade County, Special Obligation, Special
Tax, Miami Beach Convention Center
Project, (p), FGIC, 8.63%, 12/01/07 + 2,548
3,000 Florida State Division of Bond Finance,
General Services, Department of
Environmental Protection & Preservation,
Ser. 2000-A, Rev., FGIC, 5.38%, 07/01/11 + 3,280
9,720 Florida State Division of Facilities
Management, General Services, Ser. A,
Rev., FSA, 5.25%, 09/01/16 + 10,589
3,205 Hillsborough County Aviation Authority,
Tampa International Airport, Ser. B, Rev.,
FGIC, 6.00%, 10/01/18 + 3,640
3,800 Lakeland, Florida, Electric & Water, First
Lien, Ser. B, Rev., FSA, 6.05%, 10/01/14 + 4,438
3,830 Orange County Health Facilities Authority,
Ser. A, Rev., (p), MBIA, 6.25%, 10/01/12 4,532
1,295 Orange County Health Facilities Authority,
Ser. A, Rev., MBIA, 6.25%, 10/01/12 1,514
1,630 Orange County Health Facilities Authority,
Ser. C, Rev., (p), MBIA, 6.25%, 10/01/12 1,929
680 Orange County Health Facilities Authority,
Ser. C, Rev., MBIA, 6.25%, 10/01/12 795
495 Orange County, Tourist Development,
Ser. A, Rev., (p), AMBAC, 6.50%, 10/01/10 502
----------------------------------------------------------------------
33,767
----------------------------------------------------------------------
GEORGIA -- 5.1%
$ 10,000 Dalton Development Authority, Rev.,
MBIA, 5.50%, 08/15/26 + $ 10,722
7,630 De Kalb County Housing Authority,
Apartment Development, Fox Hollow
Apartments, Rev., (p), 7.00%, 05/15/07 + 8,774
1,000 De Kalb County, Water & Sewer Systems,
Rev., 5.25%, 10/01/11 + 1,106
15 Georgia State Residential Finance
Authority, Single Family Mortgage, Ser. A,
Rev., 8.40%, 12/01/18 + 15
10,485 Metropolitan Atlanta Rapid Transportation
Authority, Sales Tax, Ser. P, Rev., AMBAC,
6.25%, 07/01/20 + 12,428
3,110 Savannah Economic Development
Authority, College of Art & Design,
Inc. Project, Rev., 6.60%, 10/01/15 3,357
----------------------------------------------------------------------
36,402
----------------------------------------------------------------------
HAWAII -- 0.8%
5,000 Honolulu City & County, Ser. A, GO,
7.35%, 07/01/08 + 5,986
ILLINOIS -- 6.5%
3,990 Cook County Community High School
District No. 219, Niles Township, GO,
FGIC, 8.00%, 12/01/15 + 5,360
5,400 Cook County, Ser. B, GO, MBIA,
5.00%, 11/15/11 + 5,850
3,250 Illinois Housing Development Authority,
Multi-Family Housing, Ser. 1991-A, Rev.,
8.25%, 07/01/16 + 3,262
2,425 Regional Transportation Authority, Rev.,
MBIA, 6.25%, 07/01/15 2,859
11,000 State of Illinois, First Ser., GO, MBIA,
5.13%, 10/01/11 + 11,991
20,000 State of Illinois, Taxable Pension, GO,
5.10%, 06/01/33 + 17,500
----------------------------------------------------------------------
46,822
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
IOWA -- 0.8%
$ 5,000 Muscatine, Iowa, Electric, Ser. A, Rev.,
AMBAC, 5.50%, 01/01/11 + $ 5,549
KANSAS -- 0.2%
1,000 Johnson County Water District No. 1,
Rev., 5.00%, 12/01/10 + 1,097
KENTUCKY -- 1.2%
8,000 Louisville & Jefferson Counties
Metropolitan Sewer District, Sewer &
Drain System, Ser. A, Rev., (p), AMBAC,
6.50%, 11/15/04 + 8,670
LOUISIANA -- 1.3%
1,500 Louisiana State, Gas & Fuels Tax, Ser. A,
Rev., AMBAC, 5.38%, 06/01/15 + 1,626
2,000 Louisiana State, Gas & Fuels Tax, Ser.
A, Rev., AMBAC, 5.38%, 06/01/18 + 2,118
1,040 Louisiana State, Gas & Fuels Tax, Ser. A,
Rev., AMBAC, 5.38%, 06/01/19 + 1,093
2,000 Orleans Parish School Board, Defeased,
Rev., (p), MBIA, 8.85%, 02/01/06 2,330
2,000 Orleans Parish School Board, Defeased,
Rev., (p), MBIA, 8.90%, 02/01/07 2,432
----------------------------------------------------------------------
9,599
----------------------------------------------------------------------
MASSACHUSETTS -- 2.8%
9,000 Massachusetts State Port Authority,
Ser. B, Rev., FSA, 5.50%, 07/01/13 + 9,562
8,600 Massachusetts State, CONS, Ser. C, GO,
5.25%, 12/01/07 + 9,517
1,000 New England Education Loan Marketing
Corp., Student Loan, Sub-Issue H, Rev.,
6.90%, 11/01/09 + 1,139
----------------------------------------------------------------------
20,218
----------------------------------------------------------------------
MICHIGAN -- 0.7%
5,000 Michigan Strategic Fund, Detroit
Edison Co., Ser. CC, Rev., Adj., AMBAC,
4.85%, 09/01/30 + 5,338
MISSOURI -- 0.2%
1,105 Sikeston, Missouri, Electric, Rev., MBIA,
6.00%, 06/01/16 1,290
NEVADA -- 0.0% ^
$ 20 Nevada Housing Division, Single Family
Housing, Ser. A-3, Rev., 8.20%,
10/01/19 + $ 20
NEW HAMPSHIRE -- 0.5%
3,240 Manchester Housing & Redevelopment
Authority, Ser. A, Rev., 6.75%, 01/01/15 + 3,562
NEW JERSEY -- 3.5%
4,200 Freehold Regional High School District,
GO, (p), FGIC, 5.60%, 03/01/10 + 4,747
5,215 New Jersey Economic Development
Authority, Educational Testing Service,
Ser. B, Rev., (p), MBIA, 6.25%, 05/15/05 + 5,750
1,500 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 5.70%, 07/01/28 + 1,459
5,000 New Jersey State Highway Authority,
Garden State Parkway, Rev., (p),
6.20%, 01/01/10 + 5,736
1,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.75%, 06/15/15 + 1,131
1,875 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., (p), MBIA, 6.50%, 06/15/10 + 2,230
3,125 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., MBIA, 6.50%, 06/15/10 + 3,680
----------------------------------------------------------------------
24,733
----------------------------------------------------------------------
NEW MEXICO -- 0.8%
5,000 Bernalillo County, Gross Receipts, Ser. B,
Rev., 5.70%, 04/01/27 + 5,475
NEW YORK -- 26.9%
345 New York City IDA, Civic Facilities,
Mount St. Vincent College, Rev.,
7.00%, 05/01/08 356
3,450 New York City IDA, IDR, Brooklyn Navy
Yard Cogen Partners Project, Rev.,
6.20%, 10/01/22 3,358
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,850 New York City Municipal Water Finance
Authority, Water & Sewer Systems,
Ser. A, Rev., 5.75%, 06/15/30 $ 3,001
13,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., Adj., 5.50%, 11/01/26 14,355
8,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., 5.50%, 11/01/24 8,406
9,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., (p), 5.50%, 05/01/10 @ 10,247
2,000 New York City, New York, Ser. A, GO,
5.38%, 08/01/15 + 2,075
11,000 New York City, New York, Ser. A, GO,
MBIA-IBC, 6.25%, 08/01/08 + 12,208
2,450 New York City, New York, Ser. A, GO,
MBIA-IBC, 6.25%, 08/01/09 + 2,734
2,800 New York City, New York, Ser. B, GO,
5.50%, 08/01/12 2,996
3,775 New York City, New York, Ser. B, GO,
MBIA, 6.50%, 08/15/10 + 4,407
18,140 New York City, New York, Ser. F, GO,
6.00%, 01/15/18 + 19,742
2,900 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 + 2,887
10,155 New York Mortgage Agency, Homeowner
Mortgage, Ser. 85, Rev., 5.70%, 10/01/17 10,471
5,000 New York State Dormitory Authority, City
University System, CONS, Ser. A, Rev.,
FSA, 5.75%, 07/01/13 5,677
1,500 New York State Dormitory Authority,
FHA Insured Nursing Home, Ser. A, Rev.,
MBIA, 5.50%, 08/01/30 1,525
2,000 New York State Dormitory Authority,
Pratt Institute, Rev., 6.00%, 07/01/28 2,172
6,000 New York State Energy Research &
Development Authority, PCR, Niagara
Mohawk Power Corp., Ser. A, Rev.,
FGIC, 7.20%, 07/01/29 6,374
$ 95 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. D-02, Rev., 6.85%, 11/15/11 $ 102
9,345 New York State Environmental Facilities
Corp., State Water Revolving Fund, Ser. D,
Rev., 5.38%, 06/15/19 9,906
7,270 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Sub Ser. E, Rev., 5.38%, 06/15/17 7,816
7,135 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Sub Ser. E, Rev., 5.38%, 06/05/18 7,617
215 New York State Housing Finance Agency,
Health Facilities, Monroe County, Ser. A,
Rev., 7.63%, 05/01/05 217
2,070 New York State Medical Care Facilities
Finance Agency, Hospital and Nursing
Home, Insured Mortgage, Ser. C, Rev.,
6.25%, 08/15/12 2,172
2,000 New York State Medical Care Facilities
Finance Agency, Special Obligation,
Mental Health Services Facilities
Improvement, Ser. A, (p), 8.30%, 05/01/04 2,095
5,000 New York State Urban Development Corp.,
Correctional & Youth Facilities Services,
Ser. A, Rev., 5.50%, 01/01/17 5,433
2,390 New York State Urban Development Corp.,
Correctional Capital Facilities, Rev., (p),
MBIA-IBC, 5.70%, 01/01/07 2,703
26,000 Port Authority of New York & New Jersey,
CONS, 93rd Ser., Rev., 6.13%, 06/01/94 29,137
9,000 Triborough Bridge & Tunnel Authority,
Convention Center Project, Ser. E, Rev.,
7.25%, 01/01/10 10,327
2,000 Utica IDA, Civic Facilities, Munson-
Williams-ProctorInstitute Project,
Ser. A, Rev., 5.38%, 07/15/19 2,137
----------------------------------------------------------------------
192,653
----------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NORTH DAKOTA -- 0.8%
$ 5,000 Mercer County, PCR, Antelope Valley
Station, Rev., AMBAC, 7.20%, 06/30/13 + $ 5,990
OHIO -- 1.7%
11,000 Cleveland, Ohio, Public Power System,
First Mortgage, Ser. A, Rev., (p),
MBIA, 7.00%, 11/15/04 + 11,987
OKLAHOMA -- 1.4%
2,810 Oklahoma Development Finance
Authority, Samuel Roberts Noble
Foundation, Inc., Rev., 5.50%, 05/01/11 3,046
1,225 Oklahoma Housing Finance Agency,
Single Family Mortgage, Ser. B-2,
Rev., 6.80%, 09/01/26 1,243
5,000 Tulsa Metropolitan Utility Authority,
Rev., MBIA, 5.75%, 09/01/19 5,418
----------------------------------------------------------------------
9,707
----------------------------------------------------------------------
OREGON -- 1.7%
5,780 Oregon State, Higher Education Building,
Ser. A, GO, (p), 6.45%, 08/01/04 6,121
5,000 Washington County Unified Sewer
Agency, Senior Lien, Ser. A, Rev., FGIC,
5.75%, 10/01/10 5,727
----------------------------------------------------------------------
11,848
----------------------------------------------------------------------
PENNSYLVANIA -- 1.0%
6,500 Pennsylvania IDA, Economic Development,
Rev., AMBAC, 5.50%, 07/01/18 7,029
PUERTO RICO -- 9.3%
5,000 Puerto Rico Commonwealth, GO, FGIC,
5.25%, 07/01/09 5,585
5,655 Puerto Rico Commonwealth, GO, MBIA,
6.00%, 07/01/16 6,624
12,400 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 07/01/18 13,306
10,000 Puerto Rico Electric Power Authority,
Ser. KK, Rev., MBIA, 5.50%, 07/01/15 11,248
$ 10,215 Puerto Rico Electric Power Authority,
Ser. LL, Rev., MBIA, 5.50%, 07/01/16 $ 11,465
5,000 Puerto Rico Electric Power Authority,
Ser. Y, Rev., MBIA, 7.00%, 07/01/07 5,830
5,000 Puerto Rico Highway & Transportation
Authority, Ser. B, Rev., (p),
6.00%, 07/01/10 5,859
2,500 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 6.00%, 08/01/15 2,842
3,000 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. A, Rev.,
AMBAC, 6.25%, 07/01/11 3,525
25 Puerto Rico Urban Renewal & Housing
Corp., Rev., 7.88%, 10/01/04 25
----------------------------------------------------------------------
66,309
----------------------------------------------------------------------
SOUTH CAROLINA -- 0.8%
5,000 South Carolina State Public Service
Authority, Ser. A, Rev., AMBAC,
6.25%, 01/01/22 5,466
SOUTH DAKOTA -- 0.5%
2,875 Heartland Consumers Power District,
Rev., (p), 7.00%, 01/01/16 + 3,446
TENNESSEE -- 0.5%
650 Knox County Health Educational &
Housing Facilities Board, Hospital
Facilities, Baptist Health Systems East,
Rev., 6.38%, 04/15/22 + 661
3,000 Metropolitan Government of Nashville &
Davidson County, Water & Sewer, Rev.,
FGIC, 5.20%, 01/01/13 + 3,257
----------------------------------------------------------------------
3,918
----------------------------------------------------------------------
TEXAS -- 2.4%
6,500 Austin, Texas, Utility System, Rev.,
MBIA-IBC, 6.00%, 11/15/13 + 7,459
2,115 Dallas-Fort Worth Regional Airport,
Ser. A, Rev., FGIC, 7.38%, 11/01/08 + 2,228
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 2,945 Dallas-Fort Worth Regional Airport,
Ser. A, Rev., FGIC, 7.38%, 11/01/09 + $ 3,102
2,000 Dallas-Fort Worth Regional Airport,
Ser. A, Rev., FGIC, 7.38%, 11/01/11 + 2,107
2,000 Houston, Texas, Water Conveyance
System, COP, Ser. F, AMBAC,
7.20%, 12/15/06 +. 2,328
----------------------------------------------------------------------
17,224
----------------------------------------------------------------------
VIRGINIA -- 0.8%
5,500 Virginia State Public School
Authority, 1997 Resolution, Ser. A,
Rev., 5.00%, 08/01/18 5,747
WASHINGTON -- 1.9%
5,000 Energy Northwest, Washington Electric,
Project Number 1, Ser. A, Rev., MBIA,
5.50%, 07/01/16 + 5,403
7,000 Energy Northwest, Washington Electric,
Ser. B, Rev., MBIA, 5.50%, 07/01/18 +7,821
15 Washington Public Power Supply System,
Nuclear Project No. 1, Ser. B, Rev.,
7.25%, 07/01/09 17
$ 235 Washington Public Power Supply System,
Nuclear Project No. 1, Ser. B, Rev., (p),
7.25%, 07/01/09 $ 286
----------------------------------------------------------------------
13,527
----------------------------------------------------------------------
Total State and Municipal Obligations 686,775
(Cost $649,875)
----------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.0%
<Caption>
SHARES
- -------------------------------------------------------------------------------------------
MONEY MARKET FUNDS -- 4.0%
28,821 JPMorgan Tax Free Money Market
Fund (a) + 28,821
0^^ Provident Municipal Money Market Fund 0^^
----------------------------------------------------------------------
Total Money Market Funds 28,821
(Cost $28,821)
----------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 715,596
(COST $678,696)
----------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION) (USD)
- --------------------------------------------------------------------------------------------------------------------
LONG FUTURES OUTSTANDING
763 Eurodollar June, 2004 $ 187,088 $ 282
762 Eurodollar December, 2004 185,014 354
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------
Interest Rate Swap with Morgan Stanley Capital
Services, semi-annual payment of 4.108% and
semi-annual receipt of weekly average BMA index 10/17/19 $ 11,800 $ 255
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
Abbreviations
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the date of the prerefunded call.
^ -- Amount rounds to less than 0.1%.
^^ -- Amount rounds to less than one thousand.
+ -- All or a portion of this security is segregated with the custodian
for futures contracts, TBA, when issued, delayed delivery
securities, swaps or unsettled trades.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Securities fully or partially segregated with the brokers as
initial margin for futures contracts.
(a) -- Affiliated. Money market fund registered under the Investment
Company Act of 1940, as ammended and advised by JPMorgan
Investment Management, Inc.
(i) -- Security is considered illiquid and may be difficult to sell.
Adj. -- Adjustable. Maturity date shown is actual maturity date. The
interest rate shown is the rate in effect at August 31, 2003.
AMBAC -- American Municipal Bond Assurance Corp.
BAN -- Bond Anticipation Note.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
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.
FSA -- Financial Securities Assistance.
GAN -- Grant Anticipation Note.
GO -- General Obligation Bond.
IBC -- Insured Bond Certificates.
IDA -- Industrial Development Authority.
IDR -- Industrial Development Revenue.
MBIA -- Municipal Bond Insurance Association.
PCR -- Pollution Control Revenue.
Rev. -- Revenue Bond.
Ser. -- Series.
TRAN -- Tax & Revenue Anticipation Note.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
STATEMENT OF ASSETS AND LIABILITIES AS OF AUGUST 31, 2003
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
ASSETS
Investment securities, at value $ 164,210 $ 1,638,729 $ 72,672 $ 744,837 $ 715,596
Receivables:
Investment securities sold 3,460 555 2,448 12,258 177
Fund shares sold 203 539 1 61 48
Interest and dividends 2,053 19,860 699 8,738 8,681
Unrealized appreciation on swaps -- -- -- -- 255
- ----------------------------------------------------------------------------------------------------------------------------------
Total Assets 169,926 1,659,683 75,820 765,894 724,757
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends 324 3,775 191 1,387 2,176
Investment securities purchased 4,346 10,269 235 9,266 --
Fund shares redeemed 24 900 -- 145 288
Variation margin 31 423 -- 69 191
Accrued liabilities:
Investment advisory fees 42 418 19 194 185
Administration fees 8 98 5 71 93
Shareholder servicing fees 7 261 4 96 149
Distribution fees -- -- 1 17 4
Custodian fees 10 34 10 24 20
Trustees' fees - deferred
compensation plan 5 100 11 55 131
Other 65 132 49 115 118
- ----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 4,862 16,410 525 11,439 3,355
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 165,064 $ 1,643,273 $ 75,295 $ 754,455 $ 721,402
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
NET ASSETS
Paid in capital 156,727 1,559,414 71,171 713,343 680,101
Accumulated undistributed (overdistributed)
net investment income (45) (389) (33) (162) (235)
Accumulated net realized gain (loss) on
investments, futures, and swaps 1,098 1,660 2,013 7,440 3,745
Net unrealized appreciation (depreciation) of
investments, futures and swaps 7,284 82,588 2,144 33,834 37,791
- ----------------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 165,064 $ 1,643,273 $ 75,295 $ 754,455 $ 721,402
- ----------------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Class A 2,017 -- 180 12,003 8,080
Class B -- -- 80 3,367 852
Class C -- -- -- 245 --
Institutional 10,068 44,270 -- 31,096 --
Select 3,350 106,082 7,203 55,761 102,333
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value:
Class A (and redemption price) $ 10.80 $ -- $ 10.07 $ 7.35 $ 6.49
Class B* $ -- $ -- $ 10.04 $ 7.36 $ 6.50
Class C* $ -- $ -- $ -- $ 7.36 $ --
Institutional (and redemption price) $ 10.64 $ 10.93 $ -- $ 7.36 $ --
Select (and redemption price) $ 10.80 $ 10.93 $ 10.09 $ 7.37 $ 6.48
Class A Maximum Public Offering Price Per
Share (net asset value per share/95.50%) $ 11.31 $ -- $ 10.54 $ 7.70 $ 6.80
- ----------------------------------------------------------------------------------------------------------------------------------
Cost of investments $ 157,031 $ 1,557,552 $ 70,528 $ 711,310 $ 678,696
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2003
(Amounts in thousands)
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
INVESTMENT INCOME
Interest $ 8,305 $ 76,283 $ 3,220 $ 36,306 $ 38,533
Dividend income from affiliated investments* 108 447 55 240 210
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment income 8,413 76,730 3,275 36,546 38,743
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 602 5,243 240 2,610 2,474
Administration fees 301 2,622 120 1,305 1,237
Shareholder servicing fees 298 3,525 200 1,755 2,062
Distribution fees 57 -- 5 440 194
Custodian and accounting fees 61 209 57 138 119
Printing and postage fees 14 51 1 28 28
Professional fees 72 110 68 86 83
Registration expenses 21 69 16 55 56
Transfer agent fees 65 101 40 156 128
Trustees' fees 2 18 1 9 9
Other 21 118 8 80 49
- ----------------------------------------------------------------------------------------------------------------------------------
Total expenses 1,514 12,066 756 6,662 6,439
- ----------------------------------------------------------------------------------------------------------------------------------
Less amounts waived 424 1,428 125 778 248
Less earnings credits 1 4 --^ 2 1
Less expense reimbursements -- -- 26 -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses 1,089 10,634 605 5,882 6,190
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income 7,324 66,096 2,670 30,664 32,553
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on transactions from:
Investments 1,818 13,552 2,047 9,950 10,732
Futures (416) (5,033) 52 (2,194) (2,985)
Swaps 59 (895) -- 130 --
Change in net unrealized appreciation/
depreciation of:
Investments (4,928) (30,058) (2,621) (18,067) (20,977)
Futures 105 1,411 -- 561 636
Swaps -- -- 255
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments, futures and swaps (3,362) (21,023) (522) (9,620) (12,339)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
operations $ 3,962 $ 45,073 $ 2,148 $ 21,044 $ 20,214
- ----------------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 15 $ 62 $ 8 $ 32 $ 30
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
INTERMEDIATE
CALIFORNIA BOND FUND TAX FREE INCOME FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED 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 $ 7,324 $ 7,591 $ 66,096 $ 66,694
Net realized gain on investments, futures and swaps 1,461 676 7,624 10,465
Change in net unrealized appreciation/depreciation of
investments and futures (4,823) 2,273 (28,647) 26,324
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 3,962 10,540 45,073 103,483
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (7,271) (7,577) (66,147) (67,242)
Net realized gain on investment transactions (864) (79) (11,597) (6,348)
- ---------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (8,135) (7,656) (77,744) (73,590)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions (48,934) 47,026 (120,582) 1,038,289
- ---------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (53,107) 49,910 (153,253) 1,068,182
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 218,171 168,261 1,796,526 728,344
- ---------------------------------------------------------------------------------------------------------------------------
End of period $ 165,064 $ 218,171 $ 1,643,273 $ 1,796,526
- ---------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment
income $ (45) $ (98) $ (389) $ (459)
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
NEW JERSEY NEW YORK INTERMEDIATE
TAX FREE INCOME FUND TAX FREE INCOME FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED 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 (loss) $ 2,670 $ 2,932 $ 30,664 $ 32,319
Net realized gain (loss) on investments, futures and swaps 2,099 1,803 7,886 2,536
Change in net unrealized appreciation/depreciation of
investments and futures (2,621) (154) (17,506) 12,257
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 2,148 4,581 21,044 47,112
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (2,656) (2,953) (30,687) (32,359)
Net realized gain on investment transactions (1,343) (1,448) (212) (1,808)
- ---------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (3,999) (4,401) (30,899) (34,167)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions (6,022) 762 (135,478) 455,766
- ---------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (7,873) 942 (145,333) 468,711
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 83,168 82,226 899,788 431,077
- ---------------------------------------------------------------------------------------------------------------------------
End of period $ 75,295 $ 83,168 $ 754,455 $ 899,788
- ---------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment
income $ (33) $ (47) $ (162) $ (139)
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
JPMorgan Funds
<Table>
<Caption>
TAX FREE INCOME FUND
----------------------------
YEAR ENDED YEAR ENDED
8/31/03 8/31/02
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ 32,553 $ 35,825
Net realized gain (loss) on investments and futures 7,747 6,928
Change in net unrealized appreciation/depreciation of
investments, futures and swaps (20,086) 4,174
Increase (decrease) in net assets from operations 20,214 46,927
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income (32,728) (35,998)
Net realized gain on investment transactions (6,328) --
- -----------------------------------------------------------------------------------------
Total distributions to shareholders (39,056) (35,998)
- -----------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital share transactions (122,669) (12,488)
- -----------------------------------------------------------------------------------------
Total increase (decrease) in net assets (141,511) (1,559)
- -----------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 862,913 864,472
- -----------------------------------------------------------------------------------------
End of period $ 721,402 $ 862,913
- -----------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment
income $ (235) $ (60)
- -----------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Series Trust ("JPMST") and J.P. Morgan Mutual Fund Select Trust
("MFST") (the "Trusts") are organized as Massachusetts business trusts and are
registered under the Investment Company Act of 1940, as amended, as open-end,
management investment companies. JPMST and MFST were organized on August 15,
1996 and October 1, 1996, respectively. MFST was formerly named Mutual Fund
Select Trust. The name change went into effect on May 1, 2003.
The following are five separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan California Bond Fund ("CBF") Class A, Institutional and Select
JPMorgan Intermediate Tax Free Income Fund ("ITFI") Institutional and Select
JPMorgan New Jersey Tax Free Income Fund ("NJTFI") Class A, Class B and Select
JPMorgan New York Intermediate Tax Free Income Fund ("NYTFI") Class A, Class B, Class C, Institutional and Select
JPMorgan Tax Free Income Fund ("TFI") Class A, Class B and Select
</Table>
CBF is a series of JPMST and ITFI, NJTFI, NYTFI and TFI are each a series of
MFST. On January 31, 2003, NYTFI commenced offerings of Class C Shares.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Select Class or Institutional Class. All classes of
shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing expenses and each class has exclusive voting rights with respect to
its distribution and shareholder servicing agreements.
Class A shares, for which front-end sales charges have been waived, may be
subject to redemption charges as described in the Funds' prospectus.
57
<Page>
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 the 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. Shareholders of the Target Funds received the following class
of Shares of the Acquiring Funds:
<Table>
<Caption>
TARGET FUNDS ACQUIRING FUNDS SHARES RECEIVED
J.P. Morgan California Intermediate Tax Free Fund CBF Class A
J.P. Morgan Tax Exempt Bond Fund ITFI Select
J.P. Morgan Institutional Tax Exempt Bond Fund ITFI Institutional
J.P. Morgan New York Tax Exempt Bond Fund NYTFI Select
J.P. Morgan Institutional New York Tax Exempt Bond Fund NYTFI Institutional
</Table>
The following is a summary of Shares Outstanding, Beneficial Interest
Outstanding, Net Assets, Net Asset Values Per Share and Net Unrealized
Appreciation immediately before and after the Reorganizations (amounts in
thousands, except per share amounts):
JPMORGAN CALIFORNIA BOND FUND REORGANIZATION
<Table>
<Caption>
NET ASSET NET
SHARES VALUE UNREALIZED
OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUND
JPMorgan California Intermediate
Tax Free Fund $ 1,450
Class A 2,257 $ 23,319 $ 10.33
ACQUIRING FUND
J.P Morgan California Bond Fund $ 8,202
Institutional 13,012 $ 139,461 $ 10.72
Select 2,891 $ 31,511 $ 10.90
POST REORGANIZATION
JPMorgan California Bond Fund $ 9,652
Class A 2,139 $ 23,319 $ 10.90
Institutional 13,012 $ 139,461 $ 10.72
Select 2,891 $ 31,511 $ 10.90
</Table>
58
<Page>
JPMORGAN INTERMEDIATE TAX FREE INCOME FUND REORGANIZATION
<Table>
<Caption>
BENEFICIAL NET ASSET NET
INTEREST SHARES VALUE UNREALIZED
OUTSTANDING OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUNDS
J.P. Morgan Tax Exempt Bond Fund 29,573 $ 353,981 $ 11.96 $ 19,566
J.P. Morgan Institutional Tax Exempt
Bond Fund 52,587 $ 552,679 $ 10.51 $ 23,466
ACQUIRING FUND
JPMorgan Intermediate Tax Free
Income Fund Institutional (renamed
Select) 66,353 $ 725,784 $ 10.94 39,281
POST REORGANIZATION
JPMorgan Intermediate Tax Free
Income Fund $ 82,313
Institutional 50,521 $ 552,679 $ 10.94
Select 98,683 $ 1,079,765 $ 10.94
</Table>
JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND REORGANIZATION
<Table>
<Caption>
BENEFICIAL NET ASSET NET
INTEREST SHARES VALUE UNREALIZED
OUTSTANDING OUTSTANDING NET ASSETS PER SHARE APPRECIATION
TARGET FUND
J.P. Morgan New York Tax Exempt
Bond Fund 14,665 $ 159,184 $ 10.85 $ 6,079
J.P. Morgan Institutional New York
Tax Exempt Bond Fund 28,062 $ 307,395 $ 10.95 $ 8,951
ACQUIRING FUND
JPMorgan New York Intermediate Tax
Free Income Fund $ 21,041
Class A 16,631 $ 121,763 $ 7.32
Class B 1,614 $ 11,829 $ 7.33
Institutional (renamed Select) 40,980 $ 300,268 $ 7.33
POST REORGANIZATION
JPMorgan New York Intermediate Tax
Free Income Fund $ 36,071
Class A 16,631 $ 121,763 $ 7.32
Class B 1,614 $ 11,829 $ 7.33
Institutional 41,920 $ 307,395 $ 7.33
Select 62,687 $ 459,452 $ 7.33
</Table>
59
<Page>
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 -- Fixed income securities, other than convertible
bonds, with a maturity of 61 days or more held by the Funds will be valued each
day based on readily available market quotations received from independent or
affiliated commercial pricing services. Such pricing services will generally
provide bidside quotations. Convertible bonds are valued at the last sale price
on the primary exchange on which the bond is principally traded. When valuations
are not readily available, securities are valued at fair value as determined in
accordance with procedures adopted by the Trustees. It is reasonably possible
that the estimated values may differ significantly from the values that would
have been used had a ready market for the investments existed, and such
differences could have been material. Short-term investments with 60 days or
less to maturity at time of purchase are valued at amortized cost, which
approximates market value.
B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled.
The Funds invest in U.S. Treasury and/or municipal bond futures contracts as a
hedge to modify the duration of the portfolio holdings. The Funds also invest in
exchange-traded interest rate futures and Eurodollar futures for hedging
purposes to either modify the duration and/or yield curve exposure of the
portfolio.
Use of long futures contracts subjects the Funds to risk of loss in excess of
the amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contracts. Use of short futures contracts subjects the
Funds to unlimited risk. The Funds enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the Fund's credit risk is
limited to failure of the exchange or board of trade.
As of August 31, 2003, the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. SWAPS -- The Funds may engage in swap transactions, including interest rate,
currency, fixed income, index and total return swaps in order to obtain a
desired return at a lower cost than if the Funds had invested directly in the
asset that yielded the desired return. Unrealized gains are reported as an asset
and unrealized losses are reported as a liability on the Statement of Assets and
Liabilities. The interest to be paid or received on swaps is reported as
unrealized gains or losses in the Statement of Operations. A realized gain or
loss is recorded upon termination of swap agreements. Swap agreements are stated
at fair value. Notional principal amounts are used to express the extent of
involvement in these transactions, but the amounts potentially subject to credit
risk are much smaller.
As of August 31, 2003, the Funds had outstanding swap agreements as listed on
the Funds' Portfolio of Investments.
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
60
<Page>
method adjusted for amortization of premiums and accretion of discounts.
Purchases of To Be Announced (TBA), when-issued or delayed delivery securities
may be settled a month or more after the trade date; interest income is not
accrued until settlement date. It is each Fund's policy to segregate assets with
a current value at least equal to the amount of its TBA, when-issued or delayed
delivery purchase commitments.
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The 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 principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in
thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
FUND
CBF $ -- $ -- $ --
ITFI 16 121 (137)
NJTFI -- -- --
NYTFI -- -- --
TFI -- -- --
</Table>
61
<Page>
The reclassifications for ITFI relate primarily to different book/tax
amortization of market discount.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to separate Investment Advisory
Agreements, J.P. Morgan Fleming Asset Management (USA), Inc. ("JPMFAM") and
J.P. Morgan Investment Management, Inc. ("JPMIM" and together with JPMFAM, the
"Advisors") act as the investment advisors to the Funds. JPMFAM, a direct wholly
owned subsidiary of JPMorgan Chase Bank ("JPMCB") and an indirect wholly owned
subsidiary of JPMorgan Chase & Co. ("JPMorgan"), is the Advisor for ITFI, NJTFI,
NYTFI and TFI. JPMIM, a wholly owned subsidiary of JPMorgan, is the Advisor for
CBF. The Advisors supervise the investments of each respective Fund and for such
services are paid a fee. The fee is accrued daily and paid monthly at an annual
rate equal to 0.30% of the average daily net assets for each respective Fund.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
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 Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A shares of the CBF, NJTFI, NYTFI and TFI, Class B shares of NJTFI, NYTFI
and TFI and Class C shares of NYTFI 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>
CLASS A CLASS B CLASS C
FUND
CBF 0.25 n/a n/a
NJTFI 0.25 0.75 n/a
NYTFI 0.25 0.75 0.75
TFI 0.25 0.75 n/a
</Table>
62
<Page>
In addition, JPMFD receives any contingent deferred sales charges ("CDSC") from
redemptions of Class B and Class C shares.
The Distributor waived fees as outlined in Note 4.F.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder
Servicing Agreements 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>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
FUND
CBF 0.25 n/a n/a 0.10 0.25
ITFI n/a n/a n/a 0.10 0.25
NJTFI 0.25 0.25 n/a n/a 0.25
NYTFI 0.25 0.25 0.25 0.10 0.25
TFI 0.25 0.25 n/a n/a 0.25
</Table>
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and JPMST are parties to
separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationships between Schwab, JPMST and JPMCB are
terminated, the Funds would be responsible for the ongoing payments to Schwab
with respect to pre-termination shares.
JPMCB waived fees as outlined in Note 4.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and
custody 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 uninvested cash balances held by the
custodian. Such earnings credits are presented separately in the Statement of
Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate of 0.15% of the first $25 billion of the
average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
BISYS Fund Services, L.P. ("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.
63
<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>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
FUND
CBF 0.60 n/a n/a 0.50 0.65
ITFI n/a n/a n/a 0.50 0.66
NJTFI 1.00 1.50 n/a n/a 0.75
NYTFI 0.75 1.55 1.55 0.50 0.72
TFI 0.75 1.64 n/a n/a 0.75
</Table>
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>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
FUND
CBF 12/31/03 n/a n/a 12/31/04 12/31/04
ITFI n/a n/a n/a 12/31/04 12/31/04
NJTFI 12/31/03 12/31/03 n/a n/a 12/31/03
NYTFI 12/31/03 12/31/03 12/31/03 12/31/04 12/31/04
TFI 12/31/03 12/31/03 n/a n/a 12/31/03
</Table>
64
<Page>
The Administrator waived fees and/or reimbursed expenses as outlined in
Note 4.F.
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>
CONTRACTUAL WAIVERS
--------------------------------------------------------------------------------
SHAREHOLDER CONTRACTUAL
ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
FUND
CBF $ 164 $ 203 $ 57 $ 424 $ --
ITFI 1,165 263 -- $ 1,428 --
NJTFI 40 85 -- 125 26
NYTFI 105 415 258 778 --
TFI -- 97 151 248 --
Total $ 1,474 $ 1,063 $ 466 $ 3,003 $ 26
</Table>
G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
For the year ended August 31, 2003, there were no brokerage commissions with
broker/dealers affiliated with JPMCB.
During the period, certain funds purchased securities from an underwriting
syndicate in which the principal underwriter or members of the syndicate are
affiliated with the Advisors.
65
<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
CBF
Class A $ 56 $ 57 $ 27
Institutional 135 -- 18
Select 107 -- 20
$ 298 $ 57 $ 65
ITFI
Institutional $ 563 $ 67
Select 2,962 34
$ 3,525 $ 101
NJTFI
Class A $ 2 $ 2 $ 15
Class B 1 3 13
Select 197 -- 12
$ 200 $ 5 $ 40
NYTFI
Class A $ 257 $ 258 $ 76
Class B 60 179 18
Class C 1 3 --^
Institutional 280 -- 27
Select 1,157 -- 35
$ 1,755 $ 440 $ 156
TFI
Class A $ 151 $ 150 $ 88
Class B 15 44 9
Select 1,896 -- 31
$ 2,062 $ 194 $ 128
</Table>
^ Amount rounds to less than one thousand.
66
<Page>
6. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the years ended August 31, 2003 and
August 31, 2002 are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02
------------------------------------ ------------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
CBF
Class A $ 819 $ 87 $ 776 $ 8
Institutional 4,961 605 5,412 58
Select 1,491 172 1,389 13
- ---------------------------------------------------------------------------------------------------------------
$ 7,271 $ 864 $ 7,577 $ 79
ITFI
Institutional $ 21,900 $ 3,975 $ 24,361 $ 2,247
Select 44,247 7,622 42,881 4,101
- ---------------------------------------------------------------------------------------------------------------
$ 66,147 $ 11,597 $ 67,242 $ 6,348
NJTFI
Class A $ 22 $ 3 $ 1 $ --
Class B 10 1 -- --
Select 2,624 1,339 2,952 1,448
- ---------------------------------------------------------------------------------------------------------------
$ 2,656 $ 1,343 $ 2,953 $ 1,448
NYTFI
Class A $ 3,558 $ 25 $ 4,948 $ 357
Class B 631 6 425 27
Class C 11 -- -- --
Institutional 10,346 70 10,592 507
Select 16,141 111 16,394 917
- ---------------------------------------------------------------------------------------------------------------
$ 30,687 $ 212 $ 32,359 $ 1,808
TFI
Class A $ 2,396 $ 462 $ 2,497 $ --
Class B 180 42 193 --
Select 30,152 5,824 33,308 --
- ---------------------------------------------------------------------------------------------------------------
$ 32,728 $ 6,328 $ 35,998 $ --
- ---------------------------------------------------------------------------------------------------------------
</Table>
67
<Page>
7. INVESTMENT TRANSACTIONS
For the year ended August 31, 2003, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S.
GOVERNMENT) GOVERNMENT)
FUND
CBF $ 88,223 $ 144,881
ITFI 906,311 1,105,518
NJTFI 42,060 54,302
NYTFI 296,964 445,204
TFI 267,186 495,205
</Table>
8. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized
appreciation(depreciation) in value of the investment securities at August 31,
2003, are as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND
CBF $ 157,031 $ 7,389 $ (210) $ 7,179
ITFI 1,557,552 84,135 (2,958) 81,177
NJTFI 70,528 2,480 (336) 2,144
NYTFI 711,294 35,149 (1,606) 33,543
TFI 678,696 38,002 (1,102) 36,900
</Table>
The tax character of distributions paid during the years ended August 31, 2003
and August 31, 2002 were as follows (amounts in thousands):
YEAR ENDED AUGUST 31, 2003
<Table>
<Caption>
TAX EXEMPT ORDINARY LONG-TERM TOTAL
INCOME INCOME CAPITAL GAIN DISTRIBUTIONS
FUND
CBF $ 7,232 $ 410 $ 493 $ 8,135
ITFI 65,928 6,432 5,384 77,744
NJTFI 2,652 469 878 3,999
NYTFI 30,645 42 212 30,899
TFI 32,626 3,265 3,165 39,056
</Table>
68
<Page>
YEAR ENDED AUGUST 31, 2002
<Table>
<Caption>
TAX EXEMPT ORDINARY LONG-TERM TOTAL
INCOME INCOME CAPITAL GAIN DISTRIBUTIONS
FUND
CBF $ 7,555 $ 22 $ 79 $ 7,656
ITFI 67,242 -- 6,348 73,590
NJTFI 2,923 686 792 4,401
NYTFI 32,360 521 1,286 34,167
TFI 35,997 -- -- 35,997
</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>
CBF ITFI NJTFI
FUND
Current distributable ordinary income $ -- $ -- $ 51
Current distributable tax-exempt income 283 3,484 169
Plus/Less: cumulative timing differences (328) (3,874) (201)
Undistributed ordinary income or
(overdistribution of ordinary income) $ (45) $ (390) $ 19
Current distributable long-term capital
gain or (tax basis capital loss carryover) 1,203 3,072 1,961
Plus/Less: cumulative timing differences -- -- --
Undistributed long-term gains/
accumulated capital loss 1,203 3,072 1,961
Unrealized appreciation (depreciation) $ 7,179 $ 81,177 $ 2,144
</Table>
<Table>
<Caption>
NYTFI TFI
FUND
Current distributable ordinary income $ -- $ 21
Current distributable tax-exempt income 1,264 2,072
Plus/Less: cumulative timing differences (1,442) (2,306)
Undistributed ordinary income or
(overdistribution of ordinary income) $ (178) $ (213)
Current distributable long-term capital
gain or (tax basis capital loss carryover) 7,747 4,359
Plus/Less: cumulative timing differences -- --
Undistributed long-term gains/
accumulated capital loss 7,747 4,359
Unrealized appreciation (depreciation) $ 33,543 $ 37,155
</Table>
69
<Page>
For CBF, TFI and ITFI, the difference between book and tax basis unrealized
appreciation/(depreciation) is primarily attributed to the mark to market of
futures. For NYTFI, the difference between book and tax basis unrealized
appreciation/(depreciation) is primarily attributed to the mark to market of
futures, and basis adjustment due to different book/tax amortization of market
discount. For the Funds, the cumulative timing difference account primarily
consists of dividends payable and deferred compensation.
9. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Funds. The commitment fee is included in
Other expenses on the Statement of Operations. This agreement will expire on
April 15, 2004.
Prior to April 17, 2003, the Funds had entered into an agreement, enabling it to
participate with other JPMorgan Funds in an unsecured line of credit with a
syndicate of banks, which permitted borrowings up to $400 million, collectively.
Interest was charged to each Fund based on its borrowings at an annual rate
equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a
commitment fee of 0.09% per annum on the average daily amount of the available
commitment, which was allocated on a pro-rata basis to the Funds. This agreement
expired on April 16, 2003.
The Funds had no borrowings outstanding at August 31, 2003, nor at anytime
during the year then ended.
10. CONCENTRATIONS AND INDEMNIFICATIONS
The ability of the issuers of debt, asset-backed and mortgage-backed securities,
along with counterparties to swap agreements, to meet their obligations may be
affected by the economic and political developments in a specific industry or
region. The value of asset-backed and mortgage-backed securities can be
significantly affected by changes in interest rates or rapid principal payments
including prepayments.
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.
The Funds 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. CBF, NJTFI and NYTFI primarily invest in issuers
in the States of California, New Jersey and New York, respectively. TFI invested
approximately 26.9% of its net assets in issuers in New York State. The issuer's
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.
70
<Page>
11. SUBSEQUENT EVENTS
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 advisor to all of the funds.
On October 1, 2003, JPMIM changed from being a wholly owned subsidiary of
JPMorgan ("Parent") to being an indirectly wholly owned subsidiary of the
Parent, with the intermediary being J.P. Morgan Fleming Asset Management
Holdings, Inc.
71
<Page>
12. CAPITAL SHARE TRANSACTIONS
<Table>
<Caption>
CALIFORNIA BOND FUND
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003 AUGUST 31, 2002^
CLASS A SHARES
AMOUNT
Shares sold $ 4,386 $ 4,563
Shares issued in connection with
Fund reorganization (Note 2) -- 23,319
Shares issued in reinvestment
of distributions 448 358
Shares redeemed (5,714) (5,377)
- -------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (880) $ 22,863
- -------------------------------------------------------------------------
SHARES
Shares sold 401 417
Shares issued in connection with
Fund reorganization (Note 2) -- 2,139
Shares issued in reinvestment
of distributions 41 33
Shares redeemed (516) (498)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (74) 2,091
- -------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 32,544 $ 65,758
Shares issued in reinvestment
of distributions 1,830 1,621
Shares redeemed (73,815) (56,771)
- -------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (39,441) $ 10,608
- -------------------------------------------------------------------------
SHARES
Shares sold 2,989 6,130
Shares issued in reinvestment
of distributions 168 152
Shares redeemed (6,788) (5,332)
- -------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,631) 950
- -------------------------------------------------------------------------
</Table>
^ For Class A Shares, from commencement of offering on September 10, 2001.
72
<Page>
<Table>
<Caption>
CALIFORNIA BOND FUND (CONTINUED)
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003 AUGUST 31, 2002
SELECT SHARES
AMOUNT
Shares sold $ 12,521 $ 22,222
Shares issued in reinvestment
of distributions 730 695
Shares redeemed (21,864) (9,362)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (8,613) $ 13,555
- -------------------------------------------------------------------------
SHARES
Shares sold 1,130 2,049
Shares issued in reinvestment
of distributions 66 64
Shares redeemed (1,980) (863)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (784) 1,250
- -------------------------------------------------------------------------
</Table>
73
<Page>
<Table>
<Caption>
INTERMEDIATE TAX FREE INCOME FUND
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003 AUGUST 31, 2002^
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 135,433 $ 238,778
Shares issued in connection with
Fund reorganization (Note 2) -- 552,679
Shares issued in reinvestment
of distributions 9,531 9,244
Shares redeemed (293,878) (170,779)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (148,914) $ 629,922
- -------------------------------------------------------------------------
SHARES
Shares sold 12,144 21,941
Shares issued in connection with
Fund reorganization (Note 2) -- 50,521
Shares issued in reinvestment
of distributions 856 848
Shares redeemed (26,319) (15,721)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (13,319) 57,589
- -------------------------------------------------------------------------
SELECT SHARES *
AMOUNT
Shares sold $ 368,766 $ 321,333
Shares issued in connection with
Fund reorganization (Note 2) -- 353,981
Shares issued in reinvestment
of distributions 16,184 13,644
Shares redeemed (356,618) (280,591)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 28,332 $ 408,367
- -------------------------------------------------------------------------
SHARES
Shares sold 33,010 29,316
Shares issued in connection with
Fund reorganization (Note 2) -- 32,330
Shares issued in reinvestment
of distributions 1,457 1,257
Shares redeemed (31,918) (25,736)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 2,549 37,167
- -------------------------------------------------------------------------
</Table>
* Formerly Institutional Class shares.
^ For Institutional Shares, from commencement of offering on September 10, 2001.
74
<Page>
<Table>
<Caption>
NEW JERSEY TAX FREE INCOME FUND
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003 AUGUST 31, 2002^
CLASS A SHARES
AMOUNT
Shares sold $ 1,811 $ 53
Shares issued in reinvestment
of distributions 22 1
Shares redeemed (23) --
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 1,810 $ 54
- -------------------------------------------------------------------------
SHARES
Shares sold 175 5
Shares issued in reinvestment
of distributions 2 --
Shares redeemed (2) --
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 175 5
- -------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 839 $ 56
Shares issued in reinvestment
of distributions 9 --
Shares redeemed (88) --
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 760 $ 56
- -------------------------------------------------------------------------
SHARES
Shares sold 82 6
Shares issued in reinvestment
of distributions 1 --
Shares redeemed (9) --
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 74 6
- -------------------------------------------------------------------------
SELECT SHARES *
AMOUNT
Shares sold $ 5,191 $ 10,293
Shares issued in reinvestment
of distributions 1,186 1,317
Shares redeemed (14,969) (10,958)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (8,592) $ 652
- -------------------------------------------------------------------------
SHARES
Shares sold 504 1,022
Shares issued in reinvestment
of distributions 117 134
Shares redeemed (1,453) (1,081)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (832) 75
- -------------------------------------------------------------------------
</Table>
^ For Class A and Class B Shares, from commencement of offering on
April 01, 2002.
* Formerly Institutional Class shares.
75
<Page>
<Table>
<Caption>
NEW YORK INTERMEDIATE TAX FREE INCOME FUND
------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003 AUGUST 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 26,999 $ 142,935
Shares issued in reinvestment
of distributions 2,726 3,899
Shares redeemed (47,172) (157,990)
- -------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (17,447) $ (11,156)
- -------------------------------------------------------------------------------
SHARES
Shares sold 3,598 19,642
Shares issued in reinvestment
of distributions 364 536
Shares redeemed (6,318) (21,759)
- -------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (2,356) (1,581)
- -------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 7,435 $ 12,643
Shares issued in reinvestment
of distributions 428 305
Shares redeemed (3,541) (4,341)
- -------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 4,322 $ 8,607
- -------------------------------------------------------------------------------
SHARES
Shares sold 988 1,731
Shares issued in reinvestment
of distributions 57 42
Shares redeemed (471) (595)
- -------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 574 1,178
- -------------------------------------------------------------------------------
</Table>
76
<Page>
<Table>
<Caption>
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED)
------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003^ AUGUST 31, 2002
CLASS C SHARES
AMOUNT
Shares sold $ 1,937
Shares issued in reinvestment
of distributions 10
Shares redeemed (93)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 1,854
- ---------------------------------------------------------------------------------------------
SHARES
Shares sold 257
Shares issued in reinvestment
of distributions 1
Shares redeemed (13)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 245
- ---------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 28,180 $ 92,571
Shares issued in connection with
Fund reorganization (Note 2) -- 307,395
Shares issued in reinvestment
of distributions 4,650 4,642
Shares redeemed (98,854) (112,439)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (66,024) $ 292,169
- ---------------------------------------------------------------------------------------------
SHARES
Shares sold 3,755 12,678
Shares issued in connection with
Fund reorganization (Note 2) -- 41,920
Shares issued in reinvestment
of distributions 620 636
Shares redeemed (13,177) (15,336)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (8,802) 39,898
- ---------------------------------------------------------------------------------------------
</Table>
^ For Class C Shares, from commencement of offering on January 31, 2003.
77
<Page>
<Table>
<Caption>
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED)
------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003 AUGUST 31, 2002
SELECT SHARES *
AMOUNT
Shares sold $ 78,597 $ 117,859
Shares issued in connection with
Fund Reorganization (Note 2) -- 159,184
Shares issued in reinvestment
of distributions 4,113 5,138
Shares redeemed (140,893) (116,035)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (58,183) $ 166,146
- ---------------------------------------------------------------------------------------------
SHARES
Shares sold 10,472 16,117
Shares issued in connection with
Fund Reorganization (Note 2) -- 21,707
Shares issued in reinvestment
of distributions 549 705
Shares redeemed (18,786) (15,882)
- ---------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (7,765) 22,647
- ---------------------------------------------------------------------------------------------
</Table>
* Formerly Institutional Class shares.
78
<Page>
<Table>
<Caption>
TAX FREE INCOME FUND
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2003 AUGUST 31, 2002
CLASS A SHARES
AMOUNT
Shares sold $ 97,661 $ 95,324
Shares issued in reinvestment
of distributions 2,131 1,846
Shares redeemed (107,439) (95,334)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (7,647) $ 1,836
- -------------------------------------------------------------------------
SHARES
Shares sold 14,710 14,638
Shares issued in reinvestment
of distributions 321 284
Shares redeemed (16,156) (14,631)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (1,125) 291
- -------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 1,104 $ 2,398
Shares issued in reinvestment
of distributions 144 126
Shares redeemed (1,632) (4,169)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (384) $ (1,645)
- -------------------------------------------------------------------------
SHARES
Shares sold 165 368
Shares issued in reinvestment
of distributions 22 19
Shares redeemed (246) (639)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (59) (252)
- -------------------------------------------------------------------------
SELECT SHARES *
AMOUNT
Shares sold $ 24,525 $ 94,544
Shares issued in reinvestment
of distributions 5,617 89
Shares redeemed (144,780) (107,312)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (114,638) $ (12,679)
- -------------------------------------------------------------------------
SHARES
Shares sold 3,681 14,556
Shares issued in reinvestment
of distributions 855 14
Shares redeemed (21,767) (16,519)
- -------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (17,231) (1,949)
- -------------------------------------------------------------------------
</Table>
* Formerly Institutional Class shares.
79
<Page>
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
Year Ended 8/31/03 $ 11.07 0.39 (0.22) 0.17 0.40 0.04 0.44
9/10/01** Through 8/31/02 $ 10.90 0.40 0.17 0.57 0.40 -- 0.40
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.36 0.30 (0.10) 0.20 0.32 0.17 0.49
4/1/02** Through 8/31/02 $ 9.84 0.12 0.53 0.65 0.13 -- 0.13
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.45 0.26@ (0.10) 0.16 0.26 --! 0.26
Year Ended 8/31/02 $ 7.37 0.26@ 0.10 0.36 0.27 0.01 0.28
2/16/01** Through 8/31/01 $ 7.22 0.15 0.15 0.30 0.15 -- 0.15
TAX FREE INCOME FUND
Year Ended 8/31/03 $ 6.66 0.26@ (0.12) 0.14 0.26 0.05 0.31
Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.27 -- 0.27
2/16/01** Through 8/31/01 $ 6.44 0.15 0.13 0.28 0.15 -- 0.15
</Table>
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
(b) 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.
80
<Page>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL
PER SHARE OPERATING PERFORMANCE: DATA:
----------------------------------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (IN MILLIONS)
CALIFORNIA BOND FUND
Year Ended 8/31/03 $ 10.80 1.51% $ 22
9/10/01** Through 8/31/02 $ 11.07 5.33% $ 23
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.07 1.92% $ 2
4/1/02** Through 8/31/02 $ 10.36 6.67% $ --(b)
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.35 2.15% $ 88
Year Ended 8/31/02 $ 7.45 5.06% $ 107
2/16/01** Through 8/31/01 $ 7.37 4.26% $ 117
TAX FREE INCOME FUND
Year Ended 8/31/03 $ 6.49 2.15% $ 52
Year Ended 8/31/02 $ 6.66 5.64% $ 61
2/16/01** Through 8/31/01 $ 6.57 4.46% $ 59
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
------------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
CALIFORNIA BOND FUND
Year Ended 8/31/03 0.60% 3.56% 1.16% 3.00% 49%
9/10/01** Through 8/31/02 0.60% 3.70% 1.23% 3.07% 65%
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 1.00% 2.87% 3.13% 0.74% 59%
4/1/02** Through 8/31/02 1.00% 3.16% 33.81%!! (29.67%)!! 75%
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 0.75% 3.45% 1.07% 3.13% 38%
Year Ended 8/31/02 0.75% 3.58% 1.09% 3.24% 75%
2/16/01** Through 8/31/01 0.75% 4.10% 1.21% 3.64% 33%
TAX FREE INCOME FUND
Year Ended 8/31/03 0.75% 3.94% 1.14% 3.55% 36%
Year Ended 8/31/02 0.75% 4.21% 1.15% 3.81% 94%
2/16/01** Through 8/31/01 0.75% 4.55% 1.23% 4.07% 57%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
81
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.34 0.26 (0.12) 0.14 0.27 0.17 0.44
4/1/02** Through 8/31/02 $ 9.84 0.11 0.50 0.61 0.11 -- 0.11
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.46 0.20@ (0.10) 0.10 0.20 --! 0.20
Year Ended 8/31/02 $ 7.38 0.21@ 0.08 0.29 0.20 0.01 0.21
2/16/01** Through 8/31/01 $ 7.22 0.12 0.16 0.28 0.12 -- 0.12
TAX FREE INCOME FUND
Year Ended 8/31/03 $ 6.68 0.20@ (0.12) 0.08 0.21 0.05 0.26
Year Ended 8/31/02 $ 6.58 0.25@ 0.05 0.30 0.20 -- 0.20
2/16/01** Through 8/31/01 $ 6.44 0.12 0.14 0.26 0.12 -- 0.12
</Table>
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
(b) 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.
82
<Page>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL
PER SHARE OPERATING PERFORMANCE: DATA:
----------------------------------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (IN MILLIONS)
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.04 1.31% $ 1
4/1/02** Through 8/31/02 $ 10.34 6.20% $ --(b)
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.36 1.34% $ 25
Year Ended 8/31/02 $ 7.46 4.08% $ 21
2/16/01** Through 8/31/01 $ 7.38 3.91% $ 12
TAX FREE INCOME FUND
Year Ended 8/31/03 $ 6.50 1.11% $ 6
Year Ended 8/31/02 $ 6.68 4.69% $ 6
2/16/01** Through 8/31/01 $ 6.58 4.13% $ 7
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 1.50% 2.44% 4.96% (1.02%) 59%
4/1/02** Through 8/31/02 1.50% 2.72% 36.90%!! (32.68%)!! 75%
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 1.55% 2.64% 1.57% 2.62% 38%
Year Ended 8/31/02 1.57% 2.74% 1.59% 2.72% 75%
2/16/01** Through 8/31/01 1.64% 3.21% 1.72% 3.13% 33%
TAX FREE INCOME FUND
Year Ended 8/31/03 1.64% 3.04% 1.64% 3.04% 36%
Year Ended 8/31/02 1.64% 3.31% 1.65% 3.30% 94%
2/16/01** Through 8/31/01 1.64% 3.66% 1.74% 3.56% 57%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
83
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
1/31/03** Through 8/31/03 $ 7.46 0.10@ (0.09) 0.01 0.11 --! 0.11
</Table>
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005.
(1) Total return figures do not include the effect of any front-end or deferred
sales load.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
84
<Page>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL
PER SHARE OPERATING PERFORMANCE: DATA:
----------------------------------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (1)(a) (IN MILLIONS)
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
1/31/03** Through 8/31/03 $ 7.36 0.17% $ 2
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
1/31/03** Through 8/31/03 1.55% 2.40% 1.57% 2.38% 38%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
85
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
Year Ended 8/31/03 $ 10.90 0.41 (0.23) 0.18 0.40 0.04 0.44
Year Ended 8/31/02 $ 10.73 0.42 0.16 0.58 0.41 -- 0.41
5/1/01 Through 8/31/01^ $ 10.36 0.14 0.40 0.54 0.14 0.03 0.17
Year Ended 4/30/01 $ 10.03 0.46 0.33 0.79 0.46 -- 0.46
Year Ended 4/30/00 $ 10.40 0.42 (0.36) 0.06 0.42 0.01 0.43
Year Ended 4/30/99 $ 10.20 0.41 0.25 0.66 0.41 0.05 0.46
INTERMEDIATE TAX FREE
INCOME FUND
Year Ended 8/31/03 $ 11.15 0.43 (0.15) 0.28 0.43 0.07 0.50
9/10/01** Through 8/31/02 $ 10.94 0.44 0.25 0.69 0.44 0.04 0.48
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.46 0.28@ (0.10) 0.18 0.28 --! 0.28
9/10/01** Through 8/31/02 $ 7.33 0.27@ 0.15 0.42 0.28 0.01 0.29
</Table>
^ The Fund changed its fiscal year end from April 30 to August 31.
** Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
86
<Page>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL
PER SHARE OPERATING PERFORMANCE: DATA:
------------------------------------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (a) (IN MILLIONS)
CALIFORNIA BOND FUND
Year Ended 8/31/03 $ 10.64 1.67% $ 107
Year Ended 8/31/02 $ 10.90 5.57% $ 149
5/1/01 Through 8/31/01^ $ 10.73 5.31% $ 137
Year Ended 4/30/01 $ 10.36 7.97% $ 126
Year Ended 4/30/00 $ 10.03 0.70% $ 85
Year Ended 4/30/99 $ 10.40 6.55% $ 64
INTERMEDIATE TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.93 2.60% $ 484
9/10/01** Through 8/31/02 $ 11.15 6.43% $ 642
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.36 2.40% $ 229
9/10/01** Through 8/31/02 $ 7.46 5.89% $ 298
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
CALIFORNIA BOND FUND
Year Ended 8/31/03 0.50% 3.72% 0.66% 3.56% 49%
Year Ended 8/31/02 0.50% 3.84% 0.71% 3.63% 65%
5/1/01 Through 8/31/01^ 0.50% 3.99% 0.59% 3.90% 29%
Year Ended 4/30/01 0.50% 4.40% 0.59% 4.31% 55%
Year Ended 4/30/00 0.50% 4.19% 0.70% 3.99% 87%
Year Ended 4/30/99 0.49% 3.92% 0.71% 3.70% 40%
INTERMEDIATE TAX FREE
INCOME FUND
Year Ended 8/31/03 0.50% 3.89% 0.59% 3.80% 56%
9/10/01** Through 8/31/02 0.50% 4.02% 0.58% 3.94% 71%
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 0.50% 3.70% 0.60% 3.60% 38%
9/10/01** Through 8/31/02 0.50% 3.85% 0.62% 3.73% 75%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
87
<Page>
SELECT CLASS SHARES*
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
Year Ended 8/31/03 $ 11.07 0.39 (0.23) 0.16 0.39 0.04 0.43
Year Ended 8/31/02 $ 10.91 0.40 0.16 0.56 0.40 -- 0.40
5/1/01 Through 8/31/01^ $ 10.53 0.14 0.41 0.55 0.14 0.03 0.17
Year Ended 4/30/01 $ 10.20 0.45 0.33 0.78 0.45 -- 0.45
Year Ended 4/30/00 $ 10.57 0.41 (0.36) 0.05 0.41 0.01 0.42
Year Ended 4/30/99 $ 10.35 0.40 0.26 0.66 0.40 0.04 0.44
INTERMEDIATE TAX FREE
INCOME FUND
Year Ended 8/31/03 $ 11.15 0.42 (0.15) 0.27 0.42 0.07 0.49
Year Ended 8/31/02 $ 10.98 0.43 0.21 0.64 0.43 0.04 0.47
Year Ended 8/31/01 $ 10.46 0.44 0.52 0.96 0.44 -- 0.44
Year Ended 8/31/00 $ 10.42 0.46 0.10 0.56 0.46 0.06 0.52
Year Ended 8/31/99 $ 10.93 0.52 (0.39) 0.13 0.52 0.12 0.64
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.34 0.34 (0.08) 0.26 0.34 0.17 0.51
Year Ended 8/31/02 $ 10.33 0.37 0.20 0.57 0.37 0.19 0.56
Year Ended 8/31/01 $ 9.73 0.42 0.60 1.02 0.42 -- 0.42
Year Ended 8/31/00 $ 9.61 0.44 0.12 0.56 0.44 -- 0.44
Year Ended 8/31/99 $ 10.24 0.49 (0.45) 0.04 0.49 0.18 0.67
</Table>
* Formerly Institutional for ITFI and NJTFI.
^ The Fund changed its fiscal year end from April 30 to August 31.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
88
<Page>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL
PER SHARE OPERATING PERFORMANCE: DATA:
------------------------------------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (a) (IN MILLIONS)
CALIFORNIA BOND FUND
Year Ended 8/31/03 $ 10.80 1.45% $ 36
Year Ended 8/31/02 $ 11.07 5.31% $ 46
5/1/01 Through 8/31/01^ $ 10.91 5.31% $ 31
Year Ended 4/30/01 $ 10.53 7.77% $ 33
Year Ended 4/30/00 $ 10.20 0.60% $ 14
Year Ended 4/30/99 $ 10.57 6.43% $ 17
INTERMEDIATE TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.93 2.44% $ 1,159
Year Ended 8/31/02 $ 11.15 5.99% $ 1,155
Year Ended 8/31/01 $ 10.98 9.35% $ 728
Year Ended 8/31/00 $ 10.46 5.54% $ 694
Year Ended 8/31/99 $ 10.42 1.15% $ 729
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 $ 10.09 2.58% $ 72
Year Ended 8/31/02 $ 10.34 5.82% $ 83
Year Ended 8/31/01 $ 10.33 10.69% $ 82
Year Ended 8/31/00 $ 9.73 6.08% $ 73
Year Ended 8/31/99 $ 9.61 0.37% $ 68
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a)
CALIFORNIA BOND FUND
Year Ended 8/31/03 0.65% 3.51% 0.84% 3.32% 49%
Year Ended 8/31/02 0.65% 3.63% 0.88% 3.40% 65%
5/1/01 Through 8/31/01^ 0.65% 3.84% 0.78% 3.71% 29%
Year Ended 4/30/01 0.65% 4.25% 0.78% 4.12% 55%
Year Ended 4/30/00 0.65% 3.99% 0.85% 3.79% 87%
Year Ended 4/30/99 0.65% 3.76% 0.87% 3.54% 40%
INTERMEDIATE TAX FREE INCOME FUND
Year Ended 8/31/03 0.66% 3.73% 0.74% 3.65% 56%
Year Ended 8/31/02 0.66% 3.88% 0.74% 3.80% 71%
Year Ended 8/31/01 0.74% 4.10% 0.75% 4.09% 43%
Year Ended 8/31/00 0.57% 4.49% 0.66% 4.40% 60%
Year Ended 8/31/99 0.03% 4.81% 0.50% 4.34% 62%
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/03 0.75% 3.35% 0.90% 3.20% 59%
Year Ended 8/31/02 0.75% 3.64% 0.89% 3.50% 75%
Year Ended 8/31/01 0.75% 4.18% 0.93% 4.00% 48%
Year Ended 8/31/00 0.59% 4.67% 0.82% 4.44% 48%
Year Ended 8/31/99 0.04% 4.94% 0.63% 4.35% 24%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
89
<Page>
SELECT CLASS SHARES*
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
-------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.46 0.26@ (0.09) 0.17 0.26 --! 0.26
Year Ended 8/31/02 $ 7.38 0.26@ 0.09 0.35 0.26 0.01 0.27
Year Ended 8/31/01 $ 7.01 0.29 0.37 0.66 0.29 -- 0.29
Year Ended 8/31/00 $ 6.91 0.31 0.10 0.41 0.31 -- 0.31
Year Ended 8/31/99 $ 7.29 0.35 (0.31) 0.04 0.35 0.07 0.42
TAX FREE INCOME FUND
Year Ended 8/31/03 $ 6.65 0.26@ (0.12) 0.14 0.26 0.05 0.31
Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.28 -- 0.28
Year Ended 8/31/01 $ 6.25 0.29 0.32 0.61 0.29 -- 0.29
Year Ended 8/31/00 $ 6.19 0.30 0.06 0.36 0.30 -- 0.30
Year Ended 8/31/99 $ 6.60 0.34 (0.37) (0.03) 0.34 0.04 0.38
</Table>
* Formerly Institutional.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005
SEE NOTES TO FINANCIAL STATEMENTS.
90
<Page>
<Table>
<Caption>
RATIOS/SUPPLEMENTAL
PER SHARE OPERATING PERFORMANCE: DATA:
------------------------------------------------------
NET ASSETS,
NET ASSET END OF
VALUE, END TOTAL PERIOD
OF PERIOD RETURN (IN MILLIONS)
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 $ 7.37 2.32% $ 410
Year Ended 8/31/02 $ 7.46 4.99% $ 474
Year Ended 8/31/01 $ 7.38 9.68% $ 302
Year Ended 8/31/00 $ 7.01 6.13% $ 277
Year Ended 8/31/99 $ 6.91 0.38% $ 295
TAX FREE INCOME FUND
Year Ended 8/31/03 $ 6.48 2.14% $ 663
Year Ended 8/31/02 $ 6.65 5.61% $ 796
Year Ended 8/31/01 $ 6.57 10.00% $ 798
Year Ended 8/31/00 $ 6.25 6.11% $ 753
Year Ended 8/31/99 $ 6.19 (0.63%) $ 744
<Caption>
RATIOS/SUPPLEMENTAL DATA:
--------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------------
NET INVESTMENT
NET EXPENSES INCOME
INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO
NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER
EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE
NEW YORK INTERMEDIATE TAX
FREE INCOME FUND
Year Ended 8/31/03 0.72% 3.48% 0.75% 3.45% 38%
Year Ended 8/31/02 0.72% 3.63% 0.76% 3.59% 75%
Year Ended 8/31/01 0.75% 4.10% 0.79% 4.06% 33%
Year Ended 8/31/00 0.58% 4.48% 0.70% 4.36% 46%
Year Ended 8/31/99 0.04% 4.85% 0.53% 4.36% 39%
TAX FREE INCOME FUND
Year Ended 8/31/03 0.75% 3.95% 0.75% 3.95% 36%
Year Ended 8/31/02 0.75% 4.23% 0.75% 4.23% 94%
Year Ended 8/31/01 0.74% 4.56% 0.76% 4.54% 57%
Year Ended 8/31/00 0.57% 4.98% 0.66% 4.89% 35%
Year Ended 8/31/99 0.03% 5.25% 0.50% 4.78% 39%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
91
<Page>
REPORT OF INDEPENDENT AUDITORS
To the Trustees and Shareholders of
J.P. Morgan Series Trust and
J.P. Morgan Mutual Fund Select Trust
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan California Bond Fund,
JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income
Fund, JPMorgan New York Intermediate Tax Free Income Fund, and JPMorgan Tax Free
Income Fund (separate portfolios of J.P. Morgan Series Trust and J.P. Morgan
Mutual Fund Select Trust, hereafter referred to as the "Trusts") 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 Trusts' 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
92
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN CALIFORNIA BOND FUND ("CBF")
JPMORGAN INTERMEDIATE TAX FREE INCOME FUND ("ITFI")
JPMORGAN NEW JERSEY TAX FREE INCOME FUND ("NJTFI")
JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND ("NYTFI")
JPMORGAN TAX FREE INCOME FUND ("TFI")
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.
For the fiscal year ended August 31, 2003:
- - The dividends paid from net investment income are 99.46%, 99.67%, 99.83%,
99.86%, and 99.69% exempt from Federal income tax for CBF, ITFI, NJTFI, NYTFI
and TFI, respectively.
- - The Long-Term Capital gain designation is $493,457, $5,384,389, $878,216,
$212,431 and $3,165,489 for CBF, ITFI, NJTFI, NYTFI, and TFI, 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 4.81%, 10.19%, 4.06%,
3.73% and 3.21% for CBF, ITFI, NJTFI, NYTFI and TFI, respectively.
93
<Page>
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 OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED
TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 71 None
522 Fifth Avenue, are series of JPMST President and
New York, NY 10036; since 2001 and Funds Treasurer of
12/4/1941 that are series of Ingersoll-Rand
MFST since 1996. Company
(manufacturer of
industrial
equipment)
(1972 - 2000)
Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 71 Director, Janel Hydro,
522 Fifth Avenue, are series of JPMST Inc. (1993-Present)
New York, NY 10036; since 2001 and Funds
4/1/1932 that are series of
MFST since 1996.
Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke Energy
522 Fifth Avenue, Capital Cities/ABC, Corporation
New York, NY 10036; Inc. (1997-Present); Director
8/22/1945 (communications) of Elan Corporation, Plc
(1986-1998); (pharmaceuticals)
President of (2001-Present); Director
Diversified of The Phoenix Companies
Publishing Group (wealth management)
(1991-1997) (2002-Present)
Matthew Healey; Trustee and Trustee of Funds that Retired; Chief 71 None
522 Fifth Avenue, President of are series of JPMST Executive Officer of
New York, NY 10036; the Board of since 1996 and Funds certain J.P. Morgan
8/23/1937 Trustees that are series of Fund Trusts (1982
MFST since 2001. -2001)
Fergus Reid, III; Trustee and Trustee of Funds that Chairman of 71 Trustee of 16 Morgan
522 Fifth Avenue, Chairman of are series of JPMST Lumelite Corporation Stanley Funds
New York, NY 10036; the Board of since 2001 and Funds (plastics (1995-Present)
8/12/1932 Trustees that are series of manufacturing)
MFST since 1996. (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)
</Table>
94
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX OVERSEEN JP MORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED
TRUSTEE(S) (CONTINUED)
Robert J. Higgins; Trustee Since 2002 Director of 71 Director of Providian
522 Fifth Avenue, Administration of Financial Corp. (banking)
New York, NY 10036; the State of Rhode (2002-Present)
10/9/1945 Island
(2003-Present);
President - Consumer
Banking and
Investment Services
Fleet Boston
Financial
(1971-2002)
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 71 Trustee of the Albert
522 Fifth Avenue, City University of Einstein School of
New York, NY 10036; New York, since Medicine (1998-present);
11/10/1941 September 1, 1999; Trustee of Bronx Lebanon
President, Adelphi Hospital Center
University (New (1992-present); Director
York) (1998-1999). of 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
3/13/1937 Chairman and Chief of the Griswold Company
Executive Officer, (securities brokerage)
Boston Stock (2002-present); Director
Exchange (June 1985- of The National Football
March 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).
</Table>
95
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF OTHER
HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE
NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX OVERSEEN JP MORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Trustee of Funds that Retired; Chief 71 Director of Glenview
522 Fifth Avenue, are series of JPMST Executive Officer of Trust; Director of Pizza
New York, NY 10036; since 2001 and Funds Chase Mutual Funds Magia; Trustee of St.
7/20/1935 that are series of (investment company) Catherine College Trust;
MFST since 1998. (1989-1998); Chief Trustee of Bellarmine
Investment Executive University Trust; Director
of Chase Manhattan of Marion Washington
Private Bank Airport Board Trust;
(investment Director of Springfield
management) Washington Economic
(1990-1995) 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.
96
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------------------------
OFFICERS
George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Head of J.P. Morgan Fleming's U.S. Mutual Funds and Financial
New York, NY 10036; Intermediaries Business ("FFI"); he has held numerous
12/21/1962 positions throughout the firm in business management,
marketing and sales.
David Wezdenko; Treasurer Since 2001 Managing Director, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Chief Operating Officer for FFI; since joining J.P. Morgan
New York, NY 10036; Chase in 1996, he has held numerous financial and operation
10/2/1963 related positions supporting the J.P. Morgan pooling funds
business.
Sharon Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan Investment Management Inc.;
522 Fifth Avenue, Head of Business and Product Strategy for FFI; since joining
New York, NY 10036; J.P. Morgan Chase in 1996, she has held numerous positions
6/15/1959 throughout the asset management business in mutual funds
marketing, legal and product development.
Stephen Ungerman; Vice President Since 2001 Vice President, J.P. Morgan Investment Management Inc.; Fund
522 Fifth Avenue, and Assistant Administration - Pooled Vehicles; prior to joining J.P.
New York, NY 10036; Treasurer Morgan Chase in 2000, he held a number of in Prudential
6/2/1953 Financial's asset management business, including Associate
General Counsel, Tax Director and Co-head of Fund
Administration; Mr. Ungerman also served as Assistant
Treasurer for all mutual funds managed by Prudential.
Judy R. Bartlett; Vice President Since 2001 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, and Assistant Investment Management Inc. since September 2000; from August
New York, NY 10036; Secretary 1998 through August 2000, she was an attorney at New York
5/29/1965 Life Insurance Company where she served as Assistant
Secretary for the Mainstay Funds.
Joseph J. Bertini; Vice President Since 2001 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, and Assistant Investment Management Inc.
New York, NY 10036; Secretary
11/4/1965
Wayne H. Chan; Vice President Since 2003 Vice President and Assistant General Counsel, J.P. Morgan
522 Fifth Avenue, and Assistant Investment Management Inc. since September 2002; Mr. Chan was
New York, NY 10036; Secretary an associate at the law firm of Shearman & Sterling from May
6/27/1965 2001 through September 2002; Swidler Berlin Shereff Friedman
LLP from June 1999 through May 2001 and Whitman Breed Abbott
& Morgan LLP from September 1997 through May 1999.
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.; Budgeting
522 Fifth Avenue, Treasurer Analyst for the Budgeting and Expense Group of Funds
New York, NY Administration Group.
10036
9/08/1974
</Table>
97
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
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
Nimish S. Bhatt Assistant Since 2001 Senior Vice President of Alternative Investment and Tax
3435 Stelzer Rd. Treasurer Services of BISYS Fund Services, Inc. since January 2002;
Columbus, OH held various positions within BISYS since 1996, including
43219 Senior Vice President of Fund Administration and Financial
6/6/1963 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 Services,
3435 Stelzer Rd. Treasurer Inc. since June 2001; formerly Section Manager of Northern
Columbus, OH Trust Company and Accounting Supervisor at Allstate Insurance
43219 Company.
9/28/1966
Martin R. Dean Assistant Since 2001 Vice President of Regulatory Services of BISYS Fund Services,
3435 Stelzer Rd. Treasurer Inc.
Columbus, OH
43219
11/27/1963
Alaina Metz Assistant Since 2001 Chief Administrative Officer of BISYS Fund Services, Inc.;
3435 Stelzer Rd. Secretary formerly, Supervisor of the Blue Sky Department of Alliance
Columbus, OH Capital Management, L.P.
43219
4/7/1967
Ryan M. Louvar Assistant Since 2003 Counsel of Legal Services, BISYS Fund Services, Inc. since
60 State Street, Secretary 2000; formerly Attorney at Hill, Farrer & Burrill LLP from
Suite 1300 1999 to 2000 and Knapp Petersen & Clarke, PC from 1997 to
Boston, MA 1999.
02109
2/18/1972
Lisa Hurley Assistant Since 2001 Executive Vice President and General Counsel of BISYS Fund
60 State Street, Secretary 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 Chase &
522 Fifth Avenue, and Assistant Co.'s asset management business in the Americas.
New York, NY Secretary
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.
98
<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>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
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.
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.
<Page>
JPMorgan Funds Fulfillment Center PRSAT STD
393 Manley Street U.S. POSTAGE
West Bridgewater, MA 02379-1039 PAID
PERMIT 2891
KANSAS CITY, MO
(C)J.P. Morgan Chase & Co., 2003 All rights reserved. October 2003. AN-TF-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 Select 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
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David Wezdenko, Treasurer
Date October 21, 2003
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By (Signature and Title)* /s/ George C.W. Gatch
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George C.W. Gatch, President
Date October 21, 2003
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* Print the name and title of each signing officer under his or her signature.