<Page>
-----------------------------
OMB APPROVAL
-----------------------------
OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
-----------------------------
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07841
---------------------------------------------
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, 2004
---------------------------------------------
Date of reporting period: September 1, 2003 through February 29, 2004
--------------------------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Include a copy of the report transmitted to stockholders pursuant to Rule
30e-1 under the Act (17 CFR 270.30e-1).
<Page>
[GRAPHIC]
JPMORGAN FUNDS
SEMI - ANNUAL REPORT
FEBRUARY 29 2004 (UNAUDITED)
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 a worldwide investment presence. 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
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial advisor to help provide you with a
broad array of WEALTH SOLUTIONS.
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 74
</Table>
HIGHLIGHTS
- - Economic recovery underway
- - Municipals trade closely with Treasuries
- - Important merger news
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 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
LETTER TO SHAREHOLDERS APRIL 12, 2004
[PHOTO OF GEORGE C.W. GATCH]
"ECONOMIC GROWTH ACCELERATED DURING THE LAST FEW MONTHS OF THE YEAR -- SHOWING
SIGNS THAT IT WAS BECOMING SELF-SUSTAINING AND NO LONGER DRIVEN BY FISCAL AND
MONETARY POLICY."
DEAR SHAREHOLDER:
We are pleased to present this semi-annual report for the JPMorgan Tax Free
Funds for the six month period ended February 29, 2004. Inside you'll find
in-depth information on some of our fixed income funds along with an update from
the portfolio management team.
THE ECONOMIC RECOVERY STEADIES
As the period began, a strong economic recovery seemed to be underway. For
example, during the third quarter, the U.S. gross domestic product (GDP) -- the
total output of all goods and services produced in the United States -- had
grown 8.2%. Nonetheless, American companies continued to lay off employees and
delayed adding to their inventory. Inflation remained low; in fact, the general
impression was of ongoing deflation. The perceived risk of deflation, which
dominated the second quarter of 2003, appeared to have subsided. Economic growth
accelerated during the last few months of the year -- showing signs that it was
becoming self-sustaining and no longer driven by fiscal and monetary policy.
Fourth-quarter GDP growth was reported at 4.1%, below the market consensus of
4.5% to 5%. Some attributed the lower-than-expected GDP to weak inventory
accumulation and suggested that stronger growth was likely in early 2004.
Supporting this theory was the continued capital spending and earnings growth of
America's corporations. In February, economic data reinforced the expectation
that the economy would continue to grow at about 4%.
MUNICIPALS TRADE CLOSELY WITH TREASURIES
Early in the period, limited issuance and year-end pressures in the market drove
up municipal yields. In October, for example, fixed-rate tax-exempt yields
ranged from 95% to 105% of Treasury bill yields. These historically rich levels
remained unchanged in December as issuance slowed in the face of strong demand.
Absent meaningful supply in January, municipal ratios did not exhibit any clear
trend. When supply failed to materialize during February, tax-exempt issues
performed well and the broader municipal market continued to trade directionally
with Treasury rates. In the near term, as supply remains low, we expect
municipals to continue trading closely with Treasuries.
IMPORTANT MERGER NEWS
As you may know, JPMorgan Chase and Bank One have agreed to merge by mid-2004,
subject to approval of the Firms' shareholders and certain regulatory agencies.
We believe that the merger is compelling both strategically and financially. We
believe that the newly combined organization will have top-tier positions in
both wholesale and retail financial services, an extensive client base and
greater scale. And we will have an extraordinarily talented team that shares
common values and a strong client orientation.
In the months ahead, your portfolio managers will continue to work hard on your
behalf. They will try to obtain the highest possible tax-exempt yields in this
low interest rate environment while focusing on the preservation of your
principal. On behalf of all of us here at JPMorgan Fleming Asset Management,
thank you for the trust you have placed in us over the years. We look forward to
serving your investment needs for many years to come. Should you have any
questions, please feel free to contact the JPMorgan Funds Service Center at
1-800-348-4782.
Sincerely,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
<Page>
JPMORGAN
CALIFORNIA BOND FUND
AS OF FEBRUARY 29, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/23/1996
Fiscal Year End AUGUST 31
Net Assets as of 2/29/2004
(In Millions) $138.3
Primary Benchmark LEHMAN CALIFORNIA
COMPETITIVE
INTERMEDIATE
BOND INDEX (1-17)
Average Credit Quality AA
Duration 5.0 YEARS
Q: HOW DID THE FUND PERFORM?
A: The 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 5.57% (Institutional Shares) for the six-month period ended
February 29, 2004. This compares with the 5.49% return of its benchmark
index, the Lehman California Competitive Intermediate Bond Index (1-17 year).
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund outperformed its benchmark during the period. Our overweight to 10-
to 15-year part of the yield curve added to performance as the curve
flattened. Our high-quality bias hurt performance slightly when lower quality
issues outperformed. The Fund was overweight insured paper and high-quality
uninsured paper. We were underweight hospitals, airports, tobacco debt and
other high-yield sectors, which experienced a technical rebound following a
severe widening in spreads. As municipalities continue to struggle with
budget deficits, we continue to be concerned about the stability of these
credits. We also made what we consider a prudent decision to avoid the risks
specific to airport and tobacco debt. We plan to maintain our high-quality
bias.
Q: HOW WAS THE FUND MANAGED?
A: The economic expansion quickened, beginning the transition from being
policy-dependent to becoming self-sustaining. Strong profits supported the
corporate sector's gradual increase in capital spending and hiring. Yet, with
ongoing excess capacity and comparatively high unemployment, consumer price
inflation continued to decelerate. The Federal Reserve Board continued to
indicate that it would keep its monetary policy on hold until economic
conditions warrant a change. The U.S. gross domestic product (GDP) grew at
4.1% during the fourth quarter, slightly below the market consensus of 4.5%
to 5%. January and February economic data were mixed. Industrial production
rose, and new orders were near the two-decade high recorded in December.
Yields for Municipals were attractive relative to Treasury yields, which
ended the six-month period notably lower than the peak they reached in early
September.
Although California's economy has been resilient, investors were troubled by
the state's large budget deficit. Moody's Investor's Service, Standard &
Poor's and Fitch Ratings maintained their negative credit rating. In fact,
California debt was downgraded by Moody's to Baa1, which caused spreads to
widen about 15 to 20 basis points (one basis point is 1/100 of a percent).
Since then, California spreads have stabilized and started to rally.
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. As California spreads widened, we bought
high-quality issues that were not 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>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/23/96)
- -------------------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 4.80% 5.44% 5.19% 5.57%
With Sales Charge* 0.10% 3.82% 4.23% 4.90%
INSTITUTIONAL SHARES 5.02% 5.64% 5.36% 5.73%
SELECT SHARES 4.75% 5.40% 5.17% 5.56%
</Table>
* Sales Charge for Class A Shares is 4.50%.
[CHART]
LIFE OF FUND PERFORMANCE (12/23/96 TO 2/29/04)
<Table>
<Caption>
LIPPER
JPMORGAN CALIFORNIA LEHMAN CALIFORNIA COMPETITIVE CALIFORNIA MUNICIPAL
BOND FUND (INSTITUTIONAL SHARES) INTERMEDIATE BOND INDEX (1-17) DEBT FUNDS INDEX
Dec-1996 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-1996 $ 3,009,300 $ 3,000,000 $ 3,000,000
Jan-1997 $ 3,003,281 $ 3,010,800 $ 2,996,400
Feb-1997 $ 3,028,809 $ 3,034,585 $ 3,023,667
Mar-1997 $ 2,999,127 $ 2,999,688 $ 2,981,941
Apr-1997 $ 3,016,822 $ 3,018,886 $ 3,009,076
May-1997 $ 3,061,169 $ 3,061,150 $ 3,055,115
Jun-1997 $ 3,090,250 $ 3,089,925 $ 3,087,805
Jul-1997 $ 3,165,343 $ 3,167,482 $ 3,182,909
Aug-1997 $ 3,135,906 $ 3,140,875 $ 3,148,534
Sep-1997 $ 3,174,791 $ 3,166,630 $ 3,191,354
Oct-1997 $ 3,179,236 $ 3,187,213 $ 3,210,183
Nov-1997 $ 3,193,224 $ 3,198,369 $ 3,229,444
Dec-1997 $ 3,241,761 $ 3,236,749 $ 3,280,792
Jan-1998 $ 3,265,102 $ 3,274,295 $ 3,312,944
Feb-1998 $ 3,266,734 $ 3,280,189 $ 3,312,281
Mar-1998 $ 3,258,894 $ 3,277,565 $ 3,312,944
Apr-1998 $ 3,238,363 $ 3,263,799 $ 3,291,410
May-1998 $ 3,287,586 $ 3,309,166 $ 3,347,364
Jun-1998 $ 3,295,477 $ 3,320,748 $ 3,361,088
Jul-1998 $ 3,303,386 $ 3,332,371 $ 3,367,810
Aug-1998 $ 3,355,910 $ 3,383,023 $ 3,425,063
Sep-1998 $ 3,408,933 $ 3,431,400 $ 3,476,781
Oct-1998 $ 3,410,296 $ 3,436,204 $ 3,464,960
Nov-1998 $ 3,421,209 $ 3,447,887 $ 3,480,552
Dec-1998 $ 3,423,262 $ 3,452,714 $ 3,482,641
Jan-1999 $ 3,470,503 $ 3,494,837 $ 3,521,298
Feb-1999 $ 3,448,986 $ 3,484,353 $ 3,504,044
Mar-1999 $ 3,453,125 $ 3,493,063 $ 3,510,701
Apr-1999 $ 3,450,708 $ 3,495,858 $ 3,515,968
May-1999 $ 3,431,729 $ 3,476,281 $ 3,488,191
Jun-1999 $ 3,382,998 $ 3,432,828 $ 3,430,985
Jul-1999 $ 3,407,356 $ 3,455,484 $ 3,437,504
Aug-1999 $ 3,398,156 $ 3,443,044 $ 3,394,879
Sep-1999 $ 3,413,108 $ 3,459,915 $ 3,392,502
Oct-1999 $ 3,391,264 $ 3,438,464 $ 3,333,812
Nov-1999 $ 3,420,090 $ 3,469,066 $ 3,367,484
Dec-1999 $ 3,402,647 $ 3,443,048 $ 3,332,125
Jan-2000 $ 3,404,689 $ 3,454,410 $ 3,308,467
Feb-2000 $ 3,434,650 $ 3,483,082 $ 3,362,395
Mar-2000 $ 3,490,291 $ 3,534,632 $ 3,448,809
Apr-2000 $ 3,474,934 $ 3,514,131 $ 3,417,424
May-2000 $ 3,471,112 $ 3,519,050 $ 3,400,337
Jun-2000 $ 3,547,129 $ 3,592,247 $ 3,498,607
Jul-2000 $ 3,585,438 $ 3,632,121 $ 3,554,935
Aug-2000 $ 3,637,785 $ 3,689,145 $ 3,632,077
Sep-2000 $ 3,629,782 $ 3,674,757 $ 3,609,558
Oct-2000 $ 3,657,369 $ 3,697,908 $ 3,642,766
Nov-2000 $ 3,674,193 $ 3,716,768 $ 3,669,722
Dec-2000 $ 3,748,411 $ 3,776,979 $ 3,764,034
Jan-2001 $ 3,791,143 $ 3,826,458 $ 3,779,843
Feb-2001 $ 3,796,830 $ 3,835,641 $ 3,791,938
Mar-2001 $ 3,814,295 $ 3,852,902 $ 3,816,586
Apr-2001 $ 3,751,741 $ 3,797,420 $ 3,741,781
May-2001 $ 3,805,015 $ 3,849,824 $ 3,788,179
Jun-2001 $ 3,828,987 $ 3,870,228 $ 3,812,423
Jul-2001 $ 3,878,764 $ 3,924,024 $ 3,875,710
Aug-2001 $ 3,951,297 $ 3,996,226 $ 3,974,928
Sep-2001 $ 3,941,419 $ 3,985,437 $ 3,950,283
Oct-2001 $ 4,001,722 $ 4,026,088 $ 3,991,761
Nov-2001 $ 3,958,504 $ 3,997,100 $ 3,955,835
Dec-2001 $ 3,920,502 $ 3,967,522 $ 3,911,134
Jan-2002 $ 3,985,190 $ 4,035,763 $ 3,965,499
Feb-2002 $ 4,030,621 $ 4,082,981 $ 4,009,120
Mar-2002 $ 3,942,351 $ 3,998,055 $ 3,917,311
Apr-2002 $ 4,015,679 $ 4,072,419 $ 3,986,256
May-2002 $ 4,044,591 $ 4,107,849 $ 4,016,152
Jun-2002 $ 4,076,544 $ 4,139,069 $ 4,047,478
Jul-2002 $ 4,116,494 $ 4,183,357 $ 4,093,215
Aug-2002 $ 4,171,655 $ 4,236,904 $ 4,151,339
Sep-2002 $ 4,257,174 $ 4,320,795 $ 4,262,179
Oct-2002 $ 4,165,645 $ 4,229,626 $ 4,147,527
Nov-2002 $ 4,150,232 $ 4,228,357 $ 4,135,914
Dec-2002 $ 4,236,972 $ 4,298,548 $ 4,223,181
Jan-2003 $ 4,211,126 $ 4,283,073 $ 4,187,707
Feb-2003 $ 4,262,502 $ 4,342,179 $ 4,252,197
Mar-2003 $ 4,260,371 $ 4,346,522 $ 4,249,221
Apr-2003 $ 4,293,175 $ 4,373,905 $ 4,284,914
May-2003 $ 4,385,908 $ 4,460,508 $ 4,389,895
Jun-2003 $ 4,356,084 $ 4,428,392 $ 4,354,776
Jul-2003 $ 4,215,382 $ 4,299,083 $ 4,188,859
Aug-2003 $ 4,240,675 $ 4,336,485 $ 4,216,924
Sep-2003 $ 4,357,717 $ 4,450,101 $ 4,338,371
Oct-2003 $ 4,335,493 $ 4,423,846 $ 4,325,790
Nov-2003 $ 4,361,072 $ 4,453,043 $ 4,379,430
Dec-2003 $ 4,396,833 $ 4,483,324 $ 4,415,779
Jan-2004 $ 4,418,817 $ 4,504,395 $ 4,436,533
Feb-2004 $ 4,477,196 $ 4,574,664 $ 4,513,729
</Table>
Source: Lipper Analytical Services, Inc. Past performance is not indicative of
future returns. Investment returns will fluctuate so that an investor's shares
when redeemed may be worth more or less than original cost. Please note, current
performance may be higher or lower than the performance data shown. Investors
should carefully read the fund prospectus which includes information on the
fund's investment objectives, risk, as well as charges and expenses along with
other information. Investors should review the information in the prospectus
carefully before investing. For up to date month-end performance information, or
to receive a fund prospectus please call 800 348-4782. Please read carefully
before investing or sending money.
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 February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 2/29/2004
(In Millions) $1,561.0
Primary Benchmark LEHMAN COMPETITIVE
INTERMEDIATE (1-17
MATURITIES) INDEX
Average Credit Quality AA
Duration 5.6 YEARS
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Fleming 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 5.26% (Select Shares) for the six-month
period ended February 29, 2004. This compares with the 5.58% 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. One detractor was
our high-quality bias at a time when lower quality issues performed better.
We were underweight to hospitals, airports, tobacco debt and other high-yield
sectors, which experienced a technical rebound following a severe widening in
spreads. As municipalities continue to struggle with budget deficits, we
continue to be concerned about the stability of these credits. We also made
what we consider a prudent decision to avoid the risks specific to airport
and tobacco debt. We plan to maintain our high-quality bias. The eight-year
part of the yield curve outperformed, enhancing performance. Also
contributing was our continued overweight to revenue bonds.
Q: HOW WAS THE FUND MANAGED?
A: The economic expansion quickened, beginning the transition from being
policy-dependent to becoming self-sustaining. Strong profits supported the
corporate sector's gradual increase in capital spending and hiring. Yet, with
ongoing excess capacity and comparatively high unemployment, consumer price
inflation continued to decelerate. The Federal Reserve Board continued to
indicate that it would keep its monetary policy on hold until economic
conditions warrant a change. The U.S. gross domestic product (GDP) grew at
4.1% during the fourth quarter, slightly below the market consensus of 4.5%
to 5%. January and February economic data were mixed. Industrial production
rose, and new orders were near the two-decade high recorded in December.
Yields for Municipals were attractive relative to Treasury yields, which
ended the six-month period notably lower than the peak they reached in early
September.
We overweighted the eight-year part of the yield curve as well as the revenue
sector of the market, which enhanced performance. We were underweight to
hospitals, airports, tobacco debt and other high-yield sectors. We removed
our overweight to New York as spreads tightened, purchasing more high-quality
general market issues such as pre-refunded bonds (which are secured by an
escrow fund of U.S. government obligations). We also started to initiate an
overweight to California.
4
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- -------------------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 4.76% 6.09% 5.39% 5.71%
With Sales Charge* 0.02% 4.46% 4.42% 5.23%
CLASS B SHARES
Without Sales Charge 4.63% 6.05% 5.36% 5.70%
With Sales Charge** (0.37%) 5.15% 5.03% 5.70%
CLASS C SHARES
Without Sales Charge 4.54% 6.02% 5.34% 5.69%
With Sales Charge*** 3.54% 6.02% 5.34% 5.69%
INSTITUTIONAL SHARES 4.95% 6.21% 5.45% 5.75%
SELECT SHARES# 4.69% 6.07% 5.37% 5.71%
</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]
TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
<Table>
<Caption>
JPMORGAN LEHMAN COMPETITIVE LIPPER INTERMEDIATE
INTERMEDIATE TAX FREE INTERMEDIATE (1-17 MUNICIPAL DEBT
INCOME FUND (SELECT SHARES) MATURITIES) INDEX FUNDS INDEX
Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Mar-1994 $ 977,500 $ 968,400 $ 972,000
Apr-1994 $ 979,846 $ 976,922 $ 976,082
May-1994 $ 984,059 $ 983,760 $ 983,793
Jun-1994 $ 980,025 $ 980,514 $ 980,940
Jul-1994 $ 990,021 $ 995,124 $ 993,202
Aug-1994 $ 994,476 $ 999,204 $ 996,976
Sep-1994 $ 985,625 $ 988,412 $ 986,708
Oct-1994 $ 971,925 $ 976,749 $ 975,854
Nov-1994 $ 949,571 $ 962,684 $ 961,314
Dec-1994 $ 973,405 $ 977,990 $ 975,637
Jan-1995 $ 997,351 $ 999,017 $ 994,564
Feb-1995 $ 1,021,487 $ 1,022,894 $ 1,015,251
Mar-1995 $ 1,030,986 $ 1,034,452 $ 1,024,186
Apr-1995 $ 1,037,585 $ 1,036,521 $ 1,026,439
May-1995 $ 1,059,167 $ 1,064,715 $ 1,050,560
Jun-1995 $ 1,052,917 $ 1,060,349 $ 1,047,303
Jul-1995 $ 1,064,605 $ 1,072,862 $ 1,056,834
Aug-1995 $ 1,074,293 $ 1,085,736 $ 1,067,191
Sep-1995 $ 1,076,978 $ 1,091,707 $ 1,072,527
Oct-1995 $ 1,091,733 $ 1,102,625 $ 1,082,716
Nov-1995 $ 1,102,323 $ 1,116,297 $ 1,094,193
Dec-1995 $ 1,113,236 $ 1,123,776 $ 1,101,195
Jan-1996 $ 1,128,042 $ 1,134,340 $ 1,109,785
Feb-1996 $ 1,125,560 $ 1,130,143 $ 1,106,344
Mar-1996 $ 1,105,638 $ 1,118,728 $ 1,095,170
Apr-1996 $ 1,104,090 $ 1,116,267 $ 1,093,199
May-1996 $ 1,101,550 $ 1,115,151 $ 1,093,199
Jun-1996 $ 1,108,380 $ 1,124,630 $ 1,099,977
Jul-1996 $ 1,121,459 $ 1,134,301 $ 1,109,657
Aug-1996 $ 1,120,001 $ 1,134,755 $ 1,110,100
Sep-1996 $ 1,129,073 $ 1,145,762 $ 1,120,202
Oct-1996 $ 1,141,380 $ 1,158,136 $ 1,131,180
Nov-1996 $ 1,162,267 $ 1,177,362 $ 1,147,922
Dec-1996 $ 1,155,410 $ 1,173,594 $ 1,144,822
Jan-1997 $ 1,158,645 $ 1,178,054 $ 1,147,685
Feb-1997 $ 1,168,146 $ 1,187,831 $ 1,156,292
Mar-1997 $ 1,154,479 $ 1,174,171 $ 1,144,498
Apr-1997 $ 1,161,983 $ 1,181,921 $ 1,150,449
May-1997 $ 1,177,205 $ 1,197,168 $ 1,164,025
Jun-1997 $ 1,189,094 $ 1,208,541 $ 1,174,734
Jul-1997 $ 1,217,752 $ 1,236,941 $ 1,200,225
Aug-1997 $ 1,208,740 $ 1,227,788 $ 1,190,984
Sep-1997 $ 1,221,795 $ 1,240,803 $ 1,203,608
Oct-1997 $ 1,229,492 $ 1,247,627 $ 1,209,385
Nov-1997 $ 1,234,779 $ 1,253,117 $ 1,214,102
Dec-1997 $ 1,250,584 $ 1,268,906 $ 1,229,643
Jan-1998 $ 1,263,090 $ 1,281,595 $ 1,239,972
Feb-1998 $ 1,262,206 $ 1,282,620 $ 1,240,592
Mar-1998 $ 1,262,963 $ 1,283,390 $ 1,241,336
Apr-1998 $ 1,256,522 $ 1,278,128 $ 1,235,626
May-1998 $ 1,277,254 $ 1,296,277 $ 1,252,183
Jun-1998 $ 1,280,192 $ 1,300,944 $ 1,256,441
Jul-1998 $ 1,284,417 $ 1,304,457 $ 1,259,330
Aug-1998 $ 1,306,509 $ 1,323,110 $ 1,277,465
Sep-1998 $ 1,322,448 $ 1,338,591 $ 1,291,261
Oct-1998 $ 1,322,977 $ 1,340,732 $ 1,291,649
Nov-1998 $ 1,324,565 $ 1,344,486 $ 1,294,490
Dec-1998 $ 1,332,645 $ 1,348,654 $ 1,298,633
Jan-1999 $ 1,351,568 $ 1,365,917 $ 1,313,177
Feb-1999 $ 1,341,567 $ 1,359,907 $ 1,306,218
Mar-1999 $ 1,339,554 $ 1,360,587 $ 1,305,956
Apr-1999 $ 1,343,573 $ 1,364,533 $ 1,309,613
May-1999 $ 1,334,033 $ 1,357,983 $ 1,301,886
Jun-1999 $ 1,311,755 $ 1,340,465 $ 1,284,181
Jul-1999 $ 1,322,249 $ 1,347,569 $ 1,290,216
Aug-1999 $ 1,321,456 $ 1,343,661 $ 1,284,281
Sep-1999 $ 1,322,909 $ 1,347,155 $ 1,285,052
Oct-1999 $ 1,316,956 $ 1,339,746 $ 1,276,056
Nov-1999 $ 1,327,229 $ 1,351,669 $ 1,286,903
Dec-1999 $ 1,325,238 $ 1,345,857 $ 1,281,112
Jan-2000 $ 1,319,804 $ 1,343,435 $ 1,275,475
Feb-2000 $ 1,326,931 $ 1,353,107 $ 1,285,296
Mar-2000 $ 1,342,589 $ 1,373,675 $ 1,303,676
Apr-2000 $ 1,336,547 $ 1,369,142 $ 1,298,200
May-2000 $ 1,333,607 $ 1,364,623 $ 1,292,878
Jun-2000 $ 1,362,146 $ 1,394,509 $ 1,319,511
Jul-2000 $ 1,379,037 $ 1,410,406 $ 1,334,554
Aug-2000 $ 1,394,620 $ 1,428,177 $ 1,351,102
Sep-2000 $ 1,390,157 $ 1,424,035 $ 1,347,184
Oct-2000 $ 1,401,834 $ 1,436,994 $ 1,358,365
Nov-2000 $ 1,408,002 $ 1,445,472 $ 1,364,886
Dec-2000 $ 1,438,697 $ 1,474,960 $ 1,392,320
Jan-2001 $ 1,458,695 $ 1,493,692 $ 1,408,331
Feb-2001 $ 1,460,591 $ 1,497,576 $ 1,412,838
Mar-2001 $ 1,472,422 $ 1,509,556 $ 1,423,717
Apr-2001 $ 1,456,814 $ 1,497,178 $ 1,410,904
May-2001 $ 1,472,839 $ 1,512,299 $ 1,425,436
Jun-2001 $ 1,483,149 $ 1,520,919 $ 1,434,274
Jul-2001 $ 1,500,502 $ 1,539,170 $ 1,451,485
Aug-2001 $ 1,524,810 $ 1,562,104 $ 1,473,402
Sep-2001 $ 1,524,048 $ 1,561,792 $ 1,471,339
Oct-2001 $ 1,541,574 $ 1,577,566 $ 1,485,464
Nov-2001 $ 1,521,071 $ 1,563,999 $ 1,470,016
Dec-2001 $ 1,507,686 $ 1,553,051 $ 1,458,990
Jan-2002 $ 1,535,427 $ 1,578,676 $ 1,480,146
Feb-2002 $ 1,552,778 $ 1,597,462 $ 1,496,723
Mar-2002 $ 1,519,393 $ 1,567,909 $ 1,469,483
Apr-2002 $ 1,554,339 $ 1,599,895 $ 1,498,138
May-2002 $ 1,562,421 $ 1,609,014 $ 1,506,228
Jun-2002 $ 1,580,389 $ 1,626,713 $ 1,521,591
Jul-2002 $ 1,600,144 $ 1,645,746 $ 1,539,242
Aug-2002 $ 1,615,826 $ 1,663,520 $ 1,553,403
Sep-2002 $ 1,645,557 $ 1,694,129 $ 1,580,432
Oct-2002 $ 1,621,532 $ 1,670,580 $ 1,556,410
Nov-2002 $ 1,614,721 $ 1,663,731 $ 1,550,028
Dec-2002 $ 1,646,854 $ 1,696,673 $ 1,580,719
Jan-2003 $ 1,641,749 $ 1,693,788 $ 1,575,028
Feb-2003 $ 1,664,405 $ 1,716,485 $ 1,596,764
Mar-2003 $ 1,663,906 $ 1,717,343 $ 1,596,285
Apr-2003 $ 1,673,556 $ 1,727,647 $ 1,606,501
May-2003 $ 1,708,868 $ 1,763,928 $ 1,639,113
Jun-2003 $ 1,700,666 $ 1,756,696 $ 1,631,409
Jul-2003 $ 1,644,204 $ 1,704,698 $ 1,582,140
Aug-2003 $ 1,655,220 $ 1,716,971 $ 1,593,848
Sep-2003 $ 1,702,559 $ 1,764,360 $ 1,634,651
Oct-2003 $ 1,692,514 $ 1,753,421 $ 1,626,641
Nov-2003 $ 1,702,161 $ 1,766,396 $ 1,639,654
Dec-2003 $ 1,713,566 $ 1,778,938 $ 1,649,328
Jan-2004 $ 1,720,420 $ 1,786,943 $ 1,655,595
Feb-2004 $ 1,741,861 $ 1,812,853 $ 1,678,774
</Table>
Source: Lipper Analytical Services, Inc. Past performance is not indicative of
future returns. Investment returns will fluctuate so that an investor's shares
when redeemed may be worth more or less than original cost. Please note, current
performance may be higher or lower than the performance data shown. Investors
should carefully read the fund prospectus which includes information on the
fund's investment objectives, risk, as well as charges and expenses along with
other information. Investors should review the information in the prospectus
carefully before investing. For up to date month-end performance information, or
to receive a fund prospectus please call 800 348-4782. Please read carefully
before investing or sending money.
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 2/28/94, 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 February 28, 1994 to February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 2/29/2004
(In Millions) $72.1
Primary Benchmark LEHMAN COMPETITIVE
INTERMEDIATE (1-17
MATURITIES) INDEX
Average Credit Quality AA
Duration 6.2 YEARS
Q: HOW DID THE FUND PERFORM?
A: The 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 6.17%
(Select Shares) for the six-month period ended February 29, 2004. This
compares with the 5.58% return of its benchmark index, the Lehman Competitive
Intermediate (1-17 maturities) Index.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund outperformed its benchmark during the period. We overweighted the
10- to 15-year part of the yield curve, which helped performance as the curve
flattened. Our high-quality bias hurt performance slightly when lower quality
issues outperformed. We were overweight to insured paper and high-quality
uninsured paper, and were underweight hospitals, airports, tobacco debt and
other high-yield sectors. As municipalities continue to struggle with budget
deficits, we remain concerned about the stability of these credits.
Q: HOW WAS THE FUND MANAGED?
A: The economic expansion quickened, beginning the transition from being
policy-dependent to becoming self-sustaining. Strong profits supported the
corporate sector's gradual increase in capital spending and hiring. Yet, with
ongoing excess capacity and comparatively high unemployment, consumer price
inflation continued to decelerate. The Federal Reserve Board continued to
indicate that it would keep its monetary policy on hold until economic
conditions warrant a change. The U.S. gross domestic product (GDP) grew at
4.1% during the fourth quarter, slightly below the market consensus of 4.5%
to 5%. January and February economic data were mixed. Industrial production
rose, and new orders were near the two-decade high recorded in December.
Yields for municipals were attractive relative to Treasury yields, which
ended the six-month period notably lower than the peak they reached in early
September.
When the Fed delayed rate increases, we overweighted the 10- to 15-year part
of the yield curve, which aided performance. Toward quarter-end, we reduced
our holdings in Puerto Rico and purchased high-quality, essential service
revenue issues. As spreads widened dramatically, we added state general
obligation bonds. 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. Our focus remains on high-quality, liquid issues.
6
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- -------------------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 5.45% 6.23% 5.74% 5.61%
With Sales Charge* 0.66% 4.59% 4.78% 5.12%
CLASS B SHARES
Without CDSC 5.03% 5.71% 5.43% 5.45%
With CDSC** 0.07% 4.81% 5.10% 5.45%
SELECT SHARES# 5.91% 6.40% 5.84% 5.66%
</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]
TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
<Table>
<Caption>
JPMORGAN LIPPER NEW JERSEY
NEW JERSEY TAX FREE LEHMAN COMPETITIVE INTERMEDIATE MUNICIPAL DEBT
INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX FUNDS INDEX
Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Mar-1994 $ 983,800 $ 968,400 $ 957,400
Apr-1994 $ 986,751 $ 976,922 $ 960,847
May-1994 $ 990,600 $ 983,760 $ 968,726
Jun-1994 $ 987,232 $ 980,514 $ 964,463
Jul-1994 $ 995,426 $ 995,124 $ 980,763
Aug-1994 $ 999,109 $ 999,204 $ 983,803
Sep-1994 $ 993,814 $ 988,412 $ 969,046
Oct-1994 $ 983,677 $ 976,749 $ 950,925
Nov-1994 $ 966,069 $ 962,684 $ 930,290
Dec-1994 $ 986,066 $ 977,990 $ 954,663
Jan-1995 $ 1,004,210 $ 999,017 $ 982,730
Feb-1995 $ 1,023,390 $ 1,022,894 $ 1,008,674
Mar-1995 $ 1,032,396 $ 1,034,452 $ 1,017,652
Apr-1995 $ 1,039,313 $ 1,036,521 $ 1,018,873
May-1995 $ 1,055,838 $ 1,064,715 $ 1,048,420
Jun-1995 $ 1,054,466 $ 1,060,349 $ 1,038,460
Jul-1995 $ 1,064,272 $ 1,072,862 $ 1,044,276
Aug-1995 $ 1,073,532 $ 1,085,736 $ 1,054,301
Sep-1995 $ 1,075,357 $ 1,091,707 $ 1,061,154
Oct-1995 $ 1,085,357 $ 1,102,625 $ 1,077,283
Nov-1995 $ 1,093,932 $ 1,116,297 $ 1,096,028
Dec-1995 $ 1,101,699 $ 1,123,776 $ 1,106,879
Jan-1996 $ 1,114,368 $ 1,134,340 $ 1,112,856
Feb-1996 $ 1,115,483 $ 1,130,143 $ 1,102,729
Mar-1996 $ 1,100,089 $ 1,118,728 $ 1,086,077
Apr-1996 $ 1,099,759 $ 1,116,267 $ 1,082,711
May-1996 $ 1,099,209 $ 1,115,151 $ 1,083,577
Jun-1996 $ 1,105,694 $ 1,124,630 $ 1,094,196
Jul-1996 $ 1,116,862 $ 1,134,301 $ 1,103,825
Aug-1996 $ 1,116,415 $ 1,134,755 $ 1,102,942
Sep-1996 $ 1,122,779 $ 1,145,762 $ 1,118,273
Oct-1996 $ 1,132,435 $ 1,158,136 $ 1,130,014
Nov-1996 $ 1,148,968 $ 1,177,362 $ 1,148,434
Dec-1996 $ 1,136,100 $ 1,173,594 $ 1,144,299
Jan-1997 $ 1,139,167 $ 1,178,054 $ 1,145,558
Feb-1997 $ 1,147,825 $ 1,187,831 $ 1,154,608
Mar-1997 $ 1,135,428 $ 1,174,171 $ 1,141,215
Apr-1997 $ 1,142,127 $ 1,181,921 $ 1,150,116
May-1997 $ 1,156,632 $ 1,197,168 $ 1,165,068
Jun-1997 $ 1,167,736 $ 1,208,541 $ 1,176,136
Jul-1997 $ 1,191,791 $ 1,236,941 $ 1,209,185
Aug-1997 $ 1,184,283 $ 1,227,788 $ 1,196,368
Sep-1997 $ 1,196,600 $ 1,240,803 $ 1,211,203
Oct-1997 $ 1,203,301 $ 1,247,627 $ 1,217,501
Nov-1997 $ 1,208,595 $ 1,253,117 $ 1,224,075
Dec-1997 $ 1,223,582 $ 1,268,906 $ 1,243,171
Jan-1998 $ 1,235,083 $ 1,281,595 $ 1,254,732
Feb-1998 $ 1,233,848 $ 1,282,620 $ 1,254,231
Mar-1998 $ 1,233,108 $ 1,283,390 $ 1,255,359
Apr-1998 $ 1,226,079 $ 1,278,128 $ 1,249,208
May-1998 $ 1,247,413 $ 1,296,277 $ 1,268,821
Jun-1998 $ 1,251,405 $ 1,300,944 $ 1,273,769
Jul-1998 $ 1,254,283 $ 1,304,457 $ 1,276,062
Aug-1998 $ 1,276,985 $ 1,323,110 $ 1,295,968
Sep-1998 $ 1,290,905 $ 1,338,591 $ 1,310,742
Oct-1998 $ 1,290,001 $ 1,340,732 $ 1,308,252
Nov-1998 $ 1,292,710 $ 1,344,486 $ 1,311,654
Dec-1998 $ 1,299,432 $ 1,348,654 $ 1,314,539
Jan-1999 $ 1,316,455 $ 1,365,917 $ 1,328,868
Feb-1999 $ 1,305,791 $ 1,359,907 $ 1,321,027
Mar-1999 $ 1,304,747 $ 1,360,587 $ 1,321,952
Apr-1999 $ 1,308,661 $ 1,364,533 $ 1,324,993
May-1999 $ 1,298,323 $ 1,357,983 $ 1,315,055
Jun-1999 $ 1,279,886 $ 1,340,465 $ 1,294,277
Jul-1999 $ 1,287,950 $ 1,347,569 $ 1,297,642
Aug-1999 $ 1,281,381 $ 1,343,661 $ 1,281,422
Sep-1999 $ 1,279,972 $ 1,347,155 $ 1,276,681
Oct-1999 $ 1,269,476 $ 1,339,746 $ 1,257,275
Nov-1999 $ 1,281,282 $ 1,351,669 $ 1,270,476
Dec-1999 $ 1,274,107 $ 1,345,857 $ 1,256,628
Jan-2000 $ 1,266,844 $ 1,343,435 $ 1,245,821
Feb-2000 $ 1,279,639 $ 1,353,107 $ 1,262,391
Mar-2000 $ 1,301,265 $ 1,373,675 $ 1,290,668
Apr-2000 $ 1,294,759 $ 1,369,142 $ 1,281,375
May-2000 $ 1,290,098 $ 1,364,623 $ 1,273,687
Jun-2000 $ 1,322,608 $ 1,394,509 $ 1,307,185
Jul-2000 $ 1,340,199 $ 1,410,406 $ 1,325,616
Aug-2000 $ 1,359,096 $ 1,428,177 $ 1,345,501
Sep-2000 $ 1,352,844 $ 1,424,035 $ 1,336,486
Oct-2000 $ 1,364,884 $ 1,436,994 $ 1,350,786
Nov-2000 $ 1,378,124 $ 1,445,472 $ 1,359,836
Dec-2000 $ 1,419,881 $ 1,474,960 $ 1,395,872
Jan-2001 $ 1,433,512 $ 1,493,692 $ 1,405,922
Feb-2001 $ 1,439,532 $ 1,497,576 $ 1,412,390
Mar-2001 $ 1,453,208 $ 1,509,556 $ 1,424,254
Apr-2001 $ 1,432,427 $ 1,497,178 $ 1,408,302
May-2001 $ 1,447,611 $ 1,512,299 $ 1,423,371
Jun-2001 $ 1,461,218 $ 1,520,919 $ 1,436,466
Jul-2001 $ 1,479,191 $ 1,539,170 $ 1,458,013
Aug-2001 $ 1,504,486 $ 1,562,104 $ 1,481,050
Sep-2001 $ 1,493,352 $ 1,561,792 $ 1,467,868
Oct-2001 $ 1,518,739 $ 1,577,566 $ 1,485,923
Nov-2001 $ 1,495,655 $ 1,563,999 $ 1,471,361
Dec-2001 $ 1,479,801 $ 1,553,051 $ 1,458,413
Jan-2002 $ 1,507,325 $ 1,578,676 $ 1,482,623
Feb-2002 $ 1,526,769 $ 1,597,462 $ 1,501,452
Mar-2002 $ 1,493,791 $ 1,567,909 $ 1,474,576
Apr-2002 $ 1,528,447 $ 1,599,895 $ 1,501,413
May-2002 $ 1,538,841 $ 1,609,014 $ 1,510,722
Jun-2002 $ 1,555,460 $ 1,626,713 $ 1,523,563
Jul-2002 $ 1,575,370 $ 1,645,746 $ 1,542,760
Aug-2002 $ 1,592,226 $ 1,663,520 $ 1,557,879
Sep-2002 $ 1,625,822 $ 1,694,129 $ 1,586,856
Oct-2002 $ 1,594,607 $ 1,670,580 $ 1,555,277
Nov-2002 $ 1,581,690 $ 1,663,731 $ 1,550,300
Dec-2002 $ 1,620,600 $ 1,696,673 $ 1,583,632
Jan-2003 $ 1,612,497 $ 1,693,788 $ 1,577,456
Feb-2003 $ 1,637,491 $ 1,716,485 $ 1,598,909
Mar-2003 $ 1,639,128 $ 1,717,343 $ 1,598,429
Apr-2003 $ 1,651,749 $ 1,727,647 $ 1,611,856
May-2003 $ 1,693,373 $ 1,763,928 $ 1,646,511
Jun-2003 $ 1,685,245 $ 1,756,696 $ 1,637,784
Jul-2003 $ 1,620,869 $ 1,704,698 $ 1,583,246
Aug-2003 $ 1,633,350 $ 1,716,971 $ 1,594,487
Sep-2003 $ 1,684,473 $ 1,764,360 $ 1,635,785
Oct-2003 $ 1,672,682 $ 1,753,421 $ 1,630,877
Nov-2003 $ 1,686,733 $ 1,766,396 $ 1,649,469
Dec-2003 $ 1,700,226 $ 1,778,938 $ 1,661,675
Jan-2004 $ 1,708,047 $ 1,786,943 $ 1,668,820
Feb-2004 $ 1,734,064 $ 1,812,853 $ 1,693,686
</Table>
Source: Lipper Analytical Services, Inc. Past performance is not indicative of
future returns. Investment returns will fluctuate so that an investor's shares
when redeemed may be worth more or less than original cost. Please note, current
performance may be higher or lower than the performance data shown. Investors
should carefully read the fund prospectus which includes information on the
fund's investment objectives, risk, as well as charges and expenses along with
other information. Investors should review the information in the prospectus
carefully before investing. For up to date month-end performance information, or
to receive a fund prospectus please call 800 348-4782. Please read carefully
before investing or sending money.
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 2/28/94, 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 February 28, 1994 to February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 2/29/2004
(In Millions) $750.3
Primary Benchmark LEHMAN NY
COMPETITIVE
INTERMEDIATE (1-17
MATURITIES) INDEX
Average Credit Quality AA
Duration 5.6 YEARS
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
puposes and are exempt from New York State and New York City personal income
taxes, had a total return of 5.70% (Select Shares) for the six-month period
ended February 29, 2004. This compares with the 5.50% return of its benchmark
index, the Lehman NY Competitive Intermediate (1-17 maturities) Index.
Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A: The Fund outperformed its benchmark for the period. We overweighted the
intermediate part of the yield curve, a position that outperformed. The
Fund's overweight to high-quality issues hurt performance as lower-quality
sectors outperformed. We were overweight to insured paper and high-quality
uninsured paper, and were underweight hospitals, airports, tobacco debt and
other high-yield sectors. As municipalities continue to struggle with budget
deficits, we continue to be concerned about the stability of these credits.
We also made what we consider a prudent decision to avoid the risks specific
to airport and tobacco debt. We plan to maintain our high-quality bias.
Q: HOW WAS THE FUND MANAGED?
A: The economic expansion quickened, beginning the transition from being
policy-dependent to becoming self-sustaining. Strong profits supported the
corporate sector's gradual increase in capital spending and hiring. Yet, with
ongoing excess capacity and comparatively high unemployment, consumer price
inflation continued to decelerate. The Federal Reserve Board continued to
indicate that it would keep its monetary policy on hold until economic
conditions warrant a change. The U.S. gross domestic product (GDP) grew at
4.1% during the fourth quarter, slightly below the market consensus of 4.5%
to 5%. January and February economic data were mixed. Industrial production
rose, and new orders were near the two-decade high recorded in December.
Yields for Municipals were attractive relative to Treasury yields, which
ended the six-month period notably lower than the peak they reached in early
September.
When the Fed delayed rate increases, we overweighted the 10- to 15-year part
of the yield curve, which aided performance. As spreads tightened on New York
issues, we increased our holdings of Puerto Rico bonds and continued to sell
our New York City holdings. The Fund was overweight insured paper and
high-quality uninsured paper. Our focus remains on high-quality, liquid
issues.
8
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- -------------------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 4.83% 5.76% 5.25% 5.50%
With Sales Charge* 0.05% 4.15% 4.28% 5.02%
CLASS B SHARES
Without CDSC 4.13% 4.95% 4.75% 5.25%
With CDSC** (0.87%) 4.03% 4.42% 5.25%
CLASS C SHARES
Without CDSC 4.13% 4.90% 4.72% 5.24%
With CDSC*** 3.13% 4.90% 4.72% 5.24%
INSTITUTIONAL SHARES 5.22% 6.05% 5.42% 5.59%
SELECT SHARES# 5.00% 5.85% 5.30% 5.53%
</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]
TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
<Table>
<Caption>
JPMORGAN NEW YORK LIPPER NEW YORK
INTERMEDIATE TAX LEHMAN NY COMPETITIVE INTERMEDIATE INTERMEDIATE MUNICIPAL DEBT
FREE INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX FUNDS AVERAGE
Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Mar-1994 $ 972,700 $ 970,000 $ 967,400
Apr-1994 $ 969,782 $ 978,342 $ 973,204
May-1994 $ 975,407 $ 986,658 $ 981,185
Jun-1994 $ 971,603 $ 985,375 $ 977,947
Jul-1994 $ 984,428 $ 998,973 $ 990,953
Aug-1994 $ 989,055 $ 1,003,269 $ 993,926
Sep-1994 $ 973,823 $ 991,832 $ 981,900
Oct-1994 $ 958,437 $ 979,235 $ 968,153
Nov-1994 $ 934,380 $ 965,624 $ 950,339
Dec-1994 $ 956,151 $ 982,040 $ 967,730
Jan-1995 $ 973,553 $ 996,770 $ 986,117
Feb-1995 $ 1,002,760 $ 1,020,892 $ 1,010,179
Mar-1995 $ 1,011,684 $ 1,031,612 $ 1,018,260
Apr-1995 $ 1,017,855 $ 1,034,603 $ 1,020,296
May-1995 $ 1,046,050 $ 1,063,055 $ 1,045,498
Jun-1995 $ 1,035,903 $ 1,058,590 $ 1,041,734
Jul-1995 $ 1,046,573 $ 1,070,446 $ 1,051,110
Aug-1995 $ 1,055,783 $ 1,084,790 $ 1,062,777
Sep-1995 $ 1,062,118 $ 1,089,780 $ 1,066,603
Oct-1995 $ 1,076,031 $ 1,103,076 $ 1,077,056
Nov-1995 $ 1,093,033 $ 1,118,629 $ 1,088,796
Dec-1995 $ 1,103,963 $ 1,126,236 $ 1,095,655
Jan-1996 $ 1,110,366 $ 1,136,146 $ 1,103,763
Feb-1996 $ 1,107,590 $ 1,131,034 $ 1,098,354
Mar-1996 $ 1,090,976 $ 1,121,533 $ 1,087,700
Apr-1996 $ 1,086,503 $ 1,120,299 $ 1,084,872
May-1996 $ 1,086,720 $ 1,118,731 $ 1,083,462
Jun-1996 $ 1,094,654 $ 1,128,800 $ 1,091,805
Jul-1996 $ 1,108,884 $ 1,139,749 $ 1,101,194
Aug-1996 $ 1,107,553 $ 1,139,521 $ 1,099,983
Sep-1996 $ 1,118,850 $ 1,153,537 $ 1,111,093
Oct-1996 $ 1,130,151 $ 1,165,418 $ 1,121,204
Nov-1996 $ 1,149,476 $ 1,184,764 $ 1,138,694
Dec-1996 $ 1,138,441 $ 1,181,803 $ 1,134,595
Jan-1997 $ 1,142,312 $ 1,185,939 $ 1,136,297
Feb-1997 $ 1,152,136 $ 1,195,901 $ 1,145,160
Mar-1997 $ 1,139,347 $ 1,183,344 $ 1,133,136
Apr-1997 $ 1,148,120 $ 1,192,219 $ 1,140,048
May-1997 $ 1,163,390 $ 1,208,791 $ 1,154,527
Jun-1997 $ 1,173,512 $ 1,220,999 $ 1,165,264
Jul-1997 $ 1,203,671 $ 1,251,769 $ 1,192,997
Aug-1997 $ 1,190,792 $ 1,242,130 $ 1,183,095
Sep-1997 $ 1,202,700 $ 1,255,297 $ 1,194,689
Oct-1997 $ 1,209,796 $ 1,262,954 $ 1,200,185
Nov-1997 $ 1,216,691 $ 1,268,764 $ 1,204,986
Dec-1997 $ 1,234,455 $ 1,285,004 $ 1,220,651
Jan-1998 $ 1,244,948 $ 1,297,340 $ 1,231,148
Feb-1998 $ 1,244,699 $ 1,298,767 $ 1,232,010
Mar-1998 $ 1,244,823 $ 1,300,975 $ 1,232,256
Apr-1998 $ 1,237,852 $ 1,293,689 $ 1,224,740
May-1998 $ 1,258,772 $ 1,314,906 $ 1,243,601
Jun-1998 $ 1,262,171 $ 1,320,560 $ 1,247,705
Jul-1998 $ 1,267,472 $ 1,323,333 $ 1,249,826
Aug-1998 $ 1,290,413 $ 1,342,918 $ 1,268,823
Sep-1998 $ 1,307,963 $ 1,358,496 $ 1,283,795
Oct-1998 $ 1,304,431 $ 1,361,485 $ 1,283,282
Nov-1998 $ 1,305,997 $ 1,365,161 $ 1,285,206
Dec-1998 $ 1,314,094 $ 1,369,393 $ 1,289,962
Jan-1999 $ 1,332,228 $ 1,387,743 $ 1,305,183
Feb-1999 $ 1,322,636 $ 1,381,220 $ 1,297,483
Mar-1999 $ 1,320,785 $ 1,381,773 $ 1,296,185
Apr-1999 $ 1,324,219 $ 1,386,333 $ 1,299,426
May-1999 $ 1,314,817 $ 1,379,401 $ 1,291,369
Jun-1999 $ 1,292,202 $ 1,361,607 $ 1,272,128
Jul-1999 $ 1,301,247 $ 1,368,687 $ 1,277,852
Aug-1999 $ 1,295,392 $ 1,365,813 $ 1,271,591
Sep-1999 $ 1,297,076 $ 1,368,954 $ 1,272,100
Oct-1999 $ 1,287,348 $ 1,360,330 $ 1,259,633
Nov-1999 $ 1,299,835 $ 1,373,661 $ 1,272,355
Dec-1999 $ 1,295,675 $ 1,367,754 $ 1,265,230
Jan-2000 $ 1,290,881 $ 1,364,061 $ 1,259,537
Feb-2000 $ 1,303,016 $ 1,374,974 $ 1,270,621
Mar-2000 $ 1,321,649 $ 1,395,461 $ 1,293,365
Apr-2000 $ 1,316,362 $ 1,390,577 $ 1,285,992
May-2000 $ 1,311,623 $ 1,385,849 $ 1,279,948
Jun-2000 $ 1,339,692 $ 1,417,585 $ 1,310,539
Jul-2000 $ 1,356,304 $ 1,433,604 $ 1,326,266
Aug-2000 $ 1,374,886 $ 1,451,380 $ 1,344,435
Sep-2000 $ 1,367,874 $ 1,447,752 $ 1,338,520
Oct-2000 $ 1,380,732 $ 1,461,361 $ 1,351,637
Nov-2000 $ 1,389,568 $ 1,469,983 $ 1,358,936
Dec-2000 $ 1,424,308 $ 1,499,970 $ 1,391,143
Jan-2001 $ 1,441,257 $ 1,518,570 $ 1,406,863
Feb-2001 $ 1,443,851 $ 1,521,000 $ 1,408,551
Mar-2001 $ 1,454,824 $ 1,535,297 $ 1,420,524
Apr-2001 $ 1,439,694 $ 1,525,625 $ 1,406,603
May-2001 $ 1,456,826 $ 1,541,186 $ 1,421,653
Jun-2001 $ 1,467,753 $ 1,549,354 $ 1,429,757
Jul-2001 $ 1,482,724 $ 1,567,327 $ 1,446,914
Aug-2001 $ 1,507,782 $ 1,591,464 $ 1,469,775
Sep-2001 $ 1,495,870 $ 1,583,506 $ 1,458,899
Oct-2001 $ 1,512,624 $ 1,599,183 $ 1,473,050
Nov-2001 $ 1,496,439 $ 1,587,029 $ 1,458,909
Dec-2001 $ 1,483,270 $ 1,576,714 $ 1,447,092
Jan-2002 $ 1,510,563 $ 1,603,360 $ 1,470,824
Feb-2002 $ 1,528,991 $ 1,624,043 $ 1,489,209
Mar-2002 $ 1,498,259 $ 1,594,323 $ 1,460,765
Apr-2002 $ 1,530,022 $ 1,626,369 $ 1,489,104
May-2002 $ 1,532,623 $ 1,632,550 $ 1,495,358
Jun-2002 $ 1,549,941 $ 1,650,997 $ 1,510,462
Jul-2002 $ 1,567,611 $ 1,668,663 $ 1,526,623
Aug-2002 $ 1,583,287 $ 1,687,519 $ 1,543,569
Sep-2002 $ 1,615,586 $ 1,717,557 $ 1,572,742
Oct-2002 $ 1,590,383 $ 1,693,683 $ 1,548,208
Nov-2002 $ 1,577,819 $ 1,684,367 $ 1,538,454
Dec-2002 $ 1,613,004 $ 1,718,392 $ 1,571,223
Jan-2003 $ 1,607,036 $ 1,716,501 $ 1,562,581
Feb-2003 $ 1,630,820 $ 1,739,331 $ 1,584,926
Mar-2003 $ 1,627,069 $ 1,739,505 $ 1,582,232
Apr-2003 $ 1,638,296 $ 1,749,768 $ 1,593,149
May-2003 $ 1,675,813 $ 1,785,813 $ 1,627,243
Jun-2003 $ 1,667,434 $ 1,778,491 $ 1,616,828
Jul-2003 $ 1,606,573 $ 1,727,982 $ 1,564,766
Aug-2003 $ 1,620,068 $ 1,740,769 $ 1,577,597
Sep-2003 $ 1,668,670 $ 1,788,292 $ 1,619,246
Oct-2003 $ 1,655,821 $ 1,778,099 $ 1,608,883
Nov-2003 $ 1,669,233 $ 1,791,968 $ 1,623,041
Dec-2003 $ 1,680,417 $ 1,803,258 $ 1,632,942
Jan-2004 $ 1,687,643 $ 1,811,372 $ 1,636,207
Feb-2004 $ 1,712,333 $ 1,836,550 $ 1,659,932
</Table>
Source: Lipper Analytical Services, Inc. Past performance is not indicative of
future returns. Investment returns will fluctuate so that an investor's shares
when redeemed may be worth more or less than original cost. Please note, current
performance may be higher or lower than the performance data shown. Investors
should carefully read the fund prospectus which includes information on the
fund's investment objectives, risk, as well as charges and expenses along with
other information. Investors should review the information in the prospectus
carefully before investing. For up to date month-end performance information, or
to receive a fund prospectus please call 800 348-4782. Please read carefully
before investing or sending money.
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 2/28/94, 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 February 28, 1994 to February 29,
2004. 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 FEBRUARY 29, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 2/29/2004
(In Millions) $707.3
Primary Benchmark LEHMAN MUNICIPAL
BOND INDEX
Average Credit Quality AA
Duration 6.5 YEARS
Q: HOW DID THE FUND PERFORM?
A: The JPMorgan Tax Free Income Fund, which seeks to provide monthly dividends
that are excluded from gross income for federal income tax purposes, and to
protect the value of your investment by investing primarily in municipal
obligations, had a total return of 6.35% (Select Shares) for the six-month
period ended February 29, 2004. This compares with a 6.52% return for its
benchmark index, the Lehman Municipal Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed its benchmark this period. The Fund's overweight to
high-quality issues hurt performance as lower quality sectors outperformed.
We were overweight to insured paper and high-quality uninsured paper, and
were underweight hospitals, airports, tobacco debt and other high-yield
sectors. We plan to maintain our high-quality bias. We overweighted the
intermediate part of the yield curve, a position that outperformed.
Q: HOW WAS THE FUND MANAGED?
A: The economic expansion quickened, beginning the transition from being
policy-dependent to becoming self-sustaining. Strong profits supported the
corporate sector's gradual increase in capital spending and hiring. Yet, with
ongoing excess capacity and comparatively high unemployment, consumer price
inflation continued to decelerate. The Federal Reserve Board continued to
indicate that it would keep its monetary policy on hold until economic
conditions warrant a change. The U.S. gross domestic product (GDP) grew at
4.1% during the fourth quarter, slightly below the market consensus of 4.5%
to 5%. January and February economic data were mixed. Industrial production
rose, and new orders were near the two-decade high recorded in December.
Yields for Municipals were attractive relative to Treasury yields, which
ended the six-month period notably lower than the peak they reached in early
September.
We were overweight to the 10- to 15-year part of the yield curve, which aided
performance. Because of historically tight spreads, we sold callable paper
and overweighted issues that could not be called. Our focus remains on
high-quality, liquid issues.
10
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
- -------------------------------------------------------------------------------
CLASS A SHARES
Without Sales Charge 5.41% 6.19% 5.39% 5.81%
With Sales Charge* 0.73% 4.59% 4.42% 5.33%
CLASS B SHARES
Without CDSC 4.49% 5.25% 4.83% 5.53%
With CDSC** (0.51%) 4.34% 4.50% 5.53%
SELECT SHARES# 5.41% 6.18% 5.39% 5.81%
</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]
TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
<Table>
<Caption>
JPMORGAN TAX LEHMAN MUNICIPAL LIPPER GENERAL
FREE INCOME FUND (SELECT SHARES) BOND INDEX MUNICIPAL DEBT FUNDS INDEX
Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Mar-1994 $ 977,300 $ 959,300 $ 958,200
Apr-1994 $ 974,466 $ 967,454 $ 961,362
May-1994 $ 978,559 $ 975,871 $ 969,822
Jun-1994 $ 974,938 $ 969,918 $ 963,712
Jul-1994 $ 984,590 $ 987,668 $ 980,288
Aug-1994 $ 991,088 $ 991,124 $ 983,425
Sep-1994 $ 982,664 $ 976,555 $ 968,182
Oct-1994 $ 968,612 $ 959,172 $ 949,690
Nov-1994 $ 946,527 $ 941,811 $ 930,126
Dec-1994 $ 971,516 $ 962,531 $ 952,728
Jan-1995 $ 993,375 $ 990,059 $ 981,691
Feb-1995 $ 1,016,123 $ 1,018,870 $ 1,010,945
Mar-1995 $ 1,026,894 $ 1,030,587 $ 1,020,246
Apr-1995 $ 1,034,390 $ 1,031,824 $ 1,020,246
May-1995 $ 1,055,906 $ 1,064,739 $ 1,052,792
Jun-1995 $ 1,049,465 $ 1,055,476 $ 1,041,001
Jul-1995 $ 1,057,965 $ 1,065,503 $ 1,047,767
Aug-1995 $ 1,064,842 $ 1,079,035 $ 1,059,712
Sep-1995 $ 1,068,356 $ 1,085,833 $ 1,066,388
Oct-1995 $ 1,084,488 $ 1,101,577 $ 1,083,237
Nov-1995 $ 1,098,153 $ 1,119,863 $ 1,104,793
Dec-1995 $ 1,111,880 $ 1,130,614 $ 1,117,498
Jan-1996 $ 1,120,552 $ 1,139,207 $ 1,122,862
Feb-1996 $ 1,120,664 $ 1,131,460 $ 1,114,778
Mar-1996 $ 1,101,837 $ 1,116,977 $ 1,097,722
Apr-1996 $ 1,098,422 $ 1,113,850 $ 1,093,111
May-1996 $ 1,098,422 $ 1,113,404 $ 1,093,767
Jun-1996 $ 1,107,978 $ 1,125,541 $ 1,103,939
Jul-1996 $ 1,117,728 $ 1,135,783 $ 1,113,433
Aug-1996 $ 1,119,516 $ 1,135,556 $ 1,112,876
Sep-1996 $ 1,133,734 $ 1,151,454 $ 1,129,903
Oct-1996 $ 1,146,999 $ 1,164,465 $ 1,142,445
Nov-1996 $ 1,166,613 $ 1,185,775 $ 1,162,438
Dec-1996 $ 1,157,280 $ 1,180,794 $ 1,157,556
Jan-1997 $ 1,157,280 $ 1,183,038 $ 1,157,440
Feb-1997 $ 1,166,422 $ 1,193,922 $ 1,167,625
Mar-1997 $ 1,151,609 $ 1,178,043 $ 1,153,264
Apr-1997 $ 1,162,779 $ 1,187,938 $ 1,163,182
May-1997 $ 1,179,523 $ 1,205,757 $ 1,179,932
Jun-1997 $ 1,190,611 $ 1,218,659 $ 1,193,855
Jul-1997 $ 1,226,210 $ 1,252,416 $ 1,229,670
Aug-1997 $ 1,213,212 $ 1,240,643 $ 1,215,652
Sep-1997 $ 1,228,135 $ 1,255,407 $ 1,230,969
Oct-1997 $ 1,235,749 $ 1,263,441 $ 1,239,094
Nov-1997 $ 1,243,164 $ 1,270,896 $ 1,246,157
Dec-1997 $ 1,262,308 $ 1,289,451 $ 1,266,344
Jan-1998 $ 1,275,815 $ 1,302,732 $ 1,278,501
Feb-1998 $ 1,275,305 $ 1,303,123 $ 1,278,501
Mar-1998 $ 1,275,432 $ 1,304,296 $ 1,279,780
Apr-1998 $ 1,267,270 $ 1,298,426 $ 1,271,973
May-1998 $ 1,290,841 $ 1,318,942 $ 1,292,579
Jun-1998 $ 1,294,455 $ 1,324,085 $ 1,297,232
Jul-1998 $ 1,298,338 $ 1,327,396 $ 1,299,827
Aug-1998 $ 1,322,228 $ 1,347,970 $ 1,320,104
Sep-1998 $ 1,339,946 $ 1,364,820 $ 1,335,813
Oct-1998 $ 1,335,792 $ 1,364,820 $ 1,331,004
Nov-1998 $ 1,339,399 $ 1,369,597 $ 1,335,530
Dec-1998 $ 1,344,220 $ 1,373,021 $ 1,337,934
Jan-1999 $ 1,362,367 $ 1,389,360 $ 1,352,517
Feb-1999 $ 1,353,376 $ 1,383,246 $ 1,344,943
Mar-1999 $ 1,351,210 $ 1,385,183 $ 1,345,481
Apr-1999 $ 1,357,021 $ 1,388,646 $ 1,349,248
May-1999 $ 1,346,436 $ 1,380,592 $ 1,339,669
Jun-1999 $ 1,323,008 $ 1,360,711 $ 1,318,502
Jul-1999 $ 1,326,977 $ 1,365,610 $ 1,320,875
Aug-1999 $ 1,313,972 $ 1,354,685 $ 1,305,157
Sep-1999 $ 1,311,345 $ 1,355,227 $ 1,301,764
Oct-1999 $ 1,296,002 $ 1,340,590 $ 1,283,669
Nov-1999 $ 1,309,999 $ 1,354,801 $ 1,295,864
Dec-1999 $ 1,300,436 $ 1,344,640 $ 1,283,553
Jan-2000 $ 1,294,974 $ 1,338,858 $ 1,273,285
Feb-2000 $ 1,310,772 $ 1,354,388 $ 1,291,365
Mar-2000 $ 1,338,299 $ 1,384,050 $ 1,319,646
Apr-2000 $ 1,330,135 $ 1,375,884 $ 1,310,541
May-2000 $ 1,320,292 $ 1,368,729 $ 1,301,760
Jun-2000 $ 1,354,224 $ 1,405,000 $ 1,335,345
Jul-2000 $ 1,375,214 $ 1,424,530 $ 1,353,907
Aug-2000 $ 1,394,054 $ 1,446,468 $ 1,375,163
Sep-2000 $ 1,386,108 $ 1,438,946 $ 1,366,637
Oct-2000 $ 1,400,663 $ 1,454,631 $ 1,380,850
Nov-2000 $ 1,412,848 $ 1,465,686 $ 1,389,964
Dec-2000 $ 1,452,267 $ 1,501,888 $ 1,425,825
Jan-2001 $ 1,462,287 $ 1,516,757 $ 1,436,519
Feb-2001 $ 1,469,599 $ 1,521,611 $ 1,443,270
Mar-2001 $ 1,479,886 $ 1,535,305 $ 1,455,394
Apr-2001 $ 1,453,396 $ 1,518,724 $ 1,435,018
May-2001 $ 1,470,546 $ 1,535,126 $ 1,451,377
Jun-2001 $ 1,482,899 $ 1,545,411 $ 1,463,424
Jul-2001 $ 1,504,549 $ 1,568,283 $ 1,486,546
Aug-2001 $ 1,533,286 $ 1,594,160 $ 1,513,304
Sep-2001 $ 1,524,393 $ 1,588,740 $ 1,500,895
Oct-2001 $ 1,546,039 $ 1,607,646 $ 1,516,504
Nov-2001 $ 1,525,322 $ 1,594,142 $ 1,501,036
Dec-2001 $ 1,507,018 $ 1,578,997 $ 1,485,125
Jan-2002 $ 1,533,994 $ 1,606,314 $ 1,508,293
Feb-2002 $ 1,555,930 $ 1,625,750 $ 1,526,543
Mar-2002 $ 1,518,899 $ 1,593,886 $ 1,497,539
Apr-2002 $ 1,553,074 $ 1,624,966 $ 1,524,794
May-2002 $ 1,560,995 $ 1,634,879 $ 1,534,247
Jun-2002 $ 1,578,478 $ 1,652,208 $ 1,548,976
Jul-2002 $ 1,601,208 $ 1,673,522 $ 1,568,803
Aug-2002 $ 1,619,302 $ 1,693,604 $ 1,584,177
Sep-2002 $ 1,661,242 $ 1,730,694 $ 1,617,920
Oct-2002 $ 1,625,027 $ 1,701,965 $ 1,583,459
Nov-2002 $ 1,613,001 $ 1,694,816 $ 1,577,600
Dec-2002 $ 1,652,843 $ 1,730,577 $ 1,613,096
Jan-2003 $ 1,643,421 $ 1,726,251 $ 1,603,095
Feb-2003 $ 1,668,566 $ 1,750,418 $ 1,627,462
Mar-2003 $ 1,669,400 $ 1,751,468 $ 1,624,858
Apr-2003 $ 1,680,084 $ 1,763,028 $ 1,639,481
May-2003 $ 1,723,598 $ 1,804,283 $ 1,678,501
Jun-2003 $ 1,711,361 $ 1,796,524 $ 1,669,773
Jul-2003 $ 1,640,853 $ 1,733,646 $ 1,612,834
Aug-2003 $ 1,653,816 $ 1,746,648 $ 1,624,769
Sep-2003 $ 1,707,399 $ 1,798,000 $ 1,672,537
Oct-2003 $ 1,697,496 $ 1,789,010 $ 1,666,348
Nov-2003 $ 1,712,943 $ 1,807,616 $ 1,685,178
Dec-2003 $ 1,726,304 $ 1,822,619 $ 1,698,997
Jan-2004 $ 1,732,174 $ 1,833,008 $ 1,704,773
Feb-2004 $ 1,759,379 $ 1,860,686 $ 1,731,538
</Table>
Source: Lipper Analytical Services, Inc. Past performance is not indicative of
future returns. Investment returns will fluctuate so that an investor's shares
when redeemed may be worth more or less than original cost. Please note, current
performance may be higher or lower than the performance data shown. Investors
should carefully read the fund prospectus which includes information on the
fund's investment objectives, risk, as well as charges and expenses along with
other information. Investors should review the information in the prospectus
carefully before investing. For up to date month-end performance information, or
to receive a fund prospectus please call 800 348-4782. Please read carefully
before investing or sending money.
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 2/28/94, 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 February 28, 1994 to February 29,
2004. 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 FEBRUARY 29, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 94.5%
STATE AND MUNICIPAL OBLIGATIONS -- 94.5%
CALIFORNIA-- 83.4%
$ 260 Burlingame Financing Authority,
Rev., 4.75%, 10/15/11 + $ 294
1,000 California Educational Facilities Authority,
Claremont University Center, Ser. 1998-C,
Rev., 1.73%, 05/01/28 + 1,000
140 California Educational Facilities Authority,
Dominican University,
Rev., 4.85%, 12/01/06 150
750 California Educational Facilities Authority,
Stanford University, Ser. P,
Rev., 5.25%, 12/01/13 + 887
1,100 California Educational Facilities Authority,
University of Southern California, Ser. A,
Rev., 5.60%, 10/01/06 + 1,221
2,000 California State Department of
Transportation, Federal Highway, Ser. A,
Rev., GAN, MBIA,, 4.00%, 02/01/10 + 2,167
1,460 California State Department of Water
Resources, Central Valley Project, Ser. J-3,
Rev., 7.00%, 12/01/12 1,887
540 California State Department of Water
Resources, Central Valley Project, Ser. J-3,
Rev., (p), 7.00%, 12/01/12 715
3,335 California State Department of Water
Resources, Rev., 5.50%, 12/01/08 3,865
665 California State Department of Water
Resources, Rev., (p), 5.50%, 12/01/08 776
4,461 California State University, California
State Polytechnic University Pamona,
Campus Energy Project, Tax Exempt
Master Lease, Rev., 5.06%, 03/15/14 + 4,629
120 California State, GO, (p), MBIA-IBC,
6.25%, 10/01/19 122
3,000 California State, Ser. D-4, GO, FRDO,
1.98%, 02/03/05 3,000
1,675 California Statewide Communities
Development Authority, Catholic
Healthcare West, COP, 6.00%, 07/01/09 1,879
1,840 Calleguas-Las Virgines Public Financing
Authority, Water District, Ser. B, Rev.,
MBIA, 5.25%, 07/01/13 2,148
$ 490 Carson Redevelopment Agency,
Redevelopment Project Area No. 1,
Tax Allocation, MBIA, 5.50%, 10/01/14 $ 580
150 Coachella Valley Recreation & Park
District, Improvement Bond Act of 1915,
Reassessment District 1, Special
Assessment, MBIA, 4.63%, 09/02/10 169
1,500 Contra Costa Transportation Authority,
Sales Tax, Ser. A, Rev., FGIC,
6.00%, 03/01/06 1,638
2,505 Corona Community Facilities District,
No. 97-2, Eagle Glen, Special Tax,
5.75%, 09/01/16 2,583
1,310 El Monte City School District, Ser. A, GO,
FSA, 6.25%, 05/01/20 1,534
1,000 Fallbrook Union High School District,
San Diego County, GO,
FGIC, 5.38%, 09/01/12 1,179
1,540 Fontana Public Finance Authority,
North Fontana Redevelopment Project,
Tax Allocation, Ser. A, Rev., FSA,
5.50%, 09/01/10 1,813
1,000 Foothill Eastern Transportation Corridor
Agency, California Toll Road, Senior Lien,
Ser. A, Rev., (p), 6.00%, 01/01/07 1,128
1,000 Fremont-Newark Community College
District, Ser. A, GO, MBIA, 5.50%, 08/01/13 1,164
100 Fullerton University Foundation, Ser. A,
Rev., MBIA, 5.50%, 07/01/10 118
100 Fullerton University Foundation, Ser. A,
Rev., MBIA, 5.50%, 07/01/11 117
545 Golden West Schools Financing Authority,
Ser. A, Rev., MBIA, 5.80%, 02/01/16 660
1,000 Long Beach, California, Long Beach
Harbor, Rev., MBIA, 6.00%, 05/15/06 1,075
500 Los Angeles County Community Facilities
District No. 3, Improvement Area B,
Special Tax, Ser. A, AMBAC,
5.63%, 09/01/11 589
1,395 Los Angeles County Community Facilities
District No. 3, Improvement Area B,
Special Tax, Ser. A, AMBAC,
5.63%, 09/01/13 1,616
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,000 Los Angeles County Community Facilities
District No. 3, Improvement Area B,
Special Tax, Ser. A, AMBAC,
5.63%, 09/01/14 $ 1,165
1,000 Los Angeles County Public Works
Financing Authority, Multiple Capital
Facilities Project, Ser. B, Rev.,
AMBAC, 6.00%, 12/01/07 1,157
1,405 Los Angeles Unified School District, COP,
Ser. B, FSA, 5.00%, 10/01/06 1,538
125 Los Angeles Unified School District,
Ser. A, GO, FGIC, 6.00%, 07/01/15 154
1,300 Los Angeles, California, American
Academy of Dramatic Arts, COP, Ser. A,
Adj., 4.70%, 11/01/30 1,364
500 Los Angeles, California, Department of
Water & Power Systems, Ser. A-A-1,
Rev., 5.25%, 07/01/04 507
5,110 Los Angeles, California, Sonnenblick Del
Rio, West Los Angeles, COP, AMBAC,
6.13%, 11/01/15 6,102
1,000 Los Angeles, California, Water & Power
Systems, Ser. B, Rev. FSA, 5.13%, 07/01/16 1,125
1,000 Modesto Irrigation District Financing
Authority, Ser. A, Rev., MBIA,
5.45%, 10/01/07 1,127
1,300 Mojave Unified School District School
Facilities Improvement District No. 1,
GO, FGIC, 5.25%, 08/01/18 1,448
1,385 Mountain View/Santa Clara County,
Capital Projects, COP, 5.25%, 08/01/16 1,567
560 Northern California Power Agency,
Public Power, Ser. A, Rev., AMBAC,
5.80%, 07/01/09 660
2,000 Oakland Redevelopment Agency,
Center District Redevelopment,
Tax Allocation, AMBAC, 5.50%, 02/01/14 2,328
2,000 Orange County Public Financing
Authority, Waste Management Systems,
Rev., AMBAC, 5.75%, 12/01/09 2,332
600 Pacifica, California, Street Improvement
Project, COP, AMBAC, 5.75%, 11/01/19 698
$2,490 Pittsburg Redevelopment Agency,
Tax Allocation, Los Medanos Community
Development Project, Ser. A, MBIA,
5.25%, 08/01/15 $ 2,889
425 Port of Oakland, Ser. K, Rev., FGIC,
5.25%, 11/01/07 475
360 Rancho Water District Financing Authority,
Ser. A, Rev., FSA, 5.50%, 08/01/10 424
1,210 Richmond, California, Taxable Limited
Obligation Pension, Ser. A, GO, MBIA,
7.02%, 08/01/05 1,300
35 Richmond, California, Wastewater,
Rev., FGIC, 5.20%, 08/01/11 40
1,250 Riverside County Transportation
Commission, Sales Tax, Ser. A, Rev.,
FGIC, 6.00%, 06/01/09 1,479
250 Sacramento County Sanitation District,
Financing Authority, Ser. A, Rev.,
5.25%, 12/01/12 286
150 Sacramento County Sanitation District,
Financing Authority, Ser. A, Rev.,
5.75%, 12/01/10 180
1,000 San Bernardino, California, Single Family
Mortgage, Ser. A, Rev., (p),
7.50%, 05/01/23 1,363
1,200 San Diego County Regional Transportation
Commission, Sales Tax, 2nd Ser., Ser. A,
Rev., AMBAC, 6.00%, 04/01/06 1,316
1,000 San Francisco City & County Airports
Commission, Issue 15-B, 2nd Ser.,
Rev., FSA, 5.50%, 05/01/06 1,090
1,170 San Francisco City & County Airports
Commission, Issue 27-B, 2nd Ser.,
Adj., Rev., FGIC, 5.25%, 05/01/13 1,328
1,005 San Francisco City & County
Redevelopment Financing Authority,
San Francisco Redevelopment Project,
Tax Allocation, Ser. C, FGIC,
5.25%, 08/01/15 1,144
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 5,000 San Jose Financing Authority, Civic
Center Project, Ser. D, Adj.,
Rev., AMBAC, 5.00%, 06/01/38 $ 5,384
1,240 San Jose Redevelopment Agency,
Merged Area Redevelopment Project,
Tax Allocation, MBIA, 6.00%, 08/01/07 1,418
3,000 San Jose Redevelopment Agency,
Merged Area Redevelopment Project,
Tax Allocation, MBIA, 6.00%, 08/01/15 3,690
4,000 San Marcos University Corp., Auxiliary
Organization, Rev., Adj., 3.35%, 07/01/32 4,101
585 San Mateo County Community College
District, Election of 2001, Ser. A, GO,
FGIC, 5.38%, 09/01/19 657
250 San Mateo County Joint Powers Authority,
Capital Projects Program, Rev., MBIA,
6.50%, 07/01/15 319
2,245 Santa Ana Financing Authority, Police
Administration & Holding Facility,
Ser. A, Rev., MBIA, 6.25%, 07/01/24 2,782
1,000 Santa Clara County Financing Authority,
Ser. A, Rev., AMBAC, 5.75%, 11/15/13 1,214
2,600 Santa Clara Valley Transportation
Authority, Authorized Sales Tax, Measure A,
Adj, Rev., AMBAC, 4.00%, 04/01/36 2,760
2,605 South Bayside Waste Management
Authority, Solid Waste System, Rev.,
AMBAC, 6.13%, 03/01/17 3,055
5,000 South Orange County Public Financing
Authority, Special Tax, Senior Lien, Ser. A,
MBIA, 5.00%, 09/01/12 5,755
1,000 Turlock Irrigation District, Ser. A, Rev.,
MBIA, 6.00%, 01/01/07 1,121
1,000 University of California, UC Medical
Center, Rev., AMBAC, 10.00%, 07/01/06 1,193
4,000 Walnut Valley Unified School District,
Ser. A, GO, MBIA, 7.20%, 02/01/16 5,135
-------------------------------------------------------------------
115,873
-------------------------------------------------------------------
CONNECTICUT -- 2.0%
2,040 Connecticut State, Residual Certificate,
Ser. 529-Y, GO, Inverse Floater, FRDO,
9.57%, 03/04/04 2,761
MICHIGAN -- 1.6%
$ 2,000 Michigan State Hospital Finance Authority,
Ascension Health Credit, Ser. B, Adj.,
Rev., 5.30%, 11/15/33 $ 2,200
NEW YORK -- 0.7%
1,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 1,023
PUERTO RICO -- 6.5%
115 Puerto Rico Commonwealth, Public
Improvement, GO, 5.00%, 07/01/07 126
1,280 Puerto Rico Commonwealth, Public
Improvement, GO, (p), MBIA-IBC,
3.00%, 07/01/06 1,287
2,500 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 07/01/18 2,756
3,000 Puerto Rico Electric Power Authority,
Ser. BB, Rev., MBIA, 6.00%, 07/01/11 3,650
125 Puerto Rico Electric Power Authority,
Ser. Z, Rev., 5.10%, 07/01/06 133
420 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 07/01/15 502
500 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 5.75%, 08/01/13 587
-------------------------------------------------------------------
9,041
-------------------------------------------------------------------
VIRGIN ISLANDS -- 0.3%
375 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Lien Notes,
Ser. A, Rev., 5.63%, 10/01/10 411
-------------------------------------------------------------------
Total State and Municipal Obligations
(Cost $121,163) 131,309
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 5.5%
MONEY MARKET FUND -- 5.5%
7,676 JPMorgan Tax Free Money Market Fund (a)
(Cost $7,676) $ 7,676
-------------------------------------------------------------------
Total Short-Term Investments
(Cost $7,676) 7,676
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(COST $128,839) $ 138,985
-------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 2/29/04(USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(48) 10 Year Treasury Notes June, 2004 $ (5,466) $ (33)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
JPMORGAN INTERMEDIATE TAX FREE
INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 98.2%
STATE AND MUNICIPAL OBLIGATIONS -- 98.2%
ALABAMA -- 4.3%
$ 28,675 Jefferson County, Sewer, Capital
Improvements, Rev., (p), FGIC,
5.00%, 08/01/12 $ 32,932
6,650 Jefferson County, Sewer, Capital
Improvements, Rev., (p), FGIC,
5.13%, 08/01/12 7,726
17,070 Jefferson County, Sewer, Capital
Improvements, Ser. D, Rev., (p), FGIC,
5.00%, 08/01/12 19,605
5,000 Jefferson County, Sewer, Capital
Improvements, Ser. D., Rev., FGIC, (p),
5.00%, 08/01/12 5,762
1,000 Shelby County Board of Education,
Capital Outlay School Warrants,
AMBAC, 5.70%, 02/01/09 1,059
-------------------------------------------------------------------
67,084
-------------------------------------------------------------------
ARIZONA -- 0.8%
2,435 Arizona Health Facilities Authority,
Catholic Healthcare West, Ser. A,
Rev., 6.13%, 07/01/09 2,647
2,220 Phoenix Civic Improvement Corp.,
Excise Tax, Senior Lien, Rev.,
5.00%, 07/01/21 2,390
2,330 Phoenix Civic Improvement Corp.,
Excise Tax, Senior Lien, Rev.,
5.00%, 07/01/22 2,492
4,005 Phoenix IDA, Single Family Mortgage,
Ser. 2-A, Adj., Rev, 5.55%, 03/01/28 4,301
-------------------------------------------------------------------
11,830
-------------------------------------------------------------------
CALIFORNIA -- 7.8%
2,180 Anaheim Public Financing Authority,
Electric System Generation, Ser. B,
Rev., (p), FSA, 5.25%, 10/01/14 2,482
1,840 California State Department of Water
Resources, Central Valley Project,
Ser. J-1, Adj., Rev, 7.00%, 12/01/12 2,374
500 California State Department of Water
Resources, Central Valley Project,
Ser. J-1, Rev., (p), 7.00%, 12/01/12 662
1,000 California State, GO, 7.00%, 08/01/07 1,151
$ 2,500 California State, GO, 6.50%, 02/01/08 $ 2,858
12,000 California State, Various Purposes,
GO, 5.13%, 11/01/11 13,387
9,485 California Statewide Communities
Development Authority, Catholic
Healthcare West, COP, 6.00%, 07/01/09 10,639
10,435 Contra Costa Water District, Ser. K,
Rev., FSA, 5.50%, 10/01/14 12,094
1,115 Gilroy Unified School District,
Measure J Capital Projects, COP,
MBIA, 5.50%, 09/01/11 1,327
1,000 Los Angeles Community
Redevelopment Agency, Tax Allocation,
Hollywood Redevelopment Project,
Ser. C, MBIA, 5.50%, 07/01/16 1,181
2,500 Los Angeles County Public Works
Financing Authority, Ser. A, Rev.,
MBIA, 6.00%, 09/01/06 2,784
1,015 Los Angeles Unified School District,
Ser. A, GO, FGIC, 6.00%, 07/01/08 1,184
1,460 Pleasant Valley School
District-Ventura County, Ser. A, GO,
MBIA, 5.85%, 02/01/18 1,779
17,075 San Jose Financing Authority,
Civic Center Project, Ser. D, Adj.,
Rev., AMBAC, 5.00%, 06/01/38 18,385
2,045 San Marcos Public Facilities Authority,
Tax Allocation, Project Areas No. 1-2-3
Ser. A, FGIC, 5.25%, 08/01/17 2,320
4,195 Santa Clara Redevelopment Agency,
Bay Shore North Project, Tax
Allocation, AMBAC, 5.50%, 06/01/13 4,897
835 Solano County, COP, MBIA,
5.00%, 11/01/11 968
2,000 Solano County, COP, MBIA,
5.25%, 11/01/13 2,320
2,000 Solano County, COP, MBIA,
5.25%, 11/01/16 2,268
5,500 Southern California Public Power
Authority, San Juan Power,
Power Project, Ser. B, Adj., Rev., FSA,
5.25%, 01/01/20 6,264
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 5,000 Southern California Public
Power Authority, San Juan Unit 3,
Power Project, Ser. A, Rev., FSA,
5.50%, 01/01/13 $ 5,889
1,295 Kaweah Delta Hospital, Ser. G, Rev.,
6.40%, 06/01/14 (i) 1,295
20,000 University of California, Ser. A,
Rev., AMBAC, 5.13%, 05/15/14 22,747
-------------------------------------------------------------------
121,255
-------------------------------------------------------------------
CONNECTICUT -- 3.0%
7,000 Connecticut State Development
Authority, PCR, Ser. A, Adj., Rev.,
AMBAC, 3.35%, 05/01/31 7,152
7,240 Connecticut State, Ser. B, GO, (p),
5.88%, 06/15/10 8,676
19,405 Connecticut State, Residual Certificate,
Ser. 529-Y, GO, Inverse Floater, FRDO,
9.57%, 03/04/04 26,267
3,905 Waterbury, Connecticut, Ser. A, GO,
FSA, 5.50%, 04/01/13 4,547
-------------------------------------------------------------------
46,642
-------------------------------------------------------------------
DELAWARE -- 0.0% ^
200 Delaware Transportation Authority,
Transportation Systems, Motor Fuel
Tax, Rev., FGIC, 5.50%, 07/01/08 228
250 Wilmington, Delaware, GO, FGIC,
5.00%, 07/01/09 282
-------------------------------------------------------------------
510
-------------------------------------------------------------------
DISTRICT OF COLUMBIA -- 1.4%
770 District of Columbia, Ser. A, GO, (p),
MBIA-IBC, 6.00%, 06/01/07 878
17,010 District of Columbia, Ser. A, GO,
AMBAC, 5.00%, 06/01/22 17,835
2,450 District of Columbia, Ser. A, GO,
MBIA-IBC, 6.00%, 06/01/07 2,775
-------------------------------------------------------------------
21,488
-------------------------------------------------------------------
FLORIDA -- 3.3%
2,610 Coral Springs Improvement District,
Water & Sewer, GO, MBIA,
6.00%, 06/01/10 2,900
$ 1,750 Dade County, Aviation, Ser. B, Rev.,
AMBAC, 6.40%, 10/01/06 $ 1,837
1,495 Florida State Board of Education,
Capital Outlay, Public Education,
Ser. B, GO, 5.25%, 06/01/12 1,736
2,000 Florida State Department of
Corrections, Okeechobee Correctional,
COP, AMBAC, 6.00%, 03/01/08 2,131
4,310 Florida State Governmental Utility
Authority, Citrus Utilities Systems,
Rev., AMBAC, 5.00%, 10/01/23 4,585
30,000 Orlando Utilities Commission,
Water & Electric, Multi-Modal, Ser. A,
Adj., Rev., 4.10%, 10/01/23 32,635
3,500 Tampa Bay Water, Florida Utility
System, Regional Water Supply
Authority, Rev., FGIC, 5.25%, 10/01/18 4,051
1,000 Tampa Bay Water, Florida Utility
System, Regional Water Supply
Authority, Rev., FGIC, 5.25%, 10/01/19 1,154
-------------------------------------------------------------------
51,029
-------------------------------------------------------------------
GEORGIA -- 2.1%
1,720 Forsyth County School District, GO,
5.00%, 07/01/12 1,949
2,630 Fulton County School District, GO,
6.38%, 05/01/14 3,307
1,250 Georgia Municipal Electric Authority,
Power, Ser. A, Rev., 6.50%, 01/01/12 1,484
5,000 Georgia Municipal Electric Authority,
Power, Ser. DD, Rev., MBIA-IBC,
7.00%, 01/01/08 5,911
6,000 Georgia State, Ser. B, GO,
7.20%, 03/01/07 6,973
3,000 Georgia State, Ser. B, GO,
6.30%, 03/01/10 3,635
2,500 Gwinnette County School District,
Ser. B, GO, 6.40%, 02/01/08 2,917
5,000 Metropolitan Atlanta Rapid
Transportation Authority, Ser. P, Rev.,
AMBAC, 6.25%, 07/01/11 6,111
-------------------------------------------------------------------
32,287
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
HAWAII -- 0.1%
$ 2,000 Honolulu City & County, Ser. A, GO,
7.35%, 07/01/06 $ 2,262
ILLINOIS -- 4.2%
1,500 Chicago Metropolitan Water
Reclamation District, Capital
Improvement Bonds, GO, (p),
7.00%, 01/01/08 1,780
10,000 Chicago Metropolitan Water
Reclamation District, Capital
Improvement Bonds, GO, (p),
5.50%, 12/01/12 11,714
10,025 Chicago Metropolitan Water
Reclamation District, GO,
5.50%, 12/01/09 11,641
6,055 Chicago O'Hare International Airport,
Passenger Facilities Charge, Ser. A,
Rev., AMBAC, 5.38%, 01/01/07 6,586
1,245 Chicago Park District, Harbor Facilities,
Rev., (p), 5.38%, 01/01/06 1,337
4,150 Chicago, Wastewater Transmission,
Second Lien, Rev., MBIA,
5.50%, 01/01/18 4,918
2,882 Illinois Development Finance
Authority, IDR, Rev.,
4.90%, 08/01/28 (i) 2,989
1,665 Illinois Health Facilities Authority,
Rev., 6.63%, 02/15/12 1,927
3,770 Illinois Health Facilities Authority,
Riverside Health Systems, Rev.,
6.75%, 11/15/10 4,449
1,810 Illinois State, 1st Ser., GO,
5.25%, 08/01/05 1,913
2,565 Illinois State, 1st Ser., GO,
5.50%, 08/01/06 2,811
4,000 Illinois State, 1st Ser., GO,
5.50%, 08/01/07 4,490
770 Illinois State, GO, 5.50%, 08/01/06 799
2,000 Illinois State, GO, (p), MBIA,
5.25%, 06/01/08 2,289
$ 50 Metropolitan Pier & Exposition
Authority, Dedicated State Tax,
Ser. A-2002, Rev., 8.50%, 06/15/06 $ 58
1,330 Metropolitan Pier & Exposition
Authority, Dedicated State Tax,
Ser. A-2002, Rev., (p), 8.50%, 06/15/06 1,544
1,000 Regional Transportation Authority,
Ser. B, GO, AMBAC, 6.40%, 06/01/12 1,235
2,810 Regional Transportation Authority,
Ser. D, Rev., FGIC, 7.75%, 06/01/07 3,339
-------------------------------------------------------------------
65,819
-------------------------------------------------------------------
INDIANA -- 2.1%
10,560 Indiana Housing Finance Authority,
Single Family Mortgage, Ser. B-2,
Rev., 4.00%, 01/01/34 11,229
10,590 Indiana Housing Finance Authority,
Single Family Mortgage, Ser. D-2,
Rev., 3.60%, 01/01/32 10,710
2,280 Ivy Technical State College,
Student Fee, Ser. H, Rev., AMBAC,
5.25%, 07/01/18 2,631
3,985 Ivy Technical State College,
Student Fee, Ser. H, Rev., AMBAC,
5.25%, 07/01/19 4,586
3,435 Ivy Technical State College,
Student Fee, Ser. H, Rev., AMBAC,
5.25%, 07/01/20 3,937
-------------------------------------------------------------------
33,093
-------------------------------------------------------------------
IOWA -- 0.5%
2,095 Iowa Finance Authority, Hospital
Facilities, Rev., 6.75%, 02/15/15 2,368
2,385 Iowa Finance Authority, Hospital
Facilities, Rev., 6.75%, 02/15/16 2,675
2,440 Iowa Finance Authority, Hospital
Facilities, Rev., 6.75%, 02/15/17 2,717
-------------------------------------------------------------------
7,760
-------------------------------------------------------------------
MARYLAND -- 1.0%
3,000 Maryland State Stadium Authority,
Lease, Convention Center Expansion,
Rev., AMBAC, 5.75%, 12/15/08 3,165
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MARYLAND -- CONTINUED
$ 3,000 Maryland State Stadium Authority,
Lease, Convention Center Expansion,
Rev., AMBAC, 5.80%, 12/15/09 $ 3,166
8,967 State of Maryland, Tax Exempt Master
Lease, 5.19%, 07/01/16 (i) 9,510
-------------------------------------------------------------------
15,841
-------------------------------------------------------------------
MASSACHUSETTS -- 5.2%
5,650 Massachusetts Bay Transportation
Authority, General Transportation
Systems, Ser. A, Rev.,
7.00%, 03/01/08 6,684
2,045 Massachusetts Bay Transportation
Authority, General Transportation
Systems, Ser. A, Rev., MBIA,
5.50%, 03/01/14 2,402
6,750 Massachusetts Health and Educational
Facilities Authority, Harvard University,
Ser. Z, Rev., 5.00%, 01/15/07 7,382
1,420 Massachusetts State College Building
Authority, Ser. A, Rev., 7.50%, 05/01/11 1,843
10,000 Massachusetts State Turnpike
Authority, Ser. A, Rev., (p),
5.00%, 01/01/13 11,283
9,500 Massachusetts State Water Pollution
Abatement, MWRA Program,
Sub Ser. A, Rev., 6.00%, 08/01/15 11,239
2,000 Massachusetts State Water Resources
Authority, Ser. A, Rev., FSA,
5.50%, 08/01/13 2,363
3,000 Massachusetts State Water Resources
Authority, Ser. C, Rev., FGIC,
5.25%, 12/01/15 3,486
5,000 Massachusetts State, CONS,
Ser. C, GO, (p), 5.75%, 10/01/10 5,947
3,200 Massachusetts State, CONS,
Ser. C, GO, (p), 5.25%, 08/01/13 3,704
18,545 Massachusetts State,
Federal Highway, Ser. A, Rev., GAN,
FSA, 5.75%, 12/15/12 21,816
$ 1,210 Southeastern Massachusetts
University Building Authority, Ser. A,
Rev., AMBAC, 5.90%, 05/01/09 $ 1,297
1,000 Southeastern Massachusetts
University Building Authority, Ser. A,
Rev., AMBAC, 5.90%, 05/01/10 1,072
-------------------------------------------------------------------
80,518
-------------------------------------------------------------------
MICHIGAN -- 6.3%
3,910 Grand Rapids, Michigan, Water Supply,
Rev., FGIC, 5.75%, 01/01/13 4,596
13,050 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. A, Rev., (p), MBIA,
6.25%, 11/15/09 15,848
10,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Adj., Rev., 5.30%, 11/15/33 11,002
2,905 Michigan State Hospital Finance
Authority, Mercy Health Services,
Ser. T, Rev., 5.75%, 08/15/04 2,960
3,755 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
5.50%, 12/01/05 4,025
4,160 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
6.00%, 12/01/11 4,800
4,405 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
6.00%, 12/01/12 5,065
10,750 Michigan State Trunk Line, Ser. A, Rev.,
5.25%, 11/01/13 12,458
3,565 Michigan State Underground Storage
Tank Financial Assurance Authority,
Ser. I, Rev., AMBAC, 5.75%, 05/01/10 3,912
16,000 Monroe County Economic
Development Corp., Limited
Obligation, Detroit Edison Co., Ser. CC,
Rev., Adj. AMBAC, 4.65%, 10/01/24 17,749
10,000 Wayne Charter County, Detroit
Metropolitan, Wayne Charter Airport,
Ser. A, Rev., MBIA, 5.25%, 12/01/06 10,973
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MICHIGAN -- CONTINUED
$ 3,780 Wayne Charter County, Detroit
Metropolitan, Wayne Charter Airport,
Ser. A, Rev., MBIA, 5.50%, 12/01/07 $ 4,261
-------------------------------------------------------------------
97,649
-------------------------------------------------------------------
MINNESOTA -- 1.0%
5,000 University of Minnesota, Ser. A,
Rev., 5.75%, 07/01/10 5,904
8,000 University of Minnesota, Ser. A,
Rev., 5.75%, 07/01/15 9,611
-------------------------------------------------------------------
15,515
-------------------------------------------------------------------
MISSISSIPPI -- 1.4%
2,505 Mississippi Higher Education
Assistance Corp., Ser. B, Rev.,
5.60%, 09/01/04 2,537
4,000 Mississippi State, Capital
Improvements Issue, Ser. I, GO, (p),
5.50%, 11/01/06 4,432
2,000 Mississippi State, GO, 5.75%, 12/01/12 2,396
10,810 Mississippi State, GO, (p),
6.20%, 02/01/08 12,415
-------------------------------------------------------------------
21,780
-------------------------------------------------------------------
MISSOURI -- 2.3%
3,730 Missouri Health & Educational
Facilities Authority, Park Lane Medical
Center, Ser. A, Rev., (p), MBIA,
5.60%, 01/01/15 4,300
9,670 Missouri Housing Development
Commission, Homeowner Loan
Program, Single Family Mortgage,
Ser. B-1, Adj., Rev., 5.38%, 09/01/34 10,432
16,660 Missouri Housing Development
Commission, Homeowner Loan
Program, Single Family Mortgage,
Ser. C-1, Adj., Rev., 4.80%, 09/01/34 17,906
1,105 Missouri State Environmental
Improvement & Energy Resources
Authority, State Revolving Funds
Program, Ser. B, Rev., 5.50%, 07/01/12 1,308
$ 1,265 Missouri State Health & Educational
Facilities Authority, University of
Missouri, Columbia Arena Project,
Rev., 5.00%, 11/01/11 $ 1,452
-------------------------------------------------------------------
35,398
-------------------------------------------------------------------
NEBRASKA -- 0.3%
4,985 NEBHELP, Inc., Sub Ser. A-5B, Rev.,
MBIA, 6.20%, 06/01/13 5,414
NEVADA -- 0.7%
8,200 Clark County School District, Ser. A,
GO, MBIA, 7.00%, 06/01/11 10,396
NEW JERSEY -- 3.2%
3,245 Elizabeth, New Jersey, GO, AMBAC,
6.25%, 08/15/08 3,535
3,490 New Jersey State Turnpike Authority,
Rev., (p), 5.70%, 05/01/13 3,984
2,930 New Jersey State Turnpike Authority,
Ser. G, Rev., (p), 5.75%, 01/01/09 3,247
10,000 New Jersey State, GO,
5.50%, 05/01/07 11,171
4,570 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.75%, 06/15/15 5,454
6,575 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., (p), MBIA,
6.00%, 12/15/11 8,094
7,500 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., (p), MBIA,
6.00%, 12/15/11 9,233
4,370 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., MBIA, 5.50%, 06/15/09 4,685
-------------------------------------------------------------------
49,403
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW MEXICO -- 0.8%
$ 5,500 New Mexico Mortgage Finance
Authority, Single Family Mortgage,
Ser. A-2, Rev., 5.25%, 03/01/34 $ 5,918
3,000 New Mexico Mortgage Finance
Authority, Single Family Mortgage,
Ser. D, SUB, Rev., 3.25%, 09/01/33 3,326
3,125 New Mexico Mortgage Finance
Authority, Single Family Mortgage,
Ser. PG, Class C-2, Rev.,
4.70%, 09/01/33 3,241
-------------------------------------------------------------------
12,485
-------------------------------------------------------------------
NEW YORK -- 11.0%
1,500 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA,
5.50%, 12/01/13 1,802
22,630 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev.,
5.50%, 07/01/17 26,386
24,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., Adj., 5.50%, 11/01/26 27,953
11,500 New York City, New York, Ser. G, GO,
5.50%, 08/01/09 13,103
6,300 New York Convention Center Operating
Corp., Yale Building Acquisition
Project, COP, 5.25%, 06/01/08 6,443
5,035 New York State Dormitory Authority,
City University Systems,
4th Generation, Ser. A, Rev., FGIC,
5.25%, 07/01/13 5,846
4,025 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FGIC, 5.50%, 05/15/13 4,745
1,500 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FSA, 5.50%, 05/15/13 1,769
7,201 New York State Dormitory Authority,
State University of New York,
Stoney Brook University,
Rev., 3.92%, 03/27/07 (i) 7,353
$ 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%, 06/15/13 $ 3,843
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%, 06/15/16 7,546
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%, 06/15/16 5,743
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%, 06/15/17 8,783
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%, 06/15/18 9,371
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%, 07/15/19 8,993
4,115 New York State Housing Finance
Agency, Housing Project Mortgage,
Ser. A, Rev., FSA, 5.40%, 11/01/05 4,359
3,950 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. A,
Rev., FGIC, 5.25%, 04/01/10 4,544
5,000 New York State Thruway Authority,
Local Highway & Bridge, Service
Contract, Rev., 5.10%, 04/01/08 5,537
10,000 New York State Thruway Authority,
Local Highway & Bridge, Service
Contract, Rev., 5.20%, 04/01/09 11,056
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 5,000 New York State, Ser. B, GO,
5.70%, 08/15/10 $ 5,359
-------------------------------------------------------------------
170,534
-------------------------------------------------------------------
NORTH CAROLINA -- 2.0%
2,000 Cabarrus County, Installment
Financing Contract, COP,
5.75%, 04/01/11 2,372
2,000 Cabarrus County, Installment
Financing Contract, COP,
5.75%, 04/01/12 2,391
9,155 North Carolina Municipal Power
Agency No. 1, Catawba Electric, Rev.,
AMBAC, 6.00%, 01/01/08 10,520
8,900 North Carolina Municipal Power
Agency No. 1, Catawba Electric, Ser. B,
Rev., 6.13%, 01/01/06 9,559
6,275 North Carolina Municipal Power
Agency No. 1, Catawba Electric, Ser. B,
Rev., 6.25%, 01/01/07 6,950
-------------------------------------------------------------------
31,792
-------------------------------------------------------------------
NORTH DAKOTA -- 0.5%
7,985 North Dakota State Housing Finance
Agency, Housing Finance Program,
Ser. C, Rev., 5.55%, 01/01/31 8,298
OHIO -- 2.5%
6,000 Columbus, Ohio, Ser. 1, GO,
5.50%, 11/15/06 6,638
4,000 Montgomery County, Solid Waste,
Rev., MBIA, 5.50%, 11/01/10 4,349
6,000 Ohio State Turnpike Commission,
Ser. A, Rev., (p), MBIA,
5.40%, 02/15/06 6,592
17,000 Ohio State Turnpike Commission,
Ser. A, Rev., (p), MBIA,
5.50%, 02/15/06 18,709
1,855 Ohio State Water Development
Authority, Rev., (p), 9.38%, 12/01/10 2,276
-------------------------------------------------------------------
38,564
-------------------------------------------------------------------
OKLAHOMA -- 0.5%
$ 6,990 Oklahoma Housing Finance Agency,
Single Family Mortgage, Ser. B-1,
Adj, Rev., 4.88%, 09/01/33 $ 7,459
OREGON -- 0.4%
3,000 Oregon State Department of
Transportation, Highway User Tax,
Ser. A, Rev., 5.50%, 11/15/19 3,402
3,000 Washington County, Union High
School District No. 3, Hillsboro,
GO, (p), MBIA, 6.00%, 11/01/05 3,242
-------------------------------------------------------------------
6,644
-------------------------------------------------------------------
PENNSYLVANIA -- 3.1%
17,631 Pennsylvania Higher Education,
4.64%, 04/30/09 (i) 18,366
11,985 Pennsylvania Housing Finance
Agency, Single Family Housing,
Ser. 73-A, Rev., 5.25%, 04/01/33 12,506
2,800 Pennsylvania State Higher Educational
Facilities Authority, University of
Pennsylvania, Health Services,
Ser. A, Rev., 6.00%, 01/01/06 2,995
2,000 Pennsylvania State Higher Educational
Facilities Authority, University of
Pennsylvania, Health Services,
Ser. A, Rev., 6.00%, 01/01/07 2,143
7,645 Pennsylvania State University,
Rev., 5.00%, 03/01/07 8,395
3,500 Philadelphia Authority, IDR, Rev.,
2.15%, 01/01/18 (i) 3,488
-------------------------------------------------------------------
47,893
-------------------------------------------------------------------
PUERTO RICO -- 0.4%
5,500 Puerto Rico Commonwealth, GO,
MBIA-IBC, 5.50%, 07/01/09 6,407
SOUTH CAROLINA -- 3.5%
1,000 Piedmont Municipal Power Agency,
Electric, Rev., (p), MBIA,
6.20%, 01/01/08 1,157
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SOUTH CAROLINA -- CONTINUED
$ 15,000 Piedmont Municipal Power Agency,
Electric, Rev., FGIC, 6.75%, 01/01/20 $ 19,637
5,500 South Carolina Jobs & Economic
Development Authority, Hospital
Facilities Improvement, Palmetto
Health Alliance, Ser. A, Rev., (p),
7.00%, 12/15/10 6,800
3,000 South Carolina Jobs & Economic
Development Authority, Hospital
Facilities Improvement, Palmetto
Health Alliance, Ser. A, Rev., (p),
7.13%, 12/15/10 3,857
3,110 South Carolina State Housing Finance &
Development Authority, Ser. A, Rev.,
AMBAC, 3.60%, 07/01/33 3,122
10,310 South Carolina State, State School
Facilities, Ser. A, GO, 4.25%, 01/01/15 10,807
7,500 South Carolina Transportation
Infrastructure Bank, Ser. A, Rev., (p),
AMBAC, 5.00%, 10/01/11 8,680
-------------------------------------------------------------------
54,060
-------------------------------------------------------------------
SOUTH DAKOTA -- 0.5%
6,600 South Dakota Housing Development
Authority, Ser. E, Rev.,
5.00%, 05/01/28 7,032
TENNESSEE -- 0.9%
3,320 Knox County, Public Improvement,
GO, (p), 6.00%, 05/01/08 3,890
3,500 Knox County, Public Improvement,
GO, (p), 6.00%, 05/01/08 4,101
5,335 Tennergy Corp., Gas, Rev., MBIA,
5.00%, 06/01/09 5,985
-------------------------------------------------------------------
13,976
-------------------------------------------------------------------
TEXAS -- 12.2%
3,205 Alvin Indepedent School District,
3.58%, 02/15/22, FRN (i) 3,236
3,375 Alvin Indepedent School District,
3.58%, 02/15/23, FRN (i) 3,408
$ 3,550 Alvin Indepedent School District,
4.00%, 02/15/24, FRN (i) + $ 3,659
3,735 Alvin Indepedent School District,
4.00%, 02/15/25, FRN (i) 3,851
2,000 Austin Independent School District,
Public Property Finance
Contractual Obligation, GO, MBIA,
5.25%, 02/01/08 2,242
5,000 Austin, Texas, Sub Lien, Rev., MBIA,
5.25%, 05/15/25 5,635
5,255 Austin, Texas, Utility Systems, Rev.,
MBIA-IBC, 5.80%, 11/15/06 5,849
18,495 Beaumont Water & Sewer, Rev.,
3.50%, 09/01/23 (i) 18,994
1,305 Dallas County Flood Control District,
GO, (p), 9.25%, 04/01/08 1,673
8,670 Dallas Independent School District,
School Building, GO, 5.00%, 02/15/21 9,284
3,165 Dallas Independent School District,
School Building, GO, 5.00%, 02/15/22 3,381
2,000 Dallas Independent School District,
School Building, GO, 5.00%, 02/15/23 2,123
6,200 Dallas, Texas, Civic Center,
Improvement, Rev., MBIA,
5.25%, 08/15/07 6,906
6,220 Harris County, GO, 5.88%, 10/01/07 7,097
8,675 Houston, Texas, Ser. A, GO,
5.50%, 03/01/08 9,849
5,000 Humble Independent School District,
Ser. C, GO, 0.00%, 02/15/16 3,029
5,880 Humble Independent School District,
Ser. C, GO, 0.00%, 02/15/17 3,365
1,520 Katy Independent School District,
Ser. A, GO, 5.00%, 02/15/11 1,727
5,875 Lubbock Health Facilities
Development Corp., St. Joseph Health
Systems, Rev., 5.25%, 07/01/11 6,305
10,625 North East Independent School
District, GO, 5.00%, 08/01/22 11,331
7,500 Pearland Independent School District,
4.27%, 02/15/25 (i) 7,681
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 7,500 Pearland Independent School District,
Unlimited Tax, 4.27%, 02/15/24 (i) $ 7,510
5,835 Texas Department of Housing &
Community Affairs, Single Family
Housing, Ser. B, Rev., MBIA,
5.35%, 03/01/33 6,118
10,025 Texas Public Building Authority,
Capital Appreciation, Rev., (p), MBIA,
0.00%, 08/01/06 9,675
10,375 Texas State Department of Housing &
Community Affairs, Residential
Mortgage, Ser. A, Rev.,
4.75%, 01/01/25 11,084
7,500 Texas State, Ser. A, GO,
6.00%, 10/01/09 8,862
4,700 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. A, Rev., 5.00%, 07/15/07 5,197
3,000 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. A, Rev., 5.25%, 07/15/09 3,350
1,000 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. A, Rev., 5.63%, 07/15/11 1,151
3,175 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. B, Rev., 5.25%, 07/15/08 3,527
7,385 Tomball Independent School District,
Ser. B, 4.27%, 02/15/26 (i) 7,385
3,270 Tomball, Independent School District,
U.T. Schoolhouse, 2.68%, 02/15/23 (i) 3,307
-------------------------------------------------------------------
187,791
-------------------------------------------------------------------
UTAH -- 0.5%
3,800 Intermountain Power Agency, Utah
Power Supply, Ser. B, Rev., MBIA,
6.50%, 07/01/10 4,662
10 Salt Lake City, Utah, GO,
5.50%, 06/15/11 12
2,840 Salt Lake City, Utah, GO, (p),
5.50%, 06/15/10 3,341
-------------------------------------------------------------------
8,015
-------------------------------------------------------------------
VERMONT -- 0.5%
$ 4,100 Burlington, Vermont, Electric, Ser. A,
Rev., MBIA, 6.38%, 07/01/09 $ 4,921
3,510 Vermont State, Ser. A, GO, (p),
6.50%, 01/15/05 3,746
-------------------------------------------------------------------
8,667
-------------------------------------------------------------------
VIRGIN ISLANDS -- 0.7%
2,500 Virgin Islands Public Finance
Authority, Gross Receipts, Tax Lien
Notes, Ser. A, Rev., 5.63%, 10/01/10 2,739
5,000 Virgin Islands Public Finance Authority,
Senior Lien, Fund Lien Notes, Ser. C,
Rev., 5.50%, 10/01/06 5,394
3,070 Virgin Islands Water & Power
Authority, Electric Systems, Rev.,
5.25%, 07/01/07 3,328
-------------------------------------------------------------------
11,461
-------------------------------------------------------------------
VIRGINIA -- 1.5%
20,355 Virginia Commonwealth
Transportation Board, Federal
Highway Reimbursement Anticipation
Note, Rev., 5.50%, 10/01/08 23,459
WASHINGTON -- 3.6%
34,000 Energy Northwest, Washington
Electric, Ser. B, Rev., MBIA,
5.50%, 07/01/18 39,234
2,290 Kennewick, Washington, Ser. B, GO,
MBIA, 5.00%, 12/01/18 2,492
2,280 Kennewick, Washington, Ser. B, GO,
MBIA, 5.00%, 12/01/22 2,431
4,010 King County School District No 408,
Auburn, GO, FSA, 5.00%, 12/01/13 4,587
115 Washington Public Power Supply
System, Nuclear Project No. 2, Ser. A,
Rev., 7.25%, 07/01/06 130
1,885 Washington Public Power Supply
System, Nuclear Project No. 2, Ser. A,
Rev., (p), 7.25%, 07/01/06 2,140
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 4,500 Washington State, Ser. B & AT-7, GO,
6.40%, 06/01/17 $ 5,644
-------------------------------------------------------------------
56,658
-------------------------------------------------------------------
WISCONSIN -- 2.1%
2,350 Milwaukee County, Corporate
Purpose, Ser. A, GO, 5.63%, 09/01/10 2,709
6,250 Wisconsin Health & Educational
Facilities Authority, Ser. 1999-C, Rev.,
5.70%, 05/01/14 (i) 6,951
6,250 Wisconsin Health & Educational
Facilities Authority, Ser. 1999-D, Rev.,
5.95%, 05/01/19 (i) 6,800
1,000 Wisconsin State, GO, 6.25%, 05/01/12 1,222
2,775 Wisconsin State, Ser. 1, GO,
5.00%, 11/01/07 3,086
6,275 Wisconsin State, Ser. 1, GO,
5.50%, 11/01/11 7,376
4,450 Wisconsin State, Ser. 3, GO,
5.20%, 11/01/09 5,090
-------------------------------------------------------------------
33,234
-------------------------------------------------------------------
Total State and Municipal Obligations
(Cost $1,409,082) 1,527,402
-------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.8%
MUNICIPAL SECURITIES -- .40%
CALIFORNIA -- 0.0% ^
200 Irvine Ranch Water District, Capital
Improvement Project, COP, FRDO,
0.97%, 03/01/04 200
100 Irvine Ranch Water District,
Improvement District No. 182, Ser. A,
GO, FRDO, 0.97%, 03/01/04 100
-------------------------------------------------------------------
300
-------------------------------------------------------------------
MULTIPLE STATES -- 0.2%
3,798 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-34, FRDO, #,
1.03%, 12/01/29 3,798
NEW JERSEY -- 0.1%
$ 955 New Jersey Economic Development
Authority, Market Transition Facility,
Senior Lien, Ser. A, Rev., (p), MBIA,
5.80%, 07/01/04 $ 989
NEW YORK -- 0.1%
700 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. B,
Rev., (p), FGIC, 6.00%, 04/01/04 717
100 Port Authority of New York &
New Jersey, Special Obligation,
Versatile Structure Obligation, Ser. 6,
Rev., FRDO, 1.02%, 03/01/04 100
-------------------------------------------------------------------
817
-------------------------------------------------------------------
Total Municipal Securities
(Cost $5,848) 5,904
-------------------------------------------------------------------
<Caption>
SHARES
- --------------------------------------------------------------------------------
MONEY MARKET FUND -- 1.4%
22,446 JPMorgan Tax Free Money Market
Fund (a)
(Cost $22,446) 22,446
-------------------------------------------------------------------
Total Short-Term Investments
(Cost $28,294) 28,350
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(COST $1,437,376) $ 1,555,752
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
JPMORGAN NEW JERSEY TAX FREE
INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 94.4%
STATE AND MUNICIPAL OBLIGATIONS -- 94.4%
ARIZONA -- 0.2%
$ 100 Phoenix Civic Improvement Corp.,
Water Systems, Junior Lien, Rev., (p),
5.50%, 07/01/06 $ 110
CONNECTICUT -- 2.6%
1,225 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater, FRDO,
9.57%, 03/04/04 1,658
180 East Hartford, Connecticut, GO, FGIC,
5.25%, 05/01/15 209
-------------------------------------------------------------------
1,867
-------------------------------------------------------------------
HAWAII -- 0.2%
125 Maui County, Ser. A, GO, (p), FGIC,
5.50%, 03/01/10 147
KANSAS -- 0.4%
275 Kansas Development Finance Authority,
Department of Corrections, El Dorado
Unit Project, Ser. H, Rev., MBIA,
5.20%, 08/01/11 319
MICHIGAN -- 1.6%
985 Anchor Bay School District, GO,
5.25%, 05/01/15 + 1,150
NEW JERSEY -- 70.0%
140 Atlantic City, New Jersey, Ser. B, GO, MBIA,
4.00%, 08/01/10 152
450 Atlantic County, Public Facilities Lease
Agreement, COP, FGIC, 6.00%, 03/01/13 548
310 Audubon School District, GO, MBIA,
4.00%, 10/01/07 334
305 Audubon School District, GO, MBIA,
4.00%, 10/01/08 330
410 Bayonne, New Jersey, Ser. B, GO, FSA,
5.00%, 01/15/16 465
400 Bayonne, New Jersey, Ser. B, GO, FSA,
5.25%, 01/15/18 463
480 Bayonne, New Jersey, Ser. B, GO, FSA,
5.25%, 01/15/19 554
$ 505 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/20 $ 596
530 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/21 624
535 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/22 627
100 Cape May County Municipal Utilities
Authority, Sewer, Ser. A, Rev., FSA,
6.00%, 01/01/09 117
200 Delaware River Port Authority,
Pennsylvania & New Jersey,
Port District Project, Ser. A, Rev., FSA,
5.25%, 01/01/12 232
1,700 Delaware River Port Authority,
Pennsylvania & New Jersey,
Port District Project, Ser. B, Rev., FSA,
5.70%, 01/01/21 1,942
1,385 Ewing Township School District,
School Bond Resource Fund,
GO, (p), FGIC, 5.30%, 08/01/08 1,582
850 Freehold Regional High School District,
GO, FGIC, 5.00%, 03/01/16 965
130 Freehold Township Board of Education,
GO, MBIA, 5.00%, 02/15/11 148
100 Gloucester County Improvement
Authority, County Guaranteed, Ser. A,
Rev., MBIA, 5.35%, 08/01/09 115
145 Gloucester County Improvement Authority,
County Guaranteed, Ser. A, Rev., MBIA,
5.55%, 08/01/12 166
200 Gloucester County Improvement Authority,
County Guaranteed, Ser. A, Rev., MBIA,
5.70%, 08/01/15 234
500 Gloucester Township Board of Education,
GO, MBIA, 4.50%, 08/01/10 557
1,720 Hillsborough Township School District,
GO, FSA, 5.38%, 10/01/14 2,026
135 Howell Township, GO, MBIA,
5.00%, 01/01/09 152
1,425 Hudson County, COP, MBIA,
7.00%, 12/01/12 1,828
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 1,500 Hudson County, COP, MBIA,
6.25%, 12/01/14 $ 1,859
175 Irvington Township, Ser. B, GO, FSA,
5.00%, 08/01/08 196
200 Jersey City Municipal Utilities Authority,
Rev., FSA, 5.25%, 12/01/12 233
210 Jersey City, New Jersey, School
Improvement, School Board Fund,
Ser. A, GO, 6.25%, 10/01/09 252
475 Jersey City, New Jersey, School
Improvement, School Board Fund, Ser. B,
GO, AMBAC, 5.25%, 03/01/14 551
170 Long Hill Township, GO, 5.15%, 08/15/07 189
380 Lopatcong Township Board of Education,
GO, (p), FSA, 5.63%, 07/15/10 451
400 Lopatcong Township Board of Education,
GO, (p), FSA, 5.70%, 07/15/10 476
450 Lopatcong Township Board of Education,
GO, (p), FSA, 5.70%, 07/15/10 536
55 Lower Township, General Improvement,
GO, FSA, 4.25%, 07/15/11 60
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%, 11/15/07 118
60 Mainland Regional High School District,
School Board Resource Fund, GO,
5.25%, 11/15/08 69
110 Mainland Regional High School District,
School Board Resource Fund, GO,
5.25%, 11/15/09 127
115 Mainland Regional High School District,
School Board Resource Fund, GO,
5.25%, 11/15/10 132
225 Merchantville Board of Education,
GO, FSA, 5.00%, 01/15/07 + 246
225 Merchantville Board of Education,
GO, FSA, 5.00%, 01/15/08 + 250
225 Merchantville Board of Education,
GO, FSA, 5.00%, 01/15/09 + 253
$ 150 Middlesex County, General Improvement,
GO, 5.30%, 01/15/09 $ 170
160 Middletown Township Board of Education,
GO, (p), MBIA, 5.80%, 08/01/07 182
2,500 Middletown Township Board of Education,
GO, (p), MBIA, 5.85%, 08/01/07 2,855
220 Midland Park Board of Education,
GO, FSA, 4.13%, 08/15/06 235
100 Monroe Township Board of Education
Middlesex County, GO, FGIC,
5.00%, 09/15/10 115
100 Morris County, GO, 5.13%, 05/13/10 115
1,320 New Jersey , Transportation Trust Fund
Authority, Ser. A, Rev. (p),
5.00%, 06/15/09 1,502
1,060 New Jersey Economic Development
Authority, New Jersey Performing Arts
Center Project, Ser. A, Rev., AMBAC,
6.00%, 06/15/08 1,233
100 New Jersey Economic Development
Authority, Rev., FSA, 5.50%, 11/15/09 116
220 New Jersey Economic Development
Authority, Transportation Project,
Sublease, Ser. B, Rev., FSA,
5.75%, 05/01/09 257
100 New Jersey Health Care Facilities
Financing Authority, St. Elizabeth
Hospital Obligation Group, Rev.,
6.00%, 07/01/14 103
720 New Jersey State Educational Facilities
Authority, Capital Improvement Fund,
Ser. A, Rev., 5.00%, 09/01/08 805
600 New Jersey State Educational Facilities
Authority, Drew University, Ser. C, Rev.,
FGIC, 5.25%, 07/01/18 696
2,545 New Jersey State Educational Facilities
Authority, Drew University, Ser. C, Rev.,
MBIA, 5.25%, 07/01/13 2,859
115 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 4.88%, 07/01/04 116
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 1,000 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 5.70%, 07/01/28 $ 1,029
1,050 New Jersey State Educational Facilities
Authority, Higher Education Equipment
Leasing Fund, Ser. A, Rev.,
5.00%, 09/01/08 1,175
1,000 New Jersey State Educational Facilities
Authority, Princeton University, Ser. E,
Rev., (p), 5.25%, 07/01/10 1,163
135 New Jersey State Educational Facilities
Authority, Rowan College, Ser. E, Rev., (p),
AMBAC, 5.75%, 07/01/06 150
1,275 New Jersey State Transit Corp., COP, FSA,
5.00%, 10/01/09 1,440
270 New Jersey State Transit Corp., Federal
Transporation Administration Grants,
COP, Ser. A, AMBAC, 5.63%, 09/15/09 313
1,000 New Jersey State Transit Corp., Federal
Transportation Administration Grants,
COP, Ser. A, (p), AMBAC, 6.13%, 09/15/09 1,194
200 New Jersey State Turnpike Authority,
Rev., (p), 6.75%, 01/01/09 222
250 New Jersey State Turnpike Authority,
Rev., (p) MBIA, 6.75%, 01/01/09 277
50 New Jersey State Turnpike Authority,
Ser. C, Rev., 6.50%, 01/01/16 62
260 New Jersey State Turnpike Authority,
Ser. C, Rev. (p), 6.50%, 01/01/16 323
335 New Jersey State Turnpike Authority,
Ser. C, Rev., (p), MBIA-IBC,
6.50%, 01/01/16 420
105 New Jersey State Turnpike Authority,
Ser. C, Rev., MBIA-IBC, 6.50%, 01/01/16 132
160 New Jersey State, GO, (p),
5.50%, 05/01/10 188
350 New Jersey State, Ser. D, GO,
8.00%, 02/15/07 413
100 New Jersey State, Ser. D, GO,
6.00%, 02/15/11 120
1,270 New Jersey State, Ser.H, GO,
5.25%, 07/01/10 1,468
$ 100 New Jersey Transportation Trust Fund
Authority, Ser. C, Rev., 5.00%, 12/15/06 $ 109
400 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.63%, 06/15/14 472
1,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.75%, 06/15/16 1,195
100 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev. (p), 6.00%, 06/15/10 121
270 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., (p), 6.00%, 06/15/16 325
270 New Jersey Wastewater Treatment Trust,
Ser. C, Rev., 6.88%, 06/15/07 315
1,000 New Jersey Wastewater Treatment Trust,
Ser. D, Rev., MBIA, 7.00%, 07/01/10 1,253
500 Ocean County Utilities Authority,
New Jersey Wastewater, GO,
6.00%, 01/01/07 561
100 Roxbury Township Board Of Education,
GO, FSA, 4.00%, 09/01/07 108
100 Somerset County, GO, 5.10%, 09/15/07 112
100 South Brunswick Township Board of
Education, GO, (p), FGIC, 5.63%, 12/01/09 118
215 Stony Brook Regional Sewage
Authority, Rev., 5.00%, 12/01/14 246
1,005 Summit, New Jersey, School Board
Resource Fund, GO, (p), 5.70%, 06/01/09 1,177
35 Summit, New Jersey, School Board
Resource Fund, GO, (p), 5.70%, 06/01/09 41
450 Warren Township Sewage Authority,
Rev., 3.00%, 12/01/08 468
275 Winslow Township Board of Education,
Winslow School District, GO, FGIC,
5.00%, 08/01/10 314
250 Winslow Township Board of Education,
Winslow School District, GO, FGIC,
5.00%, 08/01/12 287
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 1,000 Winslow Township Board of Education,
Winslow School District, GO, FGIC,
5.00%, 08/01/13 $ 1,145
-------------------------------------------------------------------
50,680
-------------------------------------------------------------------
NEW MEXICO -- 0.3%
185 New Mexico State Highway Commission,
Senior Sub Lien, Ser. D, Rev.,
5.00%, 06/15/12 211
NEW YORK -- 3.4%
530 New York State Dormitory Authority,
New York University, Ser. A, Rev.,
MBIA, 5.75%, 07/01/16 643
1,500 Port Authority of New York & New Jersey,
CONS, 93rd Ser., Rev., 6.13%, 06/01/94 1,784
-------------------------------------------------------------------
2,427
-------------------------------------------------------------------
PUERTO RICO -- 15.7%
250 Puerto Rico Commonwealth, GO, (p),
5.40%, 07/01/06 277
250 Puerto Rico Commonwealth, GO,
MBIA-IBC, 7.00%, 07/01/10 316
1,600 Puerto Rico Commonwealth, GO,
5.75%, 07/01/17 1,834
110 Puerto Rico Commonwealth, Public
Improvement, GO, 5.00%, 07/01/06 118
250 Puerto Rico Commonwealth, Public
Improvement, GO, FSA, 5.50%, 07/01/14 298
205 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, FGIC,
5.25%, 07/01/12 239
235 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, MBIA,
5.50%, 07/01/16 281
140 Puerto Rico Electric Power Authority,
Rev., MBIA, 5.00%, 07/01/19 160
200 Puerto Rico Electric Power Authority,
Ser. NN, Rev., MBIA, 5.25%, 07/01/21 234
230 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA,
5.50%, 07/01/15 275
$ 210 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA,
5.50%, 07/01/16 $ 251
3,000 Puerto Rico Highway & Transportation
Authority, Ser. F, Rev., 5.00%, 07/01/07 3,294
380 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 07/01/13 452
1,200 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 07/01/15 1,434
250 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., 5.50%, 07/01/13 289
150 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., FSA,
5.50%, 07/01/15 179
430 Puerto Rico Highway & Transportation
Authority, Ser. Z, Rev., MBIA,
6.25%, 07/01/14 541
120 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. A, Rev.,
AMBAC, 6.25%, 07/01/08 141
130 Puerto Rico Public Finance Corp.,
Commonwealth Appropriations, Ser. A,
AMBAC, 5.38%, 06/01/17 154
500 University of Puerto Rico, Ser. O, Rev.,
MBIA, 5.75%, 06/01/17 587
-------------------------------------------------------------------
11,354
-------------------------------------------------------------------
Total State and Municipal Obligations
(Cost $63,704) 68,265
-------------------------------------------------------------------
<Caption>
SHARES
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 5.6%
MONEY MARKET FUND -- 5.6%
4,031 JPMorgan Tax Free Money Market Fund (a)
(Cost $4,031) $ 4,031
-------------------------------------------------------------------
Total Short term investments
(Cost $4,031) 4,031
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(COST $67,735) $ 72,296
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
JPMORGAN NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 97.0%
STATE AND MUNICIPAL OBLIGATIONS -- 97.0%
ARIZONA -- 0.6%
$ 4,280 Arizona Health Facilities Authority,
Catholic Healthcare West, Ser. A, Rev.,
6.13%, 07/01/09 + $ 4,652
CALIFORNIA -- 0.4%
630 Lancaster Financing Authority, Tax
Allocation, Redevelopment Projects,
Project No. 5 & 6, MBIA, 5.00%, 02/01/13 716
650 Lancaster Financing Authority, Tax
Allocation, Redevelopment Projects,
Project No. 5 & 6, MBIA, 5.00%, 02/01/14 735
1,040 Lancaster Redevelopment Agency, Tax
Allocation, Redevelopment Project Areas,
MBIA, 5.00%, 08/01/11 1,197
-------------------------------------------------------------------
2,648
-------------------------------------------------------------------
CONNECTICUT -- 1.9%
10,605 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater, FRDO,
9.57%, 03/04/04 14,355
FLORIDA -- 0.2%
1,000 Sunrise Excise Tax & Special Assessment,
Utilities Systems, Ser. A, Rev.,
AMBAC, 5.50%, 10/01/15 1,176
ILLINOIS -- 0.4%
2,882 Illinois Development Finance Authority,
Riverside Health & Fitness Center Project,
Ser. 1998-C, Rev., 5.20%, 08/01/28 3,131
KENTUCKY-- 0.1%
500 Kentucky State Turnpike Authority,
Revitalization Projects, Rev.,
AMBAC, 6.50%, 07/01/07 578
MARYLAND -- 0.5%
3,400 Howard County, Consolidated Public
Improvement Project, Ser. A, GO,
5.00%, 08/15/08 3,840
MASSACHUSETTS-- 0.2%
$ 1,000 Massachusetts State, Ser. A, GO,
6.00%, 11/01/11 $ 1,207
MICHIGAN -- 0.3%
1,800 Michigan State Hospital Finance Authority,
Ascension Health Credit, Ser. B, Adj., Rev.,
5.30%, 11/15/33 1,980
MISSOURI -- 1.3%
6,055 Kansas City School District Building Corp.,
Elementary Schools Project, Ser. B, Rev.,
FGIC, 5.00%, 02/01/13 6,886
2,250 St. Louis Municipal Finance Corp.,
Convention Center Project, Rev.,
AMBAC, 5.25%, 07/15/13 2,626
-------------------------------------------------------------------
9,512
-------------------------------------------------------------------
MULTIPLE STATES -- 0.1%
865 Koch Finance Tax Exempt Lease Trust,
5.21%, 07/01/04 (i) 867
NEW JERSEY -- 1.0%
540 Camden County Improvement Authority,
County Guaranteed Lease, Ser. A, Rev.,
FGIC, 5.25%, 09/01/13 624
750 Gloucester Township Board Of Education,
GO, MBIA, 5.00%, 08/01/11 858
500 Gloucester Township Board Of Education,
GO, MBIA, 5.00%, 08/01/13 572
1,985 Mercer County Improvement Authority,
Regional Sludge Project, Rev.,
FGIC, 5.00%, 12/15/08 2,246
1,025 New Jersey State Educational Facilities
Authority, Higher Education, Capital
Improvement, Ser. B, Rev.,
5.75%, 09/01/10 1,211
1,005 New Jersey State Educational Facilities
Authority, Montclair State University,
Ser. L, Rev., MBIA, 5.00%, 07/01/10 1,149
560 South Orange & Maplewood School
District, GO, FSA, 5.00%, 09/01/15 639
-------------------------------------------------------------------
7,299
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- 80.4%
$ 1,120 Allegany County IDA, Alfred University,
Civic Facilities, Rev., MBIA,
5.25%, 08/01/11 + $ 1,275
1,175 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. A, Rev.,
AMBAC, 5.50%, 08/01/15 + 1,365
1,000 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. B, Rev.,
AMBAC, 5.50%, 08/01/15 + 1,162
1,290 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. B, Rev.,
AMBAC, 5.75%, 08/01/15 + 1,523
150 Arkport Central School District, GO, FSA,
5.20%, 06/15/09 + 173
500 Attica Central School District, GO, FSA,
5.00%, 06/15/15 + 575
6,895 Babylon IDA, Civic Facilities, Winthrop S.
Nassau University East, Inc. Project,
Ser. A, Rev., AMBAC, 6.63%, 08/01/19 @ + 8,339
3,000 Babylon, New York, Waste Facilities, GO,
FGIC, 9.00%, 08/01/11 + 4,199
200 Battery Park City Authority, New York,
Ser. A, Rev., (p), AMBAC, 5.50%, 11/01/06 226
1,040 Beacon City School District, GO, MBIA,
5.50%, 07/15/11 1,224
1,025 Beacon City School District, GO, MBIA,
5.50%, 07/15/14 1,206
650 Brentwood Union Free School District,
GO, FSA, 5.63%, 06/15/13 750
200 Bridgewater Leonardsville West Winfield
Central School District, GO, FGIC,
5.00%, 06/15/06 217
1,660 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/13 1,957
1,100 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/14 1,303
1,660 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/15 1,974
685 Brockport Central School District, GO,
FGIC, 5.75%, 06/15/17 839
450 Bronxville Union Free School District, GO,
5.25%, 10/15/10 519
$ 1,000 Brookhaven, New York, Public
Improvement, GO, AMBAC,
5.30%, 11/15/11 $ 1,156
3,964 Buffalo, New York, State University of
New York, 5.50%, 01/01/07 (i) 4,059
590 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.40%, 07/15/16 679
305 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.50%, 07/15/17 352
375 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.50%, 07/15/18 433
250 Byram Hills Central School District,
GO, 4.00%, 11/15/06 267
255 Byram Hills Central School District,
GO, 4.00%, 11/15/07 276
275 Byram Hills Central School District,
GO, 4.00%, 11/15/08 299
260 Byram Hills Central School District,
GO, 4.00%, 11/15/09 283
1,000 Canandaigua City School District, Ser. A,
GO, FSA, 5.38%, 04/01/15 1,149
100 Carthage Central School District, Ser. A,
GO, FGIC, 4.40%, 06/15/15 112
250 Chenango Forks Central School District,
GO, FGIC, 5.63%, 06/15/11 295
850 Chenango Forks Central School District,
GO, FGIC, 5.70%, 06/15/12 1,007
370 City of Buffalo, Buffalo School, Ser. B,
GO, MBIA, 5.38%, 11/15/14 426
1,500 Cleveland Hill Union Free School District,
Cheektowaga, GO, FGIC,
5.50%, 10/15/13 1,734
1,730 Cleveland Hill Union Free School District,
Cheektowaga, GO, FGIC, 5.50%, 10/15/14 1,991
120 East Rochester Union Free School District,
GO, FSA, 5.70%, 06/15/14 142
2,250 Eastport-South Manor Central School
District, GO, FGIC, 4.50%, 06/15/07 2,465
2,300 Eastport-South Manor Central School
District, GO, FGIC, 4.50%, 06/15/08 2,548
2,200 Eastport-South Manor Central School
District, GO, FGIC, 4.63%, 06/15/09 2,468
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,130 Erie County Water Authority,
Improvement & Extension, Rev.,
5.75%, 12/01/08 $ 1,248
285 Fayetteville-Manlius Central School
District, GO, FGIC, 5.00%, 06/15/12 325
300 Gananda Central School District, GO,
FSA, 4.70%, 06/15/11 340
1,050 Goshen Central School District, GO,
FGIC, 5.00%, 06/15/16 1,204
1,050 Goshen Central School District, GO,
FGIC, 5.00%, 06/15/17 1,203
1,000 Goshen Central School District, GO,
FGIC, 5.00%, 06/15/19 1,136
690 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/08 774
1,480 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/09 1,679
1,545 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/10 1,760
1,000 Ilion Central School District, Ser. B, GO,
FGIC, 5.00%, 06/15/14 1,129
70 Irvington Union Free School District, GO,
FSA, 5.00%, 04/01/12 79
1,070 Lindenhurst Union Free School District,
GO, (p), FGIC, 5.25%, 07/15/12 1,208
1,460 Lindenhurst Union Free School District,
GO, (p), FGIC, 5.25%, 07/15/17 1,620
1,295 Lindenhurst Union Free School District,
GO, FGIC, 5.25%, 07/15/16 1,441
300 Long Island Power Authority, Electric
Systems, Rev., MBIA, 5.00%, 04/01/07 329
5,250 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA,
5.50%, 12/01/12 6,302
1,875 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA,
5.50%, 12/01/13 2,253
3,000 Long Island Power Authority, Electric
Systems, Ser. A, Rev., AMBAC,
5.50%, 12/01/08 3,440
$ 8,770 Long Island Power Authority, Electric
Systems, Ser. A, Rev., AMBAC,
5.50%, 12/01/11 $ 10,310
160 Longwood Central School District at
Middle Island, GO, FSA, 4.80%, 06/15/13 181
525 Mahopac Central School District, Ser. B,
GO, MBIA, 5.60%, 06/15/14 603
815 Mahopac Central School District, Ser. B,
GO, MBIA, 5.60%, 06/15/15 931
1,090 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.38%, 06/15/09 1,263
2,180 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.38%, 06/15/12 2,575
2,485 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.40%, 06/15/13 2,939
3,135 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.70%, 06/15/16 3,762
115 Metropolitan Transportation Authority,
Commuter Facilites, Ser. E, Rev., (p),
AMBAC, 5.00%, 07/01/13 133
340 Metropolitan Transportation Authority,
Commuter Facilities, Ser. A, Rev., (p),
FGIC, 6.10%, 07/01/06 385
100 Metropolitan Transportation Authority,
Commuter Facilities, Ser. A, Rev., (p),
FSA, 5.00%, 07/01/11 116
500 Metropolitan Transportation Authority,
Commuter Facilities, Ser. B, Rev., (p),
MBIA, 6.10%, 07/01/09 598
100 Metropolitan Transportation Authority,
Commuter Facilities, Service Contract,
Ser. Q, Rev., (p), AMBAC,
5.13%, 07/01/13 116
1,000 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev.,
5.00%, 11/15/05 + 1,061
115 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev., (p),
FGIC, 5.00%, 10/01/15 133
250 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev., (p),
FGIC, 6.00%, 04/01/10 301
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 5,500 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev., (p),
MBIA, 6.25%, 04/01/11 $ 6,774
1,000 Metropolitan Transportation Authority,
Ser. E, Rev., MBIA, 5.50%, 11/15/12 1,183
11,920 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev.,
5.75%, 07/01/16 14,202
2,370 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev.,
5.75%, 07/01/18 2,833
4,750 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev., FSA,
5.75%, 01/01/18 5,767
100 Metropolitan Transportation Authority,
Transportation Facilities, Ser. A, Rev., (p),
6.00%, 07/01/09 119
100 Metropolitan Transportation Authority,
Transportation Facilities, Ser. A, Rev., (p),
6.13%, 07/01/09 120
250 Metropolitan Transportation Authority,
Transportation Facilities, Ser. B-1, Rev., (p),
AMBAC, 5.00%, 01/01/12 287
180 Metropolitan Transportation Authority,
Transportation Facilities, Ser. B-1, Rev., (p),
AMBAC, 5.00%, 01/01/12 206
510 Metropolitan Transportation Authority,
Transportation Facilities, Ser. C, Rev., (p),
FSA, 5.25%, 07/01/10 583
675 Metropolitan Transportation Authority,
Transportation Facilities, Ser. M, Rev., (p),
FGIC, 5.40%, 07/01/07 760
100 Mexico Central School District, GO,
MBIA, 4.20%, 06/15/07 109
1,000 Monroe County, Public Improvement, GO,
6.00%, 03/01/18 1,198
1,000 Monroe County, Public Improvement, GO,
6.00%, 03/01/19 1,196
65 Monroe County, Public Improvement, GO,
AMBAC, 5.88%, 06/01/08 75
1,030 Monroe County, Public Improvement, GO,
FGIC, 5.00%, 03/01/15 1,136
$ 100 Monroe County, Public Improvement, GO,
FGIC, 5.00%, 03/01/16 $ 110
360 Monroe County, Public Improvement, GO,
MBIA-IBC, 6.00%, 03/01/15 439
400 Monroe County, Public Improvement,
Ser. A, GO, 4.70%, 06/01/08 433
1,065 Monroe County, Public Improvement,
Ser. P, GO, (p), AMBAC,
5.88%, 06/01/08 1,238
735 Monroe Woodbury Central School
District, Ser. A, GO, FGIC,
4.50%, 05/15/10 816
1,615 Monroe Woodbury Central School
District, Ser. A, GO, FGIC,
5.00%, 05/15/13 1,846
1,005 Monroe Woodbury Central School
District, Ser. A, GO, FGIC,
5.00%, 05/15/14 1,147
1,020 Monticello Central School District, GO,
FGIC, 5.63%, 06/15/06 1,120
160 Municipal Assistance Corporation for the
City of New York, Ser. I, Rev.,
6.25%, 07/01/07 184
2,750 Municipal Assistance Corporation for the
City of New York, Ser. O, Rev.,
5.25%, 07/01/08 3,113
365 Municipal Assistance Corporation for the
City of New York, Ser. G, Rev.,
6.00%, 07/01/07 416
6,500 Municipal Assistance Corporation for the
City of New York, Ser. G, Rev.,
6.00%, 07/01/08 7,457
140 Municipal Assistance Corporation for the
City of New York, Ser. M, Rev.,
5.25%, 07/01/06 153
4,740 Nassau County IDA, Civic Facility, Hofstra
University Project, Rev., MBIA,
5.25%, 07/01/09 5,431
4,360 Nassau County, Comb Sewer Districts,
Ser. F, GO, MBIA, 5.35%, 07/01/09 5,008
450 New Rochelle City School District, Ser. A,
GO, FSA, 5.00%, 12/15/10 515
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,000 New York City IDA, Civic Facilities, New
School for Social Research, Ser. A,
Rev., MBIA, 5.75%, 09/01/15 $ 1,084
1,260 New York City IDA, Civic Facilities,
New York Blood Center, Inc. Project,
Rev., (p), 7.20%, 05/01/04 1,273
3,605 New York City IDA, Civic Facilities,
Nightingale-Bamford School, Rev.,
AMBAC, 5.00%, 01/15/10 4,081
3,000 New York City Municipal Water Finance
Authority, Water & Sewer System, Ser. A,
Rev., FGIC, 5.75%, 06/15/31 3,394
5,500 New York City Municipal Water Finance
Authority, Water & Sewer System, Ser. B,
Rev., MBIA, 5.80%, 06/15/29 6,246
1,000 New York City Transit Authority,
Metropolitan Transportation Authority,
Triborough, COP, Ser. A, AMBAC,
5.63%, 01/01/12 1,151
2,280 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A, Rev.,
5.00%, 05/01/07 2,513
1,555 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., 5.00%, 08/01/08 1,744
105 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.00%, 08/15/07 118
140 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.13%, 08/15/07 158
4,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.38%, 02/15/10 4,691
1,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.75%, 08/15/24 1,192
5,130 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.75%, 08/15/18 6,115
$ 2,100 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 6.00%, 08/15/09 $ 2,530
1,635 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), FGIC, 6.00%, 08/15/09 1,970
475 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., 5.50%, 02/01/13 550
695 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., 6.13%, 11/15/14 836
3,380 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., (p), 5.50%, 02/01/11 4,015
3,305 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., (p), 6.13%, 05/15/10 4,039
3,500 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., Adj., 5.25%, 02/01/29 3,972
2,500 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., FSA, 6.00%, 11/15/10 3,005
1,215 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., TRAN, 5.50%, 02/01/11 1,415
100 New York City Transitional Finance
Authority, Ser. A, Rev., (p), FGIC,
5.00%, 08/15/07 113
2,000 New York City Trust for Cultural Resources,
Educational Broadcasting Corp., Ser. 1999,
Rev., 4.60%, 01/01/08 2,011
1,000 New York City, New York, Ser. E, GO,
MBIA-IBC, 5.75%, 08/01/11 1,192
670 New York City, New York, Capital
Appreciation, Ser. E, GO, (p),
6.35%, 05/15/08 795
290 New York City, New York, Ser. A, GO, (p),
6.00%, 05/15/10 352
295 New York City, New York, Ser. A, GO, (p),
MBIA, 6.00%, 05/15/10 358
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 4,000 New York City, New York, Ser. B, GO, FGIC,
5.75%, 08/01/13 $ 4,697
470 New York City, New York, Ser. C, GO, (p),
5.25%, 03/15/12 547
160 New York City, New York, Ser. D, GO,
FGIC, 5.75%, 08/01/09 187
200 New York City, New York, Ser. D, GO,
MBIA, 6.20%, 02/01/07 225
50 New York City, New York, Ser. F, GO,
5.25%, 08/01/05 53
1,145 New York City, New York, Ser. F, GO,
5.75%, 02/01/12 1,241
160 New York City, New York, Ser. F, GO, (p),
5.75%, 02/01/06 176
3,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 3,068
1,475 New York Local Government Assistance
Corp., Senior Lien, Ser. AA, Rev.,
5.00%, 04/01/12 1,668
9,000 New York Local Government Assistance
Corp., Ser. A, Rev., (p), 5.90%, 04/01/05 9,657
2,000 New York Local Government Assistance
Corp., Ser. E, Rev., FSA, 6.00%, 04/01/14 2,419
1,860 New York Mortgage Agency, Home Owner
Mortgage, Ser. 94, Rev., 5.35%, 04/01/23 1,988
635 New York Municipal Bond Bank Agency,
Special Program, Ser. A, Rev.,
6.88%, 03/15/06 638
190 New York State Dormitory Authority,
State University Educational Facilities,
Ser. B, GO, (p), FSA, 5.50%, 05/15/08 219
370 New York State Dormitory Authority,
Barnard College, Rev., AMBAC,
4.00%, 07/01/08 399
205 New York State Dormitory Authority,
Barnard College, Rev., AMBAC,
4.00%, 07/01/09 222
440 New York State Dormitory Authority,
Barnard College, Rev., AMBAC,
4.50%, 07/01/10 490
$ 565 New York State Dormitory Authority,
Canisius College, Rev.,
4.00%, 07/01/08 + $ 602
570 New York State Dormitory Authority,
Canisius College, Rev., 4.50%, 07/01/10 + 624
645 New York State Dormitory Authority,
Canisius College, Rev., 5.00%, 07/01/11 + 725
115 New York State Dormitory Authority,
Canisius College, Rev., MBIA,
4.95%, 07/01/14 128
1,520 New York State Dormitory Authority,
Child Care Facilities, Service Contract,
Ser. A, Rev., 5.38%, 04/01/13 1,726
2,500 New York State Dormitory Authority, City
University System, 3rd Generation
Reserve, Rev., FSA, 5.38%, 07/01/13 2,834
100 New York State Dormitory Authority, City
University System, CONS, Ser. 1, Rev., (p),
FSA, 5.63%, 01/01/08 115
140 New York State Dormitory Authority, City
University System, CONS, Ser. 1, Rev.,
MBIA, (p), 5.13%, 01/01/08 159
3,565 New York State Dormitory Authority, City
University System, CONS, Ser. A, Rev.,
FSA, 5.75%, 07/01/13 4,282
3,500 New York State Dormitory Authority, City
University System, CONS, Ser. B, Rev.,
6.00%, 07/01/14 4,138
320 New York State Dormitory Authority, City
University, 3rd Ser., Rev.,
6.00%, 07/01/06 352
445 New York State Dormitory Authority, City
University, 3rd Ser., Rev., (p),
6.00%, 07/01/06 494
2,000 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/12 2,316
1,545 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/13 1,767
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,880 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/14 $ 3,292
345 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/16 389
3,565 New York State Dormitory Authority,
Concord Nursing Home, Inc., Rev.,
6.25%, 07/01/16 3,967
110 New York State Dormitory Authority,
Department of Health, Rev., (p),
5.75%, 07/01/06 124
470 New York State Dormitory Authority, FHA
Insured Nursing Home, Ser. A, Rev.,
MBIA, 5.50%, 08/01/20 527
100 New York State Dormitory Authority,
Good Samaritan Hospital, Rev., (p),
5.50%, 07/01/11 119
1,050 New York State Dormitory Authority,
Lenox Hill Hospital Obligation Group,
Rev., 5.00%, 07/01/05 1,101
190 New York State Dormitory Authority, Long
Island University, Rev., 5.00%, 09/01/12 211
1,970 New York State Dormitory Authority,
Manhattan College, Rev.,
5.50%, 07/01/09 2,250
1,770 New York State Dormitory Authority,
Manhattan College, Rev.,
5.50%, 07/01/10 2,039
1,295 New York State Dormitory Authority,
Master Boces Program, Ser. A, Rev., FSA,
5.00%, 08/15/11 1,476
1,000 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer Center,
Rev., MBIA, 5.50%, 07/01/09 1,153
1,000 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer Center,
Rev., MBIA, 5.50%, 07/01/23 1,171
445 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer Center,
Rev., MBIA, 5.75%, 07/01/19 542
$ 2,340 New York State Dormitory Authority,
Mental Health Services Facilities
Improvement, Ser. B, Rev.,
6.00%, 08/15/16 $ 2,836
310 New York State Dormitory Authority,
Mental Health Services Facilities
Improvement, Ser. B, Rev., MBIA,
5.60%, 08/15/13 350
250 New York State Dormitory Authority,
Mental Health, Ser. A, Rev., (p), MBIA,
5.75%, 02/15/10 296
400 New York State Dormitory Authority,
Municipal Health Facilities Improvement
Program, Ser. 1, Rev., FSA,
5.00%, 01/15/07 436
500 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/14 592
1,925 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/16 2,286
1,455 New York State Dormitory Authority,
New York University, Ser. 1, Rev., AMBAC,
5.50%, 07/01/18 1,735
2,900 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 1,833
2,280 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 10,057
2,000 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/09 2,344
1,000 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/15 1,207
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,500 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/16 $ 4,243
2,530 New York State Dormitory Authority,
North Shore University Hospital, Rev.,
MBIA, 5.50%, 11/01/10 2,966
3,450 New York State Dormitory Authority,
Pratt Institute, Rev., 6.25%, 07/01/14 4,066
1,150 New York State Dormitory Authority,
School Districts Financing Program,
Ser. A, Rev., MBIA, 5.25%, 10/01/09 1,319
3,855 New York State Dormitory Authority,
School Districts Financing Program,
Ser. A, Rev., MBIA, 5.25%, 10/01/10 4,454
1,960 New York State Dormitory Authority,
School Districts Financing Program,
Ser. C, Rev., MBIA, 5.50%, 10/01/12 2,314
775 New York State Dormitory Authority,
School Districts Financing Program,
Ser. E, Rev., MBIA, 5.00%, 10/01/12 886
1,270 New York State Dormitory Authority,
School Districts Financing Program,
Ser. F, Rev., MBIA, 6.50%, 10/01/20 1,663
4,850 New York State Dormitory Authority,
Ser. B, Rev., FRDO, FGIC, 5.17%, 07/01/31 5,547
1,575 New York State Dormitory Authority,
Ser. C, Rev., 7.38%, 05/15/10 1,891
425 New York State Dormitory Authority,
Ser. C, Rev., (p), 7.38%, 05/15/09 532
1,345 New York State Dormitory Authority,
Service Contract, Child Care Facility,
Rev., 5.13%, 04/01/12 1,525
605 New York State Dormitory Authority,
Special Act School Districts Program,
Rev., MBIA, 5.30%, 07/01/11 693
1,865 New York State Dormitory Authority,
State Service Contract, Albany County,
Rev., 5.25%, 04/01/12 2,050
340 New York State Dormitory Authority,
State Service Contract, Albany County,
Rev., 5.50%, 04/01/08 383
$ 205 New York State Dormitory Authority,
State University Dormitory Facilities,
Rev., (p), 5.00%, 07/01/12 $ 237
500 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., 6.50%, 05/15/06 553
6,725 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FGIC, 5.50%, 05/15/13 7,929
1,050 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., MBIA-IBC, 5.25%, 05/15/21 1,208
800 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., MBIA-IBC, 5.50%, 05/15/10 934
415 New York State Dormitory Authority,
State University Educational Facilities,
Ser. I, Rev., (p), 5.13%, 05/15/08 473
25,247 New York State Dormitory Authority,
State University of New York,
Stoney Brook University, Rev.,
3.92%, 03/27/07 (i) 25,782
10,000 New York State Dormitory Authority,
The City University of New York, CONS,
Rev., AMBAC, 5.75%, 07/01/13 12,013
1,345 New York State Dormitory Authority,
The City University of New York, Special
Obligation, Ser. D, MBIA-IBC,
5.75%, 07/01/06 1,480
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 5,595
2,000 New York State Environmental Facilities
Corp., Clean Water & Drinking, Revolving
Funds, New York City Municipal Project,
Rev., 5.38%, 06/15/15 2,280
2,205 New York State Environmental Facilities
Corp., Clean Water & Drinking, Revolving
Funds, Second Resolution, Rev.,
5.00%, 06/15/13 2,524
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,125 New York State Environmental Facilities
Corp., Clean Water & Drinking, Revolving
Funds, Second Resolution, Rev.,
5.00%, 06/15/14 $ 3,537
460 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., 5.75%, 06/15/11 551
700 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., 5.75%, 06/15/12 841
2,950 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/11 3,554
1,590 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/11 1,916
4,130 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/12 4,994
1,000 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/12 1,209
425 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. B, Rev., 5.20%, 05/15/14 493
100 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. B, Rev., (p), 4.95%, 05/15/07 111
300 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. E, Rev., MBIA, 6.00%, 06/15/11 364
5,415 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. E, Rev., MBIA, 6.00%, 06/15/12 6,605
460 New York State Environmental Facilities
Corp., State Water Revolving Fund, Ser. B,
Rev., (p), 5.70%, 07/15/09 546
4,650 New York State Environmental Facilities
Corp., State Water Revolving Fund, Ser. B,
Rev., (p), 5.70%, 07/15/14 5,410
$ 1,800 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. D, Rev., 5.50%, 06/15/13 $ 2,115
3,320 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. L, Rev., 5.00%, 11/15/11 3,811
185 New York State Housing Finance Agency,
Multi-Family Mortgage Housing, Ser. A,
Rev., 6.95%, 08/15/12 186
1,250 New York State Housing Finance Agency,
State University Construction, Ser. A,
Rev., (p), 8.00%, 05/01/11 1,587
440 New York State Medical Care Facilities
Finance Agency, Hospital and Nursing
Home, Insured Mortgage, Ser. C,
Rev., (p), 5.75%, 02/15/08 505
865 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. B-1,
Rev., (p), FGIC, 5.60%, 04/01/10 1,028
2,550 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., 6.00%, 04/01/11 2,899
3,765 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., (p), 6.00%, 04/01/07 4,343
170 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., (p), AMBAC, 5.75%, 04/01/10 203
245 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., (p), MBIA, 5.50%, 04/01/09 286
5,000 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., (p), MBIA, 5.63%, 04/01/09 5,871
1,590 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., MBIA, 5.50%, 04/01/10 1,851
15,600 New York State Urban Development Corp.,
Correctional & Youth Facilities Services,
Ser. A, Rev., 5.25%, 01/01/21 17,490
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,500 New York State Urban Development Corp.,
Correctional & Youth Facilities Services,
Ser. A, Rev., 5.50%, 01/01/17 $ 1,694
350 New York State Urban Development Corp.,
Correctional Capital Facilities, Ser. 7,
Rev., (p), 5.70%, 01/01/07 397
3,045 New York State Urban Development Corp.,
Correctional Capital Facilities, Ser. A,
Rev., FSA, 5.25%, 01/01/14 3,517
120 New York State Urban Development Corp.,
Correctional Capital Facilities, Ser. A,
Rev., FSA, 5.50%, 01/01/08 135
260 New York State Urban Development Corp.,
Correctional Facilities Service Contract,
Ser. B, Rev., (p), AMBAC, 4.75%, 01/01/09 293
170 New York State Urban Development Corp.,
Correctional Facilities Service Contract,
Ser. B, Rev., (p), AMBAC, 5.25%, 01/01/09 195
100 New York State Urban Development Corp.,
Correctional Facilities Service Contract,
Ser. D, Rev., (p), FSA, 5.25%, 01/01/11 116
145 New York State Urban Development Corp.,
Correctional Facilities, Ser. A, Rev., (p),
5.00%, 01/01/08 164
145 New York State Urban Development Corp.,
Correctional Facilities, Ser. A, Rev., (p),
FSA, 5.00%, 01/01/08 164
110 New York State Urban Development Corp.,
Correctional Facilities, Ser. B, Rev., (p),
5.00%, 01/01/09 125
270 New York State Urban Development Corp.,
Correctional Facilities, Ser. B, Rev., (p),
5.00%, 01/01/09 307
145 New York State Urban Development Corp.,
Correctional Facilitities Service Contract,
Ser. C, Rev., (p), AMBAC, 6.00%, 01/01/09 172
375 New York State Urban Development Corp.,
Facilities, Rev., 5.75%, 04/01/11 438
250 New York State Urban Development Corp.,
Personal Income Tax, Ser. C-1, Rev.,
5.00%, 03/15/09 280
$ 1,000 New York State Urban Development Corp.,
State Facilities, Rev., 5.60%, 04/01/15 $ 1,169
45 New York State Urban Development Corp.,
Youth Facilities Services Contract, Ser. B,
Rev., 5.88%, 04/01/14 53
115 New York State Urban Development Corp.,
Youth Facilities, Ser. A, Rev., (p),
5.00%, 04/01/08 130
1,000 New York State, GO, 2.75%, 07/01/04 1,005
3,000 New York State, GO, 6.00%, 03/01/07 3,383
100 New York State, Ser. C, GO,
5.00%, 04/15/09 112
1,940 Niagara Falls Bridge Commission, Tolls,
Ser. B, Rev., FGIC, 5.25%, 10/01/15 2,256
1,010 Oneida County, GO, FGIC, 5.50%, 03/15/11 1,186
1,000 Oneida-Herkimer Solid Waste
Management Authority, Solid Waste
Systems, Rev., FSA, 5.50%, 04/01/11 1,172
1,230 Onondaga County, GO, 5.25%, 05/15/13 1,431
1,280 Onondaga County, GO, 5.25%, 05/15/14 1,487
1,335 Onondaga County, GO, 5.25%, 05/15/15 1,553
785 Onondaga County, GO, 5.25%, 05/15/16 913
1,700 Onondaga County, Ser. A, GO,
5.00%, 05/01/12 1,930
445 Onondaga County, Ser. A, GO,
5.25%, 05/15/13 505
445 Onondaga County, Ser. A, GO,
5.25%, 05/15/14 505
515 Onondaga County, Ser. A, GO,
5.25%, 05/15/15 581
210 Onondaga County, Ser. A, GO,
5.25%, 05/15/16 236
100 Peru Central School District, GO,
FGIC, 4.63%, 06/15/18 113
9,395 Port Authority of New York & New Jersey,
120th Ser., Rev., MBIA, 5.75%, 10/15/07 10,608
775 Red Creek Central School District, GO,
FSA, 5.50%, 06/15/14 912
360 Rockland County, Various Purposes,
Ser. A, GO, 4.50%, 10/01/09 398
195 Rondout Valley Central School District,
GO, FSA, 5.13%, 03/01/17 226
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
NEW YORK -- CONTINUED
$ 865 Rondout Valley Central School District,
GO, FSA, 5.25%, 03/01/18 $ 1,009
930 Rondout Valley Central School District,
GO, FSA, 5.25%, 03/01/19 1,085
1,050 Scotia Glenville Central School District,
GO, FGIC, 5.40%, 06/15/12 1,228
1,050 Scotia Glenville Central School District,
GO, FGIC, 5.50%, 06/15/13 1,233
1,025 Scotia Glenville Central School District,
GO, FGIC, 5.50%, 06/15/14 1,204
275 Shenendehowa Central School District,
Clifton Park, GO, FSA, 5.50%, 07/15/11 327
500 Stillwater Central School District, GO,
MBIA, 5.20%, 06/15/11 575
1,250 Suffolk County Water Authority,
Waterworks, Sub Lien, Rev., MBIA,
6.00%, 06/01/09 1,476
1,550 Suffolk County, Public Improvement,
Ser. C, GO, MBIA, 5.25%, 07/15/13 1,775
1,215 Suffolk County, Public Improvement,
Ser. C, GO, MBIA, 5.25%, 07/15/14 1,395
3,275 Suffolk County, Southwest Sewer District,
GO, MBIA, 6.00%, 02/01/08 3,767
500 The New York Power Authority, General
Purpose, Rev., (p), 7.00%, 01/01/10 624
2,000 The New York Power Authority, Rev.,
5.00%, 11/15/06 2,189
100 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. A, Rev., (p),
4.75%, 01/01/16 112
100 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. A, Rev., (p),
6.00%, 01/01/11 121
1,000 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. B, Rev., (p),
5.75%, 01/01/12 1,199
7,770 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. SR, Rev., (p),
5.50%, 01/01/12 8,923
9,125 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. Y, Rev., (p),
6.00%, 01/01/12 10,912
$ 1,680 Unadilla ETC Central School District, GO,
FGIC, 4.50%, 06/15/07 $ 1,834
1,000 Unadilla ETC Central School District, GO,
FGIC, 4.50%, 06/15/08 1,102
1,980 Unadilla ETC Central School District, GO,
FGIC, 4.50%, 06/15/09 2,199
675 Utica, New York, Public Improvement, GO,
6.00%, 01/15/12 759
295 Utica, New York, Public Improvement, GO,
6.10%, 01/15/13 327
565 Warwick Valley Central School District,
GO, FSA, 5.50%, 01/15/14 649
600 Watertown City School District, GO, FSA,
5.63%, 06/15/16 708
1,365 Watertown City School District, GO, FSA,
5.63%, 06/15/17 1,611
1,245 Watertown City School District, GO, FSA,
5.63%, 06/15/18 1,470
2,870 Westchester County Healthcare Corp.,
Sub Ser. B, Rev., 5.20%, 11/01/16 3,197
8,115 Westchester County Healthcare Corp.,
Sub Ser. B, Rev., 5.25%, 11/01/12 9,231
1,700 Westchester County IDA, Civic Facilities,
Children's Village Project, Ser. A, Rev.,
5.30%, 03/15/14 1,862
1,150 Westchester County, GO, (p),
6.70%, 11/01/06 1,310
1,705 William Floyd Union Free School District
of the Mastics-Moriches-Shirley, Ser. B,
GO, MBIA, 4.63%, 06/15/08 1,888
1,000 Windsor Central School District, GO, FGIC,
5.50%, 06/15/13 1,174
1,170 Windsor Central School District, GO, FGIC,
5.50%, 06/15/14 1,374
650 Windsor Central School District, GO, FGIC,
5.50%, 06/15/15 763
-------------------------------------------------------------------
605,599
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
PENNSYLVANIA -- 0.1%
$ 850 Upper Merion Area School District,
Ser. 2004, GO, FSA, 5.35%, 09/01/13 $ 998
PUERTO RICO -- 8.8%
100 Puerto Rico Commonwealth, GO, MBIA,
5.50%, 07/01/06 110
175 Puerto Rico Commonwealth, Public
Improvement, GO, MBIA, 5.75%, 07/01/07 199
4,000 Puerto Rico Commonwealth, Public
Improvement, GO, MBIA, 5.75%, 07/01/20 4,743
210 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, 5.50%, 07/01/18 241
1,000 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, MBIA,
5.50%, 07/01/14 1,194
2,460 Puerto Rico Commonwealth, GO, FSA,
6.00%, 07/01/13 3,013
3,500 Puerto Rico Commonwealth, Public
Improvement, GO, 6.00%, 07/01/29 3,761
1,120 Puerto Rico Commonwealth, Public
Improvement, GO, FSA, 5.50%, 07/01/12 1,329
4,465 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 07/01/18 4,922
1,300 Puerto Rico Electric Power Authority,
Ser. HH, Rev., FSA, 5.50%, 07/01/10 1,528
1,495 Puerto Rico Electric Power Authority,
Ser. JJ, Rev., 5.38%, 07/01/16 1,762
210 Puerto Rico Electric Power Authority,
Ser. JJ, Rev., MBIA, 5.25%, 07/01/15 246
1,475 Puerto Rico Electric Power Authority,
Ser. KK, Rev., FSA, 5.25%, 07/01/13 1,724
1,825 Puerto Rico Highway & Transportation
Authority, Rev., 5.00%, 07/01/06 1,963
7,165 Puerto Rico Highway & Transportation
Authority, Rev., 5.00%, 07/01/07 7,870
885 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev., 5.50%, 07/01/16 1,059
600 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA, Transportaion
Revenue, Series E, 5.50%, 07/01/13 713
8,430 Puerto Rico Highway & Transportation
Authority, Ser. F, Rev., 5.00%, 07/01/07 9,260
$ 1,500 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 07/01/15 $ 1,792
1,000 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., MBIA-IBC,
5.50%, 07/01/13 1,189
1,050 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., MBIA-IBC,
5.50%, 07/01/15 1,254
1,105 Puerto Rico Highway & Transportation
Authority, Ser. Z, Rev., 6.25%, 07/01/16 1,398
1,500 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 6.00%, 08/01/15 1,790
4,725 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.00%, 07/01/07 5,190
4,500 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.25%, 07/01/08 5,046
1,470 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.50%, 07/01/12 1,701
1,345 Puerto Rico Public Buildings Authority,
Rev., MBIA-IBC, 5.50%, 07/01/15 1,607
-------------------------------------------------------------------
66,604
-------------------------------------------------------------------
VIRGIN ISLANDS -- 0.6%
4,000 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Loan Notes, Ser. A,
Rev., 6.38%, 10/01/19 4,580
VIRGINIA -- 0.1%
740 Virginia Resources Authority,
Infrastructure, Pooled Loan Bond Project,
Ser. B, Rev., 5.00%, 11/01/12 851
-------------------------------------------------------------------
Total State and Municipal Obligations 729,877
(Cost $673,145)
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
JPMORGAN NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED) AS OF FEBRUARY 29, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
SHARES ISSUER VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.0%
MONEY MARKET FUND -- 3.0%
22,695 JPMorgan Tax Free Money Market Fund (a) $ 22,695
(Cost $22,695)
-------------------------------------------------------------------
Total Short-Term Investments 22,695
(Cost $22,695)
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 752,572
(COST $695,840)
-------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 2/29/04 (USD) (DEPRECIATION) (USD)
SHORT FUTURES OUTSTANDING
(150) 5 Year Treasury Notes June, 2004 $ (1,686,094) $ (66)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
JPMORGAN TAX FREE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.5%
STATE AND MUNICIPAL OBLIGATIONS -- 96.5%
ALABAMA -- 0.6%
$ 2,195 Jefferson County, Sewer,
Ser. D, Rev., (p), 5.75%, 02/01/07 $ 2,477
1,805 Jefferson County, Sewer,
Ser. D, Rev., (p), 5.75%, 02/01/07 2,037
-------------------------------------------------------------------
4,514
-------------------------------------------------------------------
ARIZONA -- 0.8%
5,000 Arizona State Transportation Board,
Ser. A, Rev., GAN, 5.00%, 07/01/13 + 5,710
CALIFORNIA -- 10.0%
6,000 California Infrastructure &
Economic Development Bank,
State Revolving Fund, Clean Water, Rev.,
5.00%, 10/01/15 6,701
5,750 California State Department of
Water Resources, Power Supply,
Ser. A, Rev., MBIA, 5.13%, 05/01/18 6,345
2,000 California State, GO, MBIA-IBC,
6.50%, 11/01/09 2,421
5,605 California State, Various Purposes,
GO, 5.13%, 11/01/11 6,253
9,000 California State, Various Purposes,
GO, 5.25%, 11/01/20 9,455
1,000 California State, Veterans Bonds,
Ser. AM, GO, 9.00%, 10/01/05 1,111
1,000 Fullerton University Foundation,
Auxiliary Organization, Ser. A, Rev.,
MBIA, 5.75%, 07/01/30 1,121
4,000 Los Angeles Harbor Department,
Rev., (p), 7.60%, 10/01/18 5,255
3,000 Modesto Irrigation District Financing
Authority, Ser. A, Rev., MBIA,
6.00%, 10/01/15 3,381
1,665 Orange County Development Agency,
Tax Allocation, Santa Anna Heights
Project Area, AMBAC, 5.25%, 09/01/15 1,897
1,965 Orange County Development Agency,
Tax Allocation, Santa Anna Heights
Project Area, AMBAC, 5.25%, 09/01/16 2,233
$ 2,120 Orange County Development Agency,
Tax Allocation, Santa Anna Heights
Project Area, AMBAC, 5.25%, 09/01/17 $ 2,398
2,510 Riverside, California, Electric,
Rev., FSA, 5.25%, 10/01/15 2,843
4,135 Rocklin Unified School District,
GO, FGIC, 0.00%, 08/01/19 2,055
2,985 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/20 1,393
5,010 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/22 2,051
5,500 Southern California Public Power
Authority, San Juan Power, Power Project,
Ser. B, Adj., Rev., FSA, 5.25%, 01/01/20 6,264
6,275 Southern California Public Power
Authority, San Juan Unit 3, Power Project,
Ser. A, Rev., FSA, 5.50%, 01/01/14 7,383
-------------------------------------------------------------------
70,560
-------------------------------------------------------------------
COLORADO -- 1.4%
1,145 Colorado Water Resources & Power
Development Authority, Drinking Water,
Ser. A, Rev., 5.25%, 09/01/11 1,314
2,000 Denver City & County, Airport, Ser. A,
Rev., AMBAC, 6.00%, 11/15/17 2,264
4,400 Platte River Power Authority, Ser. DD,
Rev., MBIA, 6.00%, 06/01/06 4,854
1,445 Platte River Power Authority, Ser. DD,
Rev., MBIA, 6.00%, 06/01/07 1,640
-------------------------------------------------------------------
10,072
-------------------------------------------------------------------
CONNECTICUT -- 2.1%
7,000 Connecticut State Development
Authority, PCR, Ser. A, Adj., Rev.,
AMBAC, 3.35%, 05/01/31 7,152
1,425 Waterbury, Connecticut, Ser. A, GO,
FSA, 5.50%, 04/01/14 1,645
5,055 Waterbury, Connecticut, Ser. A, GO,
FSA, 5.50%, 04/01/15 5,824
-------------------------------------------------------------------
14,621
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
DELAWARE -- 0.9%
$ 5,000 Delaware State Economic Development
Authority, Osteopathic Hospital
Association of Delaware, Ser. A,
Rev., (p), 6.90%, 01/01/18 $ 6,472
FLORIDA -- 5.0%
2,080 Dade County, Special Obligation, Special
Tax, Miami Beach Convention Center
Project, (p), FGIC, 8.63%, 12/01/07 2,404
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 3,423
9,720 Florida State Division of Facilities
Management, General Services, Ser. A,
Rev., FSA, 5.25%, 09/01/16 11,289
3,205 Hillsborough County Aviation Authority,
Tampa International Airport, Ser. B, Rev.,
FGIC, 6.00%, 10/01/18 3,928
3,800 Lakeland, Florida, Electric & Water, First
Lien, Ser. B, Rev., FSA, 6.05%, 10/01/14 4,684
3,830 Orange County Health Facilities Authority,
Ser. A, Rev., (p), MBIA, 6.25%, 10/01/12 4,785
1,295 Orange County Health Facilities Authority,
Ser. A, Rev., MBIA, 6.25%, 10/01/12 1,586
1,630 Orange County Health Facilities Authority,
Ser. C, Rev., (p), MBIA, 6.25%, 10/01/12 2,036
680 Orange County Health Facilities Authority,
Ser. C, Rev., MBIA, 6.25%, 10/01/12 833
495 Orange County, Tourist Development,
Ser. A, Rev., (p), AMBAC, 6.50%, 10/01/10 502
-------------------------------------------------------------------
35,470
-------------------------------------------------------------------
GEORGIA -- 5.5%
10,000 Dalton Development Authority, Rev.,
MBIA, 5.50%, 08/15/26 11,609
7,630 De Kalb County Housing Authority,
Apartment Development, Fox Hollow
Apartments, Rev., (p), 7.00%, 05/15/07 8,755
1,000 De Kalb County, Water & Sewer Systems,
Rev., 5.25%, 10/01/11 1,155
$ 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 13,323
3,110 Savannah Economic Development
Authority, College of Art & Design, Inc.
Project, Rev., 6.60%, 10/01/15 3,501
-------------------------------------------------------------------
38,358
-------------------------------------------------------------------
HAWAII -- 0.9%
5,000 Honolulu City & County, Ser. A, GO,
7.35%, 07/01/08 6,063
ILLINOIS -- 3.9%
3,990 Cook County Community High School
District No. 219, Niles Township, GO,
FGIC, 8.00%, 12/01/15 5,635
5,400 Cook County, Ser. B, GO, MBIA,
5.00%, 11/15/11 6,171
2,480 Illinois Housing Development Authority,
Multi-Family Housing, Ser. 1991-A, Rev.,
8.25%, 07/01/16 2,504
2,425 Regional Transportation Authority, Rev.,
MBIA, 6.25%, 07/01/15 3,018
9,000 State of Illinois, First Ser., GO, MBIA,
5.13%, 10/01/11 10,375
-------------------------------------------------------------------
27,703
-------------------------------------------------------------------
IOWA -- 0.8%
5,000 Muscatine, Iowa, Electric, Ser. A, Rev.,
AMBAC, 5.50%, 01/01/11 5,831
KENTUCKY -- 1.2%
8,000 Louisville & Jefferson Counties
Metropolitan Sewer District, Sewer &
Drain System, Ser. A, Rev., (p), AMBAC,
6.50%, 11/15/04 8,471
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
LOUISIANA -- 1.4%
$ 1,500 Louisiana State, Gas & Fuels Tax, Ser. A,
Rev., AMBAC, 5.38%, 06/01/15 $ 1,722
2,000 Louisiana State, Gas & Fuels Tax, Ser. A,
Rev., AMBAC, 5.38%, 06/01/18 2,243
1,040 Louisiana State, Gas & Fuels Tax, Ser. A,
Rev., AMBAC, 5.38%, 06/01/19 1,158
2,000 Orleans Parish School Board, Defeased,
Rev., (p), MBIA, 8.85%, 02/01/06 2,285
2,000 Orleans Parish School Board, Defeased,
Rev., (p), MBIA, 8.90%, 02/01/07 2,413
-------------------------------------------------------------------
9,821
-------------------------------------------------------------------
MASSACHUSETTS -- 2.8%
8,450 Massachusetts State Port Authority,
Ser. B, Rev., FSA, 5.50%, 07/01/13 9,333
8,140 Massachusetts State, CONS, Ser. C, GO,
5.25%, 12/01/07 9,124
1,000 New England Education Loan
Marketing Corp., Student Loan,
Sub-Issue H, Rev., 6.90%, 11/01/09 1,158
-------------------------------------------------------------------
19,615
-------------------------------------------------------------------
MICHIGAN -- 0.8%
5,000 Michigan Strategic Fund, Detroit
Edison Co., Ser. CC, Rev., Adj., AMBAC,
4.85%, 09/01/30 5,661
MISSOURI -- 0.2%
1,105 Sikeston, Missouri, Electric, Rev.,
MBIA, 6.00%, 06/01/16 1,367
NEVADA -- 0.0% ^
10 Nevada Housing Division, Single Family
Housing, Ser. A-3, Rev., 8.20%, 10/01/19 10
NEW HAMPSHIRE -- 0.5%
3,240 Manchester Housing & Redevelopment
Authority, Ser. A, Rev., 6.75%, 01/01/15 3,684
NEW JERSEY -- 7.3%
$ 4,200 Freehold Regional High School District,
GO, (p), FGIC, 5.60%, 03/01/10 $ 4,933
5,215 New Jersey Economic Development
Authority, Educational Testing Service,
Ser. B, Rev., (p), MBIA, 6.25%, 05/15/05 5,645
1,500 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 5.70%, 07/01/28 1,544
5,000 New Jersey State Highway Authority,
Garden State Parkway, Rev., (p),
6.20%, 01/01/10 5,880
1,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.75%, 06/15/15 1,194
1,875 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., (p), MBIA, 6.50%, 06/15/10 2,315
3,125 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., MBIA, 6.50%, 06/15/10 3,809
22,955 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. C, Rev., 5.50%, 06/15/20 25,839
-------------------------------------------------------------------
51,159
-------------------------------------------------------------------
NEW MEXICO -- 0.8%
5,000 Bernalillo County, Gross Receipts, Ser. B,
Rev., 5.70%, 04/01/27 5,889
NEW YORK -- 29.4%
2,850 New York City Municipal Water Finance
Authority, Water & Sewer Systems,
Ser. A, Rev., 5.75%, 06/15/30 3,220
13,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., Adj., 5.50%, 11/01/26 15,141
8,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., 5.50%, 11/01/24 8,878
9,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., (p), 5.50%, 05/01/10 10,666
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,000 New York City, New York, Ser. A, GO,
5.38%, 08/01/15 $ 2,156
11,000 New York City, New York, Ser. A, GO,
MBIA-IBC, 6.25%, 08/01/08 12,361
2,450 New York City, New York, Ser. A, GO,
MBIA-IBC, 6.25%, 08/01/09 2,718
2,525 New York City, New York, Ser. B, GO,
5.50%, 08/01/12 2,903
3,775 New York City, New York, Ser. B, GO,
MBIA, 6.50%, 08/15/10 4,602
18,140 New York City, New York, Ser. F, GO,
6.00%, 01/15/18 20,802
2,900 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 2,966
5,000 New York State Dormitory Authority,
City University System, CONS, Ser. A,
Rev., FSA, 5.75%, 07/01/13 6,006
2,000 New York State Dormitory Authority,
Pratt Institute, Rev., 6.00%, 07/01/28 2,261
6,000 New York State Energy Research &
Development Authority, PCR, Niagara
Mohawk Power Corp., Ser. A, Rev.,
FGIC, 7.20%, 07/01/29 6,236
95 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. D-02, Rev., 6.85%, 11/15/11 101
9,345 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. D, Rev., 5.38%, 06/15/19 10,505
7,270 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Sub Ser. E, Rev., 5.38%, 06/15/17 8,261
7,135 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Sub Ser. E, Rev., 5.38%, 06/05/18 8,020
165 New York State Housing Finance Agency,
Health Facilities, Monroe County, Ser. A,
Rev., 7.63%, 05/01/05 167
$ 2,060 New York State Medical Care Facilities
Finance Agency, Hospital and Nursing
Home, Insured Mortgage, Ser. C, Rev.,
6.25%, 08/15/12 $ 2,109
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 2,024
5,000 New York State Urban Development
Corp., Correctional & Youth Facilities
Services, Ser. A, Rev., 5.50%, 01/01/17 5,648
22,500 New York State Urban Development
Corp., Correctional & Youth Facilities
Services, Ser. A, Rev., 5.25%, 01/01/21 25,225
405 New York State Urban Development Corp.,
Correctional Capital Facilities, Ser. 7,
Rev., (p), MBIA-IBC, 5.70%, 01/01/07 460
26,000 Port Authority of New York & New Jersey,
CONS, 93rd Ser., Rev., 6.13%, 06/01/94 30,923
7,960 Triborough Bridge & Tunnel Authority,
Convention Center Project, Ser. E, Rev.,
7.25%, 01/01/10 9,327
2,000 Utica IDA, Civic Facilities, Munson-
Williams-Proctor Institute Project,
Ser. A, Rev., 5.38%, 07/15/19 2,201
-------------------------------------------------------------------
205,887
-------------------------------------------------------------------
NORTH DAKOTA -- 0.9%
5,000 Mercer County, PCR, Antelope Valley
Station, Rev., AMBAC, 7.20%, 06/30/13 6,340
OHIO -- 1.7%
11,000 Cleveland, Ohio, Public Power System,
First Mortgage, Ser. A, Rev., (p),
MBIA, 7.00%, 1/15/04 @ 11,685
OKLAHOMA -- 0.9%
1,005 Oklahoma Housing Finance Agency,
Single Family Mortgage, Ser. B-2,
Rev., 6.80%, 09/01/26 1,014
5,000 Tulsa Metropolitan Utility Authority,
Rev., MBIA, 5.75%, 09/01/19 5,421
-------------------------------------------------------------------
6,435
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- --------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
OREGON -- 1.6%
$ 5,780 Oregon State, Higher Education Building,
Ser. A, GO, (p), 6.45%, 08/01/04 $ 5,969
5,000 Washington County Unified
Sewer Agency, Senior Lien, Ser. A, Rev.,
FGIC, 5.75%, 10/01/10 5,950
-------------------------------------------------------------------
11,919
-------------------------------------------------------------------
PENNSYLVANIA -- 1.1%
6,500 Pennsylvania IDA, Economic Development,
Rev., AMBAC, 5.50%, 07/01/18 7,401
PUERTO RICO -- 7.9%
4,000 Puerto Rico Commonwealth, GO, FGIC,
5.25%, 07/01/09 4,609
5,655 Puerto Rico Commonwealth, GO, MBIA,
6.00%, 07/01/16 7,047
12,400 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 07/01/18 13,670
10,000 Puerto Rico Electric Power Authority,
Ser. KK, Rev., MBIA, 5.50%, 07/01/15 11,948
5,000 Puerto Rico Electric Power Authority,
Ser. Y, Rev., MBIA, 7.00%, 07/01/07 5,855
5,000 Puerto Rico Highway & Transportation
Authority, Ser. B, Rev., (p),
6.00%, 07/01/10 6,094
2,500 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 6.00%, 08/01/15 2,983
3,000 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. A, Rev.,
AMBAC, 6.25%, 07/01/11 3,700
5 Puerto Rico Urban Renewal & Housing
Corp., Rev., 7.88%, 10/01/04 5
-------------------------------------------------------------------
55,911
-------------------------------------------------------------------
SOUTH CAROLINA -- 0.8%
5,000 South Carolina State Public Service
Authority, Ser. A, Rev., AMBAC,
6.25%, 01/01/22 5,518
SOUTH DAKOTA -- 0.5%
2,750 Heartland Consumers Power District,
Rev., (p), 7.00%, 01/01/16 3,387
TENNESSEE -- 0.5%
$ 3,000 Metropolitan Government of Nashville &
Davidson County, Water & Sewer, Rev.,
FGIC, 5.20%, 01/01/13 $ 3,454
TEXAS -- 1.4%
2,115 Dallas-Fort Worth Regional Airport,
Ser. A, Rev., FGIC, 7.38%, 11/01/08 2,177
2,945 Dallas-Fort Worth Regional Airport,
Ser. A, Rev., FGIC, 7.38%, 11/01/09 3,031
2,000 Dallas-Fort Worth Regional Airport,
Ser. A, Rev., FGIC, 7.38%, 11/01/11 2,059
2,000 Houston, Texas, Water Conveyance
System, COP, Ser. F, AMBAC,
7.20%, 12/15/06 2,306
-------------------------------------------------------------------
9,573
-------------------------------------------------------------------
VIRGINIA -- 0.9%
5,500 Virginia State Public School
Authority, 1997 Resolution, Ser. A,
Rev., 5.00%, 08/01/18 6,006
WASHINGTON -- 2.0%
5,000 Energy Northwest, Washington Electric,
Project Number 1, Ser. A, Rev., MBIA,
5.50%, 07/01/16 5,672
7,000 Energy Northwest, Washington Electric,
Ser. B, Rev., MBIA, 5.50%, 07/01/18 8,078
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%, 07/01/09 275
-------------------------------------------------------------------
14,042
-------------------------------------------------------------------
Total State and Municipal Obligations 678,609
(Cost $619,737)
<Caption>
SHARES
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 3.5%
MONEY MARKET FUND -- 3.5%
24,784 JPMorgan Tax Free Money Market Fund (a) 24,784
(Cost $24,784)
-------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 703,393
(COST $644,521)
-------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
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 $ (474)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<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%.
+ -- 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 amended 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 February 29, 2004.
AMBAC -- American Municipal Bond Assurance Corp.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
FGIC -- Financial Guaranty Insurance Co.
FHA -- Federal Housing Authority.
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
February 29, 2004.
FRN -- Floating Rate Note. The rate shown is the rate in effect as of
February 29, 2004.
FSA -- Financial Securities Assurance.
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.
SUB -- Step-up Bond. The rate shown is the rate in effect as of February 29,
2004.
TRAN -- Tax & Revenue Anticipation Note.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS
AND LIABILITIES AS OF FEBRUARY 29, 2004 (Unaudited)
(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 $ 138,985 $ 1,555,752 $ 72,296 $ 752,572 $ 703,393
Cash 10 330 -- 45 1
Receivables:
Investment securities sold -- 516 -- 447 10
Fund shares sold 135 930 82 255 6
Interest and dividends 1,778 17,954 704 7,895 8,384
Expense reimbursements -- -- 1 -- --
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 140,908 1,575,482 73,083 761,214 711,794
- ------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends 245 3,463 162 1,249 2,112
Investment securities purchased 2,174 9,598 747 8,534 --
Fund shares redeemed 15 402 3 506 1,253
Variation margin 21 -- -- 47 --
Unrealized depreciation on open
swap contracts -- -- -- -- 474
Accrued liabilities:
Investment advisory fees 33 372 17 179 169
Administration fees 4 99 9 88 84
Shareholder servicing fees 5 251 5 88 134
Distribution fees --^ --^ 1 16 3
Custodian fees 19 70 20 46 35
Trustees' fees - deferred
compensation plan 4 88 10 49 114
Other 59 128 46 146 117
- ------------------------------------------------------------------------------------------------------------------------
Total Liabilities 2,579 14,471 1,020 10,948 4,495
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 138,329 $ 1,561,011 $ 72,063 $ 750,266 $ 707,299
- ------------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
SEMI - ANNUAL REPORT
FEBRUARY 29 2004
<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 127,713 1,434,128 66,953 690,493 645,136
Accumulated undistributed
(overdistributed) net investment income (126) 61 (4) (180) 16
Accumulated net realized gain (loss)
on investments, futures and swaps 629 8,446 553 3,287 3,749
Net unrealized appreciation
(depreciation) of investments, futures
and swaps 10,113 118,376 4,561 56,666 58,398
- ------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 138,329 $ 1,561,011 $ 72,063 $ 750,266 $ 707,299
- ------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Class A 1,951 1 116 13,590 7,349
Class B -- 1 86 3,311 826
Class C -- 4 -- 336 --
Institutional 7,594 37,782 -- 27,438 --
Select 3,210 101,303 6,850 54,751 97,831
Net Asset Value:
Class A (and redemption price) $ 10.94 $ 11.23 $ 10.22 $ 7.53 $ 6.68
Class B* $ -- $ 11.23 $ 10.17 $ 7.55 $ 6.69
Class C* $ -- $ 11.22 $ -- $ 7.54 $ --
Institutional (and redemption price) $ 10.78 $ 11.22 $ -- $ 7.55 $ --
Select (and redemption price) $ 10.94 $ 11.22 $ 10.22 $ 7.55 $ 6.67
Class A Maximum Public Offering
Price Per Share (net asset value per
share/95.50%) $ 11.46 $ 11.76 $ 10.70 $ 7.88 $ 6.99
- ------------------------------------------------------------------------------------------------------------------------
Cost of investments $ 128,839 $ 1,437,376 $ 67,735 $ 695,840 $ 644,521
- ------------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contigent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
STATEMENT OF
OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004 (Unaudited)
(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 $ 2,919 $ 34,557 $ 1,427 $ 15,281 $ 16,507
Dividend income from affiliated
investments* 34 152 12 95 145
- ------------------------------------------------------------------------------------------------------------------------
Total investment income 2,953 34,709 1,439 15,376 16,652
- ------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 216 2,407 110 1,123 1,076
Administration fees 108 1,204 55 562 538
Shareholder servicing fees 114 1,660 92 773 897
Distribution fees 27 --^ 5 218 83
Custodian and accounting fees 30 104 31 69 54
Printing and postage fees 3 16 1 14 7
Professional fees 29 51 27 39 32
Registration expenses 13 36 7 34 18
Transfer agent fees 31 45 18 100 57
Trustees' fees 1 12 1 6 5
Other 7 33 5 24 21
- ------------------------------------------------------------------------------------------------------------------------
Total expenses 579 5,568 352 2,962 2,788
- ------------------------------------------------------------------------------------------------------------------------
Less amounts waived 183 641 61 380 107
Less earnings credits --^ --^ --^ --^ --^
Less expense reimbursements -- -- 10 -- --
- ------------------------------------------------------------------------------------------------------------------------
Net expenses 396 4,927 281 2,582 2,681
- ------------------------------------------------------------------------------------------------------------------------
Net investment income 2,557 29,782 1,158 12,794 13,971
- ------------------------------------------------------------------------------------------------------------------------
</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 2,081 12,915 847 6,158 7,256
Futures 567 5,339 2 422 2,513
Change in net unrealized
appreciation/depreciation of:
Investments 2,967 37,199 2,417 23,205 21,972
Futures (138) (1,411) -- (373) (636)
Swaps -- -- -- -- (729)
Net realized and unrealized gain (loss)
on investments, futures and swaps 5,477 54,042 3,266 29,412 30,376
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 8,034 $ 83,824 $ 4,424 $ 42,206 $ 44,347
- ------------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees: $ 6 $ 25 $ 2 $ 17 $ 26
- ------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
STATEMENT OF CHANGES
IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited)
(Amounts in thousands)
<Table>
<Caption>
INTERMEDIATE
CALIFORNIA BOND FUND TAX FREE INCOME FUND
--------------------------------- ---------------------------------
9/1/03 THROUGH YEAR ENDED 9/1/03 THROUGH YEAR ENDED
2/29/04 8/31/03 2/29/04 8/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 2,557 $ 7,324 $ 29,782 $ 66,096
Net realized gain on investments
and futures 2,648 1,461 18,254 7,624
Change in net unrealized appreciation/
depreciation of investments
and futures 2,829 (4,823) 35,788 (28,647)
- ---------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 8,034 3,962 83,824 45,073
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (2,638) (7,271) (29,332) (66,147)
Net realized gain on investment
transactions (3,117) (864) (11,468) (11,597)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (5,755) (8,135) (40,800) (77,744)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (29,014) (48,934) (125,286) (120,582)
- ---------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets (26,735) (53,107) (82,262) (153,253)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 165,064 218,171 1,643,273 1,796,526
- ---------------------------------------------------------------------------------------------------------------------
End of period $ 138,329 $ 165,064 $ 1,561,011 $ 1,643,273
- ---------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (126) $ (45) $ 61 $ (389)
- ---------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
NEW JERSEY NEW YORK INTERMEDIATE
TAX FREE INCOME FUND TAX FREE INCOME FUND
--------------------------------- ---------------------------------
9/1/03 THROUGH YEAR ENDED 9/1/03 THROUGH YEAR ENDED
2/29/04 8/31/03 2/29/04 8/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 1,158 $ 2,670 $ 12,794 $ 30,664
Net realized gain (loss) on investments
and futures 849 2,099 6,580 7,886
Change in net unrealized appreciation/
depreciation of investments
and futures 2,417 (2,621) 22,832 (17,506)
- ---------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 4,424 2,148 42,206 21,044
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (1,129) (2,656) (12,812) (30,687)
Net realized gain on
investment transactions (2,309) (1,343) (10,733) (212)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (3,438) (3,999) (23,545) (30,899)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (4,218) (6,022) (22,850) (135,478)
- ---------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets (3,232) (7,873) (4,189) (145,333)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 75,295 83,168 754,455 899,788
- ---------------------------------------------------------------------------------------------------------------------
End of period $ 72,063 $ 75,295 $ 750,266 $ 754,455
- ---------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (4) $ (33) $ (180) $ (162)
- ---------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
<Table>
<Caption>
TAX FREE INCOME FUND
---------------------------------
9/1/03 THROUGH YEAR ENDED
2/29/04 8/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 13,971 $ 32,553
Net realized gain (loss) on investments
and futures 9,769 7,747
Change in net unrealized appreciation/
depreciation of investments, futures
and swaps 20,607 (20,086)
- ---------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 44,347 20,214
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (13,720) (32,728)
Net realized gain on
investment transactions (9,765) (6,328)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (23,485) (39,056)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from capital
share transactions (34,965) (122,669)
- ---------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets (14,103) (141,511)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of period 721,402 862,913
- ---------------------------------------------------------------------------------------------------------------------
End of period $ 707,299 $ 721,402
- ---------------------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ 16 $ (235)
- ---------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL
STATEMENTS (Unaudited)
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, (the "1940
Act"), 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
2, 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") Class A, Class B, Class C, 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. On
December 31, 2003, ITFI commenced offerings of Class A, Class B, and 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.
During the six months ended February 29, 2004, ITFI Institutional Class received
a contribution of securities (Subscription in-kind) in exchange for shares of
Institutional Share Class. The securities were transferred at a market value of
(in thousands) $512, which resulted in no unrealized gain or loss carrying over
to ITFI.
Additional information regarding the subscription in-kind is included in note
11.
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
FUNDS:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
57
<Page>
A. VALUATION OF INVESTMENTS -- Fixed income securities, other than convertible
bonds, with a maturity of 61 days or more at the purchase date 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 bid-side quotations. Convertible bonds are
valued at the last sale price on the primary exchange on which the bond is
principally traded. All short-term securities with a remaining maturity of sixty
days or less are valued using the amortized cost method, which approximates
market value. 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.
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, at which time a realized
gain or loss is recognized.
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 related 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 may enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the Funds' credit risk is
limited to failure of the exchange or board of trade.
As of February 29, 2004 the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. SWAPS -- The Funds may engage in various swap transactions, including forward
rate agreements, interest rate, fixed income, index and total return swaps,
primarily to manage duration and curve risk, or as alternatives to direct
investments. Unrealized gains are reported as an asset and unrealized losses are
reported as a liability on the Statement of Assets and Liabilities. The change
in value of swaps, including the periodic amounts of interest to be paid or
received on swaps is reported as unrealized gains or losses in the Statement of
Operations. A realized gain or loss is recorded upon payment or receipt of a
periodic payment or termination of 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 February 29, 2004, the Funds had outstanding swap agreements as listed on
the Funds' Portfolio of Investments. Swap transactions present risk of loss in
excess of the related amounts included in the Statement of Assets & Liabilities.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts.
58
<Page>
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 Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of their distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition "temporary differences"), such
amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
H. OTHER EXPENSES -- Other expenses in the Statement of Operation include fees
related to line of credit, insurance, pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
JPMIM acts as the investment advisor to the Funds. Prior to September 1, 2003,
pursuant to separate Advisory agreements, J.P. Morgan Fleming Asset Management
(USA) Inc. ("JPMFAM") and JPMIM, served as the Advisors to the Funds. JPMFAM
acted as Advisor for ITFI, NJTFI, NYTFI and TFI. JPMIM acted as Advisor for CBF.
On September 1, 2003, JPMFAM and Robert Fleming Inc. merged into JPMIM. Prior to
October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co.
On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan
Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of
J.P. Morgan Chase & Co. The investment advisory services and personnel providing
investment advice have not changed as a result of the merger and ownership
change. Neither the merger nor the ownership change constituted an assignment
under the 1940 Act or the Investment Advisers Act of 1940. The Advisor
supervises the investments of each respective Fund and for such services is paid
a fee. The fee is accrued daily and paid monthly at an annual rate equal to
0.30% 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.
59
<Page>
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
ITFI 0.25 0.75 0.75
NJTFI 0.25 0.75 n/a
NYTFI 0.25 0.75 0.75
TFI 0.25 0.75 n/a
</Table>
In addition, JPMFD is entitled to receive the contingent deferred sales charges
("CDSC") from redemptions of Class B and Class C shares.
The Distributor waived fees as outlined in Note 3.F.
C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JP Morgan Chase Bank ("JPMCB"),
under which JPMCB provides account administration and personal account
maintenance services to the shareholders.
For performing these services, JPMCB receives a fee that is computed daily and
paid monthly equal to a percentage of the average daily net assets as shown in
the table below (%):
<Table>
<Caption>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
CBF 0.25 n/a n/a 0.10 0.25
ITFI 0.25 0.25 0.25 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>
60
<Page>
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities for performing
shareholding and administrative services.
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 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Funds. Compensation for such services is presented
in the Statement of Operations as custodian fees. The custodian fees may be
reduced by credits earned by each Fund, based on 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. 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>
INSTITUTIONAL SELECT
CLASS A CLASS B CLASS C CLASS CLASS
FUND
CBF 0.60 n/a n/a 0.50 0.65
ITFI 0.75 1.50 1.50 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>
61
<Page>
The contractual expense limitation agreements were in effect for the six months
ended February 29, 2004 for the Funds. The expense limitation percentages in the
table above are due to expire December 31, 2004.
The Administrator waived fees and/or reimbursed expenses as outlined in Note
3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the six months ended February 29, 2004, 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
CBF $ 75 $ 81 $ 27 $ 183 $ --
ITFI 589 52 -- 641 --
NJTFI -- 61 -- 61 10
NYTFI 37 226 117 380 --
TFI -- 44 63 107 --
Total $ 701 $ 464 $ 207 $ 1,372 $ 10
</Table>
G. OTHER -- Certain officers of the Trust(s) are officers of J.P. Morgan Chase &
Co.or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisor.
The Funds may use related party broker dealers. For the six months ended
February 29, 2004, there were no brokerage commissions with broker/dealers
affiliated with JPMorgan.
The SEC has granted an exemptive order permitting each fund to engage in
principal transactions with J.P Morgan Securities Inc., an affiliated broker,
involving taxable money market instruments subject to certain conditions.
62
<Page>
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the six months ended February 29, 2004
are as follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
CBF
Class A $ 26 $ 27 $ 13
Institutional 44 -- 8
Select 44 -- 10
- --------------------------------------------------------------------------------------------------------------
Total $ 114 $ 27 $ 31
ITFI
Class A $ --^ $ --^ $ --^
Class B --^ --^ --^
Class C --^ --^ --^
Institutional 231 -- 16
Select 1,429 -- 29
- --------------------------------------------------------------------------------------------------------------
Total $ 1,660 $ --^ $ 45
NJTFI
Class A $ 2 $ 2 $ 8
Class B 1 3 4
Select 89 -- 6
- --------------------------------------------------------------------------------------------------------------
Total $ 92 $ 5 $ 18
NYTFI
Class A $ 117 $ 117 $ 56
Class B 31 93 15
Class C 3 8 1
Institutional 109 -- 11
Select 513 -- 17
- --------------------------------------------------------------------------------------------------------------
Total $ 773 $ 218 $ 100
TFI
Class A $ 63 $ 63 $ 45
Class B 7 20 5
Select 827 -- 7
- --------------------------------------------------------------------------------------------------------------
Total $ 897 $ 83 $ 57
</Table>
^ Amount rounds to less than one thousand.
63
<Page>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the six months ended February 29, 2004 and
the year ended August 31, 2003 are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED FEBRUARY 29, 2004 YEAR ENDED AUGUST 31, 2003
------------------------------------ ------------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
CBF
Class A $ 383 $ 454 $ 819 $ 87
Institutional 1,633 1,892 4,961 605
Select 622 771 1,491 172
- ---------------------------------------------------------------------------------------------------------------
Total $ 2,638 $ 3,117 $ 7,271 $ 864
ITFI
Class A $ --^ $ -- $ -- $ --
Class B --^ -- -- --
Class C --^ -- -- --
Institutional 8,691 3,309 21,900 3,975
Select 20,641 8,159 44,247 7,622
- ---------------------------------------------------------------------------------------------------------------
Total $ 29,332 $ 11,468 $ 66,147 $ 11,597
NJTFI
Class A $ 24 $ 58 $ 22 $ 3
Class B 10 27 10 1
Select 1,095 2,224 2,624 1,339
- ---------------------------------------------------------------------------------------------------------------
Total $ 1,129 $ 2,309 $ 2,656 $ 1,343
NYTFI
Class A $ 1,571 $ 1,288 $ 3,558 $ 25
Class B 318 357 631 6
Class C 27 31 11 --
Institutional 3,924 3,163 10,346 70
Select 6,972 5,894 16,141 111
- ---------------------------------------------------------------------------------------------------------------
Total $ 12,812 $ 10,733 $ 30,687 $ 212
TFI
Class A $ 963 $ 674 $ 2,396 $ 462
Class B 81 75 180 42
Select 12,676 9,016 30,152 5,824
- ---------------------------------------------------------------------------------------------------------------
Total $ 13,720 $ 9,765 $ 32,728 $ 6,328
- ---------------------------------------------------------------------------------------------------------------
</Table>
^ Amounts round to less than one thousand.
64
<Page>
6. INVESTMENT TRANSACTIONS
For the six months ended February 29, 2004, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S OF U.S
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
CBF $ 27,604 $ 59,001 $ -- $ --
ITFI 446,412 552,239 -- --
NJTFI 24,389 28,474 -- --
NYTFI 132,519 164,422 -- --
TFI 105,578 141,725 -- --
</Table>
7. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized
appreciation(depreciation) in value of the investment securities at February 29,
2004 are as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
CBF $ 128,839 $ 10,146 $ -- $ 10,146
ITFI 1,437,376 118,540 (164) 118,376
NJTFI 67,735 4,572 (11) 4,561
NYTFI 695,840 56,745 (13) 56,732
TFI 644,521 58,925 (53) 58,872
</Table>
8. 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 expired on April
15, 2004. On April 15, 2004 the Line of Credit Agreement was extended to April
14, 2005.
Prior to April 17, 2003, the Funds could borrow money for temporary or emergency
purposes. 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
65
<Page>
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 February 29, 2004, nor at anytime
during the period then ended.
9. 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 29.4% 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 Funds'
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.
10. CORPORATE EVENT
On January 14, 2004, J. P. Morgan Chase & Co. and Bank One Corp. announced they
have entered into an agreement and plan of merger. The merger is subject to the
approval of the shareholders of both institutions as well as U.S. federal and
state and foreign regulatory authorities. Completion of the transaction is
expected to occur in mid-2004.
66
<Page>
NOTES TO FINANCIAL
STATEMENTS 11. CAPITAL SHARE TRANSACTIONS (Unaudited)
Capital share transactions were as follows for the periods presented (Amounts in
thousands):
<Table>
<Caption>
CALIFORNIA BOND FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2004 AUGUST 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 1,513 $ 4,386
Shares issued in reinvestment
of distributions 449 448
Shares redeemed (2,703) (5,714)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (741) $ (880)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 139 401
Shares issued in reinvestment
of distributions 42 41
Shares redeemed (247) (516)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (66) (74)
- -----------------------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS
AMOUNT
Shares sold $ 3,026 $ 32,544
Shares issued in reinvestment
of distributions 1,472 1,830
Shares redeemed (31,256) (73,815)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (26,758) $ (39,441)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 280 2,989
Shares issued in reinvestment
of distributions 138 168
Shares redeemed (2,892) (6,788)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (2,474) (3,631)
- -----------------------------------------------------------------------------------------------------------------
SELECT CLASS
AMOUNT
Shares sold $ 2,073 $ 12,521
Shares issued in reinvestment
of distributions 616 730
Shares redeemed (4,204) (21,864)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,515) $ (8,613)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 189 1,130
Shares issued in reinvestment
of distributions 57 66
Shares redeemed (386) (1,980)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (140) (784)
- -----------------------------------------------------------------------------------------------------------------
</Table>
67
<Page>
Capital share tranactions were as follows for the periods presented (Amounts in
thousands):
<Table>
<Caption>
INTERMEDIATE TAX FREE INCOME FUND
---------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2004
CLASS A SHARES
AMOUNT
Shares sold $ 15
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 15
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1
- -----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 15
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 15
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 1
- -----------------------------------------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 40
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 40
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 4
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 4
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ Amounts rounds to less than one thousand
68
<Page>
<Table>
<Caption>
INTERMEDIATE TAX FREE INCOME FUND (CONTINUED)
---------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2004 AUGUST 31, 2003
INSTITUTIONAL CLASS
AMOUNT
Shares sold $ 28,420 $ 135,433
Subscription in-kind 512 --
Shares issued in reinvestment
of distributions 4,665 9,531
Shares redeemed (105,808) (293,878)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (72,211) $ (148,914)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,568 12,144
Subscription in-kind 46 --
Shares issued in reinvestment
of distributions 420 856
Shares redeemed (9,522) (26,319)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (6,488) (13,319)
- -----------------------------------------------------------------------------------------------------------------
SELECT CLASS*
AMOUNT
Shares sold $ 65,536 $ 368,766
Shares issued in reinvestment
of distributions 10,857 16,184
Shares redeemed (129,538) (356,618)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (53,145) $ 28,332
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 5,891 33,010
Shares issued in reinvestment
of distributions 980 1,457
Shares redeemed (11,650) (31,918)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (4,779) 2,549
- -----------------------------------------------------------------------------------------------------------------
</Table>
* Effective September 10, 2001 the share class was renamed from Institutional to
Select in connection with the Fund re-organization.
^ Amounts rounds to less than one thousand
69
<Page>
<Table>
<Caption>
NEW JERSEY TAX FREE INCOME FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2004 AUGUST 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 102 $ 1,811
Shares issued in reinvestment
of distributions 77 22
Shares redeemed (834) (23)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (655) $ 1,810
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 10 175
Shares issued in reinvestment
of distributions 8 2
Shares redeemed (82) (2)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (64) 175
- -----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 126 $ 839
Shares issued in reinvestment
of distributions 26 9
Shares redeemed (86) (88)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 66 $ 760
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 12 82
Shares issued in reinvestment
of distributions 3 1
Shares redeemed (9) (9)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 6 74
- -----------------------------------------------------------------------------------------------------------------
SELECT CLASS*
AMOUNT
Shares sold $ 1,935 $ 5,191
Shares issued in reinvestment
of distributions 1,994 1,186
Shares redeemed (7,558) (14,969)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (3,629) $ (8,592)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 190 504
Shares issued in reinvestment
of distributions 199 117
Shares redeemed (742) (1,453)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (353) (832)
- -----------------------------------------------------------------------------------------------------------------
</Table>
* Effective September 10, 2001 the share class was renamed from Institutional to
Select in connection with the Fund re-organization.
70
<Page>
<Table>
<Caption>
NEW YORK INTERMEDIATE TAX FREE INCOME FUND
------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2004 AUGUST 31, 2003^
CLASS A SHARES
AMOUNT
Shares sold $ 25,103 $ 26,999
Shares issued in reinvestment
of distributions 2,370 2,726
Shares redeemed (15,662) (47,172)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 11,811 $ (17,447)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 3,359 3,598
Shares issued in reinvestment
of distributions 318 364
Shares redeemed (2,090) (6,318)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 1,587 (2,356)
- -----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 1,229 $ 7,435
Shares issued in reinvestment
of distributions 460 428
Shares redeemed (2,099) (3,541)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (410) $ 4,322
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 164 988
Shares issued in reinvestment
of distributions 62 57
Shares redeemed (282) (471)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (56) 574
- -----------------------------------------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 767 $ 1,937
Shares issued in reinvestment
of distributions 50 10
Shares redeemed (137) (93)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ 680 $ 1,854
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 102 257
Shares issued in reinvestment
of distributions 7 1
Shares redeemed (18) (13)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding 91 245
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ For Class C shares, from commencement of offering on January 31, 2003.
71
<Page>
<Table>
<Caption>
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED)
------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2004 AUGUST 31, 2003
INSTITUTIONAL CLASS
AMOUNT
Shares sold $ 14,190 $ 28,180
Shares issued in reinvestment
of distributions 3,109 4,650
Shares redeemed (44,659) (98,854)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (27,360) $ (66,024)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 1,893 3,755
Shares issued in reinvestment
of distributions 417 620
Shares redeemed (5,968) (13,177)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (3,658) (8,802)
- -----------------------------------------------------------------------------------------------------------------
SELECT CLASS*
AMOUNT
Shares sold $ 25,562 $ 78,597
Shares issued in reinvestment
of distributions 6,112 4,113
Shares redeemed (39,245) (140,893)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (7,571) $ (58,183)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 3,410 10,472
Shares issued in reinvestment
of distributions 823 549
Shares redeemed (5,243) (18,786)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (1,010) (7,765)
- -----------------------------------------------------------------------------------------------------------------
</Table>
* Effective September 10, 2001 the share class was renamed from Institutional to
Select in connection with the Fund re-organization.
72
<Page>
<Table>
<Caption>
TAX FREE INCOME FUND
----------------------------------------
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2004 AUGUST 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 16,097 $ 97,661
Shares issued in reinvestment
of distributions 1,247 2,131
Shares redeemed (22,238) (107,439)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (4,894) $ (7,647)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,448 14,710
Shares issued in reinvestment
of distributions 189 321
Shares redeemed (3,368) (16,156)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (731) (1,125)
- -----------------------------------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 136 $ 1,104
Shares issued in reinvestment
of distributions 110 144
Shares redeemed (419) (1,632)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (173) $ (384)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 20 165
Shares issued in reinvestment
of distributions 17 22
Shares redeemed (63) (246)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (26) (59)
- -----------------------------------------------------------------------------------------------------------------
SELECT SHARES*
AMOUNT
Shares sold $ 16,871 $ 24,525
Shares issued in reinvestment
of distributions 8,435 5,617
Shares redeemed (55,204) (144,780)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (29,898) $ (114,638)
- -----------------------------------------------------------------------------------------------------------------
SHARES
Shares sold 2,561 3,681
Shares issued in reinvestment
of distributions 1,288 855
Shares redeemed (8,351) (21,767)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding (4,502) (17,231)
- -----------------------------------------------------------------------------------------------------------------
</Table>
* Effective September 10, 2001 the share was renamed from Institutional to
Select in connection with the Fund re-organization.
73
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS (Unaudited)
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 10.80 0.19 0.39 0.58
Year Ended 8/31/03 $ 11.07 0.39 (0.22) 0.17
9/10/01* Through 8/31/02 $ 10.90 0.40 0.17 0.57
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ 11.10 0.06 0.13 0.19
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 10.07 0.15 0.46 0.61
Year Ended 8/31/03 $ 10.36 0.30 (0.10) 0.20
4/1/02* Through 8/31/02 $ 9.84 0.12 0.53 0.65
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.35 0.13 0.29 0.42
Year Ended 8/31/03 $ 7.45 0.26@ (0.10) 0.16
Year Ended 8/31/02 $ 7.37 0.26@ 0.10 0.36
2/16/01* Through 8/31/01 $ 7.22 0.15 0.15 0.30
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 6.49 0.13 0.28 0.41
Year Ended 8/31/03 $ 6.66 0.26@ (0.12) 0.14
Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36
2/16/01* Through 8/31/01 $ 6.44 0.15 0.13 0.28
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 0.20 0.24 0.44
Year Ended 8/31/03 0.40 0.04 0.44
9/10/01* Through 8/31/02 0.40 -- 0.40
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 0.06 -- 0.06
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 0.14 0.32 0.46
Year Ended 8/31/03 0.32 0.17 0.49
4/1/02* Through 8/31/02 0.13 -- 0.13
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 0.13 0.11 0.24
Year Ended 8/31/03 0.26 --! 0.26
Year Ended 8/31/02 0.27 0.01 0.28
2/16/01* Through 8/31/01 0.15 -- 0.15
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 0.13 0.09 0.22
Year Ended 8/31/03 0.26 0.05 0.31
Year Ended 8/31/02 0.27 -- 0.27
2/16/01* Through 8/31/01 0.15 -- 0.15
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total returns figures do not include the effects of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
74
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN(1)(a)
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 10.94 5.46%
Year Ended 8/31/03 $ 10.80 1.51%
9/10/01* Through 8/31/02 $ 11.07 5.33%
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ 11.23 1.75%
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 10.22 6.26%
Year Ended 8/31/03 $ 10.07 1.92%
4/1/02* Through 8/31/02 $ 10.36 6.67%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.53 5.69%
Year Ended 8/31/03 $ 7.35 2.15%
Year Ended 8/31/02 $ 7.45 5.06%
2/16/01* Through 8/31/01 $ 7.37 4.26%
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 6.68 6.35%
Year Ended 8/31/03 $ 6.49 2.15%
Year Ended 8/31/02 $ 6.66 5.64%
2/16/01* Through 8/31/01 $ 6.57 4.46%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 21 0.60% 3.47% 1.19% 2.88%
Year Ended 8/31/03 $ 22 0.60% 3.56% 1.16% 3.00%
9/10/01* Through 8/31/02 $ 23 0.60% 3.70% 1.23% 3.07%
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ --(b) 0.75% 3.62% 1.32% 3.05%
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 1 1.00% 2.95% 2.05% 1.90%
Year Ended 8/31/03 $ 2 1.00% 2.87% 3.13% 0.74%
4/1/02* Through 8/31/02 $ --(b) 1.00% 3.16% 33.81%!! (29.67%)!!
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 102 0.75% 3.36% 1.12% 2.99%
Year Ended 8/31/03 $ 88 0.75% 3.45% 1.07% 3.13%
Year Ended 8/31/02 $ 107 0.75% 3.58% 1.09% 3.24%
2/16/01* Through 8/31/01 $ 117 0.75% 4.10% 1.21% 3.64%
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 49 0.75% 3.90% 1.17% 3.48%
Year Ended 8/31/03 $ 52 0.75% 3.94% 1.14% 3.55%
Year Ended 8/31/02 $ 61 0.75% 4.21% 1.15% 3.81%
2/16/01* Through 8/31/01 $ 59 0.75% 4.55% 1.23% 4.07%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------
PORTFOLIO
TURNOVER
RATE(a)
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 20%
Year Ended 8/31/03 49%
9/10/01* Through 8/31/02 65%
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 28%
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 34%
Year Ended 8/31/03 59%
4/1/02* Through 8/31/02 75%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 18%
Year Ended 8/31/03 38%
Year Ended 8/31/02 75%
2/16/01* Through 8/31/01 33%
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 15%
Year Ended 8/31/03 36%
Year Ended 8/31/02 94%
2/16/01* Through 8/31/01 57%
</Table>
(b) Amount rounds to less than one million.
# Short periods have been annualized.
! Rounds to less than .005.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
75
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ 11.10 0.05 0.13 0.18
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 10.04 0.12 0.45 0.57
Year Ended 8/31/03 $ 10.34 0.26 (0.12) 0.14
4/1/02* Through 8/31/02 $ 9.84 0.11 0.50 0.61
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.36 0.10 0.30 0.40
Year Ended 8/31/03 $ 7.46 0.20@ (0.10) 0.10
Year Ended 8/31/02 $ 7.38 0.21@ 0.08 0.29
2/16/01* Through 8/31/01 $ 7.22 0.12 0.16 0.28
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 6.50 0.10 0.28 0.38
Year Ended 8/31/03 $ 6.68 0.20@ (0.12) 0.08
Year Ended 8/31/02 $ 6.58 0.25@ 0.05 0.30
2/16/01* Through 8/31/01 $ 6.44 0.12 0.14 0.26
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 0.05 -- 0.05
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 0.12 0.32 0.44
Year Ended 8/31/03 0.27 0.17 0.44
4/1/02* Through 8/31/02 0.11 -- 0.11
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 0.10 0.11 0.21
Year Ended 8/31/03 0.20 --! 0.20
Year Ended 8/31/02 0.20 0.01 0.21
2/16/01* Through 8/31/01 0.12 -- 0.12
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 0.10 0.09 0.19
Year Ended 8/31/03 0.21 0.05 0.26
Year Ended 8/31/02 0.20 -- 0.20
2/16/01* Through 8/31/01 0.12 -- 0.12
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(1) Total returns figures do not include the effects of any front-end or
deferred sales load.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
76
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN(1)(a)
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ 11.23 1.63%
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 10.17 5.80%
Year Ended 8/31/03 $ 10.04 1.31%
4/1/02* Through 8/31/02 $ 10.34 6.20%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.55 5.41%
Year Ended 8/31/03 $ 7.36 1.34%
Year Ended 8/31/02 $ 7.46 4.08%
2/16/01* Through 8/31/01 $ 7.38 3.91%
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 6.69 5.88%
Year Ended 8/31/03 $ 6.50 1.11%
Year Ended 8/31/02 $ 6.68 4.69%
2/16/01* Through 8/31/01 $ 6.58 4.13%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ --(b) 1.50% 2.84% 1.82% 2.52%
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 1 1.50% 2.42% 2.55% 1.37%
Year Ended 8/31/03 $ 1 1.50% 2.44% 4.96% (1.02%)
4/1/02* Through 8/31/02 $ --(b) 1.50% 2.72% 36.90%!! (32.68%)!!
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 25 1.55% 2.56% 1.62% 2.49%
Year Ended 8/31/03 $ 25 1.55% 2.64% 1.57% 2.62%
Year Ended 8/31/02 $ 21 1.57% 2.74% 1.59% 2.72%
2/16/01* Through 8/31/01 $ 12 1.64% 3.21% 1.72% 3.13%
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 6 1.64% 3.00% 1.67% 2.97%
Year Ended 8/31/03 $ 6 1.64% 3.04% 1.64% 3.04%
Year Ended 8/31/02 $ 6 1.64% 3.31% 1.65% 3.30%
2/16/01* Through 8/31/01 $ 7 1.64% 3.66% 1.74% 3.56%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------
PORTFOLIO
TURNOVER
RATE(a)
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 28%
NEW JERSEY TAX FREE INCOME FUND
9/1/03 Through 2/29/04 34%
Year Ended 8/31/03 59%
4/1/02* Through 8/31/02 75%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 18%
Year Ended 8/31/03 38%
Year Ended 8/31/02 75%
2/16/01* Through 8/31/01 33%
TAX FREE INCOME FUND
9/1/03 Through 2/29/04 15%
Year Ended 8/31/03 36%
Year Ended 8/31/02 94%
2/16/01* Through 8/31/01 57%
</Table>
(b) Amount rounds to less than one million.
# Short periods have been annualized.
! Rounds to less than .005.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
77
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ 11.10 0.05 0.12 0.17
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.36 0.10 0.29 0.39
1/31/03* Ended 8/31/03 $ 7.46 0.10@ (0.09) 0.01
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 0.05 -- 0.05
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 0.10 0.11 0.21
1/31/03* Ended 8/31/03 0.11 --! 0.11
</Table>
* Commencement of offering of class of shares. @ Calculated based upon average
shares outstanding.
(1) Total returns figures do not include the effects of any front end load or
deffered sales load.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
78
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN(1)(a)
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ 11.22 1.54%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.54 5.27%
1/31/03* Ended 8/31/03 $ 7.36 0.17%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 $ --(b) 1.50% 2.53% 1.82% 2.21%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 3 1.55% 2.54% 1.62% 2.47%
1/31/03* Ended 8/31/03 $ 2 1.55% 2.40% 1.57% 2.38%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------
PORTFOLIO
TURNOVER
RATE(a)
INTERMEDIATE TAX FREE INCOME FUND
12/31/03* Through 2/29/04 28%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 18%
1/31/03* Ended 8/31/03 38%
</Table>
(b) Amount rounds to less than one million.
# Short periods have been annualized.
! Rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
79
<Page>
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 10.64 0.20 0.38 0.58
Year Ended 8/31/03 $ 10.90 0.41 (0.23) 0.18
Year Ended 8/31/02 $ 10.73 0.42 0.16 0.58
5/1/01 Through 8/31/01(d) $ 10.36 0.14 0.40 0.54
Year Ended 4/30/01 $ 10.03 0.46 0.33 0.79
Year Ended 4/30/00 $ 10.40 0.42 (0.36) 0.06
INTERMEDIATE TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 10.93 0.21 0.37 0.58
Year Ended 8/31/03 $ 11.15 0.43 (0.15) 0.28
9/10/01(d) Through 8/31/02 $ 10.94 0.44 0.25 0.69
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.36 0.14 0.29 0.43
Year Ended 8/31/03 $ 7.46 0.28@ (0.10) 0.18
9/10/01* Through 8/31/02 $ 7.33 0.27@ 0.15 0.42
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 0.20 0.24 0.44
Year Ended 8/31/03 0.40 0.04 0.44
Year Ended 8/31/02 0.41 -- 0.41
5/1/01 Through 8/31/01(d) 0.14 0.03 0.17
Year Ended 4/30/01 0.46 -- 0.46
Year Ended 4/30/00 0.42 0.01 0.43
INTERMEDIATE TAX FREE INCOME FUND
9/1/03 Through 2/29/04 0.21 0.08 0.29
Year Ended 8/31/03 0.43 0.07 0.50
9/10/01(d) Through 8/31/02 0.44 0.04 0.48
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 0.13 0.11 0.24
Year Ended 8/31/03 0.28 --! 0.28
9/10/01* Through 8/31/02 0.28 0.01 0.29
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
80
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN(a)
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 10.78 5.57%
Year Ended 8/31/03 $ 10.64 1.67%
Year Ended 8/31/02 $ 10.90 5.57%
5/1/01 Through 8/31/01(d) $ 10.73 5.31%
Year Ended 4/30/01 $ 10.36 7.97%
Year Ended 4/30/00 $ 10.03 0.70%
INTERMEDIATE TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 11.22 5.35%
Year Ended 8/31/03 $ 10.93 2.60%
9/10/01(d) Through 8/31/02 $ 11.15 6.43%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 7.55 5.95%
Year Ended 8/31/03 $ 7.36 2.40%
9/10/01* Through 8/31/02 $ 7.46 5.89%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 82 0.50% 3.64% 0.69% 3.45%
Year Ended 8/31/03 $ 107 0.50% 3.72% 0.66% 3.56%
Year Ended 8/31/02 $ 149 0.50% 3.84% 0.71% 3.63%
5/1/01 Through 8/31/01(d) $ 137 0.50% 3.99% 0.59% 3.90%
Year Ended 4/30/01 $ 126 0.50% 4.40% 0.59% 4.31%
Year Ended 4/30/00 $ 85 0.50% 4.19% 0.70% 3.99%
INTERMEDIATE TAX FREE INCOME FUND
9/1/03 Through 2/29/04 $ 424 0.50% 3.83% 0.59% 3.74%
Year Ended 8/31/03 $ 484 0.50% 3.89% 0.59% 3.80%
9/10/01(d) Through 8/31/02 $ 642 0.50% 4.02% 0.58% 3.94%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 $ 207 0.50% 3.61% 0.61% 3.50%
Year Ended 8/31/03 $ 229 0.50% 3.70% 0.60% 3.60%
9/10/01* Through 8/31/02 $ 298 0.50% 3.85% 0.62% 3.73%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------
PORTFOLIO
TURNOVER
RATE(a)
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 20%
Year Ended 8/31/03 49%
Year Ended 8/31/02 65%
5/1/01 Through 8/31/01(d) 29%
Year Ended 4/30/01 55%
Year Ended 4/30/00 87%
INTERMEDIATE TAX FREE INCOME FUND
9/1/03 Through 2/29/04 28%
Year Ended 8/31/03 56%
9/10/01(d) Through 8/31/02 71%
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND
9/1/03 Through 2/29/04 18%
Year Ended 8/31/03 38%
9/10/01* Through 8/31/02 75%
</Table>
(d) The Fund changed its fiscal year end from April 30 to August 31.
# Short periods have been annualized.
! Rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
81
<Page>
SELECT CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 10.80 0.19 0.38 0.57
Year Ended 8/31/03 $ 11.07 0.39 (0.23) 0.16
Year Ended 8/31/02 $ 10.91 0.40 0.16 0.56
5/1/01 Through 8/31/01(d) $ 10.53 0.14 0.41 0.55
Year Ended 4/30/01 $ 10.20 0.45 0.33 0.78
Year Ended 4/30/00 $ 10.57 0.41 (0.36) 0.05
Year Ended 4/30/99 $ 10.35 0.40 0.26 0.66
INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 10.93 0.20 0.37 0.57
Year Ended 8/31/03 $ 11.15 0.42 (0.15) 0.27
Year Ended 8/31/02 $ 10.98 0.43 0.21 0.64
Year Ended 8/31/01 $ 10.46 0.44 0.52 0.96
Year Ended 8/31/00 $ 10.42 0.46 0.10 0.56
Year Ended 8/31/99 $ 10.93 0.52 (0.39) 0.13
NEW JERSEY TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 10.09 0.16 0.45 0.61
Year Ended 8/31/03 $ 10.34 0.34 (0.08) 0.26
Year Ended 8/31/02 $ 10.33 0.37 0.20 0.57
Year Ended 8/31/01 $ 9.73 0.42 0.60 1.02
Year Ended 8/31/00 $ 9.61 0.44 0.12 0.56
Year Ended 8/31/99 $ 10.24 0.49 (0.45) 0.04
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 0.19 0.24 0.43
Year Ended 8/31/03 0.39 0.04 0.43
Year Ended 8/31/02 0.40 -- 0.40
5/1/01 Through 8/31/01(d) 0.14 0.03 0.17
Year Ended 4/30/01 0.45 -- 0.45
Year Ended 4/30/00 0.41 0.01 0.42
Year Ended 4/30/99 0.40 0.04 0.44
INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 0.20 0.08 0.28
Year Ended 8/31/03 0.42 0.07 0.49
Year Ended 8/31/02 0.43 0.04 0.47
Year Ended 8/31/01 0.44 -- 0.44
Year Ended 8/31/00 0.46 0.06 0.52
Year Ended 8/31/99 0.52 0.12 0.64
NEW JERSEY TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 0.16 0.32 0.48
Year Ended 8/31/03 0.34 0.17 0.51
Year Ended 8/31/02 0.37 0.19 0.56
Year Ended 8/31/01 0.42 -- 0.42
Year Ended 8/31/00 0.44 -- 0.44
Year Ended 8/31/99 0.49 0.18 0.67
</Table>
** Effective September 10, 2001 the share class was renamed from Institutional
to Select in connection with the Fund's re-organization.
(a) Not annualized for periods less than one year.
(d) The Fund changed its fiscal year end from April 30 to August 31.
SEE NOTES TO FINANCIAL STATEMENTS.
82
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN(a)
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 10.94 5.43%
Year Ended 8/31/03 $ 10.80 1.45%
Year Ended 8/31/02 $ 11.07 5.31%
5/1/01 Through 8/31/01(d) $ 10.91 5.31%
Year Ended 4/30/01 $ 10.53 7.77%
Year Ended 4/30/00 $ 10.20 0.60%
Year Ended 4/30/99 $ 10.57 6.43%
INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 11.22 5.26%
Year Ended 8/31/03 $ 10.93 2.44%
Year Ended 8/31/02 $ 11.15 5.99%
Year Ended 8/31/01 $ 10.98 9.35%
Year Ended 8/31/00 $ 10.46 5.54%
Year Ended 8/31/99 $ 10.42 1.15%
NEW JERSEY TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 10.22 6.17%
Year Ended 8/31/03 $ 10.09 2.58%
Year Ended 8/31/02 $ 10.34 5.82%
Year Ended 8/31/01 $ 10.33 10.69%
Year Ended 8/31/00 $ 9.73 6.08%
Year Ended 8/31/99 $ 9.61 0.37%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 $ 35 0.65% 3.43% 0.87% 3.21%
Year Ended 8/31/03 $ 36 0.65% 3.51% 0.84% 3.32%
Year Ended 8/31/02 $ 46 0.65% 3.63% 0.88% 3.40%
5/1/01 Through 8/31/01(d) $ 31 0.65% 3.84% 0.78% 3.71%
Year Ended 4/30/01 $ 33 0.65% 4.25% 0.78% 4.12%
Year Ended 4/30/00 $ 14 0.65% 3.99% 0.85% 3.79%
Year Ended 4/30/99 $ 17 0.65% 3.76% 0.87% 3.54%
INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 1,137 0.66% 3.67% 0.74% 3.59%
Year Ended 8/31/03 $ 1,159 0.66% 3.73% 0.74% 3.65%
Year Ended 8/31/02 $ 1,155 0.66% 3.88% 0.74% 3.80%
Year Ended 8/31/01 $ 728 0.74% 4.10% 0.75% 4.09%
Year Ended 8/31/00 $ 694 0.57% 4.49% 0.66% 4.40%
Year Ended 8/31/99 $ 729 0.03% 4.81% 0.50% 4.34%
NEW JERSEY TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 70 0.75% 3.18% 0.91% 3.02%
Year Ended 8/31/03 $ 72 0.75% 3.35% 0.90% 3.20%
Year Ended 8/31/02 $ 83 0.75% 3.64% 0.89% 3.50%
Year Ended 8/31/01 $ 82 0.75% 4.18% 0.93% 4.00%
Year Ended 8/31/00 $ 73 0.59% 4.67% 0.82% 4.44%
Year Ended 8/31/99 $ 68 0.04% 4.94% 0.63% 4.35%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------
PORTFOLIO
TURNOVER
RATE(a)
CALIFORNIA BOND FUND
9/1/03 Through 2/29/04 20%
Year Ended 8/31/03 49%
Year Ended 8/31/02 65%
5/1/01 Through 8/31/01(d) 29%
Year Ended 4/30/01 55%
Year Ended 4/30/00 87%
Year Ended 4/30/99 40%
INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 28%
Year Ended 8/31/03 56%
Year Ended 8/31/02 71%
Year Ended 8/31/01 43%
Year Ended 8/31/00 60%
Year Ended 8/31/99 62%
NEW JERSEY TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 34%
Year Ended 8/31/03 59%
Year Ended 8/31/02 75%
Year Ended 8/31/01 48%
Year Ended 8/31/00 48%
Year Ended 8/31/99 24%
</Table>
# Short periods have been annualized.
! Rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
83
<Page>
SELECT CLASS SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
---------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES
VALUE, INVESTMENT (BOTH TOTAL FROM
BEGINNING INCOME REALIZED AND INVESTMENT
OF PERIOD (LOSS) UNREALIZED) OPERATIONS
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 7.37 0.13 0.29 0.42
Year Ended 8/31/03 $ 7.46 0.26@ (0.09) 0.17
Year Ended 8/31/02 $ 7.38 0.26@ 0.09 0.35
Year Ended 8/31/01 $ 7.01 0.29 0.37 0.66
Year Ended 8/31/00 $ 6.91 0.31 0.10 0.41
Year Ended 8/31/99 $ 7.29 0.35 (0.31) 0.04
TAX FREE INCOME FUND**
9/1/03 Through 2/29/04 $ 6.48 0.13 0.28 0.41
Year Ended 8/31/03 $ 6.65 0.26@ (0.12) 0.14
Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36
Year Ended 8/31/01 $ 6.25 0.29 0.32 0.61
Year Ended 8/31/00 $ 6.19 0.30 0.06 0.36
Year Ended 8/31/99 $ 6.60 0.34 (0.37) (0.03)
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
LESS DISTRIBUTIONS:
------------------------------------------
DIVIDENDS
FROM NET DISTRIBUTIONS
INVESTMENT FROM CAPITAL TOTAL
INCOME GAINS DISTRIBUTIONS
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 0.13 0.11 0.24
Year Ended 8/31/03 0.26 --! 0.26
Year Ended 8/31/02 0.26 0.01 0.27
Year Ended 8/31/01 0.29 -- 0.29
Year Ended 8/31/00 0.31 -- 0.31
Year Ended 8/31/99 0.35 0.07 0.42
TAX FREE INCOME FUND**
9/1/03 Through 2/29/04 0.13 0.09 0.22
Year Ended 8/31/03 0.26 0.05 0.31
Year Ended 8/31/02 0.28 -- 0.28
Year Ended 8/31/01 0.29 -- 0.29
Year Ended 8/31/00 0.30 -- 0.30
Year Ended 8/31/99 0.34 0.04 0.38
</Table>
** Effective September 10, 2001 the share class was renamed from Institutional
to Select in connection with the Fund's re-organization.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
84
<Page>
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------
NET ASSET
VALUE, END TOTAL
OF PERIOD RETURN(a)
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 7.55 5.70%
Year Ended 8/31/03 $ 7.37 2.32%
Year Ended 8/31/02 $ 7.46 4.99%
Year Ended 8/31/01 $ 7.38 9.68%
Year Ended 8/31/00 $ 7.01 6.13%
Year Ended 8/31/99 $ 6.91 0.38%
TAX FREE INCOME FUND**
9/1/03 Through 2/29/04 $ 6.67 6.35%
Year Ended 8/31/03 $ 6.48 2.14%
Year Ended 8/31/02 $ 6.65 5.61%
Year Ended 8/31/01 $ 6.57 10.00%
Year Ended 8/31/00 $ 6.25 6.11%
Year Ended 8/31/99 $ 6.19 (0.63%)
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------------------------------
NET INVESTMENT
NET ASSETS, NET EXPENSES INCOME
END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS,
PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS
(IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 $ 413 0.72% 3.39% 0.76% 3.35%
Year Ended 8/31/03 $ 410 0.72% 3.48% 0.75% 3.45%
Year Ended 8/31/02 $ 474 0.72% 3.63% 0.76% 3.59%
Year Ended 8/31/01 $ 302 0.75% 4.10% 0.79% 4.06%
Year Ended 8/31/00 $ 277 0.58% 4.48% 0.70% 4.36%
Year Ended 8/31/99 $ 295 0.04% 4.85% 0.53% 4.36%
TAX FREE INCOME FUND**
9/1/03 Through 2/29/04 $ 652 0.75% 3.91% 0.75% 3.91%
Year Ended 8/31/03 $ 663 0.75% 3.95% 0.75% 3.95%
Year Ended 8/31/02 $ 796 0.75% 4.23% 0.75% 4.23%
Year Ended 8/31/01 $ 798 0.74% 4.56% 0.76% 4.54%
Year Ended 8/31/00 $ 753 0.57% 4.98% 0.66% 4.89%
Year Ended 8/31/99 $ 744 0.03% 5.25% 0.50% 4.78%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
------------------------
PORTFOLIO
TURNOVER
RATE(a)
NEW YORK INTERMEDIATE TAX FREE
INCOME FUND**
9/1/03 Through 2/29/04 18%
Year Ended 8/31/03 38%
Year Ended 8/31/02 75%
Year Ended 8/31/01 33%
Year Ended 8/31/00 46%
Year Ended 8/31/99 39%
TAX FREE INCOME FUND**
9/1/03 Through 2/29/04 15%
Year Ended 8/31/03 36%
Year Ended 8/31/02 94%
Year Ended 8/31/01 57%
Year Ended 8/31/00 35%
Year Ended 8/31/99 39%
</Table>
# Short periods have been annualized.
! Rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
85
<Page>
JPMORGAN FAMILY OF FUNDS
U.S. EQUITY FUNDS
CAPITAL GROWTH FUND
DISCIPLINED EQUITY FUND
DIVERSIFIED FUND
DYNAMIC SMALL CAP FUND
EQUITY GROWTH FUND
EQUITY INCOME FUND
GROWTH AND INCOME FUND
MID CAP EQUITY FUND
MID CAP GROWTH FUND
MID CAP VALUE FUND
SMALL CAP EQUITY FUND
SMALL CAP GROWTH FUND
TRUST SMALL CAP EQUITY FUND
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
VALUE OPPORTUNITIES FUND
INTERNATIONAL EQUITY FUNDS
FLEMING ASIA EQUITY FUND
FLEMING EMERGING MARKETS EQUITY FUND
FLEMING EUROPEAN FUND
FLEMING INTERNATIONAL EQUITY FUND
FLEMING INTERNATIONAL GROWTH FUND
FLEMING INTERNATIONAL OPPORTUNITIES FUND
FLEMING INTERNATIONAL VALUE FUND
FLEMING JAPAN FUND
SPECIALTY FUNDS
GLOBAL 50 FUND
GLOBAL HEALTHCARE FUND
MARKET NEUTRAL FUND
TAX AWARE FUNDS
FLEMING TAX AWARE INTERNATIONAL
OPPORTUNITIES FUND
TAX AWARE DISCIPLINED EQUITY FUND
TAX AWARE ENHANCED INCOME FUND
TAX AWARE LARGE CAP GROWTH FUND
TAX AWARE LARGE CAP VALUE FUND
TAX AWARE SHORT-INTERMEDIATE INCOME FUND
TAX AWARE U.S. EQUITY FUND
INCOME FUNDS
BOND FUND
BOND FUND II
ENHANCED INCOME FUND
FLEMING EMERGING MARKETS DEBT FUND
GLOBAL STRATEGIC INCOME FUND
SHORT TERM BOND FUND
SHORT TERM BOND FUND II
STRATEGIC INCOME FUND
U.S. TREASURY INCOME FUND
TAX FREE FUNDS
CALIFORNIA BOND FUND
INTERMEDIATE TAX FREE INCOME FUND
NEW JERSEY TAX FREE INCOME FUND
NEW YORK INTERMEDIATE TAX FREE INCOME FUND
TAX FREE INCOME FUND
MONEY MARKET FUNDS
100% U.S. TREASURY SECURITIES
MONEY MARKET FUND
CALIFORNIA TAX FREE MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
LIQUID ASSETS MONEY MARKET FUND
NEW YORK TAX FREE MONEY MARKET FUND
PRIME MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
TREASURY PLUS MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
UNDISCOVERED MANAGERS FUNDS
BEHAVIORAL GROWTH FUND
BEHAVIORAL VALUE FUND
REIT FUND
SMALL CAP GROWTH FUND
FUNDS MAY BE REGISTERED UNDER SEPARATE REGISTRANTS.
86
<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.
The financial information in this report has been taken from the books and
records of the Funds without examination by independent auditors, who express no
opinion thereon.
Investors should carefully read the fund prospectus which includes information
on the Fund's investment objectives, risk, as well as charges and expenses along
with other information. Investors should review the information in the
prospectus carefully before investing. For up to date month-end performance
information, or to receive a fund prospectus please call 800 348-4782. Please
read carefully before investing or sending money.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact yourJPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
A copy of proxy policies and procedures are available without charge upon
request by calling 1-800-348-4782 and on the Commission's website at
http://www.sec.gov.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
600 North Bedford Street U.S. POSTAGE
East Bridgewater, MA 02333 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2004 All rights reserved. April 2004. SAN-TF-204
<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.
NOT APPLICABLE.
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.
(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)).
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an audit
committee financial expert.
NOT APPLICABLE - ONLY FOR ANNUAL REPORTS.
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 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
<Page>
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.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under
the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member. If
the entire board of directors is acting as the registrant's audit
committee as specified in Section 3(a)(58)(B) of the Exchange Act
(15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption
from the listing standards for all audit committees.
NOT APPLICABLE.
ITEM 6. [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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company,
provide the information specified in paragraph (b) of this Item with
respect to any purchase made by or on behalf of the registrant or any
"affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange
Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the
registrant's equity securities that is registered by the registrant
pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
NOT APPLICABLE.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
<Page>
Describe any material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
NOT APPLICABLE.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive and
principal financial officers, or persons performing similar functions, regarding
the effectiveness of the registrant's disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date
within 90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE
CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND
PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT
THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO
ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR
IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS
AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS
THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE
REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL
FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED
DISCLOSURE.
(b) Disclose any change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that
occurred during the registrant's last fiscal half-year (the registrant's second
fiscal half-year in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control
over financial reporting.
THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR
(THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT
HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE
REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
ITEM 11. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number
the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit.
NOT APPLICABLE.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons.
NOT APPLICABLE.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
<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/ Patricia A. Maleski
-------------------------------------------------------
Patricia A. Maleski, Treasurer
Date April 29, 2004
----------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Patricia A. Maleski
-------------------------------------------------------
Patricia A. Maleski, Treasurer
Date April 29, 2004
----------------------------------------------------------------------------
By (Signature and Title)* /s/ George C.W. Gatch
-------------------------------------------------------
George C.W. Gatch, President
Date April 29, 2004
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.