<Page>
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OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08358
---------------------------------------------
J.P. Morgan Mutual Fund Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(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>
SEMI-ANNUAL REPORT FEBRUARY 29, 2004 (UNAUDITED)
JPMORGAN FUNDS
[GRAPHIC]
MONEY MARKET FUNDS
PRIME MONEY MARKET FUND
LIQUID ASSETS MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
TREASURY PLUS MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
TAX FREE MONEY MARKET FUND
CALIFORNIA TAX FREE MONEY MARKET FUND
NEW YORK TAX FREE MONEY MARKET FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Facts:
Prime Money Market Fund 3
Liquid Assets Money Market Fund 4
U.S. Government Money Market Fund 5
Treasury Plus Money Market Fund 6
Federal Money Market Fund 7
100% U.S. Treasury Securities Money Market Fund 8
Tax Free Money Market Fund 9
California Tax Free Money Market Fund 10
New York Tax Free Money Market Fund 11
Portfolios of Investments 12
Financial Statements 112
Notes to Financial Statements 127
Financial Highlights 148
</Table>
HIGHLIGHTS
- - Economic recovery underway
- - Fed kept monetary policy unchanged
- - Bank One 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 to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (800) 348-4782 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc.
<Page>
JPMORGAN MONEY MARKET FUNDS
DEAR SHAREHOLDER: APRIL 12, 2004
We are pleased to present this semi-annual report for the JPMorgan Money Market
Funds for the period ended February 29, 2004. Inside you'll find in-depth
information on some of our money market funds.
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 the 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 disinflation. 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%.
POLICY
In December, the Federal Reserve Board (Fed) had announced that it would keep
its monetary policy on hold. As investors speculated on the timing of a rate
increase, the short end of the yield curve anticipated nearly one percent of
tightening in 2004. In January, the Fed decided to drop the term "considerable
period" from its language on interest rates and said instead that it could
remain "patient." The Fed's rhetoric -- considered friendly by the market --
buoyed short-term interest rates. The new language gives the Fed the flexibility
to respond to evolving economic conditions rather than the mere passage of time.
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.
1
<Page>
The economic climate shows promise. Your portfolio managers will continue to
work hard on your behalf. Their goal: to obtain the highest possible 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
2
<Page>
JPMORGAN PRIME MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE MAINTAINING
LIQUIDITY AND PRESERVING CAPITAL
Primary Investments HIGH QUALITY, SHORT-TERM,
U.S.DOLLAR-DENOMINATED MONEY MARKET
INSTRUMENTS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER,AGENCY, SELECT, CASH
MANAGEMENT, INSTITUTIONAL, RESERVE, B AND
C SHARES
Net assets $47.1 BILLION
Average maturity 54 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC rating* CLASS 1
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) Class 1
status indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 19.6%
2-7 days 5.9%
8-30 days 27.2%
31-60 days 14.3%
61-90 days 12.4%
91-180 days 15.5%
181 + days 5.1%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.54%
Premier Shares 0.68%
Agency Shares 0.87%
Select Shares 0.69%
Cash Management Shares 0.16%
Institutional Shares 0.93%
Reserve Shares 0.43%
B Shares 0.09%
C Shares 0.09%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares, Select Shares,
Cash Management Shares, Institutional Shares, Reserve Shares, B Shares and C
Shares reflect the reimbursements or waivers of certain expenses. Without these
subsidies, the yields would have been 0.50%, 0.66%, 0.82%, 0.65%, 0.14%, 0.82%,
0.41%, (0.25%) and (0.25%) for Morgan Shares, Premier Shares, Agency Shares,
Select Shares, Cash Management Shares, Institutional Shares, Reserve Shares, B
Shares and C Shares, respectively.
A list of prior-day portfolio holdings of the JPMorgan Prime Money Market Fund
are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
3
<Page>
JPMORGAN LIQUID ASSETS MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL
PRESERVATION AND SAME-DAY LIQUIDITY
Primary Investments HIGH QUALITY, SHORT-TERM, U.S.
DOLLAR-DENOMINATED MONEY MARKET INSTRUMENTS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL
SHARES
Net assets $3.0 BILLION
Average maturity 71 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 13.2%
2-7 days 7.9%
8-30 days 15.1%
31-60 days 16.7%
61-90 days 15.6%
91-180 days 26.1%
181 + days 5.4%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.62%
Premier Shares 0.76%
Agency Shares 0.95%
Institutional Shares 1.01%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.19%, 0.63%, 0.84% and
0.84% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan Liquid Assets Money
Market Fund are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
4
<Page>
JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL
PRESERVATION
Primary Investments DIRECT OBLIGATIONS OF THE U.S.TREASURY AND
ITS AGENCIES INCLUDING TREASURY BILLS, BONDS,
NOTES, AND REPURCHASE AGREEMENTS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL
SHARES
Net Assets $9.1 BILLION
Average Maturity 50 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC raiting* CLASS 1
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) Class 1 status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 40.4%
2-7 days 2.3%
8-30 days 10.6%
31-60 days 15.0%
61-90 days 8.8%
91-180 days 17.4%
181 + days 5.5%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.51%
Premier Shares 0.65%
Agency Shares 0.84%
Institutional Shares 0.90%
</Table>
Past performance is not 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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.42%, 0.52%, 0.78%, and
0.78% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan U.S. Government Money
Market Fund are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
5
<Page>
JPMORGAN TREASURY PLUS MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE STILL MAINTAINING
LIQUIDITY AND PRESERVING CAPITAL
Primary Investments DIRECT OBLIGATIONS OF THE U.S.TREASURY
INCLUDING TREASURY BILLS, BONDS AND NOTES
AS WELL AS REPURCHASE AGREEMENTS WHICH ARE
FULLY COLLATERALIZED BY OBLIGATIONS ISSUED OR
GUARANTEED BY THE U.S.TREASURY
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, RESERVE AND
INSTITUTIONAL SHARES
Net Assets $4.2 BILLION
Average Maturity 56 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC raiting* EXEMPT
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) exempt status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 47.0%
2-7 days 0.0%
8-30 days 15.9%
31-60 days 4.7%
61-90 days 6.2%
91-180 days 15.8%
181 + days 10.4%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.43%
Premier Shares 0.57%
Agency Shares 0.77%
Institutional Shares 0.82%
Reserve Shares 0.32%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares, Reserve Shares
and Institutional Shares reflect the reimbursements or waivers of certain
expenses. Without these subsidies, the yields would have been 0.33%, 0.54%,
0.69%, 0.28%, and 0.69% for Morgan Shares, Premier Shares, Agency Shares,
Reserve Shares and Institutional Shares, respectively.
A list of prior-day portfolio holdings of the JPMorgan Treasury Plus Money
Market Fund are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
6
<Page>
JPMORGAN FEDERAL MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHILE STILL PRESERVING
CAPITAL AND MAINTAINING LIQUIDITY
Primary Investments DIRECT OBLIGATIONS OF THE U.S.TREASURY
INCLUDING TREASURY BILLS, BONDS AND NOTES AS
WELL AS OBLIGATIONS ISSUED OR GUARANTEED BY
THE U.S. TREASURY AND ITS AGENCIES
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL
SHARES
Net Assets $3.6 BILLION
Average Maturity 54 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC raiting* APPROVED
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) "approved" status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 11.5%
2-7 days 17.1%
8-30 days 27.4%
31-60 days 8.6%
61-90 days 9.0%
91-180 days 21.2%
181 + days 5.2%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.33%
Premier Shares 0.58%
Agency Shares 0.77%
Institutional Shares 0.83%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.25%, 0.56%, 0.71%, and
0.71% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan Federal Money Market Fund
are now available upon request. Please contact your JPMorgan Fleming
representative to obtain further information regarding this facility and
information on holdings.
(UNAUDITED)
7
<Page>
JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL
PRESERVATION
Primary Investments DIRECT OBLIGAIONS OF THE U.S.TREASURY
INCLUDING TREASURY BILLS, BONDS AND NOTES
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL
SHARES
Net Assets $5.1 BILLION
Average Maturity 84 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC raiting NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 0.0%
2-7 days 7.1%
8-30 days 5.6%
31-60 days 33.0%
61-90 days 19.1%
91-180 days 32.1%
181 + days 3.1%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.39%
Premier Shares 0.52%
Agency Shares 0.73%
Institutional Shares 0.78%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.29%, 0.51%, 0.66%, and
0.67% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
A list of prior-day portfolio holdings of the JPMorgan 100% U.S. Treasury
Securities Money Market Fund are now available upon request. Please contact your
JPMorgan Fleming representative to obtain further information regarding this
facility and information on holdings.
(UNAUDITED)
8
<Page>
JPMORGAN TAX FREE MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME EXCLUDED FROM GROSS
INCOME WHILE PRESERVING CAPITAL AND
MAINTAINING LIQUIDITY*
Primary Investments SHORT-TERM MUNICIPAL OBLIGATIONS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL
SHARES
Net Assets $12.1 BILLION
Average Maturity 37 DAYS
S&P rating** AAAm
Moody's rating NOT RATED
NAIC raiting NOT RATED
</Table>
** This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
MATURITY SCHEDULE
<Table>
1 day 8.6%
2-7 days 65.0%
8-30 days 2.0%
31-60 days 2.1%
61-90 days 2.8%
91-180 days 11.9%
181 + days 7.6%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- ------------------------------------------------
Morgan Shares 0.41% 0.63%
Premier Shares 0.55% 0.85%
Agency Shares 0.74% 1.14%
Institutional Shares 0.80% 1.23%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares, Premier Shares, Agency Shares and
Institutional Shares reflect the reimbursements or waivers of certain expenses.
Without these subsidies, the yields would have been 0.32%, 0.53%, 0.68% and
0.69% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares,
respectively.
(2) Taxable equivalent yields are calculated based on the SEC yield divided by 1
minus the effective tax rate. The effective federal tax rate used for this
illustration is 35.00%.
* A portion of the Fund's income distributions may be subject to the Alternative
Minimum Tax (AMT), and some investors may be subject to certain state and local
taxes.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
(UNAUDITED)
9
<Page>
JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME EXEMPT FROM FEDERAL AND
CALIFORNIA INCOME TAXES; PRESERVING CAPITAL
AND MAINTAINING LIQUIDITY*
Primary Investments CALIFORNIA SHORT-TERM MUNICIPAL OBLIGATIONS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN SHARES
Net Assets $165.3 MILLION
Average Maturity 41 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC raiting NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 11.1%
2-7 days 61.2%
8-30 days 0.5%
31-60 days 0.0%
61-90 days 4.8%
91-180 days 17.5%
181 + days 4.9%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- ------------------------------------------------
Morgan Shares 0.43% 0.73%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yield for Morgan Shares reflects the reimbursements or waivers of
certain expenses. Without these subsidies, the yield would have been 0.19%.
(2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1
minus the effective tax rate. The effective combined federal and state tax rate
used for this illustration is 41.05%.
* A portion of the Fund's income distributions may be subject to the Alternative
Minimum Tax (AMT), and some investors may be subject to certain state and local
taxes.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
(UNAUDITED)
10
<Page>
JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND
AS OF FEBRUARY 29, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME EXCLUDED FROM GROSS
INCOME AND EXEMPT FROM NEW YORK STATE AND
NEW YORK CITY PERSONAL INCOME TAXES;
PRESERVING CAPITAL AND MAINTAINING LIQUIDITY*
Primary Investments NEW YORK SHORT-TERM MUNICIPAL OBLIGATIONS
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN AND RESERVE SHARES
Net Assets $1.8 BILLION
Average Maturity 49 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC raiting NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 5.9%
2-7 days 62.7%
8-30 days 0.0%
31-60 days 3.5%
61-90 days 1.2%
91-180 days 18.8%
181 + days 7.9%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- ------------------------------------------------
Morgan Shares 0.42% 0.74%
Reserve Shares 0.22% 0.39%
</Table>
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. Although
money market funds strive to preserve the value of the investment at $1.00 per
share, it is possible to lose money by investing in a money market fund.
(1) The yields for Morgan Shares and Reserve Shares reflect the reimbursements
or waivers of certain expenses. Without these subsidies, the yields would have
been 0.31% for Morgan Shares and 0.13% for Reserve Shares.
(2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1
minus the effective tax rate. The effective combined federal, state and local
tax rate used for this illustration is 43.10%.
* A portion of the Fund's income distributions may be subject to the Alternative
Minimum Tax (AMT), and some investors may be subject to certain state and local
taxes.
A list of portfolio holdings is available fifteen days after month end upon
request. Please contact your JPMorgan Fleming representative or call
1-800-766-7722 to obtain further information.
(UNAUDITED)
11
<Page>
JPMORGAN PRIME MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- 100.0%
U.S. Government Agency Securities-- 2.9%
Federal Home Loan Bank,
$ 102,250 1.04%, 09/20/04, Ser. 412, FRN $ 102,211
Federal Home Loan Mortgage Corp.,
300,000 1.12%, 03/05/04, DN 299,963
225,000 1.15%, 03/17/04, DN 224,885
75,000 1.14%, 05/20/04, DN 74,810
100,000 4.50%, 08/15/04 101,484
300,000 1.46%, 11/17/04, MTN 299,999
275,000 Federal National Mortgage Association,
0.99%, 07/30/04, FRN 274,914
----------------------------------------------------------------------------------------
Total U.S. Government Agency Securities 1,378,266
(Cost $1,378,266)
----------------------------------------------------------------------------------------
Corporate Notes & Bonds-- 19.7%
ASSET BACKED SECURITIES-- 1.0%
K2 (USA) LLC,
100,000 1.08%, 03/17/04, FRN 100,000
80,000 1.06%, 05/10/04, # 79,998
80,000 1.06%, 05/12/04, MTN, FRN 79,998
125,000 1.06%, 05/17/04 124,999
95,000 1.06%, 06/08/04, MTN, FRN, # 94,999
---------------
479,994
BANKING-- 4.0%
Links Finance LLC,
100,000 1.07%, 03/12/04 100,000
100,000 1.07%, 03/22/04 100,000
100,000 1.07%, 03/24/04 100,000
100,000 1.07%, 03/24/04 100,000
Wells Fargo Bank N.A.,
543,670 1.04%, 02/14/05, FRN 543,670
769,980 1.16%, 09/14/05, MTN, FRN 769,979
160,000 Westpac Banking Corp./New York,
1.10%, 03/11/05, MTN, FRN 160,000
---------------
1,873,649
DIVERSIFIED-- 1.9%
General Electric Capital Corp.,
35,000 7.25%, 05/03/04, Ser. A, MTN 35,365
400,000 1.17%, 03/17/05, MTN, FRN 400,000
468,000 1.18%, 04/08/05, FRN 468,000
---------------
903,365
FINANCIAL SERVICES-- 12.6%
Associates Corp. of North America,
110,000 1.27%, 06/15/04, FRN 110,000
75,000 1.27%, 06/25/04, MTN, FRN 75,000
Beta Finance, Inc.,
167,000 1.05%, 05/17/04, MTN, FRN, # 166,998
119,000 1.06%, 05/19/04, MTN, FRN, # 118,999
100,000 1.06%, 06/07/04, Ser. 2, MTN, FRN, # 99,999
</Table>
See notes to financial statements.
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
FINANCIAL SERVICES-- CONTINUED
$ 200,000 1.42%, 09/13/04, MTN, # $ 200,000
100,000 1.32%, 02/09/05, MTN, # 100,000
CC USA, Inc.,
150,000 1.08%, 03/08/04, MTN, FRN, # 150,000
50,000 1.07%, 03/18/04, MTN, FRN, # 50,000
75,000 1.07%, 03/24/04, MTN, FRN, # 75,000
120,000 1.06%, 06/07/04, MTN, FRN, # 119,998
50,000 Citigroup Global Markets Holdings, Inc.,
1.45%, 05/21/04, Ser. K, MTN, FRN 50,045
Dorada Finance, Inc.,
120,000 1.08%, 03/08/04, MTN, FRN, # 120,000
150,000 1.06%, 04/15/04, MTN, FRN, # 149,999
60,000 1.06%, 05/24/04, MTN, FRN, # 59,999
Goldman Sachs Group, Inc.,
320,000 1.13%, 06/07/04, FRN, # 320,000
550,000 1.23%, 06/28/04 550,000
264,000 1.37%, 03/15/05, Ser. A, MTN, FRN, # 264,032
HBOS Treasury Services PLC (United Kingdom),
300,000 1.16%, 01/24/05, MTN, FRN, # 300,000
80,250 1.22%, 03/14/05, MTN, FRN, # 80,338
455,000 1.14%, 03/18/05, MTN, FRN, # 455,000
310,000 1.09%, 04/01/05, MTN, FRN, # 310,000
250,000 Lehman Brothers Holdings, Inc.,
1.09%, 02/22/05, Ser. G, MTN, FRN 250,000
345,000 Merrill Lynch & Co., Inc., 1.10%,
02/04/05, MTN, FRN 345,000
60,000 Money Market Trust LLY, 1.15%, 12/03/04, # 60,000
220,000 Money Market Trust, 1.24%,
07/09/04, Ser. A-1, FRN, # 220,000
260,000 Morgan Stanley, 1.21%, 08/15/05, Ser. 1, MTN, FRN 260,000
Restructured Asset Securities with
Enhanced Returns (RACERS),
160,000 1.29%, 03/15/04, Ser. 2000-7-ZCM,
Class A-3, FRN, # (i) 160,000
475,000 1.30%, 04/01/04, Ser. 2001-8-MM,
Class A-1, FRN, # (i) 475,000
185,000 1.20%, 02/08/05, Ser. 2004-1-MM (i) 185,000
---------------
5,880,407
OIL & GAS-- 0.2%
100,000 BP Capital Markets PLC (United Kingdom),
1.05%, 03/08/04, FRN 100,000
----------------------------------------------------------------------------------------
Total Corporate Notes & Bonds 9,237,415
(Cost $9,237,415)
----------------------------------------------------------------------------------------
Asset Backed Securities-- 1.2%
Blue Heron Funding LTD,
260,000 1.12%, 03/19/04, Ser. 2-A, Class A, FRN, # 260,000
175,000 1.13%, 05/28/04, Ser. 7-A, Class A1, FRN, # 175,000
100,000 Newcastle CDO LTD (Cayman Islands),
1.12%, 03/24/04, Ser. 3-A, Class 1-MM, FRN (i) 100,000
</Table>
See notes to financial statements.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
Asset Backed Securities-- Continued
$ 50,000 TIAA Retail Commercial Trust, 1.13%, 03/28/04,
Ser. 2003-1A, Class A1-MM, FRN $ 50,000
----------------------------------------------------------------------------------------
Total Asset Backed Securities 585,000
(Cost $585,000)
----------------------------------------------------------------------------------------
Commercial Paper-- 40.1%
ASSET BACKED SECURITIES-- 17.3%
Amsterdam Funding Corp.,
200,000 1.03%, 03/08/04 199,960
25,000 1.03%, 03/16/04 24,989
25,000 1.03%, 03/18/04 24,988
135,000 1.03%, 03/22/04 134,919
50,000 1.03%, 04/12/04 49,940
Aquinas Funding LLC,
30,000 1.15%, 05/17/04 29,926
34,210 1.09%, 07/14/04 34,070
70,000 Aspen Funding Corp., 1.04%, 04/12/04 69,915
150,000 Asset Securitization Cooperative Corp.,
1.06%, 04/05/04 150,000
Atlantis One Funding Corp.,
157,066 1.10%, 03/10/04 157,023
88,214 1.12%, 03/15/04 88,176
101,220 1.12%, 03/24/04 101,148
39,469 Barton Capital Corp., 1.03%, 04/05/04 39,429
45,000 Bills Securitization (Germany), 1.15%, 05/18/04 44,888
98,000 Blue Ridge Asset Funding Corp., 1.03%, 03/05/04 97,989
Charta Corp.,
16,000 1.03%, 03/08/04 15,997
65,500 1.05%, 05/06/04 65,374
40,000 1.04%, 05/18/04 39,910
10,000 Ciesco LP, 1.03%, 04/08/04 9,989
50,000 Clipper Receivables Corp., 1.05%, 05/17/04 49,888
Compass Securitization LLC,
20,000 1.03%, 03/19/04 19,990
40,000 1.03%, 03/22/04 39,976
36,190 1.05%, 04/13/04 36,145
120,000 Crown Point Capital Co., LLC, 1.05%, 05/06/04 119,769
Edison Asset Securitization LLC,
132,000 1.04%, 03/08/04 131,973
10,000 1.05%, 03/22/04 9,994
385,000 1.11%, 04/07/04 384,563
125,000 1.05%, 05/11/04 124,741
Eureka Securitization, Inc.,
22,000 1.04%, 03/23/04 21,986
73,500 1.04%, 03/30/04 73,438
49,520 1.04%, 04/28/04 49,437
24,000 1.04%, 05/13/04 23,949
Fairway Finance Corp.,
36,124 1.03%, 03/22/04 36,102
56,524 1.04%, 05/20/04 56,393
</Table>
See notes to financial statements.
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
ASSET BACKED SECURITIES-- CONTINUED
Gemini Funding Corp.,
$ 50,000 1.03%, 03/08/04 $ 49,990
150,000 1.03%, 04/05/04 149,850
Giro Balanced Funding Corp.,
25,832 1.04%, 03/01/04 25,832
69,238 1.05%, 05/07/04 69,103
Giro Funding U.S. Corp.,
30,000 1.03%, 03/08/04 29,994
50,000 1.03%, 04/01/04 49,956
140,261 1.04%, 04/07/04 140,111
65,000 1.04%, 05/17/04 64,856
Giro Multi-Funding Corp.,
98,446 1.03%, 03/15/04 98,407
174,000 1.03%, 03/22/04 173,895
Grampian Funding LLC,
75,000 1.04%, 03/29/04 74,939
32,000 1.16%, 05/04/04 31,934
276,000 1.05%, 05/27/04 275,300
239,000 1.13%, 07/02/04 238,077
15,000 1.10%, 07/09/04 14,940
49,000 1.09%, 07/20/04 48,791
Greyhawk Funding LLC,
200,000 1.03%, 03/04/04 199,983
99,000 1.03%, 03/10/04 98,975
70,000 1.03%, 03/19/04 69,964
90,000 1.11%, 04/01/04 89,914
70,000 1.05%, 05/19/04 69,839
K2 (USA) LLC,
50,000 1.15%, 03/02/04 49,998
50,000 1.08%, 03/15/04 50,000
90,000 1.07%, 04/20/04 89,999
60,000 1.10%, 07/07/04 59,766
19,400 1.09%, 07/15/04 19,320
23,975 1.09%, 07/19/04 23,873
63,887 Kitty Hawk Funding Corp., 1.05%, 05/10/04 63,757
25,000 Liberty Street Fund Corp., 1.05%, 05/25/04 24,938
42,000 Mont Blanc Capital Corp., 1.04%, 03/10/04 41,989
Newport Funding Corp.,
55,091 1.03%, 04/08/04 55,031
70,000 1.04%, 04/12/04 69,915
Park Granada LLC,
100,000 1.06%, 03/12/04 99,968
120,000 1.04%, 03/19/04 119,938
100,000 1.06%, 04/13/04 99,873
45,000 1.06%, 04/13/04 44,943
50,000 1.07%, 05/07/04 49,900
50,000 Scaldis Capital LLC, 1.04%, 03/25/04 49,965
Sheffield Receivables Corp.,
85,000 1.03%, 03/05/04 84,990
32,000 1.03%, 03/19/04 31,984
</Table>
See notes to financial statements.
15
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
ASSET BACKED SECURITIES-- CONTINUED
$ 150,000 1.03%, 03/25/04 $ 149,897
40,000 1.03%, 03/29/04, # 39,968
Sigma Finance, Inc.,
19,100 1.10%, 03/15/04 19,092
30,000 1.10%, 03/22/04 29,981
Silver Tower U.S. Funding LLC,
110,000 1.23%, 05/10/04 109,737
52,000 1.18%, 05/13/04 51,876
115,000 1.17%, 05/19/04 114,705
760,000 Special Purpose Accounts Receivable
Cooperative Corp., 1.15%, 07/26/04 760,001
40,000 Stadshypotek Delaware, Inc., 1.04%, 05/21/04 39,906
Surrey Funding Corp.,
90,000 1.03%, 03/15/04 89,964
80,000 1.04%, 03/29/04 79,935
95,000 Thames Asset Global Securitization (TAGS),
1.03%, 03/22/04 94,943
Tulip Funding Corp.,
200,000 1.14%, 03/01/04 200,000
50,996 1.03%, 03/09/04 50,984
100,000 1.07%, 05/27/04 99,741
25,000 Windmill Funding Corp., 1.03%, 03/22/04 24,985
Yorktown Capital LLC,
34,566 1.03%, 03/08/04 34,559
143,379 1.03%, 03/18/04 143,309
227,000 1.03%, 03/22/04 226,864
---------------
8,112,218
AUTOMOTIVE-- 0.1%
66,070 DaimlerChrysler Revolving Auto Trust,
1.03%, 03/18/04 66,038
BANKING-- 15.2%
Abbey National North America Corp.,
45,000 1.04%, 05/19/04 44,898
174,750 1.10%, 08/23/04 173,816
175,000 Abbey National PLC (United Kingdom),
1.15%, 05/14/04 175,000
Banco Santander Central Hispano SA (Spain),
75,000 1.11%, 04/09/04 74,910
190,000 1.11%, 04/13/04 189,748
Bank of Ireland (Ireland),
129,000 1.03%, 04/23/04 128,804
59,000 1.16%, 05/07/04 58,873
208,700 BankAmerica Corp., 1.05%, 05/12/04 208,261
Banque ET Caisse D'Epargne De L'Etat
(Luxembourg),
75,000 1.12%, 04/16/04 74,893
125,000 1.13%, 06/30/04 124,525
100,000 1.12%, 08/03/04 99,518
</Table>
See notes to financial statements.
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
BANKING -- CONTINUED
Banque Generale du Luxembourg SA (Luxembourg),
$ 75,000 1.03%, 03/12/04 $ 74,976
61,000 1.15%, 05/21/04 60,842
13,400 1.09%, 07/12/04 13,346
55,000 1.09%, 07/26/04 54,755
30,679 Bradford & Bingley PLC (United Kingdom),
1.04%, 03/09/04 30,672
127,000 Caisse Nationale De Credit Agricole (France),
1.20%, 06/04/04 126,598
95,000 CBA (Delaware) Finance, Inc., 1.09%, 07/13/04 94,616
Citibank Credit Card Issuance Trust,
50,000 1.03%, 03/09/04 49,989
200,000 1.03%, 03/10/04 199,949
70,000 1.04%, 03/11/04 69,980
185,118 1.05%, 03/12/04 185,059
100,000 1.04%, 03/18/04 99,951
100,000 1.04%, 03/26/04 99,928
175,000 1.04%, 04/13/04 174,783
50,000 Credit Suisse First Boston, Inc., 1.09%, 07/12/04 49,799
18,281 Danske Bank AS (Denmark), 1.12%, 07/30/04 18,195
Den Norske Bank (Norway),
41,000 1.13%, 04/19/04 40,937
84,200 1.05%, 05/18/04 84,008
50,000 1.10%, 07/15/04 50,000
110,000 1.10%, 08/19/04 109,428
50,000 Depfa Deutsche Pfandbrief Bank AG (Germany),
1.09%, 07/15/04 49,794
22,000 Dexia Delaware LLC, 1.03%, 03/15/04 21,991
21,000 Household Finance Corp., 1.11%, 04/07/04 20,976
HSH Nordbank AG/New York,
70,000 1.08%, 03/05/04 69,992
124,400 1.05%, 06/14/04 124,019
47,500 ING (US) Funding LLC, 1.10%, 03/10/04 47,487
Links Finance LLC,
100,000 1.08%, 03/03/04 100,000
100,000 1.06%, 03/29/04 100,000
76,700 Macquarie Bank (Australia), 1.12%, 03/09/04 76,681
24,000 Natexis Banques Populaires (France), 1.12%,
08/04/04 23,884
Nationwide Building Society (United Kingdom),
50,000 1.15%, 05/17/04 49,878
157,000 1.20%, 06/09/04 156,477
100,000 1.09%, 07/12/04 99,599
120,200 1.09%, 08/20/04 119,574
NBNZ International LTD (United Kingdom),
180,000 1.20%, 04/22/04 179,688
180,000 1.08%, 07/14/04 179,269
Norddeutsche Landesbank Girozentrale (Germany),
100,000 1.03%, 03/16/04 99,957
77,500 1.04%, 04/12/04 77,406
</Table>
See notes to financial statements.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
BANKING -- CONTINUED
$ 200,000 1.37%, 09/07/04 $ 199,989
75,000 1.24%, 10/22/04 74,393
Nordea North America (Sweden),
264,500 1.03%, 03/08/04 264,446
50,000 1.03%, 03/24/04 49,967
200,000 1.03%, 04/06/04 199,794
Northern Rock PLC (United Kingdom),
75,000 1.05%, 04/15/04 75,000
50,000 1.05%, 04/16/04 50,000
100,000 Royal Bank of Scotland (United Kingdom), 1.51%,
12/08/04 99,992
Santander Central Hispano SA (Spain),
78,568 1.09%, 07/06/04 78,267
195,000 1.09%, 07/07/04 194,248
Swedbank, Inc. (Sweden),
100,000 1.04%, 03/09/04 99,977
36,000 1.09%, 07/20/04 35,846
95,000 1.09%, 07/23/04 94,586
Swiss Re Financial Products Corp. (Switzerland),
23,549 1.11%, 04/06/04 23,523
56,000 1.05%, 05/27/04 55,858
99,000 Unicredito Delaware, 1.10%, 04/02/04 98,904
100,000 Wells Fargo Bank N.A., 1.04%, 06/17/04, FRN 99,997
Westdeutsche Landesbank Girozentrale (Germany),
150,000 1.18%, 05/06/04 150,001
120,011 1.11%, 08/04/04 119,434
Westpac Banking Corp. (Australia),
100,000 1.15%, 05/24/04 99,733
22,367 1.20%, 06/03/04 22,297
WestpacTrust (New Zealand),
100,000 1.16%, 04/20/04 99,839
100,000 1.15%, 05/04/04 99,796
93,357 1.20%, 06/03/04 93,066
---------------
7,116,682
COMPUTER SOFTWARE-- 0.5%
250,000 Descartes Funding Trust Corp., 1.09%, 11/15/04 250,000
DIVERSIFIED-- 1.8%
General Electric Capital Corp.,
150,000 1.14%, 03/04/04 149,986
200,000 1.10%, 04/08/04 199,768
General Electric Capital International Funding, Inc.,
200,000 1.04%, 03/17/04 199,908
298,014 1.20%, 06/03/04 297,079
---------------
846,741
FINANCIAL SERVICES-- 4.1%
55,000 Beta Finance, Inc., 1.03%, 04/16/04 54,928
Cafco LLC,
24,624 1.03%, 03/08/04 24,619
75,000 1.03%, 03/17/04 74,966
</Table>
See notes to financial statements.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
FINANCIAL SERVICES-- CONTINUED
$ 37,950 1.03%, 04/06/04 $ 37,911
43,000 1.04%, 04/19/04 42,939
50,000 1.03%, 04/26/04 49,920
100,000 1.04%, 05/17/04 99,778
CC USA, Inc.,
55,500 1.03%, 04/15/04 55,429
56,500 1.05%, 05/10/04 56,385
45,500 1.04%, 05/24/04 45,390
41,000 1.05%, 06/02/04 40,889
Citigroup Global Markets Holdings, Inc.,
100,000 1.04%, 03/15/04 99,960
200,000 1.03%, 04/16/04 199,736
50,000 1.04%, 05/19/04 49,886
51,000 CRC Funding LLC, 1.04%, 03/11/04 50,985
Discover Card Master Trust,
132,000 1.04%, 03/22/04 131,919
51,700 1.05%, 05/11/04 51,593
125,000 Fortis Funding LLC, 1.03%, 04/26/04 124,799
225,000 Goldman Sachs Group, Inc., 1.23%, 04/28/04 224,999
Govco, Inc.,
7,350 1.04%, 04/21/04 7,339
125,000 1.05%, 05/10/04 124,745
73,102 1.04%, 05/20/04 72,933
90,206 Independence Funding LLC, 1.03%, 03/22/04 90,152
90,765 PB Finance (Delaware), Inc., 1.04%, 04/12/04 90,655
50,000 Statens Bostadsfinansier (Luxembourg),
1.05%, 05/06/04 49,904
---------------
1,952,759
INSURANCE-- 0.3%
ING America Insurance Holding Corp.,
50,000 1.14%, 04/16/04 49,927
50,000 1.15%, 05/11/04 49,887
21,000 Prudential PLC (United Kingdom), 1.04%, 05/17/04 20,953
---------------
120,767
METALS/MINING-- 0.2%
78,964 Rio Tinto LTD (Australia), 1.10%, 03/12/04 78,937
TRANSPORTATION-- 0.6%
Network Rail LTD (United Kingdom),
65,000 1.12%, 04/13/04 64,913
50,000 1.05%, 04/14/04 49,936
70,000 1.13%, 07/12/04 69,708
80,000 1.10%, 08/03/04 79,621
---------------
264,178
----------------------------------------------------------------------------------------
Total Commercial Paper 18,808,320
(Cost $18,808,320)
----------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
Certificates of Deposit-- 25.3%
ABN-AMRO Bank N.V. (The Netherlands) (Yankee),
$ 48,000 1.24%, 03/17/04 $ 48,002
75,000 1.14%, 07/08/04 75,000
50,000 Alliance & Leicester PLC (United Kingdom)
(Yankee), 1.09%, 07/27/04 50,000
100,000 Banco Bilbao Vizcaya Argentina/New York
(Yankee), 1.07%, 11/16/04, Floating Rate 99,993
275,000 Banco Santander Central Hispano SA (Spain)
(Yankee), 1.11%, 07/26/04 275,011
300,000 Banque Nationale de Paris/New York (Yankee),
1.52%, 12/08/04 299,954
Barclays Bank PLC (United Kingdom) (Yankee),
400,000 1.16%, 03/15/04 400,001
225,000 1.11%, 04/15/04 225,000
120,000 1.09%, 08/25/04 120,001
Barclays Bank PLC/New York (Yankee),
100,000 1.02%, 09/07/04, Floating Rate 99,982
250,000 1.05%, 09/13/04, Floating Rate 249,980
500,000 1.05%, 11/03/04, Floating Rate 499,948
405,000 1.05%, 12/01/04 404,938
Bayerische Landesbank/New York (Yankee),
36,000 1.16%, 06/21/04, Floating Rate 36,007
50,000 1.04%, 09/13/04, Floating Rate 49,994
50,000 1.04%, 09/30/04, Ser. 1, Floating Rate 49,994
92,000 1.16%, 09/30/04, Floating Rate 92,018
75,000 1.04%, 12/20/04, Floating Rate 74,991
310,000 BNP Paribas/New York (Yankee), 1.04%, 06/10/04 309,983
30,000 Canadian Imperial Bank of Commerce/New York
(Yankee), 1.58%, 12/08/04 29,997
Credit Agricole Indosuez SA (France) (Yankee),
140,000 1.11%, 08/09/04 140,000
150,000 1.17%, 10/26/04 150,000
230,000 Credit Agricole Indosuez/New York (Yankee),
1.04%, 06/04/04, Floating Rate 229,988
Credit Lyonnais (France) (Yankee),
100,000 1.16%, 03/09/04 100,000
400,000 1.11%, 04/02/04 399,999
425,000 1.10%, 04/05/04 424,999
200,000 1.15%, 05/21/04 200,000
40,000 1.11%, 08/06/04 40,000
200,000 Credit Suisse First Boston/New York (Yankee),
1.11%, 03/08/04, Floating Rate 200,002
225,000 Credit Suisse Group (Switzerland) (Yankee),
1.04%, 05/03/04 225,000
120,000 Depfa Deutsche Pfandbrief (Germany) (Yankee),
1.22%, 06/04/04 120,002
Deutsche Bank AG (Germany) (Yankee),
75,000 1.38%, 09/07/04 75,000
185,000 1.05%, 10/08/04, Floating Rate 185,000
</Table>
See notes to financial statements.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
CERTIFICATES OF DEPOSIT-- CONTINUED
Dexia Credit Local (France) (Yankee),
$ 200,000 1.09%, 07/28/04 $ 200,000
100,000 1.10%, 07/28/04 100,000
200,000 Fortis Bank (Belgium) (Yankee), 1.12%, 08/04/04 200,000
150,000 Fortis Bank/New York (Yankee), 1.53%, 12/08/04 149,977
HBOS Treasury Services PLC (United Kingdom)
(Yankee),
105,000 1.17%, 03/22/04 105,000
200,000 1.19%, 04/22/04 200,000
190,000 1.20%, 05/17/04 190,000
100,000 1.16%, 05/24/04 100,000
50,000 1.06%, 05/27/04 50,000
60,000 1.14%, 07/09/04 60,000
200,000 1.12%, 08/05/04 200,000
100,000 ING Bank N.V. (The Netherlands) (Yankee),
1.41%, 08/05/04 100,000
Landesbank Baden-Wuerttemberg/New York
(Yankee),
50,000 1.09%, 03/15/04, Floating Rate 50,001
350,000 1.04%, 09/10/04, Floating Rate 349,972
Landesbank Hessen-Thuringen Girozentrale
(Germany) (Yankee),
250,000 1.14%, 07/09/04 250,000
75,000 1.51%, 11/19/04 75,005
Natexis Banques Populaires/New York (Yankee),
200,000 1.17%, 04/29/04 199,617
50,000 1.17%, 05/04/04 50,000
50,000 1.05%, 05/12/04 49,999
100,000 Nordea Bank AB (Sweden) (Yankee),
1.16%, 05/06/04 100,000
100,000 Nordea Bank Finland PLC (Finland) (Yankee),
1.09%, 07/13/04 100,002
175,000 Royal Bank of Canada/New York (Yankee),
1.50%, 12/07/04 174,980
200,000 San Paolo IMI SPA (Italy) (Yankee), 1.17%, 04/30/04 200,000
Santander Central Hispano SA (Spain) (Yankee),
200,000 1.16%, 08/03/04 200,017
102,000 1.12%, 08/11/04 102,009
Societe Generale (France) (Yankee),
200,000 1.04%, 04/02/04 200,000
235,000 1.09%, 07/28/04 235,000
250,000 1.40%, 08/05/04 250,000
375,000 1.10%, 09/01/04 375,000
200,000 Svenska Handelsbanken, Inc. (Sweden) (Yankee),
1.11%, 08/09/04 200,000
UniCredito Italiano SPA (Italy) (Yankee),
150,000 1.13%, 03/29/04 150,000
195,000 1.06%, 05/06/04 195,004
279,200 1.10%, 07/26/04 279,206
</Table>
See notes to financial statements.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
CERTIFICATES OF DEPOSIT-- CONTINUED
Westdeutsche Landesbank Girozentrale (Germany)
(Yankee),
$ 200,000 1.15%, 04/30/04 $ 200,000
170,000 1.05%, 05/03/04 169,997
100,000 1.51%, 12/07/04 100,000
----------------------------------------------------------------------------------------
Total Certificates of Deposit 11,891,570
(Cost $11,891,570)
----------------------------------------------------------------------------------------
Time Deposits-- 2.9%
300,000 American Express Centurion Bank, 1.04%, 03/10/04 300,000
400,000 Fifth Third Bank, 1.05%, 03/01/04 400,000
399,310 National Australia Bank LTD (Australia),
1.04%, 03/01/04 399,310
250,000 Wells Fargo & Co., 1.05%, 03/01/04 250,000
----------------------------------------------------------------------------------------
Total Time Deposits 1,349,310
(Cost $1,349,310)
----------------------------------------------------------------------------------------
Repurchase Agreements-- 7.9%
500,000 ABN-AMRO, Inc., 1.05%, dated 02/27/04,
due 03/01/04, repurchase price $500,044,
collateralized by U.S. Government
Agency Securities 500,000
190,557 Credit Suisse First Boston, Inc., 1.05%,
dated 02/27/04, due 03/01/04, repurchase
price $190,574, collateralized by U.S.
Government Agency Securities 190,557
15,344 Deutsche Bank Securities, Inc., 1.00%,
dated 02/27/04, due 03/01/04, repurchase
price $15,345, collateralized by U.S.
Treasury Securities 15,344
3,000,000 UBS Warburg LLC, 1.05%, dated 02/27/04,
due 03/01/04, repurchase price $3,000,263,
collateralized by U.S. Government
Agency Securities 3,000,000
----------------------------------------------------------------------------------------
Total Repurchase Agreements 3,705,901
(Cost $3,705,901)
- ----------------------------------------------------------------------------------------------------------
Total Investments-- 100.0% $ 46,955,782
(Cost $46,955,782) *
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
22
<Page>
JPMORGAN LIQUID ASSETS MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- 100.0%
U.S. Government agency security-- 1.8%
$ 55,000 Federal Home Loan Mortgage Corp., 1.19%,
02/14/05, Ser. 1, MTN, FRN $ 55,000
(Cost $55,000)
Supranational Bond-- 1.7%
50,000 Corp. Andina de Fomento, 1.27%,
05/17/04, MTN, FRN 50,000
(Cost $50,000)
Corporate Notes & Bonds-- 22.9%
BANKING-- 1.7%
Bank of America Corp.,
5,000 5.75%, 03/01/04, Ser. H, MTN 5,000
18,725 6.63%, 06/15/04 19,020
2,450 HSBC (USA), Inc., 1.32%, 09/24/04, FRN 2,452
25,000 Westpac Banking Corp./New York,
1.11%, 06/14/04, FRN 25,004
---------------
51,476
DIVERSIFIED-- 0.3%
General Electric Capital Corp.,
1,000 8.09%, 04/01/04, Ser. A, MTN, SUB 1,006
2,000 5.38%, 04/23/04, Ser. A, MTN 2,012
6,000 1.18%, 04/08/05, FRN 6,000
---------------
9,018
FINANCIAL SERVICES-- 20.4%
Beta Finance, Inc.,
30,000 1.06%, 05/19/04, MTN, FRN, # 30,000
50,000 1.06%, 06/02/04, MTN, FRN, # 49,999
CC USA, Inc.,
25,000 1.07%, 03/18/04, MTN, FRN, # 25,000
25,000 1.07%, 03/31/04, Ser. 1, MTN, FRN, # 25,000
40,000 1.07%, 06/24/04, MTN, FRN, # 40,000
Dorada Finance, Inc.,
30,000 1.07%, 03/31/04, MTN, FRN, # 30,000
10,000 1.06%, 05/24/04, Ser. 1, MTN, FRN, # 10,000
30,000 Goldman Sachs Group, Inc.,
1.13%, 06/07/04, FRN, # 30,000
30,000 HBOS Treasury Services PLC (United Kingdom),
1.09%, 04/01/05, MTN, FRN, # 30,000
Household Finance Corp.,
10,000 1.87%, 04/23/04, MTN, FRN 10,011
2,450 6.00%, 05/01/04 2,470
3,025 8.00%, 08/01/04 3,107
1,779 5.88%, 09/25/04 1,823
30,000 John Hancock Global Funding II,
1.32%, 09/27/04, MTN, FRN, # 30,030
40,000 Merrill Lynch & Co., Inc.,
1.10%, 02/04/05, MTN, FRN 40,000
</Table>
See notes to financial statements.
23
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
FINANCIAL SERVICES-- CONTINUED
$ 67,000 Money Market Trust,
1.24%, 07/09/04, Ser. A-1, FRN, # $ 66,999
Morgan Stanley,
30,000 1.27%, 03/19/04, Ser. 1, MTN, FRN 30,003
55,000 1.48%, 04/05/04, Ser. 1, MTN, FRN 55,023
24,000 1.42%, 05/14/04, Ser. C, MTN, FRN 24,018
Premium Asset Trust/GEFA,
35,000 1.35%, 06/01/04, Ser. 2002-6, FRN, # 35,012
25,000 5.25%, 07/19/04, Ser. 2001-6, # 25,379
15,000 Restructured Asset Securities with Enhanced
Returns (RACERS), 1.20%, 02/08/05,
Ser. 2004-1-MM (i) 15,000
---------------
608,874
INSURANCE-- 0.5%
15,000 SunAmerica Global Financing VIII,
1.22%, 11/15/04, FRN, # 15,014
----------------------------------------------------------------------------------------
Total Corporate Notes & Bonds 684,382
(Cost $684,382)
----------------------------------------------------------------------------------------
Asset Backed Security -- 1.0%
29,787 Orchid Structured Finance CDO LTD, 1.22%,
05/18/04, Ser. 2003-1A, Class A1-MM, FRN, # (i) 29,787
(Cost $29,787)
Commercial Paper-- 33.7%
ASSET BACKED SECURITIES-- 14.5%
20,000 Cantabric Financing LLC (Ireland), 1.05%, 04/13/04 19,975
90,000 Concord Minutemen Capital Co., 1.10%, 03/09/05 89,999
15,000 Dorada Finance, Inc., 1.13%, 04/20/04 14,976
25,000 FCAR Owner Trust Series I, 1.09%, 07/13/04 24,899
Four Winds Funding Corp.,
12,000 1.14%, 03/12/04 11,996
4,000 1.12%, 03/19/04 3,998
25,000 Grampian Funding LLC, 1.10%, 07/09/04 24,901
K2 (USA) LLC,
50,000 1.08%, 03/15/04 50,000
38,000 1.10%, 08/16/04 37,805
20,000 1.10%, 08/23/04 19,893
25,000 Park Granada LLC, 1.07%, 05/07/04 24,950
Silver Tower U.S. Funding LLC,
52,132 1.21%, 05/07/04 52,015
25,000 1.17%, 05/19/04 24,936
30,000 1.11%, 08/19/04 29,842
---------------
430,185
AUTOMOTIVE-- 1.0%
DaimlerChrysler N.A. Holdings Corp.,
7,800 1.23%, 03/01/04 7,800
7,500 1.22%, 03/05/04 7,499
</Table>
See notes to financial statements.
24
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
AUTOMOTIVE -- CONTINUED
General Motors Acceptance Corp.,
$ 12,700 1.24%, 03/01/04 $ 12,700
3,300 1.24%, 03/23/04 3,297
---------------
31,296
BANKING-- 13.4%
50,000 Banque ET Caisse D'Epargne De L'Etat
(Luxembourg), 1.13%, 06/30/04 49,810
25,000 Banque Generale du Luxembourg SA
(Luxembourg), 1.09%, 07/26/04 24,889
100,000 Bradford & Bingley PLC
(United Kingdom), 1.13%, 01/07/05 99,999
50,000 CDC, Inc., 1.09%, 07/28/04
Den Norske Bank (Norway), 50,000
20,000 1.17%, 04/19/04 19,968
22,900 1.09%, 08/23/04 22,779
Links Finance LLC,
50,000 1.08%, 03/11/04, MTN, FRN, # 50,000
2,486 1.15%, 05/05/04 2,481
30,000 NBNZ International LTD
(United Kingdom), 1.09%, 07/20/04 29,872
25,000 Swedbank, Inc. (Sweden), 1.09%, 07/23/04 24,891
25,000 Westdeutsche Landesbank
Girozentrale (Germany), 1.11%, 08/04/04 24,880
---------------
399,569
FINANCIAL SERVICES-- 2.2%
40,000 Goldman Sachs Group, Inc., 1.23%, 04/28/04 40,000
25,000 Govco, Inc., 1.12%, 04/15/04 24,965
---------------
64,965
FOOD/BEVERAGE PRODUCTS-- 0.3%
Kraft Foods, Inc.,
8,000 1.14%, 03/17/04 7,996
2,072 1.12%, 03/22/04 2,071
---------------
10,067
INDUSTRIAL COMPONENTS-- 0.2%
7,000 Assa Abloy AB (Sweden), 1.11%, 03/05/04 6,999
TRANSPORTATION-- 2.1%
Network Rail LTD (United Kingdom),
10,000 1.05%, 04/14/04 9,987
30,000 1.13%, 07/12/04 29,875
24,000 1.10%, 08/03/04 23,886
---------------
63,748
----------------------------------------------------------------------------------------
Total Commercial Paper 1,006,829
(Cost $1,006,829)
----------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
Certificates of Deposit-- 36.9%
$ 50,000 ABN-AMRO Bank N.V. (The Netherlands) (Yankee),
1.14%, 07/08/04 $ 50,000
Alliance & Leicester PLC (United Kingdom) (Yankee),
50,000 1.12%, 04/07/04 50,000
50,000 1.12%, 04/15/04 50,000
20,000 Banco Bilbao Vizcaya Argentaria SA (Spain)
(Yankee), 1.10%, 07/16/04 20,000
25,000 Banco Santander Central Hispano SA (Spain)
(Yankee), 1.11%, 07/26/04 25,001
25,000 Bank of Scotland/New York (Yankee),
1.11%, 04/08/04 25,000
50,000 Bank One Corp., 1.20%, 06/17/04, Floating Rate 50,012
25,000 Barclays Bank PLC/New York (Yankee),
1.05%, 12/01/04 24,996
30,000 BNP Paribas/New York (Yankee), 1.04%, 06/10/04 29,998
10,000 Canadian Imperial Bank of Commerce/New York
(Yankee), 1.58%, 12/08/04 9,999
35,000 Credit Agricole Indosuez/New York (Yankee),
1.04%, 06/04/04, Floating Rate 34,998
30,000 Credit Lyonnais (France) (Yankee), 1.10%, 04/05/04 30,000
Credit Suisse First Boston/New York (Yankee),
75,000 1.28%, 10/14/04 75,000
25,000 1.60%, 12/13/04 25,000
25,000 Fortis Bank/New York (Yankee), 1.41%, 09/03/04 25,000
66,000 Goldman Sachs Group, Inc., 1.22%, 04/23/04 66,000
HBOS Treasury Services PLC (United Kingdom)
(Yankee),
20,000 1.17%, 03/22/04 20,000
20,000 1.16%, 05/24/04 20,000
25,000 KBC Bank N.V. (Belgium) (Yankee),
1.07%, 04/15/04 25,001
25,000 Landesbank Baden-Wuerttemberg (Germany)
(Yankee), 1.15%, 05/20/04 25,000
Landesbank Hessen-Thuringen
Girozentrale (Germany) (Yankee),
50,000 1.14%, 07/09/04 50,000
65,000 1.09%, 07/22/04 65,000
30,000 Santander Central Hispano SA (Spain) (Yankee), 30,003
1.12%, 08/11/04
25,000 Societe Generale/New York (Yankee),
1.27%, 10/20/04 25,001
UniCredito Italiano SPA (Italy) (Yankee),
100,000 1.18%, 04/30/04 100,000
40,000 1.10%, 07/15/04 40,000
Westdeutsche Landesbank Girozentrale
(Germany) (Yankee),
80,000 1.15%, 04/30/04 80,000
30,000 1.05%, 05/03/04 29,999
----------------------------------------------------------------------------------------
Total Certificates of Deposit 1,101,008
(Cost $1,101,008)
----------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
26
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
Repurchase Agreement-- 2.0%
$ 59,450 Greenwich Capital Markets, Inc.,
1.05%, dated 02/27/04,
due 03/01/04, repurchase price $59,455,
collateralized by U.S. Government Agency
Securities and Commercial Paper Securities $ 59,450
(Cost $59,450)
- ----------------------------------------------------------------------------------------------------------
Total Investments-- 100.0% $ 2,986,456
(Cost $2,986,456) *
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
27
<Page>
JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- 100.0%
U.S. Government Agency Securities-- 68.0%
Federal Farm Credit Bank,
$ 100,000 1.00%, 04/15/04, FRN $ 99,997
75,000 1.04%, 05/14/04, DN 74,840
50,000 0.99%, 06/10/04, FRN 49,997
16,455 1.03%, 07/19/04, DN 16,389
Federal Home Loan Bank,
82,163 0.98%, 03/03/04, DN 82,159
18,338 1.06%, 03/10/04, DN 18,333
27,300 1.00%, 04/12/04, DN 27,268
160,000 0.97%, 05/27/04, Ser. 369, FRN 159,979
5,191 1.01%, 06/07/04, DN 5,177
13,602 1.09%, 07/23/04, DN 13,543
200,000 1.04%, 09/20/04, Ser. 412, FRN 199,924
49,205 1.13%, 10/06/04, Ser. VJ04 49,128
452,400 0.30%, 09/08/05, FRN 452,024
Federal Home Loan Mortgage Corp.,
100,000 1.14%, 03/05/04, DN 99,987
12,071 1.15%, 03/08/04, DN 12,068
162,000 1.06%, 03/11/04, DN 161,952
134,680 1.10%, 04/01/04, DN 134,552
60,000 1.11%, 04/14/04, DN 59,919
158,662 1.08%, 04/15/04, DN 158,448
40,498 1.08%, 04/22/04, DN 40,435
25,000 1.14%, 05/20/04, DN 24,937
110,200 1.09%, 07/06/04, DN 109,776
20,000 3.00%, 07/15/04 20,140
124,225 1.10%, 07/20/04, DN 123,690
8,949 1.10%, 07/21/04, DN 8,910
168,200 1.09%, 07/27/04, DN 167,446
134,200 1.09%, 08/10/04, DN 133,542
24,490 1.05%, 08/17/04, DN 24,369
20,580 1.07%, 08/18/04, DN 20,477
18,025 1.05%, 08/23/04, DN 17,933
80,000 3.25%, 11/15/04 81,157
100,000 1.46%, 11/17/04, MTN 100,000
50,000 1.51%, 12/07/04, Ser. 3, MTN 50,005
212,000 1.19%, 02/14/05, Ser. 1, MTN, FRN 212,000
Federal National Mortgage Association,
77,796 1.08%, 03/31/04, DN 77,726
275,000 1.08%, 04/07/04, DN 274,695
100,000 1.10%, 04/13/04, DN 99,869
165,000 1.11%, 04/14/04, DN 164,775
37,000 3.63%, 04/15/04 37,112
151,000 1.14%, 04/28/04, DN 150,723
127,500 1.14%, 05/05/04, DN 127,236
207,638 1.14%, 05/12/04, DN 207,165
225,000 0.96%, 05/27/04, FRN 224,969
272,000 0.98%, 06/17/04, MTN, FRN 271,984
</Table>
See notes to financial statements.
28
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
U.S. Government Agency Securities-- Continued
$ 115,000 1.20%, 06/21/04, DN $ 114,571
50,000 1.10%, 07/28/04, DN 49,772
50,000 1.10%, 07/30/04, DN 49,769
250,000 0.99%, 07/30/04, FRN 249,922
402,000 1.00%, 09/10/04, FRN 401,880
150,000 1.11%, 09/10/04, FRN 150,003
25,000 1.05%, 08/25/04, DN 24,871
10,000 1.09%, 09/01/04, DN 9,944
213,750 1.52%, 01/19/05 213,732
200,000 0.97%, 08/29/05, FRN 199,857
250,000 0.34%, 09/06/05, FRN 249,772
Student Loan Marketing Association,
27,865 0.91%, 03/01/04, DN 27,865
61,000 3.38%, 07/15/04, MTN 61,502
25,000 3.63%, 09/30/04 25,355
32,651 Tennessee Valley Authority, 0.95%, 03/04/04, DN 32,648
----------------------------------------------------------------------------------------
Total U.S. Government Agency Securities 6,508,218
(Cost $6,508,218)
----------------------------------------------------------------------------------------
Repurchase Agreements-- 32.0%
474,443 Credit Suisse First Boston, Inc.,
1.05%, dated 02/27/04, due 03/01/04,
repurchase price $474,485, collateralized
by U.S. Government Agency Securities 474,443
3,932 Deutsche Bank Securities, Inc.,
1.00%, dated 02/27/04, due 03/01/04,
repurchase price $3,932, collateralized
by U.S. Treasury Securities 3,932
296,068 Deutsche Bank Securities, Inc.,
1.05%, dated 02/27/04, due 03/01/04,
repurchase price $296,094, collateralized
by U.S. Treasury Securities 296,068
525,992 Greenwich Capital Markets, Inc.,
1.05%, dated 02/27/04, due 03/01/04,
repurchase price $526,038, collateralized
by U.S. Government Agency Securities 525,992
365,000 Merrill Lynch & Co., 1.05%, dated 02/27/04,
due 03/01/04, repurchase price $365,032,
collateralized by U.S. Government
Agency Securities 365,000
1,400,000 UBS Warburg LLC, 1.05%, dated 02/27/04,
due 03/01/04, repurchase price $1,400,123,
collateralized by U.S. Government
Agency Securities 1,400,000
----------------------------------------------------------------------------------------
Total Repurchase Agreements 3,065,435
(Cost $3,065,435)
----------------------------------------------------------------------------------------
Total Investments-- 100.0% $ 9,573,653
(Cost $9,573,653)*
----------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
29
<Page>
JPMORGAN TREASURY PLUS MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- 100.0%
U.S. Treasury Securities-- 53.0%
U.S. Treasury Bills,
$ 160,000 0.93%, 03/18/04 $ 159,930
500,000 0.93%, 03/25/04 499,690
145,000 0.93%, 04/01/04 144,884
150,000 0.98%, 08/19/04 149,305
100,000 0.99%, 08/26/04 99,513
U.S. Treasury Notes & Bonds,
50,000 3.63%, 03/31/04 50,111
255,000 3.38%, 04/30/04 255,984
105,000 3.25%, 05/31/04 105,571
300,000 2.88%, 06/30/04 301,754
225,000 2.13%, 08/31/04 226,117
25,000 1.88%, 09/30/04 25,118
30,000 2.13%, 10/31/04 30,208
84,000 2.00%, 11/30/04 84,494
65,000 1.50%, 02/28/05 65,154
----------------------------------------------------------------------------------------
Total U.S. Treasury Securities 2,197,833
(Cost $2,197,833)
----------------------------------------------------------------------------------------
Repurchase Agreements-- 47.0%
460,000 ABN-AMRO, Inc., 1.00%, dated 02/27/04,
due 03/01/04, repurchase price $460,038,
collateralized by U.S. Government
Agency Securities 460,000
231,567 Credit Suisse First Boston, Inc., 0.99%, dated 02/27/04,
due 03/01/04, repurchase price $231,586,
collateralized by U.S. Treasury Securities 231,567
346,064 Deutsche Bank Securities, Inc., 1.00%, dated 02/27/04,
due 03/01/04, repurchase price $346,093,
collateralized by U.S. Treasury Securities 346,064
460,000 Greenwich Capital Markets, Inc., 1.00%,
dated 02/27/04, due 03/01/04, repurchase
price $460,038, collateralized by
U.S. Treasury Securities 460,000
6,567 Lehman Brothers, Inc., 0.99%, dated 02/27/04,
due 03/01/04, repurchase price $6,568,
collateralized by U.S. Treasury Securities 6,567
441,564 UBS Warburg LLC, 1.00%, dated 02/27/04,
due 03/01/04, repurchase price $441,601,
collateralized by U.S. Treasury Securities 441,564
----------------------------------------------------------------------------------------
Total Repurchase Agreements 1,945,762
(Cost $1,945,762)
- ----------------------------------------------------------------------------------------------------------
Total Investments-- 100.0% $ 4,143,595
(Cost $4,143,595) *
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
30
<Page>
JPMORGAN FEDERAL MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- 100.0%
U.S. Treasury Security-- 2.6%
$ 83,458 U.S. Treasury Bill, 0.97%, 06/24/04 $ 83,201
----------------------------------------------------------------------------------------
Total U.S. Treasury Securities 83,201
(Cost $83,201)
----------------------------------------------------------------------------------------
U.S. Government Agency Securities-- 97.4%
Federal Farm Credit Bank,
50,000 0.97%, 03/12/04, DN 49,985
100,000 1.00%, 04/15/04, FRN 99,997
125,000 1.00%, 05/05/04, FRN 124,999
50,000 0.99%, 06/10/04, FRN 49,997
100,000 1.13%, 06/25/04, DN 99,636
250,000 0.93%, 07/02/04, DN 250,000
50,000 1.04%, 07/09/04, DN 49,812
70,000 0.99%, 07/16/04, FRN 69,999
14,250 1.24%, 08/02/04, DN 14,174
32,000 1.14%, 09/02/04, DN 31,813
48,500 1.14%, 09/15/04, DN 48,196
25,000 1.15%, 09/20/04, DN 24,838
7,489 1.16%, 09/27/04, DN 7,438
15,000 2.38%, 10/01/04 15,109
500,000 0.93%, 11/19/04 500,000
25,000 1.15%, 12/13/04, DN 24,771
Federal Home Loan Bank,
130,000 0.99%, 03/05/04, DN 129,986
98,528 1.07%, 03/10/04, DN 98,502
69,683 1.08%, 03/12/04, DN 69,660
48,900 1.04%, 03/17/04, DN 48,877
50,000 1.08%, 03/31/04, DN 49,955
34,021 1.02%, 04/02/04, DN 33,990
48,262 1.00%, 04/14/04, DN 48,203
48,150 3.75%, 04/15/04 48,308
42,912 0.99%, 04/16/04, DN 42,858
41,456 4.88%, 04/16/04 41,653
45,350 1.14%, 05/12/04, DN 45,247
120,000 0.97%, 05/27/04, Ser. 369, FRN 119,984
63,645 3.38%, 06/15/04 64,040
45,935 4.75%, 06/28/04 46,459
30,259 1.09%, 07/09/04, DN 30,140
19,500 1.13%, 07/21/04 19,498
86,398 1.09%, 07/23/04, DN 86,022
125,000 1.00%, 08/26/05, FRN 124,916
Student Loan Marketing Association,
22,135 0.91%, 03/01/04, DN 22,135
300,000 0.95%, 03/04/04, DN 299,976
14,350 4.75%, 04/23/04 14,426
89,245 5.00%, 06/30/04, DN 90,341
22,300 3.38%, 07/15/04, MTN 22,472
15,000 3.63%, 09/30/04 15,213
</Table>
See notes to financial statements.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS-- CONTINUED
U.S. Government Agency Securities-- Continued
$ 79,250 Tennessee Valley Authority, 4.75%, 07/15/04 $ 80,295
----------------------------------------------------------------------------------------
Total U.S. Government Agency Securities 3,153,920
(Cost $3,153,920)
- ----------------------------------------------------------------------------------------------------------
Total Investments-- 100.0% $ 3,237,121
(Cost $3,237,121) *
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
32
<Page>
JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
U.S. Treasury Securities -- 100.0%
U.S. Treasury Bills,
$ 360,359 0.88%, 03/04/04 $ 360,333
78,850 0.97%, 03/18/04 78,814
204,973 0.87%, 03/11/04 204,923
197,904 0.98%, 04/01/04 197,738
175,538 0.88%, 04/08/04 175,374
506,762 0.89%, 04/22/04 506,113
226,819 0.99%, 04/29/04 226,451
329,198 1.00%, 05/06/04 328,595
337,259 0.90%, 05/13/04 336,645
38,905 0.98%, 05/20/04 38,820
86,541 0.93%, 05/27/04 86,346
9,562 0.91%, 06/24/04 9,534
360,664 0.92%, 07/22/04 359,339
148,230 0.97%, 07/29/04 147,629
374,664 0.98%, 08/05/04 373,065
200,000 0.96%, 08/12/04 199,122
2,029 0.99%, 08/19/04 2,020
U.S. Treasury Notes & Bonds,
562,000 3.63%, 03/31/04 563,240
175,000 3.38%, 04/30/04 175,674
42,315 3.25%, 05/31/04 42,546
490,000 2.88%, 06/30/04 492,870
25,000 2.13%, 08/31/04 25,124
25,000 5.88%, 11/15/04 25,786
26,000 2.00%, 11/30/04 26,117
79,000 1.50%, 02/28/05 79,184
- ----------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 5,061,402
(Cost $5,061,402)*
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
33
<Page>
JPMORGAN TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
State and Municipal Obligations -- 100.0%
ALABAMA -- 1.3%
$ 10,900 ABN AMRO Munitops Certificate Trust,
Ser. 2002-21, Rev., FRDO, MBIA,
#, 1.07%, 07/01/04 $ 10,900
900 Alabama Special Care Facilities
Financing Authority, Montgomery Hospital,
Rev., FRDO, FGIC, 0.87%, 03/03/04 900
47,300 Alabama Special Care Facilities Financing
Authority-Birmingham, Ascension Health Credit,
Ser. B, Rev., FRDO, 0.93%, 03/03/04 47,300
5,000 Birmingham Airport Authority,
Municipal Securities Trust Receipts, Ser. SGA-47,
Rev., FRDO, MBIA, #, 0.98%, 03/05/04 5,000
10,000 DCH Health Care Authority, Alabama Healthcare
Facilities, Rev., FRDO, 0.94%, 03/04/04 10,000
10,000 Houston County Health Care Authority, FLOATS,
Ser. PT-879, Rev., FRDO, MBIA, 0.99%, 04/01/04 10,000
3,000 Infirmary Health System Special Care Facilities
Financing Authority, Ser. A, Rev., FRDO,
0.94%, 03/02/04 3,000
5,735 Jefferson County, Sewer, EAGLE, Ser. 2002-6016,
Class A, Rev., FRDO, FGIC, 1.00%, 03/06/04 5,735
6,250 Mobile County, IDA, PCR, ExxonMobil Project,
Rev., FRDO, 0.88%, 03/01/04 6,250
9,000 Montgomery BMC Special Care Facilities
Financing Authority, Hospital, VHA Alabama, Inc.,
Ser. F, Rev., FRDO, AMBAC, 0.96%, 03/03/04 9,000
4,000 Selma IDB, IDR, Specialty Minerals Project, Rev.,
FRDO, 1.05%, 03/04/04 4,000
4,800 St. Clair County IDB, IDR, National Cement Co.,
Inc. Project II, Rev., FRDO, 1.80%, 03/05/04 4,800
6,035 Tuscaloosa County Board of Education, Special
Tax, TAW, FRDO, 0.97%, 03/05/04 6,035
33,000 University of Alabama, Hospital, Ser. B, Rev.,
FRDO, AMBAC, 0.91%, 03/03/04 33,000
---------------
155,920
ALASKA -- 0.8%
1,600 Alaska Housing Finance Corp., Floating Rate Trust
Receipts, Ser. L-25, Regulation D, Rev., FRDO,
MBIA, 1.01%, 03/01/04 1,600
9,600 Alaska Housing Finance Corp., Government
Purpose, Ser. B, Rev., FRDO, MBIA, 0.96%, 03/06/04 9,600
25,635 Alaska Housing Finance Corp., Housing
Development, Ser. D, Rev., FRDO, MBIA,
0.96%, 03/02/04 25,635
10,000 Alaska Housing Finance Corp., State Capital
Project, Ser. C, Rev., FRDO, MBIA, 0.94%, 03/02/04 10,000
</Table>
See notes to financial statements.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ALASKA -- CONTINUED
$ 18,300 Valdez, Alaska, Marine Terminal, BP Pipelines
Project, Ser. B, Rev., FRDO, 0.99%, 03/01/04 $ 18,300
2,000 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co.
Project, Rev., FRDO, 0.95%, 03/01/04 2,000
17,050 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co.
Project, Ser. B, Rev., FRDO, 0.88%, 03/01/04 17,050
11,600 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co.
Project, Ser. C, Rev., FRDO, 0.88%, 03/01/04 11,600
---------------
95,785
ARIZONA -- 1.1%
30,500 Apache County IDA, IDR, Tucson Electric Power
Co., Ser. 83-B, Rev., FRDO, 0.96%, 03/07/04 30,500
7,700 Apache County IDA, IDR, Tucson Electric Power
Co., Springerville, Rev., FRDO, 1.00%, 03/03/04 7,700
4,200 Apache County IDA, IDR, Tuscon Electric Power
Co., Floating Rate Trust Receipts, Ser. 83-A, Rev.,
FRDO, 0.94%, 03/04/04 4,200
10,000 Arizona State University, Ser. A, Rev., FRDO,
AMBAC, 0.90%, 03/01/04 10,000
5,000 Arizona State University, Ser. B, Rev., FRDO,
AMBAC, 0.91%, 03/01/04 5,000
4,900 Coconino County Pollution Control Corp.,
Arizona Public Service Co. Project, Rev., FRDO,
1.00%, 03/01/04 4,900
7,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Salt River Project, FRDO, 1.00%, 03/01/04 7,000
3,840 Maricopa County Public Finance Corp.,
Floating Rate Certficates, Ser. 511, Rev., FRDO,
AMBAC, 0.99%, 03/02/04 3,840
5,330 Phoenix IDA, Multi-Family Housing,
CenterTree Apartments Project, Ser. A, Rev., FRDO,
0.99%, 03/05/04 5,330
12,500 Phoenix, Arizona, Civic Improvement,
0.98%, 05/11/04 12,500
25,000 Salt River Project Agricultural Improvement &
Power District, Electric Systems, Floating Rate
Receipts, Ser. SG-160, Rev., FRDO, 0.99%, 03/02/04 25,000
16,600 University of Arizona, Main Campus & Research,
Ser. A, COP, Rev., FRDO, AMBAC, 0.95%, 03/05/04 16,600
---------------
132,570
ARKANSAS -- 0.1%
5,500 Columbia County, Solid Waste Disposal,
Albemarle Corp. Project, Rev., FRDO,
1.10%, 03/04/04 5,500
6,300 Little Rock Metrocentre Improvement District No. 1,
Little Rock Newspapers, Inc., Rev., FRDO,
1.00%, 03/01/04 6,300
</Table>
See notes to financial statements.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ARKANSAS -- CONTINUED
$ 5,780 University of Arkansas, FLOATS, Ser. PT-1948,
Rev., 1.25%, 03/01/04 $ 5,780
---------------
17,580
CALIFORNIA -- 8.9%
3,995 ABN AMRO Munitops Certificate Trust, Ser.
2003-11, GO, FRDO, FSA, 1.20%, 06/01/04 3,995
2,100 Auburn Union School District, COP, FRDO, FSA,
0.94%, 03/01/04 2,100
2,900 California Economic Development Financing
Authority, IDR, Standard Abrasives Manufacturing
Project, Rev., FRDO, 1.00%, 03/03/04 2,900
200 California Economic Development Financing
Authority, IDR, Volk Enterprises, Inc. Project, Rev.,
FRDO, 0.97%, 03/01/04 200
19,000 California Higher Education Loan Authority, Ser. A,
Rev., FRDO, 1.05%, 12/01/04 19,000
22,500 California Higher Education Loan Authority, Ser. C,
Rev., FRDO, 1.05%, 06/01/04 22,500
2,745 California Housing Finance Agency, FLOATS,
Ser. PT-843, Rev., FRDO, 1.08%, 03/06/04 2,745
20,000 California Housing Finance Agency,
Home Mortgage, Ser. M, Rev., FRDO,
0.98%, 03/07/04 20,000
20,000 California PCFA, Resource Recovery,
Atlantic-Richfield Co. Project, Ser. A, Rev.,
FRDO, 1.04%, 03/01/04 20,000
17,000 California Salvation Army, 1.02%, 11/17/04 17,000
1,000 California State Department of Water Resources,
Power Supply, Ser. B-3, Rev., FRDO,
0.97%, 03/01/04 1,000
50,000 California State Department of Water Resources,
Power Supply, Ser. C-13, Rev., FRDO, FSA,
0.93%, 03/04/04 50,000
14,495 California State Public Works Board, FLOATS,
Ser. PA-814, Rev., FRDO, MBIA, 0.96%, 03/04/04 14,495
2,000 California State, Floating Rate, Ser. C-2, GO,
FRDO, 0.95%, 03/04/04 2,000
12,950 California State, Municipal Securities Trust Receipts,
Ser. SGA 54, GO, FRDO, AMBAC, 0.99%, 03/02/04 12,950
20,800 California State, Municipal Securities Trust Receipts,
Ser. SGA-119, GO, FRDO, FGIC, 0.97%, 03/01/04 20,800
522,600 California State, Ser. A, RAN, 2.00%, 06/16/04 523,895
12,100 California State, Sub Ser. A-3, Rev., RAN,
2.00%, 06/23/04 12,135
28,000 California Statewide Communities Development
Authority, COP, FLOATERS, Ser. 909, FRDO, MBIA,
0.99%, 08/15/04 28,000
</Table>
See notes to financial statements.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,900 California Statewide Communities Development
Authority, Multi-Family Housing, Arbor Ridge
Apartments, Ser. X, Rev., FRDO, 0.95%, 03/06/04 $ 1,900
71,965 California Statewide Communities Development
Authority, Ser. A-1, Rev., TRAN, 2.00%, 06/30/04 72,200
18,800 Charter Mac Floater Certificate Trust I, Ser. CAL-1,
MBIA, 1.10%, 03/04/04 18,800
8,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2,
Rev., FRDO, MBIA, 1.10%, 03/01/04 8,000
2,300 Colton Redevelopment Agency, Multi-Family
Housing, 1985 Issue A, Rev., FRDO, 0.90%, 03/02/04 2,300
600 East Bay Municipal Utility District, Water System,
Sub Ser. A, Rev., FRDO, FSA, 0.90%, 03/07/04 600
3,200 East Bay Municipal Utility District, Water Systems,
Sub Ser. B, Rev., FRDO, FSA, 0.89%, 03/07/04 3,200
1,725 Glendale, California, Hospital, FLOATS, Ser. 590,
Rev., FRDO, MBIA, 0.99%, 03/07/04 1,725
4,660 Huntington Beach Union High School District,
School Bridge Funding Program, COP, FRDO, FSA,
1.05%, 11/01/04 4,660
3,290 Huntington Beach Union High School District,
School Facilities Bridge Funding Program, COP,
FRDO, FSA, 1.05%, 11/01/04 3,290
200 Irvine Ranch Water District, CONS, Rev., FRDO,
0.98%, 03/01/04 200
700 Irvine Ranch Water District, Consolidated Bonds,
Rev., FRDO, 0.98%, 03/01/04 700
500 Irvine Ranch Water District, Improvement District
No. 282, Ser. A, GO, FRDO, 0.97%, 03/01/04 500
300 Irvine Ranch Water District, No. 102, 103, 105 &
106, GO, FRDO, 0.92%, 03/01/04 300
300 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 87-8, Special Assessment,
FRDO, 0.98%, 03/01/04 300
100 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 94-13, Special Assessment,
FRDO, 0.98%, 03/01/04 100
300 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 97-16, Rev., FRDO,
0.98%, 03/01/04 300
600 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 97-17, Special Assessment,
FRDO, 0.98%, 03/01/04 600
100 Lodi, California, Electric Systems, COP, Ser. A,
FRDO, MBIA, 0.89%, 03/03/04 100
38,000 Los Angeles County, Ser. A, GO, TRAN,
2.00%, 06/30/04 38,128
185 Los Angeles Department of Water & Power,
FLOATS, Ser. PT-1949, Rev., 0.96%, 03/04/04 185
</Table>
See notes to financial statements.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 900 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-4, Rev., FRDO,
0.89%, 03/04/04 $ 900
1,995 Los Angeles Unified School District, FLOATS,
Ser. PA-1115, GO, FRDO, FSA, 0.96%, 03/04/04 1,995
195 Los Angeles Unified School District, FLOATS,
Ser. PA-1118, GO, FRDO, MBIA, 0.96%, 03/04/04 195
3,540 Los Angeles, California, Multi-Family Housing,
Rev., FRDO, 0.96%, 03/01/04 3,540
1,995 Los Angeles, California, Water & Power,
Ser. RR-II-R-4510, Rev., FRDO, MBIA, 0.97%, 03/04/04 1,995
4,000 Manteca Financing Authority, Municipal Securities
Trust Receipts, Ser. SGA-147, Rev., FRDO, MBIA,
0.94%, 03/01/04 4,000
1,400 Metropolitan Water District of Southern California,
Ser. B-2, Rev., FRDO, 0.88%, 03/02/04 1,400
400 Metropolitan Water District of Southern California,
Waterworks, Ser. B-2, Rev., FRDO, 0.87%, 03/03/04 400
25,740 Metropolitan Water District of Southern California,
Waterworks, Ser. C-2, Rev., FRDO, 0.88%, 03/05/04 25,740
5,600 Morgan Hill Unified School District,
Floating Rate Receipts, Ser. SG-145, GO, FRDO,
FGIC, 0.96%, 03/04/04 5,600
20,860 Municipal Securities Trust Certificates,
Ser. 2001-118, Class A, GO, FRDO, FGIC,
#, 0.97%, 03/01/04 20,860
7,700 Municipal Securities Trust Certificates,
Ser. 2001-135, Class A, GO, FRDO, FGIC,
#, 0.97%, 03/01/04 7,700
7,970 Municipal Securities Trust Certificates,
Ser. 2001-136, Class A, Rev., FRDO, FGIC,
#, 0.97%, 03/01/04 7,970
1,300 Orange County Sanitation District, COP, Ser. B,
FRDO, 0.98%, 03/01/04 1,300
3,900 Orange County, Apartment Development Corp.,
Bear Brand Apartments Project, Ser. Z, Rev.,
FRDO, 0.89%, 03/03/04 3,900
1,700 Orange County, Apartment Development Corp.,
Wood Canyon Villas, Issue E, Rev., FRDO,
0.92%, 03/06/04 1,700
7,500 Riverside County Asset Leasing Corp.,
Southwest Justice Center, Ser. B, Rev., FRDO,
MBIA, 0.90%, 03/03/04 7,500
600 San Diego Housing Authority, Multi-Family
Housing, Nobel Courts, Ser. L, Rev., FRDO,
0.90%, 03/04/04 600
13,300 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SGA-50, Rev., FRDO, MBIA,
0.97%, 03/06/04 13,300
</Table>
See notes to financial statements.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,800 San Jose, California, Multi-Family Housing,
Villa Monterey Apartments, Ser. F, Rev., FRDO,
0.95%, 03/01/04 $ 1,800
500 San Leandro, California, Multi-Family Housing,
Parkside, Rev., FRDO, 0.92%, 03/04/04 500
4,765 Southern California Home Financing Authority,
Single Family Housing, Ser. A, Rev., FRDO,
1.00%, 08/01/04 4,765
18,235 Southern California Home Financing Authority,
Single Family Housing, Ser. A, Rev., FRDO,
1.00%, 08/01/04 18,235
2,600 Southern California Public Power Authority,
Southern Transmission Project, Rev., FRDO,
AMBAC, 0.89%, 03/01/04 2,600
3,980 West Contra Costa Unified School District,
FLOATS, Ser. PT-1828, GO, FRDO, FGIC,
0.96%, 03/07/04 3,980
---------------
1,076,278
COLORADO -- 1.1%
1,000 Arapahoe County, Capital Improvement Trust,
Federal Highway, FLOATS, Ser. PT-437, Rev.,
FRDO, (p), 1.01%, 03/04/04 1,000
7,100 Arapahoe County, Multi-Family Housing,
Highline Oaks Apartments, Rev., FRDO,
0.95%, 03/04/04 7,100
2,760 Arvada, Colorado, Rev., FRDO, FSA,
1.20%, 03/01/04 2,760
15,000 Boulder Valley School District No. Re-2, Ser. A, GO,
TAN, 1.75%, 06/30/04 15,038
5,000 Boulder Valley School District No. Re-2, Ser. A, GO,
TAN, 2.00%, 06/30/04 5,017
9,900 Broomfield, Colorado, COP, FLOATS, Ser. PT-1643,
FRDO, AMBAC, 0.99%, 03/07/04 9,900
1,600 Colorado Housing & Finance Authority,
Multi-Family Housing, Diamond Project, Rev.,
FRDO, 0.93%, 03/02/04 1,600
1,000 Colorado Housing & Finance Authority, Ser. AA3,
Class I, Rev., FRDO, 0.96%, 03/03/04 1,000
3,150 Colorado Springs, Colorado, The Colorado College,
Rev., FRDO, 0.95%, 03/02/04 3,150
2,500 Colorado Student Obligation Bond Authority,
Student Loans, Senior Lien, Ser. A-3, Rev., FRDO,
AMBAC, 1.00%, 03/03/04 2,500
31,155 Denver City & County, Airport, Floating Rate
Certificates, Ser. 153, Rev., FRDO, MBIA,
1.15%, 03/04/04 31,155
5,000 Denver City & County, Airport, Floating Rate
Certificates, Ser. N-12, Regulation D, Rev.,
FRDO, FGIC, 1.06%, 03/02/04 5,000
</Table>
See notes to financial statements.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
COLORADO -- CONTINUED
$ 10,995 Denver City & County, Airport, Ser. II-R-147,
Rev., FRDO, FGIC, 1.06%, 03/03/04 $ 10,995
4,985 Denver City & County, Airport, Ser. ROC-II-R-98,
Rev., FRDO, FSA, 1.06%, 03/04/04 4,985
5,000 Denver City & County, Wellington E. Web Project,
COP, Ser. C-3, FRDO, AMBAC, 0.95%, 03/05/04 5,000
10,000 Douglas County, Multi-Family Housing,
Autumn Chase Project, Rev., FRDO,
0.95%, 03/01/04 10,000
3,620 Lower Colorado River Authority, FLOATS,
Ser. PT-1523, Rev., FRDO, MBIA, 0.99%, 03/04/04 3,620
4,610 Smith Creek Metropolitan District, Rev., FRDO,
0.95%, 03/07/04 4,610
7,035 Thornton, Colorado, COP, Ser. RR-II-R-1052,
FRDO, AMBAC, 1.00%, 03/07/04 7,035
---------------
131,465
CONNECTICUT -- 0.3%
30,785 Connecticut State Health & Educational Facilities
Authority, FLOATERS, Ser. 891, Rev., FRDO, FGIC,
1.00%, 07/01/04 30,785
2,765 Connecticut State Housing Finance Authority,
Housing Mortgage Finance Program, Sub Ser. D-3,
Rev., FRDO, AMBAC, 0.90%, 03/04/04 2,765
5,495 Connecticut State, FLOATS, Ser. PA-1056, GO,
FRDO, FSA, 0.93%, 03/05/04 5,495
---------------
39,045
DELAWARE -- 0.2%
7,000 Delaware River & Bay Authority, Ser. B, Rev.,
FRDO, AMBAC, 0.90%, 03/05/04 7,000
20,000 Delaware State Economic Development Authority,
Hospital Billing & Collections, Ser. C, Rev., FRDO,
AMBAC, 0.93%, 03/02/04 20,000
---------------
27,000
DISTRICT OF COLUMBIA -- 2.5%
25,000 District of Columbia, 0.99%, 06/14/04 25,000
625 District of Columbia Housing Finance Agency,
Floating Rate Receipts, Ser. L-1, Regulation D, Rev.,
FRDO, 1.01%, 03/05/04 625
11,140 District of Columbia Housing Finance Agency,
FLOATS, Ser. PT-1380, Rev., FRDO, 0.99%, 03/04/04 11,140
8,150 District of Columbia Housing Finance Agency,
FLOATS, Ser. PT-1381, Rev., FRDO,
0.99%, 03/07/04 8,150
3,165 District of Columbia Housing Finance Agency,
Multi-Family Housing, Trenton Park Apartments
Project, Rev., FRDO, 1.15%, 03/03/04 3,165
5,970 District of Columbia Water & Sewer Authority,
Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO,
FSA, 0.99%, 03/07/04 5,970
</Table>
See notes to financial statements.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
DISTRICT OF COLUMBIA -- CONTINUED
$ 2,800 District of Columbia, American Psychology
Association, Rev., FRDO, 1.00%, 03/04/04 $ 2,800
29,605 District of Columbia, American University Issue,
Rev., FRDO, AMBAC, 0.96%, 03/05/04 29,605
12,000 District of Columbia, American University Issue,
Ser. A, Rev., FRDO, AMBAC, 0.96%, 03/01/04 12,000
7,500 District of Columbia, Enterprise Zone, House on F
Street Project, Rev., FRDO, 1.05%, 03/05/04 7,500
6,100 District of Columbia, FLOATS, Ser. PT-806, GO,
FRDO, FSA, 0.99%, 03/07/04 6,100
23,685 District of Columbia, George Washington
University, Ser. C, Rev., FRDO, MBIA,
0.96%, 03/02/04 23,685
10,000 District of Columbia, Medstar University Hospital,
Ser. B, Rev., FRDO, (p), 6.625%, 02/15/05 10,526
2,255 District of Columbia, National Children's Center,
Inc., Rev., FRDO, 0.95%, 03/07/04 2,255
4,200 District of Columbia, National Geographic Society,
Rev., FRDO, 0.95%, 03/05/04 4,200
13,000 District of Columbia, Pooled Loan Program, Ser. A,
Rev., FRDO, 0.95%, 03/02/04 13,000
26,880 District of Columbia, Ser. A, GO, FRDO, FSA,
0.96%, 03/03/04 26,880
30,495 District of Columbia, Ser. B, GO, FRDO, FSA,
0.96%, 03/03/04 30,495
29,300 District of Columbia, Ser. C, GO, FRDO, FGIC,
0.94%, 03/06/04 29,300
10,000 District of Columbia, Ser. D, GO, FRDO, FGIC,
0.94%, 03/06/04 10,000
7,690 District of Columbia, Smithsonian Museum, Ser. B,
Rev., FRDO, 0.92%, 03/02/04 7,690
14,500 Eagle Tax Exempt Trust, Weekly Option Mode,
District of Columbia, Water & Sewer, Ser. 3, Class 7,
Rev., FRDO, #, 1.01%, 03/02/04 14,500
6,155 Eagle Tax Exempt Trust, Weekly Option Mode,
District of Columbia, Water & Sewer, Ser. 98-5202,
FRDO, #, 1.01%, 03/04/04 6,155
15,000 Washington D.C., Water & Sewer, 1.01%, 06/11/04 15,000
---------------
305,741
FLORIDA -- 2.9%
9,345 ABN AMRO Munitops Certificate Trust, Ser. 2003-6,
Rev., FRDO, MBIA, 1.18%, 04/01/04 9,345
27,075 Alachua County Health Facilities Authority,
FLOATS, Ser. PT-834, Rev., FRDO, MBIA,
0.99%, 03/01/04 27,075
10,520 Brevard County Health Facilities Authority,
Wuesthoff Memorial Hospital Project, Rev.,
FRDO, 0.96%, 03/01/04 10,520
25,000 Broward County, 1.00%, 03/24/04 25,000
</Table>
See notes to financial statements.
41
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
FLORIDA -- CONTINUED
$ 5,000 Broward County, Professional Sports Facility,
Municipal Securities Trust Receipts, Ser. SGA-38,
Rev., FRDO, MBIA, 0.98%, 03/02/04 $ 5,000
1,085 Collier County, Health Facilities Authority,
The Moorings, Inc. Project, Rev., FRDO,
0.95%, 03/04/04 1,085
2,520 Dade County Housing Finance Authority,
Multi-Family Housing, Kendall Court Apartments,
Ser. 4, Rev., FRDO, 1.01%, 03/06/04 2,520
4,620 Escambia County Housing Finance Authority,
Single Family Mortgage, FLOATS, Ser. PT-1228,
Rev., FRDO, MBIA, 1.04%, 03/07/04 4,620
5,175 Florida Housing Finance Agency, Multi-Family
Housing, Banyon Bay Partners, Ser. L, Rev.,
FRDO, 0.96%, 03/02/04 5,175
5,135 Florida Housing Finance Agency, Multi-Family
Housing, Ser. AA, Rev., FRDO, 0.92%, 03/05/04 5,135
6,350 Florida Housing Finance Agency, Multi-Family
Housing, Ser. FF, Rev., FRDO, 0.95%, 03/04/04 6,350
7,000 Florida State Board of Education, Capital Outlay,
FLOATS, Ser. PT-1223, GO, FRDO, 0.99%, 03/04/04 7,000
16,800 Florida State Board of Public Education,
Public Education, Municipal Securities
Trust Receipts, Ser. SGA-102, GO, FRDO,
1.00%, 03/01/04 16,800
11,000 Florida State Department of Environmental
Protection, Preservation, FLOATS, Ser. 722,
Rev., FRDO, FGIC, 0.99%, 03/03/04 11,000
5,370 Florida State Division of Bond Finance,
General Services, FLOATS, Ser. PA-967, FRDO,
0.99%, 03/01/04 5,370
7,000 Florida State, EAGLE, Ser. 2003-0054, Class A, GO,
FRDO, 1.01%, 03/04/04 7,000
5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO,
0.99%, 03/04/04 5,295
1,830 Greater Orlando Aviation Authority, Airport
Facilities, FLOATS, Ser. PT-1904, Rev., FRDO, FSA,
1.01%, 03/03/04 1,830
8,750 Greater Orlando, Florida, Tax Exempt,
1.10%, 03/09/04 8,750
4,790 Gulf Breeze, Florida, Local Government Loan
Program, Floating Rate Receipts, Ser. B, Rev.,
FRDO, FGIC, 0.95%, 03/07/04 4,790
11,705 Jacksonville Electric Authority, Municipal Securities
Trust Receipts, Ser. SGA-17, Rev., FRDO,
0.98%, 03/02/04 11,705
1,000 Jacksonville Health Facilities Authority,
River Garden Project, Rev., FRDO, 0.96%, 03/07/04 1,000
19,000 Jacksonville, Florida, 0.99%, 08/02/04 19,000
</Table>
See notes to financial statements.
42
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
FLORIDA -- CONTINUED
$ 6,000 Lakeland, Florida, Energy Systems, Rev., FRDO,
0.95%, 03/03/04 $ 6,000
6,920 Lee County, Water & Sewer, Ser. RR-II-R-4021,
Rev., FRDO, MBIA, 1.00%, 03/03/04 6,920
2,790 Miami Health Facilities Authority, Mercy Hospital
Project, Rev., FRDO, 0.95%, 03/04/04 2,790
6,000 Miami-Dade County, Miami Aviation,
Floating Rate Receipts, Ser. SG-141, Rev., FRDO,
FGIC, 0.99%, 03/07/04 6,000
18,110 Nassau County, PCR, Private Activity, Rayonier, Inc.
Project, Rev., FRDO, 0.90%, 03/01/04 18,110
1,300 Orange County Housing Finance Authority,
FLOATS, Ser. PT-558, Rev., FRDO, 1.01%, 03/06/04 1,300
4,900 Orange County Housing Finance Authority,
Multi-Family Housing, Regal Pointe Apartments,
Ser. A, Rev., FRDO, 0.96%, 03/02/04 4,900
8,000 Orlando & Orange County Expressway Authority,
Ser. C-1, Rev., FRDO, FSA, 0.90%, 03/04/04 8,000
1,800 Orlando & Orange County Expressway Authority,
Ser. C-2, Rev., FRDO, FSA, 0.90%, 03/04/04 1,800
10,000 Orlando & Orange County Expressway Authority,
Ser. D, Rev., FRDO, FSA, 0.90%, 03/07/04 10,000
15,000 Orlando Utilities Commission, Water & Electric,
Ser. A, Rev., FRDO, 0.90%, 03/01/04 15,000
10,320 Polk County School Board, Master Lease Program,
COP, Ser. A, FRDO, FSA, 0.92%, 03/04/04 10,320
3,000 St. Johns County IDA, Healthcare, Glenmoor
St. Johns Project, Ser. C, Rev., FRDO, 0.95%, 03/02/04 3,000
20,565 Sunshine State, 1.00%, 06/09/04 20,565
16,310 Sunshine State, 1.03%, 06/07/04 16,310
7,000 Tampa, Florida, Occupational License Tax,
Ser. B, Rev., FRDO, FGIC, 0.91%, 03/03/04 7,000
4,100 University of North Florida Foundation, Inc.,
Parking System, Rev., FRDO, 0.99%, 03/05/04 4,100
3,600 West Orange Healthcare District, Ser. B, Rev.,
FRDO, 0.95%, 03/05/04 3,600
---------------
347,080
GEORGIA -- 4.2%
16,610 ABN AMRO Munitops Certificate Trust,
Ser. 2000-4, Rev., FRDO, FGIC, #, 1.10%, 07/05/04 16,610
5,935 Atlanta Urban Residential Finance Authority,
Multi-Family Housing, The Park at Lakewood,
Rev., FRDO, 1.05%, 03/01/04 5,935
4,385 Atlanta, Georgia, Airport, FLOATS, Ser. PT-737,
Rev., FRDO, FGIC, 1.05%, 03/02/04 4,385
40,000 Atlanta, Georgia, Airport, Rev., BAN,
1.10%, 10/16/04 40,000
7,500 Atlanta, Georgia, Airport, Ser. B-3, Rev., FRDO,
MBIA, 0.94%, 03/05/04 7,500
</Table>
See notes to financial statements.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
GEORGIA -- CONTINUED
$ 20,000 Atlanta, Georgia, Airport, Ser. C-1, Rev., FRDO,
MBIA, 0.94%, 03/05/04 $ 20,000
6,000 Atlanta, Georgia, Water & Wastewater, Municipal
Securities Trust Receipts, Ser. SGA-145, Rev.,
FRDO, MBIA, 0.98%, 03/06/04 6,000
9,000 Augusta, Georgia, Water & Sewer, Municipal
Securities Trust Receipts, Ser. SGS-140, Rev.,
FRDO, FSA, 0.98%, 03/02/04 9,000
5,995 Bibb County, FLOATS, Ser. PT-1842, GO, FRDO,
0.99%, 03/05/04 5,995
7,160 Clayton County Housing Authority, Multi-Family
Housing, Chateau Forest Apartments, Ser. E, Rev.,
FRDO, FSA, 0.97%, 03/03/04 7,160
8,000 Cobb County Development Authority, Whitefield
Academy Project, Rev., FRDO, 0.95%, 03/02/04 8,000
3,000 Cobb County Housing Authority, Multi-Family
Housing, Greenhouse Frey Apartment Project,
Rev., FRDO, 0.95%, 03/05/04 3,000
11,200 Cobb County Housing Authority, Multi-Family
Housing, Terrell Mill I Project, Rev., FRDO,
#, 1.05%, 03/01/04 11,200
25,000 Cobb County Kennestone Hospital Authority,
Equipment Pool Project, Anticipation Certificates,
Rev., FRDO, 0.98%, 03/03/04 25,000
9,250 De Kalb County Housing Authority, Multi-Family
Housing, Chapel Run Apartments Project, Rev.,
FRDO, 1.00%, 03/02/04 9,250
12,645 De Kalb County Housing Authority, Multi-Family
Housing, Robins Landing Project, Rev., FRDO,
1.00%, 03/03/04 12,645
800 Fulton County Development Authority, Arthritis
Foundation, Inc. Project, Rev., FRDO,
0.95%, 03/03/04 800
1,720 Fulton County Development Authority,
Morehouse College Project, Rev., FRDO,
0.96%, 03/02/04 1,720
9,865 Georgia Local Government, COP, FLOATS,
Ser. PT-678, FRDO, 0.99%, 03/07/04 9,865
51,345 Georgia Municipal Association, Inc., Pooled Bond,
COP, FRDO, MBIA, 0.96%, 03/03/04 51,345
8,445 Georgia Municipal Electric Authority, FLOATS,
Ser. PA-1187, Rev., FRDO, MBIA-IBC, 0.99%, 03/04/04 8,445
8,485 Georgia Municipal Electric Authority, FLOATS,
Ser. PT-1518, Rev., 0.99%, 03/03/04 8,485
9,585 Georgia Municipal Electric Authority,
Ser. RR-II-R-1016, Rev., FRDO, FSA, 1.00%, 03/02/04 9,585
21,920 Georgia State Road & Thruway Authority, FLOATS,
Ser. PT-1501, Rev., FRDO, 0.96%, 03/06/04 21,920
5,035 Georgia State Road & Tollway Authority, FLOATS,
Ser. PT-2019, Rev., FRDO, 0.99%, 04/01/04 5,035
</Table>
See notes to financial statements.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
GEORGIA -- CONTINUED
$ 10,095 Georgia State, FLOATS, Ser. PT-374,
0.96%, 03/05/04 $ 10,095
1,700 Glynn-Brunswick Memorial Hospital Authority,
Anticipation Certificates, Southeast Georgia
Project, Rev., FRDO, MBIA, 0.91%, 03/03/04 1,700
3,950 Griffin-Spalding County Development Authority,
Industrial Development, Norcom, Inc. Project,
Rev., FRDO, 1.02%, 03/04/04 3,950
6,000 Gwinnett County Development Authority,
Civic & Cultural Center Project, Rev., FRDO,
0.91%, 03/03/04 6,000
10,000 Gwinnett County Hospital Authority,
Gwinnett Hospital Systems, Inc. Project,
Anticipation Certificates, Rev., RAN, FRDO,
0.95%, 03/03/04 10,000
9,225 Marietta Housing Authority, Multi-Family Housing,
Winterset Apartments Project, Rev., FRDO,
0.95%, 03/01/04 9,225
10,000 Metropolitan Atlanta Rapid Transit Authority,
Sales Tax, Ser. B, Rev., FRDO, 0.92%, 03/05/04 10,000
46,473 Municipal Electric Authority, 0.93%, 03/01/04 46,473
35,000 Municipal Electric Authority, 0.95%, 03/01/04 35,000
3,700 Municipal Electric Authority of Georgia,
Project One, Ser. C, Rev., FRDO, FSA,
0.90%, 03/03/04 3,700
34,610 Municipal Electric Authority of Georgia,
Sub Ser. B, Rev., FRDO, 0.90%, 03/03/04 34,610
1,200 Private Colleges & Universities Authority,
Emory University, Ser. B, Rev., FRDO,
0.85%, 03/05/04 1,200
16,040 Private Colleges & Universities Facilities Authority,
Emory University, Ser. B, Rev., FRDO,
0.85%, 03/05/04 16,040
5,200 Tift County Hospital Authority, Anticipation
Certificates, Ser. A, Rev., FRDO, AMBAC,
0.87%, 03/03/04 5,200
---------------
502,073
GUAM -- 0.1%
11,025 Guam Power Authority, FLOATS, Ser. PA-531,
Rev., 0.94%, 03/05/04 11,025
HAWAII -- 0.7%
20,825 ABN AMRO Munitops Certificate Trust, Ser. 2004-1,
Rev., FRDO, 1.07%, 07/01/04 20,825
17,593 Hawaii State, 0.97%, 03/11/04 17,593
880 Hawaii State Housing Finance & Development
Corp., Single Family Mortgage, FLOATS,
Ser. PA-73A, Rev., FRDO, 1.06%, 03/03/04 880
</Table>
See notes to financial statements.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
HAWAII -- CONTINUED
$ 4,995 Hawaii State, Airport Systems, FLOATS,
Ser. PA-1110, Rev., FRDO, FGIC, 1.07%, 07/01/04 $ 4,995
10,000 Hawaii State, Airport Systems, Rev., FRDO,
2.00%, 08/26/04 10,080
19,790 Hawaii State, Highway, FLOATS, Ser. PT-1058,
FRDO, 0.99%, 03/05/04 19,790
1,000 Honolulu City & County, Ser. A, GO, FRDO,
0.91%, 03/06/04 1,000
5,150 Honolulu City & County, Ser. A, GO, FRDO,
0.91%, 03/07/04 5,150
---------------
80,313
IDAHO -- 0.3%
10,500 Idaho Housing & Finance Association,
Single Family Mortgage, Ser. C, Class 1, Rev.,
FRDO, 1.01%, 03/02/04 10,500
3,750 Idaho Housing & Finance Association,
Single Family Mortgage, Ser. F-1, Class 1, Rev.,
FRDO, 1.01%, 03/01/04 3,750
26,000 Idaho State, GO, TAN, 2.00%, 06/30/04 26,082
---------------
40,332
ILLINOIS -- 5.6%
9,850 ABN AMRO Munitops Certificate Trust,
Ser. 2001-10, GO, FRDO, MBIA, 1.12%, 05/15/04 9,850
15,010 ABN AMRO Munitops Certificate Trust,
Ser. 2001-21, GO, FRDO, MBIA, 1.02%, 03/05/04 15,010
10,740 ABN AMRO Munitops Certificate Trust,
Ser. 2001-27, Rev., FRDO, FSA, 1.12%, 03/05/04 10,740
6,175 ABN AMRO Munitops Certificate Trust,
Ser. 2002-23, GO, FRDO, MBIA, 1.15%, 04/01/04 6,175
9,995 ABN AMRO Munitops Certificate Trust,
Ser. 2002-3, Rev., FRDO, 1.12%, 03/04/04 9,995
10,000 Chicago Board of Education, FLOATS, Ser. SG-103,
FRDO, 0.99%, 03/01/04 10,000
34,950 Chicago Housing Authority, Capital Improvement
Program, Floating Rate Receipts, Ser. L-40,
Regulation D, Rev., FRDO, 1.01%, 03/03/04 34,950
3,100 Chicago Metropolitan Water Reclamation District,
Ser. A, GO, FRDO, 0.91%, 03/03/04 3,100
10,570 Chicago O'Hare International Airport, ACES,
General Airport Second Lien, Ser. B, Rev.,
FRDO, 0.91%, 03/02/04 10,570
6,200 Chicago O'Hare International Airport, ACES,
General Airport Second Lien, Ser. B, Rev.,
FRDO, 0.97%, 03/02/04 6,200
4,500 Chicago, Illinois, IDR, Elston Block Co. Project,
Rev., FRDO, 1.03%, 03/04/04 4,500
19,540 Chicago, Illinois, Midway Airport, Floating Rate
Receipts, Ser. SG-97, Rev., FRDO, MBIA,
0.99%, 03/02/04 19,540
</Table>
See notes to financial statements.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 6,275 Chicago, Illinois, Multi-Family Housing,
Barbara Jean Wright Apartments, Ser. A, Rev.,
FRDO, 1.03%, 03/01/04 $ 6,275
20,000 Chicago, Illinois, Municipal Securities Trust
Receipts, Ser. SGA-99, GO, FRDO, FGIC,
0.98%, 03/03/04 20,000
5,385 Chicago, Illinois, Ser. 32, GO, FRDO, MBIA,
0.99%, 07/01/04 5,385
13,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC,
0.96%, 03/01/04 13,000
14,165 Chicago, Illinois, Skyway Toll Bridge,
Municipal Trust Certificates, Ser. ZTC-3, Class A,
FRDO, 1.09%, 03/01/04 14,165
4,503 Cook County, Floating Rate Certificates, Ser. 403,
GO, FRDO, FGIC, 0.99%, 03/03/04 4,503
7,405 Cook County, FLOATS, Ser. PT-1497, GO, FRDO,
FGIC, 0.99%, 03/05/04 7,405
2,725 Cook County, Municipal Trust Receipts, Ser. SG-7,
1.01%, 03/03/04 2,725
7,760 Cook County, Ser. 2003-11, GO, FRDO, MBIA,
0.99%, 03/06/04 7,760
5,435 Du Page County Community Unit School District
No. 200 Wheaton, Ser. RR-II-R-4013, GO, FRDO,
FSA, 1.00%, 03/06/04 5,435
10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO,
MBIA, 1.00%, 03/07/04 10,000
7,055 Franklin Park, Illinois, Municipal Securities Trust
Receipts, Ser. SGB-14, GO, FRDO, AMBAC,
#, 1.00%, 03/03/04 7,055
13,445 Glendale Heights, Illinois, Glendale Heights
Hospital, FLOATS, Ser. PT-1602, Rev.,
0.96%, 03/07/04 13,445
3,400 Illinois Development Finance Authority,
American Youth Hostels Project, Rev., FRDO,
0.95%, 03/05/04 3,400
17,900 Illinois Development Finance Authority,
Chicago Symphony Orchestra, Rev., FRDO,
0.95%, 03/01/04 17,900
2,605 Illinois Development Finance Authority, IDR,
CFC International, Inc. Project, Rev., FRDO,
1.03%, 03/01/04 2,605
4,485 Illinois Development Finance Authority, IDR,
CHS Acquisition Corp. Project, Rev., FRDO,
0.97%, 03/02/04 4,485
1,560 Illinois Development Finance Authority, IDR,
Toughy LTD Partnership Project, Rev., FRDO,
1.03%, 03/01/04 1,560
13,400 Illinois Development Finance Authority,
Multi-Family Housing, FLOATS, Ser. PT-1795,
Rev., FRDO, 1.00%, 03/02/04 13,400
</Table>
See notes to financial statements.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 12,625 Illinois Development Finance Authority,
Provena Health, Ser. C, Rev., FRDO, MBIA,
0.91%, 03/01/04 $ 12,625
10,000 Illinois Development Finance Authority,
Residential Rental, Rev., FRDO, 0.98%, 03/05/04 10,000
10,000 Illinois Development Finance Authority,
Vincent De Paul Project, Ser. A, Rev., FRDO,
0.92%, 03/03/04 10,000
8,900 Illinois Educational Facilities Authority,
Arts Club of Chicago, Rev., FRDO, 0.95%, 03/01/04 8,900
6,895 Illinois Educational Facilities Authority, FLOATS,
Ser. PA-896, Rev., FRDO, 0.99%, 03/02/04 6,895
9,800 Illinois Educational Facilities Authority,
John F. Kennedy Health Care, Rev., FRDO,
0.95%, 03/05/04 9,800
4,900 Illinois Educational Facilities Authority,
St. Xavier University Project, Ser. A, Rev., FRDO,
0.96%, 03/01/04 4,900
9,050 Illinois Educational Facilities Authority,
University Pooled Financing Program, Rev., FRDO,
FGIC, 0.93%, 03/04/04 9,050
10,330 Illinois Health Facilities Authority, Floating Rate
Trust Receipts, Ser. L-26, Regulation D, Rev., (p),
FRDO, 1.40%, 03/02/04 10,330
2,600 Illinois Health Facilities Authority, Health Care
Systems, Rev., FRDO, 0.97%, 03/01/04 2,600
10,150 Illinois Health Facilities Authority, Multi-Family
Housing, Park Plaza Center, Rev., FRDO,
0.95%, 03/02/04 10,150
20,000 Illinois Health Facilities Authority, Revolving Pooled
Funds, Ser. B, Rev., FRDO, 0.94%, 03/01/04 20,000
9,145 Illinois Health Facilities Authority,
St. Lukes Medical Center Obligation, Ser. B, Rev.,
FRDO, MBIA, 0.97%, 03/01/04 9,145
13,600 Illinois Health Facilities Authority, Swedish
Covenant Hospital Project, Rev., FRDO, AMBAC,
0.96%, 03/04/04 13,600
11,000 Illinois Health Facilities Authority, Swedish
Covenant Hospital, Ser. A, Rev., FRDO, AMBAC,
0.96%, 03/01/04 11,000
1,900 Illinois Health Facilities Authority, The Carle
Foundation, Ser. B, Rev., FRDO, AMBAC,
0.94%, 03/03/04 1,900
2,345 Illinois Housing Development Authority,
Floating Rate Trust Receipts, Ser. L-19,
Regulation D, Rev., FRDO, 1.06%, 03/04/04 2,345
10,360 Illinois Housing Development Authority,
Homeowner Mortgage, Sub Ser. A-2,
Rev., 1.18%, 04/29/04 10,360
</Table>
See notes to financial statements.
48
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 7,600 Illinois Housing Development Authority,
Multi-Family Housing, Camelot, Rev., FRDO,
MBIA, 1.00%, 03/01/04 $ 7,600
15,140 Illinois Housing Development Authority,
Multi-Family Housing, Lakeshore Plaza, Ser. A,
Rev., FRDO, MBIA, 0.94%, 03/02/04 15,140
50,000 Illinois State, GO, 1.50%, 05/15/04 50,055
15,000 Illinois State, GO, 2.00%, 04/15/04 15,019
2,075 Illinois State, Municipal Securities Trust Receipts,
Ser. SGA-103, GO, FRDO, 1.00%, 03/01/04 2,075
3,255 Illinois State, Sales Tax, Municipal Securities Trust
Certificates, Ser. SG-9, FRDO, 0.99%, 03/06/04 3,255
13,255 Illinois State, Ser. 2003-33, GO, FRDO, FGIC,
0.99%, 05/01/04 13,255
11,605 Illinois State, Ser. 42, GO, FRDO, MBIA,
0.99%, 07/01/04 11,605
10,000 Illinois State, Ser. B, GO, FRDO, 0.96%, 03/01/04 10,000
2,570 Lake County, IDR, A.L. Hansen Manufacturing Co.
Project, Rev., FRDO, 1.00%, 03/02/04 2,570
1,320 Libertyville, Illinois, IDR, Libertyville Manor Project,
Rev., FRDO, 1.03%, 03/01/04 1,320
4,765 Mount Morris, Illinois, Bretheren Home Project,
Rev., FRDO, 0.97%, 03/02/04 4,765
19,900 Regional Transportation Authority, FLOATS,
Ser. 818-D, Rev., FRDO, FGIC, 0.99%, 03/04/04 19,900
6,280 Regional Transportation Authority, FLOATS,
Ser. PT-1448, Rev., FRDO, FGIC, 0.99%, 03/07/04 6,280
15,190 Regional Transportation Authority, FLOATS,
Ser. PT-1833, Rev., FRDO, FGIC, 0.99%, 03/04/04 15,190
10,000 Regional Transportation Authority, FLOATS,
Ser. SG-82, FRDO, 0.99%, 03/07/04 10,000
11,815 Regional Transportation Authority, Ser. A-69,
Rev., FRDO, MBIA, 1.30%, 06/28/04 11,815
9,100 University of Illinois, Health Services Facilities
System, Ser. B, Rev., FRDO, 0.94%, 03/07/04 9,100
---------------
673,677
INDIANA -- 1.3%
6,080 Carmel School Building Corp., Ser. RR-II-R-S014,
Rev., FRDO, MBIA, 1.00%, 03/04/04 6,080
6,410 Danville Multi-School Building Corp., FLOATS,
Ser. PT-1483, Rev., FRDO, FSA, 0.99%, 03/03/04 6,410
5,000 DeKalb County Economic Development,
New Process Steel Project, Rev., FRDO,
1.10%, 03/05/04 5,000
15,000 Indiana Health Facility Financing Authority,
Ascension Health Credit Group, Ser. A-4, Rev.,
FRDO, 1.15%, 03/02/04 15,000
16,900 Indiana Health Facility Financing Authority,
Ascension Health Credit Group, Ser. B, Rev.,
FRDO, 0.93%, 03/03/04 16,900
</Table>
See notes to financial statements.
49
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
INDIANA -- CONTINUED
$ 4,600 Indiana Health Facility Financing Authority,
Clarian Health Obligation Group, Ser. C, Rev.,
FRDO, 0.95%, 03/05/04 $ 4,600
2,485 Indiana Health Facility Financing Authority,
Community Hospitals Project, Ser. A, Rev.,
FRDO, 0.95%, 03/05/04 2,485
5,055 Indiana Health Facility Financing Authority,
FLOATS, Ser. PA-1069, 0.99%, 03/05/04 5,055
15,835 Indiana Toll Road Commission, FLOATS,
Ser. PT-1595, 0.96%, 03/03/04 15,835
19,500 Indiana Transportation Finance Authority,
Municipal Securities Trust Receipts, Ser. SGA-113,
Rev., FRDO, 1.00%, 03/01/04 19,500
8,975 Indianapolis Airport Authority, Floating Trust
Certificates, Ser. F-10J, Regulation D, Rev., FRDO,
1.11%, 03/04/04 8,975
8,665 Indianapolis Local Public Improvement Bond Bank,
FLOATS, Ser. PT-1408, Rev., FRDO, MBIA,
0.99%, 03/01/04 8,665
8,500 Indianapolis Local Public Improvement Bond Bank,
Ser. F-2, Rev., FRDO, MBIA, 0.91%, 03/05/04 8,500
9,200 Monroe County Hospital Authority, Rev., FRDO,
MBIA, 0.95%, 03/02/04 9,200
110 Muncie, Indiana, Economic Development,
Health Quest Realty Project, Rev., FRDO,
0.98%, 03/07/04 110
26,100 Vernon, Indiana, 0.95%, 03/01/04 26,100
---------------
158,415
IOWA -- 0.4%
4,550 Des Moines, Iowa, 1.07%, 09/07/04 4,550
1,900 Des Moines, Iowa, 1.07%, 09/07/04 1,900
6,000 Iowa Finance Authority, Single Family Mortgage,
Ser. F, Rev., FRDO, 1.00%, 03/04/04 6,000
30,000 Iowa State, Rev., TRAN, 2.00%, 06/29/04 30,093
---------------
42,543
KANSAS -- 1.9%
54,950 Burlington, Kansas, PCR, Floating Rate Trust
Receipts, Ser. 2002-L3, Rev., FRDO, MBIA,
1.01%, 03/01/04 54,950
2,000 Eagle Tax-Exempt Trust, Weekly Option Mode,
Ser. 2000-1601, FRDO, 1.00%, 03/03/04 2,000
5,400 Kansas City, Kansas, IDB, PQ Corp. Project,
Rev., FRDO, 1.00%, 03/01/04 5,400
18,000 Kansas State Department of Transportation,
Highway, Ser. C-1, Rev., FRDO, 0.95%, 03/02/04 18,000
27,500 Kansas State Department of Transportation,
Highway, Ser. C-2, Rev., FRDO, 0.95%, 03/02/04 27,500
46,300 Kansas State Department of Transportation,
Highway, Ser. D, Rev., FRDO, 0.87%, 03/04/04 46,300
</Table>
See notes to financial statements.
50
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
KANSAS -- CONTINUED
$ 18,500 Kansas State Department of Transportation,
Ser. C-1, Rev., FRDO, 0.95%, 03/05/04 $ 18,500
10,225 Kansas State Department of Transportation,
Ser. C-3, Rev., FRDO, 0.95%, 03/05/04 10,225
11,090 Lawrence, Kansas, Ser. 2003-I, GO,
1.50%, 06/01/04 11,099
7,465 Olathe, Kansas, Temporary Notes, Ser. B, GO,
1.65%, 06/01/04 7,476
9,780 Overland Park, Kansas, Floating Rate Receipts,
Ser. SG-155, 0.99%, 03/06/04 9,780
3,495 Sedgwick & Shawnee Counties, Single Family
Housing, FLOATS, Ser. PT-523, Rev., FRDO,
1.04%, 03/05/04 3,495
1,500 Wichita, Kansas, Hospital Facilities Improvement,
Riverside, Ser. IV, Rev., FRDO, 1.00%, 03/05/04 1,500
7,740 Wichita, Kansas, Multi-Family Housing, FLOATS,
Ser. PT-1641, Rev., FRDO, 1.10%, 03/06/04 7,740
---------------
223,965
KENTUCKY -- 0.7%
17,455 Jeffersontown, Kentucky, Lease Program,
Kentucky League of Cities Funding Trust,
Rev., FRDO, 0.99%, 03/03/04 17,455
24,000 Kentucky Association of Counties, COP, TRAN,
2.00%, 06/30/04 24,086
2,240 Kentucky Development Finance Authority,
Pooled Loan Program, Ser. A, Rev., FRDO, FGIC,
0.95%, 03/04/04 2,240
15,000 Louisville & Jefferson County Metropolitan
Sewer District, Sewer & Drain Systems,
Floating Rate Receipts, Ser. SG-132, Rev., FRDO,
FGIC, 0.99%, 03/01/04 15,000
21,500 Louisville & Jefferson County Metropolitan
Sewer District, Sewer & Drain Systems, Ser. A,
Rev., FRDO, FSA, 0.91%, 03/01/04 21,500
10,000 Louisville & Jefferson County Metropolitan
Sewer District, Sewer & Drain Systems, Ser. B,
Rev., FRDO, FSA, 0.92%, 03/01/04 10,000
---------------
90,281
LOUISIANA -- 0.9%
12,000 ABN AMRO Munitops Certificate Trust,
Ser. 2002-17, Rev., FRDO, AMBAC,
#, 1.02%, 03/07/04 12,000
9,000 East Baton Rouge Parish, Solid Waste Disposal
Authority, Exxon Corp. Project, Rev., FRDO,
0.93%, 03/01/04 9,000
5,210 Ernest N. Morial-New Orleans Exhibit Hall
Authority, Special Tax, Ser. RR-II-R-5017, FRDO,
AMBAC, 1.00%, 03/04/04 5,210
</Table>
See notes to financial statements.
51
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
LOUISIANA -- CONTINUED
$ 1,875 Iberia Parish IDB, IDR, Cuming Insulation Corp.
Project, Rev., FRDO, 1.08%, 03/04/04 $ 1,875
2,280 Jefferson Parish Home Mortgage Authority,
Single Family Mortgage, FLOATS, Ser. PT-492,
Rev., FRDO, 1.06%, 03/05/04 2,280
3,000 Lake Charles Harbor & Terminal District, District
Dock & Wharf, Conoco, Inc. Project, Rev., FRDO,
1.01%, 03/02/04 3,000
40,000 Louisiana Facilities Authority, 0.95%, 03/01/04 40,000
3,940 Louisiana Housing Finance Agency, FLOATS,
Ser. PT-1340, Rev., FRDO, 1.04%, 03/06/04 3,940
8,300 Louisiana Offshore Terminal Authority,
Deepwater Port, 1st Stage Loop LLC, Rev.,
FRDO, 0.98%, 03/01/04 8,300
100 Louisiana Public Facilities Authority, IDB,
Kenner Hotel LTD, Rev., FRDO, 0.97%, 03/01/04 100
5,995 Louisiana Public Facilities Authority, LSU Alumni
Association Project, Rev., FRDO, 0.99%, 03/01/04 5,995
11,700 Louisiana Public Facilities Authority, Tiger Athletic
Foundation Project, Rev., FRDO, 0.97%, 03/04/04 11,700
4,750 South Louisiana Port Commission, Marine Terminal
Facilities, Occidental Petroleum, Rev., FRDO,
0.96%, 03/04/04 4,750
---------------
108,150
MAINE -- 0.5%
9,800 Maine Finance Authority, Jackson Lab Issue,
Ser. 2002, Rev., FRDO, 1.00%, 03/01/04 9,800
7,840 Maine Health & Higher Educational Facilities
Authority, Ser. B, Rev., FRDO, AMBAC,
0.95%, 03/03/04 7,840
25,415 Maine State Housing Authority, Ser. E-2, Rev.,
FRDO, AMBAC, 1.00%, 05/15/04 25,415
12,800 Maine State Housing Authority, Ser. E-2, Rev.,
FRDO, AMBAC, 1.00%, 05/15/04 12,800
10,000 Maine State, GO, BAN, 1.75%, 06/24/04 10,024
---------------
65,879
MARYLAND -- 1.6%
25,000 Baltimore City, Maryland, 0.98%, 03/08/04 25,000
5,510 Baltimore County, Oak Crest Village, Inc. Project,
Ser. A, Rev., FRDO, 0.96%, 03/04/04 5,510
8,200 Baltimore IDA, IDR, Baltimore Capital Acquisition,
Rev., FRDO, 0.94%, 03/03/04 8,200
3,135 Community Development Administration,
Multi-Family Development, Avalon Lea Apartment
Project, Rev., FRDO, 0.92%, 03/01/04 3,135
3,320 Maryland Community Development Administration,
Department of Housing & Community
Development, FLOATS, Ser. PT-12, 1.04%, 03/01/04 3,320
</Table>
See notes to financial statements.
52
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MARYLAND -- CONTINUED
$ 3,000 Maryland Community Development
Administration, Department of Housing &
Community Development,
Multi-Family Housing, Parklane Apartments,
Rev., FRDO, 0.99%, 03/03/04 $ 3,000
11,000 Maryland State Economic Development Corp.,
Floating Rate Reciepts, Ser. L9-J, Rev., FRDO,
FSA, 1.06%, 03/01/04 11,000
20,000 Maryland State Health & Higher Educational
Facilities Authority, FLOATERS, Ser. 867,
Rev., FRDO, FGIC, 1.00%, 03/04/04 20,000
2,350 Maryland State Health & Higher Educational
Facilities Authority, Loyola College Issue, Ser. B,
Rev., FRDO, MBIA, 0.96%, 03/07/04 2,350
9,000 Maryland State Health & Higher Educational
Facilities Authority, Municipal Securities Trust
Receipts, Ser. SGA-143, Rev., FRDO, 0.98%, 03/03/04 9,000
22,475 Maryland State Health & Higher Educational
Facilities Authority, Ser. D, Rev., FRDO,
0.95%, 03/05/04 22,475
23,470 Maryland State Stadium Authority, Sports Facilities
Lease, Rev., FRDO, 0.99%, 03/03/04 23,470
6,400 Montgomery County Housing Opportunites
Commission, Multi-Family Housing, Falklands,
Ser. B, Rev., FRDO, 0.90%, 03/03/04 6,400
10,700 Montgomery County Housing Opportunites
Commission, Multiple Purpose, Ser. C, Rev., FRDO,
0.92%, 03/03/04 10,700
16,800 Montgomery County Housing Opportunities
Commission, Multi-Family Housing, Grosvenor,
Ser. A, Rev., FRDO, 0.90%, 03/02/04 16,800
5,100 Montgomery County Housing Opportunities
Commission, The Grand-Issue I, Rev., FRDO,
0.97%, 03/01/04 5,100
1,210 Northeast Waste Disposal Authority, Resource
Recovery, Harford County Resources, Rev., FRDO,
AMBAC, 0.85%, 03/03/04 1,210
17,600 Washington Suburban Sanitation District,
Multi-Modal, Ser. A, GO, BAN, FRDO,
0.96%, 03/01/04 17,600
---------------
194,270
MASSACHUSETTS -- 3.7%
8,000 Arlington, Massachusetts, GO, BAN,
1.50%, 04/08/04 8,003
6,030 Canton Housing Authority, Multi-Family Housing,
Canton Arboretum Apartments, Rev., FRDO,
0.95%, 03/03/04 6,030
8,510 Clipper Tax-Exempt Trust, COP, Ser. 2001-4,
FRDO, 1.15%, 07/01/04 8,510
</Table>
See notes to financial statements.
53
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MASSACHUSETTS -- CONTINUED
$ 20,000 Gateway Regional School District, GO, BAN,
1.625%, 05/05/04 $ 20,017
11,400 Gill-Montague Regional School District, GO, BAN,
2.00%, 09/24/04 11,456
7,520 Lowell, Massachusetts, State Qualified, GO, MBIA,
3.00%, 10/15/04 7,611
5,750 Massachusetts Bay Transportation Authority,
Municipal Securities Trust Receipts, Special
Assessment, Ser. SGA-123, FRDO, 0.98%, 03/01/04 5,750
7,000 Massachusetts Development Finance Agency,
Clark University, Rev., FRDO, MBIA, 0.95%, 03/05/04 7,000
13,500 Massachusetts Development Finance Agency,
Clark University, Ser. A, Rev., FRDO, AMBAC,
0.95%, 03/01/04 13,500
4,760 Massachusetts Development Financing Agency,
The Bridge Issue, Rev., FRDO, 0.94%, 03/01/04 4,760
30,715 Massachusetts Health & Educational Facilities
Authority, Fairview Extended, Ser. B, Rev., FRDO,
0.94%, 03/04/04 30,715
31,415 Massachusetts Health & Educational Facilities
Authority, Partners in Healthcare, Ser. D-6, Rev.,
FRDO, 0.97%, 03/01/04 31,415
2,200 Massachusetts Health & Educational Facilities
Authority, University of Massachusetts, Ser. A,
Rev., FRDO, 0.89%, 03/01/04 2,200
5,000 Massachusetts Housing Finance Agency, Ser. G,
Rev., FRDO, 0.93%, 03/06/04 5,000
10,000 Massachusetts Housing Finance Agency,
Single Family Notes, Ser. M, Rev., 1.15%, 05/01/04 10,000
11,995 Massachusetts Municipal Wholesale Electric Co.,
Power Supply Systems, FLOATS, Ser. PT-1951,
0.95%, 03/04/04 11,995
100 Massachusetts State Industrial Finance Agency,
Milton Academy Issue, Rev., FRDO, MBIA,
0.94%, 03/05/04 100
2,506 Massachusetts State Turnpike Authority, FLOATS,
Ser. 334, Rev., FRDO, MBIA, 0.94%, 03/01/04 2,506
41,800 Massachusetts State Water, 0.95%, 03/01/04 41,800
25,975 Massachusetts State Water Pollution Abatement
Trust, Municipal Securities Trust Receipts,
Ser. SGA-87, Rev., FRDO, 0.97%, 03/01/04 25,975
7,200 Massachusetts State Water Resources Authority,
Multi-Modal, Ser. B, Rev., FRDO, FGIC,
0.91%, 03/04/04 7,200
4,320 Massachusetts State Water Resources Authority,
Ser. A, Rev., FRDO, FGIC, 0.91%, 03/03/04 4,320
2,500 Massachusetts State Water Resources Authority,
Sub Ser. B, Rev., FRDO, FGIC, 0.92%, 03/02/04 2,500
6,600 Massachusetts State Water Resources Authority,
Sub Ser. C, Rev., FRDO, FGIC, 0.92%, 03/03/04 6,600
</Table>
See notes to financial statements.
54
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MASSACHUSETTS -- CONTINUED
$ 1,000 Massachusetts State Water Resources Authority,
Sub Ser. D, Rev., FRDO, 0.98%, 03/01/04 $ 1,000
9,995 Massachusetts State, FLOATS, Ser. PA-800,
0.95%, 03/04/04 9,995
7,830 Massachusetts State, FLOATS, Ser. PT-1576, GO,
FRDO, MBIA, 0.95%, 03/04/04 7,830
10,650 Massachusetts State, FLOATS, Ser. PT-1696, GO,
FRDO, MBIA-IBC, 0.95%, 03/04/04 10,650
10,225 Massachusetts State, FLOATS, Ser. PT-1702, GO,
FRDO, FGIC, 0.95%, 03/04/04 10,225
115 Massachusetts State, FLOATS, Ser. PT-2008, GO,
FRDO, AMBAC, 0.95%, 04/01/04 115
50,000 Massachusetts State, Ser. A, GO, BAN,
1.50%, 04/20/04 50,036
59,800 Route 3 North Transit Improvement Association,
Ser. B, Rev., FRDO, AMBAC, 0.91%, 03/06/04 59,800
24,494 Westford, Massachusetts, GO, BAN,
1.50%, 05/11/04 24,513
---------------
449,127
MICHIGAN -- 4.6%
30,795 ABN AMRO Munitops Certificate Trust,
Ser. 2000-16, GO, FRDO, FGIC, 1.00%, 03/02/04 30,795
5,000 ABN AMRO Munitops Certificate Trust,
Ser. 2002-29, GO, FRDO, FGIC, 1.08%, 08/13/04 5,000
8,615 Detroit City School District, Ser. 2003-28, GO,
FRDO, 0.99%, 05/01/04 8,615
10,000 Detroit City School District, Ser. B-1, GO, FRDO,
FGIC, 1.02%, 05/01/04 10,000
21,000 Detroit, Michigan, Sewer Disposal, Second Lien,
Ser. E, Rev., FRDO, FGIC, 1.05%, 10/23/04 21,000
600 Detroit, Michigan, Sewer Disposal, Senior Lien,
Ser. B, Rev., FRDO, FSA, 0.98%, 03/01/04 600
7,450 East Lansing School District, Municipal Securities
Trust Receipts, Ser. SGA-114, GO, FRDO,
0.98%, 03/03/04 7,450
9,255 Holt Public Schools, GO, FRDO, 0.94%, 03/05/04 9,255
8,865 Howell Public Schools, FLOATS, Ser. PT-1502,
GO, FRDO, 0.99%, 03/05/04 8,865
5,500 Kent Hospital Financing Authority, Spectrum
Health, Ser. B, Rev., FRDO, MBIA, 0.95%, 03/05/04 5,500
5,000 Lakeview School District, Calhoun, School Building &
Site, Ser. B, GO, FRDO, 0.94%, 03/04/04 5,000
12,000 Michigan Higher Education Student Loan
Authority, Ser. XII-D, Rev., FRDO, AMBAC,
0.96%, 03/03/04 12,000
9,000 Michigan Higher Education Student Loan
Authority, Ser. XII-F, Rev., FRDO, AMBAC,
0.96%, 03/03/04 9,000
</Table>
See notes to financial statements.
55
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MICHIGAN -- CONTINUED
$ 8,505 Michigan Municipal Bond Authority, FLOATS,
Ser. PT-1477, Rev., FRDO, 1.23%, 03/02/04 $ 8,505
6,205 Michigan Municipal Bond Authority, FLOATS,
Ser. PT-397, Rev., FRDO, 0.99%, 03/07/04 6,205
20,000 Michigan Municipal Bond Authority, Ser. B-1,
Rev., 2.00%, 08/20/04 20,091
15,000 Michigan State, 0.98%, 06/10/04 15,000
25,500 Michigan State, 1.07%, 05/04/04 25,500
10,525 Michigan State Building Authority,
Ser. RR-II-R-1049, Rev., FRDO, 1.00%, 03/02/04 10,525
8,970 Michigan State Hospital Finance Authority,
FLOATS, Ser. PA-919, Rev., 0.99%, 03/04/04 8,970
7,495 Michigan State Hospital Finance Authority,
FLOATS, Ser. PT-668, Rev., FRDO, MBIA,
0.99%, 03/05/04 7,495
29,900 Michigan State Housing Authority,
1.00%, 03/01/04 29,900
6,350 Michigan State Housing Development Authority,
Multi-Family Housing, Canton Club, Ser. A, Rev.,
FRDO, 0.97%, 03/05/04 6,350
7,130 Michigan State Housing Development Authority,
Multi-Family Housing, River Place Apartments,
Rev., FRDO, 1.00%, 03/04/04 7,130
6,000 Michigan State Housing Development Authority,
Ser. 1999-B2, Rev., FRDO, MBIA, 1.01%, 03/05/04 6,000
825 Michigan State Housing Development Authority,
Ser. 2000-A, Rev., FRDO, MBIA, 0.96%, 03/05/04 825
11,300 Michigan State Housing Development Authority,
Shoal Creek Project, Limited Obligation, Rev.,
FRDO, 0.95%, 03/05/04 11,300
4,860 Michigan State University, Ser. A, Rev.,
FRDO, 0.91%, 03/01/04 4,860
6,900 Michigan State University, Ser. A, Rev.,
FRDO, 0.93%, 03/05/04 6,900
1,680 Michigan State University, Ser. A, Rev., FRDO,
0.98%, 03/01/04 1,680
23,180 Michigan State University, Ser. A-2, Rev., FRDO,
0.92%, 03/01/04 23,180
4,450 Michigan State, FLOATS, Ser. PT-2021, GO, FRDO,
0.99%, 05/01/04 4,450
53,000 Michigan State, Ser. A, GO, 2.00%, 09/30/04 53,313
10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA,
0.94%, 03/03/04 10,500
16,900 Michigan State, Ser. B, Rev., GAN, FRDO, FSA,
0.94%, 03/03/04 16,900
15,000 Michigan State, Ser. C, Rev., GAN, FRDO, FSA,
0.90%, 03/03/04 15,000
20,000 Michigan State, Ser. C, Rev., GAN, FRDO, FSA,
0.90%, 03/03/04 20,000
</Table>
See notes to financial statements.
56
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MICHIGAN -- CONTINUED
$ 1,175 Michigan Strategic Fund, Wayne Disposal,
Oakland Project, Rev., FRDO, 1.05%, 03/01/04 $ 1,175
20,760 Milan Area Schools, GO, FRDO, 0.94%, 03/02/04 20,760
10,000 Oakland University, Rev., FRDO, FGIC,
0.96%, 03/04/04 10,000
37,160 Saline Area Schools, GO, FRDO, 0.94%, 03/05/04 37,160
1,100 University of Michigan, Hospital, Ser. A, Rev.,
FRDO, 0.98%, 03/01/04 1,100
700 University of Michigan, Medical Service Plan,
Ser. A-1, Rev., FRDO, 0.98%, 03/01/04 700
300 University of Michigan, Medical Services Plan,
Ser. A, Rev., FRDO, 0.94%, 03/05/04 300
18,355 Wayne Charter County, Detroit Metropolitan,
Wayne Charter Airport, Junior Lien, Rev.,
FRDO, FSA, 0.97%, 03/04/04 18,355
13,700 Wayne Charter County, Wayne Charter Airport,
Floating Rate Receipts, Ser. SG-122, Rev., FRDO,
0.99%, 03/02/04 13,700
---------------
556,909
MINNESOTA -- 0.4%
8,410 Minneapolis & St. Paul Metropolitan Airports
Commission, Municipal Securities Trust Receipts,
Ser. SG-136, Rev., FRDO, FGIC, 1.01%, 03/01/04 8,410
9,000 Minneapolis & St. Paul Metropolitan Airports
Commission, Municipal Securities Trust Receipts,
Ser. SGA-127, Rev., FRDO, FGIC, 0.98%, 03/01/04 9,000
4,400 Minnesota Housing Finance Agency, Residential
Housing, Ser. B, Rev., FRDO, 1.00%, 03/04/04 4,400
15,110 Minnesota Housing Finance Agency, Residential
Housing, Ser. H, Rev., FRDO, 1.00%, 07/22/04 15,110
4,995 Minnesota Public Facilities Authority, PCR, Water,
Ser. II-R-31, Rev., FRDO, 1.00%, 03/05/04 4,995
4,300 St. Louis Park, Minnesota, Catholic Finance Corp.,
Rev., FRDO, 1.00%, 03/01/04 4,300
---------------
46,215
MISSISSIPPI -- 0.2%
2,800 Jackson County, PCR, Chevron USA, Inc. Project,
Rev., FRDO, 0.98%, 03/01/04 2,800
1,220 Mississippi Business Finance Corp., IDR, Choctaw
Maid Farms, Inc. Project, Rev., FRDO,
1.05%, 03/01/04 1,220
8,405 Mississippi Development Bank Special Obligation,
FLOATS, Ser. PT-1494, Rev., FRDO, FSA,
0.99%, 03/06/04 8,405
2,510 Mississippi Home Corp., Single Family Housing,
FLOATS, Ser. PT-620, Rev., FRDO, 1.04%, 03/07/04 2,510
4,365 Mississippi State, Ser. RR-II-R-1043, GO, FRDO,
FGIC, 1.00%, 03/04/04 4,365
---------------
19,300
</Table>
See notes to financial statements.
57
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MISSOURI -- 1.1%
$ 11,285 Bi-State Development Agency, Metropolitan
District, FLOATS, Ser. PT-1593, Rev., FRDO, FSA,
0.99%, 03/02/04 $ 11,285
30,400 Bi-State Development Agency, Metropolitan
District, Metrolink Cross County Project, Ser. A,
Rev., FRDO, FSA, 0.95%, 03/01/04 30,400
6,745 Independence IDA, Multi-Family Housing,
FLOATS, Ser. PT-314, FRDO, 0.99%, 03/06/04 6,745
3,025 Kansas City IDA, IDR, Livers Bronze Co. Project,
Rev., FRDO, 1.10%, 03/06/04 3,025
3,000 Missouri Higher Education Loan Authority,
Student Loan, Ser. B, Rev., FRDO, 1.00%, 03/03/04 3,000
1,600 Missouri Higher Education Loan Authority,
Student Loan, Ser. B, Rev., FRDO, MBIA,
1.00%, 03/01/04 1,600
2,930 Missouri Housing Development Commission,
FLOATS, Ser. PT-1286, Rev., FRDO,
1.04%, 03/06/04 2,930
4,000 Missouri Housing Development Commission,
Mortgage, FLOATS, Ser. PT-495, Rev., FRDO,
1.04%, 03/04/04 4,000
9,900 Missouri Housing Development Commission,
Single Family Mortgage, FLOATS, Ser. L-5J,
Regulation D, Rev., FRDO, 1.06%, 03/01/04 9,900
18,100 Missouri State Health & Educational Facilities
Authority, Assemblies of God College, Rev.,
FRDO, 0.95%, 03/05/04 18,100
2,500 Missouri State Health & Educational Facilities
Authority, EAGLE, Ser. 2002-6026, Class A,
Rev., FRDO, 1.00%, 03/05/04 2,500
20,000 Missouri State Health & Educational Facilities
Authority, School District Advanced Funding
Program, St. Louis County Schools, Ser. O,
Rev., 1.18%, 10/29/04 20,000
4,560 Missouri State Housing Development Commission,
FLOATS, Ser. PT-223, Rev., FRDO,
1.04%, 03/01/04 4,560
11,125 O'Fallon, Missouri, COP, FLOATS, Ser. PT-1396,
FRDO, MBIA, 0.99%, 03/03/04 11,125
---------------
129,170
MONTANA -- 0.1%
2,095 Montana Board of Housing, FLOATS,
Ser. PT-356, 1.06%, 03/05/04 2,095
15,000 Montana State, GO, TRAN, 2.00%, 06/30/04 15,046
---------------
17,141
MULTIPLE STATES -- 2.4%
5,010 ABN AMRO Munitops Certificate Trust,
Ser. 2002-37, Rev., FRDO, 1.29%, 03/20/04 5,010
</Table>
See notes to financial statements.
58
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MULTIPLE STATES -- CONTINUED
$ 44,505 ABN AMRO Munitops Certificate Trust,
Ser. 2002-1, Rev., FRDO, 1.15%, 03/07/04 $ 44,505
14,000 Charter Mac Floater Certificate Trust I, FLOATER,
Ser. NAT-4, Rev., FRDO, MBIA, 1.14%, 03/04/04 14,000
18,000 Charter Mac Floater Certificate Trust I, Ser. NAT-1,
Rev., FRDO, MBIA, 1.14%, 03/02/04 18,000
24,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2,
Rev., FRDO, MBIA, 1.14%, 03/04/04 24,000
15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3,
Rev., FRDO, MBIA, 1.14%, 03/04/04 15,000
5,005 Clipper Tax-Exempt Trust, COP, Ser. 1999-2,
FRDO, 1.24%, 03/04/04 5,005
24,800 Clipper Tax-Exempt Trust, COP, Ser. 2002-9,
FRDO, 1.24%, 03/05/04 24,800
20,000 Clipper Tax-Exempt Trust, COP, Ser. 2003-5,
FRDO, 1.14%, 03/04/04 20,000
6,000 Eagle Tax Exempt Trust, Ser. 2000-1003, Rev.,
FRDO, FGIC, 1.00%, 03/07/04 6,000
26,786 Koch Floating Rate Trust, Weekly Certificates,
Ser. 1, Rev., FRDO, 1.19%, 03/04/04 26,786
25,765 MBIA Capital Corp., FLOATS, Ser. PL-10, Rev.,
FRDO, MBIA, 1.09%, 03/07/04 25,765
10,000 Municipal Securities Trust Certificates, Ser. 2000-96,
Class A, GO, FRDO, AMBAC, #, 0.94%, 03/01/04 10,000
45,170 Puttable Floating Option Tax-Exempt Receipts,
SunAmerica Trust, PUTTERS, Ser. 2001-2, Class A
Certificates, 1.05%, 03/05/04 45,170
10,400 SunAmerica Trust, Ser. 2, Class A Certificates,
Rev., FRDO, 1.15%, 03/03/04 10,400
---------------
294,441
NEBRASKA -- 0.3%
15,700 Lancaster County Hospital Authority No. 1,
Bryan Memorial Hospital Project, Rev., FRDO,
MBIA, 0.91%, 03/03/04 15,700
3,285 NEBHELP, Inc., Multi-Modal, Ser. A-11, Rev.,
FRDO, MBIA, 1.00%, 03/01/04 3,285
4,330 Nebraska Investment Finance Authority,
Single Family Housing, Floating Rate Trust
Receipts, Ser. 2002-L1, Rev., FRDO, 1.06%, 03/05/04 4,330
9,005 Nebraska Investment Finance Authority,
Single Family Housing, Floating Rate Trust
Receipts, Ser. N-7, Regulation D, Rev.,
FRDO, 1.20%, 03/01/04 9,005
5,960 Nebraska Investment Finance Authority,
Single Family Housing, Ser. E, Rev., FRDO,
1.01%, 03/06/04 5,960
---------------
38,280
</Table>
See notes to financial statements.
59
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEVADA -- 1.2%
$ 6,710 Clark County School District, FLOATS,
Ser. PA-1220, GO, FRDO, MBIA, 1.20%, 06/15/04 $ 6,710
15,000 Clark County School District, FRDO,
1.00%, 03/01/04 15,000
6,805 Clark County, Airport Improvement, Sub Lien,
Ser. A-1, Rev., FRDO, 0.91%, 03/03/04 6,805
575 Clark County, Airport Improvement, Sub Lien,
Ser. A-2, Rev., FRDO, 0.97%, 03/03/04 575
22,600 Clark County, Airport Revenue, Sub Lien, Ser. C,
Rev., FRDO, FGIC, 0.91%, 03/02/04 22,600
15,210 Clark County, Nevada, Airport Revenue, Sub-Lien,
Ser. B-2, Rev., FRDO, 0.87%, 03/03/04 15,210
14,615 Nevada Housing Division, Multi-Family Housing,
Park Vista Apartments, Ser. A, Rev., FRDO,
0.94%, 03/05/04 14,615
9,500 Nevada Housing Division, Multi-Unit Housing,
Flamingo Road, Ser. A, Rev., FRDO,
#, 1.24%, 03/01/04 9,500
7,800 Nevada Housing Division, Multi-Unit Housing,
Fort Apache, Ser. A, Rev., FRDO, 1.24%, 03/01/04 7,800
3,390 Nevada Housing Division, Multi-Unit Housing,
Horizon, Ser. A, Rev., FRDO, 0.99%, 03/05/04 3,390
4,350 Nevada Housing Division, Multi-Unit Housing,
Joshua Villas, Ser. E, Rev., FRDO,
0.99%, 03/04/04 4,350
5,455 Nevada Housing Division, Multi-Unit Housing,
Judith Villas, Ser. C, Rev., FRDO, 0.99%, 03/04/04 5,455
6,750 Nevada Housing Division, Multi-Unit Housing,
Ser. A, Rev., FRDO, 0.99%, 03/06/04 6,750
3,195 Nevada Housing Division, Multi-Unit Housing,
Ser. M, Rev., FRDO, 0.99%, 03/01/04 3,195
4,800 Nevada State, FLOATS, Ser. PT-403, GO, FRDO,
0.99%, 03/03/04 4,800
9,000 Nevada State, FLOATS, Ser. SG-39,
0.99%, 03/03/04 9,000
8,960 Nevada State, Ser. RR-II-R-4054, GO, FRDO,
FSA, 1.00%, 03/07/04 8,960
5,800 Truckee Meadows Water Authority,
Municipal Securities Trust Receipts, Ser. SGA-137,
Rev., FRDO, FSA, 1.00%, 03/01/04 5,800
---------------
150,515
NEW HAMPSHIRE -- 0.5%
23,220 Nassau, New Hampshire, GO, BAN,
1.50%, 04/15/04 23,232
6,000 New Hampshire Health & Education Facilities
Authority, Riverbend, Rev., FRDO,
0.95%, 03/01/04 6,000
</Table>
See notes to financial statements.
60
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW HAMPSHIRE -- CONTINUED
$ 10,000 New Hampshire Higher Educational & Health
Facilities Authority, FLOATERS, Ser. 866, Rev.,
FRDO, FGIC, 1.00%, 03/07/04 $ 10,000
5,475 New Hampshire Higher Educational & Health
Facilities Authority, Ser. 772, Rev., FRDO, FGIC,
1.00%, 03/02/04 5,475
6,300 New Hampshire Higher Educational & Health
Facilities Authority, VHA New England, Inc.,
Ser. C, Rev., FRDO, AMBAC, 0.96%, 03/01/04 6,300
2,560 New Hampshire Municipal Bond Bank,
Educational Institutions, Pinkerton Academy
Project, Ser. B, Rev., FRDO, 0.97%, 03/03/04 2,560
4,025 New Hampshire State Housing Finance Authority,
Single Family Housing, FLOATS, Ser. PT-624,
Rev., FRDO, 1.04%, 03/01/04 4,025
---------------
57,592
NEW JERSEY -- 1.0%
5,830 Burlington County Bridge Commissioner,
Community Pooled Loan, FLOATS, Ser. PT-1546,
Rev., FRDO, 0.97%, 03/02/04 5,830
7,625 Hudson County Improvement Authority,
Essential Purpose Pooled Loan, Rev., FRDO,
0.90%, 03/05/04 7,625
18,170 Jersey City, New Jersey, Promissory Notes,
Ser. A, GO, 1.75%, 02/25/05 18,285
7,900 Mercer County Improvement Authority,
Atlantic Foundation & Johnson, Rev., FRDO,
MBIA, 0.89%, 03/01/04 7,900
12,925 Municipal Securities Trust Certificates,
Ser. 2001-174, Class A, GO, FRDO, 0.97%, 03/01/04 12,925
6,000 New Jersey Economic Development Authority,
Diocese of Metuchen, Rev., FRDO,
0.92%, 03/02/04 6,000
4,985 New Jersey Economic Development Authority,
FLOATS, Ser. PA-828, Rev., FRDO, AMBAC,
0.94%, 03/06/04 4,985
4,995 New Jersey Economic Development Authority,
Ser. A, GO, FRDO, AMBAC, 0.97%, 03/06/04 4,995
1,440 New Jersey Sports & Exposition Authority,
State Contract, Ser. C, Rev., FRDO, MBIA,
0.90%, 03/01/04 1,440
5,300 New Jersey State Educational Facilities
Authority, FLOATS, Ser. PT-1599, 0.94%, 03/06/04 5,300
10,000 New Jersey State Housing & Mortgage Finance
Agency, Ser. EE, Rev., MBIA, 1.10%, 04/01/04 10,000
9,000 New Jersey State Housing & Mortgage
Finance Agency, Single Family Housing, Ser. B,
Rev., 1.10%, 10/01/04 9,000
</Table>
See notes to financial statements.
61
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 12,000 New Jersey State, Ser. 2004-A, Rev., TRAN,
2.00%, 06/25/04 $ 12,039
5,895 New Jersey State, Ser. B, Rev., TRAN,
2.00%, 06/25/04 5,914
10,355 New Jersey Transportation Trust Fund
Authority, FLOATS, Ser. PT-1926, Rev., FRDO,
MBIA, 0.97%, 03/01/04 10,355
---------------
122,593
NEW MEXICO -- 0.2%
4,000 Albuquerque, New Mexico, Airport, Sub Lien,
Rev., FRDO, AMBAC, 0.91%, 03/03/04 4,000
3,200 Chaves County, IDR, Friona Industries LP,
Ser. A, Rev., FRDO, 1.10%, 03/05/04 3,200
900 Farmington, New Mexico, PCR, Arizona Public
Services Co., Ser. B, Rev., FRDO, 0.98%, 03/01/04 900
5,250 New Mexico Mortgage Finance Authority,
FLOATS, Ser. PT-1308, Rev., FRDO,
1.04%, 03/04/04 5,250
6,345 New Mexico Mortgage Finance Authority,
FLOATS, Ser. PT-1378, Rev., FRDO,
1.04%, 03/07/04 6,345
3,450 New Mexico Mortgage Finance Authority,
FLOATS, Ser. PT-196, FRDO, 1.04%, 03/05/04 3,450
5,180 New Mexico Mortgage Finance Authority,
FLOATS, Ser. PT-643, Rev., FRDO, 1.04%, 03/07/04 5,180
---------------
28,325
NEW YORK -- 9.5%
24,795 ABN AMRO Munitops Certificate Trust,
Ser. 2002-19, Rev., FRDO, MBIA-IBC,
1.08%, 09/05/04 24,795
2,300 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-522, Rev., FRDO, FSA,
0.97%, 03/02/04 2,300
9,700 Long Island Power Authority, Electric Systems,
Ser. D, Rev., FRDO, FSA, 0.91%, 03/01/04 9,700
10,000 Metropolitan Transportation Authority,
1.00%, 05/10/04 10,000
23,950 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA,
0.93%, 03/02/04 23,950
15,475 Metropolitan Transportation Authority, Ser. D-1,
Rev., FRDO, FSA, 0.91%, 03/01/04 15,475
10,000 Metropolitan Transportation Authority, Ser. D-2,
Rev., FRDO, FSA, 0.91%, 03/04/04 10,000
1,520 Monroe County Airport Authority, FLOATS,
Ser. PA-585, Rev., FRDO, MBIA, 0.99%, 03/06/04 1,520
7,555 Municipal Securities Trust Certificates,
Ser. 2001-116, Class A, Rev., FRDO,
0.95%, 03/05/04 7,555
</Table>
See notes to financial statements.
62
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 11,300 Nassau County Interim Finance Authority, FLOATS,
Ser. PA-901, Rev., FRDO, AMBAC, 0.97%, 03/05/04 $ 11,300
27,900 New York City Housing Development Corp.,
Multi-Family Rental Housing, Lyric Development,
Ser. A, Rev., FRDO, 0.94%, 03/04/04 27,900
400 New York City IDA, Civic Facilities,
Municipal Securities Trust Receipts, Ser. SGA-110,
Rev., FRDO, 0.95%, 03/04/04 400
5,500 New York City IDA, Special Facilities,
Korean Airlines Co., Ser. C, Rev., FRDO,
0.93%, 03/03/04 5,500
5,550 New York City Municipal Water Finance Authority,
Water & Sewer System, FLOATS, Ser. PA-446,
Rev., FRDO, FGIC, 0.96%, 03/02/04 5,550
9,415 New York City Municipal Water Finance Authority,
Water & Sewer System, FLOATS, Ser. PA-995,
Rev., FRDO, MBIA, 0.96%, 03/06/04 9,415
700 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Fiscal Year 2003,
Sub Ser. C-3, Rev., FRDO, 0.98%, 03/01/04 700
4,995 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1045,
Rev., FRDO, 0.98%, 03/07/04 4,995
5,885 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1076,
Rev., FRDO, 0.99%, 03/07/04 5,885
9,895 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1085,
Rev., FRDO, FGIC, 0.97%, 03/07/04 9,895
6,385 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Municipal Securities Trust
Receipts, Ser. SGA-12, Rev., FRDO, 0.95%, 03/05/04 6,385
2,000 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Municipal Securities Trust
Receipts, Ser. SGB-27, Rev., FRDO, FSA,
0.97%, 03/03/04 2,000
35,800 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. A, Rev., FRDO,
FGIC, 0.95%, 03/01/04 35,800
16,575 New York City Transitional Finance Authority,
Floating Rate Trust Receipts, Ser. L-11, Rev.,
FRDO, 0.99%, 03/03/04 16,575
8,995 New York City Transitional Finance Authority,
FLOATS, Ser. PA-1043-R, Rev., FRDO,
0.98%, 03/05/04 8,995
13,160 New York City Transitional Finance Authority,
FLOATS, Ser. PT-406, Rev., FRDO,
0.98%, 03/05/04 13,160
</Table>
See notes to financial statements.
63
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 17,300 New York City Transitional Finance Authority,
Future Tax Secured, Ser. B, Rev., FRDO,
0.95%, 03/01/04 $ 17,300
70,950 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO,
0.91%, 03/04/04 70,950
12,500 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO,
0.91%, 03/04/04 12,500
400 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO,
0.97%, 03/01/04 400
25,400 New York City Transitional Finance Authority,
Sub Ser. 2-A, Rev., FRDO, 0.95%, 03/01/04 25,400
16,285 New York City Transitional Finance Authority,
Sub Ser. 2-E, Rev., FRDO, 0.91%, 03/05/04 16,285
10,210 New York City Trust for Cultural Resources,
Floating Certificates, Ser. 162, Rev., FRDO,
AMBAC, 1.05%, 03/03/04 10,210
4,300 New York City, New York, Housing
DevelopmentCorp., Multi-Family Housing,
Monterey, Ser. A, Rev., FRDO, 0.93%, 03/01/04 4,300
9,000 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGA-51, FRDO, AMBAC,
0.95%, 03/02/04 9,000
5,410 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGB-33, GO, FRDO, FSA,
0.97%, 03/01/04 5,410
600 New York City, New York, Ser B-2, Sub Ser. B-5,
GO, FRDO, MBIA, 0.96%, 03/01/04 600
1,300 New York City, New York, Ser. H, Sub Ser. -H2,
GO, FRDO, MBIA, 0.96%, 03/01/04 1,300
2,100 New York City, New York, Ser. H, Sub Ser. -H2,
GO, FRDO, MBIA, 0.96%, 03/01/04 2,100
900 New York City, New York, Ser. H, Sub Ser. -H3,
GO, FRDO, FSA, 0.98%, 03/01/04 900
1,400 New York City, New York, Ser. H, Sub Ser. -H3,
GO, FRDO, FSA, 0.98%, 03/01/04 1,400
3,500 New York City, New York, Ser. H, Sub Ser. -H3,
GO, FRDO, FSA, 0.98%, 03/01/04 3,500
20,000 New York City, New York, Sub Ser. A-3, GO,
FRDO, 0.91%, 03/05/04 20,000
14,750 New York City, New York, Sub Ser. A-4, GO,
FRDO, 0.95%, 03/01/04 14,750
6,900 New York City, New York, Sub Ser. A-4, GO,
FRDO, 0.95%, 03/01/04 6,900
300 New York City, New York, Sub Ser. A-5, GO,
FRDO, 0.97%, 03/01/04 300
22,800 New York City, New York, Sub Ser. A-6, GO,
FRDO, 0.89%, 03/05/04 22,800
</Table>
See notes to financial statements.
64
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 15,300 New York City, New York, Sub Ser. A-6, GO,
FRDO, FSA, 0.95%, 03/01/04 $ 15,300
6,800 New York City, New York, Sub Ser. C-4, GO,
FRDO, 0.94%, 03/01/04 6,800
12,000 New York City, New York, Sub Ser. C-5, GO,
FRDO, 0.92%, 03/03/04 12,000
3,050 New York City, New York, Sub Ser. G-2, GO,
FRDO, 0.93%, 03/01/04 3,050
10,300 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-100, Rev., FRDO,
MBIA-IBC, 0.96%, 03/04/04 10,300
42,900 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-99, Rev., FRDO,
AMBAC, 0.96%, 03/03/04 42,900
9,100 New York Local Government Assistance Corp.,
Municipal Securities Trust Receipts, Ser. SGA-59,
Rev., FRDO, 0.97%, 03/01/04 9,100
30,000 New York Local Government Assistance Corp.,
Senior Lien, Ser. A-BV, Rev., FRDO,
FGIC, 0.88%, 03/01/04 30,000
2,100 New York Local Government Assistance Corp.,
Ser. B, Rev., FRDO, 0.90%, 03/02/04 2,100
5,000 New York State Dorm Authority, FLOATS, Ser.
PA-409, Rev., FRDO, AMBAC, 0.96%, 03/01/04 5,000
11,100 New York State Dorm Authority, FLOATS, Ser.
PA-419, Rev., FRDO, 0.96%, 03/01/04 11,100
9,960 New York State Dorm Authority, FLOATS, Ser.
PT-1447, Rev., FRDO, MBIA, 0.96%, 03/02/04 9,960
6,975 New York State Dorm Authority, FLOATS, Ser.
PT-1621, Rev., FRDO, MBIA, 0.96%, 03/02/04 6,975
8,960 New York State Dorm Authority, FLOATS, Ser.
PT-1742, Rev., FRDO, MBIA, 0.96%, 03/02/04 8,960
8,140 New York State Dorm Authority, FLOATS, Ser.
PT-407, Rev., FRDO, AMBAC, 1.10%, 03/03/04 8,140
4,985 New York State Dorm Authority, New York Public
Library, Ser. A, Rev., FRDO, MBIA, 0.93%, 03/02/04 4,985
15,470 New York State Dormitory Authority, FLOATS, Ser.
PA-1088, Rev., FRDO, AMBAC, 0.96%, 03/06/04 15,470
7,120 New York State Dormitory Authority, FLOATS, Ser.
PA-1089, Rev., FRDO, AMBAC, 0.96%, 03/06/04 7,120
5,600 New York State Dormitory Authority, FLOATS, Ser.
PA-199, Rev., FRDO, MBIA-IBC, 0.96%, 03/04/04 5,600
6,445 New York State Dormitory Authority, FLOATS. Ser.
PA-773-R, Rev., FRDO, MBIA-IBC, 0.96%, 03/03/04 6,445
10,450 New York State Energy Research & Development
Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO,
AMBAC, 0.96%, 03/06/04 10,450
11,865 New York State Environmental Facilities Corp.,
Clean Water & Drinking, FLOATS, PA-1165, Rev.,
FRDO, 0.96%, 03/04/04 11,865
</Table>
See notes to financial statements.
65
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 26,002 New York State Environmental Facilities Corp.,
Clean Water & Drinking, FLOATS, Ser. 731, Rev.,
FRDO, 0.97%, 03/07/04 $ 26,002
4,695 New York State Environmental Facilities Corp.,
PCR, FLOATS, Ser. PA-174, Rev., FRDO, MBIA,
0.96%, 03/01/04 4,695
11,180 New York State Environmental Facilities Corp.,
PCR, FLOATS, Ser. PA-198, Rev., FRDO, MBIA,
0.96%, 03/01/04 11,180
6,600 New York State Housing Finance Agency, 10
Liberty Street, Rev., FRDO, 0.93%, 03/02/04 6,600
17,200 New York State Housing Finance Agency,
Multi-Family Housing, Ser. A, Rev.,
FRDO, 0.98%, 03/03/04 17,200
7,100 New York State Housing Finance Agency, Saville
Housing, Ser. A, Rev., FRDO, 0.95%, 03/01/04 7,100
8,100 New York State Housing Finance Agency, Ser. A,
Rev., FRDO, 0.94%, 03/03/04 8,100
1,300 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-113, Rev.,
FRDO, 0.96%, 03/04/04 1,300
9,000 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-72, Rev., 0.99%, 03/01/04 9,000
2,800 New York State Thruway Authority, Floating Rate
Trust Receipts, Ser. SG-119, Rev.,
FRDO, 1.02%, 03/01/04 2,800
6,570 New York State Thruway Authority, General
Highway & Bridge Trust Fund, FLOATS,
Ser. PT-1800, Rev., FRDO, MBIA, 0.96%, 03/03/04 6,570
7,295 New York State Thruway Authority, Highway &
Bridge Trust Fund, FLOATS, Ser. PT-1425, Rev.,
FRDO, FGIC, 0.96%, 03/02/04 7,295
10,990 New York State Thruway Authority, Highway &
Bridge Trust Fund, FLOATS, Ser. PT-1578, Rev.,
FRDO, MBIA, 0.96%, 03/02/04 10,990
6,200 New York State Urban Development Corp., Floating
Rate Trust Receipts, Ser. SG-163,
Rev., 0.96%, 03/01/04 6,200
5,245 New York State Urban Development Corp.,
FLOATS, Ser. PA-1108, Rev., FRDO, 0.96%, 03/06/04 5,245
7,270 New York State Urban Development Corp.,
FLOATS, Ser. PT-1644, Rev., FRDO, 0.96%, 03/06/04 7,270
5,700 New York State, Environmental Quality, Ser. G,
GO, FRDO, 1.03%, 12/21/04 5,700
4,200 New York State, Housing Finance Agency, Saxony
Housing, 240 E. 39th St. Housing, Rev.,
FRDO, 0.94%, 03/04/04 4,200
10,000 New York State, Ser. A, GO,
FRDO, 1.05%, 02/07/05 10,000
30,000 New York Water, 0.98%, 06/10/04 30,000
</Table>
See notes to financial statements.
66
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 15,430 Orange County IDA, Civic Facilities, Arden Hill
Hospital Project, Rev., FRDO,
FSA, 0.91%, 03/01/04 $ 15,430
13,090 Port Authority of New York & New Jersey, Rev.,
FRDO, 1.02%, 03/04/04 13,090
35,000 Rochester Community School
District, 0.95%, 03/08/04 35,000
10,250 Rochester Community School
District, 0.95%,05/12/04 10,250
15,000 Rochester Community School
District, 0.95%, 05/12/04 15,000
9,000 Rochester Community School
District, 0.95%, 05/12/04 9,000
12,080 Triborough Bridge & Tunnel Authority, FLOATS, Ser.
PA-1090, Rev., FRDO, MBIA-IBC, 0.96%, 03/03/04 12,080
595 Triborough Bridge & Tunnel Authority, FLOATS, Ser.
PT-2017, Rev., FRDO, MBIA, 0.96%, 03/06/04 595
40,400 Triborough Bridge & Tunnel Authority, General
Purpose, Ser. C, Rev., FRDO,
AMBAC, 0.91%, 03/02/04 40,400
10,000 Triborough Bridge & Tunnel Authority, Ser. 839,
Rev., FRDO, MBIA, 0.97%, 03/06/04 10,000
15,000 Triborough Bridge & Tunnel Authority, Ser. C, Rev.,
FRDO, AMBAC, 0.93%, 03/02/04 15,000
4,010 Triborough Bridge & Tunnel Authority, Special
Obligation, Ser. B, Rev., FRDO, FSA, 0.91%, 03/01/04 4,010
6,705 Triborough Bridge & Tunnel Authority, Special
Obligation, Ser. D, Rev., FRDO, FSA, 0.91%, 03/07/04 6,705
5,000 Ulster County, BAN, 1.75%, 06/11/04 5,010
2,800 Westchester County IDA, IDR, Levister
Redevelopment Co., LLC, Ser. A, Rev.,
FRDO, 0.95%, 03/02/04 2,800
---------------
1,141,492
NORTH CAROLINA -- 2.8%
15,350 Charlotte, North Carolina, Airport, Ser. D, Rev.,
FRDO, MBIA, 0.91%, 03/03/04 15,350
11,400 Charlotte, North Carolina, Government Facilities,
COP, Ser. F, FRDO, 1.03%, 06/01/04 11,400
1,700 Durham, North Carolina, Water & Sewer Utility
Systems, Rev., FRDO, 0.99%, 03/03/04 1,700
8,900 Fayetteville Public Works Commission, Rev.,
FRDO, FSA, 0.94%, 03/06/04 8,900
2,500 Greensboro, North Carolina, Enterprise Systems,
Ser. B, Rev., FRDO, 0.90%, 03/03/04 2,500
20,190 Greensboro, North Carolina, Enterprise Systems,
Ser. B, Rev., FRDO, 0.90%, 03/03/04 20,190
500 Guilford County Industrial Facilities & PCFA,
Industrial Development, Neal Manufacturing, Inc.,
Rev., FRDO, 1.05%, 03/01/04 500
</Table>
See notes to financial statements.
67
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NORTH CAROLINA -- CONTINUED
$ 4,900 Iredell County Public Facilities Corp.,
Iredell County Schools Project, Rev.,
FRDO, AMBAC, 0.95%, 03/01/04 $ 4,900
13,370 Mecklenburg County, Public Improvement,
GO, (p), 5.40%, 04/01/04 13,686
5,000 Mecklenburg County, Ser. C, GO,
FRDO, 0.95%, 03/07/04 5,000
22,445 Municipal Securities Trust Certificates,
Ser. 2001-125, Class A, GO, FRDO, #, 0.97%, 03/01/04 22,445
9,705 North Carolina Capital Facilities Finance Agency,
Goodwill Community Foundation Project, Rev.,
FRDO, 0.95%, 03/03/04 9,705
8,935 North Carolina Educational Facilities Finance
Agency, Elon College, Rev., FRDO, 0.95%, 03/03/04 8,935
4,975 North Carolina Housing Finance Agency,
FLOATERS, Ser. 2003-L44J, Regulation D, Rev.,
FRDO, 1.06%, 03/04/04 4,975
6,475 North Carolina Housing Finance Agency, FLOATS,
Ser. PT-465, 1.04%, 03/01/04 6,475
14,000 North Carolina Housing Finance Agency, Home
Ownership, Ser. 16-C, Rev., FRDO, 1.00%, 03/04/04 14,000
59,530 North Carolina Medical Care Commission, Baptist
Hospitals Project, Rev., FRDO, 0.97%, 03/03/04 59,530
15,000 North Carolina Medical Care Commission, Health
Care Facilties, Union Regional Medical Center
Project, Ser. B, Rev., FRDO, 0.95%, 03/04/04 15,000
2,900 North Carolina Medical Care Commission, Hospital,
Lincoln Health Systems Project, Ser. A, Rev.,
FRDO, 0.95%, 03/01/04 2,900
11,160 North Carolina State University at Raleigh, Ser. B,
Rev., FRDO, 0.89%, 03/02/04 11,160
48,500 North Carolina State, Public Improvement, Ser. D,
GO, FRDO, 0.90%, 03/01/04 48,500
5,900 North Carolina State, Ser. D, GO,
FRDO, 0.90%, 03/03/04 5,900
8,340 Raleigh Durham Airport Authority, Rev., FRDO,
FGIC, 0.95%, 03/01/04 8,340
15,000 Raleigh, North Carolina, COP, Downtown
Improvement Project, Ser. A, FRDO, 0.95%, 03/01/04 15,000
19,935 Union County, Enterprise Systems, Ser. B, Rev.,
FRDO, FSA, 0.91%, 03/01/04 19,935
5,000 Winston-Salem, North Carolina, Water & Sewer
Systems, Ser. B, Rev., FRDO, 0.96%, 03/04/04 5,000
---------------
341,926
NORTH DAKOTA -- 0.2%
3,900 Grand Forks, North Dakota, Health Care Facilities,
United Hospital Obligation Group, Ser. A, Rev.,
FRDO, 0.99%, 03/01/04 3,900
</Table>
See notes to financial statements.
68
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NORTH DAKOTA -- CONTINUED
$ 9,205 North Dakota State Housing Finance Agency, Home
Mortgage, Ser. B, Rev., FRDO, 0.98%, 03/04/04 $ 9,205
6,420 North Dakota State Housing Finance Agency,
Ser. II-R-140, Rev., FRDO, 1.06%, 03/04/04 6,420
---------------
19,525
OHIO -- 1.6%
6,390 Cincinnati City School District, Ser. RR-II-R-4049,
GO, FRDO, FSA, 1.00%, 06/01/04 6,390
30,000 Cleveland, Ohio, Airport Systems, Ser. C, Rev.,
FRDO, FSA, 0.92%, 03/07/04 30,000
3,155 Columbus, Ohio, Ser. 1, GO,
FRDO, 0.85%, 03/04/04 3,155
37,500 Cuyahoga County, 0.98%, 05/11/04 37,500
8,000 Franklin County, Franklin County Hospital,
Ser. II-R-55, Rev., FRDO, 1.00%, 03/05/04 8,000
7,400 Franklin County, Hospital, OhioHealth Corp.,
Ser. D, Rev., FRDO, 0.94%, 03/01/04 7,400
3,920 Greene County, Fairview Extended, Ser. B, Rev.,
FRDO, 0.92%, 03/04/04 3,920
9,000 Hamilton County, Healthcare Facilties,
Twin Towers & Twin Lakes, Ser. A, Rev.,
FRDO, 0.96%, 03/03/04 9,000
14,000 Hamilton County, Healthcare Facilties,
Twin Towers & Twin Lakes, Ser. B, Rev.,
FRDO, 0.96%, 03/03/04 14,000
9,096 Hamilton County, Hospital Facilities, Health Alliance,
Ser. A, Rev., FRDO, MBIA, 0.91%, 03/03/04 9,096
4,100 Hamilton County, Hospital Facilities, Health Alliance,
Ser. E, Rev., FRDO, MBIA, 0.91%, 03/03/04 4,100
11,100 Ohio State Air Quality Development Authority,
JMG Funding LTD Partnership, Ser. B, Rev.,
FRDO, 1.04%, 03/02/04 11,100
14,000 Ohio State Air Quality Development Authority,
JMG Funding LTD Partnership, Ser. B, Rev.,
FRDO, 1.04%, 03/02/04 14,000
6,300 Ohio State Air Quality Development Authority,
PCR, Ohio Edison Co., Ser. C, Rev.,
FRDO, 0.98%, 03/01/04 6,300
500 Ohio State Air Quality Development Authority,
PCR, Ohio Edison Project, Ser. C, Rev.,
FRDO, 0.98%, 03/01/04 500
8,975 Ohio State Building Authority, Floating Rate Trust
Receipts, Ser. L-41, Regulation D, Rev.,
FRDO, 1.06%, 03/02/04 8,975
4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev.,
FRDO, FGIC, 1.00%, 03/03/04 4,995
2,800 Ohio State Water Development Authority, PCR,
Ohio Edison Co. Project, Ser. B, Rev.,
FRDO, 1.03%, 03/01/04 2,800
</Table>
See notes to financial statements.
69
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
OHIO -- CONTINUED
$ 200 Ohio State, Higher Education Facilities,
Case Western Reserve, Ser. A, Rev.,
FRDO, 0.98%, 03/01/04 $ 200
7,755 Ohio State, Ser. RR II-R-208, GO, FRDO,
FSA, 1.00%, 03/01/04 7,755
---------------
189,186
OKLAHOMA -- 0.3%
4,335 Oklahoma Housing Finance Agency, Single Family
Mortgage, FLOATS, Ser. PT-493, Rev.,
FRDO, 1.04%, 03/04/04 4,335
10,000 Payne County Economic Development Authority,
Student Housing, OSUF Phase III Project, Rev.,
FRDO, AMBAC, 0.97%, 03/04/04 10,000
10,490 Tulsa County Home Finance Authority, Multi-Family
Housing, Waterford Apartments Project, Rev.,
FRDO, 0.95%, 03/02/04 10,490
4,475 Tulsa County Home Finance Authority, Single
Family Mortgage, FLOATS, Ser. PT-644, Rev.,
FRDO, 1.04%, 03/04/04 4,475
6,500 Tulsa Industrial Authority, Justin Industries Project,
Rev., FRDO, 0.95%, 03/04/04 6,500
---------------
35,800
OREGON -- 0.3%
5,190 Oregon State Department of Administrative
Services, State Lottery, FLOATS, Ser. PT-1394,
Rev., FRDO, FSA, 0.99%, 03/02/04 5,190
8,070 Oregon State Housing & Community Services
Department, Department of Housing and
Development, Covenant Retirement, Ser. A, Rev.,
FRDO, 1.04%, 03/02/04 8,070
12,320 Oregon State Housing & Community Services
Department, Single Family Mortgage Program,
Ser. D, Rev., 1.18%, 04/15/04 12,320
5,000 Oregon State Housing & Community Services
Department, Single-Family Mortgage Program,
Ser. L, Rev., FRDO, 0.99%, 07/01/04 5,000
2,055 Oregon State, Floating Rate Trust Receipts,
Ser. A-18, Regulation D, 1.06%, 03/07/04 2,055
---------------
32,635
PENNSYLVANIA -- 3.5%
6,745 Allegheny County Hospital Development
Authority, FLOATS, Ser. PA-748, Rev.,
FRDO, MBIA, 1.00%, 03/03/04 6,745
8,705 Berks County IDA, Health Care-Lutheran Services,
Ser. A, Rev., FRDO, AMBAC, 0.96%, 03/05/04 8,705
15,000 Bucks County IDA, Law School Admission Council,
Rev., FRDO, 0.93%, 03/01/04 15,000
</Table>
See notes to financial statements.
70
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PENNSYLVANIA -- CONTINUED
$ 4,645 Chester County Health & Educational Facilties
Authority, Barclay Friends Project, Ser. B, Rev.,
FRDO, 0.95%, 03/03/04 $ 4,645
8,750 Chester County IDA, Archdiocese Philadelphia,
Rev., FRDO, 1.00%, 03/01/04 8,750
8,300 Clarion County IDA, Energy Development, Piney
Creek Project, Rev., FRDO, 0.96%, 03/01/04 8,300
7,385 Delaware Valley Regioinal Financial Authority, Local
Government, FLOATS, Ser. PT-1878, Rev., FRDO,
AMBAC, 0.96%, 03/02/04 7,385
12,495 Delaware Valley Regional Financial Authority, Local
Government, FLOATS, Ser. PA-1028, Rev.,
FRDO, 0.99%, 03/04/04 12,495
26,995 Delaware Valley Regional Financial Authority, Local
Government, FLOATS, Ser. PA-1041, Rev.,
FRDO, 0.99%, 03/03/04 26,995
13,815 Delaware Valley Regional Financial Authority, Local
Government, FLOATS, Ser. PT-749, Rev.,
FRDO, 0.99%, 03/02/04 13,815
5,000 Delaware Valley Regional Financial Authority, Local
Government, Ser. A, Rev., FRDO, 0.95%, 03/03/04 5,000
2,700 Delaware Valley Regional Financial Authority, Local
Government, Ser. A, Rev., FRDO, 0.95%, 03/03/04 2,700
6,400 Delaware Valley Regional Financial Authority, Local
Government, Ser. A, Rev., FRDO, 0.95%, 03/04/04 6,400
700 Delaware Valley Regional Financial Authority, Local
Government, Ser. B, Rev., FRDO, 0.95%, 03/06/04 700
14,400 Delaware Valley Regional Financial Authority, Local
Government, Ser. D, Rev., FRDO, 0.95%, 03/06/04 14,400
5,900 Eagle Tax Exempt Trust, Weekly Option Mode,
Class A, FRDO, #, 1.00%, 03/03/04 5,900
11,600 Emmaus General Authority, Pennsylvania Loan
Project, Ser. A, Rev., FRDO, FSA, 0.96%, 03/04/04 11,600
35,000 Emmaus General Authority, Rev., FRDO,
FSA, (p), 0.96%, 03/06/04 35,000
5,000 Harrisburg Authority, Water, Ser. A, Rev., FRDO,
FGIC, 1.00%, 03/04/04 5,000
3,020 Mercer County IDA, Economic Development, Solar
Atmospheres Western Pennsylvania, Rev.,
FRDO, 0.94%, 03/01/04 3,020
10,000 Montgomery County Redevelopment Authority,
Multi-Family Housing, Kingswood Apartments
Project, Ser. A, Rev., FRDO, 0.90%, 03/01/04 10,000
13,330 North Penn Water Authority, Municipal Securities
Trust Receipts, Ser. SGA-30, Rev., FRDO,
FGIC, 0.98%, 03/06/04 13,330
7,600 Pennsylvania Convention Center Authority,
FLOATS, Ser. PT-1224, Rev., FRDO,
FGIC, 0.96%, 03/03/04 7,600
</Table>
See notes to financial statements.
71
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PENNSYLVANIA -- CONTINUED
$ 4,410 Pennsylvania Energy Development Authority, B&W
Ebensburg Project, Rev., FRDO, 0.96%, 03/04/04 $ 4,410
5,600 Pennsylvania Higher Education Assistance Agency,
Student Loan, Ser. A, Rev., FRDO,
AMBAC, 1.00%, 03/06/04 5,600
10,000 Pennsylvania Higher Education Assistance Agency,
Student Loan, Ser. C, Rev., FRDO,
AMBAC, 1.00%, 03/06/04 10,000
9,630 Pennsylvania Intergovernmental Cooperative
Authority, Floating Rate Receipts, Ser. SG-67, Rev.,
FRDO, FGIC, 0.96%, 03/07/04 9,630
35,100 Pennsylvania State Higher Education Assistance
Agency, Student Loan, Ser. A, Rev., FRDO,
AMBAC, 1.00%, 03/03/04 35,100
12,300 Pennsylvania Turnpike Commission, Ser. A-3, Rev.,
FRDO, 0.95%, 03/04/04 12,300
8,100 Pennsylvania Turnpike Commission, Ser. B, Rev.,
FRDO, 0.95%, 03/02/04 8,100
340 Philadelphia, Pennsylvania, Gas Works, FLOATS,
Ser. PA-1144, Rev., FRDO, FSA, 0.96%, 03/05/04 340
20,000 Philadelphia, Pennsylvania, GO,
TRAN, 2.00%, 06/30/04 20,065
2,995 Philadelphia, Pennsylvania, Water & Wastewater
Systems, Floating Rate Receipts, Ser. SG-158, Rev.,
FRDO, FGIC, 0.96%, 03/04/04 2,995
6,170 Philadelphia, Pennsylvania, Water & Wastewater
Systems, Floating Rate Trust Receipts, Ser. L-16,
Regulation D, Rev., FRDO, FGIC, 1.01%, 03/07/04 6,170
10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts,
Ser. SG-71, 0.96%, 03/07/04 10,905
19,800 Sayre Health Care Facilities Authority, VHR
Pennsylvania Capital Financing Project, Ser. K,
Rev., FRDO, AMBAC, 0.95%, 03/07/04 19,800
10,000 Sayre Health Care Facilities Authority, VHR
Pennsylvania Capital Financing Project, Ser. M,
Rev., FRDO, AMBAC, 0.96%, 03/02/04 10,000
10,000 Southcentral General Authority, Rev., FRDO,
AMBAC, 1.00%, 03/01/04 10,000
11,500 Temple University of the Commonwealth System,
Higher Education, Rev., 1.20%, 05/04/04 11,500
7,500 University of Pittsburgh, Commonwealth System of
Higher Education, University Capital Project,
Ser B., Rev., FRDO, 0.93%, 03/02/04 7,500
7,500 University of Pittsburgh, Commonwealth System of
Higher Education, University Capital Project,
Ser B., Rev., FRDO, 0.93%, 03/02/04 7,500
---------------
425,400
</Table>
See notes to financial statements.
72
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PUERTO RICO -- 0.8%
$ 20,000 Puerto Rico Commonwealth, 0.99%, 06/21/04 $ 20,000
11,808 Puerto Rico Commonwealth, 1.03%, 03/23/04 11,808
14,000 Puerto Rico Commonwealth, 1.05%, 04/12/04 14,000
7,995 Puerto Rico Commonwealth, FLOATER, Ser. 838,
GO, FRDO, MBIA, 1.05%, 03/04/04 7,995
3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625,
GO, FRDO, AMBAC, 0.93%, 03/04/04 3,315
800 Puerto Rico Commonwealth, FLOATS,
Ser. PT-1226, 0.93%, 03/06/04 800
5,000 Puerto Rico Commonwealth, Rev.,
TRAN, 2.00%, 07/30/04 5,020
1,700 Puerto Rico Commonwealth, Ser. 2001-2, GO,
FRDO, FSA, 0.94%, 03/02/04 1,700
650 Puerto Rico Commonwealth, Trust Receipts, Ser. 3,
Class F, GO, FRDO, MBIA, 0.94%, 03/04/04 650
4,900 Puerto Rico Government Development Bank, Rev.,
FRDO, MBIA, 0.89%, 03/03/04 4,900
4,229 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 815-D, Rev., FRDO,
MBIA, 0.97%, 03/02/04 4,229
105 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 816, Rev., FRDO,
MBIA, 0.97%, 03/02/04 105
600 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. PA-472, Rev., FRDO,
FSA, 0.93%, 03/04/04 600
14,000 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. PT-776, Rev., FRDO,
FGIC, 1.13%, 03/02/04 14,000
1,330 Puerto Rico Highway & Transportation Authority,
Trust Receipts, Ser. B, Class F, Rev., FRDO,
MBIA, 0.94%, 03/04/04 1,330
9,501 Puerto Rico, Government Development Bond,
1.05%, 03/04/04 9,501
---------------
99,953
RHODE ISLAND -- 1.4%
25,000 East Providence, Rhode Island, GO,
TAN, 2.00%, 07/15/04 25,074
5,885 Rhode Island Clean Water Finance Agency, PCR,
FLOATS, Ser. PT-1535, Rev., FRDO, 0.99%, 03/02/04 5,885
8,000 Rhode Island Health & Educational Building Corp.,
Higher Education Facilities, Brown University, Ser. B,
Rev., FRDO, 0.90%, 03/01/04 8,000
34,200 Rhode Island Health & Educational Building Corp.,
Hospital Financing Care New England, Ser. A, Rev.,
FRDO, 1.00%, 03/01/04 34,200
4,700 Rhode Island Health & Educational Building Corp.,
Moses Brown School Issue, Rev., FRDO,
MBIA, 1.00%, 03/01/04 4,700
</Table>
See notes to financial statements.
73
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
RHODE ISLAND -- CONTINUED
$ 15,000 Rhode Island Health & Educational Building Corp.,
St. George's School, Rev., FRDO, 0.95%, 03/01/04 $ 15,000
15,290 Rhode Island Housing & Mortgage Finance Corp.,
Home Ownership Opportunity Notes,
Ser. 38-B, Rev., 5.00%, 09/01/04 15,592
6,200 Rhode Island Industrial Facilities Corp., Marine
Terminal, Exxon-Mobil Project, Rev.,
FRDO, 0.88%, 03/01/04 6,200
20,220 Rhode Island State & Providence Plantations,
Consolidated Capital Development Loan,
Ser. B, GO, FRDO, 0.95%, 03/02/04 20,220
30,000 Rhode Island State & Providence Plantations, GO,
TAN, 2.00%, 06/30/04 30,093
8,450 Rhode Island State, COP, FLOATS, Ser. PT-1589,
FRDO, MBIA, 0.99%, 03/02/04 8,450
---------------
173,414
SOUTH CAROLINA -- 1.0%
11,000 Charleston, South Carolina, Waterworks & Sewer,
Refinancing & Capital Improvement, Ser. A, Rev.,
FRDO, 0.97%, 03/01/04 11,000
3,000 Cherokee County, IDB, Oshkosh Truck Project,
Rev., FRDO, 1.10%, 03/05/04 3,000
7,480 Darlington County, PCR, Floating Rate Receipts,
Ser. L-36, Rev., FRDO, AMBAC, 1.01%, 03/04/04 7,480
2,150 Florence County, Solid Waste Disposal & Wastewater
Treatment, Roche Carolina, Inc., Rev.,
FRDO, 1.03%, 03/01/04 2,150
7,475 North Charleston, South Carolina, Tax Increment,
Noisette Community Redevelopment Project, Rev.,
FRDO, 1.00%, 03/03/04 7,475
1,700 South Carolina Jobs & Economic Development
Authority, Concept Packaging Group Project, Rev.,
FRDO, 1.10%, 03/05/04 1,700
28,900 South Carolina Jobs & Economic Development
Authority, FLOATS, Ser. PT- 499, Rev.,
FRDO, 1.14%, 03/04/04 28,900
3,155 South Carolina Jobs & Economic Development
Authority, South Carolina Catholic Diocese Project,
Rev., FRDO, 1.00%, 03/04/04 3,155
4,600 South Carolina Jobs & Economic Development
Authority, Specialty Minerals Project, Rev.,
FRDO, 1.05%, 03/01/04 4,600
3,450 South Carolina Jobs & Economic Development
Authority, Valley Proteins, Inc. Project, Rev.,
FRDO, 1.06%, 03/06/04 3,450
6,175 South Carolina Jobs-Economic Development
Authority, Thompson Steel Co., Inc. Project, Rev.,
FRDO, 1.00%, 03/01/04 6,175
</Table>
See notes to financial statements.
74
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
SOUTH CAROLINA -- CONTINUED
$ 5,295 South Carolina State Public Service Authority,
FLOATS, Ser. PT-1525, Rev., FRDO,
FSA, 0.99%, 03/03/04 $ 5,295
6,000 South Carolina State, FLOATS, Ser. PT-1225,
FRDO, 0.96%, 03/06/04 6,000
3,030 South Carolina State, FLOATS, Ser. PT-423,
0.99%, 03/02/04 3,030
17,135 South Carolina Transportation Infrastructure Bank,
FLOATERS, Ser. 892, Rev., FRDO,
AMBAC, 0.99%, 04/01/04 17,135
8,085 University of South Carolina, Athletic Facilities,
Ser. B, Rev., BAN, 2.00%, 03/19/04 8,088
---------------
118,633
SOUTH DAKOTA -- 0.2%
4,710 South Dakota Economic Development Finance
Authority, Hastings Filters, Inc. Project, Rev.,
FRDO, 1.05%, 03/01/04 4,710
5,000 South Dakota Housing Development Authority,
Home Ownership Mortgage, Ser. F, Rev.,
FRDO, 0.97%, 03/06/04 5,000
10,000 South Dakota Housing Development Authority,
Home Ownership Mortgage, Ser. I, Rev.,
FRDO, 0.97%, 05/01/04 10,000
---------------
19,710
TENNESSEE -- 2.8%
5,000 ABN-AMRO Munitops Certificate Trust, Ser.
2002-25, GO, FRDO, MBIA, 1.02%, 04/01/04 5,000
2,300 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-1-D, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 2,300
4,000 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-1-E, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 4,000
3,195 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-1-F, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 3,195
8,000 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-2-E, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 8,000
3,740 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-2-F, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 3,740
3,000 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-2-H, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 3,000
4,200 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-2C, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 4,200
</Table>
See notes to financial statements.
75
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TENNESSEE -- CONTINUED
$ 18,600 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-3-A, Rev.,
FRDO, AMBAC, 0.99%, 03/01/04 $ 18,600
31,665 Blount County Public Building Authority, Local
Government Public Improvement, Ser. A-4-A, Rev.,
FRDO, 0.98%, 03/01/04 31,665
30,450 Bristol Health & Educational Facilities Board,
Floating Trust, Ser. 2003-L42J, Regulation D, Rev.,
FRDO, FGIC, 1.01%, 03/01/04 30,450
4,775 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Fund, Rev.,
FRDO, 0.95%, 03/01/04 4,775
33,350 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Fund, Rev.,
FRDO, 0.95%, 03/04/04 33,350
12,700 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Fund, Rev.,
FRDO, 1.00%, 03/01/04 12,700
3,000 Jackson IDB, Solid Waste Disposal, Florida
Steel Corp. Project, Rev., FRDO, 1.05%, 03/03/04 3,000
19,450 Knox County Health Educational & Housing
Facilities Board, Volunteer Student Housing Project,
Rev., FRDO, 0.96%, 03/02/04 19,450
100 Knoxville Utilities Board, Wastewater Systems,
Rev., FRDO, FSA, 0.97%, 03/01/04 100
4,590 Knoxville, Tennessee, Utilities Board, Gas Systems,
Rev., FRDO, 0.97%, 03/01/04 4,590
20,000 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board,
Ascension Health Credit, Ser. B-2, Rev.,
FRDO, 1.20%, 05/01/04 20,000
13,800 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board,
Belmont University Project, Rev.,
FRDO, 0.94%, 03/03/04 13,800
2,500 Metropolitan Government Nashville & Davidson
County IDB, Country Music Hall of Fame, Rev.,
FRDO, 0.95%, 03/02/04 2,500
3,345 Metropolitan Government Nashville & Davidson
County IDB, L&S LLC Project, Rev.,
FRDO, 1.05%, 03/02/04 3,345
2,475 Metropolitan Government Nashville & Davidson
County, Energy, FLOATS, Ser. PT-1526, Rev.,
FRDO, AMBAC, 0.99%, 03/02/04 2,475
6,995 Metropolitan Government Nashville & Davidson
County, FLOATS, Ser. PT-394, GO,
FRDO, 1.00%, 03/02/04 6,995
</Table>
See notes to financial statements.
76
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TENNESSEE -- CONTINUED
$ 7,000 Metropolitan Government Nashville & Davidson
County, Health & Educational Facility Board,
Ascension Health Credit, Ser. B-1, Rev.,
FRDO, 1.00%, 06/30/04 $ 7,000
4,900 Montgomery County Public Building Authority,
Pooled Financing, Montgomery County Loan Pool,
Rev., FRDO, 0.95%, 03/05/04 4,900
1,255 Montgomery County Public Building Authority,
Pooled Financing, Tennesse County Loan Pool, Rev.,
FRDO, 1.00%, 03/01/04 1,255
1,500 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-A-1, Rev.,
FRDO, AMBAC, 0.95%, 03/02/04 1,500
2,500 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-A-2, Rev.,
FRDO, AMBAC, 0.95%, 03/02/04 2,500
6,000 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-C-2, Rev.,
FRDO, AMBAC, 0.95%, 03/03/04 6,000
1,005 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. II-D-3, Rev.,
FRDO, AMBAC, 0.95%, 03/07/04 1,005
3,200 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. III-B-3, Rev.,
FRDO, AMBAC, 0.95%, 03/02/04 3,200
6,800 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. III-C-5, Rev.,
FRDO, AMBAC, 0.95%, 03/02/04 6,800
1,600 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. III-D-3, Rev.,
FRDO, AMBAC, 0.95%, 03/01/04 1,600
2,500 Sevier County Public Building Authority, Local
Government Public Improvement, Ser. III-E-3, Rev.,
FRDO, AMBAC, 0.95%, 03/03/04 2,500
30,000 Shelby County, 0.97%, 03/15/04 30,000
7,000 Shelby County, 0.97%, 03/18/04 7,000
20,000 Shelby County, 0.97%, 03/25/04 20,000
5,155 Shelby County Health, Educational & Housing
Facilities Board, Rhodes College, Rev.,
FRDO, 0.95%, 03/01/04 5,155
500 South Pittsburg IDB, Lodge Manufacturing Co.
Project, Rev., FRDO, 1.05%, 03/03/04 500
---------------
342,145
TEXAS -- 12.7%
31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999-6,
FRDO, #, 1.02%, 03/02/04 31,495
10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-9,
FRDO, #, 1.02%, 03/03/04 10,000
</Table>
See notes to financial statements.
77
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 13,280 ABN AMRO Munitops Certificate Trust, Ser.
2000-10, FRDO, MBIA, 1.02%, 03/03/04 $ 13,280
14,990 ABN AMRO Munitops Certificate Trust, Ser.
2000-11, FRDO, 1.08%, 03/03/04 14,990
16,685 ABN AMRO Munitops Certificate Trust, Ser.
2000-13, Class C, FRDO, 1.02%, 03/03/04 16,685
8,000 ABN AMRO Munitops Certificate Trust, Ser.
2001-26, GO, FRDO, 1.02%, 03/03/04 8,000
5,500 ABN AMRO Munitops Certificate Trust, Ser.
2002-16, GO, FRDO, 1.02%, 03/06/04 5,500
35,800 Aldine Independent School District, School Buildings,
GO, FRDO, 1.00%, 04/17/04 35,800
2,900 Angelina & Neches River Authority, IDB, Solid
Waste, Ser. 1984-D, Rev., FRDO, 0.99%, 03/01/04 2,900
135 Austin Higher Education Authority, Concordia
University at Austin, Rev., FRDO, 1.00%, 03/01/04 135
5,000 Austin, Texas, Electric Utilities System, Ser. 2003-0032,
Class A, Rev., FRDO, MBIA, 1.00%, 03/06/04 5,000
9,230 Austin, Texas, Ser. A-26, Rev., FRDO,
MBIA, 1.30%, 05/15/04 9,230
995 Bexar County Health Facilities Development Corp.,
FLOATS, Ser. PT-444, Rev., FRDO, 0.99%, 03/03/04 995
9,100 Bexar County Housing Finance Authority,
Multi-Family Housing, Altamonte Apartment
Projects, Rev., FRDO, 0.95%, 03/01/04 9,100
11,375 Bexar County Housing Finance Authority,
Multi-Family Housing, Fountainhead Apartments,
Rev., FRDO, 0.95%, 03/05/04 11,375
6,610 Brazos River Authority, FLOATS, Ser. PT-679,
Rev., FRDO, MBIA, 0.99%, 03/02/04 6,610
4,600 Brazos River Authority, PCR, Ser. D-1, Rev.,
FRDO, 1.06%, 03/01/04 4,600
4,200 Brazos River Habor Navigation District, Brazoria
County Environmental, Merey Sweeny LP Project,
Ser. A, Rev., FRDO, 1.03%, 03/01/04 4,200
20,200 Brownsville, Texas, Utilities Systems, Sub Lien,
Ser. B, Rev., FRDO, MBIA, 0.95%, 03/01/04 20,200
8,719 Collin County Housing Finance Corp., Multi-Family
Housing, Preston Bend Apartments Project, Rev.,
FRDO, 0.95%, 03/04/04 8,719
5,000 Dallas-Fort Worth International Airport Facilities
Improvement Corp., Flight Safety Project, Rev.,
FRDO, 1.04%, 03/05/04 5,000
4,995 Dallas-Fort Worth International Airport Facilities
Improvement Corp., FLOATS, Ser. PT-805, Rev.,
FRDO, FSA, 1.05%, 03/06/04 4,995
200 Dallas-Fort Worth Regional Airport, Municipal
Securities Trust Receipts, Ser. SGA-49, FRDO,
MBIA, 1.02%, 03/01/04 200
</Table>
See notes to financial statements.
78
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 5,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Class A, #, 1.00%, 03/03/04 $ 5,000
10,475 Eagle Tax Exempt Trust, Weekly Option Mode,
Round Rock, Texas, COP, Ser. 2001-4304,
Class A, 1.00%, 03/05/04 10,475
2,420 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 3C-7, Class A, FRDO, #, 1.01%, 03/02/04 2,420
3,910 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 99-4302, FRDO, #, 1.01%, 03/01/04 3,910
10,000 Garland, Texas, 1.00%, 10/12/04 10,000
5,000 Greater East Texas Higher Education Authority,
Ser. B, Rev., FRDO, 1.00%, 03/02/04 5,000
25,000 Greater Texas Student Loan Corp., Ser. A, Rev.,
FRDO, 1.00%, 03/04/04 25,000
26,500 Greater Texas Student Loan Corp., Ser. A, Rev.,
FRDO, 1.00%, 03/06/04 26,500
4,000 Gulf Coast IDA, Tax Exempt Facilties, BP Global
Power Corp. Project, Rev., FRDO, 1.03%, 03/01/04 4,000
4,500 Gulf Coast Waste Disposal Authority, Amoco
Oil Co. Project, Rev., FRDO, 1.03%, 03/01/04 4,500
3,100 Gulf Coast Waste Disposal Authority,
Environmental Facilities, BP Amoco Chemicals
Project, Ser. B, Rev., FRDO, 1.03%, 03/01/04 3,100
7,050 Gulf Coast Waste Disposal Authority,
Environmental Facilities, Exxon-Mobil Project,
Ser. A, Rev., FRDO, 0.93%, 03/01/04 7,050
4,600 Gulf Coast Waste Disposal Authority, Environmental
Facilities, ExxonMobil Project, Ser. B, Rev.,
FRDO, 0.93%, 03/01/04 4,600
5,200 Gulf Coast Waste Disposal Authority, PCR, Exxon
Project, Rev., FRDO, 0.90%, 03/01/04 5,200
5,700 Gulf Coast Waste Disposal Authority, PCR, Exxon
Project, Rev., FRDO, 0.90%, 03/01/04 5,700
5,000 Harlandale Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-100, GO,
FRDO, 0.98%, 03/05/04 5,000
29,850 Harris County, 0.98%, 05/12/04 29,850
9,525 Harris County Health Facilities Development
Authority, FLOATS, Ser. PT-1665, Rev.,
FRDO, (p), 0.99%, 03/02/04 9,525
7,205 Harris County, Ser. RR-II-R-1029, Rev., FRDO,
FSA, 1.00%, 03/05/04 7,205
6,400 Hays Memorial Health Facilities Development
Corp., Central Texas Medical Center Project,
Ser. A, Rev., FRDO, 0.95%, 03/06/04 6,400
29,245 Houston Higher Education Finance Corp.,
Floating Rate Receipts, Ser. SG-139, Rev.,
FRDO, 0.99%, 03/03/04 29,245
</Table>
See notes to financial statements.
79
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 1,515 Houston Housing Finance Corp., Single Family
Mortgage, FLOATS, Ser. PT-1, Rev., FRDO,
FSA, 0.99%, 03/04/04 $ 1,515
13,300 Houston Housing Finance Corp., Single Family
Mortgage, Ser. B, Rev., 1.18%, 06/01/04 13,300
26,000 Houston Water, 0.98%, 05/17/04 26,000
30,000 Houston Water & Sewer, 1.00%, 06/08/04 30,000
17,500 Houston, Texas, Airport Systems, Floating Rate
Receipts, Ser. SG-149, Rev., FRDO,
FSA, 1.01%, 03/07/04 17,500
18,325 Houston, Texas, Floating Rate Certificates, COP,
Ser. 523, FRDO, MBIA, 0.99%, 03/04/04 18,325
4,335 Houston, Texas, FLOATS, Ser. PT-781, GO, FRDO,
FSA, 0.99%, 03/01/04 4,335
3,000 Houston, Texas, Rev., FRDO, 1.01%, 03/06/04 3,000
9,765 Houston, Texas, Ser. 29, GO, FRDO,
MBIA, 0.99%, 03/01/04 9,765
11,270 Hurst-Euless-Bedford Independent School District,
Floating Rate Receipts, Ser. SG-98, GO,
FRDO, 0.99%, 03/05/04 11,270
6,500 Keller Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-111, GO,
FRDO, 1.00%, 03/01/04 6,500
14,285 Keller Independent School District, Municipal Trust
Certificates, Ser. 30, Class A, FRDO, 1.09%, 03/03/04 14,285
19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590,
Rev., FRDO, FSA, 0.99%, 03/01/04 19,425
9,865 Lower Colorado River Authority, Transmission
Contract, Ser. 51, Rev., FRDO, FSA, 0.99%, 05/15/04 9,865
5,800 Lower Neches Valley Authority Industrial
Development Corp., Exempt Facilities, ExxonMobil
Project, Ser. A, Rev., FRDO, 0.88%, 03/01/04 5,800
3,400 Lower Neches Valley Authority Industrial
Development Corp., Onyx Environmental Services,
Rev., FRDO, 1.05%, 03/01/04 3,400
5,455 Mansfield Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-129, GO,
FRDO, 0.98%, 03/04/04 5,455
5,290 Mission Consolidated Independent School District,
Municipal Securities Trust Receipts, Ser. SGA-105,
GO, FRDO, 0.98%, 03/05/04 5,290
2,100 Montgomery County IDA, IDR, IDB, Medical
Manufacturers Partners Project, Rev.,
FRDO, 1.15%, 03/07/04 2,100
17,050 New Caney Independent School District, Floating
Rate Certificates, Ser. SG-142, GO,
FRDO, 0.99%, 03/04/04 17,050
7,885 North Central Texas Health Facility
Development Corp., FLOATS,
Ser. PT-1411, Rev., FRDO,
AMBAC, 0.99%, 03/04/04 7,885
</Table>
See notes to financial statements.
80
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 20,000 North East Independent School District, Floating
Rate Certificates, Ser. SG-143, GO,
FRDO, 0.99%, 03/04/04 $ 20,000
5,815 North Texas Higher Education Authority, Student
Loan, Rev., FRDO, 1.00%, 03/01/04 5,815
7,600 North Texas Higher Education Authority, Student
Loan, Ser. A, Rev., FRDO, 1.00%, 03/04/04 7,600
1,400 North Texas Higher Education Authority, Student
Loan, Ser. F, Rev., FRDO, AMBAC, 1.00%, 03/01/04 1,400
20,000 North Texas Tollway Authority, Floating Rate
Receipts, Ser. SG-168, Rev., FRDO,
AMBAC, 0.99%, 03/04/04 20,000
4,000 Pasadena Independent School District, Ser. A, GO,
FRDO, 1.35%, 02/15/05 4,000
11,735 Pharr San Juan Alamo Independent School District,
Municipal Securities Trust Receipts, Ser. SGA-101,
GO, FRDO, 0.98%, 03/05/04 11,735
8,485 Richardson, Texas, Refinancing & Improvement,
GO, FRDO, 1.00%, 06/16/04 8,485
8,170 San Angelo Independent School District, GO,
FRDO, 0.95%, 03/04/04 8,170
10,725 San Antonio, Texas, Electric & Gas, FLOATS,
Ser. PT-1498, Rev., FRDO, 1.00%, 03/06/04 10,725
11,190 San Antonio, Texas, Electric & Gas, FLOATS,
Ser. SG-101, (p), 0.99%, 03/02/04 11,190
9,540 San Antonio, Texas, Electric & Gas, FLOATS,
Ser. SG-105, (p), 0.99%, 03/07/04 9,540
11,000 San Antonio, Texas, Electric & Gas, Junior Lien,
Rev., FRDO, 0.99%, 03/01/04 11,000
10,315 San Antonio, Texas, Electric & Gas, Municipal
Securities Trust Receipts, Ser. SGA-48, Rev.,
FRDO, #, 0.98%, 03/06/04 10,315
3,935 San Antonio, Texas, Water, FLOATS, Ser. SG-159,
Rev., Adj., FSA, 0.99%, 03/05/04 3,935
10,430 San Antonio, Texas, Water, Municipal Securities
Trust Receipts, Ser. SGA-41, Rev., FRDO,
MBIA, 0.98%, 03/01/04 10,430
5,000 San Antonio, Texas, Water, Municipal Securities
Trust Receipts, Ser. SGA-42, Rev., FRDO,
MBIA, 0.98%, 03/01/04 5,000
9,000 Schertz-Seguin Local Government Corp., Texas
Contract, Floating Rate Certificates, Ser. SG-151,
Rev., FRDO, FSA, 1.04%, 03/01/04 9,000
3,680 Tarrant County Housing Finance Corp., Multi-Family
Housing, Remington Project, Rev.,
FRDO, 0.95%, 03/01/04 3,680
1,425 Tarrant Regional Water District, FLOATS, Ser. PT-1691,
Rev., FRDO, FSA, 1.01%, 03/06/04 1,425
</Table>
See notes to financial statements.
81
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 9,250 Texas Department of Housing & Community
Affairs, Multi-Family Housing, Reading, Rev.,
FRDO, 0.99%, 03/01/04 $ 9,250
18,200 Texas State, 1.00%, 06/09/04 18,200
2,500 Texas State Affordable Housing Corp.,
Multi-Family Housing, Ser. 780, Rev.,
FRDO, MBIA, 0.99%, 03/06/04 2,500
1,100 Texas State Department of Housing & Community
Affairs, Multi-Family Housing, Timber Point
Apartments, Ser. A-1, Rev., FRDO, 0.99%, 03/01/04 1,100
7,685 Texas State Housing, 1.00%, 05/03/04 7,685
3,000 Texas State Turnpike Authority, Dallas North
Thruway, Floating Rate Receipts,
Ser. SG-70, 0.99%, 03/03/04 3,000
9,970 Texas State, Floating Rate Certificates, Ser. SG-152,
GO, FRDO, 1.04%, 03/01/04 9,970
556,100 Texas State, Rev., TRAN, 2.00%, 08/31/04 558,438
4,010 Texas State, Veteran's Housing Assistance, Ser. A-1,
GO, FRDO, 1.04%, 03/02/04 4,010
5,545 Texas State, Veterans Housing Assistance Fund I,
GO, FRDO, 0.91%, 03/03/04 5,545
5,610 Trinity River Authority, Ser. RR-II-R-2006, Rev.,
FRDO, MBIA, 1.00%, 03/05/04 5,610
25,000 University of Texas, 0.98%, 10/06/04 25,000
9,055 University of Texas, FLOATS, Ser. PA-1194, Rev.,
FRDO, 0.96%, 03/07/04 9,055
5,295 University of Texas, Ser. 2003-19, Rev.,
FRDO, 0.96%, 03/07/04 5,295
6,000 West Harris County Regional Water Authority,
Municipal Securities Trust Receipts, Ser. SGA-148,
Rev., FRDO, #, MBIA, 0.98%, 03/03/04 6,000
3,600 West Side Calhoun County Naval District, Sewer &
Solid Waste Disposal, BP Chemicals, Inc. Project,
Rev., FRDO, 1.03%, 03/01/04 3,600
---------------
1,518,457
UTAH -- 2.2%
600 Carbon County, PCR, PacifiCorp Project, Rev.,
FRDO, AMBAC, 0.98%, 03/01/04 600
26,100 Intermountain Power Agency, 0.94%, 03/01/04 26,100
51,200 Intermountain Power Agency, 0.95%, 03/01/04 51,200
7,665 Intermountain Power Agency, Power Supply,
Municipal Trust Receipts, Ser. SG-6, 0.99%, 03/06/04 7,665
14,000 Intermountain Power Agency, 1.00%, 06/08/04 14,000
23,900 Intermountain Power Agency, 1.00%, 06/09/04 23,900
8,000 Murray, Utah, Murray City Hospital, IHC Health
Services, Inc., Ser. D, Rev., FRDO, 0.97%, 03/01/04 8,000
5,310 Salt Lake City Municipal Building Authority,
FLOATS, Ser. PT-1744, Rev., FRDO,
AMBAC, 0.99%, 03/02/04 5,310
</Table>
See notes to financial statements.
82
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
UTAH -- CONTINUED
$ 4,000 Salt Lake City, Utah, Rowland Hall St. Marks School
Project, Rev., FRDO, 0.95%, 03/03/04 $ 4,000
7,645 Salt Lake County, FLOATS, Ser. PT-420, GO,
FRDO, 0.99%, 03/05/04 7,645
28,560 University of Utah, Floating Rate Trust Receipts,
Ser. N-15, Regulation D, Rev., FRDO,
MBIA, 1.06%, 03/04/04 28,560
10,000 Utah County, Utah Hospital, IHC Health Services, Inc.,
Ser. C, Rev., FRDO, 0.94%, 03/01/04 10,000
6,500 Utah Housing Corp., Single Family Mortgage, Ser. E-2,
Class I, Rev., FRDO, 1.10%, 03/16/04 6,500
4,200 Utah Housing Corp., Single Family Mortgage, Ser. F,
Class I, Rev., FRDO, 1.18%, 10/23/04 4,200
7,000 Utah Housing Corp., Single-Family Mortgage, Ser. E-1,
Class I, Rev., FRDO, 1.01%, 03/03/04 7,000
4,900 Utah Housing Finance Agency, Single Family
Mortgage, Ser. C-1, Class I, Rev.,
FRDO, 1.01%, 03/02/04 4,900
6,510 Utah Housing Finance Agency, Single Family
Mortgage, Ser. D-1, Rev., FRDO, 1.01%, 03/01/04 6,510
4,105 Utah Housing Finance Agency, Single Family
Mortgage, Ser. E-1, Rev., FRDO, 1.01%, 03/01/04 4,105
4,935 Utah Housing Finance Agency, Single Family
Mortgage, Ser. F-2, Class I, Rev.,
FRDO, 1.01%, 03/01/04 4,935
11,200 Utah State Board of Regents, Student Loan Weekly
Amount, Ser. Q, Rev., FRDO, AMBAC,
1.00%, 03/03/04 11,200
25,000 Weber County, IHC Health Services, Ser. A, Rev.,
FRDO, 0.97%, 03/01/04 25,000
---------------
261,330
VERMONT -- 0.2%
5,900 Vermont Educational & Health Buildings Financing
Agency, Hospital, VHA New England, Ser. D, Rev.,
FRDO, AMBAC, 0.95%, 03/03/04 5,900
8,300 Vermont Educational & Health Buildings Financing
Agency, Hospitals, VHA New England Project,
Ser. G, Rev., FRDO, AMBAC, 0.96%, 03/01/04 8,300
10,300 Vermont State, IDA, 1.03%, 04/06/04 10,300
5,000 Vermont Student Assistance Corp., Student Loans,
Rev., FRDO, 1.05%, 03/27/04 5,000
---------------
29,500
VIRGINIA -- 0.7%
2,280 Alexandria Redevelopment & Housing Authority,
Residential Care Facility, Multi-Mode,
First Mortgage,Goodwin House, Ser. B, Rev.,
FRDO, 0.93%, 03/01/04 2,280
7,000 Chesapeake Hospital Authority, Hospital Facilities,
Chesapeake General Hospital, Ser. A, Rev.
FRDO, 1.00%, 03/03/04 7,000
</Table>
See notes to financial statements.
83
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
VIRGINIA -- CONTINUED
$ 2,000 Harrisonburg Redevelopment & Housing Authority,
Multi-Family Housing, Misty Ridge Project, Ser. A,
Rev., FRDO, 0.98%, 03/01/04 $ 2,000
8,000 James City & County IDA, Multi-Family Housing,
Chambrel Project, Rev., FRDO, 0.95%, 03/07/04 8,000
11,530 Roanoke IDA, Carilion Health Systems, Ser. C,
Rev., FRDO, 0.93%, 03/01/04 11,530
7,000 Roanoke IDA, Carilion Health Systems, Ser. D,
Rev., FRDO, 0.99%, 03/01/04 7,000
23,590 Virginia Commonwealth Transportation Board,
Floating Rate Receipts, Ser. SG-137, Rev.,
FRDO, 1.30%, 03/03/04 23,590
8,885 Virginia Public School Authority, FLOATS, Ser. PT-431,
Rev., FRDO, 0.96%, 03/02/04 8,885
5,000 Virginia Public School Authority, Ser. RR-II-R-4050,
Rev., FRDO, 1.00%, 08/01/04 5,000
5,415 Virginia Resources Authority, Infrastructure,
Ser. RR-II-R-249, Rev., FRDO, 1.01%, 05/01/04 5,415
---------------
80,700
WASHINGTON -- 2.7%
17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16,
FRDO, MBIA, 1.02%, 03/02/04 17,676
5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1,
GO, FRDO, MBIA, 1.02%, 03/07/04 5,000
8,980 Broadway Office Properties, FLOATS, Ser. PT-1586,
Rev., FRDO, MBIA, 1.20%, 03/07/04 8,980
1,500 Clark County Public Utility District No. 1, Municipal
Securities Trust Receipts, Ser. SGA-118, Rev.,
FRDO, FSA, 1.00%, 03/01/04 1,500
6,995 Energy Northwest, Electric, FLOATS, Ser. PT-734,
Rev., FRDO, MBIA, 0.99%, 03/02/04 6,995
5,335 King County, Ser. RR-II-R-1028, GO, FRDO,
FSA, 1.00%, 03/07/04 5,335
8,760 King County, Sewer, Ser. 2003-30, Rev., FRDO,
FSA, 0.99%, 03/04/04 8,760
4,430 Port of Seattle, FLOATS, Ser. PT-728, Rev., FRDO,
FGIC, 1.04%, 03/02/04 4,430
5,345 Port of Seattle, Ser. 47, GO, FRDO, 1.04%, 11/01/04 5,345
1,130 Seattle Housing Authority, Low Income Housing
Assistance, Bayview Manor Project, Ser. B, Rev.,
FRDO, 1.00%, 03/03/04 1,130
19,885 Seattle, Washington, Drain & Wastewater Utilities,
Municipal Securities Trust Receipts, Ser. SG-135,
Rev., FRDO, MBIA, 0.99%, 03/03/04 19,885
11,945 Seattle, Washington, Municipal Light & Power,
FLOATS, Ser. PT-1421, Rev., FRDO,
FSA, 0.99%, 03/07/04 11,945
11,525 Seattle, Washington, Municipal Light & Power,
Ser. 2003-36, Rev., FRDO, FSA, 0.99%, 05/01/04 11,525
</Table>
See notes to financial statements.
84
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 4,000 Seattle, Washington, Municipal Securities Trust
Receipts, Ser. SGA-142, GO, FRDO, 0.98%, 03/01/04 $ 4,000
9,200 Seattle, Washington, Water Systems, Rev.,
FRDO, 0.85%, 03/01/04 9,200
16,600 Snohomish County Public Utility District No. 1,
Generation Systems, Ser. A, Rev., FRDO,
FSA, 0.94%, 03/05/04 16,600
8,500 Snohomish County Public Utility District No. 1,
Municipal Securities Trust Receipts, Ser. SGA-124,
Rev., FRDO, FSA, 1.00%, 03/01/04 8,500
11,335 Tacoma, Washington, Electric Systems, FLOATS,
Ser. PT-1404, Rev., FRDO, AMBAC, 0.99%, 03/01/04 11,335
23,960 Washington Public Power Supply System, Nuclear
Project No. 1, Ser. 1A-2, Rev., FRDO, 0.92%, 03/06/04 23,960
18,220 Washington Public Power Supply System, Nuclear
Project No. 2, Ser. 31, Rev., FRDO, 0.99%, 03/04/04 18,220
15,920 Washington State Higher Education Facilities
Authority, Seattle Pacific University Project, Ser. A,
Rev., FRDO, 0.95%, 03/01/04 15,920
2,545 Washington State Housing Finance Commission,
Multi-Family Housing, Granite Falls Assisted Project,
Ser. A, Rev., FRDO, 0.99%, 03/03/04 2,545
1,030 Washington State Housing Finance Commission,
Non-Profit Housing, Golden Sands Project, Rev.,
FRDO, 0.98%, 03/01/04 1,030
4,560 Washington State Housing Finance Commission,
Nonprofit Housing, Rockwood Retirement
Communities, Rev., FRDO, 1.00%, 03/01/04 4,560
2,515 Washington State Housing Finance Commission,
Nonprofit Housing, YMCA Snohomish County
Project, Rev., FRDO, 0.98%, 03/01/04 2,515
2,880 Washington State Housing Finance Commission,
Spokane Community College Foundation, Ser. A,
Rev., FRDO, 0.95%, 03/05/04 2,880
6,480 Washington State Public Power Supply System
Project No. 2, Electric, Ser. 2A-2, Rev., FRDO,
MBIA, 0.91%, 03/04/04 6,480
14,790 Washington State Public Power Supply System,
Project No. 2, Electric, Ser. 2A-1, Rev., FRDO,
MBIA, 0.91%, 03/03/04 14,790
15,230 Washington State Public Power Supply System,
Project No. 3, Electric, Ser. 3A, Rev., FRDO,
MBIA, 0.97%, 03/03/04 15,230
2,490 Washington State, FLOATS, Ser. PA-1111, GO,
FRDO, 1.02%, 03/06/04 2,490
13,710 Washington State, Rev., FRDO, 1.00%, 03/03/04 13,710
8,110 Washington State, Ser. 2003-27, GO,
FRDO, 0.99%, 03/04/04 8,110
12,920 Washington State, Ser. 43, GO, FRDO,
MBIA, 0.99%, 07/01/04 12,920
</Table>
See notes to financial statements.
85
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 16,400 Washington State, Ser. VR-96A, GO,
FRDO, 0.87%, 03/03/04 $ 16,400
---------------
319,901
WEST VIRGINIA -- 0.6%
3,940 West Virginia Economic Development Authority,
IDR, Gemark Services West VA/M & M, Rev.,
FRDO, 1.05%, 03/03/04 3,940
5,765 West Virginia State Building Commission, FLOATS,
Ser. PA-520, 1.00%, 03/04/04 5,765
5,700 West Virginia State Hospital Finance Authority, VHA
Mid-Atlantic, Ser. D, Rev., FRDO,
AMBAC, 0.95%, 03/02/04 5,700
5,000 West Virginia State Hospital Finance Authority, VHA
Mid-Atlantic, Ser. E, Rev., FRDO,
AMBAC, 0.95%, 03/02/04 5,000
7,100 West Virginia State Hospital Finance Authority,
Mid-Atlantic/Capital, Ser. H, Rev., FRDO,
AMBAC, 0.96%, 03/04/04 7,100
4,000 West Virginia State Hospital Finance Authority, VHA
Mid-Atlantic, Ser. C, Rev., FRDO,
AMBAC, 0.95%, 03/06/04 4,000
40,800 West Virginia State Parkways Economic
Development & Tourism Authority, Rev., FRDO,
FGIC, 0.91%, 03/03/04 40,800
---------------
72,305
WISCONSIN -- 2.2%
7,025 Dane County, Ser. RR-II-R-2003, GO,
FRDO, 1.00%, 03/07/04 7,025
5,845 Dane County, Ser. RR-II-R-4504, GO,
FRDO, 1.00%, 06/01/04 5,845
1,260 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 94-4904, FRDO, #, 1.06%, 03/01/04 1,260
345 Wisconsin Housing & Economic Development
Authority, Home Ownership, Floating Rate Trust
Receipts, Ser. 18, Rev., FRDO, 1.06%, 03/07/04 345
4,000 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. A, Rev.,
FRDO, 1.00%, 03/01/04 4,000
12,865 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. C, Rev.,
FRDO, 1.00%, 03/01/04 12,865
7,090 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. C, Rev.,
FRDO, 1.00%, 03/01/04 7,090
4,720 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. E, Rev.,
FRDO, 0.99%, 03/07/04 4,720
</Table>
See notes to financial statements.
86
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WISCONSIN -- CONTINUED
$ 3,945 Wisconsin Housing & Economic Development
Authority, Ser. D, Rev., FRDO,
MBIA, 1.03%, 03/01/04 $ 3,945
3,520 Wisconsin Housing & Economic Development
Authority, Ser. E, Rev., FRDO, MBIA, 1.03%, 03/01/04 3,520
5,425 Wisconsin Housing & Economic Development
Authority, Ser. F, Rev., FRDO, MBIA, 0.99%, 03/01/04 5,425
4,320 Wisconsin Housing & Economic Development
Authority, Ser. G, Rev., FRDO, MBIA, 1.03%, 03/01/04 4,320
5,360 Wisconsin Housing & Economic Development
Authority, Ser. I, Rev., FRDO, MBIA, 1.03%, 03/02/04 5,360
12,160 Wisconsin Housing & Economic Development
Authority, Single-Family Housing, FLOATS,
Ser. PT-598, Rev., FRDO, 1.05%, 03/03/04 12,160
11,290 Wisconsin State, 0.94%, 03/01/04 11,290
7,000 Wisconsin State Health & Educational Facilities
Authority, Felican Health Care, Inc., Rev.,
FRDO, 0.96%, 03/03/04 7,000
21,400 Wisconsin State Health & Educational Facilities
Authority, Felician Services, Ser. A, Rev., FRDO,
AMBAC, 0.96%, 03/04/04 21,400
8,580 Wisconsin State Health & Educational Facilities
Authority, FLOATS, Ser. PT-858, Rev., FRDO,
MBIA, 1.30%, 03/07/04 8,580
5,200 Wisconsin State Health & Educational Facilities
Authority, Lakeland College, Rev.,
FRDO, 1.00%, 03/01/04 5,200
10,700 Wisconsin State Health & Educational Facilities
Authority, University of Wisconsin Medical
Foundation, Rev., FRDO, 0.96%, 03/03/04 10,700
25,000 Wisconsin State Health & Educational Facilities
Authority, Wheaton Franciscan Services, Rev.,
FRDO, 0.95%, 03/06/04 25,000
15,300 Wisconsin State Health & Educational Facilities
Authority, Wheaton Franciscan Services, Ser. B,
Rev., FRDO, 0.95%, 03/03/04 15,300
80,000 Wisconsin State, Operating Notes, Ser. A,
Rev., 2.25%, 06/15/04 80,279
---------------
262,629
WYOMING -- 1.2%
30,000 Campbell County, IDR, Two Elk Power Generation
Station Project, Rev., FRDO, 1.40%, 12/03/04 30,000
400 Kemmerer, Wyoming, PCR, Exxon Project, Rev.,
FRDO, 0.90%, 03/01/04 400
2,300 Sublette County, PCR, Exxon Project, Rev.,
FRDO, 0.95%, 03/01/04 2,300
3,550 Sublette County, PCR, Exxon Project, Ser. A, Rev.,
FRDO, 0.93%, 03/01/04 3,550
</Table>
See notes to financial statements.
87
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WYOMING -- CONTINUED
$ 12,860 Wyoming Community Development Authority,
Housing, FLOATS, Ser. PT-195, Rev., 1.15%, 03/01/04 $ 12,860
7,900 Wyoming Community Development Authority,
Housing, Ser. 7, Rev., FRDO, 1.00%, 03/05/04 7,900
5,000 Wyoming Community Development Authority,
Housing, Ser. 8, Rev., FRDO, 1.00%, 03/04/04 5,000
5,215 Wyoming Community Development Authority,
Housing, Ser. II-R-141, Rev., FRDO, 1.06%, 03/04/04 5,215
5,000 Wyoming Community Development Authority,
Ser. 4, Rev., FRDO, 1.00%, 03/02/04 5,000
7,245 Wyoming Community Development Authority,
Single Family Mortgage, Ser. A, Rev.,
FRDO, 0.96%, 03/03/04 7,245
36,900 Wyoming Community Development Authority,
Single Family Mortgage, Ser. A, Rev.,
FRDO, 0.96%, 03/04/04 36,900
25,000 Wyoming State, Education Fund, Rev.,
TRAN, 1.50%, 06/29/04 25,042
8,000 Wyoming State, Education Fund, Rev.,
TRAN, 1.75%, 06/29/04 8,020
---------------
149,432
- ----------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 12,063,068
(Cost $12,063,068) *
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
88
<Page>
JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
State and Municipal Obligations -- 100.0%
CALIFORNIA -- 87.1%
$ 1,500 ABAG Finance Authority for Nonprofit
Corporations, Point Loma Nazarene University,
Rev., FRDO, 1.00%, 03/01/04 $ 1,500
1,500 ABN AMRO Munitops Certificate Trust, Ser. 2003-1,
GO, FRDO, AMBAC, 0.97%, 03/05/04 1,500
3,000 ABN AMRO Munitops Certificate Trust, Ser.
2003-11, GO, FRDO, FSA, 1.20%, 06/01/04 3,000
1,100 Alameda County IDA, Scientific Technology Project,
Ser. A, Rev., FRDO, 1.05%, 03/02/04 1,100
2,000 Alvord Unified School District, Food Services Bridge
Funding Program, COP, FRDO, FSA,
0.92%, 03/01/04 2,000
1,200 Alvord Unified School District, Food Services Bridge
Funding Program, COP, FRDO, FSA,
0.92%, 03/01/04 1,200
1,000 Anaheim, California, 1993 Projects, COP, FRDO,
AMBAC, 0.89%, 03/03/04 1,000
4,035 Auburn Union School District, COP, FRDO, FSA,
0.94%, 03/01/04 4,035
1,050 California Communities Housing Finance Agency,
Subordinated, Ser. B, Rev., FRDO, 1.00%, 03/03/04 1,050
100 California Economic Development Financing
Authority, IDR, Standard Abrasives Manufacturing
Project, Rev., FRDO, 1.00%, 03/03/04 100
1,000 California Educational Facilities Authority, Loyola
Marymount University, Ser. B, Rev., FRDO, MBIA,
0.95%, 03/04/04 1,000
150 California Educational Facilities Authority, Stanford
University, FLOATS, Ser. PA-542, Rev., FRDO,
0.96%, 03/03/04 150
400 California Educational Facilities Authority, Stanford
University, Ser. L-4, Rev., 0.90%, 03/05/04 400
500 California Educational Facilities Authority,
University of San Francisco, Rev., FRDO,
0.95%, 03/04/04 500
100 California Housing Finance Agency, Home
Mortgage, Ser. J, Rev., FRDO, MBIA, 1.01%,03/01/04 100
1,000 California Housing Finance Agency, Home
Mortgage, Ser. M, Rev., FRDO, 0.97%, 03/01/04 1,000
3,000 California Housing Finance Agency, Home
Mortgage, Ser. U, Rev., FRDO, FSA, 1.01%, 03/01/04 3,000
1,000 California Housing Finance Agency, Ser. D, Rev.,
FRDO, FSA, 0.98%, 03/05/04 1,000
1,000 California Infrastructure & Economic Development
Bank, IDR, Adams Rite Manufacturing Co. Project,
Ser. A, Rev., FRDO, 1.00%, 03/01/04 1,000
</Table>
See notes to financial statements.
89
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,610 California Infrastructure & Economic Development
Bank, IDR, Pleasant Mattress, Inc. Project, Ser. A,
Rev., FRDO, 1.00%, 03/03/04 $ 1,610
1,885 California Infrastructure & Economic Development
Bank, IDR, Standard Abrasive Manufacturing
Project, Ser. A, Rev., FRDO, 1.00%, 03/01/04 1,885
1,500 California PCFA, PCR, ExxonMobil Project, Rev.,
FRDO, 0.83%, 03/01/04 1,500
1,000 California PCFA, PCR, Sierra Pacific Industries
Project, Rev., FRDO, 0.94%, 03/03/04 1,000
2,000 California Salvation Army, 1.02%, 11/17/04 2,000
535 California School Facilities Financing Corp., Capital
Improvement Financing Project, COP, Ser. B, FRDO,
0.92%, 03/03/04 535
1,000 California State Department of Water Resources,
Power Supply, EAGLE, Ser. 2002-6017, Class A,
Rev., FRDO, AMBAC, 0.97%, 03/04/04 1,000
2,400 California State Department of Water Resources,
Power Supply, Ser. B-3, Rev., FRDO,
0.97%, 03/01/04 2,400
600 California State Department of Water Resources,
Power Supply, Ser. B-4, Rev., FRDO,
0.97%, 03/01/04 600
2,000 California State Department of Water Resources,
Power Supply, Ser. B-6, Rev., FRDO,
0.98%, 03/01/04 2,000
1,100 California State Department of Water Resources,
Power Supply, Ser. C-12, Rev., FRDO,
0.95%, 03/04/04 1,100
700 California State Department of Water Resources,
Power Supply, Ser. C-13, Rev., FRDO, FSA,
0.93%, 03/04/04 700
660 California State Municipal Securities Trust
Certificates, Ser. 1998-47, Class A, Rev., FRDO,
AMBAC, #, 0.94%, 03/03/04 660
300 California State, Municipal Securities Trust Receipts,
Ser. SGA-40, GO, FRDO, FGIC, 0.94%, 03/01/04 300
300 California State, Municipal Securities Trust Receipts,
Ser. SGA-55, GO, FRDO, FGIC, 0.94%, 03/02/04 300
14,000 California State, Ser. A, RAN, 2.00%, 06/16/04 14,033
2,000 California Statewide Communities Development
Authority, Cathedral High School Project, Rev.,
FRDO, 0.95%, 03/01/04 2,000
2,000 California Statewide Communities Development
Authority, COP, FLOATERS, Ser. 909, FRDO, MBIA,
0.99%, 08/15/04 2,000
700 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. A, Rev., FRDO,
1.05%, 03/03/04 700
3,000 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. A, Rev., FRDO,
1.25%, 06/04/04 3,000
</Table>
See notes to financial statements.
90
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,000 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. B, Rev., FRDO,
1.05%, 03/01/04 $ 1,000
1,400 California Statewide Communities Development
Authority, Multi-Family Housing, Arbor Ridge
Apartments, Ser. X, Rev., FRDO, 0.95%, 03/04/04 1,400
1,000 California Statewide Communities Development
Authority, Multi-Family Housing, Canyon Springs
Apartments, Ser. KK, Rev., FRDO, 0.92%, 03/03/04 1,000
2,000 California Statewide Communities Development
Authority, Ser. A-1, Rev., TRAN, 2.00%, 06/30/04 2,007
2,200 Charter Mac Floater Certificate Trust I, Ser. CAL-1,
MBIA, 1.10%, 03/04/04 2,200
2,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2,
Rev., FRDO, MBIA, 1.10%, 03/01/04 2,000
800 Colton Redevelopment Agency, Multi-Family
Housing, 1985 Issue A, Rev., FRDO,
0.90%, 03/02/04 800
25 East Bay Municipal Utility District, Water Systems,
Sub Ser. B, Rev., FRDO, FSA, 0.89%, 03/31/04 25
1,600 Elsinore Valley Municipal Water District, COP, Ser. A,
FRDO, FGIC, 0.92%, 03/04/04 1,600
1,000 Fremont Unified High School District, Santa Clara
County, GO, TRAN, 1.50%, 06/30/04 1,002
1,500 Garden Grove, California, Multi-Family Housing,
Malabar Apartments, Ser. A, Rev., FRDO,
0.92%, 03/04/04 1,500
5,368 Glendale, California, Hospital, FLOATS, Ser. 590,
Rev., FRDO, MBIA, 0.99%, 03/07/04 5,368
2,000 Hayward, California, Multi-Family Housing,
Shorewoood, Ser. A, Rev., FRDO, 0.95%, 03/02/04 2,000
2,000 Huntington Beach Union High School District,
School Facilities Bridge Funding Program, COP,
FRDO, FSA, 1.05%, 11/01/04 2,000
100 Irvine Ranch Water District, Consolidated Bonds,
Rev., FRDO, 0.98%, 03/01/04 100
1,150 Irvine Unified School District, Community Facilities
District No. 01-1, Special Tax, FRDO,
0.98%, 03/01/04 1,150
984 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 00-18, Ser. A, Special
Assessment, FRDO, 0.98%, 03/01/04 984
69 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 93-14, Special Assessment,
FRDO, 0.97%, 03/01/04 69
1,100 Kern County, Kern Public Facilities Project, Ser. A,
COP, FRDO, 0.92%, 03/03/04 1,100
3,000 La Quinta Redevelopment Agency, Tax Allocation,
Multi-Family Housing, MiraFlores Apartments,
Ser. A, Rev., FRDO, 0.93%, 03/01/04 3,000
200 Lodi, California, Electric Systems, COP, Ser. A,
FRDO, MBIA, 0.89%, 03/03/04 200
</Table>
See notes to financial statements.
91
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 3,900 Los Angeles Community Redevelopment Agency,
Multi-Family Housing, Security Building Project, Ser. A,
Rev., FRDO, 0.97%, 03/01/04 $ 3,900
4,000 Los Angeles County Housing Authority, Multi-Family
Housing, Malibu Meadows II, Ser. C, Rev., FRDO,
0.90%, 03/05/04 4,000
100 Los Angeles County Metropolitan Transportation
Authority, Proposition C, Second Ser., Ser. A, Rev.,
FRDO, MBIA, 0.92%, 03/03/04 100
415 Los Angeles County Metropolitan Transportation
Authority, Sales Tax, Floating Rate Receipts, Ser.
SG-54, 0.96%, 03/03/04 415
2,000 Los Angeles County, Ser. A, GO, TRAN,
2.00%, 06/30/04 2,006
500 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-2, Rev., FRDO,
0.98%, 03/01/04 500
100 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-4, Rev., FRDO,
0.89%, 03/04/04 100
570 Los Angeles Housing Authority, Multi-Family
Housing, Ser. A, Rev., FRDO, 0.90%, 03/02/04 570
3,000 Los Angeles Unified School District, FLOATS, Ser.
PA-1115, GO, FRDO, FSA, 0.96%, 03/04/04 3,000
1,000 Metropolitan Water District of Southern California,
Waterworks, Ser. B-2, Rev., FRDO, 0.87%, 03/03/04 1,000
700 Metropolitan Water District of Southern California,
Waterworks, Ser. B-3, Rev., FRDO, 0.97%, 03/01/04 700
1,000 Monrovia Unified School District, Municipal
Securities Trust Receipts, Ser. SGA-70, GO, FRDO,
MBIA, 0.94%, 03/07/04 1,000
1,900 Newport Beach, California, Hoagan Memorial
Hospital, Ser. C, Rev., FRDO, 1.00%, 03/01/04 1,900
500 Oakland, California, Rev., TRAN, 2.00%, 07/29/04 502
3,000 Oceanside, California, Multi-Family Housing,
Lakeridge Apartments Project, Rev., FRDO,
0.90%, 03/03/04 3,000
300 Ontario Redevelopment Agency, Multi-Family
Housing, Seasons at Gateway, Sub Ser. B, Rev.,
FRDO, 0.95%, 03/04/04 300
300 Orange County Sanitation District, COP, Ser. A,
FRDO, 0.98%, 03/01/04 300
900 Orange County Sanitation District, COP, Ser. B,
FRDO, 0.98%, 03/01/04 900
949 Orange County, Apartment Development Corp.,
Multi-Family Housing, Niguel Summit 2, Ser. B, Rev.,
FRDO, 0.90%, 03/06/04 949
1,000 Orange County, Apartment Development Corp.,
Multi-Family Housing, Pointe Niguel Project,
Ser. C, Rev., FRDO, 0.90%, 03/02/04 1,000
</Table>
See notes to financial statements.
92
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 800 Orange County, Apartment Development Corp.,
Wood Canyon Villas, Issue E, Rev., FRDO,
0.92%, 03/06/04 $ 800
800 Orange County, Improvement Bond Act of 1915,
Assessment District No. 1, Ser. A, Special
Assessment, FRDO, 0.98%, 03/01/04 800
1,920 Pasadena, California, Rose Bowl Improvements
Project, COP, FRDO, 0.94%, 03/01/04 1,920
1,500 Petaluma City School District, GO, TRAN,
2.00%, 06/30/04 1,505
1,000 Pleasant Hill Redevelopment Agency, Multi-Family
Housing, Chateau III, Ser. A, Rev., FRDO,
1.00%, 03/03/04 1,000
700 Riverside County Asset Leasing Corp., Southwest
Justice Center, Ser. B, Rev., FRDO, MBIA,
0.90%, 03/03/04 700
1,200 Riverside Unified School District, School Facility
Bridge Program, COP, FRDO, FSA,
0.92%, 03/02/04 1,200
4,000 Sacramento County Housing Authority, Multi-Family
Housing, Ashford, Ser. D, Rev., FRDO,
0.90%, 03/03/04 4,000
700 San Diego Housing Authority, Multi-Family Housing,
Nobel Courts, Ser. L, Rev., FRDO,
0.90%, 03/04/04 700
370 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SG-110, Rev., FRDO, FGIC,
1.05%, 03/01/04 370
1,000 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SGA-50, Rev., FRDO, MBIA,
0.97%, 03/06/04 1,000
300 San Jacinto Unified School District, School Facilities
Bridge Funding Program, COP, FRDO, FSA,
0.92%, 03/07/04 300
995 San Jose, California, Airport, Ser. II-R-2004, Rev.,
FRDO, FSA, 0.97%, 03/06/04 995
700 San Jose, California, Multi-Family Housing, Villa
Monterey Apartments, Ser. F, Rev., FRDO,
0.95%, 03/01/04 700
500 Santa Ana Housing Authority, Multi-Family Housing,
Vintage Apartments, Ser. A, Rev., FRDO,
0.95%, 03/05/04 500
497 Santa Ana Unified School District, COP, FRDO,
0.91%, 03/06/04 497
2,000 Santa Cruz County, GO, TRAN, 2.00%, 07/01/04 2,006
2,000 Southern California Home Financing Authority,
Single Family Housing, Ser. A, Rev., FRDO,
1.00%, 08/01/04 2,000
600 Three Valleys Municipal Water District, Miramar
Water Treatment, COP, FRDO, 0.94%, 03/03/04 600
</Table>
See notes to financial statements.
93
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 425 Upland Community Redevelopment Agency,
Multi-Family Housing, Northwoods Project, Ser.
168-A, Rev., FRDO, 0.91%, 03/03/04 $ 425
1,000 Visalia Unified School District, GO, TRAN,
2.00%, 09/04/04 1,005
---------------
143,628
Puerto Rico -- 12.9%
2,000 Municipal Securities Trust Certificates, Ser. 7005,
Class A, Special Obligation, FRDO, (p),
0.91%, 03/03/04 2,000
2,860 Puerto Rico Commonwealth, 0.95%, 05/10/04 2,860
1,000 Puerto Rico Commonwealth, 0.99%, 06/02/04 1,000
2,100 Puerto Rico Commonwealth, Floating Rate Trust
Receipts, Ser. M-4J, GO, FRDO, FSA,
0.96%, 03/04/04 2,100
1,235 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226,
0.93%, 03/06/04 1,235
510 Puerto Rico Commonwealth, GO, (p),
6.45%, 07/01/04 527
170 Puerto Rico Commonwealth, GO, (p),
6.50%, 07/01/04 176
1,500 Puerto Rico Commonwealth, Rev., TRAN,
2.00%, 07/30/04 1,506
1,300 Puerto Rico Commonwealth, Ser. 2001-2, GO, FRDO,
FSA, 0.94%, 03/02/04 1,300
2,000 Puerto Rico Electric Power Authority, Rev., FRDO,
0.97%, 03/05/04 2,000
580 Puerto Rico Electric Power Authority, Ser. T,
Rev., (p), 6.375%, 07/01/04 602
793 Puerto Rico Government Development Bank for
Municipal Commercial Paper, 1.08%, 03/09/04 793
2,000 Puerto Rico Government Development Bank for
Municipal Commercial Paper, 0.96%, 05/10/04 2,000
448 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 815-D, Rev., FRDO, MBIA,
0.97%, 03/02/04 448
800 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 816, Rev., FRDO, MBIA,
0.97%, 03/02/04 800
1,800 Puerto Rico Highway & Transportation Authority,
Ser. II-R-66, Rev., FRDO, MBIA-IBC,
0.97%, 03/07/04 1,800
170 Puerto Rico Highway & Transportation Authority,
Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA,
0.94%, 03/04/04 170
---------------
21,317
- ----------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 164,945
(Cost $164,945) *
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
94
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
State and Municipal Obligations -- 100.0%
NEW YORK -- 96.1%
$ 12,000 ABN AMRO Munitops Certificates Trust,
Ser. 1999-13, FRDO, FGIC, 0.96%, 03/03/04 $ 12,000
385 Albany IDA, IDR, Newkirk Productions, Inc.
Project, Ser. A, Rev., FRDO, 0.98%, 03/07/04 385
2,300 Allegany County, IDA, Environmental Facilities,
Atlantic Richfield Project, Rev., FRDO,
1.00%, 03/01/04 2,300
9,950 Auburn, New York, Ser. B, GO, BAN,
1.38%, 06/11/04 9,960
1,000 Babylon IDA, IDR, Edwin Berger/Lambro
Industries, Rev., FRDO, 0.94%, 03/03/04 1,000
10,000 Beekmantown Central School District, GO,
BAN,1.30%, 06/25/04 10,010
10,000 Beekmantown Central School District, GO,
BAN, 1.35%, 06/25/04 10,006
12,000 Board of Cooperative Educational Services First
Supervisory District, Suffolk County, RAN,
1.38%, 06/28/04 12,014
7,000 Board of Cooperative Educational Services of
Second Supervisory District, Westchester, GO,
RAN, 2.00%, 09/30/04 7,033
11,300 Board of Cooperative Educational Services of
Second Supervisory District, Westchester,
RAN,1.50%, 06/30/04 11,316
7,950 Board of Cooperative Educational Services Sole
Supervisory District Oswego County, Rev.,
RAN, 2.00%, 12/30/04 8,002
4,990 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, GO,
RAN, 1.50%, 06/25/04 4,998
900 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, GO,
RAN, 2.00%, 06/29/04 902
9,000 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, GO,
RAN, 2.00%, 06/29/04 9,024
3,700 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, Rev.,
RAN, 1.25%, 06/30/04 3,702
10,000 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, Rev.,
RAN, 1.38%, 06/29/04 10,012
2,000 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, Rev.,
RAN, 1.75%, 06/29/04 2,004
2,500 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, Ser. B,
RAN, 1.50%, 06/30/04 2,503
</Table>
See notes to financial statements.
95
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 10,000 Buffalo, New York, Ser. A, GO, RAN,
2.75%, 07/29/04 $ 10,068
3,708 Chautauqua County, GO, BAN, 1.75%, 08/06/04 3,719
15,000 Chautauqua County, GO, TAN, 2.00%, 01/20/05 15,105
2,762 Clinton County, GO, BAN, 1.75%, 07/22/04 2,769
4,000 Copiague Union Free School District, GO,
TAN, 1.50%, 06/29/04 4,006
10,000 Cornwall Central School District, GO, BAN,
1.75%, 10/15/04 10,044
3,390 Cortland County, GO, BAN, 3.00%, 03/05/04 3,391
1,080 Delhi Central School District, GO, BAN,
1.38%, 06/25/04 1,081
2,000 Delhi Central School District, GO, RAN,
1.50%, 06/25/04 2,002
2,625 Dutchess County IDA, Civic Facilities, Marist
College, Ser. A, Rev., FRDO, 0.94%, 03/01/04 2,625
1,700 Dutchess County IDA, Civic Facilities, Marist
College, Ser. A, Rev., FRDO, 0.94%, 03/03/04 1,700
4,260 Dutchess County IDA, Civic Facilities,
St. Francis Hospital, Ser. B, Rev., FRDO,
1.50%, 03/07/04 4,260
4,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 2002-6003, Class A, COP, Rev., FRDO, FSA,
0.97%, 03/04/04 4,000
5,990 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 3C-7, Class A, FRDO, #, 0.97%, 03/03/04 5,990
3,300 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 3C-7, Class A, FRDO, #, 0.97%, 03/04/04 3,300
12,085 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 94-3203, Class A, FRDO, #, 0.97%, 03/03/04 12,085
8,805 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 94-3205, Class A, FRDO, #, 0.97%, 03/05/04 8,805
9,910 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 94-3208, Class A, FRDO, #, 0.97%, 03/04/04 9,910
12,155 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 96-3207, Class A, FRDO, #, 0.97%, 03/03/04 12,155
14,850 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 96C-3208, Class A, FRDO, #, 0.97%, 03/02/04 14,850
8,135 Eagle Tax Exempt Trust, Weekly Partner
Certificate, Class A, Rev., FRDO, AMBAC, #,
0.97%, 03/04/04 8,135
10,000 East Islip Union Free School District, GO, TAN,
1.50%, 06/29/04 10,015
2,700 Erie County Water Authority, Ser. A, Rev.,
FRDO, AMBAC, 0.88%, 03/02/04 2,700
1,400 Erie County Water Authority, Ser. B, Rev.,
FRDO, AMBAC, 0.88%, 03/02/04 1,400
4,000 Fayetteville-Manlius Central School District,
GO, TAN, 1.75%, 06/18/04 4,009
5,355 Fonda-Fultonville Central School District, GO,
BAN, 1.90%, 04/09/04 5,359
</Table>
See notes to financial statements.
96
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,820 Franklin County IDA, Civic Facilities, Trudeau
Institute, Inc. Project, Rev., FRDO,
0.92%, 03/05/04 $ 2,820
5,000 Fulton City School District, GO, RAN,
1.25%, 06/25/04 5,004
530 Glens Falls IDA, IDR, Broad Street Center Project,
Rev., FRDO, 0.99%, 03/02/04 530
8,850 Gorham-Middlesex Central School District, GO,
BAN, 1.25%, 04/23/04 8,853
13,340 Gorham-Middlesex Central School District, GO,
BAN, 1.50%, 04/23/04 13,340
3,540 Great Neck North Water Authority, Water System,
Ser. A, Rev., FRDO, FGIC, 0.94%, 03/01/04 3,540
16,000 Greece Central School District, GO, BAN,
1.75%, 06/18/04 16,031
1,000 Guilderland IDA, IDR, Northeastern Industrial Park,
Ser. A, Rev., FRDO, 0.92%, 03/01/04 1,000
15,000 Haverstraw-Stony Point Central School District,
GO, BAN, 2.00%, 01/21/05 15,099
4,980 Hempstead Town, New York, Ser. D, GO, BAN,
1.50%, 04/16/04 4,982
13,000 Huntington Union Free School District, GO, TAN,
1.75%, 06/29/04 13,029
2,000 Islip IDA, Brentwood Distribution Co. Facility,
Rev., FRDO, 0.96%, 03/03/04 2,000
1,900 Jefferson County IDA, IDR, Fisher Gauge LTD
Facilities, Rev., FRDO, 0.96%, 03/04/04 1,900
8,780 Long Island Power Authority, Electric Systems,
Floating Rate Receipts, Ser. SG-125,
0.97%, 03/03/04 8,780
7,710 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-1051, Rev., FRDO, FSA,
0.96%, 03/07/04 7,710
4,375 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-368, Rev., FRDO,
1.02%, 03/02/04 4,375
4,360 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-841, Rev., FRDO, FSA,
0.97%, 03/04/04 4,360
7,495 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PT-386, Rev., 0.96%, 03/05/04 7,495
462 Long Island Power Authority, Electric Systems,
Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA,
0.88%, 03/01/04 462
2,000 Long Island Power Authority, Electric Systems,
Ser. 7, Sub Ser. 7-B, Rev., FRDO, MBIA,
0.93%, 03/01/04 2,000
5,000 Long Island Power Authority, Electric Systems,
Ser. B, Rev., 3.00%, 06/01/04 5,025
300 Long Island Power Authority, Electric Systems,
Ser. D, Rev., FRDO, FSA, 0.91%, 03/01/04 300
</Table>
See notes to financial statements.
97
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,700 Long Island Power Authority, Electric Systems,
Sub Ser. 3-B, Rev., FRDO, 0.95%, 03/01/04 $ 2,700
14,500 Metropolitan Transportation Authority,
0.96%, 06/01/04 14,500
10,800 Metropolitan Transportation Authority,
1.00%, 06/08/04 10,800
15,100 Metropolitan Transportation Authority,
1.00%, 10/12/04 15,100
15,000 Metropolitan Transportation Authority,
1.00%, 10/14/04 15,000
3,300 Metropolitan Transportation Authority,
EAGLE, Ser. 2002-6021, Class A, Rev., FRDO,
MBIA, 0.97%, 03/04/04 3,300
5,000 Metropolitan Transportation Authority,
EAGLE, Ser. 2002-6028, Class A, Rev., FRDO,
MBIA, 0.97%, 03/04/04 5,000
5,985 Metropolitan Transportation Authority,
FLOATS, Ser. PT-1547, Rev., FRDO, FGIC,
0.98%, 03/05/04 5,985
10,000 Metropolitan Transportation Authority,
Ser. 848-D, Rev., FRDO, FGIC, 0.99%, 03/06/04 10,000
5,700 Metropolitan Transportation Authority, Ser. D-2,
Rev., FRDO, FSA, 0.91%, 03/04/04 5,700
4,200 Metropolitan Transportation Authority, Ser. G-1,
Rev., FRDO, AMBAC, 0.90%, 03/01/04 4,200
1,700 Metropolitan Transportation Authority, Ser. G-2,
Rev., FRDO, AMBAC, 0.90%, 03/01/04 1,700
5,860 Metropolitan Transportation Authority, Service
Contract, FLOATERS, Ser. 864, Rev., FRDO,
FSA, 0.97%, 03/04/04 5,860
9,995 Metropolitan Transportation Authority, Service
Contract, FLOATS, Ser. PA-1042R, Rev., FRDO,
MBIA, 0.98%, 03/03/04 9,995
5,405 Metropolitan Transportation Authority, Service
Contract, FLOATS, Ser. PA-1105, Rev., FRDO,
0.98%, 03/03/04 5,405
10,000 Municipal Securities Trust Certificates,
Ser. 2001-116, Class A, Rev., FRDO,
0.95%, 03/05/04 10,000
4,515 Municipal Securities Trust Certificates,
Ser. 2001-180, Class A, Rev. FRDO,
1.02%, 03/02/04 4,515
1,820 Nassau County Interim Finance Authority,
FLOATS, Ser. PA-901, Rev., FRDO, AMBAC,
0.97%, 03/05/04 1,820
15,950 Nassau County Interim Finance Authority,
Municipal Securities Trust Receipts, Special Tax,
Ser. SGA-108, FRDO, 0.95%, 03/02/04 15,950
6,190 Nassau County Interim Finance Authority,
Sales Tax Secured, Ser. A, Rev., FRDO, FSA,
0.91%, 03/04/04 6,190
</Table>
See notes to financial statements.
98
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 7,000 Nassau County, Ser. A, GO, TAN, 2.00%, 04/15/04 $ 7,008
5,000 Nassau County, Ser. B, GO, TAN, 2.00%, 10/15/04 5,027
4,695 New Rochelle, New York, GO, BAN,
2.00%, 04/09/04 4,699
15,000 New York City Housing Development Corp.,
Multi-Family Housing, 2 Gold Street, Ser. A,
Rev., FRDO, 0.93%, 03/03/04 15,000
5,400 New York City Housing Development Corp.,
Multi-Family Housing, 55 Pierrepont
Development, Ser. A, Rev., FRDO,
0.91%, 03/02/04 5,400
6,270 New York City Housing Development Corp.,
Multi-Family Housing, Columbus Apartments,
Ser. A, Rev., FRDO, 0.93%, 03/01/04 6,270
3,400 New York City Housing Development Corp.,
Multi-Family Rental Housing, 100 Jane Street
Development, Ser. A, Rev., FRDO,
0.94%, 03/05/04 3,400
3,300 New York City Housing Development Corp.,
Multi-Family Rental Housing, Columbus Green,
Ser. A, Rev., FRDO, 0.93%, 03/05/04 3,300
200 New York City Housing Development Corp.,
Multi-Family Rental Housing, Lyric
Development, Ser. A, Rev., FRDO,
0.94%, 03/04/04 200
10,900 New York City Housing Development Corp.,
Multi-Family Rental Housing, Ser. A, Rev.,
FRDO, 0.94%, 03/07/04 10,900
300 New York City Housing Development Corp.,
Multi-Family Rental Housing, Tribeca Tower,
Ser. A, Rev., FRDO, 0.98%, 03/05/04 300
3,300 New York City Housing Development Corp.,
Multi-Family Rental Housing, West 43rd Street
Development, Ser. A, Rev., FRDO,
0.94%, 03/02/04 3,300
2,400 New York City Housing Development Corp.,
Multi-Family Rental Housing, West 89th Street
Development, Ser. A, Rev., FRDO,
0.98%, 03/04/04 2,400
3,000 New York City IDA, Ahava Food Corp. Project,
Rev., FRDO, 1.00%, 03/04/04 3,000
2,000 New York City IDA, Civic Facilities, Abraham
Joshua Heschel Project, Rev., FRDO,
0.96%, 03/04/04 2,000
5,100 New York City IDA, Civic Facilities, Columbia
Grammar & Prep School, Rev., FRDO,
1.00%, 03/04/04 5,100
1,600 New York City IDA, Civic Facilities,
Hewitt School Project, Rev., FRDO,
1.00%, 03/04/04 1,600
</Table>
See notes to financial statements.
99
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 4,660 New York City IDA, Civic Facilities, Jamaica
First Packaging LLC Project, Rev., FRDO,
0.94%, 03/02/04 $ 4,660
580 New York City IDA, Civic Facilities, Municipal
Securities Trust Receipts, Ser. SGA-110, Rev.,
FRDO, 0.95%, 03/04/04 580
2,800 New York City IDA, IDR, DXB Videotape, Inc.
Project, Rev., FRDO, 1.05%, 03/03/04 2,800
5,400 New York City IDA, Special Facilities,
Korean Airlines Co., Ser. C, Rev., FRDO,
0.93%, 03/03/04 5,400
8,000 New York City Municipal Water Finance
Authority, Water & Sewer System, Ser. F,
Sub Ser. F-1, Rev., FRDO, 0.91%, 03/04/04 8,000
15,960 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Floating
Trust Receipts, Ser. 11, Rev., FRDO, FSA,
0.99%, 03/04/04 15,960
2,900 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-1076, Rev., FRDO, 0.99%, 03/07/04 2,900
5,100 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-1085, Rev., FRDO, FGIC,
0.97%, 03/07/04 5,100
8,410 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-447, Rev., FRDO, FGIC,
0.96%, 03/02/04 8,410
6,495 New York City Municipal Water Finance
Authority, Water & Sewer Systems, FLOATS,
Ser. PA-900, Rev., FRDO, 0.99%, 03/06/04 6,495
3,300 New York City Municipal Water Finance
Authority, Water & Sewer Systems,
Municipal Securities Trust Receipts, Ser. SGA-12,
Rev., FRDO, 0.95%, 03/05/04 3,300
7,255 New York City Municipal Water Finance
Authority, Water & Sewer Systems,
Municipal Securities Trust Receipts,
Ser. SGA-13, Rev., FRDO, 0.95%, 03/05/04 7,255
2,390 New York City Municipal Water Finance
Authority, Water & Sewer Systems,
Municipal Securities Trust Receipts, Ser. SGB-25,
Rev., FRDO, MBIA, 0.97%, 03/02/04 2,390
2,200 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Ser. A,
Rev., FRDO, FGIC, 0.95%, 03/01/04 2,200
500 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Ser. C,
Rev., FRDO, FGIC, 0.97%, 03/01/04 500
</Table>
See notes to financial statements.
100
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,100 New York City Municipal Water Finance
Authority, Water & Sewer Systems, Ser. C,
Rev., FRDO, FGIC, 0.97%, 03/01/04 $ 1,100
4,900 New York City Transit Authority, Metropolitan
Transportation Authority, Floating Rate Trust
Receipts, Triborough, COP, Ser. PMD-10, FRDO,
AMBAC, 1.04%, 03/01/04 4,900
20,000 New York City Transitional Finance Authority,
Floating Rate Receipts, Ser. L-21, Regulation D,
Rev., FRDO, 0.99%, 03/06/04 20,000
9,610 New York City Transitional Finance Authority,
Future Tax Secured, Ser. A, Rev., FRDO,
0.94%, 03/04/04 9,610
600 New York City Transitional Finance Authority,
Future Tax Secured, Ser. A-2, Rev., FRDO,
0.91%, 03/06/04 600
1,210 New York City Transitional Finance Authority,
Future Tax Secured, Ser. C, Rev., FRDO,
0.97%, 03/01/04 1,210
2,710 New York City Transitional Finance Authority,
Future Tax Secured, Sub Ser. B-3, Rev., FRDO,
0.94%, 03/01/04 2,710
4,800 New York City Transitional Finance Authority,
Future Tax Secured, Sub Ser. C-5, Rev., FRDO,
0.97%, 03/01/04 4,800
5,200 New York City Transitional Finance Authority,
New York City Recovery, Ser. 1, Sub Ser. 1-A,
Rev., FRDO, 0.91%, 03/04/04 5,200
2,900 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO,
0.91%, 03/04/04 2,900
2,200 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO,
0.91%, 03/04/04 2,200
2,020 New York City Transitional Finance Authority,
Ser. 2003-1, FRDO, FGIC, 0.98%, 03/05/04 2,020
2,490 New York City Transitional Finance Authority,
Ser. 2003-7, Rev., FRDO, 0.98%, 08/01/04 2,490
10,000 New York City Transitional Finance Authority,
Ser. 48, Rev., FRDO, 0.98%, 08/01/04 10,000
22,260 New York City Transitional Finance Authority,
Ser. A-40, Rev., FRDO, MBIA-IBC,
0.98%, 03/05/04 22,260
4,990 New York City Transitional Finance Authority,
Ser. RR-II-R-4052, Rev., FRDO,
0.97%, 03/07/04 4,990
1,900 New York City Trust for Cultural Resources,
Alvin Ailey Dance Foundation, Rev., FRDO, 0.86%,
03/03/04 1,900
</Table>
See notes to financial statements.
101
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,985 New York City Trust for Cultural Resources,
American Museum of Natural History, Ser. B,
Rev., FRDO, MBIA, 0.88%, 03/03/04 $ 3,985
3,500 New York City Trust for Cultural Resources,
Municipal Securities Trust Receipts, Ser. SGA-91,
Rev., FRDO, AMBAC, 0.97%, 03/01/04 3,500
10,920 New York City, New York, FLOATS, Ser. PA-878,
GO, FRDO, MBIC-IBC, 1.00%, 03/03/04 10,920
8,420 New York City, New York, FLOATS, Ser. PT-1670,
GO, FRDO, AMBAC, 0.96%, 03/04/04 8,420
9,245 New York City, New York, FLOATS, Ser. PT-405,
0.97%, 03/02/04 9,245
1,300 New York City, New York, Municipal Securities
Trust Receipts, Ser. SG-109, 0.97%, 03/01/04 1,300
1,000 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGA-51, FRDO, AMBAC,
0.95%, 03/02/04 1,000
115 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGB-33, GO, FRDO, FSA,
0.97%, 03/01/04 115
12,865 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGB-36, GO, FRDO,
AMBAC, 0.95%, 03/02/04 12,865
11,500 New York City, New York, Ser. A, GO, RAN,
2.00%, 04/15/04 11,515
9,680 New York City, New York, Ser. A-36, GO, FRDO,
AMBAC, 0.98%, 03/03/04 9,680
430 New York City, New York, Ser. B, Sub Ser. B-3,
GO, FRDO, MBIA, 0.97%, 03/01/04 430
800 New York City, New York, Ser. B, Sub Ser. B-4,
GO, FRDO, MBIA, 0.97%, 03/01/04 800
700 New York City, New York, Ser. B, Sub Ser. B-6,
GO, FRDO, MBIA, 0.96%, 03/01/04 700
2,000 New York City, New York, Ser. B-2, Sub. Ser. B-5,
GO, FRDO, MBIA, 0.96%, 03/01/04 2,000
3,000 New York City, New York, Ser. F-2, GO, FRDO,
0.88%, 03/06/04 3,000
1,050 New York City, New York, Ser. F-4, GO, FRDO,
0.91%, 03/06/04 1,050
5,670 New York City, New York, Ser. H, Sub Ser. H-2,
GO, FRDO, MBIA, 0.96%, 03/01/04 5,670
400 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 0.98%, 03/01/04 400
2,200 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 0.98%, 03/01/04 2,200
100 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 0.98%, 03/01/04 100
2,800 New York City, New York, Ser. H, Sub Ser. H-6,
GO, FRDO, MBIA, 0.89%, 03/01/04 2,800
2,400 New York City, New York, Ser. H, Sub Ser. H-6,
GO, FRDO, MBIA, 0.89%, 03/07/04 2,400
</Table>
See notes to financial statements.
102
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,300 New York City, New York, Sub Ser. A-4, GO, $ 2,300
FRDO, 0.95%, 03/01/04
3,800 New York City, New York, Sub Ser. A-6, GO,
FRDO, 0.93%, 03/03/04 3,800
15,550 New York City, New York, Sub Ser. A-6, GO,
FRDO, FSA, 0.95%, 03/01/04 15,550
5,000 New York City, New York, Sub Ser. C-2, GO,
FRDO, 0.91%, 03/03/04 5,000
1,200 New York City, New York, Sub Ser. C-4, GO,
FRDO, 0.94%, 03/01/04 1,200
3,000 New York City, New York, Sub Ser. C-5, GO,
FRDO, 0.92%, 03/03/04 3,000
610 New York City, New York, Sub Ser. G-2, GO,
FRDO, 0.93%, 03/01/04 610
1,400 New York City, New York, Sub. Ser. E-3, GO,
FRDO, 0.98%, 03/01/04 1,400
1,500 New York City, New York, Sub. Ser. E-4, GO,
FRDO, 0.97%, 03/01/04 1,500
120 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-100, Rev.,
FRDO, MBIA-IBC, 0.96%, 03/04/04 120
1,195 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-99, Rev.,
FRDO, AMBAC, 0.96%, 03/03/04 1,195
7,200 New York Local Government Assistance Corp.,
Municipal Securities Trust Receipts, Ser. SGA-59,
Rev., FRDO, 0.97%, 03/01/04 7,200
900 New York Local Government Assistance Corp.,
Ser. A, Rev., FRDO, 0.89%, 03/01/04 900
1,845 New York Local Government Assistance Corp.,
Ser. B, Rev., FRDO, 0.90%, 03/02/04 1,845
1,250 New York Local Government Assistance Corp.,
Ser. C, Rev., FRDO, 0.90%, 03/02/04 1,250
4,700 New York Local Government Assistance Corp.,
Ser. D, Rev., FRDO, 0.88%, 03/02/04 4,700
2,800 New York Local Government Assistance Corp.,
Ser. G, Rev., FRDO, 0.88%, 03/02/04 2,800
3,180 New York Mortgage Agency, FLOATS, Ser. PT-1190,
Rev., FRDO, 0.99%, 03/06/04 3,180
3,860 New York State Dorm Authority, Beverwyck, Inc.,
Rev., FRDO, 0.97%, 03/03/04 3,860
4,415 New York State Dorm Authority, FLOATS,
Ser. PA-409, Rev., FRDO, AMBAC,
0.96%, 03/01/04 4,415
2,670 New York State Dorm Authority, FLOATS,
Ser. PA-419, Rev., FRDO, 0.96%, 03/01/04 2,670
3,545 New York State Dorm Authority, FLOATS,
Ser. PA-449, Rev., 0.96%, 03/05/04 3,545
9,340 New York State Dorm Authority, FLOATS,
Ser. PA-541, Rev., 0.96%, 03/07/04 9,340
</Table>
See notes to financial statements.
103
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 800 New York State Dorm Authority, FLOATS, Ser.
PA-784, Rev., FRDO, MBIA-IBC, 0.96%, 03/04/04 $ 800
880 New York State Dorm Authority, FLOATS, Ser.
PT-130, Rev., 0.96%, 03/07/04 880
5,840 New York State Dorm Authority, FLOATS, Ser.
PT-1447, Rev., FRDO, MBIA, 0.96%, 03/02/04 5,840
4,185 New York State Dorm Authority, FLOATS, Ser.
PT-1621, Rev., FRDO, MBIA, 0.96%, 03/02/04 4,185
4,890 New York State Dorm Authority, FLOATS, Ser.
PT-1742, Rev., FRDO, MBIA, 0.96%, 03/02/04 4,890
3,400 New York State Dorm Authority, Mental
Health Services, Sub Ser. D-2E, Rev., FRDO,
0.91%, 03/05/04 3,400
4,000 New York State Dorm Authority, Municipal
Securities Trust Receipts, Ser. SGA-132, Rev.,
FRDO, 0.95%, 03/04/04 4,000
440 New York State Dorm Authority, New York
AAA Public Library, Ser. A, Rev., FRDO, MBIA,
0.93%, 03/02/04 440
2,400 New York State Dorm Authority, Oxford
University Press, Inc., Rev., FRDO,
1.00%, 03/01/04 2,400
6,645 New York State Dormitory Authority, FLOATS,
Ser. PA-199, Rev., FRDO, MBIA-IBC,
0.96%, 03/04/04 6,645
25,000 New York State Eagle Trust, FRDO,
0.97%, 03/04/04 25,000
1,100 New York State Energy Research &
Development Authority, PCR, New York
Electric & Gas, Ser. B, Rev., FRDO,
0.97%, 03/01/04 1,100
6,400 New York State Energy Research &
Development Authority, PCR, Orange &
Rockland Project, Ser. A, Rev., FRDO, FGIC,
0.88%, 03/01/04 6,400
18,130 New York State Environmental Facilities Corp.,
Clean Water & Drinking, FLOATS, Ser. 731,
Rev., FRDO, 0.97%, 03/07/04 18,130
3,900 New York State Housing Finance Agency, 10
Liberty Street, Rev., FRDO, 0.93%, 03/02/04 3,900
9,150 New York State Housing Finance Agency,
101 West End, Rev., FRDO, 0.93%, 03/05/04
9,700 New York State Housing Finance Agency, 9,150
101 West End, Rev., FRDO, 0.93%, 03/05/04
3,400 New York State Housing Finance Agency, 9,700
150 East 44th Street Housing, Ser. A, Rev.,
FRDO, 0.93%, 03/01/04 3,400
3,000 New York State Housing Finance Agency,
150 East 44th Street, Ser. A, Rev., FRDO,
0.93%, 03/01/04 3,000
</Table>
See notes to financial statements.
104
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 6,800 New York State Housing Finance Agency,
350 West 43rd Street Housing, Ser. A, Rev.,
FRDO, 1.00%, 04/01/04 $ 6,800
10,000 New York State Housing Finance Agency,
Avalon Chrystie Place I Housing, Ser. A, Rev.,
FRDO, 0.98%, 03/01/04 10,000
10,300 New York State Housing Finance Agency,
Bennington Hills Housing, Ser. A, Rev., FRDO,
0.94%, 03/03/04 10,300
5,000 New York State Housing Finance Agency,
East 84th Street, Ser. A, Rev., FRDO,
0.98%, 03/01/04 5,000
2,495 New York State Housing Finance Agency,
FLOATS, Ser. PA-143, Rev., FRDO,
1.02%, 03/06/04 2,495
8,640 New York State Housing Finance Agency,
FLOATS, Ser. PA-423, Rev., 0.96%, 03/07/04 8,640
5,395 New York State Housing Finance Agency,
FLOATS, Ser. PA-805, Rev., FRDO, FSA,
0.96%, 03/04/04 5,395
3,600 New York State Housing Finance Agency,
Lakeview Homes, Ser. II-A, Rev., FRDO,
0.96%, 03/04/04 3,600
4,600 New York State Housing Finance Agency,
Multi-Family Housing, Secured Mortgage,
Ser. A, Rev., FRDO, 0.94%, 03/02/04 4,600
200 New York State Housing Finance Agency,
Multi-Family Housing, Ser. A, Rev., FRDO,
0.98%, 03/03/04 200
3,400 New York State Housing Finance Agency,
Normandie Court I Project, Rev., FRDO,
0.92%, 03/05/04 3,400
10,000 New York State Housing Finance Agency,
Ser. A, Rev., FRDO, 0.91%, 03/04/04 10,000
1,100 New York State Housing Finance Agency,
Ser. A, Rev., FRDO, 0.94%, 03/03/04 1,100
9,500 New York State Housing Finance Agency,
Ser. I, Rev., FRDO, 0.93%, 03/04/04 9,500
11,000 New York State Housing Finance Agency,
Service Contract, Ser. E, Rev., FRDO,
0.91%, 03/04/04 11,000
10,500 New York State Housing Finance Agency,
Tallyrand Crescent, Rev., FRDO,
0.96%, 03/04/04 10,500
4,200 New York State Housing Finance Agency,
Union Square South Housing, Rev., FRDO,
0.98%, 03/04/04 4,200
8,400 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-113, Rev., FRDO,
0.96%, 03/04/04 8,400
</Table>
See notes to financial statements.
105
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 5,625 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-61, Rev., FRDO,
0.99%, 03/04/04 $ 5,625
3,125 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-72, Rev.,
0.99%, 03/01/04 3,125
8,140 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-82, Rev.,
0.99%, 03/04/04 8,140
2,540 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PT-17, Rev.,
0.96%, 03/01/04 2,540
5,820 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PT-414, Rev., FRDO,
1.15%, 08/15/04 5,820
13,100 New York State Thruway Authority, Floating
Rate Receipts, Ser. SG-121, Rev., FRDO,
0.99%, 03/04/04 13,100
52,025 New York State Thruway Authority, Floating
Rate Trust Receipts, Ser. SG-119, Rev., FRDO,
1.02%, 03/01/04 52,025
8,245 New York State Thruway Authority, General
Highway & Bridge Trust Fund, FLOATS,
Ser. PT-1910, 0.96%, 03/03/04 8,245
1,385 New York State Thruway Authority, Municipal
Securities Trust Receipts, Ser. SGA-66, Rev.,
FRDO, 0.95%, 03/05/04 1,385
9,100 New York State Urban Development Corp.,
Floating Rate Trust Receipts, Ser. SG-163,
Rev., 0.96%, 03/01/04 9,100
2,000 New York State, Housing Finance Agency,
Saxony Housing, 240 E. 39th St. Housing,
Rev., FRDO, 0.94%, 03/04/04 2,000
1,900 New York State, Local Government Assistance
Corp., Ser. F, Rev., FRDO, 0.90%, 03/02/04 1,900
14,675 New York State, Power Authority, General
Purpose, GO, FRDO, 0.90%, 03/01/04 14,675
10,000 New York State, Ser. A, GO, FRDO,
1.05%, 02/07/05 10,000
15,000 New York Water, 0.98%, 06/10/04 15,000
12,260 Newburgh City School District, GO, RAN,
1.38%, 05/27/04 12,260
6,000 Newburgh City School District, GO, RAN,
1.50%, 06/24/04 6,008
4,995 Niagara Falls Bridge Commission, Tolls, FLOATS,
Ser. PA-530, 0.96%, 03/05/04 4,995
5,000 Niagara Falls City School District, Ser. B, GO,
RAN, 2.50%, 10/08/04 5,027
2,000 North Hempstead, New York, Landfill
Improvements, Ser. B, GO, BAN,
1.50%, 04/15/04 2,000
</Table>
See notes to financial statements.
106
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 6,820 Oneida County IDA, Champion Home, Rev.,
FRDO, 1.00%, 03/04/04 $ 6,820
3,060 Oneida County IDA, Rev., FRDO, 1.10%, 03/05/04 3,060
19,500 Oneida Indian Nation, Rev., FRDO, 0.92%, 03/04/04 19,500
5,275 Onondaga County IDA, IDR, Albany Molecular
Research Project, Rev., FRDO, 0.94%, 03/02/04 5,275
15,000 Onondaga County IDA, Solid Waste Disposal
Facilities, Solvay Paperboard Project, Ser. A,
Rev., FRDO, 1.05%, 03/03/04 15,000
10,000 Onondaga County IDA, Solid Waste Disposal
Facility, Solvay Paperboard Project, Rev.,
FRDO, 1.05%, 03/01/04 10,000
19,000 Onondaga County IDA, Solid Waste Disposal
Facility, Solvay Paperboard Project, Rev.,
FRDO, 1.05%, 03/03/04 19,000
19,405 Oxford Academy & Central School District, GO,
BAN, 1.38%, 06/18/04 19,428
8,500 Oyster Bay, New York, Ser. A, GO, BAN,
2.00%, 01/21/05 8,564
4,000 Oyster Bay, New York, Ser. A, GO, TAN,
2.00%, 01/21/05 4,026
2,000 Oyster Bay, New York, Ser. B, BAN, 1.38%, 06/11/04 2,002
2,000 Oyster Bay, New York, Ser. C, BAN, 1.38%, 06/11/04 2,002
10,000 Phelps-Clifton Springs Central School District, GO,
BAN, 1.63%, 04/30/04 10,007
7,250 Phelps-Clifton Springs Central School District, GO,
BAN, 1.63%, 06/18/04 7,261
12,655 Port Authority of New York & New Jersey, Trust
Receipts, Ser. 10, Class F, Rev., FRDO, FSA,
0.94%, 03/06/04 12,655
1,115 Port Jervis IDA, The Future Home Tech, Inc.,
Rev., FRDO, 1.05%, 03/02/04 1,115
6,360 Poughkeepsie IDA, Senior Living Facility,
Manor at Woodside Project, Rev., FRDO,
1.00%, 03/03/04 6,360
10,000 Ravena Coeymans Selkirk Central School District,
GO, BAN, 1.50%, 06/18/04 10,015
14,000 Rochester, New York, Ser. I, GO, BAN,
2.00%, 03/04/04 14,001
8,000 Rochester, New York, Ser. II, GO, BAN,
2.00%, 10/22/04 8,046
525 Rockland County IDA, IDR, X Products Corp.
Project, Rev., FRDO, 1.00%, 03/02/04 525
1,555 Rockland County IDA, Shock Tech, Inc. Project,
Rev., FRDO, 1.10%, 03/03/04 1,555
500 Rome City School District, GO, RAN,
1.75%, 06/25/04 501
13,620 Sidney Central School District, GO, BAN,
2.00%, 10/01/04 13,692
7,000 South Glens Falls Central School District, RAN,
1.38%, 06/17/04 7,006
</Table>
See notes to financial statements.
107
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,000 Southeast IDA, IDR, Unilock New York, Inc.
Project, Rev., FRDO, 1.02%, 03/01/04 $ 2,000
10,300 Steuben-Allegany Counties Board of
Cooperative Educational Services Sole
Supervisory District, GO, RAN,
1.25%, 06/30/04 10,309
4,700 Steuben-Allegany Counties Board of
Cooperative Educational Services, Sole
Supervisory District, GO, RAN,
2.13%, 06/30/04 4,714
3,430 Suffolk County IDA, Civic Facilities,
Guide Dog Foundation, Inc., Rev., FRDO,
0.94%, 03/04/04 3,430
300 Suffolk County Water Authority, Rev., BAN,
FRDO, 0.92%, 03/03/04 300
5,000 Suffolk County Water Authority, Rev., BAN,
FRDO, 0.92%, 03/06/04 5,000
2,335 Sullivan West Central School District, GO,
BAN, 1.25%, 06/18/04 2,336
10,000 Sullivan West Central School District, GO,
BAN, 1.63%, 04/16/04 10,006
19,630 The New York Power Authority, General
Purpose, GO, FRDO, 0.90%, 03/01/04 19,630
34,985 Tobacco Settlement Financing Authority,
FLOATS, Ser. PT-1911, 0.96%, 06/01/04 34,985
7,495 Tobacco Settlement Financing Authority, Ser.
TOCS-2003, Rev., FRDO, 1.
14%, 06/01/04 7,495
7,400 Tompkins-Seneca-Tioga Board of Cooperative
Educational Services, GO, RAN,
1.75%, 06/30/04 7,416
6,200 Tompkins-Seneca-Tioga Board of Cooperative
Educational Services, Sole Supervisory
District, Rev., RAN, 1.50%, 06/30/04 6,208
2,500 Triborough Bridge & Tunnel Authority,
EAGLE Ser. 2003-2004, Class A, Rev., FRDO,
FGIC, 0.97%, 03/06/04 2,500
7,675 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-1080, Rev., FRDO,
0.99%, 03/04/04 7,675
360 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-1090, Rev., FRDO, MBIA-IBC,
0.96%, 03/03/04 360
3,930 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-200, Rev., FRDO, (p),
0.99%, 03/04/04 3,930
4,995 Triborough Bridge & Tunnel Authority,
FLOATS, Ser. PA-665, Rev., 0.99%, 03/06/04 4,995
100 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. B, Rev., FRDO, AMBAC,
0.91%, 03/02/04 100
</Table>
See notes to financial statements.
108
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,400 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. C, Rev., FRDO,
AMBAC, 0.91%, 03/02/04 $ 3,400
6,490 Triborough Bridge & Tunnel Authority,
Special Obligation, Ser. B, Rev., FRDO, FSA,
0.91%, 03/01/04 6,490
95 Triborough Bridge & Tunnel Authority,
Special Obligation, Ser. D, Rev., FRDO, FSA,
0.91%, 03/07/04 95
4,300 Unadilla Valley Central School District, GO,
BAN, 1.63%, 06/28/04 4,307
5,000 Utica City School District, GO, BAN,
2.00%, 09/24/04 5,022
19,350 Watkins Glen Central School District, Ser. B,
GO, BAN, 1.38%, 06/17/04 19,350
4,685 Westchester County IDA, Civic Facilities,
Community Housing Innovations, Inc., Rev.,
FRDO, 0.94%, 03/04/04 4,685
2,630 Westchester County IDA, Civic Facilities,
The Masters School, Rev., FRDO,
1.00%, 03/04/04 2,630
6,500 Westchester County IDA, IDR, Levister
Redevelopment Co., LLC, Ser. A, Rev.,
FRDO, 0.95%, 03/02/04 6,500
3,400 Williamson, New York, GO, BAN,
2.00%, 09/17/04 3,415
---------------
1,800,287
PUERTO RICO -- 3.9%
6,388 Government Development Bank,
1.00%, 06/04/04 6,388
10,045 Municipal Securities Trust Certificates,
Ser. 7005, Class A, Special Obligation,
FRDO, (p), 0.91%, 03/03/04 10,045
20,800 Puerto Rico Commonwealth, 0.99%, 06/29/04 20,800
2,000 Puerto Rico Commonwealth, 0.99%, 07/14/04 2,000
11,055 Puerto Rico Commonwealth, 0.99%, 07/21/04 11,055
6,000 Puerto Rico Commonwealth, Floating Rate
Trust Receipts, Ser. M-4J, GO, FRDO, FSA,
0.96%, 03/04/04 6,000
360 Puerto Rico Commonwealth, FLOATS, Ser.
PA-625, GO, FRDO, AMBAC,
0.93%, 03/04/04 360
150 Puerto Rico Commonwealth, Trust Receipts,
Ser. 3, Class F, GO, FRDO, MBIA,
0.94%, 03/04/04 150
15,224 Puerto Rico Highway & Transportation
Authority, FLOATS, Ser. 815-D, Rev., FRDO,
MBIA, 0.97%, 03/02/04 15,224
</Table>
See notes to financial statements.
109
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PUERTO RICO -- CONTINUED
$ 895 Puerto Rico Highway & Transportation
Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC,
0.97%, 03/07/04 $ 895
---------------
72,917
- ----------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 1,873,204
(Cost $1,873,204)*
- ----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
110
<Page>
Abbreviations:
* -- The cost of securities is substantially the same for federal income
tax purposes.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
(i) -- Security is illiquid and may be difficult to sell.
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the earlier of the reset date and the date of the
prerefunded call.
Adj. -- Adjustable. Maturity date shown is actual maturity date. The
interest rate shown is the rate in effect at February 29, 2004.
ACES -- Auction Rate Securities.
AMBAC -- American Municipal Bond Assurance Corp.
BAN -- Bond Anticipation Note.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
DN -- Discount Note: The rate shown is the effective yield at the date
of purchase.
EAGLE -- Earnings of accrual generated on local tax-exempt securities.
FGIC -- Financial Guaranty Insurance Co.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the
next interest reset date. The interest rate shown is the rate in
effect at February 29, 2004.
FRN -- Floating Rate Note. The maturity date shown is the actual maturity
date. The rate shown is the rate in effect at February 29, 2004.
FSA -- Financial Securities Assurance.
GAN -- Grant Anticipation Note.
GO -- General Obligation Bond.
IBC -- Insured Bond Certificates.
IDA -- Industrial Development Authority.
IDB -- Industrial Development Board.
IDR -- Industrial Development Revenue.
MBIA -- Municipal Bond Insurance Association.
MTN -- Medium Term Note.
PCFA -- Pollution Control Financing Authority.
PCR -- Pollution Control Revenue.
PUTTERS -- Puttable Tax Exempt Receipt.
RAN -- Revenue Anticipation Note.
Rev. -- Revenue Bond.
Ser. -- Series.
SUB -- Step-up bond. The rate shown is the rate in effect as of
February 29, 2004.
TAN -- Tax Anticipation Note.
TAW -- Tax Anticipation Warrant.
TRAN -- Tax & Revenue Anticipation Note.
USD -- United States Dollar.
See notes to financial statements.
111
<Page>
JPMORGAN FUNDS
Statement of Assets & Liabilities
As of February 29, 2004 (unaudited)
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
PRIME
MONEY MARKET
FUND
- -----------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 46,955,782
Cash 400,024
Receivables:
Fund shares sold 422
Interest 49,296
- -----------------------------------------------------------------------------------------------
Total Assets 47,405,524
- -----------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 15,726
Investment securities purchased 225,000
Accrued liabilities:
Investment advisory fees 3,754
Administration fees 3,191
Shareholder servicing fees 2,989
Distribution fees 96
Custodian fees 928
Trustees' fees -- deferred compensation plan 2,340
Other 1,068
- -----------------------------------------------------------------------------------------------
Total Liabilities 255,092
- -----------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 47,150,411
Accumulated net realized gain (loss) on investments 21
- -----------------------------------------------------------------------------------------------
Total Net Assets $ 47,150,432
- -----------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Morgan 4,318,545
Premier 5,600,892
Agency 12,751,616
Class B 7,477
Class C 315
Institutional 23,430,170
Reserve 280,666
Select 689,682
Cash Management 71,696
Net asset value, offering and redemption price per share (all classes)* $ 1.00
- -----------------------------------------------------------------------------------------------
Cost of investments $ 46,955,782
===============================================================================================
</Table>
*Redemption price for Class B and Class C may be reduced by contingent deferred
sales charge.
See notes to financial statements.
112
<Page>
<Table>
<Caption>
LIQUID ASSETS U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 2,986,456 $ 9,573,653
Cash --^ 1
Receivables:
Investment securities sold -- 193,004
Fund shares sold 36 149
Interest 5,835 6,798
- -----------------------------------------------------------------------------------------------------------------
Total Assets 2,992,327 9,773,605
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 609 1,813
Investment securities purchased -- 701,797
Accrued liabilities:
Investment advisory fees 262 729
Administration fees 53 394
Shareholder servicing fees 48 1,172
Distribution fees -- 122
Custodian fees 75 198
Trustees' fees -- deferred compensation plan 6 1,095
Other 152 93
- -----------------------------------------------------------------------------------------------------------------
Total Liabilities 1,205 707,413
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 2,991,075 9,066,164
Accumulated undistributed (overdistributed) net
investment income 3 --^
Accumulated net realized gain (loss)
on investments 44 28
- -----------------------------------------------------------------------------------------------------------------
Total Net Assets $ 2,991,122 $ 9,066,192
- -----------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Morgan 20,118 2,580,825
Premier Shares 40,060 547,378
Agency Shares 411,135 4,106,101
Institutional Shares 2,519,762 1,831,903
Net asset value, offering and redemption price
per share (all classes) $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------
Cost of investments $ 2,986,456 $ 9,573,653
=================================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
113
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 4,143,595 $ 3,237,121
Cash 2,879 --^
Receivables:
Investment securities sold -- 384,895
Interest 6,955 4,855
Expense reimbursements 1 --
- -----------------------------------------------------------------------------------------------------------------
Total Assets 4,153,430 3,626,871
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 988 1,284
Accrued liabilities:
Investment advisory fees 305 288
Administration fees 213 239
Shareholder servicing fees 501 352
Distribution fees 66 8
Custodian fees 104 102
Trustees' fees -- deferred compensation plan 413 181
Other 304 204
- -----------------------------------------------------------------------------------------------------------------
Total Liabilities 2,894 2,658
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 4,150,576 3,624,271
Accumulated undistributed (overdistributed) net
investment income (46) (56)
Accumulated net realized gain (loss)
on investments 6 (2)
- -----------------------------------------------------------------------------------------------------------------
Total Net Assets $ 4,150,536 $ 3,624,213
- -----------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Morgan 664,020 260,050
Premier 1,110,188 1,360,589
Agency 1,392,317 327,988
Institutional 747,486 1,676,119
Reserve 236,617 --
Net asset value, offering and redemption price
per share (all classes) $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------
Cost of investments $ 4,143,595 $ 3,237,121
=================================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
114
<Page>
<Table>
<Caption>
100% U.S.
TREASURY SECURITIES TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 5,061,402 $ 12,063,068
Cash 51,609 73
Receivables:
Fund shares sold 5 30
Interest 13,769 36,693
- -----------------------------------------------------------------------------------------------------------------
Total Assets 5,126,785 12,099,864
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 1,018 3,723
Investment securities purchased -- 28,470
Accrued liabilities:
Investment advisory fees 421 958
Administration fees 366 824
Shareholder servicing fees 783 900
Distribution fees 27 12
Custodian fees 88 238
Trustees' fees -- deferred compensation plan 602 263
Other 554 417
- -----------------------------------------------------------------------------------------------------------------
Total Liabilities 3,859 35,805
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 5,122,741 12,066,370
Accumulated undistributed (overdistributed)
net investment income -- (3,878)
Accumulated net realized gain (loss)
on investments 185 1,567
- -----------------------------------------------------------------------------------------------------------------
Total Net Assets $ 5,122,926 $ 12,064,059
- -----------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Morgan 2,262,164 598,666
Premier 544,762 3,568,160
Agency 952,744 794,966
Institutional 1,363,144 7,104,383
Net asset value, offering and redemption price
per share (all classes) $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------
Cost of investments $ 5,061,402 $ 12,063,068
=================================================================================================================
</Table>
See notes to financial statements.
115
<Page>
<Table>
<Caption>
CALIFORNIA NEW YORK
TAX FREE TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 164,945 $ 1,873,204
Receivables:
Fund shares sold 10 2
Interest 518 6,467
- -----------------------------------------------------------------------------------------------------------------
Total Assets 165,473 1,879,673
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Due to custodian 15 5
Dividends 45 184
Investment securities purchased -- 31,476
Accrued liabilities:
Investment advisory fees 13 149
Administration fees 4 137
Shareholder servicing fees 36 522
Distribution fees -- 31
Custodian fees 8 48
Trustees' fees -- deferred compensation plan 11 240
Other 34 267
- -----------------------------------------------------------------------------------------------------------------
Total Liabilities 166 33,059
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 165,355 1,846,167
Accumulated undistributed (overdistributed) net
investment income (49) (262)
Accumulated net realized gain (loss)
on investments 1 709
- -----------------------------------------------------------------------------------------------------------------
Total Net Assets $ 165,307 $ 1,846,614
- -----------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized):
Morgan 165,371 1,663,382
Reserve -- 182,887
Net asset value, offering and redemption price
per share (all classes) $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------
Cost of investments $ 164,945 $ 1,873,204
=================================================================================================================
</Table>
See notes to financial statements.
116
<Page>
Statement of Operations
For the six months ended February 29, 2004 (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRIME
MONEY MARKET
FUND
- -----------------------------------------------------------------------------------------------
INTEREST INCOME: $ 273,908
- -----------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 24,184
Administration fees 24,184
Shareholder servicing fees 35,073
Distribution fees 758
Custodian and accounting fees 1,573
Printing and postage 52
Professional fees 514
Registration fees 24
Transfer agent fees 1,837
Trustees' fees 463
Other 736
- -----------------------------------------------------------------------------------------------
Total expenses 89,398
- -----------------------------------------------------------------------------------------------
Less amounts waived 19,240
Less earnings credits 1
- -----------------------------------------------------------------------------------------------
Net expenses 70,157
- -----------------------------------------------------------------------------------------------
Net investment income 203,751
- -----------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investment transactions 20
- -----------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 203,771
===============================================================================================
</Table>
See notes to financial statements.
117
<Page>
<Table>
<Caption>
LIQUID ASSETS U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 17,552 $ 50,597
- -----------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,530 4,624
Administration fees 1,530 4,624
Shareholder servicing fees 1,592 8,577
Distribution fees 9 1,725
Custodian and accounting fees 130 308
Printing and postage 11 28
Professional fees 56 88
Registration fees 37 107
Transfer agent fees 78 271
Trustees' fees 23 89
Other 50 112
- -----------------------------------------------------------------------------------------------------------------
Total expenses 5,046 20,553
- -----------------------------------------------------------------------------------------------------------------
Less amounts waived 2,526 3,940
Less earnings credits 1 --
- -----------------------------------------------------------------------------------------------------------------
Net expenses 2,519 16,613
- -----------------------------------------------------------------------------------------------------------------
Net investment income 15,033 33,984
- -----------------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investment
transactions 65 17
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 15,098 $ 34,001
=================================================================================================================
</Table>
See notes to financial statements.
118
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 20,120 $ 19,271
- -----------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,985 1,833
Administration fees 1,985 1,833
Shareholder servicing fees 4,015 3,181
Distribution fees 698 141
Custodian and accounting fees 147 121
Printing and postage 10 6
Professional fees 56 52
Registration fees 302 --
Transfer agent fees 142 237
Trustees' fees 38 35
Other 77 58
- -----------------------------------------------------------------------------------------------------------------
Total expenses 9,455 7,497
- -----------------------------------------------------------------------------------------------------------------
Less amounts waived 1,590 1,361
Less expense reimbursements 1 --
Less earnings credits -- --^
- -----------------------------------------------------------------------------------------------------------------
Net expenses 7,864 6,136
- -----------------------------------------------------------------------------------------------------------------
Net investment income 12,256 13,135
- -----------------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investment
transactions 261 (7)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 12,517 $ 13,128
=================================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
119
<Page>
<Table>
<Caption>
100% U.S.
TREASURY SECURITIES TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 24,749 $ 59,837
- -----------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 2,519 5,734
Administration fees 2,519 5,734
Shareholder servicing fees 5,886 9,046
Distribution fees 1,180 302
Custodian and accounting fees 176 362
Printing and postage 10 27
Professional fees 50 123
Registration fees -- 9
Transfer agent fees 383 164
Trustees' fees 48 110
Other 49 149
- -----------------------------------------------------------------------------------------------------------------
Total expenses 12,820 21,760
- -----------------------------------------------------------------------------------------------------------------
Less amounts waived 2,240 4,626
Less expense reimbursements 10 --
Less earnings credits -- 3
- -----------------------------------------------------------------------------------------------------------------
Net expenses 10,570 17,131
- -----------------------------------------------------------------------------------------------------------------
Net investment income 14,179 42,706
- -----------------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investment
transactions 350 1,486
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 14,529 $ 44,192
=================================================================================================================
</Table>
See notes to financial statements.
120
<Page>
<Table>
<Caption>
CALIFORNIA NEW YORK
TAX FREE TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 803 $ 9,583
- -----------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 77 916
Administration fees 77 916
Shareholder servicing fees 271 3,206
Distribution fees 77 1,087
Custodian and accounting fees 14 69
Printing and postage -- 7
Professional fees 26 47
Registration fees 41 --
Transfer agent fees 22 245
Trustees' fees 1 18
Other 5 39
- -----------------------------------------------------------------------------------------------------------------
Total expenses 611 6,550
- -----------------------------------------------------------------------------------------------------------------
Less amounts waived 186 972
Less earnings credits --^ 2
- -----------------------------------------------------------------------------------------------------------------
Net expenses 425 5,576
- -----------------------------------------------------------------------------------------------------------------
Net investment income 378 4,007
- -----------------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investment transactions 1 291
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 379 $ 4,298
=================================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
121
<Page>
Statement of Changes in Net Assets For the periods indicated (unaudited)
(Amounts in thousands)
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 203,751 $ 602,371
Net realized gain (loss) on investments 20 9
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 203,771 602,380
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (202,438) (603,707)
Net realized gain on investment transactions -- (147)
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (202,438) (603,854)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (2,299,130) 519,344
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (2,297,797) 517,870
NET ASSETS:
Beginning of period 49,448,229 48,930,359
- -----------------------------------------------------------------------------------------------------------------
End of period $ 47,150,432 $ 49,448,229
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (1,313)
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
122
<Page>
<Table>
<Caption>
LIQUID ASSETS
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 15,033 $ 28,307
Net realized gain (loss) on investments 65 73
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 15,098 28,380
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (15,021) (28,315)
Net realized gain on investment transactions (88) (6)
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (15,109) (28,321)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 419,676 1,356,372
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 419,665 1,356,431
NET ASSETS:
Beginning of period 2,571,457 1,215,026
- -----------------------------------------------------------------------------------------------------------------
End of period $ 2,991,122 $ 2,571,457
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 3 $ (9)
- -----------------------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 33,984 $ 95,487
Net realized gain (loss) on investments 17 281
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 34,001 95,768
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (33,824) (95,524)
Net realized gain on investment transactions (267) (3)
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (34,091) (95,527)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (415,883) 115,592
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (415,973) 115,833
NET ASSETS:
Beginning of period 9,482,165 9,366,332
- -----------------------------------------------------------------------------------------------------------------
End of period $ 9,066,192 $ 9,482,165
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ --^ $ (160)
- -----------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
123
<Page>
<Table>
<Caption>
TREASURY PLUS
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 12,256 $ 37,997
Net realized gain (loss) on investments 261 15
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 12,517 38,012
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (12,256) (38,099)
Net realized gain on investment transactions -- --
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (12,256) (38,099)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 361,700 (215,318)
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 361,961 (215,405)
NET ASSETS:
Beginning of period 3,788,575 4,003,980
- -----------------------------------------------------------------------------------------------------------------
End of period $ 4,150,536 $ 3,788,575
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (46) $ (46)
- -----------------------------------------------------------------------------------------------------------------
<Caption>
FEDERAL
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 13,135 $ 44,931
Net realized gain (loss) on investments (7) 24
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 13,128 44,955
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (13,005) (44,861)
Net realized gain on investment transactions -- (66)
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (13,005) (44,927)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 53,533 (761,408)
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 53,656 (761,380)
NET ASSETS:
Beginning of period 3,570,557 4,331,937
- -----------------------------------------------------------------------------------------------------------------
End of period $ 3,624,213 $ 3,570,557
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (56) $ (186)
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
124
<Page>
<Table>
<Caption>
100% U.S. TREASURY
SECURITIES
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 14,179 $ 48,374
Net realized gain (loss) on investments 350 231
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 14,529 48,605
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (14,143) (48,312)
Net realized gain on investment transactions (347) (60)
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (14,490) (48,372)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 155,224 (268,077)
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 155,263 (267,844)
NET ASSETS:
Beginning of period 4,967,663 5,235,507
- -----------------------------------------------------------------------------------------------------------------
End of period $ 5,122,926 $ 4,967,663
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (36)
- -----------------------------------------------------------------------------------------------------------------
<Caption>
TAX FREE
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 42,706 $ 93,998
Net realized gain (loss) on investments 1,486 858
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 44,192 94,856
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (42,766) (94,379)
Net realized gain on investment transactions -- --
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (42,766) (94,379)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 921,712 2,189,669
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 923,138 2,190,146
NET ASSETS:
Beginning of period 11,140,921 8,950,775
- -----------------------------------------------------------------------------------------------------------------
End of period $ 12,064,059 $ 11,140,921
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (3,878) $ (3,818)
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
125
<Page>
<Table>
<Caption>
CALIFORNIA TAX FREE
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 378 $ 1,118
Net realized gain (loss) on investments 1 5
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 379 1,123
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (378) (1,133)
Net realized gain (loss) on investment transactions -- --
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (378) (1,133)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 16,159 (13,914)
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 16,160 (13,924)
NET ASSETS:
Beginning of period 149,147 163,071
- -----------------------------------------------------------------------------------------------------------------
End of period $ 165,307 $ 149,147
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (49) $ (49)
- -----------------------------------------------------------------------------------------------------------------
<Caption>
NEW YORK TAX FREE
MONEY MARKET FUND
---------------------------------
9/1/03 YEAR
THROUGH ENDED
2/29/04 8/31/03
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 4,007 $ 14,980
Net realized gain (loss) on investments 291 417
- -----------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 4,298 15,397
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (4,009) (14,748)
Net realized gain (loss) on investment transactions -- (386)
- -----------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (4,009) (15,134)
- -----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 8,927 (465,972)
- -----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 9,216 (465,709)
NET ASSETS:
Beginning of period 1,837,398 2,303,107
- -----------------------------------------------------------------------------------------------------------------
End of period $ 1,846,614 $ 1,837,398
- -----------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (262) $ (260)
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
126
<Page>
JPMORGAN FUNDS
Notes to Financial Statements (unaudited)
1. ORGANIZATION
JPMorgan Mutual Fund Trust ("MFT" or "the Trust") was organized on February 4,
1994 as a Massachusetts business trust, and is registered under the Investment
Company Act of 1940, as amended, (the "1940 Act"), as an open-end management
investment company. MFT was formerly named Mutual Fund Trust. The name change
went into effect May 1, 2003.
The following are nine separate portfolios of the Trust (collectively, the
"Funds").
<Table>
<Caption>
FUND CLASSES OFFERED
- --------------------------------------------------------------------------------
JPMorgan Prime Money Market Fund ("PRM") Morgan, Premier, Agency, Class B,
Class C, Institutional, Reserve,
Select, Cash Management
JPMorgan Liquid Assets Money Market
Fund ("LA") Morgan, Premier, Agency,
Institutional
JPMorgan U.S. Government Money Market
Fund ("USG") Morgan, Premier, Agency,
Institutional
JPMorgan Treasury Plus Money Market
Fund ("TP") Morgan, Premier, Agency,
Institutional, Reserve
JPMorgan Federal Money Market Fund ("FED") Morgan, Premier, Agency,
Institutional
JPMorgan 100% U.S. Treasury Securities
Money Market Fund ("USTS") Morgan, Premier, Agency,
Institutional
JPMorgan Tax Free Money Market Fund ("TF") Morgan, Premier, Agency,
Institutional
JPMorgan California Tax Free Money Market
Fund ("CTF") Morgan
JPMorgan New York Tax Free Money Market
Fund ("NYTF") Morgan, Reserve
</Table>
Class B and C shares provide for a contingent deferred sales charge. Class B
shares automatically convert to Morgan shares after 8 years. No sales charges
are assessed with respect to Agency Class, Institutional Class, Premier Class,
Select Class, Reserve Class, and Cash Management 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 fees and each class has exclusive voting
rights with respect to its distribution plan and shareholder servicing
agreement.
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.
127
<Page>
A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized
cost which approximates market value. The Trust's use of amortized cost is
subject to the Trust's compliance with certain conditions as specified under
Rule 2a-7 of the 1940 Act.
B. REPURCHASE AGREEMENTS -- PRM and LA may engage in repurchase agreement
transactions that are collateralized by money market instruments or corporate
debt securities that, at the time the transaction is entered into, are rated at
least investment grade. USG, TP, FED, USTS, TF, CTF, and NYTF may engage in
repurchase agreements that are fully collateralized, primarily by U.S. Treasury
and Government Agency securities. All collateral is held by the Fund's custodian
bank, subcustodian or a bank with which the custodian bank has entered into a
subcustodian agreement, or is segregated in the Federal Reserve Book Entry
System. In connection with transactions in repurchase agreements, if the seller
defaults and the value of the collateral declines, realization of the collateral
by the Fund may be delayed or limited.
C. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts.
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust are allocated
proportionately among each of the Funds within the Trust in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating net asset value per share of each class, investment income, realized
and unrealized gains and losses and expenses other than class specific expenses
are allocated daily to each class of shares based upon the proportion of net
assets of each class at the beginning of each day.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Funds' 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.
128
<Page>
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 Operations include fees
related to insurance, pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
J.P. Morgan Investment Management Inc. ("JPMIM") acts as the investment advisor
to the Funds. Prior to September 1, 2003, pursuant to an Advisory agreement,
J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM") served as the Advisor
to the Funds. On September 1, 2003, JPMFAM 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
0.10% of the average daily net assets for each respective Fund.
The Advisor waived fees and/or reimbursed expenses as outlined in Note 3.F.
B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Morgan, Premier, Class B, Class C, Reserve and Cash Management Shares of the
Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans
129
<Page>
provide that each Fund shall pay distribution fees, including payments to the
Distributor, at annual rates of the average daily net assets as shown in the
table below (%):
<Table>
<Caption>
CASH
FUND MORGAN PREMIER CLASS B CLASS C RESERVE MANAGEMENT
- ---------------------------------------------------------------------
PRM n/a n/a 0.75 0.75 0.25 0.50
LA 0.10 n/a n/a n/a n/a n/a
USG 0.10 0.10 n/a n/a n/a n/a
TP 0.10 n/a n/a n/a 0.25 n/a
FED 0.10 n/a n/a n/a n/a n/a
USTS 0.10 n/a n/a n/a n/a n/a
TF 0.10 n/a n/a n/a n/a n/a
CTF 0.10 n/a n/a n/a n/a n/a
NYTF 0.10 n/a n/a n/a 0.30 n/a
</Table>
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from
redemptions of Class B and C shares.
The Distributor waived fees as outlined in Note 3.F.
C. SHAREHOLDER SERVICING FEES -- The Trust has entered into a Shareholder
Servicing Agreement 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>
CASH
FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT
- ----------------------------------------------------------------------------------------------------
PRM 0.35 0.25 0.10 0.25 0.25 0.10 0.25 0.25 0.25
LA 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
USG 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
TP 0.35 0.25 0.10 n/a n/a 0.10 0.25 n/a n/a
FED 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
USTS 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
TF 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a
CTF 0.35 n/a n/a n/a n/a n/a n/a n/a n/a
NYTF 0.35 n/a n/a n/a n/a n/a 0.35 n/a n/a
</Table>
The Funds may be sold to or through financial intermediaries who are customers
of JPMCB, including financial institutions and broker-dealers, that may be paid
fees by JPMCB or its affiliates for services provided to their clients that
invest in the Funds. Organizations that provide recordkeeping or other services
to certain employee benefit or retirement plans that include the Funds as
investment alternatives may also be paid a fee.
The Shareholder Servicing Agents have waived fees as outlined in Note 3.F.
130
<Page>
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 the uninvested cash balances
held by the custodian. Such earning 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 0.10% of the average daily net assets for
complex wide money market fund assets up to $100 billion and 0.05% on assets in
excess of $100 billion.
BISYS Fund Services, LP ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator. The Administrator has contractually agreed to
reimburse the Funds to the extent that total operating expenses (excluding
interest, taxes, extraordinary expenses and expenses related to the deferred
compensation plan) exceed the percentages of their respective average daily net
assets as shown in the table below (%):
<Table>
<Caption>
CASH
FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT
- -----------------------------------------------------------------------------------------------------
PRM 0.59 0.45 0.26^^ 1.24 1.24 0.20 0.70 0.44 0.97
LA 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
USG 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
TP 0.59 0.45 0.25 n/a n/a 0.20 0.70 n/a n/a
FED 0.70 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
USTS 0.59 0.46 0.25 n/a n/a 0.20 n/a n/a n/a
TF 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a
CTF 0.55 n/a n/a n/a n/a n/a n/a n/a n/a
NYTF 0.59 n/a n/a n/a n/a n/a 0.79 n/a n/a
</Table>
^^ The limitation percentage prior to January 1, 2004, was 0.30%.
131
<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 on 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>
VOLUNTARY WAIVERS
---------------------------------------------
SHAREHOLDER
FUND ADMINISTRATION SERVICING TOTAL
-------------------------------------------------------
PRM $ 878 $ 1,519 $ 2,397
LA 761 -- 761
USTS 14 -- 14
-------------------------------------------------------
Total $ 1,653 $ 1,519 $ 3,172
=======================================================
</Table>
<Table>
<Caption>
CONTRACTUAL WAIVERS
----------------------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
FUND ADVISOR ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
- ----------------------------------------------------------------------------------------------------------------
PRM $ -- $ 2,668 $ 14,175 $ -- $ 16,843 $ --
LA -- 463 1,293 9 1,765 --
USG -- 2,119 922 899 3,940 --
TP -- 709 590 291 1,590 1
FED -- 309 960 92 1,361 --
USTS -- 313 869 1,044 2,226 10
TF -- 840 3,549 237 4,626 --
CTF -- 54 54 78 186 --
NYTF -- 73 -- 899 972 --
- ----------------------------------------------------------------------------------------------------------------
Total $ -- $ 7,548 $ 22,412 $ 3,549 $ 33,509 $ 11
================================================================================================================
</Table>
G. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affliated with the Advisor.
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.
132
<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
- --------------------------------------------------------------------------------
PRM
Morgan $ 7,777 $ -- $ 1,567
Premier 7,405 -- 70
Agency 5,958 -- 50
Class B 11 33 3
Class C 1 1 --^
Institutional 12,448 -- 62
Reserve 382 382 12
Select 921 -- 63
Cash Management 170 342 10
- --------------------------------------------------------------------------------
Total $ 35,073 $ 758 $ 1,837
- --------------------------------------------------------------------------------
LA
Morgan $ 33 $ 9 $ 26
Premier 63 -- 14
Agency 208 -- 15
Institutional 1,288 -- 23
- --------------------------------------------------------------------------------
Total $ 1,592 $ 9 $ 78
- --------------------------------------------------------------------------------
USG
Morgan $ 4,776 $ 1,364 $ 214
Premier 902 361 23
Agency 1,902 -- 22
Institutional 997 -- 12
- --------------------------------------------------------------------------------
Total $ 8,577 $ 1,725 $ 271
- --------------------------------------------------------------------------------
TP
Morgan $ 1,390 $ 397 $ 69
Premier 1,427 -- 23
Agency 630 -- 21
Institutional 267 -- 12
Reserve 301 301 17
- --------------------------------------------------------------------------------
Total $ 4,015 $ 698 $ 142
- --------------------------------------------------------------------------------
FED
Morgan $ 494 $ 141 $ 166
Premier 1,658 -- 34
Agency 177 -- 20
Institutional 852 -- 17
- --------------------------------------------------------------------------------
Total $ 3,181 $ 141 $ 237
================================================================================
</Table>
^ Amount rounds to less than one thousand.
133
<Page>
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
- --------------------------------------------------------------------------------
USTS
Morgan $ 4,130 $ 1,180 $ 333
Premier 695 -- 13
Agency 441 -- 28
Institutional 620 -- 9
- --------------------------------------------------------------------------------
Total $ 5,886 $ 1,180 $ 383
- --------------------------------------------------------------------------------
TF
Morgan $ 1,057 $ 302 $ 59
Premier 4,262 -- 53
Agency 375 -- 16
Institutional 3,352 -- 36
- --------------------------------------------------------------------------------
Total $ 9,046 $ 302 $ 164
- --------------------------------------------------------------------------------
CTF
Morgan $ 271 $ 77 $ 22
- --------------------------------------------------------------------------------
NYTF
Morgan $ 2,906 $ 830 $ 238
Reserve 300 257 7
- --------------------------------------------------------------------------------
Total $ 3,206 $ 1,087 $ 245
================================================================================
</Table>
134
<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 for the year ended August 31, 2003,
respectively, are as follows (amounts in thousands):
<Table>
<Caption>
SIX MONTHS ENDED 2/29/04 YEAR ENDED 8/31/03
--------------------------- ---------------------------
NET NET
INVESTMENT REALIZED INVESTMENT REALIZED
INCOME GAIN INCOME GAIN
- -------------------------------------------------------------------------------
PRM
Morgan $ 11,947 $ -- $ 52,751 $ 13
Premier 20,046 -- 57,405 15
Agency 51,680 -- 156,314 34
Class B 4 -- 33 --
Class C -- -- 2 --
Institutional 115,466 -- 322,886 80
Reserve 653 -- 3,076 1
Select 2,531 -- 9,496 2
Cash Management 111 -- 1,744 2
- -------------------------------------------------------------------------------
Total $ 202,438 $ -- $ 603,707 $ 147
- -------------------------------------------------------------------------------
LA
Morgan $ 57 $ 1 $ 167 $ --^
Premier 187 1 551 --^
Agency 1,944 13 2,856 1
Institutional 12,833 73 24,741 5
- -------------------------------------------------------------------------------
Total $ 15,021 $ 88 $ 28,315 $ 6
- -------------------------------------------------------------------------------
USG
Morgan $ 6,833 $ 80 $ 26,848 $ 1
Premier 2,308 19 9,729 1
Agency 15,809 105 44,401 1
Institutional 8,874 63 14,546 --
- -------------------------------------------------------------------------------
Total $ 33,824 $ 267 $ 95,524 $ 3
- -------------------------------------------------------------------------------
TP
Morgan $ 1,682 $ -- $ 6,988 $ --
Premier 3,215 -- 9,186 --
Agency 4,810 -- 13,515 --
Institutional 2,171 -- 6,795 --
Reserve 378 1,615 --
- -------------------------------------------------------------------------------
Total $ 12,256 $ -- $ 38,099 $ --
===============================================================================
</Table>
^ Amount rounds to less than one thousand.
135
<Page>
<Table>
<Caption>
SIX MONTHS ENDED 2/29/04 YEAR ENDED 8/31/03
--------------------------- ---------------------------
NET NET
INVESTMENT REALIZED INVESTMENT REALIZED
INCOME GAIN INCOME GAIN
- -------------------------------------------------------------------------------
FED
Morgan $ 487 $ -- $ 2,728 $ 6
Premier 3,943 -- 13,807 23
Agency 1,389 -- 4,738 6
Institutional 7,186 -- 23,588 31
- -------------------------------------------------------------------------------
Total $ 13,005 $ -- $ 44,861 $ 66
- -------------------------------------------------------------------------------
USTS
Morgan $ 4,615 $ 158 $ 24,263 $ 34
Premier 1,463 39 4,451 7
Agency 3,221 63 10,629 9
Institutional 4,844 87 8,969 10
- -------------------------------------------------------------------------------
Total $ 14,143 $ 347 $ 48,312 $ 60
- -------------------------------------------------------------------------------
TF
Morgan $ 1,375 $ -- $ 4,971 $ --
Premier 10,138 -- 28,176 --
Agency 2,941 -- 9,026 --
Institutional 28,312 -- 52,206 --
- -------------------------------------------------------------------------------
Total $ 42,766 $ -- $ 94,379 $ --
- -------------------------------------------------------------------------------
CTF
Morgan $ 378 $ -- $ 1,133 $ --
- -------------------------------------------------------------------------------
NYTF
Morgan $ 3,791 $ -- $ 13,831 $ 355
Reserve 218 -- 917 31
- -------------------------------------------------------------------------------
Total $ 4,009 $ -- $ 14,748 $ 386
===============================================================================
</Table>
136
<Page>
6. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a
concentration of several shareholders which may be a related party, holding a
significant percentage of shares outstanding. Investment activities of these
shareholders could have a material impact on the Funds.
As of February 29, 2004, LA and PRM invested 38.2% and 35.8%, respectively, of
total investments in securities issued by institutions in the financial services
industry including banks, broker dealers and insurance companies. General
economic conditions, as well as exposure to credit losses arising from possible
financial difficulties of borrowers, play an important role in the operation of
the financial services industry.
TF, CTF, and NYTF invest substantially all of their assets in a diversified
portfolio of debt obligations issued by states, territories and possessions of
the United States and by the District of Columbia, and by their political
subdivisions and duly constituted authorities, with CTF primarily investing in
issuers in the State of California, and NYTF primarily investing in issuers in
the State of New York. The issuers' abilities to meet their obligations may be
affected by economic or political developments in a specific state or region.
In the normal course of business, the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each Fund's
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against each Fund that have not yet occurred.
However, based on experience, the Funds expect the risk of loss to be remote.
7. 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.
137
<Page>
8. CAPITAL SHARE TRANSACTIONS
Capital share tranactions were as follows for the periods presented (amounts in
thousands):
PRIME MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 14,148,411 14,148,374 $ 19,134,598 19,134,376
Shares issued in reinvestment of distributions 9,095 9,095 3,264 3,265
Shares redeemed (14,465,510) (14,465,475) (18,949,576) (18,949,357)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (308,004) (308,006) $ 188,286 188,284
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 19,430,639 19,430,640 $ 32,907,116 32,907,113
Shares issued in reinvestment of distributions 39,643 39,643 10,165 10,165
Shares redeemed (22,395,554) (22,395,555) (32,686,869) (32,686,869)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (2,925,272) (2,925,272) $ 230,412 230,409
=============================================================================================================================
<Caption>
AGENCY CLASS B
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 36,809,648 36,809,644 $ 3,146 3,146
Shares issued in reinvestment of distributions 34,323 34,323 4 4
Shares redeemed (36,741,014) (36,741,014) (5,777) (5,777)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 102,957 102,953 $ (2,627) (2,627)
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 75,329,197 75,329,195 $ 16,176 16,177
Shares issued in reinvestment of distributions 108,352 108,352 29 28
Shares redeemed (75,351,083) (75,351,084) (19,413) (19,413)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 86,466 86,463 $ (3,208) (3,208)
=============================================================================================================================
<Caption>
CLASS C INSTITUTIONAL
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 1,022 1,022 $ 124,045,607 124,045,598
Shares issued in reinvestment of distributions --^ --^ 47,465 47,465
Shares redeemed (1,270) (1,270) (125,739,555) (125,739,553)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (248) (248) $ (1,646,483) (1,646,490)
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,217 2,217 $ 269,286,703 269,286,690
Shares issued in reinvestment of distributions 1 1 139,752 139,752
Shares redeemed (2,283) (2,283) (266,231,348) (266,231,355)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (65) (65) $ 3,195,107 3,195,087
=============================================================================================================================
<Caption>
RESERVE SELECT
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 7,326,480 7,326,480 $ 1,404,881 1,404,881
Shares issued in reinvestment of distributions 337 337 2,459 2,459
Shares redeemed (7,401,590) (7,401,590) (1,493,228) (1,493,228)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (74,773) (74,773) $ (85,888) (85,888)
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 837,293 837,293 $ 2,851,148 2,851,148
Shares issued in reinvestment of distributions 1,651 1,651 9,195 9,195
Shares redeemed (876,193) (876,193) (3,148,945) (3,148,945)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (37,249) (37,249) $ (288,602) (288,602)
=============================================================================================================================
</Table>
^ Amount rounds to less than one thousand.
138
<Page>
<Table>
<Caption>
CASH MANAGEMENT
----------------------------------
AMOUNT SHARES
- ------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- ------------------------------------------------------------------------------------------
Shares sold $ 377,354 377,354
Shares issued in reinvestment of distributions 73 73
Shares redeemed (849,777) (849,777)
- ------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (472,350) (472,350)
==========================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- ------------------------------------------------------------------------------------------
Shares sold $ 2,026,984 2,026,986
Shares issued in reinvestment of distributions 401 401
Shares redeemed (1,765,630) (1,765,630)
- ------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 261,755 261,757
==========================================================================================
</Table>
139
<Page>
LIQUID ASSETS MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 29,582 29,582 $ 111,913 111,913
Shares issued in reinvestment of distributions 51 51 153 153
Shares redeemed (27,919) (27,919) (108,021) (108,021)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 1,714 1,714 $ 4,045 4,045
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 41,433 41,433 $ 254,965 254,965
Shares issued in reinvestment of distributions 156 156 456 456
Shares redeemed (40,689) (40,689) (245,143) (245,142)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 900 900 $ 10,278 10,279
=============================================================================================================================
<Caption>
AGENCY INSTITUTIONAL
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,854,230 2,854,230 $ 9,266,136 9,266,135
Shares issued in reinvestment of distributions 1,718 1,718 8,442 8,442
Shares redeemed (2,728,885) (2,728,885) (8,987,724) (8,987,724)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 127,063 127,063 $ 286,854 286,853
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,702,858 2,702,858 $ 9,336,047 9,336,047
Shares issued in reinvestment of distributions 2,258 2,258 18,384 18,384
Shares redeemed (2,473,595) (2,473,596) (8,240,758) (8,240,757)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 231,521 231,520 $ 1,113,673 1,113,674
=============================================================================================================================
</Table>
140
<Page>
U.S. GOVERNMENT MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 91,338,255 91,338,255 $ 1,822,634 1,822,634
Shares issued in reinvestment of distributions 2,487 2,487 1,656 1,656
Shares redeemed (91,835,966) (91,835,966) (2,390,645) (2,390,645)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (495,224) (495,224) $ (566,355) (566,355)
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 11,505,562 11,505,571 $ 4,867,870 4,867,870
Shares issued in reinvestment of distributions 11,649 11,649 7,060 7,060
Shares redeemed (11,815,954) (11,815,963) (4,808,850) (4,808,850)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (298,743) (298,743) $ 66,080 66,080
=============================================================================================================================
<Caption>
AGENCY INSTITUTIONAL
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 13,874,878 13,874,877 $ 6,761,228 6,761,228
Shares issued in reinvestment of distributions 11,124 11,124 5,660 5,660
Shares redeemed (13,544,993) (13,544,993) (6,462,201) (6,462,201)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 341,009 341,008 $ 304,687 304,687
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 28,452,633 28,452,632 $ 9,580,574 9,580,573
Shares issued in reinvestment of distributions 27,436 27,435 9,812 9,813
Shares redeemed (29,211,858) (29,211,859) (8,510,342) (8,510,342)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (731,789) (731,792) $ 1,080,044 1,080,044
=============================================================================================================================
</Table>
141
<Page>
TREASURY PLUS MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,968,341 2,968,341 $ 3,171,573 3,171,573
Shares issued in reinvestment of distributions 804 804 472 472
Shares redeemed (3,087,432) (3,087,432) (3,290,003) (3,290,003)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (118,287) (118,287) $ (117,958) (117,958)
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 5,531,658 5,531,657 $ 6,571,629 6,571,629
Shares issued in reinvestment of distributions 4,046 4,047 1,962 1,962
Shares redeemed (5,856,791) (5,856,795) (6,163,135) (6,163,134)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (321,087) (321,091) $ 410,456 410,457
=============================================================================================================================
<Caption>
AGENCY INSTITUTIONAL
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 4,148,265 4,148,264 $ 3,079,899 3,079,898
Shares issued in reinvestment of distributions 3,641 3,641 746 747
Shares redeemed (4,006,376) (4,006,375) (2,630,630) (2,630,630)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 145,530 145,530 $ 450,015 450,015
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 8,914,743 8,914,743 $ 6,993,523 6,993,523
Shares issued in reinvestment of distributions 9,425 9,425 5,472 5,471
Shares redeemed (9,093,885) (9,093,885) (7,133,307) (7,133,302)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (169,717) (169,717) $ (134,312) (134,308)
=============================================================================================================================
<Caption>
RESERVE
----------------------------------
AMOUNT SHARES
- ------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- ------------------------------------------------------------------------------------------
Shares sold $ 2,552,430 2,552,430
Shares issued in reinvestment of distributions 323 322
Shares redeemed (2,550,353) (2,550,353)
- ------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 2,400 2,399
==========================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- ------------------------------------------------------------------------------------------
Shares sold $ 709,925 709,925
Shares issued in reinvestment of distributions 1,377 1,378
Shares redeemed (711,960) (711,960)
- ------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (658) (657)
==========================================================================================
</Table>
142
<Page>
FEDERAL MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 3,136,297 3,136,297 $ 3,384,273 3,384,272
Shares issued in reinvestment of distributions 355 355 566 566
Shares redeemed (3,187,610) (3,187,610) (3,239,196) (3,239,196)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (50,958) (50,958) $ 145,643 145,642
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 730,646 730,643 $ 5,877,312 5,877,310
Shares issued in reinvestment of distributions 2,042 2,042 2,370 2,370
Shares redeemed (873,924) (873,923) (6,069,550) (6,069,550)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (141,236) (141,238) $ (189,868) (189,870)
=============================================================================================================================
<Caption>
AGENCY INSTITUTIONAL
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 803,388 803,388 $ 3,273,160 3,229,324
Shares issued in reinvestment of distributions 277 278 3,547 3,547
Shares redeemed (809,166) (809,166) (3,312,358) (3,268,523)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (5,501) (5,500) $ (35,651) (35,652)
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 1,916,272 1,916,272 $ 6,055,216 6,054,030
Shares issued in reinvestment of distributions 1,380 1,380 13,339 13,339
Shares redeemed (2,106,886) (2,106,886) (6,309,625) (6,308,433)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (189,234) (189,234) $ (241,070) (241,064)
=============================================================================================================================
</Table>
143
<Page>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 3,971,851 3,971,850 $ 909,417 909,417
Shares issued in reinvestment of distributions 2,865 2,865 471 471
Shares redeemed (4,247,750) (4,247,749) (854,008) (854,008)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (273,034) (273,034) $ 55,880 55,880
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 6,776,952 6,776,951 $ 2,050,702 2,050,702
Shares issued in reinvestment of distributions 14,095 14,095 1,250 1,249
Shares redeemed (7,781,503) (7,781,501) (1,915,748) (1,915,748)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (990,456) (990,455) $ 136,204 136,203
=============================================================================================================================
<Caption>
AGENCY INSTITUTIONAL
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 4,452,439 4,452,439 $ 4,127,040 4,127,040
Shares issued in reinvestment of distributions 2,497 2,496 1,714 1,713
Shares redeemed (4,319,407) (4,319,406) (3,891,905) (3,891,903)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 135,529 135,529 $ 236,849 236,850
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 4,968,483 4,968,483 $ 5,930,523 5,930,523
Shares issued in reinvestment of distributions 7,593 7,593 4,721 4,722
Shares redeemed (5,248,891) (5,248,890) (5,076,254) (5,076,254)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (272,815) (272,814) $ 858,990 858,991
=============================================================================================================================
</Table>
144
<Page>
TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 665,180 665,179 $ 6,879,307 6,879,307
Shares issued in reinvestment of distributions 648 648 920 920
Shares redeemed (723,077) (723,076) (6,742,608) (6,742,608)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (57,249) (57,249) $ 137,619 137,619
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 1,239,654 1,239,654 $ 12,469,538 12,469,545
Shares issued in reinvestment of distributions 2,354 2,354 3,773 3,773
Shares redeemed (1,489,347) (1,489,347) (12,110,456) (12,110,464)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (247,339) (247,339) $ 362,855 362,854
=============================================================================================================================
<Caption>
AGENCY INSTITUTIONAL
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 1,691,243 1,691,243 $ 20,122,768 20,122,776
Shares issued in reinvestment of distributions 1,268 1,268 13,653 13,653
Shares redeemed (1,622,884) (1,622,884) (19,364,706) (19,364,705)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 69,627 69,627 $ 771,715 771,724
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 3,061,611 3,061,611 $ 27,825,383 27,825,382
Shares issued in reinvestment of distributions 4,197 4,197 26,713 26,713
Shares redeemed (3,432,944) (3,432,944) (25,410,807) (25,410,806)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (367,136) (367,136) $ 2,441,289 2,441,289
=============================================================================================================================
</Table>
145
<Page>
CALIFORNIA TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN
----------------------------------
AMOUNT SHARES
- ------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- ------------------------------------------------------------------------------------------
Shares sold $ 256,949 256,949
Shares issued in reinvestment of distributions 79 79
Shares redeemed (240,869) (240,869)
- ------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 16,159 16,159
==========================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- ------------------------------------------------------------------------------------------
Shares sold $ 470,080 470,082
Shares issued in reinvestment of distributions 280 280
Shares redeemed (484,274) (484,275)
- ------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (13,914) (13,913)
==========================================================================================
</Table>
146
<Page>
NEW YORK TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN RESERVE
-------------------------------- --------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FEBRUARY 29, 2004
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 3,969,144 3,969,144 $ 186,979 186,980
Shares issued in reinvestment of distributions 2,647 2,647 217 217
Shares redeemed (3,970,929) (3,970,930) (179,131) (179,131)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 862 861 $ 8,065 8,066
=============================================================================================================================
<Caption>
YEAR ENDED AUGUST 31, 2003
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold $ 2,685,034 2,685,035 $ 157,434 157,433
Shares issued in reinvestment of distributions 10,305 10,305 928 928
Shares redeemed (3,156,594) (3,156,594) (163,079) (163,079)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ (461,255) (461,254) $ (4,717) (4,718)
=============================================================================================================================
</Table>
147
<Page>
JPMORGAN FUNDS
Financial Highlights (unaudited)
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/01/03 YEAR ENDED 10/01/98**
THROUGH ------------------------------------------------- THROUGH
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.06 0.04
Less dividends from net investment income --+ 0.01 0.02 0.05 0.06 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.27% 0.87% 1.71% 5.10% 5.65% 4.26%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 4,319 $ 4,627 $ 7,552 $ 10,367 $ 1,475 $ 515
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.59% 0.59% 0.58% 0.59% 0.59% 0.59%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.54% 0.90% 1.72% 4.82% 5.53% 4.61%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.63% 0.62% 0.61% 0.61% 0.61% 0.72%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.50% 0.87% 1.69% 4.80% 5.51% 4.48%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
148
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------------------------------------
PREMIER
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.06 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.34% 1.01% 1.85% 5.25% 5.81% 4.90%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 5,601 $ 5,412 $ 5,182 $ 2,153 $ 1,841 $ 1,094
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.45% 0.45% 0.44% 0.45% 0.45% 0.45%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.68% 1.00% 1.80% 4.96% 5.67% 4.77%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.47% 0.46% 0.47% 0.49% 0.49% 0.49%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.66% 0.99% 1.77% 4.92% 5.63% 4.73%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
149
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.06 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.43% 1.20% 2.05% 5.45% 6.01% 5.10%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 12,752 $ 12,648 $ 12,562 $ 16,676 $ 9,430 $ 8,161
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.26% 0.26% 0.25% 0.26% 0.26% 0.26%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.87% 1.20% 2.08% 5.15% 5.86% 4.96%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.31% 0.31% 0.32% 0.33% 0.33% 0.33%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.82% 1.15% 2.01% 5.08% 5.79% 4.89%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
150
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------------------------------------
CLASS B
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ --+ 0.01 0.04 0.05 0.04
Less dividends from net investment income --+ --+ 0.01 0.04 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1) (b) 0.04% 0.25% 1.05% 4.43% 4.97% 4.07%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 7 $ 10 $ 13 $ 18 $ 11 $ 36
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 1.04% 1.21% 1.23% 1.24% 1.25% 1.25%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.09% 0.27% 1.10% 4.17% 4.87% 4.00%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.27% 1.47%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits (0.15%) 0.21% 1.07% 4.15% 4.85% 3.78%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
+ Amount rounds to less than $.005.
(1) Total Return figures do not include the effect of any deferred sales load.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
151
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------------------------------------
CLASS C
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ --+ 0.01 0.04 0.05 0.04
Less dividends from net investment income --+ --+ 0.01 0.04 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1) (b) 0.04% 0.25% 1.05% 4.43% 4.95% 3.85%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ --* $ 1 $ 1 $ --* $ --* $ 1
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 1.04% 1.21% 1.23% 1.24% 1.26% 1.45%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.09% 0.25% 1.16% 4.17% 4.86% 3.75%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.26% 1.45%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits (0.15%) 0.19% 1.13% 4.15% 4.86% 3.75%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
+ Amount rounds to less than $.005.
(1) Total Return figures do not include the effect of any deferred sales load.
(b) Not annualized for periods less than one year.
* Amount rounds to less than one million.
# Short periods have been annualized.
See notes to financial statements.
152
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
------------------------------------
INSTITUTIONAL
------------------------------------
9/1/03 YEAR 9/10/01**
THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02
Less dividends from net investment income --+ 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.46% 1.27% 2.02%
========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 23,428 $ 25,075 $ 21,881
- ----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.19%
- ----------------------------------------------------------------------------------------
Net investment income 0.93% 1.24% 2.06%
- ----------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.31% 0.31% 0.32%
- ----------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.82% 1.13% 1.93%
- ----------------------------------------------------------------------------------------
<Caption>
PRIME MONEY MARKET FUND
--------------------------------------------------------------
RESERVE
--------------------------------------------------------------
9/1/03 YEAR ENDED 7/31/00**
THROUGH ------------------------------------ THROUGH
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00
- ------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.01
Less dividends from net investment income --+ 0.01 0.02 0.05 0.01
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.21% 0.76% 1.60% 4.88% 0.50%
==================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 281 $ 355 $ 393 $ 10 $ --*
- ------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.70% 0.70% 0.68% 0.79% 0.79%
- ------------------------------------------------------------------------------------------------------------------
Net investment income 0.43% 0.76% 1.41% 4.62% 5.33%
- ------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.72% 0.71% 0.72% 2.17% 1.45%
- ------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.41% 0.75% 1.37% 3.24% 4.67%
- ------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
* Amount rounds to less than one million.
See notes to financial statements.
153
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
---------------------------------------------------------------------------
SELECT CASH MANAGEMENT
------------------------------------ ------------------------------------
9/1/03 YEAR 9/10/01** 9/1/03 YEAR 9/10/01**
THROUGH ENDED THROUGH THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 --+ 0.01 0.01
Less dividends from net investment income --+ 0.01 0.02 --+ 0.01 0.01
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.34% 1.02% 1.78% 0.08% 0.50% 1.25%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 690 $ 776 $ 1,064 $ 72 $ 544 $ 282
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.44% 0.44% 0.42% 0.96% 0.95% 0.96%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.69% 1.03% 1.83% 0.17% 0.48% 1.17%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.48% 0.47% 0.46% 0.98% 0.96% 0.99%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.65% 1.00% 1.79% 0.15% 0.47% 1.14%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
154
<Page>
<Table>
<Caption>
LIQUID ASSETS MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN PREMIER
------------------------------------ ------------------------------------
9/1/03 YEAR 4/1/02** 9/1/03 YEAR 4/1/02**
THROUGH ENDED THROUGH THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 --+ 0.01 0.01
Less dividends from net investment income --+ 0.01 0.01 --+ 0.01 0.01
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.30% 0.95% 0.64% 0.37% 1.09% 0.70%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 20 $ 18 $ 17 $ 40 $ 36 $ 26
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.54% 0.54% 0.45% 0.40% 0.40% 0.31%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.60% 0.95% 1.51% 0.75% 1.08% 1.65%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.94% 0.87% 0.83% 0.53% 0.51% 0.63%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.20% 0.62% 1.13% 0.62% 0.97% 1.33%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of operations.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
155
<Page>
<Table>
<Caption>
LIQUID ASSETS MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY INSTITUTIONAL
------------------------------------ ------------------------------------
9/1/03 YEAR 4/1/02** 9/1/03 YEAR 4/1/02**
THROUGH ENDED THROUGH THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 --+ 0.01 0.01
Less dividends from net investment income --+ 0.01 0.01 --+ 0.01 0.01
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.47% 1.29% 0.78% 0.50% 1.35% 0.81%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 411 $ 284 $ 53 $ 2,520 $ 2,233 $ 1,119
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.21% 0.21% 0.13% 0.15% 0.15% 0.08%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.94% 1.16% 1.82% 1.00% 1.27% 1.87%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.33% 0.33% 0.44% 0.32% 0.33% 0.40%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers and
earnings credits 0.82% 1.04% 1.51% 0.83% 1.09% 1.55%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of operations.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
156
<Page>
<Table>
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.25% 0.84% 1.65% 4.93% 5.48% 4.55%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA: #
Net assets, end of period (millions) $ 2,581 $ 3,077 $ 3,375 $ 4,150 $ 3,398 $ 3,538
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.51% 0.84% 1.67% 4.80% 5.35% 4.46%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.69% 0.68% 0.69% 0.69% 0.69%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.41% 0.74% 1.58% 4.70% 5.25% 4.36%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
---------------------------------------------------------------------------
PREMIER
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.32% 0.98% 1.79% 5.08% 5.62% 4.70%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA: #
Net assets, end of period (millions) $ 547 $ 1,113 $ 1,047 $ 1,251 $ 1,134 $ 922
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% 0.45%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.64% 0.96% 1.79% 4.95% 5.50% 4.60%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.57% 0.57% 0.57% 0.59% 0.58% 0.58%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.52% 0.84% 1.67% 4.81% 5.37% 4.47%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
157
<Page>
<Table>
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.06 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.42% 1.17% 1.98% 5.28% 5.83% 4.92%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 4,106 $ 3,766 $ 4,497 $ 3,769 $ 2,639 $ 2,913
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.25%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.84% 1.17% 1.98% 5.09% 5.66% 4.80%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.32% 0.32% 0.32% 0.33% 0.33% 0.31%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.78% 1.11% 1.92% 5.02% 5.59% 4.74%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
------------------------------------
INSTITUTIONAL
------------------------------------
9/1/03 YEAR 9/10/01**
THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02
Less dividends from net investment income --+ 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.45% 1.23% 1.96%
========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,832 $ 1,526 $ 447
- ----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20%
- ----------------------------------------------------------------------------------------
Net investment income 0.90% 1.13% 1.89%
- ----------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.32% 0.32% 0.32%
- ----------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.78% 1.01% 1.77%
- ----------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
158
<Page>
<Table>
<Caption>
TREASURY PLUS MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.21% 0.79% 1.59% 4.77% 5.29% 4.39%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 664 $ 782 $ 1,103 $ 1,567 $ 1,367 $ 1,734
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.42% 0.82% 1.57% 4.70% 5.14% 4.27%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.70% 0.70% 0.70% 0.72% 0.71% 0.69%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.31% 0.71% 1.46% 4.57% 5.02% 4.17%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
TREASURY PLUS MONEY MARKET FUND
---------------------------------------------------------------------------
PREMIER
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.28% 0.94% 1.73% 4.91% 5.44% 4.54%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,110 $ 1,228 $ 818 $ 326 $ 228 $ 476
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% 0.45%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.57% 0.91% 1.68% 4.84% 5.28% 4.42%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.49% 0.49% 0.49% 0.52% 0.51% 0.50%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.53% 0.87% 1.64% 4.77% 5.22% 4.37%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
159
<Page>
<Table>
<Caption>
TREASURY PLUS MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.06 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.38% 1.14% 1.93% 5.12% 5.65% 4.75%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,392 $ 1,247 $ 1,416 $ 944 $ 904 $ 980
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.25% 0.25% 0.25% 0.25% 0.25% 0.24%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.77% 1.14% 1.88% 5.04% 5.48% 4.61%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.34% 0.34% 0.34% 0.36% 0.36% 0.31%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.68% 1.05% 1.79% 4.93% 5.37% 4.54%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
TREASURY PLUS MONEY MARKET FUND
---------------------------------------------------------------------------
INSTITUTIONAL RESERVE
------------------------------------ ------------------------------------
9/1/03 YEAR 9/10/01** 9/1/03 YEAR 9/10/01**
THROUGH ENDED THROUGH THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 --+ 0.01 0.01
Less dividends from net investment income --+ 0.01 0.02 --+ 0.01 0.01
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.41% 1.19% 1.90% 0.16% 0.68% 1.40%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 748 $ 298 $ 432 $ 237 $ 234 $ 235
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20% 0.70% 0.70% 0.70%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.82% 1.18% 1.87% 0.32% 0.68% 1.35%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.34% 0.34% 0.34% 0.75% 0.75% 0.74%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.68% 1.04% 1.73% 0.27% 0.63% 1.31%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
160
<Page>
<Table>
<Caption>
FEDERAL MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.05 0.05 0.04
Less dividends from net investment income --+ 0.01 0.01 0.05 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.17% 0.70% 1.51% 4.84% 5.29% 4.46%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 260 $ 311 $ 452 $ 658 $ 576 $ 550
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.70% 0.70% 0.70% 0.70% 0.70% 0.70%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.35% 0.72% 1.53% 4.57% 5.17% 4.35%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.78% 0.79% 0.72% 0.74% 0.75% 0.78%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.27% 0.63% 1.51% 4.53% 5.12% 4.27%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
FEDERAL MONEY MARKET FUND
---------------------------------------------------------------------------
PREMIER
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.30% 0.95% 1.77% 5.07% 5.50% 4.67%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,360 $ 1,214 $ 1,404 $ 276 $ 279 $ 298
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.45% 0.45% 0.45% 0.49% 0.50% 0.50%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.60% 0.96% 1.73% 4.78% 5.35% 4.56%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.47% 0.47% 0.49% 0.50% 0.50%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.58% 0.94% 1.71% 4.78% 5.35% 4.56%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
161
<Page>
<Table>
<Caption>
FEDERAL MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.06 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.06 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.39% 1.14% 1.96% 5.30% 5.75% 4.92%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 328 $ 334 $ 523 $ 1,169 $ 287 $ 248
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.26%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.79% 1.20% 2.02% 5.01% 5.61% 4.79%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.33% 0.33% 0.32% 0.34% 0.34% 0.34%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.72% 1.13% 1.96% 4.93% 5.53% 4.71%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
FEDERAL MONEY MARKET FUND
------------------------------------
INSTITUTIONAL
------------------------------------
9/1/03 YEAR 9/10/01**
THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02
Less dividends from net investment income --+ 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.42% 1.20% 1.93%
========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,676 $ 1,712 $ 1,953
- ----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20%
- ----------------------------------------------------------------------------------------
Net investment income 0.85% 1.20% 1.97%
- ----------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.32% 0.32% 0.32%
- ----------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.73% 1.08% 1.85%
- ----------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
162
<Page>
<Table>
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.20% 0.75% 1.55% 4.75% 5.02% 4.31%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 2,262 $ 2,535 $ 3,526 $ 4,027 $ 3,535 $ 3,312
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.39% 0.77% 1.53% 4.59% 4.92% 4.15%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.69% 0.69% 0.71% 0.71% 0.71%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.29% 0.67% 1.43% 4.47% 4.80% 4.03%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
---------------------------------------------------------------------------
PREMIER
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.04
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.04
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.27% 0.88% 1.68% 4.84% 5.12% 4.40%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 545 $ 489 $ 353 $ 133 $ 116 $ 24
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.46% 0.46% 0.46% 0.48% 0.49% 0.50%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.53% 0.85% 1.52% 4.70% 5.02% 4.22%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.47% 0.48% 0.52% 0.53% 0.56%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.52% 0.84% 1.50% 4.66% 4.98% 4.16%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
163
<Page>
<Table>
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 0.05
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.37% 1.09% 1.89% 5.11% 5.38% 4.67%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 953 $ 818 $ 1,090 $ 1,170 $ 872 $ 895
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.25% 0.25% 0.25% 0.25% 0.25% 0.24%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.73% 1.11% 1.86% 4.93% 5.26% 4.51%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.32% 0.32% 0.32% 0.35% 0.34% 0.32%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.66% 1.04% 1.79% 4.83% 5.17% 4.43%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
100% U.S. TREASURY SECURITIES
MONEY MARKET FUND
------------------------------------
INSTITUTIONAL
------------------------------------
9/1/03 YEAR 9/10/01**
THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02
Less dividends from net investment income --+ 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.40% 1.14% 1.85%
========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,363 $ 1,126 $ 267
- ----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20%
- ----------------------------------------------------------------------------------------
Net investment income 0.78% 1.08% 1.67%
- ----------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.32% 0.32% 0.33%
- ----------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.66% 0.96% 1.54%
- ----------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
+ Amount rounds to less than $0.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
164
<Page>
<Table>
<Caption>
TAX FREE MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income --+ 0.01 0.01 0.03 0.03 0.03
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.23% 0.69% 1.21% 3.13% 3.37% 2.73%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 598 $ 655 $ 903 $ 907 $ 895 $ 754
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.45% 0.72% 1.14% 3.09% 3.33% 2.68%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers,
reimbursements and earnings credits 0.68% 0.69% 0.69% 0.72% 0.75% 0.73%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.36% 0.62% 1.04% 2.96% 3.17% 2.54%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
TAX FREE MONEY MARKET FUND
---------------------------------------------------------------------------
PREMIER
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income --+ 0.01 0.01 0.03 0.03 0.03
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.30% 0.83% 1.35% 3.21% 3.41% 2.78%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 3,567 $ 3,429 $ 3,066 $ 116 $ 120 $ 130
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.45% 0.45% 0.45% 0.51% 0.55% 0.54%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.59% 0.82% 1.25% 3.17% 3.40% 2.74%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.47% 0.48% 0.53% 0.59% 0.56%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.57% 0.80% 1.22% 3.15% 3.26% 2.72%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
165
<Page>
<Table>
<Caption>
TAX FREE MONEY MARKET FUND
---------------------------------------------------------------------------
AGENCY@
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.03 0.04 0.03
Less dividends from net investment income --+ 0.01 0.02 0.03 0.04 0.03
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.39% 1.02% 1.54% 3.47% 3.71% 3.07%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 795 $ 725 $ 1,091 $ 921 $ 640 $ 476
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.26%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.78% 1.05% 1.45% 3.42% 3.67% 3.01%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.32% 0.33% 0.33% 0.36% 0.39% 0.35%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.72% 0.98% 1.38% 3.32% 3.54% 2.92%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
TAX FREE MONEY MARKET FUND
------------------------------------
INSTITUTIONAL
------------------------------------
9/1/03 YEAR 9/10/01**
THROUGH ENDED THROUGH
2/29/04 8/31/03 8/31/02
- ----------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02
Less dividends from net investment income --+ 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.42% 1.09% 1.54%
========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 7,104 $ 6,332 $ 3,891
- ----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20%
- ----------------------------------------------------------------------------------------
Net investment income 0.84% 1.05% 1.46%
- ----------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.31% 0.32% 0.33%
- ----------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.73% 0.93% 1.33%
- ----------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
166
<Page>
<Table>
<Caption>
CALIFORNIA TAX FREE MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income --+ 0.01 0.01 0.03 0.03 0.03
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.24% 0.72% 1.13% 2.70% 3.00% 2.66%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 165 $ 149 $ 163 $ 83 $ 78 $ 68
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% 0.55%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.49% 0.72% 1.05% 2.68% 3.03% 2.55%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.79% 0.73% 0.76% 0.83% 0.90% 0.94%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.25% 0.54% 0.84% 2.40% 2.68% 2.16%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
167
<Page>
<Table>
<Caption>
NEW YORK TAX FREE MONEY MARKET FUND
---------------------------------------------------------------------------
MORGAN^
---------------------------------------------------------------------------
9/1/03 YEAR ENDED
THROUGH --------------------------------------------------------------
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.03 0.03 0.03
Less dividends from net investment income --+ 0.01 0.01 0.03 0.03 0.03
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.23% 0.72% 1.20% 2.98% 3.27% 2.66%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,664 $ 1,662 $ 2,123 $ 2,439 $ 1,831 $ 1,505
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.46% 0.72% 1.17% 2.88% 3.24% 2.61%
- -------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.70% 0.69% 0.69% 0.71% 0.70% 0.71%
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.35% 0.62% 1.07% 2.76% 3.13% 2.49%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
NEW YORK TAX FREE MONEY MARKET FUND
-----------------------------------------------------------------
RESERVE
-----------------------------------------------------------------
9/1/03 YEAR ENDED 7/31/00**
THROUGH ------------------------------------ THROUGH
2/29/04 8/31/03 8/31/02 8/31/01 8/31/00
- ---------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.03 --+
Less dividends from net investment income --+ 0.01 0.01 0.03 --+
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.13% 0.52% 1.00% 2.77% 0.28%
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 183 $ 175 $ 180 $ --* $ --*
- ---------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.79% 0.79% 0.79% 0.90% 0.79%
- ---------------------------------------------------------------------------------------------------------------------
Net investment income 0.26% 0.50% 0.85% 2.57% 3.04%
- ---------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.88% 0.87% 0.90% 1560.21%!! 1.49%
- ---------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.17% 0.42% 0.74% (1556.74%)!! 2.34%
- ---------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
(b) Not annualized for periods less than one year.
* Amount rounds to less than one million.
# Short periods have been annualized.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
See notes to financial statements.
168
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
JP Morgan 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.
<Page>
SEMI-ANNUAL REPORT (UNAUDITED)
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 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.
JPMorgan Funds Fulfillment Center
393 Manley Street
West Bridgewater,
MA 02379-1039
(C)J.P. Morgan Chase & Co., 2004 All Rights Reserved. April 2004
SAN-MMKT-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 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.