<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 August 31, 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>
ANNUAL REPORT AUGUST 31, 2004
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 116
Notes to Financial Statements 131
Financial Highlights 154
</Table>
HIGHLIGHTS
- - The economic recovery accelerated during the period and made the transition
from being policy-dependent to becoming self-sustaining.
- - Consumer spending slowed in July, blamed primarily on higher energy prices.
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
PRESIDENT'S LETTER AUGUST 31, 2004
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Money Market Funds
for the one-year period ending August 31, 2004. Inside you'll find in-depth
information on our money market funds.
U.S. ECONOMY CONTINUES TO EXPAND
The economic recovery accelerated during the period and made the transition from
being policy-dependent to becoming self-sustaining. Strong corporate profits
buoyed the equity market and supported an increase in capital spending and
hiring. Consumer price inflation, however, continued to slow despite ongoing
excess capacity and comparatively high unemployment. The Federal Reserve Board
indicated that it would keep its monetary policy on hold until economic
conditions warrant a change. Because of the Fed's friendly stance, short-term
money market rates remained relatively stable; longer maturity yields fell in
response to mixed economic data, low inflation, and a persistently weak labor
market.
In the early part of 2004, economic data was mixed. Although the corporate
profit picture was brighter, improved earnings did not translate into new job
creation. Consumer sentiment weakened, but consumer spending increased.
FEDERAL RESERVE BOARD RAISES SHORT-TERM INTEREST RATES
The uptick in inflation and sharply improved economic conditions during the
second quarter altered expectations about the Fed's position on short-term
interest rates. Furthermore, stronger labor conditions and an increase in pretax
income suggested that consumer spending growth could continue without support
from tax cuts and without monetary stimulus. In June, the Fed raised short-term
interest rates by a quarter-percent to 1.25%. Money market investors, who had
endured an extended period of historically low yields, found the rate increase a
welcome change.
Consumer spending slowed in July, blamed primarily on higher energy prices. The
economic outlook weakened during August with disappointing reports about new job
creation. The Fed continued its measured tightening of monetary policy in August
by raising short-term interest rates by another quarter-percent. At the end of
the period, the Federal funds rate (the rate charged by banks for overnight
loans) stood at 1.50%.
1
<Page>
In the months ahead, short-term rates should continue to rise, resulting in
higher yields in your money market funds. As always, your portfolio managers
will look for opportunities to obtain the highest possible yields for you while
focusing on the preservation of your principal.
IMPORTANT MERGER NEWS
As you may know, J.P. Morgan Chase & Co. and Bank One Corp. merged in July 2004,
as approved by both firms' shareholders. The combined company is called JPMorgan
Chase & Co. The merger is compelling both strategically and financially. The new
combined organization has top-tier positions in both wholesale and retail
financial services, an extensive client base and greater scale. And we have an
extraordinarily talented team that shares common values and a strong client
orientation. In the coming months, you will receive proxy information regarding
proposed changes to the JPMorgan Funds. Please refer to Note 1 of the Financial
Statements in this report for more details on these proposals.
On behalf of all of us here at JPMorgan Investment Management, thank you for the
trust you have placed in us. We look forward to serving your investment needs
for many years to come. Should you have any questions, please feel free to
contact the JPMorgan Funds Service Center at 1-800-348-4782.
Sincerely,
/s/ George C. W. Gatch
George C. W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN PRIME MONEY MARKET FUND
As of August 31, 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 $49.0 BILLION
Average maturity 42 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 26.5%
2-7 days 5.7%
8-30 days 28.7%
31-60 days 16.0%
61-90 days 10.3%
91-180 days 10.0%
181+ days 2.8%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.98%
Premier Shares 1.12%
Agency Shares 1.32%
Select Shares 1.13%
Cash Management Shares 0.60%
Institutional Shares 1.38%
Reserve Shares 0.87%
B Shares 0.33%
C Shares 0.33%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.94%, 1.10%, 1.25%, 1.08%, 0.53%, 1.25%,
0.84%, 0.29%, and 0.29% 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 August 31, 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 $2.6 BILLION
Average maturity 50 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 14.6%
2-7 days 8.5%
8-30 days 39.3%
31-60 days 18.5%
61-90 days 4.6%
91-180 days 6.5%
181+ days 8.0%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.96%
Premier Shares 1.10%
Agency Shares 1.30%
Institutional Shares 1.36%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.64%, 0.97%, 1.18% and
1.18% 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 August 31, 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 35 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 39.7%
2-7 days 4.1%
8-30 days 22.0%
31-60 days 16.3%
61-90 days 8.9%
91-180 days 6.6%
181+days 2.4%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.89%
Premier Shares 1.03%
Agency Shares 1.22%
Institutional Shares 1.28%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.76%, 0.85%, 1.12%, and
1.12% 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 August 31, 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 $4.0 BILLION
Average Maturity 35 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC rating* EXEMPT
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) exempt status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 75.5%
2-7 days 0.0%
8-30 days 1.2%
31-60 days 2.5%
61-90 days 2.6%
91-180 days 10.4%
181+days 7.8%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.88%
Premier Shares 1.02%
Agency Shares 1.23%
Institutional Shares 1.28%
Reserve Shares 0.77%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.79%, 0.99%,
1.14%, 0.73% and 1.14% 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 August 31, 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 $2.9 BILLION
Average Maturity 39 DAYS
S&P rating* AAAm
Moody's rating* Aaa
NAIC rating* APPROVED
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
The National Association of Insurance Commissioners' (NAIC's) "approved" status
indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE
<Table>
1 day 21.5%
2-7 days 7.9%
8-30 days 44.7%
31-60 days 8.1%
61-90 days 4.2%
91-180 days 11.2%
181+days 2.4%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.79%
Premier Shares 1.05%
Agency Shares 1.24%
Institutional Shares 1.30%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.67%, 0.98%, 1.13%, and
1.13% 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 August 31, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL
PRESERVATION
Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY
INCLUDING TREASURY BILLS, BONDS AND NOTES
Suggested investment time frame SHORT-TERM
Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL
SHARES
Net Assets $5.2 BILLION
Average Maturity 60 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 0.0%
2-7 days 12.1%
8-30 days 34.4%
31-60 days 9.9%
61-90 days 23.9%
91-180 days 14.2%
181+days 5.5%
</Table>
7-DAY SEC YIELD(1)
<Table>
Morgan Shares 0.77%
Premier Shares 0.90%
Agency Shares 1.11%
Institutional Shares 1.16%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.67%, 0.89%, 1.04%, and
1.05% 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 August 31, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHICH IS 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 $14.5 BILLION
Average Maturity 34 DAYS
S&P rating** AAAm
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
** This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
MATURITY SCHEDULE
<Table>
1 day 8.3%
2-7 days 71.4%
8-30 days 3.2%
31-60 days 5.5%
61-90 days 1.5%
91-180 days 3.2%
181+days 6.9%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- ------------------------------------------------------------
Morgan Shares 0.73% 1.12%
Premier Shares 0.87% 1.34%
Agency Shares 1.06% 1.63%
Institutional Shares 1.13% 1.72%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.64%, 0.86%, 1.00%, and
1.01% 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 call1-800-766-7722 to obtain further information.
(UNAUDITED)
9
<Page>
JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND
As of August 31, 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 $154.3 MILLION
Average Maturity 34 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 6.8%
2-7 days 78.1%
8-30 days 0.7%
31-60 days 0.0%
61-90 days 3.9%
91-180 days 3.2%
181+days 7.3%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- ------------------------------------------------------------
Morgan Shares 0.78% 1.31%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.47%.
(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 August 31, 2004
FUND FACTS
<Table>
Objective HIGH CURRENT INCOME WHICH IS 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 $1.7 BILLION
Average Maturity 39 DAYS
S&P rating NOT RATED
Moody's rating NOT RATED
NAIC rating NOT RATED
</Table>
MATURITY SCHEDULE
<Table>
1 day 6.6%
2-7 days 67.6%
8-30 days 2.4%
31-60 days 7.8%
61-90 days 2.9%
91-180 days 5.1%
181+days 7.6%
</Table>
YIELDS
<Table>
<Caption>
TAXABLE
7-DAY EQUIVALENT
SEC YIELD(1) YIELD(2)
- ------------------------------------------------------------
Morgan Shares 0.74% 1.30%
Reserve Shares 0.54% 0.95%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. 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'S 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'S 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 0.63% for Morgan Shares and 0.45% 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 August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
U.S. GOVERNMENT AGENCY SECURITIES -- 5.2%
Federal Home Loan Bank,
$ 102,250 1.42%, 09/20/04, Ser. 412, FRN $ 102,246
400,000 1.48%, 10/05/05, FRN 399,769
300,000 Federal Home Loan Mortgage Corp., 1.46%,
11/17/04, MTN 300,000
Federal National Mortgage Association,
56,780 1.87%, 02/23/05, DN 56,264
675,000 1.47%, 10/03/05, FRN 674,522
500,000 1.51%, 10/21/05, FRN 499,628
500,000 1.53%, 12/29/05, FRN 499,609
-------------------------------------------------------------------------------------------
Total U.S. Government Agency Securities 2,532,038
(Cost $2,532,038)
-------------------------------------------------------------------------------------------
CORPORATE NOTES & BONDS -- 16.8%
BANKING -- 4.8%
300,000 Bayerische Landesbank/New York, 1.60%, 300,000
09/24/04, FRN
Links Finance LLC,
120,000 1.55%, 03/15/05 119,994
75,000 1.55%, 03/15/05 74,996
100,000 1.55%, 03/22/05 99,994
200,000 1.55%, 04/15/05, Ser. 1, MTN, FRN, # 199,981
100,000 1.57%, 05/13/05, Ser. 1, MTN, FRN, # 99,997
Wells Fargo Bank N.A.,
543,670 1.54%, 02/14/05, FRN 543,670
769,980 1.67%, 09/14/05, MTN, FRN 769,980
160,000 Westpac Banking Corp./New York, 1.41%,
09/11/04, MTN, FRN 160,000
------------------
2,368,612
CONSUMER PRODUCTS -- 0.6%
300,000 Procter & Gamble Co., 1.53%, 10/08/10, FRN, # 300,000
DIVERSIFIED -- 1.8%
General Electric Capital Corp.,
468,000 1.66%, 09/09/04, FRN 468,000
400,000 1.68%, 09/17/04, MTN, FRN 400,000
------------------
868,000
FINANCIAL SERVICES -- 9.6%
75,000 Associates Corp. of North America, 1.67%,
06/27/05, FRN
Beta Finance, Inc., 75,000
200,000 1.42%, 09/13/04, MTN, # 200,000
100,000 1.32%, 02/09/05, MTN, # 100,000
40,000 1.54%, 04/29/05, MTN, # 39,949
80,000 1.56%, 05/06/05, MTN, # 79,989
90,000 1.56%, 05/17/05, MTN, # 89,987
110,000 1.40%, 06/13/05, Ser. 1, MTN, FRN, # 109,983
</Table>
See notes to financial statements.
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
FINANCIAL SERVICES -- CONTINUED
CC USA, Inc.,
$ 154,000 1.54%, 03/22/05 $ 153,983
119,000 1.56%, 04/25/05, Ser. 1, MTN, FRN, # 118,984
200,000 1.67%, 05/09/05, MTN, FRN, # 200,131
70,000 1.56%, 05/10/05 69,990
167,250 1.70%, 08/09/05, MTN, FRN, # 167,262
75,000 Citigroup Global Markets Holdings, Inc.,
1.42%, 06/06/05 75,064
28,000 Dorada Finance, Inc., 1.55%,
05/17/05, MTN, FRN, # 27,996
HBOS Treasury Services PLC (United Kingdom),
310,000 1.48%, 09/02/04, MTN, FRN, # 310,000
300,000 1.58%, 09/24/04, MTN, FRN, # 300,000
455,000 1.75%, 11/20/04, MTN, FRN, # 455,000
80,250 1.52%, 03/14/05, MTN, FRN, # 80,295
250,000 Lehman Brothers Holdings, Inc., 1.61%,
09/22/04, Ser. G, MTN, FRN 250,000
345,000 Merrill Lynch & Co., Inc., 1.51%,
09/04/04, MTN, FRN 345,000
Money Market Trust,
60,000 1.55%, 06/03/04, Ser. 2004, FRN 60,000
263,000 1.68%, 09/16/05, Ser. A-2, FRN, # 263,000
310,000 Morgan Stanley, 1.72%, 08/15/05, Ser. 1, MTN, FRN 310,069
Restructured Asset Securities with Enhanced
Returns (RACERS),
160,000 1.80%, 09/15/04, Ser. 2000-7-ZCM,
Class A-3, FRN, # (i) 160,000
475,000 1.80%, 10/15/04, Ser. 2001-8-MM,
Class A-1, FRN, # (i) 475,000
185,000 1.66%, 05/13/05, Ser. 2004-1-MM, # (i) 185,000
------------------
4,701,682
-------------------------------------------------------------------------------------------
Total Corporate Notes & Bonds 8,238,294
(Cost $8,238,294)
-------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 3.2%
Blue Heron Funding LTD,
260,000 1.64%, 03/18/05, Ser. 2-A, Class A, FRN, # 260,000
175,000 1.67%, 03/27/05, Ser. 7-A, Class A1, FRN, # 175,000
14,351 Cancara Asset Securitization LTD
(Channel Islands), 1.53%, 10/15/04 14,324
120,000 Davis Square Funding LTD (Cayman Islands), 1.57%,
09/07/04, Ser. 2004-2A, Class AMMB, FRN (i) 120,000
100,000 Newcastle CDO LTD (Cayman Islands), 1.64%,
09/24/38, Ser. 3-A, Class 1-MM, FRN (i) 100,000
760,000 Special Purpose Accounts Receivable Cooperative
Corp. (SPARCS), 1.69%, 01/26/05, Ser. 2004-3 760,000
48,187 TIAA Retail Commercial Trust, 1.67%,
09/29/04, Ser. 2003-1A, Class A1-MM, FRN 48,187
</Table>
See notes to financial statements.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
$ 85,000 Whitehawk Funding, LTD. (Cayman Islands),
1.81%, 06/15/05, Ser. 2004-1A, Class AMMB, FRN, # $ 85,000
-------------------------------------------------------------------------------------------
Total Asset Backed Securities 1,562,511
(Cost $1,562,511)
-------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 29.0%
ASSET BACKED SECURITIES -- 12.1%
Aquinas Funding LLC,
50,000 1.14%, 10/04/04 + 49,948
50,000 1.56%, 10/14/04 49,907
75,000 1.88%, 02/14/05 74,350
ASAP Funding LTD,
30,000 1.57%, 09/21/04 29,974
16,000 1.53%, 09/30/04 15,980
Atlantis One Funding Corp.,
55,637 1.07%, 09/16/04 55,612
107,673 1.79%, 01/10/05 106,972
120,239 1.87%, 02/01/05 119,283
50,890 1.88%, 02/02/05 50,481
20,473 Blue Ridge Asset Funding Corp., 1.51%, 09/16/04 20,460
50,000 Cantabric Finance LLC (United Kingdom),
1.68%, 10/25/04 49,874
Charta Corp.,
40,000 1.52%, 09/22/04 39,965
90,000 1.66%, 11/16/04 89,685
35,500 Compass Securitization LLC, 1.72%, 11/26/04 35,354
51,689 Crown Point Capital Co., 1.52%, 09/10/04 51,669
Dorada Finance, Inc.,
66,850 1.66%, 11/10/04 66,634
62,500 1.66%, 11/15/04 62,284
Edison Asset Securitization LLC,
121,990 1.57%, 09/01/04 121,990
144,000 1.36%, 09/07/04 143,967
129,529 1.14%, 10/01/04 129,406
491,757 1.88%, 02/01/05 487,827
127,000 Gemini Funding Corp., 1.54%, 09/16/04 126,919
Giro Balanced Funding Corp.,
105,000 1.58%, 09/27/04 104,880
24,820 1.55%, 10/18/04 24,770
121,686 1.70%, 11/22/04 121,215
Giro Funding U.S. Corp.,
111,958 1.55%, 09/22/04 111,857
64,948 1.54%, 10/15/04 64,826
259,049 Giro Multi-Funding Corp., 1.54%, 09/20/04 258,838
Grampian Funding LLC,
75,476 1.07%, 09/14/04 75,447
130,000 1.07%, 09/21/04 129,923
125,000 1.08%, 09/23/04 124,918
110,000 1.16%, 10/06/04 109,876
</Table>
See notes to financial statements.
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ASSET BACKED SECURITIES -- CONTINUED
$ 83,000 1.66%, 11/19/04 $ 82,698
416,000 1.66%, 11/22/04 414,427
125,100 K2 (USA) LLC, 1.88%, 02/08/05 124,055
Liberty Street Funding Corp.,
127,466 1.51%, 09/03/04 127,455
37,119 1.52%, 09/07/04 37,110
25,000 1.56%, 09/23/04 24,976
20,000 1.56%, 09/24/04 19,980
Newport Funding Corp.,
58,000 1.58%, 09/01/04 58,000
200,000 1.51%, 09/13/04 199,899
Park Granada LLC,
75,208 1.59%, 09/01/04 75,208
35,000 1.12%, 09/07/04 34,993
143,246 1.51%, 09/09/04 143,198
228,981 1.55%, 09/10/04 228,892
77,000 1.52%, 09/13/04 76,961
Scaldis Capital LLC,
100,000 1.51%, 09/07/04 99,975
75,000 1.54%, 09/15/04 74,955
55,077 1.66%, 11/17/04 54,881
Sheffield Receivables Corp.,
72,000 1.51%, 09/03/04 71,994
100,000 1.54%, 09/09/04 99,966
Silver Tower U.S. Funding LLC,
110,000 1.29%, 10/27/04 109,780
72,000 1.67%, 11/03/04 71,790
Thames Asset Global Securitization (TAGS),
225,000 1.54%, 09/20/04 224,817
106,065 1.66%, 11/18/04 105,684
Tulip Funding Corp.,
70,000 1.73%, 11/23/04 69,721
181,725 1.73%, 11/24/04 180,991
------------------
5,917,497
BANKING -- 8.7%
100,000 American Express Centurion Bank, 1.52%, 09/09/04 100,000
70,000 Bank of Ireland (Ireland), 1.14%, 10/04/04 69,927
Citibank Credit Card Issuance Trust,
100,000 1.55%, 09/09/04 99,966
70,000 1.52%, 09/09/04 69,976
150,000 1.53%, 09/15/04 149,911
278,000 1.54%, 09/20/04 277,774
100,000 1.51%, 09/24/04 99,901
50,000 1.53%, 09/28/04 49,943
70,000 1.57%, 10/07/04 69,890
Credit Suisse First Boston, Inc.,
399,500 1.36%, 09/09/04 399,379
326,500 1.52%, 10/13/04 325,921
</Table>
See notes to financial statements.
15
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
BANKING -- CONTINUED
$ 118,000 Danske Bank AS (Denmark), 1.14%, 10/07/04 $ 117,865
Den Danske Bank (Norway),
175,000 1.18%, 10/18/04 174,732
100,000 1.18%, 10/19/04 99,843
14,000 ING America Insurance Holdings, Inc.
(The Netherlands), 1.08%, 09/28/04 13,989
Norddeutsche Landesbank Girozentrale (Germany),
75,000 1.24%, 10/22/04 74,868
117,000 1.66%, 11/17/04 116,585
50,000 1.66%, 11/18/04 49,820
152,000 Rabobank USA Finance Corp., 1.57%, 09/01/04 152,000
Santander Central Hispano SA (Spain),
150,000 1.11%, 09/07/04 149,972
175,000 1.11%, 10/01/04 174,839
150,000 1.14%, 10/07/04 149,829
35,800 1.25%, 10/22/04 35,737
24,250 1.50%, 12/01/04 24,158
100,000 Santander Finance Delaware, Inc., 1.07%, 09/23/04 99,935
161,658 Societe Generale N.A., Inc., 1.09%, 09/02/04
Spintab AB (Germany), 161,653
250,000 1.53%, 10/13/04 249,554
200,000 1.55%, 10/19/04 199,587
70,000 Swiss Re Financial Products Corp. (Switzerland),
1.17%, 10/13/04 69,904
234,561 UBS Finance (Delaware), 1.57%, 09/01/04 234,561
200,000 Westpac Banking Corp. (Australia), 1.18%, 10/19/04 199,687
------------------
4,261,706
COMPUTER SOFTWARE -- 0.5%
250,000 Descartes Funding Trust Corp., 1.60%, 11/15/04 250,000
DIVERSIFIED -- 2.0%
General Electric Capital Corp.,
216,279 1.40%, 09/01/04 216,279
139,000 1.32%, 09/10/04 138,954
291,000 1.66%, 11/15/04 289,994
250,000 1.69%, 12/17/04 248,744
97,000 1.88%, 02/01/05 96,225
------------------
990,196
FINANCIAL SERVICES -- 5.2%
64,500 Beta Finance, Inc., 1.66%, 11/15/04 64,277
150,000 Cafco LLC, 1.65%, 11/15/04 149,484
CC USA, Inc.,
40,000 1.54%, 10/01/04 39,949
71,500 1.67%, 11/23/04 71,225
254,000 Citigroup Global Markets Holdings, Inc.,
1.54%, 09/22/04 253,772
150,000 CRC Funding LLC, 1.65%, 11/15/04 149,484
</Table>
See notes to financial statements.
16
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
FINANCIAL SERVICES -- CONTINUED
$ 40,000 Discover Card Master Trust, 1.55%, 10/13/04
Goldman Sachs Group, Inc., $ 39,928
200,000 1.27%, 09/24/04 200,000
175,000 1.61%, 10/13/04 175,000
642,500 1.69%, 11/15/04 642,499
370,000 1.99%, 02/24/05 370,000
Govco, Inc.,
62,750 1.35%, 09/07/04 62,736
160,000 1.66%, 11/18/04 159,425
100,000 1.72%, 11/26/04 99,589
67,766 KBC Financial Products (Belgium), 1.59%, 09/01/04 67,766
------------------
2,545,134
INSURANCE -- 0.3%
Irish Life & Permanent PLC (Ireland),
65,000 1.66%, 11/15/04 64,775
99,086 1.67%, 11/19/04 98,724
------------------
163,499
TRANSPORTATION -- 0.2%
Network Rail LTD (United Kingdom),
60,000 1.15%, 10/14/04 59,917
32,700 1.20%, 10/22/04 32,645
------------------
92,562
-------------------------------------------------------------------------------------------
Total Commercial Paper 14,220,594
(Cost $14,220,594)
-------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 28.8%
289,000 ABN-AMRO Bank N.V. (The Netherlands)
(Yankee), 1.11%, 09/07/04 289,000
150,000 Allied Irish Banks PLC (Ireland) (Yankee),
1.20%, 10/22/04 150,000
Banco Bilbao Vizcaya Argentaria SA (Spain) (Yankee),
325,000 1.55%, 10/19/04 325,000
625,000 1.70%, 12/21/04 624,999
100,000 Banco Bilbao Vizcaya Argentina/New York (Yankee),
1.66%, 11/16/04, Floating Rate 99,998
300,000 Banque Nationale de Paris/New York (Yankee),
1.52%, 12/08/04 299,984
Barclays Bank PLC/New York (Yankee),
100,000 1.48%, 09/07/04, Floating Rate 99,999
250,000 1.55%, 09/13/04, Floating Rate 249,999
500,000 1.55%, 11/03/04, Floating Rate 499,987
405,000 1.55%, 12/01/04 404,980
Bayerische Landesbank/New York (Yankee),
50,000 1.55%, 09/13/04, Floating Rate 50,000
92,000 1.58%, 09/30/04, Floating Rate 92,002
50,000 1.59%, 09/30/04, Ser. 1, Floating Rate 49,999
75,000 1.55%, 12/20/04, Floating Rate 74,996
128,000 1.70%, 05/09/05, Floating Rate 128,037
</Table>
See notes to financial statements.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
BNP Paribas (France) (Yankee),
$ 175,000 1.36%, 09/10/04 $ 175,000
725,000 1.15%, 10/15/04 724,999
250,000 1.70%, 12/21/04 250,000
300,000 1.55%, 04/29/05 299,961
25,000 Calyon Securities (USA), Inc., 1.38%, 09/14/04 25,000
150,000 Canadian Imperial Bank of Commerce (Canada)
(Yankee), 1.11%, 09/03/04 150,000
Canadian Imperial Bank of
Commerce/New York (Yankee),
30,000 1.58%, 12/08/04 29,999
100,000 1.58%, 05/31/05 99,980
Citibank N.A.,
185,000 1.43%, 09/13/04 185,000
150,000 1.66%, 11/22/04 150,000
150,000 Credit Agricole Indosuez SA (France) (Yankee),
1.17%, 10/26/04 150,000
75,000 Credit Lyonnais (France) (Yankee), 1.26%, 10/24/04 75,001
188,900 Credit Suisse First Boston/New York (Yankee),
1.68%, 11/22/04 188,881
Deutsche Bank AG (Germany) (Yankee),
75,000 1.38%, 09/07/04 75,000
185,000 1.51%, 10/08/04, Floating Rate 185,000
300,000 1.70%, 12/22/04 300,000
150,000 Dexia Credit Local (France) (Yankee),
1.15%, 10/13/04 150,000
100,000 Discover Bank, 1.58%, 09/28/04 100,000
150,000 Fortis Bank/New York (Yankee), 1.53%, 12/08/04 149,992
HBOS Treasury Services PLC (United Kingdom)
(Yankee),
150,000 1.08%, 09/29/04 150,000
225,000 1.09%, 10/01/04 225,000
264,000 1.54%, 10/15/04 264,000
385,000 1.90%, 02/09/05 385,000
350,000 Landesbank Baden-Wuerttemberg/New York
(Yankee), 1.51%, 09/10/04, Floating Rate 349,999
Landesbank Hessen-Thuringen Girozentrale
(Germany) (Yankee),
75,000 1.51%, 11/19/04 75,001
300,000 1.71%, 12/22/04 300,000
Natexis Banques Populaires (France) (Yankee),
200,000 1.10%, 09/03/04 200,000
100,000 1.44%, 07/01/05 99,975
200,000 Norddeutsche Landesbank Girozentrale
(Germany), 1.37%, 09/07/04 200,000
250,000 Nordea Bank AB (Finland), 1.20%, 10/22/04 250,000
260,000 Nordea Bank AB (Sweden) (Yankee),
1.90%, 02/09/05 260,006
</Table>
See notes to financial statements.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
$ 175,000 Royal Bank of Canada/New York (Yankee),
1.50%, 12/07/04 $ 174,993
Royal Bank of Scotland (United Kingdom) (Yankee),
100,000 1.51%, 12/08/04 99,997
375,000 1.70%, 05/04/05 374,962
478,700 2.47%, 07/15/05 478,628
Societe Generale (France) (Yankee),
375,000 1.10%, 09/01/04 375,000
460,000 2.49%, 07/15/05 459,882
500,000 Societe Generale/New York (Yankee),
1.54%, 05/10/05 499,923
Toronto Dominion Bank/New York (Yankee),
100,000 1.11%, 09/08/04 100,000
250,000 1.36%, 09/10/04 250,000
UniCredito Italiano SPA (Italy) (Yankee),
160,000 1.16%, 10/06/04 160,003
370,000 1.36%, 09/10/04 370,000
160,000 1.68%, 11/22/04 160,000
50,000 US Bank N.A., 1.14%, 10/08/04 50,000
350,000 Wells Fargo & Co., 1.53%, 09/13/04 350,000
Westdeutsche Landesbank Girozentrale
(Germany) (Yankee),
450,000 1.37%, 09/09/04 450,000
100,000 1.51%, 12/07/04 100,000
-------------------------------------------------------------------------------------------
Total Certificates of Deposit 14,115,162
(Cost $14,115,162)
-------------------------------------------------------------------------------------------
TIME DEPOSITS -- 6.7%
155,837 BNP Paribas (France) (Yankee), 1.57%, 09/01/04 155,837
134,304 Branch Banking & Trust Co., 1.44%, 09/01/04 134,304
550,000 Citibank N.A., 1.44%, 09/01/04 550,000
300,000 Fifth Third Bank, 1.44%, 09/01/04 300,000
550,000 National Australia Bank LTD (Australia),
1.59%, 09/01/04 550,000
250,000 Regions Bank, 1.44%, 09/01/04 250,000
141,712 Societe Generale (France), 1.58%, 09/01/04 141,712
243,118 SouthTrust Bank, 1.44%, 09/01/04 243,118
11,249 State Street Bank & Trust Co., 1.58%, 09/01/04 11,249
SunTrust Bank, Inc.
484,262 1.41%, 09/01/04 484,262
450,000 1.44%, 09/01/04 450,000
-------------------------------------------------------------------------------------------
Total Time Deposits 3,270,482
(Cost $3,270,482)
-------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
REPURCHASE AGREEMENTS -- 10.3%
$ 1,000,000 Citigroup, Inc., 1.60%, dated 08/31/04, due
09/01/04, repurchase price $1,000,044, collateralized
by U.S. Government Agency Securities $ 1,000,000
900,000 Citigroup, Inc., 1.61%, dated 08/31/04, due
09/01/04, repurchase price $900,040, collateralized
by U.S. Government Agency Securities 900,000
24,472 Credit Suisse First Boston, Inc., 1.55%, dated
08/31/04, due 09/01/04, repurchase price $24,473,
collateralized by U.S. Government Agency Securities 24,472
1,700,000 Credit Suisse First Boston, Inc., 1.60%, dated
08/31/04, due 09/01/04, repurchase price $1,700,074,
collateralized by U.S. Government Agency Securities 1,700,000
14,235 Deutsche Bank Securities, Inc., 1.55%, dated
08/31/04, due 09/01/04, repurchase price $14,236,
collateralized by U.S. Government Agency Securities 14,235
500,000 Deutsche Bank Securities, Inc., 1.59%, dated
08/31/04, due 09/01/04, repurchase price $500,022,
collateralized by U.S. Government Agency Securities 500,000
500,000 Deutsche Bank Securities, Inc., 1.62%, dated
08/31/04, due 09/01/04, repurchase price $500,023,
collateralized by U.S. Government Agency Securities 500,000
400,000 Merrill Lynch & Co. 1.61%, dated 08/31/04, due
09/01/04, repurchase price $400,017, collateralized
by U.S. Government Agency Securities 400,000
-------------------------------------------------------------------------------------------
Total Repurchase Agreements 5,038,707
(Cost $5,038,707)
-------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 48,977,788
(Cost $48,977,788) *
-------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
20
<Page>
JPMORGAN LIQUID ASSETS MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
U.S. GOVERNMENT AGENCY SECURITIES -- 8.2%
$ 60,000 Federal Home Loan Bank, 1.60%, 04/26/05, FRN $ 60,000
55,000 Federal Home Loan Mortgage Corp., 1.50%,
02/14/05, Ser. 1, MTN, FRN 55,000
Federal National Mortgage Association,
25,000 1.47%, 10/03/05, FRN 24,982
75,000 1.53%, 12/29/05, FRN 74,942
-------------------------------------------------------------------------------------------
Total U.S. Government Agency Securities 214,924
(Cost $214,924)
-------------------------------------------------------------------------------------------
SUPRANATIONAL NOTES & BONDS -- 1.9%
50,000 Corp. Andina de Fomento, 1.87%, 11/17/04,
MTN, FRN 50,000
(Cost $50,000)
CORPORATE NOTES & BONDS -- 18.7%
BANKING -- 1.0%
2,450 HSBC (USA), Inc., 1.71%, 09/24/04, FRN 2,450
25,000 LaSalle Bank N.A., 1.15%, 10/06/04 25,001
------------------
27,451
DIVERSIFIED -- 0.2%
6,000 General Electric Capital Corp.,
1.66%, 09/09/04, FRN 6,000
FINANCIAL SERVICES -- 16.9%
30,000 Beta Finance, Inc., 1.40%, 06/13/05,
Ser. 1, MTN, FRN, # 29,995
30,000 CC USA, Inc., 1.56%, 05/10/05, # 29,996
25,000 Citigroup Global Markets Holdings, Inc.,
1.42%, 06/06/05 25,021
75,000 Dorada Finance, Inc., 1.55%, 05/17/05, MTN, FRN, # 74,990
30,000 HBOS Treasury Services PLC (United Kingdom),
1.48%, 09/02/04, MTN, FRN, # 30,000
1,779 Household Finance Corp., 5.88%, 09/25/04 1,784
30,000 John Hancock Global Funding II, 1.74%, 09/27/04,
MTN, FRN, # 30,004
75,000 Links Finance LLC, 1.56%, 06/10/05, Ser. 1,
MTN, FRN, # 74,988
Merrill Lynch & Co., Inc.,
24,000 1.71%, 03/23/05, MTN, FRN 24,023
40,000 1.51%, 09/04/04, MTN, FRN 40,000
67,000 Money Market Trust, 1.68%, 08/09/05,
Ser. A-2, FRN, # 67,000
15,000 Restructured Asset Securities with Enhanced Returns
(RACERS), 1.66%, 05/13/05, Ser. 2004-1-MM, # (i) 15,000
------------------
442,801
</Table>
See notes to financial statements.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
INSURANCE -- 0.6%
$ 15,000 SunAmerica Global Financing VIII, 1.73%,
11/15/04, FRN, # $ 15,004
-------------------------------------------------------------------------------------------
Total Corporate Notes & Bonds 491,256
(Cost $491,256)
-------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 1.7%
30,000 Davis Square Funding LTD (Cayman Islands), 1.57%,
09/07/04, Ser. 2004-2A, Class AMMB, FRN, # (i) 30,000
15,000 Whitehawk Funding, LTD. (Cayman Islands), 1.81%,
06/15/05, Ser. 2004-1A, Class AMMB, FRN, # 15,000
-------------------------------------------------------------------------------------------
Total Asset Backed Securities 45,000
(Cost $45,000)
-------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 28.0%
ASSET BACKED SECURITIES -- 12.6%
25,000 ASAP Funding LTD, 1.57%, 09/21/04 + 24,978
Atlantis One Funding Corp.,
97,130 1.07%, 09/08/04 97,109
50,000 1.08%, 09/21/04 49,970
52,000 Grampian Funding LLC, 1.07%, 09/07/04 K2
(USA) LLC, 51,991
26,400 1.07%, 09/13/04 26,391
25,000 1.15%, 10/04/04 24,974
21,900 1.15%, 10/08/04 21,874
25,000 Park Granada LLC, 1.55%, 09/10/04 24,990
11,000 Silver Tower U.S. Funding LLC, 1.25%, 10/22/04 10,981
------------------
333,258
BANKING -- 6.0%
100,000 Bradford & Bingley PLC (United Kingdom),
1.56%, 01/07/05, # 100,000
27,890 Eurohypo AG (Germany), 0.00%, 09/01/04 27,890
30,000 Santander Central Hispano SA (Spain),
1.48%, 09/22/04 29,974
------------------
157,864
FINANCIAL SERVICES -- 6.1%
Goldman Sachs Group, Inc.,
40,000 1.29%, 09/27/04 40,000
50,000 1.69%, 11/15/04 50,001
30,000 1.99%, 02/24/05 30,000
25,000 Govco, Inc., 1.35%, 09/08/04 24,993
15,000 Silver Tower U.S. Funding LLC, 1.12%, 09/15/04 14,993
------------------
159,987
TRANSPORTATION -- 2.5%
Network Rail LTD (United Kingdom),
30,000 1.15%, 10/14/04 29,959
35,000 1.90%, 02/07/05 34,706
------------------
64,665
</Table>
See notes to financial statements.
22
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
UTILITIES -- 0.8%
$ 20,000 RWE AG (Germany), 1.26%, 10/20/04 $ 19,966
-------------------------------------------------------------------------------------------
Total Commercial Paper 735,740
(Cost $735,740)
-------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 32.9%
20,500 ABN-AMRO Bank N.V. (The Netherlands)
(Yankee), 1.11%, 09/07/04 20,500
100,000 Alliance & Leicester PLC (United Kingdom)
(Yankee), 1.36%, 09/09/04 99,999
25,000 Allied Irish Banks PLC (Ireland) (Yankee),
1.27%, 10/29/04 25,000
25,000 Banco Bilbao Vizcaya Argentaria SA (Spain)
(Yankee), 1.09%, 09/20/04 25,000
25,000 Barclays Bank PLC/New York (Yankee), 1.55%,
12/01/04 24,999
50,000 Bayerische Landesbank Girozentrale (Germany)
(Yankee), 1.08%, 09/09/04 50,000
50,000 Calyon Securities (USA), Inc., 1.38%, 09/14/04 50,000
10,000 Canadian Imperial Bank of Commerce/New York
(Yankee), 1.58%, 12/08/04 10,000
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
60,000 Dexia Credit Local (France) (Yankee), 1.07%,
09/13/04 60,000
25,000 Fortis Bank/New York (Yankee), 1.41%, 09/03/04 25,000
25,000 Natexis Banques Populaires (France) (Yankee),
1.15%, 10/14/04 25,000
30,000 Norddeutsche Landesbank Girozentrale (Germany)
(Yankee), 1.74%, 05/04/05 30,000
100,000 Nordea Bank Finland PLC (Finland) (Yankee),
2.30%, 06/14/05 99,981
50,000 Royal Bank Scotland (United Kingdom),
1.80%, 06/01/05 49,994
30,000 Societe Generale (France) (Yankee), 2.49%,
07/15/05 29,992
25,000 Societe Generale/New York (Yankee), 1.27%,
10/20/04 25,000
UniCredito Italiano SPA (Italy) (Yankee),
75,000 1.36%, 09/09/04 75,000
20,000 1.68%, 11/22/04 20,000
20,000 Westdeutsche Landesbank Girozentrale (Germany)
(Yankee), 1.27%, 10/14/04 20,003
-------------------------------------------------------------------------------------------
Total Certificates of Deposit 865,468
(Cost $865,468)
-------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
23
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(USD) ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
REPURCHASE AGREEMENT -- 8.6%
$ 227,424 Greenwich Capital Markets, Inc., 1.60%, dated
08/31/04, due 09/01/04, repurchase price
$227,434, collateralized by U.S. Government
Agency Securities $ 227,424
(Cost $227,424)
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 2,629,812
(Cost $2,629,812) *
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
24
<Page>
JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
U.S. GOVERNMENT AGENCY SECURITIES -- 73.0%
Federal Farm Credit Bank,
$ 300,000 1.49%, 10/14/05, FRN $ 299,866
100,000 1.48%, 12/14/05, FRN 99,935
50,000 1.43%, 12/21/05, FRN 49,967
75,000 1.46%, 04/06/06, FRN 74,982
65,000 1.53%, 04/20/06, FRN 65,000
Federal Home Loan Bank,
65,120 1.30%, 09/01/04, DN 65,120
24,000 1.03%, 09/03/04, DN 23,999
200,000 1.42%, 09/20/04, Ser. 412, FRN 199,993
49,205 1.13%, 10/06/04, Ser. VJ04 49,193
225,000 1.55%, 04/07/05, Ser. 435, FRN 225,027
75,000 1.54%, 04/25/05, Ser. 438, FRN 74,992
164,000 1.60%, 04/26/05, FRN 164,000
200,000 1.65%, 05/03/05, FRN 200,000
41,500 2.28%, 06/15/05 41,470
452,400 1.25%, 09/08/05, FRN 452,147
237,675 1.34%, 09/12/05, FRN 237,552
50,000 1.50%, 09/16/05, Ser. 456, FRN 49,984
100,000 1.49%, 10/03/05, FRN 99,945
Federal Home Loan Mortgage Corp.,
25,000 1.03%, 09/07/04, DN 24,996
95,700 1.04%, 09/21/04, DN 95,645
57,685 1.15%, 10/12/04, DN 57,609
180,906 1.08%, 10/18/04, DN 180,652
99,575 1.19%, 10/19/04, DN 99,417
100,000 1.08%, 11/01/04, DN 99,817
100,000 1.15%, 11/04/04, DN 99,796
23,679 1.18%, 11/15/04, DN 23,621
80,000 3.25%, 11/15/04 80,335
30,000 1.62%, 11/16/04, DN 29,897
100,000 1.46%, 11/17/04, MTN 100,000
40,531 1.19%, 11/22/04, DN 40,421
50,000 1.51%, 12/07/04, Ser. 3, MTN 50,002
48,000 1.64%, 12/21/04, DN 47,757
83,786 1.86%, 02/08/05, DN 83,095
212,000 1.50%, 02/14/05, Ser. 1, MTN, FRN 212,000
50,000 2.38%, 07/15/05, MTN 49,967
65,000 2.40%, 07/15/05, MTN 64,981
50,000 7.00%, 07/15/05 51,937
15,520 1.37%, 09/09/05, MTN, FRN 15,521
Federal National Mortgage Association,
10,000 1.09%, 09/01/04, DN 10,000
400,000 1.35%, 09/10/04, FRN 400,003
402,000 1.50%, 09/10/04, FRN 401,995
72,490 1.50%, 09/20/04, DN 72,433
100,000 1.21%, 10/13/04, DN 99,859
115,110 1.20%, 10/20/04, DN 114,922
</Table>
See notes to financial statements.
25
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
$ 50,000 1.23%, 10/27/04, DN $ 49,905
200,000 1.14%, 11/08/04, DN 199,569
92,000 1.17%, 11/09/04, DN 91,794
48,500 1.30%, 11/12/04, DN 48,374
5,000 1.75%, 01/19/05, DN 4,966
75,000 1.56%, 01/28/05, FRN 74,994
150,000 1.85%, 02/02/05, DN 148,813
60,956 1.87%, 02/16/05, DN 60,424
10,000 7.00%, 07/15/05 10,387
200,000 1.52%, 08/29/05, FRN 199,905
250,000 1.23%, 09/06/05, FRN 249,847
300,000 1.47%, 10/03/05, FRN 299,787
140,000 1.53%, 12/29/05, FRN 139,891
25,000 Student Loan Marketing Association,
3.63%, 09/30/04 25,048
-------------------------------------------------------------------------------------------
Total U.S. Government Agency Securities 6,683,554
(Cost $6,683,554)
-------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 27.0%
175,000 Bear Stearns Securities, Inc., 1.60%, dated 08/31/04,
due 09/01/04, repurchase price $175,008,
collateralized by U.S. Government Agency Securities 175,000
925,000 Credit Suisse First Boston, Inc., 1.60%, dated
08/31/04, due 09/01/04, repurchase price $925,041,
collateralized by U.S. Government Agency Securities 925,000
646,168 Goldman, Sachs & Co. 1.59%, dated 08/31/04, due
09/01/04, repurchase price $646,197, collateralized
by U.S. Government Agency Securities 646,168
727,511 Greenwich Capital Markets, Inc., 1.60%, dated
08/31/04, due 09/01/04, repurchase price $727,543,
collateralized by U.S. Government Agency Securities 727,511
-------------------------------------------------------------------------------------------
Total Repurchase Agreements 2,473,679
(Cost $2,473,679)
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 9,157,233
(Cost $9,157,233) *
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
26
<Page>
JPMORGAN TREASURY PLUS MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
U.S. TREASURY SECURITIES -- 24.5%
U.S. Treasury Bills,
$ 275 1.30%, 09/23/04 $ 275
100,000 1.13%, 10/21/04 99,844
180,000 1.70%, 02/03/05 178,683
U.S. Treasury Notes & Bonds,
50,000 1.88%, 09/30/04 50,034
30,000 2.13%, 10/31/04 30,051
75,000 5.88%, 11/15/04 75,736
239,000 2.00%, 11/30/04 239,503
65,000 1.50%, 02/28/05 65,076
100,000 1.63%, 03/31/05 100,291
75,000 1.63%, 04/30/05 75,000
73,700 1.13%, 06/30/05 73,058
-------------------------------------------------------------------------------------------
Total U.S. Treasury Securities 987,551
(Cost $987,551)
-------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 75.5%
522,528 Credit Suisse First Boston, Inc., 1.55%, dated
08/31/04, due 09/01/04, repurchase price $522,550,
collateralized by U.S. Government Agency Securities+ 522,528
548,943 Deutsche Bank Securities, Inc., 1.55%, dated
08/31/04, due 09/01/04, repurchase price $548,967,
collateralized by U.S. Government Agency Securities 548,943
100,927 Greenwich Capital Markets, Inc., 1.56%, dated
08/31/04, due 09/01/04, repurchase price $100,931,
collateralized by U.S. Government Agency Securities 100,927
326,000 Merrill Lynch & Co. 1.54%, dated 08/31/04, due
09/01/04, repurchase price $326,014, collateralized
by U.S. Government Agency Securities 326,000
810,000 Morgan Stanley & Co. 1.56%, dated 08/31/04, due
09/01/04, repurchase price $810,035, collateralized
by U.S. Government Agency Securities 810,000
732,158 UBS Warburg LLC, 1.55%, dated 08/31/04, due
09/01/04, repurchase price $732,190, collateralized
by U.S. Government Agency Securities 732,158
-------------------------------------------------------------------------------------------
Total Repurchase Agreements 3,040,556
(Cost $3,040,556)
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 4,028,107
(Cost $4,028,107) *
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
27
<Page>
JPMORGAN FEDERAL MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
U.S. TREASURY SECURITY -- 0.7%
$ 20,000 U.S. Treasury Notes & Bonds, 1.63%, 04/30/05 $ 20,000
(Cost $20,000)
U.S. GOVERNMENT AGENCY SECURITIES -- 99.3%
Federal Farm Credit Bank,
32,000 1.14%, 09/02/04, DN + 31,999
48,500 1.14%, 09/15/04, DN 48,478
25,000 1.15%, 09/20/04, DN 24,985
7,489 1.16%, 09/27/04, DN 7,483
15,000 2.38%, 10/01/04 15,015
500,000 1.45%, 11/19/04, FRN 500,000
25,000 1.15%, 12/13/04, DN 24,918
150,000 1.35%, 07/01/05, FRN 150,000
150,000 1.50%, 09/30/05, FRN 149,968
150,000 1.49%, 10/14/05, FRN 149,933
70,000 1.58%, 06/28/06, FRN 69,986
Federal Home Loan Bank,
60,338 1.47%, 09/01/04, DN 60,338
34,744 1.04%, 09/08/04, DN 34,737
100,000 1.21%, 10/20/04, DN 99,835
33,365 1.84%, 02/02/05, DN 33,102
150,000 1.84%, 02/04/05, DN 148,805
125,000 1.87%, 02/25/05, DN 123,851
20,000 1.90%, 03/18/05, DN 19,791
125,000 1.55%, 04/07/05, Ser. 435, FRN 125,015
125,000 1.60%, 04/26/05, FRN 125,000
32,000 2.28%, 06/15/05 31,977
125,000 1.64%, 08/26/05, FRN 124,944
270,000 1.25%, 09/08/05, FRN 269,848
200,000 1.34%, 09/12/05, FRN 199,897
Student Loan Marketing Association,
200,000 1.65%, 09/16/04, FRN 200,000
15,000 3.63%, 09/30/04 15,029
150,000 Tennessee Valley Authority, 1.39%, 09/16/04, DN 149,914
-------------------------------------------------------------------------------------------
Total U.S. Government Agency Securities 2,934,848
(Cost $2,934,848)
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 2,954,848
(Cost $2,954,848) *
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
28
<Page>
JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100%
U.S. TREASURY SECURITIES -- 100.0%
U.S. Treasury Bills,
$ 629,984 1.33%, 09/02/04 + $ 629,960
1,221,375 1.29%, 09/09/04 1,221,025
124,186 1.07%, 09/16/04 124,131
19,304 1.31%, 09/23/04 19,289
297,132 1.15%, 09/30/04 296,856
287,040 1.14%, 10/07/04 286,712
128,010 1.32%, 10/14/04 127,809
99,457 1.34%, 10/21/04 99,273
200,000 1.44%, 11/04/04 199,488
361,251 1.45%, 11/18/04 360,116
197,447 1.51%, 11/26/04 196,735
50,581 1.56%, 12/23/04 50,334
200,000 1.71%, 02/03/05 198,528
316,617 1.75%, 02/24/05 313,914
U.S. Treasury Notes & Bonds,
124,437 1.88%, 09/30/04 124,521
454,937 2.13%, 10/31/04 455,528
25,000 5.88%, 11/15/04 25,228
175,696 2.00%, 11/30/04 176,078
79,000 1.50%, 02/28/05 79,091
100,000 1.63%, 03/31/05 100,291
108,000 1.13%, 06/30/05 107,057
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 5,191,964
(Cost $5,191,964)*
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
29
<Page>
JPMORGAN TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(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%, 09/01/04 $ 10,900
900 Alabama Special Care Facilities Financing
Authority, Montgomery Hospital, Rev.,
FRDO, FGIC, 1.23%, 09/01/04 900
30,600 Alabama Special Care Facilities Financing
Authority-Birmingham, Ascension Health Credit,
Ser. B, Rev., FRDO, 1.33%, 09/01/04 30,600
5,000 Birmingham Airport Authority, Municipal
Securities Trust Receipts, Ser. SGA-47, Rev.,
FRDO, MBIA, #, 1.40%, 09/01/04 5,000
15,000 DCH Health Care Authority, Alabama Healthcare
Facilities, Rev., FRDO, 1.31%, 09/02/04 15,000
10,000 Houston County Health Care Authority, FLOATS,
Ser. PT-879, Rev., FRDO, MBIA, 1.36%, 09/02/04 10,000
2,385 Infirmary Health System Special Care Facilities
Financing Authority, Ser. A, Rev., FRDO,
1.32%, 09/02/04 2,385
5,735 Jefferson County, Sewer, EAGLE, Ser. 2002-6016,
Class A, Rev., FRDO, FGIC, 1.21%, 02/01/04 5,735
20,800 Mcintosh IDB, Environmental Improvement,
CIBA Specialty Chemicals, Rev., FRDO,
1.30%, 09/01/04 20,800
1,300 Mobile County, IDA, PCR, ExxonMobil Project,
Rev., FRDO, 1.22%, 09/01/04 1,300
5,800 Montgomery BMC Special Care Facilities
Financing Authority, Hospital, VHA Alabama,
Inc., Ser. C, Rev., FRDO, AMBAC, 1.34%,
09/01/04 5,800
9,000 Montgomery BMC Special Care Facilities
Financing Authority, Hospital, VHA Alabama,
Inc., Ser. F, Rev., FRDO, AMBAC, 1.34%, 09/01/04 9,000
22,700 Phenix City, Alabama, Industrial Development
Board, Environmental Improvement,
Mead Coated Board Project, Ser. A, Rev., FRDO,
1.31%, 09/01/04 22,700
4,000 Selma IDB, IDR, Specialty Minerals Project, Rev.,
FRDO, 1.43%, 09/02/04 4,000
4,800 St. Clair County IDB, IDR, National Cement Co.,
Inc. Project II, Rev., FRDO, 2.02%, 09/02/04 4,800
6,035 Tuscaloosa County Board of Education, Special
Tax, TAW, FRDO, 1.35%, 09/02/04 6,035
33,000 University of Alabama, Hospital, Ser. B, Rev.,
FRDO, AMBAC, 1.27%, 09/01/04 33,000
------------------
187,955
</Table>
See notes to financial statements.
30
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ALASKA -- 0.4%
$ 1,600 Alaska Housing Finance Corp., Floating Rate
Trust Receipts, Ser. L-25, Regulation D, Rev.,
FRDO, MBIA, 1.34%, 09/01/04 $ 1,600
9,535 Alaska Housing Finance Corp., Government
Purpose, Ser. B, Rev., FRDO, MBIA,
1.30%, 09/02/04 9,535
25,460 Alaska Housing Finance Corp., Housing
Development, Ser. D, Rev., FRDO, MBIA,
1.30%, 09/07/04 25,460
10,000 Alaska Housing Finance Corp., State Capital
Project, Ser. C, Rev., FRDO, MBIA, 1.35%,
09/02/04 10,000
3,900 Valdez, Alaska, Marine Terminal, Exxon
Pipeline Co. Project, Ser. A, Rev., FRDO,
1.22%, 09/01/04 3,900
300 Valdez, Alaska, Marine Terminal,
Exxon Pipeline Co. Project, Ser. B, Rev., FRDO,
1.22%, 09/01/04 300
------------------
50,795
ARIZONA -- 1.3%
42,500 Apache County IDA, IDR, Tucson Electric Power
Co., Ser. 83-B, Rev., FRDO, 1.33%, 09/01/04 42,500
7,700 Apache County IDA, IDR, Tucson Electric Power
Co., Springerville, Rev., FRDO, 1.40%, 09/01/04 7,700
4,200 Apache County IDA, IDR, Tuscon Electric Power
Co., Floating Rate Trust Receipts,
Ser. 83-A, Rev., FRDO, 1.40%, 09/01/04 4,200
10,000 Arizona State University, Ser. A, Rev., FRDO,
AMBAC, 1.28%, 09/01/04 10,000
5,000 Arizona State University, Ser. B, Rev., FRDO,
AMBAC, 1.28%, 09/01/04 5,000
12,870 Coconino County Pollution Control Corp.,
Arizona Public Service Co. Project, Rev., FRDO,
1.36%, 09/02/04 12,870
7,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Salt River Project, FRDO, 1.36%, 09/02/04 7,000
3,840 Maricopa County Public Finance Corp., Floating
Rate Certficates, Ser. 511, Rev., FRDO, AMBAC,
1.35%, 09/02/04 3,840
5,330 Phoenix IDA, Multi-Family Housing, CenterTree
Apartments Project, Ser. A, Rev., FRDO, 1.39%,
09/02/04 5,330
12,500 Phoenix, Arizona, 1.15%, 01/12/05 12,500
7,500 Phoenix, Arizona, 1.22%, 11/09/04 7,500
12,000 Phoenix, Arizona, Civic Improvement, 1.08%,
10/08/04 12,000
6,500 Phoenix, Arizona, Civic Improvement, 1.17%,
09/14/04 6,500
</Table>
See notes to financial statements.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ARIZONA -- CONTINUED
$ 8,000 Phoenix, Arizona, Water, 1.09%, 11/10/04 $ 8,000
25,000 Salt River Project Agricultural Improvement &
Power District, Electric Systems, Floating Rate
Receipts, Ser. SG-160, Rev., FRDO, 1.36%,
09/02/04 25,000
16,200 University of Arizona, Main Campus & Research,
Ser. A, COP, Rev., FRDO, AMBAC, 1.32%,
09/01/04 16,200
------------------
186,140
ARKANSAS -- 0.1%
5,500 Columbia County, Solid Waste Disposal,
Albemarle Corp. Project, Rev., FRDO, 1.40%,
09/02/04 5,500
6,300 Little Rock Metrocentre Improvement
District No. 1, Little Rock Newspapers, Inc.,
Rev., FRDO, 1.36%, 09/02/04 6,300
5,765 University of Arkansas, FLOATS, Ser. PT-1948,
Rev., 1.25%, 09/02/04 5,765
------------------
17,565
CALIFORNIA -- 8.2%
15,930 Abag Finance Authority for Nonprofit Corps,
Lucile Salter Packard Project, COP, FRDO, 1.30%,
09/01/04 15,930
6,000 ABN AMRO Munitops Certificate Trust,
Ser. 2002-9, GO, FRDO, MBIA, 1.35%, 11/17/04 6,000
6,995 ABN AMRO Munitops Certificate Trust,
Ser. 2003-11, GO, FRDO, FSA, 1.43%, 09/15/04 6,995
13,300 Access to Loans for Learning Student Loan Corp.,
Ser. II-A-7, Rev., FRDO, 1.80%, 06/01/05 13,300
2,000 Alvord Unified School District, Food Services
Bridge Funding Program, COP, FRDO, FSA,
1.30%, 09/02/04 2,000
7,100 Auburn Union School District, COP, FRDO, FSA,
1.32%, 09/02/04 7,100
2,805 California Economic Development Financing
Authority, IDR, Standard Abrasives
Manufacturing Project, Rev., FRDO, 1.40%,
09/01/04 2,805
13,500 California Housing Finance Agency, FLOATS,
Ser. MT-007, Rev., FRDO, 1.38%, 09/02/04 13,500
45,000 California Housing Finance Agency, FLOATS,
Ser. PT-998, Rev., 1.38%, 09/02/04 45,000
11,460 California Housing Finance Agency, Home
Mortgage, Ser. F, Rev., FRDO, AMBAC, 1.28%,
09/01/04 11,460
6,275 California Housing Finance Agency, Home
Mortgage, Ser. M, Rev., FRDO, 1.29%, 09/01/04 6,275
</Table>
See notes to financial statements.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 20,000 California Housing Finance Agency, Home
Mortgage, Ser. M, Rev., FRDO, 1.38%, 09/01/04 $ 20,000
2,990 California Housing Finance Agency, Home
Mortgage, Ser. U, Rev., FRDO, FSA, 1.32%,
09/01/04 2,990
5,400 California Housing Finance Agency, Multi-Family
Housing, Ser. A, Rev., FRDO, 1.23%, 09/01/04 5,400
1,610 California Infrastructure & Economic
Development Bank, IDR, Pleasant Mattress, Inc.
Project, Ser. A, Rev., FRDO, 1.38%, 09/01/04 1,610
1,800 California Infrastructure & Economic
Development Bank, IDR, Standard Abrasive
Manufacturing Project, Ser. A, Rev., FRDO,
1.38%, 09/01/04 1,800
12,800 California PCFA, Authorized Exempt Facilities,
ExxonMobil Project, Rev., FRDO, 1.19%,
09/01/04 12,800
17,000 California Salvation Army, 1.02%, 11/17/04 17,000
45,860 California State Department of Veterans Affairs,
Home Purchase, Ser. A, Sub Ser. A-1, Rev., FRDO,
1.30%, 09/07/04 45,860
2,400 California State Department of Water Resources,
Power Supply, Ser. B-4, Rev., FRDO, 1.28%,
09/01/04 2,400
1,020 California State Department of Water Resources,
Power Supply, Ser. B-6, Rev., FRDO, 1.25%,
09/01/04 1,020
1,850 California State Department of Water Resources,
Power Supply, Ser. C-12, Rev., FRDO, 1.30%,
09/02/04 1,850
3,600 California State Economic Recovery, Ser. C-6,
Rev., FRDO, 1.28%, 09/01/04 3,600
7,920 California State, Economic Recovery, FLOATS,
Ser. 927, GO, FRDO, MBIA, 1.32%, 09/02/04 7,920
12,000 California State, Economic Recovery, FLOATS,
Ser. 932, Rev., FRDO, MBIA, 1.32%, 09/02/04 12,000
18,745 California State, Economic Recovery, FLOATS,
Ser. 933, GO, FRDO, 1.73%, 06/30/05 18,745
5,450 California State, Economic Recovery, FLOATS,
Ser. L20J, Regulation D, Rev., FRDO, 1.33%,
09/01/04 5,450
20,000 California State, Economic Recovery, Ser. C-10,
Rev., FRDO, 1.32%, 09/01/04 20,000
45,800 California State, Economic Recovery, Ser. C-11,
Rev., FRDO, 1.27%, 09/01/04 45,800
25,000 California State, Economic Recovery, Ser. C-16,
Rev., FRDO, 1.32%, 09/01/04 25,000
37,995 California State, Economic Recovery, Ser. C-19,
Rev., FRDO, 1.29%, 09/01/04 37,995
</Table>
See notes to financial statements.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 5,000 California State, Economic Recovery, Ser. C-2,
Rev., FRDO, 1.27%, 09/01/04 $ 5,000
61,000 California State, Economic Recovery, Ser. C-3,
Rev., FRDO, 1.27%, 09/01/04 61,000
20,000 California State, Economic Recovery, Ser. C-8,
Rev., FRDO, 1.25%, 09/01/04 20,000
42,500 California State, Economic Recovery, Ser. C-9,
Rev., FRDO, 1.25%, 09/01/04 42,500
2,000 California State, Floating Rate, Ser. C-2, GO,
FRDO, 1.30%, 09/02/04 2,000
5,000 California State, FLOATS, Ser. PA-594, GO, FRDO,
1.33%, 09/02/04 5,000
21,445 California State, FLOATS, Ser. PT-990, GO, FRDO,
MBIA-IBC, 1.33%, 09/02/04 21,445
1,800 California State, Municipal Securities Trust
Receipts, Ser. SGA-135, GO, FRDO, AMBAC,
1.29%, 09/01/04 1,800
4,200 California State, Municipal Securities Trust
Receipts, Ser. SGA-58, Rev., FRDO, FGIC, 1.33%,
09/01/04 4,200
1,700 California Statewide Communities Development
Authority, COP, FLOATS, Ser. 909, FRDO,
MBIA, 1.31%, 09/02/04 1,700
20,905 California Statewide Communities Development
Authority, Multi-Family Housing, Arbor Ridge
Apartments, Ser. X, Rev., FRDO, 1.32%, 09/02/04 20,905
7,300 Camarillo, California, Multi-Family Housing,
Heritage Park, Ser. A, Rev., FDRO, 1.33%,
09/01/04 7,300
18,800 Charter Mac Floater Certificate Trust I, Ser. CAL-1,
MBIA, 1.43%, 09/02/04 18,800
7,300 Charter Mac Floater Certificate Trust I, Ser. CAL-2,
Rev., FRDO, MBIA, 1.43%, 09/02/04 7,300
3,200 Chino Basin Regional Financing Authority, Inland
Empire Utilities, Ser. A, Rev., FRDO, AMBAC,
1.26%, 09/01/04 3,200
2,300 Colton Redevelopment Agency, Multi-Family
Housing, 1985 Issue A, Rev., FRDO, 1.32%,
09/07/04 2,300
600 East Bay Municipal Utility District, Water Systems,
Sub Ser. A, Rev., FRDO, FSA, 1.26%, 09/01/04 600
3,155 East Bay Municipal Utility District, Water Systems,
Sub Ser. B, Rev., FRDO, FSA, 1.27%, 09/01/04 3,155
2,600 Eastern Municipal Water District, Water & Sewer,
COP, Ser. B, FRDO, MBIA, 1.30%, 09/02/04 2,600
4,004 Glendale, California, Hospital, FLOATS, Ser. 590,
Rev., FRDO, MBIA, 1.35%, 09/02/04 4,004
</Table>
See notes to financial statements.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 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
1,200 Irvine Ranch Water District, Consolidated Bonds,
Rev., FRDO, 1.33%, 09/02/04 1,200
500 Irvine Ranch Water District, Improvement District
No. 282, Ser. A, GO, FRDO, 1.27%, 09/01/04 500
300 Irvine Ranch Water District, No. 102, 103, 105 &
106, GO, FRDO, 1.22%, 09/01/04 300
750 Irvine Unified School District, Community Facilities
District No. 01-1, Special Tax, FRDO, 1.33%,
09/01/04 750
541 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 00-18, Ser. A, Special
Assessment, FRDO, 1.25%, 09/01/04 541
660 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 87-8, Special Assessment,
FRDO, 1.25%, 09/01/04 660
500 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 94-15, Special Assessment,
Rev., FRDO, 1.25%, 09/01/04 500
100 Lodi, California, Electric Systems, COP, Ser. A,
FRDO, MBIA, 1.26%, 09/01/04 100
15,000 Long Beach, California, Ser. A, Rev., MBIA, 1.32%,
09/01/04 15,000
6,660 Los Angeles Community College District,
Ser. II-R-71, GO, FRDO, MBIA, 1.70%, 06/24/05 6,660
5,300 Los Angeles Community Redevelopment Agency,
Multi-Family Housing, Second & Central
Apartments Project, Ser. A, Rev., FRDO,
1.33%, 09/01/04 5,300
3,200 Los Angeles Community Redevelopment Agency,
Multi-Family Housing, Security Building Project,
Ser. A, Rev., FRDO, 1.35%, 09/02/04 3,200
15,000 Los Angeles Convention & Exhibit Center
Authority, Ser. D, Rev., FRDO, AMBAC, 1.32%,
09/01/04 15,000
4,000 Los Angeles County Housing Authority,
Multi-Family Housing, Malibu Meadows II,
Ser. C, Rev., FRDO, 1.34%, 09/02/04 4,000
1,300 Los Angeles County, Pension Obligation, Ser. C,
Rev., FRDO, AMBAC, 1.26%, 09/01/04 1,300
2,500 Los Angeles County, Ser. A, TRAN, 3.00%, 06/30/05 2,528
185 Los Angeles Department of Water & Power,
FLOATS, Ser. PT-1949, Rev., 1.33%, 09/02/04 185
</Table>
See notes to financial statements.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 500 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-2, Rev., FRDO, 1.33%,
09/02/04 $ 500
900 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-4, Rev., FRDO, 1.27%,
09/02/04 900
1,995 Los Angeles Unified School District, FLOATS, Ser.
PA-1115, GO, FRDO, FSA, 1.33%, 09/02/04 1,995
195 Los Angeles Unified School District, FLOATS,
Ser. PA-1118, GO, FRDO, MBIA, 1.33%, 09/02/04 195
8,800 Los Angeles, California, Multi-Family Housing,
Fountain Park Project, Ser. A, Rev, FRDO, 1.30%,
09/02/04 8,800
1,990 Los Angeles, California, Water & Power,
Ser. RR-II-R-4510, Rev., FRDO, MBIA, 1.34%,
09/02/04 1,990
4,000 Manteca Financing Authority, Municipal Securities
Trust Receipts, Ser. SGA-147, Rev., FRDO, MBIA,
1.33%, 09/01/04 4,000
14,500 Metropolitan Water District of Southern California,
Ser. B-2, Rev., FRDO, 1.27%, 09/02/04 14,500
9,100 Metropolitan Water District of Southern California,
Ser. B1, Rev., FRDO, 1.27%, 09/02/04 9,100
1,500 Metropolitan Water District of Southern California,
Waterworks, Ser. B-1, Rev., FRDO, 1.25%, 09/01/04 1,500
400 Metropolitan Water District of Southern California,
Waterworks, Ser. B-2, Rev., FRDO, 1.30%, 09/01/04 400
1,900 Metropolitan Water District of Southern California,
Waterworks, Ser. B-3, Rev., FRDO, 1.27%, 09/01/04 1,900
2,900 Metropolitan Water District of Southern California,
Waterworks, Ser. C-1, Rev., FRDO, 1.30%, 09/02/04 2,900
25,710 Metropolitan Water District of Southern California,
Waterworks, Ser. C-2, Rev., FRDO, 1.32%, 09/02/04 25,710
80,000 Metropolitan Water District of Southern California,
Waterworks, Ser. C-3, Rev., FRDO, 1.27%, 09/02/04 80,000
5,600 Morgan Hill Unified School District, Floating Rate
Receipts, Ser. SG-145, GO, FRDO, FGIC, 1.33%,
09/02/04 5,600
20,860 Municipal Securities Trust Certificates,
Ser. 2001-118, Class A, GO, FRDO, FGIC, #,
1.29%, 09/01/04 20,860
7,700 Municipal Securities Trust Certificates,
Ser. 2001-135, Class A, GO, FRDO, FGIC, #,
1.34%, 09/02/04 7,700
7,970 Municipal Securities Trust Certificates,
Ser. 2001-136, Class A, Rev., FRDO, FGIC, #,
1.34%, 09/02/04 7,970
</Table>
See notes to financial statements.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 19,800 Oakland Joint Powers Financing Authority,
Fruitvale Transit Village, Ser. A, Rev., FRDO,
1.29%, 09/01/04 $ 19,800
600 Orange County Sanitation District, COP, Ser. A,
FRDO, 1.25%, 09/03/04 600
1,000 Orange County Sanitation District, COP, Ser. B,
FRDO, 1.33%, 09/02/04 1,000
3,900 Orange County, Apartment Development Corp.,
Bear Brand Apartments Project, Ser. Z, Rev.,
FRDO, 1.26%, 09/02/04 3,900
6,700 Orange County, Apartment Development Corp.,
Wood Canyon Villas, Issue E, Rev., FRDO, 1.30%,
09/02/04 6,700
14,000 Orange County, Apartment Development,
Seaside Meadow, Ser. C, Rev., FRDO, 1.26%,
09/02/04 14,000
1,900 Orange County, Improvement Bond Act of 1915,
Assessment District No. 1, Ser. A, Special
Assessment, FRDO, 1.25%, 09/01/04 1,900
4,700 Pittsburg, California, Multi-Family Mortgage,
Fountain, Ser. A, Rev., FRDO, 1.33%, 09/01/04 4,700
14,290 Port of Oakland, Trust Receipts, Ser. 5, Class F,
Rev., FRDO, FGIC, 1.31%, 09/02/04 14,290
10,600 Poway Unified School District, School Facilities
Funding Program, COP, FRDO, FSA, 1.28%,
09/02/04 10,600
27,300 Poway Unified School District, School Facilities
Funding Program, COP, FRDO, FSA, 1.28%,
09/02/04 27,300
32,700 Riverside County Asset Leasing Corp., Southwest
Justice Center, Ser. B, Rev., FRDO, MBIA, 1.27%,
09/01/04 32,700
3,000 Riverside County, California, Riverside County
Public Facilities, Ser. B, COP, FRDO, 1.30%,
09/07/04 3,000
1,900 Sacramento County Housing Authority,
Multi-Family Housing, Ashford, Ser. D, Rev.,
FRDO, 1.32%, 09/02/04 1,900
14,000 San Diego County & School District, Ser. A, GO,
TRAN, 3.25%, 07/25/05 14,205
600 San Diego Housing Authority, Multi-Family
Housing, Nobel Courts, Ser. L, Rev., FRDO, 1.28%,
09/02/04 600
7,000 San Diego, California, 1.30%, 12/09/04 7,000
13,300 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SGA-50, Rev., FRDO, MBIA, 1.36%,
09/01/04 13,300
</Table>
See notes to financial statements.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 20,600 San Jose, California, Multi-Family Housing,
Evans Lane Apartments, Ser. H, Rev., FRDO,
1.35%, 09/01/04 $ 20,600
1,800 San Jose, California, Multi-Family Housing,
Villa Monterey Apartments, Ser. F, Rev., FRDO,
1.34%, 09/02/04 1,800
500 San Leandro, California, Multi-Family Housing,
Parkside, Rev., FRDO, 1.30%, 09/01/04 500
22,350 Santa Cruz County Board of Education, GO, TRAN,
2.50%, 06/30/05 22,514
8,500 Santa Cruz County, Ser. A, GO, TRAN, 3.00%,
07/06/05 8,597
4,735 Southern California Home Financing Authority,
Single Family Housing, Ser. A, Rev., FRDO,
1.34%, 09/01/04 4,735
18,235 Southern California Home Financing Authority,
Single Family Housing, Ser. A, Rev., FRDO,
1.34%, 09/01/04 18,235
9,000 Southern California Home Financing Authority,
Single Family Mortgage, Ser. B, Rev., FRDO,
1.45%, 02/01/05 9,000
2,500 Southern California Public Power Authority,
Southern Transmission Project, Rev., FRDO,
AMBAC, 1.28%, 09/01/04 2,500
3,960 West Contra Costa Unified School District, FLOATS,
Ser. PT-1828, GO, FRDO, FGIC, 1.33%, 09/02/04 3,960
500 Western Riverside County, California, Regional
Wastewater Authority, Regional Wastewater
Treatment, Rev., FRDO, 1.25%, 09/01/04 500
------------------
1,187,044
COLORADO -- 1.5%
6,750 Adams County Housing Authority, Multi-Family
Housing, Semper Village Apartments Project,
Ser. A, Rev., FRDO, 1.38%, 09/02/04 6,750
7,100 Arapahoe County, Multi-Family Housing, Highline
Oaks Apartments, Rev., FRDO, 1.32%, 09/01/04 7,100
11,310 Arapahoe County, Multi-Family Housing, Rental
Housing, Hunters Run, Rev., FRDO, 1.33%,
09/02/04 11,310
2,760 Arvada, Colorado, Rev., FRDO, FSA, 1.30%, 09/01/04 2,760
9,850 Broomfield, Colorado, COP, FLOATS, Ser. PT-1643,
FRDO, AMBAC, 1.40%, 09/02/04 9,850
1,600 Colorado Housing & Finance Authority,
Multi-Family Housing, Diamond Project, Rev.,
FRDO, 1.27%, 09/01/04 1,600
1,000 Colorado Housing & Finance Authority, Ser. AA-3,
Class I, Rev., FRDO, 1.29%, 09/01/04 1,000
</Table>
See notes to financial statements.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
COLORADO -- CONTINUED
$ 3,150 Colorado Springs, Colorado, The Colorado College,
Rev., FRDO, 1.32%, 09/02/04 $ 3,150
690 Colorado Springs, Colorado, Utilities, FLOATS,
Ser. PT-367, FRDO, 1.37%, 09/02/04 690
16,000 Colorado State Education Loan Program, FLOATER,
Ser. L48J, Regulation D, Rev., FRDO, 1.20%,
10/13/04 16,000
45,000 Colorado State General Fund, Rev., TRAN, 3.00%,
06/27/05 45,512
2,500 Colorado Student Obligation Bond Authority,
Student Loans, Senior Lien, Ser. A-3, Rev., FRDO,
AMBAC, 1.35%, 09/01/04 2,500
31,155 Denver City & County, Airport, Floating Rate
Certificates, Ser. 153, Rev., FRDO, MBIA, 1.15%,
09/02/04 31,155
5,000 Denver City & County, Airport, Floating Rate
Certificates, Ser. N-12, Regulation D, Rev., FRDO,
FGIC, 1.42%, 09/01/04 5,000
4,985 Denver City & County, Airport, Ser. ROC-II-R-98,
Rev., FRDO, FSA, 1.41%, 09/02/04 4,985
5,000 Denver City & County, Wellington E. Web Project,
COP, Ser. C-3, FRDO, AMBAC, 1.33%, 09/01/04 5,000
12,500 Denver Urban Renewal Authority, Tax Increment,
FLOATS, Ser. PT-999, Tax Allocation, FRDO,
1.42%, 09/02/04 12,500
10,000 Douglas County, Multi-Family Housing, Autumn
Chase Project, Rev., FRDO, 1.34%, 09/02/04 10,000
3,620 Lower Colorado River Authority, FLOATS,
Ser. PT-1523, Rev., FRDO, MBIA, 1.36%, 09/02/04 3,620
8,670 Park Creek Metropolitan District, FLOATS,
Ser. PT-2321, GO, FRDO, 1.42%, 09/02/04 8,670
8,500 Regional Transportation District, 1.20%, 12/08/04 8,500
15,500 Regional Transportation District, 1.20%, 12/08/04 15,500
7,015 Thornton, Colorado, COP, Ser. RR-II-R-1052,
FRDO, AMBAC, 1.70%, 09/02/04 7,015
------------------
220,167
CONNECTICUT -- 0.4%
1,190 Connecticut State Health & Educational Facilities
Authority, Community Renewal Team, Ser. A,
Rev., FRDO, 1.35%, 09/08/04 1,190
30,785 Connecticut State Health & Educational Facilities
Authority, FLOATS, Ser. 891, Rev., FRDO, FGIC,
1.37%, 09/02/04 30,785
7,500 Connecticut State Health & Educational Facilities
Authority, Health Care Capital Asset, Ser. A-1,
Rev., FRDO, 1.31%, 09/01/04 7,500
</Table>
See notes to financial statements.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CONNECTICUT -- CONTINUED
$ 2,625 Connecticut State Housing Finance Authority,
Housing Mortgage Finance Program, Sub
Ser. D-3, Rev., FRDO, AMBAC, 1.28%, 09/02/04 $ 2,625
5,495 Connecticut State, FLOATS, Ser. PA-1056, GO,
FRDO, FSA, 1.33%, 09/02/04 5,495
4,945 Connecticut State, FLOATS, Ser. PA-879-R, GO,
FRDO, 1.33%, 09/02/04 4,945
------------------
52,540
DELAWARE -- 0.6%
7,000 Delaware River & Bay Authority, Ser. B, Rev.,
FRDO, AMBAC, 1.27%, 09/02/04 7,000
60,000 Delaware State Economic Development Authority,
Hospital Billing & Collections, Ser. C, Rev., FRDO,
AMBAC, 1.30%, 09/01/04 60,000
12,300 Delaware State, Ser. A, GO, 3.00%, 01/01/05 12,367
500 University Of Delaware, Ser. B, Rev., FRDO,
1.28%, 09/01/04 500
------------------
79,867
DISTRICT OF COLUMBIA -- 3.0%
15,500 District of Columbia, 1.22%, 11/15/04 15,500
9,000 District of Columbia, 1.30%, 11/04/04 9,000
525 District of Columbia Housing Finance Agency,
Floating Rate Receipts, Ser. L-1, Regulation D,
Rev., FRDO, 1.37%, 09/01/04 525
7,240 District of Columbia Housing Finance Agency,
FLOATS, Ser. PT-1381, Rev., FRDO, 1.36%,
09/02/04 7,240
3,165 District of Columbia Housing Finance Agency,
Multi-Family Housing, Trenton Park Apartments
Project, Rev., FRDO, 1.47%, 09/02/04 3,165
5,970 District of Columbia Water & Sewer Authority,
Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO,
FSA, 1.36%, 09/02/04 5,970
2,700 District of Columbia, American Psychology
Association, Rev., FRDO, 1.38%, 09/02/04 2,700
29,605 District of Columbia, American University Issue,
Rev., FRDO, AMBAC, 1.29%, 09/01/04 29,605
12,000 District of Columbia, American University Issue,
Ser. A, Rev., FRDO, AMBAC, 1.29%, 09/01/04 12,000
7,500 District of Columbia, Enterprise Zone, House on
F Street Project, Rev., FRDO, 1.43%, 09/02/04 7,500
4,875 District of Columbia, FLOATS, Ser. PT-806, GO,
FRDO, FSA, 1.36%, 09/02/04 4,875
23,685 District of Columbia, George Washington
University, Ser. C, Rev., FRDO, MBIA, 1.29%,
09/01/04 23,685
10,000 District of Columbia, Medstar University Hospital,
Ser. B, Rev., FRDO, (p), 6.63%, 02/15/05 10,251
</Table>
See notes to financial statements.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
DISTRICT OF COLUMBIA -- CONTINUED
$ 2,255 District of Columbia, National Children's Center,
Inc., Rev., FRDO, 1.32%, 09/02/04 $ 2,255
4,200 District of Columbia, National Geographic Society,
Rev., FRDO, 1.30%, 09/01/04 4,200
12,700 District of Columbia, Pooled Loan Program,
Ser. A, Rev., FRDO, 1.33%, 09/02/04 12,700
5,000 District of Columbia, Rev., FRDO, 1.30%, 11/04/04 5,000
26,880 District of Columbia, Ser. A, GO, FRDO, FSA,
1.32%, 09/01/04 26,880
52,900 District of Columbia, Ser. B, GO, FRDO, FSA,
1.29%, 09/01/04 52,900
28,500 District of Columbia, Ser. C, GO, FRDO, FGIC,
1.30%, 09/01/04 28,500
9,935 District of Columbia, Ser. D, GO, FRDO, FGIC,
1.30%, 09/01/04 9,935
39,600 District of Columbia, Ser. D-1, GO, FRDO, 1.27%,
09/01/04 39,600
7,690 District of Columbia, Smithsonian Museum, Ser. B,
Rev., FRDO, 1.32%, 09/02/04 7,690
6,155 Eagle Tax Exempt Trust, Weekly Option Mode,
District of Columbia, Water & Sewer, Ser. 98-5202,
FRDO, #, 1.35%, 09/02/04 6,155
10,600 Metropolitan Washington Airports Authority,
1.12%, 09/07/04 10,600
45,000 Metropolitan Washington Airports Authority,
1.18%, 10/05/04 45,000
46,500 Metropolitan Washington Airports Authority,
1.30%, 11/04/04 46,500
------------------
429,931
FLORIDA -- 2.9%
9,345 ABN AMRO Munitops Certificate Trust,
Ser. 2003-6, Rev., FRDO, MBIA, 1.02%, 12/08/04 9,345
25,530 Alachua County Health Facilities Authority,
FLOATS, Ser. PT-834, Rev., FRDO, MBIA, 1.36%,
09/02/04 25,530
10,520 Brevard County Health Facilities Authority,
Wuesthoff Memorial Hospital Project, Rev.,
FRDO, 1.32%, 09/02/04 10,520
5,000 Broward County, Professional Sports Facility,
Municipal Securities Trust Receipts, Ser. SGA-38,
Rev., FRDO, MBIA, 1.36%, 09/01/04 5,000
10,000 Collier County, 1.23%, 10/08/04 10,000
6,885 Collier County, Health Facilities Authority,
The Moorings, Inc. Project, Rev., FRDO, 1.30%,
09/01/04 6,885
2,495 Dade County Housing Finance Authority,
Multi-Family Housing, Kendall Court Apartments,
Ser. 4, Rev., FRDO, 1.38%, 09/02/04 2,495
</Table>
See notes to financial statements.
41
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
FLORIDA -- CONTINUED
$ 4,670 Escambia County Housing Finance Authority,
Single Family Mortgage, FLOATS, Ser. PT-1228,
Rev., FRDO, MBIA, 1.41%, 09/02/04 $ 4,670
6,370 Florida Housing Finance Agency, Multi-Family
Housing, Banyon Bay Partners, Ser. L, Rev., FRDO,
1.32%, 09/07/04 6,370
5,135 Florida Housing Finance Agency, Multi-Family
Housing, Ser. AA, Rev., FRDO, 1.27%, 09/01/04 5,135
6,350 Florida Housing Finance Agency, Multi-Family
Housing, Ser. FF, Rev., FRDO, 1.33%, 09/01/04 6,350
18,812 Florida Municipal Power Authority, 1.15%,
10/04/04 18,812
7,000 Florida State Board of Education, Capital Outlay,
FLOATS, Ser. PT-1223, GO, FRDO, 1.36%, 09/02/04 7,000
16,800 Florida State Board of Public Education, Public
Education, Municipal Securities Trust Receipts,
Ser. SGA-102, GO, FRDO, 1.30%, 09/01/04 16,800
11,000 Florida State Department of Environmental
Protection, Preservation, FLOATS, Ser. 722, Rev.,
FRDO, FGIC, 1.35%, 09/02/04 11,000
5,370 Florida State Division of Bond Finance, General
Services, FLOATS, Ser. PA-967, FRDO, 1.36%,
09/02/04 5,370
5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO,
1.36%, 09/02/04 5,295
2,765 Gulf Breeze, Florida, Local Government Loan
Program, Floating Rate Receipts, Ser. B, Rev.,
FRDO, FGIC, 1.32%, 09/02/04 2,765
11,705 Jacksonville Electric Authority, Municipal Securities
Trust Receipts, Ser. SGA-17, Rev., FRDO, 1.40%,
09/01/04 11,705
1,000 Jacksonville Health Facilities Authority, River
Garden Project, Rev., FRDO, 1.33%, 09/02/04 1,000
6,000 Lakeland, Florida, Energy Systems, Rev., FRDO,
1.30%, 09/01/04 6,000
1,045 Lee County, Airport, FLOATS, Ser. PT-2269, Rev.,
FRDO, FSA, 1.42%, 09/02/04 1,045
3,525 Lee County, Water & Sewer, Ser. RR-II-R-4021,
Rev., FRDO, MBIA, 1.38%, 09/02/04 3,525
2,590 Miami Health Facilities Authority, Mercy Hospital
Project, Rev., FRDO, 1.30%, 09/01/04 2,590
7,000 Miami-Dade County, Miami Aviation, Floating Rate
Receipts, Ser. SG-141, Rev., FRDO, FGIC, 1.36%,
09/02/04 7,000
18,110 Nassau County, PCR, Private Activity, Rayonier,
Inc. Project, Rev., FRDO, 1.30%, 09/01/04 18,110
1,210 Orange County Housing Finance Authority,
FLOATS, Ser. PT-558, Rev., FRDO, 1.38%, 09/02/04 1,210
</Table>
See notes to financial statements.
42
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
FLORIDA -- CONTINUED
$ 7,000 Orange County Housing Finance Authority,
Homeowner, FLOATS, Ser. PT-918, Rev., FRDO,
1.42%, 09/02/04 $ 7,000
4,900 Orange County Housing Finance Authority,
Multi-Family Housing, Regal Pointe Apartments,
Ser. A, Rev., FRDO, 1.32%, 09/02/04 4,900
18,700 Orlando & Orange County Expressway Authority,
Ser. C-1, Rev., FRDO, FSA, 1.30%, 09/02/04 18,700
1,800 Orlando & Orange County Expressway Authority,
Ser. C-2, Rev., FRDO, FSA, 1.30%, 09/02/04 1,800
10,000 Orlando & Orange County Expressway Authority,
Ser. D, Rev., FRDO, FSA, 1.30%, 09/02/04 10,000
15,000 Orlando Utilities Commission, Water & Electric,
Ser. A, Rev., FRDO, 1.31%, 09/01/04 15,000
4,645 Orlando Utilities Commission, Water & Electric,
Ser. RR-II-R-1040, Rev., FRDO, 1.70%, 08/04/05 4,645
26,100 Palm Beach County School Board, COP, Ser. B,
FRDO, FSA, 1.29%, 09/02/04 26,100
6,250 Pinellas County Housing Finance Authority, Single
Family Mortgage, FLOATS, Ser. MT-009, Rev.,
FRDO, 1.42%, 09/02/04 6,250
10,320 Polk County School Board, Master Lease Program,
COP, Ser. A, FRDO, FSA, 1.29%, 09/02/04 10,320
800 St. Johns County IDA, Healthcare,
Glenmoor St. Johns Project, Ser. C, Rev., FRDO,
1.31%, 09/01/04 800
20,565 Sunshine State, 1.11%, 10/12/04 20,565
16,080 Sunshine State, 1.13%, 10/13/04 16,080
38,543 Sunshine State, 1.13%, 10/13/04 38,543
21,260 Sunshine State, 1.25%, 09/21/04 21,260
7,000 Tampa, Florida, Occupational License Tax, Ser. B,
Rev., FRDO, FGIC, 1.27%, 09/01/04 7,000
4,000 University of North Florida Foundation, Inc.,
Parking System, Rev., FRDO, 1.32%, 09/02/04 4,000
3,600 West Orange Healthcare District, Ser. B, Rev.,
FRDO, 1.30%, 09/02/04 3,600
------------------
428,090
GEORGIA -- 3.8%
16,610 ABN AMRO Munitops Certificate Trust, Ser. 2000-4,
Rev., FRDO, FGIC, #, 1.07%, 11/17/04 16,610
71,145 Albany-Dougherty County Hospital Authority,
Phoebe Hospital, Revenue Anticipation
Certificates, Rev., FRDO, AMBAC, 1.26%, 09/01/04 71,145
5,835 Atlanta Urban Residential Finance Authority,
Multi-Family Housing, The Park at Lakewood,
Rev., FRDO, 1.38%, 09/02/04 5,835
4,385 Atlanta, Georgia, Airport, FLOATS, Ser. PT-737,
Rev., FRDO, FGIC, 1.42%, 09/07/04 4,385
</Table>
See notes to financial statements.
43
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
GEORGIA -- CONTINUED
$ 7,500 Atlanta, Georgia, Airport, Ser. B-3, Rev., FRDO,
MBIA, 1.30%, 09/02/04 $ 7,500
20,000 Atlanta, Georgia, Airport, Ser. C-1, Rev., FRDO,
MBIA, 1.33%, 09/02/04 20,000
6,000 Atlanta, Georgia, Water & Wastewater, Municipal
Securities Trust Receipts, Ser. SGA-145, Rev.,
FRDO, MBIA, 1.36%, 09/01/04 6,000
9,000 Augusta, Georgia, Water & Sewer, Municipal
Securities Trust Receipts, Ser. SGS-140, Rev.,
FRDO, FSA, 1.40%, 09/01/04 9,000
4,635 Bibb County, FLOATS, Ser. PT-1842, GO, FRDO,
1.36%, 09/02/04 4,635
7,160 Clayton County Housing Authority, Multi-Family
Housing, Chateau Forest Apartments, Ser. E,
Rev., FRDO, FSA, 1.30%, 09/01/04 7,160
8,000 Cobb County Development Authority, Whitefield
Academy Project, Rev., FRDO, 1.30%, 09/01/04 8,000
3,400 Cobb County Housing Authority, Multi-Family
Housing, Greenhouse Frey Apartment Project,
Rev., FRDO, 1.32%, 09/01/04 3,400
11,200 Cobb County Housing Authority, Multi-Family
Housing, Terrell Mill I Project, Rev., FRDO, #,
1.35%, 09/01/04 11,200
25,000 Cobb County Kennestone Hospital Authority,
Equipment Pool Project, Anticipation Certificates,
Rev., FRDO, 1.34%, 09/02/04 25,000
17,700 De Kalb County Housing Authority, Multi-Family
Housing, Camden Brook Project, Rev., FRDO,
1.30%, 09/01/04 17,700
9,250 De Kalb County Housing Authority, Multi-Family
Housing, Chapel Run Apartments Project, Rev.,
FRDO, 1.35%, 09/02/04 9,250
12,545 De Kalb County Housing Authority, Multi-Family
Housing, Robins Landing Project, Rev., FRDO,
1.35%, 09/02/04 12,545
800 Fulton County Development Authority, Arthritis
Foundation, Inc. Project, Rev., FRDO, 1.32%,
09/01/04 800
1,610 Fulton County Development Authority,
Morehouse College Project, Rev., FRDO, 1.33%,
09/01/04 1,610
6,910 Georgia Local Government, COP, FLOATS, Ser.
PT-678, FRDO, 1.36%, 09/02/04 6,910
50,641 Georgia Municipal Association, Inc., Pooled Bond,
COP, FRDO, MBIA, 1.39%, 09/02/04 50,641
8,445 Georgia Municipal Electric Authority, FLOATS,
Ser. PA-1187, Rev., FRDO, MBIA-IBC, 1.36%,
09/02/04 8,445
</Table>
See notes to financial statements.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
GEORGIA -- CONTINUED
$ 9,555 Georgia Municipal Electric Authority, Ser.
RR-II-R-1016, Rev., FRDO, FSA, 1.37%, 09/02/04 $ 9,555
21,860 Georgia State Road & Thruway Authority, FLOATS,
Ser. PT-1501, Rev., FRDO, 1.34%, 09/02/04 21,860
5,035 Georgia State Road & Tollway Authority, FLOATS,
Ser. PT-2019, Rev., FRDO, 1.36%, 09/02/04 5,035
6,000 Georgia State, EAGLE, Ser. 2004-1004, Class A,
GO, FRDO, 1.37%, 09/02/04 6,000
10,095 Georgia State, FLOATS, Ser. PT-374, 1.34%,09/02/04 10,095
1,600 Glynn-Brunswick Memorial Hospital Authority,
Anticipation Certificates, Southeast Georgia
Project, Rev., FRDO, MBIA, 1.27%, 09/01/04 1,600
6,450 Griffin-Spalding County Development Authority,
Industrial Development, Norcom, Inc. Project,
Rev., FRDO, 1.39%, 09/02/04 6,450
6,000 Gwinnett County Development Authority, Civic &
Cultural Center Project, Rev., FRDO, 1.27%,
09/01/04 6,000
10,000 Gwinnett County Hospital Authority, Gwinnett
Hospital Systems, Inc. Project, Anticipation
Certificates, Rev., RAN, FRDO, 1.33%, 09/01/04 10,000
9,225 Marietta Housing Authority, Multi-Family Housing,
Winterset Apartments Project, Rev., FRDO,
1.30%, 09/01/04 9,225
84,473 Municipal Electric Authority of Georgia, 1.09%,
09/08/04 84,473
25,000 Municipal Electric Authority of Georgia, Sub Ser. B,
Rev., FRDO, 1.25%, 09/01/04 25,000
3,700 Municipal Electric Authority of Georgia,
Project One, Ser. C, Rev., FRDO, FSA, 1.25%,
09/01/04 3,700
1,200 Private Colleges & Universities Authority, Emory
University, Ser. B, Rev., FRDO, 1.30%, 09/01/04 1,200
26,400 Private Colleges & Universities Authority, Emory
University, Ser. B, Rev., FRDO, 1.30%, 09/01/04 26,400
16,040 Private Colleges & Universities Facilities Authority,
Emory University, Ser. B, Rev., FRDO, 1.30%,
09/01/04 16,040
5,200 Tift County Hospital Authority, Anticipation
Certificates, Ser. A, Rev., FRDO, AMBAC, 1.24%,
09/01/04 5,200
------------------
555,604
GUAM -- 0.1%
11,025 Guam Power Authority, FLOATS, Ser. PA-531,
Rev., 1.32%, 09/02/04 11,025
HAWAII -- 0.5%
20,825 ABN-AMRO Munitops Certificate Trust, Ser. 2004-1,
Rev., FRDO, 1.25%, 10/27/04 20,825
</Table>
See notes to financial statements.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
HAWAII -- CONTINUED
$ 17,593 Hawaii State, 1.35%, 09/23/04 $ 17,593
13,000 Hawaii State, Airport Systems, Rev., FRDO,
1.32%, 09/01/04 13,000
19,790 Hawaii State, Highway, FLOATS, Ser. PT-1058,
FRDO, 1.36%, 09/03/04 19,790
6,100 Honolulu, Hawaii, 1.13%, 10/08/04 6,100
------------------
77,308
IDAHO -- 0.6%
10,500 Idaho Housing & Finance Association,
Single Family Mortgage, Ser. C, Class 1, Rev.,
FRDO, 1.34%, 09/01/04 10,500
3,750 Idaho Housing & Finance Association,
Single Family Mortgage, Ser. F-1, Class 1, Rev.,
FRDO, 1.37%, 09/01/04 3,750
69,675 Idaho State, GO, TAN, 3.00%, 06/30/05 70,472
------------------
84,722
ILLINOIS -- 4.5%
9,850 ABN AMRO Munitops Certificate Trust,
Ser. 2001-10, GO, FRDO, MBIA, 1.31%, 10/20/04 9,850
15,010 ABN AMRO Munitops Certificate Trust,
Ser. 2001-21, GO, FRDO, MBIA, 1.39%, 09/01/04 15,010
10,655 ABN AMRO Munitops Certificate Trust,
Ser. 2001-27, Rev., FRDO, FSA, 1.45%, 09/01/04 10,655
6,175 ABN AMRO Munitops Certificate Trust,
Ser. 2002-23, GO, FRDO, MBIA, 1.38%, 11/17/04 6,175
9,995 ABN AMRO Munitops Certificate Trust, Ser. 2002-3,
Rev., FRDO, 1.47%, 09/01/04 9,995
34,950 Chicago Housing Authority, Capital Improvement
Program, Floating Rate Receipts, Ser. L-40,
Regulation D, Rev., FRDO, 1.34%, 09/01/04 34,950
28,900 Chicago Metropolitan Water Reclamation District,
Ser. A, GO, FRDO, 1.28%, 09/01/04 28,900
10,570 Chicago O'Hare International Airport, ACES,
General Airport Second Lien, Ser. B, Rev., FRDO,
1.27%, 09/01/04 10,570
6,200 Chicago O'Hare International Airport, ACES,
General Airport Second Lien, Ser. B, Rev., FRDO,
1.32%, 09/07/04 6,200
2,500 Chicago O'Hare International Airport, Special
Facilities, Compagnie Natle Air France, Rev.,
FRDO, 1.35%, 09/01/04 2,500
19,540 Chicago, Illinois, Midway Airport, Floating Rate
Receipts, Ser. SG-97, Rev., FRDO, MBIA, 1.36%,
09/07/04 19,540
6,175 Chicago, Illinois, Multi-Family Housing,
Barbara Jean Wright Apartments, Ser. A, Rev.,
FRDO, 1.40%, 09/02/04 6,175
</Table>
See notes to financial statements.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 20,000 Chicago, Illinois, Municipal Securities Trust
Receipts, Ser. SGA-99, GO, FRDO, FGIC, 1.40%,
09/01/04 $ 20,000
13,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC, 1.32%,
09/02/04 13,000
35,000 Chicago, Illinois, Water, Second Lien, Rev., FRDO,
MBIA, 1.33%, 09/02/04 35,000
4,503 Cook County, Floating Rate Certificates, Ser. 403,
GO, FRDO, FGIC, 1.35%, 09/02/04 4,503
7,375 Cook County, FLOATS, Ser. PT-1497, GO, FRDO,
FGIC, 1.36%, 09/02/04 7,375
15,455 Cook County, Ser. 2003-11, GO, FRDO, MBIA,
1.36%, 09/02/04 15,455
5,420 Du Page County Community Unit School District
No. 200 Wheaton, Ser. RR-II-R-4013, GO, FRDO,
FSA, 1.37%, 09/02/04 5,420
10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO,
MBIA, 1.30%, 09/02/04 10,000
3,400 Illinois Development Finance Authority,
American Youth Hostels Project, Rev., FRDO,
1.32%, 09/02/04 3,400
17,900 Illinois Development Finance Authority,
Chicago Symphony Orchestra, Rev., FRDO,
1.34%, 09/01/04 17,900
2,405 Illinois Development Finance Authority, IDR,
CFC International, Inc. Project, Rev., FRDO,
1.43%, 09/02/04 2,405
4,485 Illinois Development Finance Authority, IDR,
CHS Acquisition Corp. Project, Rev., FRDO,
1.34%, 09/02/04 4,485
1,500 Illinois Development Finance Authority, IDR,
Toughy LTD Partnership Project, Rev., FRDO,
1.40%, 09/01/04 1,500
13,400 Illinois Development Finance Authority,
Multi-Family Housing, FLOATS, Ser. PT-1795, Rev.,
FRDO, 1.37%, 09/02/04 13,400
10,000 Illinois Development Finance Authority,
Residential Rental, Rev., FRDO, 1.35%, 09/02/04 10,000
24,800 Illinois Development Finance Authority,
Vincent De Paul Project, Ser. A, Rev., FRDO,
1.28%, 09/01/04 24,800
6,895 Illinois Educational Facilities Authority, FLOATS,
Ser. PA-896, Rev., FRDO, 1.36%, 09/02/04 6,895
4,900 Illinois Educational Facilities Authority,
St. Xavier University Project, Ser. A, Rev., FRDO,
1.32%, 09/02/04 4,900
26,580 Illinois Health Facilities Authority, FLOATS,
Ser. PT-977, Rev., FRDO, MBIA, 1.36%, 09/02/04 26,580
</Table>
See notes to financial statements.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 2,700 Illinois Health Facilities Authority, Health Care
Systems, Rev., FRDO, 1.28%, 09/01/04 $ 2,700
2,105 Illinois Health Facilities Authority, Loyola University
Health System, Ser. B, Rev., FRDO, MBIA, 1.28%,
09/01/04 2,105
20,000 Illinois Health Facilities Authority, Revolving Pooled
Funds, Ser. B, Rev., FRDO, 1.30%, 09/01/04 20,000
13,300 Illinois Health Facilities Authority, Swedish
Covenant Hospital Project, Rev., FRDO,
AMBAC, 1.30%, 09/02/04 13,300
1,800 Illinois Health Facilities Authority, The Carle
Foundation, Ser. B, Rev., FRDO, AMBAC, 1.30%,
09/01/04 1,800
2,075 Illinois Housing Development Authority, Floating
Rate Trust Receipts, Ser. L-19, Regulation D, Rev.,
FRDO, 1.42%, 09/01/04 2,075
10,175 Illinois Housing Development Authority,
Homeowner Mortgage, Ser. A-3, Rev., FRDO,
1.36%, 09/01/04 10,175
7,500 Illinois Housing Development Authority,
Homeowner Mortgage, Ser. C-3, Rev., FRDO,
1.40%, 09/01/04 7,500
14,405 Illinois Housing Development Authority,
Homeowner Mortgage, Ser.D, Rev., FRDO,
1.68%, 07/27/05 14,405
14,000 Illinois State Toll Highway Authority, Ser. B, Rev.,
FRDO, MBIA, 1.28%, 09/01/04 14,000
2,075 Illinois State, Municipal Securities Trust Receipts,
Ser. SGA-103, GO, FRDO, 1.30%, 09/01/04 2,075
15,000 Illinois State, Rev., 2.00%, 10/22/04 15,018
3,255 Illinois State, Sales Tax, Municipal Securities Trust
Certificates, Ser. SG-9, FRDO, 1.36%, 09/02/04 3,255
13,220 Illinois State, Ser. 2003-33, GO, FRDO, FGIC,
1.36%, 09/02/04 13,220
11,555 Illinois State, Ser. 42, GO, FRDO, MBIA, 1.36%,
09/02/04 11,555
5,590 Illinois State, Ser. 62, GO, FRDO, 1.36%, 09/01/04 5,590
10,000 Illinois State, Ser. B, GO, FRDO, 1.29%, 09/01/04 10,000
2,570 Lake County, IDR, A.L. Hansen Manufacturing Co.
Project, Rev., FRDO, 1.40%, 09/02/04 2,570
1,320 Libertyville, Illinois, IDR, Libertyville Manor Project,
Rev., FRDO, 1.35%, 09/02/04 1,320
7,000 Metropolitan Pier & Exposition Authority,
Dedicated State Tax, EAGLE, Ser. 20040030,
Class A, Rev., FRDO, MBIA, 1.37%, 09/02/04 7,000
4,640 Mount Morris, Illinois, Bretheren Home Project,
Rev., FRDO, 1.33%, 09/02/04 4,640
</Table>
See notes to financial statements.
48
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 5,500 Municipal Securities Trust Certificates,
Ser. 2001-9021, Class A, GO, FRDO, FSA, #, 1.41%,
09/01/04 $ 5,500
19,800 Regional Transportation Authority, FLOATS,
Ser. 818-D, Rev., FRDO, FGIC, 1.35%, 09/02/04 19,800
6,565 Regional Transportation Authority, FLOATS,
Ser. PT-1448, Rev., FRDO, FGIC, 1.36%, 09/02/04 6,565
15,170 Regional Transportation Authority, FLOATS,
Ser. PT-1833, Rev., FRDO, FGIC, 1.36%, 09/02/04 15,170
10,000 Regional Transportation Authority, FLOATS,
Ser. SG-82, FRDO, 1.36%, 09/02/04 10,000
11,790 Regional Transportation Authority, Ser. A-69,
Rev., FRDO, MBIA, 1.30%, 11/10/04 11,790
9,100 University of Illinois, Health Services Facilities
System, Ser. B, Rev., FRDO, 1.30%, 09/01/04 9,100
15,000 University of Illinois, Utility Infrastructure Projects,
COP, FRDO, 1.32%, 09/02/04 15,000
7,435 Will County, Exempt Facilties, ExxonMobil Project,
Rev., FRDO, 1.27%, 09/01/04 7,435
------------------
652,201
INDIANA -- 1.4%
6,065 Carmel School Building Corp., Ser. RR-II-R-S014,
Rev., FRDO, MBIA, 1.37%, 09/02/04 6,065
6,400 Danville Multi-School Building Corp., FLOATS,
Ser. PT-1483, Rev., FRDO, FSA, 1.36%, 09/02/04 6,400
5,000 DeKalb County Economic Development,
New Process Steel Project, Rev., FRDO, 1.42%,
09/02/04 5,000
95,000 Indiana Bond Bank, Advance Program Notes,
Ser. A, Rev., 2.00%, 01/25/05 95,263
5,315 Indiana Bond Bank, Ser. RR-II-R-2094, Rev.,
FRDO, 1.38%, 09/02/04 5,315
10,000 Indiana Health Facility Financing Authority,
Ascension Health Credit Group, Ser. A-1, Rev.,
FRDO, 1.73%, 09/02/04 10,000
16,900 Indiana Health Facility Financing Authority,
Ascension Health Credit Group, Ser. B, Rev.,
FRDO, 1.30%, 09/01/04 16,900
4,500 Indiana Health Facility Financing Authority,
Clarian Health Obligation Group, Ser. C, Rev.,
FRDO, 1.30%, 09/01/04 4,500
2,485 Indiana Health Facility Financing Authority,
Community Hospitals Project, Ser. A, Rev., FRDO,
1.33%, 09/03/04 2,485
5,055 Indiana Health Facility Financing Authority,
FLOATS, Ser. PA-1069, 1.36%, 09/02/04 5,055
</Table>
See notes to financial statements.
49
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
INDIANA -- CONTINUED
$ 5,330 Indiana Transportation Finance Authority,
FLOATS, Ser. PT-2296, Rev., FRDO, FGIC, 1.36%,
09/02/04 $ 5,330
19,500 Indiana Transportation Finance Authority,
Municipal Securities Trust Receipts, Ser. SGA-113,
Rev., FRDO, 1.30%, 09/01/04 19,500
8,650 Indianapolis Local Public Improvement Bond Bank,
FLOATS, Ser. PT-1408, Rev., FRDO, MBIA, 1.36%,
09/02/04 8,650
8,200 Monroe County Hospital Authority, Rev., FRDO,
MBIA, 1.30%, 09/01/04 8,200
7,900 St. Joseph County, Educational Facilities,
University of Notre Dame, Rev., FRDO,
1.28%, 09/02/04 7,900
------------------
206,563
IOWA -- 0.2%
4,550 Des Moines, Iowa, 1.07%, 09/07/04 4,550
1,900 Des Moines, Iowa, 1.07%, 09/07/04 1,900
1,000 Des Moines, Iowa, 1.22%, 09/07/04 1,000
750 Des Moines, Iowa, 1.25%, 09/07/04 750
3,365 Des Moines, Iowa, FLOATS, Ser. PT-2268, GO,
FRDO, AMBAC, 1.36%, 09/02/04 3,365
8,500 Iowa Finance Authority, Single Family Mortgage,
Ser. D, Rev., FRDO, 1.37%, 02/03/05 8,500
6,000 Iowa Finance Authority, Single Family Mortgage,
Ser. F, Rev., FRDO, 1.32%, 09/02/04 6,000
------------------
26,065
------------------
KANSAS -- 0.6%
2,000 Eagle Tax-Exempt Trust, Weekly Option Mode,
Ser. 2000-1601, FRDO, 1.38%, 09/02/04 2,000
9,600 Kansas City, Kansas, IDB, PQ Corp. Project, Rev.,
FRDO, 1.36%, 09/03/04 9,600
18,000 Kansas State Department of Transportation,
Highway, Ser. C-1, Rev., FRDO, 1.33%, 09/01/04 18,000
27,500 Kansas State Department of Transportation,
Highway, Ser. C-2, Rev., FRDO, 1.33%, 09/01/04 27,500
10,225 Kansas State Department of Transportation,
Ser. C-3, Rev., FRDO, 1.30%, 09/02/04 10,225
9,780 Overland Park, Kansas, Floating Rate Receipts,
Ser. SG-155, 1.36%, 09/02/04 9,780
2,670 Sedgwick & Shawnee Counties, Single Family
Housing, FLOATS, Ser. PT-523, Rev., FRDO,
1.41%, 09/03/04 2,670
------------------
79,775
KENTUCKY -- 1.0%
17,455 Jeffersontown, Kentucky, Lease Program,
Kentucky League of Cities Funding Trust, Rev.,
FRDO, 1.40%, 09/01/04 17,455
</Table>
See notes to financial statements.
50
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
KENTUCKY -- CONTINUED
$ 50,000 Kenton County Airport Board, Special Facilities,
Airis Cincinnatti LLC, Ser. A, Rev., FRDO, 1.37%,
09/02/04 $ 50,000
24,000 Kentucky Asset Liability Commission, General Fund,
Ser. A, Rev., TRAN, 3.00%, 06/29/05 24,283
2,240 Kentucky Development Finance Authority,
Pooled Loan Program, Ser. A, Rev., FRDO, FGIC,
1.30%, 09/02/04 2,240
15,000 Louisville & Jefferson County Metropolitan Sewer
District, Sewer & Drain Systems, Floating Rate
Receipts, Ser. SG-132, Rev., FRDO, FGIC, 1.36%,
09/02/04 15,000
31,200 Ohio County, PCR, Big Rivers Electric Corp. Project,
Rev., FRDO, AMBAC, 1.35%, 09/01/04 31,200
------------------
140,178
LOUISIANA -- 0.6%
12,000 ABN AMRO Munitops Certificate Trust,
Ser. 2002-17, Rev., FRDO, AMBAC, #, 1.37%,
09/01/04 12,000
9,000 East Baton Rouge Parish, Solid Waste Disposal
Authority, Exxon Corp. Project, Rev., FRDO,
1.27%, 09/01/04 9,000
1,585 Iberia Parish IDB, IDR, Cuming Insulation Corp.
Project, Rev., FRDO, 1.46%, 09/02/04 1,585
1,925 Jefferson Parish Home Mortgage Authority,
Single Family Mortgage, FLOATS, Ser. PT-492,
Rev., FRDO, 1.43%, 09/02/04 1,925
10,785 Lafayette, Louisiana, Utilities, Ser. R-6024,
Rev., FRDO, MBIA, 1.37%, 09/02/04 10,785
3,605 Louisiana Housing Finance Agency, FLOATS,
Ser. PT-1340, Rev., FRDO, 1.41%, 09/02/04 3,605
8,365 Louisiana Local Government, Environmental
Facilities & Community Development, Ser. A,
Rev., FRDO, 1.34%, 09/02/04 8,365
3,100 Louisiana Public Facilities Authority, IDB,
Kenner Hotel LTD, Rev., FRDO, 1.32%, 09/02/04 3,100
5,535 Louisiana Public Facilities Authority, LSU Alumni
Association Project, Rev., FRDO, 1.34%, 09/02/04 5,535
29,450 Louisiana State, Public Facilities, 1.15%, 10/04/04 29,450
4,950 South Louisiana Port Commission, Marine
Terminal Facilities, Occidental Petroleum, Rev.,
FRDO, 1.33%, 09/01/04 4,950
------------------
90,300
MAINE -- 0.6%
9,700 Maine Finance Authority, Jackson Lab Issue,
Ser. 2002, Rev., FRDO, 1.38%, 09/02/04 9,700
</Table>
See notes to financial statements.
51
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MAINE -- CONTINUED
$ 7,320 Maine Health & Higher Educational Facilities
Authority, Ser. B, Rev., FRDO, AMBAC, 1.35%,
09/01/04 $ 7,320
6,250 Maine State Housing Authority, General Housing,
FLOATS, Ser. MT-006, Rev., FRDO, 1.42%,
09/02/04 6,250
17,400 Maine State Housing Authority, Ser. E-2, Rev.,
FRDO, AMBAC, 1.32%, 09/02/04 17,400
16,515 Maine State Housing Authority, Ser. E-2, Rev.,
FRDO, AMBAC, 1.32%, 09/02/04 16,515
12,295 Maine State, BAN, GO, 3.00%, 06/23/05 12,432
20,700 Maine State, TAN, GO, 3.00%, 06/30/05 20,938
------------------
90,555
MARYLAND -- 1.9%
10,000 Anne Arundel County, 1.10%, 10/05/04 10,000
18,065 Baltimore County, Oak Crest Village, Inc. Project,
Ser. A, Rev., FRDO, 1.32%, 09/02/04 18,065
17,375 Baltimore IDA, IDR, Baltimore Capital Acquisition,
Rev., FRDO, 1.35%, 09/01/04 17,375
25,000 Baltimore, Maryland, #, 0.95%, 10/12/04 25,000
3,135 Community Development Administration,
Multi-Family Development, Avalon Lea Apartment
Project, Rev., FRDO, 1.29%, 09/01/04 3,135
50,000 Johns Hopkins University, 1.13%, 10/07/04 50,000
15,375 Johns Hopkins University, 1.15%, 10/04/04 15,375
2,550 Maryland Community Development
Administration, Department of Housing &
Community Development, FLOATS, Ser. PT-12,
1.34%, 09/01/04 2,550
3,000 Maryland Community Development
Administration, Department of Housing &
Community Development, Multi-Family Housing,
Parklane Apartments, Rev., FRDO, 1.33%,
09/01/04 3,000
10,000 Maryland Community Development
Administration, Department of Housing &
Community Development, Residential, Ser. C,
Rev., FRDO, 1.29%, 09/02/04 10,000
3,310 Maryland State Economic Development Corp.,
Floating Rate Reciepts, Ser. L9-J, Rev., FRDO,
FSA, 1.42%, 09/01/04 3,310
5,215 Maryland State Health & Higher Educational
Facilities Authority, Floater, Ser. 825, FRDO,
AMBAC, 1.35%, 09/02/04 5,215
2,350 Maryland State Health & Higher Educational
Facilities Authority, Loyola College Issue, Ser. B,
Rev., FRDO, MBIA, 1.34%, 09/02/04 2,350
</Table>
See notes to financial statements.
52
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MARYLAND -- CONTINUED
$ 9,000 Maryland State Health & Higher Educational
Facilities Authority, Municipal Securities Trust
Receipts, Ser. SGA-143, Rev., FRDO, 1.36%,
09/01/04 $ 9,000
17,710 Maryland State Health & Higher Educational
Facilities Authority, Ser. D, Rev., FRDO, 1.32%,
09/02/04 17,710
24,720 Maryland State Stadium Authority,
Sports Facilities Lease, Rev., FRDO, 1.38%,
09/01/04 24,720
6,400 Montgomery County Housing Opportunites
Commission, Multi-Family Housing, Falklands,
Ser. B, Rev., FRDO, 1.24%, 09/01/04 6,400
10,700 Montgomery County Housing Opportunites
Commission, Multiple Purpose, Ser. C, Rev.,
FRDO, 1.27%, 09/01/04 10,700
16,800 Montgomery County Housing Opportunities
Commission, Multi-Family Housing, Grosvenor,
Ser. A, Rev., FRDO, 1.24%, 09/01/04 16,800
5,100 Montgomery County Housing Opportunities
Commission, The Grand-Issue I, Rev., FRDO,
1.32%, 09/01/04 5,100
1,210 Northeast Waste Disposal Authority, Resource
Recovery, Harford County Resources, Rev., FRDO,
AMBAC, 1.21%, 09/01/04 1,210
15,500 Washington Suburban Sanitation District,
Multi-Modal, Ser. A, GO, BAN, FRDO, 1.26%,
09/01/04 15,500
------------------
272,515
MASSACHUSETTS -- 2.9%
21,400 Blackstone-Millville Regional School District, GO,
BAN, 2.75%, 07/14/05 21,586
6,030 Canton Housing Authority, Multi-Family Housing,
Canton Arboretum Apartments, Rev., FRDO,
1.33%, 09/01/04 6,030
8,510 Clipper Tax-Exempt Trust, COP, Ser. 2001-4,
FRDO, 1.60%, 09/08/04 8,510
11,400 Gill-Montague Regional School District, GO, BAN,
2.00%, 09/24/04 11,406
13,070 Lee, Massachusetts, GO, BAN, 2.50%, 05/13/05 13,171
7,520 Lowell, Massachusetts, State Qualified, GO, MBIA,
3.00%, 10/15/04 7,538
5,030 Massachusetts Bay Transportation Authority,
EAGLE, Ser. 20040031, Class A, Rev., FRDO,
1.35%, 09/02/04 5,030
</Table>
See notes to financial statements.
53
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MASSACHUSETTS -- CONTINUED
$ 5,750 Massachusetts Bay Transportation Authority,
Municipal Securities Trust Receipts, Special
Assessment, Ser. SGA-123, FRDO, 1.40%,
09/01/04 $ 5,750
7,000 Massachusetts Development Finance Agency,
Clark University, Rev., FRDO, MBIA, 1.33%,
09/01/04 7,000
13,500 Massachusetts Development Finance Agency,
Clark University, Ser. A, Rev., FRDO, AMBAC,
1.33%, 09/01/04 13,500
11,000 Massachusetts Development Finance Agency,
Dana Hall School, Rev., FRDO, 1.30%, 09/02/04 11,000
4,760 Massachusetts Development Financing Agency,
The Bridge Issue, Rev., FRDO, 1.31%, 09/01/04 4,760
5,240 Massachusetts Health & Educational Facilities
Authority, Partners in Healthcare, Ser. D-6, Rev.,
FRDO, 1.28%, 09/01/04 5,240
2,200 Massachusetts Health & Educational Facilities
Authority, University of Massachusetts, Ser. A,
Rev., FRDO, 1.32%, 09/01/04 2,200
25,950 Massachusetts Housing Finance Agency, Ser. F,
Rev., FRDO, FSA, 1.32%, 09/01/04 25,950
4,975 Massachusetts Housing Finance Agency, Ser. G,
Rev., FRDO, 1.32%, 09/01/04 4,975
5,500 Massachusetts Housing Finance Agency,
Single Family Housing, Ser. R-1, Rev., 1.15%,
05/02/05 5,500
11,995 Massachusetts Municipal Wholesale Electric Co.,
Power Supply Systems, FLOATS, Ser. PT-1951,
1.33%, 09/02/04 11,995
32,000 Massachusetts State, 1.25%, 09/15/04 32,000
9,525 Massachusetts State Industrial Finance Agency,
Whitehead Institute for Biomedical Research,
Rev., FRDO, 1.28%, 09/01/04 9,525
7,000 Massachusetts State Port Authority, 1.25%,
10/08/04 7,000
2,506 Massachusetts State Turnpike Authority, FLOATS,
Ser. 334, Rev., FRDO, MBIA, 1.31%, 09/02/04 2,506
41,800 Massachusetts State Water Resources Authority,
1.12%, 09/01/04 41,800
4,800 Massachusetts State Water Resources Authority,
Multi-Modal, Ser. B, Rev., FRDO, AMBAC, 1.34%,
09/01/04 4,800
7,200 Massachusetts State Water Resources Authority,
Multi-Modal, Ser. B, Rev., FRDO, FGIC, 1.24%,
09/01/04 7,200
4,220 Massachusetts State Water Resources Authority,
Ser. A, Rev., FRDO, FGIC, 1.27%, 09/01/04 4,220
</Table>
See notes to financial statements.
54
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MASSACHUSETTS -- CONTINUED
$ 2,500 Massachusetts State Water Resources Authority,
Sub Ser. B, Rev., FRDO, FGIC, 1.30%, 09/01/04 $ 2,500
6,600 Massachusetts State Water Resources Authority,
Sub Ser. C, Rev., FRDO, FGIC, 1.34%, 09/01/04 6,600
1,000 Massachusetts State Water Resources Authority,
Sub Ser. D, Rev., FRDO, 1.35%, 09/02/04 1,000
10,000 Massachusetts State, EAGLE, Ser. 20040004,
Class A, GO, FRDO, 1.34%, 09/02/04 10,000
9,995 Massachusetts State, FLOATS, Ser. PA-800, 1.33%,
09/02/04 9,995
7,830 Massachusetts State, FLOATS, Ser. PT-1576, GO,
FRDO, MBIA, 1.33%, 09/02/04 7,830
115 Massachusetts State, FLOATS, Ser. PT-2008, GO,
FRDO, AMBAC, 1.33%, 09/02/04 115
9,795 Massachusetts State, FLOATS, Ser. PT-2238, GO,
FRDO, 1.33%, 09/02/04 9,795
16,240 Massachusetts State, FLOATS, Ser. PT-2265, GO,
FRDO, AMBAC, 1.33%, 09/02/04 16,240
11,820 Massachusetts State, FLOATS, Ser. PT-392, 1.35%,
09/07/04 11,820
22,900 Route 3 North Transit Improvement Association,
Ser. B, Rev., FRDO, AMBAC, 1.29%, 09/01/04 22,900
33,650 Scituate, Massachusetts, GO, BAN, 1.75%,
03/03/05 33,731
6,100 Shirley, Massachusetts, GO, BAN, 2.00%, 04/08/05 6,133
------------------
418,851
MICHIGAN -- 4.5%
30,795 ABN AMRO Munitops Certificate Trust, Ser.
2000-16, GO, FRDO, FGIC, 1.37%, 09/01/04 30,795
5,000 ABN-AMRO Munitops Certificate Trust,
Ser. 2002-29, GO, FRDO, FGIC, 1.08%, 10/06/04 5,000
8,580 Detroit City School District, Ser. 2003-28, GO,
FRDO, 1.36%, 09/02/04 8,580
9,990 Detroit City School District, Ser. B-1, GO, FRDO,
FGIC, 1.38%, 09/01/04 9,990
1,950 Detroit, Michigan, Sewer Disposal, Senior Lien,
Ser. C-1, Rev., FRDO, FSA, 1.30%, 09/02/04 1,950
37,500 Detroit, Michigan, Sewer Disposal, Second Lien,
Ser. E, Rev., FRDO, FGIC, 1.55%, 09/02/04 37,500
600 Detroit, Michigan, Sewer Disposal, Senior Lien,
Ser. B, Rev., FRDO, FSA, 1.27%, 09/01/04 600
38,525 Detroit, Michigan, Water Supply System,
Second Lien, Ser. C, Rev., FRDO, FGIC,
Series 2001-C, 1.25%, 09/01/04 38,525
7,450 East Lansing School District, Municipal Securities
Trust Receipts, Ser. SGA-114, GO, FRDO, 1.36%,
09/01/04 7,450
</Table>
See notes to financial statements.
55
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MICHIGAN -- CONTINUED
$ 8,840 Howell Public Schools, FLOATS, Ser. PT-1502, GO,
FRDO, 1.36%, 09/02/04 $ 8,840
12,300 Lakeview School District, Calhoun, School Building &
Site, Ser. B, GO, FRDO, 1.28%, 09/02/04 12,300
9,000 Michigan Higher Education Student Loan Authority,
Ser. XII-F, Rev., FRDO, AMBAC, 1.32%, 09/01/04 9,000
8,480 Michigan Municipal Bond Authority, FLOATS,
Ser. PT-1477, Rev., FRDO, 1.25%, 09/02/04 8,480
30,000 Michigan State, 1.10%, 12/01/04 30,000
15,000 Michigan State Building Authority, 1.15%, 09/09/04 15,000
10,495 Michigan State Building Authority,
Ser. RR-II-R-1049, Rev., FRDO, 1.38%, 09/02/04 10,495
8,970 Michigan State Hospital Finance Authority,
FLOATS, Ser. PA-919, Rev., 1.36%, 09/02/04 8,970
7,495 Michigan State Hospital Finance Authority,
FLOATS, Ser. PT-668, Rev., FRDO, MBIA, 1.36%,
09/02/04 7,495
15,000 Michigan State Housing Development Authority,
1.25%, 10/19/04 15,000
6,350 Michigan State Housing Development Authority,
Multi-Family Housing, Canton Club, Ser. A, Rev.,
FRDO, 1.32%, 09/02/04 6,350
7,030 Michigan State Housing Development Authority,
Multi-Family Housing, River Place Apartments,
Rev., FRDO, 1.34%, 09/02/04 7,030
14,700 Michigan State Housing Development Authority,
Rental Housing, Ser. B, Rev., FRDO, 1.35%,
09/01/04 14,700
4,690 Michigan State University, Ser. A, Rev., FRDO,
1.24%, 09/01/04 4,690
14,300 Michigan State University, Ser. A, Rev., FRDO,
1.30%, 09/01/04 14,300
480 Michigan State University, Ser. A, Rev., FRDO,
1.35%, 09/02/04 480
23,180 Michigan State University, Ser. A-2, Rev., FRDO,
1.30%, 09/01/04 23,180
2,800 Michigan State University, Ser. B, Rev., FRDO,
1.30%, 09/01/04 2,800
4,435 Michigan State, FLOATS, Ser. PT-2021, GO, FRDO,
1.36%, 09/02/04 4,435
10,000 Michigan State, Ser. 2002, Class A, FRDO, 1.15%,
11/02/04 9,996
53,000 Michigan State, Ser. A, GO, 2.00%, 09/30/04 53,043
10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA,
1.29%, 09/01/04 10,500
44,900 Michigan State, Ser. C, Rev., GAN, FRDO, FSA,
1.28%, 09/01/04 44,900
50,885 Michigan State, Ser. C, Rev., GAN, FRDO, FSA,
1.35%, 09/01/04 50,885
</Table>
See notes to financial statements.
56
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MICHIGAN -- CONTINUED
$ 3,400 Michigan State, Ser. D, Rev., GAN, FRDO, FSA,
1.35%, 09/01/04 $ 3,400
1,175 Michigan Strategic Fund, Wayne Disposal,
Oakland Project, Rev., FRDO, 1.37%, 09/01/04 1,175
23,980 Milan Area Schools, GO, FRDO, 1.30%, 09/02/04 23,980
10,000 Oakland University, Rev., FRDO, FGIC, 1.29%,
09/01/04 10,000
48,550 Saline Area Schools, GO, FRDO, 1.28%, 09/02/04 48,550
1,100 University of Michigan, Hospital, Ser. A, Rev.,
FRDO, 1.30%, 09/01/04 1,100
11,500 University of Michigan, Medical Service Plan,
Ser. A-1, Rev., FRDO, 1.30%, 09/01/04 11,500
300 University of Michigan, Medical Services Plan,
Ser. A, Rev., FRDO, 1.34%, 09/01/04 300
18,355 Wayne Charter County, Detroit Metropolitan,
Wayne Charter Airport, Junior Lien, Rev., FRDO,
FSA, 1.32%, 09/02/04 18,355
13,700 Wayne Charter County, Wayne Charter Airport,
Floating Rate Receipts, Ser. SG-122, Rev., FRDO,
1.34%, 09/02/04 13,700
------------------
645,319
MINNESOTA -- 1.1%
8,510 Minneapolis & St. Paul Metropolitan Airports
Commission, Municipal Securities Trust Receipts,
Ser. SG-136, Rev., FRDO, FGIC, 1.38%, 09/02/04 8,510
9,000 Minneapolis & St. Paul Metropolitan Airports
Commission, Municipal Securities Trust Receipts,
Ser. SGA-127, Rev., FRDO, FGIC, 1.40%, 09/01/04 9,000
19,130 Minnesota Housing Finance Agency, Residential
Housing Finance, Ser. H, Rev., FRDO, 1.62%,
07/21/05 19,130
4,400 Minnesota Housing Finance Agency, Residential
Housing Finance, Ser. B, Rev., FRDO, 1.32%,
09/02/04 4,400
18,055 Minnesota Housing Finance Agency, Residential
Housing Finance, Ser. H, Rev., FRDO, 1.62%,
07/21/05 18,055
4,995 Minnesota Public Facilities Authority, PCR, Water,
Ser. II-R-31, Rev., FRDO, 1.37%, 09/02/04 4,995
10,250 Rochester, Minnesota, 1.09%, 09/01/04 10,250
9,000 Rochester, Minnesota, 1.09%, 09/01/04 9,000
15,000 Rochester, Minnesota, 1.09%, 09/01/04 15,000
15,300 Rochester, Minnesota, 1.20%, 11/01/04 15,300
10,000 Rochester, Minnesota, 1.20%, 11/01/04 10,000
35,000 Rochester, Minnesota, Health Authority, 1.12%,
09/13/04 35,000
4,300 St. Louis Park, Minnesota, Catholic Finance Corp.,
Rev., FRDO, 1.35%, 09/02/04 4,300
</Table>
See notes to financial statements.
57
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MINNESOTA -- CONTINUED
$ 2,100 Washington County Housing & Redevelopment
Authority, Multi-Family Housing, FLOATS,
Ser. PT-702, Rev., 1.40%, 09/02/04 $ 2,100
------------------
165,040
MISSISSIPPI -- 0.1%
8,380 Mississippi Development Bank Special Obligation,
FLOATS, Ser. PT-1494, Rev., FRDO, FSA, 1.40%,
09/02/04 8,380
645 Mississippi Home Corp., Single Family Housing,
FLOATS, Ser. PT-620, Rev., FRDO, 1.41%, 09/02/04 645
4,350 Mississippi State, Ser. RR-II-R-1043, GO, FRDO,
FGIC, 1.37%, 09/02/04 4,350
------------------
13,375
MISSOURI -- 1.1%
14,310 Bi-State Development Agency, Metropolitan
District, Floating Rate Receipts, Ser. SG-175, Rev.,
FRDO, FSA, 1.36%, 10/01/04 14,310
11,255 Bi-State Development Agency, Metropolitan District,
FLOATS, Ser. PT-1593, Rev., FRDO, FSA, 1.36%,
09/07/04 11,255
5,300 Bi-State Development Agency, Metropolitan District,
Metrolink Cross County Project, Ser. A, Rev.,
FRDO, FSA, 1.32%, 09/01/04 5,300
6,645 Independence IDA, Multi-Family Housing, FLOATS,
Ser. PT-314, FRDO, 1.36%, 09/02/04 6,645
2,900 Kansas City IDA, IDR, Livers Bronze Co. Project,
Rev., FRDO, 1.40%, 09/02/04 2,900
3,000 Missouri Higher Education Loan Authority,
Student Loan, Ser. B, Rev., FRDO, 1.35%, 09/01/04 3,000
1,600 Missouri Higher Education Loan Authority,
Student Loan, Ser. B, Rev., FRDO, MBIA, 1.35%,
09/01/04 1,600
2,275 Missouri Housing Development Commission,
FLOATS, Ser. PT-1286, Rev., FRDO, 1.41%,
09/02/04 2,275
3,105 Missouri Housing Development Commission,
Mortgage, FLOATS, Ser. PT-495, Rev., FRDO,
1.41%, 09/02/04 3,105
9,700 Missouri Housing Development Commission,
Single Family Mortgage, FLOATS, Ser. L-5J,
Regulation D, Rev., FRDO, 1.42%, 09/01/04 9,700
17,600 Missouri State Health & Educational Facilities
Authority, Assemblies of God College, Rev.,
FRDO, 1.32%, 09/02/04 17,600
2,500 Missouri State Health & Educational Facilities
Authority, EAGLE, Ser. 2002-6026, Class A, Rev.,
FRDO, 1.38%, 09/03/04 2,500
</Table>
See notes to financial statements.
58
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MISSOURI -- CONTINUED
$ 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
945 Missouri State Housing Development Commission,
FLOATS, Ser. PT-223, Rev., FRDO, 1.33%,
09/02/04 945
11,125 O'Fallon, Missouri, COP, FLOATS, Ser. PT-1396,
FRDO, MBIA, 1.36%, 09/02/04 11,125
40,000 University of Missouri, Curators, Floating Rate
Trust Receipts, Ser. L43, Regulation D, Rev.,
FRDO, 1.27%, 10/20/04 40,000
------------------
152,260
MONTANA -- 0.0%^
1,780 Montana Board of Housing, FLOATS, Ser. PT-356,
1.43%, 09/02/04 1,780
MULTIPLE STATES -- 4.3%
5,010 ABN AMRO Munitops Certificate Trust,
Ser. 2002-37, Rev., FRDO, 1.40%, 12/08/04 5,010
10,750 ABN AMRO Munitops Certificate Trust,
Ser. 2004-8, GO, FRDO, 1.39%, 09/01/04 10,750
48,325 ABN-AMRO Munitops Certificate Trust, Ser.
2002-1, Rev., FRDO, 1.50%, 09/01/04 48,325
14,000 Charter Mac Floater Certificate Trust I, FLOATER,
Ser. NAT-4, Rev., FRDO, MBIA, 1.49%, 09/02/04 14,000
12,800 Charter Mac Floater Certificate Trust I, Ser. NAT-1,
Rev., FRDO, MBIA, 1.50%, 09/02/04 12,800
24,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2,
Rev., FRDO, MBIA, 1.50%, 09/02/04 24,000
15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3,
Rev., FRDO, MBIA, 1.50%, 09/02/04 15,000
3,947 Clipper Tax-Exempt Trust, COP, Ser. 1999-2, FRDO,
1.51%, 09/02/04 3,947
34,918 Clipper Tax-Exempt Trust, COP, Ser. 2002-9, FRDO,
1.51%, 09/02/04 34,918
20,000 Clipper Tax-Exempt Trust, COP, Ser. 2003-5, FRDO,
1.43%, 09/02/04 20,000
20,675 Clipper Tax-Exempt Trust, Ser. 2004-2, Rev., FRDO,
1.52%, 09/02/04 20,675
6,000 Eagle Tax Exempt Trust, Ser. 2000-1003, Rev.,
FRDO, FGIC, 1.37%, 09/02/04 6,000
41,583 Koch Floating Rate Trust, Weekly Certificates,
Ser. 1, Rev., FRDO, 1.56%, 09/02/04 41,583
21,725 MBIA Capital Corp., FLOATS, Ser. PL-10, Rev., Adj.,
MBIA, 1.42%, 09/02/04 21,725
67,775 Municipal Securities Pool Trust, Floating Rate
Receipt, Ser. SG-P-18, Rev., FRDO, 1.47%, 09/02/04 67,775
</Table>
See notes to financial statements.
59
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
MULTIPLE STATES -- CONTINUED
$ 67,470 Municipal Securities Pool Trust, Floating Rate
Trust Receipts, Ser. P-16, 1.47%, 09/02/04 $ 67,470
137,515 Municipal Securities Pool Trust, Trust Receipts,
Ser. SG-PG-17, 1.47%, 09/02/04 137,515
10,000 Municipal Securities Trust Certificates, Ser. 2000-96,
Class A, GO, FRDO, AMBAC, #, 1.37%, 09/01/04 10,000
44,635 Puttable Floating Option Tax-Exempt Receipts,
SunAmerica Trust, PUTTERS, Ser. 2001-2, Class A
Certificates, 1.42%, 09/02/04 44,635
10,225 SunAmerica Trust, Ser. 2, Class A Certificates, Rev.,
FRDO, 1.51%, 09/02/04 10,225
------------------
616,353
NEBRASKA -- 0.2%
14,405 Lancaster County Hospital Authority No. 1,
Bryan Memorial Hospital Project, Rev., FRDO,
MBIA, 1.27%, 09/01/04 14,405
3,285 NEBHELP, Inc., Multi-Modal, Ser. A-11, Rev., FRDO,
MBIA, 1.38%, 09/01/04 3,285
7,540 Nebraska Investment Finance Authority,
Single Family Housing, Floating Rate Trust
Receipts, Ser. N-7, Regulation D, Rev., FRDO,
1.75%, 09/15/04 7,540
5,875 Nebraska Investment Finance Authority, Single
Family Housing, Ser. E, Rev., FRDO, 1.37%,
09/01/04 5,875
------------------
31,105
NEVADA -- 1.0%
15,000 Clark County School District, FRDO, 1.41%,
09/02/04 15,000
6,710 Clark County, Airport Improvement, Sub Lien,
Ser. A-1, Rev., FRDO, 1.27%, 09/01/04 6,710
480 Clark County, Airport Improvement, Sub Lien,
Ser. A-2, Rev., FRDO, 1.35%, 09/01/04 480
24,400 Clark County, Airport Revenue, Sub Lien, Ser. C,
Rev., FRDO, FGIC, 1.27%, 09/01/04 24,400
600 Clark County, Airport, Sub Lien, Ser. A, Rev., FRDO,
FGIC, 1.28%, 09/01/04 600
15,210 Clark County, Nevada, Airport Revenue, Sub-Lien,
Ser. B-2, Rev., FRDO, 1.28%, 09/01/04 15,210
10,000 Las Vegas, Nevada, Water Authority, 1.14%,
10/04/04 10,000
9,500 Nevada Housing Division, Multi-Unit Housing,
Flamingo Road, Ser. A, Rev., FRDO, #, 1.50%,
09/02/04 9,500
7,800 Nevada Housing Division, Multi-Unit Housing,
Fort Apache, Ser. A, Rev., FRDO, 1.50%, 09/02/04 7,800
3,390 Nevada Housing Division, Multi-Unit Housing,
Horizon, Ser. A, Rev., FRDO, 1.33%, 09/02/04 3,390
4,350 Nevada Housing Division, Multi-Unit Housing,
Joshua Villas, Ser. E, Rev., FRDO, 1.33%, 09/02/04 4,350
</Table>
See notes to financial statements.
60
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEVADA -- CONTINUED
$ 5,455 Nevada Housing Division, Multi-Unit Housing,
Judith Villas, Ser. C, Rev., FRDO, 1.38%, 09/02/04 $ 5,455
6,750 Nevada Housing Division, Multi-Unit Housing,
Ser. A, Rev., FRDO, 1.33%, 09/02/04 6,750
3,195 Nevada Housing Division, Multi-Unit Housing,
Ser. M, Rev., FRDO, 1.33%, 09/02/04 3,195
4,800 Nevada State, FLOATS, Ser. PT-403, GO, FRDO,
1.36%, 09/02/04 4,800
9,000 Nevada State, FLOATS, Ser. SG-39, 1.36%, 09/02/04 9,000
8,940 Nevada State, Ser. RR-II-R-4054, GO, FRDO, FSA,
1.37%, 09/02/04 8,940
1,300 Reno, Nevada, St. Mary's Regional Medical Center,
Ser. B, Rev., FRDO, MBIA, 1.30%, 09/01/04 1,300
5,800 Truckee Meadows Water Authority, Municipal
Securities Trust Receipts, Ser. SGA-137, Rev.,
FRDO, FSA, 1.30%, 09/01/04 5,800
------------------
142,680
NEW HAMPSHIRE -- 0.3%
5,945 New Hampshire Health & Education Facilities
Authority, Riverbend, Rev., FRDO, 1.33%, 09/02/04 5,945
10,000 New Hampshire Higher Educational & Health
Facilities Authority, FLOATS, Ser. 866, Rev.,
FRDO, FGIC, 1.38%, 09/02/04 10,000
4,290 New Hampshire Higher Educational & Health
Facilities Authority, Ser. 772, Rev., FRDO, FGIC,
1.37%, 09/02/04 4,290
6,300 New Hampshire Higher Educational & Health
Facilities Authority, VHA New England, Inc.,
Ser. C, Rev., FRDO, AMBAC, 1.31%, 09/01/04 6,300
7,200 New Hampshire Higher Educational & Health
Facilities Authority, VHA New England, Inc.,
Ser. F, Rev., FRDO, AMBAC, 1.34%, 09/01/04 7,200
2,280 New Hampshire Municipal Bond Bank,
Educational Institutions, Pinkerton Academy
Project, Ser. B, Rev., FRDO, 1.35%, 09/02/04 2,280
2,920 New Hampshire State Housing Finance Authority,
Single Family Housing, FLOATS, Ser. PT-624, Rev.,
FRDO, 1.41%, 09/02/04 2,920
------------------
38,935
NEW JERSEY -- 0.8%
5,815 Burlington County Bridge Commissioner,
Community Pooled Loan, FLOATS, Ser. PT-1546,
Rev., FRDO, 1.36%, 09/02/04 5,815
7,625 Hudson County Improvement Authority, Essential
Purpose Pooled Loan, Rev., FRDO, 1.30%, 09/02/04 7,625
18,170 Jersey City, New Jersey, Promissory Notes, Ser. A,
GO, 1.75%, 02/25/05 18,226
</Table>
See notes to financial statements.
61
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 7,900 Mercer County Improvement Authority, Atlantic
Foundation & Johnson, Rev., FRDO, MBIA,
1.26%, 9/2/04 $ 7,900
12,925 Municipal Securities Trust Certificates,
Ser. 2001-174, Class A, GO, FRDO, #, 1.29%, 09/01/04 12,925
6,000 New Jersey Economic Development Authority,
Diocese of Metuchen, Rev., FRDO, 1.34%, 9/1/04 6,000
4,985 New Jersey Economic Development Authority,
FLOATS, Ser. PA-828, Rev., FRDO, AMBAC, 1.34%,
09/02/04 4,985
4,995 New Jersey Economic Development Authority,
Ser. A, GO, FRDO, AMBAC, 1.35%, 09/02/04 4,995
2,440 New Jersey Sports & Exposition Authority,
State Contract, Ser. C, Rev., FRDO, MBIA, 1.30%,
9/2/04 2,440
5,500 New Jersey State Educational Facilities Authority,
FLOATS, Ser. PT-1597, 1.34%, 09/02/04 5,500
5,285 New Jersey State Educational Facilities Authority,
FLOATS, Ser. PT-1599, 1.34%, 09/02/04 5,285
9,000 New Jersey State Housing & Mortgage Finance
Agency, Single Family Housing, Ser. B, Rev.,
1.10%, 10/01/04 9,000
8,100 New Jersey State Turnpike Authority, Ser. C-1,
Rev., FRDO, FSA, 1.34%, 09/01/04 8,100
8,615 New Jersey Transportation Trust Fund Authority,
FLOATS, Ser. 941-D, Rev., FRDO, FSA, 1.31%,
9/2/04 8,615
10,335 New Jersey Transportation Trust Fund Authority,
FLOATS, Ser. PT-1926, Rev., FRDO, MBIA, 1.36%,
9/2/04 10,335
------------------
117,746
NEW MEXICO -- 0.2%
3,800 Albuquerque, New Mexico, Airport, Sub Lien, Rev.,
FRDO, AMBAC, 1.27%, 10/07/04 3,800
3,200 Chaves County, IDR, Friona Industries LP, Ser. A,
Rev., FRDO, 1.42%, 09/02/04 3,200
6,450 New Mexico Finance Authority, Ser. RR-II-R-2118,
Rev., FRDO, AMBAC, 1.37%, 09/02/04 6,450
4,305 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-1308, Rev., FRDO, 1.41%, 09/02/04 4,305
5,405 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-1378, Rev., FRDO, 1.41%, 09/02/04 5,405
3,070 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-196, FRDO, 1.41%, 09/03/04 3,070
4,705 New Mexico Mortgage Finance Authority, FLOATS,
Ser. PT-643, Rev., FRDO, 1.41%, 09/02/04 4,705
------------------
30,935
</Table>
See notes to financial statements.
62
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- 10.9%
$ 24,795 ABN AMRO Munitops Certificate Trust,
Ser. 2002-19, Rev., FRDO, MBIA-IBC, 1.33%,
09/01/04 + $ 24,795
900 Jay Street Development Corp., New York City
Jay Street Project, CTS Facilities Lease, Ser. A-4,
Rev., FRDO, 1.33%, 09/02/04 900
9,995 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-513-R, Rev., FRDO, FSA, 1.35%,
9/2/04 9,995
2,300 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-522, Rev., FRDO, FSA, 1.35%,
9/2/04 2,300
4,800 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PT-386, Rev., 1.34%, 09/03/04 4,800
900 Long Island Power Authority, Electric Systems,
Ser. D, Rev., FRDO, FSA, 1.33%, 09/01/04 900
2,900 Long Island Power Authority, Electric Systems,
Sub Ser. 3-B, Rev., FRDO, 1.30%, 09/01/04 2,900
9,710 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA,
1.30%, 09/02/04 9,710
12,000 Metropolitan Transportation Authority, Ser. B-16,
Rev., FRDO, FGIC-MBIA, 1.35%, 09/01/04 12,000
15,500 Metropolitan Transportation Authority, Ser. D-2,
Rev., FRDO, FSA, 1.29%, 09/02/04 15,500
22,440 Metropolitan Transportation Authority, Ser. G-2,
Rev., FRDO, AMBAC, 1.29%, 09/02/04 22,440
20,000 Metropolitan Transportation Authority,
Sub Ser. A-1, GO, FRDO, 1.29%, 09/02/04 20,000
1,520 Monroe County Airport Authority, FLOATS,
Ser. PA-585, Rev., FRDO, MBIA, 1.37%, 09/02/04 1,520
7,555 Municipal Securities Trust Certificates, Ser. 2001-116,
Class A, Rev., FRDO, #, 1.33%, 09/01/04 7,555
11,300 Nassau County Interim Finance Authority, FLOATS,
Ser. PA-901, Rev., FRDO, AMBAC, 1.35%, 09/02/04 11,300
14,700 Nassau County Interim Finance Authority,
Municipal Securities Trust Receipts, Special Tax,
Ser. SGA-108, FRDO, 1.33%, 09/01/04 14,700
8,000 Nassau County Interim Finance Authority,
Sales Tax Secured, Ser. B, Rev., FRDO, FSA,
1.29%, 09/01/04 8,000
16,000 New York City, New York, Housing Development
Corp., Multi-Family Housing, Carnegie Park,
Ser. A, Rev., FRDO, 1.32%, 09/01/04 16,000
35,650 New York City, New York, Sub Ser. -h2, GO, FRDO,
1.29%, 09/01/04 35,650
6,270 New York City Housing Development Corp.,
Multi-Family Housing, Columbus Apartments,
Ser. A, Rev., FRDO, 1.32%, 09/01/04 6,270
</Table>
See notes to financial statements.
63
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 400 New York City IDA, Civic Facilities, Municipal
Securities Trust Receipts, Ser. SGA-110, Rev.,
FRDO, 1.37%, 09/01/04 $ 400
5,500 New York City IDA, Special Facilities,
Korean Airlines Co., Ser. C, Rev., FRDO,
1.30%, 09/01/04 5,500
4,400 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. G, Rev., FRDO, FGIC,
1.25%, 09/03/04 4,400
5,550 New York City Municipal Water Finance Authority,
Water & Sewer System, FLOATS, Ser. PA-446,
Rev., FRDO, FGIC, 1.34%, 09/02/04 5,550
9,415 New York City Municipal Water Finance Authority,
Water & Sewer System, FLOATS, Ser. PA-995, Rev.,
FRDO, MBIA, 1.34%, 09/02/04 9,415
15,960 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Floating Trust Receipts,
Ser. 11, Rev., FRDO, FSA, 1.37%, 09/01/04 15,960
4,995 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1045,
Rev., FRDO, 1.36%, 09/02/04 4,995
5,885 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1076,
Rev., FRDO, 1.37%, 09/02/04 5,885
9,895 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1085,
Rev., FRDO, FGIC, 1.35%, 09/02/04 9,895
2,000 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Municipal Securities Trust
Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.34%,
09/02/04 2,000
400 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC,
1.32%, 09/02/04 400
16,575 New York City Transitional Finance Authority,
Floating Rate Trust Receipts, Ser. L-11, Rev.,
FRDO, 1.33%, 09/01/04 16,575
8,995 New York City Transitional Finance Authority,
FLOATS, Ser. PA-1043-R, Rev., FRDO, 1.35%,
09/03/04 8,995
13,160 New York City Transitional Finance Authority,
FLOATS, Ser. PT-406, Rev., FRDO, 1.65%, 9/2/04 13,160
15,635 New York City Transitional Finance Authority,
Future Tax Secured, Ser. C, Rev., FRDO, 1.30%,
09/01/04 15,635
35,800 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 1.30%,
09/02/04 35,800
</Table>
See notes to financial statements.
64
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 400 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO,
1.30%, 09/01/04 $ 400
36,900 New York City Transitional Finance Authority,
Sub Ser. 2-A, Rev., FRDO, 1.25%, 09/01/04 36,900
16,285 New York City Transitional Finance Authority,
Sub Ser. 2-E, Rev., FRDO, 1.30%, 09/01/04 16,285
2,000 New York City Trust for Cultural Resources,
Municipal Securities Trust Receipts, Ser. SGA-91,
Rev., FRDO, AMBAC, 1.29%, 09/01/04 2,000
4,995 New York City, New York, FLOATS, Ser. PA-878, GO,
FRDO, MBIC-IBC, 1.35%, 09/01/04 4,995
4,300 New York City, New York, Housing Development
Corp., Multi-Family Housing, Monterey, Ser. A,
Rev., FRDO, 1.32%, 09/01/04 4,300
9,000 New York City, New York, Municipal Securities Trust
Receipts, Ser. SGA-51, FRDO, AMBAC, 1.33%,
09/01/04 9,000
2,805 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGB-33, GO, FRDO, FSA,
1.34%, 09/02/04 2,805
12,865 New York City, New York, Municipal Securities
Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC,
1.37%, 09/02/04 12,865
2,100 New York City, New York, Ser B-2, Sub Ser. B-5,
GO, FRDO, MBIA, 1.28%, 09/01/04 2,100
100 New York City, New York, Ser. B, Sub Ser. B-4,
GO, FRDO, MBIA, 1.32%, 09/01/04 100
6,350 New York City, New York, Ser. B-2, Sub. Ser. B-5,
GO, FRDO, MBIA, 1.28%, 09/01/04 6,350
1,400 New York City, New York, Ser. H, Sub Ser. H-2,
GO, FRDO, MBIA, 1.28%, 09/01/04 1,400
2,100 New York City, New York, Ser. H, Sub Ser. H-2,
GO, FRDO, MBIA, 1.35%, 09/01/04 2,100
1,900 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 1.25%, 09/01/04 1,900
1,300 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 1.25%, 09/01/04 1,300
2,600 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 1.25%, 09/01/04 2,600
2,400 New York City, New York, Ser. H, Sub Ser. H-3,
GO, FRDO, FSA, 1.25%, 09/01/04 2,400
1,700 New York City, New York, Ser. H, Sub Ser. H-6,
GO, FRDO, MBIA, 1.27%, 09/01/04 1,700
31,300 New York City, New York, Sub Ser. A-2, Rev.,
FRDO, 1.32%, 09/01/04 31,300
7,000 New York City, New York, Sub Ser. A-3, GO, FRDO,
1.33%, 09/01/04 7,000
</Table>
See notes to financial statements.
65
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 6,000 New York City, New York, Sub Ser. A-4, GO, FRDO,
1.25%, 09/01/04 $ 6,000
5,700 New York City, New York, Sub Ser. A-4, GO, FRDO,
1.30%, 09/02/04 5,700
400 New York City, New York, Sub Ser. A-5, GO, FRDO,
1.27%, 09/01/04 400
300 New York City, New York, Sub Ser. A-5, GO, FRDO,
1.32%, 09/02/04 300
8,750 New York City, New York, Sub Ser. A-6, GO, FRDO,
1.28%, 09/01/04 8,750
6,800 New York City, New York, Sub Ser. C-4, GO, FRDO,
1.30%, 09/01/04 6,800
12,000 New York City, New York, Sub Ser. C-5, GO, FRDO,
1.29%, 09/01/04 12,000
26,815 New York City, New York, Sub Ser. G-2, GO, FRDO,
1.30%, 09/01/04 26,815
12,600 New York City, New York, Sub Ser. H-1, GO, FRDO,
1.30%, 09/02/04 12,600
69,300 New York City, New York, Sub Ser. H-3, GO, FRDO,
1.34%, 09/01/04 69,300
47,500 New York City, New York, Sub Ser. H-5, GO, FRDO,
1.29%, 09/01/04 47,500
15,000 New York City, New York, Sub Ser. H-6, GO, FRDO,
1.28%, 09/01/04 15,000
1,000 New York City, New York, Sub. Ser. E-3, GO, FRDO,
1.25%, 09/01/04 1,000
10,300 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-100, Rev., FRDO,
MBIA-IBC, 1.34%, 09/02/04 10,300
5,500 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-99, Rev., FRDO,
AMBAC, 1.34%, 09/02/04 5,500
15,700 New York Local Government Assistance Corp.,
Municipal Securities Trust Receipts, Ser. SGA-59,
Rev., FRDO, 1.34%, 09/02/04 15,700
22,995 New York Local Government Assistance Corp.,
Ser. A, Rev., FRDO, 1.32%, 09/01/04 22,995
20,000 New York Local Government Assistance Corp.,
Ser. B, Rev., FRDO, 1.30%, 09/01/04 20,000
6,000 New York Local Government Assistance Corp.,
Ser. G, Rev., FRDO, 1.26%, 09/01/04 6,000
5,000 New York State Dorm Authority, FLOATS,
Ser. PA-409, Rev., FRDO, AMBAC, 1.32%, 09/02/04 5,000
11,100 New York State Dorm Authority, FLOATS,
Ser. PA-419, Rev., FRDO, 1.34%, 09/02/04 11,100
9,920 New York State Dorm Authority, FLOATS,
Ser. PT-1447, Rev., FRDO, MBIA, 1.34%, 09/07/04 9,920
6,950 New York State Dorm Authority, FLOATS,
Ser. PT-1621, Rev., FRDO, MBIA, 1.34%, 09/02/04 6,950
</Table>
See notes to financial statements.
66
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 8,920 New York State Dorm Authority, FLOATS,
Ser. PT-1742, Rev., FRDO, MBIA, 1.34%, 09/02/04 $ 8,920
4,865 New York State Dorm Authority, New York Public
Library, Ser. A, Rev., FRDO, MBIA, 1.32%, 09/01/04 4,865
7,114 New York State Dorm Authority, Oxford University
Press, Inc., Rev., FRDO, 1.36%, 09/02/04 7,114
15,470 New York State Dormitory Authority, FLOATS,
Ser. PA-1088, Rev., FRDO, AMBAC, 1.34%, 09/02/04 15,470
7,120 New York State Dormitory Authority, FLOATS,
Ser. PA-1089, Rev., FRDO, AMBAC, 1.34%, 09/02/04 7,120
5,600 New York State Dormitory Authority, FLOATS,
Ser. PA-199, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 5,600
8,020 New York State Dormitory Authority, FLOATS,
Ser. PT-2240, Rev., FRDO, FSA, 1.34%, 09/02/04 8,020
6,445 New York State Dormitory Authority, FLOATS.
Ser. PA-773-R, Rev., FRDO, MBIA-IBC, 1.34%,
09/02/04 6,445
10,450 New York State Energy Research & Development
Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO,
AMBAC, 1.34%, 09/02/04 10,450
6,000 New York State Energy Research & Development
Authority, PCR, Orange & Rockland Project,
Ser. A, Rev., FRDO, FGIC, 1.27%, 09/01/04 6,000
11,650 New York State Environmental Facilities Corp.,
Clean Water & Drinking, FLOATS, PA-1165, Rev.,
FRDO, 1.34%, 09/02/04 11,650
45,015 New York State Environmental Facilities Corp.,
Clean Water & Drinking, FLOATS, Ser. 731, Rev.,
FRDO, 1.33%, 09/02/04 45,015
4,995 New York State Environmental Facilities Corp.,
PCR, FLOATS, Ser. PA-174, Rev., FRDO, MBIA,
1.34%, 09/02/04 4,995
11,180 New York State Environmental Facilities Corp.,
PCR, FLOATS, Ser. PA-198, Rev., FRDO, MBIA,
1.34%, 09/02/04 11,180
6,600 New York State Housing Finance Agency,
10 Liberty Street, Rev., FRDO, 1.32%, 09/01/04 6,600
16,100 New York State Housing Finance Agency, 345 East
94th Street Housing, Ser. A, Rev., FRDO, 1.30%,
09/01/04 16,100
16,700 New York State Housing Finance Agency, 360 West
43rd Street, Rev., FRDO, 1.31%, 09/01/04 16,700
10,300 New York State Housing Finance Agency, East 84th
Street, Ser. A, Rev., FRDO, 1.35%, 09/01/04 10,300
5,500 New York State Housing Finance Agency,
Kew Gardens Hills, Ser. A, Rev., FRDO, 1.34%,
09/01/04 5,500
</Table>
See notes to financial statements.
67
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 17,200 New York State Housing Finance Agency,
Multi-Family Housing, Ser. A, Rev., FRDO, 1.35%,
09/1/04 $ 17,200
7,100 New York State Housing Finance Agency,
Saville Housing, Ser. A, Rev., FRDO, 1.36%,
09/01/04 7,100
8,100 New York State Housing Finance Agency, Ser. A,
Rev., FRDO, 1.31%, 09/01/04 8,100
67,500 New York State Housing Finance Agency,
Tribeca Green Housing, Ser. A, Rev., FRDO,
1.30%, 9/1/04 67,500
14,900 New York State Housing Finance Agency,
West 23rd Street, Ser. A, Rev., FRDO, 1.30%,
09/01/04 14,900
17,400 New York State Housing Finance Agency,
West 38th Street, Ser. A, Rev., FRDO, 1.30%,
09/01/04 17,400
25,900 New York State Housing Finance Agency,
West 38th Street, Ser. A, Rev., FRDO, 1.30%,
09/01/04 25,900
1,300 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.34%,
09/02/04 1,300
9,000 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-72, Rev., 1.37%, 09/02/04 9,000
11,415 New York State Thruway Authority, FLOATS,
Ser. PA-532, Rev., GO, FRDO, 1.34%, 09/02/04 11,415
7,270 New York State Thruway Authority, Highway &
Bridge Trust Fund, FLOATS, Ser. PT-1425, Rev.,
FRDO, FGIC, 1.34%, 09/02/04 7,270
6,200 New York State Urban Development Corp.,
Floating Rate Trust Receipts, Ser. SG-163, Rev.,
1.34%, 09/02/04 6,200
5,245 New York State Urban Development Corp.,
FLOATS, Ser. PA-1108, Rev., FRDO, 1.34%, 09/02/04 5,245
7,240 New York State Urban Development Corp.,
FLOATS, Ser. PT-1644, Rev., FRDO, 1.34%, 09/02/04 7,240
5,700 New York State, Environmental Quality, Ser. G,
GO, FRDO, 1.03%, 10/01/04 5,700
4,200 New York State, Housing Finance Agency,
Saxony Housing, 240 E. 39th St. Housing, Rev.,
FRDO, 1.36%, 09/01/04 4,200
30,000 New York State, Local Government Assistance Corp.,
Ser. B, Rev., FRDO, 1.32%, 09/01/04 30,000
4,400 New York State, Local Government Assistance Corp.,
Ser. F, Rev., FRDO, 1.30%, 09/01/04 4,400
9,500 New York State, Ser. A, GO, FRDO, 1.05%, 10/7/04 9,500
13,100 Oneida Indian Nation, Rev., FRDO, 1.28%, 09/01/04 13,100
</Table>
See notes to financial statements.
68
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 15,355 Orange County IDA, Civic Facilities, Arden Hill
Hospital Project, Rev., FRDO, FSA, 1.30%, 09/09/04 $ 15,355
13,090 Port Authority of New York & New Jersey, Rev.,
FRDO, #, 1.32%, 09/08/04 13,090
22,000 Roosevelt Union Free School District, BAN,
2.63%, 06/23/05 22,173
12,080 Triborough Bridge & Tunnel Authority, FLOATS,
Ser. PA-1090, Rev., FRDO, MBIA-IBC, 1.34%,
09/02/04 12,080
595 Triborough Bridge & Tunnel Authority, FLOATS,
Ser. PT-2017, Rev., FRDO, MBIA, 1.34%, 09/02/04 595
10,000 Triborough Bridge & Tunnel Authority, General
Purpose, Ser. B, Rev., FRDO, 1.30%, 09/01/04 10,000
101,800 Triborough Bridge & Tunnel Authority, General
Purpose, Ser. C, Rev., FRDO, AMBAC, 1.28%,
09/01/04 101,800
9,935 Triborough Bridge & Tunnel Authority, Ser. 839,
Rev., FRDO, MBIA, 1.33%, 09/02/04 9,935
8,810 Triborough Bridge & Tunnel Authority, Special
Obligation, Ser. B, Rev., FRDO, FSA, 1.29%,
09/01/04 8,810
38,920 Triborough Bridge & Tunnel Authority, Special
Obligation, Ser. D, Rev., FRDO, FSA, 1.29%,
09/01/04 38,920
9,300 Westchester County IDA, IDR, Levister
Redevelopment Co., LLC, Ser. A, Rev., FRDO,
1.30%, 09/02/04 9,300
------------------
1,580,002
NORTH CAROLINA -- 3.4%
5,365 Brunswick County, Enterprise System, FLOATS,
Ser. PT-2235, Rev., FRDO, FSA, 1.36%, 10/01/04 5,365
15,350 Charlotte, North Carolina, Airport, Ser. D, Rev.,
FRDO, MBIA, 1.27%, 09/01/04 15,350
40,000 Charlotte-Mecklenberg Hospital Authority,
Health Care Systems, Ser. D, Rev., FRDO, 1.28%,
09/02/04 40,000
1,700 Durham, North Carolina, Water & Sewer Utility
Systems, Rev., FRDO, 1.35%, 09/01/04 1,700
8,800 Fayetteville Public Works Commission, Rev., FRDO,
FSA, 1.30%, 09/01/04 8,800
18,750 Fayetteville Public Works Commission, Ser. A, Rev.,
FRDO, FSA, 1.30%, 09/01/04 18,750
20,190 Greensboro, North Carolina, Enterprise Systems,
Ser. B, Rev., FRDO, 1.33%, 09/01/04 20,190
2,500 Greensboro, North Carolina, Enterprise Systems,
Ser. B, Rev., FRDO, 1.33%, 09/01/04 2,500
</Table>
See notes to financial statements.
69
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NORTH CAROLINA -- CONTINUED
$ 500 Guilford County Industrial Facilities & PCFA,
Industrial Development, Neal Manufacturing, Inc.,
Rev., FRDO, 1.38%, 09/02/04 $ 500
7,245 Halifax County Industrial Facilities & PCFA,
Exempt Facilities, LG&E, Roanoke, Rev., FRDO,
1.30%, 09/01/04 7,245
4,900 Iredell County Public Facilities Corp., Iredell County
Schools Project, Rev., FRDO, AMBAC, 1.32%,
09/02/04 4,900
5,000 Mecklenburg County, Ser. C, GO, FRDO, 1.30%,
09/01/04 5,000
22,445 Municipal Securities Trust Certificates, Ser. 2001-125,
Class A, GO, FRDO, #, 1.34%, 09/02/04 22,445
9,420 North Carolina Capital Facilities Finance Agency,
Goodwill Community Foundation Project, Rev.,
FRDO, 1.33%, 09/02/04 9,420
8,935 North Carolina Educational Facilities Finance Agency,
Elon College, Rev., FRDO, 1.28%, 09/01/04 8,935
4,975 North Carolina Housing Finance Agency, FLOATERS,
Ser. 2003-L44J, Regulation D, Rev., FRDO, 1.39%,
09/01/04 4,975
5,090 North Carolina Housing Finance Agency, FLOATS,
Ser. PT-465, 1.41%, 09/02/04 5,090
14,000 North Carolina Housing Finance Agency,
Home Ownership, Ser. 16-C, Rev., FRDO, 1.35%,
09/01/04 14,000
19,000 North Carolina Housing Finance Agency,
Home Ownership, Ser. 1998-TR-18C, Rev., FRDO,
1.35%, 09/01/04 19,000
56,730 North Carolina Medical Care Commission,
Baptist Hospitals Project, Rev., FRDO, 1.31%,
09/01/04 56,730
15,000 North Carolina Medical Care Commission,
Health Care Facilties, Union Regional Medical
Center Project, Ser. B, Rev., FRDO, 1.33%,
09/02/04 15,000
2,800 North Carolina Medical Care Commission, Hospital,
Lincoln Health Systems Project, Ser. A, Rev., FRDO,
1.33%, 09/02/04 2,800
2,700 North Carolina Medical Care Commission,
Hospital, Northeast Medical Center Project,
Ser. B, Rev., FRDO, 1.27%, 09/01/04 2,700
6,400 North Carolina Medical Care Commission,
Hospital, Pooled Equipment Financing Project,
Rev., FRDO, MBIA, 1.24%, 09/07/04 6,400
4,200 North Carolina Medical Care Commission,
Moses Cone Health System, Rev., FRDO, 1.30%,
09/02/04 4,200
</Table>
See notes to financial statements.
70
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NORTH CAROLINA -- CONTINUED
$ 34,360 North Carolina State University at Raleigh, Ser. B,
Rev., FRDO, 1.29%, 09/01/04 $ 34,360
8,575 North Carolina State, FLOATS, Ser. PT-2207, GO,
FRDO, 1.36%, 09/02/04 8,575
48,500 North Carolina State, Public Improvement, Ser. D,
GO, FRDO, 1.33%, 09/01/04 48,500
28,845 North Carolina State, Public Improvement, Ser. E,
GO, FRDO, 1.28%, 09/01/04 28,845
14,130 North Carolina State, Public Improvement, Ser. F,
GO, FRDO, 1.32%, 09/01/04 14,130
5,900 North Carolina State, Ser. D, GO, FRDO, 1.30%,
09/01/04 5,900
8,340 Raleigh Durham Airport Authority, Rev., FRDO,
FGIC, 1.32%, 09/01/04 8,340
15,000 Raleigh, North Carolina, COP, Downtown
Improvement Project, Ser. A, FRDO, 1.29%,
09/01/04 15,000
18,565 Union County, Enterprise Systems, Ser. B, Rev.,
FRDO, FSA, 1.27%, 09/01/04 18,565
2,400 University of North Carolina, Ser. C, Rev., FRDO,
1.29%, 09/01/04 2,400
5,000 Winston-Salem, North Carolina, Water & Sewer
Systems, Ser. B, Rev., FRDO, 1.31%, 09/01/04 5,000
------------------
491,610
NORTH DAKOTA -- 0.2%
8,300 Grand Forks, North Dakota, Health Care Facilities,
United Hospital Obligation Group, Ser. A, Rev.,
FRDO, 1.30%, 09/01/04 8,300
9,205 North Dakota State Housing Finance Agency,
Home Mortgage, Ser. B, Rev., FRDO, 1.34%,
09/01/04 9,205
10,500 North Dakota State Housing Finance Agency,
Housing Finance Program, Home Mortgage,
Ser. B, Rev., FRDO, 1.33%, 09/01/04 10,500
5,775 North Dakota State Housing Finance Agency,
Ser. II-R-140, Rev., FRDO, 1.42%, 09/02/04 5,775
------------------
33,780
OHIO -- 1.6%
6,370 Cincinnati City School District, Ser. RR-II-R-4049,
GO, FRDO, FSA, 1.38%, 09/02/04 6,370
37,500 Cleveland, Ohio, Waterworks, Ser. M, Rev., FRDO,
FSA, 1.28%, 09/02/04 37,500
3,155 Columbus, Ohio, Ser. 1, GO, FRDO, 1.28%, 09/02/04 3,155
37,500 Cuyahoga County, 1.35%, 01/11/05 37,500
8,000 Franklin County, Franklin County Hospital,
Ser. II-R-55, Rev., FRDO, 1.38%, 09/02/04 8,000
7,300 Franklin County, Hospital, OhioHealth Corp.,
Ser. D, Rev., FRDO, 1.31%, 09/01/04 7,300
</Table>
See notes to financial statements.
71
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
OHIO -- CONTINUED
$ 3,920 Greene County, Fairview Extended, Ser. B,
Rev., FRDO, 1.34%, 09/02/04 $ 3,920
9,000 Hamilton County, Healthcare Facilties,
Twin Towers & Twin Lakes, Ser. A, Rev., FRDO,
1.34%, 09/03/04 9,000
14,000 Hamilton County, Healthcare Facilties,
Twin Towers & Twin Lakes, Ser. B, Rev., FRDO,
1.35%, 09/03/04 14,000
14,696 Hamilton County, Hospital Facilities, Health Alliance,
Ser. A, Rev., FRDO, MBIA, 1.27%, 09/01/04 14,696
4,100 Hamilton County, Hospital Facilities, Health Alliance,
Ser. E, Rev., FRDO, MBIA, 1.27%, 09/01/04 4,100
600 Lorain County, Hospital, FLOATS, Ser. PA-892,
Rev., FRDO, 1.37%, 09/02/04 600
5,890 Municipal Securities Trust Certificates, Ser. 9047,
Class A, Rev., FRDO, AMBAC, #, 1.41%, 09/01/04 5,890
11,100 Ohio State Air Quality Development Authority,
JMG Funding LTD Partnership, Ser. B, Rev., FRDO,
1.43%, 09/01/04 11,100
14,000 Ohio State Air Quality Development Authority,
JMG Funding LTD Partnership, Ser. B, Rev., FRDO,
1.43%, 09/01/04 14,000
8,975 Ohio State Building Authority, Floating Rate Trust
Receipts, Ser. L-41, Regulation D, Rev., FRDO,
1.39%, 09/01/04 8,975
4,995 Ohio State Turnpike Commission, Ser. II-R-51,
Rev., FRDO, FGIC, 1.37%, 09/02/04 4,995
10,200 Ohio State Water Development Authority,
Multi-Modal, Rev., FRDO, 1.32%, 09/01/04 10,200
6,000 Ohio State Water Development Authority,
Pollution Control Facilities, Cleveland, Ser. A,
Rev., FRDO, 1.30%, 09/01/04 6,000
3,750 Ohio State Water Development Authority,
Pollution Control Facilities, Toledo Ser. A, Rev.,
FRDO, 1.30%, 09/01/04 3,750
15,790 Ohio State, FLOATS, Ser. PT-2200, 1.65%, 02/01/05 15,790
200 Ohio State, Higher Education Facilities,
Case Western Reserve, Ser. A, Rev., FRDO,
1.30%, 09/01/04 200
7,755 Ohio State, Ser. RR II-R-208, GO, FRDO, FSA,
1.37%, 09/02/04 7,755
------------------
234,796
OKLAHOMA -- 0.2%
3,875 Oklahoma Housing Finance Agency, Single Family
Mortgage, FLOATS, Ser. PT-493, Rev., FRDO,
1.41%, 09/02/04 3,875
</Table>
See notes to financial statements.
72
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
OKLAHOMA -- CONTINUED
$ 9,900 Payne County Economic Development Authority,
Student Housing, OSUF Phase III Project, Rev.,
FRDO, AMBAC, 1.34%, 09/02/04 $ 9,900
10,490 Tulsa County Home Finance Authority,
Multi-Family Housing, Waterford Apartments
Project, Rev., FRDO, 1.33%, 09/02/04 10,490
2,710 Tulsa County Home Finance Authority,
Single Family Mortgage, FLOATS, Ser. PT-644,
Rev., FRDO, 1.41%, 09/02/04 2,710
6,500 Tulsa Industrial Authority, Justin Industries Project,
Rev., FRDO, 1.33%, 09/02/04 6,500
------------------
33,475
OREGON -- 0.4%
25,000 Oregon Health & Science University,
OHSU Medical Group Project, Ser. A, Rev.,
FRDO, 1.36%, 09/01/04 25,000
5,185 Oregon State Department of Administrative
Services, State Lottery, FLOATS, Ser. PT-1394,
Rev., FRDO, FSA, 1.36%, 09/02/04 5,185
8,070 Oregon State Housing & Community Services
Department, Department of Housing and
Development, Covenant Retirement, Ser. A,
Rev., FRDO, 1.41%, 09/02/04 8,070
7,500 Oregon State Housing & Community Services
Department, Single Family Mortgage Program,
Ser. F, Rev., FRDO, 1.21%, 05/05/05 7,500
4,625 Oregon State Housing & Community Services
Department, Single Family Mortgage Program,
Ser. N, Rev., FRDO, 1.25%, 07/01/05 4,625
5,000 Oregon State Housing & Community Services
Department, Single-Family Mortgage Program,
Ser. L, Rev., FRDO, 1.38%, 09/01/04 5,000
1,655 Oregon State, Floating Rate Trust Receipts,
Ser. A-18, Regulation D, 1.42%, 09/01/04 1,655
------------------
57,035
PENNSYLVANIA -- 4.4%
6,745 Allegheny County Hospital Development Authority,
FLOATS, Ser. PA-748, Rev., FRDO, MBIA, 1.37%,
09/02/04 6,745
8,705 Berks County IDA, Health Care-Lutheran Services,
Ser. A, Rev., FRDO, AMBAC, 1.33%, 09/01/04 8,705
14,475 Bucks County IDA, Law School Admission Council,
Rev., FRDO, 1.34%, 09/08/04 14,475
4,530 Chester County Health & Educational Facilties
Authority, Barclay Friends Project, Ser. B, Rev.,
FRDO, 1.31%, 09/01/04 4,530
8,300 Clarion County IDA, Energy Development,
Piney Creek Project, Rev., FRDO, 1.32%, 09/01/04 8,300
</Table>
See notes to financial statements.
73
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PENNSYLVANIA -- CONTINUED
$ 7,355 Delaware Valley Regioinal Financial Authority,
Local Government, FLOATS, Ser. PT-1878, Rev.,
FRDO, AMBAC, 1.34%, 09/07/04 $ 7,355
35,580 Delaware Valley Regioinal Financial Authority,
Local Government, FLOATS, Ser. PT-992, Rev.,
FRDO, AMBAC, 1.34%, 09/02/04 35,580
12,495 Delaware Valley Regional Financial Authority,
Local Government, FLOATS, Ser. PA-1028, Rev.,
FRDO, 1.37%, 09/02/04 12,495
26,995 Delaware Valley Regional Financial Authority,
Local Government, FLOATS, Ser. PA-1041, Rev.,
FRDO, 1.37%, 09/02/04 26,995
13,815 Delaware Valley Regional Financial Authority,
Local Government, FLOATS, Ser. PT-749, Rev.,
FRDO, 1.65%, 09/02/04 13,815
5,000 Delaware Valley Regional Financial Authority,
Local Government, Ser. A, Rev., FRDO, 1.30%,
09/01/04 5,000
2,700 Delaware Valley Regional Financial Authority,
Local Government, Ser. A, Rev., FRDO, 1.31%,
09/01/04 2,700
6,400 Delaware Valley Regional Financial Authority,
Local Government, Ser. A, Rev., FRDO, 1.31%,
09/01/04 6,400
700 Delaware Valley Regional Financial Authority,
Local Government, Ser. B, Rev., FRDO, 1.31%,
09/01/04 700
14,400 Delaware Valley Regional Financial Authority,
Local Government, Ser. D, Rev., FRDO, 1.30%,
09/01/04 14,400
5,900 Eagle Tax Exempt Trust, Weekly Option Mode,
Class A, FRDO, #, 1.38%, 09/02/04 5,900
11,600 Emmaus General Authority, Pennsylvania Loan
Project, Ser. A, Rev., FRDO, FSA, 1.35%, 09/02/04 11,600
35,000 Emmaus General Authority, Rev., FRDO, FSA, (p),
1.32%, 09/01/04 35,000
5,000 Harrisburg Authority, Water, Ser. A, Rev., FRDO,
FGIC, 1.36%, 09/02/04 5,000
9,810 Montgomery County Redevelopment Authority,
Multi-Family Housing, Brookside Manor
Apartments Project, Ser. A, Rev., FRDO, 1.30%,
09/02/04 9,810
10,000 Montgomery County Redevelopment Authority,
Multi-Family Housing, Kingswood Apartments
Project, Ser. A, Rev., FRDO, 1.27%, 09/02/04 10,000
13,330 North Penn Water Authority, Municipal Securities
Trust Receipts, Ser. SGA-30, Rev., FRDO, FGIC,
1.36%, 09/01/04 13,330
</Table>
See notes to financial statements.
74
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PENNSYLVANIA -- CONTINUED
$ 7,600 Pennsylvania Convention Center Authority, FLOATS,
Ser. PT-1224, Rev., FRDO, FGIC, 1.34%, 09/02/04 $ 7,600
4,410 Pennsylvania Energy Development Authority,
B&W Ebensburg Project, Rev., FRDO, 1.32%,
09/01/04 4,410
5,600 Pennsylvania Higher Education Assistance Agency,
Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.33%,
09/01/04 5,600
19,800 Pennsylvania Higher Education Assistance Agency,
Student Loan, Ser. C, Rev., FRDO, AMBAC, 1.33%,
09/01/04 19,800
9,630 Pennsylvania Intergovernmental Cooperative
Authority, Floating Rate Receipts, Ser. SG-67,
Rev., FRDO, FGIC, 1.34%, 09/02/04 9,630
35,100 Pennsylvania State Higher Education Assistance
Agency, Student Loan, Ser. A, Rev., FRDO,
AMBAC, 1.33%, 09/01/04 35,100
12,300 Pennsylvania Turnpike Commission, Ser. A-3, Rev.,
FRDO, 1.33%, 09/01/04 12,300
8,100 Pennsylvania Turnpike Commission, Ser. B, Rev.,
FRDO, 1.31%, 09/02/04 8,100
25,000 Philadelphia School District, GO, TRAN, 3.00%,
06/30/05 25,283
340 Philadelphia, Pennsylvania, Gas Works, FLOATS,
Ser. PA-1144, Rev., FRDO, FSA, 1.34%, 09/02/04 340
187,170 Philadelphia, Pennsylvania, GO, TRAN, 3.00%,
06/30/05 189,296
2,995 Philadelphia, Pennsylvania, Water & Wastewater
Systems, Floating Rate Receipts, Ser. SG-158,
Rev., FRDO, FGIC, 1.34%, 09/02/04 2,995
6,170 Philadelphia, Pennsylvania, Water & Wastewater
Systems, Floating Rate Trust Receipts, Ser. L-16,
Regulation D, Rev., FRDO, FGIC, 1.34%, 09/01/04 6,170
10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts,
Ser. SG-71, 1.34%, 09/02/04 10,905
945 Sayre Health Care Facilities Authority, Capital
Financing Project, Ser. F, Rev., FRDO, AMBAC,
1.32%, 09/08/04 945
10,000 Sayre Health Care Facilities Authority,
Pennsylvania Capital Financing Project, Ser. M,
Rev., FRDO, AMBAC, 1.34%, 09/01/04 10,000
10,000 Southcentral General Authority, Rev., FRDO,
AMBAC, 1.37%, 09/02/04 10,000
7,500 University of Pittsburgh, Commonwealth System
of Higher Education, University Capital Project,
Ser B., Rev., FRDO, 1.30%, 09/01/04 7,500
</Table>
See notes to financial statements.
75
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PENNSYLVANIA -- CONTINUED
$ 7,500 University of Pittsburgh, Commonwealth System
of Higher Education, University Capital Project,
Ser B., Rev., FRDO, 1.30%, 09/01/04 $ 7,500
3,700 York General Authority, Pooled Financing,
Harrisburg Parking Facilities Improvements,
Sub Ser. 96-C, Rev., FRDO, FSA, 1.32%, 09/02/04 3,700
------------------
636,009
PUERTO RICO -- 1.9%
19,956 Puerto Rico Commonwealth, 1.10%, 09/01/04 19,956
13,812 Puerto Rico Commonwealth, 1.10%, 09/08/04 13,812
21,800 Puerto Rico Commonwealth, 1.17%, 10/08/04 21,800
30,700 Puerto Rico Commonwealth, 1.20%, 10/13/04 30,700
26,407 Puerto Rico Commonwealth, 1.25%, 10/18/04 26,407
20,775 Puerto Rico Commonwealth, 1.30%, 12/01/04 20,775
7,995 Puerto Rico Commonwealth, FLOATER, Ser. 838,
GO, FRDO, MBIA, 1.31%, 09/02/04 7,995
11,440 Puerto Rico Commonwealth, FLOATS, Ser. PA-1229,
Class R, GO, FRDO, MBIA-IBC, 1.31%, 09/02/04 11,440
3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625,
GO, FRDO, AMBAC, 1.31%, 09/02/04 3,315
800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226,
1.31%, 09/02/04 800
20,000 Puerto Rico Commonwealth, GO, FRDO, FSA, #,
1.35%, 12/02/04 20,000
650 Puerto Rico Commonwealth, Trust Receipts, Ser. 3,
Class F, GO, FRDO, MBIA, 1.32%, 09/02/04 650
16,767 Puerto Rico Government Development Bank,
0.98%, 09/10/04 16,767
19,527 Puerto Rico Government Development Bank,
0.99%, 09/01/04 19,527
14,000 Puerto Rico Government Development Bank,
1.05%, 09/16/04 14,000
4,900 Puerto Rico Government Development Bank, Rev.,
FRDO, MBIA, 1.25%, 09/01/04 4,900
18,059 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 1.32%,
09/02/04 18,059
600 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. PA-472, Rev., FRDO, FSA, 1.31%,
09/02/04 600
14,000 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. PT-776, Rev., FRDO, FGIC, 1.13%,
01/01/05 14,000
1,330 Puerto Rico Highway & Transportation Authority,
Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA,
1.31%, 09/02/04 1,330
1,700 TICS/TOCS Trust, Commonwealth of Puerto Rico,
Ser. 2001-2, GO, FRDO, FSA, 1.31%, 09/02/04 1,700
------------------
268,533
</Table>
See notes to financial statements.
76
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
RHODE ISLAND -- 0.9%
$ 38,300 Narragansett Bay Commission, Wastewater System,
Ser. A, Rev., FRDO, MBIA, 1.30%, 09/01/04 $ 38,300
5,870 Rhode Island Clean Water Finance Agency, PCR,
FLOATS, Ser. PT-1535, Rev., FRDO, 1.36%, 09/07/04 5,870
3,725 Rhode Island Health & Educational Building Corp.,
FLOATS, Ser. PT-2253, Rev., 1.36%, 09/02/04 3,725
8,000 Rhode Island Health & Educational Building Corp.,
Higher Education Facilities, Brown University,
Ser. B, Rev., FRDO, 1.33%, 09/02/04 8,000
300 Rhode Island Health & Educational Building Corp.,
Hospital Financing Care New England, Ser. A,
Rev., FRDO, 1.26%, 09/03/04 300
10,000 Rhode Island Health & Educational Building Corp.,
Hospital Financing, Newport Hospital, Rev.,
FRDO, 1.32%, 09/01/04 10,000
4,565 Rhode Island Health & Educational Building Corp.,
Moses Brown School Issue, Rev., FRDO, MBIA,
1.37%, 09/03/04 4,565
15,000 Rhode Island Health & Educational Building Corp.,
St. George's School, Rev., FRDO, 1.32%, 09/01/04 15,000
15,290 Rhode Island Housing & Mortgage Finance Corp.,
Home Ownership Opportunity Notes, Ser. 38-B,
Rev., 5.00%, 09/01/04 15,290
5,900 Rhode Island Industrial Facilities Corp.,
Marine Terminal, Exxon-Mobil Project, Rev.,
FRDO, 1.27%, 9/2/04 5,900
13,635 Rhode Island State & Providence Plantations,
Consolidated Capital Development Loan, Ser. B,
GO, FRDO, 1.32%, 09/01/04 13,635
8,435 Rhode Island State, COP, FLOATS, Ser. PT-1589,
FRDO, MBIA, 1.36%, 09/02/04 8,435
------------------
129,020
SOUTH CAROLINA -- 1.2%
11,335 ABN AMRO Munitops Certificate Trust,
Ser. 2004-27, Rev., FRDO, FGIC, 1.33%, 10/20/04 11,335
11,000 Charleston, South Carolina, Waterworks & Sewer,
Refinancing & Capital Improvement, Ser. A, Rev.,
FRDO, 1.34%, 09/02/04 11,000
3,000 Cherokee County, IDB, Oshkosh Truck Project, Rev.,
FRDO, 1.43%, 09/01/04 3,000
7,475 North Charleston, South Carolina, Tax Increment,
Noisette Community Redevelopment Project,
Rev., FRDO, 1.35%, 09/01/04 7,475
10,100 Piedmont Municipal Power Agency, Electric,
Ser. C, Rev., FRDO, MBIA, 1.28%, 09/01/04 10,100
15,400 Piedmont Municipal Power Agency, Electric,
Sub Ser. B-4, Rev, FRDO, FGIC, 1.30%, 09/01/04 15,400
</Table>
See notes to financial statements.
77
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
SOUTH CAROLINA -- CONTINUED
$ 10,000 Piedmont Municipal Power Agency, Electric,
Sub Ser. B-5, Rev., FRDO, MBIA, 1.28%, 09/01/04 $ 10,000
19,600 Piedmont Municipal Power Agency, Electric,
Sub Ser. B-6, Rev., FRDO, MBIA, 1.32%, 09/01/04 19,600
12,075 South Carolina Association of Governmental
Organizations, 2.75%, 04/15/05 12,165
1,700 South Carolina Jobs & Economic Development
Authority, Concept Packaging Group Project,
Rev., FRDO, 1.43%, 09/02/04 1,700
3,155 South Carolina Jobs & Economic Development
Authority, South Carolina Catholic Diocese
Project, Rev., FRDO, 1.37%, 09/02/04 3,155
4,600 South Carolina Jobs & Economic Development
Authority, Specialty Minerals Project, Rev.,
FRDO, 1.43%, 09/01/04 4,600
2,950 South Carolina Jobs & Economic Development
Authority, Valley Proteins, Inc. Project, Rev.,
FRDO, 1.39%, 09/02/04 2,950
5,870 South Carolina Jobs-Economic Development
Authority, Thompson Steel Co., Inc. Project,
Rev., FRDO, 1.37%, 09/01/04 5,870
5,280 South Carolina State Public Service Authority,
FLOATS, Ser. PT-1525, Rev., FRDO, FSA, 1.36%,
09/01/04 5,280
6,000 South Carolina State, FLOATS, Ser. PT-1225, FRDO,
1.34%, 09/02/04 6,000
3,030 South Carolina State, FLOATS, Ser. PT-423, 1.36%,
09/07/04 3,030
17,125 South Carolina Transportation Infrastructure Bank,
FLOATS, Ser. 892, Rev., FRDO, AMBAC, 1.35%,
09/02/04 17,125
22,000 Spartanburg County School District No. 1, GO,
BAN, 2.25%, 05/12/05 22,117
------------------
171,902
SOUTH DAKOTA -- 0.3%
4,710 South Dakota Economic Development Finance
Authority, Hastings Filters, Inc. Project, Rev.,
FRDO, 1.40%, 09/02/04 4,710
10,500 South Dakota Housing Development Authority,
Home Ownership Mortgage, Ser. C-1, Rev.,
FRDO, 1.28%, 09/02/04 10,500
9,890 South Dakota Housing Development Authority,
Home Ownership Mortgage, Ser. D, Rev., FRDO,
1.27%, 09/01/04 9,890
5,000 South Dakota Housing Development Authority,
Home Ownership Mortgage, Ser. F, Rev., FRDO,
1.33%, 09/02/04 5,000
</Table>
See notes to financial statements.
78
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
SOUTH DAKOTA -- CONTINUED
$ 6,505 South Dakota Housing Development Authority,
Single Family Housing, FLOATS, Ser. PT-957,
1.42%, 09/02/04 $ 6,505
------------------
36,605
TENNESSEE -- 2.9%
5,000 ABN-AMRO Munitops Certificate Trust,
Ser. 2002-25, GO, FRDO, MBIA, 1.35%, 11/10/04 5,000
2,200 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-1-B, Rev., FRDO, AMBAC, 1.36%, 09/03/04 2,200
2,100 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-1-D, Rev., FRDO, AMBAC, 1.27%, 09/01/04 2,100
2,600 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-1-E, Rev., FRDO, AMBAC, 1.36%, 09/03/04 2,600
2,980 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-1-F, Rev., FRDO, AMBAC, 1.27%, 09/01/04 2,980
8,000 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-2-E, Rev., FRDO, AMBAC, 1.27%, 09/01/04 8,000
3,560 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-2-F, Rev., FRDO, AMBAC, 1.36%, 09/01/04 3,560
3,000 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-2-H, Rev., FRDO, AMBAC, 1.27%, 09/01/04 3,000
4,200 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-2C, Rev., FRDO, AMBAC, 1.27%, 09/01/04 4,200
5,400 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-8A, Rev., FRDO, AMBAC, 1.33%, 09/02/04 5,400
2,700 Blount County Public Building Authority,
Local Government Public Improvement,
Ser. A-8B, Rev., FRDO, AMBAC, 1.33%, 09/02/04 2,700
30,450 Bristol Health & Educational Facilities Board,
Floating Trust, Ser. 2003-L42J, Regulation D,
Rev., FRDO, FGIC, 1.37%, 09/01/04 30,450
17,090 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Fund, Rev.,
FRDO, 1.33%, 09/02/04 17,090
68,600 Clarksville Public Building Authority, Pooled
Financing, Tennessee Municipal Bond Trust, Rev.,
FRDO, 1.26%, 09/01/04 68,600
3,000 Jackson IDB, Solid Waste Disposal, Florida Steel Corp.
Project, Rev., FRDO, 1.38%, 09/02/04 3,000
</Table>
See notes to financial statements.
79
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TENNESSEE -- CONTINUED
$ 12,995 Johnson City Health & Educational Facilities Board,
FLOATS, Ser. PT-922, Rev., FRDO, 1.40%, 09/02/04 $ 12,995
19,450 Knox County Health Educational & Housing
Facilities Board, Volunteer Student Housing
Project, Rev., FRDO, 1.32%, 09/02/04 19,450
31,475 Knoxville Utilities Board, Electric Systems, Rev.,
FRDO, FSA, 1.26%, 09/01/04 31,475
100 Knoxville Utilities Board, Wastewater Systems,
Rev., FRDO, FSA, 1.26%, 09/01/04 100
13,000 Knoxville Utilities Board, Water Systems, Rev.,
FRDO, FSA, 1.26%, 09/01/04 13,000
4,590 Knoxville, Tennessee, Utilities Board, Gas Systems,
Rev., FRDO, 1.35%, 09/02/04 4,590
20,000 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board,
Ascension Health Credit, Ser. B-2, Rev., FRDO,
1.20%, 01/04/05 20,000
13,800 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board,
Belmont University Project, Rev., FRDO, 1.33%,
09/01/04 13,800
475 Metropolitan Government Nashville & Davidson
County Health & Educational Facility Board,
Vanderbilt University, Ser. B, Rev., FRDO, 1.25%,
09/01/04 475
2,500 Metropolitan Government Nashville & Davidson
County IDB, Country Music Hall of Fame, Rev.,
FRDO, 1.33%, 09/02/04 2,500
3,240 Metropolitan Government Nashville & Davidson
County IDB, L&S LLC Project, Rev., FRDO, 1.43%,
09/02/04 3,240
2,455 Metropolitan Government Nashville & Davidson
County, Energy, FLOATS, Ser. PT-1526, Rev.,
FRDO, AMBAC, 1.38%, 09/02/04 2,455
6,995 Metropolitan Government Nashville & Davidson
County, FLOATS, Ser. PT-394, GO, FRDO, 1.37%,
09/02/04 6,995
15,000 Metropolitan Government Nashville & Davidson
County, Health & Educational Facility Board,
Vanderbilt University, Ser. B, Rev., FRDO, 1.28%,
09/02/04 15,000
18,500 Montgomery County Public Building Authority,
Pooled Financing, County Loan Pool, Rev., FRDO,
1.37%, 09/02/04 18,500
4,900 Montgomery County Public Building Authority,
Pooled Financing, Montgomery County Loan Pool,
Rev., FRDO, 1.32%, 09/02/04 4,900
</Table>
See notes to financial statements.
80
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TENNESSEE -- CONTINUED
$ 39,760 Montgomery County Public Building Authority,
Pooled Financing, Tennesse County Loan Pool,
Rev., FRDO, 1.37%, 09/01/04 $ 39,760
1,500 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. II-A-1, Rev., FRDO, AMBAC, 1.33%, 09/02/04 1,500
2,500 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. II-A-2, Rev., FRDO, AMBAC, 1.34%, 09/02/04 2,500
6,000 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. II-C-2, Rev., FRDO, AMBAC, 1.33%, 09/02/04 6,000
950 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. II-D-3, Rev., FRDO, AMBAC, 1.34%, 09/02/04 950
3,100 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. III-B-3, Rev., FRDO, AMBAC, 1.33%, 09/02/04 3,100
6,800 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. III-C-5, Rev., FRDO, AMBAC, 1.33%, 09/02/04 6,800
1,600 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. III-D-3, Rev., FRDO, AMBAC, 1.33%, 09/02/04 1,600
2,500 Sevier County Public Building Authority,
Local Government Public Improvement,
Ser. III-E-3, Rev., FRDO, AMBAC, 1.33%, 09/02/04 2,500
19,800 Shelby County, 1.14%, 09/29/04 19,800
5,155 Shelby County Health, Educational & Housing
Facilities Board, Rhodes College, Rev., FRDO,
1.32%, 09/02/04 5,155
400 South Pittsburg IDB, Lodge Manufacturing Co.
Project, Rev., FRDO, 1.40%, 09/01/04 400
------------------
420,420
TEXAS -- 11.1%
31,495 ABN AMRO Munitops Certificate Trust,
Ser. 1999-6, FRDO, #, 1.37%, 09/01/04 31,495
10,000 ABN AMRO Munitops Certificate Trust,
Ser. 1999-9, FRDO, #, 1.39%, 09/01/04 10,000
13,280 ABN AMRO Munitops Certificate Trust,
Ser. 2000-10, FRDO, MBIA, 1.37%, 09/01/04 13,280
14,990 ABN AMRO Munitops Certificate Trust,
Ser. 2000-11, FRDO, 1.43%, 09/01/04 14,990
16,685 ABN AMRO Munitops Certificate Trust,
Ser. 2000-13, Class C, FRDO, 1.37%, 09/01/04 16,685
8,000 ABN AMRO Munitops Certificate Trust,
Ser. 2001-26, GO, FRDO, 1.37%, 09/01/04 8,000
</Table>
See notes to financial statements.
81
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 5,500 ABN AMRO Munitops Certificate Trust,
Ser. 2002-16, GO, FRDO, 1.37%, 09/01/04 $ 5,500
35,800 Aldine Independent School District,
School Buildings, GO, FRDO, 1.73%, 06/15/05 35,800
2,900 Angelina & Neches River Authority, IDB,
Solid Waste, Ser. 1984-D, Rev., FRDO, 1.35%,
09/01/04 2,900
5,000 Austin, Texas, Electric Utilities System,
Ser. 2003-0032, Class A, Rev., FRDO, MBIA,
1.38%, 09/02/04 5,000
9,230 Austin, Texas, Ser. A-26, Rev., FRDO, MBIA, 1.30%,
11/10/04 9,230
995 Bexar County Health Facilities Development Corp.,
FLOATS, Ser. PT-444, Rev., FRDO, 1.36%, 09/02/04 995
9,100 Bexar County Housing Finance Authority,
Multi-Family Housing, Altamonte Apartment
Projects, Rev., FRDO, 1.30%, 09/01/04 9,100
11,375 Bexar County Housing Finance Authority,
Multi-Family Housing, Fountainhead Apartments,
Rev., FRDO, 1.32%, 09/01/04 11,375
2,600 Bowie County Industrial Development Corp., IDR,
Texarkana Newspapers, Inc., Rev., FRDO, 1.30%,
09/01/04 2,600
6,600 Brazos River Authority, FLOATS, Ser. PT-679, Rev.,
FRDO, MBIA, 1.36%, 09/07/04 6,600
4,600 Brazos River Authority, PCR, Ser. D-1, Rev., FRDO,
1.40%, 09/01/04 4,600
4,200 Brazos River Habor Navigation District,
Brazoria County Environmental, Merey Sweeny
LP Project, Ser. A, Rev., FRDO, 1.29%, 09/01/04 4,200
2,800 Brownsville, Texas, Utilities Systems, Sub Lien,
Ser. B, Rev., FRDO, MBIA, 1.32%, 09/01/04 2,800
20,700 Calhoun County, IDA, Formosa Plastics Corp.
Project, Rev., FRDO, 1.35%, 09/01/04 20,700
8,719 Collin County Housing Finance Corp.,
Multi-Family Housing, Preston Bend Apartments
Project, Rev., FRDO, 1.32%, 09/01/04 8,719
20,605 Crawford Education Facilities Corp., Higher
Education, Southwestern University Project,
Ser. B, Rev., FRDO, 1.28%, 09/02/04 20,605
5,000 Dallas-Fort Worth International Airport Facilities
Improvement Corp., Flight Safety Project, Rev.,
FRDO, 1.37%, 09/02/04 5,000
4,995 Dallas-Fort Worth International Airport Facilities
Improvement Corp., FLOATS, Ser. PT-805, Rev.,
FRDO, FSA, 1.65%, 09/02/04 4,995
200 Dallas-Fort Worth Regional Airport, Municipal
Securities Trust Receipts, Ser. SGA-49, FRDO,
MBIA, 1.38%, 09/02/04 200
</Table>
See notes to financial statements.
82
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 5,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Class A, #, 1.38%, 09/02/04 $ 5,000
10,475 Eagle Tax Exempt Trust, Weekly Option Mode,
Round Rock, Texas, COP, Ser. 2001-4304, Class A,
1.38%, 09/02/04 10,475
2,420 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 3C-7, Class A, FRDO, #, 1.38%, 09/02/04 2,420
10,000 Garland, Texas, 1.00%, 10/12/04 10,000
5,000 Greater East Texas Higher Education Authority,
Ser. B, Rev., FRDO, 1.36%, 09/02/04 5,000
13,250 Greater Texas Student Loan Corp., Ser. A, Rev.,
FRDO, 1.35%, 09/02/04 13,250
25,000 Greater Texas Student Loan Corp., Ser. A, Rev.,
FRDO, 1.36%, 09/02/04 25,000
4,000 Gulf Coast IDA, Tax Exempt Facilties, BP Global
Power Corp. Project, Rev., FRDO, 1.29%, 09/01/04 4,000
4,500 Gulf Coast Waste Disposal Authority, Amoco Oil Co.
Project, Rev., FRDO, 1.29%, 09/01/04 4,500
3,100 Gulf Coast Waste Disposal Authority,
Environmental Facilities, BP Amoco Chemicals
Project, Ser. B, Rev., FRDO, 1.39%, 09/02/04 3,100
4,900 Gulf Coast Waste Disposal Authority,
Environmental Facilities, ExxonMobil Project,
Ser. B, Rev., FRDO, 1.27%, 09/01/04 4,900
5,000 Harlandale Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-100, GO, FRDO,
1.40%, 09/01/04 5,000
19,328 Harris County, 1.32%, 09/21/04 19,328
30,370 Harris County, 1.32%, 09/21/04 30,370
25,000 Harris County Industrial Development Corp.,
Solid Waste Disposal, Deer Park Refining, Ser. A,
Rev., FRDO, 1.40%, 09/01/04 25,000
2,905 Harris County, Ser. RR-II-R-1029, Rev., FRDO, FSA,
1.37%, 09/02/04 2,905
6,400 Hays Memorial Health Facilities Development Corp.,
Central Texas Medical Center Project, Ser. A, Rev.,
FRDO, 1.32%, 09/02/04 6,400
29,245 Houston Higher Education Finance Corp.,
Floating Rate Receipts, Ser. SG-139, Rev., FRDO,
1.36%, 09/02/04 29,245
1,060 Houston Housing Finance Corp., Single Family
Mortgage, FLOATS, Ser. PT-1, Rev., FRDO, FSA,
1.36%, 09/02/04 1,060
55,000 Houston Independent School District, School House,
GO, FRDO, 1.62%, 06/09/05 54,972
10,000 Houston, Texas, 1.18%, 11/10/04 10,000
6,400 Houston, Texas, 1.20%, 11/01/04 6,400
20,000 Houston, Texas, Airport, 1.13%, 10/14/04 20,000
</Table>
See notes to financial statements.
83
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 17,500 Houston, Texas, Airport Systems, Floating Rate
Receipts, Ser. SG-149, Rev., FRDO, FSA, 1.38%,
9/2/04 $ 17,500
17,705 Houston, Texas, Floating Rate Certificates, COP,
Ser. 523, FRDO, MBIA, 1.36%, 09/02/04 17,705
4,335 Houston, Texas, FLOATS, Ser. PT-781, GO, FRDO,
FSA, 1.36%, 09/02/04 4,335
3,000 Houston, Texas, Rev., FRDO, 1.38%, 09/02/04 3,000
9,740 Houston, Texas, Ser. 29, GO, FRDO, MBIA, 1.36%,
09/02/04 9,740
5,465 Houston, Texas, Water & Sewer System, Ser. 60,
Rev., FRDO, FGIC, 1.36%, 09/02/04 5,465
11,270 Hurst-Euless-Bedford Independent School District,
Floating Rate Receipts, Ser. SG-98, GO, FRDO,
1.36%, 09/02/04 11,270
39,000 Katy Independent School District, CSH Building,
Ser. C, GO, FRDO, 1.31%, 09/02/04 39,000
6,500 Keller Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-111, GO, FRDO,
1.30%, 09/01/04 6,500
8,000 Lamar Consolidated Independent School District,
School House, GO, FRDO, 1.75%, 09/09/04 8,000
19,425 Lower Colorado River Authority, FLOATS,
Ser. PA-590, Rev., FRDO, FSA, #, 1.38%, 09/02/04 19,425
16,550 Lower Colorado River Authority, FLOATS,
Ser. PT-2270, Rev., FRDO, 1.36%, 09/02/04 16,550
9,840 Lower Colorado River Authority, Transmission
Contract, Ser. 51, Rev., FRDO, FSA, 1.36%, 9/2/04 9,840
2,500 Lower Neches Valley Authority Industrial
Development Corp., Exempt Facilities,
ExxonMobil Project, Ser. A-2, Rev., FRDO, 1.22%,
09/01/04 2,500
3,400 Lower Neches Valley Authority Industrial
Development Corp., Onyx Environmental Services,
Rev., FRDO, 1.37%, 09/02/04 3,400
5,455 Mansfield Independent School District, Municipal
Securities Trust Receipts, Ser. SGA-129, GO, FRDO,
1.40%, 09/01/04 5,455
5,290 Mission Consolidated Independent School District,
Municipal Securities Trust Receipts, Ser. SGA-105,
GO, FRDO, 1.36%, 09/01/04 5,290
17,050 New Caney Independent School District, Floating
Rate Certificates, Ser. SG-142, GO, FRDO, 1.36%,
09/02/04 17,050
7,875 North Central Texas Health Facility Development
Corp., FLOATS, Ser. PT-1411, Rev., FRDO, AMBAC,
1.36%, 09/02/04 7,875
</Table>
See notes to financial statements.
84
<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, 1.36%,
09/02/04 $ 20,000
16,840 North Texas Higher Education Authority, Student
Loan, Ser. A, Rev., FRDO, 1.35%, 09/01/04 16,840
40,000 North Texas Higher Education Authority, Student
Loan, Ser. A, Rev., FRDO, 1.35%, 09/01/04 40,000
20,000 North Texas Tollway Authority, Floating Rate
Receipts, Ser. SG-168, Rev., FRDO, AMBAC,
1.36%, 09/02/04 20,000
3,300 Panhandle-Plains Higher Education Authority, Inc.,
Student Loan, Ser. B, Rev., FRDO, MBIA, 1.32%,
09/01/04 3,300
15,000 Panhandle-Plains Higher Educational Authority, Inc.
Student Loan, Ser. A, Rev., MBIA, 1.32%, 09/01/04 15,000
19,300 Pasadena Independent School District, Ser. A, GO,
FRDO, 1.31%, 09/02/04 19,300
11,735 Pharr San Juan Alamo Independent School District,
Municipal Securities Trust Receipts, Ser. SGA-101,
GO, FRDO, 1.36%, 09/01/04 11,735
12,035 Richardson, Texas, Refinancing & Improvement,
GO, FRDO, 1.70%, 06/15/05 12,035
8,170 San Angelo Independent School District, GO,
FRDO, 1.31%, 09/02/04 8,170
10,680 San Antonio, Texas, Electric & Gas, FLOATS,
Ser. PT-1498, Rev., FRDO, 1.37%, 09/02/04 10,680
11,190 San Antonio, Texas, Electric & Gas, FLOATS,
Ser. SG-101, (p), 1.36%, 09/02/04 11,190
9,540 San Antonio, Texas, Electric & Gas, FLOATS,
Ser. SG-105, (p), 1.36%, 09/02/04 9,540
11,000 San Antonio, Texas, Electric & Gas, Junior Lien,
Rev., FRDO, 1.32%, 09/01/04 11,000
10,315 San Antonio, Texas, Electric & Gas, Municipal
Securities Trust Receipts, Ser. SGA-48, Rev.,
FRDO, #, 1.36%, 09/01/04 10,315
42,500 San Antonio, Texas, Water, 1.10%, 10/07/04 42,500
6,435 San Antonio, Texas, Water, FLOATS, Ser. SG-159,
Rev., Adj., FSA, 1.36%, 09/02/04 6,435
10,430 San Antonio, Texas, Water, Municipal Securities
Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA,
1.36%, 09/01/04 10,430
5,000 San Antonio, Texas, Water, Municipal Securities
Trust Receipts, Ser. SGA-42, Rev., FRDO, MBIA,
1.40%, 09/01/04 5,000
9,000 Schertz-Seguin Local Government Corp.,
Texas Contract, Floating Rate Certificates,
Ser. SG-151, Rev., FRDO, FSA, 1.34%, 09/01/04 9,000
</Table>
See notes to financial statements.
85
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 12,990 Southeast Texas Housing Finance Corp., Single
Family Mortgage, Ser. 938, Rev., FRDO, 1.41%,
09/02/04 $ 12,990
2,425 Tarrant County Housing Finance Corp., FLOATS,
Ser. PT-2044, Rev., 1.46%, 09/02/04 2,425
8,580 Tarrant County Housing Finance Corp.,
Multi-Family Housing, Remington Project, Rev.,
FRDO, 1.33%, 09/01/04 8,580
5,000 Texas Department of Housing & Community Affairs,
Multi-Family Housing, Post Oak East Apartments,
Ser. A, Rev., FRDO, 1.39%, 09/02/04 5,000
10,250 Texas Department of Housing & Community Affairs,
Multi-Family Housing, Reading, Rev., FRDO,
1.38%, 09/02/04 10,250
30,000 Texas Municipal Power Agency, 1.27%, 10/19/04 30,000
13,200 Texas Municipal Power Agency, 1.30%, 10/12/04 13,200
20,000 Texas Municipal Power Agency, Floating Rate Trust
Receipts, Ser. L-36-J, Regulation D, Rev., FRDO,
FGIC, 1.27%, 10/20/04 20,000
20,700 Texas Public Finance Authority, 1.11%, 10/12/04 20,700
15,000 Texas Public Finance Authority, 1.12%, 10/12/04 15,000
20,000 Texas Public Finance Authority, 1.15%, 10/07/04 20,000
2,500 Texas State Affordable Housing Corp.,
Multi-Family Housing, Ser. 780, Rev., FRDO,
MBIA, 1.35%, 09/02/04 2,500
1,100 Texas State Department of Housing & Community
Affairs, Multi-Family Housing, Timber Point
Apartments, Ser. A-1, Rev., FRDO, 1.38%, 09/01/04 1,100
32,720 Texas State Turnpike Authority, Central Texas
Turnpike Authority, First Tier, Ser. B, Rev., FRDO,
AMBAC, 1.27%, 09/01/04 32,720
7,325 Texas State Turnpike Authority, Dallas North
Thruway, Floating Rate Receipts, Ser. SG-70,
1.36%, 09/02/04 7,325
9,970 Texas State, Floating Rate Certificates,
Ser. SG-152, GO, FRDO, 1.34%, 09/01/04 9,970
35,000 Texas State, Floating Rate Trust Receipts,
Ser. L-60-J, Regulation D, FRDO, 1.30%, 09/02/04 35,000
228,835 Texas State, TRAN, 3.00%, 08/31/05 231,990
4,010 Texas State, Veteran's Housing Assistance,
Ser. A-1, GO, FRDO, 1.34%, 09/01/04 4,010
32,545 Texas State, Veteran's Housing Assistance Fund I,
GO, FRDO, 1.27%, 09/01/04 32,545
5,590 Trinity River Authority, Ser. RR-II-R-2006, Rev.,
FRDO, MBIA, 1.70%, 08/04/05 5,590
25,000 University of Texas, 0.98%, 10/06/04 25,000
9,055 University of Texas, FLOATS, Ser. PA-1194, Rev.,
FRDO, 1.34%, 09/02/04 9,055
</Table>
See notes to financial statements.
86
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 5,285 University of Texas, Ser. 2003-19, Rev., FRDO,
1.34%, 09/02/04 $ 5,285
6,000 West Harris County Regional Water Authority,
Municipal Securities Trust Receipts, Ser. SGA-148,
Rev., FRDO, #, MBIA, 1.36%, 09/01/04 6,000
3,600 West Side Calhoun County Naval District, Sewer &
Solid Waste Disposal, BP Chemicals, Inc. Project,
Rev., FRDO, 1.39%, 09/02/04 3,600
------------------
1,625,899
UTAH -- 1.8%
14,000 Intermountain Power Agency, 1.09%, 09/08/04 14,000
21,750 Intermountain Power Agency, 1.10%, 10/07/04 21,750
23,900 Intermountain Power Agency, 1.11%, 10/12/04 23,900
10,000 Intermountain Power Agency, 1.13%, 10/06/04 10,000
9,995 Intermountain Power Agency, Power Supply,
FLOATS, Ser. PT-383, Rev., FRDO, MBIA, 1.35%,
09/02/04 9,995
22,975 Intermountain Power Agency, Power Supply,
Ser. L-42-J, Regulation D, Rev., FRDO, MBIA,
1.27%, 1/20/04 22,975
18,000 Murray, Utah, Murray City Hospital, IHC Health
Services, Inc., Ser. D, Rev., FRDO, 1.33%, 09/02/04 18,000
5,290 Salt Lake City Municipal Building Authority,
FLOATS, Ser. PT-1744, Rev., FRDO, AMBAC,
1.36%, 09/02/04 5,290
4,000 Salt Lake City, Utah, Rowland Hall St. Marks School
Project, Rev., FRDO, 1.31%, 09/02/04 4,000
7,645 Salt Lake County, FLOATS, Ser. PT-420, GO, FRDO,
1.36%, 09/03/04 7,645
28,560 University of Utah, Floating Rate Trust Receipts,
Ser. N-15, Regulation D, Rev., FRDO, MBIA,
1.39%, 09/01/04 28,560
10,000 Utah County, Utah Hospital, IHC Health Services, Inc.,
Ser. C, Rev., FRDO, 1.30%, 09/02/04 10,000
12,500 Utah Housing Corp., Single Family Mortgage,
Ser. E, Class I, Rev., FRDO, 1.45%, 03/01/05 12,500
12,575 Utah Housing Corp., Single Family Mortgage,
Ser. E-2, Class I, Rev., FRDO, 1.34%, 09/01/04 12,575
10,000 Utah Housing Corp., Single Family Mortgage,
Ser. F, Class I, Rev., FRDO, 1.34%, 09/01/04 10,000
7,000 Utah Housing Corp., Single-Family Mortgage,
Ser. E-1, Class I, Rev., FRDO, 1.34%, 09/01/04 7,000
4,900 Utah Housing Finance Agency, Single Family
Mortgage, Ser. C-1, Class I, Rev., FRDO, 1.34%,
09/01/04 4,900
6,510 Utah Housing Finance Agency, Single Family
Mortgage, Ser. D-1, Rev., FRDO, 1.34%, 09/01/04 6,510
</Table>
See notes to financial statements.
87
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
UTAH -- CONTINUED
$ 4,105 Utah Housing Finance Agency, Single Family
Mortgage, Ser. E-1, Rev., FRDO, 1.34%, 09/01/04 $ 4,105
4,935 Utah Housing Finance Agency, Single Family
Mortgage, Ser. F-2, Class I, Rev., FRDO, 1.37%,
09/01/04 4,935
11,200 Utah State Board of Regents, Student Loan
Weekly Amount, Ser. Q, Rev., FRDO, AMBAC,
1.35%, 09/01/04 11,200
13,700 Utah State Board of Regents, Student Loan, Ser. C,
Rev., FRDO, 1.35%, 09/01/04 13,700
------------------
263,540
VERMONT -- 0.2%
5,900 Vermont Educational & Health Buildings Financing
Agency, Hospital, VHA New England, Ser. D, Rev.,
FRDO, AMBAC, 1.32%, 09/08/04 5,900
8,300 Vermont Educational & Health Buildings Financing
Agency, Hospitals, VHA New England Project,
Ser. G, Rev., FRDO, AMBAC, 1.31%, 09/01/04 8,300
10,600 Vermont State, IDA, 1.80%, 10/05/04 10,600
5,000 Vermont Student Assistance Corp., Student Loans,
Rev., FRDO, 1.15%, 09/01/04 5,000
------------------
29,800
VIRGINIA -- 1.1%
8,965 Alexandria IDA, Pooled Loan Program, Ser. A, Rev.,
FRDO, 1.32%, 09/02/04 8,965
2,280 Alexandria Redevelopment & Housing Authority,
Residential Care Facility, Multi-Mode,
First Mortgage, Goodwin House, Ser. B, Rev.,
FRDO, 1.23%, 09/01/04 2,280
8,000 Chesapeake Hospital Authority, Hospital Facilities,
Chesapeake General Hospital, Ser. A, Rev. FRDO,
1.32%, 09/01/04 8,000
19,245 Fairfax County Economic Development Authority,
Flint Hill School Project, Rev., FRDO, 1.33%, 09/02/04 19,245
8,000 James City & County IDA, Multi-Family Housing,
Chambrel Project, Rev., FRDO, 1.33%, 09/02/04 8,000
29,435 Loudoun County IDA, Howard Hughes Medical
Center, Ser. E, Rev., FRDO, 1.27%, 09/01/04 29,435
12,290 Richmond IDA, Educational Facilities,
Church Schools, Rev., FRDO, 1.26%, 09/01/04 12,290
11,160 Roanoke IDA, Carilion Health Systems, Ser. C, Rev.,
FRDO, 1.23%, 09/03/04 11,160
6,795 Roanoke IDA, Carilion Health Systems, Ser. D, Rev.,
FRDO, 1.36%, 09/02/04 6,795
23,590 Virginia Commonwealth Transportation Board,
Floating Rate Receipts, Ser. SG-137, Rev., FRDO,
1.30%, 09/01/04 23,590
</Table>
See notes to financial statements.
88
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
VIRGINIA -- CONTINUED
$ 8,885 Virginia Public School Authority, FLOATS,
Ser. PT-431, Rev., FRDO, 1.34%, 09/07/04 $ 8,885
4,975 Virginia Public School Authority, Ser. RR-II-R-4050,
Rev., FRDO, 1.38%, 09/02/04 4,975
5,415 Virginia Resources Authority, Infrastructure,
Ser. RR-II-R-249, Rev., FRDO, 1.38%, 09/02/04 5,415
10,600 Virginia State, EAGLE, Ser. 20045001, Class A, Rev.,
FRDO, 1.46%, 09/02/04 10,600
------------------
159,635
WASHINGTON -- 3.0%
17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16,
FRDO, MBIA, 1.37%, 09/01/04 17,676
5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1,
GO, FRDO, MBIA, 1.39%, 09/01/04 5,000
8,960 Broadway Office Properties, FLOATS, Ser. PT-1586,
Rev., FRDO, MBIA, 1.20%, 09/02/04 8,960
7,285 Central Washington University, FLOATS,
Ser. PT-2251, Rev., FRDO, FGIC, 1.36%, 09/02/04 7,285
1,500 Clark County Public Utility District No. 1,
Municipal Securities Trust Receipts, Ser. SGA-118,
Rev., FRDO, FSA, 1.35%, 09/01/04 1,500
6,995 Energy Northwest, Electric, FLOATS, Ser. PT-734,
Rev., FRDO, MBIA, 1.36%, 09/02/04 6,995
11,100 King County, FLOATS, Ser. PT-2170, GO, FRDO,
AMBAC, 1.36%, 09/02/04 11,100
5,325 King County, Ser. RR-II-R-1028, GO, FRDO, FSA,
1.37%, 09/02/04 5,325
8,720 King County, Sewer, Ser. 2003-30, Rev., FRDO, FSA,
1.36%, 09/02/04 8,720
6,235 Port of Seattle, FLOATS, Ser. PT-2171, Rev., FRDO,
FGIC, 1.41%, 09/02/04 6,235
4,430 Port of Seattle, FLOATS, Ser. PT-728, Rev., FRDO,
FGIC, 1.41%, 09/02/04 4,430
5,345 Port of Seattle, Ser. 47, GO, FRDO, 1.41%, 09/02/04 5,345
11,000 Port of Tacoma, Washington, 0.98%, 09/08/04 11,000
1,090 Seattle Housing Authority, Low Income Housing
Assistance, Bayview Manor Project, Ser. B, Rev.,
1.38%, 09/02/04 1,090
19,885 Seattle, Washington, Drain & Wastewater Utilities,
Municipal Securities Trust Receipts, Ser. SG-135,
Rev., FRDO, MBIA, 1.36%, 09/02/04 19,885
11,915 Seattle, Washington, Municipal Light & Power,
FLOATS, Ser. PT-1421, Rev., FRDO, FSA, 1.36%,
09/02/04 11,915
11,490 Seattle, Washington, Municipal Light & Power,
Ser. 2003-36, Rev., FRDO, FSA, 1.36%, 09/02/04 11,490
4,000 Seattle, Washington, Municipal Securities Trust
Receipts, Ser. SGA-142, GO, FRDO, 1.40%, 09/01/04 4,000
</Table>
See notes to financial statements.
89
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 5,000 Seattle, Washington, Ser. D, GO, FRDO, 1.65%,
09/01/04 $ 5,000
9,200 Seattle, Washington, Water Systems, Rev., FRDO,
1.21%, 09/01/04 9,200
9,925 Skagit County, Public Hospital District,
Ser. ROCS-RR-II-R-2126, 1.38%, 09/02/04 9,925
16,600 Snohomish County Public Utility District No. 1,
Generation Systems, Ser. A, Rev., FRDO, FSA,
1.30%, 09/01/04 16,600
9,200 Snohomish County Public Utility District No. 1,
Generation Systems, Ser. A-2, Rev., FRDO, FSA,
1.29%, 09/01/04 9,200
8,500 Snohomish County Public Utility District No. 1,
Municipal Securities Trust Receipts, Ser. SGA-124,
Rev., FRDO, FSA, 1.35%, 09/03/04 8,500
11,295 Tacoma, Washington, Electric Systems, FLOATS,
Ser. PT-1404, Rev., FRDO, AMBAC, 1.36%, 9/2/04 11,295
10,545 Tacoma, Washington, Electric Systems, FLOATS,
Ser. PT-2244, Rev., FRDO, FGIC, 1.36%, 09/02/04 10,545
18,125 Washington Public Power Supply System,
Nuclear Project No. 2, Ser. 31, Rev., FRDO,
1.36%, 09/02/04 18,125
15,625 Washington State Higher Education Facilities
Authority, Seattle Pacific University Project,
Ser. A, Rev., FRDO, 1.32%, 09/02/04 15,625
2,545 Washington State Housing Finance Commission,
Multi-Family Housing, Granite Falls Assisted
Project, Ser. A, Rev., FRDO, 1.41%, 09/02/04 2,545
1,030 Washington State Housing Finance Commission,
Non-Profit Housing, Golden Sands Project, Rev.,
FRDO, 1.28%, 09/01/04 1,030
4,400 Washington State Housing Finance Commission,
Nonprofit Housing, Franke Tobey Jones Project,
Rev., FRDO, 1.28%, 09/01/04 4,400
6,560 Washington State Housing Finance Commission,
Nonprofit Housing, Rockwood Retirement
Communities, Rev., FRDO, 1.28%, 09/01/04 6,560
300 Washington State Housing Finance Commission,
Nonprofit Housing, Rockwood Retirement
Program, Ser. A, Rev., FRDO, 1.28%, 09/01/04 300
2,515 Washington State Housing Finance Commission,
Nonprofit Housing, YMCA Snohomish County
Project, Rev., FRDO, 1.28%, 09/01/04 2,515
2,860 Washington State Housing Finance Commission,
Spokane Community College Foundation, Ser. A,
Rev., FRDO, 1.33%, 09/02/04 2,860
6,080 Washington State Public Power Supply System
Project No. 2, Electric, Ser. 2A-2, Rev., FRDO,
MBIA, 1.27%, 09/01/04 6,080
</Table>
See notes to financial statements.
90
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 13,985 Washington State Public Power Supply System,
Project No. 2, Electric, Ser. 2A-1, Rev., FRDO,
MBIA, 1.27%, 09/01/04 $ 13,985
14,640 Washington State Public Power Supply System,
Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA,
1.25%, 09/01/04 14,640
13,710 Washington State, Rev., FRDO, 1.38%, 09/02/04 13,710
8,055 Washington State, Ser. 2003-27, GO, FRDO, 1.36%,
09/02/04 8,055
12,870 Washington State, Ser. 43, GO, FRDO, MBIA, 1.36%,
09/02/04 12,870
20,000 Washington State, Ser. VR-96-B, GO, FRDO, GO,
1.22%, 09/01/04 20,000
59,600 Washington State, Ser. VR-96A, GO, FRDO, 1.23%,
09/01/04 59,600
------------------
431,116
WEST VIRGINIA -- 0.7%
3,000 Municipal Securities Trust Certificates, Ser. 9026,
Class A, Rev., FRDO, MBIA, #, 1.37%, 09/01/04 3,000
3,585 West Virginia Economic Development Authority,
IDR, Gemark Services West VA/M & M, Rev.,
FRDO, 1.43%, 09/02/04 3,585
5,765 West Virginia State Building Commission, FLOATS,
Ser. PA-520, 1.37%, 09/02/04 5,765
5,700 West Virginia State Hospital Finance Authority,
VHA Mid-Atlantic, Ser. D, Rev., FRDO, AMBAC,
1.32%, 09/08/04 5,700
5,000 West Virginia State Hospital Finance Authority,
VHA Mid-Atlantic, Ser. E, Rev., FRDO, AMBAC,
1.32%, 9/8/04 5,000
9,200 West Virginia State Hospital Finance Authority,
VHA Mid-Atlantic, Ser. G, Rev., FRDO, AMBAC,
Var, 12/1/25, 1.34%, 09/01/04 9,200
7,100 West Virginia State Hospital Finance Authority,
Mid-Atlantic/Capital, Ser. H, Rev., FRDO, AMBAC,
1.34%, 09/01/04 7,100
4,000 West Virginia State Hospital Finance Authority,
VHA Mid-Atlantic, Ser. C, Rev., FRDO, AMBAC,
1.32%, 9/8/04 4,000
57,000 West Virginia State Parkways Economic
Development & Tourism Authority, Rev., FRDO,
FGIC, 1.28%, 09/01/04 57,000
------------------
100,350
WISCONSIN -- 0.8%
7,000 Dane County, Ser. RR-II-R-2003, GO, FRDO, 1.70%,
08/04/05 7,000
5,815 Dane County, Ser. RR-II-R-4504, GO, FRDO, 1.38%,
09/02/04 5,815
</Table>
See notes to financial statements.
91
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WISCONSIN -- CONTINUED
$ 1,260 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 94-4904, FRDO, #, 1.42%, 09/02/04 $ 1,260
140 Wisconsin Housing & Economic Development
Authority, Home Ownership, Floating Rate Trust
Receipts, Ser. 18, Rev., FRDO, 1.42%, 09/01/04 140
4,000 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. A, Rev., FRDO,
1.36%, 09/01/04 4,000
8,035 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. A, Rev., FRDO,
1.38%, 09/01/04 8,035
7,090 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. C, Rev., FRDO,
1.34%, 09/01/04 7,090
11,350 Wisconsin Housing & Economic Development
Authority, Home Ownership, Ser. E, Rev., FRDO,
1.33%, 09/01/04 11,350
3,920 Wisconsin Housing & Economic Development
Authority, Ser. D, Rev., FRDO, MBIA, 1.32%,
09/01/04 3,920
3,495 Wisconsin Housing & Economic Development
Authority, Ser. E, Rev., FRDO, MBIA, 1.32%,
09/01/04 3,495
5,390 Wisconsin Housing & Economic Development
Authority, Ser. F, Rev., FRDO, MBIA, 1.32%,
09/01/04 5,390
4,285 Wisconsin Housing & Economic Development
Authority, Ser. G, Rev., FRDO, MBIA, 1.32%,
09/01/04 4,285
5,315 Wisconsin Housing & Economic Development
Authority, Ser. I, Rev., FRDO, MBIA, 1.36%,
09/01/04 5,315
5,560 Wisconsin Housing & Economic Development
Authority, Single-Family Housing, FLOATS,
Ser. PT-598, Rev., FRDO, 1.42%, 09/02/04 5,560
8,580 Wisconsin State Health & Educational Facilities
Authority, FLOATS, Ser. PT-858, Rev., FRDO,
MBIA, 1.30%, 09/02/04 8,580
5,200 Wisconsin State Health & Educational Facilities
Authority, Lakeland College, Rev., FRDO, 1.26%,
09/03/04 5,200
10,500 Wisconsin State Health & Educational Facilities
Authority, University of Wisconsin Medical
Foundation, Rev., FRDO, 1.30%, 09/01/04 10,500
25,000 Wisconsin State Health & Educational Facilities
Authority, Wheaton Franciscan Services, Rev.,
FRDO, 1.30%, 09/02/04 25,000
------------------
121,935
</Table>
See notes to financial statements.
92
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
WYOMING -- 1.0%
$ 30,000 Campbell County, IDR, Two Elk Power Generation
Station Project, Rev., FRDO, 1.40%, 12/02/04 $ 30,000
400 Kemmerer, Wyoming, PCR, Exxon Project, Rev.,
FRDO, 1.21%, 09/01/04 400
17,000 Lincoln County, PCR, Exxon Project, Rev., FRDO,
1.27%, 09/02/04 17,000
4,900 Sublette County, PCR, Exxon Project, Ser. A, Rev.,
FRDO, 1.27%, 09/01/04 4,900
1,400 Uinta County, PCR, Chevron USA, Inc. Project, Rev.,
FRDO, 1.27%, 09/01/04 1,400
900 Uinta County, PCR, Chevron USA, Inc. Project, Rev.,
FRDO, 1.35%, 09/03/04 900
800 Uinta County, PCR, Chevron USA, Inc. Project, Rev.,
FRDO, 1.35%, 09/03/04 800
12,525 Wyoming Community Development Authority,
Housing, FLOATS, Ser. PT-195, Rev., 1.62%, 9/2/04 12,525
7,900 Wyoming Community Development Authority,
Housing, Ser. 7, Rev., FRDO, 1.34%, 09/02/04 7,900
5,000 Wyoming Community Development Authority,
Housing, Ser. 8, Rev., FRDO, 1.34%, 09/02/04 5,000
5,215 Wyoming Community Development Authority,
Housing, Ser. II-R-141, Rev., FRDO, 1.41%, 9/2/04 5,215
3,900 Wyoming Community Development Authority,
Ser. 3, Rev., FRDO, 1.34%, 09/07/04 3,900
5,000 Wyoming Community Development Authority,
Ser. 4, Rev., FRDO, 1.34%, 09/07/04 5,000
7,245 Wyoming Community Development Authority,
Single Family Mortgage, Ser. A, Rev., FRDO,
1.30%, 09/02/04 7,245
36,900 Wyoming Community Development Authority,
Single Family Mortgage, Ser. A, Rev., FRDO,
1.30%, 09/02/04 36,900
------------------
139,085
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 14,465,831
(Cost $14,465,831) *
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
93
<Page>
JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
STATE AND MUNICIPAL OBLIGATIONS -- 100.0%
CALIFORNIA -- 91.1%
$ 1,500 ABAG Finance Authority for Nonprofit Corporations,
Point Loma Nazarene University, Rev., FRDO,
1.41%, 09/02/04 $ 1,500
1,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-9,
GO, FRDO, MBIA, 1.35%, 11/17/04 1,000
1,500 ABN AMRO Munitops Certificate Trust, Ser. 2003-1,
GO, FRDO, AMBAC, 1.35%, 09/01/04 1,500
1,000 Alameda County IDA, Scientific Technology Project,
Ser. A, Rev., FRDO, 1.45%, 09/01/04 1,000
2,700 Albany Unified School District, GO, 3.00%, 06/30/05 2,730
1,000 Alvord Unified School District, Food Services Bridge
Funding Program, COP, FRDO, FSA, 1.30%, 09/02/04 1,000
800 Anaheim Union High School District, School
Facilities Bridge Funding Project, COP, FRDO, FSA,
1.30%, 09/02/04 800
2,300 Anaheim, California, 1993 Projects, COP, FRDO,
AMBAC, 1.27%, 09/01/04 2,300
4,035 Auburn Union School District, COP, FRDO, FSA,
1.32%, 09/02/04 4,035
1,050 California Communities Housing Finance Agency,
Subordinated, Ser. B, Rev., FRDO, 1.42%, 09/02/04 1,050
95 California Economic Development Financing
Authority, IDR, Standard Abrasives Manufacturing
Project, Rev., FRDO, 1.40%, 09/01/04 95
1,000 California Educational Facilities Authority, Loyola
Marymount University, Ser. B, Rev., FRDO, MBIA,
1.32%, 09/02/04 1,000
150 California Educational Facilities Authority, Stanford
University, FLOATS, Ser. PA-542, Rev., FRDO,
1.33%, 09/01/04 150
400 California Educational Facilities Authority, Stanford
University, Ser. L-4, Rev., 1.25%, 09/03/04 400
400 California Educational Facilities Authority, University
of San Francisco, Rev., FRDO, 1.30%, 09/01/04 400
100 California Health Facilities Financing Authority,
Ser. B, Rev., FRDO, AMBAC, 1.34%, 09/01/04 100
100 California Housing Finance Agency, Home Mortgage,
Ser. J, Rev., FRDO, MBIA, 1.32%, 09/01/04 100
100 California Housing Finance Agency, Home Mortgage,
Ser. M, Rev., FRDO, 1.33%, 09/01/04 100
585 California Housing Finance Agency, Home Mortgage,
Ser. M, Rev., FRDO, 1.34%, 09/01/04 585
900 California Housing Finance Agency, Ser. D, Rev.,
FRDO, FSA, 1.38%, 09/01/04 900
1,000 California Infrastructure & Economic Development
Bank, IDR, Adams Rite Manufacturing Co. Project,
Ser. A, Rev., FRDO, 1.40%, 09/01/04 1,000
</Table>
See notes to financial statements.
94
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 795 California PCFA, Authorized Exempt Facilities,
ExxonMobil Project, Rev., FRDO, 1.19%, 09/01/04 $ 795
400 California PCFA, PCR, ExxonMobil Project, Rev.,
FRDO, 1.14%, 09/01/04 400
1,000 California PCFA, PCR, Sierra Pacific Industries Project,
Rev., FRDO, 1.29%, 09/01/04 1,000
2,000 California Salvation Army, 1.02%, 11/17/04 + 2,000
495 California School Facilities Financing Corp., Capital
Improvement Financing Project, COP, Ser. B,
FRDO, 1.33%, 09/01/04 495
300 California State Department of Water Resources,
Power Supply Systems, Ser. B-5, Rev., FRDO,
1.32%, 09/01/04 300
1,000 California State Department of Water Resources,
Power Supply, EAGLE, Ser. 2002-6017, Class A, Rev.,
FRDO, AMBAC, 1.35%, 09/02/04 1,000
900 California State Department of Water Resources,
Power Supply, Ser. B-2, Rev., FRDO, 1.40%, 09/01/04 900
2,400 California State Department of Water Resources,
Power Supply, Ser. B-4, Rev., FRDO, 1.34%, 09/01/04 2,400
480 California State Department of Water Resources,
Power Supply, Ser. B-6, Rev., FRDO, 1.33%, 09/01/04 480
1,250 California State Department of Water Resources,
Power Supply, Ser. C-12, Rev., FRDO, 1.30%, 09/02/04 1,250
700 California State Department of Water Resources,
Power Supply, Ser. C-13, Rev., FRDO, FSA,
1.30%, 09/02/04 700
300 California State Economic Recovery, Ser. C-6, Rev.,
FRDO, 1.34%, 09/01/04 300
200 California State Economic Recovery, Ser. C-7, Rev.,
FRDO, 1.34%, 09/01/04 200
615 California State Municipal Securities Trust Certificates,
Ser. 1998-47, Class A, Rev., FRDO, AMBAC, #,
1.37%, 09/01/04 615
500 California State University Channel Islands Financing
Authority, Rental Housing, Rev., FRDO,
1.60%, 08/01/05 500
2,000 California State, Economic Recovery, FLOATS,
Ser. 927, GO, FRDO, MBIA, 1.33%, 09/02/04 2,000
300 California State, Municipal Securities Trust Receipts,
Ser. SGA-40, GO, FRDO, FGIC, 1.37%, 09/01/04 300
300 California State, Municipal Securities Trust Receipts,
Ser. SGA-55, GO, FRDO, FGIC, 1.37%, 09/01/04 300
3,420 California Statewide Communities Development
Authority, Multi-Family Housing, Breezewood
Apartments, Ser. F-1, Rev. FRDO, 1.39%, 09/02/04 3,420
</Table>
See notes to financial statements.
95
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 2,000 California Statewide Communities Development
Authority, Cathedral High School Project, Rev.,
FRDO, 1.33%, 09/01/04 $ 2,000
300 California Statewide Communities Development
Authority, COP, FLOATS, Ser. 909, FRDO, MBIA,
1.32%, 09/02/04 300
700 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. A, Rev., FRDO,
1.36%, 09/01/04 700
3,000 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. A, Rev., FRDO,
1.25%, 01/04/05 3,000
1,000 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. B, Rev., FRDO,
1.36%, 09/01/04 1,000
1,000 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. B, Rev., FRDO,
1.75%, 07/05/05 1,000
4,000 California Statewide Communities Development
Authority, Kaiser Permanente, Ser. C, Adj., Rev.,
3.70%, 06/01/05 4,063
1,000 California Statewide Communities Development
Authority, Multi-Family Housing, Canyon Springs
Apartments, Ser. KK, Rev., FRDO, 1.30%, 09/02/04 1,000
2,200 Charter Mac Floater Certificate Trust I, Ser. CAL-1,
MBIA, 1.43%, 09/01/04 2,200
1,800 Charter Mac Floater Certificate Trust I, Ser. CAL-2,
Rev., FRDO, MBIA, 1.43%, 09/02/04 1,800
800 Colton Redevelopment Agency, Multi-Family
Housing, 1985 Issue A, Rev., FRDO, 1.32%, 09/17/04 800
2,400 East Bay Municipal Utility District, Water Systems,
Sub Ser. A, Rev., FRDO, FSA, 1.27%, 09/01/04 2,400
25 East Bay Municipal Utility District, Water Systems,
Sub Ser. B, Rev., FRDO, FSA, 1.31%, 09/01/04 25
1,600 Elsinore Valley Municipal Water District, COP, Ser. A,
FRDO, FGIC, 1.32%, 09/01/04 1,600
2,400 Fremont, California, Multi-Family Housing,
Creekside Village Apartments, Ser. D, Rev., FRDO,
1.27%, 09/02/04 2,400
4,500 Garden Grove, California, Multi-Family Housing,
Malabar Apartments, Ser. A, Rev., FRDO,
1.30%, 09/02/04 4,500
2,592 Glendale, California, Hospital, FLOATS, Ser. 590,
Rev., FRDO, MBIA, 1.35%, 09/02/04 2,592
2,000 Hayward, California, Multi-Family Housing,
Shorewoood, Ser. A, Rev., FRDO, 1.37%, 09/02/04 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
</Table>
See notes to financial statements.
96
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 200 Irvine Unified School District, Community Facilities,
Ser. 03-1, Special Tax, FRDO, 1.33%, 09/01/04 $ 200
37 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 00-18, Ser. A, Special
Assessment, FRDO, 1.33%, 09/01/04 37
100 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 03-19, Ser. A, Special
Assessment, FRDO, 1.33%, 09/01/04 100
200 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 87-8, Special Assessment,
FRDO, 1.33%, 09/01/04 200
100 Irvine, California, Improvement Bond Act of 1915,
Assessment District No. 94-15, Special Assessment,
Rev., FRDO, 1.33%, 09/01/04 100
800 Kern County, Kern Public Facilities Project, Ser. A,
COP, FRDO, 1.32%, 09/01/04 800
2,400 Las Virgenes Unified School District, COP, FRDO, FSA,
1.30%, 09/02/04 2,400
200 Lodi, California, Electric Systems, COP, Ser. A, FRDO,
MBIA, 1.27%, 09/01/04 200
700 Los Angeles Community Redevelopment Agency,
Multi-Family Housing, Security Building Project,
Ser. A, Rev., FRDO, 1.35%, 09/02/04 700
300 Los Angeles County Housing Authority, Multi-Family
Housing, Malibu Meadows II, Ser. C, Rev., FRDO,
1.34%, 09/02/04 300
2,100 Los Angeles County Housing Authority, Multi-Family
Housing, Sand Canyon, Ser. F, Rev., FRDO,
1.31%, 09/02/04 2,100
100 Los Angeles County Metropolitan Transportation
Authority, Proposition C, Second Ser., Ser. A, Rev.,
FRDO, MBIA, 1.30%, 09/02/04 100
2,700 Los Angeles County, Pension Obligation, Ser. C, Rev.,
FRDO, AMBAC, 1.27%, 09/01/04 2,700
100 Los Angeles Department of Water & Power,
Waterworks, Sub Ser. B-4, Rev., FRDO,
1.32%, 09/02/04 100
3,000 Los Angeles Unified School District, FLOATS, Ser.
PA-1115, GO, FRDO, FSA, 1.33%, 09/16/04 3,000
1,000 Metropolitan Water District of Southern California,
Waterworks, Ser. B-2, Rev., FRDO, 1.32%, 09/01/04 1,000
4,000 Metropolitan Water District of Southern California,
Waterworks, Ser. B-4, Rev. FRDO, 1.27%, 09/01/04 4,000
200 Metropolitan Water District of Southern California,
Waterworks, Ser. C-1, Rev., FRDO, 1.32%, 09/02/04 200
700 Metropolitan Water District of Southern California,
Waterworks, Ser. C-2, Rev., FRDO, 1.29%, 09/01/04 700
</Table>
See notes to financial statements.
97
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,000 Monrovia Unified School District, Municipal Securities
Trust Receipts, Ser. SGA-70, GO, FRDO, MBIA,
1.37%, 09/01/04 $ 1,000
1,900 Newport Beach, California, Hoagan Memorial
Hospital, Ser. C, Rev., FRDO, 1.37%, 09/01/04 1,900
3,000 Oceanside, California, Multi-Family Housing,
Lakeridge Apartments Project, Rev., FRDO,
1.30%, 09/01/04 3,000
300 Ontario Redevelopment Agency, Multi-Family
Housing, Seasons at Gateway, Sub Ser. B, Rev.,
FRDO, 1.33%, 09/01/04 300
100 Orange County Sanitation District, COP, Ser. A,
FRDO, 1.33%, 09/01/04 100
3,000 Orange County, Apartment Development, Bluffs
Apartments, Ser C, Rev., FRDO, 1.34%, 09/02/04 3,000
1,500 Orange County, Apartment Development, Riverbend
Apartments, Ser. B, Rev., FRDO, 1.34%, 09/02/04 1,500
949 Orange County, Apartment Development Corp.,
Multi-Family Housing, Niguel Summit 2, Ser. B,
Rev., FRDO, 1.32%, 09/07/04 949
1,000 Orange County, Apartment Development Corp.,
Multi-Family Housing, Pointe Niguel Project,
Ser. C, Rev., FRDO, 1.27%, 09/02/04 1,000
800 Orange County, Apartment Development Corp.,
Wood Canyon Villas, Issue E, Rev.,
FRDO, 1.30%, 09/02/04 800
150 Orange County, Improvement Bond Act of 1915,
Assessment District No. 1, Ser. A, Special
Assessment, FRDO, 1.33%, 09/01/04 150
1,920 Pasadena, California, Rose Bowl Improvements
Project, COP, FRDO, 1.32%, 09/01/04 1,920
1,000 Pleasant Hill Redevelopment Agency, Multi-Family
Housing, Chateau III, Ser. A, Rev., FRDO,
1.42%, 09/02/04 1,000
4,000 Port of Oakland, Trust Receipts, Ser. 5, Class F, Rev.,
FRDO, FGIC, 1.32%, 09/02/04 4,000
1,500 Riverside County Asset Leasing Corp., Southwest
Justice Center, Ser. B, Rev., FRDO, MBIA,
1.27%, 09/15/04 1,500
1,200 Riverside Unified School District, School Facility
Bridge Program, COP, FRDO, FSA, 1.30%, 09/02/04 1,200
2,100 Sacramento County Housing Authority, Multi-Family
Housing, Ashford, Ser. D, Rev., FRDO,
1.34%, 09/02/04 2,100
1,000 San Diego County & School District, Ser. A, GO,
TRAN, 3.25%, 07/25/05 1,015
700 San Diego Housing Authority, Multi-Family Housing,
Nobel Courts, Ser. L, Rev., FRDO, 1.30%, 09/02/04 700
</Table>
See notes to financial statements.
98
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 400 San Diego Housing Authority, Multi-Family Housing,
Paseo, Ser. A, Rev., FRDO, 1.30%, 09/02/04 $ 400
1,000 San Diego, California, 1.30%, 12/09/04 1,000
2,000 San Diego, California, Water, 1.25%, 11/10/04 2,000
370 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SG-110, Rev., FRDO, FGIC,
1.33%, 09/01/04 370
1,000 San Francisco City & County Airports Commission,
International Airport, Municipal Securities Trust
Receipts, Ser. SGA-50, Rev., FRDO, MBIA,
1.40%, 09/01/04 1,000
300 San Jacinto Unified School District, School Facilities
Bridge Funding Program, COP, FRDO, FSA,
1.30%, 09/02/04 300
990 San Jose, California, Airport, Ser. II-R-2004, Rev.,
FRDO, FSA, 1.35%, 09/02/04 990
700 San Jose, California, Multi-Family Housing, Villa
Monterey Apartments, Ser. F, Rev., FRDO,
1.35%, 09/02/04 700
500 Santa Ana Housing Authority, Multi-Family Housing,
Vintage Apartments, Ser. A, Rev., FRDO,
1.35%, 09/02/04 500
453 Santa Ana Unified School District, COP, FRDO,
1.32%, 09/01/04 453
1,000 Santa Cruz County Board of Education, GO, TRAN,
2.50%, 06/30/05 1,007
1,000 Santa Cruz County, Ser. A, GO, TRAN, 3.00%, 07/06/05 1,011
1,990 Southern California Home Financing Authority,
Single Family Housing, Ser. A, Rev., FRDO,
1.34%, 09/01/04 1,990
1,000 Southern California Home Financing Authority,
Single Family Mortgage, Ser. B, Rev., FRDO,
1.45%, 09/16/04 1,000
3,100 Southern California Public Power Authority,
Transmission Project, Southern California Power,
Ser. A, Rev., FRDO, FSA, 1.32%, 09/01/04 3,100
600 Three Valleys Municipal Water District, Miramar
Water Treatment, COP, FRDO, 1.29%, 09/01/04 600
425 Upland Community Redevelopment Agency,
Multi-Family Housing, Northwoods Project,
Ser. 168-A, Rev., FRDO, 1.27%, 09/02/04 425
1,000 Visalia Unified School District, GO, TRAN,
2.00%, 09/04/04 1,000
------------------
140,397
</Table>
See notes to financial statements.
99
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PUERTO RICO -- 8.9%
$ 2,000 Municipal Securities Trust Certificates, Ser. 7005,
Class A, Special Obligation, FRDO, (p),
1.35%, 09/02/04 $ 2,000
1,000 Puerto Rico Commonwealth, 1.10%, 09/08/04 1,000
2,100 Puerto Rico Commonwealth, Floating Rate Trust
Receipts, Ser. M-4J, GO, FRDO, FSA, 1.32%, 09/01/04 2,100
1,235 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226,
1.31%, 09/02/04 1,235
1,700 Puerto Rico Electric Power Authority, Municipal
Securities Trust Receipts, Ser. SGA-43, Rev., FRDO,
MBIA, 1.35%, 09/01/04 1,700
2,000 Puerto Rico Electric Power Authority, Rev., FRDO,
1.35%, 09/02/04 2,000
448 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 815-D, Rev., FRDO, MBIA,
1.32%, 09/02/04 448
1,800 Puerto Rico Highway & Transportation Authority,
Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.35%, 09/02/04 1,800
170 Puerto Rico Highway & Transportation Authority,
Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA,
1.32%, 09/02/04 170
1,300 TICS/TOCS Trust, Commonwealth of Puerto Rico,
Ser. 2001-2, GO, FRDO, FSA, 1.34%, 09/02/04 1,300
------------------
13,753
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 154,150
(Cost $154,150) *
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
100
<Page>
JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND
Portfolio of Investments
As of August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- 100.0%
STATE AND MUNICIPAL OBLIGATIONS -- 100.0%
NEW YORK -- 96.3%
$ 8,985 ABN AMRO Munitops Certificate Trust, Ser. 2004-33,
Rev., FRDO, AMBAC, 1.35%, 09/01/04 $ 8,985
12,000 ABN AMRO Munitops Certificates Trust,
Ser. 1999-13, FRDO, FGIC, 1.34%, 09/01/04 12,000
385 Albany IDA, IDR, Newkirk Productions, Inc. Project,
Ser. A, Rev., FRDO, 1.37%, 09/09/04 385
2,300 Allegany County, IDA, Environmental Facilities,
Atlantic Richfield Project, Rev., FRDO,
1.37%, 09/01/04 2,300
1,000 Babylon IDA, IDR, Edwin Berger/Lambro Industries,
Rev., FRDO, 1.35%, 09/01/04 1,000
7,000 Board of Cooperative Educational Services of
Second Supervisory District, Westchester, GO, RAN,
2.00%, 09/30/04 7,005
7,950 Board of Cooperative Educational Services Sole
Supervisory District Oswego County, Rev., RAN,
2.00%, 12/30/04 7,971
5,000 Board of Cooperative Educational Services Sole
Supervisory District, Oswego County, St Lawrence,
GO, 2.88%, 06/24/05 5,044
5,000 Brookhaven-Comsewogue Union Free School
District, GO, BAN, 3.00%, 07/20/05 5,061
15,000 Chautauqua County, GO, TAN, 2.00%, 01/20/05 15,046
9,898 Corning City School District, GO, BAN,
2.65%, 06/30/05 9,979
10,000 Cornwall Central School District, GO, BAN,
1.75%, 10/15/04 10,008
6,700 Dutchess County IDA, Civic Facilities, Marist College,
Ser. A, Rev., FRDO, 1.33%, 09/02/04 6,700
1,600 Dutchess County IDA, Civic Facilities, Marist College,
Ser. A, Rev., FRDO, 1.33%, 09/02/04 1,600
4,000 Eagle Tax Exempt Trust, Weekly Option Mode,
Ser. 2002-6003, Class A, COP, Rev., FRDO, FSA, #,
1.34%, 09/02/04 4,000
3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser.
3C-7, Class A, FRDO, #, 1.34%, 09/02/04 3,300
5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser.
3C-7, Class A, FRDO, #, 1.34%, 09/02/04 5,990
12,085 Eagle Tax Exempt Trust, Weekly Option Mode, Ser.
94-3203, Class A, FRDO, #, 1.34%, 09/02/04 12,085
8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser.
94-3205, Class A, FRDO, #, 1.34%, 09/02/04 8,805
12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser.
96-3207, Class A, FRDO, #, 1.34%, 09/02/04 12,155
14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser.
96C-3208, Class A, FRDO, #, 1.34%, 09/02/04 14,850
</Table>
See notes to financial statements.
101
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 8,135 Eagle Tax Exempt Trust, Weekly Partner Certificate,
Class A, Rev., FRDO, AMBAC, #, 1.34%, 09/02/04 $ 8,135
2,700 Erie County Water Authority, Ser. A, Rev., FRDO,
AMBAC, 1.27%, 09/01/04 2,700
1,400 Erie County Water Authority, Ser. B, Rev., FRDO,
AMBAC, 1.27%, 09/01/04 1,400
2,700 Franklin County IDA, Civic Facilities, Trudeau
Institute, Inc. Project, Rev., FRDO, 1.32%, 09/01/04 2,700
530 Glens Falls IDA, IDR, Broad Street Center Project,
Rev., FRDO, 1.37%, 09/01/04 530
3,540 Great Neck North Water Authority, Water System,
Ser. A, Rev., FRDO, FGIC, 1.32%, 09/01/04 3,540
14,000 Guilderland Central School District, GO, BAN,
2.50%, 05/26/05 14,095
1,000 Guilderland IDA, IDR, Northeastern Industrial Park,
Ser. A, Rev., FRDO, 1.32%, 09/01/04 1,000
20,004 Haverstraw-Stony Point Central School District, GO,
BAN, 2.00%, 01/21/05 20,062
2,000 Islip IDA, Brentwood Distribution Co. Facility, Rev.,
FRDO, 1.35%, 09/09/04 2,000
5,000 Johnson City Central School District, GO, BAN,
2.75%, 06/17/05 5,040
5,000 Johnson City Central School District, GO, BAN,
3.00%, 06/17/05 5,049
8,780 Long Island Power Authority, Electric Systems,
Floating Rate Receipts, Ser. SG-125, 1.35%, 09/02/04 8,780
12,710 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-1051, Rev., FRDO, FSA,
1.34%, 09/02/04 12,710
4,360 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PA-841, Rev., FRDO, FSA,
1.35%, 09/02/04 4,360
2,695 Long Island Power Authority, Electric Systems,
FLOATS, Ser. PT-386, Rev., 1.34%, 09/02/04 2,695
2,662 Long Island Power Authority, Electric Systems, Ser. 7,
Sub Ser. 7-A, Rev., FRDO, MBIA, 1.27%, 09/01/04 2,662
2,000 Long Island Power Authority, Electric Systems, Ser. 7,
Sub Ser. 7-B, Rev., FRDO, MBIA, 1.32%, 09/01/04 2,000
300 Long Island Power Authority, Electric Systems,
Ser. D, Rev., FRDO, FSA, 1.33%, 09/01/04 300
3,500 Long Island Power Authority, Electric Systems,
Ser. G, Rev, FRDO, FSA, 1.28%, 09/01/04 3,500
3,600 Long Island Power Authority, Electric Systems, Sub
Ser. 3-B, Rev., FRDO, 1.30%, 09/01/04 3,600
15,100 Metropolitan Transportation Authority,
1.00%, 10/12/04 15,100
15,000 Metropolitan Transportation Authority,
1.00%, 10/14/04 15,000
</Table>
See notes to financial statements.
102
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 10,000 Metropolitan Transportation Authority,
1.10%, 10/08/04 $ 10,000
10,800 Metropolitan Transportation Authority,
1.15%, 10/07/04 10,800
7,660 Metropolitan Transportation Authority, Dedicated
Tax Fund, FLOATS, Ser. PT-2290, Rev., FRDO, FSA,
1.35%, 11/15/04 7,660
290 Metropolitan Transportation Authority, Dedicated
Tax Fund, Ser. B, Rev., FRDO, FSA, 1.33%, 09/02/04 290
3,300 Metropolitan Transportation Authority, EAGLE,
Ser. 2002-6021, Class A, Rev., FRDO, MBIA,
1.34%, 09/02/04 3,300
5,000 Metropolitan Transportation Authority, EAGLE,
Ser. 2002-6028, Class A, Rev., FRDO, MBIA,
1.34%, 09/02/04 5,000
5,970 Metropolitan Transportation Authority, FLOATS,
Ser. PT-1547, Rev., FRDO, FGIC, 1.35%, 09/03/04 5,970
9,920 Metropolitan Transportation Authority, Ser. 848-D,
Rev., FRDO, FGIC, 1.34%, 09/02/04 9,920
14,905 Metropolitan Transportation Authority, Ser. B-16,
Rev., FRDO, FGIC-MBIA, 1.37%, 09/01/04 14,905
600 Metropolitan Transportation Authority, Ser. D-2,
Rev., FRDO, FSA, 1.33%, 09/02/04 600
4,200 Metropolitan Transportation Authority, Ser. G-1,
Rev., FRDO, AMBAC, 1.29%, 09/02/04 4,200
1,700 Metropolitan Transportation Authority, Ser. G-2,
Rev., FRDO, AMBAC, 1.29%, 09/02/04 1,700
9,995 Metropolitan Transportation Authority, Service
Contract, FLOATS, Ser. PA-1042R, Rev., FRDO,
MBIA, 1.35%, 09/01/04 9,995
5,405 Metropolitan Transportation Authority, Service
Contract, FLOATS, Ser. PA-1105, Rev., FRDO,
1.35%, 09/01/04 5,405
7,000 Metropolitan Transportation Authority, Sub Ser. A-2,
GO, FRDO, 1.33%, 09/02/04 7,000
15,000 Monroe County, GO, RAN, 2.50%, 04/15/05 15,095
4,000 Monroe Woodbury Central School District, GO, TAN,
2.75%, 10/22/04 4,006
10,000 Municipal Securities Trust Certificates, Ser. 2001-116,
Class A, Rev., FRDO, #, 1.37%, 09/01/04 10,000
9,990 Municipal Securities Trust Certificates, Ser. 9059,
Class A, Rev., FRDO, FSA, #, 1.38%, 09/01/04 9,990
1,820 Nassau County Interim Finance Authority, FLOATS,
Ser. PA-901, Rev., FRDO, AMBAC, 1.35%, 09/03/04 1,820
1,250 Nassau County Interim Finance Authority,
Municipal Securities Trust Receipts, Special Tax,
Ser. SGA-108, FRDO, 1.37%, 09/01/04 1,250
6,190 Nassau County Interim Finance Authority, Sales Tax
Secured, Ser. A, Rev., FRDO, FSA, 1.33%, 09/01/04 6,190
</Table>
See notes to financial statements.
103
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 5,000 Nassau County, Ser. B, GO, TAN, 2.00%, 10/15/04 $ 5,005
1,800 New York City Housing Development Corp.,
Multi-Family Housing, 2 Gold Street, Ser. A, Rev.,
FRDO, 1.33%, 09/01/04 1,800
5,400 New York City Housing Development Corp.,
Multi-Family Housing, 55 Pierrepont Development,
Ser. A, Rev., FRDO, 1.33%, 09/01/04 5,400
10,000 New York City Housing Development Corp.,
Multi-Family Housing, 90 West Street, Ser. A,
Rev., FRDO, 1.33%, 09/01/04 10,000
2,500 New York City, New York, Housing Development
Corp., Multi-Family Housing, Carnegie Park,
Ser. A, Rev., FRDO, 1.32%, 09/01/04 2,500
3,400 New York City Housing Development Corp.,
Multi-Family Rental Housing, 100 Jane Street
Development, Ser. A, Rev., FRDO, 1.35%, 09/01/04 3,400
3,300 New York City Housing Development Corp.,
Multi-Family Rental Housing, Columbus Green,
Ser. A, Rev., FRDO, 1.32%, 09/01/04 3,300
200 New York City Housing Development Corp.,
Multi-Family Rental Housing, Lyric Development,
Ser. A, Rev., FRDO, 1.35%, 09/01/04 200
10,900 New York City Housing Development Corp.,
Multi-Family Rental Housing, Ser. A, Rev., FRDO,
1.35%, 09/01/04 10,900
300 New York City Housing Development Corp.,
Multi-Family Rental Housing, Tribeca Tower,
Ser. A, Rev., FRDO, 1.35%, 09/01/04 300
3,300 New York City Housing Development Corp.,
Multi-Family Rental Housing, West 43rd Street
Development, Ser. A, Rev., FRDO, 1.35%, 09/01/04 3,300
2,400 New York City Housing Development Corp.,
Multi-Family Rental Housing, West 89th Street
Development, Ser. A, Rev., FRDO, 1.35%, 09/01/04 2,400
3,000 New York City IDA, Ahava Food Corp. Project, Rev.,
FRDO, 1.35%, 09/02/04 3,000
2,000 New York City IDA, Civic Facilities, Abraham Joshua
Heschel Project, Rev., FRDO, 1.35%, 09/09/04 2,000
3,200 New York City IDA, Civic Facilities, Allen-Stevenson
School, Rev., FRDO, 1.30%, 09/02/04 3,200
9,725 New York City IDA, Civic Facilities, Columbia
Grammar & Prep School, Rev., FRDO,
1.30%, 09/02/04 9,725
1,600 New York City IDA, Civic Facilities, Hewitt School
Project, Rev., FRDO, 1.30%, 09/02/04 1,600
4,610 New York City IDA, Civic Facilities, Jamaica First
Packaging LLC Project, Rev., FRDO,
1.33%, 09/02/04 4,610
</Table>
See notes to financial statements.
104
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 580 New York City IDA, Civic Facilities, Municipal
Securities Trust Receipts, Ser. SGA-110, Rev., FRDO,
1.37%, 09/01/04 $ 580
5,400 New York City IDA, Special Facilities, Korean
Airlines Co., Ser. C, Rev., FRDO, 1.31%, 09/01/04 5,400
20,000 New York City Municipal Water Finance Authority,
1.18%, 11/04/04 20,000
15,000 New York City Municipal Water Finance Authority,
1.18%, 11/04/04 15,000
8,000 New York City Municipal Water Finance Authority,
Water & Sewer System, Ser. F, Sub Ser. F-1, Rev.,
FRDO, 1.30%, 09/02/04 8,000
4,500 New York City Municipal Water Finance Authority,
Water & Sewer System, Ser. F, Sub Ser. F-2, Rev.,
FRDO, 1.26%, 09/01/04 4,500
3,700 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Fiscal Year 2003,
Sub Ser. C-3, Rev., FRDO, 1.33%, 09/01/04 3,700
2,900 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1076,
Rev., FRDO, 1.37%, 09/02/04 2,900
5,100 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-1085,
Rev., FRDO, FGIC, 1.35%, 09/07/04 5,100
8,410 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-447,
Rev., FRDO, FGIC, 1.34%, 09/07/04 8,410
6,495 New York City Municipal Water Finance Authority,
Water & Sewer Systems, FLOATS, Ser. PA-900, Rev.,
FRDO, 1.37%, 09/02/04 6,495
2,390 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Municipal Securities Trust
Receipts, Ser. SGB-25, Rev., FRDO, MBIA,
1.34%, 09/02/04 2,390
1,250 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC,
1.30%, 09/01/04 1,250
3,000 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC,
1.32%, 09/01/04 3,000
1,500 New York City Municipal Water Finance Authority,
Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC,
1.32%, 09/01/04 1,500
4,900 New York City Transit Authority, Metropolitan
Transportation Authority, Floating Rate Trust
Receipts, Triborough, COP, Ser. PMD-10, FRDO,
AMBAC, 1.42%, 09/02/04 4,900
</Table>
See notes to financial statements.
105
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 20,000 New York City Transitional Finance Authority,
Floating Rate Receipts, Ser. L-21, Regulation D,
Rev., FRDO, 1.37%, 09/01/04 $ 20,000
600 New York City Transitional Finance Authority,
Future Tax Secured, Ser. A-2, Rev., FRDO,
1.33%, 09/01/04 600
15,600 New York City Transitional Finance Authority,
Future Tax Secured, Ser. B, Rev., FRDO,
1.30%, 09/01/04 15,600
1,000 New York City Transitional Finance Authority,
Future Tax Secured, Sub Ser. C-5, Rev., FRDO,
1.36%, 09/01/04 1,000
5,200 New York City Transitional Finance Authority,
New York City Recovery, Ser. 1, Sub Ser. 1-A, Rev.,
FRDO, 1.33%, 09/01/04 5,200
2,900 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO,
1.30%, 09/02/04 2,900
2,200 New York City Transitional Finance Authority,
Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO,
1.30%, 09/02/04 2,200
2,010 New York City Transitional Finance Authority,
Ser. 2003-1, FRDO, FGIC, 1.35%, 09/02/04 2,010
2,480 New York City Transitional Finance Authority,
Ser. 2003-7, Rev., FRDO, 1.35%, 09/02/04 2,480
10,000 New York City Transitional Finance Authority,
Ser. 48, Rev., FRDO, 1.35%, 09/02/04 10,000
22,170 New York City Transitional Finance Authority,
Ser. A-40, Rev., FRDO, MBIA-IBC, 1.37%, 09/01/04 22,170
4,975 New York City Transitional Finance Authority,
Ser. RR-II-R-4052, Rev., FRDO, 1.34%, 09/02/04 4,975
10,700 New York City Transitional Finance Authority, Sub
Ser. 2-A, Rev., FRDO, 1.30%, 09/01/04 10,700
1,900 New York City Trust for Cultural Resources, Alvin
Ailey Dance Foundation, Rev., FRDO,
1.25%, 09/01/04 1,900
10,210 New York City Trust for Cultural Resources, Floating
Certificates, Ser. 162, Rev., FRDO, AMBAC,
1.34%, 09/02/04 10,210
1,500 New York City Trust for Cultural Resources,
Municipal Securities Trust Receipts, Ser. SGA-91,
Rev., FRDO, AMBAC, 1.34%, 09/01/04 1,500
14,500 New York City, New York, 1.20%, 11/08/04 14,500
8,375 New York City, New York, FLOATS, Ser. PT-1670, GO,
FRDO, AMBAC, 1.34%, 09/02/04 8,375
9,245 New York City, New York, FLOATS, Ser. PT-405,
1.35%, 09/02/04 9,245
1,300 New York City, New York, Municipal Securities Trust
Receipts, Ser. SG-109, 1.35%, 09/02/04 1,300
</Table>
See notes to financial statements.
106
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,000 New York City, New York, Municipal Securities Trust
Receipts, Ser. SGA-51, FRDO, AMBAC,
1.37%, 09/01/04 $ 1,000
60 New York City, New York, Municipal Securities Trust
Receipts, Ser. SGB-33, GO, FRDO, FSA,
1.34%, 09/02/04 60
500 New York City, New York, Municipal Water Finance
Authority, Water & Sewer Systems, Ser. G, Rev.,
FRDO, FGIC, 1.33%, 09/01/04 500
1,000 New York City, New York, Ser B-2, Sub Ser. B-5, GO,
FRDO, MBIA, 1.34%, 09/01/04 1,000
9,635 New York City, New York, Ser. A-36, GO, FRDO,
AMBAC, 1.75%, 06/08/05 9,635
1,800 New York City, New York, Ser. B, Sub Ser. B-4, GO,
FRDO, MBIA, 1.32%, 09/01/04 1,800
3,100 New York City, New York, Ser. B, Sub Ser. B-6, GO,
FRDO, MBIA, 1.34%, 09/01/04 3,100
3,000 New York City, New York, Ser. F-2, GO, FRDO,
1.32%, 09/01/04 3,000
2,800 New York City, New York, Ser. F-4, GO, FRDO,
1.33%, 09/01/04 2,800
2,100 New York City, New York, Ser. H, Sub Ser. -H2, GO,
FRDO, MBIA, 1.35%, 09/01/04 2,100
100 New York City, New York, Ser. H, Sub Ser. -H3, GO,
FRDO, FSA, 1.33%, 09/01/04 100
100 New York City, New York, Ser. H, Sub Ser. -H3, GO,
FRDO, FSA, 1.33%, 09/01/04 100
2,800 New York City, New York, Ser. H, Sub Ser. -H6, GO,
FRDO, MBIA, 1.27%, 09/01/04 2,800
2,800 New York City, New York, Ser. H, Sub Ser. -H6, GO,
FRDO, MBIA, 1.27%, 09/01/04 2,800
700 New York City, New York, Ser. H, Sub Ser. -H6, GO,
FRDO, MBIA, 1.27%, 09/01/04 700
3,000 New York City, New York, Sub Ser. A-4, GO, FRDO,
1.30%, 09/01/04 3,000
2,100 New York City, New York, Sub Ser. A-4, GO, FRDO,
1.30%, 09/01/04 2,100
3,500 New York City, New York, Sub Ser. A-4, GO, FRDO,
1.32%, 09/01/04 3,500
2,200 New York City, New York, Sub Ser. A-5, GO, FRDO,
1.32%, 09/01/04 2,200
650 New York City, New York, Sub Ser. A-6, GO, FRDO,
1.28%, 09/01/04 650
7,800 New York City, New York, Sub Ser. A-6, GO, FRDO,
1.32%, 09/01/04 7,800
10,660 New York City, New York, Sub Ser. A-6, GO, FRDO,
FSA, 1.30%, 09/01/04 10,660
5,000 New York City, New York, Sub Ser. C-2, GO, FRDO,
1.33%, 09/01/04 5,000
</Table>
See notes to financial statements.
107
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 4,200 New York City, New York, Sub Ser. C-4, GO, FRDO,
1.32%, 09/01/04 $ 4,200
3,000 New York City, New York, Sub Ser. C-5, GO, FRDO,
1.30%, 09/01/04 3,000
5,300 New York City, New York, Sub Ser. G-3, GO, FRDO,
1.32%, 09/01/04 5,300
8,905 New York City, New York, Sub Ser. -h1, GO, FRDO,
1.30%, 09/01/04 8,905
1,500 New York City, New York, Sub Ser. -h2, GO, FRDO,
1.30%, 09/01/04 1,500
13,000 New York City, New York, Sub Ser. -h3, GO, FRDO,
1.34%, 09/01/04 13,000
3,000 New York City, New York, Sub Ser. -h4, GO, FRDO,
1.33%, 09/01/04 3,000
1,100 New York City, New York, Sub. Ser. E-3, GO, FRDO,
1.33%, 09/01/04 1,100
1,500 New York City, New York, Sub. Ser. E-4, GO, FRDO,
1.33%, 09/01/04 1,500
120 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-100, Rev., FRDO,
MBIA-IBC, 1.34%, 09/02/04 120
1,195 New York Local Government Assistance Corp.,
Floating Rate Receipts, Ser. SG-99, Rev., FRDO,
AMBAC, 1.34%, 09/01/04 1,195
600 New York Local Government Assistance Corp.,
Municipal Securities Trust Receipts, Ser. SGA-59,
Rev., FRDO, 1.34%, 09/01/04 600
900 New York Local Government Assistance Corp.,
Ser. A, Rev., FRDO, 1.32%, 09/01/04 900
14,800 New York Local Government Assistance Corp.,
Ser. B, Rev., FRDO, 1.32%, 09/01/04 14,800
1,250 New York Local Government Assistance Corp.,
Ser. C, Rev., FRDO, 1.32%, 09/01/04 1,250
4,700 New York Local Government Assistance Corp.,
Ser. D, Rev., FRDO, 1.32%, 09/01/04 4,700
7,600 New York Local Government Assistance Corp.,
Ser. G, Rev., FRDO, 1.27%, 09/01/04 7,600
7,900 New York Local Government Assistance Corp., Sub
Lien, Ser. A-6V, Rev., FRDO, FSA, 1.32%, 09/01/04 7,900
2,855 New York Mortgage Agency, FLOATS, Ser. PT-1190,
Rev., FRDO, 1.37%, 09/02/04 2,855
8,000 New York State, 1.02%, 10/08/04 + 8,000
3,660 New York State Dorm Authority, Beverwyck, Inc.,
Rev., FRDO, 1.35%, 09/01/04 3,660
4,415 New York State Dorm Authority, FLOATS, Ser.
PA-409, Rev., FRDO, AMBAC, 1.34%, 09/02/04 4,415
2,670 New York State Dorm Authority, FLOATS, Ser.
PA-419, Rev., FRDO, 1.34%, 09/02/04 2,670
</Table>
See notes to financial statements.
108
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,545 New York State Dorm Authority, FLOATS, Ser.
PA-449, Rev., 1.34%, 09/02/04 $ 3,545
9,340 New York State Dorm Authority, FLOATS, Ser.
PA-541, Rev., 1.34%, 09/02/04 9,340
800 New York State Dorm Authority, FLOATS, Ser.
PA-784, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 800
860 New York State Dorm Authority, FLOATS, Ser.
PT-130, Rev., 1.34%, 09/02/04 860
5,820 New York State Dorm Authority, FLOATS, Ser.
PT-1447, Rev., FRDO, MBIA, 1.34%, 09/07/04 5,820
4,165 New York State Dorm Authority, FLOATS, Ser.
PT-1621, Rev., FRDO, MBIA, 1.34%, 09/07/04 4,165
4,870 New York State Dorm Authority, FLOATS, Ser.
PT-1742, Rev., FRDO, MBIA, 1.34%, 09/07/04 4,870
8,140 New York State Dorm Authority, FLOATS, Ser.
PT-407, Rev., FRDO, AMBAC, 1.35%, 09/01/04 8,140
3,400 New York State Dorm Authority, Mental Health
Services, Sub Ser. D-2E, Rev., FRDO, 1.33%, 09/02/04 3,400
4,000 New York State Dorm Authority, Municipal
Securities Trust Receipts, Ser. SGA-132, Rev., FRDO,
1.37%, 09/01/04 4,000
430 New York State Dorm Authority, New York Public
Library, Ser. A, Rev., FRDO, MBIA, 1.32%, 09/01/04 430
2,375 New York State Dorm Authority, Oxford University
Press, Inc., Rev., FRDO, 1.36%, 09/01/04 2,375
6,645 New York State Dormitory Authority, FLOATS, Ser.
PA-199, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 6,645
25,000 New York State Eagle Trust, FRDO, 1.34%, 09/02/04 25,000
5,600 New York State Energy Research & Development
Authority, PCR, Orange & Rockland Project, Ser. A,
Rev., FRDO, FGIC, 1.27%, 09/01/04 5,600
16,385 New York State Environmental Facilities Corp., PCR,
FLOATS, Ser. PA-1261, Rev., FRDO, MBIA,
1.65%, 09/07/04 16,385
3,900 New York State Housing Finance Agency, 10 Liberty
Street, Rev., FRDO, 1.32%, 09/01/04 3,900
17,600 New York State Housing Finance Agency,
101 West End, Rev., FRDO, 1.31%, 09/01/04 17,600
9,150 New York State Housing Finance Agency,
101 West End, Rev., FRDO, 1.31%, 09/01/04 9,150
3,400 New York State Housing Finance Agency, 150 East
44th Street Housing, Ser. A, Rev., FRDO,
1.31%, 09/01/04 3,400
3,000 New York State Housing Finance Agency, 150 East
44th Street, Ser. A, Rev., FRDO, 1.31%, 09/01/04 3,000
4,400 New York State Housing Finance Agency, 345 East
94th Street Housing, Ser. A, Rev., FRDO,
1.31%, 09/01/04 4,400
</Table>
See notes to financial statements.
109
<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,
1.35%, 09/01/04 $ 6,800
5,000 New York State Housing Finance Agency, 360 West
43rd Street, Rev., FRDO, 1.37%, 09/01/04 5,000
3,000 New York State Housing Finance Agency, 360 West
43rd Street, Ser. A, Rev., FRDO, 1.37%, 09/01/04 3,000
10,000 New York State Housing Finance Agency, Avalon
Chrystie Place I Housing, Ser. A, Rev., FRDO,
1.33%, 09/01/04 10,000
10,300 New York State Housing Finance Agency,
Bennington Hills Housing, Ser. A, Rev., FRDO,
1.37%, 09/01/04 10,300
8,100 New York State Housing Finance Agency, East
84th Street, Ser. A, Rev., FRDO, 1.35%, 09/01/04 8,100
8,535 New York State Housing Finance Agency, FLOATS,
Ser. PA-423, Rev., 1.34%, 09/02/04 8,535
5,395 New York State Housing Finance Agency, FLOATS,
Ser. PA-805, Rev., FRDO, FSA, 1.34%, 09/02/04 5,395
3,600 New York State Housing Finance Agency, Lakeview
Homes, Ser. II-A, Rev., FRDO, 1.38%, 09/01/04 3,600
4,600 New York State Housing Finance Agency,
Multi-Family Housing, Secured Mortgage, Ser. A,
Rev., FRDO, 1.35%, 09/01/04 4,600
200 New York State Housing Finance Agency,
Multi-Family Housing, Ser. A, Rev., FRDO,
1.35%, 09/01/04 200
3,400 New York State Housing Finance Agency, Normandie
Court I Project, Rev., FRDO, 1.34%, 09/01/04 3,400
10,000 New York State Housing Finance Agency, Ser. A,
Rev., FRDO, 1.32%, 09/01/04 10,000
10,000 New York State Housing Finance Agency, Ser. A,
Rev., FRDO, 1.35%, 09/01/04 10,000
1,100 New York State Housing Finance Agency, Ser. A,
Rev., FRDO, 1.37%, 09/01/04 1,100
9,500 New York State Housing Finance Agency, Ser. I,
Rev., FRDO, 1.33%, 09/01/04 9,500
11,000 New York State Housing Finance Agency, Service
Contract, Ser. E, Rev., FRDO, 1.32%, 09/01/04 11,000
10,500 New York State Housing Finance Agency, Tallyrand
Crescent, Rev., FRDO, 1.30%, 09/01/04 10,500
4,200 New York State Housing Finance Agency, Union
Square South Housing, Rev., FRDO, 1.35%, 09/01/04 4,200
15,000 New York State Housing Finance Agency, West
23rd Street, Ser. A, Rev., FRDO, 1.31%, 09/01/04 15,000
8,400 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-113, Rev., FRDO,
1.34%, 09/02/04 8,400
</Table>
See notes to financial statements.
110
<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,
1.37%, 09/02/04 $ 5,625
3,125 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-72, Rev., #, 1.37%, 09/02/04 3,125
8,140 New York State Medical Care Facilities Finance
Agency, FLOATS, Ser. PA-82, Rev., 1.37%, 09/02/04 8,140
11,125 New York State Medical Care Facilities Finance
Agency, New York Hospital, Ser. A, Rev.,
AMBAC, (p), 6.50%, 02/15/05 11,601
13,100 New York State Thruway Authority, Floating Rate
Receipts, Ser. SG-121, Rev., FRDO, 1.37%, 09/02/04 13,100
13,675 New York State Thruway Authority, Floating Rate
Trust Receipts, Ser. SG-119, Rev., FRDO,
1.33%, 09/01/04 13,675
1,685 New York State Thruway Authority, Municipal
Securities Trust Receipts, Ser. SGA-66, Rev., FRDO,
1.37%, 09/01/04 1,685
9,100 New York State Urban Development Corp., Floating
Rate Trust Receipts, Ser. SG-163, Rev.,
1.34%, 09/02/04 9,100
4,115 New York State Urban Development Corp., FLOATS,
Ser. PT-1669, Rev., FRDO, FGIC, 1.34%, 09/02/04 4,115
2,000 New York State, Housing Finance Agency, Saxony
Housing, 240 E. 39th St. Housing, Rev., FRDO,
1.36%, 09/01/04 2,000
2,200 New York State, Local Government Assistance Corp.,
Ser. F, Rev., FRDO, 1.32%, 09/01/04 2,200
24,675 New York State, Power Authority, General Purpose,
GO, FRDO, 0.95%, 09/01/04 24,675
9,500 New York State, Ser. A, GO, FRDO, 1.05%, 10/07/04 9,500
4,995 Niagara Falls Bridge Commission, Tolls, FLOATS, Ser.
PA-530, 1.34%, 09/02/04 4,995
5,000 Niagara Falls City School District, Ser. B, GO, RAN,
2.50%, 10/08/04 5,004
6,820 Oneida County IDA, Champion Home, Rev., FRDO,
1.34%, 09/02/04 6,820
2,995 Oneida County IDA, Rev., FRDO, 1.48%, 09/02/04 2,995
16,400 Oneida Indian Nation, Rev., FRDO, 1.28%, 09/01/04 16,400
5,050 Onondaga County IDA, IDR, Albany Molecular
Research Project, Rev., FRDO, 1.37%, 09/01/04 5,050
14,250 Onondaga County IDA, Solid Waste Disposal
Facilities, Solvay Paperboard Project, Ser. A, Rev.,
FRDO, 1.43%, 09/02/04 14,250
9,550 Onondaga County IDA, Solid Waste Disposal
Facility, Solvay Paperboard Project, Rev., FRDO,
1.43%, 09/02/04 9,550
</Table>
See notes to financial statements.
111
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 18,050 Onondaga County IDA, Solid Waste Disposal Facility,
Solvay Paperboard Project, Rev., FRDO,
1.43%, 09/02/04 $ 18,050
6,843 Oswego City School District, GO, BAN,
2.75%, 08/11/05 6,916
8,500 Oyster Bay, New York, Ser. A, GO, BAN,
2.00%, 01/21/05 8,528
4,000 Oyster Bay, New York, Ser. A, GO, TAN,
2.00%, 01/21/05 4,011
4,000 Plainedge Union Free School District, GO, TAN,
3.00%, 06/30/05 4,046
4,500 Port Authority of New York & New Jersey, FLOATS,
Ser. PA-1205, Rev., FRDO, 1.37%, 09/02/04 4,500
8,085 Port Authority of New York & New Jersey, FLOATS,
Ser. PT-2263, Rev., FRDO, FGIC, 1.34%, 09/01/04 8,085
12,655 Port Authority of New York & New Jersey, Trust
Receipts, Ser. 10, Class F, Rev., FRDO, FSA,
1.32%, 09/02/04 12,655
1,050 Port Jervis IDA, The Future Home Tech, Inc., Rev.,
FRDO, 1.43%, 09/01/04 1,050
6,360 Poughkeepsie IDA, Senior Living Facility, Manor at
Woodside Project, Rev., FRDO, 1.38%, 09/02/04 6,360
8,000 Rochester, New York, Ser. II, GO, BAN,
2.00%, 10/22/04 8,010
525 Rockland County IDA, IDR, X Products Corp. Project,
Rev., FRDO, 1.38%, 09/02/04 525
1,555 Rockland County IDA, Shock Tech, Inc. Project, Rev.,
FRDO, 1.48%, 09/01/04 1,555
5,000 Rome City School District, GO, BAN,
2.88%, 06/24/05 5,044
10,000 Rome City School District, GO, RAN,
2.88%, 06/24/05 10,087
4,690 Roosevelt Union Free School District, RAN,
2.63%, 06/23/05 4,725
13,620 Sidney Central School District, GO, BAN,
2.00%, 10/01/04 13,630
3,430 Suffolk County IDA, Civic Facilities, Guide Dog
Foundation, Inc., Rev., FRDO, 1.33%, 09/02/04 3,430
300 Suffolk County Water Authority, Rev., BAN, FRDO,
1.30%, 09/01/04 300
5,000 Suffolk County Water Authority, Rev., BAN, FRDO,
1.30%, 09/01/04 5,000
25,000 Suffolk County, GO, TAN, 2.00%, 09/08/04 25,004
3,325 Syracuse, New York, Ser. A, GO, RAN,
2.10%, 10/29/04 3,330
1,875 Syracuse, New York, Ser. B, GO, BAN,
2.25%, 05/27/05 1,882
10,425 Tobacco Settlement Financing Authority, Ser.
RR-II-R-1066, Rev., FRDO, AMBAC, 1.36%, 09/02/04 10,425
</Table>
See notes to financial statements.
112
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 7,495 Tobacco Settlement Financing Authority, Ser.
TOCS-2003, Rev., FRDO, 1.51%, 09/02/04 $ 7,495
7,400 Tompkins-Seneca-Tioga Board of Cooperative
Educational Services, Sole Supervisory, GO, RAN,
2.63%, 06/30/05 7,461
2,500 Triborough Bridge & Tunnel Authority, EAGLE Ser.
2003-2004, Class A, Rev., FRDO, FGIC,
1.34%, 09/02/04 2,500
6,000 Triborough Bridge & Tunnel Authority, FLOATER,
Ser. M1J, Regulation D, Rev., FRDO, MBIA-IBC,
1.37%, 09/01/04 6,000
7,675 Triborough Bridge & Tunnel Authority, FLOATS,
Ser. PA-1080, Rev., FRDO, 1.37%, 09/02/04 7,675
360 Triborough Bridge & Tunnel Authority, FLOATS, Ser.
PA-1090, Rev., FRDO, MBIA-IBC, 1.34%, 09/01/04 360
3,930 Triborough Bridge & Tunnel Authority, FLOATS, Ser.
PA-200, Rev., FRDO, (p), 1.37%, 09/02/04 3,930
4,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser.
PA-665, Rev., 1.37%, 09/02/04 4,995
100 Triborough Bridge & Tunnel Authority, General
Purpose, Ser. B, Rev., FRDO, AMBAC, 1.29%, 09/01/04 100
1,690 Triborough Bridge & Tunnel Authority, Special
Obligation, Ser. B, Rev., FRDO, FSA,
1.33%, 09/01/04 1,690
5,000 Utica City School District, GO, BAN, 2.00%, 09/24/04 5,002
10,000 Utica City School District, Ser. A, GO, RAN,
3.50%, 06/24/05 10,111
9,870 Walton Central School District, Ser. A, GO, BAN,
2.75%, 06/16/05 9,950
10,000 Waterloo Central School District, GO, BAN,
2.63%, 06/20/05 10,075
10,387 Watertown, New York, GO, BAN, 2.25%, 01/27/05 10,421
4,590 Westchester County IDA, Civic Facilities, Community
Housing Innovations, Inc., Rev., FRDO,
1.32%, 09/02/04 4,590
2,630 Westchester County IDA, Civic Facilities, The Masters
School, Rev., FRDO, 1.30%, 09/02/04 2,630
3,400 Williamson, New York, GO, BAN, 2.00%, 09/17/04 3,401
------------------
1,648,122
PUERTO RICO -- 3.7%
10,045 Municipal Securities Trust Certificates, Ser. 7005,
Class A, Special Obligation, FRDO, (p),
1.35%, 09/02/04 10,045
7,163 Puerto Rico Commonwealth, 1.10%, 09/01/04 7,163
4,700 Puerto Rico Commonwealth, 1.15%, 10/13/04 4,700
10,697 Puerto Rico Commonwealth, 1.23%, 10/19/04 10,697
6,000 Puerto Rico Commonwealth, Floating Rate Trust
Receipts, Ser. M-4J, GO, FRDO, FSA,
1.32%, 09/01/04 6,000
</Table>
See notes to financial statements.
113
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET INSTRUMENTS -- CONTINUED
PUERTO RICO -- CONTINUED
$ 360 Puerto Rico Commonwealth, FLOATS, Ser. PA-625,
GO, FRDO, AMBAC, 1.31%, 09/02/04 $ 360
150 Puerto Rico Commonwealth, Trust Receipts, Ser. 3,
Class F, GO, FRDO, MBIA, 1.32%, 09/02/04 150
1,294 Puerto Rico Highway & Transportation Authority,
FLOATS, Ser. 815-D, Rev., FRDO, MBIA,
1.32%, 09/02/04 1,294
895 Puerto Rico Highway & Transportation Authority,
Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.35%, 09/02/04 895
21,330 Puerto Rico Infrastructure Financing Authority,
Ser. 2, Special Obligation, FRDO, 1.34%, 09/02/04 21,330
------------------
62,634
- -------------------------------------------------------------------------------------------------------------
Total Investments -- 100.0% $ 1,710,756
(Cost $1,710,756)*
- -------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
114
<Page>
JPMORGAN FUNDS
Abbreviations:
* -- The cost of securities is substantially the same for federal income
tax purposes.
^ -- Amount rounds to less than 0.1%
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
+ -- All or a portion of this security is segregated with the custodian
for TBA, when issued, delayed delivery securities, and reverse
repurchase agreements.
(i) -- Security is illiquid and may be difficult to sell.
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the earlier of the reset date and the date of the
prerefunded call.
Adj. -- Adjustable. Maturity date shown is actual maturity date. The interest
rate shown is the rate in effect at August 31, 2004.
ACES -- Auction Rate Securities.
AMBAC American Municipal Bond Assurance Corp.
BAN -- Bond Anticipation Note.
COP -- Certificates of Participation.
DN -- Discount Note: The rate shown is the effective yield at the date
of purchase.
EAGLE -- Earnings of accrual generated on local tax-exempt securities.
FGIC -- Financial Guaranty Insurance Co.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next
interest reset date. The interest rate shown is the rate in effect at
August 31, 2004.
FRN -- Floating Rate Note. The maturity date shown is the actual maturity
date. The rate shown is the rate in effect at August 31, 2004.
FSA -- Financial Security 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 Investors Assurance Corporation.
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.
TAN -- Tax Anticipation Note.
TAW -- Tax Anticipation Warrant.
TRAN -- Tax & Revenue Anticipation Note.
USD -- United States Dollar.
See notes to financial statements.
115
<Page>
JPMORGAN FUNDS
Statement of Assets and Liabilities
As of August 31, 2004
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
PRIME
MONEY MARKET
FUND
- --------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 43,939,081
Repurchase agreements, at value 5,038,707
- --------------------------------------------------------------------------------------
Total investment securities, at value 48,977,788
- --------------------------------------------------------------------------------------
Cash 1
Receivables:
Fund shares sold 1,503
Interest 76,636
- --------------------------------------------------------------------------------------
Total Assets 49,055,928
- --------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 21,883
Accrued liabilities:
Investment advisory fees 4,031
Administration fees 3,144
Shareholder servicing fees 3,088
Distribution fees 99
Custodian fees 434
Trustees' fees -- deferred compensation plan 982
Other 1,427
- --------------------------------------------------------------------------------------
Total Liabilities 35,088
- --------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 49,020,841
Accumulated net realized gain (loss) on investments (1)
- --------------------------------------------------------------------------------------
Total Net Assets $ 49,020,840
- --------------------------------------------------------------------------------------
Morgan $ 3,919,246
Premier $ 5,887,641
Agency $ 11,669,540
Class B $ 8,247
Class C $ 661
Institutional $ 26,513,965
Reserve $ 269,516
Select $ 667,459
Cash Management $ 84,565
- --------------------------------------------------------------------------------------
Total $ 49,020,840
- --------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of shares authorized)
Morgan 3,919,166
Premier 5,887,645
Agency 11,669,427
Class B 8,256
Class C 661
Institutional 26,514,862
Reserve 269,525
Select 667,371
Cash Management 84,569
Net asset value, offering and redemption price per share (all classes)* $ 1.00
- --------------------------------------------------------------------------------------
Cost of investments $ 48,977,788
======================================================================================
</Table>
* Redemption price for Class B and Class C may be reduced by contingent
deferred sales charge.
See notes to financial statements.
116
<Page>
<Table>
<Caption>
LIQUID ASSETS U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
- ----------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 2,402,388 $ 6,683,554
Repurchase agreements, at value 227,424 2,473,679
- ----------------------------------------------------------------------------------------------------------
Total investment securities, at value 2,629,812 9,157,233
- ----------------------------------------------------------------------------------------------------------
Cash --^ 1
Receivables:
Fund shares sold 305 2
Interest 7,101 13,459
- ----------------------------------------------------------------------------------------------------------
Total Assets 2,637,218 9,170,695
- ----------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 528 3,240
Accrued liabilities:
Investment advisory fees 230 757
Administration fees 46 227
Shareholder servicing fees 51 1,184
Distribution fees -- 81
Custodian fees 29 81
Trustees' fees -- deferred compensation plan 10 429
Other 145 357
- ----------------------------------------------------------------------------------------------------------
Total Liabilities 1,039 6,356
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 2,636,133 9,164,294
Accumulated net realized gain (loss) on investments 46 45
- ----------------------------------------------------------------------------------------------------------
Total Net Assets $ 2,636,179 $ 9,164,339
- ----------------------------------------------------------------------------------------------------------
Morgan $ 20,692 $ 2,615,486
Premier $ 53,109 $ 537,458
Agency $ 336,624 $ 3,790,487
Institutional $ 2,225,754 $ 2,220,908
- ----------------------------------------------------------------------------------------------------------
Total $ 2,636,179 $ 9,164,339
- ----------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized)
Morgan 20,691 2,615,543
Premier 53,109 537,448
Agency 336,621 3,790,455
Institutional 2,225,713 2,220,892
Net asset value, offering and redemption
price per share (all classes) $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------
Cost of investments $ 2,629,812 $ 9,157,233
==========================================================================================================
</Table>
^Amount rounds to less than one thousand.
See notes to financial statements.
117
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET MONEY MARKET
FUND FUND
- -----------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 987,551 $ 2,954,848
Repurchase agreements, at value 3,040,556 --
- -----------------------------------------------------------------------------------------------------------
Total investment securities, at value 4,028,107 2,954,848
- -----------------------------------------------------------------------------------------------------------
Cash --^ 20
Receivables:
Interest 4,499 4,859
Expense reimbursements 2 --
- -----------------------------------------------------------------------------------------------------------
Total Assets 4,032,608 2,959,727
- -----------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 1,681 1,772
Accrued liabilities:
Investment advisory fees 336 248
Administration fees 245 99
Shareholder servicing fees 560 313
Distribution fees 67 8
Custodian fees 52 36
Trustees' fees -- deferred compensation plan 163 75
Other 244 177
- -----------------------------------------------------------------------------------------------------------
Total Liabilities 3,348 2,728
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 4,029,220 2,957,036
Accumulated undistributed (overdistributed)
net investment income (46) (24)
Accumulated net realized gain (loss) on investments 86 (13)
- -----------------------------------------------------------------------------------------------------------
Total Net Assets $ 4,029,260 $ 2,956,999
- -----------------------------------------------------------------------------------------------------------
Morgan $ 783,044 $ 238,643
Premier $ 1,113,625 $ 1,057,504
Agency $ 1,037,159 $ 389,465
Institutional $ 895,495 $ 1,271,387
Reserve $ 199,937 $ --
- -----------------------------------------------------------------------------------------------------------
Total $ 4,029,260 $ 2,956,999
- -----------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized)
Morgan 783,098 238,650
Premier 1,113,692 1,057,992
Agency 1,037,012 389,456
Institutional 895,518 1,271,413
Reserve 199,952 --
Net asset value, offering and redemption
price per share (all classes) $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------
Cost of investments $ 4,028,107 $ 2,954,848
===========================================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
118
<Page>
<Table>
<Caption>
100% U.S.
TREASURY SECURITIES TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- ----------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 5,191,964 $ 14,465,831
Cash 1 --
Receivables:
Fund shares sold 4 10
Interest 6,462 28,938
Expense reimbursements 2 --
- ----------------------------------------------------------------------------------------------------------
Total Assets 5,198,433 14,494,779
- ----------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Due to custodian -- 310
Dividends 1,851 5,859
Investment securities purchased -- 21,508
Accrued liabilities:
Investment advisory fees 436 1,223
Administration fees 379 1,052
Shareholder servicing fees 715 1,090
Distribution fees 25 13
Custodian fees 46 132
Trustees' fees -- deferred compensation plan 236 131
Other 458 434
- ----------------------------------------------------------------------------------------------------------
Total Liabilities 4,146 31,752
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 5,194,281 14,464,454
Accumulated undistributed (overdistributed)
net investment income -- (3,704)
Accumulated net realized gain (loss) on investments 6 2,277
- ----------------------------------------------------------------------------------------------------------
Total Net Assets $ 5,194,287 $ 14,463,027
- ----------------------------------------------------------------------------------------------------------
Morgan $ 1,868,692 $ 566,501
Premier $ 564,734 $ 4,038,922
Agency $ 784,065 $ 1,173,270
Institutional $ 1,976,796 $ 8,684,334
- ----------------------------------------------------------------------------------------------------------
Total $ 5,194,287 $ 14,463,027
- ----------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized)
Morgan 1,868,889 567,251
Premier 564,729 4,039,341
Agency 783,923 1,173,582
Institutional 1,976,812 8,684,090
Net asset value, offering and redemption
price per share (all classes) $ 1.00 $ 1.00
- ----------------------------------------------------------------------------------------------------------
Cost of investments $ 5,191,964 $ 14,465,831
==========================================================================================================
</Table>
See notes to financial statements.
119
<Page>
<Table>
<Caption>
CALIFORNIA NEW YORK
TAX FREE TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- -------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at value $ 154,150 $ 1,710,756
Cash 26 7
Receivables:
Interest 331 5,482
- -------------------------------------------------------------------------------------------------------
Total Assets 154,507 1,716,245
- -------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Dividends 70 309
Investment securities purchased -- 20,075
Accrued liabilities:
Investment advisory fees 13 145
Administration fees 4 136
Shareholder servicing fees 29 506
Distribution fees -- 29
Custodian fees 7 24
Trustees' fees -- deferred compensation plan 5 93
Other 53 271
- -------------------------------------------------------------------------------------------------------
Total Liabilities 181 21,588
- -------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 154,370 1,694,103
Accumulated undistributed (overdistributed)
net investment income (49) 158
Accumulated net realized gain (loss) on investments 5 396
- -------------------------------------------------------------------------------------------------------
Total Net Assets $ 154,326 $ 1,694,657
- -------------------------------------------------------------------------------------------------------
Morgan $ 154,326 $ 1,540,274
Reserve $ -- $ 154,383
- -------------------------------------------------------------------------------------------------------
Total $ 154,326 $ 1,694,657
- -------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number of
shares authorized)
Morgan 154,386 1,539,850
Reserve -- 154,356
Net asset value, offering and redemption
price per share (all classes) $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------------------
Cost of investments $ 154,150 $ 1,710,756
=======================================================================================================
</Table>
See notes to financial statements.
120
<Page>
Statement of Operations
For the year ended August 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRIME
MONEY MARKET
FUND
- --------------------------------------------------------------------------------------
INTEREST INCOME: $ 568,501
- --------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 48,047
Administration fees 48,047
Shareholder servicing fees 69,020
Distribution fees 1,321
Custodian and accounting fees 3,045
Interest expense 8
Printing and postage 219
Professional fees 895
Registration fees 921
Transfer agent fees 3,420
Trustees' fees 881
Other 1,537
- --------------------------------------------------------------------------------------
Total expenses 177,361
- --------------------------------------------------------------------------------------
Less amounts waived 39,156
Less earnings credits 2
- --------------------------------------------------------------------------------------
Net expenses 138,203
- --------------------------------------------------------------------------------------
Net investment income 430,298
- --------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain on investment transactions (2)
- --------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 430,296
- --------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
121
<Page>
<Table>
<Caption>
LIQUID ASSETS U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
- ----------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 37,158 $ 106,015
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 3,119 9,263
Administration fees 3,119 9,263
Shareholder servicing fees 3,235 17,283
Distribution fees 21 3,481
Custodian and accounting fees 249 576
Interest expense 2 --^
Printing and postage 18 56
Professional fees 103 171
Registration fees 61 1,113
Transfer agent fees 150 596
Trustees' fees 47 170
Other 73 243
- ----------------------------------------------------------------------------------------------------------
Total expenses 10,197 42,215
- ----------------------------------------------------------------------------------------------------------
Less amounts waived 5,109 8,759
Less earnings credits 1 --^
- ----------------------------------------------------------------------------------------------------------
Net expenses 5,087 33,456
- ----------------------------------------------------------------------------------------------------------
Net investment income 32,071 72,559
- ----------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 67 34
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 32,138 $ 72,593
- ----------------------------------------------------------------------------------------------------------
</Table>
^Amount rounds to less than one thousand.
See notes to financial statements.
122
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET MONEY MARKET
FUND FUND
- ----------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 42,522 $ 38,339
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 3,966 3,483
Administration fees 3,966 3,483
Shareholder servicing fees 8,069 6,147
Distribution fees 1,412 299
Custodian and accounting fees 296 226
Interest expense --^ --^
Printing and postage 20 13
Professional fees 110 112
Registration fees 500 220
Transfer agent fees 289 473
Trustees' fees 73 64
Other 136 136
- ----------------------------------------------------------------------------------------------------------
Total expenses 18,837 14,656
- ----------------------------------------------------------------------------------------------------------
Less amounts waived 3,111 2,788
Less expense reimbursements 12 --
Less earnings credits --^ --^
- ----------------------------------------------------------------------------------------------------------
Net expenses 15,714 11,868
- ----------------------------------------------------------------------------------------------------------
Net investment income 26,808 26,471
- ----------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 341 (13)
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 27,149 $ 26,458
- ----------------------------------------------------------------------------------------------------------
</Table>
^Amount rounds to less than one thousand.
See notes to financial statements.
123
<Page>
<Table>
<Caption>
100% U.S.
TREASURY SECURITIES TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- ----------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 52,276 $ 132,412
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 5,085 12,355
Administration fees 5,085 12,355
Shareholder servicing fees 11,638 19,243
Distribution fees 2,273 608
Custodian and accounting fees 353 765
Interest expense --^ 8
Printing and postage 29 33
Professional fees 103 268
Registration fees -- 9
Transfer agent fees 713 321
Trustees' fees 93 225
Other 86 359
- ----------------------------------------------------------------------------------------------------------
Total expenses 25,458 46,549
- ----------------------------------------------------------------------------------------------------------
Less amounts waived 4,499 9,984
Less expense reimbursements 23 --
Less earnings credits --^ 19
- ----------------------------------------------------------------------------------------------------------
Net expenses 20,936 36,546
- ----------------------------------------------------------------------------------------------------------
Net investment income 31,340 95,866
- ----------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investment transactions 360 2,276
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 31,700 $ 98,142
- ----------------------------------------------------------------------------------------------------------
</Table>
^Amount rounds to less than one thousand.
See notes to financial statements.
124
<Page>
<Table>
<Caption>
CALIFORNIA NEW YORK
TAX FREE TAX FREE
MONEY MARKET MONEY MARKET
FUND FUND
- ----------------------------------------------------------------------------------------------------------
INTEREST INCOME: $ 1,664 $ 19,032
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 157 1,780
Administration fees 157 1,780
Shareholder servicing fees 549 6,230
Distribution fees 157 2,122
Custodian and accounting fees 25 127
Interest expense --^ 1
Printing and postage --^ 19
Professional fees 54 86
Registration fees 100 --
Transfer agent fees 46 487
Trustees' fees 3 33
Other 7 55
- ----------------------------------------------------------------------------------------------------------
Total expenses 1,255 12,720
- ----------------------------------------------------------------------------------------------------------
Less amounts waived 392 1,871
Less earnings credits 1 5
- ----------------------------------------------------------------------------------------------------------
Net expenses 862 10,844
- ----------------------------------------------------------------------------------------------------------
Net investment income 802 8,188
- ----------------------------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain on investment transactions 5 396
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 807 $ 8,584
- ----------------------------------------------------------------------------------------------------------
</Table>
^Amount rounds to less than one thousand.
See notes to financial statements.
125
<Page>
Statement of Changes in Net Assets For the periods indicated
(Amounts in thousands)
<Table>
<Caption>
PRIME
MONEY MARKET FUND
----------------------------------
YEAR ENDED
8/31/04 8/31/03
- -----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 430,298 $ 602,371
Net realized gain (loss) on investments (2) 9
- -----------------------------------------------------------------------------------------------------------
Increase in net assets from operations 430,296 602,380
- -----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (428,985) (603,707)
Net realized gain on investment transactions -- (147)
- -----------------------------------------------------------------------------------------------------------
Total distributions to shareholders (428,985) (603,854)
- -----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (428,700) 519,344
- -----------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (427,389) 517,870
NET ASSETS:
Beginning of period 49,448,229 48,930,359
- -----------------------------------------------------------------------------------------------------------
End of period $ 49,020,840 $ 49,448,229
- -----------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (1,313)
- -----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
126
<Page>
<Table>
<Caption>
LIQUID ASSETS U.S. GOVERNMENT
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------- ----------------------------------
YEAR ENDED YEAR ENDED
8/31/04 8/31/03 8/31/04 8/31/03
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 32,071 $ 28,307 $ 72,559 $ 95,487
Net realized gain (loss) on investments 67 73 34 281
- ----------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 32,138 28,380 72,593 95,768
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (32,062) (28,315) (72,399) (95,524)
Net realized gain on investment transactions (88) (6) (267) (3)
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (32,150) (28,321) (72,666) (95,527)
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 64,734 1,356,372 (317,753) 115,592
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 64,722 1,356,431 (317,826) 115,833
NET ASSETS:
Beginning of period 2,571,457 1,215,026 9,482,165 9,366,332
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $ 2,636,179 $ 2,571,457 $ 9,164,339 $ 9,482,165
- ----------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET
INVESTMENT INCOME $ -- $ (9) $ -- $ (160)
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
127
<Page>
<Table>
<Caption>
TREASURY PLUS FEDERAL
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------- ----------------------------------
YEAR ENDED YEAR ENDED
8/31/04 8/31/03 8/31/04 8/31/03
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 26,808 $ 37,997 $ 26,471 $ 44,931
Net realized gain (loss) on investments 341 15 (13) 24
- ----------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 27,149 38,012 26,458 44,955
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (26,808) (38,099) (26,314) (44,861)
Net realized gain on investment transactions -- -- -- (66)
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (26,808) (38,099) (26,314) (44,927)
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 240,344 (215,318) (613,702) (761,408)
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 240,685 (215,405) (613,558) (761,380)
NET ASSETS:
Beginning of period 3,788,575 4,003,980 3,570,557 4,331,937
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $ 4,029,260 $ 3,788,575 $ 2,956,999 $ 3,570,557
- ----------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET
INVESTMENT INCOME $ (46) $ (46) $ (24) $ (186)
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
128
<Page>
<Table>
<Caption>
100% U.S. TREASURY
SECURITIES TAX FREE
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------- ----------------------------------
YEAR ENDED YEAR ENDED
8/31/04 8/31/03 8/31/04 8/31/03
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 31,340 $ 48,374 $ 95,866 $ 93,998
Net realized gain (loss) on investments 360 231 2,276 858
- ----------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 31,700 48,605 98,142 94,856
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (31,304) (48,312) (95,834) (94,379)
Net realized gain on investment transactions (536) (60) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (31,840) (48,372) (95,834) (94,379)
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 226,764 (268,077) 3,319,798 2,189,669
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 226,624 (267,844) 3,322,106 2,190,146
NET ASSETS:
Beginning of period 4,967,663 5,235,507 11,140,921 8,950,775
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $ 5,194,287 $ 4,967,663 $ 14,463,027 $ 11,140,921
- ----------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET
INVESTMENT INCOME $ -- $ (36) $ (3,704) $ (3,818)
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
129
<Page>
<Table>
<Caption>
CALIFORNIA TAX FREE NEW YORK TAX FREE
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------- ----------------------------------
YEAR ENDED YEAR ENDED
8/31/04 8/31/03 8/31/04 8/31/03
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 802 $ 1,118 $ 8,188 $ 14,980
Net realized gain (loss) on investments 5 5 396 417
- ----------------------------------------------------------------------------------------------------------------------------------
Increase in net assets from operations 807 1,123 8,584 15,397
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (802) (1,133) (8,188) (14,748)
Net realized gain (loss) on investment transactions -- -- -- (386)
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (802) (1,133) (8,188) (15,134)
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 5,174 (13,914) (143,137) (465,972)
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 5,179 (13,924) (142,741) (465,709)
NET ASSETS:
Beginning of period 149,147 163,071 1,837,398 2,303,107
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $ 154,326 $ 149,147 $ 1,694,657 $ 1,837,398
- ----------------------------------------------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET
INVESTMENT INCOME $ (49) $ (49) $ 158 $ (260)
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements.
130
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan 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.
131
<Page>
On August 19, 2004, the Board of Trustees of the Trust approved management's
proposal to merge the Target Funds listed below with and into the Acquiring
Funds listed below:
<Table>
<Caption>
TARGET FUND ACQUIRING FUND
JPMorgan Liquid Assets
Money Market Fund merges with and into One Group Prime Money
Market Fund
One Group Institutional Prime
Money Market Fund merges with and into JPMorgan Prime Money
Market Fund
One Group U.S. Government
Securities Money Market Fund
and JPMorgan US Government merges with and into One Group Government
Money Market Fund Money Market Fund
JPMorgan Treasury Plus
Money Market Fund merges with and into One Group U.S. Treasury
Securities Money Market Fund
One Group Treasury Only
Money Market Fund merges with and into JPMorgan 100% US Treasury
Securities Money Market Fund
</Table>
Each proposed merger is contingent upon, among other things, approval by the
Target Fund's shareholders and regulatory review and receipt of an opinion of
counsel to the effect that the merger will qualify as a tax-free reorganization
for Federal income tax purposes. If approved, the merger is expected to occur on
February 18, 2005, or such later date as the parties to each such merger
transaction may agree.
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.
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
132
<Page>
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 the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of their distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature, (i.e., that
they result from other than timing of recognition --"temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
133
<Page>
The following amounts were reclassified within the capital accounts at August
31, 2004 (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
FED $ -- $ 5 $ (5)
TF (2) 82 (80)
CTF --^ --^ --
NYTF -- 418 (418)
</Table>
^ amount rounds to less than one thousand.
The reclassifications for FED and NYTF relate primarily to the character for tax
purposes of dividends paid. The reclassifications for TF relate primarily to the
character for tax purposes of non-deductible excise tax and dividends paid. The
reclassifications for CTF relate primarily to the character for tax purposes of
non-deductible excise tax.
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" or the "Advisor"), acts as the
investment advisor to the Funds. JPMIM is a wholly owned subsidiary of J.P.
Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned
subsidiary of JPMorgan Chase & Co. 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.
As approved by the Board of Trustees on August 19, 2004, effective February 19,
2005, the Investment Advisory Fee will be reduced to an annual rate of 0.08% 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
provide that each Fund shall pay distribution fees, including payments to the
134
<Page>
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 is entitled to receive the contingent deferred sales charge
("CDSC") from redemptions of Class B and C shares.
The Distributor waived fees as outlined in Note 3.F.
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into a Distribution Agreement with One Group Dealer Services, Inc., an
indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in
the service provider is expected to occur effective February 19, 2005.
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>
* As approved by the Board of Trustees on August 19, 2004, effective February
19, 2005, Shareholder Servicing Fees will be increased to 0.15% for the
Agency Class shares and to 0.30% for the Cash Management, Premier and
Reserve Class shares respectively.
135
<Page>
On August 19, 2004, the Board of Trustees approved management's proposal to
replace JPMCB with One Group Dealer Services, Inc. as Shareholder Servicing
Agent. The foregoing change in the service provider is expected to occur
effective February 19, 2005.
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.
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Funds. Compensation for such services is presented
in the Statement of Operations as custodian fees. The custodian fees may be
reduced by credits earned by each Fund, based on 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, Advisor and Distributor have
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%.
136
<Page>
The contractual expense limitation agreements were in effect for the year ended
August 31, 2004 for the Funds. The expense limitation percentages in the table
above are due to expire on December 31, 2006 except for USG and USTS which are
due to expire on February 19, 2006.
On August 19, 2004, the Board of Trustees approved management's proposal to
enter into an Administration Agreement with One Group Administrative Services,
Inc., ("OGA") an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The
foregoing change in the service provider is expected to occur effective February
19, 2005.
The Administrative fees charged to the Funds will be subject to the same fee
structure as those paid to the current Administrator.
JPMCB will begin to provide sub-administrative services to the Funds in 2005.
For such services, JPMCB will receive a portion of the fees payable to OGA as
Administrator.
The Administrator waived fees and/or reimbursed expenses as outlined in Note
3.F.
F. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 2004, the Funds'
service providers waived fees and the Administrator contractually reimbursed
expenses for each of the Funds as follows (amounts in thousands). Neither the
Funds' service providers nor the Administrator expect the Fund to repay any such
waived fees and reimbursed expenses in future years.
<Table>
<Caption>
VOLUNTARY WAIVERS
---------------------------------------------
SHAREHOLDER
FUND ADMINISTRATION SERVICING TOTAL
PRM $ 1,922 $ 2,827 $ 4,749
LA 1,556 -- 1,556
USTS 27 -- 27
- ---------------------------------------------------------------
Total $ 3,505 $ 2,827 $ 6,332
</Table>
<Table>
<Caption>
CONTRACTUAL WAIVERS
------------------------------------------------------------------------
INVESTMENT SHAREHOLDER CONTRACTUAL
FUND ADVISOR ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
PRM $ -- $ 5,879 $ 28,528 $ -- $ 34,407 $ --
LA -- 939 2,594 20 3,553 --
USG -- 4,808 2,003 1,948 8,759 --
TP -- 1,293 1,231 587 3,111 12
FED -- 846 1,756 186 2,788 --
USTS -- 634 1,865 1,973 4,472 23
TF -- 1,767 7,751 466 9,984 --
CTF -- 110 126 156 392 --
NYTF -- 125 -- 1,746 1,871 --
- -----------------------------------------------------------------------------------------------------------
Total $ -- $ 16,401 $ 45,854 $ 7,082 $ 69,337 $ 35
</Table>
G. OTHER -- Certain officers of the Trust are officers of JPMorgan Chase & Co.
or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisor.
137
<Page>
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 and tax exempt securities subject to
certain conditions.
4. CLASS SPECIFIC EXPENSES
The Funds' class specific expenses for the year ended August 31, 2004 are as
follows (amounts in thousands):
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
PRM
Morgan $ 14,809 $ -- $ 2,883
Premier 14,518 -- 131
Agency 11,811 -- 88
Class B 22 65 6
Class C 1 4 --^
Institutional 25,075 -- 126
Reserve 722 722 26
Select 1,797 -- 129
Cash Management 265 530 31
- -----------------------------------------------------------------------------
$ 69,020 $ 1,321 $ 3,420
- -----------------------------------------------------------------------------
LA
Morgan $ 69 $ 21 $ 51
Premier 111 -- 28
Agency 362 -- 29
Institutional 2,693 -- 42
- -----------------------------------------------------------------------------
$ 3,235 $ 21 $ 150
- -----------------------------------------------------------------------------
USG
Morgan $ 9,792 $ 2,798 $ 453
Premier 1,708 683 61
Agency 3,852 -- 45
Institutional 1,931 -- 37
- -----------------------------------------------------------------------------
$ 17,283 $ 3,481 $ 596
- -----------------------------------------------------------------------------
TP
Morgan $ 2,895 $ 827 $ 124
Premier 2,807 -- 52
Agency 1,157 -- 43
Institutional 625 -- 37
Reserve 585 585 33
- -----------------------------------------------------------------------------
$ 8,069 $ 1,412 $ 289
- -----------------------------------------------------------------------------
FED
Morgan $ 1,045 $ 299 $ 342
Premier 3,195 -- 65
Agency 355 -- 33
Institutional 1,552 -- 33
- -----------------------------------------------------------------------------
$ 6,147 $ 299 $ 473
- -----------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
138
<Page>
<Table>
<Caption>
SHAREHOLDER
SERVICING DISTRIBUTION TRANSFER AGENT
USTS
Morgan $ 7,955 $ 2,273 $ 607
Premier 1,451 -- 31
Agency 837 -- 52
Institutional 1,395 -- 23
- -----------------------------------------------------------------------------
$ 11,638 $ 2,273 $ 713
- -----------------------------------------------------------------------------
TF
Morgan $ 2,128 $ 608 $ 108
Premier 8,945 -- 102
Agency 851 -- 35
Institutional 7,319 -- 76
- -----------------------------------------------------------------------------
$ 19,243 $ 608 $ 321
- -----------------------------------------------------------------------------
CTF
Morgan $ 549 $ 157 $ 46
- -----------------------------------------------------------------------------
NYTF
Morgan $ 5,631 $ 1,609 $ 471
Reserve 599 513 16
- -----------------------------------------------------------------------------
$ 6,230 $ 2,122 $ 487
- -----------------------------------------------------------------------------
</Table>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the year ended August 31, 2004 and for the
year ended August 31, 2003, respectively, are as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 8/31/04 YEAR ENDED 8/31/03
--------------------------------- ---------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
PRM
Morgan $ 24,826 $ -- $ 52,751 $ 13
Premier 42,429 -- 57,405 15
Agency 108,701 -- 156,314 34
Class B 10 -- 33 --^
Class C --^ -- 2 --^
Institutional 246,122 -- 322,886 80
Reserve 1,380 -- 3,076 1
Select 5,302 -- 9,496 2
Cash
Management 215 -- 1,744 2
- -------------------------------------------------------------------------------------------------
$ 428,985 $ -- $ 603,707 $ 147
</Table>
^ Amount rounds to less than one thousand.
139
<Page>
<Table>
<Caption>
YEAR ENDED 8/31/04 YEAR ENDED 8/31/03
--------------------------------- ---------------------------------
NET NET
INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN
LA
Morgan $ 128 $ --^ $ 167 $ --^
Premier 351 2 551 --^
Agency 3,525 13 2,856 1
Institutional 28,058 73 24,741 5
- -------------------------------------------------------------------------------------------------
$ 32,062 $ 88 $ 28,315 $ 6
- -------------------------------------------------------------------------------------------------
USG
Morgan $ 15,493 $ 80 $ 26,848 $ 1
Premier 4,751 19 9,729 1
Agency 33,951 105 44,401 1
Institutional 18,204 63 14,546 --
- -------------------------------------------------------------------------------------------------
$ 72,399 $ 267 $ 95,524 $ 3
- -------------------------------------------------------------------------------------------------
TP
Morgan $ 3,993 $ -- $ 6,988 $ --
Premier 6,977 -- 9,186 --
Agency 9,423 -- 13,515 --
Institutional 5,560 -- 6,795 --
Reserve 855 -- 1,615 --
- -------------------------------------------------------------------------------------------------
$ 26,808 $ -- $ 38,099 $ --
- -------------------------------------------------------------------------------------------------
FED
Morgan $ 1,183 $ -- $ 2,728 $ 6
Premier 8,278 -- 13,807 23
Agency 3,007 -- 4,738 6
Institutional 13,846 -- 23,588 31
- -------------------------------------------------------------------------------------------------
$ 26,314 $ -- $ 44,861 $ 66
- -------------------------------------------------------------------------------------------------
USTS
Morgan $ 9,828 $ 240 $ 24,263 $ 34
Premier 3,307 62 4,451 7
Agency 6,476 92 10,629 9
Institutional 11,693 142 8,969 10
- -------------------------------------------------------------------------------------------------
$ 31,304 $ 536 $ 48,312 $ 60
- -------------------------------------------------------------------------------------------------
TF
Morgan $ 2,913 $ -- $ 4,971 $ --
Premier 22,205 -- 28,176 --
Agency 6,935 -- 9,026 --
Institutional 63,781 -- 52,206 --
- -------------------------------------------------------------------------------------------------
$ 95,834 $ -- $ 94,379 $ --
- -------------------------------------------------------------------------------------------------
CTF
Morgan $ 802 $ -- $ 1,133 $ --
- -------------------------------------------------------------------------------------------------
NYTF
Morgan $ 7,711 $ -- $ 13,831 $ 355
Reserve 477 -- 917 31
- -------------------------------------------------------------------------------------------------
$ 8,188 $ -- $ 14,748 $ 386
- -------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
140
<Page>
6. FEDERAL INCOME TAX MATTERS
The tax character of distributions paid during the periods ended August 31,
2004, and August 31, 2003, were as follows (amounts in thousands):
<Table>
<Caption>
YEAR ENDED 8/31/04 YEAR ENDED 8/31/03
----------------------------------------------------- ------------------------------------------------------
TAX EXEMPT ORDINARY LONG-TERM TOTAL TAX EXEMPT ORDINARY LONG-TERM TOTAL
INCOME INCOME CAPITAL GAIN DISTRIBUTION INCOME INCOME CAPITAL GAIN DISTRIBUTIONS
PRM $ -- $ 428,985 $ -- $ 428,985 $ -- $ 603,854 $ -- $ 603,854
LA -- 32,150 -- 32,150 -- 28,321 -- 28,321
USG -- 72,655 11 72,666 -- 95,527 -- 95,527
TP -- 26,808 -- 26,808 -- 38,099 -- 38,099
FED -- 26,314 -- 26,314 -- 44,927 -- 44,927
USTS -- 31,840 --^ 31,840 -- 48,372 -- 48,372
TF 95,737 17 80 95,834 93,988 272 119 94,379
CTF 802 -- -- 802 1,115 18 -- 1,133
NYTF 7,770 389 29 8,188 14,676 458 -- 15,134
</Table>
^ Amount rounds to less than one thousand.
At August 31, 2004, the components of net assets (excluding paid in capital) on
a tax basis were as follows (amounts in thousands):
<Table>
<Caption>
PRM LA USG
Current distributable ordinary income $ 22,838 $ 585 $ 3,709
Plus/Less: cumulative timing differences (22,837) (539) (3,664)
---------- ---------- ----------
Undistributed ordinary income or
overdistribution of ordinary income $ 1 $ 46 $ 45
========== ========== ==========
Current distributable long-term capital
gain or tax basis capital loss carryover (2) -- --
Plus/Less: cumulative timing differences -- -- --
---------- ---------- ----------
Undistributed long-term gains/
accumulated capital loss (2) -- --
========== ========== ==========
Unrealized appreciation (depreciation) $ -- $ -- $ --
========== ========== ==========
</Table>
<Table>
<Caption>
TP FED USTS
Current distributable ordinary income $ 1,881 $ 1,823 $ 2,090
Plus/Less: cumulative timing differences (1,841) (1,860) (2,084)
---------- ---------- ----------
Undistributed ordinary income or
overdistribution of ordinary income $ 40 $ (37) $ 6
========== ========== ==========
Current distributable long-term capital
gain or tax basis capital loss carryover -- -- --
Plus/Less: cumulative timing differences -- -- --
---------- ---------- ----------
Undistributed long-term gains/
accumulated capital loss -- -- --
========== ========== ==========
Unrealized appreciation (depreciation) $ -- $ -- $ --
========== ========== ==========
</Table>
141
<Page>
<Table>
<Caption>
TF CTF NYTF
Current distributable tax exempt income $ 2,277 $ 25 $ 557
Current distributable ordinary income 1,795 6 349
Plus/Less: cumulative timing differences (5,980) (75) (401)
---------- ---------- ----------
Undistributed ordinary income or
overdistribution of ordinary income $ (1,908) $ (44) $ 505
========== ========== ==========
Current distributable long-term capital
gain or tax basis capital loss carryover 481 -- 49
Plus/Less: cumulative timing differences -- -- --
---------- ---------- ----------
Undistributed long-term gains/
accumulated capital loss 481 -- 49
========== ========== ==========
Unrealized appreciation (depreciation) $ -- $ -- $ --
========== ========== ==========
</Table>
For PRM, LA, USG, TP, USTS, TF, CTF and NYTF, the cumulative timing differences
primarily consist of dividends payable and deferred compensation. For FED, the
cumulative timing difference consists of dividends payable, deferred
compensation and post October loss deferral.
At August 31, 2004, the following Fund has capital loss carryovers which will be
available to offset capital gains. To the extent that any net capital loss
carryovers are used to offset future capital gains, it is probable that the
gains so offset will not be distributed to shareholders (amount in thousands).
<Table>
<Caption>
EXPIRATION
AMOUNT DATE
PRM $ 2 August 31, 2012
</Table>
During the year ended August 31, 2004, TP utilized capital loss carryforwards of
$255 (amounts in thousands).
Capital losses incurred after October 31, within a Fund's fiscal year are deemed
to arise on the first business day of the following fiscal year for tax
purposes. FED has incurred a post-October realized loss of $15 (amount in
thousands).
7. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
As of August 31, 2004, LA and PRM invested 30.6% and 28.6%, respectively, of
total investments in securities issued by institutions in the financial services
industry including banks, broker dealers and insurance companies. General
economic conditions, as well as exposure to credit losses arising from possible
financial difficulties of borrowers, play an important role in the operation of
the financial services industry.
142
<Page>
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.
8. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies completed the merger of their holding companies on
July 1, 2004. Effective July 20, 2004, the name of the holding company changed
to JPMorgan Chase & Co. Effective November 15, 2004, the bank name will be
JPMorgan Chase Bank, National Association.
143
<Page>
9. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (amounts in
thousands):
PRIME MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
----------------------------- -----------------------------
AMOUNT SHARES AMOUNT SHARES
- ---------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------------------------------
Shares sold $ 28,531,137 28,531,134 $ 36,616,558 36,616,555
Shares issued in reinvestment
of distributions 18,542 18,542 7,332 7,332
Shares redeemed (29,257,061) (29,257,061) (36,148,850) (36,148,850)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (707,382) (707,385) $ 475,040 475,037
===================================================================================================
<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
- ---------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------------------------------
Shares sold $ 70,493,500 70,493,494 $ 9,570 9,570
Shares issued in reinvestment
of distributions 75,149 75,149 9 9
Shares redeemed (71,547,879) (71,547,879) (11,427) (11,427)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in
Fund shares outstanding $ (979,230) (979,236) $ (1,848) (1,848)
===================================================================================================
<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
- ---------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------------------------------
Shares sold $ 1,951 1,951 $ 274,336,135 274,336,125
Shares issued in reinvestment of
distributions --^ --^ 106,287 106,287
Shares redeemed (1,853) (1,853) (273,004,211) (273,004,210)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 98 98 $ 1,438,211 1,438,202
===================================================================================================
<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>
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------------------------------
RESERVE SELECT
----------------------------- -----------------------------
AMOUNT SHARES AMOUNT SHARES
- ---------------------------------------------------------------------------------------------------
Shares sold $ 16,684,083 16,684,083 $ 2,353,476 2,353,476
Shares issued in reinvestment of
distributions 742 741 5,145 5,145
Shares redeemed (16,770,737) (16,770,738) (2,466,820) (2,466,820)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (85,912) (85,914) $ (108,199) (108,199)
===================================================================================================
<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.
144
<Page>
<Table>
<Caption>
CASH MANAGEMENT
-----------------------------
AMOUNT SHARES
- -------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -------------------------------------------------------------------
Shares sold $ 757,843 757,843
Shares issued in reinvestment
of distributions 158 159
Shares redeemed (1,217,479) (1,217,479)
- -------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (459,478) (459,477)
===================================================================
<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>
145
<Page>
LIQUID ASSETS MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
----------------------------- -----------------------------
AMOUNT SHARES AMOUNT SHARES
- ---------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------------------------------
Shares sold $ 54,967 54,967 $ 192,493 192,493
Shares issued in reinvestment of
distributions 115 115 255 255
Shares redeemed (52,795) (52,795) (175,654) (175,654)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 2,287 2,287 $ 17,094 17,094
===================================================================================================
<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
- ---------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------------------------------
Shares sold $ 5,908,900 5,908,900 $ 22,251,745 22,251,745
Shares issued in reinvestment of
distributions 3,126 3,126 18,788 18,788
Shares redeemed (5,859,477) (5,859,477) (22,277,729) (22,277,729)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 52,549 52,549 $ (7,196) (7,196)
===================================================================================================
<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>
146
<Page>
U.S. GOVERNMENT MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
---------------------------------- ----------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 190,224,000 190,224,000 $ 3,584,774 3,584,773
Shares issued in reinvestment of
distributions 5,395 5,395 3,129 3,129
Shares redeemed (190,689,901) (190,689,901) (4,164,187) (4,164,187)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (460,506) (460,506) $ (576,284) (576,285)
=================================================================================================================
<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
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 30,651,499 30,651,499 $ 13,445,196 13,445,196
Shares issued in reinvestment of
distributions 23,123 23,123 11,170 11,171
Shares redeemed (30,649,260) (30,649,260) (12,762,691) (12,762,691)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 25,362 25,362 $ 693,675 693,676
=================================================================================================================
<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>
147
<Page>
TREASURY PLUS MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
---------------------------------- ----------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 5,485,663 5,485,663 $ 5,948,494 5,948,494
Shares issued in reinvestment
of distributions 1,717 1,717 977 977
Shares redeemed (5,486,589) (5,486,589) (6,063,925) (6,063,925)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 791 791 $ (114,454) (114,454)
=================================================================================================================
<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
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 10,248,048 10,248,048 $ 6,307,872 6,307,872
Shares issued in reinvestment
of distributions 6,948 6,948 2,725 2,725
Shares redeemed (10,464,771) (10,464,771) (5,712,549) (5,712,550)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (209,775) (209,775) $ 598,048 598,047
=================================================================================================================
<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)
=================================================================================================================
</Table>
<Table>
<Caption>
RESERVE
----------------------------------
AMOUNT SHARES
- ---------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------
Shares sold $ 5,896,152 5,896,152
Shares issued in reinvestment
of distributions 709 709
Shares redeemed (5,931,127) (5,931,127)
- ---------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (34,266) (34,266)
===========================================================================
<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>
148
<Page>
FEDERAL MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
---------------------------------- ----------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 8,145,328 8,145,329 $ 6,145,699 6,145,699
Shares issued in reinvestment
of distributions 772 772 1,151 1,151
Shares redeemed (8,218,459) (8,218,459) (6,303,804) (6,303,805)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (72,359) (72,358) $ (156,954) (156,955)
=================================================================================================================
<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
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 1,760,008 1,760,008 $ 6,212,013 6,212,013
Shares issued in reinvestment
of distributions 680 680 6,531 6,531
Shares redeemed (1,704,720) (1,704,720) (6,658,901) (6,658,902)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 55,968 55,968 $ (440,357) (440,358)
=================================================================================================================
<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>
149
<Page>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
---------------------------------- ----------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 7,912,375 7,912,375 $ 2,052,207 2,052,207
Shares issued in reinvestment
of distributions 5,966 5,966 1,002 1,002
Shares redeemed (8,584,650) (8,584,650) (1,977,362) (1,977,362)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (666,309) (666,309) $ 75,847 75,847
=================================================================================================================
<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
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 7,572,496 7,572,496 $ 9,026,083 9,026,083
Shares issued in reinvestment
of distributions 5,231 5,231 5,270 5,270
Shares redeemed (7,611,019) (7,611,019) (8,180,835) (8,180,835)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (33,292) (33,292) $ 850,518 850,518
=================================================================================================================
<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>
150
<Page>
TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN PREMIER
---------------------------------- ----------------------------------
AMOUNT SHARES AMOUNT SHARES
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 1,537,763 1,537,762 $ 14,291,488 14,291,489
Shares issued in reinvestment
of distributions 1,329 1,329 1,919 1,919
Shares redeemed (1,627,755) (1,627,755) (13,684,608) (13,684,608)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (88,663) (88,664) $ 608,799 608,800
=================================================================================================================
<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
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- -----------------------------------------------------------------------------------------------------------------
Shares sold $ 3,960,294 3,960,294 $ 46,856,063 46,856,075
Shares issued in reinvestment
of distributions 3,502 3,502 32,994 32,994
Shares redeemed (3,515,553) (3,515,553) (44,537,638) (44,537,638)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 448,243 448,243 $ 2,351,419 2,351,431
=================================================================================================================
<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>
151
<Page>
CALIFORNIA TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN
----------------------------------
AMOUNT SHARES
- ---------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------
Shares sold $ 533,074 533,074
Shares issued in reinvestment
of distributions 162 162
Shares redeemed (528,062) (528,062)
- ---------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 5,174 5,174
===========================================================================
<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>
152
<Page>
NEW YORK TAX FREE MONEY MARKET FUND
<Table>
<Caption>
MORGAN RESERVE
--------------------------- --------------------------
AMOUNT SHARES AMOUNT SHARES
- ---------------------------------------------------------------------------------------------------
YEAR ENDED AUGUST 31, 2004
- ---------------------------------------------------------------------------------------------------
Shares sold $ 8,660,663 8,660,663 $ 369,428 369,429
Shares issued in reinvestment
of distributions 5,180 5,180 474 475
Shares redeemed (8,788,513) (8,788,514) (390,369) (390,369)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (122,670) (122,671) $ (20,467) (20,465)
===================================================================================================
<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>
153
<Page>
JPMORGAN FUNDS
Financial Highlights
<Table>
<Caption>
PRIME MONEY MARKET FUND
------------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.06
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.59% 0.87% 1.71% 5.10% 5.65%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 3,919 $ 4,627 $ 7,552 $ 10,367 $ 1,475
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.59% 0.59% 0.58% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.59% 0.90% 1.72% 4.82% 5.53%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.63% 0.62% 0.61% 0.61% 0.61%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits 0.55% 0.87% 1.69% 4.80% 5.51%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
PRIME MONEY MARKET FUND
------------------------------------------------------------------
PREMIER
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.06
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.73% 1.01% 1.85% 5.25% 5.81%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 5,887 $ 5,412 $ 5,182 $ 2,153 $ 1,841
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.45% 0.45% 0.44% 0.45% 0.45%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.73% 1.00% 1.80% 4.96% 5.67%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.47% 0.46% 0.47% 0.49% 0.49%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits 0.71% 0.99% 1.77% 4.92% 5.63%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
154
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
------------------------------------------------------------------
AGENCY@
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.06
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1) 0.93% 1.20% 2.05% 5.45% 6.01%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 11,670 $ 12,648 $ 12,562 $ 16,676 $ 9,430
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.26% 0.26% 0.25% 0.26% 0.26%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.92% 1.20% 2.08% 5.15% 5.86%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.32% 0.31% 0.32% 0.33% 0.33%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits 0.86% 1.15% 2.01% 5.08% 5.79%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
PRIME MONEY MARKET FUND
------------------------------------------------------------------
CLASS B
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ --+ 0.01 0.04 0.05
Less dividends from net investment income --+ --+ 0.01 0.04 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1) 0.12% 0.25% 1.05% 4.43% 4.97%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 8 $ 10 $ 13 $ 18 $ 11
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 1.06% 1.21% 1.23% 1.24% 1.25%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.12% 0.27% 1.10% 4.17% 4.87%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.27%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits (0.10%) 0.21% 1.07% 4.15% 4.85%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
+ Amount rounds to less than $.005.
(1) Total Return figures do not include the effect of any deferred sales load.
See notes to financial statements.
155
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
------------------------------------------------------------------
CLASS C
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ --+ 0.01 0.04 0.05
Less dividends from net investment income --+ --+ 0.01 0.04 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (1) 0.12% 0.25% 1.05% 4.43% 4.95%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1 $ 1 $ 1 $ --* $ --*
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 1.07% 1.21% 1.23% 1.24% 1.26%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.13% 0.25% 1.16% 4.17% 4.86%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.26%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits (0.08%) 0.19% 1.13% 4.15% 4.86%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
+ Amount rounds to less than $.005.
(1) Total Return figures do not include the effect of any deferred sales load.
* Amount rounds to less than one million.
See notes to financial statements.
156
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
--------------------------------------
INSTITUTIONAL
--------------------------------------
YEAR YEAR 9/10/01**
ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02
Less dividends from net investment income 0.01 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.99% 1.27% 2.02%
===========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 26,514 $ 25,075 $ 21,881
- -------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.19%
- -------------------------------------------------------------------------------------------
Net investment income 0.99% 1.24% 2.06%
- -------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.32% 0.31% 0.32%
- -------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits 0.87% 1.13% 1.93%
- -------------------------------------------------------------------------------------------
<Caption>
PRIME MONEY MARKET FUND
------------------------------------------------------------------
RESERVE
------------------------------------------------------------------
YEAR YEAR YEAR YEAR 7/31/00**
ENDED ENDED ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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) 0.48% 0.76% 1.60% 4.88% 0.50%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 270 $ 355 $ 393 $ 10 $ --*
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.70% 0.70% 0.68% 0.79% 0.79%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.48% 0.76% 1.41% 4.62% 5.33%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.73% 0.71% 0.72% 2.17% 1.45%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits 0.45% 0.75% 1.37% 3.24% 4.67%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of offering of class of shares.
+ Amount rounds to less than $.005.
* Amount rounds to less than one million.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
157
<Page>
<Table>
<Caption>
PRIME MONEY MARKET FUND
--------------------------------------------------------------------------------
SELECT CASH MANAGEMENT
-------------------------------------- --------------------------------------
YEAR YEAR 9/10/01** YEAR YEAR 9/10/01**
ENDED ENDED THROUGH ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02
- -----------------------------------------------------------------------------------------------------------------------------------
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 0.02 --+ 0.01 0.01
Less dividends from net investment income 0.01 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) 0.74% 1.02% 1.78% 0.21% 0.50% 1.25%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 667 $ 776 $ 1,064 $ 85 $ 544 $ 282
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.44% 0.44% 0.42% 0.96% 0.95% 0.96%
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.74% 1.03% 1.83% 0.21% 0.48% 1.17%
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.48% 0.47% 0.46% 0.99% 0.96% 0.99%
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits 0.70% 1.00% 1.79% 0.18% 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.
158
<Page>
<Table>
<Caption>
LIQUID ASSETS MONEY MARKET FUND
--------------------------------------------------------------------------------
MORGAN PREMIER
-------------------------------------- --------------------------------------
YEAR YEAR 4/01/02** YEAR YEAR 4/01/02**
ENDED ENDED THROUGH ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02
- -----------------------------------------------------------------------------------------------------------------------------------
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 0.01 0.01
Less dividends from net investment income 0.01 0.01 0.01 0.01 0.01 0.01
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.66% 0.95% 0.64% 0.80% 1.09% 0.70%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 20 $ 18 $ 17 $ 53 $ 36 $ 26
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.54% 0.54% 0.45% 0.40% 0.40% 0.31%
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.65% 0.95% 1.51% 0.79% 1.08% 1.65%
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and earnings credits 0.93% 0.87% 0.83% 0.53% 0.51% 0.63%
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and earnings credits 0.26% 0.62% 1.13% 0.66% 0.97% 1.33%
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of operations.
See notes to financial statements.
159
<Page>
<Table>
<Caption>
LIQUID ASSETS MONEY MARKET FUND
--------------------------------------------------------------------------------
AGENCY INSTITUTIONAL
-------------------------------------- --------------------------------------
YEAR YEAR 4/01/02** YEAR YEAR 4/01/02**
ENDED ENDED THROUGH ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02
- -----------------------------------------------------------------------------------------------------------------------------------
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 0.01 0.01
Less dividends from net investment income 0.01 0.01 0.01 0.01 0.01 0.01
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.99% 1.29% 0.78% 1.05% 1.35% 0.81%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 337 $ 284 $ 53 $ 2,226 $ 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 0.98% 1.16% 1.82% 1.04% 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 0.86% 1.04% 1.51% 0.87% 1.09% 1.55%
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
** Commencement of operations.
See notes to financial statements.
160
<Page>
<Table>
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
------------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.05
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.56% 0.84% 1.65% 4.93% 5.48%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 2,616 $ 3,077 $ 3,375 $ 4,150 $ 3,398
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.56% 0.84% 1.67% 4.80% 5.35%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.69% 0.68% 0.69% 0.69%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.46% 0.74% 1.58% 4.70% 5.25%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
------------------------------------------------------------------
PREMIER
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.05
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.70% 0.98% 1.79% 5.08% 5.62%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 537 $ 1,113 $ 1,047 $ 1,251 $ 1,134
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.70% 0.96% 1.79% 4.95% 5.50%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.58% 0.57% 0.57% 0.59% 0.58%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.57% 0.84% 1.67% 4.81% 5.37%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
161
<Page>
<Table>
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
------------------------------------------------------------------
AGENCY@
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.06
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.89% 1.17% 1.98% 5.28% 5.83%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 3,790 $ 3,766 $ 4,497 $ 3,769 $ 2,639
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.88% 1.17% 1.98% 5.09% 5.66%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.33% 0.32% 0.32% 0.33% 0.33%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.81% 1.11% 1.92% 5.02% 5.59%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. GOVERNMENT MONEY MARKET FUND
--------------------------------------
INSTITUTIONAL
--------------------------------------
YEAR YEAR 9/10/01**
ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02
Less dividends from net investment income 0.01 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.95% 1.23% 1.96%
===========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 2,221 $ 1,526 $ 447
- -------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20%
- -------------------------------------------------------------------------------------------
Net investment income 0.95% 1.13% 1.89%
- -------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.33% 0.32% 0.32%
- -------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.82% 1.01% 1.77%
- -------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
162
<Page>
<Table>
<Caption>
TREASURY PLUS MONEY MARKET FUND
------------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.48% 0.79% 1.59% 4.77% 5.29%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 783 $ 782 $ 1,103 $ 1,567 $ 1,367
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.48% 0.82% 1.57% 4.70% 5.14%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.70% 0.70% 0.72% 0.71%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.38% 0.71% 1.46% 4.57% 5.02%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
TREASURY PLUS MONEY MARKET FUND
------------------------------------------------------------------
PREMIER
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.05
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.62% 0.94% 1.73% 4.91% 5.44%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,114 $ 1,228 $ 818 $ 326 $ 228
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.62% 0.91% 1.68% 4.84% 5.28%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.48% 0.49% 0.49% 0.52% 0.51%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.59% 0.87% 1.64% 4.77% 5.22%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $0.005.
See notes to financial statements.
163
<Page>
<Table>
<Caption>
TREASURY PLUS MONEY MARKET FUND
------------------------------------------------------------------
AGENCY@
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- ----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.06
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.83% 1.14% 1.93% 5.12% 5.65%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,037 $ 1,247 $ 1,416 $ 944 $ 904
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.25% 0.25% 0.25% 0.25% 0.25%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.81% 1.14% 1.88% 5.04% 5.48%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and
reimbursements 0.33% 0.34% 0.34% 0.36% 0.36%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without
waivers and reimbursements 0.73% 1.05% 1.79% 4.93% 5.37%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
TREASURY PLUS MONEY MARKET FUND
-------------------------------------------------------------------------------
INSTITUTIONAL RESERVE
-------------------------------------- -------------------------------------
YEAR YEAR 9/10/01** YEAR YEAR 9/10/01**
ENDED ENDED THROUGH ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02
- -----------------------------------------------------------------------------------------------------------------------------------
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 0.02 --+ 0.01 0.01
Less dividends from net investment income 0.01 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) 0.88% 1.19% 1.90% 0.37% 0.68% 1.40%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 895 $ 298 $ 432 $ 200 $ 234 $ 235
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20% 0.70% 0.70% 0.70%
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income 0.89% 1.18% 1.87% 0.37% 0.68% 1.35%
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses without waivers and
reimbursements 0.33% 0.34% 0.34% 0.74% 0.75% 0.74%
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income without
waivers and reimbursements 0.76% 1.04% 1.73% 0.33% 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.
164
<Page>
<Table>
<Caption>
FEDERAL MONEY MARKET FUND
------------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.05 0.05
Less dividends from net investment income --+ 0.01 0.01 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.41% 0.70% 1.51% 4.84% 5.29%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 239 $ 311 $ 452 $ 658 $ 576
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.70% 0.70% 0.70% 0.70% 0.70%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.40% 0.72% 1.53% 4.57% 5.17%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.79% 0.79% 0.72% 0.74% 0.75%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.31% 0.63% 1.51% 4.53% 5.12%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
FEDERAL MONEY MARKET FUND
------------------------------------------------------------------
PREMIER
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.05
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.66% 0.95% 1.77% 5.07% 5.50%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,058 $ 1,214 $ 1,404 $ 276 $ 279
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.45% 0.45% 0.45% 0.49% 0.50%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.65% 0.96% 1.73% 4.78% 5.35%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.48% 0.47% 0.47% 0.49% 0.50%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.62% 0.94% 1.71% 4.78% 5.35%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $0.005.
See notes to financial statements.
165
<Page>
<Table>
<Caption>
FEDERAL MONEY MARKET FUND
------------------------------------------------------------------
AGENCY@
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.06
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.85% 1.14% 1.96% 5.30% 5.75%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 389 $ 334 $ 523 $ 1,169 $ 287
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.85% 1.20% 2.02% 5.01% 5.61%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.33% 0.33% 0.32% 0.34% 0.34%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.78% 1.13% 1.96% 4.93% 5.53%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
FEDERAL MONEY MARKET FUND
--------------------------------------
INSTITUTIONAL
--------------------------------------
YEAR YEAR 9/10/01**
ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02
Less dividends from net investment income 0.01 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.91% 1.20% 1.93%
===========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,271 $ 1,712 $ 1,953
- -------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20%
- -------------------------------------------------------------------------------------------
Net investment income 0.90% 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 0.78% 1.08% 1.85%
- -------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
166
<Page>
<Table>
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
------------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.02 0.05 0.05
Less dividends from net investment income --+ 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.45% 0.75% 1.55% 4.75% 5.02%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,869 $ 2,535 $ 3,526 $ 4,027 $ 3,535
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.43% 0.77% 1.53% 4.59% 4.92%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.69% 0.69% 0.69% 0.71% 0.71%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.33% 0.67% 1.43% 4.47% 4.80%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
------------------------------------------------------------------
PREMIER
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.05
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.58% 0.88% 1.68% 4.84% 5.12%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 565 $ 489 $ 353 $ 133 $ 116
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.46% 0.46% 0.46% 0.48% 0.49%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.57% 0.85% 1.52% 4.70% 5.02%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.47% 0.48% 0.52% 0.53%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.56% 0.84% 1.50% 4.66% 4.98%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
+ Amount rounds to less than $0.005.
See notes to financial statements.
167
<Page>
<Table>
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
------------------------------------------------------------------
AGENCY@
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.05 0.05
Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.79% 1.09% 1.89% 5.11% 5.38%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 784 $ 818 $ 1,090 $ 1,170 $ 872
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.25% 0.25% 0.25% 0.25% 0.25%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.78% 1.11% 1.86% 4.93% 5.26%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.32% 0.32% 0.32% 0.35% 0.34%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.71% 1.04% 1.79% 4.83% 5.17%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
100% U.S. TREASURY SECURITIES MONEY MARKET FUND
-----------------------------------------------
INSTITUTIONAL
--------------------------------------
YEAR YEAR 9/10/01**
ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02
- ------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02
Less dividends from net investment income 0.01 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.84% 1.14% 1.85%
================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,976 $ 1,126 $ 267
- ------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.20% 0.20% 0.20%
- ------------------------------------------------------------------------------------------------
Net investment income 0.84% 1.08% 1.67%
- ------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.31% 0.32% 0.33%
- ------------------------------------------------------------------------------------------------
Net investment income without waivers
and reimbursements 0.73% 0.96% 1.54%
- ------------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
(b) Not annualized for periods less than one year.
# Short periods have been annualized.
See notes to financial statements.
168
<Page>
<Table>
<Caption>
TAX FREE MONEY MARKET FUND
------------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.03 0.03
Less dividends from net investment income --+ 0.01 0.01 0.03 0.03
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.48% 0.69% 1.21% 3.13% 3.37%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 567 $ 655 $ 903 $ 907 $ 895
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.48% 0.72% 1.14% 3.09% 3.33%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.68% 0.69% 0.69% 0.72% 0.75%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.39% 0.62% 1.04% 2.96% 3.17%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
TAX FREE MONEY MARKET FUND
-----------------------------------------------------------------
PREMIER
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.01 0.03 0.03
Less dividends from net investment income 0.01 0.01 0.01 0.03 0.03
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.62% 0.83% 1.35% 3.21% 3.41%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 4,039 $ 3,429 $ 3,066 $ 116 $ 120
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.45% 0.45% 0.45% 0.51% 0.55%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.62% 0.82% 1.25% 3.17% 3.40%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.47% 0.47% 0.48% 0.53% 0.59%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.60% 0.80% 1.22% 3.15% 3.26%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
169
<Page>
<Table>
<Caption>
TAX FREE MONEY MARKET FUND
------------------------------------------------------------------
AGENCY@
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02 0.03 0.04
Less dividends from net investment income 0.01 0.01 0.02 0.03 0.04
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.81% 1.02% 1.54% 3.47% 3.71%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,173 $ 725 $ 1,091 $ 921 $ 640
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.26% 0.26% 0.26% 0.26% 0.26%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.82% 1.05% 1.45% 3.42% 3.67%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.32% 0.33% 0.33% 0.36% 0.39%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.76% 0.98% 1.38% 3.32% 3.54%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
TAX FREE MONEY MARKET FUND
--------------------------------------
INSTITUTIONAL
--------------------------------------
YEAR YEAR 9/10/01**
ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02
- -------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.02
Less dividends from net investment income 0.01 0.01 0.02
---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------------------
TOTAL RETURN 0.87% 1.09% 1.54%
===========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 8,684 $ 6,332 $ 3,891
- -------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.20% 0.20% 0.20%
- -------------------------------------------------------------------------------------------
Net investment income 0.87% 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 0.76% 0.93% 1.33%
- -------------------------------------------------------------------------------------------
</Table>
@ Formerly Institutional Shares.
** Commencement of offering of class of shares.
See notes to financial statements.
170
<Page>
<Table>
<Caption>
CALIFORNIA TAX FREE MONEY MARKET FUND
------------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income 0.01 0.01 0.01 0.03 0.03
Less dividends from net investment income 0.01 0.01 0.01 0.03 0.03
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.51% 0.72% 1.13% 2.70% 3.00%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 154 $ 149 $ 163 $ 83 $ 78
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.55% 0.55% 0.55% 0.55% 0.55%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.51% 0.72% 1.05% 2.68% 3.03%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements and
earnings credits 0.80% 0.73% 0.76% 0.83% 0.90%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.26% 0.54% 0.84% 2.40% 2.68%
- -----------------------------------------------------------------------------------------------------------------------
</Table>
^ Formerly Vista Shares.
See notes to financial statements.
171
<Page>
<Table>
<Caption>
NEW YORK TAX FREE MONEY MARKET FUND
-----------------------------------------------------------------
MORGAN^
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income --+ 0.01 0.01 0.03 0.03
Less dividends from net investment income --+ 0.01 0.01 0.03 0.03
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (b) 0.48% 0.72% 1.20% 2.98% 3.27%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 1,540 $ 1,662 $ 2,123 $ 2,439 $ 1,831
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.59% 0.59% 0.59% 0.59% 0.59%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.48% 0.72% 1.17% 2.88% 3.24%
- -----------------------------------------------------------------------------------------------------------------------
Expenses without waivers, reimbursements
and earnings credits 0.70% 0.69% 0.69% 0.71% 0.70%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income without waivers,
reimbursements and earnings credits 0.37% 0.62% 1.07% 2.76% 3.13%
- -----------------------------------------------------------------------------------------------------------------------
<Caption>
NEW YORK TAX FREE MONEY MARKET FUND
------------------------------------------------------------------
RESERVE
------------------------------------------------------------------
YEAR YEAR YEAR YEAR 7/31/00**
ENDED ENDED ENDED ENDED THROUGH
PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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) 0.28% 0.52% 1.00% 2.77% 0.28%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 155 $ 175 $ 180 $ --* $ --*
- -----------------------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.79% 0.79% 0.79% 0.90% 0.79%
- -----------------------------------------------------------------------------------------------------------------------
Net investment income 0.28% 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 0.19% 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.
172
<Page>
JPMORGAN FUNDS
Report of Independent Registered Public Accounting Firm
To the Trustees and Shareholders of
J.P. Morgan Mutual Fund Trust:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Prime Money Market Fund,
JPMorgan Liquid Assets Money Market Fund, JPMorgan U.S. Government Money Market
Fund, JPMorgan Treasury Plus Money Market Fund, JPMorgan Federal Money Market
Fund, JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan Tax
Free Money Market Fund, JPMorgan California Tax Free Money Market Fund and
JPMorgan New York Tax Free Money Market Fund (separate portfolios of J.P. Morgan
Mutual Fund Trust, hereafter referred to as the "Funds") at August 31, 2004, the
results of each of their operations for the year then ended, the changes in each
of their net assets for each of the two years in the period then ended and the
financial highlights for each of the periods presented, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at August 31, 2004 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
October 19, 2004
173
<Page>
JPMORGAN FUNDS
SCHEDULE OF SHAREHOLDER EXPENSES
Hypothetical $1,000 Investment at Beginning of Period
August 31, 2004
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchase payments and
redemption fees: and (2) ongoing costs, including investment advisory,
administration fees, distribution fees and other Fund expenses. The examples
below are intended to help you understand your ongoing costs (in dollars) of
investing in the Funds and to compare these costs with the ongoing costs of
investing in other mutual funds. The examples assume that you had a $1,000
investment in the Class at the beginning of the reporting period, March 1, 2004,
and continued to hold your shares at the end of the reporting period, August 31,
2004.
ACTUAL EXPENSES
For each Class of each Fund in the table below, the first line provides
information about actual account values and actual expenses. You may use the
information in this line, together with the amount you invested, to estimate the
expenses that you paid over the period. Simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number in the first line of each Class under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of each Class in the table below provides information about
hypothetical account values and hypothetical expenses based on the Class' actual
expense ratio and an assumed rate of return of 5% per year before expenses,
which is not the Class' actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in the Class of the Fund and other funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as sales
charges (loads) or redemption fees. Therefore, the second line for each Class in
the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transaction costs were included, your costs would have been higher. The
examples also assume all dividends and distributions have been reinvested.
174
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD ANNUALIZED
ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO EXPENSE
MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* RATIO
- ---------------------------------------------------------------------------------------------------------------------------
PRIME MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,003 $ 2.97 0.59%
Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59%
PREMIER
Actual period return $ 1,000 $ 1,004 $ 2.27 0.45%
Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45%
AGENCY
Actual period return $ 1,000 $ 1,005 $ 1.31 0.26%
Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26%
CLASS B
Actual period return $ 1,000 $ 1,001 $ 5.47 1.09%
Hypothetical $ 1,000 $ 1,020 $ 5.52 1.09%
CLASS C
Actual period return $ 1,000 $ 1,001 $ 5.53 1.10%
Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,005 $ 1.01 0.20%
Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20%
RESERVE
Actual period return $ 1,000 $ 1,003 $ 3.52 0.70%
Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70%
SELECT
Actual period return $ 1,000 $ 1,004 $ 2.22 0.44%
Hypothetical $ 1,000 $ 1,023 $ 2.24 0.44%
CASH MANAGEMENT
Actual period return $ 1,000 $ 1,001 $ 4.88 0.97%
Hypothetical $ 1,000 $ 1,023 $ 4.93 0.97%
LIQUID ASSETS MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,004 $ 2.72 0.54%
Hypothetical $ 1,000 $ 1,022 $ 2.75 0.54%
PREMIER
Actual period return $ 1,000 $ 1,004 $ 2.02 0.40%
Hypothetical $ 1,000 $ 1,023 $ 2.03 0.40%
AGENCY
Actual period return $ 1,000 $ 1,005 $ 1.06 0.21%
Hypothetical $ 1,000 $ 1,024 $ 1.07 0.21%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,006 $ 0.76 0.15%
Hypothetical $ 1,000 $ 1,024 $ 0.76 0.15%
</Table>
175
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD ANNUALIZED
ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO EXPENSE
MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* RATIO
- ---------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,003 $ 2.97 0.59%
Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59%
PREMIER
Actual period return $ 1,000 $ 1,004 $ 2.27 0.45%
Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45%
AGENCY
Actual period return $ 1,000 $ 1,005 $ 1.31 0.26%
Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,005 $ 1.01 0.20%
Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20%
TREASURY PLUS MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,003 $ 2.97 0.59%
Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59%
PREMIER
Actual period return $ 1,000 $ 1,003 $ 2.27 0.45%
Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45%
AGENCY
Actual period return $ 1,000 $ 1,004 $ 1.26 0.25%
Hypothetical $ 1,000 $ 1,024 $ 1.27 0.25%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,005 $ 1.01 0.20%
Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20%
RESERVE
Actual period return $ 1,000 $ 1,002 $ 3.52 0.70%
Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70%
FEDERAL MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,002 $ 3.52 0.70%
Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70%
PREMIER
Actual period return $ 1,000 $ 1,004 $ 2.27 0.45%
Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45%
AGENCY
Actual period return $ 1,000 $ 1,005 $ 1.31 0.26%
Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,005 $ 1.01 0.20%
Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20%
</Table>
176
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD ANNUALIZED
ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO EXPENSE
MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* RATIO
- ---------------------------------------------------------------------------------------------------------------------------
100% U.S. TREASURY SECURITIES
MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,003 $ 2.97 0.59%
Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59%
PREMIER
Actual period return $ 1,000 $ 1,003 $ 2.27 0.45%
Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45%
AGENCY
Actual period return $ 1,000 $ 1,004 $ 1.26 0.25%
Hypothetical $ 1,000 $ 1,024 $ 1.27 0.25%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,004 $ 1.01 0.20%
Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20%
TAX FREE MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,003 $ 2.97 0.59%
Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59%
PREMIER
Actual period return $ 1,000 $ 1,003 $ 2.27 0.45%
Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45%
AGENCY
Actual period return $ 1,000 $ 1,004 $ 1.31 0.26%
Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,005 $ 1.01 0.20%
Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20%
CALIFORNIA TAX FREE MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,003 $ 2.77 0.55%
Hypothetical $ 1,000 $ 1,022 $ 2.80 0.55%
NEW YORK TAX FREE MONEY MARKET FUND
MORGAN
Actual period return $ 1,000 $ 1,003 $ 2.97 0.59%
Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59%
RESERVE
Actual period return $ 1,000 $ 1,002 $ 3.97 0.79%
Hypothetical $ 1,000 $ 1,021 $ 4.01 0.79%
</Table>
* Expenses are equal to the Class' annualized expense ratio in the table
above, multiplied by the average account value over the period, multiplied
by 184/366 (to reflect the one-half year period).
177
<Page>
JPMORGAN FUNDS
Trustee and Officer Information (unaudited)
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Trusts and other
investment companies within the JPMorgan Funds complex.
<Table>
<Caption>
POSITIONS NUMBER OF PORT- OTHER
HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Since 1994 Retired; Vice 70 None
522 Fifth Avenue, President and
New York, NY 10036; Treasurer of
1941 Ingersoll-Rand
Company (manufacturer
of industrial equipment)
(1972 - 2000)
Roland R. Eppley, Jr.; Trustee Since 1994 Retired 70 Director, Janel Hydro,
522 Fifth Avenue, Inc. (Automotive)
New York, NY 10036; (1993 - present)
1932
Ann Maynard Gray; Trustee Since 2001 Vice President of 70 Director of Duke Energy
522 Fifth Avenue, Capital Cities/ABC, Corporation (1997 -
New York, NY 10036; Inc. (1986 - 1998) Present) Director of
1945* Elan Corporation, Plc
(pharmaceuticals)
(2001 - Present);
Director of The Phoenix
Companies (wealth
management services)
(2002 - Present)
Matthew Healey; Trustee Since 2001 Retired; Chief Executive 70 None
522 Fifth Avenue, Officer of certain
New York, NY 10036; J.P. Morgan Fund
1937 Trusts (1982 - 2001)
Fergus Reid, III; Trustee and Since 1994 Chairman of Lumelite 70 Trustee of Morgan
522 Fifth Avenue, Chairman of Corporation (plastics Stanley Funds (209
New York, NY 10036; the Board of manufacturing) portfolios) (1995 -
1932 Trustees (2003 - present) Present)
Chairman and CEO of
Lumelite Corporation
(1985 - 2002)
James J. Schonbachler; Trustee Since 2001 Retired; Managing 70 None
522 Fifth Avenue, Director of Bankers
New York, NY 10036; Trust Company,
1943 (financial services)
(1968 - 1998)
Robert J. Higgins; Trustee Since 2002 Director of 70 Director of Providian
522 Fifth Avenue, Administration of Financial Corp.(banking)
New York, NY 10036; the State of Rhode (2002 - Present)
1945 Island (2003 -
Present); President
- Consumer Banking and
Investment Services
Fleet Boston Financial
(1971 - 2002)
</Table>
* Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with
JPMorgan Securities, Inc., as an Associate Analyst, on May 3, 2004.
178
<Page>
<Table>
<Caption>
POSITIONS NUMBER OF PORT- OTHER
HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- ------------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 70 Director of National
522 Fifth Avenue, City University of Financial Partners
New York, NY 10036; New York, since (financial services
1941 September 1, 1999; distributor) (2003 -
President, Adelphi present); Trustee of
University (New York) Bronx Lebanon Hospital
(1998 - 1999). Center (1992 - present);
Director of New Plan
Excel Realty Trust, Inc.
(real estate investment
trust) (2000 - present);
Director of Lincoln
Center Institute for the
Arts in Education
(1999 - present).
William G. Morton, Jr.; Trustee Since 2003 Chairman Emeritus 70 Director of Radio Shack
522 Fifth Avenue, (2001 - 2002), and Corporation (electronics)
New York, NY 10036; Chairman and Chief (1987 - present);
1937 Executive Officer, Director of The
Boston Stock Exchange Griswold Company
(1985 - 2001). (securities brokerage)
(2002 - 2004), Director
of The National
Football Foundation
and College Hall of
Fame (1994 - present);
Trustee of the Berklee
College of Music
(1998 - present);
Trustee of the Stratton
Mountain School
(2001 - present).
INTERESTED TRUSTEE(S)
Leonard M. Spalding Jr.* Trustee Since 1998 Retired; Chief 70 None
522 Fifth Avenue, Executive Officer of
New York, NY 10036; Chase Mutual
1935 Funds (investment
company) (1989 - 1998);
President and Chief
Executive Officer of
Vista Capital
Management (investment
management) (1990 -
1998); Chief Investment
Executive of Chase
Manhattan Private
Bank (investment
management)
(1990 - 1998).
</Table>
(1) A Fund Complex means two or more investment companies that hold themselves
out to investors as related companies for purposes of investment and
investment services or have a common investment advisor or have an
investment advisor that is an affiliated person of the investment advisor
of any of the other investment companies. The JPMorgan Fund Complex for
which the Trustees serve includes 13 investment companies.
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
equity securities of JPMorgan Chase & Co. stock.
179
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
George C.W. Gatch; President Since 2001 Managing Director, JPMIM; Head of J.P.Morgan
522 Fifth Avenue, Fleming's U.S. Mutual Funds and Financial
New York, NY 10036; Intermediaries Business ("FFI"); he has held
1962 numerous positions throughout the firm in
business management, marketing and sales.
Robert L. Young; Senior Vice President Since 2004 Mr. Young joined Banc One Investment Advisors
522 Fifth Avenue, Corporation in 1996 and in 1999 he became
New York, NY 10036; Vice President and Treasurer of One Group
1963 Administrative Services, Inc. and One Group
Dealer Services, Inc. and in 2001, Mr. Young
became COO of the One Group Mutual Funds.
Patricia A. Maleski; Vice President and Chief Since 2003 Vice President, JPMIM, head of FFI and U.S.
522 Fifth Avenue, Administrative Officer Institutional Funds Administration and Board
New York, NY 10036; Liaison. Prior to joining JPMorgan in 2001, she
1960 was the Vice President of Finance for the Pierpont
Group, Inc., a service provider to the board of
trustees of the heritage JPMorgan Funds.
Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel,
522 Fifth Avenue, Assistant Secretary JPMIM, since September 2002; Mr. Chan was an
New York, NY 10036; associate at the law firm of Shearman and
1965 Sterling from May 2001 through
September 2002; Swidler Berlin Shereff
Friedman LLP from June 1999 through
May 2001 and Whitman Breed Abbott &
Morgan LLP from September 1997 through
May 1999.
Stephanie J. Dorsey Treasurer Since 2004 Director of Mutual Fund Administration, One
522 Fifth Avenue, Group Administrative Services, since
New York, NY 10036; January 2004; Ms. Dorsey worked for Bank One
1969 Corporation from January 2003 to
January 2004; Prior to joining Bank One
Corporation, she held various positions at
PricewaterhouseCoopers LLP from
September 1992.
Jessica K. Ditullio Assistant Secretary Since 2004 From August 1990 to present, she held various
522 Fifth Avenue, attorney positions for Bank One Corporation
New York, NY 10036; (now known as JPMorgan Chase & Co.)
1963
Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual
522 Fifth Avenue, Fund Administration, One Group Administrative
New York, NY 10036; Services, Inc. and Senior Project Manager,
1949 Mutual Funds, One Group Dealer Services, Inc.
From July 1999 to October 1999, Project
Manager, One Group, Banc One Investment
Advisors Corporation.
Alaina Metz Assistant Secretary Since 2001 Chief Administrative Officer of BISYS Fund
3435 Stelzer Rd. Services, Inc.; formerly, Supervisor of the Blue
Columbus, OH 43219 Sky Department of Alliance Capital
1967 Management, L.P.
Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS
3435 Stelzer Rd. Fund Services, Inc.
Columbus, OH 43219
1963
Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS
3435 Stelzer Rd. Fund Services, Inc. since June 2001; formerly
Columbus, OH 43219 Section Manager of Northern Trust Company
1966 and Accounting Supervisor at Allstate Insurance
Company.
Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all
522 Fifth Avenue, aspects of institutional and retail mutual fund
New York, NY 10036; administration and vendor relationships within
1965 the mutual funds, commingled/Erisa funds, 3C-7
funds, hedge funds and LLC products. Prior to
joining JPMorgan in 2000, he was a director
from 1996 to 2000 of Mutual Fund
Administration at Prudential Investments.
</Table>
180
<Page>
<Table>
<Caption>
POSITIONS HELD TERM OF OFFICE
NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the
522 Fifth Avenue, Budgeting and Expense Group of Funds
New York, NY 10036; Administration Group.
1954
Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held
522 Fifth Avenue, numerous financial and operations positions
New York, NY 10036; supporting the J.P. Morgan Chase organization
1955 complex.
Stephen M. Ungerman Chief Compliance Since 2004 Vice President, JPMIM; Fund Administration -
522 Fifth Avenue, Officer Pooled Vehicles; prior to joining JPMorgan
New York, NY 10036; Chase in 2000, he held a number of positions in
1953 Prudential Financial's asset management
business, including Assistant General Counsel, Tax
Director and Co-head of Fund Administration;
Mr. Ungerman also served as Assistant
Treasurer for all mutual funds managed by
Prudential.
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling
1-800-348-4782.
181
<Page>
TAX LETTER (UNAUDITED)
JPMORGAN PRIME MONEY MARKET FUND ("PRM")
JPMORGAN LIQUID ASSETS MONEY MARKET FUND ("LA")
JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND ("USG")
JPMORGAN TREASURY PLUS MONEY MARKET FUND ("TP")
JPMORGAN FEDERAL MONEY MARKET FUND ("FED")
JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ("USTS")
JPMORGAN TAX FREE MONEY MARKET FUND ("TF")
JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND ("CTF")
JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND ("NYTF")
Certain tax information regarding the JPMorgan Mutual Funds is required to be
provided to shareholders based upon the Funds' income and distributions for the
taxable year ended August 31, 2004. The information and distributions reported
in this letter may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 2004. The information
necessary to complete your income tax returns for the calendar year ending
December 31, 2004 will be received under separate cover.
The following schedule presents the source and percentage of income from
government obligations for the fiscal year ended August 31, 2004.
<Table>
<Caption>
PRM LA USG TP FED USTS
- ----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations -- -- -- 40.45% 3.35% 99.83%
Federal Farm Credit Bank -- -- 4.25% -- 36.36% --
Federal Home Loan Bank 0.53% 0.86% 11.37% -- 30.23% --
Student Loan Marketing Association -- -- 0.56% -- 12.09% --
Tennessee Valley Authority -- -- -- -- 2.06% --
Federal Home Loan Mortgage 2.61% 1.61% 17.33% -- -- --
Federal National Mortgage Association 2.10% 1.21% 27.09% -- -- --
Federal Financing Bank -- -- -- -- 0.02% --
</Table>
Also, for the fiscal year ended August 31, 2004:
- - The dividends paid from net investment income are 99.89%, 100.00% and 94.89%
exempt from Federal income tax for TF, CTF and NYTF, respectively.
- - The Long-Term Capital gain designation are $10,973, $21, $80,403 and $28,702
for USG, USTS, TF and NYTF
- - For shareholders who are subject to the Alternative Minimum Tax, the
percentage of income from private activity bonds issued after August 7, 1986,
which may be considered a tax preference item, was 13.22%, 20.89% and 10.89%
for TF, CTF and NYTF, respectively.
182
<Page>
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<Page>
JPMORGAN FAMILY OF FUNDS
U.S. EQUITY FUNDS
Capital Growth Fund
Disciplined Equity Fund
Diversified Fund
Dynamic Small Cap Fund
Equity Growth Fund
Equity Income Fund
Growth and Income Fund
Mid Cap Equity Fund
Mid Cap Growth Fund
Mid Cap Value Fund
Small Cap Equity Fund
Small Cap Growth Fund
Trust Small Cap Equity Fund
U.S. Equity Fund
U.S. Small Company Fund
U.S. Small Company Opportunities Fund
Value Opportunities Fund
INTERNATIONAL EQUITY FUNDS
Fleming Asia Equity Fund
Fleming Emerging Markets Equity Fund
Fleming Intrepid 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>
ANNUAL REPORT
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by a prospectus.
INVESTORS SHOULD CAREFULLY READ THE FUNDS' PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUNDS' 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
Not later than 60 days after the end of each fiscal quarter the Fund will make
available a complete schedule of its portfolio holdings as of the last day of
that quarter, as filed in a certified filing with the SEC. In addition to
providing hard copies upon request, the Fund will post these quarterly schedules
on the Fund's website at www.jpmorganfunds.com and on the SEC's website at
www.sec.gov.
Shareholders may request portfolio holdings schedules at no charge by calling
1-800-480-4111.
A description of the Fund's policies and procedures with respect to the
disclosure of the Fund's portfolio holdings is available in the Statement of
Additional Information.
A copy of proxy policies and procedures are available without charge upon
request by calling 1-800-348-4782 and on the Commission's website at
www.sec.gov. The Trustees have delegated the authority to vote proxies for
securities owned by the Fund to JPMIM. A copy of the Fund's voting record for
the 12-month period ended June 30, 2004 is available on the SEC's website at
www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy
voting record will include, among other things, a brief description of the
matter voted on for each portfolio security, and will state how each vote was
cast, for example, for or against the proposal.
JPMorgan Funds Fulfillment Center
6112 W. 73rd Street
Bedford Park, IL 60638
(C) J.P. Morgan Chase & Co., 2004 All Rights Reserved. October 2004
AN-MMKT-804
<Page>
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S
PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING
OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS.
THE REGISTRANT WILL PROVIDE TO ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY
OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving on
its audit committee; or
(ii) Does not have an audit committee financial expert serving on
its audit committee.
THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT
LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is
"independent." In order to be considered "independent" for purposes
of this Item, a member of an audit committee may not, other than in
his or her capacity as a member of the audit committee, the board
of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)).
THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A
"NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES
AND EXCHANGE COMMISSION FOR PURPOSES AUDIT COMMITTEE FINANCIAL EXPERT
DETERMINATIONS.
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an
audit committee financial expert.
NOT APPLICABLE.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal
years (the "Reporting Periods") for professional services rendered by the
Registrant's principal accountant (the "Auditor") for the audit of the
Registrant's annual financial statements, or services that are normally
provided by the Auditor in connection with the statutory and regulatory
filings or engagements for the Reporting Periods, were $392,968 in 2003 and
$378,482 in 2004.
(b) AUDIT-RELATED FEES. There were no audit-related fees for the Registrant
during the Reporting Periods.
The aggregate fees billed in the Reporting Periods for assurance and related
services by the Auditor to the Registrant's investment adviser (not including
any sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any entity
controlling, controlled by or under common control with the investment
adviser that provides ongoing services to the Registrant ("Service
Affiliates"), that were reasonably related to the performance of the annual
audit of the Service Affiliates, which required pre-approval by the Audit
Committee were $8,277,000 from May 6, 2003 to December 31, 2003 (prior to May
6, 2003 services provided by the Auditor were not required to be
pre-approved).
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(c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting
Periods for professional services rendered by the Auditor for tax compliance,
tax advice and tax planning ("Tax Services") were $63,900 in 2003 and $65,700 in
2004. These services consisted of review or preparation of U.S. federal, state,
local and excise tax returns.
There were no fees billed for Tax Services by the Auditor to Service Affiliates
which required pre-approval by the Audit Committee for the period May 6, 2003
through December 31, 2003.
(d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods
for products and services provided by the Auditor to the Registrant, or services
provided to Service Affiliates which were required to be pre-approved on or
after May 6, 2003 until December 31, 2003, other than the services reported
above.
(e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to
pre-approving any services to be provided by the Auditor to the Registrant, the
Audit Committee considers and approves any non-audit services to be provided to
the Service Affiliates by the Auditor and the fees to be charged for such
non-audit services. Pre-approval considerations include whether the proposed
services are compatible with maintaining the Auditor's independence. The
Chairman of the Audit Committee has been given the authority to pre-approve
permissible non-audit services.
(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for
services rendered to the Registrant, and rendered to Service Affiliates, for the
last two calendar year ends were $46.4 million in 2002 and $28.3 million in
2003.
(h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered
whether the provision of non-audit services that were rendered to Service
Affiliates that were not pre-approved (not requiring pre-approval) is compatible
with maintaining the Auditor's independence. All services provided by the
Auditor to the Registrant or to Service Affiliates that were required to be
pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under
the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member. If the
entire board of directors is acting as the registrant's audit
committee as specified in Section 3(a)(58)(B) of the Exchange Act (15
U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under
the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the
listing standards for all audit committees.
NOT APPLICABLE.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I - Investments in securities of unaffiliated issuers as
of the close of the reporting period as set forth in Section 210.12-12 of
Regulation S-X, unless the schedule is included as part of the report to
shareholders filed under Item 1 of this Form.
NOT APPLICABLE.
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.
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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.
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.
THE COMMITTEE SHALL REVIEW NOMINEES RECOMMENDED TO THE BOARD BY SHAREHOLDERS AND
SHALL EVALUATE SUCH NOMINEES IN THE SAME MANNER AS IT EVALUATES NOMINEES
IDENTIFIED BY THE COMMITTEE.
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 - SEE ITEM 2 ABOVE.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(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.
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(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.
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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
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By (Signature and Title)* /s/ Stephanie J. Dorsey
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Stephanie J. Dorsey, Treasurer
Date November 5, 2004
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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/ Stephanie J. Dorsey
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Stephanie J. Dorsey, Treasurer
Date November 5, 2004
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By (Signature and Title)* /s/ George C.W. Gatch
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George C.W. Gatch, President
Date November 9, 2004
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* Print the name and title of each signing officer under his or her signature.