<Page>
-----------------------------
OMB APPROVAL
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Expires: November 30, 2005
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hours per response....... 5.0
-----------------------------
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07841
---------------------------------------------
J.P. Morgan Mutual Fund Select Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-348-4782
----------------------------
Date of fiscal year end: August 31, 2004
--------------------------------------------------------
Date of reporting period: September 1, 2003 through 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>
[GRAPHIC]
JPMORGAN FUNDS
ANNUAL REPORT AUGUST 31 2004
TAX FREE FUNDS
CALIFORNIA BOND FUND
INTERMEDIATE TAX FREE INCOME FUND
NEW JERSEY TAX FREE INCOME FUND
NEW YORK INTERMEDIATE TAX FREE INCOME FUND
TAX FREE INCOME FUND
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
<Page>
[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has
been working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have a worldwide investment presence. This local insight provides
us with a global view of every investment decision we make which we believe is
crucial in light of the ever-increasing rise of globalization in our
marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER
dedicated to working with your financial professional to help provide you with a
broad array of WEALTH SOLUTIONS.
CONTENTS
<Table>
President's Letter 1
Fund Commentaries:
JPMorgan California Bond Fund 2
JPMorgan Intermediate Tax Free Income Fund 4
JPMorgan New Jersey Tax Free Income Fund 6
JPMorgan New York Intermediate Tax Free Income Fund 8
JPMorgan Tax Free Income Fund 10
Portfolio of Investments 12
Financial Statements 52
Notes to Financial Statements 59
Financial Highlights 78
</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, which was blamed mostly 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 TAX FREE FUNDS
PRESIDENT'S LETTER AUGUST 31, 2004
[PHOTO OF GEORGE C.W. GATCH]
"STRONG CORPORATE PROFITS BUOYED THE EQUITY MARKET AND SUPPORTED AN INCREASE IN
CAPITAL SPENDING AND HIRING"
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Tax Free Funds for
the one-year period ending August 31, 2004. Inside you'll find in-depth
information on some of our tax-free funds along with an update from the
portfolio management team.
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.
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 -- fueled
by tax refunds and by the mortgage-refinancing boom. At the same time, consumer
price inflation data turned discretely higher.
Early in the period, little issuance and year-end pressures in the market drove
up municipal yields. These historically rich levels remained unchanged in
December as issuance slowed in the face of strong demand. New issuance and a
lack of demand caused municipals to significantly underperform Treasuries for
the first few months of 2004.
FEDERAL RESERVE BOARD RAISES SHORT-TERM INTEREST RATES
An uptick in inflation and sharply improved economic conditions during the
second quarter altered expectations about the Fed's position on short-term
interest rates -- keeping municipal investors on the sidelines. Supply was
curtailed as municipalities issued fewer bonds because of rising rates and an
increase in revenues of almost 8% compared to the same period in 2003. During
June, the Fed raised short-term rates by a quarter-percent to 1.25%.
Consumer spending slowed in July, which was blamed mostly on higher energy
prices. Although the economic outlook weakened during July and August, the
inflation data was friendly, ending the spring inflation scare. In July,
reinvestment demand combined with light new issuance supply supported municipal
prices. Two- to five- year municipal securities performed well through August.
During the same month, the Fed raised short-term interest rates another
quarter-percent to 1.50%.
In the months ahead, you can rest assured that your portfolio managers will
continue to work hard on your behalf. They will look for opportunities to obtain
the highest possible yields 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.
For 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
<Page>
JPMORGAN CALIFORNIA BOND FUND
AS OF AUGUST 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 12/23/96
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2004
(In Millions) $129.1
Primary Benchmark LEHMAN CALIFORNIA
COMPETITIVE
INTERMEDIATE
BOND INDEX (1-17)
Average Credit Quality AA+
Duration 5.1 YEARS
Q: HOW DID THE FUND PERFORM?
A: JPMorgan California Bond Fund, which seeks to provide current income exempt
from federal and from California personal income taxes, had a total return of
5.8% (Institutional Shares) for the one-year period ended August 31, 2004.
This compares with the 6.4% return of its benchmark index, the Lehman
California Competitive Intermediate Bond Index (1-17).
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Our overweight in the 10- to 15-year part of the yield curve added to
performance as the curve flattened. Our high-quality bias hurt performance
slightly when lower quality issues outperformed. The Fund was overweight
insured paper and high-quality uninsured paper. We were underweight
hospitals, airports, tobacco debt and other high-yield sectors, which
experienced a technical rebound following a severe widening in spreads. As
municipalities continue to struggle with budget deficits, we remain concerned
about the stability of these credits. We also made what we consider a prudent
decision to avoid the risks specific to airport and tobacco debt. We plan to
maintain our high-quality bias.
Q: HOW WAS THE FUND MANAGED?
A: Although California's economy has been resilient, investors were troubled by
the state's large budget deficit. Moody's Investor's Service, Standard &
Poor's and Fitch Ratings maintained their negative credit rating. In fact,
California debt was downgraded by Moody's to Baa1, which caused spreads to
widen about 15 to 20 basis points (one basis point is 1/100 of a percent).
Since then, California spreads have stabilized and started to rally.
We overweighted the 10- to 15-year part of the yield curve. We sold into
strong retail demand, took profits on long-term securities, and purchased
select issues at attractive prices. As California spreads widened, we bought
high-quality issues that were not State of California general obligation
bonds and funded those purchases with out-of-state paper. When California
spreads stabilized, we increased our weightings. Since then, spreads have
tightened dramatically as the state and national economies have stabilized
and municipal supply has fallen.
CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
AAA 68.6%
AA 12.5%
AA- 4.8%
A- 3.7%
BBB+ 3.7%
BBB 2.6%
AA+ 2.3%
Not Rated 0.9%
A 0.6%
A+ 0.2%
BBB- 0.1%
</Table>
2
<Page>
ANNUAL REPORT AUGUST 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
<Table>
<Caption>
SINCE
INCEPTION
1 YEAR 3 YEARS 5 YEARS (12/23/96)
-----------------------------------------
CLASS A SHARES
Without Sales Charge 5.62% 4.14% 5.56% 5.22%
With Sales Charge* 0.86% 2.56% 4.60% 4.59%
-----------------------------------------
INSTITUTIONAL SHARES 5.76% 4.32% 5.71% 5.37%
-----------------------------------------
SELECT SHARES 5.57% 4.09% 5.53% 5.20%
</Table>
* Sales Charge for Class A Shares is 4.50%.
[CHART]
LIFE OF FUND PERFORMANCE (12/23/96 TO 08/31/04)
<Table>
<Caption>
JPMORGAN CALIFORNIA LEHMAN CALIFORNIA COMPETITIVE LIPPER CALIFORNIA MUNICIPAL
BOND FUND (INSTITUTIONAL SHARES) INTERMEDIATE BOND INDEX (1-17) DEBT FUNDS INDEX
Dec-1996 $ 3,000,000 $ 3,000,000 $ 3,000,000
Dec-1996 $ 3,009,300 $ 3,000,000 $ 3,000,000
Jan-1997 $ 3,003,281 $ 3,010,800 $ 2,996,400
Feb-1997 $ 3,028,809 $ 3,034,585 $ 3,023,667
Mar-1997 $ 2,999,127 $ 2,999,688 $ 2,981,941
Apr-1997 $ 3,016,822 $ 3,018,886 $ 3,009,076
May-1997 $ 3,061,169 $ 3,061,150 $ 3,055,115
Jun-1997 $ 3,090,250 $ 3,089,925 $ 3,087,805
Jul-1997 $ 3,165,343 $ 3,167,482 $ 3,182,909
Aug-1997 $ 3,135,906 $ 3,140,875 $ 3,148,534
Sep-1997 $ 3,174,791 $ 3,166,630 $ 3,191,354
Oct-1997 $ 3,179,236 $ 3,187,213 $ 3,210,183
Nov-1997 $ 3,193,224 $ 3,198,369 $ 3,229,444
Dec-1997 $ 3,241,761 $ 3,236,749 $ 3,280,792
Jan-1998 $ 3,265,102 $ 3,274,295 $ 3,312,944
Feb-1998 $ 3,266,734 $ 3,280,189 $ 3,312,281
Mar-1998 $ 3,258,894 $ 3,277,565 $ 3,312,944
Apr-1998 $ 3,238,363 $ 3,263,799 $ 3,291,410
May-1998 $ 3,287,586 $ 3,309,166 $ 3,347,364
Jun-1998 $ 3,295,477 $ 3,320,748 $ 3,361,088
Jul-1998 $ 3,303,386 $ 3,332,371 $ 3,367,810
Aug-1998 $ 3,355,910 $ 3,383,023 $ 3,425,063
Sep-1998 $ 3,408,933 $ 3,431,400 $ 3,476,781
Oct-1998 $ 3,410,296 $ 3,436,204 $ 3,464,960
Nov-1998 $ 3,421,209 $ 3,447,887 $ 3,480,552
Dec-1998 $ 3,423,262 $ 3,452,714 $ 3,482,641
Jan-1999 $ 3,470,503 $ 3,494,837 $ 3,521,298
Feb-1999 $ 3,448,986 $ 3,484,353 $ 3,504,044
Mar-1999 $ 3,453,125 $ 3,493,063 $ 3,510,701
Apr-1999 $ 3,450,708 $ 3,495,858 $ 3,515,968
May-1999 $ 3,431,729 $ 3,476,281 $ 3,488,191
Jun-1999 $ 3,382,998 $ 3,432,828 $ 3,430,985
Jul-1999 $ 3,407,356 $ 3,455,484 $ 3,437,504
Aug-1999 $ 3,398,156 $ 3,443,044 $ 3,394,879
Sep-1999 $ 3,413,108 $ 3,459,915 $ 3,392,502
Oct-1999 $ 3,391,264 $ 3,438,464 $ 3,333,812
Nov-1999 $ 3,420,090 $ 3,469,066 $ 3,367,484
Dec-1999 $ 3,402,647 $ 3,443,048 $ 3,332,125
Jan-2000 $ 3,404,689 $ 3,454,410 $ 3,308,467
Feb-2000 $ 3,434,650 $ 3,483,082 $ 3,362,395
Mar-2000 $ 3,490,291 $ 3,534,632 $ 3,448,809
Apr-2000 $ 3,474,934 $ 3,514,131 $ 3,417,424
May-2000 $ 3,471,112 $ 3,519,050 $ 3,400,337
Jun-2000 $ 3,547,129 $ 3,592,247 $ 3,498,607
Jul-2000 $ 3,585,438 $ 3,632,121 $ 3,554,935
Aug-2000 $ 3,637,785 $ 3,689,145 $ 3,632,077
Sep-2000 $ 3,629,782 $ 3,674,757 $ 3,609,558
Oct-2000 $ 3,657,369 $ 3,697,908 $ 3,642,766
Nov-2000 $ 3,674,193 $ 3,716,768 $ 3,669,722
Dec-2000 $ 3,748,411 $ 3,776,979 $ 3,764,034
Jan-2001 $ 3,791,143 $ 3,826,458 $ 3,779,843
Feb-2001 $ 3,796,830 $ 3,835,641 $ 3,791,938
Mar-2001 $ 3,814,295 $ 3,852,902 $ 3,816,586
Apr-2001 $ 3,751,741 $ 3,797,420 $ 3,741,781
May-2001 $ 3,805,015 $ 3,849,824 $ 3,788,179
Jun-2001 $ 3,828,987 $ 3,870,228 $ 3,812,423
Jul-2001 $ 3,878,764 $ 3,924,024 $ 3,875,710
Aug-2001 $ 3,951,297 $ 3,996,226 $ 3,974,928
Sep-2001 $ 3,941,419 $ 3,985,437 $ 3,950,283
Oct-2001 $ 4,001,722 $ 4,026,088 $ 3,991,761
Nov-2001 $ 3,958,504 $ 3,997,100 $ 3,955,835
Dec-2001 $ 3,920,502 $ 3,967,522 $ 3,911,134
Jan-2002 $ 3,985,190 $ 4,035,763 $ 3,965,499
Feb-2002 $ 4,030,621 $ 4,082,981 $ 4,009,120
Mar-2002 $ 3,942,351 $ 3,998,055 $ 3,917,311
Apr-2002 $ 4,015,679 $ 4,072,419 $ 3,986,256
May-2002 $ 4,044,591 $ 4,107,849 $ 4,016,152
Jun-2002 $ 4,076,544 $ 4,139,069 $ 4,047,478
Jul-2002 $ 4,116,494 $ 4,183,357 $ 4,093,215
Aug-2002 $ 4,171,655 $ 4,236,904 $ 4,151,339
Sep-2002 $ 4,257,174 $ 4,320,795 $ 4,262,179
Oct-2002 $ 4,165,645 $ 4,229,626 $ 4,147,527
Nov-2002 $ 4,150,232 $ 4,228,357 $ 4,135,914
Dec-2002 $ 4,236,972 $ 4,298,548 $ 4,223,181
Jan-2003 $ 4,211,126 $ 4,283,073 $ 4,187,707
Feb-2003 $ 4,262,502 $ 4,342,179 $ 4,252,197
Mar-2003 $ 4,260,371 $ 4,346,522 $ 4,249,221
Apr-2003 $ 4,293,175 $ 4,373,905 $ 4,284,914
May-2003 $ 4,385,908 $ 4,460,508 $ 4,389,895
Jun-2003 $ 4,356,084 $ 4,428,392 $ 4,354,776
Jul-2003 $ 4,215,382 $ 4,299,083 $ 4,188,859
Aug-2003 $ 4,240,675 $ 4,336,485 $ 4,216,924
Sep-2003 $ 4,357,717 $ 4,450,101 $ 4,338,371
Oct-2003 $ 4,335,493 $ 4,423,846 $ 4,325,790
Nov-2003 $ 4,361,072 $ 4,453,043 $ 4,379,430
Dec-2003 $ 4,396,833 $ 4,483,324 $ 4,415,779
Jan-2004 $ 4,418,817 $ 4,504,395 $ 4,436,533
Feb-2004 $ 4,477,146 $ 4,574,664 $ 4,513,729
Mar-2004 $ 4,448,940 $ 4,558,653 $ 4,487,098
Apr-2004 $ 4,357,291 $ 4,464,288 $ 4,377,613
May-2004 $ 4,341,169 $ 4,454,913 $ 4,360,540
Jun-2004 $ 4,362,007 $ 4,483,870 $ 4,381,035
Jul-2004 $ 4,408,681 $ 4,533,641 $ 4,437,988
Aug-2004 $ 4,485,309 $ 4,617,060 $ 4,526,748
</Table>
SOURCE: LIPPER, INC. 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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 12/23/96.
Returns for the Select Shares prior to 4/21/97 (offering date of Select Shares)
are calculated using the historical expenses of the Institutional Shares, which
are lower than the expenses of the Select Shares.
Returns for the Class A Shares prior to 9/10/01 (offering date of Class A
Shares) are calculated using the historical expenses of the Select Shares, which
are lower than the expenses of the Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in
Institutional Shares of the JPMorgan California Bond Fund, Lehman California
Competitive Intermediate Bond Index (1-17), and Lipper California Municipal Debt
Funds Index from December 23, 1996 to August 31, 2004 The performance of the
Fund assumes reinvestment of all dividends. The performance of the indices
reflects an initial investment at the end of the month following the Fund's
inception. The performance of the indices does not include a sales charge and
has been adjusted to reflect reinvestment of all dividends and capital gains of
the securities included in the benchmark. The Lehman California Competitive
Intermediate Bond Index (1-17) is an unmanaged index of California general
obligation and revenue bonds which measures California-tax exempt bond market
performance and reflects the universe of securities in which the funds invest.
The Lipper California Municipal Debt Funds Index represents the total returns of
the funds in the category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Institutional Shares have a $3,000,000 minimum initial deposit and carry no
sales charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
3
<Page>
JPMORGAN INTERMEDIATE TAX FREE INCOME FUND
AS OF AUGUST 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2004
(In Millions) $1,489.7
Primary Benchmark LEHMAN COMPETITIVE
INTERMEDIATE (1-17
YEAR MATURITIES)
INDEX
Average Credit Quality AA
Duration 5.5 YEARS
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Intermediate Tax Free Income Fund, which seeks to provide a high
level of current income that is exempt from federal income tax, had a total
return of 5.2% (Select Shares) for the one-year period ended August 31, 2004.
This compares with the 6.0% return of its benchmark index, the Lehman
Competitive Intermediate (1-17 Year Maturities) Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: Detracting from performance was our position in the five-year part of the
curve; we chose not to restructure the Fund because doing so would have
resulted in huge capital gains. Also negative for performance was our
high-quality bias at a time when lower quality issues performed better. We
were underweight hospitals, airports, tobacco debt and other high-yield
sectors, which experienced a technical rebound following a severe widening in
spreads. As municipalities continue to struggle with budget deficits, we
remain concerned about the stability of these credits. We also made what we
consider a prudent decision to avoid the risks specific to airport and
tobacco debt. We plan to maintain our high-quality bias. The eight-year part
of the yield curve outperformed, enhancing performance. Also contributing was
our overweight position to revenue bonds and our purchase of housing issues,
which outperformed.
Q: HOW WAS THE FUND MANAGED?
A: We overweighted the eight-year part of the yield curve as well as the revenue
sector of the market. Our focus remains on high-quality, liquid issues; we
were underweight hospitals, airports, tobacco debt and other high-yield
sectors. As spreads tightened, we removed our overweight to New York and
purchased more high-quality general market issues, such as pre-refunded bonds
(secured by an escrow fund of U.S. government obligations). We added housing
issues, and we also started to unwind our overweight in California paper.
CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
AAA 54.6%
AA 13.8%
AA- 12.0%
AA+ 4.2%
A 4.0%
A- 4.0%
BBB+ 3.4%
A+ 1.8%
BBB 1.1%
BBB- 0.6%
Not Rated 0.5%
</Table>
4
<Page>
ANNUAL REPORT AUGUST 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 6.16% 4.85% 5.87% 5.86%
With Sales Charge* 1.34% 3.24% 4.90% 5.37%
---------------------------------------
CLASS B SHARES
Without Sales Charge 4.40% 4.26% 5.52% 5.68%
With Sales Charge** (0.60%) 3.34% 5.19% 5.68%
---------------------------------------
CLASS C SHARES
Without Sales Charge 4.68% 4.36% 5.58% 5.71%
With Sales Charge*** 3.68% 4.36% 5.58% 5.71%
---------------------------------------
INSTITUTIONAL SHARES 5.26% 4.66% 5.76% 5.80%
---------------------------------------
SELECT SHARES# 5.19% 4.53% 5.68% 5.76%
</Table>
* Sales Charge for Class A Shares is 4.50%
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the five year period and
0% for the ten year period.
*** Assumes 1% CDSC for the one year period and 0% thereafter.
# Formerly Institutional Shares
[CHART]
TEN YEAR FUND PERFORMANCE (08/31/94 TO 08/31/04)
<Table>
<Caption>
JPMORGAN INTERMEDIATE TAX LEHMAN COMPETITIVE INTERMEDIATE LIPPER INTERMEDIATE MUNICIPAL
FREE INCOME FUND (SELECT SHARES) (1-17 YEAR) MATURITIES INDEX DEBT FUNDS INDEX
Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Sep-1994 $ 991,100 $ 989,200 $ 989,700
Oct-1994 $ 977,324 $ 977,527 $ 978,813
Nov-1994 $ 954,845 $ 963,451 $ 964,229
Dec-1994 $ 978,812 $ 978,770 $ 978,596
Jan-1995 $ 1,002,891 $ 999,813 $ 997,581
Feb-1995 $ 1,027,161 $ 1,023,709 $ 1,018,330
Mar-1995 $ 1,036,713 $ 1,035,277 $ 1,027,292
Apr-1995 $ 1,043,348 $ 1,037,347 $ 1,029,552
May-1995 $ 1,065,050 $ 1,065,563 $ 1,053,746
Jun-1995 $ 1,058,766 $ 1,061,195 $ 1,050,480
Jul-1995 $ 1,070,518 $ 1,073,717 $ 1,060,039
Aug-1995 $ 1,080,260 $ 1,086,601 $ 1,070,427
Sep-1995 $ 1,082,961 $ 1,092,578 $ 1,075,780
Oct-1995 $ 1,097,797 $ 1,103,503 $ 1,085,999
Nov-1995 $ 1,108,446 $ 1,117,187 $ 1,097,511
Dec-1995 $ 1,119,419 $ 1,124,672 $ 1,104,535
Jan-1996 $ 1,134,308 $ 1,135,244 $ 1,113,150
Feb-1996 $ 1,131,812 $ 1,131,043 $ 1,109,700
Mar-1996 $ 1,111,779 $ 1,119,620 $ 1,098,492
Apr-1996 $ 1,110,223 $ 1,117,157 $ 1,096,514
May-1996 $ 1,107,669 $ 1,116,040 $ 1,096,514
Jun-1996 $ 1,114,537 $ 1,125,526 $ 1,103,313
Jul-1996 $ 1,127,688 $ 1,135,205 $ 1,113,022
Aug-1996 $ 1,126,222 $ 1,135,659 $ 1,113,467
Sep-1996 $ 1,135,345 $ 1,146,675 $ 1,123,600
Oct-1996 $ 1,147,720 $ 1,159,059 $ 1,134,611
Nov-1996 $ 1,168,723 $ 1,178,300 $ 1,151,403
Dec-1996 $ 1,161,828 $ 1,174,529 $ 1,148,294
Jan-1997 $ 1,165,081 $ 1,178,993 $ 1,151,165
Feb-1997 $ 1,174,635 $ 1,188,778 $ 1,159,799
Mar-1997 $ 1,160,891 $ 1,175,107 $ 1,147,969
Apr-1997 $ 1,168,437 $ 1,182,863 $ 1,153,938
May-1997 $ 1,183,744 $ 1,198,122 $ 1,167,555
Jun-1997 $ 1,195,699 $ 1,209,504 $ 1,178,296
Jul-1997 $ 1,224,516 $ 1,237,927 $ 1,203,865
Aug-1997 $ 1,215,454 $ 1,228,767 $ 1,194,596
Sep-1997 $ 1,228,581 $ 1,241,792 $ 1,207,258
Oct-1997 $ 1,236,321 $ 1,248,621 $ 1,213,053
Nov-1997 $ 1,241,638 $ 1,254,115 $ 1,217,784
Dec-1997 $ 1,257,531 $ 1,269,917 $ 1,233,372
Jan-1998 $ 1,270,106 $ 1,282,616 $ 1,243,732
Feb-1998 $ 1,269,217 $ 1,283,643 $ 1,244,354
Mar-1998 $ 1,269,978 $ 1,284,413 $ 1,245,101
Apr-1998 $ 1,263,501 $ 1,279,147 $ 1,239,373
May-1998 $ 1,284,349 $ 1,297,310 $ 1,255,981
Jun-1998 $ 1,287,303 $ 1,301,981 $ 1,260,251
Jul-1998 $ 1,291,551 $ 1,305,496 $ 1,263,150
Aug-1998 $ 1,313,766 $ 1,324,165 $ 1,281,339
Sep-1998 $ 1,329,794 $ 1,339,657 $ 1,295,177
Oct-1998 $ 1,330,326 $ 1,341,801 $ 1,295,566
Nov-1998 $ 1,331,922 $ 1,345,558 $ 1,298,416
Dec-1998 $ 1,340,047 $ 1,349,729 $ 1,302,571
Jan-1999 $ 1,359,076 $ 1,367,006 $ 1,317,160
Feb-1999 $ 1,349,018 $ 1,360,991 $ 1,310,179
Mar-1999 $ 1,346,995 $ 1,361,671 $ 1,309,917
Apr-1999 $ 1,351,036 $ 1,365,620 $ 1,313,585
May-1999 $ 1,341,444 $ 1,359,065 $ 1,305,835
Jun-1999 $ 1,319,041 $ 1,341,533 $ 1,288,075
Jul-1999 $ 1,329,594 $ 1,348,643 $ 1,294,129
Aug-1999 $ 1,328,796 $ 1,344,732 $ 1,288,176
Sep-1999 $ 1,330,258 $ 1,348,229 $ 1,288,949
Oct-1999 $ 1,324,272 $ 1,340,813 $ 1,279,926
Nov-1999 $ 1,334,601 $ 1,352,747 $ 1,290,806
Dec-1999 $ 1,332,599 $ 1,346,930 $ 1,284,997
Jan-2000 $ 1,327,135 $ 1,344,505 $ 1,279,343
Feb-2000 $ 1,334,302 $ 1,354,186 $ 1,289,194
Mar-2000 $ 1,350,047 $ 1,374,769 $ 1,307,630
Apr-2000 $ 1,343,971 $ 1,370,233 $ 1,302,138
May-2000 $ 1,341,015 $ 1,365,711 $ 1,296,799
Jun-2000 $ 1,369,712 $ 1,395,620 $ 1,323,513
Jul-2000 $ 1,386,697 $ 1,411,530 $ 1,338,601
Aug-2000 $ 1,402,366 $ 1,429,315 $ 1,355,200
Sep-2000 $ 1,397,879 $ 1,425,170 $ 1,351,270
Oct-2000 $ 1,409,621 $ 1,438,139 $ 1,362,485
Nov-2000 $ 1,415,823 $ 1,446,624 $ 1,369,025
Dec-2000 $ 1,446,688 $ 1,476,136 $ 1,396,542
Jan-2001 $ 1,466,797 $ 1,494,882 $ 1,412,603
Feb-2001 $ 1,468,704 $ 1,498,769 $ 1,417,123
Mar-2001 $ 1,480,601 $ 1,510,759 $ 1,428,035
Apr-2001 $ 1,464,906 $ 1,498,371 $ 1,415,183
May-2001 $ 1,481,020 $ 1,513,505 $ 1,429,759
Jun-2001 $ 1,491,387 $ 1,522,132 $ 1,438,623
Jul-2001 $ 1,508,837 $ 1,540,397 $ 1,455,887
Aug-2001 $ 1,533,280 $ 1,563,349 $ 1,477,871
Sep-2001 $ 1,532,513 $ 1,563,036 $ 1,475,802
Oct-2001 $ 1,550,137 $ 1,578,823 $ 1,489,969
Nov-2001 $ 1,529,520 $ 1,565,245 $ 1,474,474
Dec-2001 $ 1,516,060 $ 1,554,289 $ 1,463,415
Jan-2002 $ 1,543,956 $ 1,579,934 $ 1,484,635
Feb-2002 $ 1,561,403 $ 1,598,736 $ 1,501,263
Mar-2002 $ 1,527,832 $ 1,569,159 $ 1,473,940
Apr-2002 $ 1,562,973 $ 1,601,170 $ 1,502,681
May-2002 $ 1,571,100 $ 1,610,296 $ 1,510,796
Jun-2002 $ 1,589,168 $ 1,628,010 $ 1,526,206
Jul-2002 $ 1,609,032 $ 1,647,057 $ 1,543,910
Aug-2002 $ 1,624,801 $ 1,664,846 $ 1,558,114
Sep-2002 $ 1,654,697 $ 1,695,479 $ 1,585,225
Oct-2002 $ 1,630,539 $ 1,671,912 $ 1,561,130
Nov-2002 $ 1,623,690 $ 1,665,057 $ 1,554,729
Dec-2002 $ 1,656,002 $ 1,698,025 $ 1,585,513
Jan-2003 $ 1,650,868 $ 1,695,138 $ 1,579,805
Feb-2003 $ 1,673,650 $ 1,717,853 $ 1,601,606
Mar-2003 $ 1,673,148 $ 1,718,712 $ 1,601,126
Apr-2003 $ 1,682,852 $ 1,729,024 $ 1,611,373
May-2003 $ 1,718,361 $ 1,765,334 $ 1,644,084
Jun-2003 $ 1,710,112 $ 1,758,096 $ 1,636,357
Jul-2003 $ 1,653,337 $ 1,706,056 $ 1,586,939
Aug-2003 $ 1,664,414 $ 1,718,340 $ 1,598,682
Sep-2003 $ 1,712,016 $ 1,765,766 $ 1,639,608
Oct-2003 $ 1,701,915 $ 1,754,818 $ 1,631,574
Nov-2003 $ 1,711,616 $ 1,767,804 $ 1,644,627
Dec-2003 $ 1,723,084 $ 1,780,355 $ 1,654,330
Jan-2004 $ 1,729,976 $ 1,788,367 $ 1,660,617
Feb-2004 $ 1,752,293 $ 1,814,298 $ 1,683,865
Mar-2004 $ 1,743,707 $ 1,805,590 $ 1,673,425
Apr-2004 $ 1,709,705 $ 1,767,853 $ 1,638,451
May-2004 $ 1,700,985 $ 1,763,787 $ 1,636,321
Jun-2004 $ 1,704,727 $ 1,769,784 $ 1,640,411
Jul-2004 $ 1,723,138 $ 1,790,136 $ 1,656,816
Aug-2004 $ 1,750,451 $ 1,822,359 $ 1,684,153
</Table>
SOURCE: LIPPER, INC. 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 PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION IN THE
PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE
INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800 348-4782. PLEASE
READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Select Shares include performance of a predecessor account for
the period dating back to 8/31/94, prior to the Fund's commencement of
operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
Returns for the Institutional Shares prior to 9/10/01 (offering date of
Institutional Shares) are calculated using the historical expenses of the of the
Select Shares, which are higher than the expenses of the Institutional Shares.
Returns for Class A, B and C shares prior to 12/31/03 (offering date of A, B and
C shares) are calculated using the historical expenses of Select class shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Intermediate Tax Free Income Fund, Lehman Competitive
Intermediate (1-17 Year Maturities) Index, and Lipper Intermediate Municipal
Debt Funds Index from August 31, 1994 to August 31, 2004. The performance of the
Fund assumes reinvestment of all dividends. The performance of the indices does
not include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
unmanaged Lehman NY Competitive Intermediate Bond (1-17 maturities) Index
represents the performance of municipal bonds with maturities from 1 to 17
years. The Lipper Intermediate Municipal Debt Funds Index represents the total
returns of the funds in the category, as defined by Lipper, Inc. Investors
cannot invest directly in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge. Certain fees and expenses of the Fund are currently being waived and
reimbursed as described in the prospectus. Had the expenses not been subsidized
or waived, returns would have been lower. Also all performance shown in this
section does not reflect the deduction of taxes that a shareholder would pay on
fund distributions or redemption of fund shares.
5
<Page>
JPMORGAN NEW JERSEY TAX FREE INCOME FUND
AS OF AUGUST 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2004
(In Millions) $66.9
Primary Benchmark LEHMAN COMPETITIVE
INTERMEDIATE (1-17
MATURITIES) INDEX
Average Credit Quality AA+
Duration 5.9 YEARS
Q: HOW DID THE FUND PERFORM?
A: JPMorgan New Jersey Tax Free Income Fund, which seeks to provide a high level
of after-tax income for New Jersey residents consistent with moderate risk of
capital, had a total return of 5.9% (Select shares) for the one-year period
ended August 31, 2004. This compares to the 6.0% return of its benchmark
index, the Lehman 1-17 Competitive Intermediate Municipal Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: We overweighted the 10- to 15-year part of the yield curve, which helped
performance as the curve flattened. Our high-quality bias hurt performance
slightly when lower quality issues outperformed. We were overweight insured
paper and high-quality uninsured paper, and were underweight hospitals,
airports, tobacco debt and other high-yield sectors. Although we added
modestly to our holdings in state general obligations, municipalities
continue to struggle with budget deficits and we remain concerned about the
stability of these credits.
Q: HOW WAS THE FUND MANAGED?
A: We overweighted the 10- to 15-year part of the yield curve. We added modest
positions in state general obligations but as municipalities continue to
struggle with budget deficits, we remain concerned about the stability of
these credits. We reduced our holdings in Puerto Rico and we purchased
high-quality, essential service revenue issues. Taking advantage of strong
retail demand, we sold issues that were appealing to the individual investor
and we replaced them with quality names at attractive prices. Our focus
remains on high-quality, liquid issues.
CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
AAA 67.7%
A+ 11.7%
BBB+ 10.8%
AA- 2.9%
AA 2.8%
AA+ 2.7%
BBB 0.8%
A- 0.6%
</Table>
6
<Page>
ANNUAL REPORT AUGUST 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 5.87% 4.55% 6.06% 5.58%
With Sales Charge* 1.15% 2.95% 5.09% 5.09%
---------------------------------------
CLASS B SHARES
Without CDSC 5.14% 3.95% 5.69% 5.40%
With CDSC** 0.17% 3.05% 5.37% 5.40%
---------------------------------------
SELECT SHARES# 5.92% 4.76% 6.19% 5.64%
</Table>
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the five year period and
0% for the ten year period.
# Formerly Institutional Shares.
[CHART]
TEN YEAR FUND PERFORMANCE (08/31/94 TO 08/31/04)
<Table>
<Caption>
JPMORGAN NEW JERSEY TAX FREE LEHMAN COMPETITIVE INTERMEDIATE LIPPER NEW JERSEY MUNICIPAL
INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS INDEX
Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Sep-1994 $ 994,700 $ 989,200 $ 985,000
Oct-1994 $ 984,554 $ 977,527 $ 966,581
Nov-1994 $ 966,931 $ 963,451 $ 945,606
Dec-1994 $ 986,946 $ 978,770 $ 970,381
Jan-1995 $ 1,005,106 $ 999,813 $ 998,910
Feb-1995 $ 1,024,303 $ 1,023,709 $ 1,025,281
Mar-1995 $ 1,033,317 $ 1,035,277 $ 1,034,406
Apr-1995 $ 1,040,240 $ 1,037,347 $ 1,035,647
May-1995 $ 1,056,780 $ 1,065,563 $ 1,065,681
Jun-1995 $ 1,055,406 $ 1,061,195 $ 1,055,557
Jul-1995 $ 1,065,222 $ 1,073,717 $ 1,061,468
Aug-1995 $ 1,074,489 $ 1,086,601 $ 1,071,658
Sep-1995 $ 1,076,316 $ 1,092,578 $ 1,078,624
Oct-1995 $ 1,086,326 $ 1,103,503 $ 1,095,019
Nov-1995 $ 1,094,907 $ 1,117,187 $ 1,114,072
Dec-1995 $ 1,102,681 $ 1,124,672 $ 1,125,102
Jan-1996 $ 1,115,362 $ 1,135,244 $ 1,131,177
Feb-1996 $ 1,116,478 $ 1,131,043 $ 1,120,884
Mar-1996 $ 1,101,070 $ 1,119,620 $ 1,103,958
Apr-1996 $ 1,100,740 $ 1,117,157 $ 1,100,536
May-1996 $ 1,100,189 $ 1,116,040 $ 1,101,416
Jun-1996 $ 1,106,681 $ 1,125,526 $ 1,112,210
Jul-1996 $ 1,117,858 $ 1,135,205 $ 1,121,998
Aug-1996 $ 1,117,411 $ 1,135,659 $ 1,121,100
Sep-1996 $ 1,123,780 $ 1,146,675 $ 1,136,683
Oct-1996 $ 1,133,445 $ 1,159,059 $ 1,148,619
Nov-1996 $ 1,149,993 $ 1,178,300 $ 1,167,341
Dec-1996 $ 1,137,113 $ 1,174,529 $ 1,163,139
Jan-1997 $ 1,140,183 $ 1,178,993 $ 1,164,418
Feb-1997 $ 1,148,849 $ 1,188,778 $ 1,173,617
Mar-1997 $ 1,136,441 $ 1,175,107 $ 1,160,003
Apr-1997 $ 1,143,146 $ 1,182,863 $ 1,169,051
May-1997 $ 1,157,664 $ 1,198,122 $ 1,184,249
Jun-1997 $ 1,168,778 $ 1,209,504 $ 1,195,499
Jul-1997 $ 1,192,854 $ 1,237,927 $ 1,229,093
Aug-1997 $ 1,185,339 $ 1,228,767 $ 1,216,064
Sep-1997 $ 1,197,667 $ 1,241,792 $ 1,231,144
Oct-1997 $ 1,204,374 $ 1,248,621 $ 1,237,545
Nov-1997 $ 1,209,673 $ 1,254,115 $ 1,244,228
Dec-1997 $ 1,224,673 $ 1,269,917 $ 1,263,638
Jan-1998 $ 1,236,185 $ 1,282,616 $ 1,275,390
Feb-1998 $ 1,234,949 $ 1,283,643 $ 1,274,880
Mar-1998 $ 1,234,208 $ 1,284,413 $ 1,276,027
Apr-1998 $ 1,227,173 $ 1,279,147 $ 1,269,775
May-1998 $ 1,248,526 $ 1,297,310 $ 1,289,710
Jun-1998 $ 1,252,521 $ 1,301,981 $ 1,294,740
Jul-1998 $ 1,255,402 $ 1,305,496 $ 1,297,071
Aug-1998 $ 1,278,125 $ 1,324,165 $ 1,317,305
Sep-1998 $ 1,292,056 $ 1,339,657 $ 1,332,322
Oct-1998 $ 1,291,152 $ 1,341,801 $ 1,329,791
Nov-1998 $ 1,293,863 $ 1,345,558 $ 1,333,248
Dec-1998 $ 1,300,591 $ 1,349,729 $ 1,336,181
Jan-1999 $ 1,317,629 $ 1,367,006 $ 1,350,746
Feb-1999 $ 1,306,956 $ 1,360,991 $ 1,342,776
Mar-1999 $ 1,305,911 $ 1,361,671 $ 1,343,716
Apr-1999 $ 1,309,828 $ 1,365,620 $ 1,346,807
May-1999 $ 1,299,481 $ 1,359,065 $ 1,336,706
Jun-1999 $ 1,281,028 $ 1,341,533 $ 1,315,586
Jul-1999 $ 1,289,098 $ 1,348,643 $ 1,319,006
Aug-1999 $ 1,282,524 $ 1,344,732 $ 1,302,519
Sep-1999 $ 1,281,113 $ 1,348,229 $ 1,297,699
Oct-1999 $ 1,270,608 $ 1,340,813 $ 1,277,974
Nov-1999 $ 1,282,425 $ 1,352,747 $ 1,291,393
Dec-1999 $ 1,275,243 $ 1,346,930 $ 1,277,317
Jan-2000 $ 1,267,974 $ 1,344,505 $ 1,266,332
Feb-2000 $ 1,280,781 $ 1,354,186 $ 1,283,174
Mar-2000 $ 1,302,426 $ 1,374,769 $ 1,311,917
Apr-2000 $ 1,295,914 $ 1,370,233 $ 1,302,472
May-2000 $ 1,291,249 $ 1,365,711 $ 1,294,657
Jun-2000 $ 1,323,788 $ 1,395,620 $ 1,328,706
Jul-2000 $ 1,341,395 $ 1,411,530 $ 1,347,441
Aug-2000 $ 1,360,308 $ 1,429,315 $ 1,367,653
Sep-2000 $ 1,354,051 $ 1,425,170 $ 1,358,489
Oct-2000 $ 1,366,102 $ 1,438,139 $ 1,373,025
Nov-2000 $ 1,379,353 $ 1,446,624 $ 1,382,224
Dec-2000 $ 1,421,147 $ 1,476,136 $ 1,418,853
Jan-2001 $ 1,434,790 $ 1,494,882 $ 1,429,069
Feb-2001 $ 1,440,817 $ 1,498,769 $ 1,435,643
Mar-2001 $ 1,454,504 $ 1,510,759 $ 1,447,702
Apr-2001 $ 1,433,705 $ 1,498,371 $ 1,431,488
May-2001 $ 1,448,902 $ 1,513,505 $ 1,446,805
Jun-2001 $ 1,462,522 $ 1,522,132 $ 1,460,115
Jul-2001 $ 1,480,511 $ 1,540,397 $ 1,482,017
Aug-2001 $ 1,505,828 $ 1,563,349 $ 1,505,433
Sep-2001 $ 1,494,684 $ 1,563,036 $ 1,492,035
Oct-2001 $ 1,520,094 $ 1,578,823 $ 1,510,387
Nov-2001 $ 1,496,989 $ 1,565,245 $ 1,495,585
Dec-2001 $ 1,481,121 $ 1,554,289 $ 1,482,424
Jan-2002 $ 1,508,669 $ 1,579,934 $ 1,507,032
Feb-2002 $ 1,528,131 $ 1,598,736 $ 1,526,171
Mar-2002 $ 1,495,124 $ 1,569,159 $ 1,498,853
Apr-2002 $ 1,529,810 $ 1,601,170 $ 1,526,132
May-2002 $ 1,540,213 $ 1,610,296 $ 1,535,594
Jun-2002 $ 1,556,848 $ 1,628,010 $ 1,548,647
Jul-2002 $ 1,576,775 $ 1,647,057 $ 1,568,159
Aug-2002 $ 1,593,647 $ 1,664,846 $ 1,583,527
Sep-2002 $ 1,627,273 $ 1,695,479 $ 1,612,981
Oct-2002 $ 1,596,029 $ 1,671,912 $ 1,580,883
Nov-2002 $ 1,583,101 $ 1,665,057 $ 1,575,824
Dec-2002 $ 1,622,045 $ 1,698,025 $ 1,609,704
Jan-2003 $ 1,613,935 $ 1,695,138 $ 1,603,426
Feb-2003 $ 1,638,951 $ 1,717,853 $ 1,625,233
Mar-2003 $ 1,640,590 $ 1,718,712 $ 1,624,745
Apr-2003 $ 1,653,223 $ 1,729,024 $ 1,638,393
May-2003 $ 1,694,884 $ 1,765,334 $ 1,673,619
Jun-2003 $ 1,686,748 $ 1,758,096 $ 1,664,748
Jul-2003 $ 1,622,315 $ 1,706,056 $ 1,609,312
Aug-2003 $ 1,634,806 $ 1,718,340 $ 1,620,738
Sep-2003 $ 1,685,976 $ 1,765,766 $ 1,662,716
Oct-2003 $ 1,674,174 $ 1,754,818 $ 1,657,727
Nov-2003 $ 1,688,237 $ 1,767,804 $ 1,676,625
Dec-2003 $ 1,701,743 $ 1,780,355 $ 1,689,033
Jan-2004 $ 1,709,571 $ 1,788,367 $ 1,696,295
Feb-2004 $ 1,735,728 $ 1,814,298 $ 1,721,570
Mar-2004 $ 1,723,057 $ 1,805,590 $ 1,711,241
Apr-2004 $ 1,679,463 $ 1,767,853 $ 1,672,738
May-2004 $ 1,671,738 $ 1,763,787 $ 1,665,545
Jun-2004 $ 1,676,084 $ 1,769,784 $ 1,670,209
Jul-2004 $ 1,699,550 $ 1,790,136 $ 1,689,082
Aug-2004 $ 1,731,539 $ 1,822,359 $ 1,717,121
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND IS NOT
INDICATIVE OF FUTURE RETURNS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST.
PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THAT FUND PROSPECTUS WHICH INCLUDES
INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND
EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION
IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END
PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800
348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Select Shares include performance of a predecessor account for
the period dating back to 08/31/94, prior to the Fund's commencement of
operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan New Jersey Tax Free Income Fund, Lehman Competitive
Intermediate (1-17 maturities) Index, and Lipper New Jersey Municipal Debt Funds
Index from August 31, 1994 to August 31, 2004. The performance of the Fund
assumes reinvestment of all dividends. The performance of the indices does not
include a sales charge and has been adjusted to reflect reinvestment of all
dividends and capital gains of the securities included in the benchmark. The
unmanaged Lehman Competitive Intermediate (1-17) Index represents the
performance of municipal bonds with maturities from 1 to 17 years. The Lipper
New Jersey Municipal Debt Funds Index represents the total returns of the funds
in the category, as defined by Lipper, Inc. Investors cannot invest directly in
an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
7
<Page>
JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND
AS OF AUGUST 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2004
(In Millions) $677.9
Primary Benchmark LEHMAN NY
COMPETITIVE
INTERMEDIATE (1-17
YEAR MATURITIES)
INDEX
Average Credit Quality AA
Duration 5.2 YEARS
Q: HOW DID THE FUND PERFORM?
A: JPMorgan New York Intermediate Tax Free Income Fund, which seeks to provide
current income exempt from federal and from New York personal income taxes,
had a total return of 5.6% (Select Shares) for the one-year period ended
August 31, 2004. This compares with the 6.0% return of its benchmark index,
the Lehman NY Competitive Intermediate (1-17 Year Maturities) Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed during the period because it was overweight
high-quality issues at a time when lower-quality sectors outperformed. We
were overweight insured paper and high-quality uninsured paper, and were
underweight hospitals, airports, tobacco debt and other high-yield sectors.
We also made what we consider a prudent decision to avoid the risks specific
to airport and tobacco debt. As municipalities continue to struggle with
budget deficits, we remain concerned about the stability of these credits. We
plan to maintain our high-quality bias.
Q: HOW WAS THE FUND MANAGED?
A: We overweighted the 10- to 15-year part of the yield curve. As spreads
tightened on New York issues, we increased our holdings of Puerto Rico bonds
and we continued to sell our New York City holdings. The Fund was overweight
insured paper and high-quality uninsured paper. Our focus remains on
high-quality, liquid issues.
CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
AAA 62.6%
AA 10.5%
A- 6.1%
A 5.5%
AA- 4.5%
BBB+ 4.4%
BBB 2.5%
AA+ 2.5%
A+ 0.6%
Not Rated 0.5%
BBB- 0.3%
</Table>
8
<Page>
ANNUAL REPORT AUGUST 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 5.57% 4.25% 5.66% 5.60%
With Sales Charge* 0.77% 2.65% 4.68% 5.12%
---------------------------------------
CLASS B SHARES
Without CDSC 4.73% 3.37% 5.06% 5.30%
With CDSC** (0.27%) 2.43% 4.73% 5.30%
---------------------------------------
CLASS C SHARES
Without CDSC 4.73% 3.37% 5.05% 5.30%
With CDSC*** 3.73% 3.37% 5.05% 5.30%
---------------------------------------
INSTITUTIONAL SHARES 5.82% 4.48% 5.83% 5.69%
---------------------------------------
SELECT SHARES# 5.60% 4.29% 5.72% 5.63%
</Table>
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the five year period and
0% for the ten year period.
*** Assumes 1% CDSC for the one year period and 0% thereafter.
# Formerly Institutional Shares.
[CHART]
TEN YEAR FUND PERFORMANCE (08/31/94 TO 08/31/04)
<Table>
<Caption>
JPMORGAN NEW YORK INTERMEDIATE TAX LEHMAN NY COMPETITIVE INTERMEDIATE LIPPER NEW YORK INTERMEDIATE
FREE INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX MUNICIPAL DEBT FUNDS AVERAGE
Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Sep-1994 $ 984,600 $ 988,600 $ 987,900
Oct-1994 $ 969,043 $ 976,045 $ 974,069
Nov-1994 $ 944,720 $ 962,478 $ 956,147
Dec-1994 $ 966,732 $ 978,840 $ 973,644
Jan-1995 $ 984,327 $ 993,522 $ 992,143
Feb-1995 $ 1,013,857 $ 1,017,566 $ 1,016,352
Mar-1995 $ 1,022,880 $ 1,028,250 $ 1,024,482
Apr-1995 $ 1,029,120 $ 1,031,232 $ 1,026,531
May-1995 $ 1,057,626 $ 1,059,591 $ 1,051,887
Jun-1995 $ 1,047,367 $ 1,055,141 $ 1,048,100
Jul-1995 $ 1,058,155 $ 1,066,958 $ 1,057,533
Aug-1995 $ 1,067,467 $ 1,081,256 $ 1,069,271
Sep-1995 $ 1,073,872 $ 1,086,229 $ 1,073,121
Oct-1995 $ 1,087,939 $ 1,099,481 $ 1,083,637
Nov-1995 $ 1,105,129 $ 1,114,984 $ 1,095,449
Dec-1995 $ 1,116,180 $ 1,122,566 $ 1,102,350
Jan-1996 $ 1,122,654 $ 1,132,444 $ 1,110,508
Feb-1996 $ 1,119,847 $ 1,127,348 $ 1,105,066
Mar-1996 $ 1,103,050 $ 1,117,879 $ 1,094,347
Apr-1996 $ 1,098,527 $ 1,116,649 $ 1,091,502
May-1996 $ 1,098,747 $ 1,115,086 $ 1,090,083
Jun-1996 $ 1,106,768 $ 1,125,122 $ 1,098,476
Jul-1996 $ 1,121,156 $ 1,136,035 $ 1,107,923
Aug-1996 $ 1,119,810 $ 1,135,808 $ 1,106,705
Sep-1996 $ 1,131,232 $ 1,149,778 $ 1,117,882
Oct-1996 $ 1,142,658 $ 1,161,621 $ 1,128,055
Nov-1996 $ 1,162,197 $ 1,180,904 $ 1,145,653
Dec-1996 $ 1,151,040 $ 1,177,952 $ 1,141,528
Jan-1997 $ 1,154,954 $ 1,182,075 $ 1,143,241
Feb-1997 $ 1,164,886 $ 1,192,004 $ 1,152,158
Mar-1997 $ 1,151,956 $ 1,179,488 $ 1,140,060
Apr-1997 $ 1,160,826 $ 1,188,334 $ 1,147,015
May-1997 $ 1,176,265 $ 1,204,852 $ 1,161,582
Jun-1997 $ 1,186,499 $ 1,217,021 $ 1,172,384
Jul-1997 $ 1,216,992 $ 1,247,690 $ 1,200,287
Aug-1997 $ 1,203,970 $ 1,238,083 $ 1,190,325
Sep-1997 $ 1,216,009 $ 1,251,206 $ 1,201,990
Oct-1997 $ 1,223,184 $ 1,258,839 $ 1,207,519
Nov-1997 $ 1,230,156 $ 1,264,629 $ 1,212,349
Dec-1997 $ 1,248,116 $ 1,280,817 $ 1,228,110
Jan-1998 $ 1,258,725 $ 1,293,113 $ 1,238,672
Feb-1998 $ 1,258,474 $ 1,294,535 $ 1,239,539
Mar-1998 $ 1,258,599 $ 1,296,736 $ 1,239,786
Apr-1998 $ 1,251,551 $ 1,289,474 $ 1,232,224
May-1998 $ 1,272,702 $ 1,310,621 $ 1,251,200
Jun-1998 $ 1,276,139 $ 1,316,257 $ 1,255,329
Jul-1998 $ 1,281,499 $ 1,319,021 $ 1,257,463
Aug-1998 $ 1,304,694 $ 1,338,543 $ 1,276,577
Sep-1998 $ 1,322,438 $ 1,354,070 $ 1,291,640
Oct-1998 $ 1,318,867 $ 1,357,049 $ 1,291,123
Nov-1998 $ 1,320,450 $ 1,360,713 $ 1,293,060
Dec-1998 $ 1,328,636 $ 1,364,931 $ 1,297,844
Jan-1999 $ 1,346,972 $ 1,383,221 $ 1,313,159
Feb-1999 $ 1,337,273 $ 1,376,720 $ 1,305,411
Mar-1999 $ 1,335,401 $ 1,377,271 $ 1,304,106
Apr-1999 $ 1,338,873 $ 1,381,816 $ 1,307,366
May-1999 $ 1,329,367 $ 1,374,906 $ 1,299,261
Jun-1999 $ 1,306,502 $ 1,357,170 $ 1,279,902
Jul-1999 $ 1,315,648 $ 1,364,227 $ 1,285,661
Aug-1999 $ 1,309,727 $ 1,361,363 $ 1,279,361
Sep-1999 $ 1,311,430 $ 1,364,494 $ 1,279,873
Oct-1999 $ 1,301,594 $ 1,355,897 $ 1,267,330
Nov-1999 $ 1,314,220 $ 1,369,185 $ 1,280,130
Dec-1999 $ 1,310,014 $ 1,363,298 $ 1,272,962
Jan-2000 $ 1,305,167 $ 1,359,617 $ 1,267,233
Feb-2000 $ 1,317,436 $ 1,370,494 $ 1,278,385
Mar-2000 $ 1,336,275 $ 1,390,914 $ 1,301,268
Apr-2000 $ 1,330,930 $ 1,386,046 $ 1,293,851
May-2000 $ 1,326,138 $ 1,381,333 $ 1,287,770
Jun-2000 $ 1,354,518 $ 1,412,966 $ 1,318,547
Jul-2000 $ 1,371,314 $ 1,428,932 $ 1,334,370
Aug-2000 $ 1,390,101 $ 1,446,651 $ 1,352,651
Sep-2000 $ 1,383,011 $ 1,443,035 $ 1,346,699
Oct-2000 $ 1,396,012 $ 1,456,599 $ 1,359,897
Nov-2000 $ 1,404,946 $ 1,465,193 $ 1,367,240
Dec-2000 $ 1,440,070 $ 1,495,083 $ 1,399,644
Jan-2001 $ 1,457,207 $ 1,513,622 $ 1,415,460
Feb-2001 $ 1,459,830 $ 1,516,044 $ 1,417,158
Mar-2001 $ 1,470,924 $ 1,530,295 $ 1,429,204
Apr-2001 $ 1,455,627 $ 1,520,654 $ 1,415,198
May-2001 $ 1,472,949 $ 1,536,164 $ 1,430,341
Jun-2001 $ 1,483,996 $ 1,544,306 $ 1,438,494
Jul-2001 $ 1,499,133 $ 1,562,220 $ 1,455,756
Aug-2001 $ 1,524,468 $ 1,586,278 $ 1,478,757
Sep-2001 $ 1,512,425 $ 1,578,347 $ 1,467,814
Oct-2001 $ 1,529,364 $ 1,593,972 $ 1,482,052
Nov-2001 $ 1,513,000 $ 1,581,858 $ 1,467,824
Dec-2001 $ 1,499,685 $ 1,571,576 $ 1,455,934
Jan-2002 $ 1,527,279 $ 1,598,136 $ 1,479,812
Feb-2002 $ 1,545,912 $ 1,618,752 $ 1,498,309
Mar-2002 $ 1,514,839 $ 1,589,129 $ 1,469,692
Apr-2002 $ 1,546,954 $ 1,621,070 $ 1,498,204
May-2002 $ 1,549,584 $ 1,627,230 $ 1,504,496
Jun-2002 $ 1,567,094 $ 1,645,618 $ 1,519,692
Jul-2002 $ 1,584,959 $ 1,663,226 $ 1,682,299
Aug-2002 $ 1,600,808 $ 1,682,020 $ 1,700,972
Sep-2002 $ 1,633,465 $ 1,711,960 $ 1,733,121
Oct-2002 $ 1,607,983 $ 1,688,164 $ 1,706,084
Nov-2002 $ 1,595,280 $ 1,678,879 $ 1,695,336
Dec-2002 $ 1,630,855 $ 1,712,793 $ 1,731,446
Jan-2003 $ 1,624,820 $ 1,710,908 $ 1,721,923
Feb-2003 $ 1,648,868 $ 1,733,664 $ 1,746,547
Mar-2003 $ 1,645,075 $ 1,733,837 $ 1,743,578
Apr-2003 $ 1,656,426 $ 1,744,067 $ 1,755,608
May-2003 $ 1,694,359 $ 1,779,994 $ 1,793,178
Jun-2003 $ 1,685,887 $ 1,772,696 $ 1,781,702
Jul-2003 $ 1,624,352 $ 1,722,352 $ 1,724,331
Aug-2003 $ 1,637,996 $ 1,735,097 $ 1,738,471
Sep-2003 $ 1,687,136 $ 1,782,465 $ 1,784,366
Oct-2003 $ 1,674,145 $ 1,772,305 $ 1,772,946
Nov-2003 $ 1,687,706 $ 1,786,129 $ 1,788,548
Dec-2003 $ 1,699,014 $ 1,797,382 $ 1,799,458
Jan-2004 $ 1,706,319 $ 1,805,470 $ 1,803,057
Feb-2004 $ 1,731,402 $ 1,830,566 $ 1,829,202
Mar-2004 $ 1,717,897 $ 1,821,779 $ 1,812,922
Apr-2004 $ 1,678,729 $ 1,786,255 $ 1,774,850
May-2004 $ 1,674,029 $ 1,782,146 $ 1,772,188
Jun-2004 $ 1,678,549 $ 1,787,849 $ 1,776,264
Jul-2004 $ 1,697,181 $ 1,808,052 $ 1,794,382
Aug-2004 $ 1,729,561 $ 1,839,874 $ 1,822,913
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND IS NOT
INDICATIVE OF FUTURE RETURNS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST.
PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THAT FUND PROSPECTUS WHICH INCLUDES
INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND
EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION
IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END
PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800
348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns prior to 1/1/97 for the Select Shares include performance of a
predecessor account for the period dating back to 08/31/94, prior to the Fund's
commencement of operations on 1/1/97. Returns for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
Returns for Class A and B Shares prior to 2/16/01 (offering date of Class A and
B Shares) are calculated using the historical expenses of the Select Shares,
which are lower than the expenses for Class A and B Shares.
Returns for the Institutional Shares prior to 9/10/01 (offering date of
Institutional Shares) are calculated using the historical expenses of the of the
Select Shares, which are higher than the expenses of the Institutional Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan New York Intermediate Tax Free Income Fund, Lehman NY
Competitive Intermediate (1-17 maturities) Index, and Lipper New York
Intermediate Municipal Debt Funds Average from August 31, 1994 to August 31,
2004. The performance of the Fund assumes reinvestment of all dividends. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The unmanaged Lehman NY Competitive Intermediate
(1-17 maturities) Index represents the performance of NY municipal bonds with
maturities from 1 to 17 years. The Lipper New York Intermediate Municipal Debt
Funds Average describes the average total returns for all the funds in the
indicated category, as defined by Lipper, Inc. Investors cannot invest directly
in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
9
<Page>
JPMORGAN TAX FREE INCOME FUND
AS OF AUGUST 31, 2004 (Unaudited)
FUND FACTS
Fund Inception 1/1/97
Fiscal Year End AUGUST 31
Net Assets as of 8/31/2004
(In Millions) $657.0
Primary Benchmark LEHMAN MUNICIPAL
BOND INDEX
Average Credit Quality AA+
Duration 7.2 YEARS
Q: HOW DID THE FUND PERFORM?
A: JPMorgan Tax Free Income Fund, which seeks to provide current income that is
exempt from federal income taxes, had a total return of 6.8% (Select Shares)
for the one-year period ended August 31, 2004. This compares with a 7.0%
return for its benchmark index, the Lehman Municipal Bond Index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund underperformed during the period because it was overweight
high-quality issues at a time when lower-quality sectors outperformed. We
were overweight insured paper and high-quality uninsured paper, and were
underweight hospitals, airports, tobacco debt and other high-yield sectors.
We plan to maintain our high-quality bias. Our holdings in specialty state
paper performed well as demand grew during the July reinvestment period. We
overweighted the intermediate part of the yield curve, a position that
outperformed.
Q: HOW WAS THE FUND MANAGED?
A: We were overweight the 10- to 15-year part of the yield curve. Because of
historically tight spreads, we sold callable paper and overweighted issues
that could not be called. We also added specialty state paper, but our focus
remains on high-quality, liquid issues.
CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004
[CHART]
PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS
<Table>
AAA 56.0%
A+ 10.8%
AA- 10.0%
AA 9.3%
BBB+ 4.1%
A 3.9%
A- 3.2%
Not Rated 1.3%
AA+ 1.1%
BBB 0.3%
BBB- 0.0%
</Table>
10
<Page>
ANNUAL REPORT AUGUST 31 2004
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
<Table>
<Caption>
1 YEAR 3 YEARS 5 YEARS 10 YEARS
---------------------------------------
CLASS A SHARES
Without Sales Charge 6.81% 4.85% 6.11% 5.95%
With Sales Charge* 1.94% 3.25% 5.14% 5.47%
---------------------------------------
CLASS B SHARES
Without CDSC 5.88% 3.88% 5.45% 5.63%
With CDSC** 0.88% 2.94% 5.13% 5.63%
---------------------------------------
SELECT SHARES# 6.82% 4.84% 6.11% 5.95%
</Table>
* Sales Charge for Class A Shares is 4.50%.
** Assumes 5% CDSC (contingent deferred sales charge) for the one year period,
3% CDSC for the three year period, a 2% CDSC for the five year period and
0% for the ten year period.
# Formerly Institutional Shares.
[CHART]
TEN YEAR FUND PERFORMANCE (08/31/94 TO 08/31/04)
<Table>
<Caption>
JPMORGAN TAX FREE INCOME LEHMAN MUNICIPAL LIPPER GENERAL MUNICIPAL
FUND (SELECT SHARES) BOND INDEX DEBT FUNDS INDEX
Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000
Sep-1994 $ 991,500 $ 985,300 $ 984,500
Oct-1994 $ 977,322 $ 967,762 $ 965,696
Nov-1994 $ 955,039 $ 950,245 $ 945,803
Dec-1994 $ 980,252 $ 971,151 $ 968,786
Jan-1995 $ 1,002,307 $ 998,925 $ 998,237
Feb-1995 $ 1,025,260 $ 1,027,994 $ 1,027,984
Mar-1995 $ 1,036,128 $ 1,039,816 $ 1,037,442
Apr-1995 $ 1,043,692 $ 1,041,064 $ 1,037,442
May-1995 $ 1,065,400 $ 1,074,274 $ 1,070,536
Jun-1995 $ 1,058,901 $ 1,064,928 $ 1,058,546
Jul-1995 $ 1,067,479 $ 1,075,044 $ 1,065,427
Aug-1995 $ 1,074,417 $ 1,088,698 $ 1,077,573
Sep-1995 $ 1,077,963 $ 1,095,556 $ 1,084,361
Oct-1995 $ 1,094,240 $ 1,111,442 $ 1,101,494
Nov-1995 $ 1,108,027 $ 1,129,892 $ 1,123,414
Dec-1995 $ 1,121,878 $ 1,140,739 $ 1,136,333
Jan-1996 $ 1,130,628 $ 1,149,408 $ 1,141,788
Feb-1996 $ 1,130,741 $ 1,141,592 $ 1,133,567
Mar-1996 $ 1,111,745 $ 1,126,980 $ 1,116,223
Apr-1996 $ 1,108,299 $ 1,123,825 $ 1,111,535
May-1996 $ 1,108,299 $ 1,123,375 $ 1,112,202
Jun-1996 $ 1,117,941 $ 1,135,620 $ 1,122,545
Jul-1996 $ 1,127,779 $ 1,145,954 $ 1,132,199
Aug-1996 $ 1,129,583 $ 1,145,725 $ 1,131,633
Sep-1996 $ 1,143,929 $ 1,161,765 $ 1,148,947
Oct-1996 $ 1,157,313 $ 1,174,893 $ 1,161,700
Nov-1996 $ 1,177,103 $ 1,196,393 $ 1,182,030
Dec-1996 $ 1,167,686 $ 1,191,369 $ 1,177,066
Jan-1997 $ 1,167,686 $ 1,193,632 $ 1,176,948
Feb-1997 $ 1,176,911 $ 1,204,614 $ 1,187,305
Mar-1997 $ 1,161,964 $ 1,188,592 $ 1,172,701
Apr-1997 $ 1,173,235 $ 1,198,576 $ 1,182,786
May-1997 $ 1,190,130 $ 1,216,555 $ 1,199,819
Jun-1997 $ 1,201,317 $ 1,229,572 $ 1,213,976
Jul-1997 $ 1,237,236 $ 1,263,631 $ 1,250,396
Aug-1997 $ 1,224,122 $ 1,251,753 $ 1,236,141
Sep-1997 $ 1,239,178 $ 1,266,649 $ 1,251,717
Oct-1997 $ 1,246,861 $ 1,274,756 $ 1,259,978
Nov-1997 $ 1,254,342 $ 1,282,277 $ 1,267,160
Dec-1997 $ 1,273,659 $ 1,300,998 $ 1,287,688
Jan-1998 $ 1,287,287 $ 1,314,398 $ 1,300,050
Feb-1998 $ 1,286,772 $ 1,314,792 $ 1,300,050
Mar-1998 $ 1,286,901 $ 1,315,976 $ 1,301,350
Apr-1998 $ 1,278,665 $ 1,310,054 $ 1,293,411
May-1998 $ 1,302,448 $ 1,330,753 $ 1,314,365
Jun-1998 $ 1,306,095 $ 1,335,943 $ 1,319,096
Jul-1998 $ 1,310,013 $ 1,339,283 $ 1,321,735
Aug-1998 $ 1,334,117 $ 1,360,041 $ 1,342,354
Sep-1998 $ 1,351,995 $ 1,377,042 $ 1,358,328
Oct-1998 $ 1,347,803 $ 1,377,042 $ 1,353,438
Nov-1998 $ 1,351,443 $ 1,381,862 $ 1,358,039
Dec-1998 $ 1,356,308 $ 1,385,316 $ 1,360,484
Jan-1999 $ 1,374,618 $ 1,401,801 $ 1,375,313
Feb-1999 $ 1,365,545 $ 1,395,634 $ 1,367,611
Mar-1999 $ 1,363,361 $ 1,397,587 $ 1,368,158
Apr-1999 $ 1,369,223 $ 1,401,081 $ 1,371,989
May-1999 $ 1,358,543 $ 1,392,955 $ 1,362,248
Jun-1999 $ 1,334,904 $ 1,372,897 $ 1,340,725
Jul-1999 $ 1,338,909 $ 1,377,839 $ 1,343,138
Aug-1999 $ 1,325,788 $ 1,366,816 $ 1,327,155
Sep-1999 $ 1,323,136 $ 1,367,363 $ 1,323,704
Oct-1999 $ 1,307,656 $ 1,352,595 $ 1,305,305
Nov-1999 $ 1,321,778 $ 1,366,933 $ 1,317,705
Dec-1999 $ 1,312,129 $ 1,356,681 $ 1,305,187
Jan-2000 $ 1,306,618 $ 1,350,847 $ 1,294,745
Feb-2000 $ 1,322,559 $ 1,366,517 $ 1,313,131
Mar-2000 $ 1,350,333 $ 1,396,444 $ 1,341,888
Apr-2000 $ 1,342,096 $ 1,388,205 $ 1,332,629
May-2000 $ 1,332,164 $ 1,380,986 $ 1,323,701
Jun-2000 $ 1,366,401 $ 1,417,582 $ 1,357,852
Jul-2000 $ 1,387,580 $ 1,437,287 $ 1,376,726
Aug-2000 $ 1,406,590 $ 1,459,421 $ 1,398,341
Sep-2000 $ 1,398,572 $ 1,451,832 $ 1,389,671
Oct-2000 $ 1,413,257 $ 1,467,657 $ 1,404,124
Nov-2000 $ 1,425,553 $ 1,478,811 $ 1,413,391
Dec-2000 $ 1,465,326 $ 1,515,338 $ 1,449,856
Jan-2001 $ 1,475,436 $ 1,530,340 $ 1,460,730
Feb-2001 $ 1,482,814 $ 1,535,237 $ 1,467,596
Mar-2001 $ 1,493,193 $ 1,549,054 $ 1,479,923
Apr-2001 $ 1,466,465 $ 1,532,324 $ 1,459,205
May-2001 $ 1,483,769 $ 1,548,873 $ 1,475,839
Jun-2001 $ 1,496,233 $ 1,559,251 $ 1,488,089
Jul-2001 $ 1,518,078 $ 1,582,327 $ 1,511,601
Aug-2001 $ 1,547,073 $ 1,608,436 $ 1,538,810
Sep-2001 $ 1,538,100 $ 1,602,967 $ 1,526,191
Oct-2001 $ 1,559,941 $ 1,622,042 $ 1,542,064
Nov-2001 $ 1,539,038 $ 1,608,417 $ 1,526,335
Dec-2001 $ 1,520,570 $ 1,593,137 $ 1,510,155
Jan-2002 $ 1,547,788 $ 1,620,699 $ 1,533,714
Feb-2002 $ 1,569,921 $ 1,640,309 $ 1,552,272
Mar-2002 $ 1,532,557 $ 1,608,159 $ 1,522,779
Apr-2002 $ 1,567,040 $ 1,639,518 $ 1,550,493
May-2002 $ 1,575,031 $ 1,649,519 $ 1,560,106
Jun-2002 $ 1,592,672 $ 1,667,004 $ 1,575,083
Jul-2002 $ 1,615,606 $ 1,688,508 $ 1,595,244
Aug-2002 $ 1,633,863 $ 1,708,771 $ 1,610,878
Sep-2002 $ 1,676,180 $ 1,746,193 $ 1,645,189
Oct-2002 $ 1,639,639 $ 1,717,206 $ 1,610,147
Nov-2002 $ 1,627,506 $ 1,709,994 $ 1,604,189
Dec-2002 $ 1,667,705 $ 1,746,074 $ 1,640,284
Jan-2003 $ 1,658,199 $ 1,741,709 $ 1,630,114
Feb-2003 $ 1,683,570 $ 1,766,093 $ 1,654,892
Mar-2003 $ 1,684,411 $ 1,767,153 $ 1,652,244
Apr-2003 $ 1,695,192 $ 1,778,816 $ 1,667,114
May-2003 $ 1,739,097 $ 1,820,440 $ 1,706,791
Jun-2003 $ 1,726,749 $ 1,812,612 $ 1,697,916
Jul-2003 $ 1,655,607 $ 1,749,171 $ 1,640,017
Aug-2003 $ 1,668,687 $ 1,762,290 $ 1,652,153
Sep-2003 $ 1,722,752 $ 1,814,101 $ 1,700,727
Oct-2003 $ 1,712,760 $ 1,805,031 $ 1,694,434
Nov-2003 $ 1,728,346 $ 1,823,803 $ 1,713,581
Dec-2003 $ 1,741,827 $ 1,838,940 $ 1,727,632
Jan-2004 $ 1,747,750 $ 1,849,422 $ 1,733,506
Feb-2004 $ 1,774,490 $ 1,877,349 $ 1,760,722
Mar-2004 $ 1,761,714 $ 1,870,778 $ 1,750,510
Apr-2004 $ 1,721,899 $ 1,826,441 $ 1,711,299
May-2004 $ 1,714,323 $ 1,819,865 $ 1,705,823
Jun-2004 $ 1,722,552 $ 1,826,417 $ 1,711,622
Jul-2004 $ 1,744,256 $ 1,850,343 $ 1,732,504
Aug-2004 $ 1,782,799 $ 1,887,350 $ 1,764,902
</Table>
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND IS NOT
INDICATIVE OF FUTURE RETURNS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST.
PLEASE NOTE, CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA SHOWN. INVESTORS SHOULD CAREFULLY READ THAT FUND PROSPECTUS WHICH INCLUDES
INFORMATION ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND
EXPENSES ALONG WITH OTHER INFORMATION. INVESTORS SHOULD REVIEW THE INFORMATION
IN THE PROSPECTUS CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END
PERFORMANCE INFORMATION, OR TO RECEIVE A FUND PROSPECTUS PLEASE CALL 800
348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY.
The Fund commenced operations on 1/1/97.
Returns for the Select Shares include performance of a predecessor account for
the period dating back to 08/31/94, prior to the Fund's commencement of
operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted
to reflect historical expenses at the levels indicated (absent reimbursements)
in the Expense Summary as disclosed in the prospectus at the Fund's commencement
of operations. The account was not registered with the Securities and Exchange
Commission and, therefore, was not subject to the investment restrictions
imposed by law on registered mutual funds. If it had been registered, the
performance may have been adversely affected.
Returns for Class A and B Shares prior to 2/16/01 (offering date of Class A and
B Shares) are calculated using the historical expenses of the Select Shares,
which are lower than the expenses for Class A and B Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select
Shares of the JPMorgan Tax Free Income Fund, Lehman Municipal Bond Index, and
Lipper General Municipal Debt Funds Index from August 31, 1994 to August 31,
2004. The performance of the Fund assumes reinvestment of all dividends. The
performance of the indices does not include a sales charge and has been adjusted
to reflect reinvestment of all dividends and capital gains of the securities
included in the benchmark. The Lehman Municipal Bond Index is a broad-based
index that replicates the long-term, investment grade tax-exempt bond market.
The Lipper General Municipal Debt Funds Index represents the total returns of
the funds in the category, as defined by Lipper, Inc. Investors cannot invest
directly in an index.
Capital gains distributions are subject to federal income tax, a portion of the
Fund's income distributions may be subject to the Alternative Minimum Tax and
some investors may be subject to certain state and local taxes.
Select Shares have a $1,000,000 minimum initial deposit and carry no sales
charge.
Certain fees and expenses of the Fund are currently being waived and reimbursed
as described in the prospectus. Had the expenses not been subsidized or waived,
returns would have been lower. Also all performance shown in this section does
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or redemption of fund shares.
11
<Page>
JPMORGAN CALIFORNIA BOND FUND
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 93.8%
STATE AND MUNICIPAL OBLIGATIONS -- 93.8%
CALIFORNIA -- 79.6%
$ 3,135 Anaheim Public Financing Authority,
Distribution System, Second Lien, Rev.,
MBIA, 5.25%, 10/01/16 + $ 3,520
260 Burlingame Financing Authority,
Rev., 4.75%, 10/15/11 + 285
140 California Educational Facilities
Authority, Dominican University, Rev.,
4.85%, 12/01/06 147
667 California Educational Facilities
Authority, Rev., 1.73%, 05/01/28 + 666
750 California Educational Facilities Authority,
Stanford University, Ser. P, Rev., 5.25%,
12/01/13 857
1,100 California Educational Facilities Authority,
University of Southern California, Ser. A,
Rev., 5.60%, 10/01/06 1,188
2,000 California Infrastructure & Economic
Development Bank, Workers
Compensation Relief, Ser. A, Rev.,
AMBAC, 5.00%, 10/01/09 2,224
1,460 California State Department of Water
Resources, Central Valley Project,
Ser. J-3, Rev., 7.00%, 12/01/12 1,821
540 California State Department of Water
Resources, Central Valley Project,
Ser. J-3, Rev., (p), 7.00%, 12/01/12 687
3,235 California State Department of Water
Resources, Rev., 5.50%, 12/01/08 3,654
100 California State Public Works Board,
Department of Mental Health,
Coalinga State Hospital, Ser. A, Rev.,
5.25%, 06/01/12 111
4,148 California State University, California
State Polytechnic University Pamona,
Campus Energy Project, Tax Exempt
Master Lease, Rev., 5.06%, 03/15/14 4,338
3,620 California State, Economic Recovery,
Ser. B, GO, Adj., 5.00%, 07/01/23 3,909
120 California State, GO, (p), MBIA-IBC,
6.25%, 10/01/19 120
$ 1,435 California Statewide Communities
Development Authority, Catholic
Healthcare West, COP, 6.00%, 07/01/09 $ 1,606
1,840 Calleguas-Las Virgines Public Financing
Authority, Water District, Ser. B, Rev.,
MBIA, 5.25%, 07/01/13 2,085
490 Carson Redevelopment Agency,
Redevelopment Project Area No. 1,
Tax Allocation, MBIA, 5.50%, 10/01/14 566
150 Coachella Valley Recreation & Park
District, Improvement Bond Act of 1915,
Reassessment District 1, Special
Assessment, MBIA, 4.63%, 09/02/10 165
1,000 Colton Public Financing Authority,
Tax Allocation, Ser. A, Rev., MBIA,
5.00%, 08/01/18 1,064
1,500 Contra Costa Transportation Authority,
Sales Tax, Ser. A, Rev., FGIC,
6.00%, 03/01/06 1,597
2,505 Corona Community Facilities District,
No. 97-2, Eagle Glen, Special Tax,
5.75%, 09/01/16 2,588
3,825 El Dorado Irrigation District &
El Dorado Water Agency, COP, Ser. A,
FGIC, 5.00%, 03/01/13 4,233
1,000 Fallbrook Union High School District,
San Diego County, GO, FGIC, 5.38%,
09/01/12 1,144
1,000 Foothill Eastern Transportation
Corridor Agency, California Toll Road,
Senior Lien, Ser. A, Rev., (p), 6.00%,
01/01/07 1,097
100 Fullerton University Foundation, Ser. A,
Rev., MBIA, 5.50%, 07/01/10 114
100 Fullerton University Foundation, Ser. A,
Rev., MBIA, 5.50%, 07/01/11 113
545 Golden West Schools Financing
Authority, Ser. A, Rev., MBIA,
5.80%, 02/01/16 644
1,000 Long Beach, California, Long Beach
Harbor, Rev., MBIA, 6.00%, 05/15/06 1,050
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
ANNUAL REPORT AUGUST 31 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 500 Los Angeles County Community
Facilities District No. 3, Improvement
Area B, Special Tax, Ser. A, AMBAC,
5.63%, 09/01/11 $ 569
1,395 Los Angeles County Community Facilities
District No. 3, Improvement Area B,
Special Tax, Ser. A, AMBAC,
5.63%, 09/01/13 1,575
1,000 Los Angeles County Community
Facilities District No. 3, Improvement
Area B, Special Tax, Ser. A, AMBAC,
5.63%, 09/01/14 1,128
1,000 Los Angeles County Public Works
Financing Authority, Multiple Capital
Facilities Project, Ser. B, Rev., AMBAC,
6.00%, 12/01/07 1,127
1,405 Los Angeles Unified School District,
COP, Ser. B, FSA, 5.00%, 10/01/06 1,499
125 Los Angeles Unified School District,
Ser. A, GO, FGIC, 6.00%, 07/01/15 150
1,300 Los Angeles, California, American
Academy of Dramatic Arts, COP, Ser. A,
Adj., 4.70%, 11/01/30 1,348
1,000 Los Angeles, California, Ser. A, GO,
5.25%, 09/01/11 1,132
5,110 Los Angeles, California, Sonnenblick Del
Rio, West Los Angeles, COP, AMBAC,
6.13%, 11/01/15 5,923
1,000 Los Angeles, California, Water & Power
Systems, Ser. B, Rev., FSA,
5.13%, 07/01/16 @ 1,103
1,000 Modesto Irrigation District Financing
Authority, Ser. A, Rev., MBIA,
5.45%, 10/01/07 1,096
1,385 Mountain View/Santa Clara County,
Capital Projects, COP, 5.25%, 08/01/16 1,533
560 Northern California Power Agency,
Public Power, Ser. A, Rev., AMBAC,
5.80%, 07/01/09 641
2,000 Orange County Public Financing
Authority, Waste Management Systems,
Rev., AMBAC, 5.75%, 12/01/09 2,268
$ 600 Pacifica, California, Street Improvement
Project, COP, AMBAC, 5.75%, 11/01/19 $ 679
500 Pomona Public Financing Authority,
Southwest Pomona Redevelopment
Project, Ser. W, Rev., MBIA,
5.00%, 02/01/18 530
425 Port of Oakland, Ser. K, Rev., FGIC,
5.25%, 11/01/07 463
360 Rancho Water District Financing Authority,
Ser. A, Rev., FSA, 5.50%, 08/01/10 411
1,210 Richmond, California, Taxable Limited
Obligation Pension, Ser. A, GO, MBIA,
7.02%, 08/01/05 1,261
35 Richmond, California, Wastewater, Rev.,
FGIC, 5.20%, 08/01/11 39
1,250 Riverside County Transportation
Commission, Sales Tax, Ser. A, Rev.,
FGIC, 6.00%, 06/01/09 1,440
250 Sacramento County Sanitation District,
Financing Authority, Ser. A, Rev.,
5.25%, 12/01/12 278
150 Sacramento County Sanitation District,
Financing Authority, Ser. A, Rev.,
5.75%, 12/01/10 173
1,000 San Bernardino, California, Single Family
Mortgage, Ser. A, Rev., (p),
7.50%, 05/01/23 1,317
1,200 San Diego County Regional Transportation
Commission, Sales Tax, 2nd Ser., Ser. A,
Rev., AMBAC, 6.00%, 04/01/06 1,282
1,000 San Francisco City & County Airports
Commission, Issue 15-B, 2nd Ser., Rev.,
FSA, 5.50%, 05/01/06 1,062
1,170 San Francisco City & County Airports
Commission, Issue 27-B, 2nd Ser., Adj.,
Rev., FGIC, 5.25%, 05/01/13 1,291
2,500 San Jose Financing Authority, Civic
Center Project, Ser. D, Adj., Rev., AMBAC,
5.00%, 06/01/39 2,646
990 San Jose Redevelopment Agency,
Merged Area Redevelopment Project,
Tax Allocation, (p), MBIA, 6.00%, 08/01/15 1,202
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
CALIFORNIA -- CONTINUED
$ 1,240 San Jose Redevelopment Agency,
Merged Area Redevelopment Project,
Tax Allocation, MBIA, 6.00%, 08/01/07 $ 1,380
2,010 San Jose Redevelopment Agency,
Merged Area Redevelopment Project,
Tax Allocation, MBIA, 6.00%, 08/01/15 2,407
4,000 San Marcos University Corp., Auxiliary
Organization, Rev., Adj., 3.35%, 07/01/32 4,047
585 San Mateo County Community College
District, Election of 2001, Ser. A, GO,
FGIC, 5.38%, 09/01/19 644
250 San Mateo County Joint Powers Authority,
Capital Projects Program, Rev., MBIA,
6.50%, 07/01/15 310
1,700 Santa Ana Financing Authority, Police
Administration & Holding Facility, Ser. A,
Rev., MBIA, 6.25%, 07/01/24 2,038
1,000 Santa Clara County Financing Authority,
Ser. A, Rev., AMBAC, 5.75%, 11/15/13 1,177
2,505 South Bayside Waste Management
Authority, Solid Waste System, Rev.,
AMBAC, 6.13%, 03/01/17 2,865
1,310 South Orange County Public Financing
Authority, Foothill Area, Ser. A, Special Tax,
FGIC, 5.25%, 08/15/18 1,448
5,000 South Orange County Public Financing
Authority, Senior Lien, Ser. A, Special Tax,
MBIA, 5.00%, 09/01/12 5,551
1,000 Turlock Irrigation District, Ser. A, Rev.,
MBIA, 6.00%, 01/01/07 1,092
1,000 University of California, UC Medical
Center, Rev., AMBAC, 10.00%, 07/01/06 1,144
4,000 Walnut Valley Unified School District,
Ser. A, GO, MBIA, 7.20%, 02/01/16 4,971
-------------------------------------------------------------------------------------
105,833
-------------------------------------------------------------------------------------
CONNECTICUT -- 2.0%
2,040 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater, 9.20%,
12/15/09 2,626
MICHIGAN -- 1.6%
$ 2,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Rev., Adj., 5.30%, 11/15/33 $ 2,139
NEW JERSEY -- 0.8%
1,000 Garden State Preservation Trust,
Open Space & Farmland, Ser. A, Rev.,
FSA, 5.80%, 11/01/21 1,101
NEW YORK -- 0.8%
1,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 1,041
PUERTO RICO -- 8.0%
115 Puerto Rico Commonwealth, Public
Improvement, GO, 5.00%, 07/01/07 123
1,280 Puerto Rico Commonwealth, Public
Improvement, GO, (p), MBIA-IBC,
3.00%, 07/01/06 1,285
2,500 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 07/01/18 2,696
3,000 Puerto Rico Electric Power Authority,
Ser. BB, Rev., MBIA, 6.00%, 07/01/11 3,546
125 Puerto Rico Electric Power Authority,
Ser. Z, Rev., 5.10%, 07/01/06 131
420 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC, 5.50%,
07/01/15 490
500 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 5.75%, 08/01/13 570
1,500 Puerto Rico Public Finance Corp., Ser. A,
Rev., (p), MBIA, 5.50%, 08/01/11 1,734
-------------------------------------------------------------------------------------
10,575
-------------------------------------------------------------------------------------
SOUTH CAROLINA -- 0.7%
1,000 Charleston County, GO, MBIA-IBC,
3.00%, 09/01/14 947
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
VIRGIN ISLANDS -- 0.3%
$ 345 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Lien Notes, Ser. A,
Rev., 5.63%, 10/01/10 $ 372
-------------------------------------------------------------------------------------
Total State and Municipal Obligations 124,634
(Cost $117,098)
-------------------------------------------------------------------------------------
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 6.2%
MONEY MARKET FUND -- 6.2%
8,173 JPMorgan Tax Free Money Market Fund (a) $ 8,173
(Cost $8,173)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 132,807
(COST $125,271)
-------------------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD)
- -----------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(17) 10 Year Treasury Notes December, 2004 $ (1,909) $ (13)
- -----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
JPMORGAN INTERMEDIATE TAX FREE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 93.9%
STATE AND MUNICIPAL OBLIGATIONS -- 93.9%
ALABAMA -- 0.1%
$ 1,000 Shelby County Board of Education,
Capital Outlay School Warrants,
AMBAC, 5.70%, 02/01/09 $ 1,037
ARIZONA -- 0.9%
2,085 Arizona Health Facilities Authority,
Catholic Healthcare West, Ser. A, Rev.,
6.13%, 07/01/09 + 2,244
4,360 Arizona School Facilities Board,
State School Trust, Ser. A, Rev.,
AMBAC, 5.75%, 07/01/17 + 5,117
2,375 Arizona School Facilities Board,
State School Trust, Ser. A, Rev.,
AMBAC, 5.75%, 07/01/18 + 2,766
3,860 Phoenix IDA, Single Family Mortgage,
Ser. 2-A, Rev., Adj., 5.55%, 03/01/28 4,201
-------------------------------------------------------------------------------------
14,328
-------------------------------------------------------------------------------------
CALIFORNIA -- 5.9%
1,840 California State Department of Water
Resources, Central Valley Project,
Ser. J-1, Rev., Adj., 7.00%, 12/01/12 2,295
500 California State Department of Water
Resources, Central Valley Project,
Ser. J-1, Rev., (p), 7.00%, 12/01/12 636
20,000 California State, Economic Recovery,
Ser. A, GO, MBIA, 5.00%, 07/01/15 22,082
8,130 California Statewide Communities
Development Authority, Catholic
Healthcare West, COP, 6.00%, 07/01/09 9,099
10,435 Contra Costa Water District, Ser. K,
Rev., FSA, 5.50%, 10/01/14 11,762
1,000 Los Angeles Community
Redevelopment Agency, Tax Allocation,
Hollywood Redevelopment Project,
Ser. C, MBIA, 5.50%, 07/01/16 1,153
2,500 Los Angeles County Public Works
Financing Authority, Ser. A, Rev.,
MBIA, 6.00%, 09/01/06 2,714
11,730 Los Angeles, California, Wastewater
System, Sub Ser. A, Rev., MBIA,
4.20%, 06/01/16 11,973
$ 13,560 Los Angeles, California, Wastewater
System, Sub Ser. A, Rev., MBIA,
4.20%, 06/01/17 $ 13,731
2,000 Solano County, COP, MBIA, 5.25%,
11/01/16 2,213
5,500 Southern California Public Power
Authority, San Juan Power, Power
Project, Ser. B, Rev., Adj., FSA, 5.25%,
01/01/20 6,110
5,000 Southern California Public Power
Authority, San Juan Unit 3, Power
Project, Ser. A, Rev., FSA, 5.50%,
01/01/13 5,722
-------------------------------------------------------------------------------------
89,490
-------------------------------------------------------------------------------------
COLORADO -- 0.1%
1,610 Douglas County School District
No. Re-1, Douglas & Elbert Counties,
GO, FGIC, 5.75%, 12/15/17 1,887
CONNECTICUT -- 3.0%
7,000 Connecticut State Development
Authority, PCR, Ser. A, Rev., Adj.,
AMBAC, 3.35%, 05/01/31 7,079
19,405 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater,
9.20%, 12/15/09 24,976
7,240 Connecticut State, Ser. B, GO, (p),
5.88%, 06/15/10 8,400
3,905 Waterbury, Connecticut, Ser. A, GO,
FSA, 5.50%, 04/01/13 4,441
-------------------------------------------------------------------------------------
44,896
-------------------------------------------------------------------------------------
DELAWARE-- 0.0% ^
250 Wilmington, Delaware, GO, FGIC,
5.00%, 07/01/09 275
DISTRICT OF COLUMBIA -- 0.2%
770 District of Columbia, Ser. A, GO, (p),
MBIA-IBC, 6.00%, 06/01/07 828
2,450 District of Columbia, Ser. A, GO,
MBIA-IBC, 6.00%, 06/01/07 2,633
-------------------------------------------------------------------------------------
3,461
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
ANNUAL REPORT AUGUST 31 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
FLORIDA -- 2.6%
$ 2,265 Coral Springs Improvement District,
Water & Sewer, GO, MBIA, 6.00%,
06/01/10 $ 2,505
1,750 Dade County, Aviation, Ser. B, Rev.,
AMBAC, 6.40%, 10/01/06 1,791
1,495 Florida State Board of Education,
Capital Outlay, Public Education,
Ser. B, GO, 5.25%, 06/01/12 1,691
2,000 Florida State Department of
Corrections, Okeechobee Correctional
Facility, COP, AMBAC, 6.00%, 03/01/08 2,083
30,000 Orlando Utilities Commission, Water &
Electric, Multi-Modal, Ser. A, Rev.,
Adj., 4.10%, 10/01/23 31,895
-------------------------------------------------------------------------------------
39,965
-------------------------------------------------------------------------------------
GEORGIA -- 1.6%
1,720 Forsyth County School District, GO,
5.00%, 07/01/12 1,898
2,630 Fulton County School District, GO,
6.38%, 05/01/14 3,220
1,250 Georgia Municipal Electric Authority,
Power, Ser. A, Rev., 6.50%, 01/01/12 1,449
5,000 Georgia Municipal Electric Authority,
Power, Ser. DD, Rev., MBIA-IBC,
7.00%, 01/01/08 5,736
3,000 Georgia State, Ser. B, GO,
6.30%, 03/01/10 3,523
2,500 Gwinnette County School District,
Ser. B, GO, 6.40%, 02/01/08 2,827
5,000 Metropolitan Atlanta Rapid
Transportation Authority, Ser. P, Rev.,
AMBAC, 6.25%, 07/01/11 5,919
-------------------------------------------------------------------------------------
24,572
-------------------------------------------------------------------------------------
HAWAII -- 0.1%
2,000 Honolulu City & County, Ser. A, GO,
7.35%, 07/01/06 2,197
ILLINOIS -- 4.7%
$ 1,500 Chicago Metropolitan Water
Reclamation District, Capital
Improvement Bonds, GO, (p),
7.00%, 01/01/08 $ 1,725
10,000 Chicago Metropolitan Water
Reclamation District, Capital
Improvement Bonds, GO, (p),
5.50%, 12/01/12 11,415
10,025 Chicago Metropolitan Water
Reclamation District, GO, 5.50%,
12/01/09 11,324
6,055 Chicago O'Hare International Airport,
Passenger Facilities Charge, Ser. A,
Rev., AMBAC, 5.38%, 01/01/07 6,426
1,245 Chicago Park District, Harbor Facilities,
Rev., (p), 5.38%, 01/01/06 1,306
5,000 Chicago, Illinois, Ser. A, GO, (p), FGIC,
6.75%, 07/01/10 6,082
2,819 Illinois Development Finance Authority,
IDR, Rev., 4.90%, 08/01/28 (i) 2,886
2,585 Illinois Finance Authority, DePaul
University, Ser. A, Rev., 5.38%, 10/01/15 2,856
1,665 Illinois Health Facilities Authority,
Rev., 6.63%, 02/15/12 1,896
3,770 Illinois Health Facilities Authority,
Riverside Health Systems, Rev.,
6.75%, 11/15/10 4,365
2,565 Illinois State, 1st Ser., GO, 5.50%,
08/01/06 2,742
4,000 Illinois State, 1st Ser., GO, 5.50%,
08/01/07 4,374
2,000 Illinois State, GO, (p), MBIA, 5.25%,
06/01/08 2,233
5,000 Illinois State, Ser. A, GO, 5.00%,
03/01/19 5,308
50 Metropolitan Pier & Exposition
Authority, Dedicated State Tax,
Ser. A-2002, Rev., 8.50%, 06/15/06 56
1,330 Metropolitan Pier & Exposition
Authority, Dedicated State Tax,
Ser. A-2002, Rev., (p), 8.50%, 06/15/06 1,488
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ILLINOIS -- CONTINUED
$ 1,000 Regional Transportation Authority,
Ser. B, GO, AMBAC, 6.40%, 06/01/12 $ 1,201
2,810 Regional Transportation Authority,
Ser. D, Rev., FGIC, 7.75%, 06/01/07 3,229
-------------------------------------------------------------------------------------
70,912
-------------------------------------------------------------------------------------
INDIANA -- 1.4%
10,490 Indiana Housing Finance Authority,
Single Family Mortgage, Ser. B-2,
Rev., 4.00%, 01/01/34 11,074
10,285 Indiana Housing Finance Authority,
Single Family Mortgage, Ser. D-2,
Rev., 3.60%, 01/01/32 10,365
-------------------------------------------------------------------------------------
21,439
-------------------------------------------------------------------------------------
IOWA -- 0.5%
2,095 Iowa Finance Authority, Hospital
Facilities, Rev., 6.75%, 02/15/15 2,335
2,385 Iowa Finance Authority, Hospital
Facilities, Rev., 6.75%, 02/15/16 2,642
2,440 Iowa Finance Authority, Hospital
Facilities, Rev., 6.75%, 02/15/17 2,699
-------------------------------------------------------------------------------------
7,676
-------------------------------------------------------------------------------------
KENTUCKY -- 0.4%
4,905 Kentucky Turnpike Authority,
Economic Development, Revitalization
Projects, Ser. B, Rev., FSA, 5.00%,
07/01/12 5,439
MARYLAND -- 1.3%
1,000 Maryland State Health & Higher
Educational Facilities Authority,
Lifebridge Health, Ser. A, Rev., 5.00%,
07/01/10 1,087
500 Maryland State Health & Higher
Educational Facilities Authority,
Lifebridge Health, Ser. A, Rev., 5.00%,
07/01/11 543
1,000 Maryland State Health & Higher
Educational Facilities Authority,
Lifebridge Health, Ser. A, Rev., 5.00%,
07/01/12 1,087
$ 1,250 Maryland State Health & Higher
Educational Facilities Authority,
Lifebridge Health, Ser. A, Rev., 5.25%,
07/01/20 $ 1,318
3,000 Maryland State Stadium Authority,
Lease, Convention Center Expansion,
Rev., AMBAC, 5.75%, 12/15/08 3,097
3,000 Maryland State Stadium Authority,
Lease, Convention Center Expansion,
Rev., AMBAC, 5.80%, 12/15/09 3,098
8,687 Maryland State, Tax Exempt Master
Lease, 5.19%, 07/01/16 (i) 9,187
-------------------------------------------------------------------------------------
19,417
-------------------------------------------------------------------------------------
MASSACHUSETTS -- 6.3%
5,650 Massachusetts Bay Transportation
Authority, General Transportation
Systems, Ser. A, Rev., 7.00%,
03/01/08 6,504
2,045 Massachusetts Bay Transportation
Authority, General Transportation
Systems, Ser. A, Rev., MBIA, 5.50%,
03/01/14 2,353
3,945 Massachusetts Health & Educational
Facilities Authority, Boston College,
Ser. K, Rev., 5.38%, 06/01/14 4,515
6,750 Massachusetts Health & Educational
Facilities Authority, Harvard University,
Ser. Z, Rev., 5.00%, 01/15/07 7,212
1,420 Massachusetts State College Building
Authority, Ser. A, Rev., 7.50%, 05/01/11 1,783
10,000 Massachusetts State Turnpike
Authority, Ser. A, Rev., (p), 5.00%,
01/01/13 10,970
9,500 Massachusetts State Water Pollution
Abatement, MWRA Program,
Sub Ser. A, Rev., 6.00%, 08/01/15 10,957
2,000 Massachusetts State Water Resources
Authority, Ser. A, Rev., FSA, 5.50%,
08/01/13 2,300
3,000 Massachusetts State Water Resources
Authority, Ser. C, Rev., FGIC, 5.25%,
12/01/15 3,418
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MASSACHUSETTS -- CONTINUED
$ 5,000 Massachusetts State, CONS,
Ser. C, GO, (p), 5.75%, 10/01/10 $ 5,759
3,200 Massachusetts State, CONS, Ser. C,
GO, (p), 5.25%, 08/01/13 3,639
18,545 Massachusetts State,
Federal Highway, Ser. A, Rev., GAN,
FSA, 5.75%, 12/15/12 21,068
1,210 Southeastern Massachusetts
University Building Authority, Ser. A,
Rev., AMBAC, 5.90%, 05/01/09 1,270
1,000 Southeastern Massachusetts
University Building Authority, Ser. A,
Rev., AMBAC, 5.90%, 05/01/10 1,050
3,460 University of Massachusetts Building
Authority, Ser. 04-1, Rev., AMBAC,
5.38%, 11/01/17 3,893
1,790 University of Massachusetts Building
Authority, Ser. 04-1, Rev., AMBAC,
5.38%, 11/01/18 2,011
3,145 University of Massachusetts Building
Authority, Ser. 04-1, Rev., AMBAC,
5.38%, 11/01/19 3,505
2,000 University of Massachusetts Building
Authority, Ser. 04-1, Rev., AMBAC,
5.38%, 11/01/20 2,211
1,000 University of Massachusetts Building
Authority, Ser. 04-1, Rev., AMBAC,
5.38%, 11/01/21 1,102
-------------------------------------------------------------------------------------
95,520
-------------------------------------------------------------------------------------
MICHIGAN -- 6.1%
3,910 Grand Rapids, Michigan, Water Supply,
Rev., FGIC, 5.75%, 01/01/13 4,486
13,050 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. A, Rev., (p), MBIA, 6.25%,
11/15/09 15,355
10,000 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Rev., Adj., 5.30%, 11/15/33 10,695
3,755 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
5.50%, 12/01/05 3,931
$ 4,160 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
6.00%, 12/01/11 $ 4,717
4,405 Michigan State Hospital Finance
Authority, Trinity Health, Ser. A, Rev.,
6.00%, 12/01/12 4,987
10,750 Michigan State Trunk Line, Ser. A,
Rev., 5.25%, 11/01/13 12,155
3,565 Michigan State Underground Storage
Tank Financial Assurance Authority,
Ser. I, Rev., AMBAC, 5.75%, 05/01/10 3,815
16,000 Monroe County Economic
Development Corp., Limited
Obligation, Detroit Edison Co., Ser. CC,
Rev., Adj. AMBAC, 4.65%, 10/01/24 17,297
10,000 Wayne Charter County, Detroit
Metropolitan, Wayne Charter Airport,
Ser. A, Rev., MBIA, 5.25%, 12/01/06 10,666
3,780 Wayne Charter County, Detroit
Metropolitan, Wayne Charter Airport,
Ser. A, Rev., MBIA, 5.50%, 12/01/07 4,127
-------------------------------------------------------------------------------------
92,231
-------------------------------------------------------------------------------------
MINNESOTA -- 1.0%
5,000 University of Minnesota, Ser. A, Rev.,
5.75%, 07/01/10 5,747
8,000 University of Minnesota, Ser. A, Rev.,
5.75%, 07/01/15 9,426
-------------------------------------------------------------------------------------
15,173
-------------------------------------------------------------------------------------
MISSISSIPPI -- 1.3%
4,000 Mississippi State, Capital
Improvements Issue, Ser. I, GO, (p),
5.50%, 11/01/06 4,321
2,000 Mississippi State, GO, 5.75%, 12/01/12 2,323
10,745 Mississippi State, GO, (p), 6.20%,
02/01/08 11,953
-------------------------------------------------------------------------------------
18,597
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
MISSOURI -- 2.7%
$ 3,200 Clay County Public School
District No. 53., Liberty, Missouri,
Direct Deposit Program, GO, FSA,
5.25%, 03/01/22 $ 3,465
2,500 Clay County Public School
District No. 53., Liberty, Missouri,
Direct Deposit Program, GO, FSA,
5.25%, 03/01/23 2,691
9,670 Missouri Housing Development
Commission, Homeowner Loan
Program, Single Family Mortgage,
Ser. B-1, Rev., Adj., 5.38%, 09/01/34 10,466
16,660 Missouri Housing Development
Commission, Homeowner Loan
Program, Single Family Mortgage,
Ser. C-1, Rev., Adj., 4.80%, 09/01/34 17,705
1,105 Missouri State Environmental
Improvement & Energy Resources
Authority, State Revolving Funds
Program, Ser. B, Rev., 5.50%, 07/01/12 1,271
3,730 Missouri State Health & Educational
Facilities Authority, Park Lane Medical
Center, Ser. A, Rev., (p), MBIA,
5.60%, 01/01/15 4,173
1,265 Missouri State Health & Educational
Facilities Authority, University of
Missouri, Columbia Arena Project,
Rev., 5.00%, 11/01/11 1,411
-------------------------------------------------------------------------------------
41,182
-------------------------------------------------------------------------------------
NEBRASKA -- 0.3%
4,725 NEBHELP, Inc., Sub Ser. A-5B, Rev.,
MBIA, 6.20%, 06/01/13 5,061
NEVADA -- 0.7%
8,200 Clark County School District, Ser. A,
GO, MBIA, 7.00%, 06/01/11 10,066
NEW JERSEY -- 4.3%
3,245 Elizabeth, New Jersey, GO, AMBAC,
6.25%, 08/15/08 3,445
$ 8,000 Garden State Preservation Trust,
Open Space & Farmland, Ser. A, Rev.,
FSA, 5.80%, 11/01/21 $ 8,808
8,000 Garden State Preservation Trust,
Open Space & Farmland, Ser. A, Rev.,
FSA, 5.80%, 11/01/23 8,734
15,395 New Jersey Economic Development
Authority, Motor Vehicles, Ser. A, Rev.,
MBIA, 5.25%, 07/01/16 17,125
3,225 New Jersey State Turnpike Authority,
Rev., (p), 5.70%, 05/01/13 3,597
2,930 New Jersey State Turnpike Authority,
Ser. G, Rev., (p), 5.75%, 01/01/09 3,157
10,000 New Jersey State, GO, 5.50%,
05/01/07 10,870
4,570 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.75%, 06/15/15 5,324
4,370 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., MBIA, 5.50%, 06/15/09 4,583
-------------------------------------------------------------------------------------
65,643
-------------------------------------------------------------------------------------
NEW MEXICO -- 0.8%
5,500 New Mexico Mortgage Finance
Authority, Single Family Mortgage,
Ser. A-2, Rev., 5.25%, 03/01/34 5,994
3,000 New Mexico Mortgage Finance
Authority, Single Family Mortgage,
Ser. D, Rev., Adj., 6.13%, 09/01/33 3,292
3,125 New Mexico Mortgage Finance
Authority, Single Family Mortgage,
Ser. PG, Class C-2, Rev.,
4.70%, 09/01/33 3,272
-------------------------------------------------------------------------------------
12,558
-------------------------------------------------------------------------------------
NEW YORK -- 12.6%
12,405 Battery Park City Authority, Ser. A,
Rev., 5.25%, 11/01/14 + 14,026
1,500 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA, 5.50%,
12/01/13 1,751
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 22,630 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev., 5.50%,
07/01/17 $ 25,930
24,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., Adj., 5.50%, 11/01/26 27,129
6,055 New York City, New York, Ser. B,
GO, (p), 5.50%, 12/01/11 6,987
11,500 New York City, New York, Ser. G, GO,
5.50%, 08/01/09 12,778
6,300 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 6,559
5,035 New York State Dormitory Authority,
City University Systems,
4th Generation, Ser. A, Rev., FGIC,
5.25%, 07/01/13 5,721
4,025 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FGIC, 5.50%, 05/15/13 4,642
1,500 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FSA, 5.50%, 05/15/13 1,730
6,231 New York State Dormitory Authority,
State University of New York,
Stoney Brook University, Rev.,
3.92%, 03/27/07 (i) 6,295
8,055 New York State Environmental
Facilities Corp., New York City
Municipal Project, Clean Water &
Drinking, State Revolving Funds,
Sub Ser. E, Rev., 5.38%, 07/15/19 8,824
3,345 New York State Environmental
Facilities Corp., New York City
Municipal Water Project, Clean
Water & Drinking, State Revolving
Funds, Ser. D, Rev., 5.38%, 06/15/13 3,772
5,040 New York State Environmental
Facilities Corp., New York City
Municipal Water Project, Clean
Water & Drinking, State Revolving
Funds, Ser. D, Rev., 5.38%, 06/15/16 5,640
$ 6,600 New York State Environmental
Facilities Corp., New York City
Municipal Water Project, Clean
Water & Drinking, State Revolving
Funds, Ser. D, Rev., 5.38%, 06/15/16 $ 7,310
7,745 New York State Environmental
Facilities Corp., New York City
Municipal Water Project, Clean
Water & Drinking, State Revolving
Funds, Ser. D, Rev., 5.38%, 06/15/17 8,622
8,325 New York State Environmental
Facilities Corp., New York City
Municipal Water Project, Clean
Water & Drinking, State Revolving
Funds, Ser. D, Rev., 5.38%, 06/15/18 9,202
2,125 New York State Environmental
Facilities Corp., Solid Waste Disposal,
Waste Management, Inc. Project,
Ser. A, Rev., 4.45%, 07/01/17 2,165
4,115 New York State Housing Finance
Agency, Housing Project Mortgage,
Ser. A, Rev., FSA, 5.40%, 11/01/05 4,271
3,950 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. A,
Rev., FGIC, 5.25%, 04/01/10 4,416
5,000 New York State Thruway Authority,
Local Highway & Bridge, Service
Contract, Rev., 5.10%, 04/01/08 5,415
10,000 New York State Thruway Authority,
Local Highway & Bridge, Service
Contract, Rev., 5.20%, 04/01/09 10,836
5,000 New York State, Ser. B, GO, 5.70%,
08/15/10 5,238
-------------------------------------------------------------------------------------
189,259
-------------------------------------------------------------------------------------
NORTH CAROLINA -- 2.0%
2,000 Cabarrus County, Installment
Financing Contract, COP, 5.75%,
04/01/11 2,297
2,000 Cabarrus County, Installment
Financing Contract, COP, 5.75%,
04/01/12 2,326
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NORTH CAROLINA -- CONTINUED
$ 9,155 North Carolina Municipal Power
Agency No. 1, Catawba Electric, Rev.,
AMBAC, 6.00%, 01/01/08 $ 10,206
8,900 North Carolina Municipal Power
Agency No. 1, Catawba Electric, Ser. B,
Rev., 6.13%, 01/01/06 9,338
6,275 North Carolina Municipal Power
Agency No. 1, Catawba Electric, Ser. B,
Rev., 6.25%, 01/01/07 6,786
-------------------------------------------------------------------------------------
30,953
-------------------------------------------------------------------------------------
NORTH DAKOTA -- 0.5%
7,055 North Dakota State Housing Finance
Agency, Housing Finance Program,
Ser. C, Rev., 5.55%, 01/01/31 7,289
OHIO -- 2.7%
10,000 Butler County Transportation
Improvement District, Ser. A, Rev.,
FSA, 5.13%, 04/01/17 10,683
6,000 Columbus, Ohio, Ser. 1, GO, 5.50%,
11/15/06 6,468
4,000 Montgomery County, Solid Waste,
Rev., MBIA, 5.50%, 11/01/10 4,244
10,000 Ohio Housing Finance Agency,
Residential Mortgage Backed
Securities, Ser. A, Rev., 5.00%,
09/01/31 10,777
6,000 Ohio State Turnpike Commission,
Ser. A, Rev., (p), MBIA, 5.40%,
02/15/06 6,444
1,855 Ohio State Water Development
Authority, Rev., (p), 9.38%, 12/01/10 2,192
-------------------------------------------------------------------------------------
40,808
-------------------------------------------------------------------------------------
OKLAHOMA -- 0.5%
6,990 Oklahoma Housing Finance Agency,
Single Family Mortgage, Ser. B-1, Rev.,
Adj., 4.88%, 09/01/33 7,351
OREGON -- 0.4%
$ 3,000 Oregon State Department of
Transportation, Highway User Tax,
Ser. A, Rev., 5.50%, 11/15/19 $ 3,468
3,000 Washington County, Union High
School District No. 3, Hillsboro,
GO, (p), MBIA, 6.00%, 11/01/05 3,153
-------------------------------------------------------------------------------------
6,621
-------------------------------------------------------------------------------------
PENNSYLVANIA -- 1.7%
16,206 Pennsylvania Higher Education,
4.64%, 04/30/09 (i) 16,784
2,800 Pennsylvania State Higher Educational
Facilities Authority, University of
Pennsylvania, Health Services,
Ser. A, Rev., 6.00%, 01/01/06 2,941
2,000 Pennsylvania State Higher Educational
Facilities Authority, University of
Pennsylvania, Health Services,
Ser. A, Rev., 6.00%, 01/01/07 2,119
3,500 Philadelphia Authority, IDR, Rev.,
2.15%, 01/01/18 (i) 3,471
-------------------------------------------------------------------------------------
25,315
-------------------------------------------------------------------------------------
PUERTO RICO -- 0.4%
5,500 Puerto Rico Commonwealth, GO,
MBIA-IBC, 5.50%, 07/01/09 6,210
SOUTH CAROLINA -- 4.1%
4,105 Charleston Educational Excellence
Finance Corp., Charleston County
School District Project, Rev., 5.00%,
12/01/14 4,489
5,500 Charleston Educational Excellence
Finance Corp., Charleston County
School District Project, Rev., 5.00%,
12/01/16 5,913
4,500 Charleston Educational Excellence
Finance Corp., Charleston County
School District Project, Rev., 5.00%,
12/01/17 4,803
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
SOUTH CAROLINA -- CONTINUED
$ 2,500 Charleston Educational Excellence
Finance Corp., Charleston County
School District Project, Rev., 5.00%,
12/01/18 $ 2,649
1,000 Piedmont Municipal Power Agency,
Electric, Rev., (p), MBIA, 6.20%,
01/01/08 1,126
15,000 Piedmont Municipal Power Agency,
Electric, Rev., FGIC, 6.75%, 01/01/20 @ 19,409
5,500 South Carolina Jobs & Economic
Development Authority, Hospital
Facilities Improvement, Palmetto
Health Alliance, Ser. A, Rev., (p),
7.00%, 12/15/10 6,556
3,000 South Carolina Jobs & Economic
Development Authority, Hospital
Facilities Improvement, Palmetto
Health Alliance, Ser. A, Rev., (p),
7.13%, 12/15/15 3,689
2,960 South Carolina State Housing
Finance & Development Authority,
Ser. A, Rev., AMBAC, 3.60%, 07/01/33 2,963
10,310 South Carolina State, State School
Facilities, Ser. A, GO, 4.25%, 01/01/15 10,673
-------------------------------------------------------------------------------------
62,270
-------------------------------------------------------------------------------------
SOUTH DAKOTA -- 1.0%
7,300 South Dakota Housing Development
Authority, Home Ownership Mortgage,
Ser. B, Rev., 5.00%, 11/01/27 7,696
6,465 South Dakota Housing Development
Authority, Ser. E, Rev., 5.00%,
05/01/28 6,829
-------------------------------------------------------------------------------------
14,525
-------------------------------------------------------------------------------------
TENNESSEE -- 0.9%
3,320 Knox County, Public Improvement,
GO, (p), 6.00%, 05/01/08 3,787
3,500 Knox County, Public Improvement,
GO, (p), 6.00%, 05/01/08 3,992
5,335 Tennergy Corp., Gas, Rev., MBIA,
5.00%, 06/01/09 5,856
-------------------------------------------------------------------------------------
13,635
-------------------------------------------------------------------------------------
TEXAS -- 11.4%
$ 3,205 Alvin Independent School District,
3.58%, 02/15/22 (i) + $ 3,212
3,375 Alvin Independent School District,
3.58%, 02/15/23 (i) + 3,383
3,550 Alvin Independent School District,
4.00%, 02/15/24 (i) + 3,618
3,735 Alvin Independent School District,
4.00%, 02/15/25 (i) + 3,807
2,945 Arlington Independent School District,
GO, 4.75%, 02/15/21 + 2,986
2,000 Austin Independent School District,
Public Property Finance Contractual
Obligation, GO, MBIA, 5.25%,
02/01/08 + 2,185
5,255 Austin, Texas, Utility Systems, Rev.,
MBIA-IBC, 5.80%, 11/15/06 + 5,683
18,495 Beaumont Water & Sewer, Rev.,
3.50%, 09/01/23 (i) + 18,860
1,305 Dallas County Flood Control District,
GO, (p), 9.25%, 04/01/08 1,613
6,200 Dallas, Texas, Civic Center,
Improvement, Rev., MBIA, 5.25%,
08/15/07 6,737
8,675 Houston, Texas, Ser. A, GO, 5.50%,
03/01/08 9,547
15,000 Houston, Texas, Utility System,
First Lien, Ser. A, Rev., FSA, 5.25%,
05/15/22 16,138
5,000 Humble Independent School District,
Ser. C, GO, 0.00%, 02/15/16 3,015
5,880 Humble Independent School District,
Ser. C, GO, 0.00%, 02/15/17 3,355
1,520 Katy Independent School District,
Ser. A, GO, 5.00%, 02/15/11 1,679
5,875 Lubbock Health Facilities Development
Corp., St. Joseph Health Systems,
Rev., 5.25%, 07/01/11 6,235
7,500 Pearland Independent School District,
4.27%, 02/15/25 (i) 7,583
7,500 Pearland Independent School District,
Unlimited Tax, 4.27%, 02/15/24 (i) 7,432
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXAS -- CONTINUED
$ 2,505 Richardson Independent School
District, GO, 5.00%, 02/15/22 $ 2,597
2,640 San Antonio, Texas, General
Improvement, GO, FSA, 4.75%,
02/01/23 2,677
5,835 Texas Department of Housing &
Community Affairs, Single Family
Housing, Ser. B, Rev., MBIA, 5.35%,
03/01/33 6,127
10,000 Texas Department of Housing &
Community Affairs, Single Family
Mortgage, Ser. A, Rev., FSA, 5.00%,
03/01/35 10,627
10,360 Texas State Department of Housing &
Community Affairs, Residential
Mortgage, Ser. A, Rev., 4.75%,
01/01/25 10,988
7,500 Texas State, Ser. A, GO, 6.00%,
10/01/09 8,615
4,700 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. A, Rev., 5.00%, 07/15/07 5,070
3,000 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. A, Rev., 5.25%, 07/15/09 3,278
1,000 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. A, Rev., 5.63%, 07/15/11 1,122
3,175 Texas Water Development Board,
State Revolving Fund, Senior Lien,
Ser. B, Rev., 5.25%, 07/15/08 3,452
7,385 Tomball Independent School District,
Ser. B, 3.45%, 02/15/26 (i) 7,385
3,270 Tomball Independent School District,
U.T. Schoolhouse, 2.68%, 02/15/23 (i) 3,293
-------------------------------------------------------------------------------------
172,299
-------------------------------------------------------------------------------------
UTAH -- 0.5%
3,800 Intermountain Power Agency, Utah
Power Supply, Ser. B, Rev., MBIA,
6.50%, 07/01/10 4,488
$ 10 Salt Lake City, Utah, GO, 5.50%,
06/15/11 $ 11
2,840 Salt Lake City, Utah, GO, (p), 5.50%,
06/15/11 3,239
-------------------------------------------------------------------------------------
7,738
-------------------------------------------------------------------------------------
VERMONT -- 0.6%
4,100 Burlington, Vermont, Electric, Ser. A,
Rev., MBIA, 6.38%, 07/01/09 + 4,760
3,510 Vermont State, Ser. A, GO, (p), 6.50%,
01/15/09 3,648
-------------------------------------------------------------------------------------
8,408
-------------------------------------------------------------------------------------
VIRGIN ISLANDS -- 0.7%
2,500 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Lien Notes, Ser. A,
Rev., 5.63%, 10/01/10 2,699
5,000 Virgin Islands Public Finance Authority,
Senior Lien, Fund Lien Notes, Ser. C,
Rev., 5.50%, 10/01/06 5,279
3,070 Virgin Islands Water & Power
Authority, Electric Systems, Rev.,
5.25%, 07/01/07 3,259
-------------------------------------------------------------------------------------
11,237
-------------------------------------------------------------------------------------
VIRGINIA -- 1.5%
20,355 Virginia Commonwealth
Transportation Board, Federal
Highway Reimbursement Anticipation
Note, Rev., 5.50%, 10/01/08 22,799
WASHINGTON -- 4.0%
34,000 Energy Northwest, Washington Electric,
Columbia Generating Station, Ser. B,
Rev., MBIA, 5.50%, 07/01/18 38,138
13,995 Grant County Public Utility District
No. 2, Electric, Ser. H, Rev., FSA,
5.38%, 01/01/15 15,564
115 Washington Public Power Supply
System, Nuclear Project No. 2, Ser. A,
Rev., 7.25%, 07/01/06 126
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
WASHINGTON -- CONTINUED
$ 1,885 Washington Public Power Supply
System, Nuclear Project No. 2, Ser. A,
Rev., (p), 7.25%, 07/01/06 $ 2,073
4,500 Washington State, Ser. B & AT-7,
GO, 6.40%, 06/01/17 5,479
-------------------------------------------------------------------------------------
61,380
-------------------------------------------------------------------------------------
WISCONSIN -- 2.1%
2,350 Milwaukee County, Corporate Purpose,
Ser. A, GO, 5.63%, 09/01/10 2,625
6,250 Wisconsin Health & Educational
Facilities Authority, Ser. 1999-C, Rev.,
5.70%, 05/01/14 (i) 6,893
6,250 Wisconsin Health & Educational
Facilities Authority, Ser. 1999-D, Rev.,
5.95%, 05/01/19 (i) 6,729
1,000 Wisconsin State, GO, 6.25%, 05/01/12 1,190
2,775 Wisconsin State, Ser. 1, GO, 5.00%,
11/01/07 3,007
6,275 Wisconsin State, Ser. 1, GO, 5.50%,
11/01/11 7,150
4,450 Wisconsin State, Ser. 3, GO, 5.20%,
11/01/09 4,943
-------------------------------------------------------------------------------------
32,537
-------------------------------------------------------------------------------------
Total State and Municipal Obligations 1,423,656
(Cost $1,332,051)
-------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 6.1%
MUNICIPAL SECURITIES-- 0.9%
CALIFORNIA-- 0.0% ^
200 Irvine Ranch Water District, Capital
Improvement Project, COP, FRDO,
1.32%, 09/01/04 200
100 Irvine Ranch Water District,
Improvement District No. 182, Ser. A,
GO, FRDO, 1.32%, 09/01/04 100
-------------------------------------------------------------------------------------
300
-------------------------------------------------------------------------------------
MISSISSIPPI -- 0.1%
2,505 Mississippi Higher Education
Assistance Corp., Ser. B, Rev., 5.60%,
09/01/04 2,505
MULTIPLE STATES -- 0.4%
$ 3,798 Puttable Floating Option Tax-Exempt
Receipts, FLOATS, Ser. PPT-34, FRDO,
1.56%, 09/01/04 $ 3,798
NEW YORK-- 0.0% ^
100 Port Authority of New York &
New Jersey, Special Obligation,
Versatile Structure Obligation, Ser. 6,
Rev., FRDO, 1.36%, 09/01/04 100
OREGON -- 0.2%
2,820 Oregon State Housing & Community
Services Department, Mortgage,
Ser. RR-II-R-288, Rev., FRDO, #,
18.78%, 01/01/05 3,633
PENNSYLVANIA -- 0.2%
3,000 Pennsylvania Housing Finance Agency,
Ser. RR-II-R-266, Rev., FRDO, #,
16.40%, 09/02/04 3,653
-------------------------------------------------------------------------------------
Total Municipal Securities 13,989
(Cost $14,025)
-------------------------------------------------------------------------------------
<Caption>
SHARES
- ------------------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 5.2%
78,335 JPMorgan Tax Free Money Market
Fund (a) 78,335
(Cost $78,335)
-------------------------------------------------------------------------------------
Total Short-Term Investments 92,324
(Cost $92,360)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 1,515,980
(COST $1,424,411)
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD)
- ------------------------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(387) 10 Year Treasury Notes December, 2004 $ (43,465) $ (292)
- ------------------------------------------------------------------------------------------------------------------------
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------------------
Interest Rate Swap with Morgan Stanley Capital Services,
semi-annual payment of 3.057% and semi-annual receipt of
weekly average BMA index 07/01/11 $ 17,250 $ 20
- ------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
JPMORGAN NEW JERSEY TAX FREE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 93.9%
STATE AND MUNICIPAL OBLIGATIONS -- 93.9%
ARIZONA -- 0.2%
$ 100 Phoenix Civic Improvement Corp.,
Water Systems, Junior Lien, Rev., (p),
5.50%, 07/01/06 $ 107
CONNECTICUT -- 2.6%
1,225 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater,
9.20%, 12/15/09 1,577
180 East Hartford, Connecticut, GO, FGIC,
5.25%, 05/01/15 206
-------------------------------------------------------------------------------------
1,783
-------------------------------------------------------------------------------------
KANSAS -- 0.5%
275 Kansas Development Finance Authority,
Department of Corrections, El Dorado
Unit Project, Ser. H, Rev., MBIA,
5.20%, 08/01/11 309
MICHIGAN -- 1.7%
985 Anchor Bay School District, GO,
5.25%, 05/01/15 + 1,128
NEW JERSEY -- 68.0%
140 Atlantic City, New Jersey, Ser. B, GO, MBIA,
4.00%, 08/01/10 + 148
450 Atlantic County, Public Facilities Lease
Agreement, COP, FGIC, 6.00%, 03/01/13 + 531
180 Audubon School District, GO, MBIA,
4.00%, 10/01/07 + 190
205 Audubon School District, GO, MBIA,
4.00%, 10/01/08 + 217
410 Bayonne, New Jersey, Ser. B, GO, FSA,
5.00%, 01/15/16 + 457
400 Bayonne, New Jersey, Ser. B, GO, FSA,
5.25%, 01/15/18 + 455
480 Bayonne, New Jersey, Ser. B, GO, FSA,
5.25%, 01/15/19 547
505 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/20 587
530 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/21 614
$ 485 Bayonne, New Jersey, Ser. B, GO, FSA,
5.50%, 01/15/22 $ 560
100 Cape May County Municipal Utilities
Authority, Sewer, Ser. A, Rev., FSA,
6.00%, 01/01/09 114
200 Delaware River Port Authority,
Pennsylvania & New Jersey, Port District
Project, Ser. A, Rev., FSA, 5.25%, 01/01/12 227
1,700 Delaware River Port Authority,
Pennsylvania & New Jersey, Port District
Project, Ser. B, Rev., FSA, 5.70%, 01/01/21 1,896
1,385 Ewing Township School District, School
Bond Resource Fund, GO, (p), FGIC,
5.30%, 08/01/08 1,539
1,010 Freehold Regional High School District,
GO, FGIC, 5.00%, 03/01/16 1,127
130 Freehold Township Board of Education,
GO, MBIA, 5.00%, 02/15/11 145
1,000 Garden State Preservation Trust, Open
Space & Farmland, Ser. A, Rev., FSA,
5.80%, 11/01/21 1,101
100 Gloucester County Improvement Authority,
County Guaranteed, Ser. A, Rev., MBIA,
5.35%, 08/01/09 112
175 Gloucester County Improvement Authority,
County Guaranteed, Ser. A, Rev., MBIA,
5.70%, 08/01/15 202
320 Gloucester County Improvement Authority,
Ser. B, Rev., (p), FSA, 5.80%, 12/01/09 368
180 Gloucester County Improvement Authority,
Ser. C, Rev., (p), FSA, 5.80%, 12/01/09 207
500 Gloucester Township Board of Education,
GO, MBIA, 4.50%, 08/01/10 542
160 Gloucester Township Board of Education,
GO, MBIA, 5.00%, 08/01/12 178
1,220 Hillsborough Township School District,
GO, FSA, 5.38%, 10/01/14 1,406
110 Howell Township, GO, MBIA,
5.00%, 01/01/09 121
1,425 Hudson County, COP, MBIA,
7.00%, 12/01/12 1,767
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 1,500 Hudson County, COP, MBIA, 6.25%,
12/01/14 $ 1,809
175 Irvington Township, Ser. B, GO, FSA,
5.00%, 08/01/08 192
200 Jersey City Municipal Utilities Authority,
Rev., FSA, 5.25%, 12/01/12 226
210 Jersey City, New Jersey, School
Improvement, School Board Fund, Ser. A,
GO, 6.25%, 10/01/09 244
475 Jersey City, New Jersey, School
Improvement, School Board Fund, Ser. B,
GO, AMBAC, 5.25%, 03/01/14 539
170 Long Hill Township, GO, 5.15%, 08/15/07 184
380 Lopatcong Township Board of Education,
GO, (p), FSA, 5.63%, 07/15/10 437
400 Lopatcong Township Board of Education,
GO, (p), FSA, 5.70%, 07/15/10 461
450 Lopatcong Township Board of Education,
GO, (p), FSA, 5.70%, 07/15/10 519
55 Lower Township, General Improvement,
GO, FSA, 4.25%, 07/15/11 59
100 Mainland Regional High School District,
School Board Resource Fund, GO,
5.20%, 11/15/06 107
105 Mainland Regional High School District,
School Board Resource Fund, GO,
5.20%, 11/15/07 115
60 Mainland Regional High School District,
School Board Resource Fund, GO,
5.25%, 11/15/08 67
110 Mainland Regional High School District,
School Board Resource Fund, GO,
5.25%, 11/15/09 123
75 Merchantville Board of Education, GO,
FSA, 5.00%, 01/15/08 81
225 Merchantville Board of Education, GO,
FSA, 5.00%, 01/15/09 247
160 Middletown Township Board of Education,
GO, (p), MBIA, 5.80%, 08/01/07 177
2,500 Middletown Township Board of Education,
GO, (p), MBIA, 5.85%, 08/01/07 @ 2,765
$ 220 Midland Park Board of Education, GO,
FSA, 4.13%, 08/15/06 $ 230
100 Monroe Township Board of Education
Middlesex County, GO, FGIC,
5.00%, 09/15/10 111
100 Morris County, GO, 5.13%, 05/13/10 112
375 Mount Olive Township Board of Education,
GO, MBIA, 4.00%, 07/15/08 398
185 Mount Olive Township Board of Education,
GO, MBIA, 4.00%, 07/15/09 196
745 Mount Olive Township Board of Education,
GO, MBIA, 4.00%, 07/15/10 789
1,800 New Jersey Economic Development
Authority, Capital Appreciation, Motor
Vehicles, Ser. R, Rev., MBIA,
0.00%, 07/01/18 963
1,060 New Jersey Economic Development
Authority, New Jersey Performing Arts
Center Project, Ser. A, Rev., AMBAC,
6.00%, 06/15/08 1,198
100 New Jersey Economic Development
Authority, Rev., FSA, 5.50%, 11/15/09 113
220 New Jersey Economic Development
Authority, Transportation Project,
Sublease, Ser. B, Rev., FSA,
5.75%, 05/01/09 249
720 New Jersey State Educational Facilities
Authority, Capital Improvement Fund,
Ser. A, Rev., 5.00%, 09/01/08 789
600 New Jersey State Educational Facilities
Authority, Drew University, Ser. C, Rev.,
FGIC, 5.25%, 07/01/18 683
1,545 New Jersey State Educational Facilities
Authority, Drew University, Ser. C, Rev.,
MBIA, 5.25%, 07/01/13 1,692
500 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 5.70%, 07/01/28 508
1,050 New Jersey State Educational Facilities
Authority, Higher Education Equipment
Leasing Fund, Ser. A, Rev.,
5.00%, 09/01/08 1,148
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 1,000 New Jersey State Educational Facilities
Authority, Princeton University, Ser. E,
Rev., (p), 5.25%, 07/01/10 $ 1,128
135 New Jersey State Educational Facilities
Authority, Rowan College, Ser. E, Rev., (p),
AMBAC, 5.75%, 07/01/06 146
175 New Jersey State Transit Corp., COP, FSA,
5.00%, 10/01/09 193
220 New Jersey State Transit Corp., Federal
Transporation Administration Grants, COP,
Ser. A, AMBAC, 5.63%, 09/15/09 249
1,000 New Jersey State Transit Corp., Federal
Transportation Administration Grants,
COP, Ser. A, (p), AMBAC, 6.13%, 09/15/09 1,160
200 New Jersey State Turnpike Authority,
Rev., (p), 6.75%, 01/01/09 215
250 New Jersey State Turnpike Authority,
Rev., (p) MBIA, 6.75%, 01/01/09 268
275 New Jersey State Turnpike Authority,
Ser. A, Rev., MBIA, 6.00%, 01/01/11 321
50 New Jersey State Turnpike Authority,
Ser. C, Rev., 6.50%, 01/01/16 60
260 New Jersey State Turnpike Authority,
Ser. C, Rev. (p), 6.50%, 01/01/16 319
335 New Jersey State Turnpike Authority, Ser. C,
Rev., (p), MBIA-IBC, 6.50%, 01/01/16 411
105 New Jersey State Turnpike Authority, Ser. C,
Rev., MBIA-IBC, 6.50%, 01/01/16 129
160 New Jersey State, GO, (p),
5.50%, 05/01/10 183
100 New Jersey State, Ser. D, GO,
6.00%, 02/15/11 116
100 New Jersey Transportation Trust Fund
Authority, Ser. C, Rev., 5.00%, 12/15/06 107
1,320 New Jersey Transportation Trust Fund
Authority, Ser. A, Rev. (p), 5.00%, 06/15/09 1,458
400 New Jersey Transportation Trust Fund
Authority, Transportation Systems, Ser. A,
Rev., 5.63%, 06/15/14 461
1,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems, Ser. A,
Rev., 5.75%, 06/15/16 1,173
$ 100 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev. (p), 6.00%, 06/15/10 $ 116
270 New Jersey Transportation Trust Fund
Authority, Transportation Systems, Ser. A,
Rev., (p), 6.00%, 06/15/16 315
270 New Jersey Wastewater Treatment Trust,
Ser. C, Rev., 6.88%, 06/15/07 305
1,000 New Jersey Wastewater Treatment Trust,
Ser. D, Rev., MBIA, 7.00%, 07/01/10 1,217
500 Ocean County Utilities Authority,
New Jersey Wastewater, GO,
6.00%, 01/01/07 545
275 Passaic County, GO, FSA, 5.00%, 05/01/12 307
100 Somerset County, GO, 5.10%, 09/15/07 109
100 South Brunswick Township Board of
Education, GO, (p), FGIC, 5.63%, 12/01/09 114
215 Stony Brook Regional Sewage Authority,
Rev., 5.00%, 12/01/14 241
35 Summit, New Jersey, School Board
Resource Fund, GO, (p), 5.70%, 06/01/09 40
1,005 Summit, New Jersey, School Board
Resource Fund, GO, (p), 5.70%, 06/01/09 1,143
275 Winslow Township Board of Education,
Winslow School District, GO, FGIC,
5.00%, 08/01/10 305
250 Winslow Township Board of Education,
Winslow School District, GO, FGIC,
5.00%, 08/01/12 279
-------------------------------------------------------------------------------------
46,022
-------------------------------------------------------------------------------------
NEW MEXICO -- 0.3%
185 New Mexico State Highway Commission,
Senior Sub Lien, Ser. D, Rev.,
5.00%, 06/15/12 208
NEW YORK -- 3.5%
530 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/16 628
1,500 Port Authority of New York & New Jersey,
CONS, 93rd Ser., Rev., 6.13%, 06/01/94 1,725
-------------------------------------------------------------------------------------
2,353
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PUERTO RICO -- 17.1%
$ 1,600 Puerto Rico Commonwealth, GO,
5.75%, 07/01/17 $ 1,778
250 Puerto Rico Commonwealth, GO, (p),
5.40%, 07/01/06 271
225 Puerto Rico Commonwealth, GO,
MBIA-IBC, 7.00%, 07/01/10 275
110 Puerto Rico Commonwealth, Public
Improvement, GO, 5.00%, 07/01/06 116
250 Puerto Rico Commonwealth, Public
Improvement, GO, FSA, 5.50%, 07/01/14 292
205 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, FGIC,
5.25%, 07/01/12 234
235 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, MBIA,
5.50%, 07/01/16 275
140 Puerto Rico Electric Power Authority, Rev.,
MBIA, 5.00%, 07/01/19 157
200 Puerto Rico Electric Power Authority,
Ser. NN, Rev., MBIA, 5.25%, 07/01/21 228
230 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA,
5.50%, 07/01/15 269
210 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA,
5.50%, 07/01/16 246
3,000 Puerto Rico Highway & Transportation
Authority, Ser. F, Rev., 5.00%, 07/01/07 3,220
380 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 07/01/13 441
$ 1,200 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 07/01/15 $ 1,401
250 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., 5.50%, 07/01/13 285
150 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., FSA,
5.50%, 07/01/15 175
430 Puerto Rico Highway & Transportation
Authority, Ser. Z, Rev., MBIA,
6.25%, 07/01/14 528
1,000 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. K, Rev.,
FRDO, 4.50%, 07/01/22 1,055
85 Puerto Rico Public Finance Corp.,
Commonwealth Appropriations, Ser. A,
AMBAC, 5.38%, 06/01/17 98
170 University of Puerto Rico, Ser. O, Rev.,
MBIA, 5.75%, 06/01/17 194
-------------------------------------------------------------------------------------
11,538
-------------------------------------------------------------------------------------
Total State and Municipal Obligations 63,448
(Cost $60,429)
-------------------------------------------------------------------------------------
<Caption>
SHARES
- ------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 6.1%
MONEY MARKET FUND -- 6.1%
4,131 JPMorgan Tax Free Money Market Fund (a) 4,131
(Cost $4,131)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 67,579
(COST $64,560)
-------------------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(15) 10 Year Treasury Notes December, 2004 $ (1,685) $ (8)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 96.2%
STATE AND MUNICIPAL OBLIGATIONS -- 96.2%
ARIZONA -- 0.6%
$ 3,670 Arizona Health Facilities Authority,
Catholic Healthcare West, Ser. A, Rev.,
6.13%, 07/01/09 + $ 3,950
CALIFORNIA -- 0.2%
630 Lancaster Financing Authority, Tax
Allocation, Redevelopment Projects,
Project No. 5 & 6, MBIA,
5.00%, 02/01/13 697
490 Lancaster Financing Authority, Tax
Allocation, Redevelopment Projects,
Project No. 5 & 6, MBIA,
5.00%, 02/01/14 542
-------------------------------------------------------------------------------------
1,239
-------------------------------------------------------------------------------------
CONNECTICUT -- 2.0%
10,605 Connecticut State, Residual Certificates,
Ser. 529-Y, GO, Inverse Floater,
9.20%, 12/15/09 13,649
DELAWARE -- 1.7%
3,185 New Castle County, GO,
4.00%, 10/01/07 3,367
7,485 New Castle County, GO,
5.00%, 10/01/10 8,363
-------------------------------------------------------------------------------------
11,730
-------------------------------------------------------------------------------------
FLORIDA -- 0.2%
1,000 Sunrise Excise Tax & Special
Assessment, Utilities Systems, Ser. A,
Rev., AMBAC, 5.50%, 10/01/15 1,150
ILLINOIS -- 0.4%
2,819 Illinois Development Finance Authority,
Riverside Health & Fitness Center
Project, Ser. 1998-C, Rev.,
5.20%, 08/01/28 (i) 3,017
KENTUCKY -- 0.1%
500 Kentucky State Turnpike Authority,
Revitalization Projects, Rev., AMBAC,
6.50%, 07/01/07 559
MARYLAND -- 0.5%
$ 3,265 Howard County, Consolidated Public
Improvement Project, Ser. A, GO,
5.00%, 08/15/08 $ 3,593
MASSACHUSETTS -- 0.2%
1,000 Massachusetts State, Ser. A, GO,
6.00%, 11/01/11 1,171
MICHIGAN -- 0.3%
1,700 Michigan State Hospital Finance
Authority, Ascension Health Credit,
Ser. B, Rev., Adj., 5.30%, 11/15/33 1,818
MISSOURI -- 1.3%
5,955 Kansas City School District Building
Corp., Elementary Schools Project,
Ser. B, Rev., FGIC, 5.00%, 02/01/13 6,625
1,925 St. Louis Municipal Finance Corp.,
Convention Center Project, Rev.,
AMBAC, 5.25%, 07/15/13 2,195
-------------------------------------------------------------------------------------
8,820
-------------------------------------------------------------------------------------
NEBRASKA -- 0.5%
1,365 Lincoln, Nebraska, Highway Allocation
Fund, GO, 5.00%, 11/15/10 1,524
1,810 Lincoln, Nebraska, Highway Allocation
Fund, GO, 5.00%, 11/15/11 2,018
-------------------------------------------------------------------------------------
3,542
-------------------------------------------------------------------------------------
NEW JERSEY -- 3.4%
540 Camden County Improvement Authority,
County Guaranteed Lease, Ser. A, Rev.,
FGIC, 5.25%, 09/01/13 611
750 Gloucester Township Board of
Education, GO, MBIA, 5.00%, 08/01/11 835
500 Gloucester Township Board of
Education, GO, MBIA, 5.00%, 08/01/13 559
1,985 Mercer County Improvement Authority,
Regional Sludge Project, Rev., FGIC,
5.00%, 12/15/08 2,185
3,500 New Jersey Economic Development
Authority, Motor Vehicles, Ser. A, Rev.,
MBIA, 5.25%, 07/01/15 3,924
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- CONTINUED
$ 11,000 New Jersey Economic Development
Authority, Motor Vehicles, Ser. A, Rev.,
MBIA, 5.25%, 07/01/17 $ 12,149
1,025 New Jersey State Educational Facilities
Authority, Higher Education, Capital
Improvement, Ser. B, Rev.,
5.75%, 09/01/10 1,179
1,005 New Jersey State Educational Facilities
Authority, Montclair State University,
Ser. L, Rev., MBIA, 5.00%, 07/01/10 1,116
560 South Orange & Maplewood School
District, GO, FSA, 5.00%, 09/01/15 627
-------------------------------------------------------------------------------------
23,185
-------------------------------------------------------------------------------------
NEW YORK -- 74.9%
1,120 Allegany County IDA, Alfred University,
Civic Facilities, Rev., MBIA,
5.25%, 08/01/11 + 1,242
1,175 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. A, Rev.,
AMBAC, 5.50%, 08/01/15 + 1,331
1,000 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. B, Rev.,
AMBAC, 5.50%, 08/01/15 + 1,133
1,290 Amherst IDA, Civic Facilities, Faculty-
Student Housing Corp., Ser. B, Rev.,
AMBAC, 5.75%, 08/01/15 + 1,482
150 Arkport Central School District, GO,
FSA, 5.20%, 06/15/09 + 168
500 Attica Central School District, GO,
FSA, 5.00%, 06/15/15 + 558
6,695 Babylon IDA, Civic Facilities, Winthrop
S. Nassau University East, Inc. Project,
Ser. A, Rev., AMBAC,
6.63%, 08/01/19 @ + 7,919
100 Battery Park City Authority, New York,
Ser. A, Rev., (p), AMBAC,
5.50%, 11/01/06 + 110
1,040 Beacon City School District, GO, MBIA,
5.50%, 07/15/11 + 1,189
1,025 Beacon City School District, GO, MBIA,
5.50%, 07/15/14 + 1,172
$ 650 Brentwood Union Free School District,
GO, FSA, 5.63%, 06/15/13 + $ 732
150 Bridgewater Leonardsville West
Winfield Central School District, GO,
FGIC, 5.00%, 06/15/06 + 159
1,660 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/13 + 1,914
1,100 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/14 + 1,276
1,660 Brockport Central School District, GO,
FGIC, 5.50%, 06/15/15 + 1,938
685 Brockport Central School District, GO,
FGIC, 5.75%, 06/15/17 + 819
450 Bronxville Union Free School District,
GO, 5.25%, 10/15/10 505
145 Brookhaven, New York, GO, MBIA,
5.00%, 08/15/14 162
1,790 Brookhaven, New York, GO, MBIA,
5.00%, 08/15/15 1,996
835 Brookhaven, New York, GO, MBIA,
5.00%, 08/15/16 929
1,000 Brookhaven, New York, Public
Improvement, GO, AMBAC,
5.30%, 11/15/11 1,125
1,000 Buffalo, New York, Fiscal Stability
Authority Sales Tax & State Aid, Ser. A,
Rev., 5.00%, 08/15/06 1,063
345 Buffalo, New York, School, Ser. B, GO,
MBIA, 5.38%, 11/15/14 389
590 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.40%, 07/15/16 659
305 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.50%, 07/15/17 342
375 Burnt Hills-Ballston Lake Central School
District, GO, FGIC, 5.50%, 07/15/18 420
250 Byram Hills Central School District, GO,
4.00%, 11/15/06 262
205 Byram Hills Central School District, GO,
4.00%, 11/15/07 216
100 Byram Hills Central School District, GO,
4.00%, 11/15/08 106
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,000 Canandaigua City School District,
Ser. A, GO, FSA, 5.38%, 04/01/15 $ 1,130
100 Carthage Central School District,
Ser. A, GO, FGIC, 4.40%, 06/15/15 109
250 Chenango Forks Central School District,
GO, FGIC, 5.63%, 06/15/11 287
850 Chenango Forks Central School District,
GO, FGIC, 5.70%, 06/15/12 977
290 Clarkstown Central School District, GO,
FSA, 4.00%, 04/15/07 304
255 Clarkstown Central School District, GO,
FSA, 4.00%, 04/15/08 269
545 Clarkstown Central School District, GO,
FSA, 4.50%, 04/15/10 590
415 Clarkstown Central School District, GO,
FSA, 4.75%, 04/15/11 455
585 Clarkstown Central School District, GO,
FSA, 5.00%, 04/15/12 652
605 Clarkstown Central School District, GO,
FSA, 5.00%, 04/15/13 674
630 Clarkstown Central School District, GO,
FSA, 5.00%, 04/15/14 704
255 Clarkstown Central School District, GO,
FSA, 5.25%, 04/15/15 288
1,500 Cleveland Hill Union Free School
District, Cheektowaga, GO, FGIC,
5.50%, 10/15/13 1,687
1,655 Cleveland Hill Union Free School
District, Cheektowaga, GO, FGIC,
5.50%, 10/15/14 1,857
120 East Rochester Union Free School
District, GO, FSA, 5.70%, 06/15/14 138
2,250 Eastport-South Manor Central School
District, GO, FGIC, 4.50%, 06/15/07 2,408
2,300 Eastport-South Manor Central School
District, GO, FGIC, 4.50%, 06/15/08 2,492
2,200 Eastport-South Manor Central School
District, GO, FGIC, 4.63%, 06/15/09 2,404
100 Eastport-South Manor Central School
District, GO, FGIC, 4.63%, 06/15/11 111
1,130 Erie County Water Authority,
Improvement & Extension, Rev.,
5.75%, 12/01/08 1,214
$ 285 Fayetteville-Manlius Central School
District, GO, FGIC, 5.00%, 06/15/12 $ 318
300 Gananda Central School District, GO,
FSA, 4.70%, 06/15/11 330
1,050 Goshen Central School District, GO,
FGIC, 5.00%, 06/15/16 1,178
1,050 Goshen Central School District, GO,
FGIC, 5.00%, 06/15/17 1,176
1,000 Goshen Central School District, GO,
FGIC, 5.00%, 06/15/19 1,113
690 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/08 754
1,480 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/09 1,633
1,545 Harborfields Central School District,
Greenlawn, GO, FSA, 5.00%, 06/01/10 1,716
1,000 Ilion Central School District, Ser. B, GO,
FGIC, 5.00%, 06/15/14 1,108
70 Irvington Union Free School District,
GO, FSA, 5.00%, 04/01/12 77
1,070 Lindenhurst Union Free School District,
GO, (p), FGIC, 5.25%, 07/15/12 1,186
1,460 Lindenhurst Union Free School District,
GO, (p), FGIC, 5.25%, 07/15/17 1,587
1,295 Lindenhurst Union Free School District,
GO, FGIC, 5.25%, 07/15/16 1,417
300 Long Island Power Authority, Electric
Systems, Rev., MBIA, 5.00%, 04/01/07 322
5,250 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA,
5.50%, 12/01/12 6,094
1,875 Long Island Power Authority, Electric
Systems, Ser. A, Rev., (p), FSA,
5.50%, 12/01/13 2,188
2,800 Long Island Power Authority, Electric
Systems, Ser. A, Rev., AMBAC,
5.50%, 12/01/08 3,124
110 Longwood Central School District at
Middle Island, GO, FSA,
4.80%, 06/15/13 122
525 Mahopac Central School District, Ser. B,
GO, MBIA, 5.60%, 06/15/14 591
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 280 Mahopac Central School District,
Ser. B, GO, MBIA, 5.60%, 06/15/15 $ 315
1,090 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.38%, 06/15/09 1,228
2,180 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.38%, 06/15/12 2,496
2,485 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.40%, 06/15/13 2,849
3,135 Massapequa Union Free School District,
Ser. A, GO, FSA, 5.70%, 06/15/16 3,644
60 Metropolitan Transportation Authority,
Commuter Facilites, Ser. E, Rev., (p),
AMBAC, 5.00%, 07/01/13 68
340 Metropolitan Transportation Authority,
Commuter Facilities, Ser. A, Rev., (p),
FGIC, 6.10%, 07/01/06 374
100 Metropolitan Transportation Authority,
Commuter Facilities, Ser. A, Rev., (p),
FSA, 5.00%, 07/01/11 112
100 Metropolitan Transportation Authority,
Commuter Facilities, Service Contract,
Ser. Q, Rev., (p), AMBAC,
5.13%, 07/01/13 114
250 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev., (p),
FGIC, 6.00%, 04/01/10 292
5,400 Metropolitan Transportation Authority,
Dedicated Tax Fund, Ser. A, Rev., (p),
MBIA, 6.25%, 04/01/11 6,448
11,920 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev.,
5.75%, 07/01/16 13,940
2,330 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev.,
5.75%, 07/01/18 2,727
4,750 Metropolitan Transportation Authority,
Service Contract, Ser. A, Rev., FSA,
5.75%, 01/01/18 5,634
100 Metropolitan Transportation Authority,
Transportation Facilities, Ser. A,
Rev., (p), 6.00%, 07/01/09 116
$ 100 Metropolitan Transportation Authority,
Transportation Facilities, Ser. A,
Rev., (p), 6.13%, 07/01/09 $ 116
100 Metropolitan Transportation Authority,
Transportation Facilities, Ser. B-1,
Rev., (p), AMBAC, 5.00%, 01/01/12 112
100 Metropolitan Transportation Authority,
Transportation Facilities, Ser. B-1,
Rev., (p), AMBAC, 5.00%, 01/01/12 112
510 Metropolitan Transportation Authority,
Transportation Facilities, Ser. C,
Rev., (p), FSA, 5.25%, 07/01/10 568
300 Metropolitan Transportation Authority,
Transportation Facilities, Ser. M,
Rev., (p), FGIC, 5.40%, 07/01/07 328
100 Mexico Central School District, GO,
MBIA, 4.20%, 06/15/07 106
170 Millbrook Central School District, GO,
FSA, 4.00%, 11/15/06 178
205 Millbrook Central School District, GO,
FSA, 4.00%, 11/15/07 217
65 Monroe County, Public Improvement,
GO, AMBAC, 5.88%, 06/01/08 73
1,030 Monroe County, Public Improvement,
GO, FGIC, 5.00%, 03/01/15 1,119
100 Monroe County, Public Improvement,
GO, FGIC, 5.00%, 03/01/16 108
335 Monroe County, Public Improvement,
GO, MBIA-IBC, 6.00%, 03/01/15 401
1,000 Monroe County, Public Improvement,
GO, MBIA-IBC, 6.00%, 03/01/18 1,214
1,000 Monroe County, Public Improvement,
GO, MBIA-IBC, 6.00%, 03/01/19 1,209
1,065 Monroe County, Public Improvement,
Ser. P, GO, (p), AMBAC, 5.88%, 06/01/08 1,205
645 Monroe Woodbury Central School
District, GO, FSA, 5.00%, 04/15/13 721
280 Monroe Woodbury Central School
District, GO, FSA, 5.00%, 04/15/14 313
735 Monroe Woodbury Central School
District, Ser. A, GO, FGIC,
4.50%, 05/15/10 797
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,615 Monroe Woodbury Central School
District, Ser. A, GO, FGIC,
5.00%, 05/15/13 $ 1,806
1,005 Monroe Woodbury Central School
District, Ser. A, GO, FGIC,
5.00%, 05/15/14 1,123
365 Municipal Assistance Corporation for
the City of New York, Ser. G, Rev.,
6.00%, 07/01/07 404
6,500 Municipal Assistance Corporation for
the City of New York, Ser. G, Rev.,
6.00%, 07/01/08 7,265
160 Municipal Assistance Corporation for
the City of New York, Ser. I, Rev.,
6.25%, 07/01/07 178
140 Municipal Assistance Corporation for
the City of New York, Ser. M, Rev.,
5.25%, 07/01/06 149
1,900 Municipal Assistance Corporation for
the City of New York, Ser. O, Rev.,
5.25%, 07/01/08 2,096
215 Nassau County IDA, Civic Facilities,
Hofstra University Project, Rev., MBIA,
5.25%, 07/01/14 245
450 New Rochelle City School District,
Ser. A, GO, FSA, 5.00%, 12/15/10 501
3,605 New York City IDA, Civic Facilities,
Nightingale-Bamford School, Rev.,
AMBAC, 5.00%, 01/15/10 3,980
3,000 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. A, Rev., FGIC, 5.75%, 06/15/31 3,260
5,500 New York City Municipal Water Finance
Authority, Water & Sewer System,
Ser. B, Rev., MBIA, 5.80%, 06/15/29 6,080
1,000 New York City Transit Authority,
Metropolitan Transportation Authority,
Triborough, COP, Ser. A, AMBAC,
5.63%, 01/01/12 1,126
2,130 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., 5.00%, 05/01/07 2,301
$ 1,405 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., 5.00%, 08/01/08 $ 1,537
10,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., 5.00%, 08/15/14 10,946
105 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.00%, 08/15/07 115
140 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.13%, 08/15/07 154
1,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 5.75%, 08/15/09 1,157
2,100 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), 6.00%, 08/15/09 2,453
1,635 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., (p), FGIC, 6.00%, 08/15/09 1,910
475 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., 5.50%, 02/01/13 538
695 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., 6.13%, 11/15/14 811
3,380 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., (p), 5.50%, 02/01/11 3,902
500 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., (p), 6.00%, 05/15/10 590
3,305 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., (p), 6.13%, 05/15/10 3,922
3,500 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., Adj., 5.25%, 02/01/29 3,868
2,500 New York City Transitional Finance
Authority, Future Tax Secured, Ser. B,
Rev., FSA, 6.00%, 11/15/10 2,920
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 100 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., (p), 4.75%, 05/01/08 $ 110
1,215 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., TRAN, 5.50%, 02/01/11 1,379
170 New York City Transitional Finance
Authority, Ser. A, Rev., (p), FGIC,
5.00%, 08/15/07 186
2,000 New York City Trust for Cultural
Resources, Educational Broadcasting
Corp., Ser. 1999, Rev.,
2.68%, 01/01/08 (i) 1,990
1,000 New York City, New York, Ser. E, GO,
MBIA-IBC, 5.75%, 08/01/11 1,153
670 New York City, New York, Capital
Appreciation, Ser. E, GO, (p),
6.35%, 05/15/08 773
290 New York City, New York, Ser. A, GO, (p),
6.00%, 05/15/10 342
295 New York City, New York, Ser. A, GO, (p),
MBIA, 6.00%, 05/15/10 348
4,000 New York City, New York, Ser. B, GO,
FGIC, 5.75%, 08/01/13 4,681
470 New York City, New York, Ser. C, GO, (p),
5.25%, 03/15/12 534
160 New York City, New York, Ser. D, GO,
FGIC, 5.75%, 08/01/09 181
100 New York City, New York, Ser. D, GO,
MBIA, 6.20%, 02/01/07 109
325 New York City, New York, Ser. F, GO, (p),
5.75%, 02/01/06 349
160 New York City, New York, Ser. F, GO, (p),
5.75%, 02/01/06 172
205 New York City, New York, Ser. I, GO,
5.00%, 08/01/10 224
3,000 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 3,123
1,475 New York Local Government Assistance
Corp., Senior Lien, Ser. AA, Rev.,
5.00%, 04/01/12 1,634
$ 2,000 New York Local Government Assistance
Corp., Ser. E, Rev., FSA,
6.00%, 04/01/14 $ 2,367
1,680 New York Mortgage Agency, Home
Owner Mortgage, Ser. 94, Rev.,
5.35%, 04/01/23 1,778
440 New York Municipal Bond Bank Agency,
Special Program, Ser. A, Rev.,
6.88%, 03/15/06 441
190 New York State Dormitory Authority,
State University Educational Facilities,
Ser. B, GO, (p), FSA, 5.50%, 05/15/08 214
370 New York State Dormitory Authority,
Barnard College, Rev., AMBAC,
4.00%, 07/01/08 392
205 New York State Dormitory Authority,
Barnard College, Rev., AMBAC,
4.00%, 07/01/09 218
440 New York State Dormitory Authority,
Barnard College, Rev., AMBAC,
4.50%, 07/01/10 478
515 New York State Dormitory Authority,
Canisius College, Rev., 4.00%, 07/01/08 540
570 New York State Dormitory Authority,
Canisius College, Rev., 4.50%, 07/01/10 609
645 New York State Dormitory Authority,
Canisius College, Rev., 5.00%, 07/01/11 708
115 New York State Dormitory Authority,
Canisius College, Rev., MBIA,
4.95%, 07/01/14 126
1,520 New York State Dormitory Authority,
Child Care Facilities, Service Contract,
Ser. A, Rev., 5.38%, 04/01/13 1,695
100 New York State Dormitory Authority,
City University System, CONS, Ser. 1,
Rev., (p), FSA, 5.63%, 01/01/08 113
140 New York State Dormitory Authority,
City University System, CONS, Ser. 1,
Rev., MBIA, (p), 5.13%, 01/01/08 156
3,565 New York State Dormitory Authority,
City University System, CONS, Ser. A,
Rev., FSA, 5.75%, 07/01/13 4,186
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 3,415 New York State Dormitory Authority,
City University System, CONS, Ser. B,
Rev., 6.00%, 07/01/14 $ 3,955
445 New York State Dormitory Authority,
City University, 3rd Ser., Rev., (p),
6.00%, 07/01/06 481
2,000 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/12 2,262
1,545 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/13 1,736
2,880 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/14 3,214
345 New York State Dormitory Authority,
Columbia University, Ser. A, Rev.,
5.25%, 07/01/16 381
3,370 New York State Dormitory Authority,
Concord Nursing Home, Inc., Rev.,
6.25%, 07/01/16 3,709
110 New York State Dormitory Authority,
Department of Health, Rev., (p),
5.75%, 07/01/06 120
470 New York State Dormitory Authority,
FHA Insured Nursing Home, Ser. A,
Rev., MBIA, 5.50%, 08/01/20 515
100 New York State Dormitory Authority,
Good Samaritan Hospital, Rev., (p),
5.50%, 07/01/11 115
100 New York State Dormitory Authority,
Long Island University, Rev.,
5.00%, 09/01/12 108
1,895 New York State Dormitory Authority,
Manhattan College, Rev.,
5.50%, 07/01/09 2,112
1,770 New York State Dormitory Authority,
Manhattan College, Rev.,
5.50%, 07/01/10 1,986
1,295 New York State Dormitory Authority,
Master Boces Program, Ser. A, Rev.,
FSA, 5.00%, 08/15/11 1,445
$ 1,000 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer
Center, Rev., MBIA, 5.50%, 07/01/09 $ 1,127
1,000 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer
Center, Rev., MBIA, 5.50%, 07/01/23 1,147
370 New York State Dormitory Authority,
Memorial Sloan Kettering Cancer
Center, Rev., MBIA, 5.75%, 07/01/19 441
2,340 New York State Dormitory Authority,
Mental Health Services Facilities
Improvement, Ser. B, Rev.,
6.00%, 08/15/16 2,783
250 New York State Dormitory Authority,
Mental Health Services Facilities
Improvement, Ser. B, Rev., MBIA,
5.60%, 08/15/13 277
250 New York State Dormitory Authority,
Mental Health, Ser. A, Rev., (p), MBIA,
5.75%, 02/15/10 288
500 New York State Dormitory Authority,
New York University, Ser. 1, Rev.,
AMBAC, 5.50%, 07/01/14 580
1,455 New York State Dormitory Authority,
New York University, Ser. 1, Rev.,
AMBAC, 5.50%, 07/01/18 1,695
2,900 New York State Dormitory Authority,
New York University, Ser. 1, Rev.,
AMBAC, 5.50%, 07/01/23 3,326
1,570 New York State Dormitory Authority,
New York University, Ser. 1, Rev.,
AMBAC, 5.50%, 07/01/24 1,795
2,280 New York State Dormitory Authority,
New York University, Ser. 1, Rev.,
AMBAC, 5.50%, 07/01/25 2,590
8,360 New York State Dormitory Authority,
New York University, Ser. A, Rev.,
AMBAC, 5.75%, 07/01/13 9,816
1,750 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/09 1,997
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 1,000 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/15 $ 1,181
3,500 New York State Dormitory Authority,
New York University, Ser. A, Rev., MBIA,
5.75%, 07/01/16 4,144
2,530 New York State Dormitory Authority,
North Shore University Hospital, Rev.,
MBIA, 5.50%, 11/01/10 2,885
3,450 New York State Dormitory Authority,
Pratt Institute, Rev., 6.25%, 07/01/14 3,972
750 New York State Dormitory Authority,
School Districts Financing Program,
Ser. A, Rev., MBIA, 5.25%, 10/01/09 839
3,855 New York State Dormitory Authority,
School Districts Financing Program,
Ser. A, Rev., MBIA, 5.25%, 10/01/10 4,336
1,960 New York State Dormitory Authority,
School Districts Financing Program,
Ser. C, Rev., MBIA, 5.50%, 10/01/12 2,257
775 New York State Dormitory Authority,
School Districts Financing Program,
Ser. E, Rev., MBIA, 5.00%, 10/01/12 865
1,270 New York State Dormitory Authority,
School Districts Financing Program,
Ser. F, Rev., MBIA, 6.50%, 10/01/20 1,623
1,550 New York State Dormitory Authority,
Ser. C, Rev., 7.38%, 05/15/10 1,799
225 New York State Dormitory Authority,
Ser. C, Rev., (p), 7.38%, 05/15/09 272
1,345 New York State Dormitory Authority,
Service Contract, Child Care Facility,
Rev., 5.13%, 04/01/12 1,492
605 New York State Dormitory Authority,
Special Act School Districts Program,
Rev., MBIA, 5.30%, 07/01/11 675
340 New York State Dormitory Authority,
State Service Contract, Albany County,
Rev., 5.50%, 04/01/08 374
205 New York State Dormitory Authority,
State University Dormitory Facilities,
Rev., (p), 5.00%, 07/01/12 231
$ 415 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., 6.50%, 05/15/06 $ 447
6,725 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., FGIC, 5.50%, 05/15/13 7,756
1,050 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., MBIA-IBC, 5.25%, 05/15/21 1,181
800 New York State Dormitory Authority,
State University Educational Facilities,
Ser. A, Rev., MBIA-IBC, 5.50%, 05/15/10 907
415 New York State Dormitory Authority,
State University Educational Facilities,
Ser. I, Rev., (p), 5.13%, 05/15/08 462
21,847 New York State Dormitory Authority,
State University of New York, Stoney
Brook University, Rev.,
3.92%, 03/27/07 (i) 22,069
3,463 New York State Dormitory Authority,
State University of New York, University
at Buffalo, 2.60%, 01/01/07 (i) 3,477
10,000 New York State Dormitory Authority,
The City University of New York, CONS,
Rev., AMBAC, 5.75%, 07/01/13 11,740
1,025 New York State Dormitory Authority,
The City University of New York,
Special Obligation, Ser. D, MBIA-IBC,
5.75%, 07/01/06 1,100
5,000 New York State Energy Research &
Development Authority, PCR,
New York State Electric & Gas Corp.,
Ser. E, Rev., MBIA, 5.90%, 12/01/06 5,438
470 New York State Environmental Facilities
Corp., Clean Water & Drinking, New York
City Municipal Water Project, Revolving
Funds, Ser. K, Rev., 5.50%, 06/15/15 547
2,000 New York State Environmental Facilities
Corp., Clean Water & Drinking, Revolving
Funds, New York City Municipal Project,
Rev., 5.38%, 06/15/15 2,229
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 2,205 New York State Environmental Facilities
Corp., Clean Water & Drinking, Revolving
Funds, Second Resolution, Rev.,
5.00%, 06/15/13 $ 2,472
3,125 New York State Environmental Facilities
Corp., Clean Water & Drinking, Revolving
Funds, Second Resolution, Rev.,
5.00%, 06/15/14 3,473
460 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., 5.75%, 06/15/11 535
700 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., 5.75%, 06/15/12 820
1,590 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/11 1,859
2,950 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/11 3,448
1,000 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/12 1,177
4,100 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Rev., (p), 5.75%, 06/15/12 4,827
425 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. B, Rev., 5.20%, 05/15/14 483
100 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. B, Rev., (p), 4.95%, 05/15/07 108
300 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. E, Rev., MBIA, 6.00%, 06/15/11 353
5,315 New York State Environmental Facilities
Corp., PCR, State Water Revolving Fund,
Ser. E, Rev., MBIA, 6.00%, 06/15/12 6,314
1,000 New York State Environmental Facilities
Corp., Solid Waste Disposal, Waste
Management Project, Ser. A, Rev.,
Adj., 2.90%, 05/01/12 1,001
$ 2,125 New York State Environmental Facilities
Corp., Solid Waste Disposal, Waste
Management, Inc. Project, Ser. A,
Rev., 4.45%, 07/01/17 $ 2,165
4,650 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. B, Rev., 5.70%, 07/15/14 5,294
460 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. B, Rev., (p), 5.70%, 07/15/09 530
1,800 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. D, Rev., 5.50%, 06/15/13 2,069
3,220 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. L, Rev., 5.00%, 11/15/11 3,606
145 New York State Housing Finance Agency,
Multi-Family Mortgage Housing, Ser. A,
Rev., 6.95%, 08/15/12 146
440 New York State Medical Care Facilities
Finance Agency, Hospital and Nursing
Home, Insured Mortgage, Ser. C,
Rev., (p), 5.75%, 02/15/08 492
865 New York State Thruway Authority,
Highway & Bridge Trust Fund, Ser. B-1,
Rev., (p), FGIC, 5.60%, 04/01/10 1,000
2,550 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., 6.00%, 04/01/11 2,816
3,765 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., (p), 6.00%, 04/01/07 4,223
170 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., (p), AMBAC, 5.75%, 04/01/10 198
585 New York State Thruway Authority, Local
Highway & Bridge, Service Contract,
Rev., MBIA, 5.50%, 04/01/10 661
1,450 New York State Urban Development
Corp., Correctional & Youth Facilities
Services, Ser. A, Rev., 5.50%, 01/01/17 1,618
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 260 New York State Urban Development
Corp., Correctional & Youth Facilities,
Ser. A, Rev., 4.00%, 01/01/28 $ 270
350 New York State Urban Development
Corp., Correctional Capital Facilities,
Ser. 7, Rev., (p), 5.70%, 01/01/07 387
3,045 New York State Urban Development
Corp., Correctional Capital Facilities,
Ser. A, Rev., FSA, 5.25%, 01/01/14 3,449
120 New York State Urban Development
Corp., Correctional Capital Facilities,
Ser. A, Rev., FSA, 5.50%, 01/01/08 132
310 New York State Urban Development
Corp., Correctional Facilities Service
Contract, Ser. B, Rev., (p), AMBAC,
4.75%, 01/01/09 341
170 New York State Urban Development
Corp., Correctional Facilities Service
Contract, Ser. B, Rev., (p), AMBAC,
5.25%, 01/01/09 190
100 New York State Urban Development
Corp., Correctional Facilities Service
Contract, Ser. D, Rev., (p), FSA,
5.25%, 01/01/11 113
145 New York State Urban Development
Corp., Correctional Facilities, Ser. A,
Rev., (p), 5.00%, 01/01/08 161
115 New York State Urban Development
Corp., Correctional Facilities, Ser. A,
Rev., (p), FSA, 5.00%, 01/01/08 127
270 New York State Urban Development
Corp., Correctional Facilities, Ser. B,
Rev., (p), 5.00%, 01/01/09 300
110 New York State Urban Development
Corp., Correctional Facilities, Ser. B,
Rev., (p), 5.00%, 01/01/09 122
145 New York State Urban Development
Corp., Correctional Facilitities Service
Contract, Ser. C, Rev., (p), AMBAC,
6.00%, 01/01/09 167
375 New York State Urban Development
Corp., Facilities, Rev., 5.75%, 04/01/11 426
$ 250 New York State Urban Development
Corp., Personal Income Tax, Ser. C-1,
Rev., 5.00%, 03/15/09 $ 274
1,000 New York State Urban Development
Corp., State Facilities, Rev.,
5.60%, 04/01/15 1,147
45 New York State Urban Development
Corp., Youth Facilities Services Contract,
Ser. B, Rev., 5.88%, 04/01/14 52
115 New York State Urban Development
Corp., Youth Facilities, Ser. A, Rev., (p),
5.00%, 04/01/08 127
3,000 New York State, GO, 6.00%, 03/01/07 3,277
1,940 Niagara Falls Bridge Commission, Tolls,
Ser. B, Rev., FGIC, 5.25%, 10/01/15 2,211
1,010 Oneida County, GO, FGIC,
5.50%, 03/15/11 1,152
1,000 Oneida-Herkimer Solid Waste
Management Authority, Solid Waste
Systems, Rev., FSA, 5.50%, 04/01/11 1,140
1,230 Onondaga County, GO, 5.25%, 05/15/13 1,410
1,280 Onondaga County, GO, 5.25%, 05/15/14 1,473
1,335 Onondaga County, GO, 5.25%, 05/15/15 1,528
785 Onondaga County, GO, 5.25%, 05/15/16 900
700 Onondaga County, Ser. A, GO,
5.00%, 05/01/12 779
445 Onondaga County, Ser. A, GO,
5.25%, 05/15/13 496
445 Onondaga County, Ser. A, GO,
5.25%, 05/15/14 496
515 Onondaga County, Ser. A, GO,
5.25%, 05/15/15 572
160 Onondaga County, Ser. A, GO,
5.25%, 05/15/16 176
100 Peru Central School District, GO, FGIC,
4.63%, 06/15/18 110
550 Phelps-Clifton Springs Central School
District, Ser. B, GO, MBIA, 4.00%,
06/15/10 582
4,395 Port Authority of New York & New Jersey,
120th Ser., Rev., MBIA, 5.75%, 10/15/07 4,829
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW YORK -- CONTINUED
$ 775 Red Creek Central School District, GO,
FSA, 5.50%, 06/15/14 $ 888
360 Rockland County, Various Purposes,
Ser. A, GO, 4.50%, 10/01/09 388
195 Rondout Valley Central School District,
GO, FSA, 5.13%, 03/01/17 220
865 Rondout Valley Central School District,
GO, FSA, 5.25%, 03/01/18 983
930 Rondout Valley Central School District,
GO, FSA, 5.25%, 03/01/19 1,057
1,050 Scotia Glenville Central School District,
GO, FGIC, 5.40%, 06/15/12 1,193
1,050 Scotia Glenville Central School District,
GO, FGIC, 5.50%, 06/15/13 1,198
1,025 Scotia Glenville Central School District,
GO, FGIC, 5.50%, 06/15/14 1,169
275 Shenendehowa Central School District,
Clifton Park, GO, FSA, 5.50%, 07/15/11 318
500 Stillwater Central School District, GO,
MBIA, 5.20%, 06/15/11 559
1,250 Suffolk County Water Authority,
Waterworks, Sub Lien, Rev., MBIA,
6.00%, 06/01/09 1,433
1,550 Suffolk County, Public Improvement,
Ser. C, GO, MBIA, 5.25%, 07/15/13 1,742
1,215 Suffolk County, Public Improvement,
Ser. C, GO, MBIA, 5.25%, 07/15/14 1,355
3,225 Suffolk County, Southwest Sewer
District, GO, MBIA, 6.00%, 02/01/08 3,602
500 The New York Power Authority, General
Purpose, Rev., (p), 7.00%, 01/01/10 605
100 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. A, Rev., (p),
4.75%, 01/01/16 108
100 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. A, Rev., (p),
6.00%, 01/01/11 117
1,000 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. B, Rev., (p),
5.75%, 01/01/12 1,168
7,770 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. SR, Rev., (p),
5.50%, 01/01/12 8,644
$ 9,125 Triborough Bridge & Tunnel Authority,
General Purpose, Ser. Y, Rev., (p),
6.00%, 01/01/12 $ 10,565
1,480 Unadilla ETC Central School District,
GO, FGIC, 4.50%, 06/15/07 1,576
1,000 Unadilla ETC Central School District,
GO, FGIC, 4.50%, 06/15/08 1,075
1,980 Unadilla ETC Central School District,
GO, FGIC, 4.50%, 06/15/09 2,142
565 Warwick Valley Central School District,
GO, FSA, 5.50%, 01/15/14 633
600 Watertown City School District, GO,
FSA, 5.63%, 06/15/16 688
1,365 Watertown City School District, GO,
FSA, 5.63%, 06/15/17 1,565
1,245 Watertown City School District, GO,
FSA, 5.63%, 06/15/18 1,427
2,870 Westchester County Healthcare Corp.,
Sub Ser. B, Rev., 5.20%, 11/01/16 3,135
8,115 Westchester County Healthcare Corp.,
Sub Ser. B, Rev., 5.25%, 11/01/12 9,023
1,700 Westchester County IDA, Civic Facilities,
Children's Village Project, Ser. A, Rev.,
5.30%, 03/15/14 1,840
1,150 Westchester County, GO, (p),
6.70%, 11/01/06 1,270
1,705 William Floyd Union Free School District
of the Mastics-Moriches-Shirley, Ser. B,
GO, MBIA, 4.63%, 06/15/08 1,841
1,000 Windsor Central School District, GO,
FGIC, 5.50%, 06/15/13 1,141
1,170 Windsor Central School District, GO,
FGIC, 5.50%, 06/15/14 1,335
650 Windsor Central School District, GO,
FGIC, 5.50%, 06/15/15 742
-------------------------------------------------------------------------------------
503,648
-------------------------------------------------------------------------------------
PENNSYLVANIA -- 0.1%
850 Upper Merion Area School District,
Ser. 2004, GO, FSA, 5.35%, 09/01/13 974
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
PUERTO RICO -- 9.0%
$ 2,460 Puerto Rico Commonwealth, GO, FSA,
6.00%, 07/01/13 $ 2,941
1,120 Puerto Rico Commonwealth, Public
Improvement, GO, FSA, 5.50%, 07/01/12 1,296
175 Puerto Rico Commonwealth, Public
Improvement, GO, MBIA,
5.75%, 07/01/07 193
4,000 Puerto Rico Commonwealth, Public
Improvement, GO, MBIA,
5.75%, 07/01/20 4,595
210 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO,
5.50%, 07/01/18 239
1,000 Puerto Rico Commonwealth, Public
Improvement, Ser. A, GO, MBIA,
5.50%, 07/01/14 1,167
2,695 Puerto Rico Electric Power Authority,
Rev., MBIA, 5.00%, 07/01/18 3,021
535 Puerto Rico Electric Power Authority,
Rev., MBIA, 5.00%, 07/01/20 596
1,270 Puerto Rico Electric Power Authority,
Ser. HH, Rev., FSA, 5.50%, 07/01/10 1,447
1,495 Puerto Rico Electric Power Authority,
Ser. JJ, Rev., 5.38%, 07/01/16 1,723
210 Puerto Rico Electric Power Authority,
Ser. JJ, Rev., MBIA, 5.25%, 07/01/15 241
475 Puerto Rico Electric Power Authority,
Ser. KK, Rev., FSA, 5.25%, 07/01/13 542
625 Puerto Rico Highway & Transportation
Authority, Rev., 5.00%, 07/01/06 658
7,165 Puerto Rico Highway & Transportation
Authority, Rev., 5.00%, 07/01/07 7,693
685 Puerto Rico Highway & Transportation
Authority, Ser. AA, Rev., 5.50%, 07/01/16 801
600 Puerto Rico Highway & Transportation
Authority, Ser. E, Rev., FSA,
5.50%, 07/01/13 697
8,430 Puerto Rico Highway & Transportation
Authority, Ser. F, Rev., 5.00%, 07/01/07 9,052
1,500 Puerto Rico Highway & Transportation
Authority, Ser. W, Rev., MBIA-IBC,
5.50%, 07/01/15 1,752
$ 1,000 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., MBIA-IBC,
5.50%, 07/01/13 $ 1,162
1,050 Puerto Rico Highway & Transportation
Authority, Ser. X, Rev., MBIA-IBC,
5.50%, 07/01/15 1,226
1,105 Puerto Rico Highway & Transportation
Authority, Ser. Z, Rev., 6.25%, 07/01/16 1,366
1,400 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 6.00%, 08/01/15 1,620
4,725 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.00%, 07/01/07 5,074
4,500 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.25%, 07/01/08 4,930
1,470 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. C, Rev.,
5.50%, 07/01/12 1,671
2,900 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. K, Rev.,
FRDO, 4.50%, 07/01/22 3,059
1,345 Puerto Rico Public Buildings Authority,
Rev., MBIA-IBC, 5.50%, 07/01/15 1,571
-------------------------------------------------------------------------------------
60,333
-------------------------------------------------------------------------------------
VIRGIN ISLANDS -- 0.7%
4,000 Virgin Islands Public Finance Authority,
Gross Receipts, Tax Loan Notes, Ser. A,
Rev., 6.38%, 10/01/19 4,516
VIRGINIA -- 0.1%
740 Virginia Resources Authority,
Infrastructure, Pooled Loan Bond Project,
Ser. B, Rev., 5.00%, 11/01/12 830
-------------------------------------------------------------------------------------
Total State and Municipal Obligations 647,724
(Cost $611,269)
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 3.8%
MUNICIPAL SECURITY -- 0.2%
NEW YORK -- 0.2%
$ 1,050 New York State Dormitory Authority,
Lenox Hill Hospital Obligation Group,
Rev., 5.00%, 07/01/05 $ 1,079
(Cost $1,057)
<Caption>
SHARES ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 3.6%
24,163 JPMorgan Tax Free Money Market
Fund (a) $ 24,163
(Cost $24,163)
Total Short-Term Investments 25,242
(Cost $25,220)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 672,966
(COST $636,489)
-------------------------------------------------------------------------------------
</Table>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(133) 5 Year Treasury Notes December, 2004 $ (14,719) $ (58)
(87) 10 Year Treasury Notes December, 2004 (9,771) (66)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
JPMORGAN TAX FREE INCOME FUND
PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 90.3%
STATE AND MUNICIPAL OBLIGATIONS -- 90.3%
ARIZONA -- 3.5%
$ 2,290 Arizona School Facilities Board,
State School Trust, Ser. A, Rev.,
AMBAC, 5.25%, 07/01/11 + $ 2,576
4,280 Arizona School Facilities Board,
State School Trust, Ser. A, Rev.,
AMBAC, 5.25%, 07/01/12 + 4,827
4,360 Arizona School Facilities Board,
State School Trust, Ser. A, Rev.,
AMBAC, 5.75%, 07/01/17 + 5,117
2,375 Arizona School Facilities Board,
State School Trust, Ser. A, Rev.,
AMBAC, 5.75%, 07/01/18 + 2,766
2,450 Arizona State Transportation Board,
Highway, Sub Ser. A, Rev., 5.25%,
07/01/12 + 2,778
5,000 Arizona State Transportation Board,
Ser. A, Rev., GAN, 5.00%, 07/01/13 + 5,563
-------------------------------------------------------------------------------------
23,627
-------------------------------------------------------------------------------------
CALIFORNIA -- 12.4%
6,000 California Infrastructure & Economic
Development Bank, State Revolving
Fund, Clean Water, Rev., 5.00%,
10/01/15 + 6,577
5,750 California State Department of Water
Resources, Power Supply, Ser. A, Rev.,
MBIA, 5.13%, 05/01/18 6,232
3,500 California State, Economic Recovery,
Ser. A, GO, FGIC, 5.25%, 07/01/14 3,973
20,000 California State, Economic Recovery,
Ser. A, GO, MBIA, 5.00%, 07/01/15 22,084
750 California State, GO, MBIA-IBC, 6.50%,
11/01/09 885
5,605 California State, Various Purposes, GO,
5.13%, 11/01/11 6,234
750 California State, Veterans Bonds,
Ser. AM, GO, 9.00%, 10/01/05 + 807
350 Chico Public Financing Authority,
Merged Redevelopment Project Area,
Tax Allocation, Rev., MBIA, 5.00%,
04/01/19 372
430 Chino Valley Unified School District,
COP, Ser. A, GO, FSA, 5.38%, 08/01/18 479
$ 1,000 Fullerton University Foundation,
Auxiliary Organization, Ser. A, Rev.,
MBIA, 5.75%, 07/01/30 $ 1,087
250 Los Angeles Department of Water &
Power, Waterworks, Ser. C, Rev., MBIA,
5.25%, 07/01/17 279
3,970 Los Angeles Harbor Department,
Rev., (p), 7.60%, 10/01/08 5,059
1,465 Orange County Development Agency,
Tax Allocation, Santa Ana Heights
Project Area, AMBAC, 5.25%, 09/01/15 1,628
1,965 Orange County Development Agency,
Tax Allocation, Santa Ana Heights
Project Area, AMBAC, 5.25%, 09/01/16 2,184
2,120 Orange County Development Agency,
Tax Allocation, Santa Ana Heights
Project Area, AMBAC, 5.25%, 09/01/17 2,341
2,510 Riverside, California, Electric, Rev.,
FSA, 5.25%, 10/01/15 2,781
4,135 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/19 2,054
2,985 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/20 1,389
5,010 Rocklin Unified School District, GO,
FGIC, 0.00%, 08/01/22 2,044
2,000 San Jose Evergreen Community College
District, Ser. A, GO, AMBAC, 5.25%,
09/01/17 2,237
360 San Mateo County Transportation
District, Sales Tax, Ser. A, Rev., MBIA,
5.25%, 06/01/19 407
2,000 South Orange County Public Financing
Authority, Foothill Area, Ser. A,
Special Tax, FGIC, 5.25%, 08/15/17 2,227
3,880 South Orange County Public Financing
Authority, Foothill Area, Ser. A,
Special Tax, FGIC, 5.25%, 08/15/19 4,260
6,030 Southern California Public Power
Authority, San Juan Unit 3, Power Project,
Ser. A, Rev., FSA, 5.50%, 01/01/14 6,928
-------------------------------------------------------------------------------------
84,548
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
COLORADO -- 1.2%
$ 1,045 Colorado Water Resources & Power
Development Authority, Drinking Water,
Ser. A, Rev., 5.25%, 09/01/11 $ 1,163
2,000 Denver City & County, Airport, Ser. A,
Rev., AMBAC, 6.00%, 11/15/17 2,223
2,000 Douglas County School District No. Re-1,
Douglas & Elbert Counties, GO, FGIC,
5.75%, 12/15/19 2,318
2,550 Platte River Power Authority, Ser. DD,
Rev., MBIA, 6.00%, 06/01/06 2,734
-------------------------------------------------------------------------------------
8,438
-------------------------------------------------------------------------------------
CONNECTICUT -- 1.4%
1,375 Connecticut State Development
Authority, PCR, Ser. A, Rev., Adj.,
AMBAC, 3.35%, 05/01/31 1,391
5,900 Connecticut State, Transportation
Infrastructure, Special Tax Obligation,
Ser. B, Rev., FSA, 5.50%, 11/01/07 6,497
1,425 Waterbury, Connecticut, Ser. A, GO,
FSA, 5.50%, 04/01/14 1,609
-------------------------------------------------------------------------------------
9,497
-------------------------------------------------------------------------------------
DELAWARE -- 0.9%
5,000 Delaware State Economic Development
Authority, Osteopathic Hospital
Association of Delaware, Ser. A,
Rev., (p), 6.90%, 01/01/18 6,264
FLORIDA -- 2.5%
3,205 Hillsborough County Aviation Authority,
Tampa International Airport, Ser. B, Rev.,
FGIC, 6.00%, 10/1/18 3,874
3,750 Lakeland, Florida, Electric & Water,
First Lien, Ser. B, Rev., FSA, 6.05%,
10/01/14 4,516
3,760 Orange County Health Facilities
Authority, Ser. A, Rev., (p), MBIA,
6.25%, 10/01/12 4,568
1,255 Orange County Health Facilities
Authority, Ser. A, Rev., MBIA, 6.25%,
10/01/12 1,494
$ 1,580 Orange County Health Facilities
Authority, Ser. C, Rev., (p), MBIA,
6.25%, 10/01/12 $ 1,919
680 Orange County Health Facilities
Authority, Ser. C, Rev., MBIA, 6.25%,
10/01/12 810
-------------------------------------------------------------------------------------
17,181
-------------------------------------------------------------------------------------
GEORGIA -- 6.9%
10,000 Dalton Development Authority, Rev.,
MBIA, 5.50%, 08/15/26 11,119
7,125 De Kalb County Housing Authority,
Apartment Development, Fox Hollow
Apartments, Rev., (p), 7.00%, 05/15/07 7,982
1,000 De Kalb County, Water & Sewer Systems,
Rev., 5.25%, 10/01/11 1,121
3,610 Fulton County, Water & Sewer, Rev.,
FGIC, 5.00%, 01/01/18 3,887
3,790 Fulton County, Water & Sewer, Rev.,
FGIC, 5.00%, 01/01/19 4,056
2,000 Fulton County, Water & Sewer, Rev.,
FGIC, 5.00%, 01/01/21 2,110
15 Georgia State Residential Finance
Authority, Single Family Mortgage,
Ser. A, Rev., 8.40%, 12/01/18 15
10,485 Metropolitan Atlanta Rapid
Transportation Authority, Sales Tax,
Ser. P, Rev., AMBAC, 6.25%, 07/01/20 13,077
3,110 Savannah Economic Development
Authority, College of Art & Design, Inc.
Project, Rev., 6.60%, 10/01/15 3,703
-------------------------------------------------------------------------------------
47,070
-------------------------------------------------------------------------------------
HAWAII -- 0.8%
4,500 Honolulu City & County, Ser. A, GO,
7.35%, 07/01/08 5,306
IDAHO-- 0.0% ^
135 Nez Perce County School
District No. 341, GO, 5.00%, 08/15/11 150
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
ILLINOIS -- 3.0%
$ 3,990 Cook County Community High School
District No. 219, Niles Township, GO,
FGIC, 8.00%, 12/01/15 $ 5,489
2,120 Illinois Housing Development
Authority, Multi-Family Housing,
Ser. 1991-A, Rev., 8.25%, 07/01/16 2,154
2,425 Regional Transportation Authority,
Rev., MBIA, 6.25%, 07/01/15 2,960
9,000 State of Illinois, First Ser., GO, MBIA,
5.13%, 10/01/11 10,072
-------------------------------------------------------------------------------------
20,675
-------------------------------------------------------------------------------------
LOUISIANA -- 3.3%
1,500 Louisiana State, Gas & Fuels Tax,
Ser. A, Rev., AMBAC, 5.38%, 06/01/15 1,674
2,000 Louisiana State, Gas & Fuels Tax,
Ser. A, Rev., AMBAC, 5.38%, 06/01/18 2,199
1,040 Louisiana State, Gas & Fuels Tax,
Ser. A, Rev., AMBAC, 5.38%, 06/01/19 1,137
1,825 Saint Bernard Parish, Louisiana, Sales &
Use Tax, Rev., FSA, 5.00%, 03/01/15 2,013
2,635 Saint Bernard Parish, Louisiana, Sales &
Use Tax, Rev., FSA, 5.00%, 03/01/16 2,891
2,745 Saint Bernard Parish, Louisiana, Sales &
Use Tax, Rev., FSA, 5.00%, 03/01/17 2,996
2,860 Saint Bernard Parish, Louisiana, Sales &
Use Tax, Rev., FSA, 5.00%, 03/01/18 3,098
2,955 Saint Bernard Parish, Louisiana, Sales &
Use Tax, Rev., FSA, 5.00%, 03/01/19 3,181
3,110 Saint Bernard Parish, Louisiana, Sales &
Use Tax, Rev., FSA, 5.00%, 03/01/20 3,328
-------------------------------------------------------------------------------------
22,517
-------------------------------------------------------------------------------------
MASSACHUSETTS -- 3.7%
1,075 Auburn, Massachusetts, GO, AMBAC,
5.13%, 06/01/17 + 1,183
1,125 Auburn, Massachusetts, GO, AMBAC,
5.13%, 06/01/18 + 1,234
1,340 Auburn, Massachusetts, GO, AMBAC,
5.13%, 06/01/22 + 1,431
1,400 Auburn, Massachusetts, GO, AMBAC,
5.13%, 06/01/23 + 1,486
$ 6,725 Massachusetts State Port Authority,
Ser. B, Rev., FSA, 5.50%, 07/01/13 $ 7,313
6,640 Massachusetts State, CONS, Ser. C,
GO, 5.25%, 12/01/07 7,258
2,775 Massachusetts State, CONS, Ser. C,
GO, (p), MBIA, 5.75%, 10/01/10 3,196
1,000 New England Education Loan Marketing
Corp., Student Loan, Sub-Issue H,
Rev., 6.90%, 11/01/09 1,134
1,245 Pittsfield, Massachusetts, GO, MBIA,
5.13%, 04/15/22 1,319
-------------------------------------------------------------------------------------
25,554
-------------------------------------------------------------------------------------
MICHIGAN -- 1.0%
5,000 Michigan Strategic Fund, Detroit Edison
Co., Ser. CC, Rev., Adj., AMBAC, 4.85%,
09/01/30 5,374
1,000 Rochester Community School District,
Ser. I, GO, (p), FGIC, 5.75%, 05/01/10 1,155
-------------------------------------------------------------------------------------
6,529
-------------------------------------------------------------------------------------
MISSOURI -- 0.4%
1,705 Jackson County Public Building Corp.,
Capital Improvements Project, Rev.,
5.00%, 12/01/28 1,727
1,105 Sikeston, Missouri, Electric, Rev.,
MBIA, 6.00%, 06/01/16 1,333
-------------------------------------------------------------------------------------
3,060
-------------------------------------------------------------------------------------
NEW HAMPSHIRE -- 1.0%
1,010 Manchester, New Hampshire, GO,
5.25%, 06/01/14 1,147
1,015 Manchester, New Hampshire, GO,
5.25%, 06/01/15 1,154
1,020 Manchester, New Hampshire, GO,
5.25%, 06/01/16 1,160
1,020 Manchester, New Hampshire, GO,
5.25%, 06/01/17 1,159
2,040 Manchester, New Hampshire, GO,
5.25%, 06/01/18 2,314
-------------------------------------------------------------------------------------
6,934
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NEW JERSEY -- 8.6%
$ 2,070 Essex County Improvement Authority,
County Correctional Facility
Improvements, Ser. A, Rev., FGIC,
5.00%, 10/01/13 $ 2,314
4,200 Freehold Regional High School District,
GO, (p), FGIC, 5.60%, 03/01/10 4,800
9,000 Garden State Preservation Trust, Open
Space & Farmland, Ser. A, Rev., FSA,
5.80%, 11/01/22 9,863
4,200 New Jersey Economic Development
Authority, Capital Appreciation,
Motor Vehicles, Ser. R, Rev., MBIA,
0.00%, 07/01/18 2,246
10,000 New Jersey Economic Development
Authority, Motor Vehicles, Ser. A, Rev.,
MBIA, 5.25%, 07/01/17 11,046
1,400 New Jersey State Educational Facilities
Authority, Fairleigh Dickinson University,
Ser. G, Rev., 5.70%, 07/01/28 1,423
5,000 New Jersey State Highway Authority,
Garden State Parkway, Rev., (p),
6.20%, 01/01/10 5,691
1,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. A, Rev., 5.75%, 06/15/15 1,165
3,125 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. B, Rev., MBIA, 6.50%, 06/15/10 3,707
15,000 New Jersey Transportation Trust Fund
Authority, Transportation Systems,
Ser. C, Rev., 5.50%, 06/15/20 16,574
-------------------------------------------------------------------------------------
58,829
-------------------------------------------------------------------------------------
NEW MEXICO -- 0.2%
1,515 Los Alamos County, Inc., Utility System,
Ser. A, Rev., FSA, 5.00%, 07/01/13 1,693
NEW YORK -- 19.5%
2,850 New York City Municipal Water Finance
Authority, Water & Sewer Systems,
Ser. A, Rev., 5.75%, 06/15/30 3,091
$ 10,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. A,
Rev., Adj., 5.50%, 11/01/26 $ 11,304
8,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., 5.50%, 11/01/24 8,626
9,000 New York City Transitional Finance
Authority, Future Tax Secured, Ser. C,
Rev., (p), 5.50%, 05/01/10 10,376
18,140 New York City, New York, Ser. F, GO,
6.00%, 01/15/18 20,814
2,900 New York Convention Center Operating
Corp., Yale Building Acquisition Project,
COP, 5.25%, 06/01/08 3,019
5,000 New York State Dormitory Authority,
City University System, CONS, Ser. A,
Rev., FSA, 5.75%, 07/01/13 5,871
2,000 New York State Dormitory Authority,
Pratt Institute, Rev., 6.00%, 07/01/28 2,192
9,345 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Ser. D, Rev., 5.38%, 06/15/19 10,343
7,270 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Sub Ser. E, Rev., 5.38%, 06/15/17 8,031
7,135 New York State Environmental Facilities
Corp., State Water Revolving Fund,
Sub Ser. E, Rev., 5.38%, 06/05/18 7,862
175 New York State Urban Development
Corp., Correctional Capital Facilities,
Ser. 7, Rev., (p), MBIA-IBC, 5.70%,
01/01/07 193
26,000 Port Authority of New York &
New Jersey, CONS, 93rd Ser., Rev.,
6.13%, 06/01/94 29,895
7,960 Triborough Bridge & Tunnel Authority,
Convention Center Project, Ser. E, Rev.,
7.25%, 01/01/10 9,012
2,000 Utica IDA, Civic Facilities,
Munson-Williams-Proctor Institute
Project, Ser. A, Rev., 5.38%, 07/15/19 2,180
-------------------------------------------------------------------------------------
132,809
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
NORTH DAKOTA -- 0.9%
$ 5,000 Mercer County, PCR, Antelope Valley
Station, Rev., AMBAC, 7.20%, 06/30/13 $ 6,157
OHIO -- 0.4%
1,745 Chillicothe City School District, School
Improvement, GO, FGIC, 5.25%,
12/01/25 1,855
1,000 Cleveland Municipal School District,
GO, FSA, 5.25%, 12/01/23 1,074
-------------------------------------------------------------------------------------
2,929
-------------------------------------------------------------------------------------
OKLAHOMA -- 0.9%
890 Oklahoma Housing Finance Agency,
Single Family Mortgage, Ser. B-2, Rev.,
6.80%, 09/01/26 924
5,000 Tulsa Metropolitan Utility Authority, Rev.,
MBIA, 5.75%, 09/01/19 5,292
-------------------------------------------------------------------------------------
6,216
-------------------------------------------------------------------------------------
OREGON -- 0.9%
5,000 Washington County Unified Sewer
Agency, Senior Lien, Ser. A, Rev., FGIC,
5.75%, 10/01/10 5,764
PENNSYLVANIA -- 1.1%
6,500 Pennsylvania IDA, Economic
Development, Rev., AMBAC, 5.50%,
07/01/18 7,254
PUERTO RICO -- 7.6%
5,655 Puerto Rico Commonwealth, GO, MBIA,
6.00%, 07/01/16 6,884
6,900 Puerto Rico Commonwealth, Ser. C, GO,
Adj., 5.00%, 07/01/18 7,442
10,000 Puerto Rico Electric Power Authority,
Ser. KK, Rev., MBIA, 5.50%, 07/01/15 11,659
4,460 Puerto Rico Electric Power Authority,
Ser. Y, Rev., MBIA, 7.00%, 07/01/07 5,055
5,000 Puerto Rico Highway & Transportation
Authority, Ser. B, Rev., (p), 6.00%,
07/01/10 5,897
$ 2,400 Puerto Rico Municipal Finance Agency,
Ser. A, GO, FSA, 6.00%, 08/01/15 $ 2,778
3,000 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. A, Rev.,
AMBAC, 6.25%, 07/01/11 3,592
5,235 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. F, Rev.,
5.25%, 07/01/20 5,782
2,800 Puerto Rico Public Buildings Authority,
Government Facilities, Ser. K, Rev.,
FRDO, 4.50%, 07/01/22 2,953
-------------------------------------------------------------------------------------
52,042
-------------------------------------------------------------------------------------
SOUTH CAROLINA -- 3.4%
5,500 Charleston Educational Excellence
Finance Corp., Charleston County
School District Project, Rev., 5.00%,
12/01/16 5,913
4,500 Charleston Educational Excellence
Finance Corp., Charleston County
School District Project, Rev., 5.00%,
12/01/17 4,803
2,500 Charleston Educational Excellence
Finance Corp., Charleston County
School District Project, Rev., 5.00%,
12/01/18 2,649
5,000 South Carolina State Public Service
Authority, Ser. A, Rev., AMBAC, 6.25%,
01/01/22 5,374
4,000 South Carolina State Public Service
Authority, Ser. A, Rev., FSA, 5.00%,
01/01/16 4,382
-------------------------------------------------------------------------------------
23,121
-------------------------------------------------------------------------------------
SOUTH DAKOTA -- 0.5%
2,750 Heartland Consumers Power District,
Rev., (p), 7.00%, 01/01/16 3,275
TENNESSEE -- 0.5%
3,000 Metropolitan Government of Nashville &
Davidson County, Water & Sewer, Rev.,
FGIC, 5.20%, 01/01/13 3,378
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
- ------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- CONTINUED
TEXAS -- 0.4%
$ 1,160 Austin, Texas, Public Improvements,
GO, MBIA, 5.00%, 09/01/15 $ 1,276
1,295 Austin, Texas, Public Improvements,
GO, MBIA, 5.00%, 09/01/16 1,418
-------------------------------------------------------------------------------------
2,694
-------------------------------------------------------------------------------------
VIRGINIA -- 1.4%
1,105 Lynchburg, Virginia, Public Improvement,
GO, 5.00%, 06/01/16 1,208
1,110 Lynchburg, Virginia, Public Improvement,
GO, 5.00%, 06/01/17 1,206
1,205 Lynchburg, Virginia, Public Improvement,
GO, 5.00%, 06/01/18 1,300
5,500 Virginia State Public School Authority,
1997 Resolution, Ser. A, Rev., 5.00%,
08/01/18 5,919
-------------------------------------------------------------------------------------
9,633
-------------------------------------------------------------------------------------
WASHINGTON -- 2.0%
7,000 Energy Northwest, Washington Electric,
Columbia Generating Station, Ser. B,
Rev., MBIA, 5.50%, 07/01/18 7,852
5,000 Energy Northwest, Washington Electric,
Project No. 1, Ser. A, Rev., MBIA, 5.50%,
07/01/16 5,564
15 Washington Public Power Supply
System, Nuclear Project No. 1, Ser. B,
Rev., 7.25%, 07/01/09 17
195 Washington Public Power Supply
System, Nuclear Project No. 1, Ser. B,
Rev., (p), 7.25%, 07/01/09 222
-------------------------------------------------------------------------------------
13,655
-------------------------------------------------------------------------------------
Total State and Municipal Obligations 616,799
(Cost $575,901)
-------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 9.7%
MUNICIPAL SECURITIES -- 1.0%
KENTUCKY -- 0.2%
$ 1,000 Louisville & Jefferson Counties
Metropolitan Sewer District, Sewer &
Drain System, Ser. A, Rev., (p), AMBAC,
6.50%, 11/15/04 @ $ 1,031
NEW JERSEY -- 0.8%
5,215 New Jersey Economic Development
Authority, Educational Testing Service,
Ser. B, Rev., (p), MBIA, 6.25%,
05/15/05 5,496
NEW YORK-- 0.0% ^
115 New York State Housing Finance
Agency, Health Facilities, Monroe
County, Ser. A, Rev., 7.63%, 05/01/05 116
PUERTO RICO -- 0.0% ^
5 Puerto Rico Urban Renewal & Housing
Corp., Rev., 7.88%, 10/01/04 5
-------------------------------------------------------------------------------------
Total Municipal Securities 6,648
(Cost $6,461)
-------------------------------------------------------------------------------------
<Caption>
SHARES
- ------------------------------------------------------------------------------------------------------
MONEY MARKET FUND -- 8.7%
59,305 JPMorgan Tax Free Money Market
Fund (a) 59,305
(Cost $59,305)
-------------------------------------------------------------------------------------
Total Short-Term Investments 65,953
(Cost $65,766)
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0% $ 682,752
(COST $641,667)
-------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
FUTURES CONTRACTS
(Amounts in thousands, except number of contracts)
<Table>
<Caption>
NOTIONAL UNREALIZED
NUMBER OF VALUE AT APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD)
- ---------------------------------------------------------------------------------------------------------
SHORT FUTURES OUTSTANDING
(87) 10 Year Treasury Notes December, 2004 $ (9,771) $ (66)
</Table>
SWAP CONTRACTS
<Table>
<Caption>
UNDERLYING UNREALIZED
NOTIONAL APPRECIATION
DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------
Interest Rate Swap with Morgan Stanley Capital
Services, semi-annual payment of 4.108% and
semi-annual receipt of weekly average BMA index 10/17/19 $ 11,800 $ (442)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
Abbreviations
(p) -- Security is prerefunded or escrowed to maturity. The maturity date
shown is the date of the prerefunded call.
^ -- Amount rounds to less than 0.1%.
+ -- All or a portion of this security is segregated with the custodian
for futures contracts, TBA, when issued, delayed delivery securities,
swaps or unsettled trades.
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
@ -- Securities fully or partially segregated with the brokers as initial
margin for futures contracts.
(a) -- Affiliated. Money market fund registered under the Investment Company
Act of 1940, as amended and advised by JPMorgan Investment
Management, Inc.
(i) -- Security is considered illiquid and may be difficult to sell.
Adj. -- Adjustable. Maturity date shown is actual maturity date. The interest
rate shown is the rate in effect at August 31, 2004.
AMBAC -- American Municipal Bond Assurance Corp.
CONS -- Consolidated Bonds.
COP -- Certificates of Participation.
FGIC -- Financial Guaranty Insurance Co.
FHA -- Federal Housing Authority.
FLOATS -- Floating Auction Tax Exempts.
FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next
interest reset date. The interest rate shown is the rate in effect at
August 31, 2004.
FSA -- Financial Security Assurance.
GAN -- Grant Anticipation Note.
GO -- General Obligation Bond.
IBC -- Insured Bond Certificates.
IDA -- Industrial Development Authority.
IDR -- Industrial Development Revenue.
MBIA -- Municipal Bond Investors Assurance Corp.
PCR -- Pollution Control Revenue.
Rev. -- Revenue Bond.
Ser. -- Series.
TRAN -- Tax & Revenue Anticipation Note.
USD -- United States Dollar.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
JPMORGAN FUNDS
STATEMENT OF ASSETS AND LIABILITIES AS OF AUGUST 31, 2004
(Amounts in thousands, except per share amounts)
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
ASSETS:
Investments in non-affiliates, at value $ 124,634 $ 1,437,645 $ 63,448 $ 648,803 $ 623,447
Investments in affiliates, at value 8,173 78,335 4,131 24,163 59,305
- --------------------------------------------------------------------------------------------------------------------
Total investment securities, at value 132,807 1,515,980 67,579 672,966 682,752
- --------------------------------------------------------------------------------------------------------------------
Cash -- -- 2 -- --
Receivables:
Investment securities sold -- -- -- 190 12,203
Fund shares sold 259 807 1 407 41
Interest and dividends 1,625 17,663 670 7,047 7,092
Unrealized appreciation on open
swap contracts -- 20 -- -- --
Expense reimbursements -- -- 2 -- --
- --------------------------------------------------------------------------------------------------------------------
Total Assets 134,691 1,534,470 68,254 680,610 702,088
- --------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Unrealized depreciation on open
swap contracts -- -- -- -- 442
Dividends 266 3,831 171 1,200 1,844
Investment securities purchased 5,230 39,731 1,041 -- 42,207
Fund shares redeemed 2 144 --^ 888 15
Variation margin 7 163 6 80 37
Accrued liabilities:
Investment advisory fees 32 375 17 172 166
Administration fees 2 103 6 80 83
Shareholder servicing fees 6 256 5 93 132
Distribution fees -- --^ 1 16 3
Custodian fees 11 31 10 19 18
Trustees' fees - deferred
compensation plan 2 35 4 19 43
Other 70 124 52 124 113
- --------------------------------------------------------------------------------------------------------------------
Total Liabilities 5,628 44,793 1,313 2,691 45,103
- --------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $ 129,063 $ 1,489,677 $ 66,941 $ 677,919 $ 656,985
- --------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
NET ASSETS
Paid in capital 120,694 1,394,787 63,088 632,299 605,834
Accumulated undistributed
(overdistributed) net investment income (87) (260) --^ (80) (176)
Accumulated net realized gain (loss)
on investments, futures, and
swaps transactions 933 3,853 842 9,347 10,750
Net unrealized appreciation
(depreciation) of investments, futures,
and swaps 7,523 91,297 3,011 36,353 40,577
- --------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 129,063 $ 1,489,677 $ 66,941 $ 677,919 $ 656,985
- --------------------------------------------------------------------------------------------------------------------
Class A $ 17,070 $ 726 $ 1,184 $ 84,947 $ 52,436
Class B $ -- $ 22 $ 786 $ 22,699 $ 4,515
Class C $ -- $ 82 $ -- $ 1,922 $ --
Institutional $ 71,759 $ 384,851 $ -- $ 174,207 $ --
Select $ 40,234 $ 1,103,996 $ 64,971 $ 394,144 $ 600,034
- --------------------------------------------------------------------------------------------------------------------
Total $ 129,063 $ 1,489,677 $ 66,941 $ 677,919 $ 656,985
- --------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited
number of shares authorized):
Class A 1,586 65 118 11,482 7,970
Class B -- 2 79 3,062 685
Class C -- 7 -- 259 --
Institutional 6,764 35,015 -- 23,497 --
Select 3,736 100,399 6,469 53,152 91,270
Net Asset Value:
Class A (and redemption price) $ 10.77 $ 11.11 $ 10.04 $ 7.40 $ 6.58
Class B* $ -- $ 10.98 $ 9.99 $ 7.41 $ 6.59
Class C* $ -- $ 11.01 $ -- $ 7.41 $ --
Institutional (and redemption price) $ 10.61 $ 10.99 $ -- $ 7.41 $ --
Select (and redemption price) $ 10.77 $ 11.00 $ 10.04 $ 7.42 $ 6.57
Class A Maximum Public Offering
Price Per Share (net asset value per
share/95.5%) $ 11.28 $ 11.63 $ 10.51 $ 7.75 $ 6.89
- --------------------------------------------------------------------------------------------------------------------
Cost of investments $ 125,271 $ 1,424,411 $ 64,560 $ 636,489 $ 641,667
- --------------------------------------------------------------------------------------------------------------------
</Table>
* Redemption price may be reduced by contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2004
(Amounts in thousands)
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
INVESTMENT INCOME
Interest $ 5,520 $ 67,304 $ 2,710 $ 29,270 $ 31,598
Dividend income from affiliated
investments* 56 442 25 180 263
- --------------------------------------------------------------------------------------------------------------------
Total investment income 5,576 67,746 2,735 29,450 31,861
- --------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 408 4,654 212 2,173 2,079
Administration fees 204 2,327 106 1,087 1,039
Shareholder servicing fees 219 3,237 177 1,509 1,732
Distribution fees 50 1 10 430 164
Custodian and accounting fees 60 170 59 120 97
Interest expense --^ --^ -- -- --^
Printing and postage fees 9 62 3 47 29
Professional fees 63 93 59 73 65
Registration expenses 27 72 16 60 37
Transfer agent fees 59 115 37 195 107
Trustees' fees 2 23 1 11 10
Other 10 33 7 26 31
- --------------------------------------------------------------------------------------------------------------------
Total expenses 1,111 10,787 687 5,731 5,390
- --------------------------------------------------------------------------------------------------------------------
Less amounts waived 357 1,208 126 711 210
Less earnings credits --^ 2 --^ 1 1
Less expense reimbursements -- 23 22 -- --
- --------------------------------------------------------------------------------------------------------------------
Net expenses 754 9,554 539 5,019 5,179
- --------------------------------------------------------------------------------------------------------------------
Net investment income 4,822 58,192 2,196 24,431 26,682
- --------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
<Table>
<Caption>
NEW YORK
INTERMEDIATE NEW JERSEY INTERMEDIATE
CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE
BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on
transactions from:
Investments 2,248 8,150 1,138 12,303 13,868
Futures 705 5,532 --^ 346 3,087
Swaps -- (21) -- -- (185)
Change in net unrealized
appreciation (depreciation) of:
Investments 357 10,392 875 2,950 4,185
Futures (118) (1,703) (8) (431) (702)
Swaps -- 20 -- -- (697)
Net realized and unrealized gain (loss)
on investments, futures, and swaps 3,192 22,370 2,005 15,168 19,556
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from operations $ 8,014 $ 80,562 $ 4,201 $ 39,599 $ 46,238
- --------------------------------------------------------------------------------------------------------------------
* Includes reimbursements of
investment advisory, administration
and shareholder servicing fees : $ 10 $ 74 $ 5 $ 32 $ 46
- --------------------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
(Amounts in thousands)
<Table>
<Caption>
INTERMEDIATE
CALIFORNIA BOND FUND TAX FREE INCOME FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
8/31/04 8/31/03 8/31/04 8/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income $ 4,822 $ 7,324 $ 58,192 $ 66,096
Net realized gain (loss) on
investments, futures, and swaps 2,953 1,461 13,661 7,624
Change in net unrealized appreciation/
depreciation of investments,
futures, and swaps 239 (4,823) 8,709 (28,647)
- --------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 8,014 3,962 80,562 45,073
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (4,864) (7,271) (58,063) (66,147)
Net realized gain on
investment transactions (3,118) (864) (11,468) (11,597)
- --------------------------------------------------------------------------------------------------------
Total distributions to shareholders (7,982) (8,135) (69,531) (77,744)
- --------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (36,033) (48,934) (164,627) (120,582)
- --------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (36,001) (53,107) (153,596) (153,253)
- --------------------------------------------------------------------------------------------------------
Beginning of period 165,064 218,171 1,643,273 1,796,526
- --------------------------------------------------------------------------------------------------------
End of period $ 129,063 $ 165,064 $ 1,489,677 $ 1,643,273
- --------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (87) $ (45) $ (260) $ (389)
- --------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
<Table>
<Caption>
NEW JERSEY NEW YORK INTERMEDIATE
TAX FREE INCOME FUND TAX FREE INCOME FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
8/31/04 8/31/03 8/31/04 8/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 2,196 $ 2,670 $ 24,431 $ 30,664
Net realized gain (loss) on
investments, futures, and swaps 1,138 2,099 12,649 7,886
Change in net unrealized appreciation/
depreciation of investments,
futures, and swaps 867 (2,621) 2,519 (17,506)
- --------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 4,201 2,148 39,599 21,044
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (2,163) (2,656) (24,333) (30,687)
Net realized gain on
investment transactions (2,309) (1,343) (10,733) (212)
- --------------------------------------------------------------------------------------------------------
Total distributions to shareholders (4,472) (3,999) (35,066) (30,899)
- --------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) (8,083) (6,022) (81,069) (135,478)
- --------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (8,354) (7,873) (76,536) (145,333)
- --------------------------------------------------------------------------------------------------------
Beginning of period 75,295 83,168 754,455 899,788
- --------------------------------------------------------------------------------------------------------
End of period $ 66,941 $ 75,295 $ 677,919 $ 754,455
- --------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ --^ $ (33) $ (80) $ (162)
- --------------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
57
<Page>
<Table>
<Caption>
TAX FREE INCOME FUND
----------------------------
YEAR ENDED YEAR ENDED
8/31/04 8/31/03
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income (loss) $ 26,682 $ 32,553
Net realized gain (loss) on
investments, futures, and swaps 16,770 7,747
Change in net unrealized appreciation/
depreciation of investments,
futures, and swaps 2,786 (20,086)
- --------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from operations 46,238 20,214
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net investment income (26,623) (32,728)
Net realized gain on
investment transactions (9,765) (6,328)
- --------------------------------------------------------------------------------------------------------
Total distributions to shareholders (36,388) (39,056)
- --------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Increase (decrease) from
capital share transactions (74,267) $ (122,669)
- --------------------------------------------------------------------------------------------------------
NET ASSETS
Total increase (decrease) in net assets (64,417) (141,511)
- --------------------------------------------------------------------------------------------------------
Beginning of period 721,402 862,913
- --------------------------------------------------------------------------------------------------------
End of period $ 656,985 $ 721,402
- --------------------------------------------------------------------------------------------------------
Accumulated undistributed
(overdistributed) net
investment income $ (176) $ (235)
- --------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<Page>
JPMORGAN FUNDS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
J.P. Morgan Series Trust ("JPMST") and J.P. Morgan Mutual Fund Select Trust
("JPMFST") (the "Trusts") are organized as Massachusetts business trusts and are
registered under the Investment Company Act of 1940, as amended, (the "1940
Act"), as open-end, management investment companies. JPMST and JPMFST were
organized on August 15, 1996 and October 1, 1996, respectively. JPMFST was
formerly named Mutual Fund Select Trust. The name change went into effect on May
2, 2003.
The following are five separate portfolios of the Trusts (collectively, the
"Funds"):
<Table>
<Caption>
FUND CLASSES OFFERED
JPMorgan California Bond Fund ("CBF") Class A, Institutional and Select
JPMorgan Intermediate Tax Free Income Fund ("ITFI") Class A, Class B, Class C, Institutional and Select
JPMorgan New Jersey Tax Free Income Fund ("NJTFI") Class A, Class B and Select
JPMorgan New York Intermediate Tax Free Income Fund ("NYTFI") Class A, Class B, Class C, Institutional and Select
JPMorgan Tax Free Income Fund ("TFI") Class A, Class B and Select
</Table>
CBF is a series of JPMST and ITFI, NJTFI, NYTFI and TFI are each a series of
JPMFST. On January 31, 2003, NYTFI commenced offerings of Class C Shares. On
December 31, 2003, ITFI commenced offerings of Class A, Class B, and Class C
Shares.
Class A shares generally provide for a front-end sales charge while Class B and
Class C shares provide for a contingent deferred sales charge. Class B shares
automatically convert to Class A shares after eight years. No sales charges are
assessed with respect to the Select Class or Institutional Class. All classes of
shares have equal rights as to earnings, assets and voting privileges except
that each class may bear different transfer agent, distribution and shareholder
servicing expenses and each class has exclusive voting rights with respect to
its distribution and shareholder servicing agreements.
Class A shares, for which front-end sales charges have been waived, may be
subject to redemption charges as described in the Funds' prospectus.
During the year ended August 31, 2004, ITFI Institutional Class received a
contribution of securities (Subscription in-kind) in exchange for shares of
Institutional Share Class. The securities were transferred at a market value of
(in thousands) $512, which resulted in no unrealized gain or loss carrying over
to ITFI.
Additional information regarding the subscription in-kind is included in note
11.
On August 19, 2004, the Boards of Trustees of both Funds approved management's
proposal to merge the One Group Intermediate Tax-Free Bond Fund (the "Target
Fund") into the JPMorgan Intermediate Tax Free Income Fund. Also on August 19,
2004, the Boards of Trustees of both Funds approved management's proposal to
merge the JPMorgan Tax Free Income Fund (the "Target Fund") into the One Group
Tax Free Bond Fund. Each proposed merger is contingent upon, among other things,
approval by the respective 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
59
<Page>
reorganization for Federal income tax purposes. If approved, the mergers are
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 -- Purchased options and futures contracts are
valued at the last sale price on the exchange on which they are primarily
traded. Fixed income securities, other than convertible bonds, with a maturity
of 61 days or more held by the Funds will be valued each day based on readily
available market quotations received from independent or affiliated commercial
pricing services. Such pricing services will generally provide bidside
quotations. All short-term securities with a remaining maturity of sixty days or
less are valued using the amortized cost method, which approximates market
value. When valuations are not readily available, securities are valued at fair
value as determined in accordance with procedures adopted by the Trustees. It is
reasonably possible that the estimated values may differ significantly from the
values that would have been used had a ready market for the investments existed,
and such differences could have been material.
B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an
initial margin deposit in a segregated account, either in cash or liquid
securities. Thereafter, the futures contract is marked to market and the Fund
makes (or receives) additional cash payments daily to (or from) the broker.
Changes in the value of the contract are recorded as unrealized appreciation
(depreciation) until the contract is closed or settled, at which time a realized
gain or loss is recognized.
The Funds invest in U.S. Treasury and/or municipal bond futures contracts as a
hedge to modify the duration of the portfolio holdings. The Funds also invest in
exchange-traded interest rate futures and Eurodollar futures for hedging
purposes to either modify the duration and/or yield curve exposure of the
portfolio.
Use of long futures contracts subjects the Funds to risk of loss in excess of
the amounts shown on the Statement of Assets and Liabilities, up to the notional
value of the futures contracts. Use of short futures contracts subjects the
Funds to unlimited risk. The Funds may enter into futures contracts only on
exchanges or boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the Fund's credit risk is
limited to failure of the exchange or board of trade.
As of August 31, 2004, the Funds had outstanding futures contracts as listed on
the Funds' Portfolio of Investments.
C. SWAPS -- The Funds may engage in various swap transactions, including forward
rate agreements, interest rate, fixed income, index and total return swaps,
primarily to manage duration and curve risk, or as alternatives to direct
investments. Unrealized gains are reported as an asset and unrealized losses are
reported as a liability on the Statement of Assets and Liabilities. The change
in value of swaps, including periodic amounts of interest paid or received on
swaps is reported as unrealized gains or losses in the Statement of Operations.
A realized gain or loss is recorded upon payment or receipt of a periodic
payment or termination of swap agreements. Swap agreements are stated at fair
value. Notional principal amounts are used to express the extent of involvement
in these transactions, but the amounts potentially subject to credit risk are
much smaller.
60
<Page>
As of August 31, 2004, the Funds had outstanding swap agreements as listed on
the Funds' Portfolio of Investments. Swap transactions present risk of loss in
excess of the related amounts included in the Statement of Assets & Liabilities.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts.
E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trusts are allocated
proportionately among each of the Funds within the Trusts in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class are charged directly to such class. In
calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day.
F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of their distributable net investment income and
net realized gain on investments. In addition, the Funds intend to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
61
<Page>
The following amounts were reclassified within the capital accounts (amounts in
thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED/ NET REALIZED
(OVERDISTRIBUTED) GAIN (LOSS)
PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS
CBF $ -- $ -- $ --
ITFI -- -- --
NJTFI -- -- --
NYTFI 25 (16) (9)
TFI -- -- --
</Table>
The reclassifications for NYTFI relates primarily to the character for tax
purposes of market discount.
H. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees
related to line of credit, insurance, pricing and reporting services.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement,
J.P. Morgan Investment Management ("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 0.30% of the average daily net
assets for each respective Fund.
The Funds may invest in one or more of the affiliated JPMorgan Money Market
Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from
the Funds in an amount sufficient to offset any doubling up of investment
advisory, administration and shareholder servicing fees related to each Fund's
investment in an affiliated money market fund.
B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund
Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The
BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and
arranges for the sale of each Fund's shares. JPMFD receives no compensation in
its capacity as the Funds' underwriter.
The Trustees have adopted Distribution Plans (the "Distribution Plans") for
Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the
1940 Act. The Distribution Plans provide that each Fund shall pay distribution
fees, including payments to the Distributor, at annual rates of the average
daily net assets as shown in the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C
FUND
CBF 0.25 n/a n/a
ITFI 0.25 0.75 0.75
NJTFI 0.25 0.75 n/a
NYTFI 0.25 0.75 0.75
TFI 0.25 0.75 n/a
</Table>
62
<Page>
In addition, JPMFD receives any contingent deferred sales charges ("CDSC") from
redemptions of Class B and Class C shares.
The Distributor waived fees as outlined in Note 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 Trusts have entered into Shareholder
Servicing Agreements on behalf of the Funds with JP Morgan Chase Bank ("JPMCB"),
under which JPMCB provides account administration and personal account
maintenance services to the shareholders.
For performing these services, JPMCB receives a fee that is computed daily and
paid monthly equal to a percentage of the average daily net assets as shown in
the table below (%):
<Table>
<Caption>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
FUND
CBF 0.25 n/a n/a 0.10 0.25
ITFI 0.25 0.25 0.25 0.10 0.25
NJTFI 0.25 0.25 n/a n/a 0.25
NYTFI 0.25 0.25 0.25 0.10 0.25
TFI 0.25 0.25 n/a n/a 0.25
</Table>
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.
JPMCB may enter into services contracts with certain entities under which it
will pay all or a portion of the annual fee to such entities for performing
shareholding and administrative services.
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties
to separate servicing and operating agreements (the "Schwab Agreements") whereby
Schwab makes shares of the Funds available to customers of investment advisors
and other financial intermediaries who are Schwab's clients. The Funds are not
responsible for payments to Schwab under the Schwab Agreements; however, in the
event the servicing agreement with Schwab is terminated for reasons other than a
breach by Schwab and the relationships between Schwab, JPMST, JPMFST and JPMCB
are terminated, the Funds would be responsible for the ongoing payments to
Schwab with respect to pre-termination shares.
JPMCB waived fees as outlined in Note 3.F.
D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Funds. Compensation for such services is presented
in the Statement of Operations as custodian fees. The custodian fees may be
reduced by credits earned by each Fund, based on uninvested cash balances held
by the custodian. Such earnings credits are presented separately in the
Statement of Operations.
E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services to the Funds. In
consideration of these services, the Administrator receives a fee computed daily
and paid monthly at the annual rate of 0.15% of the first $25 billion of the
average daily net assets of all non-money market funds in the JPMorgan Fund
Complex and 0.075% of the average daily net assets in excess of $25 billion.
63
<Page>
BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For
its services as sub-administrator, BISYS receives a portion of the fees payable
to JPMCB as Administrator. The Administrator, 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>
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT
FUND
CBF 0.60 n/a n/a 0.50 0.65
ITFI 0.75 1.50 1.50 0.50 0.66
NJTFI 1.00 1.50 n/a n/a 0.75
NYTFI 0.75 1.55 1.55 0.50 0.72
TFI 0.75 1.64 n/a n/a 0.75
</Table>
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 December 31, 2006.
The Administrator waived fees and/or reimbursed expenses as outlined in Note
3.F.
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.
F. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 2004, the Funds'
vendors 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 Funds to repay any such waived fees
and reimbursed expenses in future years.
<Table>
<Caption>
CONTRACTUAL WAIVERS
-------------------------------------------
SHAREHOLDER CONTRACTUAL
ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS
CBF $ 157 $ 150 $ 50 $ 357 $ --
ITFI 1,108 99 1 1,208 23
NJTFI 8 118 -- 126 22
NYTFI 52 426 233 711 --
TFI -- 85 125 210 --
Total $ 1,325 $ 878 $ 409 $ 2,612 $ 45
</Table>
G. OTHER -- Certain officers of the Trust(s) are officers of JP Morgan Chase &
Co. or of BISYS or their subsidiaries.
During the period, certain Funds may have purchased securities from an
underwriting syndicate in which the principal underwriter or members of the
syndicate were affiliated with the Advisor.
The Funds may use related party broker/dealers. For the year ended August 31,
2004, there were no brokerage commissions with broker/dealers affiliated with
JPMCB.
64
<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 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
CBF
Class A $ 50 $ 50 $ 25
Institutional 81 -- 15
Select 88 -- 19
- ---------------------------------------------------------------------------
Total $ 219 $ 50 $ 59
- ---------------------------------------------------------------------------
ITFI
Class A $ 1 $ 1 $ 18
Class B --^ --^ 1
Class C --^ --^ 5
Institutional 428 -- 33
Select 2,808 -- 58
- ---------------------------------------------------------------------------
Total $ 3,237 $ 1 $ 115
- ---------------------------------------------------------------------------
NJTFI
Class A $ 4 $ 4 $ 15
Class B 2 6 9
Select 171 -- 13
- ---------------------------------------------------------------------------
Total $ 177 $ 10 $ 37
- ---------------------------------------------------------------------------
NYTFI
Class A $ 233 $ 233 $ 109
Class B 61 181 28
Class C 5 16 3
Institutional 201 -- 20
Select 1,009 -- 35
- ---------------------------------------------------------------------------
Total $ 1,509 $ 430 $ 195
- ---------------------------------------------------------------------------
TFI
Class A $ 125 $ 125 $ 88
Class B 13 39 9
Select 1,594 -- 10
- ---------------------------------------------------------------------------
Total $ 1,732 $ 164 $ 107
- ---------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
65
<Page>
5. CLASS SPECIFIC DISTRIBUTIONS
The Funds' class specific distributions from net investment income and realized
gain on investment transactions for the years ended August 31, 2004 and August
31, 2003 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
CBF
Class A $ 698 $ 454 $ 819 $ 87
Institutional 2,941 1,893 4,961 605
Select 1,225 771 1,491 172
- ---------------------------------------------------------------------------------------------------
Total $ 4,864 $ 3,118 $ 7,271 $ 864
- ---------------------------------------------------------------------------------------------------
ITFI
Class A $ 8 $ -- $ -- $ --
Class B --^ -- -- --
Class C 1 -- -- --
Institutional 16,465 3,309 $ 21,900 $ 3,975
Select 41,589 8,159 44,247 7,622
- ---------------------------------------------------------------------------------------------------
Total $ 58,063 $ 11,468 $ 66,147 $ 11,597
- ---------------------------------------------------------------------------------------------------
NJTFI
Class A $ 41 $ 58 $ 22 $ 3
Class B 19 27 10 1
Select 2,103 2,224 2,624 1,339
- ---------------------------------------------------------------------------------------------------
Total $ 2,163 $ 2,309 $ 2,656 $ 1,343
- ---------------------------------------------------------------------------------------------------
NYTFI
Class A $ 3,067 $ 1,288 $ 3,558 $ 25
Class B 606 357 631 6
Class C 55 31 11 --
Institutional 7,149 3,163 10,346 70
Select 13,456 5,894 16,141 111
- ---------------------------------------------------------------------------------------------------
Total $ 24,333 $ 10,733 $ 30,687 $ 212
- ---------------------------------------------------------------------------------------------------
TFI
Class A $ 1,922 $ 674 $ 2,396 $ 462
Class B 156 75 180 42
Select 24,545 9,016 30,152 5,824
- ---------------------------------------------------------------------------------------------------
Total $ 26,623 $ 9,765 $ 32,728 $ 6,328
- ---------------------------------------------------------------------------------------------------
</Table>
^ Amount rounds to less than one thousand.
66
<Page>
6. INVESTMENT TRANSACTIONS
For the year ended August 31, 2004, purchases and sales of investments
(excluding short-term investments) were as follows (amounts in thousands):
<Table>
<Caption>
PURCHASES SALES PURCHASES SALES
(EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S.
GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT
CBF $ 52,806 $ 93,985 $ 4,093 $ 4,166
ITFI 984,776 1,199,034 -- --
NJTFI 36,817 47,420 -- --
NYTFI 206,940 313,195 -- --
TFI 312,420 417,076 -- --
</Table>
7. FEDERAL INCOME TAX MATTERS
For Federal income tax purposes, the cost and unrealized
appreciation(depreciation) in value of the investment securities at August 31,
2004, are as follows (amounts in thousands):
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
AGGREGATE UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
CBF $ 125,271 $ 7,537 $ (1) $ 7,536
ITFI 1,424,411 92,216 (647) 91,569
NJTFI 64,560 3,101 (82) 3,019
NYTFI 636,489 37,281 (804) 36,477
TFI 641,667 41,149 (64) 41,085
</Table>
The tax characters of distributions paid during the years ended August 31, 2004
and August 31, 2003 were as follows (amounts in thousands):
<Table>
<Caption>
TAX EXEMPT ORDINARY LONG-TERM TOTAL
INCOME INCOME CAPITAL GAIN DISTRIBUTIONS
YEAR ENDED
AUGUST 31, 2004
CBF $ 4,857 $ 449 $ 2,676 $ 7,982
ITFI 58,037 2,894 8,600 69,531
NJTFI 2,143 87 2,242 4,472
NYTFI 24,258 626 10,182 35,066
TFI 26,610 1,602 8,176 36,388
</Table>
67
<Page>
<Table>
<Caption>
TAX EXEMPT ORDINARY LONG-TERM TOTAL
INCOME INCOME CAPITAL GAIN DISTRIBUTIONS
YEAR ENDED
AUGUST 31, 2003
CBF $ 7,232 $ 410 $ 493 $ 8,135
ITFI 65,928 6,432 5,384 77,744
NJTFI 2,652 469 878 3,999
NYTFI 30,645 42 212 30,899
TFI 32,626 3,265 3,165 39,056
</Table>
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>
CBF ITFI NJTFI
Current distributable tax exempt income $ 182 $ 3,602 $ 174
Current distributable ordinary income 1,939 -- 295
Plus/Less: cumulative timing differences (268) (3,862) (174)
Undistributed ordinary income or
overdistribution of ordinary income $ 1,853 $ (260) $ 295
Current distributable long-term capital
gain or tax basis capital loss carryover $ -- $ 3,561 $ 538
Plus/Less: cumulative timing differences (1,020) -- --
Undistributed long-term gains/
accumulated capital loss (1,020) 3,561 538
Unrealized appreciation (depreciation) $ 7,536 $ 91,589 $ 3,020
</Table>
<Table>
<Caption>
NYTFI TFI
Current distributable tax exempt income $ 1,138 $ 1,711
Current distributable ordinary income 1,233 1,023
Plus/Less: cumulative timing differences (1,218) (1,887)
Undistributed ordinary income or
overdistribution of ordinary income $ 1,153 $ 847
Current distributable long-term capital
gain or tax basis capital loss carryover $ 7,990 $ 9,662
Plus/Less: cumulative timing differences -- --
Undistributed long-term gains/
accumulated capital loss 7,990 9,662
Unrealized appreciation (depreciation) $ 36,477 $ 40,642
</Table>
For the Funds, the differences between book and tax basis unrealized
appreciation (depreciation) are primarily attributable to mark to market of
futures. The cumulative timing difference account primarily consists of
dividends payable, and deferred compensation, except the California Bond Fund
where the difference account primarily consists of dividends payable, deferred
compensation, and post-October loss deferrals.
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. The California Bond Fund incurred $1,020 in post-October realized
losses (amount in thousands).
68
<Page>
8. BANK BORROWINGS
Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may
borrow money for temporary or emergency purposes. The Funds have entered into
the agreement, enabling them to participate with other JPMorgan Funds in a line
of credit with JPMCB, as administrative agent, and with a syndicate of banks,
which permits borrowings up to $250 million, collectively. Interest is charged
to each Fund based on its borrowings at an annual rate equal to the sum of the
Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to the Funds. The commitment fee is included in
Other expenses on the Statement of Operations. This agreement expired on April
15, 2004, and has been extended to April 14, 2005.
The Funds had no borrowings outstanding at August 31, 2004, nor at anytime
during the year then ended.
9. CONCENTRATIONS AND INDEMNIFICATIONS
The ability of the issuers of debt, asset-backed and mortgage-backed securities,
along with counterparties to swap agreements, to meet their obligations may be
affected by the economic and political developments in a specific industry or
region. The value of asset-backed and mortgage-backed securities can be
significantly affected by changes in interest rates or rapid principal payments
including prepayments.
From time to time, the Funds may have a concentration of several shareholders
which may be a related party, holding a significant percentage of shares
outstanding. Investment activities of these shareholders could have a material
impact on the Funds.
The Funds invest substantially all of their assets in a diversified portfolio of
debt obligations issued by states, territories and possessions of the United
States and by the District of Columbia, and by their political subdivisions and
duly constituted authorities. CBF, NJTFI and NYTFI primarily invest in issuers
in the States of California, New Jersey and New York, respectively. TFI invested
approximately 19.4% of its net assets in issuers in New York State. The issuer's
abilities to meet their obligations may be affected by economic or political
developments in a specific state or region.
In the normal course of business, the Funds enter into contracts that contain a
variety of representations which provide general indemnifications. Each 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.
10. 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 name of the bank will
change to JPMorgan Chase Bank, National Association.
69
<Page>
11. CAPITAL SHARE TRANSACTIONS
Capital share transactions were as follows for the periods presented (Amounts in
thousands):
<Table>
<Caption>
CALIFORNIA BOND FUND
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2004 AUGUST 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 1,783 $ 4,386
Shares issued in reinvestment
of distributions 572 448
Shares redeemed (6,954) (5,714)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (4,599) $ (880)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 165 401
Shares issued in reinvestment
of distributions 53 41
Shares redeemed (649) (516)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (431) (74)
- ------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 9,521 $ 32,544
Shares issued in reinvestment
of distributions 1,860 1,830
Shares redeemed (46,861) (73,815)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (35,480) $ (39,441)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 898 2,989
Shares issued in reinvestment
of distributions 175 168
Shares redeemed (4,377) (6,788)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (3,304) (3,631)
- ------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 13,425 $ 12,521
Shares issued in reinvestment
of distributions 814 730
Shares redeemed (10,193) (21,864)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 4,046 $ (8,613)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 1,257 1,130
Shares issued in reinvestment
of distributions 75 66
Shares redeemed (946) (1,980)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 386 (784)
- ------------------------------------------------------------------------------------
</Table>
70
<Page>
<Table>
<Caption>
INTERMEDIATE TAX FREE
INCOME FUND
---------------------
YEAR ENDED
AUGUST 31, 2004
CLASS A SHARES*
AMOUNT
Shares sold $ 778
Shares issued in reinvestment
of distributions 8
Shares redeemed (64)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 722
- ------------------------------------------------------------------------------------
SHARES
Shares sold 70
Shares issued in reinvestment
of distributions 1
Shares redeemed (6)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 65
- ------------------------------------------------------------------------------------
CLASS B SHARES*
AMOUNT
Shares sold $ 22
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 22
- ------------------------------------------------------------------------------------
SHARES
Shares sold 2
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 2
- ------------------------------------------------------------------------------------
CLASS C SHARES*
AMOUNT
Shares sold $ 82
Shares issued in reinvestment
of distributions 1
Shares redeemed --
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 83
- ------------------------------------------------------------------------------------
SHARES
Shares sold 7
Shares issued in reinvestment
of distributions --^
Shares redeemed --
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 7
- ------------------------------------------------------------------------------------
</Table>
* Commencement of offering of class of shares on December 31, 2003.
^ Amounts rounds to less than one thousand
71
<Page>
<Table>
<Caption>
INTERMEDIATE TAX FREE INCOME FUND (CONTINUED)
---------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2004 AUGUST 31, 2003
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 66,252 $ 135,433
Subscription in-kind 512 --
Shares issued in reinvestment
of distributions 7,558 9,531
Shares redeemed (176,652) (293,878)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (102,330) $ (148,914)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 6,052 12,144
Subscription in-kind 46 --
Shares issued in reinvestment
of distributions 685 856
Shares redeemed (16,038) (26,319)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (9,255) (13,319)
- ------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 151,252 $ 368,766
Subscription in-kind -- --
Shares issued in reinvestment
of distributions 14,722 16,184
Shares redeemed (229,098) (356,618)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (63,124) $ 28,332
- ------------------------------------------------------------------------------------
SHARES
Shares sold 13,750 33,010
Subscription in-kind -- --
Shares issued in reinvestment
of distributions 1,334 1,457
Shares redeemed (20,767) (31,918)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (5,683) 2,549
- ------------------------------------------------------------------------------------
</Table>
72
<Page>
<Table>
<Caption>
NEW JERSEY TAX FREE INCOME FUND
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2004 AUGUST 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 209 $ 1,811
Shares issued in reinvestment
of distributions 82 22
Shares redeemed (924) (23)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (633) $ 1,810
- ------------------------------------------------------------------------------------
SHARES
Shares sold 21 175
Shares issued in reinvestment
of distributions 8 2
Shares redeemed (91) (2)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (62) 175
- ------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 192 $ 839
Shares issued in reinvestment
of distributions 31 9
Shares redeemed (235) (88)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (12) $ 760
- ------------------------------------------------------------------------------------
SHARES
Shares sold 19 82
Shares issued in reinvestment
of distributions 3 1
Shares redeemed (23) (9)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (1) 74
- ------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 2,791 $ 5,191
Shares issued in reinvestment
of distributions 2,026 1,186
Shares redeemed (12,255) (14,969)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (7,438) $ (8,592)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 276 504
Shares issued in reinvestment
of distributions 202 117
Shares redeemed (1,212) (1,453)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (734) (832)
- ------------------------------------------------------------------------------------
</Table>
73
<Page>
<Table>
<Caption>
NEW YORK INTERMEDIATE TAX FREE INCOME FUND
------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2004 AUGUST 31, 2003^
CLASS A SHARES
AMOUNT
Shares sold $ 30,340 $ 26,999
Shares issued in reinvestment
of distributions 3,582 2,726
Shares redeemed (37,421) (47,172)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (3,499) $ (17,447)
- -------------------------------------------------------------------------------------
SHARES
Shares sold 4,074 3,598
Shares issued in reinvestment
of distributions 484 364
Shares redeemed (5,079) (6,318)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (521) (2,356)
- -------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 1,662 $ 7,435
Shares issued in reinvestment
of distributions 661 428
Shares redeemed (4,539) (3,541)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (2,216) $ 4,322
- -------------------------------------------------------------------------------------
SHARES
Shares sold 223 988
Shares issued in reinvestment
of distributions 89 57
Shares redeemed (617) (471)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (305) 574
- -------------------------------------------------------------------------------------
CLASS C SHARES
AMOUNT
Shares sold $ 837 $ 1,937
Shares issued in reinvestment
of distributions 74 10
Shares redeemed (784) (93)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ 127 $ 1,854
- -------------------------------------------------------------------------------------
SHARES
Shares sold 112 257
Shares issued in reinvestment
of distributions 10 1
Shares redeemed (108) (13)
- -------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding 14 245
- -------------------------------------------------------------------------------------
</Table>
^ For Class C shares, from commencement of offering on January 31, 2003.
74
<Page>
<Table>
<Caption>
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED)
------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2004 AUGUST 31, 2003^
INSTITUTIONAL SHARES
AMOUNT
Shares sold $ 17,319 $ 28,180
Shares issued in reinvestment
of distributions 4,492 4,650
Shares redeemed (77,985) (98,854)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (56,174) $ (66,024)
- --------------------------------------------------------------------------------------------
SHARES
Shares sold 2,321 3,755
Shares issued in reinvestment
of distributions 606 620
Shares redeemed (10,526) (13,177)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (7,599) (8,802)
- --------------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 54,532 $ 78,597
Shares issued in reinvestment
of distributions 7,446 4,113
Shares redeemed (81,285) (140,893)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (19,307) $ (58,183)
- --------------------------------------------------------------------------------------------
SHARES
Shares sold 7,371 10,472
Shares issued in reinvestment
of distributions 1,005 549
Shares redeemed (10,985) (18,786)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (2,609) (7,765)
- --------------------------------------------------------------------------------------------
</Table>
^ For Class C shares, from commencement of offering on January 31, 2003.
75
<Page>
<Table>
<Caption>
TAX FREE INCOME FUND
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 2004 AUGUST 31, 2003
CLASS A SHARES
AMOUNT
Shares sold $ 24,637 $ 97,661
Shares issued in reinvestment
of distributions 1,989 2,131
Shares redeemed (27,592) (107,439)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (966) $ (7,647)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 3,785 14,710
Shares issued in reinvestment
of distributions 303 321
Shares redeemed (4,198) (16,156)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (110) (1,125)
- ------------------------------------------------------------------------------------
CLASS B SHARES
AMOUNT
Shares sold $ 170 $ 1,104
Shares issued in reinvestment
of distributions 160 144
Shares redeemed (1,424) (1,632)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (1,094) $ (384)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 26 165
Shares issued in reinvestment
of distributions 25 22
Shares redeemed (218) (246)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (167) (59)
- ------------------------------------------------------------------------------------
SELECT SHARES
AMOUNT
Shares sold $ 33,408 $ 24,525
Shares issued in reinvestment
of distributions 8,521 5,617
Shares redeemed (114,136) (144,780)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding $ (72,207) $ (114,638)
- ------------------------------------------------------------------------------------
SHARES
Shares sold 5,113 3,681
Shares issued in reinvestment
of distributions 1,301 855
Shares redeemed (17,477) (21,767)
- ------------------------------------------------------------------------------------
Net increase (decrease) in Fund
shares outstanding (11,063) (17,231)
- ------------------------------------------------------------------------------------
</Table>
76
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
77
<Page>
JPMORGAN FUNDS
FINANCIAL HIGHLIGHTS
CLASS A SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
Year Ended 8/31/04 $ 10.80 0.37 0.22 0.59 0.38 0.24 0.62
Year Ended 8/31/03 $ 11.07 0.39 (0.22) 0.17 0.40 0.04 0.44
9/10/01* Through 8/31/02 $ 10.90 0.40 0.17 0.57 0.40 -- 0.40
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 $ 11.10 0.27@ 0.01 0.28 0.27 -- 0.27
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/04 $ 10.07 0.28 0.29 0.57 0.28 0.32 0.60
Year Ended 8/31/03 $ 10.36 0.30 (0.10) 0.20 0.32 0.17 0.49
4/1/02* Through 8/31/02 $ 9.84 0.12 0.53 0.65 0.13 -- 0.13
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.35 0.25 0.15 0.40 0.24 0.11 0.35
Year Ended 8/31/03 $ 7.45 0.26@ (0.10) 0.16 0.26 --! 0.26
Year Ended 8/31/02 $ 7.37 0.26@ 0.10 0.36 0.27 0.01 0.28
2/16/01* Through 8/31/01 $ 7.22 0.15 0.15 0.30 0.15 -- 0.15
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 6.49 0.25@ 0.18 0.43 0.25 0.09 0.34
Year Ended 8/31/03 $ 6.66 0.26@ (0.12) 0.14 0.26 0.05 0.31
Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.27 -- 0.27
2/16/01* Through 8/31/01 $ 6.44 0.15 0.13 0.28 0.15 -- 0.15
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
78
<Page>
<Table>
<Caption>
PER SHARE OPERATING
PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------- --------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
CALIFORNIA BOND FUND
Year Ended 8/31/04 $ 10.77 5.62% $ 17 0.60% 3.47% 1.19%
Year Ended 8/31/03 $ 10.80 1.51% $ 22 0.60% 3.56% 1.16%
9/10/01* Through 8/31/02 $ 11.07 5.33% $ 23 0.60% 3.70% 1.23%
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 $ 11.11 2.55% $ 1 0.73% 3.52% 9.03%
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/04 $ 10.04 5.87% $ 1 1.00% 2.89% 2.22%
Year Ended 8/31/03 $ 10.07 1.92% $ 2 1.00% 2.87% 3.13%
4/1/02* Through 8/31/02 $ 10.36 6.67% --(b) 1.00% 3.16% 33.81%!!
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.40 5.57% $ 85 0.75% 3.32% 1.12%
Year Ended 8/31/03 $ 7.35 2.15% $ 88 0.75% 3.45% 1.07%
Year Ended 8/31/02 $ 7.45 5.06% $ 107 0.75% 3.58% 1.09%
2/16/01* Through 8/31/01 $ 7.37 4.26% $ 117 0.75% 4.10% 1.21%
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 6.58 6.81% $ 52 0.75% 3.84% 1.17%
Year Ended 8/31/03 $ 6.49 2.15% $ 52 0.75% 3.94% 1.14%
Year Ended 8/31/02 $ 6.66 5.64% $ 61 0.75% 4.21% 1.15%
2/16/01* Through 8/31/01 $ 6.57 4.46% $ 59 0.75% 4.55% 1.23%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------
NET INVESTMENT
INCOME
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
CALIFORNIA BOND FUND
Year Ended 8/31/04 2.88% 43%
Year Ended 8/31/03 3.00% 49%
9/10/01* Through 8/31/02 3.07% 65%
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 (4.78%) 65%
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/04 1.67% 54%
Year Ended 8/31/03 0.74% 59%
4/1/02* Through 8/31/02 (29.67%)!! 75%
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 2.95% 30%
Year Ended 8/31/03 3.13% 38%
Year Ended 8/31/02 3.24% 75%
2/16/01* Through 8/31/01 3.64% 33%
TAX FREE INCOME FUND
Year Ended 8/31/04 3.42% 47%
Year Ended 8/31/03 3.55% 36%
Year Ended 8/31/02 3.81% 94%
2/16/01* Through 8/31/01 4.07% 57%
</Table>
(a) Not annualized for periods less than one year.
(b) Amount rounds to less than one million.
(1) Total returns figures do not include the effects of any front-end sales
load.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
79
<Page>
CLASS B SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 $ 11.10 0.21@ (0.12) 0.09 0.21 -- 0.21
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/04 $ 10.04 0.24 0.26 0.50 0.23 0.32 0.55
Year Ended 8/31/03 $ 10.34 0.26 (0.12) 0.14 0.27 0.17 0.44
4/1/02* Through 8/31/02 $ 9.84 0.11 0.50 0.61 0.11 -- 0.11
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.36 0.20 0.15 0.35 0.19 0.11 0.30
Year Ended 8/31/03 $ 7.46 0.20@ (0.10) 0.10 0.20 --! 0.20
Year Ended 8/31/02 $ 7.38 0.21@ 0.08 0.29 0.20 0.01 0.21
2/16/01* Through 8/31/01 $ 7.22 0.12 0.16 0.28 0.12 -- 0.12
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 6.50 0.19@ 0.19 0.38 0.20 0.09 0.29
Year Ended 8/31/03 $ 6.68 0.20@ (0.12) 0.08 0.21 0.05 0.26
Year Ended 8/31/02 $ 6.58 0.25@ 0.05 0.30 0.20 -- 0.20
2/16/01* Through 8/31/01 $ 6.44 0.12 0.14 0.26 0.12 -- 0.12
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005.
!! Due to the size of net assets and fixed expenses, ratios may appear
disproportionate with other classes.
SEE NOTES TO FINANCIAL STATEMENTS.
80
<Page>
<Table>
<Caption>
PER SHARE OPERATING
PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------- --------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 $ 10.98 0.85% $ --(b) 1.50% 2.86% 13.40%
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/04 $ 9.99 5.14% $ 1 1.50% 2.38% 2.75%
Year Ended 8/31/03 $ 10.04 1.31% $ 1 1.50% 2.44% 4.96%
4/1/02* Through 8/31/02 $ 10.34 6.20% $ --(b) 1.50% 2.72% 36.90%!!
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.41 4.73% $ 23 1.55% 2.52% 1.62%
Year Ended 8/31/03 $ 7.36 1.34% $ 25 1.55% 2.64% 1.57%
Year Ended 8/31/02 $ 7.46 4.08% $ 21 1.57% 2.74% 1.59%
2/16/01* Through 8/31/01 $ 7.38 3.91% $ 12 1.64% 3.21% 1.72%
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 6.59 5.88% $ 5 1.64% 2.96% 1.67%
Year Ended 8/31/03 $ 6.50 1.11% $ 6 1.64% 3.04% 1.64%
Year Ended 8/31/02 $ 6.68 4.69% $ 6 1.64% 3.31% 1.65%
2/16/01* Through 8/31/01 $ 6.58 4.13% $ 7 1.64% 3.66% 1.74%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------
NET INVESTMENT
INCOME
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 (9.04%) 65%
NEW JERSEY TAX FREE INCOME FUND
Year Ended 8/31/04 1.13% 54%
Year Ended 8/31/03 (1.02%) 59%
4/1/02* Through 8/31/02 (32.68%)!! 75%
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 2.45% 30%
Year Ended 8/31/03 2.62% 38%
Year Ended 8/31/02 2.72% 75%
2/16/01* Through 8/31/01 3.13% 33%
TAX FREE INCOME FUND
Year Ended 8/31/04 2.93% 47%
Year Ended 8/31/03 3.04% 36%
Year Ended 8/31/02 3.30% 94%
2/16/01* Through 8/31/01 3.56% 57%
</Table>
(a) Not annualized for periods less than one year.
(b) Amount rounds to less than one million.
(1) Total return figures do not include the effect of any deferred sales loads.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
81
<Page>
CLASS C SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 $ 11.10 0.21@ (0.09) 0.12 0.21 -- 0.21
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.36 0.19 0.16 0.35 0.19 0.11 0.30
1/31/03* Ended 8/31/03 $ 7.46 0.10@ (0.09) 0.01 0.11 --! 0.11
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005.
(a) Not annualized for periods less than one year.
SEE NOTES TO FINANCIAL STATEMENTS.
82
<Page>
<Table>
<Caption>
PER SHARE OPERATING
PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------- --------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 $ 11.01 1.13% $ --(b) 1.50% 2.83% 14.81%
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.41 4.73% $ 2 1.55% 2.52% 1.61%
1/31/03* Ended 8/31/03 $ 7.36 0.17% $ 2 1.55% 2.40% 1.57%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------
NET INVESTMENT
INCOME
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
INTERMEDIATE TAX FREE
INCOME FUND
12/31/03* Through 8/31/04 (10.48%) 65%
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 2.46% 30%
1/31/03* Ended 8/31/03 2.38% 38%
</Table>
(b) Amount rounds to less than one million.
(1) Total return figures do not include the effect of any deferred sales loads.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
83
<Page>
INSTITUTIONAL SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
Year Ended 8/31/04 $ 10.64 0.39 0.21 0.60 0.39 0.24 0.63
Year Ended 8/31/03 $ 10.90 0.41 (0.23) 0.18 0.40 0.04 0.44
Year Ended 8/31/02 $ 10.73 0.42 0.16 0.58 0.41 -- 0.41
5/1/01 Through 8/31/01(d) $ 10.36 0.14 0.40 0.54 0.14 0.03 0.17
Year Ended 4/30/01 $ 10.03 0.46 0.33 0.79 0.46 -- 0.46
Year Ended 4/30/00 $ 10.40 0.42 (0.36) 0.06 0.42 0.01 0.43
INTERMEDIATE TAX FREE
INCOME FUND
Year Ended 8/31/04 $ 10.93 0.43@ 0.14 0.57 0.43 0.08 0.51
Year Ended 8/31/03 $ 11.15 0.43 (0.15) 0.28 0.43 0.07 0.50
9/10/01* Through 8/31/02 $ 10.94 0.44 0.25 0.69 0.44 0.04 0.48
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.36 0.26 0.16 0.42 0.26 0.11 0.37
Year Ended 8/31/03 $ 7.46 0.28@ (0.10) 0.18 0.28 --! 0.28
9/10/01* Through 8/31/02 $ 7.33 0.27@ 0.15 0.42 0.28 0.01 0.29
</Table>
* Commencement of offering of class of shares.
@ Calculated based upon average shares outstanding.
(a) Not annualized for periods less than one year.
! Rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
84
<Page>
<Table>
<Caption>
PER SHARE OPERATING
PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------- --------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
CALIFORNIA BOND FUND
Year Ended 8/31/04 $ 10.61 5.76% $ 72 0.50% 3.62% 0.70%
Year Ended 8/31/03 $ 10.64 1.67% $ 107 0.50% 3.72% 0.66%
Year Ended 8/31/02 $ 10.90 5.57% $ 149 0.50% 3.84% 0.71%
5/1/01 Through 8/31/01(d) $ 10.73 5.31% $ 137 0.50% 3.99% 0.59%
Year Ended 4/30/01 $ 10.36 7.97% $ 126 0.50% 4.40% 0.59%
Year Ended 4/30/00 $ 10.03 0.70% $ 85 0.50% 4.19% 0.70%
INTERMEDIATE TAX FREE
INCOME FUND
Year Ended 8/31/04 $ 10.99 5.26% $ 385 0.50% 3.87% 0.59%
Year Ended 8/31/03 $ 10.93 2.60% $ 484 0.50% 3.89% 0.59%
9/10/01* Through 8/31/02 $ 11.15 6.43% $ 642 0.50% 4.02% 0.58%
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.41 5.82% $ 174 0.50% 3.57% 0.61%
Year Ended 8/31/03 $ 7.36 2.40% $ 229 0.50% 3.70% 0.60%
9/10/01* Through 8/31/02 $ 7.46 5.89% $ 298 0.50% 3.85% 0.62%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------
NET INVESTMENT
INCOME
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
CALIFORNIA BOND FUND
Year Ended 8/31/04 3.42% 43%
Year Ended 8/31/03 3.56% 49%
Year Ended 8/31/02 3.63% 65%
5/1/01 Through 8/31/01(d) 3.90% 29%
Year Ended 4/30/01 4.31% 55%
Year Ended 4/30/00 3.99% 87%
INTERMEDIATE TAX FREE
INCOME FUND
Year Ended 8/31/04 3.78% 65%
Year Ended 8/31/03 3.80% 56%
9/10/01* Through 8/31/02 3.94% 71%
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 3.46% 30%
Year Ended 8/31/03 3.60% 38%
9/10/01* Through 8/31/02 3.73% 75%
</Table>
(d) The Fund changed its fiscal year end from April 30 to August 31.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
85
<Page>
SELECT SHARES
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
CALIFORNIA BOND FUND
Year Ended 8/31/04 $ 10.80 0.36 0.22 0.58 0.37 0.24 0.61
Year Ended 8/31/03 $ 11.07 0.39 (0.23) 0.16 0.39 0.04 0.43
Year Ended 8/31/02 $ 10.91 0.40 0.16 0.56 0.40 -- 0.40
5/1/01 Through 8/31/01(d) $ 10.53 0.14 0.41 0.55 0.14 0.03 0.17
Year Ended 4/30/01 $ 10.20 0.45 0.33 0.78 0.45 -- 0.45
Year Ended 4/30/00 $ 10.57 0.41 (0.36) 0.05 0.41 0.01 0.42
INTERMEDIATE TAX FREE
INCOME FUND**
Year Ended 8/31/04 $ 10.93 0.41@ 0.15 0.56 0.41 0.08 0.49
Year Ended 8/31/03 $ 11.15 0.42 (0.15) 0.27 0.42 0.07 0.49
Year Ended 8/31/02 $ 10.98 0.43 0.21 0.64 0.43 0.04 0.47
Year Ended 8/31/01 $ 10.46 0.44 0.52 0.96 0.44 -- 0.44
Year Ended 8/31/00 $ 10.42 0.46 0.10 0.56 0.46 0.06 0.52
NEW JERSEY TAX FREE
INCOME FUND*
Year Ended 8/31/04 $ 10.09 0.31 0.27 0.58 0.31 0.32 0.63
Year Ended 8/31/03 $ 10.34 0.34 (0.08) 0.26 0.34 0.17 0.51
Year Ended 8/31/02 $ 10.33 0.37 0.20 0.57 0.37 0.19 0.56
Year Ended 8/31/01 $ 9.73 0.42 0.60 1.02 0.42 -- 0.42
Year Ended 8/31/00 $ 9.61 0.44 0.12 0.56 0.44 -- 0.44
</Table>
* Formerly Institutional.
** Effective September 10, 2001, the share class was re-named from
Institutional to Select in connection with the Fund's re-organization.
@ Calculated based upon average shares outstanding.
SEE NOTES TO FINANCIAL STATEMENTS.
86
<Page>
<Table>
<Caption>
PER SHARE OPERATING
PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------- --------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
CALIFORNIA BOND FUND
Year Ended 8/31/04 $ 10.77 5.57% $ 40 0.65% 3.42% 0.88%
Year Ended 8/31/03 $ 10.80 1.45% $ 36 0.65% 3.51% 0.84%
Year Ended 8/31/02 $ 11.07 5.31% $ 46 0.65% 3.63% 0.88%
5/1/01 Through 8/31/01(d) $ 10.91 5.31% $ 31 0.65% 3.84% 0.78%
Year Ended 4/30/01 $ 10.53 7.77% $ 33 0.65% 4.25% 0.78%
Year Ended 4/30/00 $ 10.20 0.60% $ 14 0.65% 3.99% 0.85%
INTERMEDIATE TAX FREE
INCOME FUND**
Year Ended 8/31/04 $ 11.00 5.19% $ 1,104 0.66% 3.71% 0.73%
Year Ended 8/31/03 $ 10.93 2.44% $ 1,159 0.66% 3.73% 0.74%
Year Ended 8/31/02 $ 11.15 5.99% $ 1,155 0.66% 3.88% 0.74%
Year Ended 8/31/01 $ 10.98 9.35% $ 728 0.74% 4.10% 0.75%
Year Ended 8/31/00 $ 10.46 5.54% $ 694 0.57% 4.49% 0.66%
NEW JERSEY TAX FREE
INCOME FUND*
Year Ended 8/31/04 $ 10.04 5.92% $ 65 0.75% 3.12% 0.93%
Year Ended 8/31/03 $ 10.09 2.58% $ 72 0.75% 3.35% 0.90%
Year Ended 8/31/02 $ 10.34 5.82% $ 83 0.75% 3.64% 0.89%
Year Ended 8/31/01 $ 10.33 10.69% $ 82 0.75% 4.18% 0.93%
Year Ended 8/31/00 $ 9.73 6.08% $ 73 0.59% 4.67% 0.82%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------
NET INVESTMENT
INCOME
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
CALIFORNIA BOND FUND
Year Ended 8/31/04 3.19% 43%
Year Ended 8/31/03 3.32% 49%
Year Ended 8/31/02 3.40% 65%
5/1/01 Through 8/31/01(d) 3.71% 29%
Year Ended 4/30/01 4.12% 55%
Year Ended 4/30/00 3.79% 87%
INTERMEDIATE TAX FREE
INCOME FUND**
Year Ended 8/31/04 3.64% 65%
Year Ended 8/31/03 3.65% 56%
Year Ended 8/31/02 3.80% 71%
Year Ended 8/31/01 4.09% 43%
Year Ended 8/31/00 4.40% 60%
NEW JERSEY TAX FREE
INCOME FUND*
Year Ended 8/31/04 2.94% 54%
Year Ended 8/31/03 3.20% 59%
Year Ended 8/31/02 3.50% 75%
Year Ended 8/31/01 4.00% 48%
Year Ended 8/31/00 4.44% 48%
</Table>
(a) Not annualized for periods less than one year.
(d) The Fund changed its fiscal year end from April 30 to August 31.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
87
<Page>
SELECT SHARES*
<Table>
<Caption>
PER SHARE OPERATING PERFORMANCE:
------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
--------------------------------------- ------------------------------------------
NET GAINS
OR LOSSES ON
NET ASSET NET SECURITIES DIVIDENDS
VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS
BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL
OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.37 0.25 0.16 0.41 0.25 0.11 0.36
Year Ended 8/31/03 $ 7.46 0.26@ (0.09) 0.17 0.26 --! 0.26
Year Ended 8/31/02 $ 7.38 0.26@ 0.09 0.35 0.26 0.01 0.27
Year Ended 8/31/01 $ 7.01 0.29 0.37 0.66 0.29 -- 0.29
Year Ended 8/31/00 $ 6.91 0.31 0.10 0.41 0.31 -- 0.31
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 6.48 0.25@ 0.18 0.43 0.25 0.09 0.34
Year Ended 8/31/03 $ 6.65 0.26@ (0.12) 0.14 0.26 0.05 0.31
Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.28 -- 0.28
Year Ended 8/31/01 $ 6.25 0.29 0.32 0.61 0.29 -- 0.29
Year Ended 8/31/00 $ 6.19 0.30 0.06 0.36 0.30 -- 0.30
</Table>
* Formerly Institutional.
@ Calculated based upon average shares outstanding.
! Rounds to less than .005.
SEE NOTES TO FINANCIAL STATEMENTS.
88
<Page>
<Table>
<Caption>
PER SHARE OPERATING
PERFORMANCE: RATIOS/SUPPLEMENTAL DATA:
-------------------------- --------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
----------------------------------------------
NET ASSETS, NET EXPENSES
NET ASSET END OF INVESTMENT WITHOUT WAIVERS,
VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS
OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 7.42 5.60% $ 394 0.72% 3.35% 0.76%
Year Ended 8/31/03 $ 7.37 2.32% $ 410 0.72% 3.48% 0.75%
Year Ended 8/31/02 $ 7.46 4.99% $ 474 0.72% 3.63% 0.76%
Year Ended 8/31/01 $ 7.38 9.68% $ 302 0.75% 4.10% 0.79%
Year Ended 8/31/00 $ 7.01 6.13% $ 277 0.58% 4.48% 0.70%
TAX FREE INCOME FUND
Year Ended 8/31/04 $ 6.57 6.82% $ 600 0.74% 3.86% 0.74%
Year Ended 8/31/03 $ 6.48 2.14% $ 663 0.75% 3.95% 0.75%
Year Ended 8/31/02 $ 6.65 5.61% $ 796 0.75% 4.23% 0.75%
Year Ended 8/31/01 $ 6.57 10.00% $ 798 0.74% 4.56% 0.76%
Year Ended 8/31/00 $ 6.25 6.11% $ 753 0.57% 4.98% 0.66%
<Caption>
RATIOS/SUPPLEMENTAL DATA:
----------------------------------
RATIOS TO AVERAGE
NET ASSETS: #
--------------------
NET INVESTMENT
INCOME
WITHOUT WAIVERS, PORTFOLIO
REIMBURSEMENTS TURNOVER
AND EARNINGS CREDITS RATE (a)
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
Year Ended 8/31/04 3.31% 30%
Year Ended 8/31/03 3.45% 38%
Year Ended 8/31/02 3.59% 75%
Year Ended 8/31/01 4.06% 33%
Year Ended 8/31/00 4.36% 46%
TAX FREE INCOME FUND
Year Ended 8/31/04 3.86% 47%
Year Ended 8/31/03 3.95% 36%
Year Ended 8/31/02 4.23% 94%
Year Ended 8/31/01 4.54% 57%
Year Ended 8/31/00 4.89% 35%
</Table>
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
89
<Page>
JPMORGAN FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of
J.P. Morgan Series Trust and J.P. Morgan Mutual Fund Select Trust
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan California Bond Fund (a
separate portfolio of J.P. Morgan Series Trust), and JPMorgan Intermediate Tax
Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York
Intermediate Tax Free Income Fund, and JPMorgan Tax Free Income Fund (separate
portfolios of J.P. Morgan Mutual Fund Select 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
90
<Page>
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.
91
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO ANNUALIZED
MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* EXPENSE RATIO
CALIFORNIA BOND FUND
CLASS A
Actual period return $ 1,000 $ 1,002 $ 3.02 0.60%
Hypothetical $ 1,000 $ 1,022 $ 3.05 0.60%
INSTITUTIONAL
Actual period return $ 1,000 $ 1,002 $ 2.52 0.50%
Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50%
SELECT
Actual period return $ 1,000 $ 1,001 $ 3.27 0.65%
Hypothetical $ 1,000 $ 1,022 $ 3.30 0.65%
INTERMEDIATE TAX FREE
INCOME FUND
CLASS A
Actual period return $ 1,000 $ 1,008 $ 3.79 0.73%
Hypothetical $ 1,000 $ 1,021 $ 3.81 0.73%
CLASS B
Actual period return $ 1,000 $ 992 $ 7.51 1.50%
Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50%
CLASS C
Actual period return $ 1,000 $ 996 $ 7.53 1.50%
Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50%
INSTITUTIONAL
Actual period return $ 1,000 $ 999 $ 2.51 0.50%
Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50%
SELECT
Actual period return $ 1,000 $ 999 $ 3.32 0.66%
Hypothetical $ 1,000 $ 1,022 $ 3.35 0.66%
</Table>
92
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO ANNUALIZED
MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* EXPENSE RATIO
NEW JERSEY TAX FREE INCOME FUND
CLASS A
Actual period return $ 1,000 $ 996 $ 5.02 1.00%
Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00%
CLASS B
Actual period return $ 1,000 $ 994 $ 7.52 1.50%
Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50%
SELECT
Actual period return $ 1,000 $ 998 $ 3.77 0.75%
Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75%
NEW YORK INTERMEDIATE
TAX FREE INCOME FUND
CLASS A
Actual period return $ 1,000 $ 999 $ 3.77 0.75%
Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75%
CLASS B
Actual period return $ 1,000 $ 994 $ 7.77 1.55%
Hypothetical $ 1,000 $ 1,017 $ 7.86 1.55%
CLASS C
Actual period return $ 1,000 $ 995 $ 7.77 1.55%
Hypothetical $ 1,000 $ 1,017 $ 7.86 1.55%
INSTITUTIONAL
Actual period return $ 1,000 $ 999 $ 2.51 0.50%
Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50%
SELECT
Actual period return $ 1,000 $ 999 $ 3.62 0.72%
Hypothetical $ 1,000 $ 1,021 $ 3.66 0.72%
</Table>
93
<Page>
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO ANNUALIZED
MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* EXPENSE RATIO
TAX FREE INCOME FUND
CLASS A
Actual period return $ 1,000 $ 1,004 $ 3.78 0.75%
Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75%
CLASS B
Actual period return $ 1,000 $ 1,000 $ 8.24 1.64%
Hypothetical $ 1,000 $ 1,017 $ 8.31 1.64%
SELECT
Actual period return $ 1,000 $ 1,004 $ 3.73 0.74%
Hypothetical $ 1,000 $ 1,021 $ 3.76 0.74%
</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).
94
<Page>
TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Trusts and other
investment companies within the JPMorgan Funds complex.
<Table>
<Caption>
NUMBER OF
POSITIONS PORTFOLIOS IN OTHER
HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S)
William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 70 None
522 Fifth Avenue, New are a series of JPMST President and
York, NY 10036; 1941 since 2001 and Fund Treasurer of
that are a series of Ingersoll-Rand
MFST since 1996. Company
(manufacturer of
industrial equipment)
(1972 - 2000)
Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 70 Director,
522 Fifth Avenue, are a series of JPMST Janel Hydro, Inc.
New York, NY 10036; since 2001 and Fund (Automotive)
1932 that are a series of (1993-present)
MFST since 1996.
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. (communications) present); Director of Elan
1945** (1986-1998) Corporation, Plc
(pharmaceuticals) (2001-
present); Director of The
Phoenix Companies
(wealth management
services) (2002-present)
Matthew Healey; Trustee Trustee of Funds that Retired; Chief 70 None
522 Fifth Avenue, are a series of JPMST Executive Officer of
New York, NY 10036; since 2001 and Fund certain J.P. Morgan
1937 that are a series of Fund Trusts
MFST since 1996. (1982-2001)
Fergus Reid, III; Trustee and Trustee of Funds that Chairman of 70 Trustee of Morgan
522 Fifth Avenue, Chairman of are a series of JPMST Lumelite Stanley Funds (209
New York, NY 10036; the Board of since 2001 and Fund Corporation (plastics portfolios) (1995-
1932 Trustees that are a series of manufacturing) present)
MFST since 1996. (2003 -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)
</Table>
95
<Page>
<Table>
<Caption>
NUMBER OF
POSITIONS PORTFOLIOS IN OTHER
HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -------------------------------------------------------------------------------------------------------------------------------
NON-INTERESTED TRUSTEE(S) (CONTINUED)
Robert J. Higgins; Trustee Since 2002 Director of 70 Director of Providian
522 Fifth Avenue, Administration of Financial Corp.
New York, NY 10036; the State of Rhode (banking) (2002-
1945 Island (2003- present)
Present); President -
Consumer Banking
and Investment
Services Fleet
Boston Financial
(1971-2002)
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 Bronx-Lebanon Hospital
York) (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 79 Director of Radio Shack
522 Fifth Avenue, (2001 - 2002), and Corporation
New York, NY 10036; Chairman and Chief (electronics) (1987-
1937 Executive Officer, present); Director of
Boston Stock The Griswold Company
Exchange (1985 - (securities brokerage)
2001). (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).
</Table>
96
<Page>
<Table>
<Caption>
NUMBER OF
POSITIONS PORTFOLIOS IN OTHER
HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS
EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE
NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN JPMORGAN FUND
AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX
- -------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE(S)
Leonard M. Spalding* Trustee Trustee of Funds that Retired; Chief 70 None
522 Fifth Avenue, are a series of JPMST Executive Officer of
New York, NY 10036; since 2001 and Fund Chase Mutual Funds
1935 that are a series of (investment
MFST since 1998. 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>
* Mr. Spalding is deemed to be an "interested person" due to his ownership of
JPMorgan Chase & Co stock.
** Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with
JPMorgan Securities, Inc., as an Associate Analyst, on May 3, 2004.
(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.
97
<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 Fleming's
522 Fifth Avenue, U.S. Mutual Funds and Financial Intermediaries Business
New York, NY 10036; ("FFI"); he has held numerous positions throughout the firm
1962 in business management, marketing and sales.
Robert L. Young; Senior Vice President Since 2004 Mr. Young joined Banc One Investment Advisors Corporation
522 Fifth Avenue, in 1996 and in 1999 he became Vice President and Treasurer
New York, NY 10036; of One Group Administrative Services, Inc. and One Group
1963 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. Institutional
522 Fifth Avenue, Administrative Officer Funds Administration and Board Liaison. Prior to joining
New York, NY 10036; JPMorgan in 2001, she was the Vice President of Finance for
1960 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, JPMIM, since
522 Fifth Avenue, Assistant September 2002; Mr. Chan was an associate at the law firm
New York, NY 10036; Secretary of Shearman and Sterling from May 2001 through
1965 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 Group
522 Fifth Avenue, Administrative Services, since January 2004; Ms. Dorsey
New York, NY 10036; worked for Bank One Corporation from January 2003 to
1969 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 attorney
522 Fifth Avenue, positions for Bank One Corporation (now known as
New York, NY 10036; JPMorgan Chase & Co.)
1963
Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual Fund
522 Fifth Avenue, Administration, One Group Administrative Services, Inc. and
New York, NY 10036; Senior Project Manager, Mutual Funds, One Group Dealer
1949 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 Services, Inc.;
3435 Stelzer Rd. formerly, Supervisor of the Blue Sky Department of Alliance
Columbus, OH 43219 Capital Management, L.P.
1967
Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund
3435 Stelzer Rd. Services, Inc.
Columbus, OH 43219
1963
Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund Services,
3435 Stelzer Rd. Inc. since June 2001; formerly Section Manager of Northern
Columbus, OH 43219 Trust Company and Accounting Supervisor at Allstate
1966 Insurance Company.
</Table>
98
<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
- ----------------------------------------------------------------------------------------------------------------------------------
Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all aspects of
522 Fifth Avenue, institutional and retail mutual fund administration and
New York, NY 10036; vendor relationships within the mutual funds,
1965 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.
Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the Budgeting and
522 Fifth Avenue, Expense Group of Funds Administration Group.
New York, NY 10036;
1954
Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held numerous
522 Fifth Avenue, financial and operations positions supporting the J.P.
New York, NY 10036; Morgan Chase organization complex.
1955
Stephen M. Ungerman Chief Compliance Officer Since 2004 Vice President, JPMIM; Fund Administration - Pooled
522 Fifth Avenue, Vehicles; prior to joining JPMorgan Chase in 2000, he held
New York, NY 10036; a number of positions in Prudential Financial's asset
1953 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.
99
<Page>
JPMORGAN FUNDS
TAX LETTER (UNAUDITED)
JPMORGAN CALIFORNIA BOND FUND ("CBF")
JPMORGAN INTERMEDIATE TAX FREE INCOME FUND ("ITFI")
JPMORGAN NEW JERSEY TAX FREE INCOME FUND ("NJTFI")
JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND ("NYTFI")
JPMORGAN TAX FREE INCOME FUND ("TFI")
Certain tax information regarding the JPMorgan Mutual Funds is required to be
provided to shareholders based upon the Funds' income and distributions for the
taxable year ended August 31, 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.
For the fiscal year ended August 31, 2004:
- - The dividends paid from net investment income are 99.84%, 99.95%. 99.06%,
99.69 and 99.95% exempt from Federal income tax for CBF, ITFI, NJTFI, NYTFI
and TFI, respectively.
- - The Long-Term Capital gain designation is $2,676,354, $8,599,624, $2,241,968,
$10,182,071 and $8,175,779 for CBF, ITFI, NJTFI, NYTFI, and TFI,
respectively.
- - For shareholders who are subject to the Alternative Minimum Tax, the
percentage of income from private activity bonds issued after August 7, 1986,
which may be considered a tax preference item, was 3.79%, 11.39%, 0.00%,
1.96%, and 2.99% for CBF, ITFI, NJTFI, NYTFI and TFI, respectively.
100
<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.
101
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[JPMORGAN FLEMING ASSET MANAGEMENT LOGO]
JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is
unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective
affiliates receive compensation from JPMorgan Funds for providing services to
the Funds.
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by a prospectus.
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.
No sooner than 30 days after the end of each month, the Fund will make available
upon request a complete uncertified schedule of its portfolio holdings as of the
last day of that month. 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.
<Page>
JPMorgan Funds Fulfillment Center PRSRT STD
6112 W. 73rd Street U.S. POSTAGE
Bedford Park, IL 60638 PAID
PERMIT 2891
KANSAS CITY, MO
(C) J.P. Morgan Chase & Co., 2004 All rights reserved. August 2004. AN-TF-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 OF 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 $199,548 in 2003 and $187,125 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).
<Page>
(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 $26,400 in 2003 and $27,200 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.
<Page>
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.
<Page>
(a)(3) Any written solicitation to purchase securities under Rule
23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered
by the report by or on behalf of the registrant to 10 or more persons.
NOT APPLICABLE.
(b) A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
<Page>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) J.P. Morgan Mutual Fund Select Trust
--------------------------------------------------------------------
By (Signature and Title)* /s/ Stephanie J. Dorsey
-------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date November 5, 2004
----------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Stephanie J. Dorsey
-------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date November 5, 2004
----------------------------------------------------------------------------
By (Signature and Title)* /s/ George C.W. Gatch
-------------------------------------------------------
George C.W. Gatch, President
Date November 9, 2004
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.
- --------------------------------------------------------------------------------