N-CSR 1 d23208-ncsr.htm JPMORGAN TRUST II -- N-CSR

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: 811-04236

 

JPMorgan Trust II

(Exact name of registrant as specified in charter)

 

245 Park Avenue

New York, NY 10167

(Address of principal executive offices) (Zip code)

 

John Fitzgerald

245 Park Avenue

New York, NY 10167

(Name and Address of Agent for Service)

 

Registrant’s telephone number, including area code: (800) 480-4111

 

Date of fiscal year end: Last day of February

 

Date of reporting period: March 1, 2007 through February 29, 2008

 

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.

 

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

 


ANNUAL REPORT   FEBRUARY 29, 2008

JPMorgan Funds

Municipal

Bond

Funds

JPMorgan Arizona Municipal Bond Fund
JPMorgan Kentucky Municipal Bond Fund
JPMorgan Louisiana Municipal Bond Fund
JPMorgan Michigan Municipal Bond Fund
JPMorgan Municipal Income Fund
JPMorgan Ohio Municipal Bond Fund
JPMorgan Short Term Municipal Bond Fund
JPMorgan Tax Free Bond Fund
JPMorgan West Virginia Municipal Bond Fund




CONTENTS

President’s Letter
                 1   
Fund Commentaries:
                       
JPMorgan Arizona Municipal Bond Fund
                 2   
JPMorgan Kentucky Municipal Bond Fund
                 4   
JPMorgan Louisiana Municipal Bond Fund
                 6   
JPMorgan Michigan Municipal Bond Fund
                 8   
JPMorgan Municipal Income Fund
                 10   
JPMorgan Ohio Municipal Bond Fund
                 12   
JPMorgan Short Term Municipal Bond Fund
                 14   
JPMorgan Tax Free Bond Fund
                 16   
JPMorgan West Virginia Municipal Bond Fund
                 18   
Schedules of Portfolio Investments
                 20   
Financial Statements
                 62   
Financial Highlights
                 78   
Notes to Financial Statements
                 92   
Report of Independent Registered Public Accounting Firm
                 101   
Trustees
                 102   
Officers
                 104   
Schedule of Shareholder Expenses
                 105   
Tax Letter
                 108   
 

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 of 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 Funds’ prospectus for a discussion of the Funds’ investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.



PRESIDENT’S LETTER
MARCH 10, 2008 (Unaudited)

Dear Shareholder:

We are pleased to present this annual report for the JPMorgan Municipal Bond Funds for the 12-month period ended February 29, 2008. Inside, you’ll find in-depth information on certain of the Funds along with reports from the portfolio managers.


 
“Despite market volatility, disarray in the credit and sub-prime mortgage markets, increased risk aversion and decelerating economic growth, the U.S. taxable bond market significantly outperformed the stock market, with higher-quality bonds leading the way.”

Bonds outpace stocks

Despite market volatility, disarray in the credit and sub-prime mortgage markets, increased risk aversion and decelerating economic growth, the U.S. taxable bond market significantly outperformed the stock market, with higher-quality bonds leading the way. Bonds, as measured by the Lehman Brothers U.S. Aggregate Index, returned 7.30% for the 12-month period, while stocks, as measured by the S&P 500 Index, returned
–3.60%.

Although municipal securities posted solid performance in 2007, they declined late in the period after several monoline insurers disclosed exposure to sub-prime mortgage debt. The Lehman Brothers Municipal Bond Index returned –1.18% for the 12 months.

Credit problems build

Problems in the credit markets emerged late in the second calendar quarter of 2007. Spread-sector (non-Treasury segments) yields began increasing due to unease about credit quality in the leveraged and sub-investment-grade mortgage markets. Generally, when spreads on a particular group of securities widen, prices fall, yields increase and total return declines, relative to comparable-duration U.S. Treasuries. Liquidity concerns in the markets for non-agency mortgages, high-yield debt and asset-backed securities remained the dominant theme as the period progressed. Given the high degree of uncertainty about exposure to the sub-prime mortgage market, lenders in the primary mortgage market adopted a cautious stance as investors were jolted by unfavorable news and strong volatility.

The commercial paper market impacted virtually all sectors of the fixed income markets, especially entities issuing asset-backed commercial paper. Although the spreads of sectors and companies most directly involved in mortgage-related activities and housing saw the widest swings, almost every part of the market experienced volatility.

Monoline insurers face credit downgrades

In the final months of the period, several financial companies revealed large losses from sub-prime debt exposure, including the financial guaranty industry. Some companies providing insurance protection on municipal securities struggled. Only 28% of January’s municipal supply was insured, compared to the historical average of nearly 50%.

Government responds with rate cuts, stimulus package

In response to credit market and economic growth concerns, the Federal Reserve (Fed) cut interest rates by 225 basis points (bps) during the period, which pushed money market yields lower throughout the year. For example, the yield on the benchmark three-month U.S. Treasury bill fell 320 bps, from 5.01% to 1.81%. The federal government also announced a stimulus plan that would send rebate checks to millions of U.S. homes.

Treasury yields

As the period progressed, the government segments of the fixed income market provided stability for investors. In particular, investors preferred Treasury securities, which advanced 11.39% for the year, as measured by the Lehman Brothers U.S. Treasury Index. Treasury securities were the top performers in the fixed income market, while high-yield and municipal securities were the worst.

The yield curve steepened on U.S. Treasuries during the year, as the shorter end experienced the greatest decline. For example, the yield on the three-year Treasury dropped from 4.55% to 1.87%, while that on the 30-year Treasury fell from 4.68% to 4.41%. Generally, interest rates and prices had an inverse relationship to one another. As demand for the safety of Treasury securities drove prices higher over the period, yields were pushed lower.

On behalf of everyone at JPMorgan Asset Management, thank you for your confidence and the continued 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 contact the JPMorgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

George C.W. Gatch
President
JPMorgan Funds

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   1



JPMorgan Arizona Municipal Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
January 20, 1997
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$152,318
Primary Benchmark
           
Lehman Brothers
Competitive Intermediate
(1–17 Year) Maturities
Index
Average Credit Quality
           
AA1/AA2
Duration
           
5.2 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Arizona Municipal Bond Fund, which seeks current income exempt from federal income tax and Arizona personal income tax, consistent with the preservation of principal,* returned 1.63%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 2.07% return for the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index for the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark. Pre-refunded bonds were strong performers in the flight-to-quality environment characterizing the market during the period. Although the Fund held several pre-refunded bonds, its position was not as large as that of the benchmark, detracting from relative performance.

On the positive side, the Fund’s maturity and quality strategies contributed to performance. Due to an expected steepening of the yield curve, we favored shorter- and intermediate-maturity bonds rather than longer-maturity bonds that were among the yield curve’s worst performers. In addition, our bias toward higher-quality bonds helped returns, as higher-rated securities outperformed lower-rated securities during the period.

Q:
  HOW WAS THE FUND MANAGED?

A:
  We continued to manage the Fund with a conservative bias, favoring high-credit-quality securities over lower-credit-quality securities. As credit spreads widened during the period, our focus on high credit quality aided performance.

CREDIT QUALITY ALLOCATIONS***

AAA
                 62.3 %  
AA
                 23.4   
A
                 9.9   
BAA
                 0.7   
BA & NR
                 3.7   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

2   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 1/20/97                                                   
Without Sales Charge
                                1.30 %            2.31 %            3.63 %  
With Sales Charge*
                                (2.48 )            1.52             3.24   
CLASS B SHARES
                 1/20/97                                                   
Without CDSC
                                0.72             1.66             3.07   
With CDSC**
                                (4.28 )            1.29             3.07   
CLASS C SHARES
                 2/19/05                                                   
Without CDSC
                                0.78             1.66             2.94   
With CDSC***
                                (0.22 )            1.66             2.94   
SELECT CLASS SHARES
                 1/20/97             1.63             2.58             3.88   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

***  
  Assumes a 1% CDSC for the one-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

Returns for Class C Shares prior to its inception are based on the performance of Class B Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Arizona Municipal Bond Fund, the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined 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 Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   3



JPMorgan Kentucky Municipal Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
March 12, 1993
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$78,093
Primary Benchmark
           
Lehman Brothers
Competitive Intermediate
(1–17 Year) Maturities
Index
Average Credit Quality
           
AAA/AA1
Duration
           
5.4 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Kentucky Municipal Bond Fund, which seeks current income exempt from federal income tax and Kentucky personal income tax, consistent with the preservation of principal,* returned 1.23%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 2.07% return for the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index for the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark for the period, as exposure to longer-term spread securities, including zero-coupon and healthcare-related bonds, detracted from performance. A flight-to-quality environment emerged during the second half of the period, causing the yield curve to steepen and spreads to widen. As a result, the Fund’s longer-term spread securities suffered. Generally, when spreads on a particular group of securities widen, prices fall, yields increase and total return declines, relative to comparable-duration U.S. Treasuries. On the positive side, the Fund’s duration, or sensitivity to interest rate changes, aided relative performance, as its duration extended less than that of the benchmark.

The period opened with the typical seasonal factors — an increase in new-issue supply and pressures from income-tax-related selling — pushing rates higher. These forces eventually eased but were immediately replaced by concerns regarding the strength of the U.S. economy and the growing magnitude of the sub-prime mortgage crises, which impacted financial markets, leading to extensive spread-widening and a marked reduction in investor demand. The resulting liquidity crunch and indications of an economic slowdown led to a series of Federal Reserve rate cuts beginning in September 2007. Initially, the municipal market responded favorably, with short-term rates declining, the yield curve steepening and spreads stabilizing. This climate changed quickly, though, as a large number of auctions for tax-exempt auction-rate securities began to fail in January, pushing their rates to pre-set levels. This triggered an unwinding of arbitrage programs and an increase of new supply, dramatically increasing tax-free rates and significantly widening spreads.

During the period, tax-free rates increased, the yield curve steepened and spreads widened. Consequently, prices of municipal securities declined, with income alone accounting for positive total returns.

Q:
  HOW WAS THE FUND MANAGED?

A:
  Although we maintained a slightly defensive interest rate strategy relative to the benchmark, we modestly extended the Fund’s option-adjusted duration throughout the period to keep pace with the benchmark. Specifically, we extended duration from 4.9 to 5.4 years, compared to the benchmark’s duration of 4.8 to 5.6 years, from beginning to end of the period.

We continued to favor high-quality, intermediate-term securities. Given the single-state nature of the Fund, we held investments in most market sectors. Nevertheless, we continued to avoid the corporate-backed sector, given still-tight yield spreads and potential credit concerns associated with a weakening economy. We also managed the Fund with the shareholder’s tax position in mind, as the number of holdings subject to the alternative minimum tax remained relatively small.

CREDIT QUALITY ALLOCATIONS***

AAA
                 81.9 %  
AA
                 14.6   
A
                 3.2   
BA & NR
                 0.3   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

4   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 1/20/95                                                   
Without Sales Charge
                                0.97 %            2.33 %            3.59 %  
With Sales Charge*
                                (2.78 )            1.56             3.20   
CLASS B SHARES
                 3/16/95                                                   
Without CDSC
                                0.31             1.68             3.07   
With CDSC**
                                (4.69 )            1.31             3.07   
SELECT CLASS SHARES
                 3/12/93             1.23             2.60             3.86   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Kentucky Municipal Bond Fund, the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined 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 Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   5



JPMorgan Louisiana Municipal Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
December 29, 1989
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$69,332
Primary Benchmark
           
Lehman Brothers
Competitive Intermediate
(1–17 Year) Maturities
Index
Average Credit Quality
           
AA1/AA2
Duration
           
5.3 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Louisiana Municipal Bond Fund, which seeks current income exempt from federal income tax and Louisiana personal income tax, consistent with the preservation of principal,* returned 0.59%** (Class A Shares) for the 12 months ended February 29, 2008, compared to the 2.07% return for the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index for the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark for the period, as exposure to longer-term spread securities, including zero-coupon and healthcare-related bonds, detracted from performance. A flight-to-quality environment emerged during the second half of the period, causing the yield curve to steepen and spreads to widen. As a result, the Fund’s longer-term spread securities suffered. Generally, when spreads on a particular group of securities widen, prices fall, yields increase and total return declines, relative to comparable-duration U.S. Treasuries. On the positive side, the Fund’s duration, or sensitivity to interest rate changes, aided relative performance, as its duration extended less than that of the benchmark.

The period opened with the typical seasonal factors — an increase in new-issue supply and pressures from income-tax-related selling — pushing rates higher. These forces eventually eased but were immediately replaced by concerns regarding the strength of the U.S. economy and the growing magnitude of the sub-prime mortgage crises, which impacted the financial markets, leading to extensive spread-widening and a marked reduction in investor demand. The resulting liquidity crunch and indications of an economic slowdown led to a series of Federal Reserve rate cuts beginning in September 2007. Initially, the municipal market responded favorably, with short-term rates declining, the yield curve steepening and spreads stabilizing. This climate changed quickly, though, as a large number of auctions for tax-exempt auction-rate securities began to fail in January, pushing their rates to pre-set levels. This triggered an unwinding of arbitrage programs and an increase of new supply, dramatically increasing tax-free rates and significantly widening spreads.

During the period, tax-free rates increased, the yield curve steepened and spreads widened. Consequently, prices for municipal securities declined, with income alone accounting for positive total returns.

Q:
  HOW WAS THE FUND MANAGED?

A:
  Although we maintained a slightly defensive interest rate strategy relative to the benchmark, we modestly extended the Fund’s option-adjusted duration throughout the period to keep pace with the benchmark. Specifically, we extended duration from 4.8 to 5.3 years, compared to the benchmark’s 4.8 to 5.6 years from beginning to end of the period.

We continued to favor high-quality, intermediate-term securities. Given the single-state nature of the Fund, we held investments in most market sectors. Nevertheless, we continued to avoid the corporate-backed sector, due to the still-tight yield spreads and potential credit concerns associated with a weakening economy. We also managed the Fund with the shareholder’s tax position in mind, as the number of holdings subject to the alternative minimum tax (AMT) remained relatively small.

CREDIT QUALITY ALLOCATIONS***

AAA
                 84.5 %  
AA
                 3.0   
A
                 9.1   
BAA
                 0.4   
BA & NR
                 3.0   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

6   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 12/29/89                                                   
Without Sales Charge
                                0.59 %            2.22 %            3.55 %  
With Sales Charge*
                                (3.18 )            1.44             3.16   
CLASS B SHARES
                 9/16/94                                                   
Without CDSC
                                (0.09 )            1.56             3.02   
With CDSC**
                                (5.09 )            1.19             3.02   
SELECT CLASS SHARES
                 3/26/96             0.85             2.48             3.82   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Louisiana Municipal Bond Fund, the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined 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.

Class A Shares have a $1,000 minimum initial investment and carry a 3.75% sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   7



JPMorgan Michigan Municipal Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
February 1, 1993
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$241,995
Primary Benchmark
           
Lehman Brothers
Competitive Intermediate
(1–17 Year) Maturities Index
Average Credit Quality
           
AA1/AA2
Duration
           
5.3 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Michigan Municipal Bond Fund, which seeks current income exempt from federal income tax and Michigan personal income tax, consistent with the preservation of principal,* returned 1.29%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 2.07% return for the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index for the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark. Pre-refunded bonds were strong performers in the flight-to-quality environment characterizing the market during the period. Although the Fund held several pre-refunded bonds, our position was not as large as that of the benchmark, detracting from relative performance.

On the positive side, our maturity and quality strategies benefited the Fund. Due to an expected steepening of the yield curve, we favored shorter- and intermediate-maturity bonds rather than longer-maturity bonds that were among the yield curve’s worst performers. In addition, our bias toward higher-quality bonds contributed as higher-rated securities outperformed lower-rated securities during the period.

Q:
  HOW WAS THE FUND MANAGED?

A:
  We continued to manage the Fund with a conservative bias, favoring high-credit-quality securities over lower-credit-quality securities. As credit spreads widened during the period, our focus on high credit quality aided performance. To enhance the Fund’s geographic diversification, we maintained a relatively high weighting (within prospectus guidelines) in securities issued outside Michigan. We believe this is a prudent strategy, given Michigan’s weak economy.

CREDIT QUALITY ALLOCATIONS***

AAA
                 65.4 %  
AA
                 20.0   
A
                 10.9   
BAA
                 1.2   
BA & NR
                 2.5   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

8   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 2/1/93                                                   
Without Sales Charge
                                0.93 %            2.36 %            3.67 %  
With Sales Charge*
                                (2.81 )            1.57             3.27   
CLASS B SHARES
                 9/23/96                                                   
Without CDSC
                                0.37             1.74             3.16   
With CDSC**
                                (4.63 )            1.36             3.16   
CLASS C SHARES
                 2/19/05                                                   
Without CDSC
                                0.47             1.77             3.05   
With CDSC***
                                (0.53 )            1.77             3.05   
SELECT CLASS SHARES
                 2/1/93             1.29             2.63             3.93   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

***  
  Assumes a 1% CDSC for the one-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The predecessor to the Fund commenced operations on February 1, 1993. The performance data includes the performance of the Pegasus Michigan Municipal Bond Fund, which consolidated with the Fund on March 22, 1999. Returns for Class C Shares prior to its inception are based on the performance of Class B Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Michigan Municipal Bond Fund, the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined 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 Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   9



JPMorgan Municipal Income Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
February 9, 1993
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$1,651,150
Primary Benchmark
           
Lehman Brothers
Competitive Intermediate
(1–17 Year) Maturities
Index
Average Credit Quality
           
AA2/AA3
Duration
           
5.1 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Municipal Income Fund, which seeks current income exempt from federal income taxes,* returned 0.89%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 2.07% return for the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index for the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark for the period, its emphasis on spread sectors detracted from performance. Spread sectors, such as credit and housing bonds, significantly underperformed higher-quality sectors as spread and liquidity premiums widened dramatically in the latter half of the reporting period. Generally, when spreads on a particular group of securities widen, prices fall, yields increase and total return declines, relative to comparable-duration U.S. Treasuries. Given the Fund’s emphasis on spread sectors, the Fund underperformed its benchmark for the reporting period. The global credit crisis had a dramatic impact on the municipal bond market. The repricing of credit risk began in July 2007, when sub-prime mortgage problems began to unfold and the fallout spread rapidly though the credit markets. Credit problems at monoline insurers and liquidity issues stemming from the unwinding of leveraged positions also negatively influenced the municipal bond market.

On the positive side, the Fund’s yield curve positioning was favorable, given the dramatic steepening of the curve during the 12 months. The Fund was somewhat underweight on the longer end of the curve, which contributed to performance.

Q:
  HOW WAS THE FUND MANAGED?

A:
  Earlier in the period, we focused on the housing and credit sectors, as well as other bonds offering a yield premium relative to the benchmark. As the credit crisis emerged, we invested new cash flows in high-quality sectors, such as pre-refunded bonds. However, while the focus of our new investments was on high-quality sectors, we remained overweight in the housing and credit sectors, which were impacted by spread-widening. Given uncertainty about the direction of interest rates, we kept the Fund’s duration relatively close to that of the benchmark.

CREDIT QUALITY ALLOCATIONS***

AAA
                 58.4 %  
AA
                 20.3   
A
                 12.9   
BAA
                 5.6   
BA & NR
                 2.8   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

10   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 2/23/93                                                   
Without Sales Charge
                                0.73 %            2.60 %            3.57 %  
With Sales Charge*
                                (3.02 )            1.82             3.18   
CLASS B SHARES
                 1/14/94                                                   
Without CDSC
                                0.10             1.98             3.04   
With CDSC**
                                (4.90 )            1.60             3.04   
CLASS C SHARES
                 11/4/97                                                   
Without CDSC
                                0.13             1.99             2.93   
With CDSC***
                                (0.87 )            1.99             2.93   
SELECT CLASS SHARES
                 2/9/93             0.89             2.86             3.83   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

***  
  Assumes a 1% CDSC for the one-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Municipal Income Fund, the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined 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 Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   11



JPMorgan Ohio Municipal Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
July 2, 1991
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$214,941
Primary Benchmark
           
Lehman Brothers
Competitive Intermediate
(1–17 Year) Maturities
Index
Average Credit Quality
           
AA1/AA2
Duration
           
5.2 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Ohio Municipal Bond Fund, which seeks current income exempt from federal income tax and Ohio personal income tax, consistent with the preservation of principal,* returned 1.53%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 2.07% return for the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index for the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark for the period, as exposure to longer-term spread securities, including zero-coupon, tobacco and healthcare-related bonds, detracted from performance. A flight-to-quality environment emerged during the second half of the period, causing the yield curve to steepen and spreads to widen. As a result, the Fund’s longer-term spread securities suffered. Generally, when spreads on a particular group of securities widen, prices fall, yields increase and total return declines, relative to comparable-duration U.S. Treasuries. On the positive side, the Fund’s duration, or sensitivity to interest rate changes, aided relative performance as its duration extended less than that of the benchmark.

The period opened with the typical seasonal factors — an increase in new-issue supply and pressures from income-tax-related selling — pushing rates higher. These forces eventually eased but were immediately replaced by concerns regarding the strength of the U.S. economy and the growing magnitude of the sub-prime mortgage crises, which impacted the financial markets, leading to extensive spread-widening and a marked reduction in investor demand. The resulting liquidity crunch and indications of an economic slowdown led to a series of Federal Reserve rate cuts beginning in September 2007. Initially, the municipal market responded favorably, with short-term rates declining, the yield curve steepening and spreads stabilizing. This climate changed quickly, though, as a large number of auctions for tax-exempt auction-rate securities began to fail in January, pushing their rates to pre-set levels. This triggered an unwinding of arbitrage programs and an increase of new supply, dramatically increasing tax-free rates and significantly widening spreads.

During the period, tax-free rates increased, the yield curve steepened and spreads widened. The net result was a decline in prices for municipal securities, with income alone accounting for positive total returns.

Q:
  HOW WAS THE FUND MANAGED?

A:
  Although we maintained a slightly defensive interest rate strategy relative to the benchmark, we modestly extended the Fund’s option-adjusted duration throughout the period to keep pace with the benchmark. Specifically, we extended duration from 4.9 to 5.2 years, compared to the benchmark’s duration of 4.8 to 5.6 years, from the beginning to end of the period.

We continued to favor high-quality, intermediate-term securities. Given the single-state nature of the Fund, we held investments in most market sectors. Nevertheless, we continued to avoid the corporate-backed sector, due to the still-tight yield spreads and potential credit concerns associated with a weakening economy. We also managed the Fund with the shareholder’s tax position in mind, as the number of holdings subject to the alternative minimum tax remained relatively small.

CREDIT QUALITY ALLOCATIONS***

AAA
                 59.1 %  
AA
                 23.1   
A
                 10.4   
BAA
                 5.1   
BA & NR
                 2.3   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

12   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 2/18/92                                                   
Without Sales Charge
                                1.18 %            2.44 %            3.67 %  
With Sales Charge*
                                (2.59 )            1.66             3.28   
CLASS B SHARES
                 1/14/94                                                   
Without CDSC
                                0.62             1.79             3.13   
With CDSC**
                                (4.38 )            1.41             3.13   
CLASS C SHARES
                 2/19/05                                                   
Without CDSC
                                0.64             1.80             3.00   
With CDSC***
                                (0.36 )            1.80             3.00   
SELECT CLASS SHARES
                 7/2/91             1.53             2.70             3.93   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

***  
  Assumes a 1% CDSC for the one-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class C Shares prior to its inception are based on the performance of Class B Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Ohio Municipal Bond Fund, the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined 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 Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   13



JPMorgan Short Term Municipal Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
May 4, 1998
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$227,281
Primary Benchmark
           
Lehman Brothers Short
Municipal Bond Index
Average Credit Quality
           
A1/A2
Duration
           
2.3 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Short Term Municipal Bond Fund, which seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal,* returned 3.63%** (Select Class Shares) for the 12 months ended February 29, 2009, compared to the 4.89% return for the Lehman Brothers Short Municipal Bond Index during the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark for the period due primarily to its modest underweight of shorter-term (one- to two-year) securities. As the Federal Reserve implemented an aggressive rate-cutting campaign, short-term interest rates declined sharply and the yield curve steepened. In this environment, shorter-term securities outperformed longer-term securities. Therefore, our underweight at the shorter end of the curve, relative to the benchmark, detracted from performance.

On the positive side, an effort to upgrade the Fund’s overall credit quality helped performance during the year. Focusing on higher-quality securities was an effective strategy, as spreads widened and lower-quality securities underperformed throughout the period. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries.

Q:
  HOW WAS THE FUND MANAGED?

A:
  We managed the Fund with a defensive posture toward the bond insurance industry. In the second half of the period, fears regarding the monoline insurers’ exposure to sub-prime debt intensified, eventually leading to some ratings downgrades. We employed a strategy of focusing on bonds with attractive fundamental and trading characteristics, regardless of insurance coverage. During this process, we exited certain monoline credits altogether and reduced exposure to names that were vulnerable to downgrades, well ahead of the ratings agencies’ actions.

CREDIT QUALITY ALLOCATIONS***

AAA
                 36.5 %  
AA
                 26.2   
A
                 17.0   
BAA
                 11.1   
BA & NR
                 9.2   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

14   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    SINCE
INCEPTION
CLASS A SHARES
                 5/4/98                                                   
Without Sales Charge
                                3.38 %            2.15 %            3.23 %  
With Sales Charge*
                                1.08             1.68             3.00   
CLASS B SHARES
                 5/4/98                                                   
Without CDSC
                                2.89             1.65             2.92   
With CDSC**
                                (0.11 )            1.65             2.92   
CLASS C SHARES
                 11/1/01             2.90             1.64             2.72   
SELECT CLASS SHARES
                 5/4/98             3.63             2.40             3.51   
 


*  
  Sales Charge for Class A Shares is 2.25%.

**  
  Assumes 3% CDSC (contingent deferred sales charge) for the one-year period and 0% CDSC for the five-year period and thereafter.

LIFE OF FUND PERFORMANCE (5/4/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The predecessor to the Fund commenced operations on May 4, 1998. The performance data includes the performance of the Pegasus Short Municipal Bond Fund for the period before it was consolidated with the Fund on March 22, 1999. Returns for Class C Shares prior to its inception are based on the performance of Select Class Shares. Returns for Class C Shares have been adjusted to reflect the differences in expenses and sales charges between classes.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short Term Municipal Bond Fund, the Lehman Brothers Short Municipal Bond Index, and the Lipper Short Municipal Debt Funds Index from May 4, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund’s inception. The performance of the Lehman Brothers Short Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Short Municipal Bond Index is an unmanaged index of investment-grade, tax-exempt municipal bonds with short-term maturities. The Lipper Short Municipal Debt Funds Index represents the total returns of certain mutual funds within the Fund’s designated category as determined 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 Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Because Class B shares automatically convert to Class A shares after 6 years, the Since Inception average total return shown above for Class B reflects Class A performance for the period after conversion.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   15



JPMorgan Tax Free Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
March 1, 1988
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$887,885
Primary Benchmark
           
Lehman Brothers
Municipal Bond Index
Average Credit Quality
           
AA1/AA2
Duration
           
6.0 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan Tax Free Bond Fund, which seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal,* returned –0.85%** (Class A Shares, no sales charge) for the 12 months ended February 29, 2008, compared to the –1.18% return of the Lehman Brothers Municipal Bond Index for the same period.

Q:
  Why did the Fund perform this way?

A:
  The Fund outperformed its benchmark, with the combination of our high-credit-quality focus and favorable yield-curve positioning accounting for the performance advantage. We positioned the Fund to benefit from an anticipated steepening movement in the yield curve. A flight- to-quality environment emerged during the second half of the period, and the yield curve subsequently steepened, which contributed to the Fund’s outperformance. In addition, we maintained a slightly shorter duration than the benchmark, which helped relative performance, particularly as rates increased late in the period.

On the negative side, in the focus on quality that characterized the market, spreads widened, leading to poor performance of the Fund’s tobacco revenue bonds. Generally, when spreads on a particular group of securities widen, prices fall, yields increase and total return declines, relative to comparable-duration U.S. Treasuries. In addition, certain insured holdings in the Fund underperformed, as several monoline insurers faced ratings downgrades during the period. The downgrades of the insurers — not the underlying securities — caused insured securities to underperform the higher-quality sector of the market.

Q:
  HOW WAS THE FUND MANAGED?

A:
  Throughout most of the period, we kept the Fund underweight in the longer end of the yield curve. We increased the Fund’s exposure to California-issued bonds, which benefited the Fund’s overall performance as spreads on these securities tightened during the period. We also maintained our high-quality bias, which helped performance in the risk-averse climate, and we continued to sell specialty state paper into pockets of retail demand.

Toward the end of the period, we maintained the Fund’s neutral-duration position relative to the benchmark. This effort helped limit the Fund’s interest rate risk compared to the benchmark. As is consistent with our tax-advantaged strategy, we maintained the Fund’s relatively low exposure to securities subject to the alternative minimum tax.

CREDIT QUALITY ALLOCATIONS***

AAA
                 65.5 %  
AA
                 21.3   
A
                 10.4   
BAA
                 2.4   
BA & NR
                 0.4   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

16   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 3/1/88                                                   
Without Sales Charge
                                (0.85 )%            2.67 %            4.02 %  
With Sales Charge*
                                (4.60 )            1.89             3.63   
CLASS B SHARES
                 4/4/95                                                   
Without CDSC
                                (1.55 )            1.98             3.46   
With CDSC**
                                (6.55 )            1.60             3.46   
SELECT CLASS SHARES
                 2/1/95             (0.67 )            2.87             4.24   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The predecessor to the Fund commenced operations on March 1, 1988. The performance data includes the performance of the Pegasus Municipal Bond Fund and its predecessor for the period before it was consolidated with the Fund on March 22, 1999.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Tax Free Bond Fund, the Lehman Brothers Municipal Bond Index and the Lipper General Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Lehman Brothers Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper General Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Municipal Bond Index is a total return performance benchmark for the long-term, investment-grade tax-exempt bond market. The Lipper General Municipal Debt Funds Index represents the total returns of the 30 largest mutual funds in the indicated category as determined 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.

Class A Shares have a $1,000 minimum initial investment and carry a 3.75% sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   17



JPMorgan West Virginia Municipal Bond Fund

FUND COMMENTARY
AS OF FEBRUARY 29, 2008 (Unaudited)

FUND FACTS

Fund Inception
           
January 20, 1997
Fiscal Year End
           
Last day of February
Net Assets as of 2/29/2008
(In Thousands)
           
$90,065
Primary Benchmark
           
Lehman Brothers
Competitive Intermediate
(1–17 Year) Maturities
Index
Average Credit Quality
           
AA1/AA2
Duration
           
4.9 Years
 
Q:
  HOW DID THE FUND PERFORM?

A:
  The JPMorgan West Virginia Municipal Bond Fund, which seeks current income exempt from federal income tax and West Virginia personal income tax, consistent with the preservation of principal,* returned 1.80%** (Select Class Shares) over the 12 months ended February 29, 2008, compared to the 2.07% return for the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index for the same period.

Q:
  WHY DID THE FUND PERFORM THIS WAY?

A:
  The Fund underperformed its benchmark for the period due in part to its longest-maturity bonds, which were among the worst performers for the period. The yield curve steepened over the year, leading to poor relative performance among longer-term bonds. While the steepening caused yields on longer-term bonds to increase, it pushed prices lower.

On the positive side, given the expected steepening of the curve, we focused on short- and intermediate-term bonds during the period, which contributed to performance. The Fund’s bias toward higher-quality bonds also helped returns, as higher-rated securities outperformed lower-rated securities. For example, in the flight-to-quality environment that characterized the market, pre-refunded bonds were strong performers. The Fund’s sizeable position in pre-refunded and escrowed-to-maturity bonds aided results.

Q:
  HOW WAS THE FUND MANAGED?

A:
  We continued to manage the Fund with a conservative bias, favoring high-credit-quality securities over lower-credit-quality securities. As credit spreads widened during the period, our focus on high credit quality aided performance.

CREDIT QUALITY ALLOCATIONS***

AAA
                 65.0 %  
AA
                 13.5   
A
                 19.1   
BA & NR
                 2.4   
 


*  
  The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**  
  The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.

***  
  Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change.

18   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008





AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2008

        INCEPTION DATE
OF CLASS
    1 YEAR
    5 YEAR
    10 YEAR
CLASS A SHARES
                 1/20/97                                                   
Without Sales Charge
                                1.53 %            2.44 %            3.68 %  
With Sales Charge*
                                (2.26 )            1.66             3.29   
CLASS B SHARES
                 1/20/97                                                   
Without CDSC
                                0.85             1.77             3.15   
With CDSC**
                                (4.15 )            1.40             3.15   
SELECT CLASS SHARES
                 1/20/97             1.80             2.69             3.94   
 


*  
  Sales Charge for Class A Shares is 3.75%.

**  
  Assumes 5% CDSC (contingent deferred sales charge) for the one-year period, a 2% CDSC for the five-year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (2/28/98 TO 2/29/08)


 

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan West Virginia Municipal Bond Fund, the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 1998 to February 29, 2008. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Lehman Brothers Competitive Intermediate (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined 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 Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.

Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, 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.

Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   19



JPMorgan Arizona Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION (t)
  
VALUE($)
Long-Term Investments — 95.1%
             
Municipal Bonds — 95.1%
             
Arizona — 85.5%
835            
Arizona Municipal Financing Program, Series 20, COP, VAR, BIG, 7.70%, 08/01/10 (p)
         899    
2,500            
Arizona Power Authority, Crossover, Series A, Rev., SO, 5.25%, 10/01/17
         2,686   
             
Arizona School Facilities Board,
               
1,500            
Series A, COP, MBIA, 5.00%, 09/01/12
         1,594   
3,000            
Series A, COP, MBIA, 5.25%, 03/01/13 (p)
         3,252   
2,850            
Arizona School Facilities Board, State School Improvement, Rev., 5.25%, 07/01/12 (p)
         3,066   
2,700            
Arizona School Facilities Board, State School Trust, Rev., AMBAC, 5.00%, 07/01/18
         2,817   
2,000            
Arizona State Transportation Board, Maricopa County Regional Area Road Funding, Rev., 5.00%, 07/01/13
         2,145   
             
Arizona State Transportation Board Highway,
               
500            
Rev., 6.00%, 07/01/09
         520    
2,000            
Series A, Rev., 5.25%, 07/01/12
         2,151   
3,000            
Series B, Rev., 5.25%, 07/01/12
         3,156   
             
Arizona State University,
               
1,500            
Rev., FSA, 5.25%, 07/01/12
         1,619   
2,000            
Rev., FSA, 5.25%, 07/01/12
         2,151   
2,630            
Series A, COP, FSA, 5.00%, 11/01/11
         2,796   
             
Arizona State University, Board of Regents,
               
2,000            
COP, MBIA, 5.00%, 07/01/17
         2,093   
1,000            
COP, MBIA, 5.00%, 07/01/17
         1,033   
             
Arizona Student Loan Acquisition Authority,
               
1,030            
Series A-1, Rev., GTD Student Loans, 5.40%, 11/01/09
         1,072   
1,000            
Series A-1, Rev., GTD Student Loans, 5.88%, 11/01/09
         1,037   
             
Arizona Water Infrastructure Finance Authority, Water Quality,
               
1,000            
Series A, Rev., 5.38%, 10/01/09
         1,039   
2,250            
Series A, Rev., 5.38%, 10/01/11 (p)
         2,415   
1,600            
Series A, Rev., 5.50%, 10/01/09
         1,667   
1,110            
Series A, Rev., 5.63%, 10/01/09
         1,160   
2,000            
Series A, Rev., 5.75%, 10/01/09
         2,097   
1,665            
City of Casa Grande, Excise Tax, Rev., AMBAC, 5.00%, 04/01/14
         1,692   
3,000            
City of Gilbert, GO, MBIA, 5.00%, 07/01/16
         3,211   
1,520            
City of Glendale IDA, Midwestern University, Rev., 5.00%, 05/15/14
         1,571   
1,090            
City of Mesa, GO, FGIC, 5.38%, 07/01/14
         1,176   
3,000            
City of Mesa IDA, Discovery Health Systems, Series A, Rev., MBIA, 5.63%, 01/01/10 (p)
         3,165   
1,000            
City of Mesa, Street & Highway, Rev., FSA, 5.00%, 07/01/12
         1,065   
3,000            
City of Mesa, Utility Systems, Rev., FGIC, 5.00%, 07/01/20
         3,026   
             
City of Peoria,
               
1,000            
GO, FGIC, 5.00%, 04/01/09 (p)
         1,024   
850            
GO, FGIC, 5.40%, 04/01/09 (p)
         874    
2,000            
City of Phoenix, GO, 5.88%, 07/01/10 (p)
         2,128   
130            
City of Phoenix IDA, Statewide, Series A, Rev., GNMA/FNMA/FHLMC COLL, 5.35%, 03/25/08
         130    
690            
City of Phoenix, Street & Highway, Rev., 6.50%, 04/04/08 (p)
         709    
2,500            
City of Phoenix, Street & Highway, Capital Appreciation, Junior Lien, Series A, Rev., FGIC, Zero Coupon, 07/01/12
         2,116   
2,000            
City of Phoenix, Various Purpose, Series A, GO, 5.00%, 07/01/16
         2,152   
             
City of Scottsdale,
               
655            
GO, 5.25%, 07/01/11 (p)
         704    
1,430            
Rev., 5.25%, 07/01/21
         1,499   
1,875            
Rev., 5.25%, 07/01/23
         1,935   
2,000            
GO, 5.75%, 07/01/09 (p)
         2,078   
1,345            
City of Scottsdale, Unrefunded Balance, GO, 5.25%, 07/01/11
         1,424   
             
City of Tempe, Excise Tax,
               
1,125            
Rev., 5.00%, 07/01/16
         1,197   
970            
Series A, Rev., 5.63%, 07/01/09 (p)
         1,006   
1,500            
City of Tucson, GO, MBIA, 5.00%, 07/01/18
         1,572   
1,000            
City of Tucson, Airport Authority, Inc., Rev., FSA, 5.00%, 06/01/12
         1,059   
1,725            
City of Tucson, Street & Highway, Junior Lien, Series 1994-E, Rev., FGIC, 5.50%, 07/01/10 (p)
         1,824   
             
Greater Arizona Development Authority,
               
1,000            
Series A, Rev., MBIA, 5.00%, 08/01/15
         975    
1,235            
Series A, Rev., MBIA, 5.60%, 08/01/08
         1,271   
2,000            
Maricopa County, Elementary School District No. 28-Kyrene Elementary, Capital Appreciation, Series C, GO, FGIC, Zero Coupon, 01/01/11
         1,813   
1,000            
Maricopa County, High School District No 210-Phoenix, GO, FSA, 5.25%, 07/01/19
         1,061   
1,265            
Maricopa County, School District No. 38-Madison Elementary, Project of 2004, Series A, GO, MBIA, 5.00%, 07/01/15
         1,285   
1,225            
Maricopa County, Unified School District No. 4-Mesa, GO, FSA, 5.00%, 07/01/11
         1,300   

SEE NOTES TO FINANCIAL STATEMENTS.

20   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008






PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Arizona — Continued
1,020            
Maricopa County, Unified School District No. 11-Peoria, Unrefunded Balance, School Improvement, GO, FGIC, 4.75%, 07/01/11
            1,055   
             
Maricopa County, Unified School District No. 69-Paradise Valley,
               
3,100            
GO, AMBAC, 5.80%, 07/01/09
         3,225   
1,000            
GO, MBIA, 6.35%, 07/01/10
         1,073   
1,000            
Maricopa County, Unified School District No. 69-Paradise Valley, Certificates Ownership, Series A, GO, FGIC, 5.25%, 07/01/14
         1,081   
2,950            
Maricopa County IDA, Capital Appreciation, Series 1983A, Rev., Zero Coupon, 12/31/14 (p)
         2,278   
1,905            
Navajo County Unified School District No. 20, Projects of 2005, Series A, Rev., MBIA, 5.00%, 07/01/18
         1,951   
1,500            
Northern Arizona University, COP, AMBAC, 5.00%, 09/01/15
         1,489   
1,380            
Phoenix Civic Improvement Corp., Airport Improvement, Senior Lien, Series B, Rev., 6.00%, 04/04/08
         1,384   
3,000            
Phoenix Civic Improvement Corp., Sub Lien Series B, Rev., MBIA, 5.00%, 07/01/15
         3,203   
             
Pima County, Justice Building Project,
               
1,065            
Series A, COP, AMBAC, 5.00%, 07/01/16
         1,118   
1,000            
Series A, COP, AMBAC, 5.00%, 07/01/17
         1,041   
1,560            
Pima County, Unified School District No. 12 Sunnyside, GO, FSA, 5.00%, 07/01/14
         1,682   
145            
Pima County IDA, Series A, Rev., 6.40%, 04/04/08
         145    
             
Scottsdale Municipal Property Corp.,
               
2,500            
Rev., 5.00%, 07/01/14
         2,700   
3,000            
Rev., 5.00%, 07/01/17
         3,211   
1,000            
Show Low IDA, Navapache Regional Medical Center, Series A, Rev., ACA, 5.50%, 04/04/08
         991    
1,670            
Tucson Airport Authority, Inc., Sub Lien, Rev., AMT, MBIA, 5.00%, 12/01/16
         1,652   
3,000            
Tucson & Prima County IDA, Series B, Rev., GNMA/FNMA/FHLMC, 4.60%, 06/01/17
         3,016   
             
University of Arizona,
               
1,365            
Series A, COP, AMBAC, 5.00%, 06/01/15
         1,388   
145            
Series A, COP, AMBAC, 5.50%, 06/01/12
         152    
1,555            
Series A, COP, AMBAC, 5.50%, 06/01/12 (p)
            1,672   
1,000            
Series B, COP, AMBAC, 5.00%, 06/01/15
         1,000   
1,100            
Yavapai County IDA, Yavapai Regional Medical Center, Series A, Rev., FSA, 5.13%, 04/04/08
         1,122   
3,000            
Yuma County IDA, Multi-Family Mortgage, Series A, Rev., GNMA COLL, 6.10%, 09/20/09
         3,097   
1,000            
Yuma County IDA, Yuma Regional Medical Center, Rev., MBIA, 5.50%, 04/04/08 (p)
         1,022   
             
 
         130,255   
             
California — 2.0%
3,000            
State of California, GO, 5.00%, 09/01/16
         3,090   
             
Georgia — 1.2%
2,000            
Main Street Natural Gas, Inc., Series A, Rev., 5.25%, 09/15/20
         1,820   
             
Illinois — 2.0%
1,000            
City of Chicago, Neighborhoods Alive 21 Program, GO, AMBAC, 5.00%, 01/01/14 (p)
         1,069   
1,000            
City of Chicago, Wastewater Transmission, Second Lien, Series B, Rev., FGIC, 5.00%, 01/01/17
         987    
1,000            
State of Illinois, GO, 5.00%, 01/01/16
         1,018   
             
 
         3,074   
             
New York — 1.4%
2,000            
New York City, Series D, GO, FGIC-TCRS, 5.00%, 11/01/14
         2,052   
             
Texas — 1.2%
1,700            
Eagle Mountain & Saginaw Independent School District, School Building, GO, PSF-GTD, 5.00%, 08/15/17
         1,734   
             
Wisconsin — 1.1%
1,600            
State of Wisconsin, Series C, GO, 5.00%, 05/01/14
         1,717   
             
West Virginia — 0.7%
1,000            
West Virginia School Building Authority, Capital Improvement, Series A, Rev., FGIC, 5.00%, 07/01/16
         1,047   
             
Total Long-Term Investments
(Cost $144,082)
          144,789   
 

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   21



JPMorgan Arizona Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008 (continued)

(Amounts in thousands)

    
SHARES


  
SECURITY DESCRIPTION
  
VALUE($)
Short-Term Investment — 3.7%
             
Investment Company — 3.7%
5,696            
JPMorgan Tax Free Money Market Fund, Institutional Class (b)
(Cost $5,696)
         5,696   
             
Total Investments — 98.8%
(Cost $149,778)
         150,485   
             
Other Assets in Excess
of Liabilities — 1.2%
         1,833   
             
NET ASSETS — 100.0%
      $ 152,318   
 


Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

22   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008



JPMorgan Kentucky Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION (t)
  
VALUE($)
Long-Term Investments — 99.0%
             
Municipal Bonds — 99.0%
             
Arizona — 1.0%
1,000            
Tucson & Prima Counties, IDA, Capital Appreciation, Series 1983 A, Rev., Zero Coupon, 12/01/14 (p)
             774    
             
California — 3.4%
             
San Marcos, Public Facilities Authority, Custody Receipts,
               
1,715            
Rev., Zero Coupon, 01/01/19 (p)
         1,008   
2,850            
Rev., Zero Coupon, 09/01/19 (p)
         1,622   
             
 
         2,630   
             
Colorado — 0.9%
1,000            
El Paso County, Capital Appreciation, Series A, Rev., Zero Coupon, 09/01/15 (p)
         738    
             
Kansas — 2.5%
1,600            
Kansas City, Single Family Municipal Multiplier, Series A, Rev., FHLMC COLL, Zero Coupon, 12/01/14 (p)
         1,235   
1,000            
Saline County, Single-Family Mortgage, Rev., Zero Coupon, 12/01/15 (p)
         731    
             
 
         1,966   
             
Kentucky — 82.3%
             
Boone County, School District Finance Corp., School Building,
               
1,740            
Series B, Rev., 5.38%, 08/01/10 (p)
         1,851   
1,000            
Series B, Rev., FSA, 5.38%, 08/01/10 (p)
         1,064   
1,225            
Christian County, Public Courthouse Corp., District Court Facility Project, Rev., 5.10%, 11/01/10 (p)
         1,303   
1,010            
City of Bowling Green, GO, 5.25%, 06/01/10
         1,059   
             
City of Richmond Water, Gas & Sewer,
               
100            
Series A, Rev., MBIA, 5.00%, 07/01/08
         103    
255            
Series B, Rev., MBIA, 5.00%, 07/01/08
         261    
             
Fayette County, School District Finance Corp.,
               
2,000            
Rev., 5.38%, 09/15/09 (p)
         2,097   
1,000            
Rev., 5.50%, 09/15/09 (p)
         1,050   
1,645            
Rev., 5.50%, 06/01/10 (p)
         1,752   
450            
Greater Kentucky Housing Assistance Corp., Mortgage, Multi-Family Housing, Section 8 Assisted, Series A, Rev., FHA, 5.90%, 04/04/08
         451    
2,465            
Hardin County, School District Finance Corp., Rev., 5.50%, 02/01/10 (p)
         2,607   
1,000            
Jefferson County, Capital Projects, Series A, Rev., FSA, 4.25%, 06/01/17
         879    
930            
Jefferson County, Health Facilities, Jewish Hospital Healthcare Services, Inc., Rev., 5.65%, 04/04/08
             941    
             
Jefferson County, School District Finance Corp.,
               
2,160            
Series A, Rev., FSA, 4.50%, 07/01/16
         2,073   
1,000            
Series A, Rev., FSA, 5.00%, 04/01/11
         1,031   
1,320            
Series A, Rev., FSA, 5.25%, 07/01/09
         1,361   
1,000            
Series B, Rev., FSA, 5.25%, 07/01/09 (p)
         1,042   
2,115            
Kenton County Airport Board, Cincinnati/Northern Kentucky, Series C, Rev., AMT, MBIA, 5.00%, 03/01/11
         2,180   
             
Kentucky Asset Liability Commission, University of Kentucky Project,
               
1,500            
Series A, Rev., AMBAC, 4.00%, 10/01/16
         1,487   
1,500            
Series A, Rev., AMBAC, 5.00%, 10/01/17
         1,563   
1,000            
Series B, Rev., 5.00%, 10/01/17
         1,019   
1,000            
Kentucky Municipal Power Agency, Prairie State Project, Series A, Rev., MBIA, 5.25%, 09/01/17
         986    
1,000            
Kentucky State Property & Buildings Commission, Project No. 63, Rev., 5.10%, 11/01/09 (p)
         1,037   
2,000            
Kentucky State Property & Buildings Commission, Project No. 64, Rev., MBIA, 5.75%, 11/01/09 (p)
         2,096   
715            
Kentucky State Property & Buildings Commission, Project No. 65, Rev., 6.00%, 02/01/10 (p)
         756    
1,500            
Kentucky State Property & Buildings Commission, Project No. 66, Series A, Rev., MBIA, 5.60%, 05/01/10 (p)
         1,584   
1,000            
Kentucky State Property & Buildings Commission, Project No. 67, Rev., 5.13%, 09/01/10 (p)
         1,052   
1,000            
Kentucky State Property & Buildings Commission, Project No. 71, Rev., MBIA-IBC, 5.50%, 08/01/12
         1,087   
1,335            
Kentucky State Property & Buildings Commission, Project No. 73, Rev., 5.25%, 11/01/11
         1,421   
1,000            
Kentucky State Property & Buildings Commission, Project No. 76, Rev., AMBAC, 5.50%, 08/01/20
         1,065   
1,000            
Kentucky State Property & Buildings Commission, Project No. 82, Rev., FSA, 5.25%, 10/01/18
         1,065   
             
Kentucky State Property & Buildings Commission, Project No. 84,
               
1,000            
Rev., MBIA, 5.00%, 08/01/21
         994    

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   23



JPMorgan Kentucky Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008 (continued)

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Kentucky — Continued
1,175            
Rev., MBIA, 5.00%, 08/01/22
         1,152   
1,500            
Kentucky State Property & Buildings Commission, Project No. 85, Rev., FSA, 5.00%, 08/01/15 (p)
         1,620   
             
Kentucky State Property & Buildings Commission, Project No. 87,
               
1,000            
Rev., FGIC, 5.00%, 03/01/17
         1,016   
2,250            
Rev., FGIC, 5.00%, 03/01/17
         2,261   
1,000            
Kentucky State Turnpike Authority, Series B, Rev., AMBAC, 5.00%, 07/01/16
         1,062   
1,000            
Kentucky State Turnpike Authority, Capital Appreciation Revitalization, Rev., FGIC, Zero Coupon, 01/01/10
         946    
70            
Kentucky State Turnpike Authority, Resource Recovery, Rev., 6.63%, 04/04/08 (p)
         71    
             
Kentucky State Turnpike Authority, Revitalization Projects,
               
1,000            
Rev., AMBAC, 5.50%, 07/01/09
         1,036   
1,000            
Series A, Rev., AMBAC, 5.50%, 07/01/11
         1,074   
25            
Kentucky State Turnpike Authority, Toll Road, Rev., 6.13%, 04/04/08 (p)
         25    
             
Lexington-Fayette County, Urban County Government,
               
1,000            
Series A, Rev., 5.00%, 07/01/11
         1,052   
1,000            
Series D, GO, MBIA, 4.00%, 11/01/16
         964    
1,495            
Louisville & Jefferson County, Metro Government Board of Water Works, Rev., 5.00%, 11/15/16
         1,608   
             
Louisville & Jefferson County, Metropolitan Sewer District,
               
1,000            
Series A, Rev., AMBAC, 5.00%, 05/15/16
         1,025   
1,500            
Series A, Rev., FGIC, 5.50%, 11/15/09
         1,559   
             
Louisville & Jefferson County, Regional Airport Authority,
               
1,000            
Series A, Rev., FSA, 5.75%, 07/01/11
         1,073   
1,420            
Series A, Rev., MBIA, 6.00%, 04/04/08
         1,451   
             
Louisville Regional Airport Authority,
               
1,000            
Rev., AMBAC, 5.00%, 07/01/15
         964    
1,000            
Rev., AMBAC, 5.00%, 07/01/15
         950    
1,000            
Louisville Waterworks Board, Water System, Rev., FSA, 5.13%, 11/15/10
         1,045   
860            
Northern Kentucky University, Student Housing Facilities Project, COP, AMBAC, 5.00%, 12/01/09
         873    
1,060            
Oldham County, School District Financial, Rev., MBIA, 5.00%, 05/01/14
         1,116   
             
 
           64,260   
             
Louisiana — 5.2%
315            
Louisiana Housing Finance Agency, Single Family Mortgage, Series A-1, Rev., GNMA/FNMA, 6.65%, 04/04/08
         320    
1,000            
Louisiana Public Facilities Authority, CR, Series B, Rev., FNMA, Zero Coupon, 12/01/19 (p)
         563    
4,300            
New Orleans Home Mortgage Authority, Compound Interest, Series A, Rev., MBIA, VEREX, Zero Coupon, 10/01/15 (p)
         3,161   
             
 
           4,044   
             
Puerto Rico — 2.8%
1,480            
Commonwealth of Puerto Rico, Capital Appreciation, GO, MBIA-IBC, Zero Coupon, 07/01/17
         974    
2,000            
Puerto Rico Highway & Transportation Authority, Series A, Rev., AMBAC, Zero Coupon, 07/01/17
         1,246   
             
 
         2,220   
             
Texas — 0.9%
1,000            
Central Housing Finance Corp., Single Family Mortgage, Rev., VA/PRIV MTGS, Zero Coupon, 09/01/16 (p)
         695    
             
Total Long-Term Investments
(Cost $75,514)
         77,327   
 

SHARES


  
     
  
     
Short-Term Investment — 0.3%
             
Investment Company — 0.3%
204            
JPMorgan Tax Free Money Market Fund, Institutional Class (b)
(Cost $204)
         204    
             
Total Investments — 99.3%
(Cost $75,718)
         77,531   
             
Other Assets in Excess
of Liabilities — 0.7%
         562   
             
NET ASSETS — 100.0%
      $ 78,093   
 


Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

24   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008



JPMorgan Louisiana Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION (t)
  
VALUE($)
Long-Term Investments — 96.0%
             
Municipal Bonds — 96.0%
             
California — 1.5%
1,000            
State of California, Variable Purpose, GO, 5.00%, 09/01/16
            1,030   
             
Georgia — 1.3%
1,000            
Main Street Natural Gas, Inc., Series A, Rev., 5.50%, 09/15/23
         895    
             
Louisiana — 87.3%
1,000            
Calcasieu Parish Public Trust Authority, Student Lease, McNeese Student Housing Project, Rev., MBIA, 5.38%, 05/01/11
         1,046   
1,125            
Calcasieu Parish School District No. 30, Ward 4, Public School Improvement, GO, FSA, 5.00%, 02/15/12
         1,132   
1,815            
City of New Orleans, Capital Appreciation, GO, AMBAC, Zero Coupon, 09/01/17
         1,132   
495            
City of New Orleans, Home Mortgage Authority, SO, 6.25%, 01/15/11 (p)
         531    
             
City of New Orleans, Sewer Service,
               
1,000            
Rev., FGIC, 5.38%, 06/01/10
         1,005   
1,000            
Rev., MBIA, 5.00%, 06/01/08
         939    
             
City of Shreveport, Certificates of Indebtedness,
               
1,000            
Series A, Rev., AMBAC, 5.00%, 10/01/09
         1,029   
1,000            
Series A, Rev., AMBAC, 5.50%, 10/01/09
         1,051   
2,310            
East Baton Rouge Parish, Public Improvement, Sales & Use Tax, Series A, Rev., FGIC, 5.50%, 02/01/09 (p)
         2,391   
1,000            
Jefferson Sales Tax District, Rev., AMBAC, 5.00%, 12/01/15
         980    
             
Lafayette Parish, Public Improvement, Sales Tax,
               
1,195            
Series B, Rev., FGIC, 5.45%, 03/01/09 (p)
         1,244   
1,985            
Series B, Rev., FGIC, 5.60%, 03/01/09 (p)
         2,070   
1,500            
Louisiana Energy & Power Authority, Rev., FSA, 5.75%, 01/01/13
         1,645   
             
Louisiana Housing Finance Agency, Single Family Mortgage,
               
10            
Series B-1, Rev., GNMA/FNMA COLL, 6.00%, 04/04/08
         10    
305            
Series B-2, AMT, Rev., GNMA/FNMA, FHA/VA MTGS, 4.80%, 04/04/08
         307    
10            
Series D-2, AMT, Rev., GNMA/FNMA COLL, 6.10%, 04/04/08
         10    
3,000            
Louisiana Local Government Environmental Facilities & Community Development Authority, Capital Projects & Equipment Acquisition, Rev., AMBAC, 5.25%, 12/01/18
         3,123   
1,775            
Louisiana Local Government Environmental Facilities & Community Development Authority, Lake Charles Public Improvement Project, Rev., AMBAC, 5.00%, 05/01/17
             1,803   
             
Louisiana Office Facilities Corp., Capitol Complex Program,
               
2,055            
Rev., AMBAC, 5.50%, 05/01/11
         2,180   
1,000            
Series A, Rev., MBIA, 5.13%, 03/01/09
         1,026   
1,000            
Series A, Rev., MBIA, 5.38%, 03/01/09
         1,024   
1,220            
Series A, Rev., MBIA, 5.50%, 03/01/09
         1,257   
35            
Louisiana Public Facilities Authority, Alton Ochsner Medical Foundation Project, Series B, Rev., MBIA, 5.75%, 04/04/08 (p)
         35    
             
Louisiana Public Facilities Authority, CR, Multi-Family Carriage,
               
8,000            
Series A, Rev., FHLMC, Zero Coupon, 02/01/20 (p)
         4,409   
7,000            
Series B, Rev., FNMA, Zero Coupon, 12/01/19 (p)
         3,944   
2,495            
Louisiana Public Facilities Authority, Department of Public Safety, JT Emergency, Rev., FSA, 5.50%, 08/01/11 (p)
         2,681   
1,475            
Louisiana Public Facilities Authority, Hospital, Franciscan Missionaries, Series A, Rev., FSA, 5.50%, 07/01/12
         1,586   
95            
Louisiana Public Facilities Authority, Hospital, Pendleton Memorial Methodist, Rev., 5.00%, 06/01/08 (p)
         96    
             
Louisiana Public Facilities Authority, Hospital, Women’s Foundation Project,
               
1,000            
Rev., FGIC, 5.00%, 04/01/15
         960    
500            
Rev., FSA, 6.00%, 10/01/10 (p)
         537    
1,000            
Louisiana Public Facilities Authority, Hurricane Recovery Program, Rev., AMBAC, 5.00%, 06/01/17
         1,012   
1,000            
Louisiana Stadium & Exposition District, Hotel Occupancy Tax & Stadium, Series B, Rev., FGIC, 5.25%, 07/01/09 (p)
         1,051   
1,000            
Orleans Parish, Parishwide School District, Series A, GO, FGIC, 5.13%, 04/04/08
         1,000   
250            
Orleans Parish, School Board, GO, FGIC, 5.30%, 04/04/08
         250    
555            
Orleans Parish, School Board, Public School, Capital Refinancing, Rev., MBIA, 6.00%, 06/01/09
         577    
1,000            
Ouachita Parish, Hospital Service District 1, Glenwood Regional Medical Center, Rev., FSA, 5.70%, 05/15/10 (p)
         1,058   

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   25



JPMorgan Louisiana Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008 (continued)

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Louisiana — Continued
1,675            
Port New Orleans Board of Commissioners, Rev., AMBAC, 5.63%, 04/01/11
           1,747   
275            
St. Tammany Parish, Public Trust Financing Authority, Christwood Project, Rev., 5.25%, 11/15/08 (i)
         274    
             
State of Louisiana,
               
1,500            
Series A, GO, FGIC, 5.25%, 11/15/10 (p)
         1,589   
1,000            
Series A, GO, FGIC, 5.50%, 05/15/11
         1,051   
2,875            
Series A, GO, MBIA, 5.80%, 08/01/10
         3,021   
250            
Series B, GO, MBIA, 5.60%, 08/01/08
         252    
3,500            
Series B, GO, MBIA, 5.63%, 08/01/13
         3,764   
1,500            
Series C, GO, FSA, 5.00%, 05/01/16
         1,577   
1,085            
Tangipahoa Parish, School Board, Rev., AMBAC, 5.50%, 03/01/11
         1,141   
             
 
           60,547   
             
Massachusetts — 1.5%
1,000            
Commonwealth of Massachusetts, Consolidated Loan, Series D, GO, 5.00%, 08/01/16
         1,048   
             
Ohio — 4.4%
1,000            
Franklin County Convention Facilities Authority, Tax & Lease Anticipation Bonds, Rev., 5.00%, 12/01/17
         1,003   
             
Ohio Housing Finance Agency, Hillwood II Project,
               
755            
Rev., AMT, GNMA COLL, 4.38%, 05/20/11
             762    
1,245            
Rev., AMT, GNMA COLL, 4.70%, 05/20/16
         1,256   
             
 
         3,021   
             
Total Long-Term Investments
(Cost $64,228)
          66,541   
 

SHARES


  
    
  
    
Short-Term Investment — 3.0%
             
Investment Company — 3.0%
2,067            
JPMorgan Tax Free Money Market Fund, Institutional Class (b)
(Cost $2,067)
         2,067   
             
Total Investments — 99.0%
(Cost $66,295)
         68,608   
             
Other Assets in Excess
of Liabilities — 1.0%
         724   
             
NET ASSETS — 100.0%
      $ 69,332   
 


Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

26   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008



JPMorgan Michigan Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION (t)
  
VALUE($)
Long-Term Investments — 96.6%
             
Municipal Bonds — 96.6%
             
Colorado — 0.6%
3,000            
E-470 Public Highway Authority, Capital Appreciation, Series B, Rev., MBIA, Zero Coupon, 09/01/19
            1,510   
             
Florida — 0.8%
2,000            
Miami-Dade County, Aviation, Miami International Airport, Series B, Rev., AMT, XLCA, 5.00%, 10/01/15
         1,944   
             
Illinois — 1.8%
3,900            
Regional Transportation Authority, Series A, Rev., MBIA, 5.75%, 07/01/14
         4,341   
             
Michigan — 83.7%
2,500            
Battle Creek, Tax Allocation, MBIA, 5.00%, 05/01/08
         2,507   
2,300            
Caledonia Community Schools, GO, MBIA Q-SBLF, 5.00%, 05/01/15
         2,344   
1,675            
Charles Stewart Mott Community College, Community College Facilities, GO, MBIA, 5.00%, 05/01/15
         1,685   
             
Chelsea Economic Development Corp., United Methodist Retirement,
               
1,075            
Rev., 5.40%, 11/15/08
         1,060   
2,000            
Rev., 5.40%, 11/15/08
         1,832   
2,840            
Chippewa Valley Schools, GO, MBIA Q-SBLF, 5.00%, 05/01/13
         3,044   
             
City of Dearborn School District,
               
4,000            
GO, FGIC Q-SBLF, 5.00%, 05/01/17
         4,130   
             
City of Detroit,
               
2,570            
Series A, GO, FSA, 5.25%, 04/01/09
         2,655   
3,000            
Series A, Rev., FSA, 5.00%, 07/01/16
         3,149   
1,500            
Series A-1, GO, MBIA, 5.38%, 10/01/11
         1,576   
2,000            
Series B, Rev., MBIA, 6.00%, 07/01/10
         2,124   
4,015            
Series B, Rev., VAR, MBIA, 5.25%, 07/01/17
         4,159   
             
City of Detroit, Capital Appreciation,
               
5,000            
Series A, Rev., FGIC, Zero Coupon, 07/01/13
         4,003   
1,500            
Series A, Rev., FGIC, Zero Coupon, 07/01/17
         934    
1,800            
City of Detroit, Wayne County Stadium Authority, Rev., FGIC, 5.50%, 04/04/08
         1,821   
1,500            
City of Grand Rapids, Water Supply Rev., FGIC, 5.75%, 01/01/11
         1,585   
             
Clarkston Community Schools,
               
4,090            
GO, AMBAC Q-SBLF, 5.00%, 05/01/08 (p)
         4,108   
2,580            
GO, AMBAC Q-SBLF, 5.05%, 05/01/08 (p)
         2,591   
2,075            
East Grand Rapids Public School District, GO, FSA Q-SBLF, 5.00%, 05/01/14
         2,149   
1,000            
East Lansing School District, School Building Site, GO, Q-SBLF, 5.40%, 05/01/10 (p)
            1,049   
1,105            
Emmet County Building Authority, GO, AMBAC, 5.00%, 05/01/13
         1,161   
1,000            
Fitzgerald Public School District, School Building & Site, Series B, GO, AMBAC, 5.00%, 11/01/14 (p)
         1,079   
2,000            
Forest Hills Public Schools, GO, 5.25%, 05/01/10 (p)
         2,095   
1,000            
Grand Blanc Community Schools, School Building & Site, GO, FSA Q-SBLF, 5.00%, 05/01/14
         1,062   
1,060            
Grand Ledge Public School District, GO, FGIC Q-SBLF, 5.00%, 05/01/15
         1,072   
1,370            
Grand Rapids Building Authority, GO, AMBAC, 5.75%, 08/01/10
         1,441   
2,000            
Harper Creek Community School District, GO, Q-SBLF, 5.50%, 05/01/11 (p)
         2,136   
2,660            
Hartland Consolidated School District, GO, Q-SBLF, 5.38%, 05/01/11
         2,813   
1,515            
Healthsource Saginaw Inc. GO, MBIA, 5.00%, 05/01/15
         1,510   
             
Howell Public Schools, School Building & Site,
               
1,600            
GO, Q-SBLF, 5.00%, 11/01/13
         1,705   
             
Jackson Capital Appreciation, Downtown Development,
               
1,620            
GO, FSA, Zero Coupon, 06/01/16
         1,114   
1,710            
GO, FSA, Zero Coupon, 06/01/17
         1,103   
2,060            
GO, FSA, Zero Coupon, 06/01/18
         1,243   
1,200            
GO, FSA, Zero Coupon, 06/01/19
         679    
             
Jackson Public Schools, School Building & Site,
               
1,130            
GO, FGIC Q-SBLF, 5.60%, 05/01/10 (p)
         1,192   
1,405            
GO, FGIC Q-SBLF, 5.65%, 05/01/10 (p)
         1,484   
1,620            
GO, FSA Q-SBLF, 5.00%, 05/01/14
         1,677   
1,390            
Jenison Public Schools, GO, FGIC, 5.25%, 05/01/15
         1,488   
1,790            
Lake Orion Community School District, Series A, GO, FGIC Q-SBLF, 5.75%, 05/01/10 (p)
         1,894   
1,250            
Lansing Community College, Building & Site, GO, MBIA, 5.00%, 05/01/13
         1,277   
470            
Livingston County Building Authority, GO, 5.80%, 07/01/08
         475    
             
Lowell Area Schools, Capital Appreciation,
               
5,000            
GO, FGIC Q-SBLF, Zero Coupon, 05/01/14
         3,818   
1,425            
GO, FGIC Q-SBLF, Zero Coupon, 05/01/16
         963    
1,155            
Michigan Higher Education Facilities Authority, Calvin College Project, Limited Obligation, Rev., 5.50%, 12/01/10 (p)
         1,225   

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   27



JPMorgan Michigan Municipal Bond Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008 (continued)

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Michigan — Continued
1,240            
Michigan Higher Education Facilities Authority, Kettering University, Limited Obligation, Rev., AMBAC, 5.50%, 09/01/11
         1,300   
             
Michigan Higher Education Student Loan Authority,
               
1,200            
Series XII-T, Rev., AMBAC, 5.30%, 09/01/10
         1,242   
1,000            
Series XVII-A, Rev., VAR, AMBAC, 5.75%, 06/01/08
         1,003   
1,500            
Series XVII-F, Rev., AMBAC, 4.20%, 03/01/09
         1,501   
2,500            
Michigan Municipal Bond Authority, Clean Water Revolving Fund, Rev., 5.88%, 10/01/10 (p)
         2,700   
1,250            
Michigan Municipal Bond Authority, Drinking Water Revolving Fund, Rev., 5.00%, 10/01/14
         1,301   
1,055            
Michigan Municipal Bond Authority, Local Government Lien Program, Series 4-A, Rev., AMBAC, 5.00%, 05/01/14
         1,106   
1,245            
Michigan Public Power Agency, Combustion Turbine No. 1 Project, Series A, Rev., AMBAC, 5.25%, 01/01/12
         1,307   
             
Michigan State Building Authority, Facilities Program,
               
2,675            
Series I, Rev., 5.25%, 10/15/09
         2,760   
1,250            
Series I, Rev., FSA, 5.25%, 10/15/13
         1,349   
             
Michigan State Hospital Finance Authority, Mercy Health Services,
               
1,000            
Series R, Rev., AMBAC, 5.38%, 04/04/08 (p)
         1,007   
3,795            
Series U, Rev., 5.63%, 04/04/08 (p)
         3,841   
6,875            
Series W, Rev., FSA, 5.25%, 04/04/08 (p)
         6,956   
             
Michigan State Hospital Finance Authority, Oakwood Obligation Group,
               
2,000            
Series A, Rev., 5.00%, 07/15/14
         2,055   
1,030            
Series A, Rev., 5.00%, 07/15/17
         1,030   
2,215            
Michigan State Hospital Finance Authority, Port Huron Hospital Obligation, Rev., FSA, 5.38%, 04/04/08
         2,219   
             
Michigan State Hospital Finance Authority, Sparrow Obligation Group,
               
1,500            
Rev., MBIA, 5.00%, 05/15/15
         1,482   
1,000            
Rev., 5.00%, 11/15/15
         1,027   
1,000            
Rev., 5.00%, 11/15/16
         1,018   
500            
Rev., 5.00%, 11/15/17
         499    
1,000            
Rev., 5.00%, 11/15/17
         988    
             
Michigan State Housing Development Authority, Weston Limited Obligation,
               
1,090            
Series A, Rev., GNMA COLL, 4.10%, 12/20/14
         1,053   
1,880            
Series A, Rev., GNMA COLL, 4.60%, 12/20/24
         1,680   
             
Michigan State Trunk Line,
               
3,000            
Rev., FSA, 5.00%, 11/01/16
         3,204   
1,000            
Rev., FSA, 5.25%, 11/01/20
         1,056   
1,170            
Michigan Strategic Fund, Detroit Pollution Fund, Series BB, Rev., AMBAC, 7.00%, 05/01/21
         1,323   
1,210            
Newaygo Public Schools, GO, MBIA Q-SBLF, 5.00%, 05/01/15
         1,218   
1,000            
North Kent Sewer Authority, Rev., MBIA, 5.00%, 11/01/16
         1,014   
150            
Northwestern Michigan College, Improvement, Unrefunded Balance, GO, FGIC, 5.60%, 10/01/09
         155    
2,500            
Oakland County Economic Development Corp., Cranbrook Educational Community, Rev., 5.00%, 11/01/08
         2,487   
1,670            
Oakland University, Rev., AMBAC, 5.25%, 05/15/14
         1,720   
1,070            
Otsego Public School District, GO, FSA Q-SBLF, 5.00%, 05/01/17
         1,119   
1,000            
Otsego Public School District, School Building & Site, GO, FSA Q-SBLF, 5.00%, 05/01/14 (p)
         1,076   
800            
Paw Paw Public School District, GO, FGIC Q-SBLF, 6.50%, 05/01/09
         818    
1,910            
Pinckney Community Schools, GO, FSA Q-SBLF, 5.00%, 05/01/14
         1,959   
1,000            
Rochester Community School District, GO, MBIA Q-SBLF, 5.00%, 05/01/19
         1,019   
1,000            
Rockford Public School District, GO, FSA Q-SBLF, 5.00%, 05/01/15
         1,019   
             
South Lyon Community Schools, School Building & Site,
               
1,375            
GO, FGIC, 5.25%, 11/01/12 (p)
         1,480   
1,935            
Series II, GO, FGIC Q-SBLF, 5.00%, 05/01/15
         1,957   
             
South Macomb Disposal Authority,
               
1,085            
Rev., AMBAC, 5.38%, 09/01/10
         1,129   
1,590            
Rev., AMBAC, 5.38%, 09/01/10
         1,655   
1,500            
South Redford School District, School Building & Site, GO, MBIA Q-SBLF, 5.00%, 05/01/15
         1,516   
             
Southfield Library Building Authority,
               
1,450            
GO, MBIA, 5.00%, 05/01/15
         1,492   
1,560            
GO, MBIA, 5.00%, 05/01/15
         1,590   
3,100            
Southfield Public Schools, School Building & Site, Series B, GO, FSA Q-SBLF, 5.13%, 05/01/14 (p)
         3,356   
1,765            
St John’s Public Schools,
GO, FGIC Q-SBLF, 5.00%, 05/01/08 (p)
         1,773   

SEE NOTES TO FINANCIAL STATEMENTS.

28   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008






PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Michigan — Continued
             
State of Michigan,
               
2,000            
COP, AMBAC, 5.50%, 06/01/10 (p)
            2,098   
3,000            
Rev., FSA, 5.25%, 11/01/16
         3,259   
4,500            
Rev., FSA, 5.25%, 11/01/17
         4,864   
3,130            
Rev., FSA, 5.25%, 05/15/18
         3,357   
1,000            
Rev., FSA, 5.25%, 05/15/21
         1,045   
945            
Tawas City Hospital Finance Authority, St. Joseph Asset Guaranty, Series A, Rev., RADIAN-IBCC, 5.60%, 04/04/08 (p)
         989    
1,030            
Tecumseh Public Schools, GO, Q-SBLF, 5.40%, 05/01/10 (p)
         1,082   
             
University of Michigan, Hospital,
               
6,000            
Series A-1, Rev., 5.25%, 06/01/08
         6,089   
1,000            
Series D, Rev., 5.00%, 12/01/10
         1,051   
             
Utica Community Schools, School Building & Site,
               
1,000            
GO, MBIA Q-SBLF, 5.00%, 05/01/15
         1,070   
2,050            
GO, MBIA Q-SBLF, 5.00%, 05/01/16
         2,184   
2,000            
Walled Lake Consolidated School District, GO, Q-SBLF, 5.25%, 05/01/11
         2,083   
1,500            
Wayne Charter County, Airport Series D, Rev., FGIC, 5.25%, 12/01/09
         1,543   
1,175            
Wayne County, Sewer, Series B, GO, MBIA, 5.13%, 11/01/09
         1,198   
             
Wayne State University,
               
2,000            
Rev., FGIC, 5.25%, 11/15/09
         2,054   
2,000            
Rev., FGIC, 5.38%, 11/15/09
         2,074   
2,015            
West Bloomfield School District, GO, FSA, 5.00%, 05/01/15
         2,040   
1,000            
Western Michigan University, Rev., MBIA, 5.00%, 11/15/13
         1,013   
1,000            
Willow Run Community Schools, GO, FSA Q-SBLF, 5.00%, 05/01/15
         1,019   
1,500            
Wyandotte Electric, Rev., MBIA, 4.00%, 10/01/08
         1,523   
1,000            
Zeeland Public Schools, GO, FGIC, 5.00%, 05/01/15
         999    
             
 
          202,404   
             
New Jersey — 1.3%
3,000            
New Jersey Transportation Trust Fund Authority, Grant Anticipation Bonds, Series A, Rev., FGIC, 5.00%, 06/15/15
         3,167   
             
Puerto Rico — 1.0%
2,195            
Commonwealth of Puerto Rico, GO, MBIA, 6.25%, 07/01/12
         2,406   
             
Tennessee — 1.3%
3,200            
Tennessee Energy Acquisition Corp., Series A, Rev., 5.00%, 09/01/14
         3,241   
             
Texas — 5.5%
3,000            
Austin Independent School District, GO, PSF-GTD, 5.25%, 08/01/14
         3,281   
1,500            
City of San Antonio, Rev., MBIA, 5.00%, 05/15/15
         1,522   
1,000            
Conroe Independent School District, Series C, GO, PSF-GTD, 5.00%, 02/15/15
         1,016   
4,000            
Texas Public Finance Authority, Building & Procurement Projects, Series A, Rev., AMBAC, 5.00%, 02/01/14
         4,271   
3,000            
Texas State Transportation Commission, Series A, Rev., 5.25%, 04/01/14
         3,262   
             
 
         13,352   
             
Washington — 0.6%
1,500            
City of Seattle, Water Systems, Rev., MBIA, 5.00%, 09/01/15
         1,500   
             
Total Long-Term Investments
(Cost $231,875)
          233,865   
 

SHARES


  
     
  
    
Short-Term Investment — 2.6%
             
Investment Company — 2.6%
6,190            
JPMorgan Tax Free Money Market Fund, Institutional Class (b)
(Cost $6,190)
         6,190   
             
Total Investments — 99.2%
(Cost $238,065)
         240,055   
             
Other Assets in Excess
of Liabilities — 0.8%
         1,940   
             
NET ASSETS — 100.0%
      $ 241,995   
 


Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   29



JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION (t)
  
VALUE($)
Long-Term Investments — 96.9%
             
Municipal Bonds — 95.9%
             
Alabama — 0.9%
             
Alabama 21st Century Authority, Tobacco Settlement,
               
1,020            
Rev., 5.50%, 12/01/10
              1,050   
1,790            
Rev., 5.75%, 06/01/10
         1,863   
2,000            
Rev., 5.75%, 12/01/11
         2,047   
2,290            
Rev., 5.85%, 06/01/10
         2,384   
3,365            
Alabama Public School & College Authority, Capital Improvement, Rev., 5.25%, 11/01/08
         3,465   
2,000            
Alabama State Dock Authority, Series A, Rev., AMT, MBIA, 5.00%, 10/01/14
         2,095   
1,290            
Fairfield Industrial Development Board, USX Corp. Project, Rev., VAR, 5.40%, 11/01/16
         1,325   
             
 
             14,229   
             
Alaska — 1.9%
4,550            
Alaska Housing Finance Corp., Home Mortgage, Series A, Rev., AMT, MBIA, 5.00%, 06/01/15
         4,588   
             
Alaska Student Loan Corp.,
               
4,500            
Series A, Rev., 5.00%, 06/01/11
         4,688   
3,690            
Series A, Rev., AMBAC, 6.05%, 07/01/10
         3,801   
3,000            
Series A-2, Rev., AMT, 5.00%, 12/01/16
         3,044   
3,000            
Series A-3, Rev., AMT, 5.00%, 06/01/13
         3,144   
             
City of North Slope Boro,
               
1,000            
Series A, GO, MBIA, Zero Coupon, 06/30/10
         927    
6,350            
Series A, GO, MBIA, Zero Coupon, 06/30/13
         5,092   
2,000            
City of North Slope Boro, Capital Appreciation, Series B, GO, MBIA, Zero Coupon, 06/30/09
         1,922   
             
Four Dam Pool Power Agency, Electrical,
               
1,830            
Series A, Rev., LOC: Dexia Credit Local, 5.00%, 07/01/14
         1,802   
1,945            
Series A, Rev., LOC: Dexia Credit Local, 5.00%, 07/01/14
         1,902   
1,030            
Series A, Rev., LOC: Dexia Credit Local, 5.00%, 07/01/14
         1,004   
             
 
         31,914   
             
Arizona — 3.6%
485            
Arizona Housing Finance Authority, Series 2A, Rev., VAR, GNMA/FNMA/FHLMC, 5.63%, 07/01/12
         494    
             
Arizona State University,
               
2,100            
COP, MBIA, 5.00%, 07/01/15
         2,230   
2,150            
COP, MBIA, 5.00%, 07/01/16
         2,270   
3,605            
COP, MBIA, 5.00%, 07/01/17
         3,724   
10,000            
Rev., FSA, 5.25%, 07/01/09
         10,347   
             
City of Phoenix,
               
3,595            
Series B, GO, 5.00%, 07/01/12 (p)
         3,802   
5,670            
Series B, GO, 5.00%, 07/01/16
              6,102   
2,645            
City of Scottsdale, Rev., 5.25%, 07/01/22
         2,745   
1,735            
Gila County, COP, 6.40%, 06/01/14 (i)
         1,780   
1,000            
Gila County, IDA, Cobre Valley Community Hospital, Rev., ACA, 6.00%, 12/01/10
         959    
             
Maricopa County IDA, Single-Family Mortgage,
               
5,542            
Series 1B, Rev., VAR, GNMA/FNMA, 5.65%, 05/01/16
         5,427   
775            
Series 2B, Rev., VAR, GNMA/FNMA/FHLMC, 5.95%, 09/01/12
         783    
5,210            
Maricopa County Unified School District No. 11-Peoria, GO, FSA, 5.25%, 07/01/13
         5,671   
755            
Phoenix, IDA, Single-Family Mortgage, Series 2002-2, Rev., VAR, AMT, GNMA/FNMA/FHLMC, 5.95%, 09/01/12
         763    
15            
Pima County IDA, Single-Family Mortgage, Series A-1, Rev., GNMA/FNMA/FHLMC, 5.00%, 11/01/10
         15    
             
Pinal County,
               
2,910            
COP, 5.25%, 12/01/14
         2,941   
3,065            
COP, 5.25%, 12/01/14
         3,080   
2,000            
Tucson & Prima County IDA, Series B, Rev., GNMA/FNMA/FHLMC, 4.60%, 06/01/17
         2,011   
             
Tucson & Pima Counties, IDA, Single-Family Mortgage, Mortgage-Backed Securities Program,
               
870            
Series 1A, Rev., GNMA COLL, 5.63%, 07/01/12
         886    
70            
Series 1A, Rev., GNMA/FNMA, 5.70%, 01/01/10
         71    
45            
Series 1A, Rev., GNMA/FNMA, 6.10%, 01/01/10
         46    
2,990            
Series A-1, Rev., GNMA/FNMA/FHLMC, 5.35%, 07/01/16
         2,991   
             
 
             59,138   
             
Arkansas — 0.9%
1,000            
Arkansas Development Finance Authority, Mortgage-Backed Securities Mortgage Loan, Series D, Rev., AMT, GNMA/FNMA, 5.50%, 01/01/17
         1,022   
             
Baxter County, Hospital Improvement,
               
1,000            
Rev., 5.00%, 09/01/16
         912    
5,000            
Series A, Rev., 5.60%, 09/01/09
         4,903   
             
City of Springdale, Sales & Use Tax,
               
2,000            
Rev., FSA, 4.20%, 07/01/13
         2,007   
3,000            
Rev., FSA, 4.25%, 07/01/13
         2,926   
             
Fayetteville, Sales & Use Tax,
               
265            
Rev., FSA, 4.13%, 11/01/15
         265    
330            
Rev., FSA, 4.25%, 11/01/15
         325    
1,200            
Series A, Rev., FSA, 4.00%, 11/01/16
         1,204   

SEE NOTES TO FINANCIAL STATEMENTS.

30   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008






PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Arkansas — Continued
31            
Lonoke County Residential Housing Facilities Board, Single-Family Mortgage, Series A-2, Rev., FNMA COLL, 7.90%, 04/01/11
                 31    
2,000            
Rogers Arkansas Water Revenue Improvement, Capital Improvement, GO, XLCA, 4.25%, 03/01/17
         1,981   
15            
Stuttgart Public Facilities Board, Single-Family Mortgage, Series A, Class A-2, Rev., FNMA COLL, 7.90%, 04/04/08
         15    
             
 
             15,591   
             
California — 4.5%
1,600            
California Home Mortgage Finance Authority, Mortgage-Backed Securities Program, Series E, Rev., GNMA/FNMA/FHLMC, 4.35%, 02/01/17
         1,606   
1,480            
California Housing Finance Agency, Multi-Family Housing III, Series A, Rev., AMT, GO OF AGY, 5.38%, 02/01/09
         1,433   
             
California Rural Home Mortgage Finance Authority, Single-Family Mortgage, Mortgage-Backed Security Program,
               
90            
Series A, Rev., GNMA/FNMA, 5.00%, 06/01/11
         91    
1,980            
Series A, Rev., GNMA/FNMA/FHLMC, 4.20%, 02/01/17
         1,971   
2,480            
Series A, Rev., GNMA/FNMA/FHLMC, 5.40%, 06/01/16
         2,484   
2,475            
Series C, Rev., GNMA/FNMA/FHLMC, 4.10%, 02/01/17
         2,452   
5,345            
Series FH-1, Rev., 5.50%, 02/01/16
         5,176   
5,000            
California State Public Works Board, Department of Corrections and Rehabilitation, Series J, Rev., 5.00%, 01/01/16
         5,087   
3,000            
California Statewide Communities Development Authority, Rev., 5.00%, 12/01/17
         3,000   
4,780            
California Statewide Communities Development Authority, Poinsettia Apartments , Series B, Rev., VAR, LIQ: FNMA, 4.75%, 06/15/11
         4,949   
1,000            
Golden State Tobacco Securitization Corp., Asset Backed, Series A-1, Rev., 5.00%, 06/01/15
         996    
4,375            
Kaweah Delta Health Care District, Rev., 5.00%, 08/01/12
         4,167   
3,400            
Pasadena Area Community College District, Election of 2002 Series C, GO, AMBAC, Zero Coupon, 08/01/14
         2,588   
100            
Redondo Beach, Redevelopment Agency, Residential Mortgage, Series B, Rev., 6.25%, 04/04/08 (i)
         100    
5,000            
Sacramento City Financing Authority, Rev., FGIC, 5.00%, 12/01/15
              4,894   
             
State of California,
               
3,415            
GO, 5.00%, 06/01/13
         3,616   
5,000            
GO, 5.00%, 03/01/14
         5,276   
5,000            
GO, 5.00%, 08/01/15
         4,920   
5,000            
GO, 5.00%, 10/01/15
         5,258   
5,000            
GO, 5.13%, 04/01/14
         4,854   
             
State of California,
               
5,000            
Series B, GO, VAR, 5.00%, 03/01/23
         5,167   
5,000            
GO, 5.00%, 12/01/17
         4,746   
             
 
             74,831   
             
Colorado — 3.8%
2,300            
Arapahoe County, Single-Family Mortgage, Rev., IMI, Zero Coupon, 09/01/10 (p)
         2,136   
1,920            
City of Aurora, Colorado, McKesson Corp. Project, Series A, Rev., VAR, 5.38%, 04/04/08
         1,921   
5,030            
City of Aurora, Single-Family Mortgage, Series A-2, Rev., Zero Coupon, 03/01/13 (p)
         3,148   
2,500            
Colorado Health Facilities Authority, Adventist Health/Sunbelt, Series E, Rev., 5.00%, 11/15/13
         2,592   
2,415            
Colorado Health Facilities Authority, Parkview Medical Center Project, Series B, Rev., 5.00%, 09/01/17
         2,270   
1,445            
Colorado Housing & Facilities Finance Authority, Capital Appreciation, Single-Family Program, Series C-1, Rev., AMT, Zero Coupon, 05/01/08
         440    
             
Colorado Housing & Facilities Finance Authority, Multi-Family Project,
               
650            
Series C-3, Class I, AMT, Rev., 4.45%, 04/01/11
         666    
985            
Series C-3, Class I, AMT, Rev., 4.55%, 10/01/12
         1,011   
975            
Series C-3, Class I, AMT, Rev., 4.65%, 10/01/12
         989    
             
Colorado Housing & Facilities Finance Authority, Single-Family Program,
               
185            
Series B-2, Rev., MBIA-IBC, 6.80%, 04/01/09
         188    
1,100            
Series C-2, Rev., AMT, FHA/VA MTGS, 7.05%, 10/01/09
         1,157   
             
Denver City & County, Airport
               
5,000            
Series A, Rev., AMBAC, 6.00%, 11/15/10
         5,229   
2,410            
Series D, Rev., FSA, 5.50%, 04/11/08 (f) (u)
         2,535   
4,070            
Series D, Rev., FSA, 5.50%, 04/11/08 (f) (u)
         4,261   
1,000            
Series D, Rev., FSA, 5.50%, 04/11/08 (f) (u)
         1,042   
2,500            
Series D, Rev., FSA, 5.50%, 04/11/08 (f) (u)
         2,597   

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   31



JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008 (continued)

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Colorado — Continued
             
Denver City & County, Capital Appreciation, Single-Family Mortgage,
               
1,000            
Series A, Rev., MGIC, Zero Coupon, 07/01/08
                884    
9,850            
Series A, Rev., MGIC, Zero Coupon, 07/01/08
         7,061   
4,857            
Denver City & County, Single-Family Mortgage, Series A, Rev., VAR, AMT, GNMA/FNMA/FHLMC, 5.55%, 08/01/16
         4,770   
             
Denver City & County, Single-Family Mortgage, Metropolitan Mayors Caucus,
               
180            
Rev., GNMA/FNMA/FHLMC COLL, 6.00%, 05/01/12
         182    
430            
Series A, Rev., GNMA/FNMA/FHLMC COLL, 6.15%, 05/01/12
         441    
165            
Series A, Rev., VAR, GNMA/FNMA/FHLMC COLL, 7.30%, 11/01/10
         168    
1,000            
Denver City & County, Special Facilities, Rental Car Project, Series A, Rev., MBIA, 6.00%, 01/01/09
         1,031   
5,660            
Douglas County, School District No. Re-1, Series 163, GO, VAR, MBIA, 6.30%, 03/06/08
         6,404   
             
El Paso County, Single-Family Mortgage,
               
195            
Series A, Rev., GNMA/FNMA/FHLMC COLL, 6.20%, 05/01/09
         197    
3,351            
Series A, Rev., VAR, GNMA/FNMA, 5.35%, 03/01/16
         3,249   
1,750            
El Paso County, Southern Front Range, Series E, Rev., AMT, GNMA/FNMA/FHLMC, 5.85%, 10/01/17
         1,761   
             
Erie,
               
275            
Rev., ACA, 5.13%, 12/01/08 (p)
         280    
725            
Rev., ACA, 5.13%, 12/01/08
         728    
199            
IDK Partners III Trust, Pass-Through Certificates, Series 1999, Class A, 5.10%, 08/01/23
         199    
3,500            
Mesa County, Residential, Rev., Zero Coupon, 12/01/11 (p)
         3,100   
             
 
             62,637   
             
Connecticut — 0.8%
             
City of Stamford, Housing Authority, Rippowam Park Apartments Project,
               
4,350            
Rev., 6.25%, 10/01/08
         4,448   
9,200            
Rev., 6.38%, 10/01/08
         9,251   
             
 
         13,699   
             
Delaware — 0.9%
             
Delaware State EDA,
               
1,685            
Rev., MBIA, 5.00%, 10/01/17
         1,616   
1,520            
Rev., MBIA, 5.00%, 10/01/17
         1,455   
             
Delaware State Housing Authority, Single-Family Mortgage,
               
1,230            
Series A, Rev., GNMA/FNMA/FHLMC, 4.35%, 01/01/17
              1,218   
1,135            
Series A-1, Rev., AMBAC, 5.17%, 07/01/09
         1,154   
2,500            
Series B, Rev., 4.35%, 07/01/17
         2,492   
5,000            
Series C-1, Rev., AMT, 5.55%, 07/01/17
         5,095   
1,250            
Series D-1, Rev., AMT, 4.63%, 07/01/17
         1,257   
             
 
             14,287   
             
District of Columbia — 1.1%
11,840            
District of Columbia, COP, AMBAC, 5.25%, 01/01/13
         12,284   
 
2,835
           
District of Columbia Housing Finance Agency, Single-Family Program, Series B, Rev., AMT, AMBAC, 5.63%, 06/01/15
         2,919   
2,895            
District of Columbia Tobacco Settlement Financing Corp, Asset-Backed Bonds, Rev., 5.20%, 05/15/08
         2,900   
             
 
         18,103   
             
Florida — 6.1%
2,020            
Broward County Housing Finance Authority, Series B, Rev., AMT, 4.50%, 04/01/17
         1,925   
             
Capital Projects Finance Authority, Capital Projects Loan Program,
               
2,385            
Series F-1, Rev., MBIA, 5.50%, 08/01/11
         2,507   
2,880            
Series F-1, Rev., MBIA, 5.50%, 08/01/11
         3,009   
5,000            
Citizens Property Insurance Corp., High Risk Accounts, Series A, Rev., MBIA, 5.00%, 03/01/17
         5,149   
4,000            
Collier Country School Board, COP, FSA, 5.25%, 02/15/21
         4,125   
4,985            
Coral Gables Health Facilities Authority, Baptist Health, Rev., VAR, FSA, 5.00%, 08/15/14 (p)
         5,367   
1,200            
Escambia County, Housing Finance Authority, Multi-County Program, Series A-1, Rev., GNMA/FNMA/FHLMC, 4.15%, 04/01/16
         1,178   
2,995            
Escambia County Housing Finance Authority, Single-Family Mortgage, Series A, Rev., GNMA/FNMA/FHLMC, FHA/VA GTD, 4.80%, 04/01/15
         2,862   
4,040            
Florida Housing Finance Agency, Multi-Family Housing, Andover, Series E, Rev., 6.35%, 05/01/08
         4,058   
7,605            
Florida State Department of Environmental Protection, Preservation, Series A, Rev., FSA, 5.50%, 07/01/12
         8,228   

SEE NOTES TO FINANCIAL STATEMENTS.

32   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008






PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Florida — Continued
             
Fort Pierce Utilities Authority,
               
3,685            
Rev., AMBAC, 5.00%, 10/01/12
              3,888   
2,330            
Rev., AMBAC, 5.00%, 10/01/13
         2,443   
4,640            
Rev., AMBAC, 5.00%, 10/01/13
         4,865   
             
Highlands County Health Facilities Authority, Adventist Health,
               
2,500            
Rev., VAR, 3.95%, 09/01/12
         2,494   
800            
Series A, Rev., VAR, 5.00%, 11/15/15
         810    
1,000            
Series A, Rev., VAR, 5.00%, 11/15/15
         1,004   
             
Hillsborough County Aviation Authority, Tampa International Airport,
               
7,890            
Series A, Rev., MBIA, 5.38%, 10/01/13
         8,256   
5,000            
Series A, Rev., MBIA, 5.50%, 10/01/13
         5,294   
             
Hillsborough County Housing Finance Authority,
               
2,000            
Rev., AMT, GNMA/FNMA/FHLMC, 5.20%, 04/01/15
         2,033   
1,875            
Series 2, AMT, Rev., GNMA/FNMA/FHLMC, 4.40%, 10/01/16
         1,869   
             
Lee County, Solid Waste System,
               
1,135            
Rev., MBIA, 5.63%, 10/01/11
         1,195   
6,850            
Series A, Rev., AMBAC, 5.00%, 10/01/16
         6,609   
2,900            
Miami-Dade County, Sub-Series A, Rev., SO, MBIA, Zero Coupon, 04/01/08
         1,894   
3,000            
Miami-Dade County, Miami International Airport, Series B, Rev., AMT, CIFG, 5.00%, 10/01/15
         3,040   
1,215            
Miami-Dade County Housing Finance Authority, Home Ownership Mortgage, Series A-1, Rev., GNMA/FNMA, 5.30%, 04/01/15
         1,247   
2,000            
Miami-Dade County School Board, Series A, COP, FGIC, 5.00%, 05/01/15
         2,092   
             
Orange County, Housing Finance Authority,
               
2,560            
Series A, Rev., AMT, 5.13%, 03/01/17
         2,566   
820            
Series B, Rev., AMT, GNMA/FNMA, 5.40%, 09/01/12
         831    
2,790            
Pinellas County Housing Finance Authority, Series A-2, Rev., AMT, GNMA/FNMA/FHLMC, 4.90%, 03/01/17
         2,735   
2,270            
Pinellas County Housing Finance Authority, Multi-County Program, Series B-1, Rev., GNMA/FNMA, 5.20%, 03/01/15
         2,321   
5,000            
Port St. Lucie, Rev., MBIA, 5.25%, 09/01/24
         4,827   
             
 
            100,721   
             
Georgia — 1.9%
2,995            
Atlanta Urban Residential Finance Authority, Multi-Family Housing, Mortgage Backed Securities, Series B, Rev., GNMA/FNMA/FHLMC, 5.50%, 10/01/17
              2,970   
2,000            
City of Atlanta, Water & Wastewater, Rev., FSA, 5.00%, 11/01/14
         2,028   
1,765            
Fulton County, Housing Authority Multi-Family Housing, Concorde Place Apartments, Series A, Rev., 6.30%, 04/04/08 (p)
         1,786   
             
Main Street Natural Gas, Inc.,
               
3,000            
Series A, Rev., 5.50%, 09/15/24
         2,646   
5,000            
Series B, Rev., 5.00%, 03/15/09
         5,043   
             
State of Georgia,
               
5,000            
Series C, GO, 5.50%, 07/01/14
         5,555   
10,660            
Series D, GO, 5.25%, 12/01/13
         11,702   
             
 
             31,730   
             
Hawaii — 0.4%
600            
Hawaii Housing & Community Development Corp., Multi-Family Housing, Sunset Villas, Rev., GNMA COLL, 5.00%, 07/20/10
         609    
5,000            
State of Hawaii, Series DG, GO, AMBAC, 5.00%, 07/01/12
         5,335   
1,000            
State of Hawaii, Airports, Second Series, Rev., FSA-CR, 6.90%, 07/01/12 (p)
         1,082   
             
 
         7,026   
             
Idaho — 0.2%
             
Idaho Housing & Finance Association,
               
1,090            
Series A, Class III, Rev., 5.55%, 07/01/11
         1,116   
1,675            
Series B, Class III, Rev., 5.00%, 01/01/15
         1,561   
             
Idaho Housing & Finance Association, Single-Family Mortgage,
               
95            
Series D, Rev., FHA/VA MTGS, 6.45%, 04/04/08
         96    
135            
Series E-2, Rev., 5.95%, 04/04/08
         138    
205            
Series H, Rev., FHA/VA MTGS, 6.05%, 04/04/08
         207    
150            
Sub Series A, Rev., FHA/VA MTGS, 5.35%, 04/04/08
         152    
             
 
         3,270   
             
Illinois — 4.9%
4,450            
Chicago Heights, Series A, GO, FGIC, 5.65%, 12/01/08
         4,531   
6,000            
Chicago Housing Authority, Rev., FSA, 5.00%, 07/01/09
         6,171   
5,980            
Chicago O’Hare International Airport, 3rd Lien, Series C, Rev., AMT, MBIA, 5.25%, 01/01/15
         5,689   

SEE NOTES TO FINANCIAL STATEMENTS.

FEBRUARY 29, 2008        JPMORGAN MUNICIPAL BOND FUNDS   33



JPMorgan Municipal Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2008 (continued)

(Amounts in thousands)

PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Illinois — Continued
5,000            
Chicago Transit Authority, Federal Transit Administration, Section 5307, Series A, Rev., AMBAC, 5.25%, 06/01/13
              5,343   
             
City of Aurora,
               
2,952            
Series A, Rev., AMT, GNMA/FNMA/FHLMC COLL, FHA/VA GTD, 5.50%, 12/01/39
         2,941   
2,971            
Series B, Rev., GNMA/FNMA/FHLMC COLL, 5.45%, 12/01/39
         2,949   
             
City of Chicago,
               
7,580            
Series A, GO, FSA, 5.25%, 01/01/14
         7,891   
1,310            
Series C, Rev., GNMA/FNMA/FHLMC COLL, 4.20%, 12/01/16
         1,301   
3,485            
City of Chicago, Gas Supply, Series B, Rev., VAR, 4.75%, 07/01/09
         3,548   
100            
City of Chicago, Midway Airport, Series A, Rev., AMT, FSA, 5.13%, 01/01/11
         94    
             
City of Chicago, Single-Family Mortgage,
               
1,980            
Series B, Rev., VAR, GNMA/FNMA/FHLMC COLL, 6.00%, 04/01/12
         2,068   
3,860            
Series C, Rev., GNMA/FNMA COLL, 5.75%, 12/01/15
         3,939   
185            
Series C, Rev., MBIA-IBC, GNMA/FNMA/FHLMC, 7.00%, 09/01/10
         191    
5,890            
Series E, Rev., GNMA/FNMA/FHLMC COLL, 5.50%, 06/01/16
         5,909   
4,000            
Series K, Rev., GNMA/FNMA/FHLMC, 5.35%, 12/01/16
         3,973   
35            
City of Peru, IDR, Construction Freightways Corp. Project, Series B, Rev., 5.25%, 01/01/04 (d) (i)
         2    
             
Illinois Developmental Finance Authority, Multi-Family Housing, Lincoln Place,
               
3,430            
Series A, Rev., GNMA COLL, 6.50%, 07/20/10
         3,724   
4,465            
Series A, Rev., GNMA COLL, 6.60%, 07/20/10
         4,798   
1,500            
Illinois Finance Authority, OSF Healthcare Systems, Rev., 5.25%, 05/15/14
         1,388   
60            
Peoria, Moline & Freeport, Single-Family Collateral Mortgage, Series A, Rev., GNMA COLL FHA/VA MTGS, 7.60%, 04/04/08
         61    
             
State of Illinois,
               
5,000            
Rev., FSA, 5.00%, 06/01/15
         4,928   
3,925            
Rev., 5.00%, 06/15/14
         4,100   
             
University of Illinois, Academic Facilities Projects,
               
2,985            
Series A, COP, AMBAC, 5.00%, 03/15/12
         3,156   
1,750            
Series A, COP, AMBAC, 5.00%, 03/15/13
         1,859   
             
 
             80,554   
             
Indiana — 1.6%
             
City of Indianapolis, Multi-Family Housing, Turtle Creek, North Apartments,
               
185            
Series A, Rev., GNMA COLL/FHA INS, 3.40%, 12/20/09
                185    
550            
Series A, Rev., GNMA COLL/FHA INS, 4.15%, 12/20/09
         540    
700            
Series A, Rev., GNMA COLL/FHA INS, 4.38%, 12/20/09
         652    
             
Indiana Health Facility Financing Authority, Ascension Health
               
1,175            
Series A, Rev., VAR, 5.00%, 04/01/10
         1,216   
1,750            
Series A-1, Rev., VAR, 5.00%, 05/01/13
         1,817   
             
Indiana Health & Educational Facilities Finance Authority, Baptist Homes of Indiana,
               
805            
Rev., 5.00%, 11/15/12
         827    
1,095            
Rev., 5.00%, 11/15/15
         1,103   
1,000            
Rev., 5.25%, 11/15/15
         937    
             
Indiana Housing & Community Development Authority,
               
4,620            
Series B-2, Rev., GNMA/FNMA, 5.00%, 07/01/14
         4,642   
3,285            
Series C-2, Rev., GNMA/FNMA, 5.00%, 01/01/15
         3,318   
4,790            
Indiana State Finance Authority Revenue, State Revolving Fund Program, Series B, Rev., 5.00%, 02/01/18
         4,647   
3,000            
Indianapolis Local Public Improvement Bond Bank, Airport Authority, Series F, Rev., AMBAC, 5.25%, 01/01/14
         3,131   
4,050            
Indianapolis Local Public Improvement Bond Bank, Waterworks Project, Series F, Rev., MBIA, 5.00%, 01/01/16
         4,142   
60            
Town of Fremont, Consolidated Freightways Corp. Project, Rev., 5.25%, 05/01/04 (d) (i)
         4    
             
 
             27,161   
             
Iowa — 0.3%
5,000            
Tobacco Settlement Authority of Iowa, Asset Backed, Series B, Rev., 5.30%, 06/01/11 (p)
         5,311   
             
Kansas — 1.7%
1,905            
City of Wichita, Hospital Facilities Improvement, Series XI, Rev., 6.75%, 11/15/09
         2,023   
1,010            
Kansas Development Finance Authority, Multi-Family Housing, Lom Vista Apartments, Series O, Rev., GNMA COLL, 6.50%, 06/20/09
         1,028   
             
Sedgwick & Shawnee Counties,
               
4,135            
Series A, Rev., GNMA/FNMA, 5.40%, 12/01/15
         4,167   
1,670            
Series A-3, Rev., GNMA/FNMA, 5.50%, 06/01/15
         1,710   
905            
Series A-3, Rev., GNMA/FNMA, 5.65%, 06/01/15
         872    

SEE NOTES TO FINANCIAL STATEMENTS.

34   JPMORGAN MUNICIPAL BOND FUNDS        FEBRUARY 29, 2008






PRINCIPAL
AMOUNT($)


  
SECURITY DESCRIPTION
  
VALUE($)
Long-Term Investments — Continued
             
Kansas — Continued
             
Sedgwick & Shawnee Counties, Mortgage Backed Securities Program,
               
3,810            
Series B-2, Rev., GNMA/FNMA/FHLMC, 5.25%, 06/01/16
              3,733   
3,330            
Series B-4, Rev., GNMA/FNMA/FHLMC, 4.25%, 12/01/16
         3,330   
1,940            
Series B-5, Rev., GNMA/FNMA/FHLMC, 4.10%, 12/01/16
         1,930   
             
Sedgwick & Shawnee Counties, Single-Family Mortgage-Backed Securities Program,
               
385            
Series A, Rev., VAR, GNMA/FNMA, 5.25%, 06/01/12
         393    
5,360            
Series A, Rev., GNMA/FNMA/FHLMC, 5.45%, 06/01/16
         5,414   
1,045            
Series A, Rev., VAR, GNMA/FNMA, 6.05%, 06/01/13
         1,073   
720            
Series A-4, Rev., VAR, GNMA/FNMA COLL, 5.65%, 06/01/12
         726    
1,980            
Series B-3, Rev., VAR, GNMA/FNMA, 5.75%, 12/01/12
         1,902   
             
 
             28,301   
             
Louisiana — 3.2%
             
Calcasieu Parish Public Transportation Authority,
               
500            
Series A, Rev., GNMA/FNMA, 5.55%, 04/01/08
         510    
315            
Series B, Rev., GNMA/FNMA, 5.00%, 04/01/13
         319    
3,349            
Calcasieu Parish Public Transportation Authority, Single-Family Mortgage, Series B, Rev., AMT, GNMA/FNMA/FHLMC, 5.35%, 09/01/16
         3,331   
3,095            
City of Shreveport, Series A, GO, FGIC, 6.00%, 05/01/09
         3,198   
2,000            
Denham Springs-Livingston Housing & Mortgage Finance Authority, Mortgage-Backed Securities Program, Rev., GNMA/FNMA/FHLMC, 5.00%, 04/01/17
         1,952   
             
Jefferson Parish Home Mortgage Authority, Single-Family Mortgage,
               
685            
Series B-1, Rev., VAR, GNMA/FNMA COLL, 6.65%, 06/01/11
         716    
4,025            
Series C, Rev., GNMA/FNMA, 4.50%, 12/01/13
         4,061   
265            
Series C-1, Rev., GNMA/FNMA, 7.00%, 06/01/10
         268    
1,915            
Jefferson Parish School Board, Compound Interest, Rev., FSA, Zero Coupon, 09/01/08
         1,889   
1,250            
Jefferson Parish, School Board, Sales & Use Tax, Single Family Mortgage, Series D, Rev., GNMA/FNMA/FHLMC, 4.00%, 12/01/16
         1,240   
750            
Louisiana Correctional Facilities Corp., Rev., AMBAC, 5.00%, 09/01/16
                777    
             
Louisiana Energy & Power Authority,
               
4,460            
Rev., FSA, 5.75%, 01/01/11
         4,774   
4,320            
Rev., FSA, 5.75%, 01/01/12
         4,684   
2,290            
Rev., FSA, 5.75%, 01/01/13
         2,511   
             
Louisiana Housing Finance Agency, Single-Family Access Program,
               
30            
Series B, Rev., GNMA/FNMA COLL, 8.00%, 03/01/25
         31    
400            
Series D-2, Rev., AMT, GNMA/FNMA COLL, 7.05%, 06/01/10
         411    
2,800            
Louisiana Offshore Terminal Authority, Loop LLC Project, Rev., VAR, 5.00%, 06/01/12
         2,782   
5,000            
Louisiana Public Facilities Authority, Franciscan Missionaries, Series A, Rev., FSA, 5.75%, 07/01/18
         5,466   
             
Louisiana State Military Department, Custody Receipts,
               
1,470            
Rev., 5.00%, 08/01/13
         1,524   
1,000            
Rev., 5.00%, 08/01/15
         1,029   
3,000            
St. Bernard Parish Home Mortgage Authority, Mortgage-Backed Securities Program, Series A-2, Rev., GNMA/FNMA/FHLMC, 5.80%, 09/01/17
         3,097