Prospectus J.P. Morgan Income Funds Class A, Class B*, Class C & Select Class Shares July 1, 2010 JPMorgan Limited Duration Bond Fund (formerly JPMorgan Ultra Short Duration Bond Fund) Class/Ticker: A/ONUAX; B/ONUBX; C/OGUCX; Select/HLGFX JPMorgan Treasury & Agency Fund Class/Ticker: A/OTABX; B/ONTBX; C/**; Select/OGTFX JPMorgan Short Duration Bond Fund Class/Ticker: A/OGLVX; B/OVBBX; C/OSTCX; Select/HLLVX JPMorgan Short Term Bond Fund II Class/Ticker: A/HSTGX; Select/TRSBX JPMorgan Core Bond Fund Class/Ticker: A/PGBOX; B/OBOBX; C/OBOCX; Select/WOBDX JPMorgan Core Plus Bond Fund Class/Ticker: A/ONIAX; B/OINBX; C/OBDCX; Select/HLIPX JPMorgan Total Fund Class/Ticker: A/JMTAX; C/JMTCX; Select/JMTSX JPMorgan Strategic Income Opportunities Fund Class/Ticker: A/JSOAX; C/JSOCX; Select/JSOSX JPMorgan Mortgage-Backed Securities Fund Class/Ticker: A/OMBAX; Select/OMBIX JPMorgan Government Bond Fund Class/Ticker: A/OGGAX; B/OGGBX; C/OGVCX; Select/HLGAX JPMorgan Real Fund Class/Ticker: A/RRNAX; C/RRNCX; Select/RRNSX JPMorgan High Yield Fund (formerly JPMorgan High Yield Bond Fund) Class/Ticker: A/OHYAX; B/OGHBX; C/OGHCX; Select/OHYFX JPMorgan Emerging Markets Debt Fund Class/Ticker: A/JEDAX; C/JEDCX; Select/JEMDX * Class B Shares are no longer available for new purchases. ** This share class is not currently offered to the public. The Securities and Exchange Commission has not approved or disapproved of these securities or determined if this prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
CONTENTS Risk/ Summaries: JPMorgan Limited Duration Bond Fund... 1 JPMorgan Treasury & Agency Fund... 6 JPMorgan Short Duration Bond Fund... 10 JPMorgan Short Term Bond Fund II... 15 JPMorgan Core Bond Fund... 19 JPMorgan Core Plus Bond Fund... 23 JPMorgan Total Fund... 28 JPMorgan Strategic Income Opportunities Fund... 32 JPMorgan Mortgage-Backed Securities Fund... 38 JPMorgan Government Bond Fund... 42 JPMorgan Real Fund... 47 JPMorgan High Yield Fund... 51 JPMorgan Emerging Markets Debt Fund... 56 More About the Funds... 61 Additional Information About the Funds Investment Strategies... 61 Investment Risks... 66 Temporary Defensive and Cash Positions... 71 Additional Historical Performance Information... 71 The Funds Management and Administration... 73 How to Do Business with the Funds... 77 Purchasing Fund Shares... 77 Sales Charges... 82 Rule 12b-1 Fees... 88 working and Sub-Transfer Agency Fees... 88 Exchanging Fund Shares... 89 Redeeming Fund Shares... 90 Shareholder Information... 93 Distributions and Taxes... 93 Shareholder Statements and Reports... 94 Availability of Proxy Voting Record... 94 Portfolio Holdings Disclosure... 94 Investment Practices... 95 Risk and Reward Elements for the Funds... 103 Financial Highlights... 108 Legal Proceedings and Additional Fee and Expense Information... 134 How to Reach Us... Back cover
JPMorgan Limited Duration Bond Fund (formerly the JPMorgan Ultra Short Duration Bond Fund) Class/Ticker: A/ONUAX; B/ONUBX; C/OGUCX; Select/HLGFX What is the goal of the Fund? The Fund seeks a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities. Fees and Expenses of the Fund The following tables describe the fees and expenses that you may pay if you buy and hold shares of the Fund. You may qualify for sales charge discounts on purchases of Class A Shares if you and your family invest, or agree to invest in the future, at least $100,000 in the J.P. Morgan Funds. More information about these and other discounts is available from your financial intermediary and in How to Do Business with the Funds SALES CHARGES on page 82 of the prospectus and in PUR- CHASES, REDEMPTIONS AND EXCHANGES in Appendix A to Part II of the Statement of Additional Information. SHAREHOLDER FEES (Fees paid directly from your investment) Class A Class B Class C Select Class Maximum Sales Charge (Load) Imposed on Purchases%ofthe Offering Price 2.25% NONE NONE NONE Maximum Deferred Sales Charge (Load) as % of Original Cost of the Shares NONE 3.00% NONE NONE (under $500,000) ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each year as a percentage of the value of your investment) Class A Class B Class C Select Class Management Fees 0.25% 0.25% 0.25% 0.25% Distribution (Rule 12b-1) Fees 0.25 0.75 0.75 NONE Other Expenses 0.48 0.49 0.48 0.48 Shareholder Service Fees 0.25 0.25 0.25 0.25 Remainder of Other Expenses 0.23 0.24 0.23 0.23 Acquired Fund Fees and Expenses 0.04 0.04 0.04 0.04 Total Annual Fund Operating Expenses 1 1.02 1.53 1.52 0.77 Fee Waivers and Expense Reimbursements 1 (0.28) (0.29) (0.28) (0.28) Total Annual Fund Operating Expenses After Fee Waivers and Expense Reimbursements 1 0.74 1.24 1.24 0.49 1 The Fund s adviser, administrator and distributor (the Service Providers) have contractually agreed to waive fees and/or reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees deferred compensation plan) exceed 0.70%, 1.20%, 1.20% and 0.45% of the average daily net assets of Class A, Class B, Class C and Select Class Shares, respectively. This contract continues through 6/30/11, at which time the Service Providers will determine whether or not to renew or revise it. JULY 1, 2010 1
JPMorgan Limited Duration Bond Fund (continued) Example This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Fund s operating expenses are equal to the total annual fund operating expenses after fee waivers and expense reimbursements shown in the fee table through 6/30/11 and total annual fund operating expenses thereafter. Your actual costs may be higher or lower. IF YOU SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 299 515 749 1,420 CLASS B SHARES ($) 426 655 807 1,535 CLASS C SHARES ($) 126 453 802 1,789 SELECT CLASS SHARES ($) 50 218 400 928 IF YOU DO NOT SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 299 515 749 1,420 CLASS B SHARES ($) 126 455 807 1,535 CLASS C SHARES ($) 126 453 802 1,789 SELECT CLASS SHARES ($) 50 218 400 928 Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the Example, affect the Fund s performance. During the Fund s most recent fiscal year, the Fund s portfolio turnover rate was 23% of the average value of its portfolio. What are the Fund s main investment strategies? The Fund mainly invests in mortgage-backed securities, assetbacked securities, mortgage-related securities, adjustable rate mortgages, money market instruments, and structured investments. These investments may be structured as collateralized mortgage obligations (agency and non-agency), stripped mortgage-backed securities (interest-only and principal-only), commercial mortgage-backed securities, and mortgage passthrough securities. Under normal circumstances, the Fund will invest at least 80% of its Assets in bonds. For purposes of this policy, Assets means net assets plus the amount of borrowings for investment purposes. The Fund seeks to maintain a duration of three years or less, although, under certain market conditions, the Fund s duration may be longer than three years. Duration is a measure of the price sensitivity of a debt security or a portfolio of debt securities to relative changes in interest rates. The Fund seeks to implement its duration strategy through the purchase of a portfolio of short-term securities. A portfolio of short-term securities, under normal market conditions, will have a weighted average life of three years or less at the time of investment, although, under certain market conditions, may be longer than three years. The Fund invests in fixed and floating rate debt securities representing an interest in or secured by residential mortgage loans. These securities often are issued or guaranteed by the U.S. government, its agencies or instrumentalities such as the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae) or the Federal Home Loan Mortgage Corporation (Freddie Mac). However, the Fund may also purchase mortgage-backed securities and asset-backed securities that are issued by nongovernmental entities. Such securities may or may not have private insurer guarantees of timely payments. Securities purchased by the Fund will be rated investment grade (or the unrated equivalent) at the time of purchase. In addition, all securities will be U.S. dollar-denominated although they may be issued by a foreign corporation, or a U.S. affiliate of a foreign corporation or a foreign government or its agencies and instrumentalities. The Fund may invest a significant portion or all of its assets in mortgage-related and mortgagebacked securities at the adviser s discretion. The Fund may invest up to 25% of its assets in sub-prime mortgage-related securities at the time of purchase. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, may be used as substitutes for securities in which the Fund can invest. The Fund may invest in futures contracts, options, and swaps as tools in the management of portfolio assets. The Fund may use such derivatives to hedge various investments, for risk management and/or to increase income or gain to the Fund. The adviser buys and sells securities and investments for the Fund based on its view of individual securities and market sectors. Taking a long-term approach, the adviser looks for individual fixed income investments that it believes will perform well over market cycles. The adviser is value oriented and makes decisions to purchase and sell individual securities and instruments after performing a risk/reward analysis that includes an evaluation of interest rate risk, credit risk, duration, 2 J.P. MORGAN INCOME FUNDS
liquidity and the complex legal and technical structure of the transaction. The Fund s Main Investment Risks The Fund is subject to management risk and may not achieve its objective if the adviser s expectations regarding particular securities or markets are not met. Interest Rate Risk. The Fund s investments in bonds and other debt securities will change in value based on changes in interest rates. If rates rise, the value of these investments generally drops. Credit Risk. The Fund s investments are subject to the risk that a counterparty will fail to make payments when due or default completely. If an issuer s financial condition worsens, the credit quality of the issuer may deteriorate making it difficult for the Fund to sell such investments. Government Securities Risk. The Fund invests in securities issued or guaranteed by the U.S. government or its agencies and instrumentalities (such as Ginnie Mae, Fannie Mae, or Freddie Mac securities). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. government and no assurance can be given that the U.S. government would provide financial support. Asset-Backed, Mortgage-Related and Mortgage-Backed Securities Risk. The Fund may invest in asset-backed, mortgagerelated and mortgage-backed securities including so-called sub-prime mortgages that are subject to certain other risks including prepayment and call risks. When mortgages and other obligations are prepaid and when securities are called, the Fund may have to reinvest in securities with a lower yield or fail to recover additional amounts (i.e., premiums) paid for securities with higher interest rates, resulting in an unexpected capital loss and/or a decrease in the amount of dividends and yield. During periods of difficult or frozen credit markets, significant changes in interest rates, or deteriorating economic conditions, such securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. Collateralized mortgage obligations (CMOs), interest-only (IO) and principalonly (PO) stripped mortgage-backed securities are more volatile and may be more sensitive to the rate of prepayments than other mortgage-related securities. Derivatives Risk. Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Fund s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than it would have been if it had not used derivatives. Derivatives also expose the Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. Foreign Issuer Risks. U.S. dollar denominated securities of foreign issuers or U.S. affiliates of foreign issuers may be subject to additional risks not faced by domestic issuers. These risks include political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, and regulatory issues facing issuers in such foreign countries. Redemption Risk. The Fund may need to sell its holdings in order to meet shareholder redemption requests. The Fund could experience a loss when selling securities to meet redemption requests if the redemption requests are unusually large or frequent, occur in times of overall market turmoil or declining prices for the securities sold, or when the securities the Fund wishes to or is required to sell are illiquid. Investments in the Fund are not 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 investing in the Fund. TheFund spastperformance This section provides some indication of the risks of investing in the Fund. The bar chart shows how the performance of the Fund s Select Class Shares has varied from year to year over the past ten calendar years. The table shows the average annual total returns for the past one year, five years, and ten years. It compares that performance to the Barclays Capital 1 3 Year U.S. Government/Credit Bond Index, the Barclays Capital Short 9 12 Month U.S. Treasury Index (the Fund s former primary benchmark), and the Lipper Short U.S. Government Fund Index. The Lipper index is based on the total returns of certain mutual funds within the Fund s designated category as determined by Lipper. Unlike the other indexes, the Lipper index includes the expenses of the mutual funds included in the index. The performance of Class C Shares shown in the table is based on the performance of Select Class Shares prior to the inception of the Class C Shares. All prior class performance has been adjusted to reflect the differences in expenses and sales charges between classes. Past performance (before and after taxes) is not necessarily an indication of how any class of the Fund will perform in the future. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111. JULY 1, 2010 3
JPMorgan Limited Duration Bond Fund (continued) YEAR-BY-YEAR RETURNS 20.00% 15.00% 10.00% 7.61% 5.99% 4.58% 4.80% 5.00% 2.15% 2.05% 2.85% 1.05% 0.00% 5.00% 15.61% 1 The Fund s primary benchmark has changed from the Barclays Capital Short 9 12 Month U.S. Treasury Index to the Barclays Capital 1 3 Year U.S. Government/Credit Bond Index to better reflect the Fund s duration strategy. After-tax returns are shown for only the Select Class Shares and after-tax returns for these other classes will vary. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. 10.00% 15.00% 12.49% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Best Quarter 3rd quarter, 2009 6.74% Worst Quarter 4th quarter, 2008 7.77% The Fund s year-to-date total return through 3/31/10 was 2.71%. AVERAGE ANNUAL TOTAL RETURNS (WITH MAXIMUM SALES CHARGES) (For periods ended December 31, 2009) Past 1Year Past 5Years Past 10 Years SELECT CLASS SHARES Before Taxes 15.61% 1.96% 3.20% After Taxes on Distributions 14.21 0.41 1.62 After Taxes on Distributions and Sale of Fund Shares 10.07 0.77 1.78 CLASS A SHARES Before Taxes 12.71 1.22 2.72 CLASS B SHARES Before Taxes 11.83 1.21 2.64 CLASS C SHARES Before Taxes 14.75 1.19 2.38 BARCLAYS CAPITAL 1 3 YEAR U.S. GOVERNMENT/CREDIT BOND INDEX 1 (Reflects No Deduction for Fees, Expenses or Taxes) 3.83 4.32 4.86 BARCLAYS CAPITAL SHORT 9 12 MONTHU.S.TREASURYINDEX 1 (Reflects No Deduction for Taxes) 0.76 3.63 3.67 LIPPER SHORT U.S. GOVERNMENT FUNDS INDEX (Reflects No Deduction for Taxes) 3.59 3.65 4.08 Management J.P. Morgan Investment Management Inc. Portfolio Manager Managed Fund Since Primary Title with Investment Adviser Michael Sais 1995 Managing Director Richard Figuly 2005 Vice President Gregg Hrivnak 2005 Vice President Purchase and Sale of Fund Shares Purchase minimums For Class A Shares To establish an account $1,000 For Class C Shares To establish an account $10,000 For Class A and Class C Shares To add to an account $25 For Select Class Shares To establish an account $1,000,000 To add to an account No minimum levels Class B Shares are no longer available for new purchases. Existing shareholders can still reinvest their dividends and exchange their Class B Shares for Class B Shares of other Funds. In general, you may purchase or redeem shares on any business day Through your Financial Intermediary By writing to J.P. Morgan Funds Services, P.O. Box 8528, Boston, MA 02266-8528 After you open an account, by calling J.P. Morgan Funds Services at 1-800-480-4111 Tax Information The Fund intends to make distributions that may be taxed as ordinary income or capital gains, except when your investment is in an IRA, 401(k) plan or other tax-advantaged investment plan. 4 J.P. MORGAN INCOME FUNDS
Payments to Broker-Dealers and Other Financial Intermediaries If you purchase shares of the Fund through a broker-dealer or other financial intermediary (such as a bank), the Fund and its related companies may pay the financial intermediary for the sale of Fund shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or financial intermediary and your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediary s web site for more information. JULY 1, 2010 5
JPMorgan Treasury & Agency Fund Class/Ticker: A/OTABX, B/ONTBX; C/*; Select/OGTFX What is the goal of the Fund? The Fund seeks a high level of current income by investing in U.S. Treasury and other U.S. agency obligations with a primary, but not exclusive, focus on issues that produce income exempt from state income taxes. Fees and Expenses of the Fund The following tables describe the fees and expenses that you may pay if you buy and hold shares of the Fund. You may qualify for sales charge discounts on purchases of Class A Shares if you and your family invest, or agree to invest in the future, at least $100,000 in the J.P. Morgan Funds. More information about these and other discounts is available from your financial intermediary and in How to Do Business with the Funds SALES CHARGES on page 82 of the prospectus and in PUR- CHASES, REDEMPTIONS AND EXCHANGES in Appendix A to Part II of the Statement of Additional Information. SHAREHOLDER FEES (Fees paid directly from your investment) Class A Class B Class C Select Class Maximum Sales Charge (Load) Imposed on Purchases%ofthe Offering Price 2.25% NONE NONE NONE Maximum Deferred Sales Charge (Load) as % of Original Cost of the Shares NONE 3.00% 1.00% NONE (under $500,000) * This share class is not currently offered to the public. ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each year as a percentage of the value of your investment) Class A Class B Class C 2 Class Select Management Fees 0.30% 0.30% 0.30% 0.30% Distribution (Rule 12b-1) Fees 0.25 0.75 0.75 NONE Other Expenses 0.42 0.42 0.42 0.42 Shareholder Service Fees 0.25 0.25 0.25 0.25 Remainder of Other Expenses 0.17 0.17 0.17 0.17 Acquired Fund Fees and Expenses 0.01 0.01 0.01 0.01 Total Annual Fund Operating Expenses 1 0.98 1.48 1.48 0.73 Fee Waivers and Expense Reimbursements 1 (0.27) (0.27) (0.27) (0.27) Total Annual Fund Operating Expenses After Fee Waivers and Expense Reimbursements 1 0.71 1.21 1.21 0.46 1 The Fund s adviser, administrator and distributor (the Service Providers) have contractually agreed to waive fees and/or reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees deferred compensation plan) exceed 0.70%, 1.20%, 1.20% and 0.45% of the average daily net assets of Class A, Class B, Class C and Select Class Shares, respectively. This contract continues through 6/30/11, at which time the Service Providers will determine whether or not to renew or revise it. 2 As of the date of this Prospectus, Class C Shares have not commenced operations and are not open for investment. 6 J.P. MORGAN INCOME FUNDS
Example This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Fund s operating expenses are equal to the total annual fund operating expenses after fee waivers and expense reimbursements shown in the fee table through 6/30/11 and total annual fund operating expenses thereafter. Your actual costs may be higher or lower. IF YOU SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 296 504 729 1,375 CLASS B SHARES ($) 423 641 782 1,486 CLASS C SHARES ($) 123 441 782 1,745 SELECT CLASS SHARES ($) 47 206 379 881 IF YOU DO NOT SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 296 504 729 1,375 CLASS B SHARES ($) 123 441 782 1,486 CLASS C SHARES ($) 123 441 782 1,745 SELECT CLASS SHARES ($) 47 206 379 881 Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the Example, affect the Fund s performance. During the Fund s most recent fiscal year, the Fund s portfolio turnover rate was 51% of the average value of its portfolio. What are the Fund s main investment strategies? The Fund s main investment strategy is to invest in U.S. Treasury and U.S. agency obligations which include U.S. Treasury bills, notes, agency debentures, repurchase agreements and obligations issued or guaranteed by U.S. government agencies and instrumentalities. Under normal circumstances, the Fund will invest at least 80% of its Assets in treasury and agency obligations. For the purpose of this policy, Assets means net assets plus the amount of borrowing for investment purposes. The Fund s investments in U.S. Treasury and U.S. agency obligations include fixed income securities, mortgage-backed and mortgage-related securities, and inflation-linked securities, including fixed and floating rate debt securities of varying maturities issued by the U.S. government, its agencies and instrumentalities. Such securities may be structured as Separately Traded Registered Interest and Principal Securities (STRIPS), Coupons under Book-Entry Safekeeping (CUBES) and Treasury Inflation Protected Securities (TIPS). The Fund also invests in J.P. Morgan money market funds that invest only in the types of securities that the Fund could buy directly. The Fund also may invest in government mortgage-backed securities and government adjustable rate mortgage loans known as ARMs. Normally the Fund s average weighted maturity will range between two and five years. The Fund may have a longer or shorter average weighted maturity under certain market conditions and the Fund may shorten or lengthen its average weighted maturity if deemed appropriate for temporary defensive purposes. Because of the Fund s holdings in mortgagebacked and similar securities, the Fund s average weighted maturity is equivalent to the average weighted maturity of the cash flows in the securities held by the Fund given certain prepayment assumptions (weighted average life). The adviser buys and sells securities and investments for the Fund based on its view of individual securities and market sectors. The adviser looks for individual investments that it believes will perform well over market cycles. The adviser is value oriented and focuses on issues with short or intermediate remaining maturities. The adviser makes decisions to purchase and sell individual securities and instruments after performing a risk/reward analysis that includes an evaluation of interest rate risk, credit risk, duration, liquidity and the complex legal and technical structure of the transaction. The Fund s Main Investment Risks The Fund is subject to management risk and may not achieve its objective if the adviser s expectations regarding particular securities or markets are not met. Interest Rate Risk. The Fund s investments in bonds and other debt securities will change in value based on changes in interest rates. If rates rise, the value of these investments generally drops. Inflation-Linked Security Risk. Unlike conventional bonds, the principal or interest of inflation-linked securities such as TIPS is adjusted periodically to a specified rate of inflation (e.g., Consumer Price Index for All Urban Consumers (CPI-U)). There can be no assurance that the inflation index used will accurately measure the real rate of inflation. These securities may lose JULY 1, 2010 7
JPMorgan Treasury & Agency Fund (continued) value in the event that the actual rate of inflation is different than the rate of the inflation index. Government Securities Risk. The Fund invests in securities issued or guaranteed by the U.S. government or its agencies and instrumentalities (such as the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), or the Federal Home Loan Mortgage Corporation (Freddie Mac) securities). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. governmentrelated organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. government and no assurance can be given that the U.S. government would provide financial support. Mortgage-Related and Other Mortgage-Backed Securities Risk. The Fund may invest in mortgage-related and mortgage-backed securities that are subject to certain other risks including prepayment and call risks. During periods of difficult or frozen credit markets, significant changes in interest rates, or deteriorating economic conditions, mortgage-related and mortgage-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. Investment Company Risk. Shareholders bear both their proportionate share of the Fund s expenses and similar expenses of another investment company. Tax Risk. The Fund may invest in securities whose interest is subject to state and local income taxes, such as the interest on securities guaranteed by the Federal Deposit Insurance Corporation (FDIC) under its Temporary Liquidity Guarantee Program (TLGP) or securities issued under similar programs in the future. Redemption Risk. The Fund may need to sell its holdings in order to meet shareholder redemption requests. The Fund could experience a loss when selling securities to meet redemption requests if the redemption requests are unusually large or frequent, occur in times of overall market turmoil or declining prices for the securities sold, or when the securities the Fund wishes to or is required to sell are illiquid. Investments in the Fund are not 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 investing in the Fund. TheFund spastperformance This section provides some indication of the risks of investing in the Fund. The bar chart shows how the performance of the Fund s Select Class Shares has varied from year to year over the past ten calendar years. This provides some indication of the risks of investing in the Fund. The table shows the average annual total returns for the past one year, five years, and ten years. It compares that performance to the Barclays Capital 1 5 Year U.S. Treasury Index, Barclays Capital 1 3 Year U.S. Treasury Index, and the Lipper Short U.S. Treasury Funds Average, an index based on the total returns of all mutual funds within the Fund s designated category as determined by Lipper. Unlike the other indexes, the Lipper index include the expenses of the mutual funds included in the index. Past performance (before and after taxes) is not necessarily an indication of how any class of the Fund will perform in the future. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111. YEAR-BY-YEAR RETURNS 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 10.32% 2000 7.48% 2001 9.27% 2002 2.32% 1.40% 1.64% 2003 2004 2005 3.96% 2006 Best Quarter 3rd quarter, 2002 4.78% Worst Quarter 2nd quarter, 2004 1.46% 6.68% 6.29% 2007 The Fund s year-to-date total return through 3/31/10 was 0.81%. 2008 1.93% 2009 8 J.P. MORGAN INCOME FUNDS
AVERAGE ANNUAL TOTAL RETURNS (WITH MAXIMUM SALES CHARGES) (For periods ended December 31, 2009) Past 1Year Past 5Years Past 10 Years SELECT CLASS SHARES Before Taxes 1.93% 4.08% 5.08% After Taxes on Distributions 0.09 2.46 3.35 After Taxes on Distributions and Sale of Fund Shares 1.37 2.54 3.33 CLASS A SHARES Before Taxes (0.62) 3.35 4.59 CLASS B SHARES Before Taxes (1.77) 3.30 4.51 BARCLAYS CAPITAL 1 5 YEAR U.S. TREASURY INDEX (Reflects No Deduction for Fees, Expenses or Taxes) 0.19 4.39 5.01 BARCLAYS CAPITAL 1 3 YEAR U.S. TREASURY INDEX (Reflects No Deduction for Taxes) 0.80 4.03 4.50 LIPPER SHORT U.S. TREASURY FUNDS AVERAGE (Reflects No Deduction for Taxes) 0.64 3.69 4.22 After-tax returns are shown for only the Select Class Shares and after-tax returns for other classes will vary. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Management J.P. Morgan Investment Management Inc. Purchase and Sale of Fund Shares Purchase minimums For Class A Shares To establish an account $10,000 To add to an account $25 For Select Class Shares To establish an account $1,000,000 To add to an account No minimum levels Class B Shares are no longer available for new purchases. Existing shareholders can still reinvest their dividends and exchange their Class B Shares for Class B Shares of other Funds. In general, you may purchase or redeem shares on any business day Through your Financial Intermediary By writing to J.P. Morgan Funds Services, P.O. Box 8528, Boston, MA 02266-8528 After you open an account, by calling J.P. Morgan Funds Services at 1-800-480-4111 Tax Information The Fund intends to make distributions that may be taxed as ordinary income or capital gains, except when your investment is in an IRA, 401(k) plan or other tax-advantaged investment plan. Payments to Broker-Dealers and Other Financial Intermediaries If you purchase shares of the Fund through a broker-dealer or other financial intermediary (such as a bank), the Fund and its related companies may pay the financial intermediary for the sale of Fund shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or financial intermediary and your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediary s web site for more information. Portfolio Manager Managed Fund Since Primary Title with Investment Adviser Scott Grimshaw 1996 Vice President Peter Simons 2005 Vice President JULY 1, 2010 9
JPMorgan Short Duration Bond Fund Class/Ticker: A/OGLVX; B/OVBBX; C/OSTCX; Select/HLLVX What is the goal of the Fund? The Fund seeks current income consistent with preservation of capital through investment in high- and medium-grade fixed income securities. Fees and Expenses of the Fund The following tables describe the fees and expenses that you may pay if you buy and hold shares of the Fund. You may qualify for sales charge discounts on purchases of Class A Shares if you and your family invest, or agree to invest in the future, at least $100,000 in the J.P. Morgan Funds. More information about these and other discounts is available from your financial intermediary and in How to Do Business with the Funds SALES CHARGES on page 82 of the prospectus and in PUR- CHASES, REDEMPTIONS AND EXCHANGES in Appendix A to Part II of the Statement of Additional Information. SHAREHOLDER FEES (Fees paid directly from your investment) Class A Class B Class C Select Class Maximum Sales Charge (Load) Imposed on Purchases%ofthe Offering Price 2.25% NONE NONE NONE Maximum Deferred Sales Charge (Load) as % of Original Cost of the Shares NONE 3.00% NONE NONE (under $500,000) ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each year as a percentage of the value of your investment) Class A Class B Class C Select Class Management Fees 0.25% 0.25% 0.25% 0.25% Distribution (Rule 12b-1) Fees 0.25 0.75 0.75 NONE Other Expenses 0.38 0.38 0.38 0.38 Shareholder Service Fees 0.25 0.25 0.25 0.25 Remainder of Other Expenses 0.13 0.13 0.13 0.13 Acquired Fund Fees and Expenses 0.01 0.01 0.01 0.01 Total Annual Fund Operating Expenses 1 0.89 1.39 1.39 0.64 Fee Waivers and Expense Reimbursements 1 (0.08) (0.08) (0.08) (0.08) Total Annual Fund Operating Expenses After Fee Waivers and Expense Reimbursements 1 0.81 1.31 1.31 0.56 1 The Fund s adviser, administrator and distributor (the Service Providers) have contractually agreed to waive fees and/or reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees deferred compensation plan) exceed 0.80%, 1.30%, 1.30% and 0.55% of the average daily net assets of Class A, Class B, Class C and Select Class Shares, respectively. This contract continues through 6/30/11, at which time the Service Providers will determine whether or not to renew or revise it. 10 J.P. MORGAN INCOME FUNDS
Example This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Fund s operating expenses are equal to the total annual fund operating expenses after fee waivers and expense reimbursements shown in the fee table through 6/30/11 and total annual fund operating expenses thereafter. Your actual costs may be higher or lower. IF YOU SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 306 495 699 1,289 CLASS B SHARES ($) 433 632 753 1,400 CLASS C SHARES ($) 133 432 753 1,662 SELECT CLASS SHARES ($) 57 197 349 791 IF YOU DO NOT SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 306 495 699 1,289 CLASS B SHARES ($) 133 432 753 1,400 CLASS C SHARES ($) 133 432 753 1,662 SELECT CLASS SHARES ($) 57 197 349 791 Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the Example, affect the Fund s performance. During the Fund s most recent fiscal year, the Fund s portfolio turnover rate was 31% of the average value of its portfolio. What are the Fund s main investment strategies? As part of its main investment strategy, the Fund may principally invest in U.S. treasury obligations, U.S. government agency securities, corporate bonds, asset-backed securities, mortgage-backed securities, mortgage-related securities, and structured instruments. These investments may be structured as collateralized mortgage obligations (agency and nonagency), commercial mortgage-backed securities and mortgage pass-through securities. U.S. government agency securities may be issued or guaranteed by the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae) or the Federal Home Loan Mortgage Corporation (Freddie Mac). Under normal circumstances, the Fund invests at least 80% of its Assets in bonds. For purposes of this policy, Assets means net assets plus the amount of borrowings for investment purposes. Duration is a measure of the price sensitivity of a debt security or a portfolio of debt securities to relative changes in interest rates. Consistent with the Fund s short duration strategy, the Fund s effective average weighted maturity ordinarily will be three years or less taking into account expected amortization and prepayment of principal on certain investments. The Fund may have a longer or shorter average weighted maturity under certain market conditions and the Fund may shorten or lengthen its average weighted maturity if deemed appropriate for temporary defensive purposes. Because of the Fund s holdings in asset-back, mortgage-backed and similar securities, the Fund s average weighted maturity is equivalent to the average weighted maturity of the cash flows in the securities held by the Fund given certain prepayment assumptions (weighted average life). Securities purchased by the Fund will be rated investment grade (or the unrated equivalent) at the time of purchase. In addition, all securities will be U.S. dollar-denominated although they may be issued by a foreign corporation, or a U.S. affiliate of a foreign corporation or a foreign government or its agencies and instrumentalities. The Fund may invest a significant portion or all of its assets in mortgage-related and mortgagebacked securities at the adviser s discretion. The Fund expects to invest less than 5% of its assets in sub-prime mortgagerelated securities at the time of purchase. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, may be used as substitutes for securities in which the Fund can invest. The Fund may use futures contracts, options, and swaps as tools in the management of portfolio assets. The Fund may use such derivatives to hedge various investments, for risk management and/or to increase income or gain to the Fund. The adviser buys and sells securities and investments for the Fund based on its view of individual securities and market sectors. The adviser looks for individual fixed income investments that it believes will perform well over market cycles. The adviser is value oriented and makes decisions to purchase and sell individual securities and instruments after performing a risk/reward analysis that includes an evaluation of interest rate risk, credit risk, duration, liquidity and the complex legal and technical structure of the transaction. JULY 1, 2010 11
JPMorgan Short Duration Bond Fund (continued) The Fund s Main Investment Risks The Fund is subject to management risk and may not achieve its objective if the adviser s expectations regarding particular securities or markets are not met. Interest Rate Risk. The Fund s investments in bonds and other debt securities will change in value based on changes in interest rates. If rates rise, the value of these investments generally drops. Credit Risk. The Fund s investments are subject to the risk that a counterparty will fail to make payments when due or default completely. If an issuer s financial condition worsens, the credit quality of the issuer may deteriorate making it difficult for the Fund to sell such investments. Government Securities Risk. The Fund invests in securities issued or guaranteed by the U.S. government or its agencies and instrumentalities (such as Ginnie Mae, Fannie Mae, or Freddie Mac securities). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. government and no assurance can be given that the U.S. government would provide financial support. Asset-Backed, Mortgage-Related and Mortgage-Backed Securities Risk. The Fund may invest in asset-backed, mortgagerelated and mortgage-backed securities including so-called sub-prime mortgages that are subject to certain other risks including prepayment and call risks. When mortgages and other obligations are prepaid and when securities are called, the Fund may have to reinvest in securities with a lower yield or fail to recover additional amounts (i.e., premiums) paid for securities with higher interest rates, resulting in an unexpected capital loss and/or a decrease in the amount of dividends and yield. During periods of difficult or frozen credit markets, significant changes in interest rates, or deteriorating economic conditions, such securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid and may be more sensitive to the rate of prepayments than other mortgagerelated securities. Derivatives Risk. Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Fund s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than it would have been if it had not used derivatives. Derivatives also expose the Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. Foreign Issuer Risks. U.S. dollar denominated securities of foreign issuers or U.S. affiliates of foreign issuers may be subject to additional risks not faced by domestic issuers. These risks include political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, and regulatory issues facing issuers in such foreign countries. Redemption Risk. The Fund may need to sell its holdings in order to meet shareholder redemption requests. The Fund could experience a loss when selling securities to meet redemption requests if the redemption requests are unusually large or frequent, occur in times of overall market turmoil or declining prices for the securities sold, or when the securities the Fund wishes to or is required to sell are illiquid. Investments in the Fund are not 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 investing in the Fund. TheFund spastperformance This section provides some indication of the risks of investing in the Fund. The bar chart shows how the performance of the Fund s Select Class Shares has varied from year to year over the past ten calendar years. The table shows the average annual total returns for the past one year, five years, and ten years. It compares that performance to the Barclays Capital 1 3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index, an index based on the total returns of certain mutual funds within the Fund s designated category as determined by Lipper. Unlike the other index, the Lipper index includes the expenses of the mutual funds included in the index. The performance of Class C Shares shown in the table is based on the performance of Select Class Shares prior to the inception of the Class C Shares. All prior class performance has been adjusted to reflect the differences in expenses and sales charges between classes. Past performance (before and after taxes) is not necessarily an indication of how any class of the Fund will perform in the future. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111. 12 J.P. MORGAN INCOME FUNDS
YEAR-BY-YEAR RETURNS 9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% 7.67% 8.06% 2000 2001 6.19% 2002 2.30% 1.94% 1.21% 2003 2004 2005 4.31% 2006 Best Quarter 3rd quarter, 2001 3.24% Worst Quarter 2nd quarter, 2004 0.90% 6.07% 2007 The Fund s year-to-date total return through 3/31/10 was 0.85%. AVERAGE ANNUAL TOTAL RETURNS (WITH MAXIMUM SALES CHARGES) (For periods ended December 31, 2009) Past 1Year Past 5Years 3.63% 2008 4.96% 2009 Past 10 Years SELECT CLASS SHARES Before Taxes 4.96% 4.17% 4.61% After Taxes on Distributions 3.94 2.87 3.10 After Taxes on Distributions and Sale of Fund Shares 3.21 2.79 3.03 CLASS A SHARES Before Taxes 2.40 3.44 4.11 CLASS B SHARES Before Taxes 1.19 3.39 4.02 CLASS C SHARES Before Taxes 4.16 3.38 3.77 BARCLAYS CAPITAL 1 3 YEAR U.S. GOVERNMENT/CREDIT BOND INDEX (Reflects No Deduction for Fees, Expenses or Taxes) 3.83 4.32 4.86 LIPPER SHORT U.S. GOVERNMENT FUNDS INDEX (Reflects No Deduction for Taxes) 3.59 3.65 4.08 After-tax returns are shown for only the Select Class Shares and after-tax returns for these other classes will vary. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Management J.P. Morgan Investment Management Inc. Portfolio Manager Managed Fund Since Primary Title with Investment Adviser Gregg Hrivnak 2006 Vice President Richard Figuly 2006 Vice President Purchase and Sale of Fund Shares Purchase minimums For Class A Shares To establish an account $1,000 For Class C Shares To establish an account $10,000 For Class A and Class C Shares To add to an account $25 For Select Class Shares To establish an account $1,000,000 To add to an account No minimum levels Class B Shares are no longer available for new purchases. Existing shareholders can still reinvest their dividends and exchange their Class B Shares for Class B Shares of other Funds. In general, you may purchase or redeem shares on any business day Through your Financial Intermediary By writing to J.P. Morgan Funds Services, P.O. Box 8528, Boston, MA 02266-8528 After you open an account, by calling J.P. Morgan Funds Services at 1-800-480-4111 Tax Information The Fund intends to make distributions that may be taxed as ordinary income or capital gains, except when your investment is in an IRA, 401(k) plan or other tax-advantaged investment plan. JULY 1, 2010 13
JPMorgan Short Duration Bond Fund (continued) Payments to Broker-Dealers and Other Financial Intermediaries If you purchase shares of the Fund through a broker-dealer or other financial intermediary (such as a bank), the Fund and its related companies may pay the financial intermediary for the sale of Fund shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or financial intermediary and your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediary s web site for more information. 14 J.P. MORGAN INCOME FUNDS
JPMorgan Short Term Bond Fund II Class/Ticker: A/HSTGX; Select/TRSBX What is the goal of the Fund? The Fund seeks a high level of income, consistent with preservation of capital. Fees and Expenses of the Fund The following tables describe the fees and expenses that you may pay if you buy and hold shares of the Fund. You may qualify for sales charge discounts on purchases of Class A Shares if you and your family invest, or agree to invest in the future, at least $100,000 in J.P. Morgan Funds. More information about these and other discounts is available from your financial intermediary and in How to Do Business with the Funds SALES CHARGES on page 82 of the prospectus and in PUR- CHASES, REDEMPTIONS AND EXCHANGES in Appendix A to Part II of the Statement of Additional Information. SHAREHOLDER FEES (Fees paid directly from your investment) 1 The Fund s adviser, administrator and distributor (the Service Providers) have contractually agreed to waive fees and/or reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees deferred compensation plan) exceed 0.75% and 0.50% of the average daily net assets of Class A and Select Class Shares, respectively. This contract continues through 6/30/11, at which time the Service Providers will determine whether or not to renew or revise it. Example This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Fund s operating expenses are equal to the total annual fund operating expenses after fee waivers and expense reimbursements shown in the fee table through 6/30/11 and total annual fund operating expenses thereafter. Your actual costs may be higher or lower. Select Class A Class Maximum Sales Charge (Load) Imposed onpurchasesas%oftheofferingprice 2.25% NONE Maximum Deferred Sales Charge (Load) as % of Original Cost of the Shares NONE NONE (under $500,000) ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each year as a percentage of the value of your investment) Class A Select Class Management Fees 0.25% 0.25% Distribution (Rule 12b-1) Fees 0.25 NONE Other Expenses 0.55 0.59 Shareholder Service Fees 0.25 0.25 Remainder of Other Expenses 0.30 0.34 Acquired Fund Fees and Expenses 0.01 0.01 Total Annual Fund Operating Expenses 1 1.06 0.85 Fee Waivers and Expense Reimbursements 1 (0.30) (0.34) Total Annual Fund Operating Expenses After Fee Waivers and Expense Reimbursements 1 0.76 0.51 IF YOU SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 301 525 768 1,464 SELECT CLASS SHARES ($) 52 237 438 1,017 IF YOU DO NOT SELL YOUR SHARES, YOUR COSTS WOULD BE: 1 Year 3 Years 5 Years 10 Years CLASS A SHARES ($) 301 525 768 1,464 SELECT CLASS SHARES ($) 52 237 438 1,017 Portfolio Turnover The Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the Example, affect the Fund s performance. During the Fund s most recent fiscal year, the Fund s portfolio turnover rate was 48% of the average value of its portfolio. What are the Fund s main investment strategies? As part of its main investment strategy, the Fund may principally invest in U.S. government and agency securities, domestic JULY 1, 2010 15