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QUARTERLY COMMENTARY | June 30, 2021 J.P. Morgan Duration High Yield Strategy Separately Managed Account QUARTER IN REVIEW TOPLINE (2Q 2021) The J.P. Morgan High Yield Short Duration Strategy outperformed its index, Strategy Benchmark the Bloomberg Barclays U.S. High Yield BB/B 1–5 Year Registered Only ▲ 1.89% ▲ 1.87% Constrained Index, for the quarter ended June 30, 2021. Benchmark: Bloomberg Barclays US High Yield 1-5 Year BB/B An underweight to airlines, which have consistently rallied since November, Registered Only 2% Capped Index hindered performance. The strategy did not own a handful of energy names that performed well Markets The high-yield market strengthened in the second quarter during the quarter, detracting from performance. as spreads tightened significantly, and yields hit all-time lows. Strong selection in cable satellite led the contributors. Security Helped Strong security selection within the cable satellite and selection in the automotive, gaming and leisure sectors also aided consumer cyclical sectors helped. performance during the quarter. Hurt Underweight airlines and security selection in midstream was Security selection in the automotive, gaming, and leisure sectors also aided a headwind. performance during the quarter. Outlook Above-trend growth and range-bound spreads are the base- LOOKING AHEAD case scenario, which makes high yield attractive relative to other A slow grind tighter will likely continue until there is a major catalyst to shock fixed-income asset classes. markets, which seems unlikely in the near term. Past performance is not indicative of future returns. Performance is shown gross of The forecast keeps improving, with expectations that the year-end fees. If fees were included, returns would be lower. Please see following page for 2021 rate will be less than 1%, followed by a year-end rate in 2022 of less than additional performance. 1.5%. STRATEGY OVERVIEW Strong fundamentals and technicals within the high-yield market, combined with GDP growth estimates of nearly 7%, bode well for high yield, and we Designed to provide a high level of believe carry-like returns are the base-case outcome for 2021, with the biggest income with lower than the broad being Treasury volatility. high yield market

APPROACH Invests in a diversified portfolio of high yield (below investment grade) corporate debt securities Focuses on higher quality, more liquid issues rated B/BB or better Seeks to maintain a duration of 1.5 to 3 years under most market conditions Combines bottom-up analysis with top-down insights,actively managing profile against market risk PAGE 2 of 2 | QUARTERLY COMMENTARY | June 30, 2021 J.P. Morgan Short Duration High Yield Strategy PERFORMANCE HOLDINGS YIELD (%) CREDIT QUALITY (%)

Yield to maturity (%) 2.99 0.7 AAA Yield to worst (%) 2.22 79.9 BA RETURN (%) 19.4 B 3 MOS YTD 1 YR 3 YRS 5 YRS INCEPTION1 Strategy 1.89 2.90 10.36 5.45 5.33 4.71 (gross of fees) Strategy 1.51 2.13 8.73 3.89 3.77 3.16 Certain holdings may not be included due to de minimis values and rounding. Values (net of max. allowable may not total 100%. fees - 150 bps)2 Benchmark 1.87 3.26 12.09 6.86 7.21 6.03 EQUITY SECTORS (%) Sector Weighting Compared to benchmark Benchmark: Bloomberg Barclays US High Yield 1-5 Year BB/B Registered Only 2% Capped Index. COMMUNICATIONS 17.9 5.2 Past performance is not indicative of future returns. Performance includes the CONSUMER CYCLICAL 18.5 3.4 reinvestment of any income. CONSUMER NON-CYCLICAL 12.0 3.0 1Inception date: 4/30/2012 ENERGY 21.5 1.5 2Please note, actual fees associated with this strategy may be lower. BASIC INDUSTRY 6.8 1.4 0.7 0.7 PORTFOLIO ANALYSIS INDUSTRIAL OTHER 0.0 -0.7 Average price $108.03 UTILITY 1.3 -1.1 Average maturity (years) 3.88 CAPITAL GOODS 4.7 -1.8 OAS 188.22 TECHNOLOGY 4.4 -2.4 Average (%) 5.38 TRANSPORTATION 0.8 -2.7 Average life (years) 2.76 FINANCE 11.3 -6.5 Source: J.P. Morgan Asset Management, FactSet. The above characteristics are from a representative portfolio. Actual account characteristics of individual accounts may be different. Portfolio characteristics are as 100.0 Under 8.0% of 6/30/2021 and are based on individual securities in the Portfolio on that date. Securities in the Portfolio are subject to change. Statistics shown are not indicative of future statistics and are not representative of future Portfolio performance.

GENERAL DISCLOSURES relied on for, , legal or advice. References to premium, default risk, model risk), net of the cost of any This document is a general communication being provided future returns are not promises or even estimates of actual embedded options. for informational purposes only. It is educational in nature returns a client portfolio may achieve. Any forecasts Average Life: The length of time the principal of a debt and not designed to be a recommendation for any specific contained herein are for illustrative purposes only and are issue is expected to be outstanding. investment product, strategy, plan feature or other purpose. not to be relied upon as advice or interpreted as a Duration: Measures price sensitivity of Any examples used are generic, hypothetical and for recommendation. securities to interest rate changes. illustration purposes only. Prior to making any investment Opinions and estimates offered constitute our judgment and INDEXES or financial decisions, an should seek individualized are subject to change without notice, as are statements of advice from personal financial, legal, tax and other trends, which are based on current market Managed Accounts have fees that reduce their professionals that take into account all of the particular facts conditions. We believe the information provided here is performance: indexes do not. You cannot invest directly in and circumstances of an investor's own situation. reliable, but do not its accuracy or completeness. an index. RISK SUMMARY This material is not intended as an offer or solicitation for The High Yield Short Duration Blended Benchmark includes BofA ML 1-5 Yr US Cash Pay HY Constrained Index from The following could cause the Strategy’s portfolio to the for the purchase or sale of any . The view and strategies described may not be suitable for all 04/30/12 - 07/31/17 and Bloomberg Barclays US HY 2% lose money or perform more poorly than other CCCs 1-5 yrs SEC from 08/01/17 to present. investments. . Pastperformanceisnoguaranteeoffutureresults. Securities rated below investment grade are considered CREDIT QUALITY "high-yield," "non-investment grade," "below investment- J.P. Morgan Investment Management (JPMIM) receives ENTITIES grade," or "junk bonds." They generally are rated in the fifth credit quality ratings on underlying securities of the J.P. Morgan Asset Management is the brand name for the or lower rating categories of Standard & Poor's and Moody's portfolio from the three major ratings agencies – S&P, asset management business of JPMorgan Chase & Co and Investors Service. Although they can provide higher yields Moody’s and Fitch. When calculating credit quality its affiliates worldwide. than higher rated securities, they can carry greater risk. breakdown, JPMIM selects the middle rating of the agencies Issued by: J.P. Morgan Asset Management, 277 Park Investments in derivatives may be riskier than other types when all three rate a security, the lower of two ratings if Avenue, Floor 8, New York, NY 10172, dedicated broker of investments. They may be more sensitive to changes in only two rate a security, and one rating if that is all that is support 1-800-556-8103. economic or market conditions than other types of provided. Securities that are not rated by all three agencies If you are a person with a disability and need additional investments. Derivatives may create leverage, which could are reflected as such. support in viewing the material, please call us at lead to greater volatility and losses that significantly exceed PORTFOLIO ANALYSIS DEFINITIONS 1-800-343-1113 for assistance. the original investment. -adjusted spread (OAS) is the spread relative to a ©JPMorgan Chase & Co., July 2021 Investments in bonds and other debt securities will change risk-free interest rate, usually measured in basis points, that in value based on changes in interest rates. If rates rise, the equates the theoretical present value of a series of value of these investments generally drops. uncertain cash flows of an instrument to its current market This material has been prepared for informational purposes price. OAS can be viewed as the compensation an investor only, and is not intended to provide, and should not be receives for assuming a variety of risks (e.g. liquidity QC-SDHY-MA-621 NOT FDIC INSURED | NO GUARANTEE | MAY LOSE VALUE