SNAPSHOT JPMCB Special Situation Property Fund

Q2 2012 I GLOBAL REAL ASSETS

PORTFOLIO CHARACTERISTICS Investment Performance AS OF JUNE 30, 2012 AS OF JUNE 30, 2012 Gross asset value (000): $3,073,698 One Three Five Ten Since (%) Qtr YTD year years years years inception1 Net asset value (000): $1,864,213 Income 1.12 2.27 5.62 5.24 4.54 5.02 5.62 Appreciation 0.69 3.33 12.26 4.34 -8.64 0.19 1.13 Current leverage2: 39.7% Total 1.82 5.66 18.51 9.81 -4.52 5.18 6.79 Number of investments3: 52 1 Fund inception: January 1, 1998 Number of accounts: 101 Past performance is not indicative of future results. Performance shown above is gross of investment management fees. Total returns net of fees were: Qtr: 1.40%; YTD: 4.79%; One year: 16.56%; Three years: 7.86%; Five years: -6.23%; Ten years: 3.32%; Since inception: 5.02%. Net returns are estimated 2 Fund share of debt at outstanding principal over gross asset value based on the highest applicable fee rate for this strategy. 3 Direct RE only, excludes land

Commentary DIVERSIFICATION NAV (%) JPMCB Special Situation Property Fund4 produced a second quarter total gross return of 1.82%, with an income return of 1.12% and appreciation of 0.69%. The Fund’s trailing one-year total gross return was 18.51%, with an income return of 5.62% and Land Cash 4.4 5.9 appreciation of 12.26%. Hotel Oce 3.4 33.3 Quarterly of direct real estate resulted in total net appreciation of $12.2 Retail 6.3 million (66 bps). Appreciation coupled with realized gains from asset sales within the Fund’s residential sector totaling $15.5 million (85 bps) were the primary drivers for the quarter, while the industrial portfolio experienced appreciation of $6.4 million Industrial Residential 12.5 (35 bps). A modest write-up of the Fund’s retail portfolio contributed additional 34.2 appreciation of $1.0 million (5 bps). Valuation activity across assets within the office and hospitality sectors resulted in net depreciation of $6.4 million (-35 bps) and $4.3 GEOGRAPHIC million (-24 bps), respectively. Valuation adjustments to various properties within the DIRECT REAL ESTATE ONLY land portfolio had no material impact on performance. Quarterly valuation of the NAV (%) Fund’s mortgage liabilities contributed a positive debt mark-to-market adjustment of $0.6 million (3 bps), primarily due to an increase in Treasury yields and overall Midwest 5.6 discount rates.

West The Fund invested total equity of $18.7 million in new acquisitions during the second 26.3 East 49.3 quarter. Initial equity of $3.9 million was invested to acquire an 11.3 acre land site in Pomona, CA to develop a 222,500-square-foot, LEED certified industrial building. Initial equity of $10.7 million was invested to acquire an 80% interest in Middlesex South 18.7 Logistics Center, a 570,100-square-foot, Class-A industrial development project located in Edison, NJ. Additionally, the Fund entered into a joint venture to acquire a 45% interest in 7 Bryant Park in New York, NY for $4.2 million of initial net equity. The proposed 28-story, 470,000-square-foot, LEED Gold certified office building will Due to rounding, values in the diversification and geographic graphs may not total 100%.

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be ideally located in Midtown Manhattan. On the disposition able cash flow and redemptions. At quarter end, the Fund’s cash front, the sale of Metropolitan Apartments I & II, two adjacent position stood at 5.9% of net asset value, while the garden-style apartment properties containing 709 units in ratio of 39.7% remained well below the Fund’s guideline limit of Atlanta, GA, generated net proceeds of $29.7 million. 60%. We look forward to sharing additional information with you with the release of the Fund’s second quarter 2012 report The Fund called $15.5 million from its investor contribution to be distributed in mid-August. queue which funded on April 4th, with a subsequent of $63.0 million which funded on July 5th. A distribution of Thank you for your continued support. $65.3 million was made on July 5th to fulfill second quarter Doug Schwartz investor withdrawal requests for management fees, distribut- Portfolio Manager

SELECT ACQUISITIONS

Property name Property type Location Purchase price5 Sq. ft/units Middlesex Logistics Center Industrial Edison, NJ $10.7 mm 570,100 7 Bryant Park Office New York, NY $4.2 mm 470,000 GSA Pomona Industrial Pomona, CA $3.9 mm 222,500 5 Fund share of net purchase price

SELECT DISPOSITIONS

Property name Property type Location Sales price6 Sq. ft/units Metropolitan Apartments I Residential Atlanta, GA $17.8 mm 435 Metropolitan Apartments II Residential Atlanta, GA $11.8 mm 274 6 Fund share of net sales price

4 The Commingled Pension Trust Fund (Special Situation Property) of JPMorgan Chase Bank N.A. is a collective trust fund established and maintained by JPMorgan Chase Bank, N.A. under a declaration of trust. The Fund is not required to file a prospectus or registration statement with the SEC, and accordingly, neither is available. The Fund is available only to certain qualified retirement plans and governmental plans and is not offered to the general public. Units of the Fund are not bank deposits and are not insured or guaranteed by any bank, government entity, the FDIC or any other type of deposit . You should carefully consider the investment objectives, risk, charges, and expenses of the Fund before investing. This material is intended to report solely on the investment strategies and opportunities identified by JPMorgan Asset Management. Additional information is available upon request. Information herein is believed to be reliable but JPMorgan Asset Management does not its completeness or accuracy. Opinions and estimates constitute our judgment and are subject to change without notice. Past performance is not indicative of comparable future returns. Total return assumes the reinvestment of income. The material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. JPMorgan Asset Management and/or its affiliates and employees may hold a position or act as market maker in the financial instruments of any issuer discussed herein or act as underwriter, placement agent, advisor or lender to such issuer. The investments and strategies discussed herein may not be suitable for all investors; if you have any doubts you should consult your JPMorgan Asset Management Client Adviser, Broker or Portfolio Manager. The material is not intended to provide, and should not be relied on for, accounting, legal or tax advice, or investment recommendations. You should consult your tax or legal adviser about the issues discussed herein. The investments discussed may fluctuate in price or value. Investors may get back less than they invested. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. Real Estate investing may be subject to a higher degree of market risk because of concentration in a specific industry, sector or geographical sector. Real Estate investing may be subject to risks including, but not limited to, declines in the value of real estate, risks related to general and economic conditions, changes in the value of the underlying property owned by the trust and defaults by borrower. The Fund is established and maintained by JPMorgan Chase Bank, N.A. under a Declaration of Trust. The Fund is a bank-sponsored collective investment fund established as a group trust within the meaning of Internal Revenue Service Revenue Ruling 81-100, as amended. The Fund is available exclusively to certain tax- qualified retirement and governmental plans that have appointed JPMorgan Chase Bank, N.A. as fiduciary for the plan. J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. and its affiliates worldwide. Those businesses include, but are not limited to, JPMorgan Chase Bank, N.A., J.P. Morgan Investment Management Inc., Capital Research & Management Incorporated, and J.P. Morgan Alternative Asset Management, Inc. 270 Park Avenue, New York, NY 10017 © 2012 JPMorgan Chase & Co. | SNPSHT_SSPF_Q2_12

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