JPMCB Strategic Property Fund - OkMRF

JPMCB Strategic Property Fund

Quarterly Report: December 31, 2016

FOR INSTITUTIONAL USE ONLY | NOT FOR PUBLIC DISTRIBUTION

ABOUT

JPMCB Strategic Property Fund1 pursues a pure core investment strategy designed to deliver a relatively high level of current income combined with moderate appreciation potential. It owns and seeks attractive office, retail, residential and industrial investments in major markets throughout the U.S. with high quality physical improvements, stabilized occupancies, excellent locations and competitive positions within their markets. The Fund executes its strategy by maintaining a strong balance sheet, investing in the portfolio to drive income return, acquiring new assets for long-term growth and pruning assets with less long-term potential. The Fund's size, quality, consistent pure core strategy, high occupancy, low lease rollover, solid income, conservative leverage and staggered debt maturities position it to perform well over the long term.

ON THE COVER AND ABOVE: ROYAL HAWAIIAN CENTER, HONOLULU, HI Royal Hawaiian Center is a 335,667-square-foot Class A urban shopping center located in Waikiki Beach in Honolulu. The Fund is augmenting the already strong tenant base by replacing underperforming tenants to strengthen retail offerings, diversify merchandising mix and increase sales productivity.

1 Commingled Pension Trust Fund (Strategic Property) of JPMorgan Chase Bank, N.A. ("Strategic Property Fund", "SPF" or "the Fund").

FOURTH QUARTER 2016

FINANCIAL HIGHLIGHTS

AS OF DECEMBER 31, 2016

Net Asset Value: $30,515,363,858

Unit Value:

$3,019.87

Gross Asset Value:1

$41,229,984,564

Number of Direct

Real Property

170

Interests:2

Number of 424

Accounts:

1 Net Assets reflected gross of Fund's share of debt at fair value of approximately $10.7 billion.

2 Direct real property interests and land investments.

STRATEGIC PROPERT Y FUND delivered a fourth quarter 2016 total gross return of 2.2%, comprised of income of 1.0% and appreciation of 1.1%. The total net return was 1.9%.

Investment performance

AS OF DECEMBER 31, 2016

Income

Appreciation

Total

15

Percent

10

5 2.2 1.1 1.0

0

12.5 11.5

7.2

8.4

6.4

6.5 3.8

1.1

4.8

5.0

5.4

4.4

9.8 8.9

3.0 2.8

5.9

6.5

Current

(%)

quarter

SPF4

Total

2.2

One

Three

Five

Ten Fifteen

Since

year

years

years

years

years Jan. 983

8.4

11.5

12.5

6.5

8.9

9.8

NFI-ODCE5 Total

2.1

8.8

12.1

12.2

5.8

8.2

9.0

Total returns net of fees were: Current Quarter: 1.9%; One Year: 7.3%; Three Years: 10.4%; Five Years: 11.4%; Ten Years: 5.5%; Fifteen Years: 7.8%; Since Inception: 8.7%. Net returns are based on the highest applicable fee rate for this strategy. The deduction of an advisory fee reduces an investor's return.

3 SPF's inception date. 4 Performance results are gross of investment management fees. Past performance is not a guarantee

of comparable future results. Actual account performance will vary depending on individual portfolio applicable fee schedule. Total return is calculated based on time-weighted rate of return methodology. 5 The NFI-ODCE (NCREIF Fund Index-Open End Diversified Core Equity) is a fund-level capitalization weighted, time weighted return index and includes property investments at ownership share, cash balances and leverage (i.e. returns reflect the fund's actual asset ownership positions and financing strategy).

J.P. MORGAN ASSET MANAGEMENT 1

TO OUR VALUED CLIENTS

Strategic Property Fund delivered a fourth quarter 2016 total gross return of 2.2% and a trailing one year total gross return of 8.4%. The Fund continued to deliver a durable income return of 1.0% for the quarter and 4.4% for the trailing one year period. We anticipate the total gross return for 2017 to be in the range of 6-8%. At quarter end, the gross asset value (GAV) of the Fund was $41.2 billion and net asset value (NAV) was $30.5 billion.

Fourth quarter appreciation was driven primarily from appreciation in the West Coast office assets as well as two of the large regional malls, NorthPark and Royal Hawaiian Center. Rising Treasurys in the fourth quarter resulted in a positive mark to market on the debt. Negative contributors in the fourth quarter included Southeast Financial Center, an office asset located in Miami, FL that sold less for than its carrying value, and Houston Center, our Houston office holding that was devalued to reflect the deteriorating market.

In 2017, SPF will focus on reinvesting in the current portfolio to ensure the existing assets maintain dominant positions in their respective marketplaces across all sectors. Most notably, the Fund has significant redevelopment programs in progress at two of our California malls, University Towne Center and Valley Fair Mall, where we are undertaking renovation and expansion projects with a focus on high-end retail, new restaurant concepts and entertainment.

Acquisition activity will likely be slow in the first half of the year, as investors digest the changing landscape in borrowing costs, softened capital demand for office product and generally slowed rent growth in the multifamily sector as a result of increased delivery of supply. SPF will look to take advantage of any attractive pricing opportunities for high quality assets that may arise as a result. The Fund will focus selective acquisition efforts in the industrial and residential sectors, where we are currently underweight. This may come in the form of core assets or new development opportunities. SPF's current development exposure is 2.7% of GAV.

Disposition activity in 2017 is anticipated to reflect a more normalized year, with approximately 5% of the NAV of the Fund targeted for sale. Assets anticipated to transact will be across product types, versus the 2016 strategy, which was focused on office sales to help the Fund meet its objective of reducing the overall exposure in the sector.

The Fund ended the calendar year with a cash position of 5.3% of NAV. Reducing the Fund's leverage was one of our top priorities for 2016 and we successfully brought it down from 27.2% at the end of 2015 to 26.0%. On the liquidity front, we raised over $1.6 billion and accepted $2.4 billion of funded capital during the calendar year. As of December 31, 2016, the contribution queue stood at $489.7 million, approximately 1.6% of the Fund's net asset value. Investors seeking to increase their Strategic Property Fund position can expect new commitments to be called in approximately three months.

Strategic Property Fund also remains a valuable source of liquidity to our clients, as we distributed $3.0 billion to fulfill withdrawal requests for redemptions, management fees and distributable cash flow. The Fund continues to fully satisfy all outstanding redemption requests and is currently operating without a redemption queue.

Thank you for your continued support of Strategic Property Fund and the Real Estate Americas team.

Kimberly A. Adams Portfolio Manager

Ann E. Cole Portfolio Manager

2 JPMCB STRATEGIC PROPERTY FUND | FOURTH QUARTER 2016

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10 Hudson Yards

New York, NY

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