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JPMCB Strategic Property Fund Quarterly Report: December 31, 2014

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JPMCB Strategic Property FundQuarterly Report: December 31, 2014

pattiel
Text Box
Agenda Item No. F-5 Joint Meeting of the Retirement Boards Meeting Date: 2/24/2015
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JPMCB Strategic Property Fund1 owns and seeks improved real estate projects with stabilized occupancies that produce a relatively high level of current income combined with moderate appreciation potential.

The Fund’s investment portfolio focuses on attractive office, retail, residential and industrial investments with high quality physical improvements, excellent locations and competitive positions within their markets.

ON THE COVER: 1345 AVENUE OF THE AMERICAS, NEW YORK, NYABOVE: VIEW OF CENTRAL PARK FROM 1345 AVENUE OF THE AMERICAS

1345 Avenue of the Americas is a 2.1 million-square-foot Class A office building on Sixth Avenue in Manhattan. The building has unobstructed views of Central Park and offers tenants large desirable floor plates. It is 100% leased to a diverse mix of long-term tenants.

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

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J.P. Morgan Asset Management | 1

Strategic Property Fund (“the Fund”) delivered a fourth quarter total gross return of 2.7% (2.5% net of fees), comprised of income of 1.3% and appreciation of 1.4%. The one-year total gross return was 11.1% (10.0% net of fees).

The Fund continued to execute on its strategy of maintaining a strong balance sheet, investing in the portfolio to drive income return, acquiring new assets for long-term growth and re-balancing the portfolio by pruning assets with lower growth prospects. The Fund’s size, quality of assets and consistent pure core strategy make it one of the industry’s top open-end core commingled portfolios.

FINANCIAL HIGHLIGHTSAT DECEMBER 31, 2014

Net Assets: $24,175,684,675

Unit Value: $2,418

Gross Asset Value1 $34,440,935,557

Number of Direct Real Property Interests:2 173

Number of Clients: 323

1 Net Assets reflected gross of Fund’s share of debt at fair value ($10. 3 billion)

2 Direct real property interests and land investments

Fourth Quarter 2014

(%)Current Quarter

One Year

Three Years

Five Years

TenYears

FifteenYears

Since Jan. 98 3

SPF 4 2.7 11.1 13.0 13.8 8.2 8.8 9.5

NFI - ODCE 5 3.3 12.5 12.5 13.9 7.1 7.9 8.7

Investment PerformanceAT DECEMBER 31, 2014

Total returns net of fees were: Current Quarter: 2.5%; One Year: 10.0%; Three Years: 11.9%; Five Years: 12.7%; Ten Years: 7.1%; Fifteen Years: 7.7%; Since Inception: 8.4%. Net returns are based on the highest applicable fee rate for this strategy.

3 SPF’s inception date. 4 Strategic Property Fund (“SPF”). Performance results are gross of investment management fees. Past performance is not

a guarantee of comparable future results. The deduction of an advisory fee reduces an investor’s return. Actual account performance will vary depending on individual portfolio applicable fee schedule.

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).

Perc

ent

TotalIncome Appreciation

0

5

10

15

1.3

2.71.4

11.1

5.2

5.7

13.0

5.2

7.4

13.8

5.6

7.98.2

5.7

2.4

8.8

6.4

2.2

9.5

2.6

6.8

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2 | JPMCB Strategic Property Fund | Fourth Quarter 2014

ON THIS PAGE:

ROYAL HAWAIIAN CENTER, HONOLULU, HI

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J.P. Morgan Asset Management | 3

To Our Valued ClientsStrategic Property Fund delivered a fourth quarter total gross return of 2.7% and a trailing one year gross total return of 11.1%. All sectors contributed to the Fund’s fourth quarter value gain of 1.4% and a trailing one year value gain of 5.7%. As anticipated, the trailing one-year appreciation has moderated, reflective of a more normalized core environment. In addition, our commitment tomaintaining a low risk profile as a component of delivering long term performance may result in periods of slight underperformance in mature periods of the cycle, as witnessed in this quarter’s returns.

The Fund continued to deliver a durable income return of 1.3% for the quarter and 5.2% on a one-year basis. Net operating income (NOI) for comparable properties grew by 5.5% year-over-year, due to increased occupancies and rent gains in a number of markets. During the 2014 calendar year, approximately 4.6 million square feet of leases were executed across the Fund. Over 75% of the leases by square feet were renewals and expansions, confirming the strong demand for the Fund’s high quality assets.

At quarter end, the gross asset value (GAV) of the Fund was $34.4 billion and net asset value (NAV) was $24.2 billon. Our total gross return expectation for 2015 remains in the range of 8% to 10%.

The Fund completed a very active investment year in 2014. We invested approximately $3.5 billion in net of equity, or 14% of the Fund’s NAV, over the course of the year. The acquisitions, primarily in the retail ($1.6 billion) and office ($1.4 billion) sectors, represent some of the highest quality real estate in the market with very strong long-term prospects.

Our disposition activity in 2014 was in line with the Fund’s historical sales activity, at approximately $1.0 billion, or 4% of the Fund’s NAV, primarily from the residential and office sectors. The Fund was able to sell into very strong capital markets, providing a great opportunity to cull the portfolio of its weaker assets to improve the overall quality of the portfolio.

The strength of Strategic Property Fund’s balance sheet continues to be a hallmark of the Fund. We ended the quarter at a 2.5% cash position and leverage at 29.2%. Following the close of the calendar year, the Fund paid down the outstanding balance on its line of credit, which reduced the leverage of the Fund to 27.7%. We continue the Fund’s strategy of maintaining a lower risk leverage profile, which typically includes borrowing long term, fixed rate debt at the asset level from balance sheet lenders.

The Fund continues to attract investor interest, with new commitments of $301 million during the quarter and $1. 3 billion for the calendar year. We accepted $1.7 billion of new capital from investors during the year and our contribution queue was $1.7 billion, or 7% of the Fund’s NAV at December 31, 2014.

Strategic Property Fund is very well positioned with a portfolio of quality assets that we believe will continue to benefit from strong leasing momentum and NOI growth. We expect the Fund’s office and retail sectors will be the strongest contributors to total performance in the coming quarters.

Looking forward to 2015, we anticipate continued investing in all of our major markets and asset types. Pricing-dependent, we are particularly interested in additional opportunities on the West Coast, which is boding the strongest overall rent projections. Competition in the capital markets will likely increase in the coming year, which may result in a lower acquisition volume for SPF relative to that of the last year. We expect the sector allocations to remain fairly consistent with those of year-end 2014.

The Fund is committed to driving outperformance over the long term. Thank you for your continued support of Strategic Property Fund and the U.S. Real Estate team.

Kimberly A. Adams Portfolio Manager

Ann E. Cole Portfolio Manager

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National Real Estate Overview

Real Estate Capital Markets We now see high quality unleveraged core properties trading at internal rates of return ( “IRRs” ) at just 6% based on our current underwriting. This is a low and for some investors a psychological barrier that makes real estate feel more like bonds than equities. These IRRs are still at a historically wide spread to ten-year Treasurys, and our real estate return expectations remain closer to our firm’s long term capital markets assumptions for equities than for bonds. The inevitable back-up in interest rates will most likely come from good economic news , so we target properties that will benefit from the resulting improved tenant demand as well as muted supply.

Real Estate Sector Review

Market Overview - Office Sector

The office market recovery nationwide had been slowed by weak hiring in finance and law but some stability in investment banking payrolls — thanks partly to M&A activity — and continued growth of asset management payrolls have driven top line financial job growth (excluding bank branches) to its fastest pace since 2006. Law firm hiring has remained weak, but an exclusive group of white shoe firms that cluster in high quality CBD office buildings have enjoyed business gains from the M&A boom. Infotech, management consulting, accounting, architectural and other business and technical services are all hiring rapidly now as well. Overall, we think the count of office submarkets falling below equilibrium vacancy will continue to rise – with only moderate development to mute the resulting sharp rent increases.

WEST $9,385.2 39.5%Office 3,536.6 14.9%Industrial 453.0 1.9%Residential 1,780.1 7.5%Retail 3,615.5 15.2%

MIDWEST $1,125.6 4.7%Office 277.6 1.1%Industrial 419.7 1.8%Residential 211.0 0.9%Retail 217.3 0.9%

Direct Real Property Interests DiversificationAT DECEMBER 31, 2014 DOLLARS IN MILLIONS

TOTAL $23,769.4 100.0%Office 10,800.7 45.4%Industrial 1,848.1 7.8%Residential 5,226.4 22.0%Retail 5,894.2 24.8%

EAST $7,642.5 32.2%Office 4,368.5 18.4%Industrial 89.7 0.4%Residential 2,158.3 9.1%Retail 1,026.0 4.3%

SOUTH $5,616.1 23.6%Office 2,618.0 11.0%Industrial 885.7 3.7%Residential 1,077.0 4.5%Retail 1,035.4 4.4%

Diversification is based upon Fund’s net equity value.Direct real property interest only, excluding land investments.

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N A T I O N A L R E A L E S T A T E O V E R V I E W

Supply remains delayed even as demand accelerates. Scarce construction financing has been one factor, but so has a lack of pre-lease-sized leasing requirements in most markets. Perhaps more importantly, the highest use of land in many of the nation’s most dynamic urban cores has been residential. Since the start of 2013, more than 25 million square feet of office buildings in structures more than 100,000 square feet each have been razed. As a consequence, net additions to stock were still less than 0.5% in 2014. Large tech firms continue to disperse in search of talent – creating dynamism in certain CBD or near-CBD submarkets that offer local amenities that attract the best workers. Seattle, Portland, LA, Chicago, New York, Denver, and Boston, among others, see dynamism outside of their traditional CBDs but still within urban cores. Sterile boxes in suburban office parks or amenity deserts within CBDs face near term headwinds – especially if they cannot be easily commuted to from urban, infill residential locations. Consequently, we think even functional, Class A towers in CBDs like Austin’s and LA’s remain bad bets. Additionally, minimally amenitized suburban locations near dynamic CBDs will continue to face headwinds – including some locations around Chicago, New York and even San Francisco.

Market Overview - Retail Sector

We continue to expect Class A malls to deliver the agglomeration economies favoring strong overall mall revenue growth for existing concepts and the best returns

for new uses such as high-end restaurants. In theory, B malls should be enjoying tailwinds . First, lower oil prices are democratizing the consumer recovery because energy costs account for a larger share of the spending by moderate income households. Second, continued low interest rates remain as a nice tailwind to mid-tier retailers struggling with high fixed costs. Finally, labor markets are improving for middle income Americans. Mid-tier in-line stores have continued to close at a rapid pace while luxury brands continue to grow. As we have noted before, marginal clothing retailers are suffering at the hands of fast fashion brands that have developed logistics chains that can update fashions continuously instead of once or twice per year. Fast fashion firms quickly copy luxury couture styles but, ironically, hurt mid-tier shops most by matching their pricing, but with more up-to-date fashion. Through third quarter, same store sales growth at B malls has remained negative. For A malls, same store sales growth has decelerated but is still positive.

We remain, as we have over the past decade, least enamored by power centers except, perhaps, within dense urban areas. Large boxes in far-flung locations are on the wrong side of virtually every trend we are observing. Grocer/ drug anchored centers with convenience and services-oriented in-line stores are good plays on organic economic growth as long as they are in infill locations. Large outdoor formats continue to work if they have high proportions of small shop space; in areas with high density/income/educational attainment, a broader array of formats will perform well.

Diversification by Property TypeAT DECEMBER 31, 2014

Diversification by Property LocationAT DECEMBER 31 , 2014

Diversification is based upon Fund’s net equity value.Direct real property interest only, excluding land investments. Due to rounding, values in the diversification charts may not total 100%.

Perc

ent

0

20

40

60

80

100

Office Industrial Residential Retail

SPF NFI-ODCE

3.11.6

Hotel Other

45.4

7.8

22.0

24.8

37.5

13.7

25.0

19.1

Perc

ent

0

20

40

60

80

100

East South West Midwest

SPF NFI-ODCE

32.2

23.6

39.5

4.7

33.3

19.5

38.0

9.1

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Market Overview - Industrial Sector

The warehouse market’s great recovery has been driven largely by the expensive demand by consumers that internet -purchased goods arrive in just one or two days. Holding excess inventories to guarantee quick delivery, along with other logistics costs, goes a long way to explaining why Amazon generates thin profits. Low interest rates and cheap gasoline help a little but do not significantly reduce the drag. Meanwhile, UPS and FedEx rejected some last minute Christmastime express deliveries from retailers that exceeded their previously agreed-upon limits. This form of rationing was put in place to avoid last year’s late delivery fiasco, and it may moderately reduce growth in warehouse demand. However, at some point a larger share of excess inventory and logistics costs will have to be passed to consumers – who should then be expected to reduce their demand for quick deliveries.

In the near term, some economizing in the logistics chain is already incrementally moderating warehouse occupancy growth at the same time supply is rising. Tenant demand growth for very large boxes (500,000+ square feet) in far-flung locations on cheap land has slowed, making it even more difficult to drive rent growth. Small infill boxes should achieve

higher rent growth – especially as they take advantage of the new-urbanist trend as well as demands for faster internet delivery. They also enjoy locations that are typically more supply constrained, as warehouse use in these places is often not perceived the highest and best use of land. Unfortunately, small infill box portfolios do not trade often and are expensive when they do.

Market Overview - Residential Sector

NOI growth for apartments has reaccelerated modestly as the housing market recovery delay has raised tenant demand for rentals. This impact is most strongly felt in economically dynamic Western markets but we have also seen stability and recovery in rent growth in Northeastern and Midwestern markets as well. Rents in many tech markets will have to decelerate over the next year as reduced affordability drives tenants to alternatives (rental houses, roommates, etc). As we noted previously, pockets of oversupply have cro pped up and starts are accelerating. Since the apartment market is largely priced above replacement cost, we think appreciation should be muted in the long run and that the best risk adjusted returns for core investors may well be development.

Real Estate Diversification byLife Cycle AT DECEMBER 31, 2014

Real Estate Diversification by Investment Structure AT DECEMBER 31, 2014

Diversification is based upon Fund’s net equity value Direct real property interests and land investments

Operating$22.7 Billion95.5%

Redevelopment$0.2 Billion

0.9%

Development$0.6 Billion

2.5%

Leasing$0.3 Billion1.1%

Wholly Owned$11.8 Billion49.6%

Joint Venture$12.0 Billion

50.4%

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Portfolio Returns

Investment PerformanceAS OF DECEMBER 31, 2014

Fourth Quarter One Year 2015 (Estimate)Income 1.3% 5.2% 5.1 – 5.2 %Appreciation 1.4% 5.7% 2.9 – 4.8 %Total 2.7% 11.1% 8.0 – 10.0 %

Strategic Property Fund delivered a fourth quarter total gross return of 2.7% (2.5% net of highest applicable fees). The Fund’s one year total gross return was 11.1% (10.0% net of highest ap-plicable fees). Net asset value ended the year at $24.2 billion, a year-over-year increase of 14.3%.

Quarterly valuation of direct real estate resulted in total appreciation of $542.0 million (230 bps) . The marking debt to market adjustment resulted in depreciation of $209.3 million (88 bps). The attribution of appreciation from direct real estate valuation during the quarter is as follows:

Office Retail Residential Industrial$mm 350.9 123.9 64.1 3.1Bps 149 53 27 1

The following are the leveraged total returns by sector for the fourth quarter:

Office Retail Residential IndustrialIncome 1.5% 1.3% 1.2% 1.6%Appreciation 1.9% 1.6% 1.0% 0.1%Total 3.3% 2.9% 2.2% 1.7%

The notable drivers of appreciation by sector are summarized in the following sections.

Office Sector HighlightsOur office assets contributed nearly 65% of the total direct real estate value increase this quarter. The Fund’s overweight to office and focus on CBD and urban locations continue to be drivers of this outperformance.

The Fund’s West Coast assets contributed over half of the sector’s appreciation. The West Los Angeles office market continues to experience strong leasing activity . Century Plaza Towers and 2000 Avenue of the Stars experienced strong appreciation due to increased market rents and reduced discount rates. In Santa Monica, which maintains one of the lowest vacancy rates in the West LA market, the Water Garden project also experienced strong appreciation due to increased market rents.

Companies, particularly technology firms, continue to migrate or expand in San Francisco, which has led to 18 consecutive quarters of positive absorption. China Basin experienced a value increase of $55.0 million due to increased market rents.

THE WATER GARDEN, SANTA MONICA, CA 200 FIFTH AVENUE, NEW YORK, NY

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The Silicon Valley office market also experienced sustained momentum. Market-wide vacancy dropped by 130 basis points since the beginning of the quarter. Sunnyvale City Center experienced appreciation due to an increase in market rents and a decrease in the discount rate.

The Fund’s assets on the East Coast experienced strong appreciation, most notably in New York City. In the Sixth Avenue/Rockefeller Center submarket, 125 West 55th Street experienced the largest increase of $51.3 million due to increased market rents and a lease renewal that was executed during the quarter. The tenant will renew for an additional 20 years and expand an additional 10,567 square feet. In the same submarket, 1285 Avenue of the Americas experienced appreciation due to the increase in the projected service recovery income and a decrease in projected expenses. In the Midtown South submarket, 200 Fifth Avenue’s value increase d due to rising market rents. Downtown in the Financial District, 195 Broadway experienced appreciation of $22.5 million due to increased market rents in the office component and an upcoming lease in which the tenant will occupy the newly developed restaurant space.

Furthermore, in Boston, the terminal cap rate for Landmark Center decreased due to increased demand for core real estate in the Boston market and an increase in market rents. In Atlanta, Terminus experienced a value increase due to a reduction in discount rate and terminal cap rate and a modest increase in market rent. In Miami, Southeast Financial Center saw an increase in value due to the change in parking garage operators, as well as the burn-off of tenant improvements for two tenants.

Retail Sector HighlightsOur retail portfolio continued to deliver strong results during the quarter and the year, particularly the regional malls and the entity investments in the Edens and Donahue Schriber Realty Group (“DSRG”) portfolios. The Fund’s focus in retail continues to revolve around high-end enclosed mall space.

In the current market, investors view higher-quality assets in primary urban and first tier suburban markets most favorably as a hedge against potential inflation. Through 2014, pricing metrics continued to strengthen for malls and shopping centers, with per-square-foot prices rising, capitalization rates compressing and average occupancy rates above 90%, all of which has resulted in meaningful rent growth. The PwC Real Estate Investor Survey reports regional mall cap rates averaged 6.58% through third quarter 2014. However, this compression is most notable among the most top-tier malls in dominant markets. Demand is expected to continue into 2015, generating further increases in real estate values and subsequent compression of capitalization rates.

Two examples of this trend are the Fund’s recent acquisitions of NorthPark Center in Dallas and Royal Hawaiian Center in Honolulu. SPF’s purchase price of a 60% interest in NorthPark Center was based on a 3.95% going-in cap rate, discount rate of 6.5% and terminal rate of 5.0%. As of November 2014, in-line tenant sales average $960 per square foot. The Royal Hawaiian Center sale was based on a 5.2% going-in cap rate to reflect the purchase of the leasehold interest based on a 75-year ground lease. The discount rate was 6.5%. As of November 2014, tenant sales averaged $2,006 per square foot. Since acquisition, the properties have appreciated 1.4% and 1.6%, respectively.

TERMINUS, ATLANTA, GA VALLEY FAIR MALL, SAN JOSE, CA

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P O R T F O L I O R E T U R N S

On a portfolio basis, comparable mall performance remains strong as in-line sales increased 2.7% year-over-year (excluding North Park and Royal Hawaiian Center). Through November 2014, sales averaged $806 per square foot with the inclusion of the recent acquisition of NorthPark and Royal Hawaiian Center . Focusing on asset specific performance, Park Meadows Mall, Towson Town Mall and Bridgewater Commons generated the largest increases in value at 6.2%, 3.5% and 3.4%, respectively.

Park Meadows Mall in Littleton, CO experienced appreciation of $18.7 million during the quarter. The mall continues to perform well with sales averaging $708 per square foot (as of November 2014) and attracts first-to-market tenants with five new tenants leasing approximately 20,000 square feet. The Vistas wing’s foot traffic continues to grow. The leasing team continues to think creatively and combine spaces when possible to offer tenants the best possible layouts. The discount rate was reduced by 25 bps to 6.25% and the resultant going-in cap rate was 4.61%.

Towson Town Mall in Towson, MD has made significant progress in implementing its leasing strategy for the luxury wing and strengthening the overall tenant mix of levels three and four following the relocation and expansion of the Apple Store to the second level of the mall. In-line sales, as of November 2014, averaged $558 per square foot. In 2014, ten new stores opened, leasing a total of 25,000 square feet. In looking to 2015, a combination of strong anchor tenants, a broad selection of national tenants and a new luxury sector should

continue to make Towson the first choice of retailers bringing new concepts to this respective market. The discount rate was reduced by 25 bps to 6.25% and the resultant going-in cap rate was 4.83%.

Bridgewater Commons in Bridgewater, NJ continues to generate strong in-line sales at $688 per square foot (as of November 2014) based on the ongoing upgrading of the tenant mix to superior, first-to-market concepts. This strategy is designed to maximize sales growth and maintain Bridgewater’s position as a destination fortress mall. Five new stores executed leases totaling approximately 11,000 square feet. With only a few vacant spaces left, the focus of the 2015 leasing strategy will be to drive a better merchandising mix by strategically re- tenanting inefficient spaces with successful categories/retailers to achieve sales performance. The discount rate was reduced by 25bps to 6.75% and the resultant going-in cap rate was 5.08%.

The Fund’s entity-level investments, DSRG and Edens, which specialize in retail shopping centers on the West Coast and East Coast, respectively, showed strong performance during the quarter. DSRG experienced appreciation of $30.9 million during the quarter, the largest write-up in the Fund’s retail portfolio. The significant gain was mainly due to the improving economy and low vacancy in retail centers located in Phoenix and California. Edens experienced a write-up of $15.7 million primarily due to the decrease in discount rates for a majority of the core assets in the portfolio.

TOWSON TOWN MALL, TOWSON, MD BRIDGEWATER COMMONS, BRIDGEWATER, NJ

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10 | JPMCB Strategic Property Fund | Fourth Quarter 2014

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Residential Sector HighlightsRegional divergence is most evident in the residential sector, with the Northwest, Northern California and Texas markets experiencing the strongest rent growth due to their dynamic local economies. SPF remains slightly underweight to some of these fast-growing markets. We continue to look for attractive acquisition opportunities in these markets.

The Fund’s residential assets on the West Coast contributed most of the appreciation during the fourth quarter. Palazzo Park La Brea Portfolio in Los Angeles experienced a write-up of $16.6 million based on an increase in net effective rents due to improved rent performance and a reduction in the management fee . The residential component of the Brewery Blocks investment, The Louisa, which is considered one of the most desirable properties in the downtown Portland market, experienced appreciation due to the decrease in discount rate and terminal cap rate, and increased market rents.

In Arizona, the Lofts at Rio Salado and Broadstone Scottsdale Waterfront experienced total appreciation of nearly $ 8.9 million. The Lofts at Rio Salado experienced appreciation due to increase in net effective rents given continued growth and market momentum. The construction at Broadstone Scottsdale Waterfront is nearly complete and the valuation is reflective of the decrease in remaining construction costs and the lease-up, which is expected to be achieved in the summer of 2015.

In Houston, The Ascent at City Center, which was newly completed, saw a value gain of $8.2 million, primarily as a result of the property achieving a larger net operating income as it is further along in lease-up. In addition, the appraiser estimated higher market rents and reduced the terminal cap rate after reviewing competitive data and recent sales comparables in the area.

In New York, Capitol at Chelsea continues to experience strong appreciation due to the compression of capital market assumptions. The appraiser lowered the terminal cap rate, which was justified by citing several recent sales in the market.

Industrial Sector HighlightsWe continue to favor efficient, modern facilities located in infill locations as a hallmark of our industrial strategy. Given general pricing of high quality industrial assets at per-square-foot values well above replacement cost, we will continue to be selective as we look to increase this sector allocation over time.

The industrial sector experienced modest appreciation during the quarter. South Bay Industrials portfolio in Los Angeles contributed most of the value gain due to the increase in market rents for seven out of eight assets in the portfolio; the market rent for the eighth asset remained the same.

THE LOUISA, PORTLAND, OR PROCTER & GAMBLE DISTRIBUTION CENTER, EDWARDSVILLE, IL

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Portfolio Activity

AcquisitionsOur investment teams continue to selectively source opportunities that fit the quality profile of the Fund. During the quarter, the Fund invested $707.1 million of net equity to acquire assets in the office, residential and retail sectors.

The Fund invested $593.9 million of net equity in 1345 Avenue of the Americas for a 49% interest in a joint venture. 1345 is a 2.1 million-square-foot trophy office asset in the Sixth Avenue/Rockefeller Center submarket of New York City . The building offers tenants highly desirable floor plates, one of the best view corridors in the submarket and excellent access to public transportation. The property is 100% leased to stable tenants with a long-term commitment to the building. The total gross value of the asset at acquisition was approximately $2.0 billion , or $963 per square foot. The Fund assumed $388.8 million of unfavorable debt, leading to a one-time large negative mark-to-market adjustment. Our outlook on real estate in general affords us the opportunity to look beyond the short-term negative debt impact in order to access great legacy real estate for the Fund in the long-term.

The Fund originated a $50.0 million mezzanine loan towards 555 11th Street NW, a 414,200-square-foot office building centrally located in the East End submarket of Washington, D.C. East End is a desirable location for businesses, in part due

to the vibrant retail environment in the immediate area. This investment provided the opportunity to access a trophy D.C. office building at $548 per square foot, a significantly lower basis than recent comparable office transactions, which ranged from $688-$936 per square foot.

As a complement to its existing North Hills retail investment, the Fund acquired Midtown Green, a 214-unit Class A residential building located in the North Hills submarket of Raleigh, NC, for $44.3 million of net equity. North Hills is one of the area’s most prestigious urban mixed-used planned communities and offers desirable floor plans with upgraded unit interiors. The North Hills retail asset offers residents of Midtown Green a blend of necessity, entertainment and food and beverage retailers. The Fund also acquired a 50% interest in Midtown Green Retail for $0.6 million of net equity as an add-on investment to the North Hills retail portfolio. The fully-leased 5,553 square feet of retail space is located on the ground floor of the Midtown Green residential building.

The Fund contributed $18.3 million in a joint venture to commence the development of Midtown Miami, a 400-unit luxury high-rise residential development in the trendy Midtown submarket of Miami, FL. The building’s high-end finishes, including porcelain tile flooring throughout the units, custom kitchen cabinetry and keyless entry in all units, will help

555 11TH STREET NW, WASHINGTON, D.C. MIDTOWN MIAMI, MIAMI, FL (RENDERING)

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12 | JPMCB Strategic Property Fund | Fourth Quarter 2014

P O R T F O L I O A C T I V I T Y

differentiate the project from competing new rental product in the market. Upon completion in late 2016, SPF’s expected equity contribution to the project will be approximately $52 million. The total projected development cost is $135 million, or $337,500 per unit.

DispositionsWe continue to take advantage of the strong capital markets to prune our portfolio of assets that no longer meet our long-term investment strategy. Disposition activity yielded total net proceeds of $281.7 million during the quarter, primarily from sales of residential assets in need of significant capital inflows to remain competitive in their markets.

The Fund received $163.6 million of net proceeds from the sale of The Residences at Springfield Station, a 1999-vintage, 631-unit residential asset in Springfield, VA. Given the age, need for significant capital and the market’s appetite for value-add properties, the Fund sold the asset to further improve the composition of its residential portfolio. The sale generated an IRR of 14.5% and an equity multiple of 1.8x over the nearly 16-year hold period.

The sale of Glenmuir, a 1999-vintage, 321-unit residential asset in Naperville, IL, delivered $61.2 million of net proceeds to the Fund. As jobs continue to migrate closer towards Chicago’s CBD, the suburbs of the city have experienced moderated rent growth. The asset required a considerable amount of capital to complete a unit renovation program and clubhouse upgrades. New product delivering in the market offers better locations

and amenities, limiting the potential return on these necessary upgrades. The sale generated an IRR of 4.8% and an equity multiple of 1.2x over the seven-year hold period.

The Fund sold Lindbergh Vista, a 2008-vintage, 314-unit residential asset in Atlanta, GA, for net proceeds of $56.6 million. The asset has experienced below-market rent growth and is facing a robust development pipeline. Extensive common area capital improvements would be necessary to maintain a Class A position within the competitive set. The sale generated an IRR of 5.1% and an equity multiple of 1.3x over the six-year hold period.

A partial sale of the Fund’s investment in 7950 Professional Center generated net proceeds of $0.4 million. As of quarter-end, 10,163 square feet remained in this office condominium investment. To date, the Fund has sold 58,579 square feet of the total 68,742-square-foot project. The Fund has leased two suites, totaling 9,021 square feet, of the remaining available space to one tenant for a five-year period with a purchase right. This tenant also has a purchase right on the last remaining suite in the building (1,142 square feet).

LeasingThe Fund’s operating fundamentals remain strong. Net operating income for comparable properties, which has played a key role in driving value gains, delivered a year-over-year increase of 5.5%. Overall, continued tenant demand for high quality assets, increased leasing momentum and

Top Ten Markets AT DECEMBER 31, 2014

Rank MSA

% of Fund’s

NAV

1 New York, NY 14.5%2 Los Angeles, CA 11.0%3 Dallas, TX 8.6%4 Boston, MA 7.0%5 San Francisco, CA 6.2%6 Washington, DC 6.1%7 Houston, TX 4.9%8 Miami, FL 4.7%9 San Diego, CA 4.2%10 San Jose, CA 4.0%

0

20

40

60

80

Office Industrial

91.497.492.7

4Q143Q14 4Q143Q14 4Q143Q14 4Q143Q14 4Q143Q14Retail

94.9

Total

93.2

100

0

20

Perc

ent

40

60

80

92.9 95.9

Residential

93.3 94.7 93.8

100

Occupancy Level by Property Type

AT DECEMBER 31, 2014

Calculated based on leased occupancy and weighted by net asset value

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P O R T F O L I O A C T I V I T Y

slightly higher average rents contributed to the increased net operating income in 2014. At the end of the quarter, the Fund was 93.2% leased.

The office sector continues to contribute with a comparable year-over-year NOI increase of 5.0%, reflective of the quality and location of our assets. The office portfolio was 92.7% leased at the end of the fourth quarter.

The industrial sector once again delivered the largest year-over-year change in NOI of 18.2%. This is most notably due to the burn-off of free rent associated with the strong leasing momentum in past years within the Alliance Texas Industrial Portfolio, which experienced NOI growth of 20.5%. The industrial sector continues to demonstrate strong demand for well-located assets in major markets, and 95.9% leased at quarter-end.

The retail sector generated a year-over-year comparable NOI growth of 7.3%. Investor preference remains firmly focused on institutional grade commercial properties, in particular, dominant retail properties located in primary urban and suburban markets that are not easily replicated. Leasing in the retail portfolio was 94.9% at the end of the fourth quarter.

The residential sector, which was the first sector to recover, experienced negative year-over-year NOI growth of -0.3%. We have seen greater rent growth from our West Coast assets (average of 4.2%) than our East Coast or Texas assets (average of 2.0%). We will continue to closely monitor the residential sector, as real estate tax increases have outpaced NOI growth in many markets and supply has increased in major markets. The residential sector was 91.4% leased at quarter-end.

Our asset management team continues to focus on improving the tenant mix in our properties by replacing underperforming tenants with credit tenants, staying ahead of expiring leases and finding opportunities to blend and extend leases where appropriate, all of which will enable the Fund to maintain its high quality, durable income stream.

During the quarter, nearly 850,000 square feet of leases were executed across the Fund. Almost half of this square footage was signed at the Fund’s development assets in Dallas and Franklin, TN, proving the deep demand for new product in these markets. An additional 40% of fourth quarter leases by square feet were renewals, confirming the strong demand for the Fund’s high quality assets. The following highlights notable leasing activity during the fourth quarter.

Four new ten-year leases totaling 226,000 square feet were executed at McKinney & Olive, a 534,700-square-foot SPF-built office building in Dallas, TX, expected to deliver in August 2016. Law firm Gardere Wynne will occupy 109,000 square feet; law firm Sidley Austin will occupy 74,000 square feet; management consultant McKinsey & Company will occupy 30,000 square feet and Del Frisco’s will relocate from their North Dallas location to occupy 13,000 square feet on the first two floors.

Three leases totaling 166,355 square feet were executed at Century Plaza Towers in Los Angeles, CA. Law firm Milbank, Tweed, Hadley & McCloy, LLP executed a new 15-year lease for 56,527 square feet that will commence in August 2016; law firm Polsinelli LLP relocated and expanded with a ten-year, 56,415-square-foot lease that will commence in August 2015 and Merrill Lynch executed a five-year renewal for 53,314 square feet that will commence in January 2016.

Leasing Expiration Statistics by Property Type

AT DECEMBER 31, 2014

Industrial

2015

6.2 6.9

14.1

8.39.8 9.6

10.19.4 9.7

8.3

12.4

10.1 10.3

8.5 8.39.5 8.7

11.4

5.0

7.7

2016 20192017 2018

TotalRetailOffice

0

3

Perc

ent

6

9

12

15

Calculated based on square feet, excludes Residential

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14 | JPMCB Strategic Property Fund | Fourth Quarter 2014

P O R T F O L I O A C T I V I T Y

Five new leases totaling 160,920 square feet were signed at Franklin Park in Franklin, TN. Franklin American Mortgage Company signed a ten-year, 84,669-square-foot lease; HCA and Eco Energy each signed ten-year, 28,223-square-foot leases; Worthy Media signed a seven-year, 10,481-square-foot lease and law firm Thompson Burton signed a ten-year, 9,324- square-foot lease. This speculative development is now 86% pre-leased.

Two renewals totaling 95,495 square feet were signed at Las Olas City Center in Fort Lauderdale, FL. Law firm Greenberg Traurig renewed 48,790 square feet for ten years and Patriot National Insurance renewed 46,705 square feet for four years.

Other leasing highlights include a new 5.5-year lease executed with online retailer Rakuten USA for 57,081 square feet at 800 Concar in San Mateo, CA that will commence in April 2015 and a ten-year renewal with UBS through 2026 for 53,057 square feet at 1501 K Street in Washington, D.C.

Balance SheetThe Fund continues to maintain a strong balance sheet. At the end of the quarter, the Fund’s leverage ratio was 29.2% and its weighted average interest rate was 4.2%. As mentioned earlier, immediately following the close of the calendar, the Fund paid down the outstanding balance on its Line of Credit, which reduced the leverage of the Fund to 27.7%. Debt coming due over the next 12, 24 and 36 months is manageable at 4.2%, 3.6% and 2.3% of the Fund’s NAV, respectively.

The Fund’s cash position was at 2.5% of the Fund’s net asset value at December 31. Subsequent to quarter-end, the Fund received $339.0 million of capital from investors on January 6. Following the January funding, the Fund’s contribution queue stood at $1.7 billion, or approximately 7.1% of the Fund’s net asset value. The current estimated timeframe for calling capital for new commitments is approximately 12 to 15 months. During the quarter, the Fund honored $166.0 million in redemption requests; 55.7% of the total withdrawals were for distributable cash flow and management fees.

Debt Diversification AT DECEMBER 31, 2014

Floating Rate15.9%

Fixed Rate84.1%

Upcoming Debt Maturities FOR THE FISCAL YEARS ENDING SEPTEMBER 30,

0

2

4

6

8

10

2025+2024202320222021202020192018201720162015

2.1%1.6%

3.9%3.4%

5.3%

% of Net Asset Value

2.7%

4.9%

0.8%

2.5%3.1%

8.9%

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P O R T F O L I O A C T I V I T Y

ON THIS PAGE:

TRILOGY, BOSTON, MA

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16 | JPMCB Strategic Property Fund | Fourth Quarter 2014

P O R T F O L I O A C T I V I T Y

J.P. Morgan Asset Management | 16

P O R T F O L I O A C T I V I T Y

Financial Statements and Notes

For the three-month period ended December 31, 2014 (unaudited)

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J.P. Morgan Asset Management | 17

AS OF DECEMBER 31, 2014DOLLARS IN THOUSANDS, EXCEPT UNITS AND UNIT VALUE(UNAUDITED)

Statement of Net Assets

The accompanying notes are an integral part of these financial statements.

ASSETS

Investments in real estate assets at fair value $23,964,944

Cash and cash equivalents 604,646

Other assets and accrued income 6,292

Total assets 24,575,882

LIABILITIES

Line of credit 400,000

Other liabilities 197

Total liabilities 400,197

NET ASSETS

At fair value $24,175,685

Outstanding units 9,998,202

Unit value $2,418

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18 | JPMCB Strategic Property Fund | Fourth Quarter 2014

The accompanying notes are an integral part of these financial statements.

DOLLARS IN THOUSANDS (UNAUDITED)

For the Three Months Ended December 31, 2014

INVESTMENT ACTIVITY

Investment income

Income from investments in real estate assets $309,516

Interest and other income 298

Total investment income 309,814

General fund expenses (1,965)

Line of credit fees (192)

Net investment income 307,657

Realized and unrealized gain on investments

Realized gain on investments sold 51,554

Less: Previously recorded unrealized gain on investments sold 47,705

Net gain recognized on investments sold 3,849

Unrealized gain on investments held at end of period 332,705

Net realized and unrealized gain on investments 336,554

Increase in net assets resulting from operations 644,211

PARTICIPANT ACTIVITY

Withdrawals by participants (166,015)

Net participant activity (166,015)

Increase in net assets 478,196

NET ASSETS

Beginning of period $23,697,489

End of period $24,175,685

Statement of Operations and Changes in Net Assets

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J.P. Morgan Asset Management | 19

The accompanying notes are an integral part of these financial statements.

DOLLARS IN THOUSANDS (UNAUDITED)

Statement of Cash Flows

For the Three Months Ended December 31, 2014

OPERATING ACTIVITIESNet investment income $307,657 Adjustments to reconcile net investment income to net cash provided by operating activities

Undistributed income from investments in real estate assets (62,457)Decrease in other assets and accrued income 1,917 Decrease in other liabilities (122)Net cash provided by operating activities 246,995

INVESTING ACTIVITIESContributions to investments in real estate assets (831,507)Distributions from investments in real estate assets 12,187 Proceeds from dispositions of investments in real estate assets 279,429 Deposits for pending transactions in investments in real estate assets (1,818)

Net cash used in investing activities (541,709)

FINANCING ACTIVITIESWithdrawals by participants (166,015) Proceeds from line of credit 400,000

Net cash provided by financing activities 233,985

Net decrease in cash and cash equivalents (60,729)

Cash and cash equivalents, beginning of period 665,375

Cash and cash equivalents, end of period $604,646

SUPPLEMENTAL DISCLOSURE OF CASH FLOW AND NON-CASH INFORMATIONCash paid during the period for line of credit fees $192

Non-cash reclass of real estate investments to/from other assets $1,101

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20 | JPMCB Strategic Property Fund | Fourth Quarter 2014

AS OF DECEMBER 31, 2014DOLLARS IN THOUSANDS (UNAUDITED)

Property NameYear Acquired1 Location Net Cost2 Net Fair Value

OFFICE101 Constitution 2007 Washington, DC $207,075 $266,123 10-30 S. Wacker 2014 Chicago, IL 285,227 277,543 125 W55th Street 2013 New York, NY 287,037 346,513 1285 Avenue of the Americas 2001 New York, NY 196,658 524,080 1345 Avenue of the Americas 2014 New York, NY 602,374 598,082 1501 K St. 2006 Washington, DC 304,188 296,163 1918 Eighth Avenue 2011 Seattle, WA 159,898 187,986 195 Broadway 2013 New York, NY 317,207 329,997 200 Fifth Avenue 2011 New York, NY 347,563 454,019 2000 Avenue of the Stars 2004 Los Angeles, CA 61,840 207,881 224 Building 2012 Portland, OR 65,690 71,805 3801 PGA Boulevard 2006 Palm Beach Gardens, FL 87,998 46,660 425 Lexington 2013 New York, NY 325,303 323,608 700-900 Concar Drive 2007 San Mateo, CA 44,860 66,477 7950 Professional Center 2010 Doral, FL 2,477 2,216 818 Stewart Street 2011 Seattle, WA 64,886 71,583 888 Walnut Street 2007 Pasadena, CA 129,074 118,199 Advanta Office Commons 2010 Bellevue, WA 116,654 131,587 Alliance Texas 2010 Fort Worth, TX 19,859 26,001 Boston Office Portfolio 2014 Boston, MA 387,876 378,629 Boylston West LLC 2012 Boston, MA 148,659 148,221 Brewery Blocks 2007 Portland, OR 77,402 69,105 Century Plaza Towers 1997 Los Angeles, CA 142,790 424,021 China Basin 2011 San Francisco, CA 234,317 422,821 Corporate Center Office Park 1998-99/2007 Franklin, TN 189,266 224,389 Downtown Doral Office Portfolio 1995/2010 Doral, FL 46,098 36,358 Fairway Office Center 2006 Palm Beach Gardens, FL 69,565 31,350 Foundry III 2012 San Francisco, CA 125,604 187,106 Four Houston Center and Shops 2004 Houston, TX 169,633 175,135 Franklin Park 2011 Franklin, TN 72,548 73,883 Hudson Yards 2013 New York, NY 1,642 264 La Jolla Commons 2011 La Jolla, CA 123,322 229,945 Landmark Center 2011 Boston, MA 350,657 309,257 Las Olas City Centre 2011 Fort Lauderdale, FL 84,337 99,095 McKinney & Olive 2014 Dallas, TX 26,559 23,912 Metropolitan Midtown 2013 Charlotte, NC 38,349 43,859 Minuteman Park 2006 Andover, MA 139,022 71,898 Network Drive 2012 Burlington, MA 243,133 277,776 One and Two Houston Center 2004 Houston, TX 282,311 357,233 Park Place at Bay Meadows 2007 San Mateo, CA 158,134 144,075 Sanctuary Park 1997 Alpharetta, GA 302,908 278,841

The accompanying notes are an integral part of these financial statements.

Schedule of Investments

1 Year acquired is reported in calendar years.2 Cost amounts include undistributed income.

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S C H E D U L E O F I N V E S T M E N T S

Schedule of Investments (cont.)AS OF DECEMBER 31, 2014DOLLARS IN THOUSANDS (UNAUDITED)

Property NameYear Acquired1 Location Net Cost2 Net Fair Value

OFFICE (CONT.)Southeast Financial Center 2007 Miami, FL $541,688 $495,548 Sunnyvale City Center 2007 Sunnyvale, CA 152,355 211,858 Terminus Portfolio 2013 Atlanta, GA 80,520 97,545 The Bluffs at Playa Vista 2011 Los Angeles, CA 294,771 316,680 The Crescent 2004 Dallas, TX 210,087 248,265 The Water Garden 1995 Santa Monica, CA 15,247 168,842 Three Houston Center 2005 Houston, TX 135,936 263,715 Trammell Crow Center 2004 Dallas, TX 124,933 137,867 Water Garden II 2001 Santa Monica, CA 280,575 506,729

Total Office $8,876,112 $10,800,745

INDUSTRIALAlliance Center North 1 2014 Fort Worth, TX $7,585 $7,048 Alliance Texas 2010 Fort Worth, TX 471,066 611,359 Andrew Corporation Building 2007 Chicago Metro Area, IL 64,872 52,285 Best Buy Distribution Center 2007 Chicago Metro Area, IL 21,305 18,137 Big 5 Distribution Center 2006 Riverside, CA 48,637 59,855 DCT Industrial Portfolio 2007 Various 227,680 186,525 Dugan Texas 2000 Dallas Metro Area, TX 164,204 170,863 Greater Los Angeles Industrials 1994-95, 1999 Various, CA 174,953 271,146 Kraft Industrial Portfolio 2006 Aurora, IL 127,654 115,721 Lakemont Industrial Portfolio 2000 Charlotte, NC 42,662 44,304 Metro Chicago Industrial Portfolio 2007 Chicago Metro Area, IL 109,866 74,325 Metro Chicago Industrial Portfolio II 2007 Chicago Metro Area, IL 16,151 13,111 Pompano Business Center 2007 Pompano Beach, FL 30,213 12,178 PortSouth Bryla 2014 Carteret, NJ 27,155 25,823 Procter & Gamble Distribution Center 2013 Edwardsville, IL 104,293 106,154 South Bay Industrials 1996 Los Angeles, CA 42,002 79,264

Total Industrial $1,680,298 $1,848,098

RESIDENTIAL100 at Capitol Yards 2012 Washington, DC $96,967 $101,626 1330 Boylston 2008 Boston, MA 43,816 58,933 20 on Hawthorne 2013 Portland, OR 15,316 15,223 3500 Westlake 2013 Austin, TX 40,515 41,209 70 at Capitol Yards 2012 Washington, DC 170,919 180,218 909 at Capitol Yards 2012 Washington, DC 98,205 99,967 Anaheim Hills 2006 Anaheim, CA 23,108 22,110 Apollo on H Street 2014 Washington, DC 45,982 41,770 Aqua 2010 Chicago, IL 79,683 105,865 Ascent at City Center 2010 Houston, TX 28,700 43,446 Bluffs at Highlands Ranch 2007 Denver, CO 54,568 63,065

The accompanying notes are an integral part of these financial statements.

1 Year acquired is reported in calendar years.2 Cost amounts include undistributed income.

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22 | JPMCB Strategic Property Fund | Fourth Quarter 2014

S C H E D U L E O F I N V E S T M E N T S

Property NameYear Acquired1 Location Net Cost2 Net Fair Value

RESIDENTIAL (CONT.)Brewery Blocks 2007 Portland, OR $40,316 $53,275 Broadstone Scottsdale Waterfront 2012 Scottsdale, AZ 50,017 59,300 Brownstones at Englewood South 2008 Englewood, NJ 158,480 111,627 Cameron at Franklin Park 2011 Franklin, TN 40,631 47,470 Cape May at Temecula 2004 Temecula, CA 44,223 60,624 Capitol At Chelsea 2002 New York, NY 84,231 209,661 Coast Apartments 2011 Chicago, IL 47,557 105,170 Cordoba Phase I & II 2010, 2011 Doral, FL 27,263 45,273 Domain at City Centre 2010 Houston, TX 84,345 110,307 Edgewater 2014 Philadelphia, PA 116,362 114,089 Elizabeth Square 2010 Charlotte, NC 41,392 50,563 Equinox Apartments 2010 Seattle, WA 68,694 77,311 Fairways at Raccoon Creek 2007 Denver, CO 56,191 65,561 Gaslight Commons 2003 South Orange, NJ 16,552 36,679 Grand Isle 2011 Murrieta, CA 23,091 30,977 Jacaranda 2011 Fullerton, CA 32,569 37,800 Laguna Niguel Apartments 2006 Laguna Niguel, CA 17,888 21,590 Liberty Harbor North 2013 Jersey City, NJ 12,222 10,779 Liberty Towers 2011 Jersey City, NJ 157,270 195,870 Lincoln at LaVillita 2006 Irving, TX 52,963 62,585 Lincoln Lakeside 2009 Irving, TX 36,108 47,661 Lincoln Las Colinas 2014 Irving, TX 121,713 123,316 Midtown Green 2014 Raleigh, NC 44,351 44,043 Midtown Miami 2013 Miami, FL 19,491 17,178 Mosaic South End 2011 Charlotte, NC 44,583 50,179 Nalle Woods 2010 Austin, TX 41,205 55,103 One City Place 2004 White Plains, NY 123,017 135,720 Palazzo Park La Brea Portfolio 2007 Los Angeles, CA 235,402 239,073 Park at Research Forest 2003 Houston, TX 38,299 68,274 Park Lane Seaport Residential 2010 Boston, MA 180,297 225,322 Pasadena Apartments 2006 Pasadena, CA 11,200 13,912 Paseo at Winter Park 2013 Winter Park, FL 9,900 10,472 Pinnacle at Mountain Gate 2006 Denver, CO 60,999 89,828 Polo Lakes Apartments 2002 Wellington, FL 53,798 64,848 Promenade Rio Vista 2003-2004 San Diego, CA 164,436 244,406 Rancho Santa Margarita 2006 Rancho Santa Margarita, CA 13,055 12,326 Riverwalk at Millennium 2006 Conshohocken, PA 90,888 81,322 Seacliff 2006 Huntington Beach, CA 24,021 28,511 Siena Park 2010 Arlington, VA 85,628 74,108 South Orange Transit Village 2013 South Orange, NJ 17,956 17,438 St. Johns Wood Apartments 1998 Fairfax, VA 35,486 57,166

Schedule of Investments (cont.)AS OF DECEMBER 31, 2014DOLLARS IN THOUSANDS (UNAUDITED)

The accompanying notes are an integral part of these financial statements.

1 Year acquired is reported in calendar years.2 Cost amounts include undistributed income.

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S C H E D U L E O F I N V E S T M E N T S

Property NameYear Acquired1 Location Net Cost2 Net Fair Value

RESIDENTIAL (CONT.)Stevenson Ranch 2006 Stevenson Ranch, CA $21,335 $25,215 Strata 2010 San Francisco, CA 83,477 117,829 Temecula Phase I & II Apartments 2006 Temecula, CA 22,289 23,443 Terra Vista 2006 Rancho Cucamonga, CA 16,113 18,086 The Circle at Hermann Park - Amalfi 2011 Houston, TX 42,837 43,295 The Circle at Hermann Park - Esplanade 2006 Houston, TX 29,460 36,432 The Devon Four25 2011 Raleigh, NC 42,884 52,118 The Devon Seven12 2010 Raleigh, NC 31,210 39,386 The District 2013 Washington, DC 78,224 79,471 The Lofts at Rio Salado 2007 Phoenix, AZ 87,212 71,382 The Lofts CityCentre 2013 Houston, TX 30,907 26,561 The Lofts Portfolio 2013 San Diego, CA 71,965 75,179 The Reserve at 4S Ranch 2012 San Diego, CA 74,513 82,328 Triangle Block F 2010 Austin, TX 44,826 46,086 Triangle Residences Portfolio 2006/2007 Austin, TX 98,791 105,382 Trilogy (The Residences at Fenway) 2006 Boston, MA 38,297 90,241 Trinity Bluff Portfolio 2011/2012 Fort Worth, TX 76,231 82,075 Tupelo Alley 2014 Portland, OR 34,717 34,604 Valencia 2006 Valencia, CA 17,152 22,744 Venue 2010 San Francisco, CA 74,349 97,524 Viridian 2006 Denver, CO 56,150 76,845

Total Residential $4,394,808 $5,226,375

RETAILAlliance Texas 2010 Fort Worth, TX $13,507 $10,658 Brewery Blocks 2007 Portland, OR 26,199 28,197 Bridgewater Commons 1999 Bridgewater, NJ 27,381 125,134 Del Amo Fashion Center 2004 Torrance, CA 230,906 217,144 Donahue Schriber Realty Group 2002 Various 620,253 701,285 Edens 2000 Various 613,930 879,393 Lakeside Village 2006 Lakeland, FL 24,741 15,300 Metropolitan Midtown 2013 Charlotte, NC 57,583 56,302 North Hills 2014 Raleigh, NC 54,166 46,594 NorthPark Center 2014 Dallas, TX 457,782 463,076 Ontario Mills 2004 Ontario, CA 98,586 277,366 Pacific Place 2014 San Francisco, CA 404,407 413,862 Park Meadows Mall 1999 Littleton, CO 1,154 197,894 Perimeter Mall 2002 Atlanta, GA 27,578 138,079 Randhurst Village 1981 Mt. Prospect, IL 199,333 120,559

Schedule of Investments (cont.)AS OF DECEMBER 31, 2014DOLLARS IN THOUSANDS (UNAUDITED)

The accompanying notes are an integral part of these financial statements.

1 Year acquired is reported in calendar years.2 Cost amounts include undistributed income.

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24 | JPMCB Strategic Property Fund | Fourth Quarter 2014

S C H E D U L E O F I N V E S T M E N T S

Property NameYear Acquired1 Location Net Cost2 Net Fair Value

RETAIL (CONT.)Rookwood Portfolio 2007 Cincinnati, OH $116,255 $68,824 Royal Hawaiian Center 2014 Honolulu, HI 702,073 709,882 Shadow Creek Ranch Town Center 2008 Pearland, TX 44,956 47,324 Shadow Lake Towne Center 2007 Papillion, NE 51,426 27,895 Stony Point Shopping Center 2006 Richmond, VA 18,326 9,935 Towson Town Mall 1999 Towson, MD 24,853 118,997 University Towne Center 1999 La Jolla, CA 207,549 319,081 Valley Fair Mall 1999 San Jose Metro Area, CA 296,824 750,773 Village of Merrick Park 2000 Coral Gables, FL 87,623 120,233 Winter Park Village 2006 Winter Park, FL 37,592 30,370

Total Retail $4,444,983 $5,894,157

LAND INVESTMENTS2000 Ross Avenue 2014 Dallas, TX $29,315 $29,097 Downtown Doral 2007 Doral, FL 45,040 30,545 Minuteman Park 2005 Andover, MA 5,028 2,319 Sanctuary 2000 Alpharetta, GA 859 319 Woodfield Preserve 1999 Schaumburg, IL 1,413 1,266

Total Land Investments $81,655 $63,546

OTHER INVESTMENTS555 11th Street 2014 Washington, DC 50,343 50,239 Brewery Blocks 2007 Portland, OR $29,682 $21,267 CM Doral Development Portfolio 2006/2010 Doral, FL 37,376 26,179 Other assets 1999 Various 37 37Park Lane Seaport Garage 2010 Boston, MA 27,604 34,301

Total Other Investments $145,042 $132,023

Total Real Estate Investments $19,622,898 $23,964,944

CASH AND CASH EQUIVALENTSOperating Cash $394,467 $394,467 JPMorgan Chase Bank, N.A. Liquidity Fund 210,179 210,179

Total Cash and Cash Equivalents $604,646 $604,646

Total Investments $20,227,544 $24,569,590

Schedule of Investments (cont.)AS OF DECEMBER 31, 2014DOLLARS IN THOUSANDS (UNAUDITED)

The accompanying notes are an integral part of these financial statements.

1 Year acquired is reported in calendar years.2 Cost amounts include undistributed income.

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Notes to Financial Statements

Description of Fund The Commingled Pension Trust Fund (Strategic Property) of JPMorgan Chase Bank, N.A. (the “Fund”) is designed as a funding vehicle for tax-qualified pension, profit-sharing and employee benefit plans. Its investments are composed primarily of real estate investments owned directly or through partnership interests. JPMorgan Chase Bank, N.A. (“JPMCB”) is the trustee of the Fund (the “Trustee”). As Trustee, JPMCB manages the Fund and provides administrator services to the Fund.

The Fund accounts for the real estate and real estate- related investments by adjusting the investments to reflect the Fund’s share of net profit or loss (including changes in valuation of investments), as well as distributions or additional contributions.

The Fund is a collective investment trust fund established, operated and maintained by the Trustee under a declaration of trust. The Fund is a group trust within the meaning of Internal Revenue Service Revenue Ruling 81 – 100, as amended. The Fund is available only to certain qualified and governmental retirement plans and collective investment funds and is not offered to the general public. The Fund is required to comply with the applicable provisions of the Employee Retirement Income Security Act of 1974, as amended, and the Trustee is subject to the supervision and regulation by the Office of the Comptroller of the Currency including Regulation 9 of the Rules and Regulations of the Comptroller of the Currency.

The accompanying unaudited financial statements should be read in conjunction with the audited Annual Report as of September 30, 2014. Operating results for the three-month period ended December 31, 2014 are not necessarily indicative of results that may be expected for the year ending September 30, 2015.

Revenue Recognition The Fund’s income from investment properties is recorded in accordance with the equity method of accounting. Unrealized gains and losses are computed using the cost of the investments and their fair value. Since the Fund records its investments at fair value, no depreciation or amortization expense on real property interests is recognized. Interest income from mortgage loans receivable is recognized as revenue when earned in accordance with the terms of the underlying loan agreement which approximates the effective interest method. Loans in default are placed on non-accrual status. While on non-accrual status, loans are either accounted for on a cash basis, in which interest income is recognized only upon actual receipt, or on a cost recovery basis, in which receipts reduce carrying value, based on the Trustee’s judgment as to collectability of principal.

Investment Valuation Estimated fair value of net equity investments in real estate assets, which includes working capital of the underlying investments, are determined by the Trustee at each valuation date and the fair value of the Fund’s interest in these investments is based on its proportionate ownership.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. There are three valuation techniques that can be used to value investments in real estate assets: the market, income or cost approach. The appropriateness of each valuation technique depends on the type of asset or business being valued. As part of the Trustee’s valuation process, properties are externally appraised generally on an annual basis, conducted by reputable, independent appraisal firms, and signed by appraisers that are members of the Appraisal Institute, with the professional designation MAI. In addition, the Trustee may cause additional appraisals to be performed as warranted by

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specific asset or market conditions. All external appraisals are performed in accordance with the Uniform Standards of Professional Appraisal Practices (“USPAP”). Property valuations and the salient valuation- sensitive assumptions of each direct investment property are reviewed by the Trustee quarterly and values are adjusted if there has been a significant change in circumstances related to the investment property since the last valuation. Value adjustments for interim capital expenditures are only recognized to the extent that the valuation process acknowledges a corresponding increase in fair value. An independent firm was hired to review and approve quarterly direct real estate valuations.

The Trustee’s valuation methodology utilized in determining fair value is consistent with GAAP and the practices prevailing within the real estate appraisal and real estate investment management industries. Key inputs and assumptions used to determine fair value includes among others, rental revenue and expense amounts and related revenue and expense growth rates, terminal capitalization rates and discount rates. Development investments are valued using cost incurred to date as a primary input until substantive progress is achieved in terms of mitigating construction and leasing risk at which point a discounted cash flow approach is more heavily weighted. Key inputs and assumptions in addition to those noted above used to determine the fair value of development investments include construction costs, and the status of construction completion and leasing.

The fair value of mortgage loans payable for investment level debt is considered in connection with the valuation of net equity investments in real estate assets. Estimated fair values are derived using original term borrowing rates in conjunction with market oriented leveraged equity yields available at respective valuation dates, which are Level III inputs. The discounted cash flow method is used, which applies certain key assumptions including market interest rates, interest spreads, credit risk and liquidity and other factors. The estimated fair values of investment level debt are embedded in the fair values of the investment properties, which are recorded in “Investments in real estate assets at fair value” on the statement of net assets. At times, the Fund may assume debt in connection with the purchase of real estate.

Estimated fair value of investments in mortgage loans receivables are derived quarterly using the discounted cash flow method, which applies certain key assumptions. These

assumptions include market interest rates, interest spreads, credit risk and liquidity. Additionally, the Fund considers the underlying collateral supporting each mortgage loan investment.

The Trustee will also estimate the fair value of the Fund’s investments in privately held closed end funds based upon the Fund’s share of the investments’ fair values using information provided in the investments’ reporting on a quarterly basis. In the opinion of the Trustee, these estimated values are reasonable approximations of fair value as of December 31, 2014. The estimate of fair value may vary significantly from the price achieved in a sale and this difference may be material to the financial statements.

The Fund invests in the Commingled Pension Trust Fund (Liquidity) of JPMorgan Chase Bank, N.A. (the “JPMCB Liquidity Fund”). The JPMCB Liquidity Fund invests in traditional money market investments, with the goal of current income, preservation of principal, providing liquidity and maintaining a stable net asset value of $1.00 per unit. Investments in the JPMCB Liquidity Fund are valued at its net asset value per unit (“NAV”) as of the report date.

Use of Estimates The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America that are applicable to real estate investment companies. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires the Trustee to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Participant Withdrawal Policy Fund participants may withdraw from the Fund once per quarter subject to available cash, as determined by the Trustee. A written withdrawal request is required 45 days prior to quarter end.

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To the extent that withdrawal requests exceed available cash, distributions are made on a pro rata basis. Available cash is defined as excess cash after provision for outstanding future capital commitments and other operating reserves. During the three months ended December 31, 2014, approximately $166.0 million were withdrawn by investors. A further withdrawal of $207.6 million was made in January 2015 in full satisfaction of withdrawal requests as of December 31, 2014.

Income Taxes The Fund is generally exempt from Federal income taxes under provisions of section 501(a) of the Internal Revenue Code. Accordingly, no provision for Federal income tax has been made.

Uncertain tax positions are assessed by the Trustee to determine whether a tax position of the Fund is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For tax positions meeting the more likely than not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. As of December 31, 2014, there are no uncertain tax positions recorded in the financial statements.

The Fund files tax returns as prescribed by the tax laws of the jurisdictions in which it operates. In the normal course of business, the Fund is subject to examination by federal, state, local, and foreign jurisdictions, where applicable.

The Fund classifies interest and penalties relating to uncertain tax positions in “general fund expenses” on the statement of operations. There were no interest or penalties related to uncertain tax positions recorded in the financial statements for the three months ended December 31, 2014.

Cash and Cash Equivalents Cash and cash equivalents held in the Fund include investments in the JPMCB Liquidity Fund and through other financial institutions. These investments consist of short-term marketable securities such as Treasury bills and commercial paper.

Related Parties Investment management fees are charged directly to investors in the Fund and accordingly are not reflected within the Fund’s net asset value.

The Trustee pays for certain fund expenses on behalf of the Fund, including printing fees and fees for services provided to the Funds by the Trustee or its affiliates (fund accounting fees). The Fund pays other administrative and operating expenses, which include expenses for audit, tax return preparation, and other services provided to the Fund by third parties.

Fund Investments

The authoritative guidance for fair value measurements defines fair value, expands disclosure requirements and specifies a hierarchy of valuation techniques based on whether the inputs to those valuation techniques are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Fund’s market assumptions.

These two types of inputs create the following fair value hierarchy:

Level I—Quoted prices for identical instruments in active markets.

Level II—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.

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Level III—Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

This hierarchy requires the use of observable market data, when available, and minimizes the use of unobservable inputs when determining fair value.

Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

As of December 31, 2014, all investments are measured at fair value on a recurring basis using Level III inputs. See below for a reconciliation of the assets and liabilities measured a fair value on a recurring basis using Level III inputs during the three months ended December 31, 2014.

DOLLARS IN THOUSANDS

Total

Beginning balance, October 1, 2014 $23,024,941 Net realized and unrealized gain 336,554 Income from investments in real estate assets 309,516 Acquisitions / Contributions 834,010 Dispositions / Distributions (540,077)Ending Balance, December 31, 2014 $23,964,944

Unrealized gain for the period relating to investments still held at December 31, 2014 $332,705

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The significant unobservable inputs used in the fair value measurement of the Fund’s investments are noted in the table below. Significant increases (decreases) in any of those inputs in isolation would result in significantly lower (higher) fair value measurements respectively.

The following table shows quantitative information about unobservable inputs related to the Level III fair value measurements used to derive values at December 31, 2014.

Type Asset Class

Fair Value(000s) Valuation Technique Unobservable Inputs Range

WeightedAverage

DIRECT REAL ESTATE Office $10,556,445 Income Approach—Discounted Cash Flow Discount Rate 5.50% - 9.25% 6.85 %

Terminal Capitalization Rate 5.00% - 8.75% 6.01%

Debt Service—Discounted Cash Flow Credit Spreads 1.34% - 2.01% 1.49%Loan to Value Ratio 25.68% - 83.97% 44.41%

Industrial 1,822,275 Income Approach—Discounted Cash Flow Discount Rate 6.00% - 8.75% 7.02 %Terminal Capitalization Rate 5.25% - 7.50% 6.50%

Debt Service—Discounted Cash Flow Credit Spreads 1.34% - 2.98% 1.56%Loan to Value Ratio 14.54% - 73.57% 48.14%

Residential 4,933,259 Income Approach—Discounted Cash Flow Discount Rate 5.75% - 8.00% 6.70%Terminal Capitalization Rate 4.50% - 6.50% 5.36%

Debt Service—Discounted Cash Flow Credit Spreads 1.34% - 1.81% 1.47%Loan to Value Ratio 33.64% - 60.42% 43.22%

Retail 5,928,768 Income Approach—Discounted Cash Flow Discount Rate 6.00% - 14.00% 6.92%Terminal Capitalization Rate 5.00% - 8.75% 5.96%

Debt Service—Discounted Cash Flow Credit Spreads 1.39% - 2.14% 1.51%Loan to Value Ratio 37.31% - 92.30% 47.32%

Land 63,546 Sales Comparison Value per Square Foot $4.67 - $250.42

DEVELOPMENT INVESTMENTS 528,628 Market Value 1

OTHER INVESTMENTS 132,023 Market Value 1

Debt Service—Discounted Cash Flow Credit Spreads 1.39% 1.39%Loan to Value Ratio 45.58% 45.58%

Income Approach—Discounted Cash Flow Discount Rate 5.55%

Total $23,964,944

1 The market value approach represents assets/liabilities in which estimated fair value represents subjective estimates by management based on the investment’s specific facts and circumstances.

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Real Estate Investments The following is a combined summary of financial position and results of operations of real estate investments as of and for the three months ended December 31, 2014. The Fund’s share of net assets is presented within “Investments in real estate assets at fair value” on the Fund’s statement of net assets as of December 31, 2014 and the related share of net investment income is presented within “Income from investments in real estate assets” on the statement of operations for the three months ended December 31, 2014.

DOLLARS IN THOUSANDS

Real Estate Investments Assets and Liabilities

Real estate at fair value $ 48,818,256 Other assets 845,176Total assets 49,663,432Mortgage loans payable at fair value 15,704,527 Other liabilities 533,803 Total liabilities 16,238,330 Net assets $33,425,102

Fund’s share of investments in real estate assets $23,964,944

Real Estate Investments Operations

For the Three Months Ended

December 31, 2014

Total rental and other revenues $865,149 Real estate expense and taxes 450,441 Net investment income $414,708

Fund’s share of income from investments in real estate assets $309,516

The Fund enters into real estate partnerships with various joint venture partners that provide management, leasing and construction-related services to the properties in which the Fund has an ownership interest. Certain of the Fund’s investments may include equity participation by other funds advised by the Trustee or its affiliates.

Investment Level Debt The Fund’s share of fixed and floating mortgage loans had a fair value of approximately $9.9 billion, with an outstanding principal balance of approximately $9.5 billion. Different assumptions or changes in future market conditions could significantly affect estimated values. As of December 31, 2014, there was no recourse to the Fund. At December 31, 2014, the weighted average interest rate based on outstanding principal was 4.4%.

The five-year principal repayment schedule is as follows:

Investment Level Debt DOLLARS IN MILLIONS

For the Fiscal Years Ending September 30, Fund ’s

Share ($) Percent

2015 514 5.4%

2016 398 4.2%

2017 951 10.0%

2018 1,274 13.4%

2019 828 8.7%

Thereafter 5,559 58.3%

Total $9,524 100.0%

Line of Credit

In March 2014, the Fund refinanced its existing unsecured revolving credit facility (the “Facility”) from an unrelated financial institution, with a borrowing capacity of $500 million. The Facility is for a four year term, with a one-year extension option. The Facility contains restrictive covenants that, among other matters, require the Fund to maintain certain financial ratios. As of December 31, 2014, the Fund was in compliance with all restrictive covenants.

As of December 31, 2014, $400 million was outstanding under the line of credit. The outstanding balance of $400 million was subsequently paid off in January 2015.

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Concentration of Risk on Direct Real Estate Investments

At December 31, 2014, the Fund had real estate investments located throughout the United States and invested in four property types. The distribution based on the estimated fair values within the NCREIF regions and by property types are as follows:

DOLLARS IN MILLIONS

FairValue1 Percent

REGION Northeast $5,505.6 23.2%Mideast 2,136.9 9.0%Southeast 2,164.0 9.1%Southwest 3,452.1 14.5%NE Central 1,097.7 4.6%NW Central 27.9 0.1%Mountain 733.2 3.1%Pacific 8,652.0 36.4%

Total $23,769.4 100.0%

SECTOR Office $10,800.7 45.4%Industrial 1,848.1 7.8%Residential 5,226.4 22.0%Retail 5,894.2 24.8%

Total $23,769.4 100.0%

1 Direct real property interest only

Concentration Risk

The assets of the Fund are concentrated in the real estate sector which may expose the investment portfolio to more rapid changes in value than would be the case if the Fund were to maintain a wide diversification among investments.

Financing Risk

There is no guarantee that the Fund’s borrowing arrangements or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Fund. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund. In addition, a decline in fair value of the Fund’s assets may have particular adverse consequences in instances where the Fund borrowed money based on the fair value of those assets. A decrease in fair value of those assets may result in the lender requiring the Fund to post additional collateral or otherwise sell the assets at a time when it may not be in the Fund’s best interest to do so. In the event the Fund is required to liquidate all or a portion of its portfolio quickly, the Fund may realize significantly less than the value at which it previously recorded those investments.

Commitment and Contingencies

As of December 31, 2014, the Fund had outstanding equity payment guarantees of approximately $124.7 million.

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Financial Highlights

The following summarizes the Fund’s financial highlights for the three months ended December 31, 2014. They consist of per unit operating performance, total return, and Fund-level operating expense and net investment income ratios , as well as outstanding units.

Fund Per Share Operating Performance For the Three Months

December 31, 2014

Net asset value per unit at beginning of period $2,353.57

Income from investment operations

Net investment income 30.77Net realized and unrealized gain on investments 33.66

Total from investment activity 64.43

Net asset value per unit at end of period $2,418.00

Total return1,2 2.7 %

Net investment income return1,2 1.3 %

Ratios to weighted average net assets

Fund level operating expenses 2,3 0.04%

Net investment income 2 ,3 5.23%

1 Total return is calculated based on a time-weighted rate of return methodology. Monthly rates of return are geometrically linked to derive the total return reflected above. Not annualized for periods less than one year.

2 Investment Management fees are charged directly to investors in the Fund and accordingly are not reflected within the Fund’s income and expense ratios.

3 Annualized for periods less than one year.

Outstanding Units For the Three Months

December 31, 2014

Outstanding units at the beginning of the period 10,068,739 Decrease in units due to withdrawals

by participants (70,537)

Outstanding units at the end of the period 9,998,202

Subsequent Events

Except as otherwise disclosed, no material subsequent events have occurred through February 13, 2015, the date the financial statements were available to be issued.

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Independent Auditor's Report

To the Trustee of the Commingled Pension Trust Fund (Strategic Property) of J.P Morgan Chase Bank, N.A.

We have reviewed the accompanying interim financial information of the Commingled Pension Trust Fund (Strategic Property) of J.P. Morgan Chase Bank, N.A. (the “Fund”), which comprise the statement of net assets, including the schedule of investments as of December 31, 2014, and the related statements of operations and changes in net assets and of cash flows for the three-month period ended December 31, 2014.

Management's Responsibility for the Interim Financial Information

The Fund's management is responsible for the preparation and fair presentation of the interim financial information in accordance with accounting principles generally accepted in the United States of America;this responsibility includes the design, implementation, and maintenance of internal control sufficient to provide a reasonable basis for the preparation and fair presentation of the interim financial information in accordance with accounting principles generally accepted in the United States of America.

Auditor's Responsibility

Our responsibility is to conduct our review in accordance with auditing standards generally accepted in the United States of America applicable to reviews of interim financial information. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with auditing standards generally accepted in the United States of America, the objective of which is the expression of an opinion regarding the financial information taken as a whole. Accordingly, we do not express such an opinion.

Conclusion

Based on our review, we are not aware of any material modifications that should be made to the accompanying interim financial information for it to be in accordance with accounting principles generally accepted in the United States of America.

February 13, 2015

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The Commingled Pension Trust Fund (Strategic 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 govern-mental 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 insurance. You should carefully consider the investment objectives, risk, charges, and expenses of the fund before investing.

This quarterly report is intended to report solely on the investment strategies and opportunities of the JPMorgan Chase Bank, N.A. Strategic Property Fund (“the Fund”). Additional information is available upon request. Information herein is believed to be reliable, but J.P. Morgan Asset Management does not warrant its completeness or accuracy. Opinions and estimates constitute our judgment and are subject to change without notice. Past performance is not indicative of future results. Total return assumes the reinvestment of income. Indices are not available for actual investment and are provided for illustrative purposes only. The material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. The investments and strategies discussed herein may not be suitable for all investors; if you have any doubts you should consult your J.P. Morgan Asset Management Client Advisor 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. Indices do not include fees or operating expenses and are not available for actual investment. 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.

The Fund could experience a loss when selling investments to meet redemption requests by participating plans. The risk of loss increases if the redemption requests are unusually large or frequent, occur in times of overall market turmoil or declining prices for the investments sold, or when the investments the Fund wishes to or is required to sell are illiquid.

It should not be assumed that Fund positioning in the future will be profitable or will equal past performance.

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., Security Capital Research & Management Incorporated, and J.P. Morgan Alternative Asset Management, Inc.

© 2015 JPMorgan Chase & Co.

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J.P. Morgan Asset Management—Global Real Assets 270 Park Avenue, New York, NY 10017jpmorgan.com/assetmanagement

Kimberly A. AdamsManaging Director Strategic Property Fund Portfolio Manager Tel: +1-312-732-6366 Fax: +1-312-732-6391 [email protected]

Ann E. Cole Managing Director Strategic Property Fund Portfolio Manager Tel: +1-212-648-2152 Fax: +1-917-464-7449 [email protected]

Portfolio Management Team

Business Development and Client Strategy Team

Douglas D. DoughtyManaging Director Head of Business Development and Client Strategy Tel: +1-212-648-0759 Fax: +1-646-308-6472 [email protected]

J.D. SittonManaging Director Business Development and Client Strategy Tel: +1-212-648-2163 Fax: +1-212-648-2261 [email protected]

Michael J. DuignanExecutive Director Business Development and Client Strategy Tel: +1-212-648-2122 Fax: +1-212-648-2261 [email protected]

John F. FaustManaging Director Business Development and Client Strategy Tel: +1-415-315-5164 Fax: +1-415-315-5195 [email protected]

Rebekah BrownExecutive Director Business Development and Client Strategy Tel: +1-212-648-2041 Fax: +1-212-648-2261 [email protected]

Mia Y. Dennis Vice President Business Development and Client Strategy Tel: +1-415-315-4914 Fax: +1-415-315-5195 [email protected]

Michael F. O’Brien Managing Director Business Development and Client Strategy Tel: +1-212-648-2180 Fax: +1-212-648-2261 [email protected]

Client Relations Team

Julia K. WongExecutive Director Client Relations Tel: +1 212-648-2173 Fax: +1 212-648-2261 [email protected]

Alexis H. Sowuleski Associate Client Relations Tel: +1 212-648-2119 Fax: +1 212-648-2261 [email protected]

Nicholas D. Hauser Vice PresidentClient RelationsTel: +1 212-648-1725Fax: +1 [email protected]

Emily DeLucaAnalystClient RelationsTel: +1 212-648-1096Fax: +1 212-648-2261 [email protected]

Hannah KimAssociateClient RelationsTel: +1 212-648-1349Fax: +1 212-648-2261 [email protected]

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N O T E S T O F I N A N C I A L S T A T E M E N T S