Fantasy Fund Manager: Fixed Income

1. Fantasy Fund Manager:Fixed Income March 2012 Michael Mewes, Managing Director+49 69 7124 2142michael.mewes@jpmorgan.com

2. Bonds in Investment Universe Equities Balanced Bonds / Cash Geographic Sector Style Credit Duration Currency Government / Corporate Emerging / Developed Large / Small Value /Growth Cyclical / Defensive Behavioural / Fundamental Low / High Volatility Fund Selection Source: JPMAM

3. High Risk Absolute Return TraditionalEquity Funds Total Return TraditionalGov’t Bond funds Low risk Absolute Return Guaranteed& Liquidity Risk and return Target Return Aggressive funds enhancing portfolio returns Diversified core investments Cash reserves & cautious section of portfolio Target Risk

4. Volatility varies greatly between both markets and asset classes All data as at 31 January 2012 3 year annual return p.a. (%) 3 year annual volatility (%) 2,03% 4,87% n/a 4,74% 4,48% 21,90% 18,90% 17,11% 16,80% 13,55% 46,39%

5. Fantasy Fund Manager: Fixed Income • What is a bond? • Bond fund decision tree • Market outlook

6. What is a Bond? • Coupon • Amount paid per year (may be paid annually or semi annually) • Maturity Date • Date when principal is returned • Some bonds have variable maturity date • Issuer • Institution who pays the coupon/maturity proceeds • Usually source of credit risk • Currency • Bonds issued in most currencies

7. Yield • “Average” return from a bond • As yields fall, price increases • Measure of value

8. How to sound like a bond geek • Government Bond • Issuer is a government and bond is in currency of issuer e.g. Gilt Treasury JGB Bund • Corporate • Issuer is a corporation • Mortgage (MBS) • About 30% of US market; bonds backed by house mortgages • Investment Grade • Rating Agencies provide ratings: AAA strongest, BBB lowest investment grade, BB and below sub investment grade • Aggregate • Markets and indices composed of investment grade bonds from developed markets

9. How to sound like a bond geek Part 2 • High Yield • High Yield are corporate bonds rated below investment grade • EMD • Emerging Market debt • Credit Spread • Yield difference between given sector and similar maturity government • Defaults • % of bonds expected to default over 12 months, valuation for High Yield • Duration • Sensitivity of price to yield. E.g. duration of 2 implies 1% fall in rates gives 2% price and return impact

10. What determines returns • Interest rates • Falling rates favour almost all funds, particularly government funds • Corporate spreads • Narrower corporate spreads help corporate funds • Currencies • Movements in £ $ and Euro dominate returns • Extended markets • High Yield benefit from lower defaults • Emerging Markets gain from credit spreads and currency

11. Fantasy Fund Manager: Fixed Income • What is a bond? • Bond fund decision tree • Market outlook

12. Currency Asset Class Fund • Global Government Short Duration • Global Government Government • Global Short Duration • US Bond Aggregate USD Hedged Corporate • Global Corporate • Asia Total Return • Emerging Markets Debt • Emerging Markets Bond • Global Corporate • Strat Bond Extended Government • “OLD” Global Agg USD Unhedged Extended • EM Local Currency Debt US$ Funds: Decision Tree

13. EUR • EU Government Short Duration • EU Government Bond Government Corporate • Euro Corporate Bond Extended • Europe High Yield GBP Corporate • Sterling Bond Fund Euro and £ Funds: Decision Tree Currency Asset Class Fund

14. Fantasy Fund Manager: Fixed Income • What is a bond? • Bond fund decision tree • Investment Process and Market outlook

15. Our scale is sizable and our business is well diversified As of December 31, 2011 *Based on the AUM for the Asset Management division of JPMorgan Chase & Co., which includes J.P. Morgan Asset Management, Private Client Services and Private Bank. Note: Global Fixed Income strategies highlighted above may not sum to the total assets under management (“AUM”) figure due to the inclusion/exclusion of assets managed on behalf of other product groups within J.P. Morgan Asset Management Excludes $11.3 billion in private client assets 1 Includes core plus, core investment grade and short duration 2 Market value figure shown 3 Includes Treasury only, inflation protected and private and public mortgage assets managed through separate accounts

16. J.P. Morgan Asset Management New York/London/Asia Fixed Income & Currency As of January 2012. There can be no assurance that the professionals currently employed by JPMAM will continue to be employed by JPMAM or that the past performance or success of any such professional serves as an indicator of such professional’s future performance or success.

17. Investment process centers on Research-Driven Sector Allocation Investors around the globe are the foundation of our process Regardless of sector or where they’re located, investors perform proprietary fundamental, quantitative, and technical analysis Formal meetings ensure that we consider all opinions when we rank order investment strategies according to conviction Security selection is performed by sector specialists who are experts in their specialty, not generalists Portfolio managers are responsible for ensuring that our best ideas are implemented appropriately, according to each client’s objectives The above information is shown for illustrative purposes only. 16

18. Summary of Global Views Positions as at 1 February 2012 Source: J.P. Morgan Asset Management. Any forecasts, opinions and statements of financial market trends expressed are JPMAM’s own at the date of this document and may be subject to change without notice. Any research in this document has been obtained and may have been acted upon by JPMAM for its own purpose. The results of such research are being made available as additional information only and do not constitute investment advice.

19. Sector allocations reflect view of market opportunities (“Strat Bond”) Corporate High Yield Corporate Investment Grade Mortgage-backed Securities EMD (ZAR, ILS, BRL, TRY, KRW, IDR, MXN, PHP, MYR) Source: J.P. Morgan Asset Management. 18

20. Eurozone Economic and Strategic View Positions as at 1 February 2012 • Peripheral sovereigns, Euro agencies & supras exploited the bullish tone to markets in January to place a large amount of their required 2012 issuance. But amid the optimism a cautious note was sounded by Bundesbank President Weidmann - that “too generous” liquidity provision to eurozone banks might encourage activity “that could mean higher risks for banks and thus also risks to price stability”. • The 3-year LTRO to be conducted on 29 February remains at the forefront of investor thinking and some forecasters estimate that eurozone banks may take down as much as €1 tn or more (versus the €489 bn of liquidity that they bid for in December). • A large number would have both positive and negative aspects. The effect, an improvement in the funding picture for eurozone banks, would provide grounds for optimism. However, a possible cause - continued deposit flight from peripheral eurozone banks to “core” European banks - would be symptomatic of worsening stress in the periphery. • With central bank activity providing support for all fixed income asset classes; we choose to implement a long duration stance via bunds as they provide the most protection in the event of further disruption at the eurozone periphery. Proprietary Leading Indicator PositionImplications Duration Long10yr Inflation Neutral Curve FRA 20s40s steepener Cross-Market Long 10yr UK vs short 10yr EU Long 10yr EU vs short 10yr US ECB Policy Indicator and Refi Rate Source: J.P. Morgan Asset Management. Any forecasts, opinions and statements of financial market trends expressed are JPMAM’s own at the date of this document and may be subject to change without notice. Any research in this document has been obtained and may have been acted upon by JPMAM for its own purpose. The results of such research are being made available as additional information only and do not constitute investment advice.

21. US Economic and Strategic View Positions as at 1 February 2012 • The tone of recent economic data has robust, January non-farm and private sector payrolls both around +250k and ISMs well inside expansionary territory. Whilst our proprietary leading indicator for the US continues to point towards below trend economic growth, it is not consistent with recessionary conditions. • In the event of a disorderly resolution to the European debt crisis and ensuing recession in Europe we envisage US Treasury yields grinding down towards 1.5%. However, the recent resolve of policymakers to work towards a “fiscal compact” has reduced the probability of this. • As long as the market continues to oscillate between hope in the run-up to each EU summit and disappointment thereafter, yields will remain rangebound, warranting the pursuit of relative value trades and tactical trading of outright duration. • Whilst all sovereigns have rallied, the US outperformed, buoyed by dovish Fed interest rate forecasts, weighing on our short US versus long UK/EU/Canada/Australia trade. However, with growth stronger in the US but barely positive in UK and Eurozone, the trade rationale remains strong. Proprietary Leading Indicator PositionImplications Duration Short 2yr Inflation Neutral Curve Neutral Cross-market Long 10yr UK vs short 10yr US Long 10yr Australia vs short 10yr US Long 10yr EU vs short 10yr US Long 10yr Canada vs short 10yr US Fed Policy Indicator and Fed Funds target rate Source: J.P. Morgan Asset Management. Any forecasts, opinions and statements of financial market trends expressed are JPMAM’s own at the date of this document and may be subject to change without notice. Any research in this document has been obtained and may have been acted upon by JPMAM for its own purpose. The results of such research are being made available as additional information only and do not constitute investment advice.

22. UK Economic and Strategic View Positions as at 1 February 2012 • The latest public finance figures in December revealed that the deficit is tracking below the latest Office of Budget Responsibility projections and objectives for fiscal year 2011/12 should be comfortably met. Gilts rallied in response. • However, recent assessments by both the Treasury and the Office for Budget Responsibility are revising downwards expectation for future growth and delaying the date by which the “structural deficit” will have been eliminated. Together with the resultant rise in required future gilt issuance, this drives forecast debt/GDP ratios higher. • The MPC delivered an additional £50bn of QE in February, in line with expectations. The only slightly surprise was in the relatively high weighting towards front-end purchases. We remain sceptical that QE can have much impact on underlying growth. • We expect gilts to continue to outperform US Treasuries and Bunds due to supportive technicals, the failure of the latest bipartisan US budget negotiations and Germany’s status as effective eurozone lender of last resort. But we feel that dollar bloc countries with stronger fiscal dynamics will draw some haven flows from the UK due to its high economic correlation with the eurozone. Proprietary Leading Indicator PositionImplications Duration Neutral Inflation Long short-dated breakevens Curve Neutral Cross-Market Long 10yr UK vs short 10yr US Long 10yr UK vs short 10yr EU BoE Policy Indicator and Refi Rate Source: J.P. Morgan Asset Management. Any forecasts, opinions and statements of financial market trends expressed are JPMAM’s own at the date of this document and may be subject to change without notice. Any research in this document has been obtained and may have been acted upon by JPMAM for its own purpose. The results of such research are being made available as additional information only and do not constitute investment advice.

23. J.P. Morgan Asset Management Any forecasts or opinions expressed are J.P. Morgan’s own at the date of this document and may be subject to change. The value of investments and the income from them may fluctuate and your investment is not guaranteed and investors may not get back the full amount invested. Past performance is not a guide to future performance. Exchange rates may cause the value of underlying overseas investments to go down or up. Investments in smaller companies may involve a higher degree of risk as they are usually more sensitive to market movements. Investments in emerging markets may be more volatile than other markets and the risk to your capital is therefore greater. Also, the economic and political situations may be more volatile than in established economies and these may adversely influence the value of investments made. Telephone lines are recorded and may be monitored for security and training purposes