UCK00854-0714 UCK00854-0714

JPMorgan Senior Secured Loan Fund Limited

Portfolio update for the period ended 28 February 2014

UCK00854-0714 UCK00854-0714

JPMorgan Senior Secured Loan Fund Characteristics as of 28 February 2014

Investment Strategy

Seeks high current income with secondary focus on capital appreciation through cyclical market opportunities

Product Design

Actively allocates portfolio across both credit ratings and industry sectors of the leveraged loan market

Proactively manages investments we believe are undervalued and present total return potential

Fund represents: $130.9 million

Approximately 83% senior secured loans, 17% high yield bonds

Benchmark: Credit Suisse Leveraged Loan Index

Fund Characteristics Fund1 Benchmark Difference

Average Price ($)2 101.25 98.71 +2.54

Current Yield (%)3 5.81 4.77 +1.04

Discount Margin to Maturity4 528 515 +13

Top 10 Issuers Name %

1 Harrahs Operating Company Inc 3.00% 2 First Data Corp. 2.67% 3 Albertsons LLC 2.59% 4 Cemex Finance LLC 2.26% 5 Clear Channel Communications 2.07% 6 Avaya Inc 2.03% 7 Visant Holding Corp 2.02% 8 Pierre Foods Inc 2.01% 9 Supervalu Inc. 2.00%

10 Tribune Company 1.97%

Quality Distribution5

Sources: J.P. Morgan, Credit Suisse Leveraged Loan Index. 1 Excludes cash. 2 Average Price of loans excludes equities. 3 The interest coupon as a percentage of the current loan price (weighted average). 4 The return earned at maturity that is over and above a specific reference rate (the spread). Discount margin to maturity assumes a three year average life and excludes fixed rate bonds. 5 When calculating the credit quality breakdown, the manager will use the higher of the two ratings if only two agencies rate a security and will use one rating if that is all that is provided. Securities that are not rated by either agency is reflected as such. Due to rounding, values may not total 100%. Past performance is not indicative of future results. The Company is an actively managed portfolio; holdings, sector weights, allocations and leverage, as applicable are subject to change at the discretion of the Investment Manager without notice. The companies/securities above are shown for illustrative purposes only. Their inclusion should not be interpreted as a recommendation to buy or sell. J.P. Morgan Asset Management may or may not positions on behalf of its clients in any or all of the aforementioned securities.

27.95%

67.92%

4.12%

0.00%

49.05%

40.72%

6.01%

4.22%

Ba & higher

B

Caa & lower

Not rated Fund

Benchmark

1

UCK00854-0714 UCK00854-0714

JPMorgan Senior Secured Loan Fund Sector Diversification as of 28 February 2014

Sources: J.P. Morgan, Credit Suisse Leveraged Loan Index. The characteristics above are shown for illustrative purposes only . They are not recommendations. The Company is an actively managed portfolio; holdings, sector weights, allocations and leverage, as applicable are subject to change at the discretion of the Investment Manager without notice.

28-Feb-14 31-Jan-14

JPMSL CS Lev Loan Variance JPMSL CS Lev Loan Variance JPMSL

Since Inception Change

Aerospace 0.33% 2.60% -2.27% 0.33% 2.48% -2.15% 0.00%

Chemicals 1.12% 3.35% -2.23% 1.05% 3.39% -2.34% 0.07%

Consumer Durables 3.02% 0.38% 2.64% 3.07% 0.45% 2.62% -0.05%

Consumer Non-Durables 0.00% 2.21% -2.21% 0.00% 2.23% -2.23% 0.00%

Energy 5.92% 4.34% 1.58% 5.21% 4.24% 0.97% 0.71%

Financial 3.90% 3.88% 0.02% 3.95% 3.92% 0.03% -0.05%

Food and Drug 5.80% 1.00% 4.80% 5.92% 1.02% 4.90% -0.12%

Food/Tobacco 7.61% 5.57% 2.04% 8.73% 5.97% 2.76% -1.12%

Forest Products/Containers 0.61% 1.99% -1.38% 0.61% 2.00% -1.39% 0.00%

Gaming/Leisure 12.31% 5.92% 6.39% 12.89% 5.88% 7.01% -0.58%

Healthcare 8.80% 12.47% -3.67% 9.34% 12.61% -3.27% -0.54%

Housing 4.69% 1.61% 3.08% 4.47% 1.67% 2.80% 0.22%

Information Technology 12.15% 8.48% 3.67% 12.17% 8.53% 3.64% -0.02%

Manufacturing 2.47% 3.82% -1.35% 2.36% 3.77% -1.41% 0.11%

Media/Telecom 14.27% 15.19% -0.92% 14.02% 15.17% -1.15% 0.25%

Metals/Minerals 3.69% 1.76% 1.93% 3.74% 1.80% 1.94% -0.05%

Retail 2.66% 4.52% -1.86% 2.67% 4.59% -1.92% -0.01%

Services 5.04% 11.98% -6.94% 4.26% 11.66% -7.40% 0.78%

Transportation 3.17% 3.96% -0.79% 3.18% 3.74% -0.56% -0.01%

Utility 2.44% 4.98% -2.54% 2.05% 4.88% -2.83% 0.39%

2

UCK00854-0714 UCK00854-0714

JPMorgan Senior Secured Loan Fund Credit Diversification as of 28 February 2014

JPMorgan Senior Secured Loan Portfolio*,** Credit Suisse Leveraged Loan Index**

Sources: J.P. Morgan, Credit Suisse Leveraged Loan Index, Moody's, S&P. * Excludes cash. **Higher of S&P and Moody’s. Notes: The manager receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies - S&P, Moody's and Fitch. When calculating the credit quality breakdown, the manager selects the middle rating of the agencies when all three agencies rate a security. The manager will use the higher of the two ratings if only two agencies rate a security and will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such. Due to rounding, values may not total 100%. The characteristics above are shown for illustrative purposes only. They are not recommendations. Past performance is not indicative of future results. The Fund is an actively managed portfolio; holdings, sector weights, allocations and leverage, as applicable are subject to change at the discretion of the Investment Manager without notice.

Baa 1.02% Ba

26.93%

B 67.93%

Caa & lower 4.12%

Baa 5.99%

Ba 43.06%

B 40.72%

Caa & lower 6.01%

NR 4.22%

28-Feb-14 31-Jan-14

JPMSL CS Lev Loan Variance JPMSL CS Lev Loan Variance

JPMSL Since Inception

Change A 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Baa 1.02% 5.99% -4.97% 1.04% 5.07% -4.03% -0.02% Ba 26.93% 43.06% -16.13% 25.77% 42.52% -16.75% 1.16% B 67.92% 40.72% 27.20% 69.33% 41.57% 27.76% -1.41% Caa & lower 4.12% 6.01% -1.89% 3.86% 6.32% -2.46% 0.26% NR 0.00% 4.22% -4.22% 0.00% 4.53% -4.53% 0.00% Total 100.00% 100.00% 100.00% 100.00%

3

UCK00854-0714

Risk Warning and Disclaimer

THE CONTENTS OF THIS DOCUMENT AND THE PRESENTATION ARE STRICTLY CONFIDENTIAL AND MAY NOT BE COPIED, DISTRIBUTED, PUBLISHED OR REPRODUCED IN WHOLE OR IN PART, OR DISCLOSED, DISTRIBUTED OR MADE AVAILABLE BY RECIPIENTS TO ANY OTHER PERSON. ANY RECIPIENT OF THESE MATERIALS AGREES TO KEEP PERMANENTLY CONFIDENTIAL ALL INFORMATION HEREIN NOT ALREADY IN THE PUBLIC DOMAIN.

This is a promotional document and as such the views contained herein are not to be taken as an advice or recommendation to buy or sell any investment or interest thereto. Reliance upon information in this material is at the sole discretion of the reader. Any research in this document has been obtained and may have been acted upon by J.P. Morgan Asset Management for its own purpose. The results of such research are being made available as additional information and do not necessarily reflect the views of J.P. Morgan Asset Management. Any forecasts, figures, opinions, statements of financial market trends or investment techniques and strategies expressed are unless otherwise stated, J.P. Morgan Asset Management’s own at the date of this document. They are considered to be reliable at the time of writing, may not necessarily be all-inclusive and are not guaranteed as to accuracy. They may be subject to change without reference or notification to you.

It should be noted that the value of investments and the income from them may fluctuate in accordance with market conditions and taxation agreements and investors may not get back the full amount invested. Changes in exchange rates may have an adverse effect on the value, price or income of the product(s) or underlying overseas investments. Both past performance and yield may not be a reliable guide to future performance. There is no guarantee that any forecast made will come to pass. Furthermore, whilst it is the intention to achieve the investment objective of the investment product(s), there can be no assurance that those objectives will be met.

J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co and its affiliates worldwide. You should note that if you contact J.P. Morgan Asset Management by telephone those lines may be recorded and monitored for legal, security and training purposes. You should also take note that information and data from communications with you will be collected, stored and processed by J.P. Morgan Asset Management in accordance with the EMEA Privacy Policy which can be accessed through the following website http://www.jpmorgan.com/pages/privacy.

Investment is subject to documentation which is comprised of the Investment Trust Profiles document and either the Supplementary Information Document (SID) or Key Features/Terms and Condition, copies of which can be obtained free of charge from JPMorgan Asset Management Marketing Limited. Issued by JPMorgan Asset Management Marketing Limited which is authorised and regulated in the UK by the Financial Conduct Authority. Registered in England No: 288553. Registered address: 25 Bank St, Canary Wharf, London E14 5JP.

Copyright 2014 JPMorgan Chase & Co.

4