JPMorgan Funds statistics report: Mortgage-Backed Securities Fund

Transcription

1 NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE JPMorgan s statistics report: Mortgage-Backed Securities Must be preceded or accompanied by a prospectus. jpmorganfunds.com

2 Table of contents PERFORMANCE QUALITY BREAKDOWN Performance at NAV 3 Quality breakdown (% market value) 12 Calendar year returns 3 Quality breakdown of sectors 13 EXPENSES Annual operating expenses 4 Quality breakdown of sectors (cont) MATURITY 14 CHARACTERISTICS statistics RATINGS AND RANKINGS Lipper rankings Morningstar ratings Maturity distribution (%) as of 6/30/16 Bond maturity (%) as of 6/30/16 AVERAGE LIFE Weighted average life (%) DURATION HOLDINGS Top holdings w/sector (%) SECTORS Sector allocation (%) Subsector breakdown Vintage of total MBS exposure Effective duration (%) Key rate duration (%) Duration profile (%) as of 6/30/16 Duration Distribution as of 6/30/16 DISCLOSURE Disclosures Vintage of non-agency MBS exposure 10 Non-agency MBS summary 10 Non-agency MBS summary 10 Mortgage detail (%) 11 Sub-prime exposure (%) A exposure (%) 11 MBS type (%) 11 2 STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

3 Performance Share class - inception date share class # A Shares - 8/18/ with max 3.75% sales charge C Shares - 7/2/ with max 1.00% CDSC Barclays U.S. MBS Index 1 month (%) months (%) YTD (%) AVERAGE ANNUAL TOTAL RETURNS (as of 6/30/2016) Select Shares - 8/18/ R6 Shares - 2/22/ day unsubsidized SEC yield The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Current performance may be higher or lower than the performance data shown. For performance current to the most recent month-end, please call yr (%) 3 yrs (%) 5 yrs (%) 10 yrs (%) 30-day SEC yield Dividend yield Calendar year returns A Shares - 8/18/ C Shares - 7/2/ Select Shares - 8/18/ R6 Shares - 2/22/ Barclays U.S. MBS Index STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

4 Expenses Annual operating expenses Expense cap expiration date Expense cap (%) Total annual operating expense (%) Fee waivers and/or expense reimbursements (%) Net expense (%) A Shares 6/30/ (0.35) 0.65 C Shares 6/30/ (0.37) 1.15 S Shares 6/30/ (0.33) 0.40 R6 Shares 6/30/ (0.22) STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

5 Characteristics statistics Average life Average duration Convexity Yield to maturity Yield to worst Current yield Average coupon Option adjusted spread Turnover ratio FYE 2/29/2016 Number of securities ,066 Benchmark STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

6 Ratings and rankings Lipper rankings Category: U.S. Mortgage s A C S R6 1 Year 38(44/117) 67(78/117) 26(30/117) 12(14/117) 3 Years 59(59/100) 86(86/100) 40(40/100) 29(29/100) 5 Years 35(31/88) 29(25/88) 21(18/88) 10 Years 18(11/62) 10(6/62) 7(4/62) The ranking information is provided by Lipper Analytical Services. Past performance is no guarantee of future results. Rankings are calculated based upon the total returns of multiple share classes within their respective Lipper category. Different share classes may have different rankings. Morningstar ratings Category: Intermediate-Term Bond A C S R6 Overall /953 /953 /953 /953 3-Year /953 /953 /953 /953 5-Year /836 Not yet rated /836 / Year /603 Not yet rated /603 /603 The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. Different share classes may have different ratings. 6 STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

7 Holdings Top holdings w/sector (%) Holdings Government National Mortgage Association, Class XQ, %, 7/20/2060 Federal Home Loan Mortgage Corp. STRIPS, Class 35, 3.5%, 7/15/2042 Obligations Federal National Mortgage Association, Other, Mortgage Pass %, 1/1/2020 Through Securities Federal National Mortgage Association, Other, Mortgage Pass- 3.77%, 9/1/2021 Through Securities Federal National Mortgage Association, Other, Mortgage Pass- 2.01%, 6/1/2020 Government National Mortgage Association, Class FA, %, 12/20/2061 Federal National Mortgage Association REMIC, Class JA, 3%, 7/25/2045 Government National Mortgage Association, Class DF, %, 05/20/2061 Government National Mortgage Association, Class CF, %, 05/20/2061 Government National Mortgage Association, Class BA, 1.65%, 2/20/2063 Sector Collateralized Mortgage Obligations Collateralized Mortgage Through Securities Collateralized Mortgage Obligations Collateralized Mortgage Obligations Collateralized Mortgage Obligations Collateralized Mortgage Obligations Collateralized Mortgage Obligations % STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

8 Sectors Sector allocation (%)* Treasury Mortgages Pass-Through DUS Pass-Through CMO Asset-Backed CMBS Credit Finance Money Market * Due to rounding, values may not total 100% Benchmark STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

9 Sectors Sector Mortgages Mortgages Total ABS ABS Total CMBS CMBS Total Credit Credit Total Other Other Total Treasury Treasury Total Grand Total Subsector Agcy CMO Non-Agcy CMO Pass Through Non-Agcy ABS Agcy ABS CMBS CMBS Derivative Finance Money Market Treasury Subsector Fixed Rate CMO Floating Rate IO PO Inverse IO Inverse Floater Fixed Rate CMO Floating Rate IO PO Inverse IO Inverse Floater FX Pass Through ARM COVERED HOME EQUITY ABS OTHER MANUFACTURED HOUSING ABS OTHER CMBS IO FINANCIAL OTHER Money Market Treasury Percent of Market Value Effective Duration Duration Contribution Effective Weighted Average Life Convexity Option Adjusted Spread Spread Duration STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

10 Sectors Vintage of total MBS exposure Non-agency MBS summary < % of MBS Cumulative Alt-A Vintage < % of Prime Vintage < % of Vintage of non-agency MBS exposure Non-agency MBS summary < % of MBS Cumulative Alt-A Quality AA A BAA BA < B % of Prime Quality AA A BAA BA < B % of STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

11 Sectors Mortgage detail (%) MBS type (%) Fannie Mae Ginnie Mae Freddie Mac Non-Agency VA NCUA FDIC Fixed Rate Hybrid/ Floating Rate Benchmark Sub-prime exposure (%) Sub-prime exposure A exposure (%) 144A exposure STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

12 Quality breakdown Quality breakdown (% market value)* AA A BAA BA B CAA CA C D NR * Due to rounding, values may not total 100% Benchmark STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

13 Quality breakdown Sector Subsector Treasury Treasury Treasury Total Mortgages Agcy CMO Non-Agcy CMO Pass Through Mortgages Total ABS Non-Agcy ABS Agcy ABS ABS Total Rating AA A BAA BA B CAA CA C D NR AA A BAA BA B CAA C D NR Percent of Market Value Effective Duration Duration Contribution Effective Weighted Average Life Convexity Option Adjusted Spread Spread Duration STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

14 Quality breakdown Sector Subsector CMBS CMBS CMBS Derivative CMBS Total Credit Finance Credit Total Other Money Market Other Total Grand Total Rating AA A BAA BA B NR B CAA NR AA Percent of Market Value Effective Duration Duration Contribution Effective Weighted Average Life Convexity Option Adjusted Spread Spread Duration STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

15 Maturity Maturity distribution (%) as of 6/30/16* Bond maturity (%) as of 6/30/16* Less than one year Years 1-3 Years 3-5 Years 5-7 Years 7-10 Years Years Years 30+ * Due to rounding, values may not total 100% Benchmark years 4-7 years 7-10 years 10+ years * Due to rounding, values may not total 100% Benchmark STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

16 Average life Weighted average life (%)* Less than one year Years 1-3 Years 3-5 Years 5-7 Years 7-10 Years * Due to rounding, values may not total 100% Benchmark STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

17 Duration Effective duration (%)* Key rate duration (%) Duration profile (%) as of 6/30/16 Less than 1 Year 1 to 3 Years 3 to 5 Years 5 to 8 Years 8 to 10 Years 10 to 15 Years 15+ Years * Due to rounding, values may not total 100% Benchmark KRD0.5 KRD1 KRD2 KRD3 KRD5 KRD7 KRD10 KRD20 KRD Benchmark April May June STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

18 Duration Duration Distribution as of 6/30/16 Total Portfolio % * Treasury/ Agency 0-1 Years Years Years Years 4-5 Years Years 5-7 Years Years 7-8 Years Years 8-10 Years 4.10 Over 10 Years 3.88 Over 10 Years * Due to rounding, values may not total 100%. % Mortgages 0-1 Years 1-2 Years 2-4 Years 4-5 Years 5-7 Years 7-8 Years 8-10 Years Over 10 Years % Asset Backed 0-1 Years 1-2 Years 2-4 Years 4-5 Years 5-7 Years 7-8 Years 8-10 Years Over 10 Years % Corporate 0-1 Years % 0.24 Other 0-1 Years % STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

19 RISKS ASSOCIATED WITH INVESTING IN THE FUND: The following risks could cause the fund to lose money or perform more poorly than other investments. For more complete risk information, see the prospectus. CMOs are collateralized mortgage obligations, which are issued in multiple classes, and each class may have its own interest rate and/or final payment date. A class with an earlier final payment date may have certain preferences in receiving principal payments or earning interest. As a result, the value of some classes may be more volatile and may be subject to higher risk of nonpayment. RETURNS: 1 The quoted performance of the includes performance of a predecessor fund/share class prior to the 's commencement of operations. Please refer to the current prospectus for further information. ANNUAL OPERATING EXPENSES: The s adviser and/or its affiliates have contractually agreed to waive fees and/or reimburse expenses to the extent Total Annual Operating Expenses (excluding acquired fund fees and expenses, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the expense cap. This waiver is in effect through the expense cap expiration date, at which time the adviser and/or its affiliates will determine whether to renew or revise it. PORTFOLIO STATISTICS: Average Life: The length of time the principal of a debt issue is expected to be outstanding. Duration: Measures price sensitivity of fixed income securities to interest rate changes. QUALITY DISTRIBUTION: 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 lower 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. HOLDINGS: The top 10 holdings listed reflect only the 's long-term investments. Short-term investments are excluded. Holdings are subject to change. The holdings listed should not be considered recommendations to purchase or sell a particular security. Each individual security is calculated as a percentage of the aggregate market value of the securities held in the and does not include the use of derivative positions, where applicable. MORNINGSTAR AND LIPPER: 2016, Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar; (2) may not be copied or distributed; (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Morningstar Rating metrics are calculated monthly by subtracting 90-day Treasury return from the fund s load-adjusted return and adjusting for risk. Stars are awarded as follows: top 10% of funds, 5 stars; next 22.5%, 4 stars; next 35%, 3 stars; next 22.5%, 2 stars; bottom 10%, 1 star. Morningstar Ratings are based on 3, 5 and 10 year metrics. Different share classes may have different ratings. The ranking information is provided by Lipper Analytical Services. Past performance is no guarantee of future results. Rankings are calculated based upon the total returns of multiple share classes within their respective Lipper category. Different share classes may have different rankings. INDEXES DEFINED: The Barclays U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the reflects the deduction of the fund expenses, including sales charges if applicable. An individual cannot invest directly in an index. 19 STATISTICS REPORT: MORTGAGE-BACKED SECURITIES FUND

20 NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE Contact JPMorgan Distribution Services, Inc. at for a fund prospectus. You can also visit us at Investors should carefully consider the investment objectives and risks as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing. Total return assumes reinvestment of dividends and capital gains distributions and reflects the deduction of any sales charges, where applicable. Performance may reflect the waiver of a portion of the 's advisory or administrative fees and/or reimbursement of certain expenses for certain periods since the inception date. If fees had not been waived and/or certain expenses were not reimbursed, performance would have been less favorable. J.P. Morgan s are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds. JPMorgan Distribution Services, Inc. is a member of FINRA/SIPC. J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, JPMorgan Chase Bank, N.A., J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated, J.P. Morgan Alternative Asset Management, Inc., and J.P. Morgan Asset Management (Canada), Inc. JPMorgan Chase & Co., July 2016 MFDP-MBS jpmorganfunds.com