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1 U.S. PENSION FUNDING UPDATE BlackRock U.S. Client Solutions U.S. corporate pension funding decreased by. in December 217 December 217 BlackRock estimates the average funded status of the largest 1 U.S. corporate pension plans was: at the end of December 217 Average funded status decreased. in December 217 Average funded status has increased 3. YTD U.S. pension funded status - YTD 9% 88% % 78% 7 Average asset allocation Asset and liability performance Fixed Income - Long Fixed Income - Agg Equity Private Equity Hedge Funds Real Estate Cash 37% 2 2 Assets Fixed Income Equity Alternatives/Cash Liabilities Funded Status Dec 17 YTD % % 9.9% Funded status volatility increased by. in December 217 BlackRock estimates the average funded status volatility of the largest 1 U.S. corporate pension plans was: at the end of December 217 Funded status volatility increased. in December 217 Funded status volatility has decreased 3. YTD U.S. pension funded status volatility - YTD 14.% 12.% 1.% 8.% 6.% 4.% 2.%.% CliSol-335 For use with institutional and professional investors only Page 1

2 U.S. PENSION FUNDING UPDATE December 217 Asset class modeling Asset class Fixed Income - Long Fixed Income - Agg Equity Private Equity Hedge Funds Real Estate Cash Benchmark Barclays Long Government/Credit Bond Index Barclays Aggregate Bond Index MSCI ACWI S&P Listed Private Equity Index HFRX Global Hedge Fund Index Dow Jones U.S. Real Estate Index Barclays 1-3 Month T-Bill Index Weight % The asset class weights above are based on the asset allocations of the largest 1 US defined benefit pension plans of publiclytraded US corporations, as of 12/31/215. Source: Pensions&Investments No allowance has been made for active management or costs. Liability returns are based on the Bank of America Merrill Lynch Mature US Pension Plan AAA-A Index. The assumed beginning-of-216 funded ratio is based on the average reported funding ratio of the 236 DB plans sponsored by S&P5 companies, as of 12/31/215. Funded status volatility quoted as a percent of liability value and calculated using BlackRock Solutions Aladdin risk model based on the trailing 52 weeks of equally weighted observations. This material is for distribution only to those types of recipients as provided below and should not be relied upon by any otherpersons. This material is provided for informational purposes only and does not constitute a solicitation in any jurisdiction in which such solicitation is unlawful or to any person to whom it is unlawful. Moreover, it neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer to enter into an investment agreement. This material may contain forward-looking information that is not purely historical in nature. Such information may include, among other things, projections, forecasts, estimates of yields or returns, and proposed or expected portfolio composition. Moreover, where certain historical performance information of other investment vehicles or composite accounts managed by BlackRock, Inc. and/or its subsidiaries (together, BlackRock ) has been included in this material and such performance information is presented by way of example only. No representation is made that the performance presented will be achieved, or that every assumption made in achieving, calculating or presenting either the forward-looking information or the historical performance information herein has been considered or stated in preparing this material. Any changes to assumptions that may have been made in preparing this material could have a material impact on the investment returns that are presented herein by way of example. This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offeror solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are as of December 217 and may change as subsequent conditions vary. The information and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all-inclusive and are not guaranteed as to accuracy. There is no guarantee that any forecasts made will cometo pass. Any investments named within this material may not necessarily be held in any accounts managed by BlackRock. Reliance upon information in this material is at the sole discretion of the reader. Past performance is no guarantee of future results. In Canada, this material is intended for accredited investors only. This document contains general information only and is not intended to represent general or specific investment advice. The information does not take into account your financial circumstances. An assessment should be made as to whether the information is appropriate for you having regard to your objectives, financial situation and needs. THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE RECIPIENT.FOR INSTITUTIONAL INVESTORS ONLY. BlackRock is a registered trademark of BlackRock, Inc. All other trademarks are the property of their respective owners. 217 BlackRock, Inc. All rights reserved. CliSol-335 For use with institutional and professional investors only Page 2

3 Summary as of market close 29-Dec-17 Pension Funding Ratio% 1 ML Corporate Yield Curves 2 9% 8% 7% 6% % Years ML AA Current ML AA Beg. Of Yr. Funding Ratio Returns (%) 1 Volatility Yields 2 5 yr 1 yr 2 yr 3 yr Current 1 week MTD YTD Beg. of Yr Funding ratio Current Please see page 6 for important information. YTD Periodic Change Long Duration Bond Yields (bps) 2 1y Tsy 3y Tsy Long Credit Index 4.% 35.% 3.% 25.% 2.% 15.% 1.% 5.%.% -5.% Equity Index Returns 3 S&P 5 MSCI EAFE MSCI EM Time Series Bond Yields 2 6 Equity Price Index Levels 3 8% % 1y Tsy 3y Tsy Long Credit Index S&P 5 MSCI EM MSCI EAFE Sources: 1. Datastream; BlackRock 2. BofA Merrill Lynch, Barclays 3. Bloomberg, S&P, MSCI 217 BlackRock Page 1

4 Treasury Market 3. 3.% 2. 2.% 1. 1.%. Treasury Yield Curves - Spot 1 Treasury Yield Curves - Forward % 2. 2.% 1. 1.%..% Years Current Beg. Of Yr..% Current 1 Year Fwd Years 3 Year Fwd 5 Year Fwd Term Yr Current 1Y Fwd 3y Fwd 5y Fwd Periodic Change (bps) 1 5y Tsy 1y Tsy 2y Tsy 3y Tsy 1y 1y Fwd 1y 3y Fwd 1y 5y Fwd % Treasury Yields 5y 1y 2y 3y Time Series Treasury 5/1 and 1/3 (bps) 5/1 s 1/3 s 1.Source: BofA Merrill Lynch. All yields are spot rates. 217 BlackRock Page 2

5 Swap Market 3.% Yield Curves % 1. 1.%..% Years Treasury Swap Swap Term Yr Treasury Yield (%) Swap Yield (%) Swap (bps) Periodic Change (bps) y swap yield 1y swap yield 2y swap yield 3y swap yield 5y swap spread 1y swap spread 2y swap spread 3y swap spread Time Series 1 Swap Yields 15 Swap s (bps) % 5y 1y 2y 3y 1.Source: BofA Merrill Lynch. All yields are spot rates. -1 5y 1y 2y 3y 217 BlackRock Page 3

6 Inflation and Real Interest Rate Market 3.% Yield Curves % 1. 1.%..% Years Treasury Real Breakeven Inflation Term Yr Treasury Yield (%) Real Yield (%) BE 2 Inflation (%) Periodic Change (bps) 1, y real yield 1y real yield 2y real yield 3y real yield 5y BE inflation 1y BE inflation 2y BE inflation 3y BE inflation % Real Yields 5y 1y 2y 3y Time Series 1 % Breakeven Inflation 5y 1y 2y 3y 1.Source: BofA Merrill Lynch. All yields are spot rates. 2. BE = breakeven 217 BlackRock Page 4

7 Credit Market 2.% 1.8% %.8%....% Credit Curves Years ML AAA ML AA ML A ML BBB ML 6A Term Yr ML AAA ML AA ML A ML BBB ML 6A Periodic Change of 1+ Year Bond Index Maturities (bps) Credit Yield Corp Yield Credit Corp AAA AA A BBB Time Series 1 % AA Credit s 1 5y 1y 2y 3y Sources: 1. BofA Merrill Lynch yield curves; 2. Barclays 1+ year bond maturity indices Long Corporate and Credit Index s 2 Credit Corp AAA AA A BBB 217 BlackRock Page 5

8 Glossary Glossary of terms Difference in Treasury yield between a 1 year (or 3 year) and 5 year (or 1 year) bond. It is a measure of 5/1 (or 1/3) the steepness of the yield curve. Nominal treasury yield less the yield on an inflation linked bond (e.g., Treasury Inflation-Protected Security or Breakeven (BE) Inflation TIPS) of identical maturity. The implied future yield n years from now inferred from the current Treasury yield curve. If forward rates are Forward Rate realized, bonds of all maturities have the same return of the accumulated cash rate. Funding Ratio The ratio of assets to liabilities for a pension plan. See further assumptions below. Barclays index composed of investment grade credit (corporate, sovereign, supranational, local government, Long Credit Index and foreign government) issues with 1+ years to maturity. Yields quoted on this index are Yield to Worst. Long Corporate Index Barclays index that filters out non-corporate issuers from the Long Credit Index. MSCI EAFE is a float-adjusted market-capitalization index that measures large and mid cap developed market MSCI EAFE countries around the world, excluding North America (Europe, Australasia and the Far East). MSCI Emerging Markets is a float-adjusted market-capitalization index that is designed to measure equity MSCI EM market performance in the global emerging markets. Real Yield Bond yield adjusted for inflation. For Treasury bonds it is the market yield on TIPS. Par Rate The yield to maturity on a coupon-bearing bond. Standard & Poor's is a float-adjusted market-capitalization index that measures the performance of the 5 S&P 5 large NYSE and NASDAQ listed companies. In reference to credit, this is the option adjusted spread, or the additional yield over a similar Treasury bond required to discount the bond's cash flows and recover the price. The single yield at which a cash flow is discounted to determine the present value, which can be observed Spot Rate from zero coupon bonds or derived from the par yield curve. Swap spread The yield of a swap less the yield of a treasury of identical maturity. Note: All BofA Merrill Lynch yields are quoted as constant-maturity spot rates and all Barclays yields are quoted as par yields on their indices. Assumptions for funding ratio calculation on page 1 The asset class weights above are based on the asset allocations of the largest 1 US defined benefit pension plans of publicly-traded US corporations, as of 12/31/215. The assumed beginning-of-216 funding ratio is based on the average reported funding ratio of the 236 DB plans sponsored by S&P5 companies, as of 12/31/215. No allowance has been made for active management or costs. Funding ratio volatility is quoted as a percent of liability value and calculated using BlackRock Solutions Aladdin risk model based on the trailing 52 weeks of equally weighted observations. Index Barclays Long Gov/Credit Bond Barclays Aggregate Bond Index MSCI ACWI S&P Listed Private Equity Index HFRX Global Hedge Fund Index Dow Jones U.S. Real Estate Barclays 1-3 Month T-Bill Index Weight % 217 BlackRock Page 6

9 Disclaimer This material is for distribution only to those types of recipients as provided below and should not be relied upon by any other persons. This material is provided for informational purposes only and does not constitute a solicitation in any jurisdiction in which such solicitation is unlawful or to any person to whom it is unlawful. Moreover, it neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer to enter into an investment agreement. This material may contain forward-looking information that is not purely historical in nature. Such information may include, among other things, projections, forecasts, estimates of yields or returns, and proposed or expected portfolio composition. Moreover, where certain historical performance information of other investment vehicles or composite accounts managed by BlackRock, Inc. and/or its subsidiaries (together, BlackRock ) has been included in this material and such performance information is presented by way of example only. No representation is made that the performance presented will be achieved, or that every assumption made in achieving, calculating or presenting either the forward-looking information or the historical performance information herein has been considered or stated in preparing this material. Any changes to assumptions that may have been made in preparing this material could have a material impact on the investment returns that are presented herein by way of example. This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are as of December 217 and may change as subsequent conditions vary. The information and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all-inclusive and are not guaranteed as to accuracy. There is no guarantee that any forecasts made will come to pass. Any investments named within this material may not necessarily be held in any accounts managed by BlackRock. Reliance upon information in this material is at the sole discretion of the reader. Past performance is no guarantee of future results. In Canada, this material is intended for accredited investors only. This document contains general information only and is not intended to represent general or specific investment advice. The information does not take into account your financial circumstances. An assessment should be made as to whether the information is appropriate for you having regard to your objectives, financial situation and needs. THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE RECIPIENT. FOR INSTITUTIONAL INVESTORS ONLY BlackRock is a registered trademark of BlackRock, Inc. All other trademarks are the property of their respective owners. 217 BlackRock, Inc. All rights reserved. CliSol BlackRock Page 7

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