Only the ishares ETFs that are classified in the following asset and sub-asset classes are considered eligible for inclusion in the Index:
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1 Index Methodology for the BlackRock ibld Endura VC5.5 ER Index The BlackRock ibld Endura VC5.5 ER Index (the Index ) seeks to provide the potential for more consistent returns than a traditional stock index and may help reduce losses during declining markets while still experiencing gains during rising markets. The index comprises U.S. equities with daily volatility controls to help mitigate downside risk. The daily volatility controls determine an allocation to short-term U.S. Treasury bonds. Index constituents are comprised of ishares ETFs to enhance the liquidity and investability of the Index. The Index tracks the excess return of the selected ishares ETF constituents above the return of cash (3-month LIBOR). I. Index Eligibility Criteria This Index is composed of cash and U.S. listed ishares exchange-traded products (each an ETF and together, the ETFs ) that are managed, distributed and/or sponsored by subsidiaries of BlackRock, Inc. The BlackRock Index Services Governance Committee (the Index Committee ) is responsible for governance and oversight of the Index. Only the ishares ETFs that are classified in the following asset and sub-asset classes are considered eligible for inclusion in the Index: Equity U.S. Fixed Income U.S. Government An eligible security must meet the following criteria to qualify for inclusion in the Index: The ETF must trade on a U.S. Exchange The ETF must have at least 3 years of history since the ETF s inception The ETF must have AUM of >= $500 mm at time of the ETF s consideration for inclusion in the Index. The ETF must have a 3-month average daily volume >= 100,000 shares In the event that an index constituent cannot satisfy both of the following criteria, the Index Committee will review the existing constituent s eligibility for continued inclusion in the Index and decide whether replacement, removal, and/or addition of an index constituent(s) is necessary: Assuming a $1 billion index value, the 3-month average daily value (ADV) traded in the index constituent is less than 0% of the constituent s 3-month ADV traded on the exchange. 1 The constituent s average bid-ask spread is -less than 1.3 cents. 1 The average daily value is calculated from the constituent ETF s last price and volume, which are both sourced from Bloomberg. The constituent ETF s bid-ask spread is sourced from Bloomberg and is defined as the average of all bid/ask spreads. Updated May 18, 017 1
2 Index Constituents: Security Name ishares Edge MSCI USA Minimum Volatility ETF ishares 1-3 Year Treasury Bond ETF Cash (3-month LIBOR) Ticker USMV SHY US0003M II. Maintenance of the Index Index Inception Dates, Base Market Values and Index History The base date of the Index is June 14, 016, when the base Index level was set to 100. Live calculation of the Index commenced on June 15, 016, the index inception date. Historical back-tested index levels are available from February 5, 003 up to the index inception date. All information presented prior to the Index inception date is back-tested. The back-tested calculations are based on the same methodology as described in Section III of this document. Calculation and Dissemination of Index Values and Constituent Holdings Index values are calculated once every business day after the close of U.S. Exchanges. The index value is calculated using the primary-exchange closing prices of the ETFs and their weights in the index, as detailed below. Trading Holidays Index values are not calculated on days when U.S. Exchanges are closed. Index Value Currencies The Index value is calculated in U.S. dollars. Scheduled Reconstitution Dates The Index is reconstituted (Index membership is reset) annually. Adjustments are made at the close of trading on the last business date of the month of May. The changes become effective on the next business day. Market data used for reconstitution is as of the last trading day of the week prior to reconstitution. Scheduled Rebalancing Dates The indexes are rebalanced and constituent ETF weights are adjusted daily. Adjustments are made at the close of trading on each day. Market data used for rebalancing is one-day lagged at the close. Distributions are reinvested proportionally in the Index. Updated May 18, 017
3 Delisting if any constituent is delisted by its principal exchange, the ETF will be removed from the Index as soon as practicable. Exceptions will be made on a case-by-case basis as determined by the Index Committee. Dividend Reinvestment: ETF Share Split Index shares are multiplied by the split factor. Price is divided by the split factor. There is no divisor adjustment. ETF Special Dividends The price of the ETF with the special dividend will be reduced by the special dividend amount per share after the close of trading on the day before the dividend ex-ante date. If, on any Index calculation day, the closing price of any Index constituent with Index weight >0 is unavailable for any reason, including unforeseen events such as weather conditions, power failures or other events, the Index will use the constituent closing price from the last regular price reported at the close of a business day. Special Events Any matter arising from special events will be resolved at the discretion of the Index Committee. III. Index Construction Methodology Without volatility control, the Index holdings will be 100% USMV. Volatility Control A daily volatility control overlay is applied to USMV in order to mitigate risk. The overlay procedure determines the percentage of the Index that will be invested in short-term US Treasuries each day, which is represented by SHY. The remainder of the Index holdings will be in USMV. The volatility control overlay uses: (1) Two risk models called V1 and V. V1 measures risk using an exponentially-weighted, moving average model with a 10-day half-life on trailing excess total log-returns of USMV and SHY. V uses a 30-day half-life risk model. V measures risk using an exponentially weighted, moving average model with a 30-day half-life on trailing excess total log-returns of USMV and SHY. () A correlation model that is comprised of a 50/50 blend of: An exponentially weighted, moving average model with a 3-year half-life on trailing excess total log-returns of USMV and SHY. An empirical, expanding window correlation on trailing excess total log-returns of USMV and SHY beginning June, The returns for SHY for the period June, 1997 July 3, 00 are proxy returns from Barclays US Treasury 1-3 Year Index Total Returns and not the underlying index returns of SHY or SHY price returns. The proxy returns are solely used to estimate the correlation of the assets and are not used to calculate back-tested returns. Updated May 18, 017 3
4 The trailing excess returns used in the risk and correlation models are Winsorized at +/- 300%. There is also a floor of 0.01% on the volatility of SHY. If both V1 and V indicate that the risk of USMV is at or below the volatility ceiling, then the index will hold 100% USMV. If either V1 or V indicates that the risk of USMV is above the volatility ceiling, then the weights in the Index constituents are determined by solving the following system of equations twice; once using the risks of USMV and SHY from V1 and a second time using the risks of USMV and SHY from V: where: ww UU σσ UU + ww SS σσ SS + ww UU ww SS σσ UUUU = σσ (1) ww SS = 1 ww UU () ww UU, ww SS 0 aaaaaa ww CC = 0 Variable ww UU ww SS ww CC σσ UU σσ SS σσ UUUU σσ Description Weight of USMV Weight of SHY Weight of Cash Variance of USMV Variance of SHY Covariance of USMV and SHY The Index variance ceiling The system of equations above is the mathematical formulation relating the Index volatility ceiling to the two risky assets, i.e. σσ UU > 0 and σσ SS > 0, whose weights sum to 100%. No leverage is applied. Through the substitution of equation into equation 1 and rearranging the terms, the solution for the system of equations is given by: ww UU = (σσ UUUU σσ SS )± (σσ UUUU σσ SS ) 4(σσ UU +σσ SS σσ UUUU )(σσ SS σσ ) 1/ (σσ UU +σσ SS σσ UUUU ) (3) 1 The equation above results in two feasible solutions for ww UU, ww UU and ww UU. The maximum of the two solutions is retained as the weight of USMV, ww UU = max (ww 1 UU,, ww UU ). The weight of SHY is ww SS = 1 ww uu. With the two sets of Index holdings calculated from independently using V1 and V, the final Index holdings is the set of weights that has the higher holding in SHY. In the event that there is no solution to the system of equations, i.e. (σσ UUUU σσ SS ) 4(σσ UU +σσ SS σσ UUUU )(σσ SS σσ ) < 0 from equation 3, the index will utilize cash instead of SHY. Cash is assumed to have zero risk and correlation to USMV. As a result, the index constituent weights are given by the following equations: Updated May 18, 017 4
5 ww CC = 1 min [1, (σσ σσ UU ) 1/ ] ww UU = 1 ww CC aaaaaa ww SS = 0 Once cash is used instead of SHY, it is used for the subsequent 3-month period. After this 3-month period, test to see if SHY can be brought back into the portfolio. The test is if there was a solution to equations (1) and () on every day in the previous 3-month period. If this criterion is satisfied, SHY is brought back into the portfolio and cash is set to zero. However, if there was no solution on any day in the 3-month period, cash will continue to be utilized and the weight in SHY is 0. We will perform this test every day until SHY is again used in the portfolio. IV. Index Data and Calculation The Index is calculated based on the excess return of the constituent portfolio versus cash (3-month LIBOR). Excess return is defined as the total return minus risk-free rate (3-month Libor at daily rate). For Excess Return Index calculation: where: RR ee (tt) = [RR UU (tt) ww UU (tt ) + RR SS (tt) ww SS (tt ) + RR CC (tt) ww CC (tt )] RR CC (tt) (4) Variable RR ee (tt) RR UU (tt) RR SS (tt) RR CC (tt) Description Index excess return from close of day t-1 to close of day t Price-based total return of USMV from close of day t-1 to close of day t Price-based total return of SHY from close of day t-1 to close of day t Return on 3-month Libor from t-1 to t ww UU (tt ) Weight of USMV, computed after the close on t- ww SS (tt ) Weight of SHY, computed after the close on t- ww CC (tt ) Weight of Cash, computed after the close on t- tt Time the Index is calculated The next-day holdings, ww UU and ww SS, will also be updated and published after the market close of each day. Note that the index return calculation assumes these new weights are invested at the close on the following day; hence, the (tt ) time index in equation 4. The Index level for a given business day will be computed and published after market close using the following formula: IIIIIIIIII (tt) = 1 + RR ee (tt) IIIIIIIIII (tt 1) Updated May 18, 017 5
6 V. Index Governance The Index Committee is responsible for governance and oversight of the Index. The Index Committee meets regularly and reviews at each meeting topics that may affect Index constituents, including significant or other market events. Further, the Index Committee may revise its policies covering the rules governing this Index methodology. BlackRock Index Committee discussions are confidential, but any changes to the Index methodology will be announced in advance of the change taking place. Updated May 18, 017 6
7 Disclosures This information should not be relied upon as investment advice, research, or a recommendation by BlackRock regarding (i) the underlying funds, (ii) the use or suitability of the BlackRock ibld Endura VC5.5 Index or (iii) any security in particular. This material is strictly for illustrative and educational purposes and should not be construed as a recommendation to purchase or sell, or an offer to sell or a solicitation of an offer to buy any product or security. There is no guarantee that any strategies utilizing the index will be effective. Multi-asset indices and diversification do not promise any level of performance or guarantee against loss of principal. The index was incepted on June 15, 016. The index, allocations and data are subject to change. Data shown is for informational purposes only, does not represent an actual account, and is not the result of any actual trading. Actual investment outcomes may vary. The BlackRock ibld Endura VC5.5 Index is maintained by BlackRock Index Services, LLC (the "Index Provider"), a subsidiary of BlackRock, Inc. that designs, sponsors and publishes indices for use in portfolio benchmarking and portfolio management. While the Index Provider publishes descriptions of what the BlackRock ibld Endura VC5.5 Index is designed to achieve, the Index Provider does not provide any warranty or accept any liability in relation to quality, accuracy or completeness of data in respect of the BlackRock ibld Endura VC5.5 Index, and does not guarantee that the BlackRock ibld Endura VC5.5 Index will not deviate from its stated methodology. The Index Provider does not provide any warranty or guarantee for Index Provider errors. 017 BlackRock, Inc. All rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, BUILD ON BLACKROCK, ALADDIN, ishares, ibonds, FACTORSELECT, ithinking, ishares CONNECT, FUND FRENZY, LIFEPATH, SO WHAT DO I DO WITH MY MONEY, INVESTING FOR A NEW WORLD, BUILT FOR THESE TIMES, the ishares Core Graphic, CoRI and the CoRI logo are registered and unregistered trademarks of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other marks are the property of their respective owners. Updated May 18, 017 7
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