CalTRUST 101 Webinar Versioncaltrust.biz/.../2020/...Presentation-from-7.22.20.pdf · 7/22/2020 · fixed income, cash, currency and futures •24-hour global coverage across seven

July 22, 2020

History & Overview

• CalTRUST was created in 2005 by the Treasurers of two counties and one special district who were seeking an alternative pooled investment option for California public agencies.

• CalTRUST is a public agency; having been formed as a Joint Powers Authority (JPA) and is governed by a Board of Trustees comprised of California public agency investment experts.

• CalTRUST is only open to California public agencies so our investment policy mirrors California investment code.

• CalTRUST is endorsed by California local government organizations including the California Special Districts Association, CSAC Finance Corporation, and League of California Cities.

• CalTRUST assets are exclusively managed by BlackRock.

Historical Highlights2005

•CalTRUST Joint Powers Agreement adopted. •CalTRUST Short-Term and Medium-Term Funds are launched with a combined $42 million in assets and 4 shareholders.

2008•February - CalTRUST assets reach $750 million.

2009•April – Prime Money Market Fund Option Added.

2010•June – CalTRUST assets reach $1 billion.

2013•March - CalTRUST assets reach $1.5 billion.

2014•April - CalTRUST assets reach $2 billion.

2015•October - Government Fund Option Added

2017•July/August - After extensive RFP Process, BlackRock implemented as new Investment Manager, Gemini Fund Services implemented as new Fund Accountant/Transfer Agent, and U.S. Bank implemented as new Custodian.

2018•July - CalTRUST Liquidity Fund (stable NAV) launched.

2019•April - Environmentally sensitive Money Market Fund (LEAF) replaces current Prime Money Market Fund option.•June - CalTRUST hires Chief Executive Officer as first full-time dedicated CalTRUST employee.

Board of Trustees

• John ColvilleTreasurer, City of Sacramento – President

• Don KentCounty Finance Officer, Riverside County – Secretary

• Mary ZeebTreasurer/Tax Collector, Monterey County – Treasurer

• Chuck LomeliTreasurer/Tax Collector, Solano County

• Dan McAllisterTreasurer/Tax Collector, San Diego County

• Matt McCueDirector of Administrative Services, Mission Springs Water District

• Bobbie OrmondeDeputy GM– Finance & Administration, Westlands Water District

Key Features

• Five fund options;

• No minimum or maximum investment amount;

• No minimum or maximum transaction allowances;

• No transaction, wire, or account maintenance fees;

• Fully transparent;

• Updated holdings available daily;

• Ability to have unlimited subaccounts;

• Access to BlackRock investment expertise;

• 24/7 online shareholder portal with online trading and customized access levels for individuals;

• Agencies do not have to join the JPA to participate in CalTRUST; and

• Currently, over 150 California public agencies invest with CalTRUST.

CalTRUST in the Era of COVID

• Seamless transition to remote work environment;

• No operations events; • Timely market information via

webinars and email blasts; • Individual agency strategy

discussions;• Online access; and• Flexible account update

processes.

Participants & Assets (as of 7/16/20)

Over $2.2 Billion in Assets

City$708,898,783

31%

County$594,357,056

26%

Special District$584,315,110

26%

JPAs & Other$382,560,164

17%

Fund Options

Liquidity FundLiquidity: Same-DayCut-Off Time: 12:00pm PSTS&P Rating: AAAmStable NAV

Short-Term FundLiquidity: Same-DayCut-Off Time: 9:30am PSTS&P Rating: AAfFloating NAV

Medium-Term FundLiquidity: Two-DaysCut-Off Time: 9:30am PSTS&P Rating: AA-fFloating NAV

BlackRock FedFundGovernment Money Market FundLiquidity: Same-DayCut-Off Time: 1:00pm PSTS&P Rating: AAAmStable NAV

BlackRock Liquid Environmentally Aware FundEnvironmentally Sensitive Prime Money Market FundLiquidity: Same-DayCut-Off Time: 11:00am PSTS&P Rating: AAAmFloating NAV

Fund Utilization – A Basic Approach

• The Basic Approach manages all expected cash outflows through existing cash balances, represented by the gray shaded area.

• The light and dark blue cash balances are not anticipated to be used in the near-term and can be invested further out on the maturity range (the yield curve) to augment yield.

$0

$5

$10

$15

$20

$25

$30

$0

$5

$10

$15

$20

$25

$30

7-Jan 7-Feb 7-Mar 7-Apr 7-May 7-Jun 7-Jul 7-Aug 7-Sep 7-Oct 7-Nov 7-Dec

Investment Assets:CalTRUST Medium-Term2-5 Year Horizon

Basic Approach

Working Capital:CalTRUST Short-Term1-2 Year Horizon

Operating Cash: CalTRUST Liquidity and/or Short-Term; LEAF; or Govt MMF

Cash Balance Forecast

I. BlackRock Firm Overview

Independent asset manager focused only on clients

• Established in 1988 and public since 1999 (NYSE: BLK)

• Independent Board of Directors

• No proprietary trading

• Group dedicated to corporate governance

Deep understanding of regulatory requirements

• Manage portfolios for clients subject to varied and complex regulatory regimes

• Operate on behalf of investors under more than 80 regulatory authorities worldwide

• Significant experience managing portfolios for official institutions and governments

BlackRock Solutions® foundation for managing risk

• Deliberate, diversified and scaled risk enables us to invest with conviction in pursuit of alpha

• Internally developed risk tools and analysis offered directly to clients as a service

• Reinforces transparency and our responsibility to clients

Firm culture and structure reinforce our client-centric approach

ICBH0319U-784686-1/6

Timeline includes history from predecessor entities

1970s • Pioneered index and quantitative investing

1980s• Created the First Term Trust (closed-end fund)

• Initiated fixed income and international indexing

1990s• Created the industry’s first target date fund

• Introduced exchange-traded funds under World Equity Benchmark Shares (WEBS) brand (now iShares® ETFs)

2000s

• Launched BlackRock Solutions® for risk management and advisory services

• Enhanced capabilities by strengthening equities, and adding alternatives, real estate, passive, and scientific investments

• Launched Financial Markets Advisory business

2010s

• Engaged by US and European governments for critical risk assessments and banking sector stabilization strategies

• Launched BlackRock Investment Institute

• Introduced Global Capital Markets desk

• Launched first target maturity fixed income ETF

• Created an index to track sovereign credit risk (BlackRock Sovereign Risk Index)

History of innovation and evolution to better serve investors

FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL 2

Positioned to address client needs

Breadth of capabilities enables outcome-based solutions tailored to individual client objectives

AUM As of 30 June 2020* The alternatives AUM may include committed capital, in addition to invested capital, which remains subject to drawdown

• Capabilities across investment styles: index, active fundamental, scientific and absolute return

• Global, regional and sector-specific investing

• Specialized capabilities across real estate, private equity, direct hedge funds, fund of hedge funds, infrastructure and renewable power

• Solutions-oriented approach extends to alternatives portfolio construction

• Manage strategies across benchmark types and styles: index, fundamental, model-based and absolute return

• Specialized experts covering all market sectors

• Recognized as a ‘go to’ leader in credit and liquidity

• Flexible product range across multiple currencies

• Outcome focused: target-date, balanced risk factor, and liability-driven investing

• Asset-class agnostic perspective facilitates unbiased market views, advice, and portfolio solutions

$7.31 trillion in assets under management Scalable services and infrastructure

• Centralized platform analyzes risk across asset classes

• Leverage for risk management, investment decision support and performance analytics

• Partner with clients to help save costs and reduce risks when changing investment exposures

• Executed over 2,000 individual transitions with assets totaling $2.4 trillion over the past five years

• Advise public and private financial institutions on complex capital markets and balance sheet exposures

• Managed or advised on over $8 trillion in asset and derivative portfolios

• More than 72,000 trades per day across equity, fixed income, cash, currency and futures

• 24-hour global coverage across seven trading desks

• Focus on research, technology and coordination with portfolio management functions that seek to deliver above market returns

• Covers securities in over 30 markets globally

Equity$3.51 trillion

Fixed Income$2.41 trillion

Alternatives* $200 billion

Multi-asset$551 billion

Cash$619 billion

Risk Management

Advisory

Transition Management

Securities Lending

Trading

ICBH0319U-784686-1/6FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL 3

II. BlackRock Business Continuity Plan Update

Dedicated team leveraging the full scope of BlackRock’s resources

5

1 Source: BlackRock. Unless otherwise noted, all data is as of 31 March 2020 (Years at BlackRock, Years in Industry).

Global Head of Portfolio Management

Richard Mejzak, CFA (29, 29)

Global Head of Credit and Investment Research

Thomas Kolimago, CFA (31, 31)

Credit Research

Mark Schnell, CFA (22, 29)Mike Eberhardt (2, 20)Betsy Colucci (4, 19)Jack Erbeck (32, 33)

Risk Management

Dr. Selig Sechzer (15, 42)Michael Martini, CFA, FRM

(5, 27)

Product Strategy

Ronald Hill (17, 21)Ken Jacob (20, 25)

Nicholas Dodd (7, 15)

Offshore Cash: 7 Portfolio Managers

Matt Clay (11, 24)Head of Cash Portfolio Management

Olivier Guipet (4, 23)Head of Cash Short Duration

Paul Hauff (27, 31) Lead GBP Portfolio ManagerGregor Harwell, CFA (9, 16)Lead EUR Portfolio Manager

Geeta Sharma (1, 21)Lead USD Portfolio Manager

U.S. Dollar: 16 Portfolio Managers

Eric Hiatt, CFA, FRM (7, 23)Lead USD Prime, Collective

Trust Funds Portfolio ManagerJoseph Markowski (26, 26)

Lead Government Funds Portfolio Manager

Frank Gianatasio, CFA (10, 23)Lead Separate Account Portfolio Manager

Bradford Glessner, CFA (6, 18)Lead Separate Account Portfolio Manager

Municipal: 8 Portfolio Managers

Kristi Manidis (16, 16)Lead Municipal Funds Portfolio Manager

James Pruskowski (24, 24)Lead Separate Account Portfolio Manager

Global Sector Specialist TeamsResponsible for sector oversight, research and analysis

Rates & FX Securitized Assets Credit Emerging MarketsMunicipals

Average investment experience of portfolio management team is 17 years1

L&LM0520U-1186215-4/16FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

Product Strategy

Ludwig Marek (7/20)

Marta Threlfall, CFA (7/8)

Peter Chabot (4/27)

+3 investment professionals

The US Short Duration Investment Team leverages the full power of BlackRock’s Global Fixed Income platform*Deep resources and specialised market insights enable unbiased focus on investment opportunities

¹ Source: BlackRock as of 31 March 2020. * Years at BlackRock / Year in Industry as of December 2019.

6

Lead Portfolio Management TeamRisk Management

Michael Huang (20/20)

Michael Martini, CFA (5/27)

Helen Zhang (4/6)

Team leverages the breadth and scale of the BlackRock fixed income platform

ESG / Impact Investing PlatformTrading & LiquidityGlobal Capital MarketsBlackRock Investment

Institute

Rate StrategyCMBSMunicipals Non-Agency MBS

European Credit

Global Macro

US HY Credit Emerging MarketAsian CreditUS IG Corp Credit

ABS

Agency MBS

CLO

Short Duration Investment Team oversees $67 billion in assets¹

Sector specialists drive bottom-up security selection

BlackRock’s resources benefiting investment teams

Thomas Musmanno, CFAManaging Director (29/29)

Scott MacLellan, CFADirector (18/21)

Credit Core PM

Adam Carlin, CFA (10/10)

+2 investment professionals

Multi-Sector Core PM

David Chesney (29/29)

Amanda Liu, CFA (9/13)+1 investment professional

Securitized Core PM

Jon Denfeld, CFA (3/27)

Will Hutchings (7/7)+3 investment professionals

FIH0620E-1208751-16/50FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

BlackRock manages $66.6 billion in actively managed U.S. short duration portfolios

• Separate Accounts: – Dedicated separate accounts with customizable guidelines

ranging from enhanced cash to total return oriented short duration.

• Comingled Offering and Registered Strategies: – BlackRock Low Duration domestic and off-shore Strategies.– Short Maturity Bond ETF was launched in September 2013

as an actively managed ETF. • Seeks to maximize income through diversified exposure to

short-term bonds while maintaining an average duration of less than one year.

– Collective Investment Trust (CIT) offers exposure to a Short Duration strategy designed for capital preservation and liquidity.

Business OverviewBlackRock Short Duration

Source: BlackRock. All data as of 31 March 2020. *Customized benchmarks include blended indices created by BlackRock on behalf of clients to target a specific duration/yield profile . The products and strategies described may not be suitable for all investors. Strategies include bank collective trust funds maintained and managed by BlackRock Institutional Trust Company. which are available only to certain qualified employee benefit plans and governmental plans and not offered or available to the general public. There are structural and regulatory differences between collective funds, mutual funds, and separate accountsthat may affect their respective fees and performance.

7

March 2020

Diverse set of clients Variety of market-based and custom benchmarks*

Short Duration

Assets under Management ($mln)

40%

12%9%

8%

8%

6%

4%

4%3% 3%2% 2%

Taxable: Corporate

Mutual Fund

Insurance

Tax-Exempt: Pension

ETF

Union/Industry

CEF

Government Agency

Official Institutions

5%5%

1%

42%28%

1%1%

4%

9%2% 2%

TbillNo BenchmarkLiborGov/CredCustom1-5 Tsy1-5 Cred1-3 Tsy1-3 Cred1-2 Cred1 Tsy

-

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

Short Duration AUM (lhs)

Short Duration AUM (lhs)

FIH0720U-1245323-17/48FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

The Three

Pillars of Short

Duration

Investment

Strategies

Enhanced Income (AUM $19bn)

Short Duration (AUM $38bn)

Short Duration PLUS (AUM $10bn)

• Focused on capital preservation and liquidity

• Guideline constraints on specific sectors and credit quality for new purchases which can be fairly restrictive in nature

• Limited to no use of derivatives

• Focused on capital preservation and liquidity

• Guideline constraints on specific sectors and credit quality limitations for new purchases

• If derivatives are used, they are for hedging purposes only (interest rate futures only)

• Focused on seeking to generate yield and total return

• Guideline constraints are not prohibitive in nature and provide flexibility with respect to allowable security types and ability to purchase below investment grade securities

• Uses derivatives for hedging purposes as well as for relative value trades (futures, options and swaps)

Benchmarks: T-bills, 1 Year Treasury, custom blends

Typical duration band: +/-20% of Index

Credit quality: Average AA- or better, purchases must be investment grade

Benchmarks: 1-3 year and 1-5 year Treasury or Govt/Corp

Typical duration band: +/-20% or +/- 1 year of Index

Credit quality: Average A- or better, purchases must be investment grade

Benchmarks: 1-3 year and 1-5 year Treasury or Govt/Corp

Typical duration band: 0 – 3 years

Credit quality: Average A- or better, 10-20% high yield allocation permissible

Increasing credit exposure, duration, and potential return…

Capital at risk. The value of investments and the income from them can fall as well as rise and are not guaranteed. Investors may not get back the amount originally invested. Source: BlackRock. Data as of 31 March 2020. All figures in USD. Subject to change based/ depending on individual client guidelines. The credit quality of a particular security or group of securities does not ensure the stability or safety of an overall portfolio. The Quality ratings of individual issues/issuers are provided to indicate the credit worthiness of such issues/issuer and generally range from AAA, Aaa, or AAA (highest) to D, C, or D (lowest) for S&P, Moody’s, and Fitch respectively. In addition the information above includes customised separately managed accounts. It serves as a general summary, is not exhaustive and should not be construed as investment advice.

8FIH0620E-1208751-15/50FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

Consistent

Team

Deep portfolio

management

capabilities and

consistent team

over the years

Diversification

Flexibility to

invest in global

opportunities on

the short end of

the yield curve

Niche Markets

Ability to harness

opportunities in

niche markets

Breadth and Depth

Dedicated

portfolio team

that leverages

scale and

resources of

BlackRock

Potential for

Efficient Alpha

and

Performance

Approach blends

dynamic asset

allocation with

bottom-up

portfolio

construction

Risk Management

Partner with risk

management to

analyse risks and

improve

investment

process

Diversification and asset allocation may not fully protect you from market risk. There is no guarantee that a positive investment outcome will be achieved.Risk management cannot fully eliminate the risk of investment loss. * Source: BlackRock as of 31 March 2020.

Our Competitive advantages

With its flexible investment approach, the US Short Duration team can seek attractive current market opportunities at the short end of the curve across the fixed income spectrum


Our Fixed Income philosophy is based on four foundational pillars

Manager SkillAutonomous portfolio teams own the investment decisions in the portfolios they manage

Resource Breadth550+ FI professionals across seven global investment centres tap into shared resources seeking to create alpha

Information EdgeBlackRock’s scale provides market access and enables efficient execution withdirect access to capital markets and a first call when investment opportunities arise

Risk ManagementSystematic risk budgeting process helps ensure portfolio risks are deliberate, diversified and appropriately scaledThere is no guarantee that a positive investment outcome will be achieved.

Risk management cannot fully eliminate the risk of investment loss.For illustrative purposes only subject to change. Source: BlackRock as of 31 March 2020.


11

Which Fund & When?

Let’s Talk.

ü CalTRUST Liquidity Fund

ü CalTRUST Short Term Bond Fund

ü CalTRUST Medium Term Bond Fund

ü BlackRock FedFundü BlackRock LEAF

FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

III. CalTRUST Fund Positioning

CalTRUST Liquidity Fund

CalTRUST Liquidity Fundportfolio composition

Portfolio Benchmark* Difference

Effective Duration (yrs.) 0.15 0.23 -0.08

Spread Duration (yrs.) 0.12 N/A 0.12

Convexity 0.00 0.00 0.00

Gross Yield (%) 0.21 0.15 0.06

Avg Credit Qual (Mdy/S&P) Aa2/AA Aaa/AA -

Daily Liquidity 49.71% N/A N/A

Weekly Liquidity 53.65% N/A N/A

Floating Rate Bonds (%) 17.1% - -

Source: BlackRock

AAA1%

AA3%

A1%

A-1+55%

A140%

AAA

AA

A

A-1+

A1

June 2020

0%5%

1%

19%13%

59%

3%0%

31%

5%0%

22% 24%

17%

1%0%

10%

20%

30%

40%

50%

60%

70%

Agencies T-Bills IG:Financial

IG:Industrial

CDs CP Repo MMF

3/31/2020 6/30/2020

*Benchmark: ICE BofA ML 3 Month Treasury Bill Index

0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%

6/28

/201

87/

25/2

018

8/21

/201

89/

17/2

018

10/1

4/20

1811

/10/

2018

12/0

7/20

1801

/03/

2019

01/3

0/20

1902

/26/

2019

03/2

5/20

1904

/21/

2019

05/1

8/20

1906

/14/

2019

07/1

1/20

1908

/07/

2019

09/0

3/20

1909

/30/

2019

10/2

7/20

1911

/23/

2019

12/2

1/20

191/

17/2

020

02/1

3/20

2003

/14/

2020

04/1

0/20

2005

/07/

2020

06/0

3/20

2006

/30/

2020

Yield

FOR USE WITH CALTRUST ONLY – PROPRIETARY AND CONFIDENTIAL 14

Credit quality (% NAV) Sector allocation changes (%NAV)

Daily net yields (inception-to-date)Portfolio duration vs. benchmark (years)

CalTRUST Liquidity Fund Performance | June 30, 2020

15

1 Month 6 Month 1 YearBlackRock Liquidity:FedFund Inst 0.01% 0.36% 1.29%BlackRock Liquidity:Environmentally Aware Fund 0.02% 0.62% 1.64%CalTRUST Liquidity Fund 0.02% 0.42% 1.46%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

1.80%

Net

Ret

urn

Source: caltrust.org


CalTRUST Short and Medium Term Fund Positioning

CalTRUST Short Term Bond FundPortfolio Composition

Portfolio Benchmark Difference


Spread Duration 0.55 0.15 0.40

Convexity -0.14 0.01 -0.15

Yield (%) 0.42 0.31 0.11

Avg Credit Quality (Mdy/S&P)

Aa2/AA- Aa1/AA -

Floating Rate Bonds (%) 24 - -

12%

43%

7%

38%Govt

AAA

AA

A

June 2020

Source: BlackRockBenchmark: BBG Barclays Short Term Gov/Corp Index



Portfolio characteristics

26%

2%

20%23%

6%

1%

19%

3%

26%

8%

18%21%

7%

0%

17%

3%

0%

5%

10%

15%

20%

25%

30%

TSY SSA ABS Financials Industrials Utilities CD/CP Cash

3/31/2020 6/30/2020

CalTRUST Short Term Bond FundPortfolio Composition

0.20

0.30

0.40

0.50

0.60

0.70

Jul-1

7

Aug-

17

Sep-

17

Oct

-17

Nov

-17

Dec-

17

Jan-

18

Feb-

18

Mar

-18

Apr-

18

May

-18

Jun-

18

Jul-1

8

Aug-

18

Sep-

18

Oct

-18

Nov

-18

Dec-

18

Jan-

19

Feb-

19

Mar

-19

Apr-

19

May

-19

Jun-

19

Jul-1

9

Aug-

19

Sep-

19

Oct

-19

Nov

-19

Dec-

19

Jan-

20

Feb-

20

Mar

-20

Apr-

20

May

-20

Jun-

20

Short Term Bond Fund BBG Barc Short-term Gov/Corp Index

0.35

0.45

0.55

0.65

0.75

0.85

Jul-1

7

Aug-

17

Sep-

17

Oct

-17

Nov

-17

Dec-

17

Jan-

18

Feb-

18

Mar

-18

Apr-

18

May

-18

Jun-

18

Jul-1

8

Aug-

18

Sep-

18

Oct

-18

Nov

-18

Dec-

18

Jan-

19

Feb-

19

Mar

-19

Apr-

19

May

-19

Jun-

19

Jul-1

9

Aug-

19

Sep-

19

Oct

-19

Nov

-19

Dec-

19

Jan-

20

Feb-

20

Mar

-20

Apr-

20

May

-20

Jun-

20

Short Term Bond Fund

June 2020

For use with CalTRUST Only- Proprietary and Confidential 18

Portfolio duration vs. benchmark (years)

Portfolio spread duration (years)


CalTRUST Short Term Bond FundPositioning June 2020

Source: BlackRockBenchmark: BBG Barclays Short Term Gov/Corp Index


Active portfolio yield curve positioning (years)

Effective duration and WAL breakdown (% NAV) Spread duration change (% NAV)

-0.07

-0.16

0.07 0.07

-0.20

-0.15

-0.10

-0.05

0.00

0.05

0.10

3M 1Yr 2Yr 3Yr 5Yr+

73%

17%9%

1%

90%

8%2% 0%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<1 1-2 2-3 3-5

WAL %NAV Duration %NAV

1%

22%

52%

12%

2%

11%9%

23%

45%

15%

0%

8%

0%

10%

20%

30%

40%

50%

60%

SSA ABS Financials Industrials Utilities CD/CP

3/31/2020 6/30/2020

CalTRUST Short Term Bond FundPortfolio Attribution

*Miscellaneous – Includes Trade PnL and un-allocated attribution. Trade PnL reflects the natural bid/offer spreads that exist in the secondary market and doesn't reflect active trading returns.

June 2020

Source: BlackRock Attribution calculated on gross returns and may not match the returns provided by Gemini due to methodology differences

For use with CalTRUST Only- Proprietary and Confidential 20FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

YTD 2020 Performance Attribution (bps)

Duration/Curve 9

Miscellaneous * 7

Sector Allocation Security Selection Total

Treasury 1 0 1

SSA 0 0 0

IG Corporates 24 -21 3

ABS 7 0 7

Cash (CD/CP) 1 2 3

Subtotal 33 -19 14

Total Active Gross Return 30

CalTRUST Medium Term Bond FundPortfolio Composition

Portfolio Benchmark Difference


Spread Duration 0.97 0.49 0.48

Convexity -0.17 0.03 -0.20

Yield (%) 0.45 0.28 0.17

Avg Credit Qual (Mdy/S&P)

Aa1/AA Aa1/AA -

Floating Rate Bonds (%) 6 - -

June 2020

Source: BlackRockBenchmark: ICE BofAML Gov/Corp 1-3 Yr Ex. BBB (B110)



Portfolio characteristics

48%

16%

10%

26% Govt

AAA

AA

A

50%

1%

15%

4%

22%

4% 4%

40%

1…11%

3%

19%

10%4%

0%

10%

20%

30%

40%

50%

60%

TSY SSA ABS TaxableMunis

Financials Industrials Cash

3/31/2020 6/30/2020

CalTRUST Medium Term Bond FundPortfolio Composition June 2020

For use with CalTRUST Only- Proprietary and Confidential 22

Portfolio duration vs. benchmark (years)

Portfolio spread duration (years)

1.4

1.5

1.6

1.7

1.8

1.9

2.0

2.1

Jul-1

7

Aug-

17

Sep-

17

Oct

-17

Nov

-17

Dec-

17

Jan-

18

Feb-

18

Mar

-18

Apr-

18

May

-18

Jun-

18

Jul-1

8

Aug-

18

Sep-

18

Oct

-18

Nov

-18

Dec-

18

Jan-

19

Feb-

19

Mar

-19

Apr-

19

May

-19

Jun-

19

Jul-1

9

Aug-

19

Sep-

19

Oct

-19

Nov

-19

Dec-

19

Jan-

20

Feb-

20

Mar

-20

Apr-

20

May

-20

Jun-

20

Medium Term Bond Fund Merrill Lynch Gov/Corp 1-3 Yr Ex. BBB

0.40.60.80.91.11.31.51.61.8

Jul-1

7

Aug-

17

Sep-

17

Oct

-17

Nov

-17

Dec-

17

Jan-

18

Feb-

18

Mar

-18

Apr-

18

May

-18

Jun-

18

Jul-1

8

Aug-

18

Sep-

18

Oct

-18

Nov

-18

Dec-

18

Jan-

19

Feb-

19

Mar

-19

Apr-

19

May

-19

Jun-

19

Jul-1

9

Aug-

19

Sep-

19

Oct

-19

Nov

-19

Dec-

19

Jan-

20

Feb-

20

Mar

-20

Apr-

20

May

-20

Jun-

20

Medium Term Bond Fund


CalTRUST Medium Term Bond FundPositioning June 2020

Source: BlackRockBenchmark: ICE BofAML Gov/Corp 1-3 Yr Ex. BBB (B110)


Active portfolio yield curve positioning (years)

Effective duration and WAL breakdown (% NAV) Spread duration change (% NAV)

0.04

-0.13

0.00

-0.21

0.10

-0.25

-0.20

-0.15

-0.10

-0.05

0.00

0.05

0.10

0.15

3M 1Yr 2Yr 3Yr 5Yr +

12%

47%

32%

10%

22%

54%

19%

5%

0%

10%

20%

30%

40%

50%

60%

<1 1-2 2-3 3-5

WAL %NAV Duration %NAV

1%

27%

46%

16%

8%2%

14% 16%

36%

27%

5%2%

0%5%

10%15%20%25%30%35%40%45%50%

SSA ABS Financials Industrials Taxable Muni CD/CP

3/31/2020 6/30/2020

CalTRUST Medium Term Bond FundPortfolio Attribution

*Miscellaneous – Includes Trade PnL and un-allocated attribution. Trade PnL reflects the natural bid/offer spreads that exist in the secondary market and doesn't reflect active trading returns.

June 2020

Source: BlackRock Attribution calculated on gross returns and may not match the returns provided by Gemini due to methodology differences


YTD 2020 Performance Attribution (bps)

Duration/Curve -4

Miscellaneous * -2

Sector Allocation Security Selection Total

Treasury 2 0 2

SSA 4 -1 3

IG Corporates 17 -3 14

ABS 2 0 2

Municipals -2 -2 -4

Cash (CDs/CPs) 1 0 1

Subtotal 24 -6 18

Total Active Gross Return 12

CalTRUST Short & Medium Term Bond Fund Performance Summary

June 2020


1 Month 6 Month 1 Year 2 Year 3 Year(Annualized)

5 Year(Annualized)

10 Year(Annualized)

CalTRUST Short Term Fund 0.19% 1.35% 2.56% 2.66% 2.21% 1.62% 1.04%CalTRUST Medium Term Fund 0.21% 2.96% 4.16% 4.13% 2.80% 2.04% 1.48%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

Net

Ret

urn

IV. BlackRock Liquid Environmentally Aware Fund (LEAF®)

27FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

And as a cash management fiduciary, you require:• 2a-7 compliance• Competitive yields• Low fees

As a corporate citizen, you want to make a difference:• Environmental• Social• Governance

Some investment decisions are mutually exclusive…

Introducing the BlackRock Liquid Environmentally Aware Fund (LEAF®), an ESG*

focused 2a-7** money market fund which seeks to offer stability, liquidity and yield* ESG = Environmental, Social, Governance** Rule 2a-7 under the Investment Company Act of 1940 , as amended (“Rule 2a-7”)

ValuesPurpose

ValueProfits

or

or

What if you didn’t have to choose?

L&LH0220U-1097483-2/8

Cash investors are particularly sensitive to performance

Investors have a wide range of expectations and definitions for ESG

Liquidity mandates have a limited investable universe

Regulation requires cash funds to maintain high levels of liquidity

Investors value the ability to make ESG targets specific and measurable

No benchmarks exist for ESG in cash markets

We believe ESG challenges exist in cash management

28

… but we also believe this fad will quickly turn into a fundamental.

L&LH0220U-1097483-3/8FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

LEAF seeks to offer the stability, liquidity and yield of a 2a-7 money market fund

Key Fund Criteria

• U.S. Dollar-Denominated

• Floating Net Asset Value, calculated to four decimal places

• Investments include instruments such as:− Government securities− U.S. and foreign banks− Commercial obligations− Repurchase agreements− Mortgage and asset-backed

securities

• Adheres to Rule 2a-7 requirements including:− Diversity− Liquidity− Maturity

LEAF is subject to risks, including the risk that LEAF’s environmental criteria exclude securities of certain issuerscausing LEAF to forego some market opportunities available to other money market funds.LEAF is also subject to credit risk, interest rate risk, and market risk among other risks.

29L&LH0220U-1097483-4/8FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

LEAF: Designed with the environment in mind

Focus on “E” pillar• In money market space, it is our view that “Environment” is a more actionable pillar than “Social” or “Governance”

Screens for certain energy producers• LEAF will not invest in securities that derive more than 5% of their revenue from fossil fuels mining, exploration or refinement

• LEAF will not invest in securities that derive more than 5% of their revenue from thermal coal or nuclear energy based power generation

Carbon credits• 5% of BlackRock’s net revenue from the fund’s management fee will be used to purchase and then retire carbon credits, creating a tangible impact for clients

Partnership with World Wildlife Fund • BlackRock is pleased to make an annual contribution to help further the conservation efforts of World Wildlife Fund, a leading environmental non-profit organization with recognized expertise and experience in environmental protection.

30

WWF® and ©1986 Panda Symbol are owned by WWF. All rights reserved. LEAF® and its underlying investments are not endorsed by WWF. WWF bears no responsibility for, or role in, managing or administering the Fund or choosing any investments thereunder.


Eligible issuers are selected from top environmental performers

LEAF Eligible Issuers

The investment objective of the BlackRock Liquid Environmentally Aware Fund (LEAF), a series of BlackRock FundsSM, is to seek as high a level of current income as is consistent with liquidity and stability of principal while giving consideration to select environmental criteria.

BlackRock Credit Determination

Rigorous fundamental credit

analysis as a condition for inclusion on

BlackRock’s First Tier Approved

Issuer List

Environmental Leadership Screen

Carefully selected screens will

separate Environmental

“leaders” from the “laggards”

Aaa/AAA Fund Rating

S&P and Moody’s fund rating criteria

in place as a provision to

maintain targeted AAA/Aaa Money

Fund rating

FOR USE WITH WORLD WILDLIFE FUND ONLY – NOT TO BE REPRODUCED OR DISTRIBTED 31

Source: BlackRock. Investment process is shown for illustrative purposes only and subject to change. LEAF is subject to risks, including the risk that LEAF’s environmental criteria exclude securities of certain issuers causing LEAF to forego some market opportunities available to other money market funds. LEAF is also subject to credit risk, interest rate risk, and market risk among other risks.


An innovative new product, working for today… and tomorrow.

Is LEAF right for you?• Does your firm have an ESG

agenda in place?

• Is your firm committed to implementing a sustainable investment strategy?

• Do you seek the benefits of total return in a money market fund?

• Which share class and method of access might be best for you? Direct, Institutional and Investor A each offer unique benefits

32L&LH0220U-1097483-7/8FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

Q & A


V. Market Update

What happened in Q2?

Jobless claims spiked in April in response to the sudden and deep COVID-19 shock

35

Monetary and fiscal policies globally helped to mitigate the pandemic shock

The curve steepened and twisted on heavy T-bill and long-end Treasury issuance

Majority of spreads retraced 80-100% of its COVID-19 related widening

Flows into IG funds turned positive in Q2 as the Fed launched the SMCFF program

IG Credit downgrade activity abated towards the end of Q2

%

Source: BlackRock Investment Institute, CDC. Data as of June 30, 2020. Source: Bloomberg. Data as of June 30, 2020.

Source: Credit Suisse. Data as of June 13, 2020. Source: JP Morgan Indexes. Data as of June 30, 2020

%

$ (bn)bn

Source: Credit Suisse, EPFR.. Data as of June 30, 2020.

Source: BlackRock Investment Institute. Data as of June 30, 2020.

0

50

100

150

200

250

300

350

400

Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20

3-yr AAA Credit Card 3-yr AAA Prime Auto 10- yr AAA CMBS 3-yr IG Credit5-yr IG Credit

bps

0.04

0.54

1.04

1.54

2.04

1mo

2mo

3mo

6mo

1 yr 2 yr 3 yr 5 yr 7 yr 10yr

20yr

30yr

US Treasury Curve

12/31/2019 3/31/2020 6/30/2020


US EconomyEconomic data is painting a recovery but the economy remains fragile

The participation and unemployment rates continue to improve, but still have a long way to go to catch up to February level

Impressive jobs gains of 2.7mln in May and 4.8mln in June, suggest that the labor market in the US is on a solid pace of recovery. However, the level of employment still remains 15mln below where it was in February.

⁻ Non-Farm Payrolls: The US economy gained 4.8mln jobs in June (vs 2.9mln estimated¹), reflecting the largest monthly gain in US history. March and April were revised upward by 90k. The leisure and hospitality gained nearly 2.1mln jobs in June, retail gained back 740k jobs, followed by 568k of new jobs in education and health services.

⁻ Unemployment Rate: The unemployment rate declined by 2.2% to 11.1% in June. The employment-to-population ratio rose by 1.8% to 54.6%. The compositional weighting toward lower-paying jobs pushed down average hourly earnings by 1.2% to 5.4%.

⁻ Manufacturing & Consumption: The ISM Manufacturing index rose above expectations¹ of 49.7 to 52.6 in June, driven by increased production. Similarly, retail sales increased 17.7% in May, vs. the estimated¹ 8.4%. All 13 major categories increased in May, which could be attributed to online shopping during the pandemic.

Q2 2020

With the increase of 2.7mln and 4.8mln jobs in May and June, 3-month average of job losses now stands at -4.4mln

Source: Bureau of Labor Statistics. Data as of July 2, 2020.

000s, sa

Source: JPMorgan. Data as of June 29, 2020.

36

Source: Bureau of Labor Statistics. Data as of July 2, 2020.

US manufacturing is back into expansionary territory (above 50), as the production jumped in May and June

1Market Estimates obtained from Bloomberg. See appendix for information on economic data sources.

-21000

-16000

-11000

-6000

-1000

Jun-

08De

c-08

Jun-

09De

c-09

Jun-

10De

c-10

Jun-

11De

c-11

Jun-

12De

c-12

Jun-

13De

c-13

Jun-

14De

c-14

Jun-

15De

c-15

Jun-

16De

c-16

Jun-

17De

c-17

Jun-

18De

c-18

Jun-

19De

c-19

Jun-

20

Monthly Non-Farm Payroll 3-mon Average


Case counts in key economic states increased, whereas in New York, while initially high, has decreased in new daily cases

Q2 2020

After early indications of improvement, the number of new daily cases in the US are now rising again

COVID-19 Status and Economy ReopeningAs case counts spike, key state economies add restrictions

• Case Count Summary– As of June 30th, there have been 2,577,473 positive cases and

119,761 deaths recorded in the United States (US). • Key Reopenings:

In the US’s fourth most populous state, New York, as the number of new daily cases have decreased the State has slowly reopened.

Most recently, New York City entered into phase 3 of reopening, including the opening of businesses that were previously deemed to be high risk.

• Added restrictions: Elsewhere, in the US’s three most populous states (California,

Texas, Florida), cases continue to spike at alarming rates. In California, the US’s largest economy by GDP, the State has

mandated the closure of all bars, and the indoor operation of restaurants, wineries, movie theaters, zoos, & museums in 26 out of 58 counties, representing nearly 80% of California’s population. Imperial County, at 0.5% of California’s population, has reinstated their stay at home order.

In Florida, local counties have added restrictions at their discretion including Miami-Dade, the most populous county, shutting down dine-in operations at restaurants. Bars are no longer allowed to serve alcohol in the State to dissuade gatherings. However, state-wide, reopenings continue with many theme parks such as Disneyworld planning to reopen in July.

In Texas, which has received criticism for its hands-off approach to containment, the governor mandated masks in counties with more than 20 cases, and restricted gatherings of more than 10 people in these counties. Texas has largely given authority to counties and regions to implement restrictions as they see fit.

• Employment Leisure and hospitality saw strong jobs gains as this industry

began to reopen. The General Motors worker’s union is calling on the auto plant in Arlington, Texas to be shut down, adding another level of complexity to the industrial and manufacturing sector.

Source: BlackRock.. Data as of June 30, 2020.

37

0

5000

10000

15000

20000

25000

30000

35000

40000

45000

50000

1-Apr-20 1-May-20 1-Jun-20

# N

ew D

aily

Pos

itive

Cas

es

Source: BlackRock.. Data as of June 30, 2020.

0

2000

4000

6000

8000

10000

12000

14000

3/4/2020 4/4/2020 5/4/2020 6/4/2020 7/4/2020# O

f New

Dai

ly P

ositi

ve C

ases

California Florida New York Texas


Federal Open Market Committee (FOMC)FOMC minutes shed light into new tools to keep rates low for a while

The updated Median “Dots” indicate that FOMC participants plan to keep rates low until the end of 2022

While the Federal Reserve (Fed) appears satisfied with its current guidance and asset purchases, the Committee sees the outlook as highly uncertain and is considering new tools as early as September.- FOMC Meeting Minutes: June FOMC minutes revealed that the

Committee discussed forward guidance, yield curve control and asset purchases with more details to come “in coming months.” Most participants, though, think that more explicit forward guidance will be needed soon.

- Summary of Economic Projections: All FOMC participants thought it would be appropriate to maintain the target range for the Federal Funds Rate at 0-0.25% and all but two of 17 assumed rates will stay at zero through the end of 2022. The longer-run rate remained unchanged, with the median at 2.5%. The Committee also sees both GDP growth and the unemployment rate bouncing back in 2021.

- Inflation Expectations: While the Fed doesn’t expect inflation returning close to target until 2022, it plans to repair inflation expectations “to achieve the 2% target over the longer run”.

A detailed list of Fed’s facilities can be found on slide 12

Q2 2020

With Core PCE at 1.02%, the Fed is focusing on average inflation targeting to reach its 2% objective over the longer run

The unemployment rate and GDP projections for 2020 were revised downward but show improvement in 2021

See Appendix for information on economic data sources. ¹ Forecasts are based on estimates and assumptions. There is no guarantee that they will be achieved.

38

Source: Federal Reserve. Data as of June 10, 2020.


Source: JPMorgan. Data as of June 26, 2020.

1.6%1.9%

2.1%2.5%

0.1% 0.1% 0.1%

2.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

2020 2021 2022 Long-run

Old Median (Dec. 2019) New Median (Jun. 2020)


Source: Bloomberg. Data as of May 29, 2020. Past performance is not indicative of future results.

US Rates / Agencies / Sovereigns, Supranationals and AgenciesTreasury curve bear steepened on elevated supply in the back-end

Source: BNP Paribas, US Treasury. Data as of May 29, 2020.

Q2 2020

Even with the Fed tapering the size of its Treasury purchases from $75bn per day in mid-March to $4.5bn per day at the end of May, liquidity and depth of the Treasury market has remained robust- High Treasury Issuance: The Treasury Department’s $20bn

auction of a 20-yr Treasury bond, the first time since 1985, as well $42bn of 3-yr, $32bn of 10-yr, and $22bn of 30-yr were generally well-received by the market. This came on top of large T-bill issuance, particularly for the 6-mon T-bills, which sold off by 7 bps to 0.18%, while 2-yr rates closed the month 4 bps richer at 0.16%. This led to a minor twist at the front-end.

- Curve Bear Steepened: The US Treasury curve steepened for the month due to market speculation of the Fed potentially considering negative rates, record Treasury auctions skewed toward the long-end as well as on anticipated additional fiscal spending. While 2-yr rates traded in the range of 0.14-0.19%, 30-yr rates sold off by 13 bps to 1.41% on the month. As a result, 2s30s curve steepened by 18 bps to 124 bps, the highest since August 2017.

Curve steepening is attributed to the increased Treasury issuance for the tenors that are 5 years and higher

Source: Bloomberg. Data as of June 1, 2020.

Cha

nge

in Y

ield

(%)

See appendix for information on economic data sources. Past performance is not a guarantee of future results.

-2.00-1.80-1.60-1.40-1.20-1.00-0.80-0.60-0.40-0.200.000.20

2 Year 5 Year 10 Year 30 Year

US Treasuries

May YTD 12-Month

39

5-yr rates moderately richened by 6 bps while 30-yr rates sold off by 13 bps on the month

The US Treasury curve mildly twisted in the front-end and steepened on the increased issuance in T-bills and longer bonds

%


Source: Bloomberg. Data as of June 30, 2020. Past performance is not indicative of future results.

US Rates / Agencies / Sovereigns, Supranationals and AgenciesRates remained unchanged as markets grappled with recovery concerns

Q2 2020

US rates remained unchanged throughout the month as the market reconciled improved economic data, heavy Treasury issuance, and the Fed’s affirmation to do “whatever is needed” with the surge of new coronavirus cases in the US.- Curve Steepened: In the beginning of the month, 10-yr rates sold off

by 25 bps to 0.9% on the positive May employment report, retail sales and general risk-on sentiment. With 2-yr rates remaining in the range of 0.16-0.22%, the 2s10s curve steepened by 19 bps to 68 bps, the highest level since March 2020.

- Rates Rally: However, this dynamic was quickly reversed in the second half of the month, as the reports of the surging coronavirus cases in the South of the US prompted 10-yr rates rally back to the level it started the month at 0.65%,

- Treasury Issuance: The US Treasury auctioned $44bn of 3-yr, $47bn of 5-yr, $41bn of 7-yr, $29bn of 10-yr, $17bn of 20-yr and $19bn of 30-yr Treasuries, that were well absorbed by the market. With the Fed buying $4bn of Treasuries per day (down from $75bn per day since the QE began) and US Treasury increasing supply in the second half of 2020, particularly in the long-end, rates are expected to back up.

The US Treasury is increasing supply in the second half of 2020, which should put upward pressure on US rates

Source: Bloomberg. Data as of June 30, 2020.

Cha

nge

in Y

ield

(%)

See appendix for information on economic data sources. Past performance is not a guarantee of future results.

-2.00-1.80-1.60-1.40-1.20-1.00-0.80-0.60-0.40-0.200.000.20

2 Year 5 Year 10 Year 30 Year

US Treasuries

June YTD 12-Month

40

US rates remained unchanged on the month across the curve, as the risk-off sentiment was offset by heavy coupon issuance

With better-than-expected economic data, 10-yr rates sold off, but this correlation was broken with new coronavirus concerns

-800bn

-600bn

-400bn

-200bn

0bn

200bn

400bn

600bn

Jan FebMar

AprMay Jun Jul

Aug Sep Oct NovDec

Monthly supply of Treasury coupon securities

Coupon auction sizeCoupon net issuanceCoupon net issuance net of Fed

Source: Morgan Stanley, US Treasury, Federal Reserve. Data as of June 15, 2020.

0.20.40.60.811.21.41.61.82

-30-20-10

0102030405060

Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20

%Points

GS US Surprise Index 10-yr Treasury yield


3-yr and 5-yr IG credit spreads retraced around 65% and 58% of the COVID-19 related widening since March 23rd

Q2 2020

Source: Barclays Research. Data as of 29 May 2020. *Duration adjusted excess returns provided by Barclays. Past performance is not a guarantee of future results. Index performance is for illustrative purposes only. It is not possible to invest directly in an index. �Issuance data is provided by BlackRock. 1IG Credit Spreads are quoted based on the respective 3yr and 5yr JP Morgan US Liquid Indices. Forecasts are based on estimates and assumptions. There is no guarantee that they will be achieved.

After robust IG supply in March, April and May, it is expected to normalize in the summer

BBG Barclays US Corporate Indices – Excess Return by Sector*

Corporate CreditSpreads rapidly tightened with the Fed’s backstop now formally in place• Return Summary*:

– The Bloomberg Barclays US 1-3 year Corporate Index posted an excess return of 101 bps in May, bringing the YTD excess return over duration-adjusted Treasuries to -103 bps.*

• Issuance�: April recorded another busy month of IG supply with $253bn,

below the April record of $290bn, as corporations rushed to raise cash and replenish their revolving credit which they tapped during the sell-off in March. YTD issuance now stands at $987bn, more than double of last year’s issuance.

• Market Color¹: In May the Fed officially launched the Secondary Market

Corporate Credit Facility (SMCCF) and started to buy credit ETFs, which spurred strong retail flows. This action combined with news on the vaccine development helped 3-year and 5-year spreads to tighten by 46 and 39 bps to 135 and 168 bps, respectively.

The Fed didn’t start purchasing secondary bonds yet and still has not posted the issuer certification forms for this to happen. Source: Credit Suisse. Data as of May 29, 2020.

Source: Bloomberg., JP Morgan US Liquid Indexes. Data as of May 29, 2020.

41

bn

Excess Returns (bps)*

US Corp 1-3 YR

US Corp 3-5 YR

US Corp 10+ Yr

US Corp IG Agg

May-20 MTD YTD MTD YTD MTD YTD MTD YTD

Corporate 101 -103 170 -261 211 -1375 181 -714

Financial 100 -69 147 -260 136 -1332 137 -529

Industrial 104 -132 193 -244 274 -1256 226 -728

Utility 67 -13 90 -81 -43 -938 13 -6350

50100150200250300350400

May-19

Jun-19

Jul-19

Aug-19

Sep-19

Oct-19

Nov-19

Dec-19

Jan-20

Feb-20

Mar-20

Apr-20

bps

3-yr IG Credit Spreads 5-yr IG Credit Spreads


Credit curves re-steepened, with 5s10s re-steepening the most, as the Fed has been buying bonds with up to 5-yr in maturities

Q2 2020

Source: Barclays Research. Data as of 30 June 2020. *Duration adjusted excess returns provided by Barclays. Past performance is not a guarantee of future results. Index performance is for illustrative purposes only. It is not possible to invest directly in an index. �Issuance data is provided by BlackRock. 1IG Credit Spreads are quoted based on the respective 3yr and 5yr JP Morgan US Liquid Indices..

Since the Fed officially launched its SMCCF program in early May, it bought around 70% of IG ETFs of its total program

BBG Barclays US Corporate Indices – Excess Return by Sector*

Corporate CreditSpreads tightened in June with the credit facilities officially in place• Return Summary*:

– The Bloomberg Barclays US 1-3 year Corporate Index posted an excess return of 65 bps in June, bringing the YTD excess return over duration-adjusted Treasuries to -38 bps.*

• Issuance�: June recorded $185bn of new IG Credit issuance, above

expectations for $120bn. YTD issuance now stands at $1.2tn, outpacing the full 2019 issuance in just six months of this year.

• Market Color¹: Market sentiment continued to improve, especially as the Fed

expanded its Secondary Market Corporate Credit Facility (SMCCF) to include purchases of corporate bonds on an index-like basis without requiring issuer certification and launched its Primary Market Corporate Credit Facility. Both measures combined with generally positive economic data helped 3-year and 5-year spreads to tighten by 34 bps to 100 and 134 bps, respectively.

After credit curves inverted in March, they have sharply re-steepened as the Fed is buying up to 5-yr bonds and as a result suppressing front-end volatility. 3s5s and 5s10s curves moved out of inversion by 29 and 69 bps to 34 and 36 bps.

A detailed list of Fed’s facilities can be found on slide 12


Source: Bloomberg., JP Morgan US Liquid Indexes. Data as of June 30, 2020.

42

Excess Returns (bps)*

US Corp 1-3 YR

US Corp 3-5 YR

US Corp 10+ Yr

US Corp IG Agg

June-20 MTD YTD MTD YTD MTD YTD MTD YTD

Corporate 65 -38 132 -129 249 -1126 181 -533

Financial 82 13 171 -260 378 -954 137 -392

Industrial 54 -78 106 -244 226 -1030 226 -502

Utility 37 24 88 -81 209 -729 13 -622

%

1.78

1.31

1.04

0.61

0.41 0.40 0.40 0.25 0.24

0.15 0.06 0.05 0.04 0.03 0.02 0.02

-

0.20 0.40

0.60 0.80

1.00

1.20 1.40

1.60

1.80 2.00

LQD

VCSH VCIT IGSB JNKSPI

BIGIB

HYG SPSB

USIG HYLB USHY

SLQD

ANGLSH

YG SJNK

Bill

ions

($)

Fed ETF Purchases


• Return summary*: The Bloomberg Barclays MBS 15 Yrs index posted -9 bps in June,

bringing the YTD excess return over duration-adjusted Treasuries to -43 bps.*

• Market Color: In June, Agency MBS lagged other high quality spread sectors

despite the Fed’s repurchases of $801bn since QE began in March. The Fed announced that it will continue its MBS purchases “at least at the current pace,” which translates to a pace of around $40bn per month. With average primary mortgage rates settling around the historic low of 3%, supply (origination selling) reached a new peak over the month, pointing to continued robust demand for refinance and purchase loans.

As such, mortgage basis performance over the month was quite divergent. Low coupon mortgages that are well supported by the Fed’s repurchases tightened 10-20 ticks, while the higher coupon MBS, which are also susceptible to both rising prepayments and an abundance of worst-to-deliver collateral, widened by 15-20 ticks on the month.

The Mortgage Bankers Association (MBA) released the results of its latest forbearance survey, which showed that forbearance rates remain relatively elevated at 8.36% as of June 14th.

As COVID-19 related forbearance built up over time, Ginniemortgages have been disproportionally impacted given its focus on first-time buyers and homeowners with weaker credit. Concerns over growing delinquency pipelines and potential large-scale buyouts led to general weakness in Ginnies relative to conventional MBS, particularly in higher coupons.

Agency Mortgage-Backed Securities (MBS)MBS performance is lagging other spread sectors due to elevated supply

Q2 2020

Daily origination increased to $6.7bn as mortgage rates hit a new historical low of 3% in June

Forbearance rates remain elevated, especially for Ginnies, which hold mortgages of homeowners with weaker credit

Past performance is not indicative of future returns. Index performance is for illustrative purposes only. It is not possible to invest directly in an index. Source: BlackRock. *Duration adjusted excess returns provided by Barclays. See appendix for information on economic data sources.

43

Source: Bloomberg, BlackRock. Data as of June 30, 2020.

Source: Morgan Stanley. Data as of June 14, 2020.

$0$1$2$3$4$5$6$7$8$9

$10

Dai

ly o

rigi

nati

on $

bln

April May June


Commercial-Backed Securities (CMBS)*The Bloomberg Barclays CMBS 1-3.5 Year index posted 7 bps in April, bringing the YTD excess return over duration-adjusted Treasuries to -269 bps.– April saw approximately $0.27bn of private label issuance, only in

the Conduit space. Agency CMBS issuance totaled $34.3bn YTD, above the tally of $29.1bn LYTD.

– CMBS spreads moved tighter on the month across the curve driven by general improved market sentiment as well as the Fed’s announcement of the inclusions of AAA-rated Legacy Conduit CMBS as part of the TALF 2.0 program.

– The AAA-rated 10-yr conduit (pooled) CMBS was 30 bps tighter to Swap +160 bps. However, there is currently a predominant concern in the CMBS market, around the deals that have concentrations in hotel and retail properties, with spreads in those deals remaining wide.

Asset-Backed Securities (ABS)*The Bloomberg Barclays ABS Floating Rate 1-3 Year Index posted 81 bps in April, bringing the YTD excess return over duration-adjusted Treasuries to -131 bps.– The market priced $8.7bn of new issuance across 10 transactions in

April, up 21% (MoM) and down 65% from April 2019. YTD issuance is now at $56bn, which is 28% behind last year’s pace with expectations of muted new issue supply in early May as we observe eligible issuers for the Fed’s Term Asset-Backed Securities Loan Facility (TALF 2.0) are waiting until further details become available.

– High-quality front-end ABS spreads tightened by 40-60 bps on the month as selling in those assets eased in April. However, consumer fundamentals remain challenged, prompting issuers to utilize tools to help borrowers with higher forbearance rates in student loan deals, higher extensions by auto lenders and lower reported monthly payment rates by floorplan issuers.

– With the Fed’s announcement of the inclusion of AAA-rated CLOs as the eligible collateral for TALF 2.0, AAA-rated CLOs tightened by 50 bps to Swap +200 bps.

Asset-Backed Securities (ABS) / Commercial Mortgage-Backed Securities (CMBS)Spreads tightened ahead of TALF 2.0 as fundamentals started to weaken

Q2 2020

While initially lagging Corporates, ABS spreads tightened in April despite deteriorating consumer fundamentals

Source: JPMorgan. Data as of April 30, 2020. **Pre-COVID Date: 2/15/2020 *** Spread 2020 Wides in March for ABS and CLOs were reached on 3/24/2020.All indices are respective Bloomberg Barclays Indices.

Hotel and retail properties, which constitute 42% of the total CMBS space, remain under pressure due to the pandemic

Source: BofA Global Research. Data as of April 28, 2020. *Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index. Past performance is not indicative of future returns. See appendix for on economic data sources. ABS and CMBS issuance data is calculated internally from the BlackRock trading desk. Note that strategies employed may vary depending on individual client guidelines.

44

Current Pre-COVID** 2020 Wides*** Retracement(a) (b) (c) =(c-a) / (c-b)

ABSPrime Auto AAA 95 21 400 80%Bank Card AAA 60 17 300 85%

Subprime Auto AAA 175 28 800 81%Private Student Loan AAA 225 75 700 76%

Large-Ticket Equipment AAA 160 40 600 79%Insurance Premium AAA 190 70 1000 87%

CLOsAAA 200 120 500 79%

Bps


Commercial-Backed Securities (CMBS)*The Bloomberg Barclays CMBS 1-3.5 Year index posted 74 bps in June, bringing the YTD excess return over duration-adjusted Treasuries to -191 bps.– June saw approximately $3.36bn of private label issuance, with

2.15bn of that in the Conduit space. Agency CMBS issuance totaled $45.2bn YTD, 4% above the tally of $43.6bn LYTD.

– CMBS spreads continued to move tighter on the month across the curve on the back of the positive economic data, extremely light supply and investors’ search for yield. The AAA-rated 10-yr conduit (pooled) CMBS was 26 bps tighter to Swap +120 bps.

– In regards to fundamentals, recent remittance data is leading to increased watchlist, delinquency buckets, and potentially rating agency downgrades. Single Asset Single Borrower (SASB) assets delinquencies have spiked since the onset of the COVID-19-induced crisis. The delinquency rate currently stands at 9.2%, still above the 8.6% seen in the conduit space. Retail and hotel loans remain the most challenged, as cash flows are stressed.

Asset-Backed Securities (ABS)*The Bloomberg Barclays ABS Floating Rate 1-3 Year Index posted 75 bps in June, bringing the YTD excess return over duration-adjusted Treasuries to 26 bps.– The market priced $17.8bn of new issuance across 25 transactions

in June, up 192% (MoM) and down 10.5% (YoY). Auto ABS issuance represented ~68% of total supply in June. YTD issuance is now at $80bn, which is 33% behind last year’s pace in June.

– Due to muted new issue supply and the official launch of the TALF 2.0 program, new issue deals saw heightened subscription levels, which drove spreads tighter. High-quality front-end ABS spreads tightened by 0-10 bps, reaching its pre-COVID levels.

– Consumer fundamentals remain challenged, with remittance reports released in June showing forbearance, delinquencies and defaults roughly flat on the month. Performance in credit cards showed slight deterioration, with charge-offs increasing by 21 bps YTD to ~2.5%.

– AAA-rated CLOs, which are also part of the eligible collateral for TALF 2.0, were roughly unchanged with spreads at Swap +175 bps.

Asset-Backed Securities (ABS) / Commercial Mortgage-Backed Securities (CMBS)Spreads tightened to pre-COVID levels on muted supply and TALF 2.0

Q2 2020

AAA ABS spreads are back to pre-COVID19 levels, with CLOs, student loans and sub=prime autos still marginally lagging

Source: JPMorgan. Data as of June 30, 2020. All indices are respective Bloomberg Barclays Indices.

Hotel and retail had the largest increase in the share of loans that are 30+ days delinquent in June

Source: Intex, BofA Global Research, Data as of June 23, 2020..*Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index. Past performance is not indicative of future returns. See appendix for on economic data sources. ABS and CMBS issuance data is calculated internally from the BlackRock trading desk. 1Market Estimates obtained from BlackRock. Forecasts are based on estimates and assumptions. There is no guarantee that they will be achieved.

45

bps


Excess returns versus TreasuriesShort Duration Sectors

* Unannualized** Represented by Barclays US Floating Rate Corporates Index *** Barclays US High Yield 1-5 Yr Cash Pay 2% Index

Source: Barclays Capital as of 30 June 2020. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index. Past performance is not indicative of future returns. Boxes highlighted in yellow represent the current period.

Q2 2020

46

Duration-adjusted excess returns by sector (in basis points)

BBG Barclays Index 2015 2016 2017 2018 Q3 2019*

Q4 2019* 2019 Jan

2020*Feb

2020*Mar

2020*Q1

2020*Apr

2020*May

2020*June

2020*Q2

2020*

Barclays Agg -53 138 121 -101 5 83 199 -34 -52 -314 -400 127 60 56 246

Agency 1-3 Yrs -6 12 31 12 15 2 32 4 -1 -58 -55 22 15 7 44

MBS 15 Yrs 16 10 37 -49 -21 55 47 -27 -28 -50 -105 68 2 -9 62

ABS Float. Rate 1-3 Yrs 21 118 96 25 9 18 77 16 3 -231 -212 81 80 75 238

CMBS 1-3.5 Yrs -4 115 81 29 10 0 77 20 -3 -293 -276 7 4 74 85

Credit 1-3 Yrs 24 112 113 -1 29 26 140 2 -18 -313 -329 164 82 53 302

Credit 1-5 Yrs 13 148 162 -44 35 47 232 2 -33 -450 -381 224 114 81 425

US Float. Rate Credit** 41 172 164 -33 29 41 220 25 -7 -396 -378 206 83 78 372

US High Yield 1-5 Yrs*** -598 1498 557 -162 -12 145 617 -52 -205 -1304 -1561 310 362 128 823


Positioning – Relative Value Map* Q2 2020

CMBS} We maintain our allocation to single asset single borrower (SASBs), and are optimistic on AAA

conduits as we believe there is still room for retracement. Especially with the official launch of TALF2.0 program in June, spreads have slowly gotten tighter in this space.

*BlackRock views are expressed are as of June 30, 2020 and are subject to change at any time due to changes in market or economic conditions. Note that strategies employed may vary depending on individual client guidelines. Relative value score is assigned by the Short Duration Portfolio Team based on the mathematical calculation based on duration and spread duration risk budgets for each respective sector. Past performance is not a guarantee of future results. Forecasts are based on estimates and assumptions there is no guarantee that they will be achieved. Positioning references are for informational purposes only and not meant to be a recommendation to buy or sell any security.

Corporate Credit} Within IG Credit, we favor those sub-sectors that we consider to be more insulated from COVID-19

concerns. We started adding to European IG Credit, as the ECB expanded its PandemicEmergency Purchase Program (PEPP). We are selectively rotating out of IG into High Yield ETFs as arelative value trade.

ABS} While we continue to maintain allocation to front end AAA-rated ABS; high quality ABS spreads largely

tightened back to pre-COVID level. Where applicable, we rotated out of ABS Credit Cards due to itsrecent strong performance and lower excess spread**. We also reduced our allocation to prime autos.

US Rates / Macro} We are positioned with a modestly short duration bias, maintaining a 2s5s steepener and added a

5s30s steepener on the view that issuance in the long-end should push rates higher.

Agency MBS} We prefer 30-yr 2.5% To-Be Announced (TBAs) since the Fed is buying lower coupon mortgages

making them attractive. We have also tactically added new 5-yr FNMA and 3-yr FHLMC debt, asthey seem attractive to comparable high quality sovereigns and credit.

Gov’t Guaranteed / Supranationals} We are long Canadian provincials on the belief that quantitative easing in Canada should support

this sector. We are also adding callable agencies as we are witnessing a decline in volatility, andprefer covered bonds to unsecured bonds. Similarly, we are long Canadian pension related issuers.

Relative Value Score based on Spread Duration Contribution

Min Max

Min Max

16 +80 bps-60 bps

Min Max

+40 bps-20 bps

Min Max

+40 bps-15 bps

Min Max

+30 bps-30 bps

Global Rates / FX} We are long AUDNZD and added a long NOKSEK position. NOK became correlated with risk-on

sentiment, whereas the Riksbank is considering negative rates.

Min Max

17 +60 bps-20 bps

+40 bps-40 bps

-4

19

20

10

= Current Month = 12-Month Average= 3-Month Average

-11-29

47

20

Active Duration

27

24

17

-10

22

9

8

19


48

Fed Program Short Name Purpose Eligibility

Money Market Mutual Fund Liquidity Facility MMLF

Provides liquidity to money market funds. Enables funding to eligible financial institutions who have purchased high-quality

assets from money market funds (U.S. Prime and Municipal money market funds). The Fed will make loans available to eligible financial

institutions secured by high-quality assets purchased by the financial institution from money market funds. Reimagining of 2008

program.

U.S. Treasuries & Fully Guaranteed Agencies, securities issued by U.S. Government Sponsored Entities, asset-backed commercial paper (U.S. issued, A-1/P-1), unsecured commercial paper (U.S.

issued, A-1/P-1, both fixed and floating rate), certificates of deposit (domestic and Yankee), and highly rated short-term municipal debt

(including variable rate demand notes).

Commercial Paper Funding Facility CPFF

Provides backstop short-term funding for high-quality corporate issuers. CPFF is a credit facility to an special purpose vehicle (SPV)

created by the Fed to purchase 90-day term commercial paper. Revival of 2008 Fed program.

Three-month U.S. dollar-denominated commercial paper (including ABCP) rated at least A-1/P-1/F-1. Limited to the greatest amount of CP outstanding per issuer on any day from 3/16/19 to 3/16/20. The

SPV will make one-time purchase of A-2/P-2/F-2 CP per eligible issuer.

Primary Market Corporate Credit Facility PMCCF

Supports corporate credit markets via backstop funding for investment grade debt of eligible U.S. companies. The Fed will loan

funds to an SPV to purchase qualifying bonds directly from eligible issuers and provide loans to eligible issuers.

Corporate Bonds (issued by U.S. companies rated at least BBB-/Baa3) and maturing within four years, as well as high yield ETFs.

Eligible issuers are U.S. companies headquartered in the U.S. with material operations in the U.S.

Secondary Market Corporate Credit Facility SMCCF

Supports corporate credit markets by providing liquidity for outstanding short and intermediate corporate bonds. The Fed will loan funds to an SPV that will purchase eligible corporate debt in the

secondary market.

Corporate Bonds (issued by highly rated companies of at least BBB-/Baa3) maturing within five years as well as corporate bond

portfolios in the form of exchange traded funds (ETFs).

Primary Dealer Credit Facility PDCF

Offers overnight and term funding with maturities up to 90 days at the primary credit rate against a broad range of collateral. Purpose is to enable primary dealers to support smooth market

functioning and channel credit to the economy. Revival of a 2008 Fed program.

Only primary dealers of the New York Fed are eligible. Eligible collateral includes: all collateral eligible for pledge in open market operations (OMO); plus commercial paper, investment grade debt,

municipal bonds, certain mortgage-backed securities, certain asset-backed securities and equities.

Term Asset-Backed Securities Loan Facility TALF 2.0

Supports flow of credit to consumers and businesses. TALF is intended to serve as a funding backstop to facilitate the issuance of

eligible asset-backed securities. Revival of a 2008 Fed program.

Highly rated asset-backed securities, backed by credit card loans, student loans, auto loans, loans guaranteed by the Small Business

Administration (SBA), as well as AAA-rated CLOs and AAA-rated Legacy CMBS

Permanent Open Market Operations POMO Increases money supply and lowers rates via an open market operation where the Fed purchases securities from eligible banks.

MBS and Treasury purchases of different tenors, in the amounts needed to support smooth market functioning and effective transmission of

monetary policy to broader financial conditions.

Temporary Open Market Operations TOMOAn open market operation where the Fed increases the reserve balances

of banks by conducting a series of overnight and term repurchase agreements in exchange for eligible collateral.

Overnight and multiple weekly term repurchase agreements executed large sizes over a specific time period. Eligible collateral includes:

Treasury, U.S. Agency debt and Agency mortgage-backed securities.

Coordinated Central Bank Action to Further Enhance the Provision of US Dollar Liquidity

USD Swap Lines

Ensures US dollar funding is available to foreign central banks for the benefit of their banks in times of market stress.

Swap lines established with various central banks, and terms of standing swap lines with Bank of Canada, Bank of England, Bank of Japan,

European Central Bank, and Swiss National Bank enhanced (daily 7-day operations and continued weekly 84-day operations).

Addendum

Source: Federal Reserve as of March 31, 2020. For illustrative purposes only.

Federal Reserve Programs


49

Q & A


VI. Investment Team Biographies

Biographies of key investment professionals

Edward C. Ingold, CFA, Director and portfolio manager, is a member of the Cash Management team, within BlackRock's Portfolio Management Group. His primary responsibility is managing US Liquidity Portfolios, including retail and institutional money market funds.

Mr. Ingold assumed his current responsibilities in 2006. Previously, his responsibilities included managing short-term US fixed income portfolios for corporate, financial, and insurance clients. Prior to joining the Cash Management Group, he was a member of BlackRock's Trade Operations Group. Before joining BlackRock in 2001, he was with Alliance Capital Management as an account manager. Mr. Ingold is a member of the New York Society of Security Analysts, the CFA Institute and the CFA Society of Philadelphia.

Mr. Ingold earned a BS degree in business administration from Rowan University in 1994.

Eric D. Hiatt, CFA, FRM, Managing Director, is a Portfolio Manager within BlackRock's Cash Management Group. As a member of the Trading & Liquidity Strategy (TLS) team , he contributes to the development and implementation of investment strategy serving as lead portfolio manager for the U.S. Prime funds, Cash Collective Trust Funds and securities lending cash collateral.Prior to joining BlackRock in 2012, Mr. Hiatt was a Senior Portfolio Manager at Dwight Asset Management Company where he was responsible for generating and directing tactical trading for the money market and ultra-short duration desk. Prior to joining Dwight in 2009, Mr. Hiatt was a Senior Portfolio Manager at Lehman Brothers Asset Management where he spent six years on the Global Cash Management team. Previously, he spent five years as a trader and assistant portfolio manager for Opus Investment Management. Mr. Hiatt began his career as an analyst in the Treasury group for Eastern Enterprises, a utilityholding company.Mr. Hiatt earned a BS in finance from Bentley University and an MBA from Boston College's Carroll School of Management. He is a member of the CFA Institute and the Global Association of Risk Professionals.

Rich Mejzak, CFA, Managing Director, is head of Global Portfolio Management for the Cash Management Group and is the head of BlackRock's Philadelphia office. He is primarily responsible for liquidity and short duration portfolios, including securities lending collateral, mutual funds, separate accounts and ETFs.

Mr. Mejzak's service with the firm dates back to 1990, including his years with Merrill Lynch Investment Managers (MLIM), which merged with BlackRock in 2006.

Mr. Mejzak is a member of the CFA Institute and the CFA Society of Philadelphia. He earned a BS degree in accounting from Villanova University and serves on the Villanova School of Business Finance Department Advisory Council.

For use with CalTRUST Only- Proprietary and Confidential51FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

Thomas Musmanno, CFA, Managing Director, is Head of Short Duration within the Multi-Sector Institutional division of Americas Fixed Income Alpha Strategies.

Mr. Musmanno's service with the firm dates back to 1991, including his years with Merrill Lynch Investment Managers (MLIM), which merged with BlackRock in 2006. At MLIM, he was a fixed income and money market portfolio manager. Mr. Musmanno joined MLIM in 1991 as an analyst and held a variety of positions, including fixed income research analyst in trust accounting in Merrill Lynch's Private Client Group.

Mr. Musmanno earned a BS degree in finance in 1991 from Siena College and an MBA degree in finance from St. John's University in 1993.

Scott MacLellan, CFA, Director, is a portfolio manager on the Short Duration Team within the Multi-Sector Institutional division of Americas Fixed Income Alpha Strategies.

Prior to assuming his current responsibilities in 2008, Mr. MacLellan was a member of the Global Client Group, focused on Japanese clients. He also served as a product specialist for short duration and LIBOR-benchmarked fixed income products. Previously, Mr. MacLellan spent four years with Nomura BlackRock Asset Management (NBAM), a former joint venture between BlackRock and Nomura Asset Management Co., Ltd, in Tokyo as an account manager. Prior to joining NBAM in 2001, Mr. MacLellan spent a year in the Global Finance and Investment Department of IBJ Leasing in Tokyo.

Mr. MacLellan earned a BS degree, with honors, in economics and international development studies from King's College in 1997.

Biographies of key investment professionals

For use with CalTRUST Only- Proprietary and Confidential52FOR USE WITH CALTRUST ONLY - PROPRIETARY AND CONFIDENTIAL

VII. Appendix

Guidelines

54

Guidelines amended for the eligibility of 144a Securities


Guidelines

55



Guidelines


Guidelines

57



Guidelines


THE INFORMATION CONTAINED HEREIN MAY BE PROPRIETARY IN NATURE AND HAS BEEN PROVIDED TO YOU ON A CONFIDENTIAL BASIS,AND MAY NOT BE REPRODUCED, COPIED OR DISTRIBUTED WITHOUT THE PRIOR CONSENT OF BLACKROCK, INC. (“BLACKROCK”). Thesematerials are not an advertisement and are not intended for public use or dissemination.

This communication is not an offer and should not be deemed to be a contractual commitment or undertaking between the intended recipient of thiscommunication and BlackRock but an indication of what services may be offered subject to a legally binding contract between the parties and therefore noreliance should be placed on this document or its content. Opinions, estimates and recommendations offered constitute our judgment and are subject tochange without notice, as are statements of financial market trends, which are based on current market conditions. We believe the information providedhere is reliable, but do not warrant its accuracy or completeness. This communication and its content represent confidential information. This material hasbeen prepared for informational purposes only, and is not intended to provide, and should not be relied on for, accounting, legal or tax advice. You shouldconsult your tax or legal adviser regarding such matters.

Forward Looking InformationThis 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 performanceinformation of other investment vehicles or composite accounts managed by BlackRock, Inc. and/or its subsidiaries (together, “BlackRock”) has beenincluded in this material and such performance information is presented by way of example only. No representation is made that the performancepresented will be achieved, or that every assumption made in achieving, calculating or presenting either the forward-looking information or the historicalperformance information herein has been considered or stated in preparing this material. Any changes to assumptions that may have been made inpreparing 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 sellany securities or to adopt any investment strategy. The opinions expressed may change as subsequent conditions vary. The information and opinionscontained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all inclusive andare not guaranteed as to accuracy. There is no guarantee that any of these views will come to pass.

Important Notes


Important Notes

IndexIt is not possible to directly invest in an unmanaged index.

RiskInvesting in the bond market is subject to certain risks including market, interest-rate, issuer, credit, and inflation risk. Equities may decline in value due toboth real and perceived general market, economic, and industry conditions. Mortgage and asset-backed securities may be sensitive to changes in interestrates, subject to early repayment risk, and while generally backed by a government, government-agency or private guarantor there is no assurance that theguarantor will meet its obligations. High-yield, lower-rated, securities involve greater risk than higher-rated securities; portfolios that invest in them may besubject to greater levels of credit and liquidity risk than portfolios that do not. Investors will, at times, incur a tax liability. Income from municipal bonds may besubject to state and local taxes and at times the alternative minimum tax. Derivatives may involve certain costs and risks such as liquidity, interest rate, market,credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amountinvested.

BlackRock makes no representations or warranties as to the accuracy or completeness of the information contained herein, and further nothing containedherein shall be relied upon as a promise by, or representation by, BlackRock whether as to past or future performance results. Past performance is notindicative or predictive of future performance.

These materials are being provided for informational purposes only and are not intended to constitute tax, legal or accounting advice. You should consult yourown advisers on such matters. Additional information is available on request. Information contained herein is believed to be reliable but BlackRock does notwarrant its accuracy or completeness. Information contained herein represents BlackRock’s own opinions. There can be no assurance that the investmentobjectives of any strategy referred to herein will be achieved. An investment in any strategy referred to herein involves a high degree of risk, including the riskthat the entire amount invested may be lost.

THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE RECIPIENT.

© 2020 BlackRock, Inc. All rights reserved. ALADDIN, BLACKROCK, BLACKROCK SOLUTIONS, and iSHARES are registered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are the property of their respective owners.


Important Notes

An investor should consider the investment objectives, risks and expenses of the Fund carefully before investing. The Fund’s prospectus and, if available summary prospectus, contain this and other information about the Fund and are available by calling our Client Service Center at 800-441-7450. Please read the prospectus carefully before investing.

This material is provided for educational purposes only and 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.

This information does not constitute investment advice or an offer or solicitation to purchase or sell in any securities or BlackRock funds, nor shall any securities be offered or sold to any person in any jurisdiction in which an offer, solicitation, purchase or sale would be unlawful under the securities laws of such jurisdiction. 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 information in this presentation is confidential and may not be reproduced for, disclosed to or otherwise provided in any format to any other person or entity (other than the Recipient's professional advisors bound by obligations of confidentiality to the Recipient) without the prior written consent of BlackRock, Inc. or its applicable advisory subsidiaries (collectively, “BlackRock”). This material has not been approved by any regulatory authority or securities regulator. This presentation is for informational purposes only and not to be relied upon as investment, legal, tax, or financial advice. The Recipient must consult with its own independent professional advisors as to the legal, tax, financial or other matters relevant to the suitability of any investment.

The environmental, social and governance (“ESG”) considerations discussed herein may affect portfolio management’s decision to invest in certain companies or industries, and the investment team may forgo certain investment opportunities. The performance results may therefore be lower than other portfolios that do not apply similar ESG considerations to their investment process.

Risk is inherent in all investing. You could lose money by investing in LEAF. Because the share price of LEAF will fluctuate, when you sell your shares, they may be worth more or less than what you originally paid for them. LEAF may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if LEAF’s liquidity falls below required minimums because of market conditions or other factors. An investment in LEAF is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. LEAF’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to LEAF at any time.

© 2020 BlackRock, Inc. All rights reserved. BLACKROCK®, is a registered trademark of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other marks are the property of their respective owners.

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