Index Methodology and Rule Book

BlackRock Investment Grade Enhanced Index BlackRock High Yield Defensive Index

PRODUCED AND MAINTAINED BY: BLACKROCK INDEX SERVICES, LLC 55 EAST 52ND STREET NEW YORK, NY 10055

EIIiH0321U/S-1542875-1/20

Table of Contents

Introduction 3 Definitions 4 Index Objective 6 Index Construction 7 Index Construction Steps 9 Data Sources 12 Index Maintenance & Publication 12 Index Rebalance Timeline 14 Index Calculations 14 Index Level Calculations 15 Governance 16 Appendix 17

BLACKROCK Index Methodology Rule Book | 2 EIIiH0321U/S-1542875-2/20

Introduction In this document, we outline the systematic, rules-based methodology for the construction of the BlackRock Investment Grade Enhanced Bond Index and the BlackRock High Yield Defensive Bond Index (the “Indices”). The investment objective of the Indices is to offer risk-adjusted returns that are expected to be superior to the Investible Universe for the respective USD denominated investment grade corporate bond and USD denominated high yield corporate bond markets. At the end of each month, the investment grade and high yield Investible Universes are constructed through filtering processes that result in two broad sets of bonds, each characterizing its respective universe. Included in each Investible Universe are all bonds eligible for consideration in the respective index. Next, through proprietary optimization processes, each index will allocate more weight to those bonds with higher expected returns while also reducing allocation to bonds with higher exposure to risk factors and transaction costs.

For additional Governance and Methodology details including usage and licensing opportunities for the BlackRock Indices, please contact [email protected].

BlackRock Smart Beta Corporate Bond Indices

BlackRock Index Services, LLC’s Smart Beta index strategies are based on factors that possess a strong conceptual foundation – risk premiums, market structure impediments, and behavioral anomalies – and are supported by empirical analysis.

In , BlackRock’s Smart Beta index strategies are driven by macro factors such as interest rate and credit exposure, as well as style factors such as value and momentum that are often associated with equity markets. These Smart Beta index strategies seek to mitigate or diversify risk, enhance risk- adjusted returns, or deliver higher income relative to traditional market capitalization-weighted exposures

Publishing Indices designed to systematically capture these results enables BlackRock to provide investors with investable, objective, and transparent alternatives to market capitalization-weighted index strategies.

The Investment Grade Enhanced and High Yield Defensive Corporate Bond Indices are designed with the aim of avoiding riskier, often overpriced securities by screening out those with relatively high probabilities of default (a proprietary measure of credit quality) from their respective broad initial universe (“Investible Universe”) of bonds. The remaining securities are then weighted so that the Indices are more heavily weighted towards bonds with attractive default-adjusted spreads (a measure of value), while controlling for other risks and limiting turnover.

The objective of the BlackRock Investment Grade Enhanced and High Yield Defensive Bond Indices is to provide enhanced risk-adjusted returns relative to the comparable capitalization-weighted Indices for the U.S. investment grade corporate and the U.S. high yield corporate bond market, respectively. The investment thesis underpinning these strategies is based on the premise that many fixed income investors reach for yield, driving up the prices of riskier bonds. Investor demand for higher yielding bonds may result in a mispricing of credit risk, whereby bonds associated with lower credit quality may be overpriced relative to similarly rated bonds associated with higher credit quality. Indices that avoid bonds issued by the riskiest issuers may produce higher risk-adjusted returns than those that include bonds from the riskiest issuers. By introducing value as a diversifying factor, the Indices may provide opportunities for higher yield and improved total return versus market capitalization weighted Indices.

BLACKROCK Index Methodology Rule Book | 3 EIIiH0321U/S-1542875-3/20

Although both Indices screen out bonds that are perceived as the riskiest by removing those with the highest probability of default, the BlackRock High Yield Defensive Bond Index places a greater emphasis on the screening process. As such, it may provide increased opportunities for downside protection during periods of widening corporate bond spreads. After the screening process, both Indices will tilt toward a measure of value. The tilt towards value offers both indexes the opportunity to capture upside in periods when corporate bond spreads are tightening. The BlackRock Investment Grade Enhanced Bond Index places more emphasis on the tilt towards value and thus has the potential to offer higher yield than a market capitalization weighted index covering the investment grade bond market. After taking into account modelled transaction costs, these Indices may provide opportunities to meet the strategy objectives of higher total and risk-adjusted returns. Furthermore, the defensive nature of the Indices may provide opportunities for lower risk, favourable upside/downside capture ratios and lower drawdowns as compared to market capitalization weighted Indices, especially in the case of the BlackRock High Yield Defensive Bond Index due to its heavier value factor weighting.

Definitions – A bond that can be redeemed or “called” by the issuer on or after a specific date. Interest payments on these bonds are generally higher to compensate buyers for reinvestment risk as issuers will tend to redeem them when prevailing interest rates fall so they can reissue/refinance at a lower rate.

Callable Perpetual Bond – A perpetual bond that has an embedded call feature. Most perpetual bonds, which are bonds that are arranged to pay interest in perpetuity, have an embedded call whereby the issuer can redeem any time after an initial period, usually not less than five years.

Common Factor – An independent variable against which returns may be regressed and can explain some portion of returns for a large set of securities within or across asset classes. Examples of a Common Factor include market capitalization, industry, price-to-book, or any other metric for which a large group of securities has a measure.

Contingent Capital Securities (“CoCos”) – Convertible bonds that convert to equity as a result of a given threshold in the issuer’s capital structure. CoCos typically convert in situations opposite to when traditional bonds convert. Where traditional convertible bonds will typically convert when the underlying price is rising, CoCos are typically set up to convert when the issuer’s capital structure is deteriorating.

Covered Bond – Bonds backed by specific public-sector loans or mortgage loans.

Dividend Received Deduction (“DRD”) – Securities that allow the holder to deduct any associated distribution from the holder’s income.

EOD – End-of-Day

Eurodollar Bonds – Bonds issued in US Dollars by an overseas company and held in an overseas institution both outside the U.S. and the issuer’s country of domicile.

Expert Judgement Review any instance where transaction data may not have been sufficient or able to accurately and reliably represent the market or economic reality and consequently, where an Administrator or submitter has exercised discretion with respect to the use of data in determining an Index. In exercising discretion, an Administrator or submitter may, for example, extrapolates values from past trends or related transactions or take into account factors such as market events or the credit quality of a buyer or seller that may influence the quality of the data and adjust the values accordingly.

Evaluations shall mean Vendor’s good faith opinions of value (i.e., price) as to what the holder would receive in an orderly transaction for the securities (typically in an institutional round lot position) under

BLACKROCK Index Methodology Rule Book | 4 EIIiH0321U/S-1542875-4/20

current market conditions. Evaluations are determined based on Vendor’s proprietary models and methodologies, using inputs such as trades, bids, cash flows, loan performance data and other relevant market, sector, issue, issuer and credit information then available to Vendor (including market information communicated to Vendor by its clients), market assumptions and broker quotes. Evaluations may not conform to actual purchase or sale prices in the marketplace or to information available from third parties. Valuations based on different information, models, methodologies or assumptions may differ, in some cases materially, from Vendor’s evaluations. Evaluations are sometimes referred to as “prices” solely for convenience of reference. Evaluations do not represent an offer to purchase or sell any security, commodity interest, or any other instrument. Evaluations are not based on, or tailored to, any individual’s particular commodity interest or cash market positions or other circumstances or characteristics of a particular client.

Extendable Bonds – Bonds which contain options for one or more opportunities to defer repayment of the bond’s principal while continuing to make interest payments during time of deferral. Additionally, the bond holder may have the option to exchange the bond for one with a longer at an equal or higher interest rate.

Fixed Rate – Coupon or interest payment on a bond that remains fixed at a given rate throughout the term of the bond.

Fixing Date – Date used to establish investible universe and associated bond data such as price, duration, convexity, etc. For the BlackRock Bond Indices, the fixing date is three business days before the last business day of the month.

Index-Linked Bonds – Bonds where payment of income on the principal is tied to a specific price index such as the Consumer Price Index.

Inflation linked bonds – Bonds where the principal to be repaid at maturity is indexed to inflation or deflation on a daily basis over the life of the bond.

Issuer – Company, government, government-sponsored entity, or any other entity accessing capital markets and that sells newly created bonds to raise money for funding operations.

Medium Term Notes (“MTN”) – Bonds that usually mature in five to 10 years from the time they are issued. They are often issued under a shelf-registration program whereby each issuance does not require the full SEC registration process to be completed. An MTN program will typically use a master set of disclosure documents as well as documents covering the selling and distribution arrangements.

Optimization – Process by which securities are selected for a portfolio from a larger set such that the portfolio will produce the best risk-adjusted expected return using the least amount of securities possible.

Payment-in-Kind Bond – A bond that pays interest in additional bonds rather than cash. These are considered a type of deferred coupon bond and usually issued by firms in financial distress. Sometimes referred to as PIK bonds.

Private Placement – A bond or other security that is sold to a small number of usually large, qualified investors (Qualified Institutional Buyers (“QIBs”) for example) without being registered with the SEC.

Puttable Bond – A bond where the holder can demand the issuer redeem on or after specific dates before maturity. The interest payments will be lower than prevailing interest rates as the option to force redemption has value to the holder.

Qualified Dividend Income (“QDI”) – Securities where the dividend or coupon payment distribution qualifies for taxation at the capital gains rate rather than regular income rates.

BLACKROCK Index Methodology Rule Book | 5 EIIiH0321U/S-1542875-5/20

Reg-S Bonds – Bonds offered and sold outside the U.S. and thus not subject to SEC registration requirements. As such, offering participants (the issuer, banks involved in offer or their affiliates) cannot engage in direct selling efforts nor can offers and sales be made to U.S. persons, including U.S. persons physically located outside the U.S.

Regular – The process through which securities and required funds are exchanged. This involves the buyer’s and seller’s brokers, custodians, banks, and central clearing organizations. Sometimes referred to as “Regular Way” settlement and takes three days from the day the securities are traded until the securities and funds are in the respective investor’s accounts.

Sinking Bonds – Often referred to as Sinkable Bonds or Sinking Fund Bonds. These are bonds backed by funds set aside to ensure principal and interest payments are made as promised and often accompanied by call schedules covering the life of the bond.

Specific Risk – An element of risk unique to a specific security or company. This is usually exhibited as the unexplained variation in a regression. For example, the difference between the actual, observed returns on a given security and the returns predicted by a best-fit regression model.

Step-up Coupon – Coupon or interest payment on a bond that can increase by a given increment at some point or points over the life of the bond.

Subordinated Issues – Bonds or notes that rank below other in terms of claims on the issuers assets in the event of a bankruptcy or liquidation.

Toggle Notes – Notes or bonds where the issuer has the option of deferring a coupon payment, but only at a higher interest rate. All deferred payments must be settled by the bond’s maturity. Sometimes referred to as “toggles”.

Transaction Costs – costs associated with buying or selling a bond. For the calculation of Index returns, it is represented by an estimate based on the difference between the bid and offer price.

Zero Coupon – Bonds that do not have a coupon or make periodic interest payments. They sell at a discount to and pay out par value at maturity. The discount equates to interest paid by the issuer and is amortized over the holding period of the bond.

144(a) Bonds – Privately placed bonds that can trade under SEC rule 144(a). This rule allows privately placed bonds to trade among QIBs without the minimum two-year holding period assuming other provisions are met.

Index Objective

BlackRock Investment Grade Enhanced Bond Index

The objective of the BlackRock Investment Grade Enhanced Bond index is to provide enhanced risk- adjusted returns relative to the comparable capitalization-weighted Indices for the U.S. investment grade corporate bond market.

Key criteria defining the Investment Grade Corporate Bond Index: Rated investment-grade (Baa3/BBB- or higher) by at least one nationally recognized statistical rating organization (“NRSRO”) out of three selected by the Index Services Governance Committee. If rated by three agencies, the

BLACKROCK Index Methodology Rule Book | 6 EIIiH0321U/S-1542875-6/20

median rating should be used, if rated by two agencies, the lower of the two ratings is used, if rated by one agency, that rating is used1.

BlackRock High Yield Defensive Bond Index

The objective of the BlackRock High Yield Defensive Bond index is to provide enhanced risk-adjusted returns relative to the comparable capitalization-weighted Indices for the U.S. high yield corporate bond market.

Key criteria defining the High Yield Corporate Bond Index: Rated below investment-grade (Ba1/BB+ or lower) by at least one NRSRO out of three selected by the Index Services Governance Committee. If rated by three agencies, the median rating should be used, if rated by two agencies, the lower of the two ratings is used, if rated by once agency, that rating is used1.

Index Construction Creating the monthly composition for the Indices follows the index construction process described in the following section. On the fixing date2, the Investible Universe is defined and then the index constituent weights are determined through the optimization process. A key objective in construction of the Investible Universe is striking a balance between including enough securities to attempt an accurate representation of the market, and avoiding costlier-to-trade, less liquid securities in an effort to make the index more investible. Incorporated into the optimization process are specific risk and default metrics based on analytics calculated using the end-of-day (“EOD”) price for each bond in the Investible Universe.

I. Defining the Investible Universe for the BlackRock Investment Grade Enhanced Bond Index

A. Inclusion Criteria a. Currency: US Dollar denominated with coupon payments in US Dollars. Bonds issued by non-US corporations are eligible. b. Rated investment grade (Baa3/BBB- or higher) c. Corporate bonds from the following sectors: industrials, financials, and utilities. d. Minimum amount outstanding: $250 million. e. Term: At least 12 months until final maturity. f. Coupon Type: Fixed rate bonds, zero coupon bonds, and bonds with predetermined step-up coupons are eligible. g. Callable/Puttable: Bonds with calls and puts are allowed. h. Extendable Bonds: Bonds with extendable maturities. i. Private Placements: 144(a) bonds with Registration Rights. j. Medium-term notes: Eligible if they are underwritten. k. Bonds must be issued before index fixing date.

1 This process establishes a composite rating used in the filtering process. 2 The date of the data used to derive the Investible Universe and the date on which the index composition is finalized. The fixing date for the Indices is three business days before the last business day of the month.

BLACKROCK Index Methodology Rule Book | 7 EIIiH0321U/S-1542875-7/20

l. Bonds of issuers from qualifying countries3.

B. Specific Exclusions a. Called Bonds: Will be excluded as of call date. b. Certain Tax Haven Issues4 c. Dividends Received Deduction (“DRD”) and Qualified Dividend Income (“QDI”) eligible securities d. Non-corporate credit (including sovereign, supranational, agency, and local ) e. Convertible bonds f. Bonds with warrants g. Inflation linked bonds h. Eurodollar Bonds i. Index-linked bonds j. Fixed to floating rate bonds k. Reg-S bonds l. Contingent Capital Securities m. Bonds issued by BlackRock, Inc., The PNC Financial Services Group, Inc. n. Private Placements (other than the previously described 144a securities) o. Structured notes p. Floating rate bonds q. Non-callable perpetual bonds r. Defaulted bonds s. Payment-In-Kind (“PIK”) bonds t. Toggle Notes u. Municipal bonds v. Preferred equities w. Covered Bonds x. Bonds with par values of 25 or 50

II. Defining the Investible Universe for the BlackRock High Yield Defensive Bond Index

A. Inclusion Criteria a. Currency: Bonds must be US Dollar denominated with coupon payments in US Dollars. Bonds issued by non-US corporations are eligible. b. Rated below investment grade (Ba1/BB+ or lower). c. Corporate bonds from the following sectors: industrials, financials, and utilities. d. Minimum amount outstanding: $150 million. e. Term: At least 12 months until final maturity.

3 List of Included Countries for Investment Grade Investible Universe: Austria, Australia, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, Luxembourg, Netherlands, Norway, Spain, Sweden, United Kingdom, United States. 4 If the guarantor or parent company is from a country that is not in the List of Included Countries for Investment Grade Investible Universe, a bond issued in a tax haven country will be excluded.

BLACKROCK Index Methodology Rule Book | 8 EIIiH0321U/S-1542875-8/20

f. Coupon Type: Fixed rate and zero-coupon bonds. Bonds with predetermined step-up coupons are eligible. g. Callable/Puttable: Bonds with calls and puts are allowed. h. Extendable Bonds: Bonds with extendable maturities. i. Private Placements: 144(a) bonds. j. Medium-term notes: Eligible if they are underwritten. k. Bonds must be issued before index fixing date. l. Bonds of issuers from qualifying countries5

B. Specific Exclusions

a. Called Bonds: Will be excluded as of call date. b. Certain Tax Haven Issues6 c. Bonds with a composite rating of D. d. DRD and QDI eligible securities e. Non-corporate credit (including sovereign, supranational, agency and local government debt) f. Convertible bonds g. Bonds with warrants h. Inflation linked bonds i. Eurodollar Bonds j. Index-linked bonds k. Fixed to floating rate bonds l. Reg-S bonds m. Contingent Capital Securities n. Bonds issued by BlackRock, Inc., The PNC Financial Services Group, Inc., o. Non -144a Private Placements p. Structured notes q. Floating rate bonds r. Non-callable perpetual bonds s. Defaulted bonds t. PIK bonds u. Toggle Notes v. Municipal bonds w. Preferred equities x. Bonds with par values of 25 or 50

Index Construction Steps

I. Bond Level Analytics, Transaction Costs, and Factors

5 List of Included Countries for High Yield Investible Universe: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, Luxembourg, Netherlands, Norway, Spain, Sweden, United Kingdom, United States. 6 If the guarantor, parent or ultimate parent company is from a country that is not in the List of Included Countries for High Yield Investible Universe, a bond issued in a tax haven country will be excluded.

BLACKROCK Index Methodology Rule Book | 9 EIIiH0321U/S-1542875-9/20

A. Compute Bond Metrics a. Duration: Sensitivity of a bond’s price to a change in interest rates. The Indices use option adjusted duration to account for any expected shortening of a bond’s cash flows due to call provisions.

b. (“YTM”): The internal rate of return on any investment that will make the present value of the cash flows equal to the price.

c. Yield To Call (“YTC”): The internal rate of return on any callable investment that will make the present value of the cash flows equal to the price assuming the bond is called on the next call date.

d. Yield To Worst: the lower of YTC and YTM.

e. Option Adjusted Spread (“OAS”): The constant added to the treasury which equates a bond’s market price to its discounted option-adjusted cash flows.

f. Spread Duration: Sensitivity of a bond’s price to a change in spreads.

g. Duration Times Spread (“DTS”): The product of spread duration and OAS divided by 100.

B. Compute Proprietary Risk Factors, Default Analytics, and Transaction Cost Penalty on Investible Universe.

a. The market risk of each bond is calculated using a factor risk model that breaks down a corporate bond’s return into systematic and firm-specific factors. The risk, or volatility, of a corporate bond is made up of exposure to systematic risk factors (country, industry, maturity, liquidity) and company-specific risk. A separate model for the Investment Grade Investible Universe and the High Yield Investible Universe is created through statistical regressions using data from the requisite broad population of US corporate bonds. The model outputs are an individual bond’s total risk and its risk contribution to the relevant index with risk being expressed as annualized volatility.

b. A Probability of Default (“PD”) estimate is calculated using a model enriched through incorporation of advanced statistical techniques and empirical data. The PD estimate is primarily determined by a company’s financial health, industry characteristics, and market environment. The model inputs are accounting data, market data of equity and bond instruments, bond ratings, and other economic variables. The output of the model is an estimate of the probability of default for the issuer over the next twelve-month period.

c. Default Adjusted Spread scores are calculated using each bond’s:

i. OAS ii. Probability of Default (“PD”) iii. Recovery Rate Assumption (“RRA”). Whereby: Default Adjusted Spread = OAS – PD x (1-RRA7)

7 RRA is set at 40%

BLACKROCK Index Methodology Rule Book | 10 EIIiH0321U/S-1542875-10/20

Once Default Adjusted Spreads have been calculated for bonds across the Investible Universe, they are normalized to arrive at Default Adjusted Spread scores for each bond.

d. Transaction Cost Penalty: Bond level transaction costs calculated using each bond’s: i. Option Adjusted Duration (“OAD”) ii. OAS

II. Index Universe & Optimization process A. Once the Investible Universe is established and all the relevant analytics, factors, and risk metrics are calculated, the issuers in each Investible Universe are divided into their representative credit rating group. The issuers with the highest probability of default in each group are then screened out. For the BlackRock Investment Grade Enhanced Bond Index and BlackRock High Yield Defensive Bond Index, up to 20% and 30% respectively of the issuers within each rating group are screened out.

B. Next, an optimization is used to maximize the aggregate default adjusted spread score while mitigating common factor exposures, specific risks, and transaction costs relative to each index’s respective Investible Universe.

C. Through various constraints, the optimization process is bounded in an effort to: 1.) keep the index’s aggregate characteristics in line with that of the Investible Universe, 2.) reduce turnover, 3.) limit issuer concentration, and 4.) avoid less liquid issues. Key constraints include, but are not limited to:

a. Long-only positions; no leverage or positions used. b. Higher minimum amount outstanding thresholds versus Investible Universe i. $500 million for BlackRock Investment Grade Enhanced Bond Index ii. $350 million for BlackRock High Yield Defensive Bond Index c. Deviation of Index weight comprised of bonds from a single Issuer versus issuer weight in the Investible Universe is limited as follows:

i. For the BlackRock Investment Grade Enhanced Bond Index, an issuer’s weight in the index cannot be more than 100 basis points (“bps”) underweight versus its weight in the investible universe or more than 50 bps overweight.8

ii. For the BlackRock High Yield Defensive Bond index, an issuer’s weight in the index cannot be more than 150 bps underweight versus its weight in the investible universe or more than 75 bps overweight.8

d. Limit the deviation of Duration Times Spread (“DtS”) of the index versus the Investible Universe as follows:

i. For the BlackRock Investment Grade Enhanced Bond Index, the DtS of the index cannot be less than 95% of that of the Investible Universe or more than 105%.8

8 This constraint may be exceeded in some months due to changes in index constituent bonds’ index eligibility status resulting from rating changes, maturity, calls, puts and other events.

BLACKROCK Index Methodology Rule Book | 11 EIIiH0321U/S-1542875-11/20

ii. For the BlackRock High Yield Defensive Bond index, the DtS of the index cannot be less than 95% of that of the Investible Universe or more than 105%.8

e. Limit the deviation of the Duration of the index versus the Investible Universe as follows: i. For the BlackRock Investment Grade Enhanced Bond Index, the Duration of the index cannot be less than 90% of that of the Investible Universe or more than 110%.8

ii. For the BlackRock High Yield Defensive Bond index, the Duration of the index cannot be less than 90% of that of the Investible Universe or more than 110%.8

f. The monthly turnover is limited to less than or equal to 6% of index market value for each index on a one-way basis (buy or sell – 12% in total).8

III. Finalized Index The Indices are then constructed using the Investible Universe along with the weights computed for each bond. Only bonds in the Investible Universe as of the fixing date are eligible for inclusion in the Index. In addition to newly issued and redeemed or defaulted bonds as of the fixing date, the Investible Universe will also reflect increased issuance of existing securities, calls, tenders and repurchases.

Data Sources Each metric used in the Optimization Process is sourced or calculated using raw data from the following data providers:

Data Data Provider

Probability of Default NRSRO as described in section 3 International Data Corporation (“IDC”) Thomson Reuters9

Transaction Cost Penalty International Data Corporation (“IDC”) Thomson Reuters9

Bond Analytics International Data Corporation (“IDC”) Thomson Reuters9

Index Maintenance & Publication A. Index Composition Changes: Bonds issued during the month as well as additions and deletions due to ratings changes are eligible for incorporation into the respective index at the next month. Similarly, changes to amounts outstanding due to tenders are not reflected until the next month’s newly constructed index becomes effective. Maturities, defaults, and mandatory exchanges however, are reflected in the index intra-month. The resultant cash flows are kept in

9 The BlackRock Investment Grade Enhanced Bond and BlackRock High Yield Defensive Bond Index are powered by TR information.

BLACKROCK Index Methodology Rule Book | 12 EIIiH0321U/S-1542875-12/20

cash until the month end rebalance and reinvested in the newly constructed index composition – the Indices do not assume reinvestment intra-month.

B. Corporate Actions affecting index components are processed daily and incorporated into the index as per the methodology.

C. Rebalancing Date: The newly constructed Indices go into effect at the open of the first calendar day of the month. The newly constructed index compositions are announced after end-of-day on the fixing date and are based on risk, default, and transaction cost analytics calculated using that day’s prices.

D. Weekend and Index Holiday Convention: The Indices will follow the yearly holiday calendar established by the Securities Industry and Financial Markets Association (“SIFMA”)10. Index levels will remain unchanged on US holidays from the previous day (see Appendix for list of holidays and SIFMA website for current year holiday schedule). Interest accruals, coupon payments, and principal payments during a holiday or weekend will be incorporated into the index return calculation for the next business day. Weekend and Index Holiday Convention – Rebalance Dates: If a month-end date or month-begin date falls on a weekend or a holiday, the index rebalance, and any cash accruals are affected accordingly.

a. For rebalance dates falling on a holiday or weekend, the last business day of the month will serve as the de-facto month-end date. Interest accruals, coupon payments, and principal payments through calendar month-end are incorporated into the index return calculation for the de-facto month-end date and will assume next-day settlement which will be the first calendar day of the next month.

b. If the first calendar day of the month falls on a holiday or weekend, the newly constructed index compositions will take effect at the open of the first calendar day. Additionally, any interest accruals, coupon payments, and principal payments from the first calendar day of the month will be incorporated into the index return calculation for the first business day of the month.

E. Index Publication Convention: The daily total return level of the Indices are published on the Index Services LLC website and on major market data vendors. The daily holdings of the Indices will be published on the BlackRock Index Services LLC website.

F. Extraordinary Events, Market Environments, and Disruptions: For circumstances that can potentially affect index production and publication, BlackRock Index Services, LLC will address on an ad-hoc basis. Solutions may include, but not be limited to, holding an index unchanged for the affected day. Index users will be kept informed through announcements and updates on the index website.

10 SIFMA holiday schedule can be found on the following link: http://www.sifma.org/services/holiday-schedule/

BLACKROCK Index Methodology Rule Book | 13 EIIiH0321U/S-1542875-13/20

Index Rebalance Timeline A. On the fixing date, accrued interest through the first calendar day of the next month is calculated for the current index composition as well as projected cash amounts that take into account coupon payments, calls and redemptions through month-end. Bond analytics, transaction cost penalties, and risk factors are calculated for the investible universe as of the fixing date using the current day’s prices. The optimization process is run and incorporates projected cash to establish the pro-forma index composition.

B. On the third-to-last and second-to-last business day of the month, the current day’s prices are applied to the pro-forma index composition. Accrued interest for the pro-forma index composition is calculated through the first calendar day of the next month.

C. On the last business day of the month, the current index composition is brought in line with the pro-forma index composition by adding/removing the necessary securities at their respective prices at the end of the current day. The newly rebalanced index becomes effective on the first calendar day of the next month.

Index Calculations A. Pro-Forma Index Composition: A pro-forma index composition for each Index is made available every day for the three business days prior to month-end through month-end and reflects the index composition as of the fixing date with the current day’s prices and corporate actions applied. Changes in the bond universe that occur up through the fixing day are eligible for inclusion in the pro-forma index compositions. This includes newly issued securities that are issued, but not necessarily settled, up through the fixing day. The pro-forma index compositions generated after EOD on the fixing date become the newly constructed index compositions at the open of the first calendar day of the new month. There must be sufficient minimum data as previously outlined in Analytics and Index Construction to create the Index. The data required to complete the index construction process consists of:

i. Corporate bonds using reference data as classified by Refinitiv. ii. Pricing as provided by the Intercontinental Exchange (ICE).11 ICE’s pricing are Evaluations that represent market-based measurements that are processed through a rules-based pricing application and represent good faith determinations under current market conditions. iii. Corporate Actions processing by BlackRock and incorporated into the Index.

B. Bond Pricing

a. Price Timing Frequency: The Indices use daily EOD (4pm EST) evaluated bid pricing from b. Bonds are added to the Indices at the evaluated bid price plus an estimated transaction cost based on the spread of bid-offer prices.

11 1pm on days when markets close early; see Appendix for list of holidays and SIFMA website for current year’s holiday schedule.

BLACKROCK Index Methodology Rule Book | 14 EIIiH0321U/S-1542875-14/20

C. Reinvestment of cash flows: interest and principal payments earned by index components are held as cash in the index until month end. It is then reinvested in the newly constructed index composition across all components at their new respective weights at the start of the new month.

D. Settlement Convention: During index rebalance, next-calendar-day settlement will be assumed for all newly traded securities.

E. Accrued interest: Accrued interest is calculated assuming next-calendar-day settlement. The day- count convention applicable to the respective bond is used in calculating days of accrual.

F. Return Calculation: Every day, the Index total return, price return, and coupon return are calculated. As noted, any coupon payments are simply kept as cash in the Indices until rebalance. In other words, the Indices assume no immediate reinvestment on the coupons.

G. Index Level Precision: Index values are published to major market data vendors out to 4 decimal places.

Index Calculation Formulas Index Level Calculations

= × 1 + 100𝑡𝑡 𝑡𝑡 𝑡𝑡−1 𝑇𝑇𝑇𝑇 𝐼𝐼𝐼𝐼𝐼𝐼 𝐼𝐼𝐼𝐼𝐼𝐼+ � � = 1 × 100 + 𝐸𝐸𝐸𝐸𝑡𝑡 𝐶𝐶𝐶𝐶𝑏𝑏→𝑡𝑡 𝑇𝑇𝑇𝑇𝑡𝑡 �� � − � 𝐵𝐵𝐵𝐵𝑡𝑡 𝐶𝐶𝐶𝐶𝑏𝑏→𝑡𝑡−1 = × + × 𝑖𝑖 𝑖𝑖 𝑖𝑖 𝑖𝑖 𝐵𝐵𝐵𝐵𝑡𝑡 ��𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡 �𝑃𝑃𝑃𝑃𝑡𝑡−1 𝐴𝐴𝐴𝐴𝑡𝑡−1� 𝑀𝑀𝑀𝑀 � = × + × 𝑖𝑖 𝑖𝑖 𝑖𝑖 𝑖𝑖 𝐸𝐸𝐸𝐸𝑡𝑡 ��𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡 �𝑃𝑃𝑃𝑃𝑡𝑡 𝐴𝐴𝐴𝐴𝑡𝑡 � 𝑀𝑀𝑀𝑀 � =

𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡= 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉𝑉 𝑜𝑜𝑜𝑜 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡, ,

𝑇𝑇𝑇𝑇𝑡𝑡 = 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑜𝑜𝑜𝑜 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑖𝑖 𝑖𝑖 𝑝𝑝 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑝𝑝 𝑝𝑝 𝑜𝑜𝑜𝑜 𝑑𝑑𝑑𝑑 𝑑𝑑𝑑𝑑 𝑡𝑡

𝐵𝐵𝐵𝐵𝑡𝑡 = 𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑜𝑜𝑜𝑜 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡 𝑡𝑡 𝑡𝑡 𝑡𝑡

𝑡𝑡 𝐸𝐸𝐸𝐸 =𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑜𝑜𝑜𝑜; 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑡𝑡 𝑖𝑖 𝑀𝑀𝑀𝑀 =𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 𝑜𝑜𝑜𝑜 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 ( 𝑖𝑖 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑡𝑡ℎ𝑎𝑎𝑎𝑎, 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝,𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢) 𝑡𝑡𝑡𝑡 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚 𝑚𝑚𝑚𝑚 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢

𝑏𝑏→𝑡𝑡 𝐶𝐶𝐶𝐶 = 𝑀𝑀𝑀𝑀𝑀𝑀 𝐶𝐶𝐶𝐶𝐶𝐶 ℎ 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟 𝑟𝑟 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑝𝑝 𝑝𝑝𝑝𝑝𝑝𝑝 𝑒𝑒𝑒𝑒𝑒𝑒 𝑜𝑜𝑜𝑜 𝑖𝑖 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑎𝑎𝑎𝑎 𝑜𝑜𝑜𝑜 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡 𝑖𝑖 𝑡𝑡 𝑃𝑃𝑃𝑃𝑃𝑃 = 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑜𝑜𝑜𝑜 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑖𝑖 𝑖𝑖𝑖𝑖 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎 𝑝𝑝𝑝𝑝𝑝𝑝 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡 𝑡𝑡𝑡𝑡 𝑡𝑡 𝑖𝑖 𝑡𝑡 𝑃𝑃𝑃𝑃 = 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃 𝑜𝑜𝑜𝑜 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑖𝑖 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑎𝑎𝑎𝑎 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑝𝑝 𝑝𝑝 𝑜𝑜𝑜𝑜 𝑝𝑝𝑝𝑝𝑝𝑝 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡 𝑡𝑡𝑡𝑡 𝑡𝑡 𝑖𝑖 𝐴𝐴Component𝐴𝐴𝑡𝑡 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑑𝑑Calculations𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑜𝑜𝑜𝑜 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑖𝑖 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑖𝑖𝑖𝑖 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑡𝑡

× + × = × 100 𝑖𝑖 𝑖𝑖 + 𝑖𝑖 𝑖𝑖 𝑖𝑖 𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡 �𝑃𝑃𝑃𝑃𝑡𝑡−1 𝐴𝐴𝐴𝐴𝑡𝑡−1� 𝑀𝑀𝑀𝑀 𝑊𝑊𝑊𝑊𝑊𝑊𝑡𝑡 𝐵𝐵𝐵𝐵 𝑡𝑡+ 𝐶𝐶𝐶𝐶+𝑏𝑏→𝑡𝑡−1 = × 100 𝑖𝑖 +𝑖𝑖 𝑖𝑖 𝑖𝑖 𝑃𝑃𝑃𝑃𝑡𝑡 𝐴𝐴𝐴𝐴𝑡𝑡 𝐶𝐶𝐶𝐶𝑡𝑡 𝑡𝑡 𝑖𝑖 𝑖𝑖 𝐵𝐵𝐵𝐵 𝑡𝑡−1 𝑡𝑡−1 = 𝑃𝑃𝑃𝑃 𝐴𝐴𝐴𝐴 𝑖𝑖 𝑊𝑊𝑊𝑊𝑊𝑊𝑡𝑡 𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊ℎ𝑡𝑡 𝑜𝑜𝑜𝑜 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑖𝑖 𝑖𝑖𝑖𝑖 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑡𝑡

BLACKROCK Index Methodology Rule Book | 15 EIIiH0321U/S-1542875-15/20

= 𝑖𝑖 𝐵𝐵𝐵𝐵𝑡𝑡 = 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟 𝑜𝑜𝑜𝑜 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑖𝑖 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡𝑡𝑡 𝑡𝑡 𝑡𝑡 𝑖𝑖 𝐶𝐶𝐶𝐶𝑡𝑡 𝑀𝑀𝑀𝑀𝑀𝑀 𝐶𝐶𝐶𝐶𝐶𝐶ℎ 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 𝑜𝑜𝑜𝑜 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑖𝑖 𝑎𝑎𝑎𝑎 𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 𝑡𝑡 Governance The activities of the Index Administrator are overseen by the Index Services Governance Committee (“ISGCo”). ISGCo provides oversight for activities pertaining to the calculation and dissemination of BlackRock proprietary Indices and ensure adherence to any policies, procedures and business practices relating to the activities of the Index Administrator. This group is responsible for:

• Providing oversight of activities of the Index Administrator. • Overseeing adherence to processes, policies and procedures. • Supervising related functions, including reviewing operating errors and audit findings. • Coordinating the activities of the sub-committees. ISGCo has two Sub-Committees: (1) Methodology and Operations (“M&O”) Sub-Committee and (2) Regulatory and Compliance (“R&C”) Sub-Committee with each committee meeting at least quarterly.

The M&O Sub-committee performs the following: • Review and approve new indexes. • Review and approve proposed changes to index methodologies. • Review and approve Methodology Change Policy document annually. • Review methodology issues stemming from extraordinary circumstances. • Review adherence to policies, procedures and processes. • Review issues and incidents involving external, third-party service providers. • Review and provide guidance surrounding ad-hoc operational issues. • React to regulatory changes and inquiries as appropriate. • Review and respond to Market Disruption Events. • Formulate and coordinate any public announcements as a result of above listed items. • Report results of meetings and activities to the ISGCo. The R&C Sub-committee performs the following:

• Oversee adherence to relevant parts of policies and procedures related to the activities of the Index Administrator. • Make recommendations, where appropriate, to update related policies and procedures. • Review proposed amendments to policies and procedures. • Review reports and metrics the committee deems necessary to monitor adherence to policies and procedures. • Assess any material exception or concern as it relates to compliance with policies and procedures and potential conflicts of interest. Escalate any identified matters to appropriate Legal and Compliance personnel. • Report results of meetings and activities to the ISGCo. For additional Governance and Methodology details including usage and licensing opportunities for the BlackRock Indices, please contact [email protected].

BLACKROCK Index Methodology Rule Book | 16 EIIiH0321U/S-1542875-16/20

Appendix 1. Holiday Schedule Holiday Schedule – The Indices will follow the SIFMA Recommended Holiday Schedule for Financial Markets.

Below are the days when the Indices are typically not calculated and the index values from the previous day are carried over. Depending on what date of the month and/or day of the week a holiday falls, it may or may not be observed. Also, a holiday may have an early closing day just before or after the holiday. Please see the SIFMA website for exact days and dates for the current year.

New Year’s Day

Martin Luther King Day

Presidents Day

Good Friday

Memorial Day

U.S. Independence Day

Labor Day

Columbus Day

Veterans Day

Thanksgiving Day

Christmas Day

2. Index Methodology Changes Index methodologies are subject to oversight by the M&O Sub-committee. This Sub-committee is primarily responsible for reviewing existing methodologies (at least annually), newly proposed methodologies (prior to Index launch), and ad-hoc changes when requested to existing methodologies to ensure they correctly measure the economic realities of the market(s) they are intended to represent and the objectives of the Index. The Index Administrator will notify Index Subscribers (and other Stakeholders where appropriate) via email or on the Index Administrator Website of the proposed updated methodology change with the following details included: • Description of the change to the Index Methodology • Proposed date the change is effective • Any impact to the Index construction process • Date by which feedback will be collected from the Index Subscribers, or Stakeholders where appropriate. The Indices follow a rules-based methodology and more details pertaining to the Methodology Change Policy can be made available upon request.

3. Error Correction Process If an issue should arise with the Index due to incorrect or missing data, incorrect application of the index methodology, or incorrect calculation, the Index Administrator follows the internal procedures to understand the impact to the Index.

EIIiH0321U/S-1542875-17/20

The Error Correction and Special Event Handling Policy can be made available upon request. 4. Index Complaints Complaints can be submitted, which seek clarity or proposed action relating to • Index determination process • Application of the methodology • Market conditions or other changes impacting the index strategy Complaints regarding the index must be submitted via email to [email protected]

The complaint must include the: 1. The name of the Index; 2. The date of the issue; 3. A detailed description of how the issue impacts the Index; 4. Suggested turnaround time to resolve the issue to denote the priority of the matter. An email response back to the submitter of the complaint will be managed in a timely fashion. The R&C Sub-Committee will review and investigate all complaints directly submitted to the Index Administrator and will escalate to the ISGCo at its discretion or at a minimum the complaint will be reviewed at the quarterly ISGCo meeting. If a member of the R&C Sub-Committee is directly involved in the complaint, then he/she will be recused from the complaint review. The relevant records concerning the complaint will be kept for a minimum period of five years, subject to applicable law or regulation. Any compliant resulting in a change to the Index will follow the Index Methodology Change process as outlined previously. 5. Index Cessation Index Cessation Policy can be made available upon request.

Additional Methodology details can be available upon request by emailing the Index Adminstrator at: [email protected]

Disclaimer The BlackRock Investment Grade Enhanced Bond Index and the BlackRock High Yield Defensive Bond index (“The “BlackRock Indices”) commenced ongoing calculation on May 31, 2017. BlackRock Index Services, LLC (“Index Services”), a subsidiary of BlackRock, Inc. designs, sponsors and publishes the BlackRock Indices for use in portfolio benchmarking, and portfolio management. The BlackRock Indices, allocations and data are subject to change.

The BlackRock Indices do not guarantee future income or protect against loss of principal. There can be no assurance that an investment strategy based on the BlackRock Indices will be successful. Indices are unmanaged, and one cannot invest directly in an index. Exposure to an asset class or trading strategy or other category represented by an index is only available through investable instruments (if any) based on that index. Index Services does not issue, sponsor, endorse, market, offer, review or otherwise express any opinion regarding any fund, exchange traded fund, derivative or other security, investment, financial product or trading strategy that is based on, linked to or seeks to provide an investment return related to the performance of any Index Services' index (collectively, “Index Linked Investments”). Index Services makes no assurance that any Index Linked Investments will accurately track index performance or provide positive investment returns. Index Services is not an investment adviser or fiduciary and makes no representation regarding the advisability of investing in any Index Linked Investments.

EIIiH0321U/S-1542875-18/20

Index returns do not represent the results of actual trading of investable assets/securities. Index Services maintains and calculates Indices but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase the securities underlying the index or Index Linked Investments. The imposition of these fees and charges would cause the performance of an Index Linked Investment to be different than the Index Services’ index performance.

This information is the property of BlackRock, Inc. and /or its subsidiaries (collectively, "BlackRock"). It is provided for informational purposes only. Although BlackRock shall obtain information from sources that BlackRock considers reliable, none of the BlackRock, its subsidiaries or any other third party involved in, or related to, compiling, computing or creating the information (collectively, the "BlackRock Parties") guarantees the accuracy and/or the completeness of any of this information. BlackRock does not guarantee that any of the BlackRock Indices will not deviate from its stated methodology. All BlackRock Indices and data are the exclusive property of BlackRock and may not be used in any way without the express written permission of BlackRock.

Reliance upon information in this material is at the sole discretion of the reader. The information may not be used to verify or correct other data, to create Indices, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the information or BlackRock index or other product or service referenced herein constitutes an offer to buy or sell, or a promotion or recommendation of, any security, financial instrument or product or trading strategy. Further, none of the information or any BlackRock index is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The information is provided "as is" and the user of the Information assumes the entire risk of any use it may make or permit to be made of the information. NONE OF BLACKROCK PARTIES MAKES ANY WARRANTIES OR REPRESENTATIONS AND, TO THE MAXIMUM EXTENT PERMITTED BY LAW, EACH BLACKROCK PARTY HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. WITHOUT LIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE BLACKROCK PARTIES HAVE ANY LIABILITY REGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited.

©2021 BlackRock, Inc. All rights reserved. BLACKROCK, BlackRock Investment Grade Enhanced Bond Index and BlackRock High Yield Defensive Bond Index are registered and unregistered trademarks of BlackRock, Inc. or its subsidiaries. All other marks are the property of their respective owners.

EIIiH0321U/S-1542875-19/20

Methodology version history

A list of versions and amendments to this Methodology is provided in the table below.

Version no. Description Date 1.0 First release May 2017 2.0 Inclusion of ICE issued bonds September 2018 Inclusion of countries Austria, Denmark and Greece for Investment Grade Updates to constraints on Duration and Yield 3.0 Inclusion of additional governance details March 8 2019 4.0 Pricing Change and rebrand March 1, 2021

EIIiH0321U/S-1542875-20/20