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BlackRock Cash Management

CalTRUST

August 3, 2017

For use with institutional investors only — proprietary and confidential

I. BlackRock Overview

II. Cash Management at BlackRock

III. Short Duration at BlackRock

IV. Market Review

V. CalTRUST Short Duration Portfolios

Appendices

A. Biographies of investment professionals

Table of contents

2

I. BlackRock Overview


Firm culture and structure reinforce our client-centric approach

4

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

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

Timeline includes history from predecessor entities


Positioned to address client needs

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

AUM As of 30 June 2017

* 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

$5.69 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 1,900 individual transitions with assets

totaling $2.2 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 80,000 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

$3.01 trillion

Fixed Income

$1.70 trillion

Alternatives*

$128 billion

Multi-asset

$437 billion

Cash

$403 billion

Risk Management

Advisory

Transition Management

Securities Lending

Trading


Global fixed income platform provides greater access to

investment opportunities

Benefits of BlackRock's breadth and depth

• Talent: 400+ fixed income professionals generate ideas and identify insights to create alpha opportunities

• Trading: Global execution platform provides deep market access

• Technology: Best-in-class analytics and risk management enables us to better understand and take risk in pursuit of alpha

• Culture: Fiduciary commitment to advising and serving clients drives our investment culture

Experienced leadership team oversees portfolio teams with decision-making autonomy

AUM in USD and data as of 30 June 2017; excludes fixed income alternative assets. For illustrative purposes only.

Active

$783 billion

Global Fixed Income Platform

$1.70 trillion

Tim WebbGlobal Head of Fixed Income

Rick RiederCIO of Global Fixed Income

Fundamental

$738 billion

Model-Based

$45 billion

Index

$557 billion

ETF

$365 billion

Passive

$922 billion


BlackRock’s Global Fixed Income Platform

* Source: BlackRock, as of 30 June 2017. For illustrative purposes only.

Global Sector Specialist Teams

Responsible for sector oversight, research, and analysis

Lead Investment Teams

Responsible for asset allocation, positioning, and performance

Rates & FX Securitized Assets Credit Municipals Emerging Markets

Risk and Analytics

Leverage BlackRock

Solutions® analytics and Risk

& Quantitative Analysis Group

to seek to generate alpha

Core PM

Investment professionals

implement ideas and ensure

scalability and consistency in

portfolio construction

Trading

Centralized trading function

and capital markets presence

helps increase liquidity

and improve execution

Product Strategy

Investment professionals

serving as bridge between

portfolio teams and clients

BlackRock resources directly benefit investment teams

COO

COOs and business

managers align the firm’s

non-investment resources

Broad Market

• Multi-Sector

– Unconstrained (Rieder, Miller)

– Core Plus (Rieder, Miller)

– Core (Rieder, Miller, Dickstein)

– Customized (Dickstein)

• Short Duration (Musmanno)

• US Model Based Fixed Income

Core PM (Radell)

• Financial Institutions Group

(Jacobs)

Sector-specific

• High Yield (Keenan/Garfin/Delbos)

• Bank Loans (Marshall)

• US IG Credit (Cucunato)

• Agency Mortgages (Kraeger)

• Inflation-linked (Hegarty)

• Securitized Assets (Robertson)

• Municipals (Hayes)

International

• Global (Thiel)

• Emerging Markets (Trigo-Paz)

• European Credit (Phelps)

• Euro/Sterling (Krautzberger)

• Unconstrained (Thiel)

• EMEA Portfolio Solutions (Harper)

• Asia-Pacific (Seth)

• Japan FI (Endo)

• Australia/New Zealand FI (Vardy)

Alternatives

• Fundamental Global FI (Spodek)

• Model-based FI Multi-Strategy (Parker)

• Opportunistic Credit (Trucano)

• Asian Opportunistic Credit (Seth,

Ferrier)

• Opportunistic Credit—structured

finance (Bacro, Redmond)

• Aviation (Tarnow)

• Middle Market Private Debt (Zugay,

Caron)

• CLOs (Snell)

II. Cash Management at BlackRock

For use with institutional investors only — proprietary and confidentialL-0651

BlackRock Liquidity Business Overview

9

1AUM in USD as of 30 June 2017. BlackRock Liquidity ETF AUM is not counted in the Liquidity assets and is not displayed here. 2Other includes collective trust funds, etc.

Client focused solutions

• Outcome-oriented investment process focuses on

seeking to deliver safety, liquidity, and yield

• Consultative approach seeks to address the unique

needs of cash investors and specific concerns or

requirements

• Breadth of products and services provides clients the

opportunity to allocate according to cash flow needs

– Money Market Funds, Ultra Short Fixed Income Funds,

Separate Accounts, Exchange-Traded Funds,

Collective Trust Funds

• Liquidity AUM: $402.6 billion1

13.8%

29.7%54.7%

0.8%

Prime

International

Government

Municipal

Diverse global mandates (as of 30 June 2017)

Market Share & Assets Under Management ($B)

Variety of investment solutions (as of 30 June 2017)

70.9%

24.0%

1.6% 3.4%

Money Market Funds

Separate Accounts

Ultra Short FixedIncome Funds

Other

Source: iMoneyNet

Source: BlackRockSource: BlackRock

6%

7%

8%

9%

10%

11%

12%

13%

14%

15%

$250

$270

$290

$310

$330

$350

$370

$390

Bil

lio

ns

($)

BLK AUM Market Share

2


Dedicated team leveraging the full scope of BlackRock’s resourcesAs of 30 June 2017

• Average investment experience of portfolio management team is 17 years

• $402.6 billion in liquidity assets under management

Characteristics

As of 30 June 2017 (Years at BlackRock, Years in Industry)

Risk Management

Richard Flynn (11, 27)

Selig Sechzer (12, 39)

Richard Mejzak, CFA (26, 26) Americas

Bea Rodriguez (8, 23) EMEA

William Henderson (23, 27) Municipals

Lead Portfolio Managers

Global Head of Credit and Investment Research

Thomas Kolimago, CFA (28, 28)

Credit Research

Edward Stevens, CFA (27, 54)

Mark Schnell, CFA (19, 27)

Jack Erbeck (29, 31)

Product Strategy

Ronald Hill (14, 18)

Ken Jacob (18, 23)

Hannah Winter (4, 9)

Global Sector Specialist Teams

Responsible for sector oversight, research, and analysis

Rates & FX Securitized Assets Credit Municipals Emerging Markets

U.S. Dollar: 16 Portfolio Managers

Eric Hiatt, CFA, FRM (5, 22)

Head of USD Prime, Collective

Trust Funds

Joseph Markowski (24, 24)

Head of Government Funds

Euro and Sterling: 5 Portfolio Managers

Olivier Guipet (0, 19)

Head of GBP and EUR Separate Accounts

and Funds

Matt Clay (8, 20)

Lead EUR Portfolio Manager

Paul Hauff (23, 28)

Lead GBP Portfolio Manager

Municipal: 3 Portfolio Managers

William Henderson (23, 27)

Head of Municipal Funds and

Separate Accounts

10

Performance (30 Day Yields%)

Fund Details

Size of Fund* $82,696.5 million

Share Class Inception Date October 1, 1975

Minimum Investment $3 million

Trading Deadline 5:00 PM (ET)

Weighted Average Maturity1 37 Days

Weighted Average Life2 88 Days

7 Day SEC Yield3 0.86%

30 Day Yield4 0.80%

Gross Expense Ratio5 0.21%

Net Expense Ratio5 0.17%

CUSIP 09248U700

Rating6 AAAm; Aaa-mf (S&P; Moody’s)

Information as of June 30, 2017, unless otherwise noted. Performance data represents past performance and does not guarantee future results. Current performance may be lower or higher than the

performance data quoted. Please see Important Notes at the end of this presentation for footnote disclosures. Ratings by S&P and Moody’s apply to the credit quality of a portfolio and are not a

recommendation to buy, sell or hold securities of a fund, are subject to change and do not remove market risks associated with investments in the fund. For complete information on the methodology used by

each rating agency, please visit the following websites. S&P: http://www.standardandpoors.com/en_US/web/guest/article/-/view/sourceId/504352;

Moody’s: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004

BlackRock Liquidity Funds FedFund Institutional: TFDXX

The Fund seeks current income as is consistent with liquidity and stability of principal. FedFund invests at least 99.5% of its total assets in cash, U.S. Treasury bills, notes and other obligations issued or

guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities, and repurchase agreements secured by such obligations or cash.

* Assets under management are reflective of all shares available for investment.

Source: BlackRock, Inc.


Asset Allocation


41.1%

23.5%

21.4%

14.0%

U.S. Gov't AgencyDebt

U.S. Gov't AgencyRepo Agreement

U.S. Treasury RepoAgreement

U.S. Treasury Debt

For Institutional and Financial Professional Use Only-Proprietary and Confidential

% Net Total Return7 (Period Ending 6/30/17)

1 Year 3 Year 5 Year 10 Year

0.46 0.20 0.13 0.57

This Fund fits an exemption from that rule which permits a state regulated insurance company to report shares

of this fund as debt. Representatives of state regulated insurance companies should contact the NAIC’s

Securities Valuation Office for further information on the criteria for listing on the U.S. Direct Obligations/Full

Faith and Credit Exempt List (http://www.naic.org/prod_serv/MMF-ZS-17-06.pdf.0.29 0.31 0.33 0.33 0.31

0.370.46 0.48

0.540.64 0.67

0.80

0.00

0.20

0.40

0.60

0.80

1.00

7/16

8/16

9/16

10/1

6

11/1

6

12/1

6

1/17

2/17

3/17

4/17

5/17

6/17

Institutional | Government | Constant Net Asset Value

11

http://www.standardandpoors.com/en_US/web/guest/article/-/view/sourceId/504352

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004

Performance (30 Day Yields%)

Fund Details

Size of Fund* $12,891.8 million

Share Class Inception Date October 10, 1973

Minimum Investment $3 million

Trading Deadline 8:00 AM/ 12:00 PM/ 3:00 PM (ET)

Weighted Average Maturity1 25 Days

Weighted Average Life2 78 Days

7 Day SEC Yield3 1.16%

30 Day Yield4 1.11%

Gross Expense Ratio5 0.19%

Net Expense Ratio5 0.18%

CUSIP 09248U619

Rating6 AAAm; Aaa-mf (S&P; Moody’s)

For Institutional and Financial Professional Use Only-Proprietary and Confidential

Information as of June 30, 2017, unless otherwise noted. Performance data represents past performance and does not guarantee future results. Current performance may be lower or higher than theperformance data quoted. Please see Important Notes at the end of this presentation for footnote disclosures. Ratings by S&P and Moody’s apply to the credit quality of a portfolio and are not arecommendation to buy, sell or hold securities of a fund, are subject to change and do not remove market risks associated with investments in the fund. For complete information on the methodologyused by each rating agency, please visit the following websites. S&P: http://www.standardandpoors.com/en_US/web/guest/article/-/view/sourceId/504352;Moody’s :https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004

BlackRock Liquidity Funds TempFund Institutional: TMPXX

The Fund seeks as high a level of current income as is consistent with liquidity and stability of principal. The portfolio primarily invests in first-tier securities, which may include domestic and foreign

corporate obligations, domestic bank obligations, securities issued or guaranteed by the US government or its agencies, and fully collateralized repurchase agreements.

0.41 0.38 0.350.50

0.630.74

0.85 0.860.94

1.04 1.031.11

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

7/16

8/16

9/16

10/1

6

11/1

6

12/1

6

1/17

2/17

3/17

4/17

5/17

6/17


Asset Allocation


* Assets under management are reflective of all shares available for investment.

27.7%

23.8%

22.1%

13.3%

10.3%

1.5%

0.8%

0.5%

CD

Non-Negotiable TimeDeposit

Financial Co. CP

Asset Backed CP

Other Repo Agreement

Non -Financial Co. CP

Supra-National Debt

U.S. Treasury RepoAgreement


% Net Total Return7 (Period Ending 6/30/17)

1 Year 3 Year 5 Year 10 Year

0.81 0.38 0.26 0.77

Institutional | Prime | Floating Net Asset Value

12

http://www.standardandpoors.com/en_US/web/guest/article/-/view/sourceId/504352

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004

III. Short Duration at BlackRock


BlackRock manages $69 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 Overview

BlackRock Short Duration

* All data as of 30 June, 2017. 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, N.A. 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 and

mutual funds that may affect their respective fees and performance.

Short Duration

Assets under Management ($mln)

June 2017

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

14

-

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

56%

1%7%

5%

3%

4%

1%

9%

10%3%

2% 0.2%Taxable: Corporate

Tax-Exempt:Endowment/FoundationTax-Exempt: Pension

CEF

Comingled Fund

ETF

High Net Worth

Insurance

Mutual Fund

Official Institutions

Subadvisory

43%

4%9%4%

0%1%

31%

1%5% 2%

Custom

1 Tsy

1-3 Cred

1-3 Tsy

1-5 Cred

1-5 Tsy

Gov/Cred

Libor

No Benchmark

Tbill


Business overview

Team leverages full scope of BlackRock resources

*As of 30 June 2017 (Years at BlackRock / Years in Industry)

Short Duration Investment Team*

Lead Portfolio Managers

Tom Musmanno, CFA (26, 26)

David Chesney (26, 26) · Scott Maclellan, CFA (14,18)

Credit

Artis Rebinovs, CFA (4,17) · Adam Carlin, CFA (7,7)

Assistant Portfolio Managers

Amanda Liu, CFA (7,7)

Portfolio Management TeamProduct Strategy

Ludwig Marek (4,17)

Eric Marino (12, 12)

Marta Tokar (4, 4)

Risk Management

Matthew Wang (15, 15)

Supreet Khandate (6, 6)

Head of Credit

FIG & Short Duration

John Burger, CFA

(30, 30)

BlackRock’s Fundamental Fixed Income Platform

Global sector specialists responsible for sector oversight, research, analysis, security selection, and trade execution

Securitized Assets

17 sector specialists

Municipals


US IG Corporate Credit


European Credit


Agency MBS


US Leveraged Finance


Emerging Markets


Asia Pacific


Global Rates Strategy


15


Competitive advantages

With its flexible investment approach, the Short Duration team can seek the most attractive current market

opportunities at the short end of the curve across the fixed income spectrum

Dedicated portfolio team that leverages scale and resources of BlackRock

Global infrastructure fosters a culture of information sharing

Use scale to generate trading efficiencies, lowering transaction costs

Deep capital markets participation creates unique access to investment opportunities

Approach blends dynamic asset allocation with bottom-up portfolio construction

Portfolio durations are generally managed within a narrow band

Diversified portfolio provide both yield and total return advantages

Flexibility to invest in global opportunities on the short end of the yield curve

Multi-sector oriented portfolio provides diversification benefits

Portfolios may allocate to global sectors

Local expertise in global rates, corporate credit and securitized asset markets

Ability to harness opportunities in niche markets

Provides unique access to diverse investment opportunities:

Asian Credit - Small/Mid-cap Corporates

Aviation (sector) - European Securitized Assets

Partner with risk management to analyze risks and improve investment process

Seeks to ensure risks are deliberate, diversified, and appropriately scaled

Monitor developments and potential impact on positioning

Robust infrastructure and valuation procedures

Breadth and Depth

Efficient Alpha

Diversification

Niche Markets

Risk Management

16


Investment philosophy & process

Fixed income investment philosophy

We believe we can consistently add value to client portfolios by combining manager skill, platform

breadth, our collective information advantage, and risk management

Resource Breadth

400+ FI professionals across

seven global investment

centers tap into shared

resources to create alpha

Identify and employ best ideas

through an unbiased and

research-driven approach

Manager Skill

Autonomous portfolio teams

own the investment

decisions in the portfolios they

manage

Information Edge

BlackRock’s scale provides

market access and enables

strong execution

Direct access to capital

markets and a first call when

investment opportunities arise

Risk Management

Differentiated risk analytics

platform enables investment

teams to better understand and

take risk in pursuit of alpha

Systematic risk budgeting

process helps ensure portfolio

risks are deliberate, diversified

and appropriately scaled

Our Fixed Income philosophy is based on four foundational pillars

For illustrative purposes only subject to change

17


1-3yr Agy

0.5%

1-3yr Tsy

0.9%

1-5yr

Corporate

2.9%


The return potential from active sector rotation is significant…

Significant performance dispersion among fixed income sectors has always existed

In 2008 and 2009 we saw historically high dispersion of returns – 2008 losers became 2009 winners

Increasing dispersion in spread sectors makes active sector rotation important

Calendar Year Fixed Income Total Returns by Sector

*Note: MBS 15 Year Index has an inception date of 04/01/03

Source: Barclays; 31 December 2015. Past performance is no guarantee of future results. You cannot invest directly in an index. For illustrative purposes only. Not to be construed as investment advice

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

ABS

10.8%

1-3yr

Credit

7.8%

1-3.5yr

CMBS

10.3%

1-3yr Tsy

8.4% 1-3yr Tsy

5.9%

1-5yr

Corporate

6.0%

1-3yr Tsy

1.9%

15yr MBS

4.2%

1-3yr Tsy

0.9%

1-3.5yr

CMBS

2.2%

1-5yr

Corporate

1.3%

1-5yr

Corporate

4.8%

1-3yr Tsy

3.9% ABS

2.2%

15yr MBS

8.5%

ABS

(12.7%)

Range of return

dispersion: 1–6%

Range of return

dispersion: 21–24%

ABS

24.7%

1-3yr Tsy

0.8%

Range of return

dispersion: 1–6%

1-3.5yr

CMBS

9.2%

1-3yr Agy

2.4%

ABS

5.1%

1-3yr Agy

1.5%

1-5yr

Corporate

6.2%

1-3yr Tsy

0.4%

1-3.5yr

CMBS

8.7%15yr MBS

7.3% 1-3yr

Corporate

1.7%

15yr MBS

(0.9%)

1-3yr TSY

0.6%

15yr MBS

4.1% 15yr MBS

1.3%

18

For use with institutional investors only — proprietary and confidential 19


BlackRock platform promotes idea sharing across multiple forums

CIO-led forums provide the structure for idea sharing

• Disciplined, structured process forms the basis for consistently diversified investment decisions

Frequency Forum Content

Daily

Morning MeetingPortfolio teams and sector specialists provide overnight market recap and discuss positioning

as well as risk events

Global Meeting Global portfolio teams and risk professionals provide multi-asset market recap

Positioning MeetingRisk team leads discussion of risk, positioning and performance as

Sector specialists update lead portfolio managers on changing views or positioning

Weekly

Macro Speaker SeriesExternal macro speaker addresses market views, prompting open dialog with BlackRock

investment professionals

Portfolio Strategy Lead portfolio managers review, discuss and debate top-down themes as well as risk posture

Sector Deep Dive Weekly rotation of sector specialists to provide in-depth fixed income sector insights

Investment StrategyCIO-led platform-wide discussion, focusing on bottom-up insights, themes, and trade ideas

from sector specialist teams

MonthlyCIO Monthly Markets

Call

Rick Rieder provides medium term horizon outlook and ongoing research designed to identify

the existing investment regime - open to clients

Low Duration investment team incorporates insights in to decision-making and portfolio construction process

IV. Market Review


Macro Overview

• Federal Reserve: As widely expected, the Fed held policy rates steady at its July monetary policy meeting. This biggest change in the released

statement was moving the timeline of the intended implementation to the changes of its reinvestment policy from “this year” to “relatively soon.” In

addition, it acknowledged the recent weakness in inflation, relative to the 2% target, while mentioning the continued strength in labor markets.

• US Economy: June macro data showed a continued gradual path of economic recovery, albeit at a much slower pace than expected. Preliminary Q2

GDP saw the US economy accelerating to 2.6% annualized, which is close to market estimates of 2.7% and follows Q1 growth of 1.2%. The main

drivers of the pick up in growth were consumer spending business fixed investment, while residential expenditures were the biggest detractor.

• Global Rates: The Bank of Canada introduced a 25 bps rate hike in July, becoming the first G10 central bank to follow the Fed, and the market has

priced in a 75% chance of another 25bps hike in October. The European Central Bank President Draghi was dovish, keeping the quantitative easing

bias untouched, citing a lack of sustained improvement in inflation; the Bank of Japan also holds pat. Core inflation in the Eurozone is running at 1.1%

vs. the targeted 2%, yet its unemployment rate falls to lowest since Feb 2009.

• Corporate Earnings: Industrials saw 90% of companies having beaten earnings. Yet, 70% are trading down after the announcement (-2% on

average), driven by unfavorable comps due to the bottoming of the industrial recession and unfavorable input costs. The tech sector has shown the

strongest earnings growth with EPS for the sector rising over 20% YoY, and consumer discretionary is the only sector showing a YoY earnings

decline (-2.7%).

Continued soft inflation data were among the main drivers which

led to lower market expectations for a rate hike in September

July 2017

Source: Thompson Reuters. Report as of 27 July, 2017.

The last two quarters of released earnings surprises beat the 5-

year average of 55% of reporting companies

Source: FactSet. Report as of 28 July, 2017

21

See appendix for information on economic data sources

41%

65%

47%

54%52%

62%

53%

65%

59%58%

46%51%

45%47%

53%53%55%

53%

65%

73%

0%

10%

20%

30%

40%

50%

60%

70%

80%

S&P 500: Positive Sales Surprise (% of Companies)


Federal Open Market Committee (FOMC)

Fed pushes up timeline of normalization program; odds drop for Sept rate hike

With maturity distribution of Fed-held Treasuries skewed to the

longer end, investors will monitor the longer end of the curve

• While the outcome of the FOMC’s July meeting, the last before its

August break, was uneventful from a monetary policy stance, the

change in verbiage concerning the timing of the balance sheet

reduction lowered the likelihood for a September rate hike.

– Timing for Reduction: The Committee pointed in its July statement

to a starting date of its implementation to changes to its reinvestment

policy to “relatively soon” from “this year.” We believe this effectively

moves forward the starting date for an announcement to September

rather than within Q4.

– Normalization: Fed-held Treasuries and MBS account for 95% of

the its $4.5trn balance sheet. Assuming normalization begins in

October and the runoff caps are always binding, the balance sheet

will shrink to $2.7trn by the end of 2020.

– Inflation: While the statement mentioned the continued strength in

labor markets, it also acknowledged the recent weakness in inflation,

relative to the 2% target.

July 2017

If the caps will be binding throughout the reduction process, the

balance sheet could decline to $2.9trn by the end of 2020

Core inflation remains to “plague” the inflation picture with Fed

Chair Yellen acknowledging as much the latest statement

Source: Thompson Reuters. Report as of 27 July, 2017.

22

Source: Federal Reserve, Barclays Research. Data as of 15 June, 2017.

See appendix for information on economic data sources.

Source: Federal Reserve, Haver Analytics.

Year

0.5

1.0

1.5

2.0

2.5

3.0

3.5

2009 2010 2011 2012 2013 2014 2015 2016 2017

Core PCE Core CPI

Avg. Hourly Earnings Fed's 2% Target

Year


US Economy

Q2 GDP report shows robust economic growth, though inflation remains at large

While the June Durable Goods Orders jumped 6.5% because of

the volatile aircraft category, recent data shows an upward trend

• The preliminary GDP report for Q2 showed a US economy that

continued to be supported by household consumption and

business spending bringing the annualize growth rate to 2.6%, a

lever of quarterly growth not seen since Q3 2016 with 2.7%.

– Growth was supported by private consumption, which rose 2.8%,

and by nonresidential fixed investment, which added 0.6%. The

rebound in activity was less than many expected as some

economists forecasted growth in the 3% region.

– Net trade also contributed to Q2 growth, for the second consecutive

quarter, as economic activity outside the US combined with decline

of USD since year-end boosted exports.

– Despite the good news, structural challenges within the retail sector

and particularly auto sales remain. Retail sales fell 0.2% in June with

the key control measure (ex-autos, gasoline and building materials)

falling 0.1% versus expectations for a 0.3% gain.

– Inflation also continued to be soft, as June core inflation only rose

0.1%, making this the weakest 4-month stretch in at least 60 years.

Source: BlackRock.* Data as of 30 November 2016.

July 2017

Preliminary Q2 GDP data showed a strong showing from net

trade (Exports) and personal consumption (PCE)

After a third straight rise in core inflation by 0.1% after a rare

0.1% drop in March, in 2017

23

Source: BEA, Haver Analytics, Barclays Research. Report as of 28 July, 2017.

See appendix for information on economic data sources. The BlackRock Economic Surprise index is defined as the weighted historical standard deviations of data surprises (actual

releases vs Bloomberg survey median). The weighting and relative importance of each economic data release is determined by BlackRock and is subjective.

% Q

oQ

SA

AR

Source: BLS, Haver Analytics. Report as of 28 July, 2017.Source: Census Bureau, JP Morgan. Report as of 16 June, 2017.


Source: Bloomberg. Data as of 31 July, 2017

Even though the US yield curve steepened slightly in July on an

earlier timeline for policy normalization, the curve flattened YTD

US Rates / Agencies / SSA

US yield curve slightly steepened as Fed pushed up timeline of normalization

Source: JPMorgan. Report as of 28 July 2017.

After a strong flattening of the US yield curve in June, July’s

steepening brought it back to levels not seen since early June

July 2017

• The US Treasury curve slightly steepened in July on the back of

more hawkish rhetoric by the FOMC by moving the timeline for

its balance sheet reduction to as early as September.

– Despite this mild bear steepening, the US yield curve flatten so far

this year as the Fed continues to raise interest rates (twice so far

this year). Another impetus for a flatter yield curve is the softer

inflation data over the past four months and legislative inertia from

the US capital.

– The continuation of the steepening trend has brought the 5s/30s

curve to its steepest level since just prior to the June FOMC

meeting. Fundamentally, the domestic growth outlook remains

strong, which added to the steepening bias in July.

– 10-year US Breakevens dropped below 1.8% after challenging the

upper resistance level in July. This is after the Employment Cost

Index (ECI) data was released showing only moderate salary

growth of 0.5% in Q2 after 0.8% in Q1 bringing the yearly rate to

2.4%.

Source: JPMorgan. Report as of 28 July 2017

24

See appendix for information on economic data sources.

Yie

ld S

pre

ad T

reasurie

s (

bps)

After rising above 1.8% in late July, 10-year US breakevens

dropped on additional disappointing inflation data from the ECI


Strong quarterly earnings and positive economic environment

led to further spread tightening in front end credit

Corporate Credit

Strong Q2 earnings and a benign economic picture led to tighter spreads

July 2017

Source: Barclays Research. Data as of 31 July 2017. Past performance is not a guarantee of

futures results. Index performance is for illustrative purposes only. It is not possible to invest

directly in an index. *Duration adjusted excess returns provided by Barclays. See appendix for

on economic data sources. Issuance data sourced from the BlackRock capital markets group.

• Return Summary:

– US 1-3 year Corporates had a monthly excess return of 19 bps

versus duration adjusted Treasuries in July bringing YTD returns to

102 bps.

• Issuance:

The month of July saw issuance volume of $107bn, which exceeded

the initial estimate of $90bn and bringing the YTD volume to $776bn.

This is roughly $20bn above LYTD levels. The split between

financials and industrials was roughly 60/40 with more than 90% of

new issuances trading up. Lastly, oversubscription remained robust

with roughly 2.7x of new issuance oversubscribed.

• Market Color:

Despite tight credit spreads, strong Q2 earnings and a benign

economic landscape kept investor from being fatigued seeking

exposure in corporate credit.

While front end credit spreads tightened further, idiosyncratic risk

factors in select sectors, such as telecommunication for example,

demand sector-specific relative-value trades to navigate risk

exposure.

Except for Telecom Services, revenue growth has been

reported across sectors for the second consecutive quarter

Source: FactSet. Report as of 28 July 2017

Barclays US Corporate Indices- Excess Return by Sector

Source: Barclays Research. Data as of 2 August, 2017

25

Op

tio

n A

dju

ste

d S

pre

ad

s i

n b

ps

17.5%

8.4%7.5% 7.1%

5.2% 4.7% 4.2% 3.9% 3.6% 3.1% 2.4%

-1.3%-5%

0%

5%

10%

15%

20%

S&P 500: Revenue Growth Q2 2017

Today 30-Jun

Excess

Returns

(bps)*

US Corp

1-3 YR

US Corp

3-5 YR

US Corp

10+ Yr

US Corp

IG Agg

July 2017 MTD YTD MTD YTD MTD YTD MTD YTD

Corporate 19 102 34 174 103 308 60 214

Financial 19 110 31 179 109 397 52 217

Industrial 19 97 35 172 99 297 61 215

Utility 23 92 41 154 121 239 84 187

40

50

60

70

80

90

100

110

120

US Corporate 1-3 Yr - OAS US Corporate 3-5 years - OAS


Excess returns versus Treasuries

Short Duration Sectors

* Unannualized

** Represented by US Floating Rate Corporates Index

*** Barclays US High Yield 1-5 Yr Cash Pay 2% Index

Source: Barclays Capital. 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.

July 2017

Duration-adjusted excess returns by sector (in basis

points)*

Barclays Index 2012 2013 2014 2015Q3

2016

Q4

20162016

Jan

2017

Feb

2017

Mar

2017

Q1

2017

Apr

2017

May

2017

June

2017

Q2

2017July YTD

Barclays Agg 226 93 12 -53 68 39 138 -3 15 -1 11 7 15 9 30 25 68

Agency 1-3 Yrs 58 23 8 -6 6 -5 12 7 3 5 14 3 6 3 12 3 29

MBS 15 Yrs 149 43 85 16 55 -5 10 -6 10 0 4 3 13 -18 -2 15 18

ABS Float. Rate 1-3 Yrs 95 47 62 21 38 18 118 17 13 10 40 10 9 3 22 7 69

CMBS 1-3.5 Yrs 521 95 93 -4 16 29 115 10 -8 9 11 10 24 5 38 2 51

Credit 1-3 Yrs 321 117 43 24 32 13 112 14 19 7 39 10 12 11 33 16 88

Credit 1-5 Yrs 453 157 56 13 57 16 148 19 26 6 51 16 17 13 46 23 122

50

US Float. Rate Credit** 398 117 66 41 62 50 172 16 28 14 58 11 12 14 37 16 112

US High Yield 1-5

Yrs***1409 878 -45 -598 499 323 1498 105 112 -6 212 65 51 24 141 55 415

26


Short Duration Positioning – Relative Value MapJuly 2017

Corporate Credit

We increased our banking overweight while proportionally increasing the underweight to consumer

oriented sectors. We are underweight retail, food/beverage, energy and tobacco. We are overweight

autos, media/cable and wireless carriers. Given the reduction in European tail risk we continue to see

value in European banks.

CMBS

We have focused our purchasing in higher beta expressions such as single asset single borrower

names and BBB issues as they look potentially attractive when compared to other higher beta spread

sectors.

ABS

Due to the strong labor market and positive technical environment we have maintained our positive

outlook on the sector. We favor higher quality issues such as prime autos, bank cards and AAA CLO’s.

Global Rates / Macro

Given modest inflation and mixed economic data, we have adopted a neutral duration stance with a bias

to buy on dips in the belly of the curve.

Agency MBS

Given our view that volatility will remain low, we maintain a positive view on 15-year pass throughs and

CMOs. We also prefer pools to TBAs (To Be Announced MBS). As the sector tightened over the month,

we have not been increasing our allocation.

Agency / Gov’t Guaranteed / Supranationals

We favor covered bonds, Canadian provincials and Dutch sovereigns. Persistent spread tightening in

other sub-sectors such as US agencies have made much of the sector appear overvalued.

Rela

tive V

alu

e S

co

re

*The opinions expressed are as of 31 July 2017 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 their opinion of relative value in each sector and is not derived from a mathematical model.

= Current Month

=Prior Month

Short LongNeutral-4 -3 -2 -1 0 +1 +2 +3 +4 +5-5

Reduce AddNeutral

-4 -3 -2 -1 0 +1 +2 +3 +4 +5-5

Reduce AddNeutral

-4 -3 -2 -1 0 +1 +2 +3 +4 +5-5

Reduce AddNeutral

-4 -3 -2 -1 0 +1 +2 +3 +4 +5-5

Reduce AddNeutral-4 -3 -2 -1 0 +1 +2 +3 +4 +5-5

Reduce AddNeutral

-4 -3 -2 -1 0 +1 +2 +3 +4 +5-5

=2Q 2017

27

V. CalTRUST Short Duration Portfolios


Credit Quality (% NAV) Sector Allocation Changes (%NAV)

Portfolio duration vs. benchmark (Years) Portfolio characteristics

CalTRUST Short Term Bond Fund

Portfolio Composition

36%

25%

7%

30%

2% GOVT

AAA

AA

A

BBB

Portfolio Benchmark Difference

Effective Duration (yrs.) 0.51 0.52 -0.01

Spread Duration 0.72 0.18 0.54

Convexity -0.02 0.00 -0.02

Yield (%) 1.34 1.28 0.06

Avg Credit Qual (Mdy/S&P) Aa2/AA- Aa1/AA -

Floating Rate Bonds (%) 24

Source: BlackRock

July 31, 2017

0.40

0.42

0.44

0.46

0.48

0.50

0.52

0.54

0.56

5-Jul-17 12-Jul-17 19-Jul-17 26-Jul-17

CalTrust Short Term Bond Fund

BBG Barclays Short Term Gov't/Corp. Index

20%

16%

9%

14%

0.1%

20%

8%

1% 1%

11%

15% 15%

7%

14%

0.1%

21%

8%

1%2%

17%

0%

5%

10%

15%

20%

25%

7/6/2017 7/31/2017


14%

6%

0%

11%

42%

14%

0%3%

10%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

7/31/2017

CalTRUST Short Term Bond FundPositioning

Effective Duration and WAL Breakdown (% NAV)

75%

19%

5%1%

92%

8%

0% 0%0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<1 1-3 2-3 3-5

WAL %NAV Duration %NAV

Spread Duration (% NAV)

Source: BlackRock

-0.05-0.04

0.07

-0.08

-0.06

-0.04

-0.02

0.00

0.02

0.04

0.06

0.08

3M 1Yr 2Yr

Active Portfolio Yield Curve Positioning (years)

July 31, 2017


Credit Quality (% NAV) Sector Allocation Changes (%NAV)

Portfolio duration vs. benchmark (Years) Portfolio characteristics

CalTRUST Medium Term Bond Fund

Portfolio Composition

32%

28%

14%

23%

3% GOVT

AAA

AA

A

BBB

Portfolio Benchmark Difference

Effective Duration (yrs.) 1.84 1.89 -0.05

Spread Duration 1.57 0.61 0.96

Convexity 0.04 0.03 0.01

Yield (%) 1.57 1.47 0.10

Avg Credit Qual (Mdy/S&P) Aa2/AA Aa1/AA -

Floating Rate Bonds (%) 1

Source: BlackRock

July 31, 2017

1.60

1.65

1.70

1.75

1.80

1.85

1.90

1.95

5-Jul-17 12-Jul-17 19-Jul-17 26-Jul-17

CalTRUST Medium Term Bond Fund

BofA ML Gov't/Corp 1-3 YR Ex. BBB Index

16%

25%

8%

13%

20%

8%

0.4%

9%

1%

14%

18%

10%

17%

22%

7%

0.4%

12%

0%0%

5%

10%

15%

20%

25%

30%

7/6/2017 7/31/2017


23%

13% 13%

28%

11%

1%

11%

0%

5%

10%

15%

20%

25%

30%

7/31/2017

CalTRUST Medium Term Bond FundPositioning

Effective Duration and WAL Breakdown (% NAV)

11%

47%

39%

3%

13%

51%

34%

2%

0%

10%

20%

30%

40%

50%

60%

<1 1-3 2-3 3-5

WAL %NAV Duration %NAV

Spread Duration (% NAV)

Source: BlackRock

0.03

-0.09

-0.07

0.01

-0.12

-0.10

-0.08

-0.06

-0.04

-0.02

0.00

0.02

0.04

0.06

0.08

3M 1Yr 2Yr 3Yr 5Yr

Active Portfolio Yield Curve Positioning (years)

July 31, 2017

Appendix


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.

Joseph Markowski, Director and portfolio manager, is a member of BlackRock's Cash Management Group.

He is responsible for managing government and treasury money market portfolios. Prior to moving to his current role in 2008, Mr. Markowski

was a member of BlackRock's Fixed Income Portfolio Management Group. In this role, he was responsible for financing the firm's leveraged

funds and alternative products. Mr. Markowski joined BlackRock in 1993 as a member of the Global Client Group, where he was responsible

for marketing and sales support for the firm's institutional liquidity business.

Mr. Markowski earned a BS degree in finance from Drexel University in 1994.

Biographies of key investment professionals

34


This material is for distribution only to those types of recipients as provided below and should not be relied upon by any other persons. This material is provided for

informational purposes only and does not constitute a solicitation in any jurisdiction in which such solicitation is unlawful or to any person to whom it is unlawful.

Moreover, it neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer to

enter into an investment agreement.

This material may contain “forward-looking” information that is not purely historical in nature. Such information may include, among other things, projections, forecasts,

estimates of yields or returns, and proposed or expected portfolio composition. Moreover, where certain historical performance information of other investment vehicles

or composite accounts managed by BlackRock, Inc. and/or its subsidiaries (together, “BlackRock”) has been included in this ma terial and such performance information

is presented by way of example only. No representation is made that the performance presented will be achieved, or that every assumption made in achieving,

calculating or presenting either the forward-looking information or the historical performance information herein has been considered or stated in preparing this material.

Any changes to assumptions that may have been made in preparing this material could have a material impact on the investment returns that are presented herein by

way of example.

This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities

or to adopt any investment strategy. The opinions expressed are as of March 2017 and may change as subsequent conditions vary. The information and opinions

contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all-inclusive and are not

guaranteed as to accuracy. There is no guarantee that any forecasts made will come to pass. Any investments named within this material may not necessarily be held in

any accounts managed by BlackRock. Reliance upon information in this material is at the sole discretion of the reader. Past performance is no guarantee of future

results.

In the US this material is for institutional investors only.

Past performance is not a guide to future performance. The value of investments and the income from them can fall as well as rise and is not guaranteed. You may not

get back the amount originally invested. Changes in the rates of exchange between currencies may cause the value of investments to diminish or increase. Fluctuation

may be particularly marked in the case of a higher volatility fund and the value of an investment may fall suddenly and substantially. Levels and basis of taxation may

change from time to time.

Any research in this document has been procured and may have been acted on by BlackRock for its own purpose. The results of such research are being made

available only incidentally. The views expressed do not constitute investment or any other advice and are subject to change. They do not necessarily reflect the views of

any company in the BlackRock Group or any part thereof and no assurances are made as to their accuracy.

This document is for information purposes only and does not constitute an offer or invitation to anyone to invest in any BlackRock funds and has not been prepared in

connection with any such offer.

This document contains general information only and is not intended to represent general or specific investment advice. The information does not take into account your

financial circumstances. An assessment should be made as to whether the information is appropriate for you having regard to your objectives, financial situation and

needs.

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

© 2017 BlackRock, Inc. All Rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, iSHARES, BUILD ON BLACKROCK, SO WHAT DO I DO WITH MY MONEY

and the stylized i logo are registered and unregistered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are

those of their respective owners.

Important Notes

Important Notes- BlackRock Liquidity Funds

Footnotes

You should consider the investment objectives, risks and expenses of the Funds carefully before investing. The Funds’ prospectuses and, if available summary prospectuses, contain thisand other information about the Funds and are available by calling our Client Service Center at 800-441-7450 or by visiting www.blackrock.com/cash. Please read the prospectus carefullybefore investing.

1 Dollar-Weighted Average Maturity - the average maturity of a fund is the average amount of time until the organizations that issued the debt securities in the fund’s portfolio must pay off the principal

amount of the debt. “Dollar-weighted” means the larger the dollar value of a debt security in the fund, the more weight it gets in calculating this average. To calculate the dollar-weighted average maturity,

the fund may treat a variable or floating rate security as having a maturity equal to the time remaining to the security’s next interest rate reset date rather than the security’s actual maturity. 2 Dollar-

Weighted Average Life - the dollar-weighted average maturity of a fund’s portfolio calculated without reference to the exceptions used for variable or floating rate securities regarding the use of the

interest rate reset dates in lieu of the security’s actual maturity date. “Dollar-weighted” means the larger the dollar value of a debt security in the fund, the more weight it gets in calculating this average.3 7-Day SEC Yield: The 7-Day yield is computed in accordance with methods prescribed by the SEC .The 7-Day SEC yield excludes distributed capital gains/losses. 4 Average annualized 30-day yields

are based on net investment income and distributed gains or losses for the period shown. Yields will fluctuate as market conditions change. 5 Expenses are as of the most current prospectus. Investment

dividend expense, interest expense, acquired fund fees and expenses and certain other fund expenses are included in the Net, Including Investment Related expenses and excluded from the Net,

Excluding Investment Related expenses. BlackRock may contractually agree to waive or reimburse certain fees and expenses until a specified date. Contractual waivers are terminable upon 90 days’

notice by a majority of the funds non-interested trustees or by a vote of the majority of the outstanding voting securities of the fund. The investment advisor and/or other service providers may also

voluntarily agree to waive certain fees and expenses which can be discontinued at any time without notice. When waivers or reimbursements are in place, the operating expenses are reduced and total

returns to the shareholder in the fund increase. Please see the prospectus for additional information. 6 A rating by Standard & Poor’s and/or Moody’s Investor Service applies to the credit quality of the

portfolio and is not a recommendation to buy, sell or hold securities of the Funds and does not remove market risks associated with investments in the Fund. 7 The Fund’s current yield more closely

reflects the current earnings of the Fund than the total net return quotations.

One should consider the investment objectives, risks and expenses of the Funds carefully before investing.

Disclosures related to TempFund, TempCash, and MuniCash: You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares

they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the

Fund's liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance

Corporation or any other government agency. The Fund'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 the Fund at any time.

Prepared by BlackRock Investments, LLC, member FINRA.

©2017 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.

For Institutional and Financial Professional Use Only-Proprietary and Confidential 36

http://www.blackrock.com/cash

Important Notes- BlackRock Liquidity Funds

Footnotes

You should consider the investment objectives, risks and expenses of the Funds carefully before investing. The Funds’ prospectuses and, if available summary prospectuses, contain thisand other information about the Funds and are available by calling our Client Service Center at 800-441-7450 or by visiting www.blackrock.com/cash. Please read the prospectus carefullybefore investing.

1 Dollar-Weighted Average Maturity - the average maturity of a fund is the average amount of time until the organizations that issued the debt securities in the fund’s portfolio must pay off the principal

amount of the debt. “Dollar-weighted” means the larger the dollar value of a debt security in the fund, the more weight it gets in calculating this average. To calculate the dollar-weighted average maturity,

the fund may treat a variable or floating rate security as having a maturity equal to the time remaining to the security’s next interest rate reset date rather than the security’s actual maturity. 2 Dollar-

Weighted Average Life - the dollar-weighted average maturity of a fund’s portfolio calculated without reference to the exceptions used for variable or floating rate securities regarding the use of the

interest rate reset dates in lieu of the security’s actual maturity date. “Dollar-weighted” means the larger the dollar value of a debt security in the fund, the more weight it gets in calculating this average.3 7-Day SEC Yield: The 7-Day yield is computed in accordance with methods prescribed by the SEC .The 7-Day SEC yield excludes distributed capital gains/losses. 4 Average annualized 30-day yields

are based on net investment income and distributed gains or losses for the period shown. Yields will fluctuate as market conditions change. 5 Expenses are as of the most current prospectus. Investment

dividend expense, interest expense, acquired fund fees and expenses and certain other fund expenses are included in the Net, Including Investment Related expenses and excluded from the Net,

Excluding Investment Related expenses. BlackRock may contractually agree to waive or reimburse certain fees and expenses until a specified date. Contractual waivers are terminable upon 90 days’

notice by a majority of the funds non-interested trustees or by a vote of the majority of the outstanding voting securities of the fund. The investment advisor and/or other service providers may also

voluntarily agree to waive certain fees and expenses which can be discontinued at any time without notice. When waivers or reimbursements are in place, the operating expenses are reduced and total

returns to the shareholder in the fund increase. Please see the prospectus for additional information. 6 A rating by Standard & Poor’s and/or Moody’s Investor Service applies to the credit quality of the

portfolio and is not a recommendation to buy, sell or hold securities of the Funds and does not remove market risks associated with investments in the Fund. 7 The Fund’s current yield more closely

reflects the current earnings of the Fund than the total net return quotations.

One should consider the investment objectives, risks and expenses of the Funds carefully before investing.

Disclosures related to Federal Trust, FedFund, T-Fund, Treasury Trust: You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at

$1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The

Fund'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 the Fund at any time.

Prepared by BlackRock Investments, LLC, member FINRA.

©2017 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.

For Institutional and Financial Professional Use Only-Proprietary and Confidential 37

http://www.blackrock.com/cash


Important Notes

This material is for distribution only to those types of recipients as provided below and should not be relied upon by any other persons. This material is provided for

informational purposes only and does not constitute a solicitation in any jurisdiction in which such solicitation is unlawful or to any person to whom it is unlawful.

Moreover, it neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer

to enter into an investment agreement.

This material may contain “forward-looking” information that is not purely historical in nature. Such information may include, among other things, projections,

forecasts, estimates of yields or returns, and proposed or expected portfolio composition. Moreover, where certain historical performance information of other

investment vehicles or composite accounts managed by BlackRock, Inc. and/or its subsidiaries (together, “BlackRock”) has been included in this material and such

performance information is presented by way of example only. No representation is made that the performance presented will be achieved, or that every assumption

made in achieving, calculating or presenting either the forward-looking information or the historical performance information herein has been considered or stated in

preparing this material. Any changes to assumptions that may have been made in preparing this material could have a material impact on the investment returns that

are presented herein by way of example.

This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any

securities or to adopt any investment strategy. The opinions expressed are as of December 2016 and may change as subsequent conditions vary. The information

and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all-inclusive

and are not guaranteed as to accuracy. There is no guarantee that any forecasts made will come to pass. Any investments named within this material may not

necessarily be held in any accounts managed by BlackRock. Reliance upon information in this material is at the sole discretion of the reader. Past performance is no

guarantee of future results.

In the US this material is for institutional investors only.

This material is for distribution to Professional Clients (as defined by the FCA Rules) and Qualified Investors only and should not be relied upon by any other persons.

Issued by BlackRock Investment Management (UK) Limited, authorised and regulated by the Financial Conduct Authority. Registered office: 12 Throgmorton Avenue,

London, EC2N 2DL. Tel: 020 7743 3000. Registered in England No. 2020394. For your protection telephone calls are usually recorded. BlackRock is a trading name

of BlackRock Investment Management (UK) Limited.

Past performance is not a guide to future performance. The value of investments and the income from them can fall as well as rise and is not guaranteed. You may

not get back the amount originally invested. Changes in the rates of exchange between currencies may cause the value of investments to diminish or increase.

Fluctuation may be particularly marked in the case of a higher volatility fund and the value of an investment may fall suddenly and substantially. Levels and basis of

taxation may change from time to time.

Any research in this document has been procured and may have been acted on by BlackRock for its own purpose. The results of such research are being made

available only incidentally. The views expressed do not constitute investment or any other advice and are subject to change. They do not necessarily reflect the views

of any company in the BlackRock Group or any part thereof and no assurances are made as to their accuracy.

This document is for information purposes only and does not constitute an offer or invitation to anyone to invest in any BlackRock funds and has not been prepared in

connection with any such offer.

CONTINUED ON NEXT PAGE

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This document contains general information only and is not intended to represent general or specific investment advice. The information does not take into account

your financial circumstances. An assessment should be made as to whether the information is appropriate for you having regard to your objectives, financial situation

and needs.

Disclosures related to institutional prime and institutional municipal money market funds: You could lose money by investing in the Fund. Because the

share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may

impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund's liquidity falls below required minimums because

of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other

government agency. The Fund'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 the Fund at any time.

Disclosures related to retail money market funds : You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your

investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance

Corporation or any other government agency. The Fund'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 the Fund at any time.

Disclosures related to government money market funds : You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of

your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit

Insurance Corporation or any other government agency. The Fund'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 the Fund at any time.

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

© 2016 BlackRock, Inc. All Rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, iSHARES, BUILD ON BLACKROCK, SO WHAT DO I DO WITH MY MONEY

and the stylized i logo are registered and unregistered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are

those of their respective owners.

Important Notes

39

Documents

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