The BlackRock Dynamic Factor Index (the “Index”) objective is to offer diversified multi-asset exposure for a given target volatility. The Index invests in up to eight exchange-traded funds (five Equity ETFs and three Fixed Income ETFs) and a Cash Constituent, subject to a target volatility of 5% (the “Target Volatility”). The Index seeks to provide dynamic exposure to broad factors using economic regime observations, stock level fundamentals and momentum insights by monthly rebalancing its allocation to the five Equity ETFs based on certain relationships between the Equity ETFs and the common factors, as described in greater detail below. The Index also seeks to achieve a 5% Target Volatility by investing in the Fixed Income ETFs and the Cash Constituent, as described in greater detail herein.

The Equity ETFs emphasize broad, persistent drivers of Return, consisting of the following factor strategies (which are separate from the factor strategies used by the Index):

• Value – stocks with lower valuations based on fundamentals

• Momentum – stocks exhibiting strong recent price trends
• Quality – stocks with strong and stable balance sheets
• Size – smaller, more nimble companies
• Minimum Volatility – stocks with lower levels of historical volatility

The Index tracks the Return of the weighted ETFs and any Cash Constituent above the sum of the Return on the Interest Rate and the Index Fee.