BlackRock Investment Management, LLC Style: US Taxable ...

Strategy Status: Closed. Strategy closed to new accounts and open to additional assets

Blackrock PPM Fndmntl Txble FI (BLK-3)

Style: US Taxable Core, GIMA Status: Approved, Program Inception: 09/28/2010, Strategy Minimum: $250,000

EXECUTIVE SUMMARY

To help you better understand the performance results of third-party investment manager strategies within our Select UMA Program, we are including additional information within

manager profiles that may inform your decision to invest in this strategy:

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The performance results displayed in this profile may include a composite of Morgan Stanley accounts enrolled in the strategy . These are unshaded in the

Investment Results and Portfolio Quarterly Returns sections of the profile with the Select UMA label.

The results also display the performance of the manager¡¯s own composite of accounts invested in its version of the investment strategy , prior to the strategy¡¯s

inception in the Select UMA program. These are shaded in grey and labeled Manager. While this performance is relevant, it does not reflect the role that Morgan

Stanley plays in delivering this strategy, which is reflected in the unshaded portion of the Investment Results and Portfolio Quarterly Returns sections of the

profile. Morgan Stanley works in tandem, with the manager, to deliver this strategy to its clients. For this reason, Morgan Stanley does not display the manager¡¯s

own composite of accounts invested in its version of the investment strategy beyond the transition month . As a result, the manager¡¯s results and the strategy¡¯s

results may differ, as discussed in further detail below.

If the transition month between the manager¡¯s results and the strategy¡¯s results occurs in the middle of a quarter , that quarter or year will be shaded blue in the

Investment Results and Portfolio Quarterly Returns sections of the profile and labeled Transition.

The manager exercises discretion in selecting securities for your account, but differences between the manager¡¯s prior gross results and the strategy¡¯s ongoing gross results

may arise from variations in who executes the strategy or how it is implemented:

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Some managers may deliver a model portfolio to Morgan Stanley, which may ultimately be responsible for executing those investment decisions.

In some cases, the manager may act as an "executing manager," which means it implements its investment decisions and transactions directly instead of

delivering instructions to Morgan Stanley.

The manager¡¯s prior performance results are based on accounts that do not participate in the Select UMA program, with investment and operational differences

such as account size and/or level of customization.

There may be other reasons why the performance results differ from those of individual Select UMA accounts managed in the same or a substantially similar

investment strategy. For example, Morgan Stanley may deviate from strategy models when applying client-requested restrictions.

If you have any questions about any of the information included in this profile, please contact your Morgan Stanley team.

Past performance is not a guarantee of future results. Actual individual account results may differ from the performance shown in this profile. There is no guarantee that any

investment strategy will achieve its intended results under all market conditions. Do not rely upon this profile as the sole basis for your investment decisions.

For MAPS Third Party Model Portfolios, ¡®Manager¡¯ illustrated performance is that of the Model Portfolio Provider.

The subsequent pages contain important disclosures and a glossary of terms. Information as of March 31, 2024, unless otherwise noted and is subject to change.

Strategy Status: Closed. Strategy closed to new accounts and open to additional assets

Blackrock PPM Fndmntl Txble FI (BLK-3)

Style: US Taxable Core, GIMA Status: Approved, Program Inception: 09/28/2010, Strategy Minimum: $250,000

Strategy Overview

Target Portfolio Characteristics

BlackRock PPM Fundamental Core Taxable SMA

applies the same controlled-duration, relative

value sector rotation and security selection

approach to the management of all its

fundamental fixed income mandates. The

distinguishing feature of BlackRock's investment

management style has been the ability to

generate alpha within a risk-controlled

framework. Real-time analysis of a vast array of

risk measures allows them to assess the

potential impact of various sector and security

strategies on total return. As a result, BlackRock

believes consistent value is added and

performance volatility is limited.

Description

Number of security holdings:

Portfolio Manager Details

Values

Manager Name

Term

15 to 30

Matthew Wang

January 2001 - Present

Average maturity:

5.0 to 10.0 years

Average duration:

4.4 to 6.5 years

Average coupon:

Average turnover rate:

Eligible Investments:

1

3.10

30 to 70%

¡ª

Manager's Investment Process

? BlackRock adds value through relative value sector/sub-sector rotation and security selection.

? BlackRock performs rigorous quantitative analysis to the valuation of each security and of the portfolio as a whole.

? BlackRock performs intense credit analysis and review.

1

For more information on Portfolio Managers, please refer to this manager¡¯s Form ADV wealth-investmentsolutions/advbrochures.

The subsequent pages contain important disclosures and a glossary of terms. Information as of March 31, 2024, unless otherwise noted and is subject to change.

Page 2 of 10

Strategy Status: Closed. Strategy closed to new accounts and open to additional assets

Blackrock PPM Fndmntl Txble FI (BLK-3)

Style: US Taxable Core, GIMA Status: Approved, Program Inception: 09/28/2010, Strategy Minimum: $250,000

Fixed Income Sector Distribution (%)

Portfolio Statistics

03/24

¡ª

39

4.9%

¡ª

5.4%

¡ª

¡ª

¡ª

Avg maturity

8.6 yrs.

¡ª

8.59 yrs.

Avg duration

6.11 yrs.

¡ª

6.16 yrs.

3.1%

¡ª

2.9%

Distribution Rate

Avg coupon

Portfolio's Maturity Structure (%) +

03/24

12/23

09/23

06/23

03/24

12/23

09/23

06/23

39.94

39.57

41.09

43.32

0.00

0.00

22.24

25.43

0 to 2 Years

12.67

14.66

15.46

15.92

Open-End Funds

2 to 4 Years

13.27

13.21

14.34

14.93

Industrials ?

20.20

20.52

19.27

19.70

Financials ?

11.20

10.30

10.37

8.94

4 to 6 Years

14.99

10.50

8.28

8.55

6 to 8 Years

11.80

12.43

11.36

11.25

Asset-Backed Securities

27.22

27.81

5.96

1.58

8 to 12 Years

29.78

30.87

34.69

32.23

Cash/Cash Equivalents

1.44

1.80

1.07

1.03

3.23

0.83

0.78

0.00

12.82

15.70

14.02

16.09

1.44

1.80

1.07

1.03

Cash/Cash Equivalents

09/23

06/23

0.00

6.45

45.43

AA

68.41

68.63

43.10

2.08

A

16.60

14.45

13.55

11.71

BBB

13.55

15.12

13.59

14.32

Sector breakdown by style (%)

U.S. Treasury

Over 17 Years

12/23

0.00

AAA

Sector Breakdown

12 to 17 Years

03/24

Investment Grade

BlackRock

41

Yield

Portfolio's Credit Quality Structure (%) +

09/23

BlackRock Index***

Number of security holdings

+

Below Investment Grade

BB

0.00

0.00

0.00

0.00

B

0.00

0.00

0.00

0.00

Below B

0.00

0.00

0.00

0.00

Not Rated

1.44

1.80

23.31

26.46

Cash/Cash Equivalents

0.00

0.00

0.00

0.00

?High Grade Corporates

?Total may not equal 100% due to rounding.

***Index : BC Aggregate

The subsequent pages contain important disclosures and a glossary of terms. Information as of March 31, 2024, unless otherwise noted and is subject to change.

Page 3 of 10

Strategy Status: Closed. Strategy closed to new accounts and open to additional assets

Blackrock PPM Fndmntl Txble FI (BLK-3)

Style: US Taxable Core, GIMA Status: Approved, Program Inception: 09/28/2010, Strategy Minimum: $250,000

Strategy Inception Date: 01/1981 ?, Morgan Stanley Composite Date: 10/2011 ?

Average Annual Total Return (%) - Periods Ending 03/31/24

12.00

Rate of Return (%)

8.00

6.80

6.55

4.08

4.00

1.70

1.66

0.69

0.36

0.00

-0.58

-1.83

-4.00

1.62

-0.61

-1.52

-2.46

1.54

-3.99

-8.00

1Yr

BlackRock (Gross)

BlackRock (Net)

Primary Benchmark

3Yr

2022

10Yr

Since Inception

1yr

1.66

3yr

-1.83

5yr

0.69

10yr

1.62

Inception

6.80

-0.58

-3.99

-1.52

-0.61

4.08

1.70

-2.46

0.36

1.54

6.55

Calendar-Year Performance (%)

2023

5Yr

2

2021

Portfolio Quarterly Returns (%)

2020

2019

2018

2017

2016

2015

2014

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

Quarter 1

Gross

-0.71

2.93

-5.24

-3.30

2.03

3.12

-1.49

0.77

2.90

1.54

1.52

Net

2.37

-5.77

-3.84

1.47

2.55

-2.04

0.21

2.33

0.99

0.96

Quarter 2

Gross

-0.80

-3.95

1.96

4.00

2.97

0.03

1.38

1.86

-1.46

1.64

Net

-1.35

-4.50

1.40

3.43

2.40

-0.53

0.82

1.29

-2.01

1.08

Quarter 3

Gross

-3.19

-4.15

-0.03

0.64

2.08

0.25

0.97

0.27

1.16

-0.02

Net

-3.73

-4.67

-0.58

0.09

1.52

-0.30

0.41

-0.28

0.60

-0.57

Quarter 4

Gross

6.62

1.73

-0.06

0.54

0.24

1.09

0.40

-2.76

-0.20

1.44

Net

6.02

1.16

-0.61

-0.02

-0.31

0.52

-0.15

-3.30

-0.75

0.88

BlackRock (Gross)

5.38 -11.24

-1.48

7.36

8.66

-0.14

3.56

2.20

1.02

4.65

BlackRock (Net)

3.07 -13.22

-3.65

5.03

6.28

-2.35

1.29

-0.05

-1.19

2.36

Primary Benchmark

5.53 -13.01

-1.54

7.51

8.72

0.01

3.54

2.65

0.55

5.96

0.

Manager

Transition

Select UMA

1. Statistics are calculated using gross of fee performance only.

2. Bloomberg US Aggregate was used as the Primary Benchmark, the 90-Day T-Bills Index as the

Risk-free Benchmark

3. For more information on these dates please see the Glossary of Terms section

-1.26

See important notes and disclosures pages for a discussion of the sources of the performance data used to calculate the performance results and related analyses shown above.

The subsequent pages contain important disclosures and a glossary of terms. Information as of March 31, 2024, unless otherwise noted and is subject to change.

Page 4 of 10

Strategy Status: Closed. Strategy closed to new accounts and open to additional assets

Blackrock PPM Fndmntl Txble FI (BLK-3)

Style: US Taxable Core, GIMA Status: Approved, Program Inception: 09/28/2010, Strategy Minimum: $250,000

Risk/Return Analysis

Investing in securities entails risks, including: Fixed Income securities may be sensitive to changes in

prevailing interest rates. When rates rise the value generally declines. U.S. Treasuries are guaranteed by the

U.S. government and, if held to maturity, offer a fixed rate of return and fixed principal value. Bonds rated

below investment grade may have speculative characteristics and present significant risks beyond those of

other securities, including greater credit risk and price volatility in the secondary market. If a strategy

expects to hold a concentrated portfolio of a limited number of securities, it should be noted that a decline

in the value of these investments would cause the portfolio¡¯s overall value to decline to a greater degree

than that of a less concentrated portfolio.

2

- 5 Years Ending 03/31/24

3

2

Rate of Return(%)

Risk Consideration

1

0

-1

-2

1

2

3

4

5

6

7

Standard Deviation(%)

Risk Volatility (%)

2

STD

ROR

BlackRock (Gross)

6.06

0.69

BlackRock (Net)

6.04

-1.52

Primary Benchmark

6.46

0.36

Risk-free Benchmark

1.06

2.07

Portfolio's Risk Statistics - Periods Ending 03/31/24

3 Year

5 Year

Standard Deviation

6.84%

6.06%

Standard Deviation of Primary Benchmark

Rate of Return (%)

8

4

7.39%

6.46%

Sharpe Ratio

-0.66

-0.23

Sharpe Ratio of Primary Benchmark

-0.70

-0.26

0.23%

0.20%

Alpha

0

Beta

Downside Risk

-4

R-Squared

Tracking Error

Information Ratio

-8

2019*

2020

2021

2022

2023

1 2

0.92

0.93

0.16%

0.54%

1.00

0.98

0.67%

0.91%

0.93

0.36

2024**

**01/01/24-03/31/24

*04/01/19-12/31/19

1. Statistics are calculated using gross of fee performance only.

2. Bloomberg US Aggregate was used as the Primary Benchmark, the 90-Day T-Bills Index as the Risk-free

Benchmark

3. For more information on these dates please see the Glossary of Terms section

The subsequent pages contain important disclosures and a glossary of terms. Information as of March 31, 2024, unless otherwise noted and is subject to change.

Page 5 of 10

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