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Investable Indices Monthly Fact Sheet June 2017 Merrill Lynch RPM Index™ General Information: Asset Class Currency Bloomberg Ticker Live Date Base Date Valuation Frequency Index Liquidity Index Sponsor Source: Bloomberg Index Overview Multi Asset USD MLRPM 01-Mar-2016 28-Mar- 2002 2014 Daily Daily Merrill Lynch International The Merrill Lynch RPM Index™ (the “Index”) tracks a rules-based strategy that represents a hypothetical variable investment in a portfolio containing several types of asset, including equities, commodities and fixed income. The portfolio contains long positions in up to seven underlying assets: (i) S&P Low Volatility Index (“SP5LVIT”); (ii) iShares MSCI EAFE Index Fund (“EFA”); (iii) iShares MSCI Emerging Markets Index Fund (“EEM”); (iv) SPDR Gold Shares ETF (“GLD”); (v) Merrill Lynch 10-Year U.S. Treasury Futures Index (“MLT1US10”); (vi) iShares Dow Jones US Real Estate ETF (“IYR”); and (vii) Merrill Lynch 2-Year Treasury Futures Index (“MLT1US02”) (each, an “Underlying Component” and collectively, the “Underlying Components”). The Index uses historical volatility and correlation measures to create a risk parity portfolio and then overlays a momentum indicator to help navigate away from downward trending Underlying Components. Each day the Index adjusts its position between the portfolio and cash with a target of realized volatility of 5% annualized. The portfolio position may fluctuate between 0% and 150% of the Index level. Accordingly, the Index may utilize leverage to amplify the returns of the portfolio. The portion of the Index allocated to cash accrues interest, while a leveraged portion of the Index has interest deducted. In either case, the interest rate used is USD 3-month LIBOR. The index is excess USD 3-month LIBOR. Index Performance (as of June 30, 2017) The Index was created on March 1, 2016. Levels for the Index before March 1, 2016 represent hypothetical data determined by retroactive application of a backtested model, itself designed with the benefit of hindsight. Past performance is not indicative of future performance. Actual performance will vary, perhaps materially, from the performance set forth herein. The performance of the Index does not include fees or costs of any financial instrument referencing the index. 260 Merrill Lynch RPM Index 230 200 170 140 110 80 Mar-02 Mar-04 Source: Bloomberg. Mar-06 Mar-08 Mar-10 Mar-12 Mar-14 Mar-16 Investable Indices Monthly Fact Sheet June 2017 Index Constituents ML RPM Index Constituents Underlying Equities S&P Low Volatility Index iShares MSCI EAFE Index Fund iShres MSCI Emerging Mkts Index Fund Fixed Income Merrill Lynch 10 yr U.S. Treasury Futures Index Merrill Lynch 2 yr U.S. Treasury Futures Index Real Assets SPDR Gold Shares ETF iShares Dow Jones US Real Estate ETF Ticker SP5LVIT EFA EEM MLT1US10 MLT1US02 GLD IYR Historical Index and Asset Weights 100% 90% 80% 70% MLT1US02 Weight 60% MLT1US10 Weight EFA Weight 50% IYR Weight GLD Weight 40% EEM Weight SP5LVIT Weight 30% 20% 10% 0% Mar-02 Mar-04 Mar-06 Mar-08 Mar-10 Mar-12 Mar-14 Mar-16 Investable Indices Monthly Fact Sheet June 2017 Historical Participation Rates Target Volatility Participation 150% 120% 90% 60% 30% 0% Mar-02 Mar-04 Mar-06 Mar-08 Mar-10 Mar-12 Mar-14 Mar-16 Monthly Historical Performance Source: Bloomberg (as of 6/30/17) 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Jan 1.17% 0.66% 2.90% -1.62% 0.36% 1.38% -0.15% -0.68% -1.08% 2.09% 0.71% 2.32% -1.29% Feb 0.96% 1.00% -1.82% 1.80% 1.34% -0.36% 0.50% 0.95% -0.07% 1.82% 0.79% -0.49% 1.43% Mar 1.19% 0.65% 0.15% -0.62% 1.52% -0.57% 0.24% 1.00% 1.31% 0.14% -0.46% 0.10% -1.87% Apr 1.00% 0.38% -0.68% 1.35% 2.76% 1.78% 3.30% 1.57% -1.10% -1.72% 0.83% 1.71% 0.71% May 1.44% -1.13% -0.31% 1.84% -3.55% 1.02% 1.75% -0.41% -0.16% -0.75% -1.21% -1.23% 0.53% Jun -1.04% 3.63% -1.47% 0.70% -0.99% 0.89% -0.92% 0.90% -1.18% 0.44% -1.99% -0.82% 0.84% Jul Aug Sep Oct Nov Dec Year 0.33% 1.89% -2.28% 1.37% 1.63% 2.14% 1.89% 1.06% 0.09% 0.56% 0.84% -0.08% -1.24% -2.42% 2.10% -1.69% -0.14% 0.16% 1.43% 0.44% -0.09% 1.85% 0.90% 0.39% 0.41% 0.81% -2.58% 2.43% 0.39% -1.21% 2.35% 2.59% -0.38% 2.44% 0.21% 1.18% -1.61% -0.40% 1.22% 1.80% -0.35% 1.60% 1.06% 0.25% -0.63% 2.23% 1.29% -2.18% -3.85% -0.27% 1.43% 0.50% 1.24% 0.82% -0.33% 3.60% 3.61% 1.55% 2.12% 1.79% 0.30% -0.33% -0.08% 0.43% -0.02% 0.64% -0.63% -1.72% 1.57% 0.34% -0.91% 1.60% -0.64% -2.05% 3.15% 6.28% 7.06% 9.16% 9.43% 3.88% 6.23% 7.79% 6.14% 2.99% Investable Indices Monthly Fact Sheet June 2017 Attribution Analysis 0.30% Components' Attribution 0.14% 0.10% 0.02% 0.00% -0.02% -0.04% -0.10% -0.16% -0.30% -0.30% -0.50% -0.70% -0.68% -0.90% SP5LVIT EEM GLD IYR EFA MLT1US10 MLT1US02 Libor This presentation is designed to provide you with information about certain indices provided by Merrill Lynch, Pierce, Fenner & Smith Incorporated or its affiliates (“BofAML”). 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