Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Crisis of 2020

Liquidity: Bond ETF volumes tend to accelerate during Volatility While liquidity became challenged in the underlying bond markets, bond ETFs traded at record volumes on exchange. Average daily volume during Q1 2020 was more than 2x that of 2019. Primary to secondary ratio rose modestly in stress period BlackRock Average Daily Exchange Volumes ($bn) $ billions $3.5 $3.0 $2.5 $2.0 $1.5 $1.0 $0.5 FLOT LQD HYG 2019 1Q-2020 Average Primary to Secondary Volume % TLT January- February 9.83% TLT LQD 12.99% HYG 7.99% Source: BlackRock, based on data from Bloomberg as of 4/30/2020. MUB March- April 10.28% 14.66% 9.58% ICRMH0920U-1319728-8/13

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