approved
the designation of BFA, the Fund's investment adviser, as the valuation designee
for the Fund. The Fund determines the fair values of its financial instruments
using
various independent dealers or pricing services under BFA’s policies. If a
security’s market price is not readily available or does not otherwise
accurately represent the
fair value of the security, the security will be valued in accordance with BFA’s
policies and procedures as reflecting fair value. BFA has formed a
committee (the “Valuation Committee”)
to develop pricing policies and procedures and to oversee the pricing function
for all financial instruments, with assistance from other BlackRock pricing
committees.
Fair
Value Inputs and Methodologies: The following
methods and inputs are used to establish the fair value of the Fund’s assets and
liabilities:
• Equity
investments (except ETF options, equity index options or those that are
customized) traded on a recognized securities exchange are valued at that day’s
official
closing price, as applicable, on the exchange where the stock is primarily
traded or, if a reported closing price is not available, the last traded price
on the exchange or
market on which the security or instrument is primarily traded at the time of
valuation or last available bid (long positions) or ask (short positions)
price.
• Fixed-income
investments and certain derivative instruments for which market quotations are
readily available are generally valued using the last available bid price
(including evaluated prices) provided by independent dealers or third-party
pricing services. Floating rate loan interests are valued at the mean of the bid
prices from
one or more independent brokers or dealers as obtained from a third-party
pricing service. Pricing services generally value fixed income securities
assuming
orderly transactions of an institutional round lot size, but a fund may hold or
transact in such securities in smaller, odd lot sizes. Odd lots of securities in
certain asset
classes may trade at lower prices than institutional round lots, and the value
ultimately realized when the securities are sold could differ from the
prices used by
a fund. The pricing services may use matrix pricing or valuation models that
utilize certain inputs and assumptions to derive values, including transaction
data (e.g., recent representative bids and offers), market data, credit quality
information, perceived market movements, news, and other relevant
information. Certain
fixed-income securities, including asset-backed and mortgage related securities
may be valued based on valuation models that consider the estimated cash flows of
each tranche of the entity, establish a benchmark yield and develop an estimated
tranche specific spread to the benchmark yield based on the unique
attributes of the tranche. The amortized cost method of valuation may be used
with respect to debt obligations with sixty days or less remaining to
maturity
unless BFA determines such method does not represent fair
value.
• Investments in
open-end U.S. mutual funds (including money market funds) are valued at that
day’s NAV.
• Futures
contracts are valued based on that day’s last reported settlement or trade price
on the exchange where the contract is traded.
• Forward
foreign currency exchange contracts are valued at the mean between the bid and
ask prices and are determined as of the close of trading on the NYSE
based on that
day’s prevailing forward exchange rate for the underlying
currencies.
• Swap
agreements are valued utilizing quotes received daily by independent pricing
services or through brokers, which are derived using daily swap curves and
models that
incorporate a number of market data factors, such as discounted cash flows,
trades and values of the underlying reference instruments.
If
events (e.g., market volatility, company announcement or a natural disaster)
occur that are expected to materially affect the value of such investment, or in
the event that application
of these methods of valuation results in a price for an investment that is
deemed not to be representative of the market value of such investment, or if a
price is
not available, the investment will be valued by the Valuation Committee in
accordance with BFA’s policies and procedures as reflecting fair value (“Fair
Valued Investments”).
The fair valuation approaches that may be used by the Valuation Committee
include market approach, income approach and cost approach. Valuation
techniques
such as discounted cash flow, use of market comparables and matrix pricing are
types of valuation approaches and are typically used in determining fair value.
When
determining the price for Fair Valued Investments, the Valuation Committee seeks
to determine the price that the Fund might reasonably expect to receive or pay
from the
current sale or purchase of that asset or liability in an arm’s-length
transaction. Fair value determinations shall be based upon all available factors
that the Valuation Committee
deems relevant and consistent with the principles of fair value measurement as
of the measurement date.
For
investments in equity or debt issued by privately held companies or funds
(“Private Company” or collectively, the “Private Companies”) and other Fair
Valued Investments,
the fair valuation approaches that are used by the Valuation Committee and
third-party pricing services utilized by the Valuation Committee include one or
a combination
of, but not limited to, the following inputs:
(i) recent market
transactions, including secondary market transactions, merger or acquisition
activity and subsequent rounds of financing in the underlying investment
or comparable
issuers
(ii) recapitalizations
and other transactions across the capital structure
(iii) market or
relevant indices multiples of comparable issuers
(iv) future cash
flows discounted to present and adjusted as appropriate for liquidity, credit,
and/or market risks
(v) quoted prices
for similar investments or assets in active markets
(vi) other risk
factors, such as interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks, recovery rates, liquidation amounts and/or
default rates
(vii) audited or
unaudited financial statements, investor communications and Private Company
financial or operational metrics
