Disclosure related to BlackRock's Aladdin Crossing Engine

Eligible Funds and Accounts

In accordance with Department of Labor Prohibited Transaction Exemption 2002-12 (“PTE 2002-12”), effective as of September 1, 2014, BlackRock permits the following “Index Funds,” “Model-Driven Funds” and “Large Restructuring Accounts” (as each is defined below) to utilize BlackRock’s Aladdin Crossing Engine, which allows such funds and accounts to match buy and sell orders for securities in an automated fashion up to three business days after the day on which a “Triggering Event” (as defined below) occurs.

An "Index Fund" is any investment fund, account, or portfolio sponsored, maintained, trusteed and/or managed by BlackRock which is designed to track the rate of return, risk profile, and other characteristics of an independent, third-party standardized securities index that represents the investment performance of a specific segment of the public market for equity or debt securities in the US and/or another country (an "Index") by either (A) replicating the same combination of securities which compose such Index or (B) sampling the securities which compose such Index based on objective criteria and data.  BlackRock may not use its discretion, or data within its control, to affect the identity or amount of securities to be purchased or sold for an Index Fund.

A "Model-Driven Fund" is any investment fund, account, or portfolio sponsored, maintained, trusteed and/or managed by BlackRock which is composed of securities the identity of which and the amount of which are selected by a computer model that is based on prescribed objective criteria using independent third-party data, not within the control of BlackRock to transform an Index.  An Index Fund or Model-Driven Fund may be "plan assets" subject to ERISA, an investment company registered under the Investment Company Act of 1940, or contain assets of one or more institutional investors, such as an insurance company separate or general account, a governmental plan, a university endowment or a charitable foundation.

A "Large Restructuring Account" is an account for which BlackRock has been engaged to restructure all or a portion of the portfolio or to act as a trading adviser in connection with a portfolio restructuring program and which holds assets of (A) a plan within the meaning of Section 3(3) of ERISA that has assets in excess of $50 million, (B) an institutional investor that has assets in excess of $50 million or (C) an investment company registered under the Investment Company Act of 1940 that is not managed by BlackRock.

The attached list of eligible Index Funds, Model-Driven Funds, and Large Restructuring Accounts will be updated periodically, in accordance with PTE 2002-12.

Click here for the list of eligible Funds and Accounts

Description of Triggering Events

A "Triggering Event" occurs when either:

  • The third party maintaining the Index that is underlying an Index Fund or Model-Driven Fund changes the Index’s composition or weighting;
  • The level of assets in the Index Fund or Model-Driven Fund experiences a net change of the lesser of (A) 4 basis points or (B) $4,000,000 as a result of investments in and withdrawals from such fund since the most recent Triggering Event; or
  • The independent fiduciary of a plan changes the composition or weighting of a portfolio for an Index Fund or a Model-Driven Fund by directing the fund to exclude certain securities or types of securities.

Index Funds or Model-Driven Funds may cross-trade up to three business days after the day on which a "triggering event" occurs; provided that, if BlackRock exercises discretion to change the formula or algorithm contained in a computer model underlying a Model-Driven Fund that would reasonably be expected to lead to a different output when applied to a portfolio with the same composition, no cross-trade involving that Model-Driven Fund will take place within three (3) business days following BlackRock’s change, regardless of whether a "triggering event" has occurred.

Pricing Sources

The following changes have been made to the pricing sources described in the disclosure surrounding PTE 2002-12 contained in Managing ERISA Assets effective June 2016:

NONE

 

Proprietary and Confidential