UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-21763
| Name of Fund: | | Managed Account Series |
| | | BlackRock GA Disciplined Volatility Equity Fund |
| | | BlackRock GA Dynamic Equity Fund |
| Fund Address: | | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, Managed Account
Series, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 04/30/2024
Date of reporting period: 04/30/2024
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
April 30, 2024
|
• BlackRock GA Disciplined Volatility Equity Fund |
• BlackRock GA Dynamic Equity Fund |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Rob KapitoPresident, BlackRock Advisors, LLCDear Shareholder,
The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended April 30, 2024. Higher interest rates helped to rein in inflation, and the Consumer Price Index decelerated substantially while remaining above pre-pandemic levels. A moderating labor market helped ease inflationary pressure, although wages continued to grow. Wage and job growth powered robust consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war has had a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.
Equity returns were robust during the period, as interest rates stabilized and the economy proved to be more resilient than many investors expected. The U.S. economy continued to show strength, and growth further accelerated in the second half of 2023. Large-capitalization U.S. stocks posted particularly substantial gains, supported by the performance of a few notable technology companies, while small-capitalization U.S. stocks’ advance was slower but still impressive. Meanwhile, both international developed market equities and emerging market stocks also gained, albeit at a notably slower pace than that of U.S. stocks.
The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. However, higher yields drove solid gains in shorter-duration U.S. Treasuries. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates twice during the 12-month period, but paused its tightening after its July meeting. The Fed also continued to reduce its balance sheet by not replacing some of the securities that reach maturity.
Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has stopped tightening for now, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period, and recent statements from the Fed seem to support this view. In this new regime, we anticipate greater volatility and dispersion of returns, creating more opportunities for selective portfolio management.
Looking at developed market stocks, we have an overweight stance on U.S. stocks overall, particularly given the promise of emerging AI technologies. We are also overweight Japanese stocks as shareholder-friendly policies generate increased investor interest, although we maintain an underweight stance on European stocks. In credit, we believe there are selective opportunities in the near term despite tighter credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries and hard-currency emerging market bonds.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of April 30, 2024 |
| | |
U.S. large cap equities
(S&P 500® Index) | | |
U.S. small cap equities
(Russell 2000® Index) | | |
International equities
(MSCI Europe, Australasia,
Far East Index) | | |
Emerging market equities
(MSCI Emerging Markets Index) | | |
3-month Treasury bills
(ICE BofA 3-Month
U.S. Treasury Bill Index) | | |
U.S. Treasury securities
(ICE BofA 10-Year
U.S. Treasury Index) | | |
U.S. investment grade bonds
(Bloomberg U.S. Aggregate
Bond Index) | | |
Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index) | | |
U.S. high yield bonds
(Bloomberg U.S. Corporate
High Yield 2%
Issuer Capped Index) | | |
Past performance is not an indication of future results. Index
performance is shown for illustrative purposes only. You
cannot invest directly in an index. |
2This Page is not Part of Your Fund Report
Fund Summary as of April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
Investment Objective
BlackRock GA Disciplined Volatility Equity Fund’s (the “Fund”) investment objective is to seek to provide risk-adjusted total return.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended April 30, 2024, all of the Fund’s share classes outperformed its benchmark, the MSCI ACWI Minimum Volatility (USD) Index. The following commentary and allocation percentages are based on the economic exposures of the Fund, which reflect adjustments for futures, swaps, options (except with respect to fixed-income securities), and convertible bonds, and may vary relative to the market value.
What factors influenced performance?
Positive contributions to the Fund’s performance relative to the benchmark over the 12-month period were led by security selection within the information technology, healthcare, communications services and consumer staples sectors.
The largest detractor for the reporting period was positioning with respect to financials, specifically an underweight to and selection within the sector. Security selection within materials also negatively impacted performance but was partially offset by an underweight to the sector.
Describe recent portfolio activity.
During the reporting period, the Fund’s overall equity allocation remained stable at 92% of net assets. On a sector basis, the Fund increased its exposure to information technology, consumer discretionary, communication services, financials and real estate, and decreased exposure to industrials, consumer staples, utilities, healthcare and materials. From a regional perspective, the Fund increased exposure to the United States and decreased exposure to select countries in Europe, Canada, Japan and select emerging markets.
The Fund’s exposure to cash and cash equivalent holdings remained relatively consistent at 8% of net assets. During the 12-month period, cash helped manage portfolio volatility and served as a source of funds for new investments. Exposure to cash and cash equivalents detracted from performance over the period.
The Fund used derivatives, which may include options, futures, indexed securities, inverse securities, swaps, credit default swaps, contracts for difference, and forward contracts both to seek to enhance returns of the Fund and to hedge (or protect) against adverse movements in currency exchange rates, interest rates, and movements in the securities markets. During the period, the use of derivatives modestly detracted from the Fund’s performance.
Describe portfolio positioning at period end.
Relative to its benchmark, the Fund ended the period overweight in the consumer discretionary, information technology and industrials sectors, and underweight in communication services, financials, consumer staples, utilities, materials and healthcare. From a regional perspective, the Fund was overweight in Europe and Canada, and underweight in the United States, Asia and the Middle East.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions.
These views are not intended to be a forecast of future events and are no guarantee of future results.
GROWTH OF $10,000 INVESTMENT 
The Fund commenced operations on June 1, 2017.
(a)
Assuming transaction costs and other operating expenses, including investment advisory fees.
(b)
The Fund will, under normal circumstances, invest at least 80% of its net assets (plus borrowings for investment purposes) in equity securities.
(c)
An unmanaged index that aims to reflect the performance characteristics of a minimum variance strategy applied to large- and mid-cap equities across certain developed and emerging markets countries. The index is calculated by optimizing the MSCI ACWI Index, its parent index, in USD for the lowest absolute risk (within a given set of constraints).
42024 BlackRock Annual Report to Shareholders
Fund Summary as of April 30, 2024(continued)
BlackRock GA Disciplined Volatility Equity Fund
Performance
| Average Annual Total Returns(a) |
| | | |
| | | |
| | | |
MSCI ACWI Minimum Volatility (USD) Index | | | |
| See “About Fund Performance” for a detailed description of share classes, including any related fees, and how performance was calculated for certain share classes. |
| The Fund commenced operations on June 1, 2017. |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | |
| Beginning
Account Value
(11/01/23) | Ending
Account Value
(04/30/24) | Expenses
Paid During
the Period(a) | Beginning
Account Value
(11/01/23) | Ending
Account Value
(04/30/24) | Expenses
Paid During
the Period(a) | |
| | | | | | | |
| | | | | | | |
| For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” for further information on how expenses were calculated.
Portfolio Information
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Novo Nordisk A/S, Class B | |
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Cadence Design Systems, Inc. | |
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LVMH Moet Hennessy Louis Vuitton SE | |
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Mastercard, Inc., Class A | |
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|
Country/Geographic Region | |
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Other Assets Less Liabilities | |
| Excludes short-term securities. |
| Includes holdings within countries/geographic regions that are less than 1.0% of net assets. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. |
Fund Summary as of April 30, 2024
BlackRock GA Dynamic Equity Fund
Investment Objective
BlackRock GA Dynamic Equity Fund’s (the “Fund”) investment objective is to seek to provide total return.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended April 30, 2024, all of the Fund’s share classes underperformed its benchmark, the MSCI World Index. The following commentary and allocation percentages are based on the economic exposures of the Fund, which reflect adjustments for futures, swaps, options (except with respect to fixed-income securities), and convertible bonds, and may vary relative to the market value.
What factors influenced performance?
The largest detractors from the Fund’s performance relative to the benchmark for the 12-month period included security selection within the communication services and industrials sectors, along with security selection within and an overweight to healthcare.
The largest contributor to performance over the reporting period was security selection within information technology, although this was partially offset by an underweight to the sector. Security selection within energy also added to performance.
The Fund used derivatives, which may include options, futures, indexed securities, inverse securities, swaps, credit default swaps, contracts for difference, and forward contracts both to seek to enhance returns of the Fund and to hedge (or protect) against adverse movements in currency exchange rates, interest rates and the securities markets. During the reporting period, the Fund’s use of derivatives modestly contributed to the Fund’s performance. The Fund’s cash position had no material impact on performance.
Describe recent portfolio activity.
During the 12-month period, the Fund’s overall equity allocation decreased from 100% to 96% of net assets. Within equities, the Fund increased exposure to the industrials and consumer staples sectors, and decreased exposure to consumer discretionary, real estate, information technology, materials and energy. From a regional perspective, the Fund increased exposure to Japan and select emerging markets, and reduced exposure to Europe, the United States, China and Canada.
Describe portfolio positioning at period end.
Relative to its benchmark, the Fund ended the reporting period overweight in the information technology, energy, healthcare and consumer discretionary sectors, and was underweight in consumer staples, financials, industrials, real estate, utilities and materials. From a regional perspective, the Fund was overweight in Japan and the United Kingdom, and was underweight in Europe, Australia, the United States and Canada.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions.
These views are not intended to be a forecast of future events and are no guarantee of future results.
GROWTH OF $10,000 INVESTMENT 
The Fund commenced operations on June 1, 2017.
(a)
Assuming transaction costs and other operating expenses, including investment advisory fees.
(b)
The Fund will, under normal circumstances, invest at least 80% of its net assets (plus borrowings for investment purposes) in equity securities.
(c)
A broad global equity index that captures large- and mid-cap representation across certain developed markets countries.
62024 BlackRock Annual Report to Shareholders
Fund Summary as of April 30, 2024(continued)
BlackRock GA Dynamic Equity Fund
Performance
| Average Annual Total Returns(a) |
| | | |
| | | |
| | | |
| | | |
| See “About Fund Performance” for a detailed description of share classes, including any related fees, and how performance was calculated for certain share classes. |
| The Fund commenced operations on June 1, 2017. |
Past performance is not an indication of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | |
| Beginning
Account Value
(11/01/23) | Ending
Account Value
(04/30/24) | Expenses
Paid During
the Period(a) | Beginning
Account Value
(11/01/23) | Ending
Account Value
(04/30/24) | Expenses
Paid During
the Period(a) | |
| | | | | | | |
| | | | | | | |
| For each class of the Fund, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” for further information on how expenses were calculated.
Portfolio Information
|
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Mastercard, Inc., Class A | |
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|
Country/Geographic Region | |
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Other Assets Less Liabilities | |
| Excludes short-term securities. |
| Includes holdings within countries/geographic regions that are less than 1.0% of net assets. Please refer to the Schedule of Investments for such countries/geographic regions. |
About Fund Performance
Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. On November 30, 2018, all issued and outstanding shares of each Fund were redesignated as Class K Shares. Institutional Shares performance shown prior to the Institutional Shares inception date of November 30, 2018 is that of Class K Shares (which have no distribution or service fees) and was restated to reflect Institutional Shares fees and expenses.
Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance table(s) assume reinvestment of all distributions, if any, at net asset value ("NAV") on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.
BlackRock Advisors, LLC (the "Manager"), each Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of each Fund’s expenses. Without such waiver(s) and/or reimbursement(s), each Fund’s performance would have been lower. With respect to each Fund’s voluntary waiver(s), if any, the Manager is under no obligation to waive and/or reimburse or to continue waiving and/or reimbursing its fees and such voluntary waiver(s) may be reduced or discontinued at any time. With respect to each Fund’s contractual waiver(s), if any, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See the Notes to Financial Statements for additional information on waivers and/or reimbursements.
Disclosure of Expenses
Shareholders of each Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and share class under the heading entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
82024 BlackRock Annual Report to Shareholders
Consolidated Schedule of InvestmentsApril 30, 2024
BlackRock GA Disciplined Volatility Equity Fund(Percentages shown are based on Net Assets)
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AAC Technologies Holdings, Inc. | | | |
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Bank of China Ltd., Class H | | | |
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Bilibili, Inc., Class Z (a) | | | |
Bosideng International Holdings Ltd. | | | |
China Construction Bank Corp., Class H | | | |
China Hongqiao Group Ltd. | | | |
China Minsheng Banking Corp. Ltd., Class H | | | |
China Tower Corp. Ltd., Class H (b) | | | |
Contemporary Amperex Technology Co. Ltd., Class A | | | |
COSCO SHIPPING Holdings Co. Ltd., Class H | | | |
Great Wall Motor Co. Ltd., Class A | | | |
Haidilao International Holding Ltd. (b) | | | |
Humanwell Healthcare Group Co. Ltd., Class A | | | |
Industrial & Commercial Bank of China Ltd., Class H | | | |
| | | |
Jiangxi Copper Co. Ltd., Class A | | | |
Kuaishou Technology (a)(b) | | | |
Li Auto, Inc., Class A (a) | | | |
Nongfu Spring Co. Ltd., Class H (b) | | | |
People’ s Insurance Co. Group of China Ltd., Class A | | | |
PetroChina Co. Ltd., Class H | | | |
| | | |
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | | | |
Shenzhen Capchem Technology Co. Ltd., Class A | | | |
Shenzhen Transsion Holdings Co. Ltd., Class A | | | |
Sunny Optical Technology Group Co. Ltd. | | | |
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Tongcheng Travel Holdings Ltd. (a) | | | |
Topsports International Holdings Ltd. (b) | | | |
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Weichai Power Co. Ltd., Class A | | | |
Wilmar International Ltd. | | | |
WuXi AppTec Co. Ltd., Class H (b) | | | |
Xiaomi Corp., Class B (a)(b) | | | |
Yutong Bus Co. Ltd., Class A | | | |
Zhongji Innolight Co. Ltd., Class A | | | |
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Novo Nordisk A/S, Class B | | | |
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LVMH Moet Hennessy Louis Vuitton SE | | | |
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MTU Aero Engines AG, Class N | | | |
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National Bank of Greece SA (a) | | | |
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HKT Trust & HKT Ltd., Class SS | | | |
Hongkong Land Holdings Ltd. | | | |
Jardine Matheson Holdings Ltd. | | | |
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Bharat Petroleum Corp. Ltd. | | | |
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Hindustan Aeronautics Ltd. | | | |
Hindustan Petroleum Corp. Ltd. | | | |
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Power Grid Corp. of India Ltd. | | | |
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Sun Pharmaceutical Industries Ltd. | | | |
Tata Consultancy Services Ltd. | | | |
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Bank Syariah Indonesia Tbk PT | | | |
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Mitsubishi Electric Corp. | | | |
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MS&AD Insurance Group Holdings, Inc. | | | |
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Nippon Paint Holdings Co. Ltd. | | | |
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Nomura Research Institute Ltd. | | | |
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Ono Pharmaceutical Co. Ltd. | | | |
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Consolidated Schedule of Investments9
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund(Percentages shown are based on Net Assets)
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Takeda Pharmaceutical Co. Ltd. | | | |
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BE Semiconductor Industries NV | | | |
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Singapore Telecommunications Ltd. | | | |
United Overseas Bank Ltd. | | | |
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Hanwha Aerospace Co. Ltd. | | | |
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Orion Corp./Republic of Korea | | | |
Samsung Biologics Co. Ltd. (a)(b) | | | |
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Sika AG, Registered Shares | | | |
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ASE Technology Holding Co. Ltd. | | | |
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Chunghwa Telecom Co. Ltd. | | | |
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Far EasTone Telecommunications Co. Ltd. | | | |
Hon Hai Precision Industry Co. Ltd. | | | |
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Realtek Semiconductor Corp. | | | |
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Auto Trader Group PLC (b) | | | |
London Stock Exchange Group PLC | | | |
Spirax-Sarco Engineering PLC | | | |
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Alphabet, Inc., Class C (a) | | | |
Altair Engineering, Inc., Class A (a) | | | |
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American Water Works Co., Inc. | | | |
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United States (continued) | |
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Atlassian Corp., Class A (a) | | | |
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Aura Biosciences, Inc. (a) | | | |
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BioMarin Pharmaceutical, Inc. (a) | | | |
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Boston Scientific Corp. (a) | | | |
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Builders FirstSource, Inc. (a) | | | |
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Cadence Design Systems, Inc. (a) | | | |
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Cincinnati Financial Corp. | | | |
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Deckers Outdoor Corp. (a) | | | |
Dell Technologies, Inc., Class C | | | |
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Enterprise Products Partners LP | | | |
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Expeditors International of Washington, Inc. | | | |
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Floor & Decor Holdings, Inc., Class A (a) | | | |
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GoDaddy, Inc., Class A (a) | | | |
Hartford Financial Services Group, Inc. | | | |
Healthpeak Properties, Inc. | | | |
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Interpublic Group of Cos., Inc. | | | |
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Intuitive Surgical, Inc. (a) | | | |
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Keysight Technologies, Inc. (a) | | | |
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102024 BlackRock Annual Report to Shareholders
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund(Percentages shown are based on Net Assets)
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United States (continued) | |
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Lennox International, Inc. | | | |
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Lululemon Athletica, Inc. (a) | | | |
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Marsh & McLennan Cos., Inc. | | | |
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Mastercard, Inc., Class A | | | |
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Meta Platforms, Inc., Class A | | | |
MGM Resorts International (a) | | | |
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Molson Coors Beverage Co., Class B | | | |
Mondelez International, Inc., Class A | | | |
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Neurocrine Biosciences, Inc. (a) | | | |
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Principal Financial Group, Inc. | | | |
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Regeneron Pharmaceuticals, Inc. (a) | | | |
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ROBLOX Corp., Class A (a) | | | |
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Royal Caribbean Cruises Ltd. (a) | | | |
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Samsara, Inc., Class A (a) | | | |
Seagate Technology Holdings PLC | | | |
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United States (continued) | |
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Thermo Fisher Scientific, Inc. | | | |
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Universal Health Services, Inc., Class B | | | |
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| | | |
Verizon Communications, Inc. | | | |
Vertex Pharmaceuticals, Inc. (a) | | | |
| | | |
| | | |
Warner Bros Discovery, Inc., Class A (a) | | | |
| | | |
| | | |
Workday, Inc., Class A (a) | | | |
| | | |
| | | |
| | | |
| | | |
Total Long-Term Investments — 94.3%
(Cost: $383,404,326) | |
|
Money Market Funds — 4.9% | |
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.18%(d)(e) | | | |
Total Short-Term Securities — 4.9%
(Cost: $21,173,836) | |
Options Purchased — 0.0%
(Cost: $58,545) | |
Total Investments Before Options Written — 99.2%
(Cost: $404,636,707) | |
Options Written — (0.0)%
(Premiums Received: $(14,984)) | |
Total Investments, Net of Options Written — 99.2%
(Cost: $404,621,723) | |
Other Assets Less Liabilities — 0.8% | |
| |
| Non-income producing security. |
| Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| |
| Annualized 7-day yield as of period end. |
Consolidated Schedule of Investments11
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended April 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | | | | | | | | | |
| Represents net amount purchased (sold). |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
| | | | Unrealized
Appreciation
(Depreciation) |
| | | | | | |
| | | | Canadian Imperial Bank of Commerce | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Canadian Imperial Bank of Commerce | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| |
Exchange-Traded Options Purchased
| | | | | |
| | | | | | | |
| | | | | | | |
LVMH Moet Hennessy Louis Vuitton SE | | | | | | | |
122024 BlackRock Annual Report to Shareholders
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
Exchange-Traded Options Purchased (continued)
| | | | | |
| | | | | | | |
Thermo Fisher Scientific, Inc. | | | | | | | |
STMicroelectronics NV, ADR | | | | | | | |
| | | | | | | |
Exchange-Traded Options Written
| | | | | |
| | | | | | | |
| | | | | | | |
LVMH Moet Hennessy Louis Vuitton SE | | | | | | | |
Thermo Fisher Scientific, Inc. | | | | | | | |
STMicroelectronics NV, ADR | | | | | | | |
| | | | | | | |
OTC Total Return Swaps
| | | | | Accrued
Unrealized
Appreciation
(Depreciation) | Net Value of
Reference
Entity | Gross
Notional
Amount
Net Asset
Percentage |
Equity Securities Long/Short | | | | | | | |
| | JPMorgan Chase Bank N.A.(d) | | | | | |
| | | | | | | |
| The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
| Amount includes $437,780 of net dividends and financing fees. |
| Amount includes $19,670 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: |
| | |
| 0-115 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01) | 6-151 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01) |
The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with Citibank N.A. as of period end, termination dates 02/26/25 — 02/24/28:
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
B3 SA - Brasil Bolsa Balcao | | | |
BB Seguridade Participacoes SA | | | |
| | | |
| | | |
| | | |
| | | |
Wheaton Precious Metals Corp. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
AP Moller - Maersk A/S, Class B | | | |
| | | |
| | | |
| | | |
| | | |
Consolidated Schedule of Investments13
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Fresenius Medical Care AG | | | |
| | | |
| | | |
| | | |
| | | |
Wal-Mart de Mexico SAB de CV | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Banque Cantonale Vaudoise | | | |
Kuehne & Nagel International AG, Registered Shares | | | |
Novartis AG, Registered Shares | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Cia Energetica de Minas Gerais | | | |
| | | |
Total Reference Entity — Long | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Cia de Saneamento Basico do Estado de Sao Paulo SABESP | | | |
Hapvida Participacoes e Investimentos SA | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Beijing Enterprises Water Group Ltd. | | | |
C&D International Investment Group Ltd. | | | |
| | | |
Country Garden Services Holdings Co. Ltd. | | | |
Guangdong Investment Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Mitsubishi Heavy Industries Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Industrias Penoles SAB de CV | | | |
| | | |
| | | |
142024 BlackRock Annual Report to Shareholders
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
| | | |
| | | |
| | | |
| | | |
Delivery Hero SE, Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Blackstone, Inc., Class A | | | |
| | | |
| | | |
Charter Communications, Inc. | | | |
| | | |
Coinbase Global, Inc., Class A | | | |
Constellation Energy Corp. | | | |
Darling Ingredients, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Lattice Semiconductor Corp. | | | |
Liberty Media Corp.-Liberty SiriusXM | | | |
| | | |
| | | |
| | | |
Super Micro Computer, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
United States (continued) | | | |
| | | |
Walgreens Boots Alliance, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
Total Reference Entity — Short | | | |
Net Value of Reference Entity — Citibank N.A. | | |
The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination dates 02/10/25 — 02/18/25:
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Fairfax Financial Holdings Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
La Francaise des Jeux SAEM | | | |
| | | |
Mediobanca Banca di Credito Finanziario SpA | | | |
| | | |
Koninklijke Ahold Delhaize NV | | | |
| | | |
| | | |
| | | |
Powszechny Zaklad Ubezpieczen SA | | | |
| | | |
Arabian Internet & Communications Services Co. | | | |
Dr Sulaiman Al Habib Medical Services Group Co. | | | |
| | | |
Consolidated Schedule of Investments15
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Banco Bilbao Vizcaya Argentaria SA | | | |
| | | |
James Hardie Industries PLC | | | |
| | | |
| | | |
| | | |
| | | |
Total Reference Entity — Long | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Cia de Saneamento Basico do Estado de Sao Paulo SABESP | | | |
Hapvida Participacoes e Investimentos SA | | | |
| | | |
| | | |
| | | |
Ivanhoe Mines Ltd., Class A | | | |
| | | |
Alibaba Health Information Technology Ltd. | | | |
C&D International Investment Group Ltd. | | | |
Country Garden Services Holdings Co. Ltd. | | | |
Hygeia Healthcare Holdings Co. Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Harmony Gold Mining Co. Ltd. | | | |
Impala Platinum Holdings Ltd. | | | |
Northam Platinum Holdings Ltd. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Powerchip Semiconductor Manufacturing Corp. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Total Reference Entity — Short | | | |
Net Value of Reference Entity — JPMorgan Chase Bank N.A. | | |
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps and Options Written
162024 BlackRock Annual Report to Shareholders
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated Statements of Assets and Liabilities were as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts | | | | | | | |
Options purchased
Investments at value — unaffiliated(a) | | | | | | | |
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid | | | | | | | |
| | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | |
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts | | | | | | | |
Options written
Options written at value | | | | | | | |
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received | | | | | | | |
| | | | | | | |
| Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the period ended April 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — short | |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | |
Average amounts sold — in USD | |
| |
Average value of option contracts purchased | |
Average value of option contracts written | |
| |
| |
Consolidated Schedule of Investments17
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| | |
Derivative Financial Instruments | | |
Forward foreign currency exchange contracts | | |
| | |
| | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | |
Total derivative assets and liabilities subject to an MNA | | |
| Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
| Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Consolidated Statements of Assets and Liabilities. |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| Derivative
Assets
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Received | Cash
Collateral
Received(b) | Net Amount
of Derivative
Assets(c)(d) |
| | | | | |
Canadian Imperial Bank of Commerce | | | | | |
| | | | | |
| | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
| | | | | |
| | | | | |
| | | | | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Pledged | | Net Amount
of Derivative
Liabilities(c)(e) |
| | | | | |
| | | | | |
| | | | | |
Goldman Sachs International | | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
| Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
| Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| Net amount represents the net amount receivable from the counterparty in the event of default. |
| Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statements of Assets and Liabilities. |
182024 BlackRock Annual Report to Shareholders
Consolidated Schedule of Investments (continued)April 30, 2024
BlackRock GA Disciplined Volatility Equity Fund
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Consolidated Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Derivative Financial Instruments(a) | | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| Derivative financial instruments are swaps, forward foreign currency exchange contracts and options written. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
See notes to financial statements.
Consolidated Schedule of Investments19
Schedule of InvestmentsApril 30, 2024
BlackRock GA Dynamic Equity Fund(Percentages shown are based on Net Assets)
| | | |
|
| |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
Contemporary Amperex Technology Co. Ltd., Class A | | | |
| | | |
| |
| | | |
| | | |
| | | |
LVMH Moet Hennessy Louis Vuitton SE | | | |
| | | |
| |
| | | |
Mercedes-Benz Group AG, Class N | | | |
| | | |
| |
| | | |
| |
| | | |
| |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Mitsubishi UFJ Financial Group, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| |
| | | |
| |
| | | |
| |
UBS Group AG, Registered Shares | | | |
| |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | |
| | | |
United Arab Emirates — 0.0% | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
Advanced Micro Devices, Inc. (a) | | | |
Alphabet, Inc., Class C (a) | | | |
| | | |
| | | |
| | | |
| | | |
Boston Scientific Corp. (a) | | | |
| | | |
CF Industries Holdings, Inc. | | | |
| | | |
| | | |
Confluent, Inc., Class A (a) | | | |
| | | |
| | | |
| | | |
Deckers Outdoor Corp. (a) | | | |
| | | |
| | | |
| | | |
| | | |
Goldman Sachs Group, Inc. | | | |
| | | |
Intuitive Surgical, Inc. (a) | | | |
| | | |
| | | |
LPL Financial Holdings, Inc. | | | |
Marsh & McLennan Cos., Inc. | | | |
Mastercard, Inc., Class A | | | |
| | | |
Meta Platforms, Inc., Class A | | | |
| | | |
| | | |
Nestle SA, Class N, Registered Shares | | | |
| | | |
| | | |
| | | |
Palo Alto Networks, Inc. (a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Smith Douglas Homes Corp. (a) | | | |
| | | |
| | | |
| | | |
202024 BlackRock Annual Report to Shareholders
Schedule of Investments (continued)April 30, 2024
BlackRock GA Dynamic Equity Fund(Percentages shown are based on Net Assets)
| | | |
United States (continued) | |
| | | |
| | | |
| | | |
Total Common Stocks — 90.5%
(Cost: $559,681,534) | |
|
| |
iShares MSCI China ETF (e) | | | |
Total Investment Companies — 0.1%
(Cost: $1,061,580) | |
Total Long-Term Investments — 90.6%
(Cost: $560,743,114) | |
|
Money Market Funds — 8.4% | |
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.18%(e)(f) | | | |
Total Short-Term Securities — 8.4%
(Cost: $56,778,198) | |
Options Purchased — 0.1%
(Cost: $1,706,564) | |
Total Investments Before Options Written — 99.1%
(Cost: $619,227,876) | |
Options Written — (0.0)%
(Premiums Received: $(371,451)) | |
Total Investments, Net of Options Written — 99.1%
(Cost: $618,856,425) | |
Other Assets Less Liabilities — 0.9% | |
| |
| Non-income producing security. |
| Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| |
| Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended April 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
Schedule of Investments21
Schedule of Investments (continued)April 30, 2024
BlackRock GA Dynamic Equity Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Forward Foreign Currency Exchange Contracts
| | | | Unrealized
Appreciation
(Depreciation) |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| |
Exchange-Traded Options Purchased
| | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
CF Industries Holdings, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
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222024 BlackRock Annual Report to Shareholders
Schedule of Investments (continued)April 30, 2024
BlackRock GA Dynamic Equity Fund
Exchange-Traded Options Purchased (continued)
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Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
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Meta Platforms, Inc., Class A | | | | | | | |
Meta Platforms, Inc., Class A | | | | | | | |
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Exchange-Traded Options Written
| | | | | |
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Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
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Meta Platforms, Inc., Class A | | | | | | | |
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Advanced Micro Devices, Inc. | | | | | | | |
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Meta Platforms, Inc., Class A | | | | | | | |
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Schedule of Investments23
Schedule of Investments (continued)April 30, 2024
BlackRock GA Dynamic Equity Fund
OTC Total Return Swaps
| | | | | Accrued
Unrealized
Appreciation
(Depreciation) | Net Value of
Reference
Entity | Gross
Notional
Amount
Net Asset
Percentage |
| | | | | | | |
| The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
| Amount includes $569 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: |
| |
| 15 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01) |
The following table represents the individual short positions and related values of the equity securities underlying the total return swap with Citibank N.A. as of period end, termination date 02/24/28:
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| | | |
Net Value of Reference Entity — Citibank N.A. | | |
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps and Options Written
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | | | | | | |
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts | | | | | | | |
Options purchased
Investments at value — unaffiliated(b) | | | | | | | |
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid | | | | | | | |
| | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized depreciation on futures contracts(a) | | | | | | | |
242024 BlackRock Annual Report to Shareholders
Schedule of Investments (continued)April 30, 2024
BlackRock GA Dynamic Equity Fund
Derivative Financial Instruments Categorized by Risk Exposure (continued)
| | | | Foreign Currency Exchange Contracts | | | |
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts | | | | | | | |
Options written
Options written at value | | | | | | | |
| | | | | | | |
| Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| Includes options purchased at value as reported in the Schedule of Investments. |
For the period ended April 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — long | |
Average notional value of contracts — short | |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | |
Average amounts sold — in USD | |
| |
Average value of option contracts purchased | |
Average value of option contracts written | |
| |
| |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| | |
Derivative Financial Instruments | | |
| | |
Schedule of Investments25
Schedule of Investments (continued)April 30, 2024
BlackRock GA Dynamic Equity Fund
| | |
Forward foreign currency exchange contracts | | |
| | |
| | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | |
Total derivative assets and liabilities subject to an MNA | | |
| Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
| Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities. |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| Derivative
Assets
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Received | | Net Amount
of Derivative
Assets(b)(c) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
| | | | | |
| | | | | |
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| | | | | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Pledged | | Net Amount
of Derivative
Liabilities(b)(d) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
| Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| Net amount represents the net amount receivable from the counterparty in the event of default. |
| Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
262024 BlackRock Annual Report to Shareholders
Schedule of Investments (continued)April 30, 2024
BlackRock GA Dynamic Equity Fund
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
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Derivative Financial Instruments(a) | | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
See notes to financial statements.
Schedule of Investments27
Statements of Assets and LiabilitiesApril 30, 2024
| BlackRock GA
Disciplined Volatility
| BlackRock GA
Dynamic Equity
Fund |
| | |
Investments, at value — unaffiliated(b) | | |
Investments, at value — affiliated(c) | | |
| | |
Cash pledged for futures contracts | | |
Foreign currency, at value(d) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Variation margin on futures contracts | | |
Unrealized appreciation on: | | |
Forward foreign currency exchange contracts | | |
| | |
| | |
| | |
| | |
Cash received as collateral for OTC derivatives | | |
Options written, at value(e) | | |
| | |
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| | |
Deferred foreign capital gain tax | | |
| | |
Trustees’ and Officer’s fees | | |
| | |
| | |
| | |
Variation margin on futures contracts | | |
Unrealized depreciation on: | | |
Forward foreign currency exchange contracts | | |
| | |
| | |
Commitments and contingent liabilities | | |
| | |
| | |
| | |
| | |
| | |
(a)Consolidated Statement of Assets and Liabilities. |
(b)Investments, at cost—unaffiliated | | |
(c)Investments, at cost—affiliated | | |
(d)Foreign currency, at cost | | |
| | |
282024 BlackRock Annual Report to Shareholders
Statements of Assets and Liabilities (continued)April 30, 2024
| BlackRock GA
Disciplined Volatility
| BlackRock GA
Dynamic Equity
Fund |
| | |
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| | |
(a)Consolidated Statement of Assets and Liabilities. |
See notes to financial statements.
Statements of OperationsYear Ended April 30, 2024
| BlackRock GA
Disciplined Volatility
| BlackRock GA
Dynamic Equity
Fund |
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| | |
Transfer agent — class specific | | |
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Total expenses excluding interest expense | | |
Interest expense — unaffiliated | | |
| | |
| | |
Fees waived and/or reimbursed by the Manager | | |
Transfer agent fees waived and/or reimbursed by the Manager — class specific | | |
Total expenses after fees waived and/or reimbursed | | |
| | |
REALIZED AND UNREALIZED GAIN (LOSS) | | |
Net realized gain (loss) from: | | |
Investments — unaffiliated(b) | | |
Forward foreign currency exchange contracts | | |
Foreign currency transactions | | |
| | |
| | |
| | |
| | |
Net change in unrealized appreciation (depreciation) on: | | |
Investments — unaffiliated(c) | | |
| | |
Forward foreign currency exchange contracts | | |
Foreign currency translations | | |
| | |
| | |
| | |
| | |
Net realized and unrealized gain | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | |
(a)Consolidated Statement of Operations. |
(b) Net of foreign capital gain tax and capital gain tax refund, if applicable of | | |
(c) Net of increase in deferred foreign capital gain tax of | | |
See notes to financial statements.
302024 BlackRock Annual Report to Shareholders
Statements of Changes in Net Assets
| BlackRock GA Disciplined
Volatility Equity Fund(a) | BlackRock GA
Dynamic Equity Fund |
| | | | |
|
INCREASE (DECREASE) IN NET ASSETS | | | | |
| | | | |
| | | | |
| | | | |
Net change in unrealized appreciation (depreciation) | | | | |
Net increase in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS(b) | | | | |
| | | | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | | |
CAPITAL SHARE TRANSACTIONS | | | | |
Net increase in net assets derived from capital share transactions | | | | |
| | | | |
Total increase in net assets | | | | |
| | | | |
| | | | |
| Consolidated Statements of Changes in Net Assets. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights(For a share outstanding throughout each period)
| BlackRock GA Disciplined Volatility Equity Fund |
| |
| | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(g) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
| | | | | | |
| Consolidated Financial Highlights. |
| Commencement of operations. |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.46%. |
| Includes non-recurring expenses of offering costs. Without these costs, total expenses would have been 5.55%. |
| Excludes underlying investments in total return swaps. |
See notes to financial statements.
322024 BlackRock Annual Report to Shareholders
Financial Highlights (continued)(For a share outstanding throughout each period)
| BlackRock GA Disciplined Volatility Equity Fund (continued) |
| |
| | | | | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
| | | | | | |
| Consolidated Financial Highlights. |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.26%. |
| Excludes underlying investments in total return swaps. |
See notes to financial statements.
Financial Highlights (continued)(For a share outstanding throughout each period)
| BlackRock GA Dynamic Equity Fund |
| |
| | | | Period from
11/01/20
to 04/30/21 | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
| | | | | | |
| Commencement of operations. |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.48%. |
| Includes non-recurring expenses of offering costs. Without these costs, total expenses would have been 6.21%. |
| Excludes underlying investments in total return swaps. |
See notes to financial statements.
342024 BlackRock Annual Report to Shareholders
Financial Highlights (continued)(For a share outstanding throughout each period)
| BlackRock GA Dynamic Equity Fund (continued) |
| |
| | | | Period from
11/01/20
to 04/30/21 | | |
|
Net asset value, beginning of period | | | | | | |
| | | | | | |
Net realized and unrealized gain (loss) | | | | | | |
Net increase (decrease) from investment operations | | | | | | |
| | | | | | |
From net investment income | | | | | | |
| | | | | | |
| | | | | | |
Net asset value, end of period | | | | | | |
| | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | | | | |
| | | | | | |
| | | | | | |
Net assets, end of period (000) | | | | | | |
| | | | | | |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| Where applicable, assumes the reinvestment of distributions. |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Audit and printing were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 6.28%. |
| Excludes underlying investments in total return swaps. |
See notes to financial statements.
Notes to Financial Statements
Managed Account Series (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. The following, each of which is a series of the Trust, are referred to herein collectively as the “Funds” or individually as a “Fund”:
| | Diversification
Classification |
BlackRock GA Disciplined Volatility Equity Fund | GA Disciplined Volatility Equity | |
BlackRock GA Dynamic Equity Fund | | |
Each Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions. Institutional and Class K Shares are sold only to certain eligible investors.
| | | |
Institutional and Class K Shares | | | |
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of funds referred to as the BlackRock Multi-Asset Complex.
Basis of Consolidation: The accompanying consolidated financial statements of GA Disciplined Volatility Equity include the account of Cayman GA Disciplined Volatility Equity Fund, Ltd. (the “Cayman Subsidiary”), which is a wholly-owned subsidiary of GA Disciplined Volatility Equity and primarily invests in commodity-related instruments. The Cayman Subsidiary enables GA Disciplined Volatility Equity to hold these commodity-related instruments and satisfy regulated investment company tax requirements. GA Disciplined Volatility Equity may invest up to 25% of its total assets in the Cayman Subsidiary. The net assets of the Cayman Subsidiary as of period end were $124,815, which is less than 0.1% of GA Disciplined Volatility Equity’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. During the year ended April 30, 2024, there were no transactions in the Cayman Subsidiary. The Cayman Subsidiary is subject to the same investment policies and restrictions that apply to GA Disciplined Volatility Equity, except that the Cayman Subsidiary may invest without limitation in commodity-related instruments.
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Funds are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of April 30, 2024, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
362024 BlackRock Annual Report to Shareholders
Notes to Financial Statements (continued)
Bank Overdraft: The Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.
Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
Distributions: Distributions paid by the Funds are recorded on the ex-dividend dates. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Net income and realized gains from investments held by the Cayman Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Cayman Subsidiary in any taxable year, the loss will generally not be available to offset the Funds’ ordinary income and/or capital gains for that year.
Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on their relative net assets or other appropriate methods. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
The Funds have an arrangement with their custodian whereby credits are earned on uninvested cash balances. For financial reporting purposes, custodian credits, if any, are included in interest income in the Statements of Operations.
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Trust (the “Board”) has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’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 the Manager’s policies and procedures as reflecting fair value. The Manager 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 each Fund’s assets and liabilities:
•Equity investments 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. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.
•Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“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.
•Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
•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.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
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 the Manager’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 each Fund might reasonably expect to receive or pay from
Notes to Financial Statements37
Notes to Financial Statements (continued)
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.
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.
| Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
| | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
| | recapitalizations and other transactions across the capital structure; and |
| | market multiples of comparable issuers. |
| | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
| | quoted prices for similar investments or assets in active markets; and |
| | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
| | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
| | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
| | relevant news and other public sources; and |
| | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involves a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
•Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access;
•Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
•Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4.
SECURITIES AND OTHER INVESTMENTS
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
382024 BlackRock Annual Report to Shareholders
Notes to Financial Statements (continued)
5.
DERIVATIVE FINANCIAL INSTRUMENTS
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Options: The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
Notes to Financial Statements39
Notes to Financial Statements (continued)
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
•Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Funds and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
402024 BlackRock Annual Report to Shareholders
Notes to Financial Statements (continued)
6.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, each Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets:
| |
| GA Disciplined Volatility Equity | |
| | |
| | |
| | |
| | |
| | |
The Manager provides investment management and other services to the Cayman Subsidiary. The Manager does not receive separate compensation from the Cayman Subsidiary for providing investment management or administrative services. However, GA Disciplined Volatility Equity pays the Manager based on the Fund’s net assets, which includes the assets of the Cayman Subsidiary.
Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to servicing of underlying investor accounts. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the year ended April 30, 2024, the Funds did not pay any amounts to affiliates in return for these services.
For the year ended April 30, 2024, the following table shows the class specific transfer agent fees borne directly by each share class of each Fund:
| | |
GA Disciplined Volatility Equity | | |
| | |
Expense Limitations, Waivers, Reimbursements, and Recoupments: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended April 30, 2024, the amounts waived were as follows:
| Fees Waived and/or Reimbursed
by the Manager |
GA Disciplined Volatility Equity | |
| |
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. For the year ended April 30, 2024, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| Fees Waived and/or Reimbursed
by the Manager |
| |
With respect to each Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | |
GA Disciplined Volatility Equity | | |
| | |
Notes to Financial Statements41
Notes to Financial Statements (continued)
The Manager has agreed not to reduce or discontinue the contractual expense limitations through June 30, 2025, unless approved by the Board, including a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. For the year ended April 30, 2024, amounts included in the Statements of Operations were as follows:
| Fees Waived and/or Reimbursed
by the Manager |
GA Disciplined Volatility Equity | |
| |
In addition, these amounts waived and/or reimbursed by the Manager are included in transfer agent fees waived and/or reimbursed by the Manager — class specific in the Statements of Operations. For the year ended April 30, 2024, class specific expense waivers and/or reimbursements were as follows:
| Transfer Agent Fees Waived and/or
Reimbursed by the Manager - Class Specific |
| | |
GA Disciplined Volatility Equity | | |
| | |
With respect to the contractual expense limitation, if during a Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:
(1) each Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year, and
(2) the Manager or an affiliate continues to serve as a Fund’s investment adviser or administrator.
This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time. Effective June 1, 2024, the repayment arrangement between each Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under each Fund’s contractual caps on net expenses will be terminated.
As of April 30, 2024, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement were as follows:
| |
Fund Name/Fund Level/Share Class | |
GA Disciplined Volatility Equity | |
| |
| |
| |
| |
| |
| |
| |
The following fund level and class specific waivers and/or reimbursements previously recorded by the Funds, which were subject to recoupment by the Manager, expired on April 30, 2024:
| |
Fund Name/Fund Level/Share Class | |
GA Disciplined Volatility Equity | |
| |
| |
| |
| |
| |
| |
| |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any
422024 BlackRock Annual Report to Shareholders
Notes to Financial Statements (continued)
lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the year ended April 30, 2024, the Funds did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
For the year ended April 30, 2024, purchases and sales of investments, excluding short-term securities, were as follows:
| | |
GA Disciplined Volatility Equity | | |
| | |
It is each Fund’ s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’ s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of April 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAVs per share. As of period end, permanent differences attributable to nondeductible expenses were reclassified to the following accounts:
| | Accumulated
Earnings (Loss) |
GA Disciplined Volatility Equity | | |
The tax character of distributions paid was as follows:
| | |
GA Disciplined Volatility Equity | | |
| | |
| | |
| | |
As of April 30, 2024, the tax components of accumulated earnings (loss) were as follows:
| Undistributed
Ordinary Income | Undistributed
Long-Term
Capital Gains | | | |
GA Disciplined Volatility Equity | | | | | |
| | | | | |
| The difference between book-basis and tax-basis net unrealized gains/losses was attributable primarily to the tax deferral of losses on wash sales and straddles and the realization for tax purposes of unrealized gains/losses on certain foreign currency and futures contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income and the accounting for swap agreements. |
| The Fund has elected to defer these qualified late-year losses and recognize such losses in the next taxable year. |
During the year ended April 30, 2024, the Funds listed below utilized the following amounts of their respective capital loss carryforward:
| |
GA Disciplined Volatility Equity | |
| |
Notes to Financial Statements43
Notes to Financial Statements (continued)
As of April 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
GA Disciplined Volatility Equity | | | | |
| | | | |
The Trust, on behalf of each Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended April 30, 2024, the Funds did not borrow under the credit agreement.
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’ s prospectus provides details of the risks to which each Fund is subject.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
442024 BlackRock Annual Report to Shareholders
Notes to Financial Statements (continued)
With exchange-traded options purchased and exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded options purchased and exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
11.
CAPITAL SHARE TRANSACTIONS
Transactions in capital shares for each class were as follows:
| | |
| | | | |
GA Disciplined Volatility Equity | | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Shares issued in reinvestment of distributions | | | | |
| | | | |
| | | | |
| | | | |
Notes to Financial Statements45
Notes to Financial Statements (continued)
As of April 30, 2024, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:
| |
GA Disciplined Volatility Equity | |
| |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
462024 BlackRock Annual Report to Shareholders
Report of Independent Registered Public Accounting Firm
To the Shareholders of BlackRock GA Disciplined Volatility Equity Fund and BlackRock GA Dynamic Equity Fund and the Board of Trustees of Managed Account Series:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of BlackRock GA Disciplined Volatility Equity Fund and BlackRock GA Dynamic Equity Fund of Managed Account Series (the “Funds”), including the schedules of investments, as of April 30, 2024, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the three years in the period then ended, for the period from November 1, 2020 through April 30, 2021, and for each of the two years in the period ended October 31, 2020, and the related notes. Such financial statements and financial highlights of BlackRock GA Disciplined Volatility Equity Fund are consolidated for each of the three years in the period then ended April 30, 2024, for the period from November 1, 2020 through April 30, 2021, and for the year ended October 31, 2020. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of April 30, 2024, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended, for the period from November 1, 2020 through April 30, 2021, and for each of the two years in the period ended October 31, 2020, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of April 30, 2024, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
June 24, 2024
We have served as the auditor of one or more BlackRock investment companies since 1992.
Report of Independent Registered Public Accounting Firm47
Important Tax Information (unaudited)
The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended April 30, 2024:
| |
GA Disciplined Volatility Equity | |
| |
The following amounts, or maximum amounts allowable by law, are hereby designated as qualified business income for individuals for the fiscal year ended April 30, 2024:
| |
GA Disciplined Volatility Equity | |
| |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended April 30, 2024:
| Federal Obligation
Interest |
GA Disciplined Volatility Equity | |
| |
The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended April 30, 2024 qualified for the dividends-received deduction for corporate shareholders:
| Dividends-Received
Deduction |
GA Disciplined Volatility Equity | |
| |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended April 30, 2024:
| |
GA Disciplined Volatility Equity | |
| |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended April 30, 2024:
| Interest-
Related
Dividends |
GA Disciplined Volatility Equity | |
| |
482024 BlackRock Annual Report to Shareholders
Statement Regarding Liquidity Risk Management Program
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), Managed Account Series (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for BlackRock GA Disciplined Volatility Equity Fund and BlackRock GA Dynamic Equity Fund (the “Funds”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.
The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on November 16-17, 2023 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund’s Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2022 through September 30, 2023 (the “Program Reporting Period”).
The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:
a)
The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a fund’s liquidity bucketing. A fund’s derivative exposure was also considered in such calculation.
b)
Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size utilized for liquidity classifications. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.
c)
Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered the terms of the credit facility committed to each Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.
There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program’s classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
Statement Regarding Liquidity Risk Management Program49
Trustee and Officer Information
|
| | Principal Occupation(s) During Past 5 Years | Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of Investment
Portfolios (“Portfolios”) Overseen | Public Company and Other
Investment Company
Directorships Held During
Past 5 Years |
| Chair of the Board and
Trustee
(Since 2019) | Chief Investment Officer, University of Delaware from 1999 to 2013; Trustee and Chair of the Finance and Investment Committees, Winterthur Museum and Country Estate from 2005 to 2016; Member of the Investment Committee, Delaware Public Employees’ Retirement System since 2002; Member of the Investment Committee, Christiana Care Health System from 2009 to 2017; Member of the Investment Committee, Delaware Community Foundation from 2013 to 2014; Director and Chair of the Audit Committee, SEI Private Trust Co. from 2001 to 2014. | 28 RICs consisting of 164 Portfolios | |
| | Trustee, Financial Accounting Foundation from 2017 to 2021; Advisory Board Member, Center for Private Equity and Entrepreneurship at Tuck School of Business from 1997 to 2021; Director, Pacific Pension Institute from 2014 to 2018; Senior Advisor, Commonfund Capital, Inc. (“CCI”) (investment adviser) in 2015; Chief Executive Officer, CCI from 2013 to 2014; President & Chief Executive Officer, CCI from 1997 to 2013; Advisory Board Member, Girls Who Invest from 2015 to 2018 and Board Member thereof from 2018 to 2022; Advisory Board Member, Bridges Fund Management from 2016 to 2018; Practitioner Advisory Board Member, Private Capital Research Institute (“PCRI”) since 2017; Lecturer in the Practice of Management, Yale School of Management since 2019; Advisor to Finance Committee, Altman Foundation since 2020; Investment Committee Member, Tostan since 2021; Member of the President’s Counsel, Commonfund since 2023. | 28 RICs consisting of 164 Portfolios | |
| | Senior advisor, Insignia since 2024; Chief Investment Officer, Williams College from 2006 to 2023; Chief Investment Officer, Lucent Asset Management Corporation from 1998 to 2006; Director, Boys and Girls Club of Boston since 2017; Director, B1 Capital since 2018; Director, David and Lucile Packard Foundation since 2020. | 28 RICs consisting of 164 Portfolios | |
| | Bank of America Corporation from 1996 to 2015, serving in various senior finance leadership roles, including Chief Accounting Officer from 2009 to 2015, Chief Financial Officer of Global Banking, Markets and Wealth Management from 2008 to 2009, Chief Accounting Officer from 2004 to 2008, Chief Financial Officer of Consumer Bank from 2003 to 2004, Chief Financial Officer of Global Corporate Investment Bank from 1999 to 2002. | 28 RICs consisting of 164 Portfolios | |
| | Director, Pioneer Public Interest Law Center since 2023; Director, Charles Stark Draper Laboratory, Inc. from 2013 to 2021; Senior Lecturer, Harvard Business School from 2008 to 2021; FMR LLC/Fidelity Investments (financial services) from 1996 to 2008, serving in various senior roles including Executive Vice President - Strategic Corporate Initiatives and Executive Vice President and General Counsel; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 28 RICs consisting of 164 Portfolios | |
502024 BlackRock Annual Report to Shareholders
Trustee and Officer Information (continued)
Independent Trustees(a) (continued) |
| Position(s) Held (Length of Service)(c) | Principal Occupation(s) During Past 5 Years | Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Company and Other Investment Company Directorships Held During Past 5 Years |
| | Director, Park Indemnity Ltd. (captive insurer) from 2010 to 2022. | 28 RICs consisting of 164 Portfolios | GrafTech International Ltd. (materials manufacturing); Sealed Air Corp. (packaging); WABCO (commercial vehicle safety systems) from 2015 to 2020; Hertz Global Holdings (car rental) from 2015 to 2021. |
Cynthia A. Montgomery
1952 | | Professor, Harvard Business School since 1989. | 28 RICs consisting of 164 Portfolios | |
| | Chair of the Board of Phoenix Art Museum since 2022 and Trustee thereof since 2018; Chair of the Investment Committee of The Arizona Community Foundation since 2022 and Trustee thereof since 2020; Director, Athena Capital Advisors LLC (investment management firm) from 2013 to 2020; Trustee, Vice Chair, Member of the Executive Committee and Chair of the Investment Committee, Cornell University from 2004 to 2019; Member of Affordable Housing Supply Board of Jackson, Wyoming from 2017 to 2022; Member, Investment Funds Committee, State of Wyoming from 2017 to 2023; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014. | 28 RICs consisting of 164 Portfolios | |
| | Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Past- Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001, Emeritus since 2022; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007; Member, Advisory Board, ESG Competent Boards since 2020. | 28 RICs consisting of 164 Portfolios | |
| | Advisory Board Member, Grossman School of Business at the University of Vermont since 2023; Advisory Board Member, Scientific Financial Systems since 2022; General Partner of Neon Liberty Capital Management, LLC from 2003 to 2023; Chief Operating Officer and Chief Financial Officer of Liberty Square Asset Management, LP from 1998 to 2015; Director, Boston Hedge Fund Group from 2009 to 2018; Director, Massachusetts Council on Economic Education from 2013 to 2015; Director, Woodstock Ski Runners from 2013 to 2022. | 28 RICs consisting of 164 Portfolios | |
Trustee and Officer Information51
Trustee and Officer Information (continued)
Interested Trustees(a)(d) |
| | Principal Occupation(s) During Past 5 Years | Number of BlackRock-Advised
(“RICs”) Consisting of Investment
Portfolios (“Portfolios”) Overseen | Public Company and Other
Investment Company
Directorships Held During
Past 5 Years |
| | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016. | 96 RICs consisting of 266 Portfolios | |
| Trustee
(Since 2015)
President and Chief
Executive Officer
(Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 98 RICs consisting of 268 Portfolios | |
| The address of each Trustee is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001. |
| Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trusts’ by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the 1940 Act, serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trusts’ by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. |
| Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. In addition, effective January 1, 2019, three BlackRock Fund Complexes were realigned and consolidated into two BlackRock Fund Complexes. As a result, although the chart shows the year that each Independent Trustee joined the Board, certain Independent Trustees first became members of the boards of other BlackRock-advised Funds, legacy MLIM funds or legacy BlackRock funds as follows: Susan J. Carter, 2016; Collette Chilton, 2015; Neil A. Cotty, 2016; Cynthia A. Montgomery, 1994; Mark Stalnecker, 2015; Kenneth L. Urish, 1999; Claire A. Walton, 2016. |
| Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Fixed-Income Complex. |
| Mr. Perlowski is also a trustee of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund. |
522024 BlackRock Annual Report to Shareholders
Trustee and Officer Information (continued)
Officers Who Are Not Trustees(a) |
| Position(s) Held
(Length of Service) | Principal Occupation(s) During Past 5 Years |
| Vice President
(Since 2014) | Managing Director of BlackRock, Inc. since 2016. |
| Chief Financial Officer
(Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019. |
| | Managing Director of BlackRock, Inc. since 2007. |
| Chief Compliance Officer
(Since 2023) | Managing Director of BlackRock, Inc. since 2018; Chief Compliance Officer of the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the iShares Complex since 2023; Deputy Chief Compliance Officer for the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed- Income Complex and the iShares Complex from 2014 to 2023. |
| Anti-Money Laundering
Compliance Officer
(Since 2019) | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019. |
| | Managing Director of BlackRock, Inc. since 2018. |
| The address of each Officer is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001. |
| Officers of the Trust serve at the pleasure of the Board. |
Further information about the Trust’s Trustees and Officers is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 537-4942.
Effective July 1, 2023, Aaron Wasserman replaced Charles Park as Chief Compliance Officer of the Trust. |
Effective June 1, 2024, Lori Richards was appointed as a Trustee of the Trust. |
Trustee and Officer Information53
Tailored Shareholder Reports for Open-End Mutual Funds and ETFs
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 537-4942.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 537-4942; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Shareholder Privileges
Account Information
Call us at (800) 537-4942 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
542024 BlackRock Annual Report to Shareholders
Additional Information (continued)
BlackRock Privacy Principles (continued)
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Fund and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent
State Street Bank and Trust Company
Boston, MA 02114
Custodian
Brown Brothers Harriman & Co.
Boston, MA 02109
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Distributor
BlackRock Investments, LLC
New York, NY 10001
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Legal Counsel
Sidley Austin LLP
New York, NY 10019
Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
Glossary of Terms Used in this Report
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| American Depositary Receipt |
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| Morgan Stanley Capital International |
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| Societe en Commandite par Actions |
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562024 BlackRock Annual Report to Shareholders
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Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
(b) Not Applicable
| Item 2 – | Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762. |
| Item 3 – | Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: |
Neil A. Cotty
Henry R. Keizer
Kenneth L. Urish
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
| Item 4 – | Principal Accountant Fees and Services |
The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:
| | | | | | | | | | | | | | | | |
| | | (a) Audit Fees | | (b) Audit-Related Fees1 | | (c) Tax Fees2 | | (d) All Other Fees |
| Entity Name | | Current Fiscal Year End | | Previous Fiscal Year End | | Current Fiscal Year End | | Previous Fiscal Year End | | Current Fiscal Year End | | Previous Fiscal Year End | | Current Fiscal Year End | | Previous Fiscal Year End |
| BlackRock GA Disciplined Volatility Equity Fund | | $40,902 | | $40,902 | | $407 | | $44 | | $17,860 | | $20,100 | | $0 | | $218 |
| BlackRock GA Dynamic Equity Fund | | $40,902 | | $40,902 | | $407 | | $44 | | $22,880 | | $25,300 | | $0 | | $218 |
The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):
2
| | | | |
| | | Current Fiscal Year End | | Previous Fiscal Year End |
(b) Audit-Related Fees1 | | $0 | | $0 |
(c) Tax Fees2 | | $0 | | $0 |
(d) All Other Fees3 | | $2,149,000 | | $2,154,000 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.
2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3 Non-audit fees of $2,149,000 and $2,154,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
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(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
| | | | |
| Entity Name | | Current Fiscal Year
End | | Previous Fiscal Year End |
| BlackRock GA Disciplined Volatility Equity Fund | | $18,267 | | $20,362 |
| BlackRock GA Dynamic Equity Fund | | $23,287 | | $25,562 |
Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:
| | |
Current Fiscal Year End | | Previous Fiscal Year End |
$2,149,000 | | $2,154,000 |
These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) – Not Applicable
(j) – Not Applicable
| Item 5 – | Audit Committee of Listed Registrant – Not Applicable |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
| Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
4
| Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
| Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
| Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
| Item 13 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
| Item 14 – | Exhibits attached hereto |
(a)(1) Code of Ethics – See Item 2
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the Registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
5
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Managed Account Series
| | | | |
| | By: | | /s/ John M. Perlowski |
| | | | John M. Perlowski |
| | | | Chief Executive Officer (principal executive officer) of |
| | | | Managed Account Series |
Date: June 24, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | |
| | By: | | /s/ John M. Perlowski |
| | | | John M. Perlowski |
| | | | Chief Executive Officer (principal executive officer) of |
| | | | Managed Account Series |
Date: June 24, 2024
| | | | |
| | By: | | /s/ Trent Walker |
| | | | Trent Walker |
| | | | Chief Financial Officer (principal financial officer) of |
| | | | Managed Account Series |
Date: June 24, 2024
6
