Fair
Value
Hierarchy
as
of
Period
End
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
the
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
BlackRock
Global
Valuation
Methodologies
Committee's
(the
"Global
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
Global
Valuation
Committee
in
determining
the
price
for
Fair
Valued
Investments.
Level
3
investments
include
equity
or
debt
issued
by
privately
held
companies
or
funds.
There
may
not
be
a
secondary
market,
and/or
there
are
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.
For
information
about
the
Fund’s
policy
regarding
valuation
of
financial
instruments,
refer
to
its
most
recent
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.
Level
1
Level
2
Level
3
Total
Assets:
Investments:
Long-Term
Investments:
Asset-Backed
Securities
...................................
$
—
$
896,045
$
—
$
896,045
Foreign
Government
Obligations
..............................
—
1,875,131
—
1,875,131
Non-Agency
Mortgage-Backed
Securities
........................
—
3,601,938
—
3,601,938
U.S.
Government
Sponsored
Agency
Securities
....................
—
30,877,438
—
30,877,438
U.S.
Treasury
Obligations
...................................
—
19,225,536
—
19,225,536
Short-Term
Securities:
Money
Market
Funds
......................................
7,264,293
—
—
7,264,293
U.S.
Government
Sponsored
Agency
Securities
....................
—
4,198,991
—
4,198,991
Options
Purchased:
Foreign
currency
exchange
contracts
...........................
—
9,652
—
9,652
Interest
rate
contracts
......................................
19,969
3,695
—
23,664
Liabilities:
Investments:
TBA
Sale
Commitments
....................................
—
(5,733,177)
—
(5,733,177)
$
7,284,262
$
54,955,249
$
—
$
62,239,511
Derivative
Financial
Instruments
(a)
Assets:
Foreign
currency
exchange
contracts
............................
$
—
$
6,414
$
—
$
6,414
Interest
rate
contracts
.......................................
20,409
1,440
—
21,849
Other
contracts
...........................................
—
334
—
334
Liabilities:
Foreign
currency
exchange
contracts
............................
—
(4,093)
—
(4,093)
Interest
rate
contracts
.......................................
(16,680)
(140,621)
—
(157,301)
Other
contracts
...........................................
—
(33,251)
—
(33,251)
$
3,729
$
(169,777)
$
—
$
(166,048)
(a)
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.
