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: 811-21457
Name of Fund: BlackRock Allocation Target Shares
Series A Portfolio
Series C Portfolio
Series E Portfolio
Series M Portfolio
Series P Portfolio
Series S Portfolio
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Allocation Target Shares, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 03/31/2019
Date of reporting period: 09/30/2018
Item 1 – Report to Stockholders
SEPTEMBER 30, 2018
| | |
SEMI-ANNUAL REPORT (UNAUDITED) | |  |
BlackRock Allocation Target Shares
| | |
| | | Not FDIC Insured § May Lose Value § No Bank Guarantee |
The Markets in Review
Dear Shareholder,
In the 12 months ended September 30, 2018, the strongest corporate profits in seven years drove the equity market higher, while rising interest rates constrained bond returns. Though the market’s appetite for risk remained healthy, risk-taking was tempered somewhat, as shorter-term, higher-quality securities led the bond market, and U.S. equities outperformed most international stock markets.
Volatility in emerging market stocks rose as U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe led to modest performance for European equities.
Short-term U.S. Treasury interest rates rose the fastest, while longer-term rates slightly increased, leading to a negative return for long-term U.S. Treasuries and a substantial flattening of the yield curve. Many investors are concerned with the flattening yield curve as a harbinger of recession, but given the extraordinary monetary measures in the last decade, we believe a more accurate barometer for the economy is the returns along the risk spectrums in stock and bond markets. Although the fundamentals in credit markets remained relatively solid, investment-grade bonds declined slightly, and high-yield bonds posted modest returns.
In response to rising growth and inflation, the U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. The Fed also continued to reduce its balance sheet during the reporting period, gradually reversing the unprecedented stimulus measures it enacted after the financial crisis. Meanwhile, the European Central Bank announced that its bond-purchasing program would conclude at the end of the year, while also expressing its commitment to low interest rates. In contrast, the Bank of Japan continued to expand its balance sheet through bond purchasing while lowering its expectations for inflation.
The U.S. economy continued to gain momentum despite the Fed’s modest reduction of economic stimulus; unemployment declined to 3.7%, the lowest rate of unemployment in almost 50 years. The number of job openings reached a record high of more than 7 million, which exceeded the total number of unemployed workers. Strong economic performance has justified the Fed’s somewhat faster pace of rate hikes, as the headline inflation rate and investors’ expectations for inflation have already surpassed the Fed’s target of 2.0%.
While markets have recently focused on the risk of rising long-term interest rates, we continue to believe the primary risk to economic expansion is trade protectionism that could lead to slower global trade and unintended consequences for the globalized supply chain. So far, U.S. tariffs have only had a modest negative impact on economic growth, but the fear of an escalating trade war has stifled market optimism somewhat, leading to higher volatility in risk assets. The outcome of trade negotiations between the United States and China is likely to influence the global growth trajectory and set the tone for free trade in many other nations. Any easing of tensions could lead to greater upside for markets, while additional tariffs could adversely affect investor sentiment.
In this environment, investors need to think globally, extend their scope across a broad array of asset classes, 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
Rob Kapito
President, BlackRock Advisors, LLC
| | | | |
| Total Returns as of September 30, 2018 |
| | | 6-month | | 12-month |
U.S. large cap equities
(S&P 500® Index) | | 11.41% | | 17.91% |
U.S. small cap equities
(Russell 2000® Index) | | 11.61 | | 15.24 |
International equities
(MSCI Europe, Australasia, Far East Index) | | 0.10 | | 2.74 |
Emerging market equities
(MSCI Emerging Markets Index) | | (8.97) | | (0.81) |
3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index) | | 0.95 | | 1.59 |
U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index) | | (1.40) | | (4.02) |
U.S. investment grade
bonds (Bloomberg Barclays U.S. Aggregate Bond Index) | | (0.14) | | (1.22) |
Tax-exempt municipal
bonds (S&P Municipal
Bond Index) | | 0.77 | | 0.48 |
U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index) | | 3.46 | | 3.05 |
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
| | |
| 2 | | T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
Table of Contents
| | |
| Fund Summary as of September 30, 2018 | | Series A Portfolio |
Investment Objective
Series A Portfolio’s (the “Fund”) investment objective is to seek a high level of current income consistent with capital preservation.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended September 30, 2018, the Fund outperformed both its broad-based benchmark, the Bloomberg Barclays U.S. Universal Index, and its “Reference Benchmark,” consisting of 50% Bloomberg Barclays U.S. Asset-Backed Securities Index and 50% Bloomberg Barclays Non-Agency Investment Grade CMBS Index. Shares of the Fund can be purchased or held only by or on behalf of (i) certain separately managed account clients; (ii) collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser; and (iii) mutual funds advised by BlackRock Advisors, LLC or its affiliates. Comparisons of the Fund’s performance versus its Reference Benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The largest positive contributors to the Fund’s performance included holdings of non-agency residential mortgage-backed securities (“RMBS”), specifically allocations within the subprime, option adjustable-rate mortgage and credit risk-transfer subsectors. Allocations to floating rate collateralized loan obligations (“CLOs”) and commercial mortgage-backed securities (“CMBS”) also contributed notably to performance.
Positioning with respect to asset-backed securities (“ABS”) weighed on the Fund’s performance, principally due to an underweighting of the prime auto and credit card segments relative to the Reference Benchmark.
Describe recent portfolio activity.
There were no significant shifts in the Fund’s allocations across securitized sectors over the period. Within CMBS, exposure to AAA-rated non-agency multifamily loans was increased, as was exposure to term loans. Additionally, within non-agency RMBS, exposure to prime loans was increased.
Describe portfolio positioning at period end.
The Fund ended the period with an overweight duration (and corresponding interest rate sensitivity) relative to the Reference Benchmark. The Fund’s allocation within non-agency RMBS favored more market-sensitive, higher beta subprime issues relative to Alt-A and Prime. Within CMBS, the Fund had a tilt toward floating rate issues. Within ABS, the Fund favored mezzanine and subordinated fixed rate consumer loans. The Fund remained cautious in deploying risk given the current level of spreads, while looking to opportunistically add exposure in situations where spreads widen.
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.
Portfolio Information
| | |
PORTFOLIO COMPOSITION |
| Asset Type | | Percent of
Total Investments(a) |
Asset-Backed Securities | | 62% |
Non-Agency Mortgage-Backed Securities | | 32 |
Floating Rate Loan Interests | | 3 |
U.S. Government Sponsored Agency Securities | | 3 |
| | |
CREDIT QUALITY ALLOCATION (b) |
| Credit Rating | | Percent of Total Investments(a) |
AAA/Aaa(c) | | 31% |
AA/Aa | | 6 |
A | | 5 |
BBB/Baa | | 5 |
BB/Ba | | 10 |
B | | 2 |
CCC/Caa | | 4 |
CC/Ca | | 8 |
C | | 3 |
N/R | | 26 |
| | (a) | Total investments exclude short-term securities. | |
| | (b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. | |
| | (c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
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| 4 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2018 (continued) | | Series A Portfolio |
Performance Summary for the Period Ended September 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns(a)(b) |
| | | | | 6-Month
Total Returns | | | | 1 Year | | | | Since Inception(c)
|
Series A Portfolio | | | | | | | | | 2.20 | % | | | | | | | | | 4.27 | % | | | | | | | | | 6.46 | % |
Bloomberg Barclays U.S. Universal Index(d) | | | | | | | | | 0.00 | | | | | | | | | | (1.00 | ) | | | | | | | | | 2.04 | |
Reference Benchmark(e) | | | | | | | | | 0.88 | | | | | | | | | | 0.32 | | | | | | | | | | 1.75 | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund will primarily invest its assets in fixed-income securities, such as ABS, CMBS and RMBS issued or guaranteed by the U.S. Government, various agencies of the U.S. Government or various instrumentalities that have been established or sponsored by the U.S. Government, commercial and residential mortgage-backed securities issued by banks and other financial institutions, collateralized mortgage obligations, loans backed by commercial or residential real estate, derivatives and repurchase agreements and reverse repurchase agreements. | |
| | (c) | The Fund commenced operations on September 21, 2015. | |
| | (d) | An unmanaged, market value weighted index of fixed-income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, ABS and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt with maturities of at least one year. | |
| | (e) | A customized weighted index comprised of the returns of the Bloomberg Barclays U.S. Asset-Backed Securities Index (50%)/Bloomberg Barclays Non-Agency Investment Grade CMBS Index (50%). The Bloomberg Barclays U.S. Asset-Backed Securities Index is composed of debt securities backed by credit card, auto and home equity loans that are rated investment grade or higher by Moody’s, S&P or Fitch Ratings, Inc. (“Fitch”). Issues must have at least one year to maturity and an outstanding par value of at least $50 million. The Bloomberg Barclays Non-Agency Investment Grade CMBS Index measures the market of conduit and fusion CMBS deals with a minimum current deal size of $300 million that are rated investment grade or higher using the middle rating of Moody’s, S&P, and Fitch after dropping the highest and lowest available ratings. Securities must have a remaining average life of at least one year and must be fixed-rate, weighted average coupon (WAC), or capped WAC securities. | |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | Hypothetical(b) | | |
| | | | | Beginning
Account Value
(04/01/18) | | | | Ending
Account Value
(09/30/18) | | | | Expenses
Paid During
the Period(a)
| | | | | | Beginning Account Value (04/01/18) | | | | Ending
Account Value
(09/30/18) | | | | Expenses
Paid During
the Period(a)
| | | | Annualized
Expense
Ratio |
Series A Portfolio | | | | | | $1,000.00 | | | | | | | | | | $1,022.00 | | | | | | | | | | $0.00 | | | | | | | | | | | | | | | $1,000.00 | | | | | | | | | | $1,025.07 | | | | | | | | | | $0.00 | | | | | | | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.
| | |
| Fund Summary as of September 30, 2018 | | Series C Portfolio |
Investment Objective
Series C Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended September 30, 2018, the Fund outperformed its benchmark, the Bloomberg Barclays U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
Security selection in industrials made the largest contribution to Fund performance, led by the communications and consumer non-cyclical industries. Positions in banking issues, particularly the subordinated issues of large banks, also added value. Duration and yield curve positioning contributed, as well. (Duration is a measure of interest rate sensitivity.)
Given the Fund’s outperformance, there were few notable detractors in the period. With that said, positioning in taxable municipal bonds hurt results given that the Fund’s holdings underperformed the corresponding benchmark components. Underweight positions in some sovereign issuers also detracted, as these securities generated positive performance.
The Fund held derivatives during the period in order to manage the portfolio’s interest rate risk. These positions had a negative effect on Fund performance.
Describe recent portfolio activity.
The investment adviser generally added risk to the portfolio over the period, as it believed the widening in yield spreads would subside as the supply-and-demand backdrop for corporate bonds improved. (Yield spreads refer to the difference in a bond’s yield relative to U.S. Treasuries.) The investment adviser added positions in the bonds of companies with the ability to withstand potential industry disruptions and demonstrate resilience if there is an adverse shift in the credit cycle. In addition, the Fund favored defensive companies with steady cash flows and a low likelihood of pursuing merger-and-acquisition activity without a sound strategic rationale.
The investment adviser increased the Fund’s positions in the automotive, railroad, and energy industries. The investment adviser also reduced the portfolio’s underweight to the long end of the yield curve on the belief that the supply-and-demand backdrop should provide support for longer-dated maturities.
Describe portfolio positioning at period end.
At the close of the period, the Fund was overweight in the banking, cable and satellite, and midstream energy sectors. The Fund’s largest underweights were in life insurance, food and beverage, and integrated energy. The Fund had a neutral duration versus the benchmark.
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.
Portfolio Information
| | |
| PORTFOLIO COMPOSITION |
| Asset Type | | Percent of
Total Investments(a) |
Corporate Bonds | | 91% |
Capital Trusts | | 4 |
Taxable Municipal Bonds | | 2 |
Foreign Government Obligations | | 2 |
Foreign Agency Obligations | | 1 |
| | |
| CREDIT QUALITY ALLOCATION (b) |
| Credit Rating | | Percent of
Total Investments(a) |
AAA/Aaa(c) | | 1% |
AA/Aa | | 9 |
A | | 31 |
BBB/Baa | | 52 |
BB/Ba | | 7 |
| | (a) | Total investments exclude short-term securities and options purchased. | |
| | (b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. | |
| | (c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
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| 6 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2018 (continued) | | Series C Portfolio |
Performance Summary for the Period Ended September 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Average Annual Total Returns(a)(b) |
| | | 6-Month
Total Returns | | | | 1 Year | | | | | | 5 Years | | | | | | 10 Years | | |
Series C Portfolio | | | | 0.34 | % | | | | | | | | | (0.77 | )% | | | | | | | | | | | | | | 3.77 | % | | | | | | | | | | | | | | 6.70 | % | | | | | |
Bloomberg Barclays U.S. Credit Index(c) | | | | 0.01 | | | | | | | | | | (1.10 | ) | | | | | | | | | | | | | | 3.40 | | | | | | | | | | | | | | | 5.94 | | | | | | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund will primarily invest its assets in investment grade fixed-income securities, such as corporate bonds, notes and debentures, ABS, CMBS and RMBS, obligations of non-U.S. governments and supranational organizations which are chartered to promote economic development, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements and reverse repurchase agreements. | |
| | (c) | An unmanaged index that includes publicly issued U.S. corporate and non-corporate securities which include foreign agencies, sovereigns, supranationals and local authorities that meet the specified maturity, liquidity, and quality requirements. | |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | Hypothetical(b) | | |
| | | Beginning
Account Value
(04/01/18) | | Ending
Account Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | | | Beginning
Account Value
(04/01/18) | | Ending
Account Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | Annualized
Expense
Ratio |
Series C Portfolio | | | $ | 1,000.00 | | | | $ | 1,003.40 | | | | $ | 0.00 | | | | | | | | | $ | 1,000.00 | | | | $ | 1,025.07 | | | | $ | 0.00 | | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.
| | |
| Fund Summary as of September 30, 2018 | | Series E Portfolio |
Investment Objective
Series E Portfolio’s (the “Fund”) investment objective is to seek to maximize Federal tax-free yield with a secondary goal of total return.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended September 30, 2018, the Fund outperformed its broad-based benchmark, the S&P® Municipal Bond Index, but underperformed its customized “Reference Benchmark,” consisting of 50% S&P® Municipal High-Yield Index, 25% S&P® Municipal Bond A Rating Band Index (using the returns of only those A rated bonds that have maturities greater than five years) and 25% S&P® Municipal Bond BBB Rating Band Index (using the returns of only those BBB rated bonds that have maturities greater than five years). Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its Reference Benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The Fund’s performance was hurt by its large underweight positions in various securities issued by U.S. territories, including Puerto Rico and the Virgin Islands, which significantly outperformed the broader market. Puerto Rico has benefited as its economy and revenues have proven more resilient than expected following the 2017 hurricane.
An underweight in non-investment grade bonds detracted, as lower-quality issues benefited from both higher income and stronger price performance.
At a time of rising yields, the Fund’s longer duration and overweight position in bonds with maturities of 25 years and above detracted. (Duration is a measure of interest-rate sensitivity; prices and yields move in opposite directions.)
On the positive side, positions in BBB rated bonds — which outpaced higher-quality issues — contributed to performance.
The Fund sought to manage interest rate risk using U.S. Treasury futures. Since Treasury yields rose, as prices fell, this aspect of the Fund’s strategy had a positive effect on returns.
Describe recent portfolio activity.
In an effort to maximize yield, the Fund rotated its cash balances and the cash proceeds from bond calls into bonds with longer-dated maturities. The municipal yield curve remained steep relative to the U.S. Treasury curve, which translated to a greater yield benefit from investing in longer-term securities.
The investment adviser looked for opportunities to sell losing positions in order to help minimize tax liabilities and increase the portfolio’s yield.
Demand for higher-yielding bonds caused yield spreads to compress during the period. The investment adviser therefore reduced positions where it believed spreads had tightened too much relative to other opportunities.
Describe portfolio positioning at period end.
The Fund had a moderately long duration relative to the Reference Benchmark. The Fund remained overweight in the 20+ year maturity range in a reflection of the investment adviser’s bias toward a flattening yield curve (i.e., outperformance for longer-term bonds).
The Fund’s largest sector overweight positions included transportation, health care and tobacco. The Fund’s leading underweights were in the tax-backed local and school district sectors, which reflected the investment adviser’s preference for revenue bonds (those secured by a specific revenue source) over general obligation debt.
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.
Portfolio Information
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of
Total Investments(a) | |
Health Care | | | 21% | |
County/City/Special District/School District | | | 19 | |
Transportation | | | 17 | |
Tobacco | | | 13 | |
Education | | | 14 | |
Utilities | | | 7 | |
Housing | | | 6 | |
Corporate | | | 3 | |
CREDIT QUALITY ALLOCATION (b)
| | | | |
| Credit Rating | | Percent of
Total Investments(a) | |
AA/Aa | | | 14% | |
A | | | 19 | |
BBB/Baa | | | 24 | |
BB/Ba | | | 11 | |
B | | | 8 | |
CC/Ca | | | 2 | |
N/R | | | 22 | |
| | (a) | Total investments exclude short-term securities. | |
| | (b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. | |
| | |
| 8 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2018 (continued) | | Series E Portfolio |
Performance Summary for the Period Ended September 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns(a)(b) |
| | | | | 6-Month
Total Returns | | | | 1 Year | | | | Since Inception(c) |
Series E Portfolio | | | | | | | | | 1.79 | % | | | | | | | | | 3.83 | % | | | | | | | | | 6.41 | % |
S&P® Municipal Bond Index(d) | | | | | | | | | 0.77 | | | | | | | | | | 0.48 | | | | | | | | | | 2.77 | |
Reference Benchmark(e) | | | | | | | | | 3.09 | | | | | | | | | | 4.67 | | | | | | | | | | 5.18 | (f) |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund will invest in investment grade and non-investment grade municipal bonds. Under normal circumstances, the Fund maintains an average portfolio duration that is within ±25% of the duration of the Reference Benchmark. | |
| | (c) | The Fund commenced operations on August 4, 2014. | |
| | (d) | The S&P® Municipal Bond Index is composed of bonds held by managed municipal bond fund customers of Standard & Poor’s Securities Pricing, Inc. that are priced daily. Bonds in the S&P® Municipal Bond Index must have an outstanding par value of at least $2 million and a remaining maturity of not less than one month. | |
| | (e) | A customized weighted index comprised of the returns of the S&P® Municipal High-Yield Index (50%)/S&P® Municipal Bond A Rating Band Index (25%) using the returns of only those A rated bonds that have maturities greater than 5 years/S&P® Municipal Bond BBB Rating Band Index (25%) using the returns of only those BBB rated bonds that have the maturities greater than 5 years. | |
| | (f) | The benchmark value used to calculate since inception return is from the close of July 31, 2014. By using this value the benchmark is using 2 extra days of performance (August 1, 2014 and August 4, 2014) compared to the Fund. | |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | Hypothetical(c) |
| | | | | | | Including
Interest
Expense
and Fees | | Excluding
Interest
Expense
and Fees | | | | | | Including
Interest
Expense
and Fees | | Excluding
Interest
Expense
and Fees |
| | | Beginning
Account
Value
(04/01/18) | | Ending
Account
Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | Expenses
Paid During
the Period(b) | | | | Beginning
Account
Value
(04/01/18) | | Ending
Account
Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | Ending
Account
Value
(09/30/18) | | Expenses
Paid During
the Period(b) |
Series E Portfolio | | | $ | 1,000.00 | | | | $ | 1,017.90 | | | | $ | 0.46 | | | | $ | 0.00 | | | | | | | | | $ | 1,000.00 | | | | $ | 1,024.62 | | | | $ | 0.46 | | | | $ | 1,025.07 | | | | $ | 0.00 | |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.09%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (b) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (c) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
| | | See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. | |
| | |
| Fund Summary as of September 30, 2018 | | Series M Portfolio |
Investment Objective
Series M Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended September 30, 2018, the Fund outperformed its benchmark, the Bloomberg Barclays MBS Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The most significant positive contributor to Fund performance relative to the benchmark was the Fund’s stance with respect to interest rates, including both positioning along the yield curve and with respect to overall portfolio duration (and corresponding sensitivity to interest rate changes). Allocations to commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) also added to relative performance. In addition, swap-based strategies under which parties agree to exchange fixed-income cash flows contributed positively. Finally, security selection within 15-year agency mortgage-backed securities (“MBS”) and a slight overweight to agency MBS relative to the benchmark helped return.
The largest detractor from performance was selection within 30-year agency MBS, driven by underperformance of specified pool holdings for which the Fund paid a premium valuation to gain exposure to certain prepayment characteristics.
Describe recent portfolio activity.
During the period, the Fund trimmed its position in pass-through agency MBS issues while adding to agency collateralized mortgage obligations (“CMOs”). The Fund added exposure to agency MBS derivatives, favoring interest-only (“IO”) and inverse IO instruments. The Fund’s allocation to securitized assets was decreased during the period, with the allocation to ABS essentially closed and the allocation to CMBS left more or less unchanged.
The Fund held a small percentage of assets in derivatives, including financial futures and swaps, as a means to manage risk against allocations in MBS and securitized assets. During the period, the use of derivatives had a positive impact on Fund performance.
Describe portfolio positioning at period end.
The Fund ended the period overweight to agency MBS relative to the benchmark, with allocations favoring 15-year agency MBS and Ginnie Mae-backed pools relative to 30-year conventional MBS. The Fund continued to hold an allocation to securitized assets, primarily in CMBS, with a tilt toward last cash flow securities at the top of the capital structure, and exposure as well to IO tranches and less market sensitive, single asset/single borrower issues. Relative to the Bloomberg Barclays MBS Index, the Fund ended the period overweight overall to portfolio duration.
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.
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | | Percent of
Total Investments(a) | |
U.S. Government Sponsored Agency Securities | | | 90% | |
Non-Agency Mortgage-Backed Securities | | | 9 | |
U.S. Treasury Obligations | | | 1 | |
CREDIT QUALITY ALLOCATION (b)
| | | | |
| Credit Rating | | Percent of
Total Investments(a) | |
AAA/Aaa(c) | | | 99% | |
N/R | | | 1 | |
| | (a) | Total investments exclude short-term securities and TBA sale commitments. | |
| | (b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. | |
| | (c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
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| 10 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2018 (continued) | | Series M Portfolio |
Performance Summary for the Period Ended September 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | | 6-Month
Total Returns | | | | | | 1 Year | | | | | | 5 Years | | | | | | 10 Years | |
Series M Portfolio | | | | | 0.55% | | | | | | | | (0.53 | )% | | | | | | | 2.37% | | | | | | | | 4.39% | |
Bloomberg Barclays MBS Index(c) | | | | | 0.12 | | | | | | | | (0.92 | ) | | | | | | | 2.02 | | | | | | | | 3.33 | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund will primarily invest its assets in investment grade CMBS and RMBS, ABS, CMOs, U.S. Treasury and agency securities, cash equivalent instruments, when-issued and delayed delivery securities, derivatives and dollar rolls. | |
| | (c) | An unmanaged index that includes the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac that meet the maturity and liquidity criteria. | |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical(b) | | | | |
| | | Beginning
Account Value
(04/01/18) | | | Ending
Account Value
(09/30/18) | | | Expenses
Paid During
the Period(a) | | | | | | Beginning
Account Value
(04/01/18) | | | Ending
Account Value
(09/30/18) | | | Expenses
Paid During
the Period(a) | | | Annualized
Expense
Ratio | |
Series M Portfolio | | | $1,000.00 | | | | $1,005.50 | | | | $0.00 | | | | | | | | $1,000.00 | | | | $1,025.07 | | | | $0.00 | | | | 0.00% | |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. | |
| | |
| Fund Summary as of September 30, 2018 | | Series P Portfolio |
Investment Objective
Series P Portfolio’s (the “Fund”) investment objective is to seek to provide a duration that is the inverse of its benchmark.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended September 30, 2018, the Fund outperformed the Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index and the Bloomberg Barclays U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The Fund held cash at the end of the period as collateral in conjunction with its investments in U.S. Treasury futures and interest rate swaps. The Fund’s cash exposure had no material impact on performance. The use and cost of derivatives will result in a negative contribution to returns when interest rates fall; however, the Fund’s strategy is designed to offset these costs by holding shares of BlackRock Allocation Target Shares: Series S Portfolio (“Series S Portfolio”), a short-term proprietary fund. The use of derivatives is necessary to achieve the Fund’s objective and should therefore be evaluated in a portfolio context and not as a standalone strategy. Given that yields rose, the Fund’s use of derivatives to facilitate an inverse exposure to the 7-year to 10-year part of the U.S. Treasury yield curve contributed positively to Fund performance.
The Fund’s position in the Series S Portfolio, which benefited from its allocations to investment-grade corporate bonds, asset-backed securities and commercial mortgage-backed securities, was the main contributor to performance. An allocation to agency mortgage-backed securities was the largest detractor within the Series S Portfolio.
Describe recent portfolio activity.
The Fund actively managed interest rate risk on the 7- to 10-year part of the yield curve by using derivatives as described above. The Fund maintained its allocation to Series S Portfolio in order to offset the cost of the derivatives. Since this is an overlay strategy designed to manage interest-rate risk, the portfolio’s positioning is relatively static.
Describe portfolio positioning at period end.
The Fund held positions in U.S. Treasury futures, interest rate swaps, Series S Portfolio and the Bank of New York Cash Reserve money market fund.
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.
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | | Percent of
Net Assets | |
Fixed Income Funds | | | 30% | |
Other Assets Less Liabilities | | | 70 | |
PORTFOLIO HOLDINGS
| | | | |
| Security | | Percent of Affiliated
Investment Companies | |
BlackRock Allocation Target Shares: Series S Portfolio | | | 100% | |
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| | |
| Fund Summary as of September 30, 2018 (continued) | | Series P Portfolio |
Performance Summary for the Period Ended September 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 6-Month | | | | Average Annual Total Returns(a)(b) |
| | | Total Returns | | | | 1 Year | | | | | | 5 Years | | | | | | Since Inception(c) | | |
Series P Portfolio | | | | 2.93 | % | | | | | | | | | 6.36 | % | | | | | | | | | | | | | | (0.72 | )% | | | | | | | | | | | | | | (0.19 | )% | | | | | |
Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index(d) | | | | (0.90 | ) | | | | | | | | | (2.99 | ) | | | | | | | | | | | | | | 1.83 | | | | | | | | | | | | | | | 0.99 | | | | | | |
Bloomberg Barclays U.S. Bellwether 10 Year Swap Index(e) | | | | (1.39 | ) | | | | | | | | | (4.39 | ) | | | | | | | | | | | | | | 2.17 | | | | | | | | | | | | | | | 1.10 | | | | | | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund may invest in a portfolio of securities and other financial instruments, including derivative instruments, in an attempt to provide returns that are the inverse of its benchmark index. | |
| | (c) | The Fund commenced operations on March 20, 2013. | |
| | (d) | An unmanaged index that includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S.dollars, are rated Baa3 (or better) by Moody’s or BBB- (or better) by S&P, are fixed rate, and have more than $250 million par outstanding. | |
| | (e) | Provides total returns for swaps with varying maturities. For example, the 10-year swap index measures the total return of investing in 10-year par swaps over time. | |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | Hypothetical(b) | | |
| | | Beginning
Account Value
(04/01/18) | | Ending
Account Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | | | Beginning
Account Value
(04/01/18) | | Ending
Account Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | Annualized
Expense
Ratio |
Series P Portfolio | | | $ | 1,000.00 | | | | $ | 1,029.30 | | | | $ | 0.00 | | | | | | | | | $ | 1,000.00 | | | | $ | 1,025.07 | | | | $ | 0.00 | | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.
| | |
| Fund Summary as of September 30, 2018 | | Series S Portfolio |
Investment Objective
Series S Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended September 30, 2018, the Fund outperformed its benchmark, the ICE BofAML 1-3 Year U.S. Treasury Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The Fund’s allocations to investment-grade corporate bonds, asset-backed securities and commercial mortgage-backed securities were the main contributors to performance. Allocations to U.S. Treasuries and agency mortgage-backed securities (“MBS”) were the primary detractors.
Describe recent portfolio activity.
The investment adviser reduced the Fund’s allocation to agency MBS and rotated into investment-grade corporate bonds. This shift reflected the investment adviser’s belief that although tax reform constituted a greater challenge for corporates, overall market sentiment in the sector remained positive. This reduction in agency MBS was based on the view that the category could experience lower demand and higher volatility.
Describe portfolio positioning at period end.
The Fund was positioned with a slightly longer duration relative to the benchmark. The Fund was overweight in asset-backed securities, agency MBS and U.S. investment-grade corporates.
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.
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | | Percent of
Total Investments(a) | |
Corporate Bonds | | | 53 | % |
Asset-Backed Securities | | | 20 | |
U.S. Government Sponsored Agency Securities | | | 16 | |
Non-Agency Mortgage-Backed Securities | | | 9 | |
Foreign Agency Obligations | | | 2 | |
CREDIT QUALITY ALLOCATION (b)
| | | | |
| Credit Rating | | Percent of
Total Investments(a) | |
AAA/Aaa(c) | | | 44 | % |
AA/Aa | | | 4 | |
A | | | 22 | |
BBB/Baa | | | 29 | |
BB/Ba | | | 1 | |
| | (a) | Total investments exclude short-term securities and options purchased. | |
| | (b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. | |
| | (c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
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| 14 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2018 (continued) | | Series S Portfolio |
Performance Summary for the Period Ended September 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Average Annual Total Returns(a)(b) |
| | | 6 Months
Total Returns | | | | 1 Year | | | | | | 5 Years | | | | | | 10 Years | | |
Series S Portfolio | | | | 1.10 | % | | | | | | | | | 0.73 | % | | | | | | | | | | | | | | 2.00 | % | | | | | | | | | | | | | | 3.33 | % | | | | | |
ICE BofAML 1-3 Year U.S. Treasury Index(c) | | | | 0.42 | | | | | | | | | | 0.04 | | | | | | | | | | | | | | | 0.56 | | | | | | | | | | | | | | | 1.09 | | | | | | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund will primarily invest its assets in investment grade fixed-income securities, such as CMBS and MBS, obligations of non-U.S. governments and supranational organizations, which are chartered to promote economic development, obligations of domestic and non-U.S. corporations, ABS, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements, reverse repurchase agreements and dollar rolls. | |
| | (c) | An unmanaged index comprised of Treasury securities with maturities ranging from one to three years. | |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | Hypothetical(c) |
| | | | | | | Including
Interest Expense | | Excluding
Interest Expense | | | | | | | Including
Interest Expense | | Excluding
Interest Expense |
| | | Beginning
Account Value
(04/01/18) | | Ending
Account Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | Expenses
Paid During
the Period(b) | | | | | Beginning
Account Value
(04/01/18) | | Ending
Account Value
(09/30/18) | | Expenses
Paid During
the Period(a) | | Ending
Account Value
(09/30/18) | | Expenses
Paid During
the Period(b) |
| Series S Portfolio | | $1,000.00 | | $1,011.00 | | $2.72 | | $0.00 | | | | | | $1,000.00 | | $1,022.36 | | $2.74 | | $1,025.07 | | $0.00 |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.54%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (b) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all expenses, except extraordinary expenses, incurred by the Fund. This agreement has no fixed term. | |
| | (c) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. | |
See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.
About Fund Performance
Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. 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 tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend/payable date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The performance information also reflects fee waivers and reimbursements that subsidize and reduce the total operating expenses of each Fund. The Funds’ returns would have been lower if there were no such waivers and reimbursements.
Disclosure of Expenses
Shareholders of each Fund may incur the following charges: (a) transactional expenses and (b) operating expenses, including administration fees and other fund expenses. The expense examples shown on the previous pages (which are based on a hypothetical investment of $1,000 invested on April 1, 2018 and held through September 30, 2018) 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. 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 under the headings 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, 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.
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The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance returns and NAV. However, there is no guarantee that these objectives can be achieved in all interest rate environments.
The Funds may utilize leverage by entering into reverse repurchase agreements.
Series E Portfolio may leverage its assets through the use of proceeds received in tender option bond (“TOB”) transactions, as described in the Notes to Financial Statements. In a TOB Trust transaction, the Fund transfers municipal bonds or other municipal securities into a special purpose entity (a “TOB Trust”). TOB investments generally provide the Fund with economic benefits in periods of declining short-term interest rates, but expose the Fund to risks during periods of rising short-term interest rates. Additionally, fluctuations in the market value of municipal bonds deposited into a TOB Trust may adversely affect the Fund’s NAV per share.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by each Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is distributed to the Funds’ shareholders, and the value of these portfolio holdings is reflected in the Funds’ per share NAV. However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other ongoing costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage.
Furthermore, the value of each Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can also influence the value of portfolio investments. As a result, changes in interest rates can influence each Fund’s NAV positively or negatively in addition to the impact on each Fund’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that a Fund’s leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of the leverage instruments, which may cause the Funds to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by each Fund’s shareholders and may reduce income.
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. 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.
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| T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G A N D D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S | | | 17 | |
| | |
Schedule of Investments (unaudited) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Asset-Backed Securities — 61.4% | |
Ajax Mortgage Loan Trust: | |
Series 2017-D, Class A, 3.75%, 12/25/57 (a)(b) | | $ | 2,281 | | | $ | 2,280,883 | |
Series 2017-D, Class B, 0.00%, 12/25/57 (a)(b)(c) | | | 1,730 | | | | 1,072,374 | |
Series 2018-A, Class A, 3.85%, 04/25/58 (a)(b) | | | 2,373 | | | | 2,325,943 | |
Series 2018-A, Class B, 0.00%, 04/25/58 (a)(b) | | | 611 | | | | 445,938 | |
Series 2018-B, Class A, 3.75%, 02/26/57 (a) | | | 2,434 | | | | 2,395,053 | |
Series 2018-B, Class B, 0.00%, 02/26/57 (a)(b) | | | 1,030 | | | | 449,306 | |
Series 2018-D, Class A, 3.75%, 08/26/58 (a)(c) | | | 4,000 | | | | 4,000,000 | |
Series 2018-D, Class B, 0.00%, 08/26/58 (a)(c) | | | 1,000 | | | | 613,089 | |
Allegro CLO II-S Ltd.: | |
Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.080%), 3.23%, 10/21/28 (a)(b)(d) | | | 2,000 | | | | 1,997,000 | |
Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.150%), 4.30%, 10/21/28 (a)(b)(d) | | | 300 | | | | 299,250 | |
Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.000%), 5.15%, 10/21/28 (a)(b)(d) | | | 750 | | | | 748,125 | |
Allegro CLO Ltd., Series 2016-1X, Class D, (3 mo. LIBOR US + 3.850%), 6.19%, 01/15/29 (d) | | | 500 | | | | 503,112 | |
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.130%), 3.47%, 01/17/31 (a)(d) | | | 1,000 | | | | 998,382 | |
Allegro CLO VII Ltd., Series 2018-2A, Class E, (3 mo. LIBOR US + 5.900%), 8.14%, 07/15/31 (a)(d) | | | 1,000 | | | | 983,326 | |
ALM VI Ltd., Series 2012-6A, Class DR3, (3 mo. LIBOR US + 5.050%), 7.40%, 07/15/26 (a)(d) | | | 600 | | | | 595,623 | |
ALM VII Ltd., Series 2012-7A, Class A1R, (3 mo. LIBOR US + 1.480%), 3.82%, 10/15/28 (a)(d) | | | 1,000 | | | | 1,003,526 | |
ALM XIV Ltd.: | |
Series 2014-14A, Class PS, 0.00%, 07/28/26 (a)(e) | | | 1,000 | | | | 713,645 | |
Series 2014-14B, Class PS, 0.00%, 07/28/26 (e) | | | 1,000 | | | | 713,645 | |
ALM XVI Ltd./ALM XVI LLC: | |
Series 2015-16A, Class A2R2, (3 mo. LIBOR US + 1.500%), 3.24%, 07/15/27 (a)(d) | | | 1,000 | | | | 999,077 | |
Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.700%), 5.04%, 07/15/27 (a)(d) | | | 1,000 | | | | 982,787 | |
ALM XVII Ltd.: | |
Series 2015-17A, Class A1AR, (3 mo. LIBOR US + 0.930%), 3.27%, 01/15/28 (a)(d) | | | 1,250 | | | | 1,246,386 | |
Series 2015-17A, Class BR, (3 mo. LIBOR US + 2.100%), 4.44%, 01/15/28 (a)(d) | | | 500 | | | | 500,724 | |
AMMC CLO Ltd., Series 2017-20A, Class E, (3 mo. LIBOR US + 5.810%), 8.15%, 04/17/29 (a)(d) | | | 500 | | | | 499,451 | |
AMMC CLO XI Ltd., Series 2012-11A, Class A1R2, (3 mo. LIBOR US + 1.010%), 3.35%, 04/30/31 (a)(d) | | | 500 | | | | 497,740 | |
AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.250%), 3.59%, 07/25/29 (a)(d) | | | 500 | | | | 500,540 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Anchorage Capital CLO 1-R Ltd., Series 2018-1RA, Class A1, (3 mo. LIBOR US + 0.990%),
3.33%, 04/13/31 (a)(d) | | $ | 2,000 | | | $ | 1,990,044 | |
Anchorage Capital CLO 3-R Ltd.: | |
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.050%), 3.39%, 01/28/31 (a)(d) | | | 1,000 | | | | 998,148 | |
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.500%), 3.84%, 01/28/31 (a)(d) | | | 1,000 | | | | 996,245 | |
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.850%), 4.19%, 01/28/31 (a)(d) | | | 500 | | | | 491,518 | |
Anchorage Capital CLO 4-R Ltd.: | |
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.050%), 3.39%, 01/28/31 (a)(d) | | | 1,500 | | | | 1,494,121 | |
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.850%), 4.19%, 01/28/31 (a)(d) | | | 1,500 | | | | 1,474,605 | |
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.600%), 4.94%, 01/28/31 (a)(d) | | | 750 | | | | 738,692 | |
Anchorage Capital CLO 5-R Ltd.: | |
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%), 3.79%, 01/15/30 (a)(d) | | | 1,700 | | | | 1,701,358 | |
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%), 4.19%, 01/15/30 (a)(d) | | | 3,000 | | | | 2,983,841 | |
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.400%), 7.74%, 01/15/30 (a)(d) | | | 1,000 | | | | 1,007,096 | |
Anchorage Capital CLO 7 Ltd.: | |
Series 2015-7A, Class B1R, (3 mo. LIBOR US + 1.300%),
3.64%, 10/15/27 (a)(d) | | | 1,500 | | | | 1,489,296 | |
Series 2015-7A, Class CR, (3 mo. LIBOR US + 1.700%), 4.04%, 10/15/27 (a)(d) | | | 625 | | | | 619,703 | |
Series 2015-7A, Class DR, (3 mo. LIBOR US + 2.700%), 5.04%, 10/15/27 (a)(d) | | | 1,000 | | | | 998,432 | |
Anchorage Capital CLO 8 Ltd.: | |
Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.000%), 3.34%, 07/28/28 (a)(d) | | | 1,000 | | | | 998,982 | |
Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.600%), 3.94%, 07/28/28 (a)(d) | | | 1,000 | | | | 999,139 | |
Series 2016-8A, Class CR, (3 mo. LIBOR US + 2.100%), 4.44%, 07/28/28 (a)(d) | | | 1,000 | | | | 1,000,685 | |
Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.000%), 5.34%, 07/28/28 (a)(d) | | | 750 | | | | 748,736 | |
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.750%), 8.09%, 07/28/28 (a)(d) | | | 2,060 | | | | 2,055,503 | |
Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class E, (3 mo. LIBOR US + 7.250%), 9.59%, 01/15/29 (a)(d) | | | 600 | | | | 608,217 | |
Anchorage Capital CLO Ltd.: | |
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%), 4.49%, 10/13/30 (a)(d) | | | 500 | | | | 500,415 | |
Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.800%), 9.14%, 10/13/30 (a)(d) | | | 1,000 | | | | 1,015,825 | |
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.080%), 3.42%, 04/15/31 (a)(d) | | | 1,387 | | | | 1,384,719 | |
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.010%), 3.36%, 04/20/31 (a)(d) | | | 1,000 | | | | 995,008 | |
Apidos CLO XVIII: | |
Series 2014-18A, Class CR, (3 mo. LIBOR US + 3.250%), 5.60%, 07/22/26 (a)(d) | | | 250 | | | | 250,020 | |
Series 2018-18A, Class D, (3 mo. LIBOR US + 3.150%), 0.00%, 10/22/30 (a)(b)(d) | | | 250 | | | | 250,000 | |
Apidos CLO XXI, Series 2015-21A, Class DR, (3 mo. LIBOR US + 5.200%), 7.53%, 07/18/27 (a)(d) | | | 500 | | | | 498,941 | |
| | |
| 18 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
Apidos CLO XXII, Series 2015-22A, Class D, (3 mo. LIBOR US + 6.000%), 8.35%, 10/20/27 (a)(d) | | $ | 500 | | | $ | 501,300 | |
Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.950%), 8.29%, 01/15/27 (a)(d) | | | 500 | | | | 500,174 | |
Apidos CLO XXIX, Series 2018-29A, Class D, (3 mo. LIBOR US + 5.250%), 7.64%, 07/25/30 (a)(d) | | | 500 | | | | 482,839 | |
Apidos CLO XXV, Series 2016-25A, Class A2A, (3 mo. LIBOR US + 1.800%), 4.15%, 10/20/28 (a)(d) | | | 1,000 | | | | 1,000,595 | |
Arbor Realty Commercial Real Estate Notes Ltd.: | | | | | | | | |
Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 3.86%, 09/15/26 (a)(d) | | | 190 | | | | 190,519 | |
Series 2017-FL1, Class A, (1 mo. LIBOR US + 1.300%), 3.46%, 04/15/27 (a)(d) | | | 1,920 | | | | 1,927,035 | |
Series 2017-FL1, Class B, (1 mo. LIBOR US + 2.500%), 4.66%, 04/15/27 (a)(d) | | | 438 | | | | 441,312 | |
ARES XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US + 6.600%), 8.94%, 10/15/27 (a)(d) | | | 1,000 | | | | 1,002,145 | |
ARES XLIII CLO Ltd., Series 2017-43A, Class E, (3 mo. LIBOR US + 6.470%), 8.81%, 10/15/29 (a)(d) | | | 750 | | | | 764,191 | |
ARES XXXIII CLO Ltd.: | | | | | | | | |
Series 2015-1A, Class CR, (3 mo. LIBOR US + 4.200%), 6.52%, 12/05/25 (a)(d) | | | 250 | | | | 252,728 | |
Series 2015-1A, Class D, (3 mo. LIBOR US + 6.230%), 8.55%, 12/05/25 (a)(d) | | | 500 | | | | 509,110 | |
ARES XXXIV CLO Ltd., Series 2015-2A, Class E2, (3 mo. LIBOR US + 5.200%), 7.54%, 07/29/26 (a)(d) | | | 500 | | | | 500,125 | |
ARES XXXIX CLO Ltd., Series 2016-39A, Class E, (3 mo. LIBOR US + 7.250%), 9.58%, 07/18/28 (a)(d) | | | 250 | | | | 253,886 | |
ARES XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.170%), 3.51%, 10/15/30 (a)(d) | | | 600 | | | | 600,313 | |
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.240%),
2.46%, 05/25/35 (b)(d) | | | 71 | | | | 52,213 | |
Assurant CLO III Ltd.: | | | | | | | | |
Series 2018-2A, Class C, (3 mo. LIBOR US + 2.250%), 4.41%, 10/20/31 (a)(d) | | | 500 | | | | 499,737 | |
Series 2018-2A, Class E, (3 mo. LIBOR US + 6.150%), 8.31%, 10/20/31 (a)(d) | | | 576 | | | | 568,362 | |
Atlas Senior Loan Fund IV Ltd., Series 2013-2A, Class A1RR, (3 mo. LIBOR US + 0.680%),
2.99%, 02/17/26 (a)(d) | | | 491 | | | | 489,608 | |
Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.240%), 3.55%, 05/28/30 (a)(d) | | | 1,825 | | | | 1,826,962 | |
Atrium VIII, Series 8A, Class DR, (3 mo. LIBOR US + 4.000%), 6.35%, 10/23/24 (a)(d) | | | 325 | | | | 327,125 | |
Atrium XII, Series 12A, Class AR, (3 mo. LIBOR US + 0.830%), 3.18%, 04/22/27 (a)(d) | | | 1,000 | | | | 994,688 | |
Avery Point VI CLO Ltd., Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.050%), 3.26%, 08/05/27 (a)(d) | | | 1,500 | | | | 1,499,873 | |
Babson CLO Ltd.: | | | | | | | | |
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.190%), 3.54%, 10/20/30 (a)(d) | | | 1,000 | | | | 1,000,730 | |
Series 2016-2A, Class C, (3 mo. LIBOR US + 2.600%), 4.95%, 07/20/28 (a)(d) | | | 1,000 | | | | 1,001,155 | |
Series 2016-2A, Class E, (3 mo. LIBOR US + 6.900%), 9.25%, 07/20/28 (a)(d) | | | 500 | | | | 501,614 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
Bain Capital Credit CLO, Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.080%), 3.43%, 07/19/31 (a)(d) | | $ | 1,000 | | | $ | 998,116 | |
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22 (c) | | | 5,740 | | | | 4,980,099 | |
Barings CLO Ltd., Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.950%), 3.02%, 07/20/29 (a)(d) | | | 1,000 | | | | 997,341 | |
Battalion CLO VII Ltd.: | | | | | | | | |
Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.040%), 3.38%, 07/17/28 (a)(d) | | | 1,750 | | | | 1,749,666 | |
Series 2014-7A, Class BRR, (3 mo. LIBOR US + 2.500%), 4.84%, 07/17/28 (a)(d) | | | 750 | | | | 752,238 | |
Battalion CLO X Ltd., Series 2016-10A, Class D, (3 mo. LIBOR US + 7.000%), 9.34%, 01/24/29 (a)(d) | | | 500 | | | | 504,276 | |
Battalion CLO XI Ltd., Series 2017-11A, Class E, (3 mo. LIBOR US + 5.980%), 8.32%, 10/24/29 (a)(d) | | | 1,000 | | | | 1,005,424 | |
Bayview Financial Revolving Asset Trust: | | | | | | | | |
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.000%), 3.24%, 02/28/40 (a)(d) | | | 7,579 | | | | 7,371,681 | |
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.000%), 3.24%, 12/28/40 (a)(d) | | | 3,023 | | | | 2,921,107 | |
Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.930%), 3.17%, 12/28/40 (a)(d) | | | 4,075 | | | | 3,940,877 | |
Bear Stearns Asset-Backed Securities I Trust: | | | | | | | | |
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.320%), 2.54%, 03/25/37 (d) | | | 855 | | | | 638,484 | |
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.140%), 2.36%, 03/25/37 (d) | | | 146 | | | | 145,745 | |
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.350%), 2.57%, 04/25/37 (d) | | | 318 | | | | 252,402 | |
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (1 mo. LIBOR US + 1.200%), 3.42%, 01/25/36 (d) | | | 146 | | | | 144,603 | |
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1R, (3 mo. LIBOR US + 1.490%),
3.84%, 01/20/29 (a)(d) | | | 500 | | | | 501,286 | |
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.090%), 3.21%, 04/20/31 (a)(d) | | | 1,000 | | | | 998,126 | |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.100%),
3.45%, 01/20/31 (a)(d) | | | 900 | | | | 897,781 | |
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, (3 mo. LIBOR US + 6.410%),
8.75%, 10/15/30 (a)(d) | | | 1,000 | | | | 1,011,818 | |
BlueMountain CLO Ltd.: | | | | | | | | |
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%), 3.53%, 10/22/30 (a)(d) | | | 2,200 | | | | 2,202,705 | |
Series 2015-1A, Class D, (3 mo. LIBOR US + 5.450%), 7.79%, 04/13/27 (a)(d) | | | 250 | | | | 250,407 | |
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.000%), 3.35%, 04/20/31 (a)(d) | | | 1,000 | | | | 994,555 | |
BlueMountain CLO XXII Ltd., Series 2018-22A, Class E, (3 mo. LIBOR US + 5.050%), 7.41%, 07/15/31 (a)(d) | | | 500 | | | | 476,073 | |
BSPRT Issuer Ltd., Series 2018-FL3, Class A, (1 mo. LIBOR US + 1.050%), 3.21%, 03/15/28 (a)(d) | | | 2,590 | | | | 2,593,844 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 19 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Canyon CLO Ltd., Series 2018-1A,
Class E, (3 mo. LIBOR US + 5.750%),
7.80%, 07/15/31 (a)(d) | | $ | 1,000 | | | $ | 961,318 | |
Capital One Multi-Asset Execution Trust, | | | | | | | | |
Series 2016-A4, Class A4, 1.33%, 06/15/22 | | | 6,000 | | | | 5,923,211 | |
Carlyle Global Market Strategies CLO Ltd.: | | | | | | | | |
Series 2012-3A, Class CR, (3 mo. LIBOR US + 4.100%), 6.44%, 10/14/28 (a)(d) | | | 500 | | | | 501,323 | |
Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 3.80%, 01/20/29 (a)(d) | | | 935 | | | | 936,248 | |
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.970%), 3.31%, 04/17/31 (a)(d) | | | 1,515 | | | | 1,504,577 | |
Series 2014-3RA, Class A1A, (3 mo. LIBOR US + 1.050%), 3.14%, 07/27/31 (a)(d) | | | 3,500 | | | | 3,487,916 | |
Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.500%), 3.85%, 04/20/27 (a)(d) | | | 1,000 | | | | 999,082 | |
Series 2015-3A, Class A2R, (3 mo. LIBOR US + 1.600%), 3.94%, 07/28/28 (a)(d) | | | 1,000 | | | | 996,595 | |
Series 2015-4A, Class D, (3 mo. LIBOR US + 6.100%), 8.45%, 10/20/27 (a)(d) | | | 500 | | | | 501,349 | |
Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.500%), 10.85%, 10/20/27 (a)(d) | | | 133 | | | | 129,932 | |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.200%), 7.55%, 04/20/27 (a)(d) | | | 1,000 | | | | 992,235 | |
Series 2016-2A, Class D2R, (3 mo. LIBOR US + 5.170%), 7.51%, 07/15/27 (a)(d) | | | 1,000 | | | | 1,001,538 | |
Carrington Mortgage Loan Trust: | | | | | | | | |
Series 2006-FRE2, Class A2, (1 mo. LIBOR US + 0.120%), 2.34%, 10/25/36 (d) | | | 292 | | | | 219,992 | |
Series 2006-FRE2, Class A3, (1 mo. LIBOR US + 0.160%), 2.38%, 10/25/36 (d) | | | 155 | | | | 117,135 | |
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.250%), 2.47%, 10/25/36 (d) | | | 2,380 | | | | 1,815,224 | |
Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%), 2.46%, 08/25/36 (d) | | | 630 | | | | 478,911 | |
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%), 2.38%, 10/25/36 (d) | | | 90 | | | | 84,534 | |
CBAM Ltd.: | | | | | | | | |
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%), 3.60%, 07/20/30 (a)(d) | | | 1,500 | | | | 1,503,163 | |
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%), 3.57%, 10/17/29 (a)(d) | | | 2,500 | | | | 2,502,850 | |
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%), 4.04%, 10/17/29 (a)(d) | | | 500 | | | | 499,704 | |
Series 2017-3A, Class E1, (3 mo. LIBOR US + 6.500%), 8.84%, 10/17/29 (a)(d) | | | 1,000 | | | | 1,011,753 | |
Series 2018-6A, Class A, (3 mo. LIBOR US + 0.940%), 3.33%, 07/15/31 (a)(d) | | | 1,000 | | | | 997,071 | |
Series 2018-6A, Class B1, (3 mo. LIBOR US + 1.500%), 3.89%, 07/15/31 (a)(d) | | | 1,000 | | | | 995,857 | |
C-BASS Trust: | | | | | | | | |
Series 2007-CB1, Class AF2, 3.63%, 01/25/37 (f) | | | 309 | | | | 152,422 | |
Series 2007-CB5, Class A2, (1 mo. LIBOR US + 0.170%), 2.39%, 04/25/37 (d) | | | 60 | | | | 45,108 | |
Cedar Funding IX CLO Ltd., Series 2018-9A, | | | | | | | | |
Class A1, (3 mo. LIBOR US + 0.980%), 3.22%, 04/20/31 (a)(d) | | | 500 | | | | 497,511 | |
Cedar Funding VIII CLO Ltd., Series 2017-8A, | | | | | | | | |
Class A1, (3 mo. LIBOR US + 1.250%), 3.59%, 10/17/30 (a)(d) | | | 1,000 | | | | 1,001,273 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Cent CLO Ltd.: | | | | | | | | |
Series 2015-24A, Class A1R, (3 mo. LIBOR US + 1.070%), 3.29%, 10/15/26 (a)(d) | | $ | 2,000 | | | $ | 1,998,232 | |
Series C17A, Class A1AR, (3 mo. LIBOR US + 1.030%), 3.38%, 04/30/31 (a)(d) | | | 2,000 | | | | 1,991,473 | |
Chase Issuance Trust: | | | | | | | | |
Series 2012-A4, Class A4, 1.58%, 08/15/21 | | | 12,773 | | | | 12,641,634 | |
Series 2016-A5, Class A5, 1.27%, 07/15/21 | | | 6,500 | | | | 6,426,561 | |
CIFC Funding Ltd.: | | | | | | | | |
Series 2014-3A, Class C1R, (3 mo. LIBOR US + 1.900%), 4.25%, 07/22/26 (a)(d) | | | 250 | | | | 250,018 | |
Series 2014-4A, Class A1R, (3 mo. LIBOR US + 1.380%), 3.72%, 10/17/26 (a)(d) | | | 500 | | | | 499,996 | |
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.750%), 9.10%, 10/21/28 (a)(d) | | | 500 | | | | 505,919 | |
Series 2017-2A, Class A, (3 mo. LIBOR US + 1.240%), 3.59%, 04/20/30 (a)(d) | | | 500 | | | | 500,486 | |
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.000%), 3.16%, 04/18/31 (a)(d) | | | 710 | | | | 706,144 | |
Citigroup Mortgage Loan Trust: | | | | | | | | |
Series 2006-NC1, Class A2D, (1 mo. LIBOR US + 0.250%), 2.47%, 08/25/36 (d) | | | 30 | | | | 29,255 | |
Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 2.54%, 11/25/36 (d) | | | 290 | | | | 246,888 | |
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.270%), 2.49%, 05/25/37 (d) | | | 18 | | | | 13,257 | |
Series 2007-WFH2, Class M3, (1 mo. LIBOR US + 0.470%), 2.69%, 03/25/37 (d) | | | 5,000 | | | | 4,627,839 | |
Clear Creek CLO Ltd., Series 2015-1A, | | | | | | | | |
Class ER, (3 mo. LIBOR US + 6.300%), 8.65%, 10/20/30 (a)(d) | | | 1,000 | | | | 1,009,801 | |
Conseco Finance Corp.: | | | | | | | | |
Series 1996-10, Class B1, 7.24%, 11/15/28 (c) | | | 62 | | | | 50,946 | |
Series 1998-4, Class M1, 6.83%, 04/01/30 (c) | | | 1,217 | | | | 1,096,216 | |
Series 1998-8, Class M1, 6.98%, 09/01/30 (c) | | | 1,128 | | | | 974,862 | |
Conseco Finance Securitizations Corp.: | | | | | | | | |
Series 2000-1, Class A5, 8.06%, 09/01/29 (c) | | | 2,430 | | | | 1,209,416 | |
Series 2000-4, Class A6, 8.31%, 05/01/32 (c) | | | 2,427 | | | | 1,185,002 | |
Countrywide Asset-Backed Certificates: | | | | | | | | |
Series 2005-16, Class 1AF, 4.95%, 05/25/36 (c) | | | 2,137 | | | | 2,090,864 | |
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%), 2.38%, 09/25/46 (d) | | | 15 | | | | 14,367 | |
Series 2007-S3, Class A3, (1 mo. LIBOR US + 0.380%), 2.60%, 05/25/37 (d) | | | 143 | | | | 133,229 | |
Countrywide Revolving Home Equity Loan Trust, | | | | | |
Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.270%), 2.43%, 03/15/34 (d) | | | 52 | | | | 49,586 | |
Credit-Based Asset Servicing & Securitization LLC: | | | | | |
Series 2006-CB2, Class AF4, 3.47%, 12/25/36 (f) | | | 23 | | | | 21,329 | |
Series 2006-MH1, Class B1, 6.25%, 10/25/36 (a)(f) | | | 2,900 | | | | 2,924,219 | |
| | |
| 20 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.220%),
2.44%, 09/25/36 (a)(d) | | $ | 6,544 | | | $ | 995,095 | |
Series 2007-RP1, Class A, (1 mo. LIBOR US + 0.310%),
2.53%, 05/25/46 (a)(d) | | | 86 | | | | 76,321 | |
CSMC Trust, Series 2018-RPL8, Class A1, 4.13%, 07/25/58 (a) | | | 4,833 | | | | 4,815,471 | |
CWHEQ Home Equity Loan Trust,
Series 2006-S2, Class A3, 5.84%, 07/25/27 | | | 376 | | | | 546,035 | |
CWHEQ Revolving Home Equity Loan Resuritization Trust: | | | | | | | | |
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.300%),
2.46%, 12/15/33 (a)(d) | | | 46 | | | | 42,849 | |
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.190%),
2.35%, 05/15/35 (a)(b)(d) | | | 16 | | | | 15,750 | |
CWHEQ Revolving Home Equity Loan Trust: | | | | | | | | |
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.180%), 2.34%, 05/15/36 (d) | | | 3,896 | | | | 3,759,478 | |
Series 2006-G, Class 2A, (1 mo. LIBOR US + 0.150%), 2.31%, 10/15/36 (d) | | | 433 | | | | 406,859 | |
Deer Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.180%), 3.53%, 10/20/30 (a)(d) | | | 1,000 | | | | 1,000,621 | |
Dewolf Park CLO Ltd., Series 2017-1A, Class E, (3 mo. LIBOR US + 6.200%), 8.54%, 10/15/30 (a)(d) | | | 1,000 | | | | 1,012,290 | |
Dorchester Park CLO DAC: | | | | | | | | |
Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.450%),
3.80%, 04/20/28 (a)(d) | | | 1,500 | | | | 1,495,193 | |
Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.750%),
4.10%, 04/20/28 (a)(d) | | | 500 | | | | 496,302 | |
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.120%), 3.46%, 01/15/31 (a)(d) | | | 2,000 | | | | 1,995,129 | |
Dryden 64 CLO Ltd., Series 2018-64A, Class A, (3 mo. LIBOR US + 0.970%), 3.19%, 04/18/31 (a)(d) | | | 708 | | | | 702,418 | |
Dryden Senior Loan Fund, Series 2017-47A, Class E, (3 mo. LIBOR US + 6.200%), 8.54%, 04/15/28 (a)(d) | | | 250 | | | | 252,359 | |
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.900%),
3.24%, 10/15/27 (a)(d) | | | 250 | | | | 249,408 | |
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, (3 mo. LIBOR US + 1.200%),
3.51%, 08/15/30 (a)(d) | | | 1,247 | | | | 1,248,057 | |
Elevation CLO Ltd.: | | | | | | | | |
Series 2016-5A, Class E, (3 mo. LIBOR US + 6.950%), 9.29%, 07/15/28 (a)(d) | | | 500 | | | | 500,073 | |
Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.160%),
3.50%, 10/25/30 (a)(d) | | | 1,100 | | | | 1,099,940 | |
First Franklin Mortgage Loan Trust: | | | | | | | | |
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.140%),
2.36%, 12/25/36 (d) | | | 691 | | | | 420,053 | |
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.150%),
2.37%, 12/25/36 (d) | | | 3,272 | | | | 2,840,158 | |
Series 2006-FF5, Class 2A3, (1 mo. LIBOR US + 0.160%),
2.38%, 04/25/36 (d) | | | 55 | | | | 53,327 | |
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 2.36%, 02/25/37 (d) | | | 2,938 | | | | 2,317,787 | |
Galaxy XXI CLO Ltd., Series 2015-21A, Class ER, (3 mo. LIBOR US + 5.250%), 7.60%, 04/20/31 (a)(d) | | | 500 | | | | 485,876 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Galaxy XXIX CLO Ltd., Series 2018-29A, Class C, (3 mo. LIBOR US + 1.680%), 3.99%, 11/15/26 (a)(d) | | $ | 1,000 | | | $ | 994,779 | |
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.250%),
2.47%, 12/25/35 (d) | | | 24 | | | | 23,920 | |
GE-WMC Mortgage Securities Trust, Series 2006-1, Class A2B, (1 mo. LIBOR US + 0.150%), 2.37%, 08/25/36 (d) | | | 103 | | | | 66,187 | |
Gilbert Park CLO Ltd., Series 2017-1A, Class E, (3 mo. LIBOR US + 6.400%),
8.74%, 10/15/30 (a)(d) | | | 1,000 | | | | 1,021,383 | |
GMACM Home Equity Loan Trust, Series 2006-HE1, Class A, (1 mo. LIBOR US + 0.315%), 2.53%, 11/25/36 (d) | | | 323 | | | | 348,573 | |
GoldenTree Loan Opportunities IX Ltd.: | | | | | | | | |
Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.110%),
0.00%, 10/29/29 (a)(d) | | | 500 | | | | 500,000 | |
Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.660%),
0.00%, 10/29/29 (a)(d) | | | 750 | | | | 746,250 | |
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.070%),
3.40%, 01/18/31 (a)(d) | | | 448 | | | | 447,035 | |
Greywolf CLO IV Ltd., Series 2014-2A, Class BR, (3 mo. LIBOR US + 2.350%), 4.69%, 01/17/27 (a)(d) | | | 500 | | | | 499,372 | |
GSAA Home Equity Trust, Series 2007-2, Class AF3, 5.92%, 03/25/37 (c) | | | 29 | | | | 10,950 | |
GSAMP Trust: | | | | | | | | |
Series 2006-FM2, Class A2B, (1 mo. LIBOR US + 0.120%),
2.34%, 09/25/36 (d) | | | 160 | | | | 78,281 | |
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.200%),
2.42%, 01/25/47 (d) | | | 15 | | | | 9,894 | |
Series 2007-HS1, Class M7, (1 mo. LIBOR US + 2.250%),
4.47%, 02/25/47 (d) | | | 3,000 | | | | 2,848,635 | |
Highbridge Loan Management Ltd.: | | | | | | | | |
Series 12A-18, Class D, (3 mo. LIBOR US + 5.150%), 7.52%, 07/18/31 (a)(d) | | | 1,120 | | | | 1,090,004 | |
Series 5X-2015, Class E, (3 mo. LIBOR US + 5.350%), 7.69%, 01/29/26 (d) | | | 900 | | | | 900,944 | |
Series 7A-2015, Class ER, (3 mo. LIBOR US + 5.000%), 7.31%, 03/15/27 (a)(d) | | | 1,000 | | | | 992,319 | |
Home Equity Mortgage Loan Asset-Backed Trust: | | | | | | | | |
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.025%), 4.24%, 07/25/34 (d) | | | 33 | | | | 32,741 | |
Series 2007-B, Class 2A3, (1 mo. LIBOR US + 0.200%), 2.42%, 07/25/37 (d) | | | 303 | | | | 198,404 | |
HPS Loan Management Ltd., Series 10A-16, Class C, (3 mo. LIBOR US + 3.650%), 6.00%, 01/20/28 (a)(d) | | | 500 | | | | 501,950 | |
Invitation Homes Trust: | | | | | | | | |
Series 2018-SFR1, Class F, (1 mo. LIBOR US + 2.500%),
4.66%, 03/17/37 (a)(d) | | | 2,000 | | | | 2,012,429 | |
Series 2018-SFR2, Class E, (1 mo. LIBOR US + 2.000%),
4.16%, 06/17/37 (a)(d) | | | 2,000 | | | | 2,008,955 | |
Series 2018-SFR2, Class F, (1 mo. LIBOR US + 2.250%),
4.41%, 06/17/37 (a)(d) | | | 2,000 | | | | 2,009,273 | |
Series 2018-SFR3, Class E, (1 mo. LIBOR US + 2.000%),
4.16%, 07/17/37 (a)(d) | | | 3,000 | | | | 3,026,440 | |
JP Morgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (1 mo. LIBOR US + 0.800%), 3.02%, 07/25/36 (d) | | | 3,498 | | | | 3,235,619 | |
Kayne CLO II Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.240%),
0.00%, 10/15/31 (a)(d) | | | 1,000 | | | | 996,400 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 21 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
KKR CLO Ltd.: | | | | | | | | |
Series 12, Class A1R, (3 mo. LIBOR US + 1.050%),
3.39%, 07/15/27 (a)(d) | | $ | 2,500 | | | $ | 2,500,915 | |
Series 12, Class ER, (3 mo. LIBOR US + 5.600%),
7.94%, 07/15/27 (a)(d) | | | 1,000 | | | | 1,000,117 | |
Series 12, Class ER2, (3 mo. LIBOR US + 6.150%),
0.00%, 10/15/30 (a)(b)(d) | | | 1,000 | | | | 1,000,000 | |
Series 22A, Class E, (3 mo. LIBOR US + 6.000%),
8.37%, 07/20/31 (a)(d) | | | 500 | | | | 491,613 | |
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%),
3.42%, 01/20/31 (a)(d) | | | 2,000 | | | | 1,997,160 | |
LCM XX LP, Series 20A, Class AR, (3 mo. LIBOR US + 1.040%),
3.38%, 10/20/27 (a)(d) | | | 500 | | | | 500,000 | |
LCM XXI LP: | | | | | | | | |
Series 21A, Class AR, (3 mo. LIBOR US + 0.880%),
3.23%, 04/20/28 (a)(d) | | | 500 | | | | 498,164 | |
Series 21A, Class ER, (3 mo. LIBOR US + 5.750%),
8.10%, 04/20/28 (a)(d) | | | 500 | | | | 503,580 | |
Legacy Mortgage Asset Trust,
Series 2018-SL1, Class A,
4.00%, 02/25/58 (a)(c) | | | 4,802 | | | | 4,765,781 | |
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33 | | | 1,220 | | | | 985,593 | |
Lendmark Funding Trust: | | | | | | | | |
Series 2016-2A, Class B,
4.66%, 04/21/25 (a) | | | 1,350 | | | | 1,357,965 | |
Series 2017-1A, Class A,
2.83%, 12/22/25 (a) | | | 2,730 | | | | 2,714,514 | |
Series 2017-1A, Class B,
3.77%, 12/22/25 (a) | | | 1,570 | | | | 1,561,656 | |
Series 2017-2A, Class A,
2.80%, 05/20/26 (a) | | | 4,980 | | | | 4,904,158 | |
Series 2017-2A, Class B,
3.38%, 05/20/26 (a) | | | 2,540 | | | | 2,495,131 | |
Series 2018-1A, Class C,
5.03%, 12/21/26 (a) | | | 1,700 | | | | 1,707,356 | |
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.130%), 3.29%, 05/15/28 (a)(d) | | | 4,190 | | | | 4,200,693 | |
Long Beach Mortgage Loan Trust: | | | | | | | | |
Series 2006-10, Class 2A4, (1 mo. LIBOR US + 0.220%),
2.44%, 11/25/36 (d) | | | 3,762 | | | | 1,705,980 | |
Series 2006-2, Class 2A3, (1 mo. LIBOR US + 0.190%),
2.41%, 03/25/46 (d) | | | 3,483 | | | | 1,697,139 | |
Series 2006-2, Class 2A4, (1 mo. LIBOR US + 0.290%),
2.51%, 03/25/46 (d) | | | 772 | | | | 378,508 | |
Series 2006-4, Class 2A4, (1 mo. LIBOR US + 0.260%),
2.48%, 05/25/36 (d) | | | 876 | | | | 424,478 | |
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.150%),
2.37%, 06/25/36 (d) | | | 4,212 | | | | 2,448,422 | |
Series 2006-7, Class 1A, (1 mo. LIBOR US + 0.155%),
2.37%, 08/25/36 (d) | | | 5,382 | | | | 3,513,547 | |
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%),
2.38%, 08/25/36 (d) | | | 7,607 | | | | 3,917,749 | |
Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.240%),
2.46%, 08/25/36 (d) | | | 1,755 | | | | 912,075 | |
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%),
2.38%, 09/25/36 (d) | | | 5,856 | | | | 2,413,204 | |
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%),
2.33%, 10/25/36 (d) | | | 7,671 | | | | 3,316,086 | |
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%),
2.38%, 10/25/36 (d) | | | 2,558 | | | | 1,111,803 | |
Madison Park Funding X Ltd.,
Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.620%),
9.97%, 01/20/29 (a)(d) | | | 500 | | | | 507,297 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
Madison Park Funding XI Ltd.,
Series 2013-11A Class ER, (3 mo. LIBOR US + 6.450%),
8.80%, 07/23/29 (a)(d) | | $ | 500 | | | $ | 501,316 | |
Madison Park Funding XIII Ltd.: | | | | | | | | |
Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.950%),
3.29%, 04/19/30 (a)(d) | | | 940 | | | | 938,661 | |
Series 2014-13A, Class ER, (3 mo. LIBOR US + 5.750%),
8.09%, 04/19/30 (a)(d) | | | 1,000 | | | | 1,007,121 | |
Madison Park Funding XIV Ltd.: | | | | | | | | |
Series 2014-14A, Class A2R, (3 mo. LIBOR US + 1.120%),
3.47%, 07/20/26 (a)(d) | | | 3,250 | | | | 3,249,994 | |
Series 2014-14A, Class DR, (3 mo. LIBOR US + 3.250%),
5.60%, 07/20/26 (a)(d) | | | 500 | | | | 500,945 | |
Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.450%),
5.79%, 01/27/26 (a)(d) | | | 1,000 | | | | 1,001,418 | |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.190%),
3.54%, 10/21/30 (a)(d) | | | 1,750 | | | | 1,751,314 | |
Madison Park Funding XX Ltd., Series 2016-20A, Class ER, (3 mo. LIBOR US + 5.300%),
7.63%, 07/27/30 (a)(d) | | | 250 | | | | 245,774 | |
Madison Park Funding XXV Ltd., Series 2017-25A, Class D, (3 mo. LIBOR US + 6.100%), 8.44%, 04/25/29 (a)(d) | | | 1,000 | | | | 1,009,329 | |
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.200%),
3.54%, 07/29/30 (a)(d) | | | 1,500 | | | | 1,501,202 | |
Madison Park Funding XXX Ltd., Series 2018-30A, Class E, (3 mo. LIBOR US + 4.950%), 7.29%, 04/15/29 (a)(d) | | | 1,000 | | | | 981,273 | |
MASTR Asset-Backed Securities Trust: | | | | | | | | |
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.260%),
2.48%, 06/25/36 (a)(d) | | | 487 | | | | 386,043 | |
Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.150%),
2.37%, 06/25/36 (d) | | | 1,237 | | | | 704,569 | |
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.280%),
2.50%, 05/25/37 (d) | | | 83 | | | | 69,934 | |
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.260%), 2.48%, 06/25/46 (a)(d) | | | 33 | | | | 31,467 | |
MERIT Securities Corp., Series 13, Class M2, 7.93%, 12/28/33 (f) | | | 1,532 | | | | 1,213,185 | |
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.240%),
2.46%, 05/25/37 (d) | | | 2,548 | | | | 1,766,967 | |
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%),
2.48%, 08/25/37 (d) | | | 2,049 | | | | 700,394 | |
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.970%), 3.02%, 04/21/31 (a)(d) | | | 1,250 | | | | 1,238,707 | |
Mountain Hawk II CLO Ltd., Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.600%), 3.95%, 07/20/24 (a)(d) | | | 1,000 | | | | 1,000,027 | |
MP CLO VII Ltd., Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.080%), 3.23%, 10/18/28 (a)(d) | | | 1,150 | | | | 1,149,749 | |
MP CLO VIII Ltd.: | | | | | | | | |
Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.910%),
3.25%, 10/28/27 (a)(d) | | | 730 | | | | 727,997 | |
| | |
| 22 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Series 2015-2A, Class ER, (3 mo. LIBOR US + 5.450%),
7.79%, 10/28/27 (a)(d) | | $ | 1,000 | | | $ | 999,858 | |
Navient Private Education Loan Trust: | | | | | | | | |
Series 2014-CTA, Class B, (1 mo. LIBOR US + 1.750%),
3.91%, 10/17/44 (a)(d) | | | 2,645 | | | | 2,682,695 | |
Series 2015-CA, Class B,
3.25%, 05/15/40 (a) | | | 1,086 | | | | 1,086,002 | |
Neuberger Berman CLO XX Ltd.: | | | | | | | | |
Series 2015-20A, Class AR, (3 mo. LIBOR US + 0.800%),
3.14%, 01/15/28 (a)(d) | | | 525 | | | | 522,920 | |
Series 2015-20A, Class DR, (3 mo. LIBOR US + 2.400%),
4.74%, 01/15/28 (a)(d) | | | 1,000 | | | | 987,601 | |
Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.000%),
7.34%, 01/15/28 (a)(d) | | | 1,000 | | | | 1,000,735 | |
Neuberger Berman Loan Advisers CLO Ltd.: | | | | | | | | |
Series 2017-26A, Class A, (3 mo. LIBOR US + 1.170%),
3.50%, 10/18/30 (a)(d) | | | 1,050 | | | | 1,051,242 | |
Series 2018-28A, Class E, (3 mo. LIBOR US + 5.600%),
7.66%, 04/20/30 (a)(d) | | | 750 | | | | 729,086 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.400%), 2.62%, 10/25/36 (a)(d) | | | 718 | | | | 641,350 | |
Oak Hill Credit Partners IX Ltd., Series 2013-9A, Class DR, (3 mo. LIBOR US + 3.300%),
5.65%, 10/20/25 (a)(d) | | | 750 | | | | 751,418 | |
Oak Hill Credit Partners X Ltd., Series 2014-10A, Class DR, (3 mo. LIBOR US + 3.250%),
5.60%, 07/20/26 (a)(d) | | | 1,000 | | | | 1,000,542 | |
Oak Hill Credit Partners XI Ltd., Series 2015-11A, Class E, (3 mo. LIBOR US + 6.700%),
9.05%, 10/20/28 (a)(d) | | | 500 | | | | 501,541 | |
Oakwood Mortgage Investors, Inc.: | | | | | | | | |
Series 2001-D, Class A2,
5.26%, 01/15/19 (c) | | | 44 | | | | 33,683 | |
Series 2002-A, Class M1,
7.76%, 03/15/32 (c) | | | 2,180 | | | | 1,877,269 | |
Series 2002-C, Class M1,
6.89%, 11/15/32 (c) | | | 2,457 | | | | 2,060,502 | |
OCP CLO Ltd.: | | | | | | | | |
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.080%),
3.41%, 04/26/31 (a)(d) | | | 450 | | | | 447,632 | |
Series 2016-12A, Class A1, (3 mo. LIBOR US + 1.570%),
3.90%, 10/18/28 (a)(d) | | | 1,000 | | | | 999,982 | |
Series 2016-12A, Class C, (3 mo. LIBOR US + 4.150%),
6.48%, 10/18/28 (a)(d) | | | 1,000 | | | | 1,000,007 | |
Series 2016-12A, Class D, (3 mo. LIBOR US + 6.100%),
8.43%, 10/18/28 (a)(d) | | | 1,000 | | | | 999,946 | |
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.960%),
3.30%, 04/16/31 (a)(d) | | | 2,000 | | | | 1,984,842 | |
Octagon Investment Partners 24 Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.900%),
3.21%, 05/21/27 (a)(d) | | | 500 | | | | 499,956 | |
Octagon Investment Partners 30 Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.200%), 8.55%, 03/17/30 (a)(d) | | | 540 | | | | 545,257 | |
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.190%),
3.54%, 01/20/31 (a)(d) | | | 1,000 | | | | 999,898 | |
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.000%),
3.34%, 01/25/31 (a)(d) | | | 750 | | | | 746,139 | |
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 6.600%), 8.92%, 11/14/26 (a)(d) | | | 250 | | | | 250,748 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.850%),
4.19%, 07/15/27 (a)(d) | | $ | 1,000 | | | $ | 993,685 | |
OFSI Fund VI Ltd., Series 2014-6A, Class A2R, (3 mo. LIBOR US + 1.130%), 3.47%, 03/20/25 (a)(d) | | | 2,500 | | | | 2,494,122 | |
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.150%), 9.50%, 01/21/30 (a)(d) | | | 1,000 | | | | 1,013,130 | |
OHA Loan Funding Ltd.: | | | | | | | | |
Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.040%),
3.35%, 05/23/31 (a)(d) | | | 770 | | | | 765,726 | |
Series 2016-1A, Class D, (3 mo. LIBOR US + 3.750%),
6.10%, 01/20/28 (a)(d) | | | 2,000 | | | | 2,012,547 | |
OneMain Financial Issuance Trust: | | | | | | | | |
Series 2015-1A, Class A,
3.19%, 03/18/26 (a) | | | 722 | | | | 723,216 | |
Series 2015-1A, Class C,
5.12%, 03/18/26 (a) | | | 3,500 | | | | 3,544,582 | |
Series 2015-2A, Class A,
2.57%, 07/18/25 (a) | | | 31 | | | | 31,318 | |
Series 2015-2A, Class C,
4.32%, 07/18/25 (a) | | | 2,000 | | | | 2,008,237 | |
Series 2016-1A, Class A,
3.66%, 02/20/29 (a) | | | 2,600 | | | | 2,607,953 | |
Series 2016-1A, Class B,
4.57%, 02/20/29 (a) | | | 3,500 | | | | 3,531,508 | |
Series 2016-2A, Class A,
4.10%, 03/20/28 (a) | | | 1,355 | | | | 1,362,442 | |
Option One Mortgage Loan Trust: | | | | | | | | |
Series 2007-FXD1, Class 1A1,
5.87%, 01/25/37 (f) | | | 5,203 | | | | 4,882,860 | |
Series 2007-FXD1, Class 2A1,
5.87%, 01/25/37 (f) | | | 4,550 | | | | 4,279,655 | |
OZLM Funding II Ltd., Series 2012-2A, Class DR2, (3 mo. LIBOR US + 5.900%), 0.00%, 07/30/31 (a)(d) | | | 300 | | | | 293,401 | |
OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.000%), 5.35%, 01/22/29 (a)(d) | | | 500 | | | | 502,158 | |
OZLM Funding IV Ltd.: | | | | | | | | |
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.250%),
3.60%, 10/22/30 (a)(d) | | | 500 | | | | 500,650 | |
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%),
4.05%, 10/22/30 (a)(d) | | | 500 | | | | 500,513 | |
OZLM IX Ltd., Series 2014-9A, Class CR, (3 mo. LIBOR US + 3.550%),
5.90%, 01/20/27 (a)(d) | | | 1,500 | | | | 1,501,535 | |
OZLM VIII Ltd., Series 2014-8A, Class BR, (3 mo. LIBOR US + 2.250%),
4.59%, 10/17/26 (a)(d) | | | 500 | | | | 500,348 | |
OZLM XIV Ltd.: | | | | | | | | |
Series 2015-14A, Class A2AR, (3 mo. LIBOR US + 1.700%),
4.04%, 01/15/29 (a)(d) | | | 4,000 | | | | 4,006,901 | |
Series 2015-14A, Class B1R, (3 mo. LIBOR US + 2.100%),
4.44%, 01/15/29 (a)(d) | | | 1,500 | | | | 1,500,084 | |
Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.000%),
5.34%, 01/15/29 (a)(d) | | | 1,000 | | | | 999,224 | |
Series 2015-14A, Class DR, (3 mo. LIBOR US + 5.800%),
8.14%, 01/15/29 (a)(d) | | | 1,375 | | | | 1,376,731 | |
OZLM XV Ltd., Series 2016-15A, Class A1, (3 mo. LIBOR US + 1.490%),
3.84%, 01/20/29 (a)(d) | | | 500 | | | | 500,727 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 23 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
OZLM XX Ltd., Series 2018-20A, Class D, (3 mo. LIBOR US + 5.800%),
7.96%, 04/20/31 (a)(d) | | $ | 1,000 | | | $ | 1,000,489 | |
Palmer Square CLO Ltd.: | | | | | | | | |
Series 2013-2A, Class BR, (3 mo. LIBOR US + 2.250%), 4.59%, 10/17/27 (a)(d) | | | 1,000 | | | | 1,000,320 | |
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%),
3.47%, 01/17/31 (a)(d) | | | 1,000 | | | | 998,398 | |
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.650%), 4.99%, 01/17/31 (a)(d) | | | 400 | | | | 389,399 | |
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.600%), 7.86%, 07/16/31 (a)(d) | | | 500 | | | | 492,058 | |
Palmer Square Loan Funding Ltd.: | | | | | | | | |
Series 2018-4A, Class A1, (3 mo. LIBOR US + 0.900%), 0.00%, 11/15/26 (a)(b)(d) | | | 250 | | | | 250,000 | |
Series 2018-4A, Class B, (3 mo. LIBOR US + 1.900%), 0.00%, 11/15/26 (a)(d) | | | 1,000 | | | | 1,000,000 | |
Parallel Ltd.: | | | | | | | | |
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.850%), 3.20%, 07/20/27 (a)(d) | | | 1,000 | | | | 995,670 | |
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.750%), 4.10%, 07/20/27 (a)(d) | | | 1,000 | | | | 986,394 | |
Park Avenue Institutional Advisers CLO Ltd.: | | | | | |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.850%), 8.16%, 08/23/31 (a)(d) | | | 1,500 | | | | 1,450,356 | |
Series 2017-1A, Class D, (3 mo. LIBOR US + 6.220%), 8.54%, 11/14/29 (a)(d) | | | 2,250 | | | | 2,271,327 | |
PFS Financing Corp., Series 2017-AA, Class B, (1 mo. LIBOR US + 0.950%),
3.01%, 03/15/21 (a)(d) | | | 3,000 | | | | 2,998,561 | |
Preston Ridge Partners Mortgage LLC, | | | | | | | | |
Series 2017-1A, Class A1,
4.25%, 01/25/22 (a)(f) | | | 346 | | | | 345,718 | |
Pretium Mortgage Credit Partners I LLC: | | | | | | | | |
Series 2017-NPL2, Class A1, 3.25%, 03/28/57 (a)(f) | | | 1,302 | | | | 1,295,857 | |
Series 2017-NPL3, Class A1, 3.25%, 06/29/32 (a)(f) | | | 1,062 | | | | 1,054,473 | |
Progress Residential Trust: | | | | | | | | |
Series 2016-SFR2, Class A, (1 mo. LIBOR US + 1.400%), 3.56%, 01/17/34 (a)(d) | | | 3,996 | | | | 4,002,287 | |
Series 2016-SFR2, Class E, (1 mo. LIBOR US + 3.550%), 5.71%, 01/17/34 (a)(d) | | | 200 | | | | 201,510 | |
Series 2017-SFR1, Class A, 2.77%, 08/17/34 (a) | | | 1,435 | | | | 1,383,756 | |
Series 2018-SFR2, Class E, 4.66%, 08/17/35 (a) | | | 4,000 | | | | 3,982,717 | |
Series 2018-SFR3, Class E, 4.87%, 10/17/35 (a) | | | 5,000 | | | | 4,999,867 | |
RAMP Trust, Series 2007-RS1, Class A3, (1 mo. LIBOR US + 0.170%),
2.39%, 02/25/37 (d) | | | 3,265 | | | | 1,765,055 | |
Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo. LIBOR US + 2.300%), 4.64%, 10/25/26 (a)(d) | | | 250 | | | | 249,996 | |
Rockford Tower CLO Ltd.: | | | | | | | | |
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.370%), 3.71%, 04/15/29 (a)(d) | | | 1,500 | | | | 1,502,700 | |
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.250%), 5.59%, 04/15/29 (a)(d) | | | 1,000 | | | | 1,003,574 | |
Series 2017-1A, Class E, (3 mo. LIBOR US + 5.400%), 7.74%, 04/15/29 (a)(d) | | | 2,350 | | | | 2,356,051 | |
Series 2017-2A, Class B, (3 mo. LIBOR US + 1.750%), 4.09%, 10/15/29 (a)(d) | | | 1,250 | | | | 1,249,869 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Series 2017-2A, Class C, (3 mo. LIBOR US + 2.300%), 4.64%, 10/15/29 (a)(d) | | $ | 1,000 | | | $ | 1,008,128 | |
Series 2017-2A, Class D, (3 mo. LIBOR US + 3.450%), 5.79%, 10/15/29 (a)(d) | | | 1,000 | | | | 1,003,574 | |
Series 2017-2A, Class E, (3 mo. LIBOR US + 6.080%), 8.42%, 10/15/29 (a)(d) | | | 1,000 | | | | 1,007,421 | |
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.190%), 3.54%, 10/20/30 (a)(d) | | | 2,144 | | | | 2,144,898 | |
Series 2017-3A, Class E, (3 mo. LIBOR US + 5.750%), 8.10%, 10/20/30 (a)(d) | | | 2,250 | | | | 2,164,768 | |
Series 2018-1A, Class E, (3 mo. LIBOR US + 5.850%), 8.11%, 05/20/31 (a)(d) | | | 1,000 | | | | 967,440 | |
Series 2018-2A, Class E, (3 mo. LIBOR US + 6.000%), 8.43%, 10/20/31 (a)(d) | | | 1,000 | | | | 976,948 | |
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.030%),
3.38%, 04/20/31 (a)(d) | | | 1,250 | | | | 1,242,666 | |
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.090%), 3.43%, 01/15/30 (a)(d) | | | 1,000 | | | | 998,563 | |
Seneca Park CLO Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 3.500%),
5.84%, 07/17/26 (a)(d) | | | 250 | | | | 250,174 | |
Shackleton CLO Ltd.: | | | | | | | | |
Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.120%), 3.46%, 07/15/30 (a)(d) | | | 1,000 | | | | 995,994 | |
Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.020%), 5.36%, 07/15/30 (a)(d) | | | 500 | | | | 494,296 | |
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.240%),
3.59%, 07/20/30 (a)(d) | | | 1,500 | | | | 1,501,618 | |
SLM Private Credit Student Loan Trust: | | | | | | | | |
Series 2004-A, Class B, (3 mo. LIBOR US + 0.580%), 2.91%, 06/15/33 (d) | | | 1,195 | | | | 1,193,624 | |
Series 2005-B, Class B, (3 mo. LIBOR US + 0.400%), 2.73%, 06/15/39 (d) | | | 2,862 | | | | 2,824,369 | |
Series 2005-B, Class C, (3 mo. LIBOR US + 0.700%), 3.03%, 06/15/39 (d) | | | 1,111 | | | | 1,104,123 | |
Series 2006-BW, Class A5, (3 mo. LIBOR US + 0.200%), 2.53%, 12/15/39 (d) | | | 3,952 | | | | 3,893,865 | |
SLM Private Education Loan Trust: | | | | | | | | |
Series 2013-A, Class A2B, (1 mo. LIBOR US + 1.050%), 3.21%, 05/17/27 (a)(d) | | | 795 | | | | 796,452 | |
Series 2013-B, Class B, 3.00%, 05/16/44 (a) | | | 2,500 | | | | 2,487,361 | |
Series 2013-C, Class B, 3.50%, 06/15/44 (a) | | | 1,000 | | | | 997,515 | |
Series 2014-A, Class B, 3.50%, 11/15/44 (a) | | | 2,405 | | | | 2,385,635 | |
SMB Private Education Loan Trust: | | | | | | | | |
Series 2015-C, Class B, 3.50%, 09/15/43 (a) | | | 1,495 | | | | 1,471,275 | |
Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.900%), 3.06%, 09/15/34 (a)(d) | | | 5,000 | | | | 5,032,258 | |
Series 2017-B, Class A2A,
2.82%, 10/15/35 (a) | | | 1,960 | | | | 1,896,169 | |
Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.750%), 2.91%, 10/15/35 (a)(d) | | | 3,670 | | | | 3,681,621 | |
Series 2018-A, Class A2B, (1 mo. LIBOR US + 0.800%), 2.96%, 02/15/36 (a)(d) | | | 5,000 | | | | 5,019,652 | |
Sound Point CLO VII Ltd., Series 2014-3A, Class AR, (3 mo. LIBOR US + 1.300%),
3.65%, 01/23/27 (a)(d) | | | 250 | | | | 249,998 | |
| | |
| 24 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Sound Point CLO X Ltd., Series 2015-3A, Class ER, (3 mo. LIBOR US + 5.250%), 7.60%, 01/20/28 (a)(d) | | $ | 750 | | | $ | 751,075 | |
Sound Point CLO XI Ltd.: | | | | | | | | |
Series 2016-1A, Class A, (3 mo. LIBOR US + 1.650%), 4.00%, 07/20/28 (a)(d) | | | 250 | | | | 250,125 | |
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.950%), 9.30%, 07/20/28 (a)(d) | | | 500 | | | | 501,629 | |
Sound Point CLO XII Ltd., Series 2016-2A, Class A, (3 mo. LIBOR US + 1.660%), 4.01%, 10/20/28 (a)(d) | | | 250 | | | | 250,119 | |
Sound Point CLO XIV Ltd., Series 2016-3A, Class E, (3 mo. LIBOR US + 6.650%), 9.00%, 01/23/29 (a)(d) | | | 1,000 | | | | 1,011,624 | |
Sound Point CLO XV Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.390%), 3.74%, 01/23/29 (a)(d) | | | 1,500 | | | | 1,502,884 | |
Soundview Home Loan Trust, | | | | | | | | |
Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.795%),
3.01%, 01/25/35 (d) | | | 165 | | | | 155,829 | |
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 04/25/29 (a) | | | 1,390 | | | | 1,384,143 | |
Springleaf Funding Trust: | | | | | | | | |
Series 2015-AA, Class A,
3.16%, 11/15/24 (a) | | | 845 | | | | 844,964 | |
Series 2015-AA, Class B,
3.62%, 11/15/24 (a) | | | 250 | | | | 249,295 | |
Series 2016-AA, Class A,
2.90%, 11/15/29 (a) | | | 425 | | | | 423,848 | |
Series 2016-AA, Class B,
3.80%, 11/15/29 (a) | | | 3,500 | | | | 3,487,148 | |
Stanwich Mortgage Loan Co. LLC: | | | | | | | | |
Series 2016-NPL2, Class NOTE, 3.72%, 08/16/46 (a)(b)(f) | | | 701 | | | | 696,659 | |
Series 2017-NPB1, Class A1, 3.60%, 05/17/22 (a)(b)(f) | | | 1,237 | | | | 1,230,966 | |
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.250%), 3.59%, 01/15/30 (a)(d) | | | 1,000 | | | | 1,000,705 | |
Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.800%), 4.14%, 01/15/30 (a)(d) | | | 1,000 | | | | 986,653 | |
Symphony CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.030%), 3.37%, 10/15/25 (a)(d) | | | 732 | | | | 732,368 | |
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3 mo. LIBOR US + 0.960%), 3.30%, 04/16/31 (a)(d) | | | 500 | | | | 496,457 | |
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.880%), 3.22%, 04/15/28 (a)(d) | | | 1,000 | | | | 996,680 | |
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.200%), 3.51%, 11/17/30 (a)(d) | | | 1,000 | | | | 1,001,218 | |
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, (3 mo. LIBOR US + 3.400%), 5.75%, 10/20/26 (a)(d) | | | 1,000 | | | | 1,001,056 | |
THL Credit Wind River CLO Ltd.: | | | | | | | | |
Series 2014-3A, Class AR, (3 mo. LIBOR US + 1.100%), 3.45%, 01/22/27 (a)(d) | | | 1,000 | | | | 1,000,051 | |
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.050%), 3.40%, 07/15/28 (d) | | | 2,000 | | | | 1,999,618 | |
TICP CLO VI Ltd.,
Series 2016-6A, Class E, (3 mo. LIBOR US + 6.550%), 8.89%, 01/15/29 (a)(d) | | | 500 | | | | 503,252 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.510%),
8.85%, 07/15/29 (a)(d) | | $ | 1,500 | | | $ | 1,517,916 | |
Tricon American Homes Trust: | | | | | | | | |
Series 2017-SFR2, Class F,
5.10%, 01/17/36 (a) | | | 4,000 | | | | 4,027,789 | |
Series 2018-SFR1, Class E, 4.56%, 05/17/37 (a) | | | 2,000 | | | | 1,966,032 | |
Venture CLO Ltd., Series 2018-32A, Class A2A, (3 mo. LIBOR US + 1.070%),
3.40%, 07/15/31 (a)(d) | | | 1,250 | | | | 1,244,765 | |
Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.250%),
6.60%, 01/20/29 (a)(d) | | | 500 | | | | 505,653 | |
Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.500%),
6.85%, 07/20/28 (a)(d) | | | 1,000 | | | | 1,006,746 | |
Vibrant CLO V Ltd., Series 2016-5A, Class A, (3 mo. LIBOR US + 1.550%),
3.90%, 01/20/29 (a)(d) | | | 500 | | | | 501,682 | |
Vibrant CLO VII Ltd., Series 2017-7A, Class A1, (3 mo. LIBOR US + 1.270%),
3.62%, 09/15/30 (a)(d) | | | 1,000 | | | | 1,000,347 | |
Voya CLO Ltd.: | | | | | | | | |
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 0.970%), 3.31%, 04/25/31 (a)(d) | | | 1,000 | | | | 993,025 | |
Series 2014-3A, Class A1R, (3 mo. LIBOR US + 0.720%), 3.06%, 07/25/26 (a)(d) | | | 1,000 | | | | 995,767 | |
Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.900%), 3.23%, 01/18/29 (a)(d) | | | 250 | | | | 249,177 | |
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%), 3.47%, 10/15/30 (a)(d) | | | 1,000 | | | | 1,000,197 | |
WaMu Asset-Backed Certificates Trust: | | | | | | | | |
Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%), 2.47%, 04/25/37 (d) | | | 965 | | | | 518,714 | |
Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%), 2.58%, 04/25/37 (d) | | | 104 | | | | 56,485 | |
Washington Mutual Asset-Backed Certificates Trust: | | | | | |
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%), 2.40%, 09/25/36 (d) | | | 277 | | | | 137,884 | |
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.155%), 2.37%, 10/25/36 (d) | | | 113 | | | | 97,177 | |
Wellfleet CLO Ltd.: | | | | | | | | |
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.320%), 3.67%, 04/20/29 (a)(d) | | | 1,500 | | | | 1,502,333 | |
Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.150%), 3.49%, 01/17/31 (a)(d) | | | 1,525 | | | | 1,522,466 | |
Westcott Park CLO Ltd.: | | | | | | | | |
Series 2016-1A, Class D, (3 mo. LIBOR US + 4.350%), 6.70%, 07/20/28 (a)(d) | | | 500 | | | | 505,263 | |
Series 2016-1A, Class E, (3 mo. LIBOR US + 7.200%), 9.55%, 07/20/28 (a)(d) | | | 1,500 | | | | 1,523,333 | |
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 08/15/22 | | | 460 | | | | 460,267 | |
York CLO-2 Ltd.: | | | | | | | | |
Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.150%), 3.50%, 01/22/31 (a)(d) | | | 1,220 | | | | 1,218,808 | |
Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.650%), 8.00%, 01/22/31 (a)(d) | | | 1,000 | | | | 955,052 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 25 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
York CLO-3 Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.250%),
3.60%, 10/20/29 (a)(d) | | $ | 1,000 | | | $ | 1,001,367 | |
| | | | | | | | |
Total Asset-Backed Securities — 61.4%
(Cost: $515,706,337) | | | | 510,179,756 | |
| | | | | | | | |
| |
Corporate Bonds — 0.0% | | | | | |
| |
| Banks — 0.0% | | | | |
Washington Mutual Escrow Bonds : | | | | | | | | |
0.00% (b)(g)(h)(i) | | | 250 | | | | — | |
0.00% (b)(g)(h)(i) | | | 500 | | | | — | |
| | | | | | | | |
| Insurance — 0.0% | | | | | | |
Ambac Assurance Corp., 5.10%, 06/07/20 (a) | | | 58 | | | | 78,674 | |
Ambac LSNI LLC, (3 mo. LIBOR US + 5.000%), 7.40%, 02/12/23 (a)(d) | | | 263 | | | | 265,605 | |
| | | | | | | | |
Total Corporate Bonds — 0.0%
(Cost: $343,208) | | | | | | | 344,279 | |
| | | | | | | | |
|
Floating Rate Loan Interests — 2.9% | |
| |
| Banks — 0.5% | | | | |
Goldman Sachs Bank USA: | | | | | | | | |
Term Loan B (Carval), (3 mo. LIBOR US + 1.750%, 0.25% Floor),
4.09%, 12/29/18 (d) | | | 1,258 | | | | 1,258,125 | |
Term Loan B (MFA), (3 mo. LIBOR US + 0.000%, 0.25% Floor),
4.32%, 12/29/18 (d) | | | 2,771 | | | | 2,771,079 | |
| | | | | | | | |
| | | | | | | 4,029,204 | |
| Capital Markets — 0.7% | | | | | | |
LSTAR Securities Investment Ltd., Term Loan, (1 mo. LIBOR US + 2.000%),
4.11%, 04/01/21 (b)(d) | | | 5,594 | | | | 5,574,344 | |
| | | | | | | | |
| Diversified Financial Services — 0.2% | | | | | | |
Goldman Sachs Lending Partners LLC: | | | | | | | | |
Term Loan A (Carval), (3 mo. LIBOR US + 1.750%, 0.25% Floor),
4.09%, 12/29/18 (d) | | | 712 | | | | 712,313 | |
Term Loan A (MFA), (3 mo. LIBOR US + 0.000%, 0.25% Floor),
4.32%, 12/29/18 (d) | | | 1,121 | | | | 1,121,214 | |
| | | | | | | | |
| | | | | | | 1,833,527 | |
| Mortgage Real Estate Investment Trusts (REITs) — 0.6% | |
Chimera Special Holding LLC, Term Loan, (1 mo. LIBOR US + 2.000%),
4.11%, 10/06/19 (b)(d) | | | 5,460 | | | | 5,459,642 | |
| | | | | | | | |
| Thrifts & Mortgage Finance — 0.9% | | | | | | |
Caliber Home Loans, Inc., 2018 Revolver, (3 mo. LIBOR US + 3.140%),
5.24%, 04/24/21 (d) | | | 3,328 | | | | 3,328,000 | |
Roundpoint Mortgage Servicing Corp., Closing Date Term Loan, (3 mo. LIBOR US + 3.375%), 3.38%, 08/27/20 (d) | | | 3,817 | | | | 3,817,000 | |
| | | | | | | | |
| | | | | | | 7,145,000 | |
Total Floating Rate Loan Interests — 2.9%
(Cost: $24,044,670) | | | | | | | 24,041,717 | |
| | | | | | | | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Non-Agency Mortgage-Backed Securities — 31.4% | |
| |
| Collateralized Mortgage Obligations — 8.9% | | | | |
American Home Mortgage Assets Trust: | | | | | | | | |
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.210%), 2.43%, 10/25/46 (d) | | $ | 154 | | | $ | 115,304 | |
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.920%), 2.77%, 11/25/46 (d) | | | 1,188 | | | | 673,348 | |
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.700%), 2.55%, 02/25/47 (d) | | | 45 | | | | 29,817 | |
APS Resecuritization Trust: | | | | | | | | |
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.850%), 5.07%, 09/27/46 (a)(b)(d) | | | 566 | | | | 574,477 | |
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.600%), 4.82%, 04/27/47 (a)(b)(d) | | | 147 | | | | 144,508 | |
ARI Investments LLC, Series 2017-1, Class A, 4.98%, 01/06/25 (b)(c) | | | 692 | | | | 691,601 | |
Banc of America Funding Trust: | | | | | | | | |
Series 2014-R2, Class 1C,
0.00%, 11/26/36 (a)(b)(c) | | | 379 | | | | 75,801 | |
Series 2016-R2, Class 1A1,
4.70%, 05/01/33 (a)(b)(c) | | | 525 | | | | 538,481 | |
BCAP LLC Trust, Series 2011-RR4, Class 3A6, 3.85%, 07/26/36 (a)(c) | | | 2,813 | | | | 2,732,777 | |
Bear Stearns Asset-Backed Securities I Trust, | | | | | | | | |
Series 2006-AC1, Class 1A2,
6.25%, 02/25/36 (f) | | | 250 | | | | 220,638 | |
Bear Stearns Mortgage Funding Trust: | | | | | | | | |
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.280%), 2.50%, 08/25/36 (d) | | | 1,920 | | | | 1,920,735 | |
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.170%), 2.39%, 03/25/37 (d) | | | 484 | | | | 442,093 | |
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.210%),
2.43%, 06/25/37 (d) | | | 44 | | | | 42,486 | |
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | | | 13,742 | | | | 10,517,700 | |
CHL Mortgage Pass-Through Trust, | | | | | | | | |
Series 2005-J2, Class 2A4, (1 mo. LIBOR US + 1.400%), 3.62%, 08/25/35 (d) | | | 1,477 | | | | 1,282,121 | |
CIM Trust, Series 2017-6, Class A1,
3.02%, 06/25/57 (a)(c) | | | 3,316 | | | | 3,244,249 | |
Citicorp Mortgage Securities Trust: | | | | | | | | |
Series 2007-9, Class 1A1,
6.25%, 12/25/37 | | | 4,329 | | | | 3,846,501 | |
Series 2008-2, Class 1A1,
6.50%, 06/25/38 | | | 606 | | | | 523,142 | |
Countrywide Alternative Loan Trust: | | | | | | | | |
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.350%),
2.57%, 06/25/35 (d) | | | 1,915 | | | | 1,733,103 | |
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.320%),
2.49%, 11/20/35 (d) | | | 899 | | | | 844,489 | |
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.600%), 2.82%, 01/25/36 (d) | | | 664 | | | | 577,129 | |
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.000%), 2.85%, 02/25/36 (d) | | | 842 | | | | 776,337 | |
Series 2006-11CB, Class 3A1,
6.50%, 05/25/36 | | | 1,060 | | | | 838,388 | |
| | |
| 26 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Collateralized Mortgage Obligations (continued) | |
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.230%), 2.45%, 11/25/36 (d) | | $ | 172 | | | $ | 135,155 | |
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.250%), 2.47%, 07/25/46 (d) | | | 2,406 | | | | 1,921,626 | |
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 | | | 1,924 | | | | 1,421,366 | |
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 | | | 286 | | | | 208,269 | |
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.840%), 2.69%, 03/25/47 (d) | | | 389 | | | | 326,430 | |
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-15, Class 2A2, 6.50%, 09/25/37 | | | 973 | | | | 742,125 | |
Credit Suisse Mortgage Trust: | | | | | | | | |
Series 2007-5, Class 1A11, 7.00%, 08/25/37 (c) | | | 2,455 | | | | 1,918,131 | |
Series 2009-12R, Class 3A1, 6.50%, 10/27/37 (a) | | | 39 | | | | 23,736 | |
Series 2009-5R, Class 4A4, 3.73%,
06/25/36 (a)(c) | | | 1,900 | | | | 1,760,448 | |
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.120%), 2.18%, 08/27/36 (a)(b)(d) | | | 188 | | | | 165,694 | |
Series 2017-1, Class A, 4.50%, 03/25/21 (a) | | | 616 | | | | 622,192 | |
Deutsche Alt-B Securities Mortgage Loan Trust, | | | | | | | | |
Series 2006-AB3, Class A8, 6.36%, 07/25/36 (c) | | | 35 | | | | 30,764 | |
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.000%), 3.85%, 03/25/36 (d) | | | 34 | | | | 32,111 | |
GSMPS Mortgage Loan Trust: | | | | | | | | |
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.350%), 2.57%, 03/25/35 (a)(d) | | | 99 | | | | 92,792 | |
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.350%), 2.57%, 01/25/36 (a)(d) | | | 77 | | | | 68,052 | |
GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 3.91%, 04/25/36 (c) | | | 3,050 | | | | 2,729,050 | |
HarborView Mortgage Loan Trust, Series 2007-3, Class 2A1B, (1 mo. LIBOR US + 0.230%), 2.40%, 05/19/47 (d) | | | 2,271 | | | | 1,842,881 | |
IndyMac INDX Mortgage Loan Trust, | | | | | | | | |
Series 2007-AR19, Class 3A1, 3.72%, 09/25/37 (c) | | | 360 | | | | 254,594 | |
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.150%), 3.37%, 12/25/37 (d) | | | 65 | | | | 60,501 | |
LSTAR Securities Investment Ltd.: | | | | | | | | |
Series 2017-9, Class A, (1 mo. LIBOR US + 1.550%), 3.63%, 12/01/22 (a)(d) | | | 550 | | | | 550,229 | |
Series 2018-1, Class A, (1 mo. LIBOR US + 1.550%), 3.81%, 02/01/23 (a)(d) | | | 1,041 | | | | 1,044,151 | |
LSTAR Securities Investment Ltd. LLC, Series 2017-8, Class A, (1 mo. LIBOR US + 1.650%), 3.91%, 11/01/22 (a)(d) | | | 1,547 | | | | 1,547,467 | |
MASTR Reperforming Loan Trust, | | | | | | | | |
Series 2006-2, Class 1A1, 4.39%, 05/25/36 (a)(c) | | | 1,871 | | | | 1,695,075 | |
Mastr Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37 (a)(c) | | | 1,739 | | | | 1,624,440 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Collateralized Mortgage Obligations (continued) | |
MCM: | | | | | | | | |
Series 18-NPL1, Class A, 4.00%,
06/25/58 (a)(b)(d) | | $ | 2,284 | | | $ | 2,284,388 | |
Series 18-NPL1, Class B, 0.00%,
06/25/58 (a)(b)(d) | | | 2,730 | | | | 682,500 | |
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.340%), 2.44%, 04/16/36 (a)(d) | | | 423 | | | | 360,708 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4, (1 mo. LIBOR US + 0.420%), 2.64%, 04/25/47 (d) | | | 1,141 | | | | 977,003 | |
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 2.58%, 11/26/35 (a)(c) | | | 86 | | | | 84,484 | |
OBX Trust, Series 2018-EXP1, Class 1A3, 4.00%, 04/25/48 (a)(c) | | | 4,852 | | | | 4,836,527 | |
Reperforming Loan REMIC Trust: | | | | | | | | |
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.340%), 2.56%, 06/25/35 (a)(d) | | | 172 | | | | 165,424 | |
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.400%), 2.62%, 09/25/35 (a)(d) | | | 1,237 | | | | 1,144,397 | |
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M, 4.75%, 05/25/57 (c) | | | 1,000 | | | | 977,105 | |
Sequoia Mortgage Trust, Series 2017-CH1, Class A2, 3.50%, 08/25/47 (a)(c) | | | 1,681 | | | | 1,656,879 | |
STACR Trust: | | | | | | | | |
Series 2018-DNA2, Class M2, (1 mo. LIBOR US + 2.150%), 4.37%, 12/25/30 (a)(d) | | | 1,500 | | | | 1,513,565 | |
Series 2018-HRP1, Class M2, (1 mo. LIBOR US + 1.650%), 3.87%, 04/25/43 (a)(d) | | | 2,483 | | | | 2,512,401 | |
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.210%), 2.43%, 05/25/46 (d) | | | 59 | | | | 50,640 | |
Structured Asset Securities Corp., Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.350%), 2.57%, 06/25/35 (a)(d) | | | 1,411 | | | | 1,270,194 | |
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF4, Class 2A1, 6.00%, 10/25/36 (a) | | | 73 | | | | 61,180 | |
SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.320%), 2.54%, 04/25/37 (d) | | | 315 | | | | 306,328 | |
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class B1, (1 mo. LIBOR US + 0.530%), 2.75%, 01/25/45 (d) | | | 1,435 | | | | 944,009 | |
Washington Mutual Mortgage Pass-Through Certificates Trust: | | | | | | | | |
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | | | 397 | | | | 364,619 | |
Series 2006-4, Class 3A1, 6.50%, 05/25/36 (f) | | | 202 | | | | 176,207 | |
| | | | | | | | |
| | | | | | | 73,571,062 | |
| Commercial Mortgage-Backed Securities — 21.0% | |
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 06/05/37 (a)(c) | | | 1,730 | | | | 1,539,419 | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, (1 mo. LIBOR US + 2.119%), 4.28%, 09/15/34 (a)(d) | | | 3,410 | | | | 3,416,395 | |
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 01/14/29 (a) | | | 500 | | | | 524,969 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 27 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities (continued) | |
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.100%), 4.26%, 04/15/35 (a)(d) | | $ | 3,000 | | | $ | 3,010,758 | |
Aventura Mall Trust, Series 2013-AVM, Class E, 3.87%, 12/05/32 (a)(c) | | | 280 | | | | 283,691 | |
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.48%, 01/15/49 (c) | | | 13 | | | | 13,317 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2015-200P, Class F, 3.72%,
04/14/33 (a)(c) | | | 894 | | | | 828,472 | |
Series 2016-ISQ, Class E, 3.73%, 08/14/34 (a)(c) | | | 300 | | | | 268,841 | |
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.000%), 4.16%, 11/15/32 (a)(d) | | | 1,090 | | | | 1,090,000 | |
Bancorp Commercial Mortgage Trust: | | | | | | | | |
Series 2018-CR3, Class A, (1 mo. LIBOR US + 0.850%), 2.91%, 01/15/33 (a)(d) | | | 310 | | | | 309,805 | |
Series 2018-CRE4, Class A, (1 mo. LIBOR US + 0.900%), 3.07%, 09/15/35 (a)(d) | | | 4,144 | | | | 4,145,026 | |
BANK, Series 2018-BN13, Class A5, 4.22%, 08/15/61 | | | 4,750 | | | | 4,887,947 | |
Bayview Commercial Asset Trust: | | | | | | | | |
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.360%), 2.58%, 04/25/36 (a)(d) | | | 33 | | | | 32,267 | |
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.270%), 2.49%, 07/25/37 (a)(d) | | | 70 | | | | 67,163 | |
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.450%), 2.67%, 09/25/37 (a)(d) | | | 1,242 | | | | 1,187,383 | |
Series 2007-5A, Class A3, (1 mo. LIBOR US + 1.000%), 3.22%, 10/25/37 (a)(d) | | | 2,956 | | | | 2,953,338 | |
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.500%), 3.72%, 12/25/37 (a)(d) | | | 4,500 | | | | 3,421,196 | |
BBCMS Mortgage Trust: | | | | | | | | |
Series 2017-DELC, Class F, (1 mo. LIBOR US + 3.500%), 5.66%, 08/15/36 (a)(d) | | | 547 | | | | 549,727 | |
Series 2018-CHRS, Class E, 4.41%,
08/05/38 (a)(c) | | | 1,000 | | | | 852,260 | |
Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.449%), 3.61%, 03/15/37 (a)(d) | | | 1,100 | | | | 1,101,379 | |
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35 (a) | | | 495 | | | | 484,716 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class B, 5.79%, 12/11/40 (c) | | | 876 | | | | 892,136 | |
Benchmark Mortgage Trust, Series 2018-B5, Class A4, 4.21%, 07/15/51 | | | 3,510 | | | | 3,618,184 | |
BHMS: | | | | | | | | |
Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.250%), 3.41%, 07/15/35 (a)(d) | | | 5,000 | | | | 5,005,021 | |
Series 2018-ATLS, Class C, (1 mo. LIBOR US + 1.900%), 4.06%, 07/15/35 (a)(d) | | | 1,000 | | | | 1,000,094 | |
BSPRT Issuer Ltd., Series 2017-FL2, Class A, (1 mo. LIBOR US + 0.820%), 2.98%, 10/15/34 (a)(b)(d) | | | 1,858 | | | | 1,859,012 | |
BWAY Mortgage Trust: | | | | | | | | |
Series 2013-1515, Class C, 3.45%, 03/10/33 (a) | | | 250 | | | | 240,671 | |
Series 2013-1515, Class D, 3.63%, 03/10/33 (a) | | | 100 | | | | 96,503 | |
Series 2013-1515, Class F, 4.06%,
03/10/33 (a)(c) | | | 810 | | | | 767,987 | |
BX Trust, Series 2018-MCSF, Class A, (1 mo. LIBOR US + 0.577%), 2.74%, 04/15/35 (a)(d) | | | 1,050 | | | | 1,046,066 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities (continued) | |
BXP Trust, Series 2017-GM, Class A, 3.38%, 06/13/39 (a) | | $ | 1,000 | | | $ | 966,458 | |
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.67%, 04/10/29 (a)(c) | | | 190 | | | | 192,854 | |
CFCRE Commercial Mortgage Trust: | | | | | | | | |
Series 2011-C1, Class C, 6.27%, 04/15/44 (a)(c) | | | 1,000 | | | | 1,038,470 | |
Series 2016-C4, Class C, 5.04%, 05/10/58 (c) | | | 130 | | | | 132,686 | |
Series 2018-TAN, Class C, 5.29%, 02/15/33 (a) | | | 1,050 | | | | 1,065,712 | |
CGBAM Commercial Mortgage Trust: | | | | | | | | |
Series 2015-SMRT, Class E,
3.91%,
04/10/28 (a)(c) | | | 160 | | | | 158,782 | |
Series 2015-SMRT, Class F, 3.91%, 04/10/28 (a)(c) | | | 1,000 | | | | 989,636 | |
CGDBB Commercial Mortgage Trust: | | | | | | | | |
Series 2017-BIOC, Class A, (1 mo. LIBOR US + 0.790%), 2.95%, 07/15/32 (a)(d) | | | 5,000 | | | | 5,007,057 | |
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.600%), 3.76%, 07/15/32 (a)(d) | | | 1,060 | | | | 1,060,334 | |
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.150%), 4.31%, 07/15/32 (a)(d) | | | 1,290 | | | | 1,289,798 | |
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.930%), 3.09%, 11/15/36 (a)(d) | | | 230 | | | | 230,287 | |
Citigroup Commercial Mortgage Trust: | | | | | | | | |
Series 2013-375P, Class C, 3.64%, 05/10/35 (a)(c) | | | 100 | | | | 98,294 | |
Series 2013-375P, Class D, 3.63%, 05/10/35 (a)(c) | | | 100 | | | | 96,989 | |
Series 2015-GC27, Class C, 4.58%, 02/10/48 (c) | | | 1,000 | | | | 977,963 | |
Series 2015-SHP2, Class A, (1 mo. LIBOR US + 1.280%), 3.44%, 07/15/27 (a)(d) | | | 1,200 | | | | 1,199,974 | |
Series 2015-SHP2, Class F, (1 mo. LIBOR US + 5.200%), 7.36%, 07/15/27 (a)(d) | | | 750 | | | | 756,956 | |
Series 2016-C1, Class C, 5.12%, 05/10/49 (c) | | | 10 | | | | 10,209 | |
Series 2016-GC37, Class D, 2.79%, 04/10/49 (a) | | | 1,300 | | | | 985,838 | |
Citigroup/Deutsche Bank Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 | | | 1,110 | | | | 1,142,173 | |
CLNS Trust, Series 2017-IKPR, Class E, (1 mo. LIBOR US + 3.500%), 5.63%, 06/11/32 (a)(d) | | | 790 | | | | 794,445 | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2005-C6, Class F, 5.87%, 06/10/44 (a)(c) | | | 566 | | | | 574,678 | |
Series 2013-GAM, Class B, 3.53%, 02/10/28 (a)(c) | | | 1,500 | | | | 1,469,603 | |
Series 2013-WWP, Class D, 3.90%, 03/10/31 (a) | | | 110 | | | | 112,691 | |
Series 2014-PAT, Class A, (1 mo. LIBOR US + 0.800%), 2.93%, 08/13/27 (a)(d) | | | 2,280 | | | | 2,280,000 | |
Series 2014-PAT, Class E, (1 mo. LIBOR US + 3.150%), 5.28%, 08/13/27 (a)(d) | | | 1,100 | | | | 1,107,328 | |
Series 2014-PAT, Class F, (1 mo. LIBOR US + 2.441%), 4.57%, 08/13/27 (a)(d) | | | 1,000 | | | | 999,308 | |
Series 2014-TWC, Class A, (1 mo. LIBOR US + 0.850%), 2.98%, 02/13/32 (a)(d) | | | 700 | | | | 700,656 | |
Series 2014-TWC, Class D, (1 mo. LIBOR US + 2.250%), 4.40%, 02/13/32 (a)(d) | | | 750 | | | | 754,686 | |
| | |
| 28 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities (continued) | |
Series 2014-UBS4, Class C,
4.78%, 08/10/47 (c) | | $ | 1,500 | | | $ | 1,479,443 | |
Series 2015-CR23, Class C,
4.39%, 05/10/48 (c) | | | 30 | | | | 29,490 | |
Series 2015-CR23, Class CMC,
3.81%, 05/10/48 (a)(c) | | | 2,550 | | | | 2,543,091 | |
Series 2015-CR23, Class CMD,
3.81%, 05/10/48 (a)(c) | | | 4,200 | | | | 4,166,600 | |
Series 2015-CR23, Class D,
4.39%, 05/10/48 (c) | | | 732 | | | | 614,283 | |
Series 2015-LC19, Class D,
2.87%, 02/10/48 (a) | | | 400 | | | | 343,668 | |
Series 2016-667M, Class D,
3.28%, 10/10/36 (a)(c) | | | 500 | | | | 455,788 | |
Series 2017-DLTA, Class E, (1 mo. LIBOR US + 1.964%), 4.12%, 08/15/35 (a)(d) | | | 970 | | | | 962,415 | |
Series 2017-DLTA, Class F, (1 mo. LIBOR US + 2.581%), 4.74%, 08/15/35 (a)(d) | | | 920 | | | | 911,784 | |
Core Industrial Trust: | | | | | | | | |
Series 2015-TEXW, Class D,
3.98%, 02/10/34 (a)(c) | | | 100 | | | | 99,686 | |
Series 2015-TEXW, Class E,
3.98%, 02/10/34 (a)(c) | | | 279 | | | | 275,210 | |
Series 2015-TEXW, Class F,
3.98%, 02/10/34 (a)(c) | | | 1,000 | | | | 971,294 | |
Credit Suisse First Boston Mortgage Securities Corp.: | | | | | | | | |
Series 2004-C4, Class F,
5.23%, 10/15/39 (a)(c) | | | 500 | | | | 501,900 | |
Series 2005-C1, Class F,
4.82%, 02/15/38 (a) | | | 680 | | | | 679,432 | |
Credit Suisse Mortgage Trust: | | | | | | | | |
Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 3.76%, 11/15/33 (a)(d) | | | 166 | | | | 167,191 | |
Series 2017-CHOP, Class E, (1 mo. LIBOR US + 3.300%), 5.46%, 07/15/32 (a)(d) | | | 1,448 | | | | 1,457,050 | |
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.950%), 3.11%, 12/15/30 (a)(d) | | | 240 | | | | 240,074 | |
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class C, 4.91%, 01/15/49 (c) | | | 10 | | | | 10,035 | |
CSWF, Series 2018-TOP, Class A, (1 mo. LIBOR US + 1.000%), 3.06%, 08/15/35 (a)(d) | | | 687 | | | | 687,095 | |
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C3, Class D,
3.63%, 08/10/49 (a)(c) | | | 140 | | | | 118,986 | |
Deutsche Bank UBS Mortgage Trust: | | | | | | | | |
Series 2017-BRBK, Class A,
3.45%, 10/10/34 (a) | | | 2,670 | | | | 2,637,126 | |
Series 2017-BRBK, Class D,
3.65%, 10/10/34 (a)(c) | | | 990 | | | | 944,701 | |
Series 2017-BRBK, Class F,
3.65%, 10/10/34 (a)(b)(c) | | | 600 | | | | 539,321 | |
FREMF Mortgage Trust: | | | | | | | | |
Series 2017-K64, Class B,
4.12%, 03/25/27 (a)(c) | | | 970 | | | | 942,709 | |
Series 2018-K73, Class B,
3.98%, 01/25/28 (a)(c) | | | 1,000 | | | | 949,384 | |
Series 2018-K74, Class B,
4.23%, 02/25/51 (a)(c) | | | 1,000 | | | | 967,283 | |
GAHR Commercial Mortgage Trust: | | | | | | | | |
Series 2015-NRF, Class AFL1, (1 mo. LIBOR US + 1.300%),
3.61%, 12/15/34 (a)(d) | | | 1,658 | | | | 1,658,420 | |
Series 2015-NRF, Class EFX,
3.49%, 12/15/34 (a)(c) | | | 1,500 | | | | 1,484,997 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities (continued) | |
Series 2015-NRF, Class FFX,
3.49%, 12/15/34 (a)(c) | | $ | 177 | | | $ | 174,414 | |
GPMT Ltd., Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.900%), 3.07%, 11/21/35 (a)(d) | | | 2,745 | | | | 2,740,091 | |
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.71%, 06/10/28 (a)(c) | | | 640 | | | | 627,935 | |
Great Wolf Trust, Series 2017-WOLF, Class A, (1 mo. LIBOR US + 0.850%),
3.16%, 09/15/34 (a)(d) | | | 3,500 | | | | 3,501,091 | |
GS Mortgage Securities Corp. II: | | | | | | | | |
Series 2013-KING, Class D,
3.55%, 12/10/27 (a)(c) | | | 1,000 | | | | 990,306 | |
Series 2013-KING, Class E,
3.55%, 12/10/27 (a)(c) | | | 3,200 | | | | 3,147,882 | |
GS Mortgage Securities Corp. Trust: | | | | | | | | |
Series 2017-500K, Class F, (1 mo. LIBOR US + 1.800%), 3.96%, 07/15/32 (a)(d) | | | 337 | | | | 337,544 | |
Series 2017-500K, Class G, (1 mo. LIBOR US + 2.500%), 4.66%, 07/15/32 (a)(d) | | | 40 | | | | 40,149 | |
Series 2018-HULA, Class D, (1 mo. LIBOR US + 1.800%), 3.87%, 07/15/25 (a)(d) | | | 2,000 | | | | 2,000,000 | |
GS Mortgage Securities Trust: | | | | | | | | |
Series 2014-GC22, Class D,
4.85%, 06/10/47 (a)(c) | | | 716 | | | | 663,429 | |
Series 2015-GC32, Class C,
4.56%, 07/10/48 (c) | | | 1,970 | | | | 1,935,867 | |
Series 2015-GC32, Class D,
3.35%, 07/10/48 | | | 904 | | | | 776,794 | |
Hilton Orlando Trust, Series 2018-ORL, Class E, (1 mo. LIBOR US + 2.650%),
4.81%, 12/15/34 (a)(d) | | | 1,960 | | | | 1,967,353 | |
Hospitality Mortgage Trust, Series 2017-HIT, Class A, (1 mo. LIBOR US + 0.850%),
2.98%, 05/08/30 (a)(d) | | | 3,000 | | | | 3,001,855 | |
InTown Hotel Portfolio Trust, Series 2018-STAY, Class A, (1 mo. LIBOR US + 0.700%),
2.86%, 01/15/33 (a)(d) | | | 2,000 | | | | 1,998,808 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1,
4.27%, 12/15/48 (a)(c) | | | 1,190 | | | | 1,103,356 | |
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class D, 4.73%, 03/15/50 (a)(c) | | | 280 | | | | 266,944 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2007-CB18, Class AMFL, (1 mo. LIBOR US + 0.165%), 2.23%, 06/12/47 (d) | | | 2,108 | | | | 2,071,883 | |
Series 2015-JP1, Class C,
4.90%, 01/15/49 (c) | | | 315 | | | | 321,788 | |
Series 2015-JP1, Class E,
4.40%, 01/15/49 (a)(c) | | | 250 | | | | 230,120 | |
Series 2015-UES, Class D,
3.74%, 09/05/32 (a)(c) | | | 1,000 | | | | 994,380 | |
Series 2015-UES, Class E,
3.74%, 09/05/32 (a)(c) | | | 600 | | | | 591,508 | |
Series 2017-JP5, Class D,
4.80%, 03/15/50 (a)(c) | | | 1,240 | | | | 1,204,512 | |
Series 2018-PHH, Class A, (1 mo. LIBOR US + 0.910%), 3.07%, 06/15/35 (a)(d) | | | 5,000 | | | | 5,006,245 | |
Series 2018-WPT, Class FFX,
5.54%, 07/05/33 (a) | | | 1,970 | | | | 1,923,992 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 29 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities (continued) | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.250%), 2.47%, 03/25/37 (a)(d) | | $ | 340 | | | $ | 326,620 | |
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%),
2.70%, 11/24/31 (a)(d) | | | 942 | | | | 942,000 | |
Lone Star Portfolio Trust: | | | | | | | | |
Series 2015-LSP, Class B, (1 mo. LIBOR US + 2.600%), 5.01%, 09/15/28 (a)(d) | | | 589 | | | | 589,828 | |
Series 2015-LSP, Class D, (1 mo. LIBOR US + 4.000%), 6.41%, 09/15/28 (a)(d) | | | 85 | | | | 85,856 | |
Merrill Lynch Mortgage Trust: | | | | | | | | |
Series 2005-CIP1, Class D,
5.79%, 07/12/38 (c) | | | 2,057 | | | | 2,084,053 | |
Series 2005-MKB2, Class F,
6.53%, 09/12/42 (a)(c) | | | 1,000 | | | | 1,028,373 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | |
Series 2015-C23, Class D,
4.27%, 07/15/50 (a)(c) | | | 2,000 | | | | 1,798,100 | |
Series 2015-C25, Class D,
3.07%, 10/15/48 | | | 540 | | | | 469,571 | |
Series 2015-C26, Class C,
4.55%, 10/15/48 (c) | | | 1,000 | | | | 984,012 | |
Series 2015-C26, Class D,
3.06%, 10/15/48 (a) | | | 1,315 | | | | 1,132,095 | |
Morgan Stanley Capital I Trust: | | | | | | | | |
Series 2014-CPT, Class E,
3.56%, 07/13/29 (a)(c) | | | 500 | | | | 488,655 | |
Series 2014-CPT, Class F,
3.56%, 07/13/29 (a)(c) | | | 100 | | | | 97,324 | |
Series 2014-CPT, Class G,
3.56%, 07/13/29 (a)(c) | | | 100 | | | | 96,266 | |
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.600%), 4.76%, 11/15/34 (a)(d) | | | 843 | | | | 846,161 | |
Series 2017-H1, Class D,
2.55%, 06/15/50 (a) | | | 1,010 | | | | 784,588 | |
Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 4.11%, 11/15/34 (a)(d) | | | 860 | | | | 862,687 | |
Series 2018-H3, Class C,
5.01%, 07/15/51 (c) | | | 1,470 | | | | 1,471,129 | |
Series 2018-MP, Class E,
4.42%, 07/11/40 (a)(c) | | | 2,000 | | | | 1,818,259 | |
Series 2018-SUN, Class D, (1 mo. LIBOR US + 1.650%), 3.81%, 07/15/35 (a)(d) | | | 1,000 | | | | 1,000,627 | |
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.550%), 4.71%, 07/15/35 (a)(d) | | | 1,800 | | | | 1,801,133 | |
Morgan Stanley Capital I, Inc., Series 2017-HR2, Class D, 2.73%, 12/15/27 | | | 160 | | | | 129,964 | |
Olympic Tower Mortgage Trust, Series 2017-OT, Class E,
4.08%, 05/10/39 (a)(c) | | | 890 | | | | 815,735 | |
RAIT Trust: | | | | | | | | |
Series 2017-FL7, Class A, (1 mo. LIBOR US + 0.950%), 3.11%, 06/15/37 (a)(d) | | | 1,468 | | | | 1,467,951 | |
Series 2017-FL7, Class C, (1 mo. LIBOR US + 2.500%), 4.66%, 06/15/37 (a)(d) | | | 880 | | | | 880,663 | |
Resource Capital Corp. Ltd., Series 2017-CRE5, Class B, (1 mo. LIBOR US + 2.000%),
4.16%, 07/15/34 (a)(b)(d) | | | 560 | | | | 560,907 | |
Shelter Growth CRE Issuer Ltd., Series 2018-FL1, Class A, (1 mo. LIBOR US + 1.000%), 3.16%, 01/15/35 (a)(d) | | | 4,887 | | | | 4,892,086 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities (continued) | |
Velocity Commercial Capital Loan Trust, Series 2015-1, Class AFL, (1 mo. LIBOR US + 2.430%), 4.65%, 06/25/45 (a)(d) | | $ | 18 | | | $ | 18,314 | |
VNDO Mortgage Trust, Series 2013-PENN, Class D, 4.08%, 12/13/29 (a)(c) | | | 500 | | | | 498,749 | |
Wells Fargo Commercial Mortgage Trust: | | | | | | | | |
Series 2015-C27, Class D,
3.77%, 02/15/48 (a) | | | 1,000 | | | | 822,184 | |
Series 2015-NXS4, Class D,
3.75%, 12/15/48 (c) | | | 997 | | | | 921,506 | |
Series 2016-C34, Class C,
5.20%, 06/15/49 (c) | | | 40 | | | | 40,495 | |
Series 2016-C37, Class C,
4.64%, 12/15/49 (c) | | | 500 | | | | 495,958 | |
Series 2016-NXS5, Class D,
5.04%, 01/15/59 (c) | | | 750 | | | | 727,962 | |
Series 2017-C39, Class D,
4.50%, 09/15/50 (a)(c) | | | 750 | | | | 694,736 | |
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.850%),
3.00%, 12/13/31 (a)(d) | | | 846 | | | | 846,538 | |
Series 2018-C44, Class C,
5.00%, 05/15/51 (c) | | | 1,484 | | | | 1,473,521 | |
Series 2018-C44, Class D,
3.00%, 05/15/51 (a) | | | 1,000 | | | | 807,437 | |
Series 2018-C46, Class A4,
4.15%, 08/15/51 | | | 3,740 | | | | 3,801,945 | |
| | | | | | | | |
| | | | | | | 174,748,298 | |
Interest Only Commercial Mortgage-Backed
Securities — 1.5% | | | | | |
B2R Mortgage Trust, Series 2015-2, Class XA, 2.45%, 11/15/48 (a)(c) | | | 8,274 | | | | 264,267 | |
Banc of America Commercial Mortgage Trust: | | | | | | | | |
Series 2015-UBS7, Class XA,
1.00%, 09/15/48 (c) | | | 955 | | | | 44,056 | |
Series 2017-BNK3, Class XD,
1.44%, 02/15/50 (a)(c) | | | 10,000 | | | | 873,100 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2017-SCH, Class XFCP,
0.17%, 11/15/19 (a)(c) | | | 95,950 | | | | 172,710 | |
Series 2017-SCH, Class XLCP,
0.03%, 11/15/19 (a)(c) | | | 56,050 | | | | 15,133 | |
BBCMS Trust, Series 2015-SRCH, Class XB,
0.30%, 08/10/35 (a)(c) | | | 12,500 | | | | 199,125 | |
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA,
1.90%, 05/10/58 (c) | | | 367 | | | | 35,598 | |
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD,
1.00%, 06/10/50 (c) | | | 11,214 | | | | 713,883 | |
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.24%, 04/10/47 (c) | | | 706 | | | | 28,488 | |
Hospitality Mortgage Trust, Series 2017-HIT, Class XCP, 1.20%, 05/08/30 (a)(b)(c) | | | 98,914 | | | | 203,283 | |
JPMDB Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2016-C4, Class XC,
0.75%, 12/15/49 (a)(c) | | | 8,570 | | | | 425,149 | |
Series 2017-C5, Class XB,
0.47%, 03/15/50 (c) | | | 30,000 | | | | 747,600 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49 (a)(c) | | | 17,400 | | | | 830,328 | |
| | |
| 30 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
LSTAR Commercial Mortgage Trust, | | | | | | | | |
Series 2017-5, Class X, 1.27%, 03/10/50 (a)(c) | | $ | 12,480 | | | $ | 587,756 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | |
Series 2014-C19, Class XF, 1.34%, 12/15/47 (a)(c) | | | 220 | | | | 12,005 | |
Series 2016-C29, Class XB, 1.12%, 05/15/49 (c) | | | 1,020 | | | | 64,694 | |
Morgan Stanley Capital I Trust,
Series 2017-H1,
Class XD, 2.36%, 06/15/50 (a)(b)(c) | | | 8,625 | | | | 1,336,875 | |
Olympic Tower Mortgage Trust,
Series 2017-OT, Class XA,
0.51%, 05/10/39 (a)(c) | | | 28,100 | | | | 846,934 | |
One Market Plaza Trust: | | | | | | | | |
Series 2017-1MKT, Class XCP, 0.22%, 02/10/32 (a)(c) | | | 110,000 | | | | 508,200 | |
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32 (a)(b)(c) | | | 22,000 | | | | 17,600 | |
U.S., Series 2018-USDC, Class X, 0.47%, 08/10/50 (a)(c) | | | 103,122 | | | | 3,074,397 | |
Wells Fargo Commercial Mortgage Trust: | | | | | | | | |
Series 2015-LC20, Class XB, 0.62%, 04/15/50 (c) | | | 7,000 | | | | 192,950 | |
Series 2016-BNK1, Class XD, 1.41%, 08/15/49 (a)(b)(c) | | | 1,000 | | | | 85,430 | |
Series 2018-C44, Class XA, 0.93%, 05/15/51 (c) | | | 13,013 | | | | 731,663 | |
WFRBS Commercial Mortgage Trust, | | | | | | | | |
Series 2014-C21, Class XA, 1.23%, 08/15/47 (c) | | | 10,279 | | | | 456,549 | |
| | | | | | | | |
| | | | | | | 12,467,773 | |
| | | | | | | | |
Total Non-Agency Mortgage-Backed
Securities — 31.4% | | | | | |
(Cost: $262,010,055) | | | | 260,787,133 | |
| | | | | | | | |
|
U.S. Government Sponsored Agency Securities — 2.8% | |
| |
| Collateralized Mortgage Obligations — 2.0% | | | | |
Fannie Mae: | | | | | | | | |
Series 2016-C02, Class 1M2, (1 mo. LIBOR US + 6.000%), 8.22%, 09/25/28 (d) | | | 50 | | | | 58,823 | |
Series 2016-C04, Class 1M2, (1 mo. LIBOR US + 4.250%), 6.47%, 01/25/29 (d) | | | 231 | | | | 260,233 | |
Series 2016-C06, Class 1M2, (1 mo. LIBOR US + 4.250%), 6.47%, 04/25/29 (d) | | | 68 | | | | 78,203 | |
Series 2017-C01, Class 1B1, (1 mo. LIBOR US + 5.750%), 7.97%, 07/25/29 (d) | | | 775 | | | | 938,555 | |
Series 2017-C01, Class 1M2, (1 mo. LIBOR US + 3.550%), 5.77%, 07/25/29 (d) | | | 1,664 | | | | 1,817,056 | |
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.000%), 5.22%, 10/25/29 (d) | | | 106 | | | | 114,321 | |
Series 2017-C05, Class 1M2, (1 mo. LIBOR US + 2.200%), 4.42%, 01/25/30 (d) | | | 251 | | | | 258,736 | |
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.000%), 6.22%, 05/25/30 (d) | | | 2,000 | | | | 2,140,571 | |
Freddie Mac: | | | | | | | | |
Series 2018-SPI2, Class M2, 3.82%, 05/25/48 (a)(c) | | | 1,500 | | | | 1,394,940 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Collateralized Mortgage Obligations (continued) | |
Series 2016-DNA4, Class M3, (1 mo. LIBOR US +3.800%), 6.02%, 03/25/29 (d) | | $ | 2,000 | | | $ | 2,251,696 | |
Series 2017-DNA1, Class B1, (1 mo. LIBOR US + 4.950%), 7.17%, 07/25/29 (d) | | | 1,000 | | | | 1,153,299 | |
Series 2017-DNA1, Class M2, (1 mo. LIBOR US + 3.250%), 5.47%, 07/25/29 (d) | | | 1,500 | | | | 1,641,686 | |
Series 2017-DNA2, Class M2, (1 mo. LIBOR US +3.450%), 5.67%, 10/25/29 (d) | | | 250 | | | | 275,543 | |
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.500%), 4.72%, 03/25/30 (d) | | | 3,000 | | | | 3,139,163 | |
Series 2018-DNA1, Class M2, (1 mo. LIBOR US + 1.800%), 4.02%, 07/25/30 (d) | | | 1,000 | | | | 993,672 | |
| | | | | | | | |
| | | | | | | 16,516,497 | |
| Commercial Mortgage-Backed Securities — 0.7% | |
Fannie Mae, Series 2017-M8, Class A2, 3.06%, 05/25/27 (c) | | | 170 | | | | 163,427 | |
Freddie Mac: | | | | | | | | |
Series K072, Class A2,
3.44%, 12/25/27 | | | 5,000 | | | | 4,940,907 | |
Series KPLB, Class A,
2.77%, 05/25/25 | | | 380 | | | | 366,307 | |
| | | | | | | | |
| | | | | | | 5,470,641 | |
Interest Only Commercial Mortgage-Backed
Securities — 0.1% | | | | | |
Fannie Mae, Series 2016-M4, Class X2, 2.69%, 01/25/39 (c) | | | 5,312 | | | | 526,705 | |
Freddie Mac, Series KW01, Class X1, 1.12%, 01/25/26 (c) | | | 1,170 | | | | 65,789 | |
Ginnie Mae: | | | | | | | | |
Series 2016-128, Class IO, 0.95%, 09/16/56 (c) | | | 5,871 | | | | 460,271 | |
Series 2016-87, Class IO, 1.00%, 08/16/58 (c) | | | 463 | | | | 35,251 | |
| | | | | | | | |
| | | | | | | 1,088,016 | |
| | | | | | | | |
Total U.S. Government Sponsored Agency
Securities — 2.8% | | | | | |
(Cost: $22,594,111) | | | | 23,075,154 | |
| | | | | | | | |
Total Long-Term Investments — 98.5%
(Cost: $824,698,381) | | | | 818,428,039 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| Short-Term Securities — 2.2% | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.91% (j) | | | 18,466,938 | | | | 18,466,938 | |
| | | | | | | | |
| |
Total Short-Term Securities — 2.2%
(Cost: $18,466,938) | | | | 18,466,938 | |
| | | | | | | | |
| |
Total Investments — 100.7%
(Cost: $843,165,319) | | | | 836,894,977 | |
Liabilities in Excess of Other Assets — (0.7)% | | | | (6,215,762 | ) |
| | | | | | | | |
Net Assets — 100.0% | | | $ | 830,679,215 | |
| | | | | | | | |
| (a) | 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. |
| (b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (c) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (d) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (f) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
| (g) | Issuer filed for bankruptcy and/or is in default. |
| (h) | Non-income producing security. |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 31 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio |
| (i) | Perpetual security with no stated maturity date. |
| (j) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
OTC Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Index | | Financing
Rate
Paid
by the
Fund | | Payment
Frequency | | | Counterparty | | | Termination
Date | | | Notional
Amount
(000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.9.A | | 2.00% | | | Monthly | | | | Citigroup Global Markets, Inc. | | | | 09/17/58 | | | $ | 300 | | | $ | 268 | | | $ | 5,951 | | | $ | (5,683 | ) |
CMBX.NA.9.A | | 2.00% | | | Monthly | | | | Credit Suisse International | | | | 09/17/58 | | | $ | 2,050 | | | | 1,832 | | | | 34,502 | | | | (32,670 | ) |
CMBX.NA.9.A | | 2.00% | | | Monthly | | | | Credit Suisse International | | | | 09/17/58 | | | $ | 300 | | | | 268 | | | | 5,584 | | | | (5,316 | ) |
CMBX.NA.9.A | | 2.00% | | | Monthly | | | | Credit Suisse International | | | | 09/17/58 | | | $ | 600 | | | | 536 | | | | 10,846 | | | | (10,310 | ) |
CMBX.NA.6.AAA | | 0.50% | | | Monthly | | | | Deutsche Bank AG | | | | 05/11/63 | | | $ | 590 | | | | (6,019 | ) | | | 188 | | | | (6,207 | ) |
CMBX.NA.6.AAA | | 0.50% | | | Monthly | | | | Deutsche Bank AG | | | | 05/11/63 | | | $ | 521 | | | | (5,316 | ) | | | (377 | ) | | | (4,939 | ) |
CMBX.NA.6.AAA | | 0.50% | | | Monthly | | | | Deutsche Bank AG | | | | 05/11/63 | | | $ | 364 | | | | (3,711 | ) | | | 70 | | | | (3,781 | ) |
CMBX.NA.6.BBB- | | 3.00% | | | Monthly | | | | J.P. Morgan Securities LLC | | | | 05/11/63 | | | $ | 40 | | | | 4,697 | | | | 2,539 | | | | 2,158 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (7,445 | ) | | $ | 59,303 | | | $ | (66,748 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Reference
Index | | Financing
Rate
Received
by the
Fund | | | Payment
Frequency | | | Counterparty | | | Termination
Date | | | Credit
Rating(a) | | | Notional
Amount
(000)(b) | | | Value | | | Upfront
Premium
Received | | | Unrealized
Appreciation
(Depreciation) | | | | |
| | | | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | CMBX.NA.8.A | | | 2.00% | | | | Monthly | | | | International PLC | | | | 10/17/57 | | | | Not Rated | | | $ | 120 | | | $ | (888 | ) | | $ | (11,333 | ) | | $ | 10,445 | | | | | |
| | CMBX.NA.9.BBB- | | | 3.00% | | | | Monthly | | | | Credit Suisse International | | | | 09/17/58 | | | | Not Rated | | | $ | 1,025 | | | | (60,748 | ) | | | (91,013 | ) | | | 30,265 | | | | | |
| | CMBX.NA.9.BBB- | | | 3.00% | | | | Monthly | | | | Deutsche Bank AG | | | | 09/17/58 | | | | Not Rated | | | $ | 4,620 | | | | (273,810 | ) | | | (584,277 | ) | | | 310,467 | | | | | |
| | | | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | CMBX.NA.9.BBB- | | | 3.00% | | | | Monthly | | | | International PLC | | | | 09/17/58 | | | | Not Rated | | | $ | 150 | | | | (8,890 | ) | | | (14,290 | ) | | | 5,400 | | | | | |
| | CMBX.NA.10.BBB- | | | 3.00% | | | | Monthly | | | | Deutsche Bank AG | | | | 11/17/59 | | | | BBB- | | | $ | 1,000 | | | | (50,037 | ) | | | (88,253 | ) | | | 38,216 | | | | | |
| | CMBX.NA.10.BBB- | | | 3.00% | | | | Monthly | | | | Deutsche Bank AG | | | | 11/17/59 | | | | BBB- | | | $ | 500 | | | | (25,019 | ) | | | (53,228 | ) | | | 28,209 | | | | | |
| | CMBX.NA.6.BBB- | | | 3.00% | | | | Monthly | | | | Credit Suisse International | | | | 05/11/63 | | | | BB+ | | | $ | 40 | | | | (4,697 | ) | | | (3,167 | ) | | | (1,530 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (424,089 | ) | | $ | (845,561 | ) | | $ | 421,472 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using S&P’s rating of the underlying securities of the index. | |
| | (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. | |
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps
| | | | | | | | | | | | | | | | |
| | | Swap Premiums
Paid | | | Swap Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
OTC Swaps | | | $59,680 | | | | $845,938 | | | | $425,160 | | | | $70,436 | |
| | |
| 32 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets — Derivative Financial Instruments | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Swaps — OTC | | Unrealized appreciation on OTC swaps; Swap premiums paid | | $ | — | | | $ | 484,840 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 484,840 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | |
Swaps — OTC | | Unrealized depreciation on OTC swaps; Swap premiums received | | $ | — | | | $ | 916,374 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 916,374 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended September 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Realized Gain from: | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Swaps | | | | $ | — | | | $ | 277,780 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 277,780 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | |
Swaps | | | | $ | — | | | $ | 339,598 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 339,598 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 4,766,500 | |
Average notional value — sell protection | | | 7,455,000 | |
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:
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments: | | | | | | | | |
Swaps — OTC(a) | | $ | 484,840 | | | $ | 916,374 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 484,840 | | | $ | 916,374 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | — | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 484,840 | | | $ | 916,374 | |
| | | | | | | | |
| | (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 33 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio |
The following tables present 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:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative Assets Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a)
| | | Non-cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount of Derivative Assets(b) | |
Citigroup Global Markets, Inc. | | $ | 5,951 | | | $ | (5,683 | ) | | $ | — | | | $ | — | | | $ | 268 | |
Credit Suisse International | | | 81,197 | | | | (81,197 | ) | | | — | | | | — | | | | — | |
Deutsche Bank AG | | | 377,150 | | | | (377,150 | ) | | | — | | | | — | | | | — | |
J.P. Morgan Securities LLC | | | 4,697 | | | | — | | | | — | | | | — | | | | 4,697 | |
Morgan Stanley & Co. International PLC | | | 15,845 | | | | (15,845 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 484,840 | | | $ | (479,875 | ) | | $ | — | | | $ | — | | | $ | 4,965 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Counterparty | | Derivative
Liabilities
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a)
| | | Non-cash
Collateral
Pledged | | | Cash
Collateral
Pledged(c) | | | Net Amount
of
Derivative
Liabilities(d) | |
Citigroup Global Markets, Inc. | | $ | 5,683 | | | $ | (5,683 | ) | | $ | — | | | $ | — | | | $ | — | |
Credit Suisse International | | | 144,006 | | | | (81,197 | ) | | | — | | | | — | | | | 62,809 | |
Deutsche Bank AG | | | 741,062 | | | | (377,150 | ) | | | — | | | | (363,912 | ) | | | — | |
Morgan Stanley & Co. International PLC. | | | 25,623 | | | | (15,845 | ) | | | — | | | | — | | | | 9,778 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 916,374 | | | $ | (479,875 | ) | | $ | — | | | $ | (363,912 | ) | | $ | 72,587 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (c) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. | |
| | (d) | Net amount represents the net amount payable due to the counterparty in the event of default. | |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 497,065,349 | | | $ | 13,114,407 | | | $ | 510,179,756 | |
Corporate Bonds(a) | | | — | | | | 344,279 | | | | — | | | | 344,279 | |
Floating Rate Loan Interests(a) | | | — | | | | 13,007,731 | | | | 11,033,986 | | | | 24,041,717 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 251,027,255 | | | | 9,759,878 | | | | 260,787,133 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 23,075,154 | | | | — | | | | 23,075,154 | |
Short-Term Securities | | | 18,466,938 | | | | — | | | | — | | | | 18,466,938 | |
| | | | | | | | | | | | | | | | |
| | $ | 18,466,938 | | | $ | 784,519,768 | | | $ | 33,908,271 | | | $ | 836,894,977 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 425,160 | | | $ | — | | | $ | 425,160 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (70,436 | ) | | | — | | | | (70,436 | ) |
| | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 354,724 | | | $ | — | | | $ | 354,724 | |
| | | | | | | | | | | | | | | | |
| | (a) | See above Schedule of Investments for values in each industry. | |
| | (b) | Derivative financial instruments are swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. | |
During the six months ended September 30, 2018, there were no transfers between Level 1 and Level 2.
| | |
| 34 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series A Portfolio |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | |
| | | Asset-Backed
Securities | | Floating Rate
Loan Interests | | Non-Agency
Mortgage-Backed
Securities | | Total |
Assets: | | | | | | | | | | | | | | | | | | | | |
Opening Balance, as of March 31, 2018 | | | $ | 6,206,056 | | | | $ | 3,143,637 | | | | $ | 7,686,343 | | | | $ | 17,036,036 | |
Transfers into Level 3 | | | | — | | | | | 2,337,305 | | | | | 81,460 | | | | | 2,418,765 | |
Transfers out of Level 3 | | | | (146,870 | ) | | | | — | | | | | (1,751,375 | ) | | | | (1,898,245 | ) |
Accrued discounts/premiums | | | | (161,409 | ) | | | | (3,588 | ) | | | | (13,109 | ) | | | | (178,106 | ) |
Net realized gain (loss) | | | | (122,804 | ) | | | | 25,372 | | | | | 12,609 | | | | | (84,823 | ) |
Net change in unrealized appreciation (depreciation)(a)(b) | | | | 174,215 | | | | | (41,494 | ) | | | | (890,271 | ) | | | | (757,550 | ) |
Purchases | | | | 9,030,347 | | | | | 9,533,313 | | | | | 5,958,265 | | | | | 24,521,925 | |
Sales | | | | (1,865,128 | ) | | | | (3,960,559 | ) | | | | (1,324,044 | ) | | | | (7,149,731 | ) |
| | | | | | | | | | | | | | | | | | | | |
Closing Balance, as of September 30, 2018 | | | $ | 13,114,407 | | | | $ | 11,033,986 | | | | $ | 9,759,878 | | | | $ | 33,908,271 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2018(b) | | | $ | 174,215 | | | | $ | 1,829 | | | | $ | (890,271 | ) | | | $ | (714,227 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. | |
| | (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2018 is generally due to investments no longer held or categorized as Level 3 at period end. | |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to financial statements.
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 35 | |
| | |
Schedule of Investments (unaudited) September 30, 2018 | | Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Capital Trusts — 3.9% | | | | | |
| |
| Banks — 1.8% | | | | |
HSBC Holdings PLC, (USD Swap Rate 11:00 am NY 1 + 3.750%), 6.00% (a)(b) | | $ | 520 | | | $ | 498,810 | |
JPMorgan Chase & Co.: | | | | | | | | |
(3 mo. LIBOR US + 3.470%), 5.81% (a)(b) | | | 500 | | | | 502,125 | |
(3 mo. LIBOR US + 3.330%), 6.10% (a)(b) | | | 598 | | | | 618,930 | |
(3 mo. LIBOR US + 3.780%), 6.75% (a)(b) | | | 925 | | | | 1,009,406 | |
U.S. Bancorp, Series J, (3 mo. LIBOR US + 2.910%), 5.30% (a)(b) | | | 1,075 | | | | 1,072,312 | |
Wells Fargo & Co.: | | | | | | | | |
(3 mo. LIBOR US + 3.990%), 5.88% (a)(b) | | | 2,300 | | | | 2,419,347 | |
(3 mo. LIBOR US + 3.770%), 6.10% (a)(b) | | | 817 | | | | 827,980 | |
| | | | | | | | |
| | | | | | | 6,948,910 | |
| Capital Markets — 0.3% | | | | | | |
State Street Corp.: | | | | | | | | |
(3 mo. LIBOR US + 3.600%), 5.25% (a)(b) | | | 315 | | | | 320,670 | |
(3 mo. LIBOR US + 2.540%), 5.63% (a)(b) | | | 735 | | | | 738,675 | |
| | | | | | | | |
| | | | | | | 1,059,345 | |
| Electric Utilities — 0.2% | | | | | | |
Exelon Corp., 3.50%, 06/01/22 | | | 785 | | | | 771,300 | |
| | | | | | | | |
| Industrial Conglomerates — 0.1% | | | | | | |
General Electric Co., (3 mo. LIBOR US + 3.330%), 5.00% (a)(b) | | | 598 | | | | 582,602 | |
| | | | | | | | |
| Insurance — 0.5% | | | | | | |
Allstate Corp., (3 mo. LIBOR US + 2.940%),
5.75%, 08/15/53 (a) | | | 835 | | | | 860,050 | |
MetLife, Inc., (3 mo. LIBOR US + 3.580%),
5.25% (a)(b) | | | 900 | | | | 911,700 | |
| | | | | | | | |
| | | | | | | 1,771,750 | |
| Media — 0.6% | | | | | | |
NBCUniversal Enterprise, Inc., 5.25% (b)(c) | | | 2,200 | | | | 2,230,787 | |
| | | | | | | | |
| Multi-Utilities — 0.1% | | | | | | |
Dominion Energy, Inc., 2.96%, 07/01/19 (d) | | | 345 | | | | 344,828 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels — 0.3% | | | | | | |
Enbridge, Inc., (3 mo. LIBOR US + 3.641%),
6.25%, 03/01/78 (a) | | | 780 | | | | 753,809 | |
TransCanada Trust: | | | | | | | | |
(3 mo. LIBOR US + 3.530%),
5.63%, 05/20/75 (a) | | | 359 | | | | 351,820 | |
(3 mo. LIBOR US + 4.640%),
5.88%, 08/15/76 (a) | | | 120 | | | | 122,550 | |
| | | | | | | | |
| | | | | | | 1,228,179 | |
| | | | | | | | |
Total Capital Trusts — 3.9%
(Cost: $14,991,888) | | | | | | | 14,937,701 | |
| | | | | | | | |
| |
Corporate Bonds — 88.8% | | | | | |
| |
| Aerospace & Defense — 2.6% | | | | |
General Dynamics Corp., 3.00%, 05/11/21 | | | 2,060 | | | | 2,048,984 | |
Harris Corp., 4.40%, 06/15/28 | | | 955 | | | | 958,434 | |
Lockheed Martin Corp.: | | | | | | | | |
3.10%, 01/15/23 | | | 95 | | | | 93,990 | |
3.55%, 01/15/26 | | | 145 | | | | 143,300 | |
4.07%, 12/15/42 | | | 575 | | | | 558,925 | |
4.09%, 09/15/52 | | | 124 | | | | 118,053 | |
Northrop Grumman Corp., 3.25%, 01/15/28 | | | 910 | | | | 855,693 | |
Northrop Grumman Systems Corp.,
7.88%, 03/01/26 | | | 1,000 | | | | 1,222,759 | |
Rockwell Collins, Inc.: | | | | | | | | |
1.95%, 07/15/19 | | | 180 | | | | 178,786 | |
3.20%, 03/15/24 | | | 550 | | | | 530,861 | |
3.50%, 03/15/27 | | | 520 | | | | 494,081 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Aerospace & Defense (continued) | | | | |
4.35%, 04/15/47 | | $ | 240 | | | $ | 229,040 | |
United Technologies Corp.: | | | | | | | | |
3.35%, 08/16/21 | | | 140 | | | | 139,804 | |
3.65%, 08/16/23 | | | 410 | | | | 408,179 | |
4.13%, 11/16/28 | | | 710 | | | | 705,151 | |
6.05%, 06/01/36 | | | 450 | | | | 521,872 | |
4.50%, 06/01/42 | | | 340 | | | | 336,129 | |
4.63%, 11/16/48 | | | 285 | | | | 286,587 | |
| | | | | | | | |
| | | | | | | 9,830,628 | |
| Air Freight & Logistics — 0.3% | | | | | | |
FedEx Corp.: | | | | | | | | |
3.25%, 04/01/26 | | | 120 | | | | 115,646 | |
4.10%, 02/01/45 | | | 475 | | | | 433,464 | |
4.40%, 01/15/47 | | | 597 | | | | 570,236 | |
| | | | | | | | |
| | | | | | | 1,119,346 | |
| Airlines — 0.8% | | | | | | |
American Airlines Pass-Through Trust: | | | | | | | | |
Series 2014-1, Class B, 4.38%, 04/01/24 | | | 105 | | | | 103,956 | |
Series 2017-1, Class AA, 3.65%, 08/15/30 | | | 739 | | | | 719,807 | |
Delta Air Lines, Inc., 3.80%, 04/19/23 | | | 880 | | | | 864,358 | |
Doric Nimrod Air Alpha Pass-Through Trust, | | | | | | | | |
Series 2013-1, Class A, 5.25%, 05/30/25 (c) | | | 592 | | | | 604,945 | |
U.S. Airways Pass-Through Trust, | | | | | | | | |
Series 2013-1, Class A, 3.95%, 05/15/27 | | | 688 | | | | 681,365 | |
Virgin Australia Trust, Series 2013-1A,
5.00%, 04/23/25 (c) | | | 114 | | | | 116,061 | |
| | | | | | | | |
| | | | | | | 3,090,492 | |
| Auto Components — 0.2% | | | | | | |
ZF North America Capital, Inc.,
4.75%, 04/29/25 (c) | | | 600 | | | | 599,828 | |
| | | | | | | | |
| Automobiles — 0.5% | | | | | | |
BMW U.S. Capital LLC, 2.00%, 04/11/21 (c) | | | 540 | | | | 523,225 | |
Ford Motor Co.: | | | | | | | | |
4.75%, 01/15/43 | | | 186 | | | | 154,878 | |
5.29%, 12/08/46 | | | 470 | | | | 418,609 | |
General Motors Co.: | | | | | | | | |
5.20%, 04/01/45 | | | 785 | | | | 713,135 | |
5.95%, 04/01/49 | | | 260 | | | | 258,251 | |
| | | | | | | | |
| | | | | | | 2,068,098 | |
| Banks — 13.8% | | | | | | |
Banco Santander SA: | | | | | | | | |
3.13%, 02/23/23 | | | 800 | | | | 759,250 | |
3.85%, 04/12/23 | | | 200 | | | | 195,400 | |
Bank of America Corp.: | | | | | | | | |
(3 mo. LIBOR US + 0.630%),
3.50%, 05/17/22 (a) | | | 800 | | | | 799,561 | |
4.20%, 08/26/24 | | | 1,610 | | | | 1,617,527 | |
4.00%, 01/22/25 | | | 605 | | | | 597,052 | |
3.95%, 04/21/25 | | | 1,490 | | | | 1,458,859 | |
4.45%, 03/03/26 | | | 2,305 | | | | 2,307,780 | |
(3 mo. LIBOR US + 1.512%),
3.71%, 04/24/28 (a) | | | 785 | | | | 755,628 | |
(3 mo. LIBOR US + 1.070%),
3.97%, 03/05/29 (a) | | | 1,475 | | | | 1,439,172 | |
(3 mo. LIBOR US + 1.310%),
4.27%, 07/23/29 (a) | | | 450 | | | | 449,457 | |
(3 mo. LIBOR US + 1.190%),
3.95%, 01/23/49 (a) | | | 500 | | | | 457,496 | |
Barclays Bank PLC, 5.14%, 10/14/20 | | | 300 | | | | 307,411 | |
Barclays PLC: | | | | | | | | |
2.75%, 11/08/19 | | | 805 | | | | 800,250 | |
3.25%, 01/12/21 | | | 900 | | | | 887,869 | |
3.20%, 08/10/21 | | | 825 | | | | 809,874 | |
4.84%, 05/09/28 | | | 820 | | | | 769,899 | |
| | |
| 36 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Banks (continued) | | | | |
BNP Paribas SA: | | | | | | | | |
3.50%, 03/01/23 (c) | | $ | 900 | | | $ | 877,849 | |
(5 yr. Swap Semi 30/360 US + 1.480%),
4.38%, 03/01/33 (a)(c) | | | 1,060 | | | | 1,008,707 | |
Citigroup, Inc.: | | | | | | | | |
2.45%, 01/10/20 | | | 1,500 | | | | 1,486,906 | |
(3 mo. LIBOR US + 1.390%),
3.67%, 07/24/28 (a) | | | 160 | | | | 152,349 | |
(3 mo. LIBOR US + 1.190%),
4.08%, 04/23/29 (a) | | | 1,245 | | | | 1,221,962 | |
4.75%, 05/18/46 | | | 550 | | | | 536,486 | |
4.65%, 07/23/48 | | | 475 | | | | 480,387 | |
Citizens Bank N.A., 2.55%, 05/13/21 | | | 330 | | | | 321,489 | |
Cooperatieve Rabobank UA: | | | | | | | | |
3.13%, 04/26/21 | | | 670 | | | | 665,784 | |
4.63%, 12/01/23 | | | 700 | | | | 710,671 | |
Discover Bank: | | | | | | | | |
3.35%, 02/06/23 | | | 300 | | | | 291,323 | |
(5 yr. Swap Semi 30/360 US + 1.730%),
4.68%, 08/09/28 (a) | | | 600 | | | | 593,832 | |
HSBC Holdings PLC: | | | | | | | | |
2.65%, 01/05/22 | | | 985 | | | | 956,504 | |
(3 mo. LIBOR US + 1.000%),
3.32%, 05/18/24 (e) | | | 865 | | | | 863,465 | |
4.25%, 08/18/25 | | | 500 | | | | 490,543 | |
(3 mo. LIBOR US + 1.347%),
4.29%, 09/12/26 (a) | | | 500 | | | | 495,087 | |
4.38%, 11/23/26 | | | 270 | | | | 265,370 | |
Huntington Bancshares, Inc., 4.00%, 05/15/25 | | | 905 | | | | 903,460 | |
ING Bank NV, 2.50%, 10/01/19 (c) | | | 950 | | | | 944,652 | |
ING Groep NV, (3 mo. LIBOR US + 1.150%),
3.54%, 03/29/22 (e) | | | 1,040 | | | | 1,055,976 | |
Intesa Sanpaolo SpA: | | | | | | | | |
3.38%, 01/12/23 (c) | | | 485 | | | | 449,004 | |
5.02%, 06/26/24 (c) | | | 416 | | | | 375,392 | |
3.88%, 01/12/28 (c) | | | 495 | | | | 418,152 | |
JPMorgan Chase & Co.: | | | | | | | | |
2.25%, 01/23/20 | | | 1,800 | | | | 1,781,580 | |
2.30%, 08/15/21 | | | 665 | | | | 646,573 | |
(3 mo. LIBOR US + 1.337%),
3.78%, 02/01/28 (a) | | | 800 | | | | 778,534 | |
(3 mo. LIBOR US + 1.260%),
4.20%, 07/23/29 (a) | | | 340 | | | | 338,989 | |
(3 mo. LIBOR US + 1.360%),
3.88%, 07/24/38 (a) | | | 1,300 | | | | 1,214,186 | |
4.95%, 06/01/45 | | | 595 | | | | 623,947 | |
(3 mo. LIBOR US + 1.220%),
3.90%, 01/23/49 (a) | | | 915 | | | | 826,075 | |
Lloyds Bank PLC, 5.80%, 01/13/20 (c) | | | 2,000 | | | | 2,062,220 | |
Lloyds Banking Group PLC, 4.38%, 03/22/28 | | | 705 | | | | 687,701 | |
Mitsubishi UFJ Financial Group, Inc.,
3.76%, 07/26/23 | | | 1,100 | | | | 1,094,341 | |
Regions Bank, (3 mo. LIBOR US + 0.500%),
3.37%, 08/13/21 (a) | | | 920 | | | | 917,244 | |
Royal Bank of Canada, 3.20%, 04/30/21 | | | 1,000 | | | | 998,158 | |
Royal Bank of Scotland Group PLC: | | | | | | | | |
(3 mo. LIBOR US + 1.470%),
3.78%, 05/15/23 (e) | | | 1,170 | | | | 1,178,424 | |
3.88%, 09/12/23 | | | 990 | | | | 961,647 | |
6.00%, 12/19/23 | | | 348 | | | | 362,031 | |
(3 mo. LIBOR US + 1.550%),
3.92%, 06/25/24 (e) | | | 975 | | | | 981,227 | |
Santander UK PLC: | | | | | | | | |
2.13%, 11/03/20 | | | 750 | | | | 729,714 | |
5.00%, 11/07/23 (c) | | | 1,753 | | | | 1,767,175 | |
SunTrust Banks, Inc., 4.00%, 05/01/25 | | | 760 | | | | 761,898 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Banks (continued) | | | | |
Svenska Handelsbanken AB, 3.35%, 05/24/21 | | $ | 500 | | | $ | 499,200 | |
U.S. Bancorp, 3.10%, 04/27/26 | | | 305 | | | | 288,393 | |
Wells Fargo & Co.: | | | | | | | | |
4.13%, 08/15/23 | | | 350 | | | | 354,274 | |
5.61%, 01/15/44 | | | 200 | | | | 220,926 | |
4.65%, 11/04/44 | | | 980 | | | | 953,893 | |
4.90%, 11/17/45 | | | 456 | | | | 461,992 | |
4.75%, 12/07/46 | | | 530 | | | | 527,968 | |
| | | | | | | | |
| | | | | | | 51,996,145 | |
| Beverages — 2.5% | | | | | | |
Anheuser-Busch InBev Finance, Inc.: | | | | | | | | |
2.65%, 02/01/21 | | | 2,725 | | | | 2,685,433 | |
3.30%, 02/01/23 | | | 3,675 | | | | 3,633,341 | |
3.65%, 02/01/26 | | | 1,993 | | | | 1,936,590 | |
4.90%, 02/01/46 | | | 675 | | | | 682,642 | |
Anheuser-Busch InBev Worldwide, Inc.,
4.60%, 04/15/48 | | | 115 | | | | 111,399 | |
Diageo Capital PLC, 3.00%, 05/18/20 | | | 245 | | | | 244,612 | |
| | | | | | | | |
| | | | | | | 9,294,017 | |
| Biotechnology — 1.7% | | | | | | |
AbbVie, Inc.: | | | | | | | | |
2.50%, 05/14/20 | | | 1,200 | | | | 1,186,551 | |
2.30%, 05/14/21 | | | 495 | | | | 481,783 | |
2.85%, 05/14/23 | | | 550 | | | | 529,568 | |
3.20%, 05/14/26 | | | 240 | | | | 223,472 | |
4.25%, 11/14/28 | | | 320 | | | | 316,382 | |
4.40%, 11/06/42 | | | 795 | | | | 736,088 | |
4.88%, 11/14/48 | | | 205 | | | | 201,698 | |
Amgen, Inc.: | | | | | | | | |
4.40%, 05/01/45 | | | 100 | | | | 96,803 | |
4.66%, 06/15/51 | | | 761 | | | | 752,871 | |
Baxalta, Inc., 4.00%, 06/23/25 | | | 283 | | | | 280,246 | |
Gilead Sciences, Inc.: | | | | | | | | |
3.25%, 09/01/22 | | | 135 | | | | 134,333 | |
4.50%, 02/01/45 | | | 323 | | | | 320,896 | |
4.75%, 03/01/46 | | | 391 | | | | 403,025 | |
4.15%, 03/01/47 | | | 640 | | | | 606,338 | |
| | | | | | | | |
| | | | | | | 6,270,054 | |
| Capital Markets — 5.9% | | | | | | |
Bank of New York Mellon Corp.: | | | | | | | | |
3.45%, 08/11/23 | | | 265 | | | | 263,713 | |
2.20%, 08/16/23 | | | 1,125 | | | | 1,056,333 | |
Credit Agricole SA: | | | | | | | | |
2.75%, 06/10/20 (c) | | | 1,000 | | | | 988,743 | |
3.75%, 04/24/23 (c) | | | 275 | | | | 269,875 | |
Credit Suisse AG: | | | | | | | | |
3.00%, 10/29/21 | | | 665 | | | | 655,670 | |
3.63%, 09/09/24 | | | 1,150 | | | | 1,133,417 | |
Credit Suisse Group AG: | | | | | | | | |
(3 mo. LIBOR US + 1.240%),
4.21%, 06/12/24 (a)(c) | | | 820 | | | | 817,192 | |
(3 mo. LIBOR US + 1.410%),
3.87%, 01/12/29 (a)(c) | | | 595 | | | | 559,494 | |
Credit Suisse Group Funding Guernsey, Ltd.: | | | | | | | | |
3.45%, 04/16/21 | | | 1,350 | | | | 1,344,588 | |
3.80%, 06/09/23 | | | 547 | | | | 540,403 | |
Deutsche Bank AG: | | | | | | | | |
4.25%, 10/14/21 | | | 180 | | | | 178,870 | |
(USD Swap Rate 11:00 am NY 1 + 2.553%), 4.88%, 12/01/32 (a) | | | 585 | | | | 519,802 | |
Goldman Sachs Group, Inc.: | | | | | | | | |
2.55%, 10/23/19 | | | 1,470 | | | | 1,463,362 | |
2.88%, 02/25/21 | | | 975 | | | | 961,988 | |
3.00%, 04/26/22 | | | 850 | | | | 832,774 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 37 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Capital Markets (continued) | |
4.25%, 10/21/25 | | $ | 310 | | | $ | 307,175 | |
(3 mo. LIBOR US + 1.301%),
4.22%, 05/01/29 (a) | | | 2,945 | | | | 2,901,877 | |
4.80%, 07/08/44 | | | 370 | | | | 377,608 | |
5.15%, 05/22/45 | | | 350 | | | | 357,203 | |
Morgan Stanley: | | | | | | | | |
5.63%, 09/23/19 | | | 265 | | | | 271,592 | |
2.65%, 01/27/20 | | | 775 | | | | 770,034 | |
2.50%, 04/21/21 | | | 550 | | | | 537,381 | |
5.50%, 07/28/21 | | | 10 | | | | 10,527 | |
(3 mo. LIBOR US + 1.400%),
3.74%, 10/24/23 (e) | | | 1,675 | | | | 1,721,181 | |
4.30%, 01/27/45 | | | 700 | | | | 674,404 | |
4.38%, 01/22/47 | | | 580 | | | | 563,639 | |
UBS Group Funding Switzerland AG,
3.00%, 04/15/21 (c) | | | 2,150 | | | | 2,118,104 | |
| | | | | | | | |
| | | | | | | 22,196,949 | |
| Chemicals — 0.6% | | | | | | |
Air Liquide Finance SA: | | | | | | | | |
2.25%, 09/27/23 (c) | | | 520 | | | | 485,802 | |
2.50%, 09/27/26 (c) | | | 290 | | | | 264,976 | |
E.I. du Pont de Nemours & Co., (3 mo. LIBOR US + 0.530%), 2.87%, 05/01/20 (e) | | | 560 | | | | 563,369 | |
Eastman Chemical Co., 4.65%, 10/15/44 | | | 350 | | | | 338,487 | |
Sherwin-Williams Co.: | | | | | | | | |
2.75%, 06/01/22 | | | 135 | | | | 130,927 | |
4.50%, 06/01/47 | | | 665 | | | | 639,589 | |
| | | | | | | | |
| | | | | | | 2,423,150 | |
| Commercial Services & Supplies — 0.7% | | | | | | |
Aviation Capital Group LLC: | | | | | | | | |
6.75%, 04/06/21 (c) | | | 1,575 | | | | 1,684,095 | |
3.88%, 05/01/23 (c) | | | 655 | | | | 648,117 | |
Republic Services, Inc., 3.95%, 05/15/28 | | | 300 | | | | 298,162 | |
| | | | | | | | |
| | | | | | | 2,630,374 | |
| Communications Equipment — 0.5% | | | | | | |
Cisco Systems, Inc.: | | | | | | | | |
1.85%, 09/20/21 | | | 1,025 | | | | 988,368 | |
2.50%, 09/20/26 | | | 1,035 | | | | 957,247 | |
| | | | | | | | |
| | | | | | | 1,945,615 | |
| Consumer Finance — 2.6% | | | | | | |
Capital One Financial Corp., 4.25%, 04/30/25 | | | 1,200 | | | | 1,195,091 | |
Capital One N.A.: | | | | | | | | |
2.35%, 01/31/20 | | | 825 | | | | 815,828 | |
2.95%, 07/23/21 | | | 735 | | | | 723,851 | |
Discover Financial Services, 4.10%, 02/09/27 | | | 475 | | | | 454,049 | |
Ford Motor Credit Co. LLC: | | | | | | | | |
3.34%, 03/18/21 | | | 1,105 | | | | 1,089,271 | |
3.81%, 10/12/21 | | | 1,285 | | | | 1,275,850 | |
4.14%, 02/15/23 | | | 425 | | | | 418,056 | |
4.39%, 01/08/26 | | | 201 | | | | 191,417 | |
General Motors Financial Co., Inc.: | | | | | | | | |
3.20%, 07/06/21 | | | 565 | | | | 557,935 | |
4.15%, 06/19/23 | | | 615 | | | | 612,540 | |
4.35%, 04/09/25 | | | 1,230 | | | | 1,206,979 | |
4.35%, 01/17/27 | | | 1,205 | | | | 1,151,224 | |
| | | | | | | | |
| | | | | | | 9,692,091 | |
| Containers & Packaging — 0.4% | | | | | | |
International Paper Co., 4.35%, 08/15/48 | | | 450 | | | | 410,510 | |
WestRock Co., 4.00%, 03/15/28 (c) | | | 1,165 | | | | 1,145,533 | |
| | | | | | | | |
| | | | | | | 1,556,043 | |
| Diversified Financial Services — 1.9% | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | | | | | | | | |
4.50%, 05/15/21 | | | 1,375 | | | | 1,396,339 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Diversified Financial Services (continued) | |
3.30%, 01/23/23 | | $ | 850 | | | $ | 818,944 | |
Charles Schwab Corp., 3.25%, 05/21/21 | | | 665 | | | | 665,082 | |
GE Capital International Funding Co.: | | | | | | | | |
2.34%, 11/15/20 | | | 980 | | | | 957,574 | |
4.42%, 11/15/35 | | | 1,386 | | | | 1,304,440 | |
Reckitt Benckiser Treasury Services PLC,
2.75%, 06/26/24 (c) | | | 2,140 | | | | 2,028,540 | |
| | | | | | | | |
| | | | | | | 7,170,919 | |
| Diversified Telecommunication Services — 3.1% | | | | |
AT&T Inc.: | | | | | | | | |
5.20%, 03/15/20 | | | 800 | | | | 823,349 | |
3.80%, 03/15/22 | | | 385 | | | | 386,457 | |
4.10%, 02/15/28 (c) | | | 150 | | | | 145,624 | |
4.30%, 02/15/30 (c) | | | 2,213 | | | | 2,128,236 | |
4.50%, 05/15/35 | | | 750 | | | | 700,698 | |
5.25%, 03/01/37 | | | 400 | | | | 398,660 | |
5.15%, 03/15/42 | | | 400 | | | | 386,062 | |
4.80%, 06/15/44 | | | 65 | | | | 59,946 | |
4.75%, 05/15/46 | | | 203 | | | | 185,468 | |
Telefonica Emisiones SAU: | | | | | | | | |
4.67%, 03/06/38 | | | 255 | | | | 239,572 | |
4.90%, 03/06/48 | | | 315 | | | | 293,385 | |
Verizon Communications, Inc.: | | | | | | | | |
3.38%, 02/15/25 | | | 459 | | | | 445,541 | |
4.50%, 08/10/33 | | | 550 | | | | 545,474 | |
4.27%, 01/15/36 | | | 1,125 | | | | 1,072,114 | |
5.25%, 03/16/37 | | | 745 | | | | 794,296 | |
4.81%, 03/15/39 | | | 865 | | | | 872,010 | |
3.85%, 11/01/42 | | | 950 | | | | 821,621 | |
5.01%, 04/15/49 | | | 795 | | | | 811,890 | |
4.67%, 03/15/55 | | | 647 | | | | 608,253 | |
| | | | | | | | |
| | | | | | | 11,718,656 | |
| Electric Utilities — 5.0% | | | | | | |
American Electric Power Co., Inc.,
2.15%, 11/13/20 | | | 825 | | | | 807,412 | |
American Transmission Systems, Inc.,
5.25%, 01/15/22 (c) | | | 400 | | | | 420,058 | |
DTE Electric Co., Series A, 4.05%, 05/15/48 | | | 186 | | | | 183,035 | |
Duke Energy Carolinas LLC, 3.75%, 06/01/45 | | | 420 | | | | 387,300 | |
Duke Energy Corp., 2.65%, 09/01/26 | | | 390 | | | | 352,618 | |
Duke Energy Florida LLC, 4.20%, 07/15/48 | | | 365 | | | | 363,123 | |
Duke Energy Progress LLC: | | | | | | | | |
3.70%, 09/01/28 | | | 690 | | | | 684,166 | |
6.30%, 04/01/38 | | | 750 | | | | 937,483 | |
Emera U.S. Finance LP, 2.15%, 06/15/19 | | | 185 | | | | 183,802 | |
Entergy Arkansas, Inc., 3.70%, 06/01/24 | | | 825 | | | | 828,578 | |
Entergy Corp., 4.00%, 07/15/22 | | | 700 | | | | 708,068 | |
Evergy Inc., 5.29%, 06/15/22 (f) | | | 745 | | | | 774,042 | |
Exelon Corp.: | | | | | | | | |
2.45%, 04/15/21 | | | 2,000 | | | | 1,943,692 | |
3.40%, 04/15/26 | | | 200 | | | | 191,376 | |
FirstEnergy Corp., 4.85%, 07/15/47 | | | 500 | | | | 508,630 | |
Florida Power & Light Co., 5.95%, 02/01/38 | | | 800 | | | | 977,907 | |
Georgia Power Co., 2.00%, 09/08/20 | | | 635 | | | | 619,099 | |
Kentucky Utilities Co., 5.13%, 11/01/40 | | | 375 | | | | 426,311 | |
Mid-Atlantic Interstate Transmission LLC,
4.10%, 05/15/28 (c) | | | 345 | | | | 341,874 | |
NextEra Energy Capital Holdings, Inc.,
3.55%, 05/01/27 | | | 115 | | | | 110,644 | |
Northern States Power Co., 6.20%, 07/01/37 | | | 725 | | | | 911,909 | |
Ohio Power Co., Series D, 6.60%, 03/01/33 | | | 675 | | | | 846,295 | |
Oncor Electric Delivery Co. LLC: | | | | | | | | |
5.30%, 06/01/42 | | | 660 | | | | 761,153 | |
4.10%, 11/15/48 (c) | | | 360 | | | | 356,595 | |
PacifiCorp, 6.00%, 01/15/39 | | | 450 | | | | 557,267 | |
Progress Energy, Inc.: | | | | | | | | |
4.88%, 12/01/19 | | | 1,075 | | | | 1,096,278 | |
| | |
| 38 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Electric Utilities (continued) | |
3.15%, 04/01/22 | | $ | 775 | | | $ | 761,873 | |
Southern Co.: | | | | | | | | |
2.35%, 07/01/21 | | | 785 | | | | 761,162 | |
2.95%, 07/01/23 | | | 740 | | | | 710,853 | |
Trans-Allegheny Interstate Line Co.,
3.85%, 06/01/25 (c) | | | 445 | | | | 440,638 | |
| | | | | | | | |
| | | | | | | 18,953,241 | |
| Energy Equipment & Services — 0.5% | |
Halliburton Co.: | | | | | | | | |
3.80%, 11/15/25 | | | 1,545 | | | | 1,531,767 | |
5.00%, 11/15/45 | | | 310 | | | | 331,065 | |
| | | | | | | | |
| | | | | | | 1,862,832 | |
| Equity Real Estate Investment Trusts (REITs) — 2.3% | | | | |
American Tower Corp.: | | | | | | | | |
2.80%, 06/01/20 | | | 1,000 | | | | 990,599 | |
3.30%, 02/15/21 | | | 265 | | | | 263,387 | |
4.70%, 03/15/22 | | | 525 | | | | 542,188 | |
3.00%, 06/15/23 | | | 1,175 | | | | 1,131,208 | |
AvalonBay Communities, Inc., 4.20%, 12/15/23 | | | 1,000 | | | | 1,024,065 | |
Crown Castle International Corp.: | | | | | | | | |
3.40%, 02/15/21 | | | 1,453 | | | | 1,449,273 | |
2.25%, 09/01/21 | | | 1,765 | | | | 1,695,354 | |
5.25%, 01/15/23 | | | 807 | | | | 846,031 | |
Host Hotels & Resorts LP, 6.00%, 10/01/21 | | | 725 | | | | 763,823 | |
| | | | | | | | |
| | | | | | | 8,705,928 | |
| Food & Staples Retailing — 3.2% | |
CVS Health Corp.: | | | | | | | | |
2.80%, 07/20/20 | | | 2,000 | | | | 1,981,431 | |
4.10%, 03/25/25 | | | 2,185 | | | | 2,179,150 | |
4.30%, 03/25/28 | | | 2,635 | | | | 2,614,339 | |
4.78%, 03/25/38 | | | 320 | | | | 318,467 | |
5.30%, 12/05/43 | | | 175 | | | | 182,886 | |
5.13%, 07/20/45 | | | 360 | | | | 370,093 | |
5.05%, 03/25/48 | | | 235 | | | | 240,368 | |
Kroger Co., 4.45%, 02/01/47 | | | 365 | | | | 334,211 | |
Walgreens Boots Alliance, Inc.: | | | | | | | | |
3.45%, 06/01/26 | | | 195 | | | | 185,045 | |
4.80%, 11/18/44 | | | 255 | | | | 247,550 | |
Walmart, Inc.: | | | | | | | | |
2.65%, 12/15/24 | | | 691 | | | | 661,432 | |
3.55%, 06/26/25 | | | 273 | | | | 274,359 | |
3.70%, 06/26/28 | | | 1,875 | | | | 1,875,506 | |
4.05%, 06/29/48 | | | 650 | | | | 650,957 | |
| | | | | | | | |
| | | | | | | 12,115,794 | |
| Food Products — 1.0% | |
General Mills, Inc.: | | | | | | | | |
3.20%, 04/16/21 | | | 145 | | | | 144,060 | |
3.70%, 10/17/23 | | | 240 | | | | 238,530 | |
4.20%, 04/17/28 | | | 120 | | | | 118,164 | |
4.70%, 04/17/48 | | | 235 | | | | 225,439 | |
Kraft Heinz Foods Co.: | | | | | | | | |
5.38%, 02/10/20 | | | 1,290 | | | | 1,326,669 | |
3.00%, 06/01/26 | | | 710 | | | | 648,091 | |
5.00%, 06/04/42 | | | 250 | | | | 238,709 | |
4.38%, 06/01/46 | | | 365 | | | | 322,367 | |
Nestle Holdings, Inc., 4.00%, 09/24/48 (c) | | | 645 | | | | 630,550 | |
| | | | | | | | |
| | | | | | | 3,892,579 | |
| Gas Utilities — 0.2% | |
Fortis, Inc., 2.10%, 10/04/21 | | | 945 | | | | 902,770 | |
| | | | | | | | |
| Health Care Equipment & Supplies — 1.5% | |
Abbott Laboratories: | | | | | | | | |
3.75%, 11/30/26 | | | 1,000 | | | | 997,194 | |
4.75%, 11/30/36 | | | 385 | | | | 409,733 | |
4.75%, 04/15/43 | | | 117 | | | | 122,638 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Health Care Equipment & Supplies (continued) | |
4.90%, 11/30/46 | | $ | 260 | | | $ | 282,370 | |
Becton Dickinson and Co.: | | | | | | | | |
2.68%, 12/15/19 | | | 88 | | | | 87,506 | |
(3 mo. LIBOR US + 1.030%), 3.35%, 06/06/22 (e) | | | 1,525 | | | | 1,533,458 | |
3.70%, 06/06/27 | | | 515 | | | | 492,462 | |
Medtronic, Inc.: | | | | | | | | |
3.15%, 03/15/22 | | | 960 | | | | 953,483 | |
4.63%, 03/15/44 | | | 500 | | | | 527,287 | |
4.63%, 03/15/45 | | | 275 | | | | 291,261 | |
| | | | | | | | |
| | | | | | | 5,697,392 | |
| Health Care Providers & Services — 2.4% | | | | |
Aetna, Inc.: | | | | | | | | |
2.80%, 06/15/23 | | | 350 | | | | 335,355 | |
3.50%, 11/15/24 | | | 395 | | | | 386,316 | |
Anthem, Inc.: | | | | | | | | |
4.35%, 08/15/20 | | | 700 | | | | 714,245 | |
2.50%, 11/21/20 | | | 285 | | | | 280,490 | |
5.10%, 01/15/44 | | | 300 | | | | 310,969 | |
Coventry Health Care, Inc., 5.45%, 06/15/21 | | | 850 | | | | 890,071 | |
Halfmoon Parent, Inc., 3.20%, 09/17/20 (c) | | | 1,870 | | | | 1,863,137 | |
HCA, Inc.: | | | | | | | | |
5.25%, 06/15/26 | | | 563 | | | | 579,186 | |
5.50%, 06/15/47 | | | 559 | | | | 566,686 | |
UnitedHealth Group, Inc.: | | | | | | | | |
3.35%, 07/15/22 | | | 75 | | | | 74,896 | |
2.88%, 03/15/23 | | | 1,175 | | | | 1,145,689 | |
3.75%, 07/15/25 | | | 770 | | | | 773,662 | |
4.63%, 11/15/41 | | | 645 | | | | 677,154 | |
4.75%, 07/15/45 | | | 120 | | | | 128,423 | |
4.25%, 06/15/48 | | | 200 | | | | 200,731 | |
| | | | | | | | |
| | | | | | | 8,927,010 | |
| Hotels, Restaurants & Leisure — 0.4% | | | | |
McDonald’s Corp.: | | | | | | | | |
2.75%, 12/09/20 | | | 85 | | | | 84,379 | |
4.88%, 12/09/45 | | | 365 | | | | 381,712 | |
4.45%, 03/01/47 | | | 455 | | | | 446,792 | |
4.45%, 09/01/48 | | | 675 | | | | 661,844 | |
| | | | | | | | |
| | | | | | | 1,574,727 | |
| Household Durables — 0.2% | | | | |
Newell Brands, Inc., 3.85%, 04/01/23 | | | 850 | | | | 831,933 | |
| | | | | | | | |
| Industrial Conglomerates — 0.4% | | | | |
Eaton Corp., 4.15%, 11/02/42 | | | 375 | | | | 355,223 | |
General Electric Co.: | | | | | | | | |
6.75%, 03/15/32 | | | 308 | | | | 372,459 | |
6.15%, 08/07/37 | | | 205 | | | | 234,800 | |
Tyco Electronics Group SA, 3.50%, 02/03/22 | | | 600 | | | | 599,488 | |
| | | | | | | | |
| | | | | | | 1,561,970 | |
| Insurance — 1.5% | | | | |
American International Group, Inc.: | | | | | | | | |
6.40%, 12/15/20 | | | 485 | | | | 516,028 | |
3.30%, 03/01/21 | | | 220 | | | | 219,545 | |
3.90%, 04/01/26 | | | 740 | | | | 723,439 | |
Aon PLC, 4.00%, 11/27/23 | | | 1,760 | | | | 1,778,693 | |
Marsh & McLennan Cos., Inc.: | | | | | | | | |
2.35%, 03/06/20 | | | 1,000 | | | | 986,709 | |
3.75%, 03/14/26 | | | 600 | | | | 589,233 | |
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (c) | | | 90 | | | | 118,117 | |
Willis North America, Inc., 4.50%, 09/15/28 | | | 670 | | | | 669,810 | |
| | | | | | | | |
| | | | | | | 5,601,574 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 39 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Internet & Direct Marketing Retail — 0.8% | |
Amazon.com, Inc.: | | | | | | | | |
2.40%, 02/22/23 | | $ | 550 | | | $ | 529,161 | |
2.80%, 08/22/24 | | | 525 | | | | 506,531 | |
3.15%, 08/22/27 | | | 1,975 | | | | 1,892,358 | |
| | | | | | | | |
| | | | | | | 2,928,050 | |
| IT Services — 0.9% | | | | | | |
Fidelity National Information Services, Inc.: | | | | | | | | |
3.63%, 10/15/20 | | | 1,590 | | | | 1,598,850 | |
3.50%, 04/15/23 | | | 330 | | | | 326,131 | |
5.00%, 10/15/25 | | | 119 | | | | 125,299 | |
4.75%, 05/15/48 | | | 240 | | | | 238,022 | |
Visa, Inc.: | | | | | | | | |
2.80%, 12/14/22 | | | 510 | | | | 499,878 | |
3.15%, 12/14/25 | | | 620 | | | | 601,165 | |
| | | | | | | | |
| | | | | | | 3,389,345 | |
| Life Sciences Tools & Services — 0.7% | | | | | | |
Life Technologies Corp., 6.00%, 03/01/20 | | | 820 | | | | 849,166 | |
Thermo Fisher Scientific, Inc., 4.50%, 03/01/21 | | | 1,850 | | | | 1,899,307 | |
| | | | | | | | |
| | | | | | | 2,748,473 | |
| Machinery — 0.1% | | | | | | |
John Deere Capital Corp., 2.65%, 06/24/24 | | | 215 | | | | 204,400 | |
| | | | | | | | |
| Media — 3.8% | | | | | | |
21st Century Fox America, Inc., 6.40%, 12/15/35 | | | 306 | | | | 389,983 | |
Charter Communications Operating LLC/Charter Communications Operating Capital: | | | | | | | | |
4.46%, 07/23/22 | | | 1,075 | | | | 1,092,999 | |
4.50%, 02/01/24 | | | 925 | | | | 930,669 | |
6.38%, 10/23/35 | | | 325 | | | | 349,537 | |
6.48%, 10/23/45 | | | 2,100 | | | | 2,257,465 | |
5.75%, 04/01/48 | | | 385 | | | | 385,244 | |
6.83%, 10/23/55 | | | 57 | | | | 62,914 | |
Comcast Corp.: | | | | | | | | |
3.15%, 03/01/26 | | | 395 | | | | 372,914 | |
4.25%, 01/15/33 | | | 650 | | | | 637,205 | |
6.50%, 11/15/35 | | | 125 | | | | 150,843 | |
4.50%, 01/15/43 | | | 225 | | | | 216,328 | |
4.60%, 08/15/45 | | | 230 | | | | 225,216 | |
4.00%, 03/01/48 | | | 340 | | | | 305,159 | |
Cox Communications, Inc.: | | | | | | | | |
3.35%, 09/15/26 (c) | | | 460 | | | | 427,289 | |
3.50%, 08/15/27 (c) | | | 1,105 | | | | 1,038,082 | |
Discovery Communications LLC: | | | | | | | | |
2.95%, 03/20/23 | | | 345 | | | | 329,975 | |
3.80%, 03/13/24 | | | 875 | | | | 858,168 | |
5.20%, 09/20/47 | | | 335 | | | | 327,542 | |
Grupo Televisa SAB, 6.63%, 01/15/40 | | | 205 | | | | 233,111 | |
Interpublic Group of Cos., Inc.: | | | | | | | | |
3.50%, 10/01/20 | | | 115 | | | | 115,010 | |
3.75%, 10/01/21 | | | 85 | | | | 85,168 | |
4.65%, 10/01/28 | | | 695 | | | | 696,039 | |
5.40%, 10/01/48 | | | 115 | | | | 114,320 | |
Sky PLC, 2.63%, 09/16/19 (c) | | | 200 | | | | 199,031 | |
Time Warner Cable LLC: | | | | | | | | |
8.25%, 04/01/19 | | | 695 | | | | 712,764 | |
4.50%, 09/15/42 | | | 137 | | | | 116,915 | |
Viacom, Inc.: | | | | | | | | |
4.38%, 03/15/43 | | | 199 | | | | 173,671 | |
5.85%, 09/01/43 | | | 274 | | | | 289,885 | |
Warner Media LLC: | | | | | | | | |
3.60%, 07/15/25 | | | 305 | | | | 292,262 | |
3.88%, 01/15/26 | | | 592 | | | | 574,439 | |
3.80%, 02/15/27 | | | 315 | | | | 301,316 | |
| | | | | | | | |
| | | | | | | 14,261,463 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Metals & Mining — 0.3% | |
Rio Tinto Finance USA Ltd.: | | | | | | | | |
3.75%, 06/15/25 | | $ | 74 | | | $ | 74,307 | |
7.13%, 07/15/28 | | | 550 | | | | 685,508 | |
Southern Copper Corp., 5.88%, 04/23/45 | | | 425 | | | | 465,269 | |
| | | | | | | | |
| | | | | | | 1,225,084 | |
| Multi-Utilities — 2.1% | | | | | | |
CMS Energy Corp., 5.05%, 03/15/22 | | | 1,644 | | | | 1,716,731 | |
Dominion Energy Gas Holdings LLC, 2.50%, 12/15/19 | | | 845 | | | | 838,607 | |
NiSource, Inc.: | | | | | | | | |
5.25%, 02/15/43 | | | 440 | | | | 465,290 | |
3.95%, 03/30/48 | | | 450 | | | | 403,887 | |
Pacific Gas & Electric Co.: | | | | | | | | |
4.25%, 08/01/23 (c) | | | 1,160 | | | | 1,165,974 | |
3.85%, 11/15/23 | | | 575 | | | | 570,390 | |
4.65%, 08/01/28 (c) | | | 235 | | | | 236,679 | |
4.30%, 03/15/45 | | | 240 | | | | 219,669 | |
4.25%, 03/15/46 | | | 152 | | | | 139,387 | |
4.00%, 12/01/46 | | | 149 | | | | 130,484 | |
Sempra Energy, 2.40%, 02/01/20 | | | 520 | | | | 513,517 | |
Virginia Electric & Power Co.: | | | | | | | | |
6.00%, 01/15/36 | | | 900 | | | | 1,068,793 | |
4.45%, 02/15/44 | | | 350 | | | | 354,282 | |
WEC Energy Group, Inc., 3.38%, 06/15/21 | | | 235 | | | | 235,053 | |
| | | | | | | | |
| | | | | | | 8,058,743 | |
| Oil, Gas & Consumable Fuels — 8.7% | | | | | | |
Andeavor Logistics LP/Tesoro Logistics Finance Corp.: | | | | | | | | |
6.25%, 10/15/22 | | | 336 | | | | 345,240 | |
3.50%, 12/01/22 | | | 70 | | | | 68,927 | |
4.25%, 12/01/27 | | | 180 | | | | 175,877 | |
Apache Corp., 4.38%, 10/15/28 | | | 1,085 | | | | 1,064,136 | |
Canadian Natural Resources Ltd., 3.85%, 06/01/27 | | | 650 | | | | 633,015 | |
Cenovus Energy, Inc., 4.25%, 04/15/27 | | | 425 | | | | 410,826 | |
Cimarex Energy Co., 3.90%, 05/15/27 | | | 940 | | | | 897,987 | |
Concho Resources, Inc., 3.75%, 10/01/27 | | | 1,205 | | | | 1,150,170 | |
ConocoPhillips Co., 4.95%, 03/15/26 | | | 600 | | | | 647,643 | |
Continental Resources, Inc.: | | | | | | | | |
4.50%, 04/15/23 | | | 1,330 | | | | 1,353,411 | |
3.80%, 06/01/24 | | | 725 | | | | 710,980 | |
4.90%, 06/01/44 | | | 530 | | | | 523,357 | |
Devon Energy Corp.: | | | | | | | | |
3.25%, 05/15/22 | | | 731 | | | | 718,155 | |
5.00%, 06/15/45 | | | 204 | | | | 200,949 | |
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22 | | | 485 | | | | 552,835 | |
Encana Corp., 6.50%, 05/15/19 | | | 750 | | | | 766,243 | |
Energy Transfer Partners LP: | | | | | | | | |
5.20%, 02/01/22 | | | 5 | | | | 5,192 | |
6.50%, 02/01/42 | | | 560 | | | | 615,015 | |
5.30%, 04/15/47 | | | 36 | | | | 34,878 | |
Energy Transfer Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | | | 1,020 | | | | 1,056,390 | |
Enterprise Products Operating LLC: | | | | | | | | |
5.70%, 02/15/42 | | | 435 | | | | 492,078 | |
4.45%, 02/15/43 | | | 854 | | | | 828,010 | |
4.25%, 02/15/48 | | | 340 | | | | 320,062 | |
Hess Corp., 5.80%, 04/01/47 | | | 600 | | | | 631,897 | |
Kerr-McGee Corp., 7.88%, 09/15/31 | | | 450 | | | | 560,472 | |
Kinder Morgan Energy Partners LP: | | | | | | | | |
6.50%, 04/01/20 | | | 1,515 | | | | 1,582,954 | |
7.30%, 08/15/33 | | | 800 | | | | 948,405 | |
5.00%, 03/01/43 | | | 490 | | | | 479,564 | |
5.50%, 03/01/44 | | | 525 | | | | 546,049 | |
| | |
| 40 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | |
Kinder Morgan, Inc.: | | | | | | | | |
6.50%, 09/15/20 | | $ | 925 | | | $ | 977,694 | |
3.15%, 01/15/23 | | | 750 | | | | 729,616 | |
Marathon Oil Corp.: | | | | | | | | |
2.80%, 11/01/22 | | | 1,200 | | | | 1,153,347 | |
4.40%, 07/15/27 | | | 735 | | | | 734,926 | |
Marathon Petroleum Corp., 4.75%, 09/15/44 | | | 381 | | | | 368,324 | |
MPLX LP, 4.70%, 04/15/48 | | | 595 | | | | 554,478 | |
Noble Energy, Inc., 5.25%, 11/15/43 | | | 425 | | | | 419,190 | |
Pioneer Natural Resources Co.,
3.45%, 01/15/21 | | | 255 | | | | 254,933 | |
Plains All American Pipeline LP/PAA Finance Corp.: | | | | | | | | |
2.60%, 12/15/19 | | | 900 | | | | 893,004 | |
4.90%, 02/15/45 | | | 300 | | | | 278,337 | |
Sabine Pass Liquefaction LLC: | | | | | | | | |
5.63%, 02/01/21 | | | 750 | | | | 780,113 | |
5.75%, 05/15/24 | | | 425 | | | | 456,225 | |
Schlumberger Norge AS, 4.20%, 01/15/21 (c) | | | 975 | | | | 989,688 | |
Spectra Energy Partners LP, 3.38%, 10/15/26 | | | 880 | | | | 828,612 | |
Sunoco Logistics Partners Operations LP, 5.35%, 05/15/45 | | | 800 | | | | 780,030 | |
Texas Eastern Transmission LP,
2.80%, 10/15/22 (c) | | | 1,400 | | | | 1,342,027 | |
TransCanada PipeLines Ltd., 4.88%, 05/15/48 | | | 165 | | | | 168,648 | |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 | | | 265 | | | | 258,942 | |
Western Gas Partners LP, 5.38%, 06/01/21 | | | 1,025 | | | | 1,059,425 | |
Williams Cos., Inc., 4.50%, 11/15/23 | | | 1,300 | | | | 1,323,997 | |
| | | | | | | | |
| | | | | | | 32,672,273 | |
| | |
| Pharmaceuticals — 3.0% | | | | | | |
Allergan Funding SCS, 3.45%, 03/15/22 | | | 2,835 | | | | 2,815,999 | |
Bayer U.S. Finance II LLC: | | | | | | | | |
3.88%, 12/15/23 (c) | | | 825 | | | | 819,464 | |
4.25%, 12/15/25 (c) | | | 1,150 | | | | 1,142,932 | |
Johnson & Johnson: | | | | | | | | |
2.45%, 03/01/26 | | | 510 | | | | 476,840 | |
3.55%, 03/01/36 | | | 560 | | | | 534,981 | |
Merck & Co., Inc., 2.35%, 02/10/22 | | | 310 | | | | 301,799 | |
Mylan NV, 2.50%, 06/07/19 | | | 150 | | | | 149,451 | |
Shire Acquisitions Investments Ireland DAC: | | | | | | | | |
1.90%, 09/23/19 | | | 1,000 | | | | 989,308 | |
2.40%, 09/23/21 | | | 1,310 | | | | 1,265,313 | |
2.88%, 09/23/23 | | | 1,445 | | | | 1,376,126 | |
Teva Pharmaceutical Finance IV BV,
3.65%, 11/10/21 | | | 514 | | | | 496,652 | |
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 07/21/21 | | | 415 | | | | 389,975 | |
Wyeth LLC, 5.95%, 04/01/37 | | | 425 | | | | 515,183 | |
| | | | | | | | |
| | | | | | | 11,274,023 | |
| | |
| Road & Rail — 1.8% | | | | | | |
Burlington Northern Santa Fe LLC: | | | | | | | | |
5.75%, 05/01/40 | | | 500 | | | | 598,429 | |
4.15%, 12/15/48 | | | 385 | | | | 380,711 | |
CSX Corp.: | | | | | | | | |
3.80%, 03/01/28 | | | 480 | | | | 473,172 | |
4.30%, 03/01/48 | | | 355 | | | | 347,523 | |
Kansas City Southern, 2.35%, 05/15/20 | | | 370 | | | | 362,870 | |
Norfolk Southern Corp.: | | | | | | | | |
3.80%, 08/01/28 | | | 875 | | | | 865,943 | |
3.94%, 11/01/47 | | | 210 | | | | 195,028 | |
4.15%, 02/28/48 | | | 140 | | | | 135,273 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 02/01/22 (c) | | | 1,000 | | | | 986,012 | |
Ryder System, Inc., 2.88%, 09/01/20 | | | 1,000 | | | | 992,884 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Road & Rail (continued) | | | | | | |
Union Pacific Corp.: | | | | | | | | |
4.05%, 03/01/46 | | $ | 355 | | | $ | 333,890 | |
4.50%, 09/10/48 | | | 680 | | | | 693,528 | |
4.80%, 09/10/58 | | | 350 | | | | 361,801 | |
| | | | | | | | |
| | | | | | | 6,727,064 | |
| |
| Semiconductors & Semiconductor Equipment — 2.1% | | | | |
Analog Devices, Inc.: | | | | | | | | |
2.50%, 12/05/21 | | | 340 | | | | 327,157 | |
3.50%, 12/05/26 | | | 80 | | | | 76,621 | |
Applied Materials, Inc., 3.30%, 04/01/27 | | | 705 | | | | 678,938 | |
Broadcom Corp./Broadcom Cayman Finance Ltd.: | | | | | | | | |
2.38%, 01/15/20 | | | 2,035 | | | | 2,011,125 | |
3.00%, 01/15/22 | | | 625 | | | | 608,913 | |
KLA-Tencor Corp., 4.65%, 11/01/24 | | | 40 | | | | 40,988 | |
NVIDIA Corp.: | | | | | | | | |
2.20%, 09/16/21 | | | 490 | | | | 475,847 | |
3.20%, 09/16/26 | | | 1,185 | | | | 1,132,919 | |
NXP BV/NXP Funding LLC, 4.63%, 06/01/23 (c) | | | 775 | | | | 785,656 | |
QUALCOMM, Inc.: | | | | | | | | |
3.25%, 05/20/27 | | | 1,250 | | | | 1,176,407 | |
4.30%, 05/20/47 | | | 510 | | | | 479,268 | |
| | | | | | | | |
| | | | | | | 7,793,839 | |
| | |
| Software — 2.1% | | | | | | |
Microsoft Corp.: | | | | | | | | |
2.88%, 02/06/24 | | | 990 | | | | 967,828 | |
2.40%, 08/08/26 | | | 1,235 | | | | 1,138,737 | |
4.10%, 02/06/37 | | | 530 | | | | 547,462 | |
3.75%, 02/12/45 | | | 466 | | | | 451,632 | |
4.45%, 11/03/45 | | | 517 | | | | 553,638 | |
3.70%, 08/08/46 | | | 370 | | | | 353,897 | |
Oracle Corp.: | | | | | | | | |
2.40%, 09/15/23 | | | 2,050 | | | | 1,955,954 | |
2.65%, 07/15/26 | | | 1,190 | | | | 1,104,472 | |
3.25%, 11/15/27 | | | 800 | | | | 769,769 | |
4.00%, 11/15/47 | | | 295 | | | | 280,124 | |
| | | | | | | | |
| | | | | | | 8,123,513 | |
| | |
| Specialty Retail — 0.3% | | | | | | |
Home Depot, Inc.: | | | | | | | | |
4.40%, 03/15/45 | | | 215 | | | | 223,438 | |
4.25%, 04/01/46 | | | 335 | | | | 342,147 | |
Lowe’s Cos., Inc., 3.70%, 04/15/46 | | | 425 | | | | 385,919 | |
QVC, Inc., 4.38%, 03/15/23 | | | 250 | | | | 246,933 | |
| | | | | | | | |
| | | | | | | 1,198,437 | |
| |
| Technology Hardware, Storage & Peripherals — 2.0% | | | | |
Apple Inc.: | | | | | | | | |
(3 mo. LIBOR US + 0.500%),
2.84%, 02/09/22 (e) | | | 1,725 | | | | 1,747,471 | |
2.85%, 02/23/23 | | | 1,010 | | | | 994,266 | |
3.25%, 02/23/26 | | | 855 | | | | 835,721 | |
2.45%, 08/04/26 | | | 1,050 | | | | 968,298 | |
2.90%, 09/12/27 | | | 375 | | | | 353,413 | |
4.38%, 05/13/45 | | | 960 | | | | 998,157 | |
3.85%, 08/04/46 | | | 730 | | | | 700,044 | |
Dell International LLC/EMC Corp.,
8.35%, 07/15/46 (c) | | | 595 | | | | 740,629 | |
Hewlett Packard Enterprise Co., 3.50%, 10/05/21 | | | 125 | | | | 124,865 | |
| | | | | | | | |
| | | | | | | 7,462,864 | |
| | |
| Tobacco — 1.9% | | | | | | |
Altria Group, Inc.: | | | | | | | | |
2.63%, 09/16/26 | | | 210 | | | | 191,731 | |
4.50%, 05/02/43 | | | 75 | | | | 72,445 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 41 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Tobacco (continued) | | | | | | |
BAT Capital Corp.: | | | | | | | | |
3.22%, 08/15/24 (c) | | $ | 1,235 | | | $ | 1,177,125 | |
3.56%, 08/15/27 (c) | | | 640 | | | | 595,999 | |
BAT International Finance PLC,
2.75%, 06/15/20 (c) | | | 1,000 | | | | 989,570 | |
Philip Morris International, Inc.,
3.88%, 08/21/42 | | | 105 | | | | 94,252 | |
Reynolds American, Inc.: | | | | | | | | |
4.00%, 06/12/22 | | | 730 | | | | 734,507 | |
4.85%, 09/15/23 | | | 220 | | | | 228,266 | |
4.45%, 06/12/25 | | | 2,000 | | | | 2,014,739 | |
5.70%, 08/15/35 | | | 550 | | | | 587,429 | |
7.00%, 08/04/41 | | | 350 | | | | 415,581 | |
| | | | | | | | |
| | | | | | | 7,101,644 | |
| | |
| Trading Companies & Distributors — 0.9% | | | | | | |
Air Lease Corp.: | | | | | | | | |
2.50%, 03/01/21 | | | 905 | | | | 884,006 | |
3.38%, 06/01/21 | | | 540 | | | | 536,525 | |
3.88%, 07/03/23 | | | 900 | | | | 891,876 | |
Intercontinental Exchange, Inc.,
4.25%, 09/21/48 | | | 320 | | | | 314,880 | |
International Lease Finance Corp.,
5.88%, 04/01/19 | | | 885 | | | | 897,215 | |
| | | | | | | | |
| | | | | | | 3,524,502 | |
| |
| Wireless Telecommunication Services — 0.6% | | | | |
America Movil SAB de CV, 5.00%, 03/30/20 | | | 468 | | | | 479,326 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
3.36%, 03/20/23 (c) | | | 255 | | | | 254,044 | |
Vodafone Group PLC: | | | | | | | | |
3.75%, 01/16/24 | | | 850 | | | | 840,368 | |
4.38%, 02/19/43 | | | 327 | | | | 294,066 | |
5.25%, 05/30/48 | | | 320 | | | | 321,278 | |
| | | | | | | | |
| | | | | | | 2,189,082 | |
| | | | | | | | |
Total Corporate Bonds — 88.8%
(Cost: $338,679,989) | | | | | | | 335,112,954 | |
| | | | | | | | |
| |
Foreign Agency Obligations — 1.4% | | | | | |
| | |
| China — 0.2% | | | | | | |
CNOOC Finance 2013 Ltd., 3.00%, 05/09/23 | | | 800 | | | | 767,783 | |
| | | | | | | | |
| | |
| Mexico — 1.2% | | | | | | |
Petroleos Mexicanos: | | | | | | | | |
5.50%, 01/21/21 | | | 1,300 | | | | 1,342,133 | |
6.38%, 02/04/21 | | | 633 | | | | 662,434 | |
5.38%, 03/13/22 | | | 155 | | | | 158,875 | |
4.63%, 09/21/23 | | | 825 | | | | 815,925 | |
6.38%, 01/23/45 | | | 475 | | | | 438,306 | |
6.35%, 02/12/48 (c) | | | 1,060 | | | | 967,950 | |
| | | | | | | | |
| | | | | | | 4,385,623 | |
| | | | | | | | |
Total Foreign Agency Obligations — 1.4%
(Cost: $5,305,028) | | | | | | | 5,153,406 | |
| | | | | | | | |
|
Foreign Government Obligations — 1.8% | |
| | |
| Colombia — 0.2% | | | | | | |
Republic of Colombia: | | | | | | | | |
5.63%, 02/26/44 | | | 413 | | | | 445,524 | |
5.00%, 06/15/45 | | | 260 | | | | 260,325 | |
| | | | | | | | |
| | | | | | | 705,849 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Indonesia — 0.3% | | | | | | |
Republic of Indonesia: | | | | | | | | |
4.13%, 01/15/25 (c) | | $ | 350 | | | $ | 345,188 | |
3.50%, 01/11/28 | | | 975 | | | | 910,406 | |
| | | | | | | | |
| | | | | | | 1,255,594 | |
| | |
| Mexico — 0.7% | | | | | | |
United Mexican States: | | | | | | | | |
4.15%, 03/28/27 | | | 470 | | | | 461,540 | |
4.75%, 03/08/44 | | | 1,123 | | | | 1,070,780 | |
4.60%, 02/10/48 | | | 925 | | | | 867,650 | |
| | | | | | | | |
| | | | | | | 2,399,970 | |
| | |
| Peru — 0.1% | | | | | | |
Republic of Peru, 5.63%, 11/18/50 | | | 290 | | | | 344,013 | |
| | | | | | | | |
| | |
| Poland — 0.1% | | | | | | |
Republic of Poland, 3.25%, 04/06/26 | | | 440 | | | | 426,417 | |
| | | | | | | | |
| | |
| Uruguay — 0.4% | | | | | | |
Republic of Uruguay: | | | | | | | | |
4.38%, 10/27/27 | | | 1,190 | | | | 1,209,635 | |
5.10%, 06/18/50 | | | 375 | | | | 382,500 | |
| | | | | | | | |
| | | | | | | 1,592,135 | |
Total Foreign Government Obligations — 1.8%
(Cost: $6,741,425) | | | | 6,723,978 | |
| | | | | | | | |
| |
Taxable Municipal Bonds — 2.3% | | | | | |
Chicago O’Hare International Airport RB, 6.40%, 01/01/40 | | | 1,000 | | | | 1,284,640 | |
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45 | | | 1,075 | | | | 1,478,308 | |
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39 | | | 1,125 | | | | 1,604,363 | |
Port Authority of New York & New Jersey RB, 4.46%, 10/01/62 | | | 1,300 | | | | 1,347,151 | |
State of California GO: | | | | | | | | |
7.30%, 10/01/39 | | | 510 | | | | 712,067 | |
7.63%, 03/01/40 | | | 1,125 | | | | 1,638,169 | |
7.60%, 11/01/40 | | | 430 | | | | 639,083 | |
| | | | | | | | |
Total Taxable Municipal Bonds — 2.3%
(Cost: $7,426,323) | | | | 8,703,781 | |
| | | | | | | | |
Total Long-Term Investments — 98.2%
(Cost: $373,144,653) | | | | 370,631,820 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
Short-Term Securities — 1.0% | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.91% (g) | | | 3,655,153 | | | | 3,655,153 | |
| | | | | | | | |
Total Short-Term Securities — 1.0%
(Cost: $3,655,153) | | | | 3,655,153 | |
| | | | | | | | |
| | |
Options Purchased — 0.0% | | | | | | | | |
(Cost: $173,230) | | | | | | | 178,360 | |
| | | | | | | | |
| | |
Total Investments — 99.2%
(Cost: $376,973,036) | | | | | | | 374,465,333 | |
Other Assets Less Liabilities — 0.8% | | | | 2,836,145 | |
| | | | | | | | |
Net Assets — 100.0% | | | | | | $ | 377,301,478 | |
| | | | | | | | |
| | |
| 42 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio |
| (a) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (b) | Perpetual security with no stated maturity date. |
| (c) | 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. |
| (d) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
| (e) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (f) | Step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate as of period end. |
| (g) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | | | | | | |
| |
| Description | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount
(000) | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| |
Long Contracts | | | | | | | | | | | | | | | | |
| U.S. Treasury Bonds (30 Year) | | | 48 | | | | 12/19/18 | | | $ | 6,744 | | | $ | (127,694 | ) |
| U.S. Ultra Treasury Bonds | | | 70 | | | | 12/19/18 | | | | 10,800 | | | | (354,315 | ) |
| U.S. Treasury Notes (2 Year) | | | 48 | | | | 12/31/18 | | | | 10,115 | | | | (17,185 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (499,194 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
| U.S. Treasury Notes (10 Year) | | | 26 | | | | 12/19/18 | | | | 3,088 | | | | 15,904 | |
| U.S. Ultra Treasury Notes (10 Year) | | | 8 | | | | 12/19/18 | | | | 1,008 | | | | 10,035 | |
| U.S. Treasury Notes (5 Year) | | | 25 | | | | 12/31/18 | | | | 2,812 | | | | 14,526 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 40,465 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (458,729 | ) |
| | | | | | | | | | | | | | | | |
OTC Interest Rate Swaptions Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Paid by the Fund | | | | Received by the Fund | | Counterparty | | | | Expiration
Date | | | | | | Exercise
Rate | | | | | | Notional Amount
(000) | | | | Value | | | | |
| Description | | Rate | | | | Frequency | | | | Rate | | | | Frequency | | |
| |
| Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap, 09/10/50 | | 3.50% | | | | Semi-annual | | | | 3-month LIBOR,
2.40% | | | | Quarterly | | | | JPMorgan Chase Bank N.A. | | | | | 09/08/20 | | | | | | | | 3.50 | % | | | | | | $4,760 | | | | $ | 178,360 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | |
| |
| Index | | Financing
Rate
Paid
by the
Fund | | | Payment Frequency | | Termination Date | | Notional
Amount (000) | | Value | | | Upfront
Premium
Received | | | Unrealized
Depreciation | |
| |
| CDX.NA.IG.31.V1 | | | 1.00% | | | Quarterly | | 12/20/23 | | $7,475 | | $ | (146,746 | ) | | $ | (140,780 | ) | | $ | (5,966 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Financing
Rate
Received
by the
Fund | | | Payment
Frequency | | Counterparty | | Termination
Date | | Credit
Rating(a) | | Notional
Amount
(000)(b) | | | Value | | | Upfront
Premium
Received | | | Unrealized
Appreciation | |
Host Hotels & Resorts LP | | | 1.00% | | | Quarterly | | Credit Suisse International | | 03/20/19 | | BBB | | $ | 825 | | | $ | 3,922 | | | $ | (473 | ) | | $ | 4,395 | |
American Tower Corp. | | | 1.00% | | | Quarterly | | Morgan Stanley & Co. International PLC | | 06/20/21 | | BBB- | | $ | 1,875 | | | | (7,283 | ) | | | (41,888 | ) | | | 34,605 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (3,361 | ) | | $ | (42,361 | ) | | $ | 39,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using S&P’s rating of the issuer. | |
| | (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 43 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
| | | | | | | | | | | | | | | | |
| |
| | | Swap Premiums
Paid | | | Swap Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| |
Centrally Cleared Swaps(a) | | | $— | | | | $140,780 | | | | $ — | | | | $5,966 | |
OTC Swaps | | | — | | | | 42,361 | | | | 39,000 | | | | — | |
| |
| | (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. | |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Assets — Derivative Financial Instruments | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Futures contracts | | Net unrealized
appreciation(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 40,465 | | | $ | — | | | $ | 40,465 | |
Options purchased | | Investments at
value — unaffiliated(b) | | | — | | | | — | | | | — | | | | — | | | | 178,360 | | | | — | | | | 178,360 | |
Swaps — OTC | | Unrealized
appreciation on
OTC swaps | | | — | | | | 39,000 | | | | — | | | | — | | | | — | | | | — | | | | 39,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 39,000 | | | $ | — | | | $ | — | | | $ | 218,825 | | | $ | — | | | $ | 257,825 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | |
| |
Futures contracts | | Net unrealized
depreciation(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 499,194 | | | $ | — | | | $ | 499,194 | |
Swaps — OTC | | Swaps premiums
received | | | — | | | | 42,361 | | | | — | | | | — | | | | — | | | | — | | | | 42,361 | |
Swaps — centrally cleared | | Net unrealized
depreciation(a) | | | — | | | | 5,966 | | | | — | | | | — | | | | — | | | | — | | | | 5,966 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 48,327 | | | $ | — | | | $ | — | | | $ | 499,194 | | | $ | — | | | $ | 547,521 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | |
| | (b) | Includes options purchased at value as reported in the Schedule of Investments. | |
For the six months ended September 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Net Realized Gain (Loss) from: | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 837,871 | | | $ | — | | | $ | 837,871 | |
Options purchased(a) | | | — | | | | — | | | | — | | | | — | | | | (77,442 | ) | | | — | | | | (77,442 | ) |
Swaps | | | — | | | | 13,560 | | | | — | | | | — | | | | (44,034 | ) | | | — | | | | (30,474 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 13,560 | | | $ | — | | | $ | — | | | $ | 716,395 | | | $ | — | | | $ | 729,955 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | |
| |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (1,261,122 | ) | | $ | — | | | $ | (1,261,122 | ) |
Options purchased(a) | | | — | | | | — | | | | — | | | | — | | | | 43,595 | | | | — | | | | 43,595 | |
Swaps | | | — | | | | (13,047 | ) | | | — | | | | — | | | | 58,993 | | | | — | | | | 45,946 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (13,047 | ) | | $ | — | | | $ | — | | | $ | (1,158,534 | ) | | $ | — | | | $ | (1,171,581 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. | |
| | |
| 44 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 30,804,720 | |
Average notional value of contracts — short | | | 4,476,668 | |
Options: | | | | |
Average notional value of swaption contracts purchased | | | 6,690,000 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | | 3,737,500 | |
Average notional value — sell protection | | | 2,700,000 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 950,000 | |
| |
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:
| | | | | | | | |
| | | Assets | | | Liabilities | |
| |
Derivative Financial Instruments: | | | | | | | | |
Futures contracts | | $ | 2,635 | | | $ | 33,742 | |
Options(a) | | | 178,360 | | | | — | |
Swaps — Centrally cleared | | | — | | | | 415 | |
Swaps — OTC(b) | | | 39,000 | | | | 42,361 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 219,995 | | | $ | 76,518 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (2,635 | ) | | | (34,157 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 217,360 | | | $ | 42,361 | |
| | | | | | | | |
| | (a) | 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. | |
| | (b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. | |
The following tables present 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:
| | | | | | | | | | | | | | | | | | | | |
| |
| Counterparty | | Derivative
Assets
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a) | | | Non-cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount
of Derivative
Assets(b) | |
| |
Credit Suisse International | | $ | 4,395 | | | $ | (473 | ) | | $ | — | | | $ | — | | | $ | 3,922 | |
JPMorgan Chase Bank N.A | | | 178,360 | | | | — | | | | — | | | | — | | | | 178,360 | |
Morgan Stanley & Co., International PLC | | | 34,605 | | | | (34,605 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 217,360 | | | $ | (35,078 | ) | | $ | — | | | $ | — | | | $ | 182,282 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| |
| Counterparty | | Derivative
Liabilities
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a) | | | Non-cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net Amount
of
Derivative
Liabilities(c) | |
| |
Credit Suisse International | | $ | 473 | | | $ | (473 | ) | | $ | — | | | $ | — | | | $ | — | |
Morgan Stanley & Co., International PLC | | | 41,888 | | | | (34,605 | ) | | | — | | | | — | | | | 7,283 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 42,361 | | | $ | (35,078 | ) | | $ | — | | | $ | — | | | $ | 7,283 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (c) | Net amount represents the net amount payable due to the counterparty in the event of default. | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 45 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series C Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments(a) | | $ | — | | | $ | 370,631,820 | | | $ | — | | | $ | 370,631,820 | |
Short-Term Securities | | | 3,655,153 | | | | — | | | | — | | | | 3,655,153 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | — | | | | 178,360 | | | | — | | | | 178,360 | |
| | | | | | | | | | | | | | | | |
| | $ | 3,655,153 | | | $ | 370,810,180 | | | $ | — | | | $ | 374,465,333 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 39,000 | | | $ | — | | | $ | 39,000 | |
Interest rate contracts | | | 40,465 | | | | — | | | | — | | | | 40,465 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (5,966 | ) | | | — | | | | (5,966 | ) |
Interest rate contracts | | | (499,194 | ) | | | — | | | | — | | | | (499,194 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (458,729 | ) | | $ | 33,034 | | | $ | — | | | $ | (425,695 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | See above Schedule of Investments for values in each security type. | |
| | (b) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. | |
During the six months ended September 30, 2018, there were no transfers between levels.
See notes to financial statements.
| | |
| 46 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Municipal Bonds — 94.6% | | | | | | | | |
| | |
| Alabama — 1.6% | | | | | | |
Alabama Special Care Facilities Financing Authority-Birmingham, Methodist Home for the Aging Project, Series 2015-1, RB,
5.50%, 06/01/30 | | $ | 500 | | | $ | 539,805 | |
County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Warrants, Series D,
6.50%, 10/01/53 | | | 1,000 | | | | 1,168,820 | |
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35 | | | 1,000 | | | | 1,101,940 | |
| | | | | | | | |
| | | | | | | 2,810,565 | |
| Alaska — 0.2% | | | | | | |
Northern Tobacco Securitization Corp., Refunding RB, Asset-Backed, Series A: | | | | | | | | |
4.63%, 06/01/23 | | | 90 | | | | 90,021 | |
5.00%, 06/01/46 | | | 330 | | | | 329,997 | |
| | | | | | | | |
| | | | | | | 420,018 | |
| Arizona — 2.1% | | | | | | |
Arizona IDA: | | | | | | | | |
RB, Academies Math & Science Project, Series B, 5.13%, 07/01/47 (a) | | | 195 | | | | 185,291 | |
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/26 (a) | | | 300 | | | | 317,952 | |
Refunding RB, Basis Schools Projects, Series A, 5.13%, 07/01/37 (a) | | | 605 | | | | 623,077 | |
Refunding RB, Odyssey Prepatory Academy Project, 5.50%, 07/01/52 (a) | | | 485 | | | | 470,489 | |
City of Phoenix IDA: | | | | | | | | |
RB, Legacy Traditional Schools Project, 5.00%, 07/01/46 (a) | | | 570 | | | | 579,103 | |
Refunding RB, Basis Schools Projects, 5.00%, 07/01/45 (a) | | | 140 | | | | 141,910 | |
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/35 (a) | | | 45 | | | | 46,031 | |
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/46 (a) | | | 50 | | | | 50,653 | |
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/35 (a) | | | 300 | | | | 306,873 | |
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/45 (a) | | | 100 | | | | 101,306 | |
La Paz County IDA, RB, Imagine Schools West Middle Project, 5.88%, 06/15/48 (a) | | | 285 | | | | 282,597 | |
Salt Verde Financial Corp., RB,
5.00%, 12/01/37 | | | 500 | | | | 578,890 | |
| | | | | | | | |
| | | | | | | 3,684,172 | |
| Arkansas — 0.3% | | | | | | |
Pulaski County Public Facilities Board, RB: | | | | | | | | |
5.00%, 12/01/39 | | | 230 | | | | 248,175 | |
5.00%, 12/01/42 | | | 250 | | | | 269,182 | |
| | | | | | | | |
| | | | | | | 517,357 | |
| California — 7.9% | | | | | | |
California County Tobacco Securitization Agency: | | | | | | | | |
RB, Asset-Backed, 5.45%, 06/01/28 | | | 500 | | | | 502,055 | |
RB, Asset-Backed, 5.60%, 06/01/36 | | | 425 | | | | 426,313 | |
RB, Asset-Backed, 5.70%, 06/01/46 | | | 760 | | | | 761,467 | |
Refunding RB, Asset-Backed, Merced County Project, Series A,
5.00%, 06/01/26 | | | 20 | | | | 20,133 | |
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.00%, 06/01/26 | | | 275 | | | | 276,823 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| California (continued) | | | | | | |
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.25%, 06/01/45 | | $ | 330 | | | $ | 332,188 | |
Refunding RB, Golden Gate Tobacco Project, Series A, 5.00%, 06/01/36 | | | 300 | | | | 299,979 | |
California Educational Facilities Authority, RB, Chapman University Project, 5.00%, 04/01/45 | | | 500 | | | | 549,035 | |
California Infrastructure & Economic Development Bank, Refunding RB, Academy Motion Picture Art Project, 4.00%, 11/01/45 | | | 750 | | | | 764,497 | |
California Municipal Finance Authority: | | | | | | | | |
RB, John Adams Academics Project,
5.00%, 10/01/35 | | | 250 | | | | 254,010 | |
RB, John Adams Academics Project,
5.25%, 10/01/45 | | | 250 | | | | 254,630 | |
RB, Sycamore Academy Project,
5.63%, 07/01/44 (a) | | | 150 | | | | 152,004 | |
Refunding RB, Community Medical Centers Project, Series A, 5.00%, 02/01/46 | | | 650 | | | | 700,310 | |
California School Finance Authority, RB: | | | | | | | | |
Alliance College-Ready Public Schools Project, 5.00%, 07/01/51 (a) | | | 300 | | | | 313,956 | |
Alta Public Schools Project, Series A,
6.75%, 11/01/45 (a) | | | 250 | | | | 262,137 | |
California Statewide Communities Development Authority: | | | | | | | | |
RB, Loma Linda University Medical Center Project, Series A, 5.25%, 12/01/56 (a) | | | 100 | | | | 106,409 | |
Refunding RB, (AGM), 5.00%, 11/15/49 | | | 500 | | | | 544,710 | |
Refunding RB, 899 Charleston Project, Series A, 5.25%, 11/01/44 (a) | | | 250 | | | | 262,307 | |
Refunding RB, Adventist Health System Project, Series A, 4.00%, 03/01/48 | | | 595 | | | | 598,237 | |
California Statewide Financing Authority, RB, Asset-Backed: | | | | | | | | |
Series A, 6.00%, 05/01/43 | | | 85 | | | | 85,013 | |
Series B, 5.63%, 05/01/29 | | | 110 | | | | 110,093 | |
Series B, 6.00%, 05/01/43 | | | 315 | | | | 315,047 | |
City of Irvine, Community Facilities District No. 2013-3, (Great Park) Improvement Area No. 1, Special Tax Bonds, 5.00%, 09/01/44 | | | 250 | | | | 267,937 | |
City of Los Angeles Department of Airports, RB, AMT, Los Angeles International Airport Project, 5.00%, 05/15/46 | | | 1,000 | | | | 1,091,830 | |
City of Roseville, CDF No. 1, Special Tax Bonds, 5.00%, 09/01/44 | | | 500 | | | | 532,585 | |
Golden State Tobacco Securitization Corp., Refunding RB, Series A-1, 5.25%, 06/01/47 | | | 355 | | | | 368,004 | |
Oakland Unified School District, GO, Series A, 5.00%, 08/01/40 | | | 350 | | | | 393,159 | |
Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45 | | | 500 | | | | 569,905 | |
San Diego Tobacco Settlement Revenue Funding Corp., Refunding RB, Series C, 4.00%, 06/01/32 | | | 935 | | | | 955,215 | |
San Francisco City & County Redevelopment Agency, Tax Allocation Bonds, Mission Bay’s Redevelopment Project, Sub-Series D,
0.00%, 08/01/31 (a)(b) | | | 580 | | | | 303,195 | |
Tobacco Securitization Authority of Southern California, Refunding RB, Senior, Series A-1: | | | | | | | | |
5.00%, 06/01/37 | | | 1,260 | | | | 1,265,746 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 47 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| California (continued) | | | | | | |
5.13%, 06/01/46 | | $ | 585 | | | $ | 587,668 | |
| | | | | | | | |
| | | | | | | 14,226,597 | |
| Colorado — 4.0% | | | | | | |
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47 | | | 1,000 | | | | 985,780 | |
Arista Metropolitan District, GO, Refunding, Improvement, County Unlimited and Special Project, Series A, 5.00%, 12/01/38 | | | 500 | | | | 506,320 | |
Centerra Metropolitan District No. 1, Tax Allocation Bonds, 5.00%, 12/01/47 (a) | | | 155 | | | | 156,381 | |
Colorado Educational & Cultural Facilities Authority, Refunding RB, Charter School-University Project, 5.00%, 12/15/45 | | | 500 | | | | 518,005 | |
Colorado Health Facilities Authority: | | | | | | | | |
RB, Catholic Health Initiatives Project, Series A, 5.00%, 07/01/38 | | | 215 | | | | 225,619 | |
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/40 | | | 815 | | | | 863,851 | |
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/45 | | | 610 | | | | 646,563 | |
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 07/01/39 | | | 400 | | | | 405,316 | |
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 02/01/41 | | | 200 | | | | 205,834 | |
Refunding RB, Sunny Vista Living Center Project, Series A, 6.13%, 12/01/45 (a) | | | 130 | | | | 135,684 | |
Copperleaf Metropolitan District No. 2, GO, Refunding, 5.75%, 12/01/45 | | | 500 | | | | 523,320 | |
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40 | | | 925 | | | | 995,513 | |
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48 | | | 500 | | | | 487,740 | |
Serenity Ridge Metropolitan District No. 2, GO, Refunding, Series A, 5.13%, 12/01/37 | | | 550 | | | | 559,691 | |
| | | | | | | | |
| | | | | | | 7,215,617 | |
| Connecticut — 1.2% | | | | | | |
Connecticut Housing Finance Authority, Refunding RB, Sub-Series B-1,
4.00%, 05/15/45 | | | 370 | | | | 369,981 | |
Mohegan Tribal Finance Authority, RB,
7.00%, 02/01/45 (a) | | | 215 | | | | 219,218 | |
Mohegan Tribe of Indians of Connecticut: | | | | | | | | |
RB, Series A, 6.75%, 02/01/45 (a) | | | 98 | | | | 105,528 | |
Refunding RB, Priority District Project, Series C, 6.25%, 02/01/30 (a) | | | 330 | | | | 361,169 | |
State of Connecticut, GO, Series A,
5.00%, 04/15/37 | | | 1,035 | | | | 1,124,072 | |
| | | | | | | | |
| | | | | | | 2,179,968 | |
| Delaware — 0.6% | | | | | | |
Delaware State EDA, RB, Exempt Facility Indian River Power Project, 5.38%, 10/01/45 | | | 505 | | | | 526,367 | |
Kent County Student Housing & Dining Facilities Authority, RB, Dover State University Project, Series A, 5.00%, 07/01/58 | | | 560 | | | | 582,243 | |
| | | | | | | | |
| | | | | | | 1,108,610 | |
| District of Columbia — 0.7% | | | | | | |
District of Columbia Housing Finance Agency, RB, Series B-2, 4.10%, 09/01/39 | | | 1,315 | | | | 1,318,866 | |
| | | | | | | | |
| Florida — 5.4% | | | | | | |
Babcock Ranch Community Independent Special District, Special Assessment Bonds, 4.25%, 11/01/21 | | | 335 | | | | 340,407 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Florida (continued) | | | | | | |
Brevard County Health Facilities Authority, Refunding RB, Health First, Inc. Project,
5.00%, 04/01/39 | | $ | 500 | | | $ | 534,375 | |
Capital Region Community Development District, Special Assessment Bonds, Refunding, Series A-2, 4.60%, 05/01/31 | | | 485 | | | | 480,504 | |
Capital Trust Agency, Inc., RB: | | | | | | | | |
Gardens Apartments Project, Series A, 5.00%, 07/01/50 | | | 500 | | | | 508,550 | |
University Bridge LLC Student Housing Project, Series A, 5.25%, 12/01/58 (a) | | | 605 | | | | 604,952 | |
Celebration Pointe Community Development District, Special Assessment Bonds: | | | | | | | | |
5.13%, 05/01/45 | | | 250 | | | | 252,465 | |
Alachua County Project, 4.00%, 05/01/22 (a) | | | 100 | | | | 101,386 | |
Collier County Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45 | | | 1,000 | | | | 1,073,470 | |
Florida Development Finance Corp., RB: | | | | | | | | |
AMT, Waste Pro USA, Inc. Project,
5.00%, 08/01/29 (a)(c) | | | 470 | | | | 484,490 | |
Renaissance Charter School Project, Series A, 6.13%, 06/15/44 | | | 45 | | | | 46,395 | |
Florida Higher Educational Facilities Financial Authority, RB, Jacksonville University Project, Series A-1, 5.00%, 06/01/48 (a) | | | 355 | | | | 369,892 | |
Greater Orlando Aviation Authority, Refunding RB, AMT, Special Purpose JetBlue Airway Project, 5.00%, 11/15/36 | | | 250 | | | | 260,975 | |
Hillsborough County Aviation Authority, Refunding RB, AMT, Tampa International Project, Series A, 5.00%, 10/01/44 | | | 350 | | | | 377,786 | |
Lakewood Ranch Stewardship District, Special Assessment Bonds: | | | | | | | | |
4.88%, 05/01/35 | | | 250 | | | | 252,302 | |
Village of Lakewood Ranch Project, Series 2016,5.13%, 05/01/46 | | | 100 | | | | 102,680 | |
Miami Health Facilities Authority, Refunding RB, Miami Jewish Health Systems Obligation Project: | | | | | | | | |
5.13%, 07/01/38 | | | 500 | | | | 546,160 | |
5.13%, 07/01/46 | | | 390 | | | | 423,591 | |
Orange County Health Facilities Authority: | | | | | | | | |
RB, Presbyterian Retirement Community Project, 5.00%, 08/01/35 | | | 250 | | | | 268,665 | |
Refunding RB, Presbyterian Retirement Community Project, 5.00%, 08/01/41 | | | 695 | | | | 746,270 | |
Putnam County Development Authority, Refunding RB, Seminole Project, Series A,
5.00%, 03/15/42 | | | 1,000 | | | | 1,099,800 | |
Trout Creek Community Development District, Special Assessment Bonds: | | | | | | | | |
4.50%, 05/01/23 | | | 250 | | | | 250,132 | |
5.00%, 05/01/28 | | | 240 | | | | 239,983 | |
5.63%, 05/01/45 | | | 250 | | | | 253,205 | |
| | | | | | | | |
| | | | | | | 9,618,435 | |
| Georgia — 0.2% | | | | | | |
Gainesville & Hall County Hospital Authority, Refunding RB, North East Georgia Health Systems, Inc. Project, 5.50%, 08/15/54 | | | 250 | | | | 282,272 | |
Georgia Housing & Finance Authority, RB, Series A, 4.00%, 12/01/48 | | | 140 | | | | 136,164 | |
| | | | | | | | |
| | | | | | | 418,436 | |
| | |
| 48 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| | |
| Hawaii — 0.1% | | | | | | |
State of Hawaii Department of Budget & Finance, Refunding RB, 5.00%, 01/01/45 (a) | | $ | 220 | | | $ | 217,446 | |
| | | | | | | | |
| Idaho — 0.2% | | | | | | |
Idaho Health Facilities Authority, Refunding RB, St. Luke’s, Health System Project, Series A: | | | | | | | | |
4.00%, 03/01/38 | | | 210 | | | | 209,994 | |
4.00%, 03/01/43 | | | 105 | | | | 104,511 | |
| | | | | | | | |
| | | | | | | 314,505 | |
| Illinois — 9.0% | | | | | | |
City of Chicago Board of Education, GO: | | | | | | | | |
Refunding, Series B, 4.00%, 12/01/35 | | | 230 | | | | 211,421 | |
Refunding, Series C, 5.00%, 12/01/34 | | | 625 | | | | 643,012 | |
Refunding, Series D, 5.00%, 12/01/25 | | | 290 | | | | 303,114 | |
Refunding, Series F, 5.00%, 12/01/22 | | | 215 | | | | 223,830 | |
Series A, 5.00%, 12/01/41 | | | 200 | | | | 201,556 | |
Series A, 5.00%, 12/01/42 | | | 570 | | | | 571,659 | |
Series H, 5.00%, 12/01/46 | | | 625 | | | | 634,137 | |
City of Chicago, GO, Refunding, Series A: | | | | | | | | |
5.00%, 01/01/36 | | | 250 | | | | 258,245 | |
6.00%, 01/01/38 | | | 275 | | | | 309,386 | |
City of Chicago, O’Hare International Airport Revenue: | | | | | | | | |
Refunding RB, Senior Lien, Series D,
5.00%, 01/01/39 | | | 260 | | | | 278,434 | |
Refunding RB, Series D,
5.00%, 01/01/46 | | | 1,000 | | | | 1,075,330 | |
City of Chicago, Wastewater Transmission Revenue, Refunding RB, Second Lien, Series C, 5.00%, 01/01/39 | | | 500 | | | | 531,060 | |
Cook County Community College District No.
508, GO, 5.25%, 12/01/30 | | | 920 | | | | 966,120 | |
Illinois Finance Authority, Refunding RB: | | | | | | | | |
Chicago LLC University of Illinois at Chicago Project, 5.00%, 02/15/47 | | | 900 | | | | 960,372 | |
Lutheran Home & Services Project,
5.50%, 05/15/30 | | | 500 | | | | 523,130 | |
Presence Health Network Project, Series C, 5.00%, 02/15/36 | | | 1,500 | | | | 1,680,450 | |
Presence Health Network Project, Series C, 5.00%, 02/15/41 | | | 650 | | | | 722,676 | |
Senior, Rogers Park Montessori School Project, 6.13%, 02/01/45 | | | 150 | | | | 155,739 | |
Southern Illinois Healthcare Enterprises, Inc. Project, 4.00%, 03/01/35 | | | 600 | | | | 597,126 | |
Metropolitan Pier & Exposition Authority: | | | | | | | | |
RB, McCormick Place Expansion Project, Series 2015A, 5.50%, 06/15/53 | | | 390 | | | | 419,699 | |
Refunding RB, McCormick Place Expansion Project, Series B, 5.00%, 06/15/52 | | | 80 | | | | 82,030 | |
Refunding RB, McCormick Project, Series B-2, 5.00%, 06/15/50 | | | 600 | | | | 609,252 | |
Refunding RB, McCormick Project, Series B-2, 5.20%, 06/15/50 | | | 405 | | | | 411,427 | |
State of Illinois, GO: | | | | | | | | |
5.00%, 01/01/28 | | | 1,005 | | | | 1,051,531 | |
5.00%, 04/01/31 | | | 1,000 | | | | 1,031,480 | |
5.50%, 07/01/33 | | | 365 | | | | 388,437 | |
5.00%, 03/01/37 | | | 300 | | | | 305,067 | |
5.00%, 05/01/39 | | | 275 | | | | 280,214 | |
Refunding, Series B, 5.00%, 10/01/27 | | | 400 | | | | 421,932 | |
Series A, 5.00%, 01/01/33 | | | 310 | | | | 316,491 | |
| | | | | | | | |
| | | | | | | 16,164,357 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| | |
| Indiana — 1.7% | | | | | | |
City of Vincennes, Refunding RB, Southwest Industrial Regional Youth Village Factory Project,
6.25%, 01/01/29 (a) | | $ | 455 | | | $ | 464,409 | |
County of Allen RB, StoryPoint Fort Wayne Project: | | | | | | | | |
6.63%, 01/15/34 (a) | | | 100 | | | | 106,370 | |
6.75%, 01/15/43 (a) | | | 395 | | | | 419,632 | |
6.88%, 01/15/52 (a) | | | 380 | | | | 404,476 | |
Indiana Finance Authority: | | | | | | | | |
RB, AMT, Private Activity Bond, Ohio River Bridges East End Crossing Project,
5.25%, 01/01/51 | | | 1,000 | | | | 1,062,380 | |
Refunding RB, Marquette Project,
4.75%, 03/01/32 | | | 270 | | | | 274,495 | |
Town of Chesterton RB, StoryPoint Chesterton Project, Series A, 6.38%, 01/15/51 (a) | | | 265 | | | | 273,652 | |
| | | | | | | | |
| | | | | | | 3,005,414 | |
| Iowa — 1.7% | | | | | | |
Iowa Finance Authority: | | | | | | | | |
RB, Lifespace Communities Project, Series A, 5.00%, 05/15/48 | | | 940 | | | | 975,269 | |
Refunding RB, Iowa Fertilizer Co. Project,
5.25%, 12/01/25 | | | 310 | | | | 329,834 | |
Refunding RB, Iowa Fertilizer Co. Project, Series A, 5.25%, 12/01/50 (c) | | | 400 | | | | 418,872 | |
Refunding RB, Iowa Fertilizer Co. Project, Series B, 5.25%, 12/01/50 (c) | | | 750 | | | | 797,775 | |
Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.50%, 06/01/42 | | | 485 | | | | 489,821 | |
| | | | | | | | |
| | | | | | | 3,011,571 | |
| Kentucky — 0.3% | | | | | | |
Kentucky Economic Development Finance Authority, Refunding RB, Owensboro Health Project, Series A, 5.25%, 06/01/41 | | | 500 | | | | 536,270 | |
| | | | | | | | |
| Louisiana — 0.3% | | | | | | |
Juban Crossing Economic Development District, Refunding RB, General Infrastructure Projects, Series C, 7.00%, 09/15/44 (a) | | | 475 | | | | 489,958 | |
| | | | | | | | |
| Maryland — 1.4% | | | | | | |
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, Villages at 2 Rivers Project, 5.25%, 07/01/44 | | | 250 | | | | 250,972 | |
City of Baltimore, Refunding RB, Baltimore Research Park Project, Series A, 4.00%, 09/01/27 | | | 100 | | | | 102,273 | |
County of Frederick, RB, Jefferson Technology Park Project, Series B, 7.13%, 07/01/43 (a) | | | 150 | | | | 160,110 | |
Maryland Economic Development Corp: | | | | | | | | |
RB, AMT, Green Bonds, Purple Line Light Rail Project, 5.00%, 03/31/51 | | | 620 | | | | 660,319 | |
Refunding RB, Towson University Project,
5.00%, 07/01/37 | | | 700 | | | | 732,291 | |
Refunding RB, University of Maryland Project, 5.00%, 07/01/39 | | | 100 | | | | 106,343 | |
Maryland Health & Higher Educational Facilities Authority, Refunding RB, Meritus Medical Center Project, 5.00%, 07/01/40 | | | 500 | | | | 531,715 | |
| | | | | | | | |
| | | | | | | 2,544,023 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 49 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Massachusetts — 3.6% | | | | | | |
Massachusetts Development Finance Agency: | | | | | | | | |
RB, Baystate Medical Center Project, Series N, 5.00%, 07/01/44 | | $ | 500 | | | $ | 534,415 | |
RB, Emerson College Project, 5.00%, 01/01/43 | | | 500 | | | | 537,500 | |
RB, Emerson College Project, 5.00%, 01/01/48 | | | 1,000 | | | | 1,071,010 | |
RB, Emerson College Project, Series A, 5.00%, 01/01/47 | | | 500 | | | | 532,630 | |
RB, Green Bonds, Boston Medical Center Project, 5.00%, 07/01/44 | | | 180 | | | | 191,308 | |
RB, University of Massachusetts Boston Student Housing Project, 5.00%, 10/01/48 | | | 1,000 | | | | 1,067,870 | |
Refunding RB, Emmanuel College Project, Series A, 5.00%, 10/01/35 | | | 750 | | | | 810,495 | |
Massachusetts Housing Finance Agency, Refunding RB, AMT, Series A: | | | | | | | | |
4.45%, 12/01/42 | | | 640 | | | | 655,744 | |
4.50%, 12/01/47 | | | 1,015 | | | | 1,039,928 | |
| | | | | | | | |
| | | | | | | 6,440,900 | |
| Michigan — 1.5% | | | | | | |
Michigan Finance Authority, Refunding RB, AMT, Senior Lien, Detroit Water & Sewerage Department Project, 5.00%, 07/01/44 | | | 250 | | | | 263,950 | |
Michigan State Housing Development Authority, RB, Series A, 4.05%, 10/01/48 | | | 530 | | | | 529,083 | |
Michigan Tobacco Settlement Finance Authority, RB, Turbo Project, Series A, 6.88%, 06/01/42 | | | 500 | | | | 500,950 | |
Wayne County Airport Authority: | | | | | | | | |
RB, AMT, Detroit Metropolitan Wayne County Airport Project, 5.00%, 12/01/39 | | | 250 | | | | 270,617 | |
RB, Detroit Metropolitan Wayne County Airport Project, Series B, 5.00%, 12/01/44 | | | 500 | | | | 544,710 | |
RB, Series D, 5.00%, 12/01/40 | | | 500 | | | | 549,465 | |
| | | | | | | | |
| | | | | | | 2,658,775 | |
| Minnesota — 2.0% | | | | | | |
City of Brooklyn Park, RB, Athlos Leadership Academy Project, 5.25%, 07/01/30 | | | 350 | | | | 354,931 | |
City of Deephaven, Refunding RB, Eagle Ridge Academy Project, Series 2015A, 5.25%, 07/01/37 | | | 605 | | | | 632,540 | |
City of Minneapolis, Refunding RB, Fairview Health Services Project, Series A: | | | | | | | | |
4.00%, 11/15/48 | | | 650 | | | | 638,801 | |
5.00%, 11/15/49 | | | 1,335 | | | | 1,462,386 | |
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB: | | | | | | | | |
Great River School Project, Series A, 5.50%, 07/01/38 (a) | | | 240 | | | | 246,346 | |
Hmong College Prep Academy Project, Series E, 5.50%, 09/01/36 | | | 310 | | | | 323,097 | |
| | | | | | | | |
| | | | | | | 3,658,101 | |
| Missouri — 1.2% | | | | | | |
City of St. Louis IDA, Refunding RB, Ballpark Village Development Project, Series A: | | | | | | | | |
4.38%, 11/15/35 | | | 215 | | | | 218,150 | |
4.75%, 11/15/47 | | | 240 | | | | 244,195 | |
Kansas City IDA, Refunding RB, Kansas City United Methodist Church Project, 5.75%, 11/15/36 (a) | | | 220 | | | | 208,382 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Missouri (continued) | | | | | | |
Kansas City Land Clearance Redevelopment Authority, Tax Allocation Bonds: | | | | | | | | |
Convention Center Hotel Project, Series B, 4.38%, 02/01/31 (a) | | $ | 170 | | | $ | 171,222 | |
Convention Center Hotel Project, Series B, 5.00%, 02/01/40 (a) | | | 260 | | | | 266,919 | |
Plaza at Noah’s Ark Community Improvement District, Refunding Tax Allocation Bonds, 5.00%, 05/01/35 | | | 400 | | | | 383,024 | |
Saint Louis County IDA, Refunding RB, Friendship Village St. Louis Project, 5.00%, 09/01/37 | | | 695 | | | | 746,117 | |
| | | | | | | | |
| | | | | | | 2,238,009 | |
| Montana — 0.1% | | | | | | |
Montana Board of Housing, RB, State Single Family Housing Project, Series A-2, 4.00%, 12/01/45 | | | 210 | | | | 211,155 | |
| | | | | | | | |
| Nebraska — 0.3% | | | | | | |
Douglas County Hospital Authority No. 3, Refunding RB, Health Facilities NE Methodist Hospital Project, 5.00%, 11/01/45 | | | 500 | | | | 540,475 | |
| | | | | | | | |
| New Hampshire — 0.2% | | | | | | |
New Hampshire Business Finance Authority, Refunding RB: | | | | | | | | |
AMT, Resource Recovery Covanta Project, Series C, 4.88%, 11/01/42 (a) | | | 130 | | | | 130,073 | |
Resource Recovery Covanta Project, Series B, 4.63%, 11/01/42 (a) | | | 320 | | | | 318,378 | |
| | | | | | | | |
| | | | | | | 448,451 | |
| New Jersey — 7.4% | | | | | | |
Casino Reinvestment Development Authority, Refunding RB: | | | | | | | | |
5.25%, 11/01/39 | | | 250 | | | | 266,295 | |
5.25%, 11/01/44 | | | 560 | | | | 594,950 | |
Essex County Improvement Authority, RB, AMT, 5.25%, 07/01/45 (a) | | | 250 | | | | 251,595 | |
New Jersey EDA: | | | | | | | | |
RB, AMT, Continental Airlines, Inc. Project, 4.88%, 09/15/19 | | | 205 | | | | 208,930 | |
RB, AMT, Kapkowski Road Landfill Project, Series 1998 B-MB, 6.50%, 04/01/31 | | | 100 | | | | 112,377 | |
RB, AMT, Private Activity — The Goethals Project, 5.38%, 01/01/43 | | | 500 | | | | 540,075 | |
RB, Provident Group-Kean Properties Project, 5.00%, 07/01/32 | | | 200 | | | | 217,140 | |
RB, Series WW, 5.25%, 06/15/40 | | | 1,000 | | | | 1,074,010 | |
Refunding RB, 5.00%, 06/15/23 | | | 200 | | | | 214,346 | |
Refunding RB, (AGM), Provident Group-Montclair Project, 5.00%, 06/01/37 | | | 200 | | | | 217,874 | |
Refunding RB, Charter, Greater Brunswick Project, Series A, 6.00%, 08/01/49 (a) | | | 250 | | | | 251,928 | |
New Jersey Health Care Facilities Financing Authority, RB, Inspira Health Obligated Group Project, Series A, 4.00%, 07/01/47 | | | 540 | | | | 532,699 | |
New Jersey Health Care Facilities Financing Authority, Refunding RB: | | | | | | | | |
Barnabas Health Obligated Project, 4.25%, 07/01/44 | | | 395 | | | | 400,613 | |
Barnabas Health Obligated Project, 5.00%, 07/01/44 | | | 220 | | | | 236,916 | |
New Jersey Transportation Trust Fund Authority, RB: | | | | | | | | |
| | |
| 50 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| New Jersey (continued) | | | | | | |
Federal Highway Reimbursement Notes, Series A-1, 5.00%, 06/15/28 | | $ | 1,700 | | | $ | 1,886,524 | |
Transportation Program, Series AA, 5.00%, 06/15/38 | | | 325 | | | | 336,177 | |
Transportation Program, Series AA, 5.25%, 06/15/41 | | | 205 | | | | 220,047 | |
Transportation Program, Series AA, 5.00%, 06/15/44 | | | 30 | | | | 31,281 | |
Transportation Program, Series AA, 5.00%, 06/15/44 | | | 30 | | | | 31,169 | |
Transportation Program, Series AA, 5.00%, 06/15/46 | | | 450 | | | | 470,012 | |
Transportation Program, Series B, 5.00%, 06/15/42 | | | 280 | | | | 289,265 | |
New Jersey Turnpike Authority, RB, Series A, 5.00%, 01/01/43 | | | 1,000 | | | | 1,093,180 | |
Tobacco Settlement Financing Corp., Refunding RB: | | | | | | | | |
Series A, 5.00%, 06/01/36 | | | 345 | | | | 380,262 | |
Series A, 5.00%, 06/01/46 | | | 1,100 | | | | 1,180,091 | |
Series A, 5.25%, 06/01/46 | | | 1,285 | | | | 1,409,388 | |
Sub-Series B, 5.00%, 06/01/46 | | | 780 | | | | 822,128 | |
| | | | | | | | |
| | | | | | | 13,269,272 | |
| New Mexico — 0.2% | | | | | | |
New Mexico Hospital Equipment Loan Council, Refunding RB, Gerald Champion Regional Medical Center Project, 5.50%, 07/01/42 | | | 325 | | | | 345,625 | |
| | | | | | | | |
| New York — 8.4% | | | | | | |
Build NYC Resource Corp., Refunding RB, AMT, Pratt Paper, Inc. Project, 5.00%, 01/01/35 (a) | | | 285 | | | | 302,542 | |
Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 5.00%, 06/01/48 | | | 1,000 | | | | 1,008,760 | |
County of Cattaraugus, RB, St. Bonaventure University Project, 5.00%, 05/01/44 | | | 195 | | | | 208,482 | |
Dutchess County Industrial Development Agency, Refunding RB, Bard College Civic Facility Project, Series A-1, 5.00%, 08/01/46 | | | 530 | | | | 514,460 | |
Erie Tobacco Asset Securitization Corp., Refunding RB, Asset Backed, Series A, 5.00%, 06/01/45 | | | 495 | | | | 481,585 | |
Hempstead Town Local Development Corp., RB, Molloy College Project, 5.00%, 07/01/44 | | | 500 | | | | 529,630 | |
MTA Hudson Rail Yards Trust Obligations, RB, Series A, 5.00%, 11/15/56 | | | 955 | | | | 1,018,804 | |
New York Counties Tobacco Trust IV, Refunding RB, Series A: | | | | | | | | |
6.25%, 06/01/41 (a) | | | 550 | | | | 567,897 | |
5.00%, 06/01/42 | | | 915 | | | | 896,288 | |
5.00%, 06/01/45 | | | 225 | | | | 218,903 | |
New York Counties Tobacco Trust VI, Refunding RB: | | | | | | | | |
5.00%, 06/01/45 | | | 835 | | | | 882,829 | |
5.00%, 06/01/51 | | | 420 | | | | 435,389 | |
New York Liberty Development Corp.: | | | | | | | | |
Refunding RB, Class 1-3 World Trade Center Project, 5.00%, 11/15/44 (a) | | | 1,000 | | | | 1,038,900 | |
Refunding RB, Class 2-3 World Trade Center Project, 5.38%, 11/15/40 (a) | | | 150 | | | | 163,011 | |
Refunding RB, Class 3-3 World Trade Center Project, 7.25%, 11/15/44 (a) | | | 100 | | | | 117,778 | |
New York State Dormitory Authority, Refunding RB, Orange Regional Medical Center Project, 5.00%, 12/01/35 (a) | | | 215 | | | | 233,883 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| New York (continued) | | | | | | |
New York Transportation Development Corp.: | | | | | | | | |
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 07/01/34 | | $ | 500 | | | $ | 534,415 | |
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 07/01/41 | | | 1,470 | | | | 1,552,452 | |
Refunding RB, AMT, American Airlines, Inc. Project, 5.00%, 08/01/20 | | | 400 | | | | 415,364 | |
Refunding RB, AMT, American Airlines, Inc. Project, 5.00%, 08/01/21 | | | 200 | | | | 211,382 | |
Tompkins County Development Corp., Refunding RB, Kendal at Ithaca, Inc. Project, 5.00%, 07/01/44 | | | 420 | | | | 444,444 | |
Westchester County Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44 | | | 341 | | | | 358,651 | |
Westchester County Local Development Corp., Refunding RB: | | | | | | | | |
Kendal on the Hudson Project, 5.00%, 01/01/34 | | | 1,080 | | | | 1,145,556 | |
Wartburg Senior Housing Project, Series A, 5.00%, 06/01/30 (a) | | | 250 | | | | 247,805 | |
Westchester Tobacco Asset Securitization, Refunding RB, Sub-Series C: | | | | | | | | |
4.00%, 06/01/42 | | | 970 | | | | 931,190 | |
5.13%, 06/01/51 | | | 500 | | | | 515,305 | |
| | | | | | | | |
| | | | | | | 14,975,705 | |
| North Carolina — 0.3% | | | | | | |
North Carolina Department of Transportation, RB, AMT, Hot Lanes Project, Series 1-77, 5.00%, 06/30/54 | | | 115 | | | | 121,663 | |
North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Galloway Ridge Project, Series A, 5.25%, 01/01/41 | | | 250 | | | | 257,598 | |
Town of Mooresville, Special Assessment Bonds, 5.38%, 03/01/40 (a) | | | 250 | | | | 242,415 | |
| | | | | | | | |
| | | | | | | 621,676 | |
| Ohio — 2.1% | | | | | | |
Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Series A-2, 5.88%, 06/01/47 | | | 1,750 | | | | 1,749,982 | |
Butler County Port Authority, RB, Storypoint Fairfield Project, 6.38%, 01/15/43 (a) | | | 435 | | | | 451,513 | |
County of Franklin, RB, OPRS Communities Obligation Group Project, Series 2013A, 6.13%, 07/01/40 | | | 585 | | | | 630,987 | |
County of Hamilton, RB, Improvement, Life Enriching Community Project, 5.00%, 01/01/46 | | | 190 | | | | 199,521 | |
Port of Greater Cincinnati Development Authority, RB, Colonial Village/Athens Garden Project, 5.00%, 12/01/40 | | | 335 | | | | 264,529 | |
State of Ohio, RB, AMT, Portsmouth Bypass Project, 5.00%, 06/30/53 | | | 370 | | | | 398,916 | |
| | | | | | | | |
| | | | | | | 3,695,448 | |
| Oklahoma — 3.6% | | | | | | |
Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37 | | | 1,250 | | | | 1,361,462 | |
Oklahoma Development Finance Authority, RB, OU Medicine Project, Series B: | | | | | | | | |
5.00%, 08/15/38 | | | 975 | | | | 1,060,449 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 51 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Oklahoma (continued) | | | | | | |
5.25%, 08/15/43 | | $ | 875 | | | $ | 956,699 | |
Provident Oklahoma Education Resources, Inc. — Cross Village Student Housing Project, 5.00%, 08/01/47 | | | 1,500 | | | | 1,434,375 | |
Tulsa Airports Improvement Trust, Refunding RB, AMT, American Airlines Project, 5.00%, 06/01/35 (c) | | | 615 | | | | 653,591 | |
Tulsa County Industrial Authority, Refunding RB, Montereau, Inc. Project, 5.25%, 11/15/45 | | | 965 | | | | 1,049,833 | |
| | | | | | | | |
| | | | | | | 6,516,409 | |
| Oregon — 0.5% | | | | | | |
Clackamas County School District No. 12 North Clackamas, GO, Series A, 0.00%, 06/15/38 (b) | | | 275 | | | | 122,642 | |
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, Mirabella at South Waterfront Project, 5.50%, 10/01/49 | | | 150 | | | | 158,777 | |
Polk County Hospital Facility Authority, RB, Dallas Retirement Village Project, Series A, 5.38%, 07/01/45 | | | 250 | | | | 259,495 | |
Yamhill County Hospital Authority, Refunding RB, Friendsview Retirement Community Project, Series 2016A, 5.00%, 11/15/36 | | | 300 | | | | 318,048 | |
| | | | | | | | |
| | | | | | | 858,962 | |
| Pennsylvania — 5.7% | | | | | | |
Allegheny County Hospital Development Authority, Refunding RB, Allegheny Health Network Obligated Group Project, Series A, 4.00%, 04/01/44 | | | 1,000 | | | | 971,930 | |
Allentown Neighborhood Improvement Zone Development Authority, RB, City Center Project, 5.00%, 05/01/42 (a) | | | 295 | | | | 312,281 | |
Lancaster County Hospital Authority, Refunding RB, St. Anne’s Retirement Community Project, 5.00%, 04/01/33 | | | 250 | | | | 254,327 | |
Montgomery County Higher Education & Health Authority, Refunding RB, Thomas Jefferson University Project, Series A, 4.00%, 09/01/49 | | | 1,430 | | | | 1,397,668 | |
Montgomery County IDA: | | | | | | | | |
Refunding RB, Albert Einstein Healthcare Project, 5.25%, 01/15/45 | | | 500 | | | | 526,170 | |
Refunding RB, Whitemarsh Continuing Care Retirement Community Project, 5.38%, 01/01/50 | | | 170 | | | | 170,476 | |
Moon IDA, Refunding RB, Baptist Homes Society Project, 6.00%, 07/01/45 | | | 250 | | | | 264,293 | |
Northampton County IDA, Tax Allocation Bonds, Route 33 Project, 7.00%, 07/01/32 | | | 110 | | | | 123,928 | |
Pennsylvania Economic Development Financing Authority: | | | | | | | | |
RB, AMT, The Pennsylvania Rapid Bridge Replacement Project, 5.00%, 06/30/42 | | | 1,625 | | | | 1,728,870 | |
Refunding RB, AMT, National Gypson Co. Project, 5.50%, 11/01/44 | | | 500 | | | | 521,995 | |
Pennsylvania Higher Educational Facilities Authority, Refunding RB, Widener University Project, 5.00%, 07/15/38 | | | 250 | | | | 259,903 | |
Pennsylvania Housing Finance Agency, RB, AMT, State Single Family Housing Project, Series 123B, 4.00%, 10/01/42 | | | 1,180 | | | | 1,180,802 | |
Pennsylvania Turnpike Commission: | | | | | | | | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Pennsylvania (continued) | | | | | | |
RB, Series B, 5.25%, 12/01/44 | | $ | 1,000 | | | $ | 1,104,390 | |
RB, Sub-Series A, 5.50%, 12/01/42 | | | 660 | | | | 748,988 | |
Philadelphia Authority for Industrial Development, Refunding RB, First Series 2015, 5.00%, 04/01/45 | | | 500 | | | | 545,675 | |
Philadelphia Hospitals & Higher Education Facilities Authority, RB, Temple University Health System Project, Series A, 5.63%, 07/01/42 | | | 130 | | | | 139,003 | |
| | | | | | | | |
| | | | | | | 10,250,699 | |
| Puerto Rico — 2.6% | | | | | | |
Children’s Trust Fund, Refunding RB, Asset-Backed: | | | | | | | | |
5.50%, 05/15/39 | | | 630 | | | | 638,436 | |
5.63%, 05/15/43 | | | 895 | | | | 906,501 | |
Commonwealth of Puerto Rico: | | | | | | | | |
GO, Refunding, Series A, 8.00%, 07/01/35 (d)(e) | | | 380 | | | | 219,925 | |
GO, Refunding, Series A, 5.50%, 07/01/39 (d)(e) | | | 145 | | | | 83,738 | |
GO, Series A, 6.00%, 07/01/38 (d)(e) | | | 160 | | | | 94,400 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority, RB, Senior Lien, Series A: | | | | | | | | |
5.75%, 07/01/37 | | | 1,070 | | | | 1,015,162 | |
6.00%, 07/01/38 | | | 750 | | | | 722,813 | |
6.00%, 07/01/44 | | | 485 | | | | 467,419 | |
Puerto Rico Electric Power Authority: | | | | | | | | |
RB, Series A, 5.00%, 07/01/29 (d)(e) | | | 210 | | | | 137,550 | |
RB, Series A, 7.00%, 07/01/33 (d)(e) | | | 65 | | | | 42,737 | |
RB, Series A, 5.00%, 07/01/42 (d)(e) | | | 200 | | | | 131,000 | |
RB, Series TT, 5.00%, 07/01/25 (d)(e) | | | 45 | | | | 29,475 | |
RB, Series XX, 5.25%, 07/01/40 (d)(e) | | | 140 | | | | 91,700 | |
| | | | | | | | |
| | | | | | | 4,580,856 | |
| Rhode Island — 1.6% | | | | | | |
Rhode Island Student Loan Authority, Refunding RB, AMT, Senior, Series A, 3.50%, 12/01/34 | | | . 425 | | | | 418,272 | |
Tobacco Settlement Financing Corp., Refunding RB: | | | | | | | | |
Series A, 5.00%, 06/01/35 | | | 400 | | | | 428,972 | |
Series A, 5.00%, 06/01/40 | | | 100 | | | | 106,034 | |
Series B, 4.50%, 06/01/45 | | | 750 | | | | 757,702 | |
Series B, 5.00%, 06/01/50 | | | 1,040 | | | | 1,082,952 | |
| | | | | | | | |
| | | | | | | 2,793,932 | |
| South Carolina — 2.8% | | | | | | |
South Carolina Jobs EDA, Refunding RB: | | | | | | | | |
Lutheran Homes of South Carolina Project, 5.00%, 05/01/37 | | | 130 | | | | 134,673 | |
Woodlands at Furman Project, 4.00%, 11/15/27 | | | 185 | | | | 184,854 | |
South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/55 | | | 500 | | | | 545,560 | |
South Carolina State Public Service Authority: | | | | | | | | |
RB, Obligations, Series A, 5.50%, 12/01/54 | | | 1,240 | | | | 1,335,964 | |
RB, Series E, 5.25%, 12/01/55 | | | 1,930 | | | | 2,070,176 | |
Refunding RB, Obligations, Series C, 5.00%, 12/01/46 | | | 140 | | | | 147,417 | |
Refunding RB, Santee Cooper Project, Series B, 5.13%, 12/01/43 | | | 390 | | | | 410,452 | |
Refunding RB, Series A, 5.00%, 12/01/50 | | | . 190 | | | | 199,534 | |
| | | | | | | | |
| | | | | | | 5,028,630 | |
| | |
| 52 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Tennessee — 1.0% | | | | | | |
Chattanooga-Hamilton County Hospital Authority, Refunding RB, 5.00%, 10/01/44 | | $ | 250 | | | $ | 263,485 | |
Knox County Health Educational & Housing Facility Board, Refunding RB, Facilities Board-University Health Project, 5.00%, 04/01/36 | | | 690 | | | | 738,265 | |
Memphis-Shelby County Industrial Development Board, Refunding Tax Allocation Bonds, Senior Tax Increment, Graceland Project: | | | | | | | | |
5.50%, 07/01/37 | | | 360 | | | | 382,824 | |
5.63%, 01/01/46 | | | 470 | | | | 495,333 | |
| | | | | | | | |
| | | | | | | 1,879,907 | |
| Texas — 3.4% | | | | | | |
Bexar County Health Facilities Development Corp., Refunding RB, Army Retirement Residence Foundation Project, 5.00%, 07/15/26 | | | 250 | | | | 274,457 | |
Central Texas Regional Mobility Authority, RB, Senior Lien: | | | | | | | | |
6.25%, 01/01/46 | | | 175 | | | | 190,409 | |
Series A, 5.00%, 01/01/45 | | | 500 | | | | 542,510 | |
Central Texas Turnpike System, Refunding RB, Series C: | | | | | | | | |
5.00%, 08/15/37 | | | 200 | | | | 213,596 | |
5.00%, 08/15/42 | | | 250 | | | | 265,775 | |
City of Houston Airport System: | | | | | | | | |
RB, AMT, Series B-1, 5.00%, 07/15/35 | | | 100 | | | | 106,436 | |
Refunding RB, AMT, Series C, 5.00%, 07/15/20 | | | 140 | | | | 145,772 | |
Refunding RB, AMT, United Airlines, Inc. Project, 4.75%, 07/01/24 | | | 500 | | | | 533,535 | |
Refunding RB, AMT, United Airlines, Inc. Project, 5.00%, 07/01/29 | | | 500 | | | | 536,290 | |
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45 | | | 500 | | | | 538,780 | |
County of Hays, Special Assessment Bonds, La Cima Import District Project, 7.00%, 09/15/45 | | | 250 | | | | 244,075 | |
Fort Bend County Industrial Development Corp., RB, NRG Energy, Inc. Project, Series B, 4.75%, 11/01/42 | | | 465 | | | | 475,183 | |
Mesquite Health Facility Development Corp., Refunding RB, Christian Care Centers, Inc. Project, 5.13%, 02/15/42 | | | 250 | | | | 256,768 | |
New Hope Cultural Education Facilities Corp: | | | | | | | | |
RB, Legacy Midtown Park Project, Series A, 5.50%, 07/01/54 | | | 80 | | | | 78,038 | |
Refunding RB, Jubilee Academic Center Project, Series A, 4.00%, 08/15/26 (a) | | | 775 | | | | 758,066 | |
Newark Higher Education Finance Corp., RB: | | | | | | | | |
Austin Achieve Public Schools, Inc. Project, 5.00%, 06/15/38 | | | 125 | | | | 126,295 | |
Christian Schools, Inc. Project, Series A, 5.50%, 08/15/35 (a) | | | 300 | | | | 315,012 | |
North Texas Tollway Authority, Refunding RB, Series B, 5.00%, 01/01/40 | | | 250 | | | | 268,240 | |
Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Trinity Terrace Project, 5.00%, 10/01/49 | | | 250 | | | | 262,532 | |
| | | | | | | | |
| | | | | | | 6,131,769 | |
| Utah — 0.6% | | | | | | |
Utah Charter School Finance Authority RB: | | | | | | | | |
Early Light Academy Project, 5.13%, 07/15/49 (a) | | | 545 | | | | 526,546 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Utah (continued) | | | | | | |
Spectrum Academy Project, 6.00%, 04/15/45 (a) | | $ | 500 | | | $ | 514,215 | |
| | | | | | | | |
| | | | | | | 1,040,761 | |
| Virginia — 2.3% | | | | | | |
Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A: | | | | | | | | |
5.00%, 03/01/26 | | | 120 | | | | 122,878 | |
5.13%, 03/01/31 | | | 230 | | | | 236,718 | |
Cherry Hill Community Development Authority, Special Assessment Bonds, Potomac Shores Project, 5.40%, 03/01/45 (a) | | | 250 | | | | 254,320 | |
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51 | | | 810 | | | | 875,788 | |
Fairfax County EDA, RB, Vinson Hall LLC Project, Series A, 5.00%, 12/01/42 | | | 400 | | | | 420,380 | |
Lexington IDA, RB, Kendal at Lexington Project, Series A, 5.00%, 01/01/48 | | | 330 | | | | 351,846 | |
Lower Magnolia Green Community Development Authority, Special Assessment Bonds: | | | | | | | | |
5.00%, 03/01/35 (a) | | | 240 | | | | 242,482 | |
5.00%, 03/01/45 (a) | | | 100 | | | | 100,377 | |
Tobacco Settlement Financing Corp., RB, Senior, Series B1, 5.00%, 06/01/47 | | | 1,215 | | | | 1,214,964 | |
Virginia College Building Authority, RB, Green Bonds, Marymount University Project, 5.00%, 07/01/45 (a) | | | 250 | | | | 257,480 | |
| | | | | | | | |
| | | | | | | 4,077,233 | |
| Washington — 1.4% | | | | | | |
Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A, 5.50%, 09/01/42 | | | 250 | | | | 254,027 | |
King County Public Hospital District No. 4, GO, Refunding: | | | | | | | | |
Improvement, Snoqualmie Valley Hospital Project, 7.00%, 12/01/40 | | | 200 | | | | 204,740 | |
Series A, 5.00%, 12/01/30 | | | 200 | | | | 197,654 | |
Port of Seattle RB, AMT: | | | | | | | | |
Series A, 5.00%, 05/01/36 | | | 1,210 | | | | 1,341,600 | |
Series C, 5.00%, 04/01/40 | | | 250 | | | | 269,988 | |
Washington State Housing Finance Commission, Refunding RB, Skyline 1st Hill Project, 6.00%, 01/01/45 (a) | | | 210 | | | | 211,279 | |
| | | | | | | | |
| | | | | | | 2,479,288 | |
| West Virginia — 0.5% | | | | | | |
City of Martinsburg, RB, Kings Daughters Apartments Project, Series A-1, 4.63%, 12/01/43 | | | 430 | | | | 421,512 | |
West Virginia Hospital Finance Authority, RB, West Virginia University Health System Obligation Group Project, Series A, 4.00%, 06/01/51 | | | 475 | | | | 458,997 | |
| | | | | | | | |
| | | | | | | 880,509 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 53 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Wisconsin — 2.4% | | | | | | |
Public Finance Authority: | | | | | | | | |
RB, Alabama Proton Theray Center Project, Series A, 6.25%, 10/01/31 (a) | | $ | 195 | | | $ | 188,610 | |
RB, Alabama Proton Theray Center Project, Series A, 7.00%, 10/01/47 (a) | | | 195 | | | | 190,279 | |
RB, Delray Beach Radiation Therapy Project, 6.85%, 11/01/46 (a) | | | 275 | | | | 279,749 | |
RB, Delray Beach Radiation Therapy Project, 7.00%, 11/01/46 (a) | | | 155 | | | | 159,115 | |
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.00%, 12/01/45 | | | 340 | | | | 349,034 | |
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.15%, 12/01/50 | | | 210 | | | | 216,193 | |
RB, Limited American Prep Academy Project, 5.38%, 07/15/47 (a) | | | 335 | | | | 340,956 | |
RB, Senior-MD Proton Treatment Center Project, Series A-1, 6.38%, 01/01/48 (a) | | | 510 | | | | 520,103 | |
RB, Voyager Foundation, Inc. Project, Series A, 5.13%, 10/01/45 | | | 150 | | | | 151,482 | |
Refunding RB, AMT, Celanese Project, Series C, 4.30%, 11/01/30 (a) | | | 100 | | | | 102,403 | |
Refunding RB, AMT, Senior Obligation Group Project, 5.00%, 07/01/42 | | | 750 | | | | 784,583 | |
Refunding RB, Celanese Project, Series D, 4.05%, 11/01/30 (a) | | | 100 | | | | 100,452 | |
Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert Health, Inc. Project, 4.00%, 04/01/39 | | | 715 | | | | 706,127 | |
Wisconsin Housing & EDA, RB, WHPC Madison Pool Project, Series A, 4.55%, 07/01/37 | | | 165 | | | | 169,061 | |
| | | | | | | | |
| | | | | | | 4,258,147 | |
| | | | | | | | |
Total Municipal Bonds — 94.6% | | | | | | | | |
(Cost: $166,455,557) | | | | | | | 169,682,879 | |
| | | | | | | | |
|
Municipal Bonds Transferred to Tender Option Bond Trusts — 6.8%(f) | |
| | |
| Illinois — 1.0% | | | | | | |
Illinois State Toll Highway Authority, RB: | | | | | | | | |
Series A, 5.00%, 01/01/40 | | | 660 | | | | 721,538 | |
Series C, 5.00%, 01/01/38 | | | 1,000 | | | | 1,089,378 | |
| | | | | | | | |
| | | | | | | 1,810,916 | |
| New York — 3.3% | | | | | | |
City of New York Housing Development Corp., RB, Series D-1-B, 4.25%, 11/01/45 | | | 1,000 | | | | 1,013,618 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| New York (continued) | | | | | | |
New York State Dormitory Authority Personal Income Tax Revenue, Refunding RB, Series E, 5.00%, 03/15/36 | | $ | 3,330 | | | $ | 3,717,745 | |
Port Authority of New York & New Jersey Refunding, RB, 194th Series, 5.25%, 10/15/55 | | | 1,000 | | | | 1,124,420 | |
| | | | | | | | |
| | | | | | | 5,855,783 | |
| North Carolina — 1.0% | | | | | | |
North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55 | | | 1,000 | | | | 1,107,835 | |
North Carolina State Housing Finance Agency Home Ownership, RB, Series 39-B, 4.00%, 01/01/48 | | | 795 | | | | 793,596 | |
| | | | | | | | |
| | | | | | | 1,901,431 | |
| Washington — 0.8% | | | | | | |
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45 | | | 1,340 | | | | 1,479,828 | |
| | | | | | | | |
| West Virginia — 0.7% | | | | | | |
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48 (g) | | | 1,215 | | | | 1,208,589 | |
| | | | | | | | |
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 6.8% | | | | | | | | |
(Cost: $12,121,736) | | | | | | | 12,256,547 | |
| | | | | | | | |
Total Long-Term Investments — 101.4% | | | | | | | | |
(Cost: $178,577,293) | | | | | | | 181,939,426 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| Short-Term Securities — 3.7% | | | | | | |
| | |
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 1.40% (h) | | | 6,579,908 | | | | 6,579,908 | |
| | | | | | | | |
| Total Short-Term Securities — 3.7% | | | | | | |
(Cost: $6,579,801) | | | | | | | 6,579,908 | |
| | | | | | | | |
| Total Investments — 105.1% | | | | | | |
(Cost: $185,157,094) | | | | | | | 188,519,334 | |
Liabilities in Excess of Other Assets — (1.4)% | | | | | | | (2,528,081 | ) |
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (3.7)% | | | | | | | (6,681,950 | ) |
| | | | | | | | |
Net Assets — 100.0% | | | | | | $ | 179,309,303 | |
| | | | | | | | |
| (a) | 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. |
| (c) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (d) | Issuer filed for bankruptcy and/or is in default. |
| (e) | Non-income producing security. |
| (f) | Represents bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details. |
| (g) | All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expires June 1, 2026, is $635,092. See Note 4 of the Notes to Financial Statements for details. |
| (h) | Annualized 7-day yield as of period end. |
| | |
| 54 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount
(000) | | | Value/
Unrealized
Appreciation
(Depreciation) | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds (30 Year) | | | 33 | | | | 12/19/18 | | | | $4,637 | | | $ | 132,929 | | | | | |
U.S. Treasury Notes (10 Year) | | | 9 | | | | 12/19/18 | | | | 1,069 | | | | 13,205 | | | | | |
U.S. Treasury Notes (5 Year) | | | 2 | | | | 12/31/18 | | | | 225 | | | | 1,853 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 147,987 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative instruments located in the Statements of Assets and Liabilities were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets — Derivative Financial Instruments | | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Futures contracts | |
| Net unrealized
appreciation |
(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 147,987 | | | $ | — | | | $ | 147,987 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | |
For the six months ended September 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Realized Gain from: | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (105,329 | ) | | $ | — | | | $ | (105,329 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 405,848 | | | $ | — | | | $ | 405,848 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — short | | $ | 8,153,293 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 55 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series E Portfolio |
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments(a) | | $ | — | | | $ | 181,939,426 | | | $ | — | | | $ | 181,939,426 | |
Short-Term Securities | | | 6,579,908 | | | | — | | | | — | | | | 6,579,908 | |
| | | | | | | | | | | | | | | | |
| | $ | 6,579,908 | | | $ | 181,939,426 | | | $ | — | | | $ | 188,519,334 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | 147,987 | | | $ | — | | | $ | — | | | $ | 147,987 | |
| | | | | | | | | | | | | | | | |
| | (a) | See above Schedule of Investments for values in each security type. | |
| | (b) | Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. | |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, TOB Trust Certificates of $6,635,000 are categorized as Level 2 within the disclosure hierarchy.
During the six months ended September 30, 2018, there were no transfers between levels.
See notes to financial statements.
| | |
| 56 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) September 30, 2018 | | Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Asset-Backed Securities — 0.4% | | | | | | | | |
Progress Residential Trust: | | | | | | | | |
Series 2015-SFR2, Class A,
2.74%, 06/12/32 (a) | | $ | 1,376 | | | $ | 1,356,628 | |
Series 2017-SFR1, Class A,
2.77%, 08/17/34 (a) | | | 867 | | | | 836,019 | |
SMB Private Education Loan Trust, Series 2015-C, Class A3, (1 mo. LIBOR US + 1.950%), 4.11%, 08/16/32 (a)(b) | | | 1,000 | | | | 1,034,218 | |
| | | | | | | | |
Total Asset-Backed Securities — 0.4%
(Cost: $3,237,614) | | | | 3,226,865 | |
| | | | | | | | |
|
Non-Agency Mortgage-Backed Securities — 13.7% | |
| |
| Commercial Mortgage-Backed Securities — 12.3% | | | | |
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35 (a) | | | 945 | | | | 956,129 | |
Bancorp Commercial Mortgage Trust, Series 2016-CRE1, Class A, (1 mo. LIBOR US + 1.430%), 3.49%, 11/15/33 (a)(b) | | | 222 | | | | 221,847 | |
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33 (a) | | | 3,920 | | | | 3,866,578 | |
Caesars Palace Las Vegas Trust,
Series 2017-VICI, Class A,
3.53%, 10/15/34 (a) | | | 1,970 | | | | 1,968,491 | |
CCRESG Commercial Mortgage Trust: | | | | | | | | |
Series 2016-HEAT, Class A,
3.36%, 04/10/29 (a) | | | 1,750 | | | | 1,734,931 | |
Series 2016-HEAT, Class D,
5.67%, 04/10/29 (a)(c) | | | 1,330 | | | | 1,349,974 | |
CCUBS Commercial Mortgage Trust, Series 2017-C1, Class A4, 3.54%, 11/15/50 | | | 1,408 | | | | 1,369,788 | |
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48 | | | 1,580 | | | | 1,582,831 | |
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A5,
3.86%, 05/10/47 | | | 2,295 | | | | 2,328,827 | |
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A,
2.87%, 11/10/31 (a)(c) | | | 2,005 | | | | 1,932,472 | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2013-CR6, Class A3FL, (1 mo. LIBOR US + 0.630%), 2.77%, 03/10/46 (a)(b) | | | 711 | | | | 711,486 | |
Series 2013-CR13, Class A4,
4.19%, 11/10/46 (c) | | | 3,500 | | | | 3,614,944 | |
Series 2014-LC15, Class A4,
4.01%, 04/10/47 | | | 2,025 | | | | 2,070,872 | |
Series 2014-UBS2, Class A5,
3.96%, 03/10/47 | | | 1,215 | | | | 1,234,990 | |
Series 2015-LC23, Class ASB,
3.60%, 10/10/48 | | | 3,730 | | | | 3,736,184 | |
Series 2017-PANW, Class A,
3.24%, 10/10/29 (a) | | | 3,960 | | | | 3,850,307 | |
Credit Suisse Mortgage Capital Certificates,
Series 2017-CALI, Class A,
3.43%, 11/10/32 (a) | | | 1,180 | | | | 1,163,304 | |
Credit Suisse Mortgage Trust, Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 3.76%, 11/15/33 (a)(b) | | | 395 | | | | 397,078 | |
CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class A5, 4.03%, 04/15/51 (c) | | | 1,190 | | | | 1,206,666 | |
Deutsche Bank UBS Mortgage Trust, Series 2017-BRBK, Class A, 3.45%, 10/10/34 (a) | | | 1,860 | | | | 1,837,099 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| |
| Commercial Mortgage-Backed Securities (continued) | | | | |
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A, 5.37%, 05/03/32 (a) | | $ | 910 | | | $ | 995,727 | |
GS Mortgage Securities Corp. Trust,
Series 2018-CHLL, Class D, (1 mo. LIBOR US + 1.650%), 3.81%, 02/15/37 (a)(b) | | | 250 | | | | 251,564 | |
IMT Trust, Series 2017-APTS, Class BFX,
3.61%, 06/15/34 (a)(c) | | | 2,425 | | | | 2,373,417 | |
JPMBB Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2014-C23, Class ASB, 3.66%, 09/15/47 | | | 5,970 | | | | 6,020,919 | |
Series 2016-C1 ,Class ASB, 3.32%, 03/15/49 | | | 3,500 | | | | 3,471,400 | |
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class D, 4.73%, 03/15/50 (a)(c) | | | 140 | | | | 133,472 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2016-NINE, Class A, 2.95%, 10/06/38 (a)(c) | | | 1,790 | | | | 1,677,415 | |
Series 2017-JPS, Class D, 4.80%, 03/15/50 (a)(c) | | | 1,860 | | | | 1,806,768 | |
Series 2018-WPT, Class AFX, 4.25%, 07/05/33 (a) | | | 2,510 | | | | 2,571,555 | |
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), 2.70%, 11/24/31 (a)(b) | | | 620 | | | | 620,000 | |
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49 (a) | |
| .
2,740 |
| | | 2,636,651 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | |
Series 2013-C13, Class A4, 4.04%, 11/15/46 | | | 1,170 | | | | 1,193,214 | |
Series 2015-C23, Class A4, 3.72%, 07/15/50 | | | 3,005 | | | | 3,014,824 | |
Morgan Stanley Capital I Trust: | | | | | | | | |
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 | | | 3,730 | | | | 3,672,787 | |
Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 4.11%, 11/15/34 (a)(b) | | | 1,450 | | | | 1,454,531 | |
RAIT Trust, Series 2017-FL7, Class A, (1 mo. LIBOR US + 0.950%), 3.11%, 06/15/37 (a)(b) | | | 1,196 | | | | 1,196,380 | |
Seasoned Credit Risk Transfer Trust: | | | | | | | | |
Series 2018-2, Class MA, 3.50%, 11/25/57 | | | 1,715 | | | | 1,698,936 | |
Series 2018-3, Class MA, 3.50%, 08/25/57 | | | 2,340 | | | | 2,317,738 | |
Wells Fargo Commercial Mortgage Trust: | | | | | | | | |
Series 2015-LC22, Class ASB, 3.57%, 09/15/58 | | | 3,845 | | | | 3,860,257 | |
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 | | | 3,920 | | | | 3,899,543 | |
Series 2015-P2, Class AS, 4.01%, 12/15/48 | | | 1,605 | | | | 1,606,928 | |
WFRBS Commercial Mortgage Trust: | | | | | | | | |
Series 2012-C8, Class AFL, (1 mo. LIBOR US + 1.000%), 3.16%, 08/15/45 (a)(b) | | | 3,125 | | | | 3,171,583 | |
Series 2014-C21, Class A4, 3.41%, 08/15/47 | | | 2,805 | | | | 2,786,723 | |
Series 2014-C21, Class A5, 3.68%, 08/15/47 | | | 1,000 | | | | 1,002,482 | |
Series 2014-LC14, Class A4, 3.77%, 03/15/47 | | | 5,590 | | | | 5,637,005 | |
| | | | | | | | |
| | | | | | | 96,206,617 | |
| Interest Only Commercial Mortgage-Backed Securities — 1.4% | |
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, 1.00%, 09/15/48 (c) | | | 1,719 | | | | 79,301 | |
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.90%, 05/10/58 (c) | | | 5,431 | | | | 526,799 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 57 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
Citigroup Commercial Mortgage Trust,
Series 2017-P8, Class XA,
1.07%, 09/15/50 (c) | | $ | 6,702 | | | $ | 433,523 | |
Commercial Mortgage Trust, Series 2014-LC17, Class XA, 1.07%, 10/10/47 (c)(d) | | | 71,041 | | | | 1,909,713 | |
Core Industrial Trust: | | | | | | | | |
Series 2015-TEXW, Class XA,
0.90%, 02/10/34 (a)(c) | | | 18,460 | | | | 409,873 | |
Series 2015-WEST, Class XA,
1.08%, 02/10/37 (a)(c) | | | 9,127 | | | | 475,567 | |
Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class X1,
0.70%, 09/15/37 (a)(c) | | | 26,000 | | | | 782,080 | |
DBJPM Mortgage Trust, Series 2016-C1, Class XA, 1.64%, 05/10/49 (c) | | | 8,270 | | | | 688,423 | |
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/48 (a)(c) | | | 133,861 | | | | 351,854 | |
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.24%, 04/10/47 (c) | | | 706 | | | | 28,488 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA,
0.90%, 12/15/49 (c) | | | 99,014 | | | | 4,597,266 | |
Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class XA,
0.93%, 05/15/51 (c) | | | 11,130 | | | | 625,788 | |
| | | | | | | | |
| | | | | | | 10,908,675 | |
| | | | | | | | |
Total Non-Agency Mortgage-Backed
Securities — 13.7%
(Cost: $110,326,142) | | | | 107,115,292 | |
| | | | | | | | |
|
U.S. Government Sponsored Agency
Securities — 137.4% | |
| | |
| Collateralized Mortgage Obligations — 3.0% | | | | | | |
Fannie Mae: | | | | | | | | |
Series 2011-8, Class ZA, 4.00%, 02/25/41 | | | 2,644 | | | | 2,662,101 | |
Series 2017-69, Class HA, 3.00%, 06/25/46 | | | 5,841 | | | | 5,707,990 | |
Series 2017-76, Class PB, 3.00%, 10/25/57 | | | 900 | | | | 792,767 | |
Series 2017-87, Class UA, 3.50%, 12/25/44 | | | 2,924 | | | | 2,896,086 | |
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.233%), 4.65%, 05/25/48 (b) | | | 3,933 | | | | 3,876,534 | |
Freddie Mac: | | | | | | | | |
Series 3745, Class ZA, 4.00%, 10/15/40 | | | 316 | | | | 316,466 | |
Series 3780, Class ZA, 4.00%, 12/15/40 | | | 596 | | | | 597,591 | |
Series 3960, Class PL, 4.00%, 11/15/41 | | | 900 | | | | 918,471 | |
Series 4384, Class LB, 3.50%, 08/15/43 | | | 1,400 | | | | 1,375,852 | |
Ginnie Mae: | | | | | | | | |
Series 2014-12, Class ZA, 3.00%, 01/20/44 | | | 1,849 | | | | 1,688,774 | |
Series 2014-62, Class Z, 3.00%, 04/20/44 | | | 1,540 | | | | 1,416,064 | |
Series 2014-107, Class WX,
6.81%, 07/20/39 (c) | | | 1,008 | | | | 1,105,526 | |
| | | | | | | | |
| | | | | | | 23,354,222 | |
| Interest Only Collateralized Mortgage Obligations — 1.3% | |
Fannie Mae: | | | | | | | | |
Series 2011-100, Class S, (1 mo. LIBOR US + 6.450%), 4.23%, 10/25/41 (b) | | | 1,328 | | | | 192,569 | |
Series 2013-10, Class PI, 3.00%, 02/25/43 | | | 2,649 | | | | 278,061 | |
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.250%), 4.03%, 09/25/45 (b) | | | 13,128 | | | | 1,621,846 | |
Series 2016-60, Class SD, (1 mo. LIBOR US + 6.100%), 3.88%, 09/25/46 (b) | | | 3,191 | | | | 402,966 | |
Series 2016-64, Class BI, 5.00%, 09/25/46 | | | 2,940 | | | | 571,103 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
|
| Interest Only Collateralized Mortgage Obligations (continued) | |
Series 2016-78, Class CS, (1 mo. LIBOR US + 6.100%), 3.88%, 05/25/39 (b) | | $ | 4,015 | | | $ | 509,896 | |
Series 2016-81, Class CS, (1 mo. LIBOR US + 6.100%), 3.88%, 11/25/46 (b) | | | 6,016 | | | | 741,091 | |
Series 2017-14, Class DS, (1 mo. LIBOR US + 6.050%), 3.83%, 03/25/47 (b) | | | 2,521 | | | | 393,639 | |
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.150%), 3.93%, 09/25/47 (b) | | | 3,212 | | | | 539,263 | |
Series 2018-21, Class IO, 3.00%, 04/25/48 | | | 8,398 | | | | 1,599,731 | |
Series 2018-63, Class IO, 3.01%, 09/25/48 | | | 3,286 | | | | 668,315 | |
Freddie Mac, Series 4611, Class BS, (1 mo. LIBOR US + 6.100%) 3.94%, 06/15/41 (b) | | | 5,459 | | | | 671,276 | |
Government National Mortgage Association: | | | | | | | | |
Series 2014-113, Class NI, 5.00%, 07/20/44 | | | 969 | | | | 207,228 | |
Series 2017-139, Class IB, 4.50%, 09/20/47 | | | 3,074 | | | | 589,450 | |
Series 2017-144, Class DI, 4.50%, 09/20/47 | | | 2,181 | | | | 415,146 | |
Series 2018-89, Class CI, 5.00%, 12/20/47 | | | 1,904 | | | | 420,776 | |
| | | | | | | | |
| | | | | | | 9,822,356 | |
| Interest Only Commercial Mortgage-Backed Securities — 2.4% | |
Freddie Mac, Series K064, Class X1,
0.74%, 03/25/27 (c) | | | 34,828 | | | | 1,517,158 | |
Ginnie Mae: | | | | | | | | |
Series 2013-63, Class IO, 0.79%, 09/16/51 (c) | | | 23,010 | | | | 1,201,128 | |
Series 2015-171, Class IO, 0.89%, 11/16/55 (c) | | | 40,933 | | | | 2,519,188 | |
Series 2016-45, Class IO, 1.01%, 02/16/58 (c) | | | 45,523 | | | | 3,453,643 | |
Series 2016-105, Class IO, 1.06%, 10/16/57 (c) | | | 20,189 | | | | 1,579,755 | |
Series 2016-119, Class IO, 1.13%, 04/16/58 (c) | | | 39,607 | | | | 3,232,144 | |
Series 2016-128, Class IO, 0.95%, 09/16/56 (c) | | | 24,455 | | | | 1,917,162 | |
Series 2017-53, Class IO, 0.69%, 11/16/56 (c) | | | 17,360 | | | | 1,021,568 | |
Series 2017-54, Class IO, 0.65%, 12/16/58 (c) | | | 2,940 | | | | 179,388 | |
Series 2017-61, Class IO, 0.77%, 05/16/59 (c) | | | 4,255 | | | | 316,097 | |
Series 2017-64, Class IO, 0.72%, 11/16/57 (c) | | | 32,559 | | | | 2,144,206 | |
| | | | | | | | |
| | | | | | | 19,081,437 | |
| Mortgage-Backed Securities — 130.7% | | | | | | |
Fannie Mae Mortgage-Backed Securities: | | | | | | | | |
2.00%, 10/01/31-03/01/32 | | | 3,387 | | | | 3,177,130 | |
2.50%, 09/01/27-10/01/33 (e) | | | 28,527 | | | | 27,614,684 | |
3.00%, 04/01/28-10/01/48 (e) | | | 195,671 | | | | 190,380,616 | |
3.50%, 03/01/29-10/01/48 (e) | | | 105,082 | | | | 104,089,041 | |
4.00%, 02/01/31-01/01/57 (e) | | | 103,777 | | | | 105,595,896 | |
4.50%, 05/01/24-10/01/48 (e) | | | 73,659 | | | | 76,512,807 | |
5.00%, 02/01/35-10/01/48 (e) | | | 12,321 | | | | 13,018,134 | |
5.03%, 09/01/44 | | | 247 | | | | 258,126 | |
5.50%, 05/01/34-05/01/44 | | | 7,089 | | | | 7,651,941 | |
6.00%, 02/01/38-07/01/41 | | | 4,398 | | | | 4,844,732 | |
6.50%, 05/01/36-01/01/38 | | | 62 | | | | 67,895 | |
Freddie Mac Mortgage-Backed Securities: | | | | | | | | |
2.50%, 02/01/30-10/01/33 (e) | | | 13,728 | | | | 13,248,746 | |
3.00%, 09/01/27-10/01/48 (e) | | | 56,796 | | | | 54,894,745 | |
3.50%, 09/01/30-10/01/48 (e) | | | 28,848 | | | | 28,609,952 | |
4.00%, 10/01/33-10/01/48 (e) | | | 38,484 | | | | 39,089,060 | |
4.50%, 04/01/20-10/01/48 (e) | | | 20,369 | | | | 21,186,738 | |
5.00%, 05/01/28-10/01/48 | | | 4,385 | | | | 4,642,270 | |
5.50%, 01/01/28-06/01/41 | | | 1,879 | | | | 2,030,006 | |
6.00%, 08/01/28-11/01/39 | | | 712 | | | | 786,351 | |
| | |
| 58 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| Mortgage-Backed Securities (continued) | | | | | | |
Ginnie Mae Mortgage-Backed Securities: | | | | | | | | |
2.50%, 10/01/48 | | $ | 1,960 | | | $ | 1,838,189 | |
3.00%, 12/20/44-10/01/48 (e) | | | 50,120 | | | | 48,651,026 | |
3.50%, 01/15/42-10/01/48 (e) | | | 111,485 | | | | 111,006,145 | |
4.00%, 04/20/39-10/01/48 (e) | | | 120,698 | | | | 122,734,549 | |
4.50%, 09/20/39-10/01/48 (e) | | | 29,564 | | | | 30,667,057 | |
5.00%, 07/15/33-10/01/48 | | | 6,665 | | | | 6,998,947 | |
5.50%, 07/15/38-12/20/41 | | | 1,098 | | | | 1,180,486 | |
| | | | | | | | |
| | | | | | | 1,020,775,269 | |
Total U.S. Government Sponsored Agency
Securities — 137.4%
(Cost: $1,090,382,261) | | | | 1,073,033,284 | |
| | | | | | | | |
|
U.S. Treasury Obligations — 1.0% | |
U.S. Treasury Inflation Indexed Notes, 0.63%, 04/15/23 | | | 7,812 | | | | 7,710,621 | |
| | | | | | | | |
Total U.S. Treasury Obligations — 1.0%
(Cost: $7,710,847) | | | | 7,710,621 | |
| | | | | | | | |
Total Long-Term Investments — 152.5%
(Cost: $1,211,656,864) | | | | 1,191,086,062 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
Short-Term Securities — 2.0% | |
|
| Money Market Fund — 0.6% | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.91% (f) | | | 4,790,216 | | | | 4,790,216 | |
| | | | | | | | |
| | |
| | | Par (000) | | | | |
| U.S. Treasury Obligations — 1.4% | | | | | | |
United States Treasury Bill,
2.15%, 12/27/18 | | | 10,979 | | | | 10,921,889 | |
| | | | | | | | |
Total U.S. Treasury Obligations — 1.4%
(Cost: $10,922,094) | | | | 10,921,889 | |
| | | | | | | | |
Total Short-Term Securities — 2.0%
(Cost: $15,712,310) | | | | 15,712,105 | |
| | | | | | | | |
Total Investments Before TBA
Commitments — 154.5%
(Cost: $1,227,369,174) | | | | 1,206,798,167 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
TBA Sale Commitments — (34.3)%(e) | |
|
| Mortgage-Backed Securities — (34.3)% | |
Fannie Mae Mortgage-Backed Securities: | | | | | | | | |
3.50%, 10/01/32-10/01/48 | | $ | (41,186) | | | $ | (40,669,228 | ) |
2.00%, 10/01/33 | | | (2,087 | ) | | | (1,956,510 | ) |
2.50%, 10/01/33 | | | (5,849 | ) | | | (5,642,995 | ) |
3.00%, 10/01/33-10/01/48 | | | (41,223 | ) | | | (39,455,752 | ) |
4.00%, 10/01/33-10/01/48 | | | (26,930 | ) | | | (27,236,027 | ) |
4.50%, 10/01/48 | | | (28,964 | ) | | | (29,877,486 | ) |
5.00%, 10/01/48 | | | (5,478 | ) | | | (5,750,219 | ) |
Freddie Mac Mortgage-Backed Securities: | | | | | | | | |
2.50%, 10/01/33 | | | (510 | ) | | | (491,654 | ) |
3.00%, 10/01/48 | | | (586 | ) | | | (560,675 | ) |
3.50%, 10/01/48 | | | (14,340 | ) | | | (14,113,358 | ) |
4.00%, 10/01/48 | | | (507 | ) | | | (511,969 | ) |
4.50%, 10/01/48 | | | (953 | ) | | | (983,563 | ) |
6.00%, 10/01/48 | | | (600 | ) | | | (651,609 | ) |
Ginnie Mae Mortgage-Backed Securities: | | | | | | | | |
3.00%, 10/15/48 | | | (642 | ) | | | (621,737 | ) |
3.50%, 10/15/48 | | | (30,800 | ) | | | (30,625,546 | ) |
4.00%, 10/15/48 | | | (56,410 | ) | | | (57,368,530 | ) |
4.50%, 10/15/48 | | | (11,200 | ) | | | (11,574,129 | ) |
| | | | | | | | |
Total TBA Sale Commitments — (34.3)%
(Proceeds: $268,464,099) | | | | (268,090,987 | ) |
| | | | | | | | |
Total Investments Net of TBA Sale
Commitments — 120.2%
(Cost: $958,905,075) | | | | 938,707,180 | |
Liabilities in Excess of Other Assets — (20.2)% | | | | (157,621,394 | ) |
| | | | | | | | |
Net Assets — 100.0% | | | $ | 781,085,786 | |
| | | | | | | | |
| (a) | 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. |
| (b) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (c) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (e) | Represents or includes a TBA transaction. |
| (f) | Annualized 7-day yield as of period end. |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 59 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series M Portfolio |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | | | | | | |
| |
| Description | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount
(000) | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| |
Long Contracts | | | | | | | | | | | | | | | | |
| U.S. Treasury Notes (10 Year) | | | 1 | | | | 12/19/18 | | | $ | 119 | | | $ | 14 | |
| U.S. Ultra Treasury Bonds | | | 13 | | | | 12/19/18 | | | | 2,006 | | | | (75,753 | ) |
| Euro Dollar | | | 318 | | | | 09/16/19 | | | | 77,051 | | | | (86,227 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (161,966 | ) |
| | | | | | | | | | | | | | | | |
| Short Contracts | | | | | | | | | | | | | | | | |
| Euro Dollar | | | 14 | | | | 12/17/18 | | | | 3,407 | | | | 857 | |
| U.S. Treasury Bonds (30 Year) | | | 43 | | | | 12/19/18 | | | | 6,042 | | | | 97,476 | |
| U.S. Ultra Treasury Notes (10 Year) | | | 32 | | | | 12/19/18 | | | | 4,032 | | | | 69,146 | |
| U.S. Treasury Notes (2 Year) | | | 40 | | | | 12/31/18 | | | | 8,429 | | | | 6,292 | |
| U.S. Treasury Notes (5 Year) | | | 298 | | | | 12/31/18 | | | | 33,518 | | | | 179,803 | |
| Euro Dollar | | | 14 | | | | 03/18/19 | | | | 3,401 | | | | 1,436 | |
| Euro Dollar | | | 14 | | | | 06/17/19 | | | | 3,395 | | | | 12,804 | |
| Euro Dollar | | | 14 | | | | 12/16/19 | | | | 3,390 | | | | 5,008 | |
| Euro Dollar | | | 14 | | | | 03/16/20 | | | | 3,389 | | | | 4,452 | |
| Euro Dollar | | | 14 | | | | 06/15/20 | | | | 3,389 | | | | 5,895 | |
| Euro Dollar | | | 14 | | | | 09/14/20 | | | | 3,389 | | | | 857 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 384,026 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 222,060 | |
| | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Paid by the Fund | | Received by the Fund | | | | | Termination
Date | | | Notional
Amount
(000) | | | Value | | | Upfront
Premium
Paid | | | Unrealized
Appreciation | |
| Rate | | Frequency | | Rate | | Frequency |
| |
| 2.50% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | | | 01/29/23 | | | $ | 36,309 | | | $ | 813,935 | | | $ | 479 | | | $ | 813,456 | |
| 2.71% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | | | 02/06/23 | | | $ | 36,607 | | | | 506,868 | | | | 483 | | | | 506,385 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 1,320,803 | | | $ | 962 | | | $ | 1,319,841 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Reference Obligation | | Financing Rate
Received
by the
Fund | | | | Payment
Frequency | | Counterparty | | | | Termination
Date | | Credit
Rating(a) | | Notional
Amount
(000)(b) | | | Value | | | Upfront
Premium
Received | | | Unrealized
Appreciation | |
| |
CMBX.NA.9.BBB- | | 3.00% | | | | Monthly | | Deutsche Bank AG | | | | 09/17/58 | | Not Rated | | $ | 8,000 | | | $ | (474,129 | ) | | $ | (996,595 | ) | | $ | 522,466 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using S&P’s rating of the underlying securities of the index. | |
| | (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
| | | | | | | | | | | | | | | | |
| |
| | | Swap Premiums
Paid | | | Swap Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| |
Centrally Cleared Swaps(a) | | $ | 962 | | | $ | — | | | $ | 1,629,030 | | | $ | 309,190 | |
OTC Swaps | | | — | | | | 996,595 | | | | 522,466 | | | | — | |
| |
| | (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. | |
| | |
| 60 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series M Portfolio |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Assets — Derivative Financial Instruments | | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency Exchange
Contracts | | | Interest Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Futures contracts | |
| Net unrealized
appreciation(a) |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 384,040 | | | $ | — | | | $ | 384,040 | |
Swaps — centrally cleared | |
| Net unrealized
appreciation(a) |
| | | — | | | | — | | | | — | | | | — | | | | 1,319,841 | | | | — | | | | 1,319,841 | |
Swaps — OTC | |
| Unrealized
appreciation on
OTC swaps |
| | | — | | | | 522,466 | | | | — | | | | — | | | | — | | | | — | | | | 522,466 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | 522,466 | | | $ | — | | | $ | — | | | $ | 1,703,881 | | | $ | — | | | $ | 2,226,347 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Futures contracts | |
| Net unrealized
depreciation(a) |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 161,980 | | | $ | — | | | $ | 161,980 | |
Swaps — OTC | |
| Swap premiums
received |
| | | — | | | | 996,595 | | | | — | | | | — | | | | — | | | | — | | | | 996,595 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | 996,595 | | | $ | — | | | $ | — | | | $ | 161,980 | | | $ | — | | | $ | 1,158,575 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | |
For the six months ended September 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Net Realized Gain (Loss) from: | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 826,125 | | | $ | — | | | $ | 826,125 | |
Swaps | | | — | | | | 36,485 | | | | — | | | | — | | | | 53,308 | | | | — | | | | 89,793 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 36,485 | | | $ | — | | | $ | — | | | $ | 879,433 | | | $ | — | | | $ | 915,918 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
| |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 602,077 | | | $ | — | | | $ | 602,077 | |
Swaps | | | — | | | | 703,798 | | | | — | | | | — | | | | 888,403 | | | | — | | | | 1,592,201 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 703,798 | | | $ | — | | | $ | — | | | $ | 1,490,480 | | | $ | — | | | $ | 2,194,278 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | | | |
| | | |
| | Futures contracts: | | | | |
| | Average notional value of contracts — long | | $ | 40,385,731 | |
| | Average notional value of contracts — short | | | 82,809,438 | |
| | Credit default swaps: | | | | |
| | Average notional value — buy protection | | | 8,300,000 | |
| | Average notional value — sell protection | | | 8,000,000 | |
| | Interest rate swaps: | | | | |
| | Average notional value — pays fixed rate | | | 72,916,000 | |
| | | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 61 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series M Portfolio |
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| | | | | | | | |
| | | Assets | | | Liabilities | |
| |
Derivative Financial Instruments: | | | | | | | | |
Futures contracts | | $ | 22,102 | | | $ | 26,664 | |
Swaps — Centrally cleared | | | — | | | | 40,586 | |
Swaps — OTC(a) | | | 522,466 | | | | 996,595 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 544,568 | | | $ | 1,063,845 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (22,102 | ) | | | (67,250 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 522,466 | | | $ | 996,595 | |
| | | | | | | | |
| | (a) | 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:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative
Assets
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a) | | | Non-cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount
of
Derivative
Assets | |
| |
Deutsche Bank AG | | $ | 522,466 | | | $ | (522,466 | ) | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative
Liabilities
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a) | | | Non-cash
Collateral
Pledged | | | Cash
Collateral
Pledged(b) | | | Net Amount
of
Derivative
Liabilities | |
| |
Deutsche Bank AG | | $ | 996,595 | | | $ | (522,466 | ) | | $ | — | | | $ | (474,129 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. | |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 3,226,865 | | | $ | — | | | $ | 3,226,865 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 105,205,579 | | | | 1,909,713 | | | | 107,115,292 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 1,073,033,284 | | | | — | | | | 1,073,033,284 | |
U.S. Treasury Obligations | | | — | | | | 7,710,621 | | | | — | | | | 7,710,621 | |
Short-Term Securities | | | 4,790,216 | | | | 10,921,889 | | | | — | | | | 15,712,105 | |
Liabilities: | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (268,090,987 | ) | | | — | | | | (268,090,987 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 4,790,216 | | | $ | 932,007,251 | | | $ | 1,909,713 | | | $ | 938,707,180 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 522,466 | | | $ | — | | | $ | 522,466 | |
Interest rate contracts | | | 384,040 | | | | 1,319,841 | | | | — | | | | 1,703,881 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | — | | | | — | | | | — | |
Interest rate contracts | | | (161,980 | ) | | | — | | | | — | | | | (161,980 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 222,060 | | | $ | 1,842,307 | | | $ | — | | | $ | 2,064,367 | |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. | |
During the six months ended September 30, 2018, there were no transfers between levels.
See notes to financial statements.
| | |
| 62 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series P Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
Affiliated Investment Companies — 30.0% | |
BlackRock Allocation Target Shares: Series S Portfolio (a) | | | 2,439,280 | | | $ | 22,831,663 | |
| | | | | | | | |
| | | | | | |
| | | | | Value | |
Total Affiliated Investment Companies — 30.0%
(Cost: $23,643,283) | | $ | 22,831,663 | |
Other Assets Less Liabilities — 70.0% | | | 53,332,755 | |
| | | | | | |
Net Assets — 100.0% | | $ | 76,164,418 | |
| | | | | | |
| (a) | During the six months ended September 30, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Affiliate | | Shares Held at
03/31/18 | | | Shares
Purchased | | | Shares Sold | | | Shares Held at
09/30/18 | | | Value at
09/30/18 | | | Income | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
| |
BlackRock Allocation Target Shares: Series S Portfolio | | | 2,660,907 | | | | 2,469,348 | | | | 2,690,975 | | | | 2,439,280 | | | $ | 22,831,663 | | | $ | 312,066 | | | $ | (91,575 | ) | �� | $ | 40,910 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | | | | | | |
| |
| Description | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount
(000) | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | | 72 | | | | 12/19/18 | | | $ | 8,552 | | | $ | 89,250 | |
U.S. Ultra Treasury Notes (10 Year) | | | 36 | | | | 12/19/18 | | | | 4,536 | | | | 31,047 | |
U.S. Treasury Notes (2 Year) | | | 47 | | | | 12/31/18 | | | | 9,905 | | | | 22,698 | |
U.S. Treasury Notes (5 Year) | | | 9 | | | | 12/31/18 | | | | 1,012 | | | | 6,739 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 149,734 | |
| | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Paid by the Fund | | Received by the Fund | | | | Termination Date | | | Notional
Amount (000) | | | Value | | | Upfront
Premium
Paid (Recieved) | | | Unrealized
Appreciation (Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency | | |
| |
| 3.11% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | 05/21/25 | | | $ | 14,320 | | | $ | (138,161 | ) | | $ | 195 | | | $ | (138,356 | ) |
| 2.23% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | 04/24/27 | | | $ | 26,460 | | | | 1,653,673 | | | | 383 | | | | 1,653,290 | |
| 2.27% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | 05/18/27 | | | $ | 6,500 | | | | 385,835 | | | | 94 | | | | 385,741 | |
| 2.23% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | 08/11/27 | | | $ | 3,850 | | | | 271,245 | | | | 61 | | | | 271,184 | |
| 2.90% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | 11/15/27 | | | $ | 11,152 | | | | 154,621 | | | | (691 | ) | | | 155,312 | |
| 3.18% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | | | 05/21/28 | | | $ | 7,500 | | | | (91,603 | ) | | | 111 | | | | (91,714 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 2,235,610 | | | $ | 153 | | | $ | 2,235,457 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 63 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series P Portfolio |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleard Swaps
| | | | | | | | | | | | | | | | |
| | | Swap Premiums
Paid | | | Swap Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Centrally Cleared Swaps(a) | | | $844 | | | | $691 | | | | $2,465,527 | | | | $230,070 | |
| | (a) | | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets — Derivative Financial Instruments | | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Futures contracts | | Net unrealized appreciation(a) | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 149,734 | | | $ | — | | | $ | 149,734 | |
Swaps — centrally cleared | | Net unrealized appreciation(a) | | | | | | | — | | | | — | | | | — | | | | — | | | | 2,465,527 | | | | — | | | | 2,465,527 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,615,261 | | | $ | — | | | $ | 2,615,261 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps — centrally cleared | | Net unrealized depreciation(a) | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 230,070 | | | $ | — | | | $ | 230,070 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
For the six months ended September 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Realized Gain (Loss) from: | | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Futures contracts | | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 96,835 | | | $ | — | | | $ | 96,835 | |
Swaps | | | | | | | | | — | | | | — | | | | — | | | | — | | | | 1,303,994 | | | | — | | | | 1,303,994 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,400,829 | | | $ | — | | | $ | 1,400,829 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 267,625 | | | $ | — | | | $ | 267,625 | |
Swaps | | | | | | | | | — | | | | — | | | | — | | | | — | | | | 271,595 | | | | — | | | | 271,595 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 539,220 | | | $ | — | | | $ | 539,220 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — short | | $ | 26,648,903 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 69,782,000 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
| 64 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series P Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Affiliated Investment Companies | | $ | 22,831,663 | | | $ | — | | | $ | — | | | $ | 22,831,663 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | 149,734 | | | $ | 2,465,527 | | | $ | — | | | $ | 2,615,261 | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | — | | | | (230,070 | ) | | | — | | | | (230,070 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 149,734 | | | $ | 2,235,457 | | | $ | — | | | $ | 2,385,191 | |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. | |
During the six months ended September 30, 2018, there were no transfers between levels.
See notes to financial statements.
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 65 | |
| | |
Schedule of Investments (unaudited) September 30, 2018 | | Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
Asset-Backed Securities — 24.0% | |
AmeriCredit Automobile Receivables Trust,
Series 2016-3, Class A3, 1.46%, 05/10/21 | | $ | 1,063 | | | $ | 1,058,840 | |
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 3.86%, 09/15/26 (a)(b) | | | 350 | | | | 350,956 | |
B2R Mortgage Trust, Series 2015-1, Class A1, 2.52%, 05/15/48 (b) | | | 473 | | | | 466,722 | |
BlueMountain CLO Ltd., Series 2013-4A, Class AR, (3 mo. LIBOR US + 1.010%), 3.35%, 04/15/25 (a)(b) | | | 1,436 | | | | 1,435,786 | |
Capital One Multi-Asset Execution Trust,
Series 2016-A4, Class A4, 1.33%, 06/15/22 | | | 1,300 | | | | 1,283,362 | |
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 3.80%, 01/20/29 (a)(b) | | | 1,000 | | | | 1,001,335 | |
CarMax Auto Owner Trust: | | | | | | | | |
Series 2015-3, Class A4, 1.98%, 02/16/21 | | | 2,550 | | | | 2,532,018 | |
Series 2016-2, Class A3, 1.52%, 02/16/21 | | | 249 | | | | 247,678 | |
Chase Issuance Trust: | | | | | | | | |
Series 2012-A4, Class A4, 1.58%, 08/15/21 | | | 2,379 | | | | 2,354,533 | |
Series 2016-A2, Class A, 1.37%, 06/15/21 | | | 3,500 | | | | 3,466,603 | |
Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 06/15/28 (b) | | | 680 | | | | 676,948 | |
CNH Equipment Trust: | | | | | | | | |
Series 2016-B, Class A3, 1.63%, 08/15/21 | | | 621 | | | | 616,677 | |
Series 2016-C, Class A3, 1.44%, 12/15/21 | | | 1,303 | | | | 1,287,731 | |
Credit Acceptance Auto Loan Trust: | | | | | | | | |
Series 2016-2A, Class A,
2.42%, 11/15/23 (b) | | | 1,890 | | | | 1,888,306 | |
Series 2016-3A, Class A,
2.15%, 04/15/24 (b) | | | 2,200 | | | | 2,190,181 | |
Discover Card Execution Note Trust: | | | | | | | | |
Series 2015-A2, Class A, 1.90%, 10/17/22 | | | 1,000 | | | | 983,936 | |
Series 2016-A4, Class A4, 1.39%, 03/15/22 | | | 300 | | | | 295,973 | |
Enterprise Fleet Financing LLC: | | | | | | | | |
Series 2016-2, Class A2,
1.74%, 02/22/22 (b) | | | 447 | | | | 445,781 | |
Series 2016-2, Class A3,
2.04%, 02/22/22 (b) | | | 530 | | | | 523,408 | |
Series 2017-1, Class A2,
2.13%, 07/20/22 (b) | | | 165 | | | | 164,251 | |
Series 2017-1, Class A3,
2.60%, 07/20/22 (b) | | | 210 | | | | 208,408 | |
Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 02/15/22 | | | 680 | | | | 662,515 | |
Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, (1 mo. LIBOR US + 1.550%), 3.71%, 03/15/27 (a)(b) | | | 610 | | | | 608,076 | |
Honda Auto Receivables Owner Trust,
Series 2016-4, Class A4, 1.36%, 01/18/23 | | | 640 | | | | 626,509 | |
Mercedes-Benz Receivables Trust,
Series 2016-1, Class A4, 1.46%, 12/15/22 | | | 2,000 | | | | 1,953,192 | |
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.50%, 04/25/57 (b)(c) | | | 694 | | | | 678,034 | |
Nissan Master Owner Trust Receivables,
Series 2016-A, Class A2, 1.54%, 06/15/21 | | | 1,090 | | | | 1,077,402 | |
PFS Financing Corp., Series 2016-BA, Class A, 1.87%, 10/15/21 (b) | | | 190 | | | | 187,630 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
Santander Drive Auto Receivables Trust,
Series 2017-1, Class A3, 1.77%, 09/15/20 | | $ | 64 | | | $ | 63,771 | |
SLM Private Education Loan Trust: | | | | | | | | |
Series 2011-A, Class A3, (1 mo. LIBOR US + 2.500%), 4.66%, 01/15/43 (a)(b) | | | 2,000 | | | | 2,039,476 | |
Series 2013-A, Class A2B, (1 mo. LIBOR US + 1.050%), 3.21%, 05/17/27 (a)(b) | | | 526 | | | | 526,580 | |
SLM Student Loan Trust, Series 2013-4, Class A, (1 mo. LIBOR US + 0.550%), 2.77%, 06/25/43 (a) | | | 328 | | | | 329,135 | |
SMB Private Education Loan Trust,
Series 2016-B, Class A2A, 2.43%, 02/17/32 (b) | | | 665 | | | | 642,554 | |
SoFi Professional Loan Program LLC: | | | | | | | | |
Series 2015-A, Class A1, (1 mo. LIBOR US + 1.200%), 3.42%, 03/25/33 (a)(b) | | | 807 | | | | 814,546 | |
Series 2015-B, Class A2, 2.51%, 09/27/32 (b) | | | 828 | | | | 812,104 | |
Series 2015-D, Class A2, 2.72%, 10/27/36 (b) | | | 424 | | | | 416,728 | |
Series 2016-A, Class A2, 2.76%, 12/26/36 (b) | | | 1,397 | | | | 1,373,759 | |
Series 2016-C, Class A2B, 2.36%, 12/27/32 (b) | | | 150 | | | | 146,405 | |
Series 2016-D, Class A2A, 1.53%, 04/25/33 (b) | | | 40 | | | | 40,024 | |
Series 2016-D, Class A2B, 2.34%, 04/25/33 (b) | | | 130 | | | | 126,040 | |
Series 2016-E, Class A2B, 2.49%, 01/25/36 (b) | | | 460 | | | | 452,019 | |
Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, 11/15/24 (b) | | | 403 | | | | 403,470 | |
Synchrony Credit Card Master Note Trust,
Series 2015-1, Class A, 2.37%, 03/15/23 | | | 1,185 | | | | 1,172,892 | |
Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.25%, 04/25/56 (b)(c) | | | 431 | | | | 420,049 | |
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59%, 05/20/25 (b) | | | 51 | | | | 51,249 | |
World Financial Network Credit Card Master Trust: | | | | | | | | |
Series 2012-A, Class A, 3.14%, 01/17/23 | | | 2,065 | | | | 2,069,114 | |
Series 2012-D, Class B, 3.34%, 04/17/23 | | | 330 | | | | 330,222 | |
| | | | | | | | |
Total Asset-Backed Securities — 24.0%
(Cost: $41,957,893) | | | | 41,502,928 | |
| | | | | | | | |
|
Capital Trusts — 0.0% | |
|
| Multi-Utilities — 0.0% | |
Dominion Energy, Inc., 2.58%, 07/01/20 | | | 110 | | | | 108,521 | |
| | | | | | | | |
Total Capital Trusts — 0.0%
(Cost: $110,065) | | | | 108,521 | |
| | | | | | | | |
|
Corporate Bonds — 65.0% | |
|
| Aerospace & Defense — 0.8% | |
Lockheed Martin Corp., 2.50%, 11/23/20 | | | 400 | | | | 394,428 | |
Northrop Grumman Corp., 2.08%, 10/15/20 | | | 275 | | | | 268,959 | |
United Technologies Corp. : | | | | | | | | |
1.90%, 05/04/20 | | | 115 | | | | 112,662 | |
3.35%, 08/16/21 | | | 235 | | | | 234,671 | |
3.10%, 06/01/22 | | | 200 | | | | 197,060 | |
3.65%, 08/16/23 | | | 190 | | | | 189,156 | |
| | | | | | | | |
| | | | | | | 1,396,936 | |
| | |
| 66 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Airlines — 0.6% | |
Delta Air Lines, Inc. : | | | | | | | | |
2.88%, 03/13/20 | | $ | 133 | | | $ | 131,924 | |
3.63%, 03/15/22 | | | 625 | | | | 617,181 | |
Virgin Australia Trust, Series 2013-1A,
5.00%, 04/23/25 (b) | | | 211 | | | | 214,267 | |
| | | | | | | | |
| | | | | | | 963,372 | |
| Automobiles — 1.5% | | | | | | |
BMW U.S. Capital LLC, 3.10%, 04/12/21 (b) | | | 205 | | | | 203,658 | |
Daimler Finance North America LLC : | | | | | | | | |
1.50%, 07/05/19 (b)(d) | | | 1,600 | | | | 1,584,303 | |
2.70%, 08/03/20 (b) | | | 150 | | | | 148,258 | |
Volkswagen Group of America Finance LLC : | | | | | | | | |
2.13%, 05/23/19 (b) | | | 350 | | | | 348,217 | |
2.40%, 05/22/20 (b) | | | 315 | | | | 309,644 | |
| | | | | | | | |
| | | | | | | 2,594,080 | |
| Banks — 13.4% | |
ANZ New Zealand International Ltd.,
2.88%, 01/25/22 (b) | | | 615 | | | | 597,613 | |
Australia & New Zealand Banking Group Ltd.,
2.55%, 11/23/21 | | | 450 | | | | 436,774 | |
Bank of America Corp. : | | | | | | | | |
3.30%, 01/11/23 | | | 545 | | | | 537,433 | |
(3 mo. LIBOR US + 1.021%), 2.88%, 04/24/23 (e) | | | 1,190 | | | | 1,157,120 | |
Bank of Montreal, 2.10%, 12/12/19 | | | 325 | | | | 321,895 | |
Barclays PLC : | | | | | | | | |
3.25%, 01/12/21 | | | 230 | | | | 226,900 | |
3.68%, 01/10/23 | | | 345 | | | | 335,997 | |
BB&T Corp., 3.20%, 09/03/21 | | | 270 | | | | 268,401 | |
BNP Paribas SA, 3.80%, 01/10/24 (b) | | | 485 | | | | 474,825 | |
Citigroup, Inc. : | | | | | | | | |
2.90%, 12/08/21 | | | 755 | | | | 739,344 | |
2.75%, 04/25/22 | | | 30 | | | | 29,099 | |
(3 mo. LIBOR US + 0.722%), 3.14%, 01/24/23 (e) | | | 35 | | | | 34,326 | |
(3 mo. LIBOR US + 0.950%), 2.88%, 07/24/23 (e) | | | 100 | | | | 96,675 | |
Citizens Bank N.A. : | | | | | | | | |
2.30%, 12/03/18 | | | 335 | | | | 334,850 | |
2.45%, 12/04/19 | | | 1,250 | | | | 1,241,444 | |
Citizens Financial Group, Inc., 2.38%, 07/28/21 | | | 335 | | | | 323,198 | |
Commonwealth Bank of Australia : | | | | | | | | |
2.25%, 03/10/20 (b) | | | 600 | | | | 592,322 | |
2.75%, 03/10/22 (b) | | | 400 | | | | 388,633 | |
Cooperatieve Rabobank UA : | | | | | | | | |
2.75%, 01/10/23 | | | 750 | | | | 720,899 | |
3.88%, 09/26/23 (b) | | | 450 | | | | 448,715 | |
Discover Bank, 3.35%, 02/06/23 | | | 250 | | | | 242,769 | |
Fifth Third Bancorp, 2.60%, 06/15/22 | | | 400 | | | | 385,190 | |
HSBC Holdings PLC, (3 mo. LIBOR US + 1.055%),
3.26%, 03/13/23 (e) | | | 730 | | | | 715,257 | |
Huntington Bancshares, Inc., 2.30%, 01/14/22 | | | 500 | | | | 478,861 | |
ING Groep NV, 4.10%, 10/02/23 | | | 325 | | | | 325,242 | |
Intesa Sanpaolo SpA, 3.38%, 01/12/23 (b) | | | 505 | | | | 467,520 | |
JPMorgan Chase & Co. : | | | | | | | | |
2.75%, 06/23/20 (d) | | | 1,770 | | | | 1,756,716 | |
(3 mo. LIBOR US + 0.610%), 2.95%, 06/18/22 (a) | | | 810 | | | | 811,677 | |
(3 mo. LIBOR US + 0.935%), 2.78%, 04/25/23 (e) | | | 705 | | | | 684,775 | |
2.70%, 05/18/23 | | | 500 | | | | 480,797 | |
(3 mo. LIBOR US + 0.890%), 3.24%, 07/23/24 (a) | | | 365 | | | | 366,211 | |
Lloyds Bank PLC, 2.70%, 08/17/20 | | | 550 | | | | 544,897 | |
Lloyds Banking Group PLC, 3.00%, 01/11/22 | | | 420 | | | | 408,926 | |
Mitsubishi UFJ Financial Group, Inc. : | | | | | | | | |
2.95%, 03/01/21 | | | 291 | | | | 287,010 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Banks (continued) | |
3.54%, 07/26/21 | | $ | 75 | | | $ | 75,059 | |
Royal Bank of Canada, 2.75%, 02/01/22 | | | 410 | | | | 401,956 | |
Santander Holdings USA, Inc., 3.70%, 03/28/22 | | | 210 | | | | 207,418 | |
Santander UK PLC, 2.13%, 11/03/20 | | | 755 | | | | 734,578 | |
Sumitomo Mitsui Financial Group, Inc. : | | | | | | | | |
2.44%, 10/19/21 | | | 375 | | | | 362,865 | |
2.85%, 01/11/22 | | | 605 | | | | 590,178 | |
SunTrust Bank, 2.45%, 08/01/22 | | | 750 | | | | 720,320 | |
Svenska Handelsbanken AB, 3.35%, 05/24/21 | | | 600 | | | | 599,040 | |
Swedbank AB : | | | | | | | | |
2.20%, 03/04/20 (b) | | | 610 | | | | 601,042 | |
2.65%, 03/10/21 (b) | | | 500 | | | | 490,407 | |
U.S. Bancorp, 2.63%, 01/24/22 | | | 500 | | | | 488,803 | |
Wells Fargo & Co., 3.07%, 01/24/23 | | | 415 | | | | 405,049 | |
Westpac Banking Corp., 2.75%, 01/11/23 | | | 200 | | | | 192,957 | |
| | | | | | | | |
| | | | | | | 23,131,983 | |
| Beverages — 0.7% | |
Anheuser-Busch InBev Finance, Inc.,
3.30%, 02/01/23 | | | 1,000 | | | | 988,664 | |
Keurig Dr Pepper, Inc., 4.06%, 05/25/23 (b) | | | 200 | | | | 200,349 | |
| | | | | | | | |
| | | | | | | 1,189,013 | |
| Biotechnology — 1.7% | |
AbbVie, Inc. : | | | | | | | | |
2.50%, 05/14/20 (d) | | | 1,695 | | | | 1,676,004 | |
3.75%, 11/14/23 | | | 200 | | | | 199,222 | |
Amgen, Inc., 2.20%, 05/22/19 | | | 810 | | | | 807,051 | |
Gilead Sciences, Inc., 1.95%, 03/01/22 | | | 320 | | | | 306,115 | |
| | | | | | | | |
| | | | | | | 2,988,392 | |
| Capital Markets — 5.2% | |
Bank of New York Mellon Corp. : | | | | | | | | |
2.15%, 02/24/20 | | | 175 | | | | 173,051 | |
(3 mo. LIBOR US + 0.634%), 2.66%, 05/16/23 (e) | | | 750 | | | | 725,816 | |
Credit Suisse AG, 2.30%, 05/28/19 | | | 770 | | | | 767,594 | |
Credit Suisse Group AG, 3.57%, 01/09/23 (b) | | | 625 | | | | 612,499 | |
Goldman Sachs Group, Inc. : | | | | | | | | |
3.00%, 04/26/22 | | | 1,900 | | | | 1,861,495 | |
(3 mo. LIBOR US + 1.053%), 2.91%, 06/05/23 (e) | | | 990 | | | | 957,539 | |
Moody’s Corp., 2.75%, 07/15/19 (d) | | | 690 | | | | 689,337 | |
Morgan Stanley : | | | | | | | | |
2.63%, 11/17/21 | | | 500 | | | | 486,155 | |
2.75%, 05/19/22 | | | 460 | | | | 446,076 | |
3.13%, 01/23/23 | | | 655 | | | | 638,713 | |
Siemens Financieringsmaatschappij NV,
2.70%, 03/16/22 (b) | | | 655 | | | | 639,097 | |
UBS Group Funding Switzerland AG : | | | | | | | | |
2.65%, 02/01/22 (b) | | | 200 | | | | 193,330 | |
3.49%, 05/23/23 (b)(d) | | | 765 | | | | 749,593 | |
| | | | | | | | |
| | | | | | | 8,940,295 | |
| Chemicals — 0.9% | |
Air Liquide Finance SA, 1.75%, 09/27/21 (b) | | | 200 | | | | 190,951 | |
Dow Chemical Co., 4.25%, 11/15/20 | | | 110 | | | | 112,012 | |
E.I. du Pont de Nemours & Co., 2.20%, 05/01/20 | | | 245 | | | | 241,784 | |
Sherwin-Williams Co., 2.25%, 05/15/20 | | | 1,000 | | | | 985,344 | |
| | | | | | | | |
| | | | | | | 1,530,091 | |
| Commercial Services & Supplies — 0.1% | |
Aviation Capital Group Corp., 2.88%, 01/20/22 (b) | | | 195 | | | | 188,890 | |
| | | | | | | | |
| Consumer Finance — 6.5% | |
American Express Co. : | | | | | | | | |
2.20%, 10/30/20 | | | 295 | | | | 288,776 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 67 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Consumer Finance (continued) | |
2.50%, 08/01/22 (d) | | $ | 1,300 | | | $ | 1,246,200 | |
Capital One Financial Corp., 2.45%, 04/24/19 | | | 1,154 | | | | 1,152,216 | |
Capital One N.A., 2.25%, 09/13/21 | | | 500 | | | | 481,174 | |
ERAC USA Finance LLC, 2.60%, 12/01/21 (b) | | | 350 | | | | 337,984 | |
Ford Motor Credit Co. LLC : | | | | | | | | |
2.94%, 01/08/19 | | | 400 | | | | 400,395 | |
2.68%, 01/09/20 | | | 510 | | | | 504,693 | |
8.13%, 01/15/20 | | | 700 | | | | 739,499 | |
2.43%, 06/12/20 | | | 200 | | | | 195,946 | |
3.81%, 10/12/21 | | | 200 | | | | 198,576 | |
3.34%, 03/28/22 | | | 291 | | | | 281,212 | |
General Motors Financial Co., Inc. : | | | | | | | | |
3.10%, 01/15/19 | | | 470 | | | | 470,366 | |
3.15%, 01/15/20 | | | 610 | | | | 608,943 | |
3.20%, 07/06/21 | | | 920 | | | | 908,495 | |
3.25%, 01/05/23 | | | 105 | | | | 101,251 | |
Nissan Motor Acceptance Corp. : | | | | | | | | |
2.25%, 01/13/20 (b)(d) | | | 1,135 | | | | 1,119,672 | |
2.15%, 07/13/20 (b) | | | 340 | | | | 332,540 | |
3.65%, 09/21/21 (b) | | | 115 | | | | 115,291 | |
3.88%, 09/21/23 (b) | | | 550 | | | | 550,976 | |
Synchrony Financial : | | | | | | | | |
3.00%, 08/15/19 | | | 900 | | | | 898,167 | |
2.70%, 02/03/20 | | | 250 | | | | 247,196 | |
| | | | | | | | |
| | | | | | | 11,179,568 | |
| Containers & Packaging — 0.0% | |
WestRock Co., 3.75%, 03/15/25 (b) | | | 70 | | | | 68,791 | |
| | | | | | | | |
| Diversified Financial Services — 1.3% | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust : | | | | | | | | |
3.95%, 02/01/22 | | | 900 | | | | 897,505 | |
3.50%, 05/26/22 | | | 170 | | | | 166,793 | |
AXA Equitable Holdings, Inc.,
3.90%, 04/20/23 (b) | | | 40 | | | | 39,708 | |
CK Hutchison International 16 Ltd.,
1.88%, 10/03/21 (b) | | | 295 | | | | 279,713 | |
GE Capital International Funding Co.,
2.34%, 11/15/20 | | | 570 | | | | 556,956 | |
Hyundai Capital America : | | | | | | | | |
2.40%, 10/30/18 (b) | | | 140 | | | | 139,944 | |
2.55%, 04/03/20 (b) | | | 215 | | | | 211,350 | |
| | | | | | | | |
| | | | | | | 2,291,969 | |
| Diversified Telecommunication Services — 1.0% | |
AT&T Inc. : | | | | | | | | |
3.20%, 03/01/22 | | | 310 | | | | 305,402 | |
3.80%, 03/15/22 | | | 285 | | | | 286,079 | |
3.60%, 02/17/23 | | | 980 | | | | 973,676 | |
Verizon Communications, Inc.,
3.38%, 02/15/25 | | | 167 | | | | 162,103 | |
| | | | | | | | |
| | | | | | | 1,727,260 | |
| Electric Utilities — 2.0% | |
American Electric Power Co., Inc. : | | | | | | | | |
2.15%, 11/13/20 | | | 305 | | | | 298,498 | |
2.95%, 12/15/22 | | | 130 | | | | 127,082 | |
DTE Energy Co., 3.70%, 08/01/23 | | | 145 | | | | 144,757 | |
Duke Energy Corp., 3.95%, 10/15/23 | | | 250 | | | | 253,074 | |
Emera U.S. Finance LP, 2.15%, 06/15/19 | | | 235 | | | | 233,478 | |
Enel Finance International NV,
4.25%, 09/14/23 (b) | | | 1,000 | | | | 987,805 | |
Exelon Corp., 2.45%, 04/15/21 | | | 255 | | | | 247,821 | |
FirstEnergy Corp., 2.85%, 07/15/22 | | | 159 | | | | 153,705 | |
Georgia Power Co., 2.00%, 09/08/20 | | | 525 | | | | 511,854 | |
ITC Holdings Corp., 2.70%, 11/15/22 | | | 85 | | | | 81,534 | |
NextEra Energy Capital Holdings, Inc.,
3.34%, 09/01/20 | | | 505 | | | | 506,114 | |
| | | | | | | | |
| | | | | | | 3,545,722 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Electronic Equipment, Instruments & Components — 0.2% | |
Amphenol Corp., 2.20%, 04/01/20 | | $ | 290 | | | $ | 284,903 | |
| | | | | | | | |
| Energy Equipment & Services — 0.1% | |
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc., 2.77%, 12/15/22 | | | 225 | | | | 217,994 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) — 1.5% | |
American Tower Corp. : | | | | | | | | |
2.25%, 01/15/22 | | | 140 | | | | 133,640 | |
3.50%, 01/31/23 | | | 150 | | | | 147,529 | |
Crown Castle International Corp. : | | | | | | | | |
3.40%, 02/15/21 | | | 615 | | | | 613,423 | |
2.25%, 09/01/21 | | | 315 | | | | 302,570 | |
3.20%, 09/01/24 | | | 385 | | | | 365,853 | |
HCP, Inc., 3.75%, 02/01/19 | | | 800 | | | | 800,421 | |
Realty Income Corp., 3.25%, 10/15/22 | | | 265 | | | | 261,604 | |
| | | | | | | | |
| | | | | | | 2,625,040 | |
| Food & Staples Retailing — 2.2% | |
Alimentation Couche-Tard, Inc.,
2.70%, 07/26/22 (b) | | | 350 | | | | 336,437 | |
CVS Health Corp. : | | | | | | | | |
2.25%, 08/12/19 | | | 131 | | | | 130,272 | |
2.80%, 07/20/20 | | | 155 | | | | 153,561 | |
2.13%, 06/01/21 | | | 325 | | | | 313,698 | |
3.70%, 03/09/23 | | | 1,185 | | | | 1,178,798 | |
Walgreen Co., 3.10%, 09/15/22 | | | 200 | | | | 195,421 | |
Walgreens Boots Alliance, Inc. : | | | | | | | | |
2.70%, 11/18/19 | | | 950 | | | | 946,815 | |
3.30%, 11/18/21 | | | 500 | | | | 497,955 | |
| | | | | | | | |
| | | | | | | 3,752,957 | |
| Food Products — 0.9% | |
General Mills, Inc., 3.70%, 10/17/23 | | | 75 | | | | 74,541 | |
Tyson Foods, Inc. : | | | | | | | | |
2.25%, 08/23/21 | | | 165 | | | | 158,812 | |
3.90%, 09/28/23 | | | 115 | | | | 115,452 | |
Wm. Wrigley Jr. Co. : | | | | | | | | |
2.90%, 10/21/19 (b) | | | 595 | | | | 593,860 | |
3.38%, 10/21/20 (b) | | | 595 | | | | 595,665 | |
| | | | | | | | |
| | | | | | | 1,538,330 | |
| Health Care Equipment & Supplies — 0.4% | |
Abbott Laboratories, 3.25%, 04/15/23 | | | 125 | | | | 124,008 | |
Becton Dickinson and Co., 2.40%, 06/05/20 | | | 280 | | | | 275,750 | |
Stryker Corp., 2.00%, 03/08/19 | | | 315 | | | | 314,081 | |
| | | | | | | | |
| | | | | | | 713,839 | |
| Health Care Providers & Services — 0.4% | |
Anthem, Inc., 2.95%, 12/01/22 | | | 50 | | | | 48,613 | |
UnitedHealth Group, Inc., 2.13%, 03/15/21 | | | 590 | | | | 576,106 | |
| | | | | | | | |
| | | | | | | 624,719 | |
| Hotels, Restaurants & Leisure — 0.9% | |
Carnival Corp., 3.95%, 10/15/20 | | | 600 | | | | 608,588 | |
Marriott International, Inc., 3.13%, 10/15/21 | | | 1,005 | | | | 991,900 | |
| | | | | | | | |
| | | | | | | 1,600,488 | |
| Industrial Conglomerates — 0.1% | |
Roper Technologies, Inc., 2.80%, 12/15/21 | | | 130 | | | | 127,037 | |
| | | | | | | | |
| Insurance — 1.9% | |
AIA Group Ltd., 2.25%, 03/11/19 (b)(d) | | | 500 | | | | 497,442 | |
American International Group, Inc.,
3.38%, 08/15/20 | | | 115 | | | | 115,071 | |
Aon PLC, 2.80%, 03/15/21 | | | 560 | | | | 550,007 | |
AXIS Specialty Finance PLC,
2.65%, 04/01/19 | | | 736 | | | | 734,752 | |
Hartford Financial Services Group, Inc.,
5.13%, 04/15/22 | | | 235 | | | | 246,461 | |
| | |
| 68 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Insurance (continued) | |
Marsh & McLennan Cos., Inc., 2.35%, 09/10/19 | | $ | 100 | | | $ | 99,468 | |
MassMutual Global Funding II,
2.00%, 04/15/21 (b) | | | 500 | | | | 484,149 | |
New York Life Global Funding,
2.00%, 04/13/21 (b) | | | 230 | | | | 223,172 | |
Pricoa Global Funding I, 2.45%, 09/21/22 (b) | | | 170 | | | | 163,511 | |
Willis North America, Inc., 3.60%, 05/15/24 | | | 135 | | | | 131,188 | |
| | | | | | | | |
| | | | | | | 3,245,221 | |
| Internet Software & Services — 0.2% | |
Baidu, Inc., 2.88%, 07/06/22 | | | 300 | | | | 287,965 | |
| | | | | | | | |
| IT Services — 0.7% | |
Fidelity National Information Services, Inc.,
3.63%, 10/15/20 | | | 985 | | | | 990,482 | |
Total System Services, Inc., 3.75%, 06/01/23 | | | 145 | | | | 143,723 | |
| | | | | | | | |
| | | | | | | 1,134,205 | |
| Machinery — 0.5% | |
Caterpillar Financial Services Corp.,
2.40%, 06/06/22 | | | 500 | | | | 484,636 | |
John Deere Capital Corp.,
2.35%, 01/08/21 | | | 195 | | | | 191,558 | |
Xylem, Inc., 4.88%, 10/01/21 | | | 220 | | | | 227,521 | |
| | | | | | | | |
| | | | | | | 903,715 | |
| Media — 1.7% | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 07/23/22 | | | 135 | | | | 137,260 | |
Discovery Communications LLC,
2.95%, 03/20/23 | | | 600 | | | | 573,870 | |
Interpublic Group of Cos., Inc. : | | | | | | | | |
3.50%, 10/01/20 | | | 135 | | | | 135,012 | |
3.75%, 10/01/21 | | | 45 | | | | 45,089 | |
NBCUniversal Enterprise, Inc., (3 mo. LIBOR US + 0.400%), 2.80%, 04/01/21 (a)(b) | | | 300 | | | | 300,650 | |
Omnicom Group, Inc. / Omnicom Capital, Inc., 4.45%, 08/15/20 | | | 465 | | | | 474,465 | |
Sky PLC, 2.63%, 09/16/19 (b) | | | 1,255 | | | | 1,248,917 | |
Warner Media LLC, 4.70%, 01/15/21 | | | 100 | | | | 102,698 | |
| | | | | | | | |
| | | | | | | 3,017,961 | |
| Metals & Mining — 0.3% | |
Anglo American Capital PLC,
4.13%, 04/15/21 (b) | | | 200 | | | | 201,060 | |
Newmont Mining Corp., 3.50%, 03/15/22 | | | 190 | | | | 188,390 | |
Vale Overseas, Ltd., 4.38%, 01/11/22 | | | 67 | | | | 67,502 | |
| | | | | | | | |
| | | | | | | 456,952 | |
| Multi-Utilities — 0.9% | |
Alliant Energy Finance LLC, 3.75%, 06/15/23 (b) | | | 245 | | | | 243,923 | |
CenterPoint Energy, Inc., 2.50%, 09/01/22 | | | 270 | | | | 258,063 | |
Pacific Gas & Electric Co., 4.25%, 08/01/23 (b) | | | 700 | | | | 703,605 | |
Sempra Energy, (3 mo. LIBOR US + 0.500%), 2.84%, 01/15/21 (a) | | | 220 | | | | 220,056 | |
WEC Energy Group, Inc., 3.38%, 06/15/21 | | | 200 | | | | 200,045 | |
| | | | | | | | |
| | | | | | | 1,625,692 | |
| Oil, Gas & Consumable Fuels — 5.4% | |
Andeavor Logistics LP/Tesoro Logistics Finance Corp. : | | | | | | | | |
6.25%, 10/15/22 | | | 53 | | | | 54,457 | |
3.50%, 12/01/22 | | | 145 | | | | 142,777 | |
Apache Corp., 3.25%, 04/15/22 | | | 193 | | | | 189,984 | |
Canadian Natural Resources Ltd.,
2.95%, 01/15/23 | | | 535 | | | | 516,057 | |
Continental Resources, Inc., 4.50%, 04/15/23 | | | 690 | | | | 702,145 | |
Devon Energy Corp., 3.25%, 05/15/22 | | | 670 | | | | 658,227 | |
Enbridge Energy Partners LP, 4.38%, 10/15/20 | | | 350 | | | | 355,114 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Oil, Gas & Consumable Fuels (continued) | |
Enbridge, Inc., 2.90%, 07/15/22 | | $ | 225 | | | $ | 218,239 | |
Encana Corp., 3.90%, 11/15/21 | | | 725 | | | | 728,096 | |
Energy Transfer Partners LP : | | | | | | | | |
4.15%, 10/01/20 | | | 750 | | | | 759,662 | |
3.60%, 02/01/23 | | | 150 | | | | 147,415 | |
Energy Transfer Partners LP/Regency Energy Finance Corp., 5.75%, 09/01/20 | | | 455 | | | | 470,578 | |
Enterprise Products Operating LLC,
2.55%, 10/15/19 | | | 285 | | | | 283,867 | |
EOG Resources, Inc., 2.45%, 04/01/20 | | | 345 | | | | 341,698 | |
Kinder Morgan Energy Partners LP,
3.50%, 03/01/21 | | | 680 | | | | 681,953 | |
Kinder Morgan, Inc., 3.15%, 01/15/23 | | | 465 | | | | 452,362 | |
Pioneer Natural Resources Co. : | | | | | | | | |
7.50%, 01/15/20 | | | 45 | | | | 47,370 | |
3.45%, 01/15/21 | | | 385 | | | | 384,899 | |
Schlumberger Investment SA, 3.30%, 09/14/21 (b) | | | 500 | | | | 499,691 | |
Texas Eastern Transmission LP,
2.80%, 10/15/22 (b) | | | 190 | | | | 182,132 | |
Williams Cos., Inc. : | | | | | | | | |
3.60%, 03/15/22 | | | 325 | | | | 322,885 | |
3.70%, 01/15/23 | | | 1,190 | | | | 1,177,612 | |
| | | | | | | | |
| | | | | | | 9,317,220 | |
| Pharmaceuticals — 2.7% | |
Allergan Finance LLC, 3.25%, 10/01/22 (d) | | | 2,165 | | | | 2,125,656 | |
Allergan Funding SCS, 3.45%, 03/15/22 | | | 203 | | | | 201,639 | |
Mylan NV, 2.50%, 06/07/19 | | | 69 | | | | 68,747 | |
Shire Acquisitions Investments Ireland DAC : | | | | | | | | |
2.40%, 09/23/21 | | | 1,783 | | | | 1,722,178 | |
2.88%, 09/23/23 | | | 545 | | | | 519,023 | |
| | | | | | | | |
| | | | | | | 4,637,243 | |
| Road & Rail — 2.6% | |
CSX Corp., 3.70%, 10/30/20 | | | 180 | | | | 181,783 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. : | | | | | | | | |
2.50%, 06/15/19 (b) | | | 320 | | | | 318,890 | |
3.05%, 01/09/20 (b) | | | 1,545 | | | | 1,537,797 | |
3.20%, 07/15/20 (b) | | | 290 | | | | 288,486 | |
3.38%, 02/01/22 (b) | | | 440 | | | | 433,845 | |
2.70%, 03/14/23 (b) | | | 505 | | | | 477,481 | |
Ryder System, Inc. : | | | | | | | | |
2.45%, 11/15/18 | | | 125 | | | | 124,989 | |
2.88%, 09/01/20 | | | 948 | | | | 941,254 | |
3.45%, 11/15/21 | | | 225 | | | | 224,005 | |
| | | | | | | | |
| | | | | | | 4,528,530 | |
| Semiconductors & Semiconductor Equipment — 1.9% | |
Analog Devices, Inc., 2.85%, 03/12/20 | | | 70 | | | | 69,560 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.00%, 01/15/22 | | | 214 | | | | 208,492 | |
Lam Research Corp., 2.80%, 06/15/21 | | | 1,215 | | | | 1,194,151 | |
NVIDIA Corp., 2.20%, 09/16/21 | | | 750 | | | | 728,337 | |
QUALCOMM, Inc. : | | | | | | | | |
3.00%, 05/20/22 | | | 630 | | | | 619,834 | |
2.60%, 01/30/23 | | | 505 | | | | 485,455 | |
| | | | | | | | |
| | | | | | | 3,305,829 | |
| Software — 0.1% | |
CA, Inc., 3.60%, 08/15/22 | | | 265 | | | | 263,090 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals — 0.5% | |
Hewlett Packard Enterprise Co., 3.60%, 10/15/20 | | | 600 | | | | 602,442 | |
NetApp, Inc., 2.00%, 09/27/19 | | | 320 | | | | 317,147 | |
| | | | | | | | |
| | | | | | | 919,589 | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 69 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Tobacco — 1.5% | | | | | | |
BAT Capital Corp., 2.76%, 08/15/22 (b) | | $ | 1,370 | | | $ | 1,320,050 | |
Reynolds American, Inc., 3.25%, 06/12/20 | | | 1,368 | | | | 1,365,207 | |
| | | | | | | | |
| | | | | | | 2,685,257 | |
| Trading Companies & Distributors — 1.4% | |
Air Lease Corp. : | | | | | | | | |
3.38%, 01/15/19 | | | 125 | | | | 125,137 | |
3.38%, 06/01/21 | | | 155 | | | | 154,003 | |
2.63%, 07/01/22 | | | 650 | | | | 622,161 | |
GATX Corp., 2.50%, 03/15/19 | | | 1,000 | | | | 998,614 | |
International Lease Finance Corp.,
4.63%, 04/15/21 | | | 468 | | | | 477,481 | |
| | | | | | | | |
| | | | | | | 2,377,396 | |
| Wireless Telecommunication Services — 0.3% | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC : | | | | | | | | |
3.36%, 03/20/23 (b) | | | 150 | | | | 149,437 | |
4.74%, 03/20/25 (b) | | | 400 | | | | 399,820 | |
| | | | | | | | |
| | | | | | | 549,257 | |
Total Corporate Bonds — 65.0%
(Cost: $113,967,319) | | | | 112,476,791 | |
| | | | | | | | |
|
Foreign Agency Obligations — 2.3% | |
|
| Austria — (0.5)% | |
Oesterreichische Kontrollbank AG,
1.50%, 10/21/20 | | | 850 | | | | 825,165 | |
| | | | | | | | |
| Chile — (0.1)% | |
Empresa Nacional del Petroleo,
5.25%, 8/10/20 (b) | | | 200 | | | | 205,687 | |
| | | | | | | | |
| Colombia — (0.6)% | |
Ecopetrol SA, 7.63%, 7/23/19 | | | 955 | | | | 988,425 | |
| | | | | | | | |
| Mexico — (0.2)% | |
Petroleos Mexicanos, 6.00%, 3/05/20 | | | 425 | | | | 437,537 | |
| | | | | | | | |
| Netherlands — (0.9)% | |
Bank Nederlandse Gemeenten NV,
1.75%, 10/30/19 (b)(d) | | | 1,500 | | | | 1,483,098 | |
| | | | | | | | |
Total Foreign Agency Obligations — 2.3%
(Cost: $3,971,198) | | | | 3,939,912 | |
| | | | | | | | |
|
Non-Agency Mortgage-Backed Securities — 10.4% | |
|
| Collateralized Mortgage Obligations — 0.8% | |
Bear Stearns Alt-A Trust, Series 2004-13, Class A1, (1 mo. LIBOR US + 0.740%),
2.96%, 11/25/34 (a) | | | 1 | | | | 906 | |
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A, 3.63%, 05/20/34 (c) | | | 69 | | | | 68,965 | |
JP Morgan Trust: | | | | | | | | |
Series 2015-3, Class A5,
3.50%, 05/25/45 (b)(c) | | | 754 | | | | 746,304 | |
Series 2016-2, Class A1,
2.73%, 06/25/46 (b)(c) | | | 648 | | | | 642,300 | |
| | | | | | | | |
| | | | | | | 1,458,475 | |
| Commercial Mortgage-Backed Securities — 9.2% | |
CGBAM Commercial Mortgage Trust,
Series 2015-SMRT, Class B,
3.21%, 04/10/28 (b) | | | 830 | | | | 826,835 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities (continued) | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2013-CR12, Class A2,
2.90%, 10/10/46 | | $ | 519 | | | $ | 518,179 | |
Series 2013-SFS, Class A1,
1.87%, 04/12/35 (b) | | | 239 | | | | 230,849 | |
Series 2014-UBS2, Class A2,
2.82%, 03/10/47 | | | 1,307 | | | | 1,306,939 | |
Series 2014-UBS6, Class ASB,
3.39%, 12/10/47 | | | 1,110 | | | | 1,105,548 | |
Series 2015-CR23, Class A2,
2.85%, 05/10/48 | | | 3,740 | | | | 3,723,265 | |
GAHR Commercial Mortgage Trust,
Series 2015-NRF, Class AFL1, (1 mo. LIBOR US + 1.300%), 3.61%, 12/15/34 (a)(b) | | | 186 | | | | 185,703 | |
GS Mortgage Securities Trust,
Series 2013-GC16, Class AAB,
3.81%, 11/10/46 | | | 1,500 | | | | 1,519,757 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4,
3.48%, 06/15/45 | | | 3,000 | | | | 3,003,192 | |
LB-UBS Commercial Mortgage Trust,
Series 2007-C6, Class AM,
6.11%, 07/15/40 (c) | | | 157 | | | | 156,534 | |
Morgan Stanley Capital I Trust: | | | | | | | | |
Series 2012-C4, Class A4, 3.24%, 03/15/45 | | | 1,900 | | | | 1,886,675 | |
Series 2014-CPT, Class A,
3.35%, 07/13/29 (b) | | | 1,300 | | | | 1,299,253 | |
Waldorf Astoria Boca Raton Trust,
Series 2016-BOCA, Class A, (1 mo. LIBOR US + 1.350%), 3.51%, 06/15/29 (a)(b) | | | 150 | | | | 150,094 | |
| | | | | | | | |
| | | | | | | 15,912,823 | |
| Interest Only Commercial Mortgage-Backed Securities — 0.4% | |
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class XA,
0.91%, 09/15/48 (c) | | | 4,988 | | | | 201,994 | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2015-CR23, Class XA,
1.11%, 05/10/48 (c) | | | 2,548 | | | | 106,316 | |
Series 2015-LC21, Class XA,
0.97%, 07/10/48 (c) | | | 6,311 | | | | 219,082 | |
CSAIL Commercial Mortgage Trust,
Series 2016-C6, Class XA,
1.96%, 01/15/49 (c) | | | 986 | | | | 91,038 | |
| | | | | | | | |
| | | | | | | 618,430 | |
Total Non-Agency Mortgage-Backed
Securities — 10.4%
(Cost: $18,734,075) | | | | 17,989,728 | |
| | | | | | | | |
|
U.S. Government Sponsored Agency
Securities — 19.9% | |
|
| Collateralized Mortgage Obligations — 3.0% | |
Freddie Mac: | | | | | | | | |
Series 3959, Class MA, 4.50%, 11/15/41 | | | 222 | | | | 230,243 | |
Series 3986, Class M, 4.50%, 09/15/41 | | | 237 | | | | 244,072 | |
Series 4239, Class AB, 4.00%, 12/15/39 | | | 639 | | | | 648,143 | |
Series 4253, Class PA, 3.50%, 08/15/41 | | | 525 | | | | 525,486 | |
Series 4274, Class PN, 3.50%, 10/15/35 | | | 422 | | | | 423,802 | |
Series 4390, Class CA, 3.50%, 06/15/50 | | | 424 | | | | 423,500 | |
Series 4459, Class BN, 3.00%, 08/15/43 | | | 816 | | | | 795,347 | |
Series 4482, Class DH, 3.00%, 06/15/42 | | | 455 | | | | 450,670 | |
Series 4493, Class PA, 3.00%, 02/15/44 | | | 627 | | | | 619,131 | |
Series 4494, Class KA, 3.75%, 10/15/42 | | | 747 | | | | 755,365 | |
| | | | | | | | |
| | | | | | | 5,115,759 | |
| | |
| 70 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
| Commercial Mortgage-Backed Securities — 0.2% | |
Freddie Mac, Series KP03, Class A2,
1.78%, 07/25/19 | | $ | 443 | | | $ | 439,380 | |
| | | | | | | | |
| Interest Only Commercial Mortgage-Backed Securities — 0.1% | |
Fannie Mae, Series 2013-M5, Class X2,
2.29%, 01/25/22 (c) | | | 1,025 | | | | 35,207 | |
Freddie Mac, Series KW01, Class X1,
1.12%, 01/25/26 (c) | | | 2,090 | | | | 117,480 | |
| | | | | | | | |
| | | | | | | 152,687 | |
Mortgage-Backed Securities — 16.6% | | | | | | | | |
Fannie Mae Mortgage-Backed Securities: | | | | | | | | |
2.50%, 12/01/27-10/01/33 (d)(f) | | | 6,382 | | | | 6,165,201 | |
3.00%, 09/01/30-10/01/33 (d)(f) | | | 10,865 | | | | 10,739,784 | |
4.00%, 10/01/33 (f) | | | 1,345 | | | | 1,371,847 | |
4.50%, 09/01/26 (d) | | | 91 | | | | 93,752 | |
5.00%, 07/01/19-07/01/25 (d) | | | 108 | | | | 110,997 | |
(12 mo. LIBOR US + 1.579),
2.89%, 07/01/44 (a)(d) | | | 987 | | | | 988,909 | |
(12 mo. LIBOR US + 1.590),
2.95%, 10/01/45 (a)(d) | | | 1,892 | | | | 1,884,012 | |
(12 mo. LIBOR US + 1.590),
3.15%, 06/01/45 (a)(d) | | | 1,283 | | | | 1,276,209 | |
(12 mo. LIBOR US + 1.694),
2.72%, 07/01/43 (a)(d) | | | 1,730 | | | | 1,720,833 | |
Freddie Mac Mortgage-Backed Securities: | | | | | | | | |
2.50%, 11/01/27 (d) | | | 817 | | | | 793,471 | |
5.00%, 01/01/19-09/01/21 (d) | | | 30 | | | | 30,038 | |
5.50%, 05/01/22 (d) | | | 64 | | | | 64,584 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Mortgage-Backed Securities (continued) | |
(12 mo. LIBOR US + 1.620%),
2.59%, 03/01/45 (a)(d) | | $ | 1,365 | | | $ | 1,352,813 | |
(12 mo. LIBOR US + 1.622%),
3.09%, 05/01/45 (a)(d) | | | 2,096 | | | | 2,082,292 | |
| | | | | | | | |
| | | | | | | 28,674,742 | |
Total U.S. Government Sponsored Agency
Securities — 19.9%
(Cost: $35,101,420) | | | | 34,382,568 | |
| | | | | | | | |
Total Long-Term Investments — 121.6%
(Cost: $213,841,970) | | | | 210,400,448 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| Short-Term Securities — 1.3% | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.91% (g) | | | 2,157,568 | | | | 2,157,568 | |
| | | | | | | | |
| |
Total Short-Term Securities — 1.3%
(Cost: $2,157,568) | | | | 2,157,568 | |
| | | | | | | | |
Options Purchased — 0.0% | | | | | | | | |
(Cost: $39,038) | | | | | | | 31,515 | |
| | | | | | | | |
| | |
Total Investments — 122.9%
(Cost: $216,038,576) | | | | | | | 212,589,531 | |
Liabilities in Excess of Other Assets — (22.9)% | | | | (39,611,828 | ) |
| | | | | | | | |
Net Assets — 100.0% | | | $ | 172,977,703 | |
| | | | | | | | |
| (a) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (b) | 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. |
| (c) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (d) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (e) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (f) | Represents or includes a TBA transaction. |
| (g) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Reverse Repurchase Agreements
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | Face
Value | | | Face Value
Including
Accrued
Interest | | | Type of
Non-Cash
Underlying
Collateral | | Remaining
Contractual
Maturity of the
Agreements |
Credit Suisse Securities (USA) LLC | | | 2.50 | % | | | 07/16/18 | | | Open | | $ | 643,425 | | | $ | 646,481 | | | Corporate Bonds | | Open/Demand |
Credit Suisse Securities (USA) LLC | | | 2.55 | % | | | 08/20/18 | | | Open | | | 734,381 | | | | 736,305 | | | Corporate Bonds | | Open/Demand |
Credit Suisse Securities (USA) LLC | | | 2.55 | % | | | 08/20/18 | | | Open | | | 711,450 | | | | 713,314 | | | Corporate Bonds | | Open/Demand |
Credit Suisse Securities (USA) LLC | | | 2.55 | % | | | 08/20/18 | | | Open | | | 722,000 | | | | 723,891 | | | Corporate Bonds | | Open/Demand |
Credit Suisse Securities (USA) LLC | | | 2.50 | % | | | 08/20/18 | | | Open | | | 478,750 | | | | 479,977 | | | Corporate Bonds | | Open/Demand |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 18,000 | | | | 18,015 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 1,966,000 | | | | 1,967,633 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 1,230,000 | | | | 1,231,022 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 71 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | Face
Value | | | Face Value
Including
Accrued
Interest | | | Type of Non-Cash
Underlying
Collateral | | Remaining
Contractual
Maturity of the
Agreements |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | $ | 957,000 | | | $ | 957,795 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 3,000 | | | | 3,002 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 1,683,000 | | | | 1,684,398 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 89,000 | | | | 89,074 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 1,639,000 | | | | 1,640,361 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 463,000 | | | | 463,385 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 2,000 | | | | 2,002 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 1,297,000 | | | | 1,298,077 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 79,000 | | | | 79,066 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 350,000 | | | | 350,291 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 58,000 | | | | 58,048 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 25,000 | | | | 25,021 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 398,000 | | | | 398,331 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 1,821,000 | | | | 1,822,512 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 76,000 | | | | 76,063 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 69,000 | | | | 69,057 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 65,000 | | | | 65,054 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 772,000 | | | | 772,641 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 76,000 | | | | 76,063 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | 10/16/2018 | | | 252,000 | | | | 252,209 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
| | |
| 72 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | | Face
Value | | | Face Value
Including
Accrued
Interest | | | Type of
Non-Cash
Underlying
Collateral | | Remaining
Contractual
Maturity of the
Agreements |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | | 10/16/2018 | | | $ | 3,000 | | | $ | 3,002 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 240,000 | | | | 240,199 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 19,000 | | | | 19,016 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 162,000 | | | | 162,135 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 5,000 | | | | 5,004 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc | | | 2.30 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 13,000 | | | | 13,011 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
TD Securities (USA) LLC | | | 2.27 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 3,470,000 | | | | 3,472,844 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
TD Securities (USA) LLC | | | 2.27 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 2,129,000 | | | | 2,130,745 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
TD Securities (USA) LLC | | | 2.27 | % | | | 09/17/18 | | | | 10/16/2018 | | | | 1,684,000 | | | | 1,685,380 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
RBC Capital Markets, LLC | | | 2.59 | % | | | 09/26/18 | | | | Open | | | | 1,663,800 | | | | 1,664,341 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 2.59 | % | | | 09/26/18 | | | | Open | | | | 1,589,063 | | | | 1,589,579 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 2.59 | % | | | 09/28/18 | | | | Open | | | | 1,391,250 | | | | 1,391,550 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 2.59 | % | | | 09/28/18 | | | | Open | | | | 1,488,000 | | | | 1,488,321 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 2.59 | % | | | 09/28/18 | | | | Open | | | | 1,997,212 | | | | 1,997,643 | | | Corporate Bonds | | Open/Demand |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 32,532,331 | | | $ | 32,561,858 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Certain agreements have no stated maturity and can be terminated by either party at any time. | |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | | | | | | |
| Description | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount
(000) | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Long Contracts | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds (30 Year) | | | 2 | | | | 12/19/18 | | | $ | 281 | | | $ | (7,755 | ) |
U.S. Treasury Notes (2 Year) | | | 518 | | | | 12/31/18 | | | | 109,160 | | | | (267,453 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (275,208 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | | 44 | | | | 12/19/18 | | | | 5,226 | | | | 60,091 | |
U.S. Ultra Treasury Notes (10 Year) | | | 30 | | | | 12/19/18 | | | | 3,780 | | | | 69,169 | |
U.S. Treasury Notes (5 Year) | | | 224 | | | | 12/31/18 | | | | 25,195 | | | | 47,572 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 176,832 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (98,376 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 73 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio |
OTC Interest Rate Swaptions Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Paid by the Fund | | Received by the Fund | | Counterparty | | Expiration Date | | | Exercise
Rate | | | Notional
Amount (000) | | | Value | |
| | Rate | | | Frequency | | Rate | | | Frequency |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, 01/20/27 | | | 3.35 | % | | Semi-annual | |
| 3-month LIBOR,
2.40% |
| | Quarterly | | Deutsche Bank AG | | | 01/18/22 | | | | 3.35 | % | | | $1,735 | | | $ | 31,515 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | Effective
Date | | | Termination
Date | | | Notional Amount
(000) | | | Value | | | Upfront Premium
Paid | | | Unrealized Appreciation
(Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency |
3-month
LIBOR,
2.40% | | Quarterly | | 1.51% | | Semi-annual | | | N/A | | | | 04/21/19 | | | $ | 20,000 | | | $ | (81,295 | ) | | $ | 63 | | | $ | (81,358 | ) |
| 2.57% | | Annual | | 1-day Overnight Fed Funds Effective Rate, 2.18% | | Annual | | | 01/04/19 | (a) | | | 09/30/20 | | | $ | 5,400 | | | | 15,049 | | | | 63 | | | | 14,986 | |
| 1.22% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | N/A | | | | 05/18/21 | | | $ | 10,000 | | | | 439,379 | | | | 103 | | | | 439,276 | |
| 1.30% | | Semi-annual | | 3-month LIBOR, 2.40% | | Quarterly | | | N/A | | | | 05/20/21 | | | $ | 10,000 | | | | 416,668 | | | | 103 | | | | 416,565 | |
3-month
LIBOR,
2.40% | | Quarterly | | 2.70% | | Semi-annual | | | 01/20/22 | (a) | | | 01/20/27 | | | $ | 580 | | | | (10,440 | ) | | | 6 | | | | (10,446 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 779,361 | | | $ | 338 | | | $ | 779,023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
| | | | | | | | | | | | | | | | |
| | | Swap Premiums
Paid | | | Swap Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Centrally Cleared Swaps(a) | | | $338 | | | | $— | | | | $870,827 | | | | $91,804 | |
| | (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. | |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets — Derivative Financial Instruments | | Commodity
Contracts | | | Credit Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Futures contracts | | Net unrealized appreciation(a) | | $
|
— |
| | $
|
— |
| | $
|
— |
| | $
|
— |
| | $ | 176,832 | | | $ | — | | | $ | 176,832 | |
Options purchased | | Investments at value — unaffiliated(b) | | | — | | | | — | | | | — | | | | — | | | | 31,515 | | | | — | | | | 31,515 | |
Swaps — centrally cleared | | Net unrealized appreciation(a) | | | — | | | | — | | | | — | | | | — | | | | 870,827 | | | | — | | | | 870,827 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,079,174 | | | $ | — | | | $ | 1,079,174 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | Net unrealized depreciation(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 275,208 | | | $ | — | | | $ | 275,208 | |
Swaps — centrally cleared | | Net unrealized depreciation(a) | | | — | | | | — | | | | — | | | | — | | | | 91,804 | | | | — | | | | 91,804 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 367,012 | | | $ | — | | | $ | 367,012 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. | |
| | (b) | Includes options purchased at value as reported in the Schedule of Investments. | |
| | |
| 74 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio |
For the six months ended September 30, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Realized Gain (Loss) from: | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 111,514 | | | $ | — | | | $ | 111,514 | |
Swaps | | | — | | | | 2,280 | | | | — | | | | — | | | | (258,906 | ) | | | — | | | | (256,626 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 2,280 | | | $ | — | | | $ | — | | | $ | (147,392 | ) | | $ | — | | | $ | (145,112 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 174,326 | | | $ | — | | | $ | 174,326 | |
Options purchased(a) | | | — | | | | — | | | | — | | | | — | | | | 3,886 | | | | — | | | | 3,886 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | 297,521 | | | | — | | | | 297,521 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 475,733 | | | $ | — | | | $ | 475,733 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 94,265,737 | |
Average notional value of contracts — short | | | 26,482,832 | |
Options: | | | | |
Average notional value of swaption contracts purchased | | | 1,735,000 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 27,910,000 | |
Average notional value — receives fixed rate | | | 31,580,000 | |
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:
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments: | | | | | | | | |
Futures contracts | | $ | 24,284 | | | $ | 13,616 | |
Options(a) | | | 31,515 | | | | — | |
Swaps — Centrally cleared | | | — | | | | 5,054 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 55,799 | | | $ | 18,670 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (24,284 | ) | | | (18,670 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 31,515 | | | $ | — | |
| | | | | | | | |
| | (a) | 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. | |
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative
Assets
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset | | | Non-cash
Collateral
Received | | | Cash
Collateral
Received | | | Net Amount
of
Derivative
Assets(a) | |
Deutsche Bank AG | | $ | 31,515 | | | $ | — | | | $ | — | | | $ | — | | | $ | 31,515 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | | | |
| S C H E D U L E O F I N V E S T M E N T S | | | 75 | |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2018 | | Series S Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 41,502,928 | | | $ | — | | | $ | 41,502,928 | |
Corporate Bonds(a) | | | — | | | | 112,476,791 | | | | — | | | | 112,476,791 | |
Capital Trusts(a) | | | — | | | | 108,521 | | | | — | | | | 108,521 | |
Foreign Agency Obligations | | | — | | | | 3,939,912 | | | | — | | | | 3,939,912 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 17,989,728 | | | | — | | | | 17,989,728 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 34,382,568 | | | | — | | | | 34,382,568 | |
Short-Term Securities | | | 2,157,568 | | | | — | | | | — | | | | 2,157,568 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | — | | | | 31,515 | | | | — | | | | 31,515 | |
| | | | | | | | | | | | | | | | |
| | $ | 2,157,568 | | | $ | 210,431,963 | | | $ | — | | | $ | 212,589,531 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | 176,832 | | | $ | 870,827 | | | $ | — | | | $ | 1,047,659 | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (275,208 | ) | | | (91,804 | ) | | | — | | | | (367,012 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (98,376 | ) | | $ | 779,023 | | | $ | — | | | $ | 680,647 | |
| | | | | | | | | | | | | | | | |
| | (a) | See above Schedule of Investments for values in each industry. | |
| | (b) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. | |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $32,561,858 are categorized as Level 2 within the disclosure hierarchy.
During the six months ended September 30, 2018, there were no transfers between levels.
See notes to financial statements.
| | |
| 76 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Assets and Liabilities (unaudited)
September 30, 2018
| | | | | | | | | | | | |
| | | Series A Portfolio | | | Series C Portfolio | | | Series E Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments at value — unaffiliated(a) | | $ | 836,894,977 | | | $ | 374,465,333 | | | $ | 188,519,334 | |
Cash | | | — | | | | 1,000 | | | | 164,914 | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 690,000 | | | | — | | | | — | |
Futures contracts | | | — | | | | 335,710 | | | | 87,650 | |
Centrally cleared swaps | | | — | | | | 68,000 | | | | — | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | 3,240,641 | | | | — | | | | 49,193 | |
Capital shares sold | | | 576,734 | | | | 991,116 | | | | 244,729 | |
Dividends — unaffiliated | | | 48,039 | | | | 4,983 | | | | 5,163 | |
Interest — unaffiliated | | | 4,008,231 | | | | 3,658,613 | | | | 2,484,775 | |
From the Manager | | | 45,097 | | | | 52,512 | | | | 37,252 | |
Variation margin on futures contracts | | | — | | | | 2,635 | | | | 5,156 | |
Swap premiums paid | | | 59,680 | | | | — | | | | — | |
Unrealized appreciation on OTC swaps | | | 425,160 | | | | 39,000 | | | | — | |
Deferred offering costs | | | — | | | | — | | | | 5,861 | |
Prepaid expenses | | | 30,717 | | | | 28,772 | | | | 17,429 | |
| | | | | | | | | | | | |
Total assets | | | 846,019,276 | | | | 379,647,674 | | | | 191,621,456 | |
| | | | | | | | | | | | |
| | | |
ACCRUED LIABILITIES | | | | | | | | | | | | |
Bank overdraft | | | 138,671 | | | | — | | | | — | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | 10,242,517 | | | | 208 | | | | 4,512,084 | |
Capital shares redeemed | | | 291,581 | | | | 892,779 | | | | 305,777 | |
Income dividends | | | 3,409,167 | | | | 1,197,515 | | | | 635,515 | |
Interest expense and fees | | | — | | | | — | | | | 46,950 | |
Offering costs | | | 117,856 | | | | — | | | | 27,594 | |
Trustees’ and Officer’s fees | | | 3,002 | | | | 4,708 | | | | 3,898 | |
Other accrued expenses | | | 219,440 | | | | 170,955 | | | | 143,890 | |
Board realignment and consolidation | | | 1,453 | | | | 3,513 | | | | 1,054 | |
Variation margin on futures contracts | | | — | | | | 33,742 | | | | 391 | |
Variation margin on centrally cleared swaps | | | — | | | | 415 | | | | — | |
Swap premiums received | | | 845,938 | | | | 42,361 | | | | — | |
Unrealized depreciation on OTC swaps | | | 70,436 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total accrued liabilities | | | 15,340,061 | | | | 2,346,196 | | | | 5,677,153 | |
| | | | | | | | | | | | |
| | | |
OTHER LIABILITIES | | | | | | | | | | | | |
TOB Trust Certificates | | | — | | | | — | | | | 6,635,000 | |
| | | | | | | | | | | | |
Total other liabilities | | | — | | | | — | | | | 6,635,000 | |
| | | | | | | | | | | | |
Total liabilities | | | 15,340,061 | | | | 2,346,196 | | | | 12,312,153 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 830,679,215 | | | $ | 377,301,478 | | | $ | 179,309,303 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF | | | | | | | | | | | | |
Paid-in capital | | $ | 834,980,375 | | | $ | 381,325,569 | | | $ | 174,742,375 | |
Undistributed (distributions in excess of) net investment income | | | 1,192,122 | | | | (74,796 | ) | | | 64,503 | |
Accumulated net realized gain (loss) | | | 422,336 | | | | (1,015,897 | ) | | | 992,198 | |
Net unrealized appreciation (depreciation) | | | (5,915,618 | ) | | | (2,933,398 | ) | | | 3,510,227 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 830,679,215 | | | $ | 377,301,478 | | | $ | 179,309,303 | |
| | | | | | | | | | | | |
| | | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding(b) | | | 82,342,552 | | | | 37,647,454 | | | | 16,696,366 | |
| | | | | | | | | | | | |
Net asset value | | $ | 10.09 | | | $ | 10.02 | | | $ | 10.74 | |
| | | | | | | | | | | | |
(a) Investments at cost — unaffiliated | | $ | 843,165,319 | | | $ | 376,973,036 | | | $ | 185,157,094 | |
(b) Unlimited number of shares authorized, $0.001 par value | | | | | | | | | | | | |
See notes to financial statements.
| | | | |
| F I N A N C I A L S T A T E M E N T S | | | 77 | |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2018
| | | | | | | | | | | | |
| | | Series M Portfolio | | | Series P Portfolio | | | Series S Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments at value — unaffiliated(a) | | $ | 1,206,798,167 | | | | — | | | $ | 212,589,531 | |
Investments at value — affiliated(b) | | | — | | | $ | 22,831,663 | | | | — | |
Cash | | | 169,852 | | | | 52,681,895 | | | | — | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 548,000 | | | | — | | | | — | |
Futures contracts | | | 281,000 | | | | 157,190 | | | | 190,920 | |
Centrally cleared swaps | | | 945,960 | | | | 1,775,570 | | | | 147,930 | |
Foreign currency at value(c) | | | — | | | | 255 | | | | 74,595 | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | 5,076,596 | | | | — | | | | 6,052 | |
TBA sale commitments | | | 268,464,099 | | | | — | | | | — | |
Capital shares sold | | | 2,781,838 | | | | 51,978 | | | | 264,774 | |
Dividends — unaffiliated | | | 5,883 | | | | 4,021 | | | | 10,956 | |
Dividends — affiliated | | | — | | | | 50,460 | | | | — | |
Interest — unaffiliated | | | 2,373,654 | | | | — | | | | 1,060,060 | |
From the Manager | | | 107,550 | | | | 22,020 | | | | 31,693 | |
Principal paydowns | | | — | | | | — | | | | 102,303 | |
Variation margin on futures contracts | | | 22,102 | | | | — | | | | 24,284 | |
Unrealized appreciation on OTC swaps | | | 522,466 | | | | — | | | | — | |
Prepaid expenses | | | 47,722 | | | | 10,643 | | | | 22,880 | |
| | | | | | | | | | | | |
Total assets | | | 1,488,144,889 | | | | 77,585,695 | | | | 214,525,978 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Cash received: | | | | | | | | | | | | |
Collateral —TBA commitments | | | 106,000 | | | | — | | | | — | |
TBA sale commitments at value(d) | | | 268,090,987 | | | | — | | | | — | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | 434,197,925 | | | | 29,539 | | | | 8,004,588 | |
Reverse repurchase agreements | | | — | | | | — | | | | 32,561,858 | |
Capital shares redeemed | | | 900,690 | | | | 1,299,431 | | | | 434,401 | |
Income dividends | | | 2,464,388 | | | | — | | | | 384,487 | |
Trustees’ and Officer’s fees | | | 3,957 | | | | 3,971 | | | | 5,653 | |
Other accrued expenses | | | 227,390 | | | | 81,372 | | | | 137,214 | |
Board realignment and consolidation | | | 3,921 | | | | 938 | | | | 1,404 | |
Variation margin on futures contracts | | | 26,664 | | | | 4,945 | | | | 13,616 | |
Variation margin on centrally cleared swaps | | | 40,586 | | | | 1,081 | | | | 5,054 | |
Swap premiums received | | | 996,595 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total liabilities | | | 707,059,103 | | | | 1,421,277 | | | | 41,548,275 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 781,085,786 | | | $ | 76,164,418 | | | $ | 172,977,703 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF | | | | | | | | | | | | |
Paid-in capital | | $ | 816,386,008 | | | $ | 102,846,110 | | | $ | 184,502,642 | |
Undistributed (distributions in excess of) net investment income | | | (206,798 | ) | | | 553,776 | | | | (419,940 | ) |
Accumulated net realized loss | | | (16,959,896 | ) | | | (28,809,029 | ) | | | (8,339,811 | ) |
Net unrealized appreciation (depreciation) | | | (18,133,528 | ) | | | 1,573,561 | | | | (2,765,188 | ) |
| | | | | | | | | | | | |
NET ASSETS | | $ | 781,085,786 | | | $ | 76,164,418 | | | $ | 172,977,703 | |
| | | | | | | | | | | | |
| | | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding(e) | | | 83,482,496 | | | | 7,742,689 | | | | 18,486,795 | |
| | | | | | | | | | | | |
Net asset value | | $ | 9.36 | | | $ | 9.84 | | | $ | 9.36 | |
| | | | | | | | | | | | |
| | | |
(a) Investments at cost — unaffiliated | | $ | 1,227,369,174 | | | | — | | | $ | 216,038,576 | |
(b) Investments at cost — affiliated | | | — | | | $ | 23,643,283 | | | | — | |
(c) Foreign currency at cost | | | — | | | $ | 265 | | | $ | 71,385 | |
(d) Proceeds from TBA sale commitments | | $ | 268,464,099 | | | | — | | | | — | |
(e) Unlimited number of shares authorized, $0.001 par value. | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 78 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Operations (unaudited)
Six Months Ended September 30, 2018
| | | | | | | | | | | | |
| | | Series A Portfolio | | | Series C Portfolio | | | Series E Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Interest — unaffiliated | | $ | 17,615,201 | | | $ | 7,277,931 | | | $ | 3,866,587 | |
Dividends — unaffiliated | | | 510,961 | | | | 28,447 | | | | 39,218 | |
Other Income | | | — | | | | 942 | | | | 1,367 | |
| | | | | | | | | | | | |
Total investment income | | | 18,126,162 | | | | 7,307,320 | | | | 3,907,172 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Registration | | | 66,989 | | | | 20,254 | | | | 29,799 | |
Professional | | | 45,489 | | | | 35,356 | | | | 33,581 | |
Accounting services | | | 33,904 | | | | 25,584 | | | | 20,514 | |
Transfer agent | | | 24,749 | | | | 59,745 | | | | 12,526 | |
Trustees and Officer | | | 9,859 | | | | 9,362 | | | | 8,079 | |
Custodian | | | 8,037 | | | | 7,156 | | | | 3,472 | |
Printing | | | 6,202 | | | | 6,752 | | | | 3,069 | |
Board realignment and consilidation | | | 1,453 | | | | 3,513 | | | | 1,054 | |
Pricing | | | 350 | | | | 7,283 | | | | 21,779 | |
Miscellaneous | | | 13,682 | | | | 12,158 | | | | 4,410 | |
| | | | | | | | | | | | |
Total expenses excluding interest expense | | | 210,714 | | | | 187,163 | | | | 138,283 | |
Interest expense and fees(a) | | | — | | | | — | | | | 80,561 | |
| | | | | | | | | | | | |
Total expenses | | | 210,714 | | | | 187,163 | | | | 218,844 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (207,136 | ) | | | (181,525 | ) | | | (137,173 | ) |
| | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 3,578 | | | | 5,638 | | | | 81,671 | |
| | | | | | | | | | | | |
Net investment income | | | 18,122,584 | | | | 7,301,682 | | | | 3,825,501 | |
| | | | | | | | | | | | |
| | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | 27,931 | | | | (1,266,139 | ) | | | 313,985 | |
Futures contracts | | | — | | | | 837,871 | | | | (105,329 | ) |
Swaps | | | 277,780 | | | | (30,474 | ) | | | — | |
| | | | | | | | | | | | |
| | | |
| | | 305,711 | | | | (458,742 | ) | | | 208,656 | |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | (3,544,164 | ) | | | (4,238,934 | ) | | | (1,334,902 | ) |
Futures contracts | | | — | | | | (1,261,122 | ) | | | 405,848 | |
Swaps | | | 339,598 | | | | 45,946 | | | | — | |
| | | | | | | | | | | | |
| | | |
| | | (3,204,566 | ) | | | (5,454,110 | ) | | | (929,054 | ) |
| | | | | | | | | | | | |
Net realized and unrealized loss | | | (2,898,855 | ) | | | (5,912,852 | ) | | | (720,398 | ) |
| | | | | | | | | | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 15,223,729 | | | $ | 1,388,830 | | | $ | 3,105,103 | |
| | | | | | | | | | | | |
| | | |
(a) Related to TOB Trusts. | | | | | | | | | | | | |
See notes to financial statements.
| | | | |
| F I N A N C I A L S T A T E M E N T S | | | 79 | |
Statements of Operations (unaudited) (continued)
Six Months Ended September 30, 2018
| | | | | | | | | | | | |
| | | Series M Portfolio | | | Series P Portfolio | | | Series S Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Interest — unaffiliated | | $ | 12,119,197 | | | $ | — | | | $ | 2,591,469 | |
Dividends — unaffiliated | | | 75,361 | | | | 127,717 | | | | 73,679 | |
Dividends — affiliated | | | — | | | | 312,066 | | | | — | |
Other income | | | 4,722 | | | | 604 | | | | 471 | |
| | | | | | | | | | | | |
Total investment income | | | 12,199,280 | | | | 440,387 | | | | 2,665,619 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Transfer agent | | | 71,707 | | | | 12,046 | | | | 16,074 | |
Custodian | | | 67,635 | | | | 2,861 | | | | 8,669 | |
Registration | | | 52,844 | | | | 13,417 | | | | 15,260 | |
Pricing | | | 37,212 | | | | — | | | | 4,935 | |
Accounting services | | | 35,940 | | | | 17,265 | | | | 20,434 | |
Professional | | | 31,571 | | | | 18,729 | | | | 31,276 | |
Trustees and Officer | | | 11,160 | | | | 7,660 | | | | 8,576 | |
Printing | | | 8,246 | | | | 3,756 | | | | 5,119 | |
Board realignment and consolidation | | | 3,921 | | | | 938 | | | | 1,404 | |
Miscellaneous | | | 4,586 | | | | 2,799 | | | | 9,363 | |
| | | | | | | | | | | | |
Total expenses excluding interest expense | | | 324,822 | | | | 79,471 | | | | 121,110 | |
Interest expense(a) | | | — | | | | — | | | | 472,071 | |
| | | | | | | | | | | | |
Total expenses | | | 324,822 | | | | 79,471 | | | | 593,181 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (318,776 | ) | | | (78,477 | ) | | | (118,581 | ) |
| | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 6,046 | | | | 994 | | | | 474,600 | |
| | | | | | | | | | | | |
Net investment income | | | 12,193,234 | | | | 439,393 | | | | 2,191,019 | |
| | | | | | | | | | | | |
| | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | (4,544,952 | ) | | | — | | | | (687,972 | ) |
Investments — affiliated | | | — | | | | (91,575 | ) | | | — | |
Futures contracts | | | 826,125 | | | | 96,835 | | | | 111,514 | |
Swaps | | | 89,793 | | | | 1,303,994 | | | | (256,626 | ) |
| | | | | | | | | | | | |
| | | (3,629,034 | ) | | | 1,309,254 | | | | (833,084 | ) |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | (6,880,547 | ) | | | — | | | | (7,037 | ) |
Investments — affiliated | | | — | | | | 40,910 | | | | — | |
Futures contracts | | | 602,077 | | | | 267,625 | | | | 174,326 | |
Swaps | | | 1,592,201 | | | | 271,595 | | | | 297,521 | |
Foreign currency translations | | | — | | | | (17 | ) | | | (3,095 | ) |
| | | | | | | | | | | | |
| | | (4,686,269 | ) | | | 580,113 | | | | 461,715 | |
| | | | | | | | | | | | |
Net realized and unrealized gain (loss) | | | (8,315,303 | ) | | | 1,889,367 | | | | (371,369 | ) |
| | | | | | | | | | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 3,877,931 | | | $ | 2,328,760 | | | $ | 1,819,650 | |
| | | | | | | | | | | | |
| | (a) | See Note 4 of the Notes to Financial Statements for details of short-term borrowings. |
See notes to financial statements.
| | |
| 80 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | |
| | | Series A Portfolio | | | | | Series C Portfolio | |
| | | Six Months Ended 09/30/18 (unaudited) | | | Year Ended 03/31/18 | | | | | Six Months Ended 09/30/18 (unaudited) | | | Year Ended 03/31/18 | |
| | | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | |
| | | | | |
OPERATIONS | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 18,122,584 | | | $ | 24,809,695 | | | | | $ | 7,301,682 | | | $ | 14,195,947 | |
Net realized gain (loss) | | | 305,711 | | | | 1,023,141 | | | | | | (458,742 | ) | | | 1,858,623 | |
Net change in unrealized appreciation (depreciation) | | | (3,204,566 | ) | | | (3,262,849 | ) | | | | | (5,454,110 | ) | | | (4,155,441 | ) |
| | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 15,223,729 | | | | 22,569,987 | | | | | | 1,388,830 | | | | 11,899,129 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | | | |
From net investment income | | | (18,799,090 | ) | | | (23,435,702 | ) | | | | | (7,331,354 | ) | | | (14,198,725 | ) |
From net realized gain | | | — | | | | (565,007 | ) | | | | | — | | | | (1,908,178 | ) |
| | | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (18,799,090 | ) | | | (24,000,709 | ) | | | | | (7,331,354 | ) | | | (16,106,903 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | |
Shares sold | | | 293,818,532 | | | | 313,859,125 | | | | | | 37,303,427 | | | | 100,852,867 | |
Shares redeemed | | | (31,146,761 | ) | | | (64,629,298 | ) | | | | | (42,733,429 | ) | | | (125,221,980 | ) |
| | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | 262,671,771 | | | | 249,229,827 | | | | | | (5,430,002 | ) | | | (24,369,113 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 259,096,410 | | | | 247,799,105 | | | | | | (11,372,526 | ) | | | (28,576,887 | ) |
Beginning of period | | | 571,582,805 | | | | 323,783,700 | | | | | | 388,674,004 | | | | 417,250,891 | |
| | | | | | | | | | | | | | | | | | |
End of period | | $ | 830,679,215 | | | $ | 571,582,805 | | | | | $ | 377,301,478 | | | $ | 388,674,004 | |
| | | | | | | | | | | | | | | | | | |
Undistributed (distributions in excess of) net investment income, end of period | | $ | 1,192,122 | | | $ | 1,868,628 | | | | | $ | (74,796 | ) | | $ | (45,124 | ) |
| | | | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | | | |
| F I N A N C I A L S T A T E M E N T S | | | 81 | |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Series E Portfolio | | | | | | Series M Portfolio | |
| | | Six Months Ended 09/30/18
(unaudited) | | | Year Ended
03/31/18 | | | | | | Six Months Ended 09/30/18
(unaudited) | | | Year Ended
03/31/18 | |
| | | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | |
| | | | | |
OPERATIONS | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 3,825,501 | | | $ | 7,157,687 | | | | | | | $ | 12,193,234 | | | $ | 17,345,884 | |
Net realized gain (loss) | | | 208,656 | | | | 1,635,414 | | | | | | | | (3,629,034 | ) | | | (449,064 | ) |
Net change in unrealized appreciation (depreciation) | | | (929,054 | ) | | | 2,621,284 | | | | | | | | (4,686,269 | ) | | | (11,170,177 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 3,105,103 | | | | 11,414,385 | | | | | | | | 3,877,931 | | | | 5,726,643 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (3,817,579 | ) | | | (7,142,885 | ) | | | | | | | (13,635,823 | ) | | | (21,306,246 | ) |
From net realized gain | | | — | | | | (128,477 | ) | | | | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (3,817,579 | ) | | | (7,271,362 | ) | | | | | | | (13,635,823 | ) | | | (21,306,246 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 18,424,759 | | | | 60,408,804 | | | | | | | | 73,944,528 | | | | 412,562,690 | |
Shares redeemed | | | (18,544,885 | ) | | | (30,756,095 | ) | | | | | | | (93,131,494 | ) | | | (185,019,368 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (120,126 | ) | | | 29,652,709 | | | | | | | | (19,186,966 | ) | | | 227,543,322 | |
| | | | | | | | | | | | | | | | | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (832,602 | ) | | | 33,795,732 | | | | | | | | (28,944,858 | ) | | | 211,963,719 | |
Beginning of period | | | 180,141,905 | | | | 146,346,173 | | | | | | | | 810,030,644 | | | | 598,066,925 | |
| | | | | | | | | | | | | | | | | | | | |
End of period | | $ | 179,309,303 | | | $ | 180,141,905 | | | | | | | $ | 781,085,786 | | | $ | 810,030,644 | |
| | | | | | | | | | | | | | | | | | | | |
Undistributed (distributions in excess of) net investment income, end of period | | $ | 64,503 | | | $ | 56,581 | | | | | | | $ | (206,798 | ) | | $ | 1,235,791 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 82 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Series P Portfolio | | | | | | Series S Portfolio | |
| | | Six Months Ended 09/30/18
(unaudited) | | | Year Ended
03/31/18 | | | | | | Six Months Ended 09/30/18
(unaudited) | | | Year Ended
03/31/18 | |
| | | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | |
| | | | | |
OPERATIONS | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 439,393 | | | $ | 913,172 | | | | | | | $ | 2,191,019 | | | $ | 3,752,089 | |
Net realized gain (loss) | | | 1,309,254 | | | | (990,090 | ) | | | | | | | (833,084 | ) | | | 373,610 | |
Net change in unrealized appreciation (depreciation) | | | 580,113 | | | | 1,904,562 | | | | | | | | 461,715 | | | | (1,895,654 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 2,328,760 | | | | 1,827,644 | | | | | | | | 1,819,650 | | | | 2,230,045 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (549,664 | ) | | | | | | | (2,293,272 | ) | | | (4,838,425 | ) |
| | | | | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (549,664 | ) | | | | | | | (2,293,272 | ) | | | (4,838,425 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 8,634,865 | | | | 23,549,473 | | | | | | | | 22,994,587 | | | | 59,181,234 | |
Shares redeemed | | | (18,879,352 | ) | | | (61,801,345 | ) | | | | | | | (25,482,335 | ) | | | (72,536,659 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (10,244,487 | ) | | | (38,251,872 | ) | | | | | | | (2,487,748 | ) | | | (13,355,425 | ) |
| | | | | | | | | | | | | | | | | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | |
Total decrease in net assets | | | (7,915,727 | ) | | | (36,973,892 | ) | | | | | | | (2,961,370 | ) | | | (15,963,805 | ) |
Beginning of period | | | 84,080,145 | | | | 121,054,037 | | | | | | | | 175,939,073 | | | | 191,902,878 | |
| | | | | | | | | | | | | | | | | | | | |
End of period | | $ | 76,164,418 | | | $ | 84,080,145 | | | | | | | $ | 172,977,703 | | | $ | 175,939,073 | |
| | | | | | | | | | | | | | | | | | | | |
Undistributed (distributions in excess of) net investment income, end of period | | $ | 553,776 | | | $ | 114,383 | | | | | | | $ | (419,940 | ) | | $ | (317,687 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | | | |
| F I N A N C I A L S T A T E M E N T S | | | 83 | |
Statement of Cash Flows (unaudited)
Six Months Ended September 30, 2018
| | | | | | |
| | | | | Series S Portfolio | |
| | |
CASH PROVIDED (USED FOR) OPERATING ACTIVITIES | | | | | | |
Net increase in net assets resulting from operations | | | | $ | 1,819,650 | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | | | | |
Proceeds from sales of long-term investments | | | | | 322,699,526 | |
Purchases of long-term investments | | | | | (311,183,398 | ) |
Net proceeds from sales of short-term securities | | | | | 9,719,271 | |
Amortization of premium and accretion of discount on investments | | | | | 269,882 | |
Net realized loss on investments | | | | | 687,972 | |
Net unrealized depreciation on investments and foreign currency translations | | | | | 7,036 | |
| (Increase) Decrease in Assets: | | | | | |
Receivables: | | | | | | |
Interest — unaffiliated | | | | | 29,801 | |
Dividends — unaffiliated | | | | | (3,385 | ) |
From the Manager | | | | | (6,354 | ) |
Principal paydowns | | | | | (102,303 | ) |
Variation margin on futures contracts | | | | | (24,284 | ) |
Prepaid expenses | | | | | (7,938 | ) |
| Increase (Decrease) in Liabilities: | | | | | |
Payables: | | | | | | |
Trustees’ and Officer’s fees | | | | | (1,383 | ) |
Variation margin on futures contracts | | | | | 13,616 | |
Variation margin on centrally cleared swaps | | | | | 257 | |
Board realignment and consolidation | | | | | 1,404 | |
Other accrued expenses | | | | | (3,706 | ) |
| | | | | | |
Net cash provided by operating activities | | | | | 23,915,664 | |
| | | | | | |
| | |
CASH USED FOR FINANCING ACTIVITIES | | | | | | |
Net borrowing of reverse repurchase agreements | | | | | (19,666,822 | ) |
Cash dividends paid to shareholders | | | | | (2,301,563 | ) |
Payments on redemption of capital shares | | | | | (25,724,814 | ) |
Proceeds from issuance of capital shares | | | | | 22,758,995 | |
| | | | | | |
Net cash used for financing activities | | | | | (24,934,204 | ) |
| | | | | | |
| | |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | | | | | | |
Cash impact from foreign exchange fluctuations | | | | | (3,096 | ) |
| | | | | | |
| | |
CASH AND FOREIGN CURRENCY | | | | | | |
Net increase in restricted and unrestricted cash and foreign currency | | | | | (1,021,636 | ) |
Restricted and unrestricted cash and foreign currency at beginning of period | | | | | 1,435,081 | |
| | | | | | |
Restricted and unrestricted cash and foreign currency at end of period | | | | $ | 413,445 | |
| | | | | | |
| | |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | | | | | | |
Cash paid during the period for interest expense | | | | $ | 704,841 | |
| | | | | | |
| | | | |
|
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH TO THE STATEMENT OF ASSETS AND LIABILITIES |
| | | | | | | | |
| | | September 30, 2018 | | | March 31, 2018 | |
Cash | | $ | — | | | $ | 938,540 | |
Cash Pledged: | | | | | | | | |
Futures contracts | | | 190,920 | | | | 319,920 | |
Centrally cleared swaps | | | 147,930 | | | | 98,930 | |
Foreign currency at value | | | 74,595 | | | | 77,691 | |
| | | | | | | | |
| | $ | 413,445 | | | $ | 1,435,081 | |
| | | | | | | | |
See notes to financial statements.
| | |
| 84 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | |
| | | Series A Portfolio | |
| | | Six Months Ended 09/30/18 (unaudited) | | | | | | Period from 09/21/2015(a) to 03/31/2016 | |
| | | Year Ended March 31, | |
| | | 2018 | | | 2017 | |
Net asset value, beginning of period | | $ | 10.14 | | | $ | 10.14 | | | $ | 9.82 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Net investment income(b) | | | 0.26 | | | | 0.58 | | | | 0.51 | | | | 0.48 | |
Net realized and unrealized gain (loss) | | | (0.04 | ) | | | (0.03 | ) | | | 0.43 | | | | (0.27 | ) |
| | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.22 | | | | 0.55 | | | | 0.94 | | | | 0.21 | |
| | | | | | | | | | | | | | | | |
| Distributions(c) | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.49 | ) | | | (0.62 | ) | | | (0.39 | ) |
From net realized gain | | | — | | | | (0.06 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions | | | (0.27 | ) | | | (0.55 | ) | | | (0.62 | ) | | | (0.39 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 10.09 | | | $ | 10.14 | | | $ | 10.14 | | | $ | 9.82 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(d) | | | | | | | | | | | | | | | | |
Based on net asset value | | | 2.20 | %(e) | | | 5.55 | % | | | 9.76 | % | | | 2.07 | %(e) |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | |
Total expenses | | | 0.06 | %(g) | | | 0.12 | % | | | 0.26 | % | | | 1.23 | %(g)(h) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed excluding amortization of offering costs | | | 0.00 | %(g) | | | 0.00 | % | | | 0.00 | % | | | 0.01 | %(g) |
| | | | | | | | | | | | | | | | |
Net investment income | | | 5.08 | %(g) | | | 5.65 | % | | | 5.01 | % | | | 9.03 | %(g) |
| | | | | | | | | | | | | | | | |
| | | | |
Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 830,679 | | | $ | 571,583 | | | $ | 323,784 | | | $ | 38,956 | |
| | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 17 | % | | | 45 | % | | | 84 | % | | | 45 | % |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations. |
| (b) | Based on average shares outstanding. |
| (c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) | Where applicable, assumes the reinvestment of distributions. |
| (e) | Aggregate total return. |
| (f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | Six Months
Ended
09/30/18
(unaudited) | | | | | | | | | Period
from
09/21/2015(a)
to
03/31/2016 | |
| | | | | | | | Year Ended March 31, | |
| | | | | | | | 2018 | | | 2017 | |
| | | | | | |
Investments in underlying funds | | | | | 0.01 | % | | | | | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % |
| | | | | | | | | | | | | | | | | | | | | | |
| (h) | Organization expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.32%. |
See notes to financial statements.
| | | | |
| F I N A N C I A L H I G H L I G H T S | | | 85 | |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Series C Portfolio | |
| | | Six Months
Ended
09/30/18
(unaudited) | | | | | | | |
| | | | | | Year Ended March 31, | |
| | | | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value, beginning of period | | $ | 10.18 | | | | | | | $ | 10.31 | | | $ | 10.37 | | | $ | 10.77 | | | $ | 10.60 | | | $ | 10.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.19 | | | | | | | | 0.37 | | | | 0.36 | | | | 0.38 | | | | 0.41 | | | | 0.45 | |
Net realized and unrealized gain (loss) | | | (0.16 | ) | | | | | | | (0.08 | ) | | | (0.04 | ) | | | (0.31 | ) | | | 0.33 | | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.03 | | | | | | | | 0.29 | | | | 0.32 | | | | 0.07 | | | | 0.74 | | | | 0.26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Distributions(b) | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.19 | ) | | | | | | | (0.37 | ) | | | (0.36 | ) | | | (0.38 | ) | | | (0.40 | ) | | | (0.45 | ) |
From net realized gain | | | — | | | | | | | | (0.05 | ) | | | (0.02 | ) | | | (0.09 | ) | | | (0.17 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.19 | ) | | | | | | | (0.42 | ) | | | (0.38 | ) | | | (0.47 | ) | | | (0.57 | ) | | | (0.61 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 10.02 | | | | | | | $ | 10.18 | | | $ | 10.31 | | | $ | 10.37 | | | $ | 10.77 | | | $ | 10.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.34 | %(d) | | | | | | | 2.82 | % | | | 3.12 | % | | | 0.70 | % | | | 7.22 | % | | | 2.55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.10 | %(e)(f) | | | | | | | 0.11 | %(e) | | | 0.11 | %(e) | | | 0.13 | %(e) | | | 0.14 | % | | | 0.15 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(e)(f) | | | | | | | 0.00 | %(e) | | | 0.00 | %(e) | | | 0.00 | %(e) | | | 0.01 | % | | | 0.02 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.00 | %(e)(f) | | | | | | | 0.00 | %(e) | | | 0.00 | %(e) | | | 0.00 | %(e) | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.83 | %(e)(f) | | | | | | | 3.55 | %(e) | | | 3.45 | %(e) | | | 3.68 | %(e) | | | 3.81 | % | | | 4.27 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 377,301 | | | | | | | $ | 388,674 | | | $ | 417,251 | | | $ | 353,632 | | | $ | 361,083 | | | $ | 318,247 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 26 | % | | | | | | | 31 | % | | | 32 | % | | | 53 | % | | | 44 | % | | | 43 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, assumes the reinvestment of distributions. |
| (d) | Aggregate total return. |
| (e) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months Ended 09/30/18 (unaudited) | | | | | | | |
| | | | | | Year Ended March 31, | |
| | | | | | 2018 | | | | | | 2017 | | | | | | 2016 | |
| | | | | | | | |
Investments in underlying funds | | | 0.00 | % | |
|
|
| | | 0.00 | % | |
|
|
| | | 0.01 | % | | | | | | | 0.01 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 86 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | |
| | | Series E Portfolio | |
| | | Six Months
Ended 09/30/18 (unaudited) | | | | | | Period from
08/04/2014(a)
to 03/31/2015 | |
| | | Year Ended March 31, | |
| | | 2018 | | | 2017 | | | 2016 | |
Net asset value, beginning of period | | $ | 10.78 | | | $ | 10.49 | | | $ | 10.75 | | | $ | 10.47 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | 0.23 | | | | 0.45 | | | | 0.45 | | | | 0.43 | | | | 0.28 | |
Net realized and unrealized gain (loss) | | | (0.04 | ) | | | 0.30 | | | | (0.16 | ) | | | 0.29 | | | | 0.48 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.19 | | | | 0.75 | | | | 0.29 | | | | 0.72 | | | | 0.76 | |
| | | | | | | | | | | | | | | | | | | | |
| Distributions(c) | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.45 | ) | | | (0.45 | ) | | | (0.43 | ) | | | (0.28 | ) |
From net realized gain | | | — | | | | (0.01 | ) | | | (0.10 | ) | | | (0.01 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.23 | ) | | | (0.46 | ) | | | (0.55 | ) | | | (0.44 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 10.74 | | | $ | 10.78 | | | $ | 10.49 | | | $ | 10.75 | | | $ | 10.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 1.79 | %(e) | | | 7.22 | % | | | 2.78 | % | | | 7.15 | % | | | 7.70 | %(e) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.25 | %(f)(g) | | | 0.27 | %(f) | | | 0.23 | %(f) | | | 0.34 | %(f) | | | 0.94 | %(g)(h) |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.09 | %(f)(g) | | | 0.06 | %(f) | | | 0.06 | %(f) | | | 0.02 | %(f) | | | 0.00 | %(g) |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | | | 0.00 | %(f)(g) | | | 0.00 | %(f) | | | 0.00 | %(f) | | | 0.00 | %(f) | | | 0.00 | %(g) |
| | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.29 | %(f)(g) | | | 4.17 | %(f) | | | 4.21 | %(f) | | | 4.17 | %(f) | | | 4.07 | %(g) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 179,309 | | | $ | 180,142 | | | $ | 146,346 | | | $ | 110,186 | | | $ | 48,461 | |
| | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 6,635 | | | $ | 6,625 | | | $ | 6,625 | | | $ | 4,835 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 27 | % | | | 100 | % | | | 87 | % | | | 44 | % | | | 30 | % |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Commencement of operations. |
| (b) | Based on average shares outstanding. |
| (c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) | Where applicable, assumes the reinvestment of distributions. |
| (e) | Aggregate total return. |
| (f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| |
| Six Months
Ended
09/30/18
(unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Year Ended March 31, | |
| | | | | | 2018 | | | | | | 2017 | | | | | | 2016 | | | | |
Investments in underlying funds | | | 0.01 | % | |
|
|
| | | | | | | 30.02 | % | |
|
|
| | | 0.01 | % | |
|
|
| | | 0.01 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (h) | Organization expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.02%. |
See notes to financial statements.
| | | | |
| F I N A N C I A L H I G H L I G H T S | | | 87 | |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Series M Portfolio | | | | |
| | | | | | |
| | | |
| Six Months
Ended
09/30/18
(unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | | | | |
| | | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 9.47 | | | $ | 9.69 | | | $ | 9.93 | | | $ | 10.03 | | | $ | 9.70 | | | $ | 9.89 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.14 | | | | 0.25 | | | | 0.21 | | | | 0.22 | | | | 0.20 | | | | 0.19 | | | | | |
Net realized and unrealized gain (loss) | | | (0.09 | ) | | | (0.16 | ) | | | (0.16 | ) | | | 0.02 | | | | 0.37 | | | | (0.14 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.05 | | | | 0.09 | | | | 0.05 | | | | 0.24 | | | | 0.57 | | | | 0.05 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Distributions(b) | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.31 | ) | | | (0.29 | ) | | | (0.27 | ) | | | (0.24 | ) | | | (0.23 | ) | | | | |
From net realized gain | | | — | | | | — | | | | — | | | | (0.07 | ) | | | (0.00 | )(c) | | | (0.01 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.16 | ) | | | (0.31 | ) | | | (0.29 | ) | | | (0.34 | ) | | | (0.24 | ) | | | (0.24 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 9.36 | | | $ | 9.47 | | | $ | 9.69 | | | $ | 9.93 | | | $ | 10.03 | | | $ | 9.70 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.55 | %(e) | | | 0.91 | % | | | 0.51 | % | | | 2.44 | % | | | 5.91 | % | | | 0.52 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.08 | %(g) | | | 0.08 | % | | | 0.09 | % | | | 0.11 | % | | | 0.13 | % | | | 0.16 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.00 | %(g) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.06 | %(g) | | | 2.59 | % | | | 2.12 | % | | | 2.25 | % | | | 2.04 | % | | | 1.97 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 781,086 | | | $ | 810,031 | | | $ | 598,067 | | | $ | 552,687 | | | $ | 520,933 | | | $ | 329,857 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(h) | | | 563 | % | | | 1,515 | % | | | 1,728 | % | | | 1,789 | % | | | 2,258 | % | | | 1,879 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | | Based on average shares outstanding. | | | | | |
| (b) | | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. | | | | | |
| (c) | | Amount is greater than $(0.005) per share. | | | | | |
| (d) | | Where applicable, assumes the reinvestment of distributions. | | | | | |
| (e) | | Aggregate total return. | | | | | |
| (f) | | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | | | | | |
| | | | | | | | | |
| | | | | | |
| | | | | Six Months
Ended 09/30/18 (unaudited) | | | | | | | |
| | | | | Year Ended March 31, | | | | |
| | | | | | |
| | | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | | | | |
| | | |
| | Investments in underlying funds | | | 0.00 | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | 0.02 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| (g) | | Annualized. | | | | | |
| (h) | | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: | | | | | |
| | | | | | | | | |
| | | | | | |
| | | |
| Six Months
Ended
09/30/18 (unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Year Ended March 31, | | | | |
| | | | | | |
| | | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | | | | |
| | | |
| | Portfolio turnover rate (excluding MDRs) | | | 335 | % | | | 833 | % | | | 1,040 | % | | | 1,090 | % | | | 1,356 | % | | | 1,131 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 88 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Series P Portfolio | | | | |
| | | Six Months
Ended 09/30/18 (unaudited) | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | | | �� | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | | | | |
Net asset value, beginning of period | | $ | 9.56 | | | | | | | $ | 9.38 | | | $ | 8.95 | | | $ | 9.38 | | | $ | 10.24 | | | $ | 9.96 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.05 | | | | | | | | 0.08 | | | | 0.09 | | | | 0.10 | | | | 0.07 | | | | 0.07 | | | | | |
Net realized and unrealized gain (loss) | | | 0.23 | | | | | | | | 0.15 | | | | 0.34 | | | | (0.53 | ) | | | (0.93 | ) | | | 0.21 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 0.28 | | | | | | | | 0.23 | | | | 0.43 | | | | (0.43 | ) | | | (0.86 | ) | | | 0.28 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | — | | | | | | | | (0.05 | ) | | | — | | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 9.84 | | | | | | | $ | 9.56 | | | $ | 9.38 | | | $ | 8.95 | | | $ | 9.38 | | | $ | 10.24 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total Return(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 2.93 | %(c) | | | | | | | 2.49 | % | | | 4.80 | % | | | (4.48 | )% | | | (8.40 | )% | | | 2.81 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Ratios to Average Net Assets(d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.19 | %(e) | | | | | | | 0.19 | % | | | 0.13 | % | | | 0.11 | % | | | 0.12 | % | | | 0.18 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(e) | | | | | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 1.08 | %(e) | | | | | | | 0.89 | % | | | 1.00 | % | | | 1.04 | % | | | 0.67 | % | | | 0.69 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 76,164 | | | | | | | $ | 84,080 | | | $ | 121,054 | | | $ | 221,470 | | | $ | 322,498 | | | $ | 261,830 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 0 | % | | | | | | | 6 | % | | | 10 | % | | | 0 | % | | | 0 | % | | | 6 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | | Based on average shares outstanding. | |
| (b) | | Where applicable, assumes the reinvestment of distributions. | |
| (c) | | Aggregate total return. | |
| (d) | | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | |
| | | |
| | | | | | |
| | | | | Six Months
Ended
09/30/18 | | | | | | Year Ended March 31, | | | | |
| | | | | | | | | | |
| | | | | (unaudited) | | | | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | | | | |
| | | |
| | Investments in underlying funds | | | 0.19 | | | | | | | | 0.17 | % | | | 0.08 | % | | | 0.05 | % | | | 0.04 | % | | | 0.02 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(e) Annualized.
See notes to financial statements.
| | | | |
| F I N A N C I A L H I G H L I G H T S | | | 89 | |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Series S Portfolio | |
| | | Six Months
Ended
09/30/18
(unaudited) | | | | | | | | | | | | | | | | | | | |
| | | | | | Year Ended March 31, | |
| | | | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value, beginning of period | | $ | 9.38 | | | | | | | $ | 9.53 | | | $ | 9.54 | | | $ | 9.76 | | | $ | 9.84 | | | $ | 10.02 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.12 | | | | | | | | 0.20 | | | | 0.19 | | | | 0.26 | | | | 0.23 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | (0.02 | ) | | | | | | | (0.09 | ) | | | 0.11 | | | | (0.15 | ) | | | (0.05 | ) | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.10 | | | | | | | | 0.11 | | | | 0.30 | | | | 0.11 | | | | 0.18 | | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Distributions(b) | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | | | | | (0.26 | ) | | | (0.31 | ) | | | (0.33 | ) | | | (0.26 | ) | | | (0.28 | ) |
From net realized gain | | | — | | | | | | | | — | | | | — | | | | — | | | | — | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.12 | ) | | | | | | | (0.26 | ) | | | (0.31 | ) | | | (0.33 | ) | | | (0.26 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 9.36 | | | | | | | $ | 9.38 | | | $ | 9.53 | | | $ | 9.54 | | | $ | 9.76 | | | $ | 9.84 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 1.10 | %(d) | | | | | | | 1.15 | % | | | 3.21 | % | | | 1.18 | % | | | 1.81 | %(e) | | | 1.66 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.68 | %(f)(g) | | | | | | | 0.76 | %(f) | | | 0.48 | % | | | 0.31 | % | | | 0.16 | % | | | 0.21 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.54 | %(f)(g) | | | | | | | 0.59 | %(f) | | | 0.34 | % | | | 0.18 | % | | | 0.02 | % | | | 0.06 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.00 | %(f)(g) | | | | | | | 0.00 | %(f) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 2.49 | %(f)(g) | | | | | | | 2.11 | %(f) | | | 2.37 | % | | | 2.91 | % | | | 2.32 | % | | | 2.47 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 172,978 | | | | | | | $ | 175,939 | | | $ | 191,903 | | | $ | 238,237 | | | $ | 266,124 | | | $ | 233,117 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(h) | | | 123 | % | | | | | | | 263 | % | | | 279 | % | | | 270 | % | | | 318 | % | | | 239 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Where applicable, assumes the reinvestment of distributions. |
| (d) | Aggregate total return. |
| (e) | Includes a payment by an affiliate to compensate for investments erroneously made in violation of the investment guidelines, which impacted the Fund’s total return. Excluding this payment, the Fund’s total return would have been 1.70%. |
| (f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Six Months
Ended
09/30/18
(unaudited) | | | | | | | | | Year Ended
03/31/18 | | | | |
| | | | | | |
| | Investments in underlying funds | | | 0.01 | % | |
|
|
| | | | | | | 0.01 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| (h) | Includes MDRs. Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months
Ended
09/30/18
(unaudited) | | | | | | | |
| | | | | | Year Ended March 31, | |
| | | | | | 2018 | | | | | | 2017 | | | | | | 2016 | | | | | | 2015 | | | | | | 2014 | |
Portfolio turnover rate (excluding MDRs) | | | 73 | % | | | | | | | 148 | % | | | | | | | 163 | % | | | | | | | 178 | % | | | | | | | 239 | % | | | | | | | 183 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
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Notes to Financial Statements (unaudited)
BlackRock Allocation Target Shares (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. Each Fund is a series of the Trust. The following series of the Trust are referred to herein collectively as the “Funds” or individually as a “Fund”:
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| Fund Name | | Herein Referred To As | | Diversification Classification |
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BlackRock Allocation Target Shares: Series A Portfolio | | Series A | | Diversified(a) |
BlackRock Allocation Target Shares: Series C Portfolio | | Series C | | Diversified |
BlackRock Allocation Target Shares: Series E Portfolio | | Series E | | Diversified |
BlackRock Allocation Target Shares: Series M Portfolio | | Series M | | Diversified |
BlackRock Allocation Target Shares: Series P Portfolio | | Series P | | Diversified |
BlackRock Allocation Target Shares: Series S Portfolio | | Series S | | Diversified |
|
| | (a) | The Fund’s classification changed from non-diversified to diversified during the reporting period. | |
Shares of the Funds are offered to separate account clients of the adviser, BlackRock Advisors, LLC (the “Manager”) or certain of its affiliates. Series A is also offered to collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser, and mutual funds advised by the Manager or its affiliates. Participants in wrap-fee programs pay a single aggregate fee to the program sponsor for all costs and expenses of the wrap-fee programs including investment advice and portfolio execution.
The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of open-end funds referred to as the Equity-Bond Complex.
| 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 entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.
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 portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold 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.
Defensive Positions: Investment policies may vary for temporary defensive purposes during periods in which the investment adviser believes that conditions in the securities markets or other economic, financial or political conditions warrant. Under such conditions, a Fund may invest up to 100% of its total assets in U.S. Government securities, certificates of deposit, repurchase agreements that involve purchases of debt securities, bankers’ acceptances and other bank obligations, commercial paper, money market funds and/or other debt securities, or may hold its assets in cash. The investment adviser applies this defensive posture as applicable and is consistent with each Fund’s investment policies.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions and TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, 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 or obligations.
Distributions: Distributions from net investment income are declared daily and paid monthly, except for Series P, which declares and pays dividends at least annually. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization on Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.
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Notes to Financial Statements (unaudited) (continued)
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management is currently evaluating the impact of this guidance to the Funds.
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 are charged to that Fund. 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. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily based on their relative net assets or other appropriate methods.
The Funds have an arrangement with their custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Funds may incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
| | • | | Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
| | • | | Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments. |
| | • | | Investments in open-end U.S. mutual funds are valued at NAV each business day. |
| | • | | Futures contracts traded on exchanges are valued at their last sale price. |
| | • | | 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 the Funds’ pricing service 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. |
| | • | | TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the 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 Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will 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 typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.
The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist,
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Notes to Financial Statements (unaudited) (continued)
including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.
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 third party pricing services utilize one or a combination of, but not limited to, the following inputs.
| | |
| | | Standard Inputs Generally Considered By Third Party Pricing Services |
Market approach | | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers. |
Income approach | | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
Cost approach | | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) 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. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve 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 as 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 investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement 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) |
| | • | | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Fund’s own assumptions used in determining the fair value of investments and derivative 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 Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the
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| N O T E S T O F I N A N C I A L S T A T E M E N T S | | | 93 | |
Notes to Financial Statements (unaudited) (continued)
level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
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.
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Notes to Financial Statements (unaudited) (continued)
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
Forward Commitments and When-Issued Delayed Delivery Securities: Certain funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
In order to better define contractual rights and to secure rights that will help a fund mitigate their counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. 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 the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: Certain funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase
| | | | |
| N O T E S T O F I N A N C I A L S T A T E M E N T S | | | 95 | |
Notes to Financial Statements (unaudited) (continued)
price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the six months ended September 30, 2018, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate were as follows:
| | | | | | | | |
| |
| | | Average
Borrowings | | | Daily Weighted
Average Interest Rate | |
| |
Series S | | $ | 42,992,585 | | | | 2.08 | % |
| |
Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of period end, the following table is a summary of Series S’ open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
| | | | | | |
|
| Counterparty | | Reverse
Repurchase
Agreements | | Fair Value of Non-cash
Collateral Pledged
Including Accrued Interest(a) | | Net Amount |
|
Citigroup Global Markets, Inc. | | $13,841,487 | | $(13,841,487) | | $— |
Credit Suisse Securities (USA) LLC | | 3,299,968 | | (3,299,968) | | — |
RBC Capital Markets, LLC | | 8,131,434 | | (8,131,434) | | — |
TD Securities (USA) LLC | | 7,288,969 | | (7,288,969) | | — |
| | | | | | |
| | $32,561,858 | | $(32,561,858) | | $— |
| | | | | | |
| | (a) | Collateral with a value of $34,621,500 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. | |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
Municipal Bonds Transferred to TOB Trusts: Certain funds leverage their assets through the use of “TOB Trust” transactions. The funds transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a fund provide the fund with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The funds may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a fund has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.
TOB Trusts are supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates are remarketed by a Remarketing Agent. In the event of a failed remarketing, the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on number of days the loan is outstanding.
The TOB Trust may be collapsed without the consent of a fund, upon the occurrence of a termination event as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Funds) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.
While a fund’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. Each fund’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a fund. A fund typically invests the cash received in additional municipal bonds.
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| 96 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a fund’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.
Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:
| | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Interest
Expense | | | | | Liquidity
Fees | | | | | Other
Expenses | | | | | Total | |
| |
Series E | | | $67,478 | | | | | | $10,855 | | | | | | $2,228 | | | | | | $80,561 | |
| |
For the six months ended September 30, 2018, the following table is a summary of each Fund’s TOB Trusts:
| | | | | | | | | | | | | | | | | | |
| |
| | | Underlying
Municipal Bonds
Transferred to
TOB Trusts(a) | | | Liability for
TOB Trust
Certificates(b) | | | Range of
Interest Rates
on TOB Trust
Certificates at
Period End | | Average
TOB Trust
Certificates
Outstanding | | | Daily Weighted
Average Rate of
Interest and
Other Expenses
on TOB Trusts | |
| |
Series E | | $ | 12,256,547 | | | $ | 6,635,000 | | | 1.59% —1.61% | | $ | 6,574,891 | | | | 2.31 | % |
| |
| | (a) | The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the funds, as a TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the funds, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts. | |
| | (b) | TOB Trusts may be structured on a non-recourse or recourse basis. When a fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a fund invests in a TOB Trust on a recourse basis, a fund enters into a reimbursement agreement with the Liquidity Provider where a fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a fund invests in a recourse TOB Trust, a fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a fund at September 30, 2018, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a fund at September 30, 2018. | |
| 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 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, is 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, foreign currency exchange rates or underlying assets.
Options: Certain Funds 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.
| | | | |
| N O T E S T O F I N A N C I A L S T A T E M E N T S | | | 97 | |
Notes to Financial Statements (unaudited) (continued)
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, such option is covered by cash 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.
| | • | | Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
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 it 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.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is notated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, 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 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, the Funds agree 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, including at termination, are recorded as realized gains (losses) in the Statements of Operations.
| | • | | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
| | • | | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk 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 their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each 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, each 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. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
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| 98 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
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 Fund 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 their counterparties are not fully collateralized, they bear 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, they bear 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.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.
Investment Advisory: The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager receives no advisory fee from the Funds under the Investment Advisory Agreement.
Service and Distribution Fees: The Trust, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager.
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive all fees and pay or reimburse all operating expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses. This agreement has no fixed termination date. With respect to Series C, Series E, Series M, Series P and Series S, the Manager does not charge the Funds a management fee, although investors in the Funds will pay a fee to BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, or their managed account program sponsor. With respect to Series A, the Manager does not charge the Fund a management fee, although investors in the Fund that are (i) retail and institutional separately managed account clients of BIM will pay a fee to BIM or their managed account program sponsor, (ii) participants in the collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of the Manager, that invest in the Fund will pay a fee to BTC, and (iii) mutual funds that are advised by the Manager or its affiliates will pay the Manager or its affiliate a management fee pursuant to a management agreement between each such fund and BlackRock or its affiliate. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations.
Although the Funds do not compensate the Manager directly for its services under the Investment Advisory Agreement, because each Fund is an investment option for certain wrap-fee or other separately managed account program clients, the Manager may benefit from the fees charged to such clients who have retained the Manager’s affiliates to manage their accounts. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The waivers were as follows:
| | | | |
Series A | | $ | 207,136 | |
Series C | | | 181,525 | |
Series E | | | 137,173 | |
Series M | | | 318,776 | |
Series P | | | 78,477 | |
Series S | | | 118,581 | |
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. Series A, Series E and Series P are currently permitted to borrow and lend and Series C, Series M and Series S are currently permitted to borrow 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 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 six months ended September 30, 2018, the Funds did not participate in the Interfund Lending Program.
| | | | |
| N O T E S T O F I N A N C I A L S T A T E M E N T S | | | 99 | |
Notes to Financial Statements (unaudited) (continued)
Trustees and Officers: Certain trustees and/or officers of the Trust are trustees and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
For the six months ended September 30, 2018, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| Purchases | | Series A | | | Series C | | | Series E | | | Series M | | | Series P | | Series S | |
Non-U.S. Government Securities | | $ | 415,032,136 | | | $ | 94,684,427 | | | $ | 55,796,362 | | | $ | 5,558,160,498 | | | $— | | $ | 286,985,398 | |
U.S. Government Securities | | | — | | | | 1,143,962 | | | | — | | | | 7,710,411 | | | — | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Purchases | | $ | 415,032,136 | | | $ | 95,828,389 | | | $ | 55,796,362 | | | $ | 5,565,870,909 | | | $— | | $ | 286,985,398 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Sales | | Series A | | | Series C | | | Series E | | | Series M | | | Series P | | | Series S | |
Non-U.S. Government Securities (includes paydowns) | | $ | 110,735,392 | | | $ | 100,712,474 | | | $ | 48,420,874 | | | $ | 5,610,946,784 | | | $ | 2,076,978 | | | $ | 322,431,024 | |
U.S. Government Securities | | | — | | | | 1,138,320 | | | | — | | | | 8,382,478 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Sales | | $ | 110,735,392 | | | $ | 101,850,794 | | | $ | 48,420,874 | | | $ | 5,619,329,262 | | | $ | 2,076,978 | | | $ | 322,431,024 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended September 30, 2018, purchases and sales related to mortgage dollar rolls were as follows:
| | | | | | | | |
| | | Series M | | | Series S | |
Purchases | | $ | 2,259,586,954 | | | $ | 115,414,213 | |
Sales | | | 2,260,863,456 | | | | 115,525,118 | |
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, except with respect to Series A and Series E, generally remains open for each of the four years ended March 31, 2018. The statute of limitations on Series A’s U.S. federal tax returns generally remains open for each of the two years ended March 31, 2018 and the period ended March 31, 2016. The statute of limitations on Series E’s U.S. federal tax returns generally remains open for each of the three years ended March 31, 2018 and the period ended March 31, 2015. 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 September 30, 2018, 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.
As of March 31, 2018, the Funds had capital loss carryforwards, with no expiration dates, available to offset future realized capital gains as follows:
| | | | |
| Series M | | Series P | | Series S |
$13,819,952 | | $30,397,564 | | $7,224,221 |
As of September 30, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Series A | | | Series C | | | Series E | | | Series M | | | Series P | | | Series S | |
| |
Tax cost | | $ | 843,227,952 | | | $ | 376,994,140 | | | $ | 178,490,489 | | | $ | 1,227,370,817 | | | $ | 23,709,834 | | | $ | 216,059,433 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Gross unrealized appreciation | | $ | 6,650,037 | | | $ | 4,869,814 | | | $ | 4,240,081 | | | $ | 3,463,848 | | | $ | 2,615,271 | | | $ | 1,141,928 | |
Gross unrealized depreciation | | | (12,628,288 | ) | | | (7,824,316 | ) | | | (698,249 | ) | | | (21,599,019 | ) | | | (1,108,251 | ) | | | (3,931,183 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | $ | (5,978,251 | ) | | $ | (2,954,502 | ) | | $ | 3,541,832 | | | $ | (18,135,171 | ) | | $ | 1,507,020 | | | $ | (2,789,255 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
The Trust, on behalf of the Funds, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 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
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| 100 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (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. The agreement expires in April 2019 unless extended or renewed. Prior to April 19, 2018, the aggregate commitment amount was $2.1 billion and the fee was 0.12% per annum. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statements of Operations. 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 six months ended September 30, 2018, the Funds did not borrow under the credit agreement.
Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.
Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Fund’s ability to buy or sell bonds. As a result, a Fund may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Fund needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.
In the normal course of business, certain 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. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
Series E structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.
Should short-term interest rates rise, Series E’s investments in TOB Trusts may adversely affect Series E’s net investment income and dividends to shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect Series E’s NAV per share.
The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect Series E’s ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.
TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and Series E, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.
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. 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.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.
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.
With exchange-traded options purchased, futures and centrally cleared swaps, 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 futures and centrally cleared swaps 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.
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| N O T E S T O F I N A N C I A L S T A T E M E N T S | | | 101 | |
Notes to Financial Statements (unaudited) (continued)
Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.
Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.
Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
| 11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares were as follows:
| | | | | | | | | | | | |
| |
| | | Six Months Ended
09/30/18 | | | | | | Year Ended
03/31/18 | |
Series A | | | | | | | | | | | | |
Shares sold | | | 29,070,408 | | | | | | | | 30,751,996 | |
Shares redeemed | | | (3,083,101 | ) | | | | | | | (6,319,617 | ) |
| | | | | | | | | | | | |
Net increase | | | 25,987,307 | | | | | | | | 24,432,379 | |
| | | | | | | | | | | | |
| | | |
Series C | | | | | | | | | | | | |
Shares sold | | | 3,714,144 | | | | | | | | 9,671,665 | |
Shares redeemed | | | (4,253,535 | ) | | | | | | | (11,973,055 | ) |
| | | | | | | | | | | | |
Net decrease | | | (539,391 | ) | | | | | | | (2,301,390 | ) |
| | | | | | | | | | | | |
| | | |
Series E | | | | | | | | | | | | |
Shares sold | | | 1,704,565 | | | | | | | | 5,610,010 | |
Shares redeemed | | | (1,716,397 | ) | | | | | | | (2,853,357 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | (11,832 | ) | | | | | | | 2,756,653 | |
| | | | | | | | | | | | |
| | | |
Series M | | | | | | | | | | | | |
Shares sold | | | 7,863,176 | | | | | | | | 42,936,693 | |
Shares redeemed | | | (9,896,589 | ) | | | | | | | (19,129,335 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | (2,033,413 | ) | | | | | | | 23,807,358 | |
| | | | | | | | | | | | |
| | | |
Series P | | | | | | | | | | | | |
Shares sold | | | 888,486 | | | | | | | | 2,507,403 | |
Shares redeemed | | | (1,945,325 | ) | | | | | | | (6,608,248 | ) |
| | | | | | | | | | | | |
Net decrease | | | (1,056,839 | ) | | | | | | | (4,100,845 | ) |
| | | | | | | | | | | | |
| | | |
Series S | | | | | | | | | | | | |
Shares sold | | | 2,453,775 | | | | | | | | 6,236,573 | |
Shares redeemed | | | (2,718,977 | ) | | | | | | | (7,626,335 | ) |
| | | | | | | | | | | | |
Net decrease | | | (265,202 | ) | | | | | | | (1,389,762 | ) |
| | | | | | | | | | | | |
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.
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| 102 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Disclosure of Investment Advisory Agreement
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Allocation Target Shares (the “Trust”) met in person on April 10, 2018 (the “April Meeting”) and May 8, 2018 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement” or the “Agreement”) between the Trust, on behalf of each of the BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio (each, a “Fund” and collectively, the “Funds”), and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), each Fund’s investment advisor.
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of eleven individuals, nine of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of each Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Performance Oversight Committee and the Executive Committee, each of which also has one interested Board Member).
The Agreement
Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. The Board also has a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement. The Board’s consideration of the Agreement is a year-long deliberative process, during which the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management; accounting, administrative and shareholder services; oversight of each Fund’s service providers; marketing and promotional services; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements.
The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to each Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) each Fund’s adherence to its compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Board Considerations in Approving the Agreement
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreement. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) a discussion of fall-out benefits to BlackRock and its affiliates; (b) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (c) review of non-management fees; (d) the existence and impact of potential economies of scale, if any, and the sharing of potential economies of scale with each Fund; (e) a summary of aggregate amounts paid by each Fund to BlackRock; and (f) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board considered, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared with certain metrics; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of Fund portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
| | | | |
| D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T | | | 103 | |
Disclosure of Investment Advisory Agreement (continued)
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, a relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance and each Fund’s investment objective(s), strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing each Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of each Fund throughout the year.
In evaluating performance, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Board recognized that it is possible that long-term performance can be impacted by even one period of significant outperformance or underperformance, so that a single investment theme has the ability to affect long-term performance disproportionately.
The Board noted that the Funds are investments that are available solely to separately managed accounts or institutional clients, primarily to complement their existing BlackRock fixed-income portfolios. Given the resulting comparability issues to peer funds, rather than a comparison to peers, the Board reviewed other performance criteria for the Funds.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board noted that BlackRock does not charge the Funds an advisory fee. The Board reviewed BlackRock’s estimated profitability with respect to other funds the Board currently oversees for the year ended December 31, 2017 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
In addition, the Board considered the estimated cost of the services provided to each Fund by BlackRock, and BlackRock’s and its affiliates’ estimated profits relating to the management and distribution of each Fund and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing each Fund, to the Funds. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
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| 104 | | 2 0 1 8 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Disclosure of Investment Advisory Agreement (continued)
The Board noted that BlackRock does not charge the Funds an advisory fee, although investors in the Funds will pay a fee to an affiliate of BlackRock or their managed account program sponsor. The Board also noted that BlackRock and the Board have contractually agreed to waive all fees and pay or reimburse all direct expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense and acquired fund fees and expenses.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and expense caps had been approved by the Board. The Board also considered the extent to which each Fund benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee schedule was appropriate. In its consideration, the Board Members took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
Conclusion
The Board, including the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Trust, on behalf of each Fund, for a one-year term ending June 30, 2019. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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| D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T | | | 105 | |
Trustee and Officer Information
Robert M. Hernandez, Chair of the Board and Trustee
James H. Bodurtha, Trustee
Bruce R. Bond, Trustee
Honorable Stuart E. Eizenstat, Trustee
Robert Fairbairn, Trustee
Henry Gabbay, Trustee
Lena G. Goldberg, Trustee
Henry R. Keizer, Trustee
John F. O’Brien, Trustee
Donald C. Opatrny, Trustee
John M. Perlowski, Trustee, President and Chief Executive Officer
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
John MacKessy, Anti-Money Laundering Compliance Officer
Benjamin Archibald, Secretary
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent, Administrator and Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
The Bank of New York Mellon
New York, NY 10286
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Trust
100 Bellevue Parkway
Wilmington, DE 19809
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Additional Information
General Information
Effective September 26, 2016, BlackRock implemented a new methodology for calculating “effective duration” for BlackRock municipal bond portfolios. The new methodology replaces the model previously used by BlackRock to evaluate municipal bond duration and is a common indicator of an investment’s sensitivity to interest rate movements. The new methodology is applied to Series E’s duration reported for periods after September 26, 2016.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding Series E may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding Series E 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 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) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge, (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
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 upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
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.
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.
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| A D D I T I O N A L I N F O R M A T I O N | | | 107 | |
Glossary of Terms Used in this Report
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| Portfolio Abbreviations |
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| AMT | | Alternative Minimum Tax (subject to) |
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| CLO | | Collateralized Loan Obligation |
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| DAC | | Designated Activity Company |
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| EDA | | Economic Development Authority |
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| GO | | General Obligation Bonds |
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| IDA | | Industrial Development Authority |
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| OTC | | Over-the-counter |
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| RB | | Revenue Bonds |
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| REMIC | | Real Estate Mortgage Investment Conduit |
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| S&P | | Standard & Poor’s |
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| TBA | | To-be-announced |
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| USD | | US Dollar |
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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.
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| BATS-9/18-SAR | |  |
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| Item 2 – | | Code of Ethics – Not Applicable to this semi-annual report |
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| Item 3 – | | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
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| Item 4 – | | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
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| Item 5 – | | Audit Committee of Listed Registrants – Not Applicable |
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| Item 6 – | | Investments |
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| | (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form. |
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| | (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
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| Item 7 – | | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
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| Item 8 – | | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
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| Item 9 – | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
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| Item 10 – | | Submission of Matters to a Vote of Security Holders –There have been no material changes to these procedures. |
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| Item 11 – | | Controls and Procedures |
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| | (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. |
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| | (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 second fiscal quarter of 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. |
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| Item 12 – | | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
2
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| Item 13 – | | Exhibits attached hereto |
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| | (a)(1) – Code of Ethics – Not Applicable to this semi-annual report |
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| | (a)(2) – Certifications – Attached hereto |
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| | (a)(3) – Not Applicable |
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| | (a)(4) – Not Applicable |
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(b) – Certifications – Attached hereto |
3
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.
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| BlackRock Allocation Target Shares | | |
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| By: | | /s/ John M. Perlowski | | |
| | John M. Perlowski | | |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Allocation Target Shares |
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| Date: December 4, 2018 | | |
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.
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| By: | | /s/ John M. Perlowski |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Allocation Target Shares |
|
| Date: December 4, 2018 |
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| By: | | /s/ Neal J. Andrews |
| | Neal J. Andrews |
| | Chief Financial Officer (principal financial officer) of |
| | BlackRock Allocation Target Shares |
Date: December 4, 2018
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