UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number:811-21457
Name of Fund: BlackRock Allocation Target Shares
BATS: Series A Portfolio
BATS: Series C Portfolio
BATS: Series E Portfolio
BATS: Series M Portfolio
BATS: Series P Portfolio
BATS: 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: 03/31/2020
Date of reporting period: 03/31/2020
| Item 1 – | Report to Stockholders |
| | |
 | | MARCH 31, 2020 |
BlackRock Allocation Target Shares
| · | | BATS: Series A Portfolio |
| · | | BATS: Series C Portfolio |
| · | | BATS: Series E Portfolio |
| · | | BATS: Series M Portfolio |
| · | | BATS: Series P Portfolio |
| · | | BATS: Series S Portfolio |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call(800)-441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
The Markets in Review
Dear Shareholder,
The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For much of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, leading countries around the world took economically disruptive countermeasures, causing equity prices to fall sharply. Now that the virus has spread around the globe and an economic downturn appears inevitable, investors are faced with the question of how long and how deep it will be.
Returns for most securities were robust for the first ten months of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, oncestay-at-home orders and closures ofnon-essential businesses became widespread, many workers were laid off and unemployment claims spiked. With large portions of the economy on hold, all types of equities, both in the United States and internationally, ended the reporting period with negative performance.
The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from therisk-off environment, and posted healthy returns, as the10-year yield (which is inversely related to bond prices) fell to anall-time low. Investment-grade corporate bonds also delivered a positive return, while high-yield corporates were down due to credit concerns.
The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.
Looking ahead, while coronavirus-related disruption is certain to hurt worldwide economic growth, the global expansion is likely to continue once the impact of the outbreak subsides. For the near term, however, the disruption is likely to act as a further drag on corporate earnings, following flat earnings growth in 2019. Nonetheless, there are promising signs that a strong coordinated monetary and fiscal response is beginning to take place, both in the United States and abroad. With measures being taken to contain the virus and provide support to impacted businesses and individuals, we anticipate a sharp increase in economic activity as life returns to normal.
Overall, we favor a neutral stance toward risk, given the uncertainty surrounding the economic impact of coronavirus countermeasures. Among equities, we see an advantage in U.S. stocks compared to other developed markets, given the diversity of the U.S. economy and the impressive scope of monetary and fiscal stimulus. In bonds, the swift action taken by the world’s central banks means there are attractive opportunities in credit, and we expect credit spreads to narrow as markets stabilize.
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 visitblackrock.comfor 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 March 31, 2020 |
| | | 6-month | | 12-month |
U.S. large cap equities
(S&P 500®Index) | | (12.31)% | | (6.98)% |
U.S. small cap equities
(Russell 2000®Index) | | (23.72) | | (23.99) |
International equities
(MSCI Europe, Australasia, Far East Index) | | (16.52) | | (14.38) |
Emerging market equities
(MSCI Emerging Markets Index) | | (14.55) | | (17.69) |
3-month Treasury bills
(ICE BofAML3-Month U.S. Treasury Bill Index) | | 1.04 | | 2.25 |
U.S. Treasury securities
(ICE BofAML10-Year U.S. Treasury Index) | | 9.95 | | 18.25 |
U.S. investment grade bonds
(Bloomberg Barclays U.S. Aggregate Bond Index) | | 3.33 | | 8.93 |
Tax-exempt municipal bonds
(S&P Municipal Bond Index) | | 0.07 | | 3.78 |
U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index) | | (10.40) | | (6.94) |
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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| 2 | | THIS PAGE IS NOT PART OF YOUR FUND REPORT |
Table of Contents
| | |
| Fund Summary as of March 31, 2020 | | BATS: Series A Portfolio |
Investment Objective
BATS: 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 the12-month period ended March 31, 2020, the Fund underperformed both its broad-based benchmark, the Bloomberg Barclays U.S. Universal Index, and its “Reference Benchmark,” consisting of 50% Bloomberg U.S. Barclays U.S. Asset-Backed Securities Index and 50% Bloomberg BarclaysNon-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 detractor from the Fund’s performance relative to the Reference Benchmark was an overweight allocation to securitized assets. These includednon-agency residential mortgage backed securities (“MBS”), collateralized loan obligations (“CLOs”), commercial mortgage backed securities (“CMBS”) and credit risk transfer (“CRT”) transactions within agency MBS, which allow government-sponsored entities to share the risk ofnon-payment on underlying mortgages with private investors.
The Fund’s cash position aided relative performance.
Describe recent portfolio activity.
The Fund’s allocation to CLOs and asset backed securities (“ABS”) was decreased, while the allocation to CMBS andnon-agency MBS was increased over the12- month period. Specifically, within the ABS sector the investment adviser decreased the allocation to securities backed by student loans while completely divesting from credit card-backed ABS. The allocation to consumer loan, auto and “other” ABS was slightly increased over the period. Within CLOs, the Fund decreased its allocation to lower rated transactions while favoring higher quality AAA structures. Within the CMBS space, the investment adviser favored interest-only and senior AAA, “last cash flow” paper over agency and single-family rental securities. Withinnon-agency MBS, the Fund maintained its exposure to legacy,pre-financial crisis pools while increasing the allocation tonon-performing/re-performing loans and senior residential transition loans.
Describe portfolio positioning at period end.
The Fund ended the period with an underweight duration (and corresponding interest-rate sensitivity) relative to the Reference Benchmark. The Fund continued to holdout-of-benchmark allocations to CLOs,non-agency MBS, and CRT pools within agency MBS. In addition, the Fund finished the period with an underweight in CMBS and ABS relative to the Reference 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) | |
Asset-Backed Securities | | | 52 | % |
Non-Agency Mortgage-Backed Securities | | | 44 | |
U.S. Government Sponsored Agency Securities | | | 2 | |
Floating Rate Loan Interests | | | 2 | |
Corporate Bonds | | | — | (b) |
| | (a) | Total investments exclude short-term securities. | |
| | (b) | Amount is less than 1%. | |
CREDIT QUALITY ALLOCATION (a)
| | | | |
| Credit Rating | | Percent of Total Investments(b) | |
AAA/Aaa(c) | | | 38 | % |
AA/Aa | | | 4 | |
A | | | 3 | |
BBB/Baa | | | 4 | |
BB/Ba | | | 4 | |
B | | | 3 | |
CCC/Caa | | | 4 | |
CC/Ca | | | 5 | |
C | | | 1 | |
N/R | | | 34 | |
| | (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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. | |
| | (b) | Total investments exclude short-term securities. | |
| | (c) | The investment adviser evaluates the credit quality ofnot-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 deemednot-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
| | |
| 4 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of March 31, 2020 (continued) | | BATS: Series A Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| (a) | The Fund will primarily invest its assets in fixed-income securities, such as ABS, CMBS and residential mortgage-backed securities (“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, CMBS and RMBS 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. |
| (b) | 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. |
| (c) | A customized weighted index comprised of the returns of the Bloomberg Barclays U.S. Asset-Backed Securities Index (50%)/Bloomberg BarclaysNon-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 BarclaysNon-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. |
| (d) | Commencement of operations. |
Performance Summary for the Period Ended March 31, 2020
| | | | | | | | | | | | | | | |
| | | | | Average Annual Total Returns(a) |
| | | 6-Month
Total Returns | | 1 Year | | Since Inception(b) |
BATS: Series A Portfolio | | | | (8.57 | )% | | | | (5.22 | )% | | | | 3.51 | % |
Bloomberg Barclays U.S. Universal Index | | | | 1.76 | | | | | 7.15 | | | | | 3.93 | |
Reference Benchmark | | | | (0.76 | ) | | | | 3.18 | | | | | 2.71 | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund commenced operations on September 21, 2015. | |
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
(10/01/19) | | | Ending Account Value
(03/31/20) | | | Expenses Paid During
the Period(a) | | | | | | Beginning
Account Value
(10/01/19) | | | Ending
Account Value
(03/31/20) | | | Expenses Paid During the Period(a) | | | Annualized Expense Ratio | |
| BATS: Series A Portfolio | | | $1,000.00 | | | | $913.40 | | | | $0.00 | | | | | | | | $1,000.00 | | | | $1,025.00 | | | | $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 183/366 (to reflect theone-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 366. | |
| | | See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. | |
| | |
| Fund Summary as of March 31, 2020 | | BATS: Series C Portfolio |
Investment Objective
BATS: 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 the12-month period ended March 31, 2020, 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?
The Fund’s sector allocations and security selection both contributed to relative returns. From a sector perspective, the largest contributor was an underweight position in the emerging markets, followed by underweights in the utility and insurance industries.
An overweight position in the independent energy sector was the largest detractor from relative performance. An allocation to capital securities and an overweight in technology also detracted from Fund results. Capital securities are dividend-paying securities that combine some features of both corporate bonds and preferred stocks, while generally providing higher yields to compensate for being less senior in the issuers’ capital structures. The Fund’s duration (a measure of interest rate sensitivity) and yield curve positioning detracted as well.
Describe recent portfolio activity.
In 2019, investment-grade corporate bonds posted their highest returns since 2009. The Fed cut interest rates three times over the course of the year, driving U.S. Treasury yields lower. At the same time, investors’ desire for income and confidence in U.S economic growth moved yield spreads to nearly the tightest levels since the financial crisis. (Tightening yield spreads indicate outperformance for corporate bonds relative to Treasury securities.) While the investment adviser maintained a positive view on U.S. growth, it became concerned with the tight spread levels. The investment adviser therefore reduced portfolio risk by reducing allocations to banks, capital securities, basic materials, pharmaceuticals and energy. Conversely, the Fund added to technology given the investment adviser’s favorable view on the sector. Anout-of-benchmark allocation to agency mortgage-backed securities was added, as the category appeared attractively valued relative to corporate bonds.
The positive investment backdrop changed in early 2020 as the spread of coronavirus caused a rapid shift in investor sentiment and led to increased expectations that the world economy would move into a recession. The Fund sought to take advantage of the more attractive valuations by selectively rebuilding allocations to higher-quality issuers and more durable, less cyclical subsectors such as banks and utilities.
Describe portfolio positioning at period end.
The Fund’s leading sector overweight positions were in technology, banks and communications, while its largest underweights were in pharmaceuticals and insurance. The Fund’s duration was slightly below that of 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 | | | 86 | % |
U.S. Treasury Obligations | | | 7 | |
Capital Trusts | | | 2 | |
Taxable Municipal Bonds | | | 2 | |
Foreign Government Obligations | | | 2 | |
Foreign Agency Obligations | | | 1 | |
| | (a) | Total investments exclude short-term securities and options purchased. | |
CREDIT QUALITY ALLOCATION (a)
| | | | |
| Credit Rating | | Percent of Total Investments(b) | |
AAA/Aaa(c) | | | 8 | % |
AA/Aa | | | 7 | |
A | | | 36 | |
BBB/Baa | | | 48 | |
BB/Ba | | | 1 | |
| | (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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. | |
| | (b) | Total investments exclude short-term securities and options purchased. | |
| | (c) | The investment adviser evaluates the credit quality ofnot-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 deemednot-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
| | |
| 6 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of March 31, 2020 (continued) | | BATS: Series C Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| (a) | 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 ofnon-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. |
| (b) | An unmanaged index that includes publicly issued U.S. corporate andnon-corporate securities which include foreign agencies, sovereigns, supranationals and local authorities that meet the specified maturity, liquidity, and quality requirements. |
Performance Summary for the Period Ended March 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | Average Annual Total Returns(a) |
| | | 6-Month Total Returns | | 1 Year | | 5 Years | | 10 Years |
BATS: Series C Portfolio | | | | (1.13 | )% | | | | 6.31 | % | | | | 3.58 | % | | | | 5.38 | % |
Bloomberg Barclays U.S. Credit Index | | | | (2.13 | ) | | | | 5.10 | | | | | 3.28 | | | | | 4.75 | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
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
(10/01/19) | | | Ending
Account Value
(03/31/20) | | | Expenses
Paid During
the Period(a) | | | | | | Beginning
Account Value (10/01/19) | | | Ending
Account Value (03/31/20) | | | Expenses
Paid During
the Period(a) | | | Annualized
Expense Ratio | |
| BATS: Series C Portfolio | | | $1,000.00 | | | | $988.70 | | | | $0.00 | | | | | | | | $1,000.00 | | | | $1,025.00 | | | | $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 183/366 (to reflect theone-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 366. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. | |
| | |
| Fund Summary as of March 31, 2020 | | BATS: Series E Portfolio |
Investment Objective
BATS: Series E Portfolio’s (the “Fund”)investment objective is to seek to maximize Federaltax-free yield with a secondary goal of total return.
Portfolio Management Commentary
How did the Fund perform?
For the12-month period ended March 31, 2020, the Fund underperformed its broad-based benchmark, the S&P® Municipal Bond Index and 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 benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The Fund sought to manage interest rate risk in an active fashion using U.S. Treasury futures, which had an adverse impact on the Fund’s returns. Treasury yields drifted lower throughout the period, but the decline became most pronounced in the first quarter of 2020. During this time, the “flight to quality” accelerated as the spread of coronavirus led to widespread economic shutdowns and forced the Fed to cut interest rates to zero. Municipal bonds lost ground on credit concerns even as U.S. Treasuries rallied, causing the Fund’s risk-management strategy to become ineffective. The investment adviser therefore eliminated the positions in U.S. Treasury futures.
Security selection in the tobacco sector further detracted from the Fund’s performance.
On the positive side, the Fund benefited from its positions in bonds with maturities of20-plus years. An overweight position in investment-grade debt, particularly BBB and A rated securities, also added value. At the sector level, positions in the health care and transportation sectors were key contributors to the Fund’s performance.
Describe recent portfolio activity.
The Fund’s most notable activity consisted of investing the large cash inflows that occurred in 2019. The investment adviser focused its new purchases on lower-rated investment-grade issues, with a preference for revenue bonds over general obligation debt. In addition, the investment adviser continued to increase the Fund’s weighting in Puerto Rico, based on the territory’s improving outlook. Longer-dated maturities were also favored in an effort to maximize yields and capture their more attractive relative value versus shorter-dated issues. However, the Fund was not immune to the widespread outflows that occurred from municipal bond funds in the first quarter of 2020. The investment adviser funded redemptions primarily through the sale of higher-quality, more liquid securities.
Describe portfolio positioning at period end.
The Fund’s duration (interest rate sensitivity) was above that of the index. The Fund remained overweight in longer-term bonds, specifically the20-plus year maturity range, and it was underweight in short- and intermediate-term debt. The Fund continued to have a bias toward higher-quality issuers. The transportation sector was its largest overweight, while thetax-backed local and school district sectors were the most notable underweights.
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) | |
County/City/Special District/School District | | | 23 | % |
Health Care | | | 19 | |
Education | | | 16 | |
Transportation | | | 16 | |
Utilities | | | 11 | |
Tobacco | | | 9 | |
Housing | | | 4 | |
Corporate | | | 2 | |
| | (a) | Total investments exclude short-term securities. | |
CREDIT QUALITY ALLOCATION (a)
| | | | |
| Credit Rating | | Percent of Total Investments(b) | |
AA/Aa | | | 11 | % |
A | | | 23 | |
BBB/Baa | | | 20 | |
BB/Ba | | | 9 | |
B | | | 3 | |
CC/Ca | | | 2 | |
N/R | | | 32 | |
| | (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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. | |
| | (b) | Total investments exclude short-term securities. | |
| | |
| 8 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of March 31, 2020 (continued) | | BATS: Series E Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| (a) | The Fund will invest in investment grade andnon-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. |
| (b) | 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. |
| (c) | 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. 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. |
| (d) | Commencement of operations. |
Performance Summary for the Period Ended March 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | Average Annual Total Returns(a) |
| | | 6-Month Total Returns | | 1 Year | | 5 Year | | Since Inception(b) |
BATS: Series E Portfolio | | | | (5.22 | )% | | | | 0.33 | % | | | | 4.75 | % | | | | 5.56 | % |
S&P®Municipal Bond Index | | | | 0.07 | | | | | 3.78 | | | | | 3.17 | | | | | 3.47 | |
Reference Benchmark | | | | (3.31 | ) | | | | 1.81 | | | | | 4.32 | | | | | 4.85 | (c) |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund commenced operations on August 4, 2014. | |
| | (c) | 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 (10/01/19) | | | Ending Account Value (03/31/20) | | | Expenses Paid During
the Period(a) | | | Expenses Paid During the Period(b) | | | | | Beginning Account Value (10/01/19) | | | Ending Account Value (03/31/20) | | | Expenses Paid During the Period(a) | | | Ending Account Value (03/31/20) | | | Expenses Paid During the Period(b) | | | | |
| | BATS: Series E Portfolio | | | $1,000.00 | | | | $947.80 | | | | $0.29 | | | | $0.00 | | | | | | $1,000.00 | | | | $1,024.70 | | | | $0.30 | | | | $1,025.00 | | | | $0.00 | | | | | |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.06%, multiplied by the average account value over the period, multiplied by 183/366 (to reflect theone-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 183/366 (to reflect theone-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 366. | |
| | | See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. | |
| | |
| Fund Summary as of March 31, 2020 | | BATS: Series M Portfolio |
Investment Objective
BATS: 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 the12-month period ended March 31, 2020, the Fund underperformed 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 largest detractor from the Fund’s performance relative to the benchmark was anout-of-benchmark allocation to securitized assets, with exposure to commercial mortgage-backed securities (“CMBS”) weighing most heavily on return. Allocations to Treasury inflation-protected securities (“TIPS”) also detracted as inflation expectations plummeted in the first quarter of 2020.
Positive contributions to the Fund’s relative performance were led by relative value strategies within agency mortgage-backed securities (“MBS”). In particular, trading the spread between MBS and U.S. Treasuries during the first quarter of 2020 proved beneficial.
Describe recent portfolio activity.
During the period, the Fund’s overall exposure to agency MBS remained little changed. Within the coupon stack, the Fund’s exposure in conventional30-year mortgages was shifted to favor lower coupons. Allocations to agency collateralized mortgage obligations were modestly increased while favoring interest-only (“IO”) and inverse IO structures. The Fund’s allocation to CMBS was reduced. Exposure to TIPS was reduced as well. With respect to duration (and corresponding interest-rate sensitivity), the Fund moved from a neutral to an underweight stance.
The Fund held a small percentage of assets in derivatives, including financial futures, as a means to manage risk against allocations in MBS and securitized assets. The use of derivatives had a negative impact on Fund performance.
Describe portfolio positioning at period end.
The Fund ended the period overweight in agency MBS relative to the benchmark, while favoring lower coupons relative to higher coupons. Within agency MBS, we favored specified pools with low loan balances, which cheapened during the market turbulence in March 2020. The Fund maintained an allocation to GNMA multi-family project IOs given the attractive spread (incremental yield) available relative to the sector’s fundamental outlook. We continued to hold a small position in5-year TIPS on the view that valuations are attractive relative to the investment adviser’s outlook for inflation fundamentals. Finally, the Fund was slightly underweight in 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) | |
U.S. Government Sponsored Agency Securities | | | 95 | % |
Non-Agency Mortgage-Backed Securities | | | 4 | |
U.S. Treasury Obligations | | | 1 | |
Asset-Backed Securities | | | — | (b) |
| | (a) | Total investments exclude short-term securities, TBA sale commitments and options written. | |
| | (b) | Amount is less than 1%. | |
CREDIT QUALITY ALLOCATION (a)
| | | | |
| Credit Rating | | Percent of Total Investments(b) | |
AAA/Aaa(c) | | | 99 | % |
AA/Aa | | | 1 | |
| | (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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. | |
| | (b) | Total investments exclude short-term securities, TBA sale commitments and options written. | |
| | (c) | The investment adviser evaluates the credit quality ofnot-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 deemednot-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
| | |
| 10 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of March 31, 2020 (continued) | | BATS: Series M Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| (a) | The Fund will primarily invest its assets in investment grade CMBS and RMBS, ABS, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent instruments, when-issued and delayed delivery securities, derivatives and dollar rolls. |
| (b) | 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. |
Performance Summary for the Period Ended March 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | Average Annual Total Returns(a) |
| | | 6-Month Total Returns | | 1 Year | | 5 Years | | 10 Years |
BATS: Series M Portfolio | | | | 2.13 | % | | | | 5.86 | % | | | | 2.91 | % | | | | 4.61 | % |
Bloomberg Barclays MBS Index | | | | 3.55 | | | | | 7.03 | | | | | 2.94 | | | | | 3.28 | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
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
(10/01/19) | | | Ending
Account Value
(03/31/20) | | | Expenses
Paid During
the Period(a) | | | | | | Beginning
Account Value (10/01/19) | | | Ending
Account Value (03/31/20) | | | Expenses
Paid During the Period(a) | | | Annualized Expense Ratio | |
| BATS: Series M Portfolio | | | $1,000.00 | | | | $1,021.30 | | | | $0.00 | | | | | | | | $1,000.00 | | | | $1,025.00 | | | | $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 183/366 (to reflect theone-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 366. | |
| | | See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. | |
| | |
| Fund Summary as of March 31, 2020 | | BATS: Series P Portfolio |
Investment Objective
BATS: 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 the12-month period ended March 31, 2020, the Fund underperformed the Bloomberg Barclays U.S. Treasury7-10 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 indexes will differ from comparisons of the benchmarks against the performance of the separately managed accounts.
What factors influenced performance?
The use and cost of derivatives will result in a negative contribution to the Fund’s return when interest rates fall; however, the Fund’s strategy is designed to offset these costs by holding shares of BATS: 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 fell, the Fund’s use of derivatives to facilitate an inverse exposure to the7- to10-year part of the U.S. Treasury yield curve detracted from the Fund’s results.
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 cash position had no material impact on Fund performance.
The Fund’s position in the Series S Portfolio, which was hurt by its allocations to investment-grade corporate bonds, asset-backed securities and commercial mortgage-backed securities, detracted from performance.
Describe recent portfolio activity.
The Fund actively managed interest rate risk on the7- to10-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, and anout-of-benchmark allocation to Series S Portfolio.
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 | % |
| | |
| 12 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of March 31, 2020 (continued) | | BATS: Series P Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| (a) | 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. |
| (b) | An unmanaged index that includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, arenon-convertible, are denominated in U.S. dollars, are rated Baa3 (or better) by Moody’s orBBB- (or better) by S&P, are fixed rate, and have more than $250 million par outstanding. |
| (c) | Provides total returns for swaps with varying maturities. For example, the10-year swap index measures the total return of investing in10-year par swaps over time. |
| (d) | Commencement of operations. |
Performance Summary for the Period Ended March 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | 6-Month Total Returns | | Average Annual Total Returns(a) |
| | | 1 Year | | 5 Years | | Since Inception(b) |
BATS: Series P Portfolio | | | | (7.76 | )% | | | | (13.25 | )% | | | | (2.76 | )% | | | | (2.87 | )% |
Bloomberg Barclays U.S. Treasury7-10 Year Bond Index | | | | 8.79 | | | | | 16.17 | | | | | 4.37 | | | | | 3.91 | |
Bloomberg Barclays U.S. Bellwether 10 Year Swap Index | | | | 9.17 | | | | | 18.89 | | | | | 4.90 | | | | | 4.49 | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
| | (b) | The Fund commenced operations on March 20, 2013. | |
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 (10/01/19) | | | Ending Account Value (03/31/20) | | | Expenses
Paid During the Period(a) | | | | | | Beginning
Account Value (10/01/19) | | | Ending Account Value (03/31/20) | | | Expenses Paid During the Period(a) | | | Annualized Expense Ratio | |
| BATS: Series P Portfolio | | | $1,000.00 | | | | $922.40 | | | | $0.00 | | | | | | | | $1,000.00 | | | | $1,025.00 | | | | $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 183/366 (to reflect theone-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 direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 366. | |
See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.
| | |
| Fund Summary as of March 31, 2020 | | BATS: Series S Portfolio |
Investment Objective
BATS: 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 the12-month period ended March 31, 2020, the Fund underperformed its benchmark, the ICE BofAML1-3 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 (“ABS”), commercial mortgage-backed securities (“CMBS”) — together with a corresponding underweight in U.S. Treasuries — were the primary detractors from performance. U.S. Treasuries outperformed the market’s credit sectors by a wide margin, with much of the advantage occurring in the first quarter of 2020.
The Fund’s longer duration (higher interest rate sensitivity) was the largest contributor to relative performance versus the benchmark, followed by its allocation to sovereign issues.
As part of its investment strategy, the Fund used interest rate derivatives to manage the portfolio’s duration and yield curve positioning. The use of derivatives detracted from the Fund’s results during the period.
Describe recent portfolio activity.
The Fund decreased its weighting in corporate bonds in 2019 as yield spreads tightened, and it rotated the proceeds into ABS, CMBS and agency mortgage-backed securities (“MBS”). The investment adviser believed agency MBS looked attractive relative to other sectors, as yield spreads had tightened to a lesser degree in this sector compared to corporate bonds in ABS. In the securitized space, the investment adviser favored high-quality,AAA-rated ABS with strong underlying assets, such as private student and consumer loans. Within CMBS, the investment adviser sought opportunities among individual securities with robust fundamentals.
Late in the period, the investment adviser reduced the Fund’s position in MBS to capitalize on the greater spread widening that occurred in other areas during the February — March 2020sell-off in risk assets. In particular, the investment adviser believed corporate bonds were more attractive given that yield spreads had widened to levels last seen in the 2008 — 2009 financial crisis. In addition, the investment adviser saw the Fed’s new corporate credit facilities as being supportive for the market in the near term.
Describe portfolio positioning at period end.
Believing the risk of decelerating economic growth could continue to put downward pressure on yields, the investment adviser positioned the Fund with a longer duration than the benchmark. The Fund closed the period overweight in ABS, agency MBS and U.S. investment-grade corporate bonds.
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 | | | 34 | % |
U.S. Government Sponsored Agency Securities | | | 23 | |
Asset-Backed Securities | | | 21 | |
Non-Agency Mortgage-Backed Securities | | | 19 | |
U.S. Treasury Obligations | | | 3 | |
Foreign Agency Obligations | | | — | (b) |
Capital Trusts | | | — | (b) |
| | (a) | Total investments exclude TBA sale commitments, options purchased and options written. | |
| | (b) | Amount is less than 1%. | |
CREDIT QUALITY ALLOCATION (a)
| | | | |
| Credit Rating | | Percent of Total Investments(b) | |
AAA/Aaa(c) | | | 62 | % |
AA/Aa | | | 1 | |
A | | | 12 | |
BBB/Baa | | | 23 | |
BB/Ba | | | 1 | |
N/R | | | 1 | |
| | (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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. | |
| | (b) | Total investments exclude TBA sale commitments, options purchased and options written. | |
| | (c) | The investment adviser evaluates the credit quality ofnot-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 deemednot-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. | |
| | |
| 14 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of March 31, 2020 (continued) | | BATS: Series S Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| (a) | The Fund will primarily invest its assets in investment grade fixed-income securities, such as CMBS and RMBS, obligations ofnon-U.S. governments and supranational organizations, which are chartered to promote economic development, obligations of domestic andnon-U.S. corporations, ABS, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements, reverse repurchase agreements and dollar rolls. |
| (b) | An unmanaged index comprised of Treasury securities with maturities ranging from one to three years. |
Performance Summary for the Period Ended March 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| | | | | Average Annual Total Returns(a) |
| | | 6 Months Total Returns | | 1 Year | | 5 Years | | 10 Years |
BATS: Series S Portfolio | | | | (2.66 | )% | | | | 0.34 | % | | | | 1.99 | % | | | | 2.56 | % |
ICE BofAML1-3 Year U.S. Treasury Index | | | | 3.33 | | | | | 5.42 | | | | | 1.85 | | | | | 1.43 | |
| | (a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. | |
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 (10/01/19) | | | Ending
Account Value (03/31/20) | | | Expenses Paid During the Period(a) | | | Expenses Paid During the Period(b) | | | | | Beginning
Account Value (10/01/19) | | | Ending
Account Value
(03/31/20) | | | Expenses
Paid During the Period(a) | | | Ending
Account Value (03/31/20) | | | Expenses
Paid During the Period(b) | | | |
| | BATS: Series S Portfolio | | | $1,000.00 | | | | $973.40 | | | | $4.46 | | | | $0.00 | | | | | | $1,000.00 | | | | $1,020.48 | | | | $4.57 | | | | $1,025.00 | | | | $0.00 | | | |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.90%, multiplied by the average account value over the period, multiplied by 183/366 (to reflect theone- half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 183/366 (to reflect theone-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. 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 366. | |
| | | 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. Refer toblackrock.comto obtain performance data current to the most recentmonth-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on theex-dividend or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
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 October 1, 2019 and held through March 31, 2020) 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 heading entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, 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.
| | |
| 16 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
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 Series E Portfolio transfers municipal bonds or other municipal securities into a special purpose entity (a “TOB Trust”). TOB investments generally provide the Series E Portfolio with economic benefits in periods of declining short-term interest rates, but expose the Series E Portfolio 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 Series E Portfolio’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, each Fund’s shareholders benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is distributed to each Fund’s shareholders, and the value of these portfolio holdings is reflected in each Fund’s 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 Funds 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.
| | | | |
| THE BENEFITSAND RISKSOF LEVERAGINGAND DERIVATIVE FINANCIAL INSTRUMENTS | | | 17 | |
| | |
Schedule of Investments March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par (000) | | | Value | |
|
Asset-Backed Securities— 49.9% | |
Ajax Mortgage LoanTrust: | | | | | | | | |
Series 2017-D, Class A,
3.75%, 12/25/57(a)(b) | | $ | 1,822 | | | $ | 1,548,533 | |
Series 2017-D, Class B,
0.00%, 12/25/57(a)(b)(c) | | | 1,684 | | | | 762,479 | |
Series 2018-A, Class A,
3.85%, 04/25/58(a)(b) | | | 1,959 | | | | 1,743,573 | |
Series 2018-A, Class B,
0.00%, 04/25/58(a)(b) | | | 599 | | | | 352,068 | |
Series 2018-B, Class A,
3.75%, 02/26/57(a)(b) | | | 1,934 | | | | 1,936,808 | |
Series 2018-B, Class B,
0.00%, 02/26/57(a)(b) | | | 719 | | | | 202,594 | |
Series 2018-D, Class A,
3.75%, 08/25/58(a)(b)(c) | | | 3,492 | | | | 3,107,609 | |
Series 2018-D, Class B,
0.00%, 08/25/58(a)(b)(c) | | | 912 | | | | 514,091 | |
Series 2018-E, Class A,
4.38%, 06/25/58(a)(c) | | | 3,615 | | | | 3,626,602 | |
Series 2018-E, Class B,
5.25%, 06/25/58(a)(b)(c) | | | 368 | | | | 257,250 | |
Series 2018-E, Class C,
0.00%, 06/25/58(a)(b)(c) | | | 917 | | | | 277,757 | |
Series 2018-F, Class A,
4.38%, 11/25/58(a)(b)(c) | | | 3,771 | | | | 3,205,744 | |
Series 2018-F, Class B,
5.25%, 11/25/58(a)(b)(c) | | | 420 | | | | 293,728 | |
Series 2018-F, Class C,
0.00%, 11/25/58(a)(b) | | | 991 | | | | 486,473 | |
Series 2018-G, Class A,
4.38%, 06/25/57(a)(b)(c) | | | 4,554 | | | | 4,531,613 | |
Series 2018-G, Class B,
5.25%, 06/25/57(a)(b)(c) | | | 560 | | | | 537,600 | |
Series 2018-G, Class C,
0.00%, 06/25/57(a)(b) | | | 1,431 | | | | 1,356,823 | |
Series 2019-A, Class A,
3.75%, 08/25/57(a)(c) | | | 3,637 | | | | 3,616,877 | |
Series 2019-A, Class B,
5.25%, 08/25/57(a)(b)(c) | | | 350 | | | | 344,120 | |
Series 2019-A, Class C,
0.00%, 08/25/57(a)(b) | | | 875 | | | | 694,524 | |
Series 2019-B, Class A,
3.75%, 01/25/59(a)(c) | | | 3,590 | | | | 3,561,850 | |
Series 2019-B, Class B,
5.25%, 01/25/59(a)(b)(c) | | | 409 | | | | 402,374 | |
Series 2019-B, Class C,
0.00%, 01/25/59(a)(b) | | | 1,046 | | | | 860,873 | |
Series 2019-C, Class A,
3.95%, 10/25/58(a)(c) | | | 3,645 | | | | 3,615,328 | |
Series 2019-E, Class A,
3.00%, 09/25/59(a)(d) | | | 3,306 | | | | 2,965,916 | |
Series 2019-E, Class B,
4.88%, 09/25/59(a)(d) | | | 350 | | | | 270,699 | |
Series 2019-E, Class C,
0.00%, 09/25/59(a)(b) | | | 835 | | | | 378,589 | |
Series 2019-G, Class A,
3.00%, 09/25/59(a)(d) | | | 2,360 | | | | 2,046,016 | |
Series 2019-G, Class B,
4.25%, 09/25/59(a)(d) | | | 224 | | | | 167,572 | |
Series 2019-G, Class C,
0.00%, 09/25/59(a) | | | 576 | | | | 396,726 | |
Series 2019-H, Class A,
3.00%, 11/25/59(a)(d) | | | 1,417 | | | | 1,222,820 | |
Series 2019-H, Class B,
4.25%, 11/25/59(a)(d) | | | 140 | | | | 104,732 | |
| | | | | | | | |
Security | | Par (000) | | | Value | |
Series 2019-H, Class C,
0.00%, 11/25/59(a) | | $ | 360 | | | $ | 281,992 | |
Series 2020-A, Class A,
2.38%, 12/25/59(a)(b)(d) | | | 11,250 | | | | 11,188,125 | |
Series 2020-A, Class B,
3.50%, 12/25/59(a)(b)(d) | | | 1,050 | | | | 1,042,650 | |
Series 2020-A, Class C,
0.00%, 12/25/59(a)(b) | | | 2,700 | | | | 1,597,590 | |
Allegro CLOII-S Ltd.: | | | | | | | | |
Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.080%), 2.90%, 10/21/28(a)(e) | | | 2,000 | | | | 1,922,075 | |
Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.150%), 3.97%, 10/21/28(a)(e) | | | 300 | | | | 246,829 | |
Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.000%), 4.82%, 10/21/28(a)(e) | | | 750 | | | | 562,726 | |
Allegro CLO VI Ltd.,
Series 2017-2A, Class A, (3 mo. LIBOR US + 1.130%), 2.97%, 01/17/31(a)(e) | | | 1,000 | | | | 931,146 | |
ALM VII Ltd.,
Series 2012-7A, Class A1A2, (3 mo. LIBOR US + 1.170%), 3.00%, 07/15/29(a)(e) | | | 1,000 | | | | 953,282 | |
ALM XVI Ltd./ALM XVI LLC: | | | | | | | | |
Series 2015-16A, Class A2R2, (3 mo. LIBOR US + 1.500%), 3.33%, 07/15/27(a)(e) | | | 1,000 | | | | 872,044 | |
Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.700%), 4.53%, 07/15/27(a)(e) | | | 1,000 | | | | 779,183 | |
ALM XVII Ltd.,
Series 2015-17A, Class BR, (3 mo. LIBOR US + 2.100%), 3.93%, 01/15/28(a)(e) | | | 500 | | | | 412,478 | |
AMMC CLO XIV Ltd.,
Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.250%), 3.04%, 07/25/29(a)(e) | | | 500 | | | | 475,972 | |
Anchorage Capital CLO3-R Ltd.: | | | | | | | | |
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.050%), 2.85%, 01/28/31(a)(e) | | | 1,000 | | | | 945,235 | |
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.500%), 3.30%, 01/28/31(a)(e) | | | 1,000 | | | | 911,957 | |
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.850%), 3.65%, 01/28/31(a)(e) | | | 500 | | | | 409,294 | |
Anchorage Capital CLO4-R Ltd.: | | | | | | | | |
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.050%), 2.85%, 01/28/31(a)(e) | | | 2,050 | | | | 1,937,660 | |
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.850%), 3.65%, 01/28/31(a)(e) | | | 1,500 | | | | 1,229,807 | |
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.600%), 4.40%, 01/28/31(a)(e) | | | 750 | | | | 525,305 | |
Anchorage Capital CLO5-R Ltd.: | | | | | | | | |
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%), 3.28%, 01/15/30(a)(e) | | | 1,700 | | | | 1,474,952 | |
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%), 3.68%, 01/15/30(a)(e) | | | 3,000 | | | | 2,467,722 | |
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.400%), 7.23%, 01/15/30(a)(e) | | | 1,000 | | | | 629,450 | |
Anchorage Capital CLO 7 Ltd.: | | | | | | | | |
Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.750%), 2.77%, 01/28/31(a)(e) | | | 1,500 | | | | 1,276,833 | |
Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.200%), 3.22%, 01/28/31(a)(e) | | | 625 | | | | 511,614 | |
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.500%), 4.52%, 01/28/31(a)(e) | | | 1,000 | | | | 749,098 | |
Anchorage Capital CLO 8 Ltd.: | | | | | | | | |
Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.000%), 2.80%, 07/28/28(a)(e) | | | 5,000 | | | | 4,864,685 | |
| | |
| 18 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par (000) | | | Value | |
Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.600%), 3.40%, 07/28/28(a)(e) | | $ | 1,000 | | | $ | 867,917 | |
Series 2016-8A, Class CR, (3 mo. LIBOR US + 2.100%), 3.90%, 07/28/28(a)(e) | | | 1,000 | | | | 823,801 | |
Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.000%), 4.80%, 07/28/28(a)(e) | | | 750 | | | | 570,070 | |
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.750%), 7.55%, 07/28/28(a)(e) | | | 2,060 | | | | 1,362,646 | |
Anchorage Capital CLO Ltd.: | | | | | | | | |
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%), 4.00%, 10/13/30(a)(e) | | | 500 | | | | 409,296 | |
Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.800%), 8.65%, 10/13/30(a)(e) | | | 1,000 | | | | 653,401 | |
Apidos CLO XII,Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.080%), 2.91%, 04/15/31(a)(e) | | | 1,387 | | | | 1,246,951 | |
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.010%),
2.83%, 04/20/31(a)(e) | | | 1,000 | | | | 926,964 | |
Apidos CLO XXI: | | | | | | | | |
Series 2015-21A, Class A1R, (3 mo. LIBOR US + 0.930%), 2.75%, 07/18/27(a)(e) | | | 3,000 | | | | 2,815,876 | |
Series 2015-21A, Class DR, (3 mo. LIBOR US + 5.200%), 7.02%, 07/18/27(a)(e) | | | 500 | | | | 262,681 | |
Apidos CLO XXIX, Series 2018-29A, Class D, (3 mo. LIBOR US + 5.250%),
7.04%, 07/25/30(a)(e) | | | 500 | | | | 253,470 | |
ARES XLIII CLO Ltd.,Series 2017-43A, Class E, (3 mo. LIBOR US + 6.470%),
8.30%, 10/15/29(a)(e) | | | 750 | | | | 468,695 | |
ARES XXXVII CLO Ltd.,Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.170%), 3.00%, 10/15/30(a)(e) | | | 600 | | | | 561,729 | |
Argent Mortgage Loan Trust,Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.480%), 1.43%, 05/25/35(e) | | | 63 | | | | 49,364 | |
Assurant CLO III Ltd.,Series 2018-2A, Class C, (3 mo. LIBOR US + 2.250%),
4.07%, 10/20/31(a)(e) | | | 500 | | | | 406,779 | |
Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.240%), 2.85%, 05/28/30(a)(e) | | | 1,825 | | | | 1,721,207 | |
Atrium XII, Series 12A, Class AR, (3 mo. LIBOR US + 0.830%), 2.63%, 04/22/27(a)(e) | | | 1,000 | | | | 979,682 | |
Avery Point VI CLO Ltd.,Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.050%), 2.79%, 08/05/27(a)(e) | | | 1,500 | | | | 1,327,945 | |
Babson CLO Ltd.,Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.190%), 3.01%, 10/20/30(a)(e) | | | 1,000 | | | | 936,338 | |
Bain Capital Credit CLO Ltd.: | | | | | | | | |
Series 2016-2A, Class AR, (3 mo. LIBOR US + 1.140%), 2.97%, 01/15/29(a)(e) | | | 3,400 | | | | 3,283,716 | |
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.080%), 2.90%, 07/19/31(a)(e) | | | 1,000 | | | | 929,966 | |
BankAmerica Manufactured Housing Contract Trust,Series 1997-2, Class B1,
7.07%, 02/10/22(c) | | | 5,740 | | | | 3,496,111 | |
Barings CLO Ltd.,Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.950%), 2.77%, 07/20/29(a)(e) | | | 1,000 | | | | 956,291 | |
Battalion CLO VII Ltd.: | | | | | | | | |
Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.040%), 2.88%, 07/17/28(a)(e) | | | 1,750 | | | | 1,700,282 | |
Series 2014-7A, Class BRR, (3 mo. LIBOR US + 2.500%), 4.34%, 07/17/28(a)(e) | | | 750 | | | | 619,291 | |
| | | | | | | | |
Security | | Par (000) | | | Value | |
Battalion CLO X Ltd.,Series 2016-10A, Class DR, (3 mo. LIBOR US + 6.650%), 8.45%, 01/24/29(a)(e) | | $ | 500 | | | $ | 334,080 | |
Battalion CLO XI Ltd.,Series 2017-11A, Class E, (3 mo. LIBOR US + 5.980%), 7.78%, 10/24/29(a)(e) | | | 1,000 | | | | 634,679 | |
Bayview Financial Revolving Asset Trust: | | | | | | | | |
Series2005-A, Class A1, (1 mo. LIBOR US + 1.000%), 1.94%, 02/28/40(a)(e) | | | 5,857 | | | | 5,246,558 | |
Series2005-E, Class A1, (1 mo. LIBOR US + 1.000%), 1.94%, 12/28/40(a)(e) | | | 3,350 | | | | 2,916,155 | |
Series2005-E, Class A2A, (1 mo. LIBOR US + 0.930%), 1.87%, 12/28/40(a)(e) | | | 2,931 | | | | 2,385,593 | |
BDS Ltd., Series2019-FL3, Class A, (1 mo. LIBOR US + 1.400%), 2.20%, 12/15/35(a)(e) | | | 6,205 | | | | 5,718,318 | |
Bear Stearns Asset-Backed Securities I Trust: | | | | | | | | |
Series2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.320%), 1.27%, 03/25/37(e) | | | 801 | | | | 454,335 | |
Series2007-HE2, Class 23A, (1 mo. LIBOR US + 0.140%), 1.09%, 03/25/37(e) | | | 116 | | | | 112,455 | |
Series2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.350%), 1.30%, 04/25/37(e) | | | 309 | | | | 207,959 | |
Bear Stearns Asset-Backed Securities Trust, Series2005-4, Class M2, (1 mo. LIBOR US + 1.200%), 2.15%, 01/25/36(e) | | | 58 | | | | 56,698 | |
Benefit Street Partners CLO IV Ltd., Series2014-IVA, Class A1RR, (3 mo. LIBOR US + 1.250%), 3.07%, 01/20/29(a)(e) | | | 500 | | | | 481,532 | |
Benefit Street Partners CLOV-B Ltd., Series2018-5BA, Class A1A, (3 mo. LIBOR US + 1.090%), 2.91%, 04/20/31(a)(e) | | | 1,000 | | | | 927,889 | |
Benefit Street Partners CLO VIII Ltd., Series2015-8A, Class A1AR, (3 mo. LIBOR US + 1.100%), 2.92%, 01/20/31(a)(e) | | | 900 | | | | 838,212 | |
Black Diamond CLO Ltd., Series2014-1A, Class A1R, (3 mo. LIBOR US + 1.150%), 2.99%, 10/17/26(a)(e) | | | 73 | | | | 72,928 | |
BlueMountain CLO Ltd.: | | | | | | | | |
Series2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%), 2.98%, 10/22/30(a)(e) | | | 2,200 | | | | 2,065,938 | |
Series2015-1A, Class D, (3 mo. LIBOR US + 5.450%), 7.30%, 04/13/27(a)(e) | | | 250 | | | | 192,288 | |
BSPRT Issuer Ltd., Series2018-FL3, Class A, (1 mo. LIBOR US + 1.050%), 1.76%, 03/15/28(a)(e) | | | 1,115 | | | | 1,047,777 | |
Burnham Park CLO Ltd., Series2016-1A, Class AR, (3 mo. LIBOR US + 1.150%), 2.97%, 10/20/29(a)(e) | | | 4,000 | | | | 3,733,810 | |
California Street CLO XII Ltd., Series2013-12A, Class AR, (3 mo. LIBOR US + 1.030%), 2.86%, 10/15/25(a)(e) | | | 383 | | | | 378,621 | |
Carlyle Global Market Strategies CLO Ltd.: | | | | | | | | |
Series2014-1A, Class A1R2, (3 mo. LIBOR US + 0.970%), 2.81%, 04/17/31(a)(e) | | | 1,515 | | | | 1,392,175 | |
Series2015-3A, Class A2R, (3 mo. LIBOR US + 1.600%), 3.40%, 07/28/28(a)(e) | | | 1,000 | | | | 867,809 | |
Series2015-4A, Class SBB1, (3 mo. LIBOR US + 8.500%), 10.32%, 07/20/32(a)(e) | | | 76 | | | | 55,442 | |
Carrington Mortgage Loan Trust: | | | | | | | | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 19 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.250%), 1.20%, 10/25/36(e) | | $ | 2,019 | | | $ | 1,525,574 | |
Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%), 1.19%, 08/25/36(e) | | | 630 | | | | 372,677 | |
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%), 1.11%, 10/25/36(e) | | | 72 | | | | 63,281 | |
Series 2007-FRE1, Class A3, (1 mo. LIBOR US + 0.260%), 1.21%, 02/25/37(e) | | | 2,200 | | | | 1,791,643 | |
CBAM Ltd.: | | | | | | | | |
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%), 3.07%, 07/20/30(a)(e) | | | 1,500 | | | | 1,417,341 | |
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%), 3.07%, 10/17/29(a)(e) | | | 2,500 | | | | 2,373,965 | |
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%), 3.54%, 10/17/29(a)(e) | | | 500 | | | | 442,564 | |
Series 2018-6A, Class B1R, (3 mo. LIBOR US + 2.100%), 3.93%, 01/15/31(a)(e) | | | 1,000 | | | | 850,737 | |
Cedar Funding IX CLO Ltd.,Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.980%), 2.80%, 04/20/31(a)(e) | | | 500 | | | | 463,727 | |
Cedar Funding V CLO Ltd.,Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.100%), 2.94%, 07/17/31(a)(e) | | | 1,750 | | | | 1,624,100 | |
Cedar Funding VI CLO Ltd.,Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.090%), 2.91%, 10/20/28(a)(e) | | | 500 | | | | 479,509 | |
Cedar Funding VIII CLO Ltd.,Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.250%), 3.09%, 10/17/30(a)(e) | | | 1,000 | | | | 942,113 | |
Cent CLO Ltd.: | | | | | | | | |
Series 2015-24A, Class A1R, (3 mo. LIBOR US + 1.070%), 2.90%, 10/15/26(a)(e) | | | 2,000 | | | | 1,932,519 | |
Series C17A, Class A1AR, (3 mo. LIBOR US + 1.030%), 2.80%, 04/30/31(a)(e) | | | 2,000 | | | | 1,849,521 | |
CIFC Funding Ltd.: | | | | | | | | |
Series 2013-2A, Class A1LR, (3 mo. LIBOR US + 1.210%), 3.04%, 10/18/30(a)(e) | | | 1,350 | | | | 1,268,255 | |
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.000%), 2.82%, 04/18/31(a)(e) | | | 710 | | | | 655,024 | |
Citigroup Mortgage Loan Trust: | | | | | | | | |
Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 1.27%, 11/25/36(e) | | | 290 | | | | 203,608 | |
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.270%), 1.22%, 05/25/37(e) | | | 16 | | | | 11,482 | |
Series 2007-WFH2, Class M3, (1 mo. LIBOR US + 0.470%), 1.42%, 03/25/37(e) | | | 5,000 | | | | 3,700,358 | |
Series 2007-WFH4, Class M3A, (1 mo. LIBOR US + 2.500%), 3.45%, 07/25/37(e) | | | 1,000 | | | | 850,541 | |
Clear Creek CLO: | | | | | | | | |
Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.950%), 4.77%, 10/20/30(a)(e) | | | 330 | | | | 233,732 | |
Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.300%), 8.12%, 10/20/30(a)(e) | | | 1,000 | | | | 586,571 | |
Conseco Finance Corp.: | | | | | | | | |
Series 1996-10, Class B1, 7.24%, 11/15/28(c) | | | 60 | | | | 56,023 | |
Series 1998-4, Class M1, 6.83%, 04/01/30(c) | | | 1,190 | | | | 1,048,826 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Series 1998-8, Class M1, 6.98%, 09/01/30(c) | | $ | 1,069 | | | $ | 883,427 | |
Conseco Finance Securitizations Corp.: | | | | | | | | |
Series 2000-1, Class A5, 8.06%, 09/01/29(c) | | | 2,399 | | | | 876,650 | |
Series 2000-4, Class A6, 8.31%, 05/01/32(c) | | | 2,419 | | | | 907,445 | |
Countrywide Asset-Backed Certificates: | | | | | | | | |
Series 2005-16, Class 1AF, 4.65%, 04/25/36(c) | | | 1,731 | | | | 1,540,962 | |
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%), 1.11%, 09/25/46(e) | | | 11 | | | | 10,314 | |
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust,Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.270%), 0.98%, 03/15/34(e) | | | 37 | | | | 33,445 | |
Credit Acceptance Auto Loan Trust,Series 2019-1A, Class A, 3.33%, 02/15/28(a) | | | 3,950 | | | | 3,920,445 | |
Credit Suisse Commercial Mortgage Trust, Series 2018-RPL8, Class A1, 4.13%, 07/25/58(a)(c) | | | 3,852 | | | | 3,539,252 | |
Credit-Based Asset Servicing & Securitization LLC: | | | | | | | | |
Series 2006-CB2, Class AF4, 3.31%, 12/25/36(d) | | | 21 | | | | 17,306 | |
Series 2006-MH1, Class B1,
6.25%, 10/25/36(a)(d) | | | 2,900 | | | | 2,733,123 | |
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.440%), 1.39%, 09/25/36(a)(e) | | | 6,231 | | | | 678,727 | |
CWHEQ Revolving Home Equity Loan Resuritization Trust: | | | | | | | | |
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.300%), 1.01%, 12/15/33(a)(e) | | | 33 | | | | 31,128 | |
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.190%), 0.90%, 05/15/35(a)(b)(e) | | | 10 | | | | 9,238 | |
CWHEQ Revolving Home Equity Loan Trust: | | | | | | | | |
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.180%), 0.89%, 05/15/36(e) | | | 2,473 | | | | 2,213,033 | |
Series 2006-G, Class 2A, (1 mo. LIBOR US + 0.150%), 0.86%, 10/15/36(e) | | | 298 | | | | 265,466 | |
Deer Creek CLO Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.180%), 3.00%, 10/20/30(a)(e) | | | 1,000 | | | | 936,665 | |
Dorchester Park CLO DAC: | | | | | | | | |
Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.450%), 3.27%, 04/20/28(a)(e) | | | 1,500 | | | | 1,303,957 | |
Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.750%), 3.57%, 04/20/28(a)(e) | | | 500 | | | | 412,904 | |
Dryden 53 CLO Ltd.,Series 2017-53A, Class A, (3 mo. LIBOR US + 1.120%), 2.95%, 01/15/31(a)(e) | | | 2,000 | | | | 1,861,351 | |
Dryden XXV Senior Loan Fund,Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.900%), 2.73%, 10/15/27(a)(e) | | | 246 | | | | 231,141 | |
Dryden XXVIII Senior Loan Fund,Series 2013-28A, Class A1LR, (3 mo. LIBOR US + 1.200%), 2.89%, 08/15/30(a)(e) | | | 1,247 | | | | 1,175,887 | |
EDvestinU Private Education Loan Issue No. 1 LLC,Series 2019-A, Class A, 3.58%, 11/25/38(a)(c) | | | 2,163 | | | | 2,232,692 | |
Elm CLO Ltd.,Series 2014-1A, Class ARR, (3 mo. LIBOR US + 1.170%), 3.01%, 01/17/29(a)(e) | | | 5,000 | | | | 4,798,142 | |
First Franklin Mortgage Loan Trust: | | | | | | | | |
| | |
| 20 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par (000) | | | Value | |
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.140%), 1.09%, 12/25/36(e) | | $ | 613 | | | $ | 320,706 | |
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.150%), 1.10%, 12/25/36(e) | | | 2,867 | | | | 2,318,224 | |
Fremont Home Loan Trust,Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 1.09%, 02/25/37(e) | | | 2,543 | | | | 1,714,776 | |
Galaxy XXIII CLO Ltd.,Series 2017-23A, Class A, (3 mo. LIBOR US + 1.280%), 3.08%, 04/24/29(a)(e) | | | 4,000 | | | | 3,835,060 | |
Galaxy XXIX CLO Ltd.,Series 2018-29A, Class C, (3 mo. LIBOR US + 1.680%), 3.37%, 11/15/26(a)(e) | | | 2,150 | | | | 1,778,957 | |
GE-WMC Asset-Backed Pass-Through Certificates,Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.250%), 1.45%, 12/25/35(e) | | | 16 | | | | 15,956 | |
GMACM Home Equity Loan Trust,Series 2006-HE1, Class A, (1 mo. LIBOR US + 0.315%), 1.26%, 11/25/36(e) | | | 167 | | | | 180,854 | |
GoldenTree Loan Opportunities IX Ltd.: | | | | | | | | |
Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.110%), 2.89%, 10/29/29(a)(e) | | | 500 | | | | 474,436 | |
Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.660%), 7.44%, 10/29/29(a)(e) | | | 750 | | | | 490,526 | |
GSAA Home Equity Trust: | | | | | | | | |
Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.350%), 1.30%, 12/25/35(e) | | | 283 | | | | 95,783 | |
Series 2006-4, Class 1A1, 3.62%, 03/25/36(c) | | | 1,109 | | | | 769,958 | |
Series 2007-2, Class AF3, 5.92%, 03/25/37(c) | | | 28 | | | | 7,535 | |
GSAMP Trust: | | | | | | | | |
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.200%), 1.15%, 01/25/47(e) | | | 14 | | | | 7,311 | |
Series 2007-HS1, Class M5, (1 mo. LIBOR US + 2.250%), 3.20%, 02/25/47(e) | | | 3,566 | | | | 3,164,151 | |
Series 2007-HS1, Class M7, (1 mo. LIBOR US + 2.250%), 3.20%, 02/25/47(e) | | | 3,000 | | | | 2,109,095 | |
Halcyon Loan Advisors Funding Ltd.: | | | | | | | | |
Series 2014-3A, Class B1R, (3 mo. LIBOR US + 1.700%), 3.50%, 10/22/25(a)(e) | | | 1,600 | | | | 1,407,044 | |
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.080%), 2.87%, 07/25/27(a)(e) | | | 189 | | | | 183,349 | |
Highbridge Loan Management Ltd.,Series 12A-18, Class D, (3 mo. LIBOR US + 5.150%), 6.97%, 07/18/31(a)(e) | | | 1,120 | | | | 616,355 | |
Home Equity Mortgage Loan Asset-Backed Trust,Series 2004-A, Class M2, (1 mo. LIBOR US + 2.025%), 2.97%, 07/25/34(e) | | | 29 | | | | 25,327 | |
HPS Loan Management Ltd.: | | | | | | | | |
Series 10A-16, Class A1R, (3 mo. LIBOR US + 1.140%), 2.96%, 01/20/28(a)(e) | | | 5,000 | | | | 4,754,647 | |
Series 10A-16, Class C, (3 mo. LIBOR US + 3.650%), 5.47%, 01/20/28(a)(e) | | | 500 | | | | 377,145 | |
ICG U.S. CLO Ltd.,Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.140%), 2.96%, 10/19/28(a)(e) | | | 1,150 | | | | 1,108,470 | |
Invitation Homes Trust: | | | | | | | | |
Series 2018-SFR2, Class E, (1 mo. LIBOR US + 2.000%), 2.71%, 06/17/37(a)(e) | | | 2,000 | | | | 1,577,563 | |
Series 2018-SFR2, Class F, (1 mo. LIBOR US + 2.250%), 2.96%, 06/17/37(a)(e) | | | 929 | | | | 713,442 | |
| | | | | | | | |
Security | | Par (000) | | | Value | |
Series 2018-SFR3, Class E, (1 mo. LIBOR US + 2.000%), 2.80%, 07/17/37(a)(e) | | $ | 2,545 | | | $ | 2,056,565 | |
JPMorgan Mortgage Acquisition Trust,Series 2006-CH1, Class M7, (1 mo. LIBOR US + 0.800%), 1.75%, 07/25/36(e) | | | 3,498 | | | | 2,580,172 | |
Kayne CLO II Ltd.,Series 2018-2A, Class A, (3 mo. LIBOR US + 1.240%), 3.07%, 10/15/31(a)(e) | | | 1,000 | | | | 878,281 | |
KKR CLO Ltd., Series 23, Class E, (3 mo. LIBOR US + 6.000%), 7.82%, 10/20/31(a)(e) | | | 500 | | | | 270,246 | |
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%), 2.89%, 01/20/31(a)(e) | | | 2,000 | | | | 1,865,483 | |
LCM XXI LP, Series 21A, Class AR, (3 mo. LIBOR US + 0.880%), 2.70%, 04/20/28(a)(e) | | | 500 | | | | 479,674 | |
Legacy Mortgage Asset Trust: | | | | | | | | |
Series 2018-SL1, Class A, 4.00%, 02/25/58(a)(c) | | | 2,539 | | | | 2,535,766 | |
Series 2019-SL2, Class A,
3.38%, 02/25/59(a)(b)(c) | | | 3,071 | | | | 3,094,382 | |
Series 2019-SL2, Class B, 0.00%, 02/25/59(a)(b) | | | 654 | | | | 49,158 | |
Series 2019-SL2, Class M,
4.25%, 02/25/59(a)(b)(c) | | | 600 | | | | 462,000 | |
Lehman ABS Manufactured Housing Contract Trust,Series 2002-A, Class C, 0.00%, 06/15/33 | | | 943 | | | | 772,922 | |
Lendmark Funding Trust: | | | | | | | | |
Series 2018-2A, Class A, 4.23%, 04/20/27(a) | | | 3,000 | | | | 2,807,222 | |
Series 2019-2A, Class A, 2.78%, 04/20/28(a) | | | 3,720 | | | | 3,236,247 | |
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.130%),
1.84%, 05/15/28(a)(e) | | | 2,390 | | | | 2,248,002 | |
Long Beach Mortgage Loan Trust: | | | | | | | | |
Series 2006-2, Class 1A, (1 mo. LIBOR US + 0.180%), 1.13%, 03/25/46(e) | | | 980 | | | | 684,826 | |
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.150%), 1.10%, 06/25/36(e) | | | 3,910 | | | | 1,913,710 | |
Series 2006-7, Class 1A, (1 mo. LIBOR US + 0.155%), 1.10%, 08/25/36(e) | | | 4,985 | | | | 2,743,214 | |
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.11%, 08/25/36(e) | | | 7,167 | | | | 3,227,201 | |
Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.240%), 1.19%, 08/25/36(e) | | | 1,654 | | | | 761,779 | |
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%), 1.06%, 10/25/36(e) | | | 7,213 | | | | 2,592,521 | |
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.11%, 10/25/36(e) | | | 2,406 | | | | 879,736 | |
Series 2006-WL3, Class 2A4, (1 mo. LIBOR US + 0.300%), 1.25%, 01/25/36(e) | | | 4,976 | | | | 4,042,607 | |
Madison Park Funding X Ltd.: | | | | | | | | |
Series 2012-10A, Class CR2, (3 mo. LIBOR US + 2.350%), 4.17%, 01/20/29(a)(e) | | | 1,000 | | | | 822,650 | |
Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.400%), 8.22%, 01/20/29(a)(e) | | | 500 | | | | 347,488 | |
Madison Park Funding XIII Ltd.,Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.950%), 2.77%, 04/19/30(a)(e) | | | 940 | | | | 805,667 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 21 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Madison Park Funding XIX Ltd.,Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.920%), 1.79%, 01/22/28(a)(b)(e) | | $ | 330 | | | $ | 330,000 | |
Madison Park Funding XV Ltd.,Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.450%), 5.24%, 01/27/26(a)(e) | | | 1,000 | | | | 800,035 | |
Madison Park Funding XVIII Ltd.,Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.190%), 3.01%, 10/21/30(a)(e) | | | 1,750 | | | | 1,644,133 | |
Madison Park Funding XXVI Ltd.,Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.200%), 2.98%, 07/29/30(a)(e) | | | 1,500 | | | | 1,409,137 | |
Madison Park Funding XXX Ltd.: | | | | | | | | |
Series 2018-30A, Class E, (3 mo. LIBOR US + 4.950%), 6.78%, 04/15/29(a)(e) | | | 1,000 | | | | 619,714 | |
Series 2018-30X, Class E, (3 mo. LIBOR US + 0.000%), 6.95%, 04/15/29(e) | | | 250 | | | | 154,929 | |
Mariner Finance Issuance Trust,Series 2019-AA, Class A, 2.96%, 07/20/32(a) | | | 5,000 | | | | 4,213,643 | |
MASTR Asset-Backed Securities Trust: | | | | | | | | |
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.260%), 1.21%, 06/25/36(a)(e) | | | 401 | | | | 329,895 | |
Series 2006-WMC2, Class A4, (1 mo. LIBOR US + 0.150%), 1.10%, 04/25/36(e) | | | 4,001 | | | | 1,389,534 | |
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.280%), 1.23%, 05/25/37(e) | | | 83 | | | | 56,456 | |
MASTR Specialized Loan Trust,Series 2006-3, Class A, (1 mo. LIBOR US + 0.260%), 1.21%, 06/25/46(a)(e) | | | 27 | | | | 23,948 | |
MERIT Securities Corp., Series 13, Class M2, 7.33%, 12/28/33(d) | | | 1,432 | | | | 1,135,142 | |
Merrill Lynch First Franklin Mortgage Loan Trust,Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.240%), 1.19%, 05/25/37(e) | | | 2,289 | | | | 1,458,436 | |
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%), 1.21%, 08/25/37(e) | | | 1,713 | | | | 612,724 | |
MidOcean Credit CLO III,Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.970%), 2.79%, 04/21/31(a)(e) | | | 1,250 | | | | 1,163,268 | |
Mill City Solar Loan Ltd.: | | | | | | | | |
Series 2019-1A, Class A, 4.34%, 03/20/43(a) | | | 2,070 | | | | 1,999,027 | |
Series 2019-2GS, Class A, 3.69%, 07/20/43(a) | | | 3,537 | | | | 3,343,717 | |
Morgan Stanley ABS Capital I, Inc. Trust,Series 2007-NC1, Class A2D, (1 mo. LIBOR US + 0.220%), 1.17%, 11/25/36(e) | | | 6,695 | | | | 3,415,036 | |
Mosaic Solar Loan Trust: | | | | | | | | |
Series 2018-2GS, Class A, 4.20%, 02/22/44(a) | | | 2,102 | | | | 2,119,086 | |
Series 2019-1A, Class A, 4.37%, 12/21/43(a) | | | 3,390 | | | | 3,353,571 | |
Series 2019-2A, Class A, 2.88%, 09/20/40(a) | | | 622 | | | | 599,211 | |
Mountain Hawk II CLO Ltd.,Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.600%), 3.42%, 07/20/24(a)(e) | | | 769 | | | | 761,679 | |
MP CLO VII Ltd.,Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.080%), 2.90%, 10/18/28(a)(e) | | | 1,150 | | | | 1,103,118 | |
Navient Private Education Refi Loan Trust: | | | | | | | | |
Series 2018-DA, Class A2A, 4.00%, 12/15/59(a) | | | 2,000 | | | | 2,089,347 | |
Series 2019-D, Class A2A, 3.01%, 12/15/59(a) | | | 5,000 | | | | 4,478,158 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Series 2020-CA, Class A2B, (1 mo. LIBOR US + 1.600%), 2.65%, 11/15/68(a)(e) | | $ | 4,100 | | | $ | 3,513,583 | |
Navient Student Loan Trust,Series 2019-BA, Class A2A, 3.39%, 12/15/59(a) | | | 2,590 | | | | 2,706,831 | |
Neuberger Berman CLO XX Ltd.: | | | | | | | | |
Series 2015-20A, Class AR, (3 mo. LIBOR US + 0.800%), 2.63%, 01/15/28(a)(e) | | | 525 | | | | 494,246 | |
Series 2015-20A, Class DR, (3 mo. LIBOR US + 2.400%), 4.23%, 01/15/28(a)(e) | | | 1,000 | | | | 756,646 | |
Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.000%), 6.83%, 01/15/28(a)(e) | | | 750 | | | | 490,760 | |
Neuberger Berman Loan Advisers CLO 26 Ltd.,Series 2017-26A, Class A, (3 mo. LIBOR US + 1.170%), 2.99%, 10/18/30(a)(e) | | | 1,050 | | | | 986,430 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust,Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.400%), 1.35%, 10/25/36(a)(e) | | | 543 | | | | 478,232 | |
Oakwood Mortgage Investors, Inc.: | | | | | | | | |
Series 2001-D, Class A2, 5.26%, 01/15/19(c) | | | 38 | | | | 24,954 | |
Series 2002-A, Class M1, 7.76%, 03/15/32(c) | | | 2,163 | | | | 1,909,514 | |
Series 2002-C, Class M1, 6.89%, 11/15/32(c) | | | 2,453 | | | | 1,918,824 | |
OCP CLO Ltd.: | | | | | | | | |
Series 2016-12A, Class A1R, (3 mo. LIBOR US + 1.120%), 2.94%, 10/18/28(a)(e) | | | 2,915 | | | | 2,737,021 | |
Series 2016-12A, Class CR, (3 mo. LIBOR US + 3.000%), 4.82%, 10/18/28(a)(e) | | | 1,000 | | | | 753,016 | |
Octagon Investment Partners 18-R Ltd.,Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.960%), 2.80%, 04/16/31(a)(e) | | | 2,000 | | | | 1,848,242 | |
Octagon Investment Partners 30 Ltd.,Series 2017-1A, Class D, (3 mo. LIBOR US + 6.200%), 8.02%, 03/17/30(a)(e) | | | 540 | | | | 335,901 | |
Octagon Investment Partners 33 Ltd.,Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.190%), 3.01%, 01/20/31(a)(e) | | | 1,000 | | | | 931,774 | |
Octagon Investment Partners XVII Ltd.,Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.000%), 2.79%, 01/25/31(a)(e) | | | 750 | | | | 696,153 | |
Octagon Investment Partners XXIII Ltd.,Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.850%), 3.68%, 07/15/27(a)(e) | | | 1,000 | | | | 825,397 | |
OFSI Fund VI Ltd.,Series 2014-6A, Class A2R, (3 mo. LIBOR US + 1.130%), 2.96%, 03/20/25(a)(e) | | | 1,050 | | | | 951,184 | |
OHA Credit Partners IX Ltd.,Series 2013-9A, Class DR, (3 mo. LIBOR US + 3.300%), 5.12%, 10/20/25(a)(e) | | | 750 | | | | 603,819 | |
OHA Credit Partners XIII Ltd.,Series 2016-13A, Class E, (3 mo. LIBOR US + 7.150%), 8.97%, 01/21/30(a)(e) | | | 1,000 | | | | 683,283 | |
OHA Loan Funding Ltd.,Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.040%),
2.72%, 05/23/31(a)(e) | | | 770 | | | | 713,763 | |
OneMain Financial Issuance Trust: | | | | | | | | |
Series 2016-1A, Class B, 4.57%, 02/20/29(a) | | | 3,500 | | | | 3,450,679 | |
Series 2019-1A, Class B, 3.79%, 02/14/31(a) | | | 2,000 | | | | 1,804,949 | |
Series 2019-2A, Class A, 3.14%, 10/14/36(a) | | | 4,770 | | | | 3,854,085 | |
Option One Mortgage Loan Trust: | | | | | | | | |
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(d) | | | 4,404 | | | | 3,788,358 | |
| | |
| 22 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(d) | | $ | 3,728 | | | $ | 3,233,508 | |
Origen Manufactured Housing Contract Trust,Series 2007-B, Class A1, (1 mo. LIBOR US + 1.200%), 1.91%, 10/15/37(a)(b)(e) | | | 3,439 | | | | 3,353,018 | |
OZLM Funding III Ltd.,Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.700%), 4.50%, 01/22/29(a)(e) | | | 1,070 | | | | 880,566 | |
OZLM Funding IV Ltd.: | | | | | | | | |
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.250%), 3.05%, 10/22/30(a)(e) | | | 500 | | | | 468,221 | |
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%), 3.50%, 10/22/30(a)(e) | | | 500 | | | | 430,616 | |
OZLM Funding Ltd.,Series 2012-1A, Class A1R2, (3 mo. LIBOR US + 1.230%),
3.03%, 07/22/29(a)(e) | | | 500 | | | | 477,191 | |
OZLM VIII Ltd.,Series 2014-8A, Class BRR, (3 mo. LIBOR US + 2.200%), 4.04%, 10/17/29(a)(e) | | | 500 | | | | 410,285 | |
OZLM XIV Ltd.: | | | | | | | | |
Series 2015-14A, Class A1AR, (3 mo. LIBOR US + 1.160%), 2.99%, 01/15/29(a)(e) | | | 1,500 | | | | 1,439,319 | |
Series 2015-14A, Class A2AR, (3 mo. LIBOR US + 1.700%), 3.53%, 01/15/29(a)(e) | | | 4,000 | | | | 3,682,476 | |
Series 2015-14A, Class B1R, (3 mo. LIBOR US + 2.100%), 3.93%, 01/15/29(a)(e) | | | 1,500 | | | | 1,233,428 | |
Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.000%), 4.83%, 01/15/29(a)(e) | | | 1,000 | | | | 746,914 | |
OZLM XX Ltd.,Series 2018-20A, Class D, (3 mo. LIBOR US + 5.800%), 7.62%, 04/20/31(a)(e) | | | 1,000 | | | | 544,709 | |
Palmer Square CLO Ltd.: | | | | | | | | |
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%), 2.97%, 01/17/31(a)(e) | | | 1,000 | | | | 942,091 | |
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.650%), 4.49%, 01/17/31(a)(e) | | | 400 | | | | 279,757 | |
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.750%), 4.57%, 07/20/30(a)(e) | | | 750 | | | | 524,792 | |
Series 2015-2A, Class DR2, (3 mo. LIBOR US + 5.750%), 7.57%, 07/20/30(a)(e) | | | 500 | | | | 292,234 | |
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.600%), 7.44%, 07/16/31(a)(e) | | | 500 | | | | 282,320 | |
Palmer Square Loan Funding Ltd.: | | | | | | | | |
Series 2018-4A, Class A1, (3 mo. LIBOR US + 0.900%), 2.59%, 11/15/26(a)(e) | | | 163 | | | | 158,094 | |
Series 2018-4A, Class B, (3 mo. LIBOR US + 1.900%), 3.59%, 11/15/26(a)(e) | | | 1,000 | | | | 825,149 | |
Parallel Ltd.: | | | | | | | | |
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.850%), 2.67%, 07/20/27(a)(e) | | | 849 | | | | 822,648 | |
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.750%), 3.57%, 07/20/27(a)(e) | | | 1,000 | | | | 827,661 | |
Park Avenue Institutional Advisers CLO Ltd.: | | | | | | | | |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.850%), 7.53%, 08/23/31(a)(e) | | | 1,500 | | | | 805,952 | |
Series 2017-1A, Class D, (3 mo. LIBOR US + 6.220%), 7.92%, 11/14/29(a)(e) | | | 2,250 | | | | 1,452,244 | |
Popular ABS Mortgage Pass-Through Trust,Series 2006-B, Class M1, (1 mo. LIBOR US + 0.360%), 1.31%, 05/25/36(e) | | | 7,000 | | | | 5,753,082 | |
Pretium Mortgage Credit Partners I LLC, Series 2019-NPL2, Class A1,
3.84%, 12/25/58(a)(d) | | | 2,334 | | | | 2,023,371 | |
Progress Residential Trust: | | | | | | | | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
Series 2017-SFR1, Class A, 2.77%, 08/17/34(a) | | $ | 1,434 | | | $ | 1,415,400 | |
Series 2018-SFR3, Class E, 4.87%, 10/17/35(a) | | | 5,000 | | | | 4,694,619 | |
Series 2019-SFR3, Class E, 3.37%, 09/17/36(a) | | | 3,000 | | | | 2,594,132 | |
Series 2019-SFR3, Class F, 3.87%, 09/17/36(a) | | | 1,000 | | | | 811,869 | |
Series 2019-SFR4, Class E, 3.44%, 10/17/36(a) | | | 3,000 | | | | 2,595,036 | |
Series 2019-SFR4, Class F, 3.68%, 10/17/36(a) | | | 2,500 | | | | 2,005,541 | |
Regatta VI Funding Ltd.: | | | | | | | | |
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.080%), 2.90%, 07/20/28(a)(e) | | | 350 | | | | 328,383 | |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.700%), 4.52%, 07/20/28(a)(e) | | | 250 | | | | 187,262 | |
Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.000%), 6.82%, 07/20/28(a)(e) | | | 500 | | | | 310,683 | |
Regional Management Issuance Trust, Series2019-1, Class A, 3.05%, 11/15/28(a) | | | 3,960 | | | | 3,401,154 | |
Renaissance Home Equity Loan Trust,Series 2005-3, Class AF4, 5.14%, 11/25/35(d) | | | 2,472 | | | | 2,492,175 | |
Republic FInance Issuance Trust,Series 2019-A, Class A, 3.43%, 11/22/27(a) | | | 4,050 | | | | 3,531,084 | |
Riserva CLO Ltd.,Series 2016-3A, Class AR, (3 mo. LIBOR US + 1.140%),
2.96%, 10/18/28(a)(e) | | | 1,100 | | | | 1,059,222 | |
Rockford Tower CLO Ltd.: | | | | | | | | |
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.030%), 2.86%, 04/15/29(a)(e) | | | 1,500 | | | | 1,426,894 | |
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.650%), 4.48%, 04/15/29(a)(e) | | | 1,000 | | | | 731,546 | |
Series 2017-1A, Class E, (3 mo. LIBOR US + 5.400%), 7.23%, 04/15/29(a)(e) | | | 2,350 | | | | 1,481,421 | |
Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.500%), 2.75%, 10/15/29(a)(e) | | | 1,250 | | | | 1,131,250 | |
Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.900%), 3.15%, 10/15/29(a)(e) | | | 1,000 | | | | 865,933 | |
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.850%), 4.10%, 10/15/29(a)(e) | | | 1,000 | | | | 761,756 | |
Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.250%), 7.50%, 10/15/29(a)(e) | | | 1,000 | | | | 586,626 | |
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.190%), 3.01%, 10/20/30(a)(e) | | | 2,144 | | | | 2,002,095 | |
Series 2017-3A, Class E, (3 mo. LIBOR US + 5.750%), 7.57%, 10/20/30(a)(e) | | | 2,250 | | | | 1,249,383 | |
Series 2018-2A, Class E, (3 mo. LIBOR US + 6.000%), 7.82%, 10/20/31(a)(e) | | | 1,000 | | | | 551,920 | |
RomarkWM-R Ltd.,Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.030%),
2.85%, 04/20/31(a)(e) | | | 1,250 | | | | 1,143,561 | |
RR 3 Ltd.,Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.090%), 2.92%, 01/15/30(a)(e) | | | 1,000 | | | | 932,444 | |
Seneca Park CLO Ltd.,Series 2014-1A, Class D, (3 mo. LIBOR US + 3.500%),
5.34%, 07/17/26(a)(e) | | | 250 | | | | 201,259 | |
SESAC Finance LLC,Series 2019-1, Class A2, 5.22%, 07/25/49(a) | | | 2,139 | | | | 2,009,419 | |
Shackleton CLO Ltd.,Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.120%),
2.95%, 07/15/30(a)(e) | | | 1,000 | | | | 938,778 | |
Silver Creek CLO Ltd.,Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.240%),
3.06%, 07/20/30(a)(e) | | | 1,500 | | | | 1,438,794 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 23 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par (000) | | | Value | |
SLM Private Credit Student Loan Trust: | | | | | | | | |
Series 2005-A, Class A4, (3 mo. LIBOR US + 0.310%), 1.05%, 12/15/38(e) | | $ | 2,240 | | | $ | 2,138,893 | |
Series 2005-B, Class A4, (3 mo. LIBOR US + 0.330%), 1.07%, 06/15/39(e) | | | 1,743 | | | | 1,663,532 | |
Series 2005-B, Class B, (3 mo. LIBOR US + 0.400%), 1.14%, 06/15/39(e) | | | 2,107 | | | | 2,074,574 | |
Series 2005-B, Class C, (3 mo. LIBOR US + 0.700%), 1.44%, 06/15/39(e) | | | 70 | | | | 69,760 | |
Series 2006-BW, Class A5, (3 mo. LIBOR US + 0.200%), 0.94%, 12/15/39(e) | | | 2,985 | | | | 2,839,909 | |
SLM Private Education Loan Trust: | | | | | | | | |
Series 2010-C, Class A5, (1 mo. LIBOR US + 4.750%), 5.46%, 10/15/41(a)(e) | | | 3,490 | | | | 3,754,414 | |
Series 2014-A, Class B, 3.50%, 11/15/44(a) | | | 2,405 | | | | 2,436,469 | |
SMB Private Education Loan Trust: | | | | | | | | |
Series 2015-C, Class B, 3.50%, 09/15/43(a) | | | 2,365 | | | | 2,450,681 | |
Series 2016-B, Class A2A, 2.43%, 02/17/32(a) | | | 2,891 | | | | 2,910,366 | |
Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.900%), 1.61%, 09/15/34(a)(e) | | | 3,655 | | | | 3,578,069 | |
Series 2017-B, Class A2A, 2.82%, 10/15/35(a) | | | 1,787 | | | | 1,769,248 | |
Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.750%), 1.46%, 10/15/35(a)(e) | | | 2,934 | | | | 2,780,226 | |
Series 2018-A, Class A2B, (1 mo. LIBOR US + 0.800%), 1.51%, 02/15/36(a)(e) | | | 5,100 | | | | 4,918,698 | |
Series 2019-B, Class A2A, 2.84%, 06/15/37(a) | | | 5,000 | | | | 4,725,161 | |
SoFi Professional Loan Program LLC,Series 2019-B, Class A2FX, 3.09%, 08/17/48(a) | | | 1,160 | | | | 1,194,985 | |
Sound Point CLO XIV Ltd.,Series 2016-3A, Class AR, (3 mo. LIBOR US + 1.150%), 2.96%, 01/23/29(a)(e) | | | 3,250 | | | | 3,128,223 | |
Sound Point CLO XV Ltd.,Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.150%), 2.96%, 01/23/29(a)(e) | | | 3,925 | | | | 3,755,025 | |
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.795%), 1.74%, 01/25/35(e) | | | 134 | | | | 107,016 | |
SpringCastle Funding Asset-Backed Notes,Series 2019-AA, Class A, 3.20%, 05/27/36(a) | | | 6,298 | | | | 5,901,543 | |
Springleaf Funding Trust,Series 2016-AA, Class B, 3.80%, 11/15/29(a) | | | 3,500 | | | | 3,388,072 | |
Steele Creek CLO Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.250%),
3.08%, 01/15/30(a)(e) | | | 250 | | | | 234,445 | |
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL1, Class A3, (1 mo. LIBOR US + 0.300%), 1.25%, 01/25/37(a)(e) | | | 1,600 | | | | 924,103 | |
Sunrun Xanadu Issuer LLC,Series 2019-1A, Class A, 3.98%, 06/30/54(a) | | | 2,318 | | | | 1,760,213 | |
Symphony CLO XVII Ltd.,Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.880%), 2.71%, 04/15/28(a)(e) | | | 1,000 | | | | 940,702 | |
TCI-Flatiron CLO Ltd.,Series 2017-1A, Class A, (3 mo. LIBOR US + 1.200%),
2.89%, 11/18/30(a)(e) | | | 1,000 | | | | 937,413 | |
Thacher Park CLO Ltd.,Series 2014-1A, Class D1R, (3 mo. LIBOR US + 3.400%), 5.22%, 10/20/26(a)(e) | | | 1,000 | | | | 800,084 | |
| | | | | | | | |
Security | | Par (000) | | | Value | |
THL Credit Wind River CLO Ltd.,Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.050%), 2.88%, 07/15/28(a)(e) | | $ | 2,000 | | | $ | 1,876,723 | |
TICP CLO VI Ltd.: | | | | | | | | |
Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.200%), 3.03%, 01/15/29(a)(e) | | | 4,000 | | | | 3,853,934 | |
Series 2016-6A, Class ER, (3 mo. LIBOR US + 6.400%), 8.23%, 01/15/29(a)(e) | | | 500 | | | | 324,776 | |
TICP CLO VII Ltd.,Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.050%),
8.56%, 04/15/33(a)(e) | | | 600 | | | | 373,453 | |
Towd Point Mortgage Trust: | | | | | | | | |
Series 2019-HY2, Class A1, (1 mo. LIBOR US + 1.000%), 1.95%, 05/25/58(a)(e) | | | 3,559 | | | | 3,479,849 | |
Series 2019-SJ2, Class A2,
4.25%, 11/25/58(a)(c) | | | 5,000 | | | | 4,969,825 | |
Trestles CLO Ltd.,Series 2017-1A, Class A1A, (3 mo. LIBOR US + 1.290%),
3.08%, 07/25/29(a)(e) | | | 350 | | | | 334,595 | |
Tricon American Homes Trust: | | | | | | | | |
Series 2017-SFR2, Class F, 5.10%, 01/17/36(a) | | | 4,000 | | | | 3,376,980 | |
Series 2018-SFR1, Class E, 4.56%, 05/17/37(a) | | | 2,000 | | | | 1,773,994 | |
Series 2019-SFR1, Class E, 3.40%, 03/17/38(a) | | | 2,000 | | | | 1,632,568 | |
Trinitas CLO II Ltd.,Series 2014-2A, Class A1R, (3 mo. LIBOR US + 1.180%),
3.01%, 07/15/26(a)(e) | | | 305 | | | | 302,904 | |
Venture XXIV CLO Ltd.,Series 2016-24A, Class AR, (3 mo. LIBOR US + 1.180%), 3.00%, 10/20/28(a)(e) | | | 1,000 | | | | 965,419 | |
Venture XXVI CLO Ltd.,Series 2017-26A, Class D, (3 mo. LIBOR US + 4.250%),
6.07%, 01/20/29(a)(e) | | | 500 | | | | 391,189 | |
Vericrest Opportunity Loan Trust, Series 2019-NPL2, Class A1, 3.97%, 02/25/49(a)(d) | | | 3,594 | | | | 3,181,646 | |
Vibrant CLO VII Ltd.,Series 2017-7A, Class A1, (3 mo. LIBOR US + 1.270%),
3.09%, 09/15/30(a)(e) | | | 1,000 | | | | 940,891 | |
Voya CLO Ltd.: | | | | | | | | |
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 0.970%), 2.76%, 04/25/31(a)(e) | | | 1,000 | | | | 919,599 | |
Series 2014-3A, Class A1R, (3 mo. LIBOR US + 0.720%), 2.51%, 07/25/26(a)(e) | | | 414 | | | | 408,053 | |
Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.970%), 2.78%, 07/23/27(a)(e) | | | 1,000 | | | | 938,599 | |
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%), 2.96%, 10/15/30(a)(e) | | | 1,000 | | | | 938,447 | |
Washington Mutual Asset-Backed Certificates Trust: | | | | | | | | |
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%), 1.13%, 09/25/36(e) | | | 267 | | | | 104,774 | |
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.155%), 1.10%, 10/25/36(e) | | | 99 | | | | 70,173 | |
Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%), 1.20%, 04/25/37(e) | | | 891 | | | | 385,120 | |
Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%), 1.31%, 04/25/37(e) | | | 96 | | | | 42,694 | |
Wellfleet CLO Ltd.: | | | | | | | | |
| | |
| 24 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 1.150%), 2.97%, 04/20/29(a)(e) | | $ | 1,500 | | | $ | 1,431,658 | |
Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.150%), 2.99%, 01/17/31(a)(e) | | | 1,525 | | | | 1,419,779 | |
Westcott Park CLO Ltd.,Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.250%), 5.07%, 07/20/28(a)(e) | | | 500 | | | | 385,215 | |
YorkCLO-2 Ltd.: | | | | | | | | |
Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.150%), 2.95%, 01/22/31(a)(e) | | | 1,220 | | | | 1,145,319 | |
Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.650%), 7.45%, 01/22/31(a)(e) | | | 1,000 | | | | 538,778 | |
YorkCLO-3 Ltd.,Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.250%),
3.07%, 10/20/29(a)(e) | | | 1,000 | | | | 951,197 | |
| | | | | | | | |
| |
Total Asset-Backed Securities — 49.9%
(Cost: $583,801,791) | | | | 517,172,213 | |
| | | | | | | | |
| | |
Corporate Bonds — 0.0% | | | | | | | | |
| | |
| Banks — 0.0% | | | | | | |
Washington Mutual Escrow Bonds: | | | | | | | | |
0.00%(b)(f)(g)(h) | | | 250 | | | | — | |
0.00%(b)(f)(g)(h) | | | 500 | | | | — | |
| | | | | | | | |
| | | | | | | — | |
| | |
| Insurance — 0.0% | | | | | | |
Ambac Assurance Corp., 5.10%, 06/07/20(a) | | | 58 | | | | 79,685 | |
Ambac LSNI LLC, (3 mo. LIBOR US + 5.000%), 6.45%, 02/12/23(a)(e) | | | 217 | | | | 206,282 | |
| | | | | | | | |
| |
| | | | 285,967 | |
| | | | | | | | |
Total Corporate Bonds — 0.0%
(Cost: $282,030) | | | | | | | 285,967 | |
| | | | | | | | |
|
Floating Rate Loan Interests(b)(e) — 1.6% | |
| | |
| Banks — 0.2% | | | | | | |
Goldman Sachs Bank USA: | | | | | | | | |
Term Loan B (MFA), (3 mo. LIBOR US + 1.75%, 0.25% Floor), 2.85%, 09/17/20 | | | 1,273 | | | | 1,270,105 | |
Term Loan B (MFA), (3 mo. LIBOR US + 1.75%, 0.25% Floor), 2.70%, 09/17/20 | | | 936 | | | | 933,871 | |
| | | | | | | | |
| | | | | | | 2,203,976 | |
| | |
| Capital Markets — 0.3% | | | | | | |
LSTAR Securities Financing Vehicle LLC, Loan, (1 mo. LIBOR US + 2.000%, 0.00% Floor), 3.58%, 05/02/22 | | | 3,109 | | | | 3,108,708 | |
| | | | | | | | |
|
| Diversified Financial Services — 0.6% | |
Goldman Sachs Lending Partners LLC: | | | | | | | | |
Term Loan A (MFA), (3 mo. LIBOR US + 1.90%, 0.25% Floor), 2.70%, 08/26/20 | | | 902 | | | | 899,652 | |
Term Loan A (MFA), (3 mo. LIBOR US + 1.90%, 0.25% Floor), 2.85%, 08/26/20 | | | 61 | | | | 60,841 | |
Pretium Mortgage Credit Partners I LP, Term Loan B1, (1 mo. LIBOR US + 2.250%, 0.00% Floor), 3.20%, 10/21/20 | | | 895 | | | | 892,516 | |
RNTR-1 LLC (AKA Seer Sylvan), Initial Term Loan, (1 mo. LIBOR US + 2.375%, 0.25% Floor), 3.08%, 12/20/21 | | | 3,990 | | | | 3,980,456 | |
| | | | | | | | |
| | | | | | | 5,833,465 | |
| | |
| Thrifts & Mortgage Finance — 0.5% | | | | | | |
Caliber Home Loans, Inc.: | | | | | | | | |
Term Loan, (1 mo. LIBOR US + 3.250%, 0.00% Floor), 4.91%, 04/24/21 | | | 1,593 | | | | 1,588,867 | |
Term Loan, (1 mo. LIBOR US + 3.250%, 0.00% Floor), 4.66%, 04/24/21 | | | 1,280 | | | | 1,276,679 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Thrifts & Mortgage Finance (Continued) | | | | | | |
Roundpoint Mortgage Servicing Corp., Closing Date Term Loan, (1 mo. LIBOR US + 3.375%, 0.00% Floor), 4.98%, 08/27/20 | | $ | 2,150 | | | $ | 2,156,659 | |
| | | | | | | | |
| | | | | | | 5,022,205 | |
| | | | | | | | |
| |
Total Floating Rate Loan Interests — 1.6%
(Cost: $16,189,442) | | | | 16,168,354 | |
| | | | | | | | |
|
Non-Agency Mortgage-Backed Securities — 42.9% | |
|
| Collateralized Mortgage Obligations — 11.5% | |
American Home Mortgage Assets Trust: | | | | | | | | |
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.210%), 1.16%, 10/25/46(e) | | | 129 | | | | 75,347 | |
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.920%), 2.89%, 11/25/46(e) | | | 1,080 | | | | 425,485 | |
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.700%), 2.67%, 02/25/47(e) | | | 40 | | | | 17,341 | |
Angel Oak Mortgage Trust I LLC,Series 2019-2, Class A1, 3.63%, 03/25/49(a)(c) | | | 3,348 | | | | 3,371,229 | |
APS Resecuritization Trust: | | | | | | | | |
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.850%), 3.80%, 09/27/46(a)(e) | | | 427 | | | | 406,903 | |
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.600%), 3.55%, 04/27/47(a)(e) | | | 81 | | | | 78,320 | |
ARI Investments LLC,Series 2017-1, Class A, 5.13%, 01/06/25(b)(c) | | | 584 | | | | 584,495 | |
Banc of America Alternative Loan Trust,Series 2006-4, Class 3CB1, (1 mo. LIBOR US + 0.800%), 1.75%, 05/25/46(e) | | | 925 | | | | 625,799 | |
Banc of America Funding Trust: | | | | | | | | |
Series 2014-R2, Class 1C, 0.00%, 11/26/36(a)(c) | | | 353 | | | | 66,648 | |
Series 2016-R2, Class 1A1, 4.70%,
05/01/33(a)(c) | | | 460 | | | | 428,109 | |
Banc of America Mortgage Trust,Series 2007-4, Class 1A1, 6.25%, 12/28/37 | | | 2,093 | | | | 1,847,631 | |
BCAP LLC Trust,Series 2011-RR4, Class 3A6, 3.89%, 07/26/36(a)(c) | | | 2,663 | | | | 2,337,655 | |
Bear Stearns Asset-Backed Securities I Trust,Series 2006-AC1, Class 1A2, 6.25%, 02/25/36(d) | | | 220 | | | | 175,075 | |
Bear Stearns Mortgage Funding Trust: | | | | | | | | |
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.280%), 1.23%, 08/25/36(e) | | | 1,313 | | | | 1,238,471 | |
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.170%), 1.12%, 03/25/37(e) | | | 407 | | | | 344,776 | |
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.210%), 1.16%, 06/25/37(e) | | | 36 | | | | 31,635 | |
Chase Mortgage Finance Trust,Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | | | 11,660 | | | | 7,538,869 | |
Citicorp Mortgage Securities Trust: | | | | | | | | |
Series 2007-9, Class 1A1, 6.25%, 12/25/37 | | | 3,176 | | | | 2,620,220 | |
Series 2008-2, Class 1A1, 6.50%, 06/25/38 | | | 488 | | | | 391,971 | |
Citigroup Mortgage Loan Trust,Series 2019-RP1, Class A1, 3.50%, 01/25/66(a)(c) | | | 3,877 | | | | 3,928,521 | |
CitiMortgage Alternative Loan Trust,Series 2007-A3, Class 1A5, 6.00%, 03/25/37 | | | 3,021 | | | | 2,759,313 | |
Countrywide Alternative Loan Trust: | | | | | | | | |
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.350%), 1.30%, 06/25/35(e) | | | 1,561 | | | | 1,078,253 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 25 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par (000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.640%), 1.41%, 11/20/35(e) | | $ | 712 | | | $ | 570,089 | |
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.600%), 1.55%, 01/25/36(e) | | | 524 | | | | 424,087 | |
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.000%), 2.97%, 02/25/36(e) | | | 689 | | | | 561,891 | |
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | | | 926 | | | | 650,675 | |
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.230%), 1.18%, 11/25/36(e) | | | 160 | | | | 102,918 | |
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.250%), 1.20%, 07/25/46(e) | | | 2,201 | | | | 1,686,620 | |
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 | | | 1,529 | | | | 959,991 | |
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 | | | 224 | | | | 109,579 | |
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.840%), 2.81%, 03/25/47(e) | | | 315 | | | | 225,157 | |
Countrywide Home Loan Mortgage Pass-Through Trust: | | | | | | | | |
Series 2005-J2, Class 2A4, (1 mo. LIBOR US + 1.400%), 2.35%, 08/25/35(e) | | | 1,378 | | | | 1,030,628 | |
Series 2007-15, Class 2A2, 6.50%, 09/25/37 | | | 808 | | | | 488,166 | |
Series 2007-HYB1, Class 3A1,
3.41%, 03/25/37(c) | | | 3,211 | | | | 2,570,430 | |
Credit Suisse Commercial Mortgage Trust: | | | | | | | | |
Series 2007-5, Class 1A11, 7.00%, 08/25/37(c) | | | 2,231 | | | | 1,613,997 | |
Series 2009-5R, Class 4A4, 4.01%, 06/25/36(a)(c) | | | 1,631 | | | | 1,288,293 | |
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(a) | | | 39 | | | | 19,941 | |
Series 2013-6, Class 2A3, 3.50%, 08/25/43(a)(c) | | | 2,489 | | | | 2,449,328 | |
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.120%), 1.75%, 08/27/36(a)(e) | | | 158 | | | | 141,811 | |
Series 2019-JR1, Class A1, 4.10%, 09/27/66(a)(c) | | | 3,808 | | | | 3,774,126 | |
Series 2019-RPL4, Class A1, 3.55%, 08/26/58(a) | | | 3,740 | | | | 3,885,140 | |
DeutscheAlt-B Securities Mortgage Loan Trust,Series 2006-AB3, Class A8, 6.36%, 07/25/36(c) | | | 26 | | | | 22,184 | |
GreenPoint Mortgage Funding Trust,Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.000%), 3.97%, 03/25/36(e) | | | 30 | | | | 25,925 | |
GS Mortgage Securities Corp. Trust, | | | | | | | | |
Series 2019-PJ2, Class A4, 4.00%, 11/25/49(a)(c) | | | 4,396 | | | | 4,409,828 | |
GSMPS Mortgage Loan Trust: | | | | | | | | |
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.350%), 1.30%, 03/25/35(a)(e) | | | 83 | | | | 69,293 | |
Series 2005-RP3, Class 2A1,
4.02%, 09/25/35(a)(c) | | | 4,987 | | | | 4,325,036 | |
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.350%), 1.30%, 01/25/36(a)(e) | | | 65 | | | | 49,292 | |
| | | | | | | | |
Security | | Par (000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Series 2006-RP2, Class 2A1,
4.28%, 04/25/36(a)(c) | | $ | 3,498 | | | $ | 2,941,751 | |
GSR Mortgage Loan Trust,Series 2006-AR2, Class 3A1, 3.81%, 04/25/36(c) | | | 2,548 | | | | 1,938,984 | |
IndyMac Index Mortgage Loan Trust, Series 2007-AR19, Class 3A1, 3.61%, 09/25/37(c) | | | 320 | | | | 200,712 | |
JPMorgan Alternative Loan Trust,Series 2006-S2, Class A5, 6.38%, 05/25/36(d) | | | 4,318 | | | | 3,624,924 | |
JPMorgan Mortgage Trust,Series 2005-A4, Class B1, 4.30%, 07/25/35(c) | | | 468 | | | | 398,256 | |
Lehman XS Trust,Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.150%), 2.10%, 12/25/37(e) | | | 50 | | | | 40,668 | |
LHOME Mortgage Trust, Series 2019-RTL2, Class A1, 3.84%, 03/25/24(a) | | | 6,000 | | | | 5,504,690 | |
LSTAR Securities Investment Ltd.,Series 2019-3, Class A1, (1 mo. LIBOR US + 1.500%), 2.49%, 04/01/24(a)(e) | | | 4,170 | | | | 3,651,419 | |
LSTAR Securities Investment Trust,Series 2019-1, Class A1, (1 mo. LIBOR US + 1.700%), 2.69%, 03/01/24(a)(e) | | | 2,977 | | | | 2,932,969 | |
MASTR Reperforming Loan Trust,Series 2006-2, Class 1A1, 4.36%, 05/25/36(a)(c) | | | 1,620 | | | | 1,407,511 | |
MASTR Resecuritization Trust,Series 2008-1, Class A1, 6.00%, 09/27/37(a)(c) | | | 1,490 | | | | 1,324,239 | |
MCM Trust: | | | | | | | | |
Series 2018-NPL1, Class A, 4.00%, 05/28/58(a) | | | 505 | | | | 507,512 | |
Series 2018-NPL1, Class B,
0.00%, 05/28/58(a)(b) | | | 1,733 | | | | 244,130 | |
Series 2018-NPL2, Class A,
4.00%, 10/25/28(a)(b)(d) | | | 1,362 | | | | 1,373,501 | |
Series 2018-NPL2, Class B,
0.00%, 10/25/28(a)(b) | | | 2,574 | | | | 824,936 | |
Mortgage Loan Resecuritization Trust,Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.340%), 1.92%, 04/16/36(a)(e) | | | 358 | | | | 288,960 | |
New Residential Mortgage Loan Trust,Series 2019-2A, Class A1, 4.25%, 12/25/57(a)(c) | | | 3,248 | | | | 3,286,056 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust,Series 2007-2, Class A4, (1 mo. LIBOR US + 0.420%), 1.37%, 06/25/37(e) | | | 912 | | | | 671,761 | |
OBX Trust, Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59(a)(c) | | | 3,328 | | | | 3,322,378 | |
RCO V Mortgage LLC,Series 2019-1, Class A1, 3.72%, 05/24/24(a)(d) | | | 4,353 | | | | 4,139,312 | |
Reperforming Loan REMIC Trust: | | | | | | | | |
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.340%), 1.29%, 06/25/35(a)(e) | | | 131 | | | | 116,404 | |
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.400%), 1.35%, 09/25/35(a)(e) | | | 933 | | | | 793,950 | |
Residential Accredit Loans Trust, Series 2006-QO10, Class A1, (1 mo. LIBOR US + 0.160%), 1.11%, 01/25/37(e) | | | 3,247 | | | | 2,692,789 | |
Structured Asset Mortgage Investments II Trust,Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.210%), 1.16%, 05/25/46(e) | | | 51 | | | | 39,960 | |
Structured Asset Securities Corp.: | | | | | | | | |
Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.350%), 1.30%, 06/25/35(a)(e) | | | 1,169 | | | | 944,713 | |
| | |
| 26 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Series 2005-RF5, Class 2A, 4.06%, 07/25/35(a)(c) | | $ | 3,240 | | | $ | 2,826,132 | |
SunTrust AcquisitionClosed-End Seconds Trust,Series 2007-1, Class A, (1 mo. LIBOR US + 0.320%), 1.27%, 04/25/37(e) | | | 95 | | | | 93,295 | |
Toorak Mortgage Corp. Ltd.,Series 2019-2, Class A1, 3.72%, 09/25/22(d) | | | 5,000 | | | | 4,466,114 | |
WaMu Mortgage Pass-Through Certificates Trust,Series 2007-OA4, Class 2A, (Cost of Funds for the 11th District of San Franciso + 1.250%), 2.23%, 05/25/47(e) | | | 3,547 | | | | 2,912,666 | |
Washington Mutual Mortgage Pass-Through Certificates Trust: | | | | | | | | |
Series 2005-AR2, Class B1, (1 mo. LIBOR US + 0.530%), 1.48%, 01/25/45(e) | | | 1,268 | | | | 697,252 | |
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | | | 353 | | | | 318,673 | |
Series 2006-4, Class 3A1,
6.50%, 05/25/36(d) | | | 165 | | | | 138,530 | |
Series 2006-AR1, Class A1A, (1 mo. LIBOR US + 0.250%), 1.20%, 02/25/36(e) | | | 1,901 | | | | 1,390,902 | |
Series 2007-HY1, Class A2A, (1 mo. LIBOR US + 0.160%), 1.11%, 02/25/37(e) | | | 982 | | | | 720,934 | |
Series 2007-OA5, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.750%), 2.72%, 06/25/47(e) | | | 769 | | | | 623,921 | |
| | | | | | | | |
| | | | | | | 119,227,395 | |
|
| Commercial Mortgage-Backed Securities — 28.1% | |
245 Park Avenue Trust: | | | | | | | | |
Series 2017-245P, Class A,
3.51%, 06/05/37(a) | | | 5,000 | | | | 5,209,619 | |
Series 2017-245P, Class E,
3.78%, 06/05/37(a)(c) | | | 369 | | | | 276,501 | |
280 Park Avenue Mortgage Trust: | | | | | | | | |
Series 2017-280P, Class A, (1 mo. LIBOR US + 0.880%), 1.59%, 09/15/34(a)(e) | | | 5,000 | | | | 4,687,148 | |
Series 2017-280P, Class E, (1 mo. LIBOR US + 2.119%), 2.82%, 09/15/34(a)(e) | | | 1,705 | | | | 1,440,476 | |
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 01/14/29(a) | | | 500 | | | | 499,755 | |
AOA Mortgage Trust, Series 2015-1177, Class D, 3.01%, 12/13/29(a)(c) | | | 1,849 | | | | 1,783,658 | |
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.100%), 2.81%, 04/15/35(a)(e) | | | 836 | | | | 696,546 | |
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, (1 mo. LIBOR US + 1.050%), 1.76%, 09/15/32(a)(e) | | | 2,000 | | | | 1,639,088 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2015-200P, Class F,
3.60%, 04/14/33(a)(c) | | | 1,294 | | | | 946,381 | |
Series 2016-ISQ, Class E,
3.61%, 08/14/34(a)(c) | | | 200 | | | | 135,970 | |
Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.900%), 1.61%, 11/15/32(a)(e) | | | 2,470 | | | | 2,266,225 | |
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.000%), 2.71%, 11/15/32(a)(e) | | | 1,090 | | | | 869,319 | |
Bancorp Commercial Mortgage Trust: | | | | | | | | |
Series 2018-CR3, Class A, (1 mo. LIBOR US + 0.850%), 1.56%, 01/15/33(a)(e) | | | 114 | | | | 107,058 | |
Series 2018-CRE4, Class A, (1 mo. LIBOR US + 0.900%), 1.61%, 09/15/35(a)(e) | | | 3,037 | | | | 2,636,757 | |
| | | | | | | | |
Security | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
BANK: | | | | | | | | |
Series 2019-BN19, Class C, 4.04%, 08/15/61(c) | | $ | 895 | | | $ | 728,653 | |
Series 2019-BN22, Class A4, 2.98%, 11/15/62 | | | 3,000 | | | | 3,131,144 | |
Barclays Commercial Mortgage Trust,Series 2019-C3, Class D, 3.00%, 05/15/52(a) | | | 3,014 | | | | 1,816,582 | |
Bayview Commercial Asset Trust: | | | | | | | | |
Series 2006-1A, Class A1, (1 mo. LIBOR US + 0.270%), 1.22%, 04/25/36(a)(e) | | | 4,498 | | | | 3,408,221 | |
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.360%), 1.31%, 04/25/36(a)(e) | | | 25 | | | | 19,093 | |
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.270%), 1.22%, 07/25/37(a)(e) | | | 55 | | | | 45,686 | |
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.450%), 1.40%, 09/25/37(a)(e) | | | 4,348 | | | | 3,216,278 | |
Series 2007-5A, Class A3, (1 mo. LIBOR US + 1.000%), 1.95%, 10/25/37(a)(e) | | | 1,572 | | | | 1,536,609 | |
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.500%), 2.45%, 12/25/37(a)(e) | | | 4,500 | | | | 3,685,603 | |
BBCMS Mortgage Trust: | | | | | | | | |
Series 2018-CHRS, Class E, 4.41%, 08/05/38(a)(c) | | | 1,000 | | | | 651,612 | |
Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.449%), 2.15%, 03/15/37(a)(e) | | | 1,100 | | | | 896,284 | |
BBCMS Trust: | | | | | | | | |
Series 2015-SRCH, Class A1, 3.31%, 08/10/35(a) | | | 495 | | | | 484,684 | |
Series 2019-CLP, Class D, (1 mo. LIBOR US + 1.728%), 2.43%, 12/15/31(a)(e) | | | 313 | | | | 294,554 | |
Series 2019-CLP, Class E, (1 mo. LIBOR US + 2.114%), 2.82%, 12/15/31(a)(e) | | | 566 | | | | 534,830 | |
Bear Stearns Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2005-PW10, Class B, 5.61%, 12/11/40(c) | | | 876 | | | | 873,734 | |
Series 2005-PWR7, Class B, 5.12%, 02/11/41(c) | | | 437 | | | | 432,016 | |
Benchmark Mortgage Trust: | | | | | | | | |
Series 2019-B10, Class 3CCA,
3.90%, 03/15/62(a)(c) | | | 349 | | | | 243,291 | |
Series 2019-B15, Class A5, 2.93%, 12/15/72 | | | 4,747 | | | | 4,914,299 | |
Series 2019-B15, Class B, 3.56%, 12/15/72 | | | 1,921 | | | | 1,740,078 | |
BHMS, Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.250%), 1.96%, 07/15/35(a)(e) | | | 4,000 | | | | 3,346,341 | |
BWAY Mortgage Trust: | | | | | | | | |
Series 2013-1515, Class A2, 3.45%, 03/10/33(a) | | | 2,870 | | | | 2,939,990 | |
Series 2013-1515, Class C, 3.45%, 03/10/33(a) | | | 250 | | | | 234,653 | |
BX Commercial Mortgage Trust: | | | | | | | | |
Series 2019-XL, Class G, (1 mo. LIBOR US + 2.300%), 3.01%, 10/15/36(a)(e) | | | 4,777 | | | | 4,011,751 | |
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.650%), 3.36%, 10/15/36(a)(e) | | | 5,302 | | | | 4,459,390 | |
Series 2020-BXLP, Class F, (1 mo. LIBOR US + 2.000%), 2.71%, 12/15/36(a)(e) | | | 2,332 | | | | 2,005,129 | |
BX Trust: | | | | | | | | |
Series 2019-CALM, Class E, (1 mo. LIBOR US + 2.000%), 2.71%, 11/25/32(a)(e) | | | 3,000 | | | | 2,473,642 | |
Series 2019-MMP, Class F, (1 mo. LIBOR US + 2.792%), 3.50%, 08/15/36(a)(e) | | | 2,000 | | | | 1,325,808 | |
Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | | | 4,950 | | | | 4,469,454 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 27 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
Security | | Par (000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
BXP Trust,Series 2017-GM, Class B, 3.43%, 06/13/39(a)(c) | | $ | 265 | | | $ | 273,601 | |
CAMB Commercial Mortgage Trust: | | | | | | | | |
Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.750%), 2.46%, 12/15/37(a)(e) | | | 1,000 | | | | 914,301 | |
Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.150%), 2.86%, 12/15/37(a)(e) | | | 1,899 | | | | 1,744,475 | |
Cantor Commercial Real Estate Lending,Series 2019-CF1, Class 65C,
4.12%, 05/15/52(a)(c) | | | 1,000 | | | | 781,262 | |
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D,
5.49%, 04/10/29(a)(c) | | | 345 | | | | 333,058 | |
CFCRE Commercial Mortgage Trust: | | | | | | | | |
Series 2011-C1, Class C, 6.09%, 04/15/44(a)(c) | | | 1,000 | | | | 1,011,882 | |
Series 2016-C4, Class C, 4.87%, 05/10/58(c) | | | 130 | | | | 111,166 | |
Series 2018-TAN, Class B, 4.69%, 02/15/33(a) | | | 1,081 | | | | 1,011,847 | |
Series 2018-TAN, Class C, 5.30%, 02/15/33(a) | | | 1,050 | | | | 977,923 | |
CFK Trust: | | | | | | | | |
Series 2019-FAX, Class D, 4.64%, 01/15/39(a)(c) | | | 2,500 | | | | 2,339,363 | |
Series 2019-FAX, Class E, 4.64%, 01/15/39(a)(c) | | | 2,500 | | | | 1,981,167 | |
CGDBB Commercial Mortgage Trust: | | | | | | | | |
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.600%), 2.31%, 07/15/32(a)(e) | | | 1,882 | | | | 1,677,129 | |
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.150%), 2.86%, 07/15/32(a)(e) | | | 1,178 | | | | 987,260 | |
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.930%), 1.64%, 11/15/36(a)(e) | | | 230 | | | | 192,899 | |
Citigroup Commercial Mortgage Trust: | | | | | | | | |
Series 2013-375P, Class C, 3.52%, 05/10/35(a)(c) | | | 100 | | | | 97,123 | |
Series 2015-GC27, Class C, 4.42%, 02/10/48(c) | | | 1,000 | | | | 863,816 | |
Series 2015-SHP2, Class F, (1 mo. LIBOR US + 5.200%), 5.91%, 07/15/27(a)(e) | | | 178 | | | | 164,234 | |
Series 2016-P3, Class A4, 3.33%, 04/15/49 | | | 2,635 | | | | 2,700,164 | |
Series 2016-P3, Class D, 2.80%, 04/15/49(a)(c) | | | 259 | | | | 180,196 | |
Series 2017-P7, Class A4, 3.71%, 04/14/50 | | | 6,000 | | | | 6,344,101 | |
Series 2019-GC41, Class A5, 2.87%, 08/10/56 | | | 5,000 | | | | 5,152,694 | |
Series 2019-PRM, Class E, 4.89%, 05/10/36(a) | | | 3,000 | | | | 2,642,959 | |
Series 2019-SMRT, Class A, 4.15%, 01/10/36(a) | | | 2,000 | | | | 2,034,781 | |
Series 2019-SMRT, Class D,
4.75%, 01/10/36(a)(c) | | | 3,000 | | | | 2,624,327 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust: | | | | | | | | |
Series 2006-CD3, Class AM, 5.65%, 10/15/48 | | | 769 | | | | 787,937 | |
Series 2016-CD1, Class A3, 2.46%, 08/10/49 | | | 5,000 | | | | 5,041,084 | |
Series 2017-CD4, Class A4, 3.51%, 05/10/50(c) | | | 3,300 | | | | 3,563,498 | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2005-C6, Class F, 5.73%, 06/10/44(a)(c) | | | 416 | | | | 414,403 | |
| | | | | | | | |
Security | | Par (000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
Series 2013-GAM, Class A2, 3.37%, 02/10/28(a) | | $ | 1,000 | | | $ | 988,949 | |
Series 2013-GAM, Class B, 3.42%, 02/10/28(a)(c) | | | 1,500 | | | | 1,473,098 | |
Series 2013-WWP, Class D, 3.90%, 03/10/31(a) | | | 110 | | | | 114,655 | |
Series 2014-CR15, Class A2, 2.93%, 02/10/47 | | | 1,604 | | | | 1,601,513 | |
Series 2014-UBS4, Class C, 4.64%, 08/10/47(c) | | | 1,500 | | | | 1,326,719 | |
Series 2015-CR22, Class A2, 2.86%, 03/10/48 | | | 1,082 | | | | 1,080,992 | |
Series 2015-CR23, Class A4, 3.50%, 05/10/48 | | | 2,000 | | | | 2,104,962 | |
Series 2015-CR26, Class A4, 3.63%, 10/10/48 | | | 3,535 | | | | 3,673,249 | |
Series 2015-LC19, Class D, 2.87%, 02/10/48(a) | | | 137 | | | | 102,857 | |
Series 2016-667M, Class D,
3.18%, 10/10/36(a)(c) | | | 500 | | | | 419,604 | |
Credit Suisse Commercial Mortgage Trust, | | | | | | | | |
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.950%), 1.66%, 12/15/30(a)(e) | | | 240 | | | | 202,925 | |
CSAIL Commercial Mortgage Trust: | | | | | | | | |
Series 2016-C6, Class C, 4.93%, 01/15/49(c) | | | 10 | | | | 8,571 | |
Series 2018-C14, Class A4, 4.42%, 11/15/51(c) | | | 4,219 | | | | 4,608,408 | |
Series 2018-CX12, Class A4, 4.22%, 08/15/51(c) | | | 5,000 | | | | 5,400,858 | |
Series 2019-C15, Class D, 3.00%, 03/15/52(a) | | | 93 | | | | 56,777 | |
Series 2019-C16, Class A3, 3.33%, 06/15/52 | | | 2,000 | | | | 2,077,020 | |
Series 2019-C16, Class C, 4.24%, 06/15/52(c) | | | 2,000 | | | | 1,500,127 | |
Series 2019-C17, Class D, 2.50%, 09/15/52(a) | | | 1,249 | | | | 702,416 | |
DBGS Mortgage Trust, Series 2019-1735, Class F, 4.20%, 04/10/37(a)(c) | | | 160 | | | | 94,165 | |
Deutsche Bank UBS Mortgage Trust: | | | | | | | | |
Series 2017-BRBK, Class A, 3.45%, 10/10/34(a) | | | 2,670 | | | | 2,635,906 | |
Series 2017-BRBK, Class D,
3.53%, 10/10/34(a)(c) | | | 990 | | | | 809,989 | |
Series 2017-BRBK, Class F,
3.53%, 10/10/34(a)(c) | | | 600 | | | | 422,133 | |
FREMF Mortgage Trust: | | | | | | | | |
Series 2017-K64, Class B, 3.98%, 05/25/50(a)(c) | | | 990 | | | | 951,209 | |
Series 2018-K74, Class B, 4.09%, 02/25/51(a)(c) | | | 2,150 | | | | 2,058,402 | |
GPMT Ltd.,Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.900%), 1.67%, 11/21/35(a)(e) | | | 720 | | | | 668,143 | |
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.59%, 06/10/28(a)(c) | | | 540 | | | | 532,331 | |
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51(c) | | | 4,100 | | | | 4,454,737 | |
GS Mortgage Securities Corp. Trust: | | | | | | | | |
Series 2017-500K, Class A, (1 mo. LIBOR US + 0.700%), 1.41%, 07/15/32(a)(e) | | | 1,000 | | | | 938,155 | |
Series 2017-500K, Class F, (1 mo. LIBOR US + 1.800%), 2.51%, 07/15/32(a)(e) | | | 337 | | | | 279,221 | |
Series 2017-500K, Class G, (1 mo. LIBOR US + 2.500%), 3.21%, 07/15/32(a)(e) | | | 70 | | | | 57,385 | |
| | |
| 28 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
Series 2018-HULA, Class D, (1 mo. LIBOR US + 1.800%), 2.51%, 07/15/25(a)(e) | | $ | 1,973 | | | $ | 1,413,990 | |
Series 2019-BOCA, Class A, (1 mo. LIBOR US + 1.200%), 1.91%, 06/15/38(a)(e) | | | 1,461 | | | | 1,179,144 | |
GS Mortgage Securities Trust: | | | | | | | | |
Series 2015-GC32, Class C, 4.43%, 07/10/48(c) | | | 1,970 | | | | 1,677,319 | |
Series 2015-GC32, Class D, 3.35%, 07/10/48 | | | 93 | | | | 69,952 | |
Series 2017-GS6, Class A3, 3.43%, 05/10/50 | | | 2,000 | | | | 2,034,532 | |
Series 2019-GSA1, Class C, 3.81%, 11/10/52(c) | | | 5,000 | | | | 3,596,801 | |
GSCG Trust: | | | | | | | | |
Series 2019-600C, Class A,
2.94%, 09/06/34(a) | | | 5,000 | | | | 4,854,791 | |
Series 2019-600C, Class F,
4.12%, 09/06/34(a)(c) | | | 2,000 | | | | 1,554,381 | |
Hudson Yards Mortgage Trust, Series 2019-30HY, Class E, 3.44%, 07/10/39(a)(c) | | | 2,000 | | | | 1,792,308 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1,
4.12%, 12/15/48(a)(c) | | | 1,190 | | | | 897,566 | |
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4, 3.06%, 11/13/52 | | | 1,968 | | | | 2,041,982 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2015-JP1, Class C,
4.74%, 01/15/49(c) | | | 315 | | | | 269,275 | |
Series 2015-UES, Class D,
3.74%, 09/05/32(a)(c) | | | 811 | | | | 794,444 | |
Series 2015-UES, Class E,
3.74%, 09/05/32(a)(c) | | | 600 | | | | 581,645 | |
Series 2016-JP2, Class A4,
2.82%, 08/15/49 | | | 779 | | | | 794,134 | |
Series 2016-NINE, Class A,
2.95%, 09/06/38(a)(c) | | | 2,371 | | | | 2,426,475 | |
Series 2017-FL10, Class E, (1 mo. LIBOR US + 3.900%), 4.61%, 06/15/32(a)(e) | | | 330 | | | | 279,431 | |
Series 2017-FL10, Class F, (1 mo. LIBOR US + 4.600%), 5.31%, 06/15/32(a)(e) | | | 420 | | | | 297,549 | |
Series 2017-JP5, Class D,
4.63%, 03/15/50(a)(c) | | | 1,240 | | | | 993,692 | |
Series 2018-PHH, Class A, (1 mo. LIBOR US + 0.910%), 1.62%, 06/15/35(a)(e) | | | 4,845 | | | | 4,289,158 | |
Series 2018-WPT, Class FFX, 5.54%, 07/05/33(a) | | | 950 | | | | 708,303 | |
Series 2019-COR5, Class C, 3.75%, 06/13/52 | | | 1,030 | | | | 742,492 | |
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, (1 mo. LIBOR US + 1.800%), 2.51%, 05/15/36(a)(e) | | | 1,159 | | | | 915,586 | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.250%),
1.77%, 03/25/37(a)(e) | | | 197 | | | | 183,102 | |
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%),
3.33%, 11/24/31(a)(e) | | | 119 | | | | 118,044 | |
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class D, 6.00%, 07/12/38(c) | | | 190 | | | | 192,855 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
Series 2015-C23, Class D,
4.16%, 07/15/50(a)(c) | | $ | 849 | | | $ | 667,964 | |
Series 2015-C25, Class A5, 3.64%, 10/15/48 | | | 1,455 | | | | 1,511,669 | |
Series 2015-C26, Class C, 4.40%, 10/15/48(c) | | | 1,000 | | | | 874,751 | |
Series 2015-C26, Class D, 3.06%, 10/15/48(a) | | | 278 | | | | 202,121 | |
Series 2016-C32, Class A4, 3.72%, 12/15/49 | | | 2,200 | | | | 2,316,261 | |
Morgan Stanley Capital I Trust: | | | | | | | | |
Series 2014-CPT, Class E,
3.45%, 07/13/29(a)(c) | | | 500 | | | | 493,161 | |
Series 2014-CPT, Class F,
3.45%, 07/13/29(a)(c) | | | 100 | | | | 98,632 | |
Series 2014-CPT, Class G,
3.45%, 07/13/29(a)(c) | | | 100 | | | | 98,632 | |
Series 2015-MS1, Class A4,
3.78%, 05/15/48(c) | | | 2,000 | | | | 2,088,538 | |
Series 2017-CLS, Class A, (1 mo. LIBOR US + 0.700%), 1.41%, 11/15/34(a)(e) | | | 4,330 | | | | 4,099,093 | |
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.600%), 3.31%, 11/15/34(a)(e) | | | 843 | | | | 710,025 | |
Series 2017-H1, Class C, 4.28%, 06/15/50(c) | | | 829 | | | | 692,555 | |
Series 2017-H1, Class D, 2.55%, 06/15/50(a) | | | 1,010 | | | | 647,150 | |
Series 2017-HR2, Class D, 2.73%, 12/15/50 | | | 160 | | | | 101,077 | |
Series 2018-H3, Class C, 4.85%, 07/15/51(c) | | | 1,110 | | | | 899,569 | |
Series 2018-MP, Class E, 4.28%, 07/11/40(a)(c) | | | 3,000 | | | | 1,959,678 | |
Series 2018-SUN, Class D, (1 mo. LIBOR US + 1.650%), 2.36%, 07/15/35(a)(e) | | | 1,000 | | | | 742,618 | |
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.550%), 3.26%, 07/15/35(a)(e) | | | 335 | | | | 244,806 | |
Series 2019-AGLN, Class D, (1 mo. LIBOR US + 1.750%), 2.46%, 03/15/34(a)(e) | | | 250 | | | | 210,361 | |
Series 2019-AGLN, Class F, (1 mo. LIBOR US + 2.600%), 3.31%, 03/15/34(a)(e) | | | 260 | | | | 201,500 | |
Series 2019-H6, Class A4, 3.42%, 06/15/52 | | | 1,155 | | | | 1,219,849 | |
Series 2019-H7, Class A4, 3.26%, 07/15/52 | | | 2,932 | | | | 3,102,428 | |
Series 2019-H7, Class C, 4.13%, 07/15/52 | | | 5,000 | | | | 3,706,686 | |
Series 2019-H7, Class D, 3.00%, 07/15/52(a) | | | 3,000 | | | | 1,793,885 | |
Morgan Stanley Mortgage Capital Trust, Series 2017-237P, Class A, 3.40%, 09/13/39(a) | | | 5,400 | | | | 5,056,667 | |
Natixis Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2017-75B, Class A, 3.86%, 04/10/37(a) | | | 1,850 | | | | 1,808,969 | |
Series 2018-FL1, Class MCR1, (1 mo. LIBOR US + 2.350%), 4.01%, 06/15/35(a)(e) | | | 598 | | | | 548,514 | |
Series 2019-10K, Class D,
4.14%, 05/15/39(a)(c) | | | 2,000 | | | | 1,798,275 | |
Olympic Tower Mortgage Trust: | | | | | | | | |
Series 2017-OT, Class A, 3.57%, 05/10/39(a) | | | 4,200 | | | | 3,427,337 | |
Series 2017-OT, Class D, 3.95%, 05/10/39(a)(c) | | | 1,080 | | | | 860,906 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 29 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
Series 2017-OT, Class E,
3.95%, 05/10/39(a)(c) | | $ | 498 | | | $ | 334,156 | |
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54(a) | | | 3,442 | | | | 3,430,018 | |
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A, (1 mo. LIBOR US + 0.950%), 1.94%, 06/15/33(a)(e) | | | 3,805 | | | | 3,339,348 | |
SG Commercial Mortgage Securities Trust, | | | | | | | | |
Series 2019-PREZ, Class E, 3.59%, 09/15/39(a)(c) | | | 2,000 | | | | 1,767,792 | |
U.S., Series 2018-USDC, Class E, 4.49%, 05/13/38(a)(c) | | | 1,000 | | | | 828,129 | |
Velocity Commercial Capital Loan Trust: | | | | | | | | |
Series 2019-2, Class M2,
3.39%, 07/25/49(a)(c) | | | 2,864 | | | | 2,264,970 | |
Series 2019-2, Class M3,
3.48%, 07/25/49(a)(c) | | | 1,126 | | | | 841,900 | |
Series 2019-2, Class M4,
3.99%, 07/25/49(a)(c) | | | 3,259 | | | | 2,313,535 | |
VNDO Mortgage Trust, Series 2013-PENN, Class D, 3.95%, 12/13/29(a)(c) | | | 500 | | | | 491,958 | |
Wells Fargo Commercial Mortgage Trust: | | | | | | | | |
Series 2015-NXS4, Class D, 3.67%, 12/15/48(c) | | | 997 | | | | 752,165 | |
Series 2016-NXS5, Class D, 4.97%, 01/15/59(c) | | | 750 | | | | 602,621 | |
Series 2017-C39, Class C, 4.12%, 09/15/50 | | | 3,000 | | | | 2,366,693 | |
Series 2017-C39, Class D, 4.35%, 09/15/50(a)(c) | | | 750 | | | | 548,813 | |
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.850%), 1.65%, 12/13/31(a)(e) | | | 846 | | | | 791,628 | |
Series 2018-1745, Class A, 3.75%, 06/15/36(a)(c) | | | 5,000 | | | | 4,933,477 | |
Series 2018-C44, Class A5, 4.21%, 05/15/51 | | | 5,198 | | | | 5,759,426 | |
Series 2018-C44, Class C, 4.84%, 05/15/51(c) | | | 1,484 | | | | 1,205,676 | |
Series 2018-C44, Class D, 3.00%, 05/15/51(a) | | | 317 | | | | 201,474 | |
Series 2018-C46, Class A4, 4.15%, 08/15/51 | | | 3,740 | | | | 4,021,778 | |
Series 2018-C47, Class A4, 4.44%, 09/15/61 | | | 5,000 | | | | 5,468,330 | |
Series 2019-C49, Class A5, 4.02%, 03/15/52 | | | 2,796 | | | | 3,019,870 | |
Series 2019-C53, Class A3, 2.79%, 10/15/52 | | | 1,000 | | | | 1,012,194 | |
Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.090%), 3.74%, 02/15/37(a)(e) | | | 1,000 | | | | 788,921 | |
Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.740%), 4.39%, 02/15/37(a)(e) | | | 2,000 | | | | 1,461,133 | |
| | | | | | | | |
| | |
| | | | | | | 290,836,669 | |
|
| Interest Only Collateralized Mortgage Obligations — 0.4% | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7,
3.55%, 02/25/38(a)(c) | | | 11,473 | | | | 3,573,274 | |
| | | | | | | | |
|
| Interest Only Commercial Mortgage-Backed Securities — 2.9% | |
B2R Mortgage Trust, Series 2015-2, Class XA, 2.43%, 11/15/48(a)(c) | | | 2,314 | | | | 16,548 | |
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class XD, 1.29%, 02/15/50(a)(c) | | | 10,000 | | | | 744,400 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust: | | | | | | | | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
Series 2017-SCH, Class XFCP, 0.00%, 11/15/19(a)(c) | | $ | 95,950 | | | $ | 960 | |
Series 2017-SCH, Class XLCP, 0.00%, 11/15/19(a)(c) | | | 56,050 | | | | 561 | |
BANK: | | | | | | | | |
Series 2019-BN22, Class XA, 0.60%, 11/15/62(c) | | | 39,143 | | | | 1,768,582 | |
Series 2019-BN22, Class XB, 0.15%, 11/15/62(c) | | | 85,561 | | | | 1,212,014 | |
BBCMS Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35(a)(c) | | | 12,500 | | | | 172,625 | |
Benchmark Mortgage Trust: | | | | | | | | |
Series 2019-B9, Class XA,
1.05%, 03/15/52(c) | | | 24,925 | | | | 1,809,272 | |
Series 2019-B12, Class XA, 1.07%, 08/15/52(c) | | | 38,562 | | | | 2,583,445 | |
Series 2020-B17, Class XB, 0.65%, 03/15/53(c) | | | 17,599 | | | | 735,337 | |
BX Commercial Mortgage Trust, Series 2018-IND, Class XCP, 0.00%, 11/15/35(a)(c) | | | 570,491 | | | | 11,581 | |
CFK Trust, Series 2019-FAX, Class XA, 0.23%, 01/15/39(a)(b)(c) | | | 62,648 | | | | 1,359,456 | |
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class X,
0.51%, 01/10/36(a)(c) | | | 80,300 | | | | 1,527,579 | |
Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.66%, 08/15/57(c) | | | 41,117 | | | | 1,819,367 | |
CSAIL Commercial Mortgage Trust: | | | | | | | | |
Series 2019-C16, Class XA, 1.57%, 06/15/52(c) | | | 13,220 | | | | 1,449,615 | |
Series 2019-C17, Class XA, 1.37%, 09/15/52(c) | | | 14,970 | | | | 1,386,586 | |
Deutsche Bank JPMorgan Mortgage Trust,
Series 2017-C6, Class XD, 1.00%, 06/10/50(c) | | | 11,214 | | | | 625,293 | |
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class X1, 0.40%, 05/03/32(a)(c) | | | 144,016 | | | | 1,929,886 | |
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.06%, 04/10/47(c) | | | 649 | | | | 17,761 | |
JPMDB Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2016-C4, Class XC, 0.75%, 12/15/49(a)(c) | | | 8,570 | | | | 347,425 | |
Series 2017-C5, Class XB,
0.29%, 03/15/50(c) | | | 30,000 | | | | 621,300 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49(a)(c) | | | 17,400 | | | | 692,899 | |
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X,
1.00%, 03/10/50(a)(c) | | | 11,388 | | | | 419,939 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.21%, 12/15/47(a)(c) | | | 220 | | | | 10,677 | |
Morgan Stanley Capital I Trust: | | | | | | | | |
Series 2017-H1, Class XD, 2.20%, 06/15/50(a)(c) | | | 8,625 | | | | 1,139,708 | |
Series 2019-L2, Class XA,
1.03%, 03/15/52(c) | | | 11,290 | | | | 811,521 | |
Natixis Commercial Mortgage Securities Trust, Series 2019-NEMA, Class X,
0.51%, 02/15/39(a)(c) | | | 41,770 | | | | 1,737,377 | |
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39(a)(c) | | | 28,100 | | | | 721,889 | |
One Market Plaza Trust: | | | | | | | | |
| | |
| 30 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
Series 2017-1MKT, Class XCP, 0.09%, 02/10/32(a)(c) | | $ | 110,000 | | | $ | 298,100 | |
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32(a)(b)(c) | | | 22,000 | | | | 220 | |
U.S., Series 2018-USDC, Class X, 0.32%, 05/13/38(a)(c) | | | 103,122 | | | | 2,715,233 | |
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.64%, 10/15/52(c) | | | 9,257 | | | | 941,512 | |
Wells Fargo Commercial Mortgage Trust: | | | | | | | | |
Series 2015-LC20, Class XB, 0.49%, 04/15/50(c) | | | 7,000 | | | | 150,690 | |
Series 2016-BNK1, Class XD, 1.26%, 08/15/49(a)(c) | | | 1,000 | | | | 65,260 | |
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA,
1.04%, 08/15/47(c) | | | 8,680 | | | | 302,510 | |
| | | | | | | | |
| | | | | | | 30,147,128 | |
| | | | | | | | |
| | |
Total Non-Agency Mortgage-Backed Securities — 42.9%
(Cost: $491,640,386) | | | | | | | 443,784,466 | |
| | | | | | | | |
|
U.S. Government Sponsored Agency
Securities — 2.2% | |
| | |
Collateralized Mortgage Obligations — 0.8% | | | | | | | | |
Connecticut Avenue Securities Trust, Series 2019-R05, Class 1M2, (1 mo. LIBOR US + 2.000%) 2.95%, 07/25/39(a)(e) | | | 3,750 | | | | 3,167,939 | |
Fannie Mae: | | | | | | | | |
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.000%), 3.95%, 10/25/29(e) | | | 106 | | | | 94,008 | |
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.000%), 4.95%, 05/25/30(e) | | | 2,000 | | | | 1,072,599 | |
Freddie Mac: | | | | | | | | |
Series 2016-DNA4, Class M3, (1 mo. LIBOR US +3.800%), 4.75%, 03/25/29(e) | | | 2,000 | | | | 1,854,748 | |
Series 2017-DNA2, Class M2, (1 mo. LIBOR US +3.450%), 4.40%, 10/25/29(e) | | | 250 | | | | 222,476 | |
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.500%), 3.45%, 03/25/30(e) | | | 2,494 | | | | 2,146,551 | |
Series 2018-DNA1, Class M2, (1 mo. LIBOR US + 1.800%), 2.75%, 07/25/30(e) | | | 224 | | | | 183,315 | |
| | | | | | | | |
| | | | | | | 8,741,636 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Commercial Mortgage-Backed Securities — 0.9% | |
Freddie Mac: | | | | | | | | |
Series K087, Class A2, 3.77%, 12/25/28 | | $ | 2,951 | | | $ | 3,479,460 | |
Series K090, Class A2, 3.42%, 02/25/29 | | | 3,000 | | | | 3,461,032 | |
Series KL4F, Class A2AS, 3.68%, 10/25/25(c) | | | 1,789 | | | | 2,013,925 | |
| | | | | | | | |
| | | | | | | 8,954,417 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.5% | |
Freddie Mac, Series KL05, Class X1P, 0.89%, 06/25/29(c) | | | 26,000 | | | | 1,772,524 | |
Ginnie Mae: | | | | | | | | |
Series 2016-36, Class IO, 0.88%, 08/16/57(c) | | | 16,368 | | | | 975,037 | |
Series 2016-128, Class IO, 0.95%, 09/16/56(c) | | | 5,544 | | | | 367,276 | |
Series 2017-24, Class IO, 0.86%, 12/16/56(c) | | | 37,441 | | | | 2,089,336 | |
| | | | | | | | |
| | | | | | | 5,204,173 | |
| | | | | | | | |
| |
Total U.S. Government Sponsored Agency
Securities — 2.2%
(Cost: $24,937,194) | | | | 22,900,226 | |
| | | | | | | | |
| |
Total Long-Term Investments — 96.6%
(Cost: $1,116,850,843) | | | | 1,000,311,226 | |
| | | | | | | | |
| | |
| Security | | Shares | | | Value | |
| |
Short-Term Securities — 2.9% | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.51%(i) | | | 29,759,221 | | | | 29,759,221 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 2.9%
(Cost: $29,759,221) | | | | | | | 29,759,221 | |
| | | | | | | | |
| | |
Total Investments — 99.5%
(Cost: $1,146,610,064) | | | | | | | 1,030,070,447 | |
| | |
Other Assets Less Liabilities—0.5% | | | | | | | 5,605,052 | |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 1,035,675,499 | |
| | | | | | | | |
| (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) | 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) | Issuer filed for bankruptcy and/or is in default. |
| (g) | Non-income producing security. |
| (h) | Perpetual security with no stated maturity date. |
| (i) | 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 rating 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.
| | | | |
| SCHEDULES OF INVESTMENTS | | | 31 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series A Portfolio |
Derivative Financial Instruments Outstanding as of Period End
OTC Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation/ 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.BBB- | | | 3.00% | | | | Monthly | | | Citigroup Global Markets, Inc. | | | 09/17/58 | | | | $140 | | | $ | 35,615 | | | | $ 4,822 | | | | | | | | $30,793 | |
CMBX.NA.9.BBB- | | | 3.00% | | | | Monthly | | | Morgan Stanley & Co. International PLC | | | 09/17/58 | | | | $ 27 | | | | 6,869 | | | | 1,523 | | | | | | | | 5,346 | |
CMBX.NA.9.BBB- | | | 3.00% | | | | Monthly | | | Morgan Stanley & Co. International PLC | | | 09/17/58 | | | | $ 53 | | | | 13,483 | | | | 4,184 | | | | | | | | 9,299 | |
CMBX.NA.6.AAA | | | 0.50% | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | | $204 | | | | (34 | ) | | | 38 | | | | | | | | (72 | ) |
CMBX.NA.6.AAA | | | 0.50% | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | | $493 | | | | (83 | ) | | | (345 | ) | | | | | | | 262 | |
CMBX.NA.6.BBB- | | | 3.00% | | | | Monthly | | | J.P. Morgan Securities LLC | | | 05/11/63 | | | | $ 40 | | | | 8,826 | | | | 2,453 | | | | | | | | 6,373 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 64,676 | | | | $12,675 | | | | | | | | $52,001 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation/ Index | | Financing
Rate
Received
by the
Fund | | | Payment
Frequency | | | Counterparty | | Termination
Date | | | Credit
Rating(a) | | Notional
Amount
(000)(b) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.9.BBB- | | | 3.00 | % | | | Monthly | | | Deutsche Bank AG | | | 09/17/58 | | | Not Rated | | $ | 1,213 | | | $ | (308,581 | ) | | | $(147,645 | ) | | | | | | | $(160,936 | ) |
CMBX.NA.10.BBB- | | | 3.00 | % | | | Monthly | | | Deutsche Bank AG | | | 11/17/59 | | | BBB- | | $ | 1,000 | | | | (278,259 | ) | | | (85,034) | | | | | | | | (193,225 | ) |
CMBX.NA.10.BBB- | | | 3.00 | % | | | Monthly | | | Deutsche Bank AG | | | 11/17/59 | | | BBB- | | $ | 500 | | | | (139,129 | ) | | | (51,286 | ) | | | | | | | (87,843 | ) |
CMBX.NA.6.BBB- | | | 3.00 | % | | | Monthly | | | Credit Suisse International | | | 05/11/63 | | | BBB | | $ | 40 | | | | (8,827 | ) | | | (3,061 | ) | | | | | | | (5,766 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (734,796 | ) | | | $(287,026 | ) | | | | | | | $(447,770 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. | |
| | (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 | | | $13,020 | | | | $287,371 | | | | $52,073 | | | | $447,842 | |
| | |
| 32 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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 | | $ | — | | | $ | 65,093 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 65,093 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | |
Swaps — OTC | | Unrealized
depreciation on
OTC swaps;
Swap premiums
received | | $ | — | | | $ | 735,213 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 735,213 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended March 31, 2020, 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 | | $ | — | | | $ | 457,298 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 457,298 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | — | | | $ | (758,837 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (758,837 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 967,250 | |
Average notional value — sell protection | | | 3,489,250 | |
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) | | $ | 65,093 | | | $ | 735,213 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 65,093 | | | $ | 735,213 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | — | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 65,093 | | | $ | 735,213 | |
| | | | | | | | |
| | (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 33 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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. | | $ | 35,615 | | | $ | — | | | $ | — | | | $ | — | | | $ | 35,615 | |
Deutsche Bank AG | | | 300 | | | | (300 | ) | | | — | | | | — | | | | — | |
J.P. Morgan Securities LLC | | | 8,826 | | | | — | | | | — | | | | — | | | | 8,826 | |
Morgan Stanley & Co. International PLC. | | | 20,352 | | | | — | | | | — | | | | — | | | | 20,352 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 65,093 | | | $ | (300 | ) | | $ | — | | | $ | — | | | $ | 64,793 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | 8,827 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,827 | |
Deutsche Bank AG | | | 726,386 | | | | (300 | ) | | | — | | | | (530,000 | ) | | | 196,086 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 735,213 | | | $ | (300 | ) | | $ | — | | | $ | (530,000 | ) | | $ | 204,913 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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. | |
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 | | $ | — | | | $ | 472,250,829 | | | $ | 44,921,384 | | | $ | 517,172,213 | |
Corporate Bonds(a) | | | — | | | | 285,967 | | | | — | | | | 285,967 | |
Floating Rate Loan Interests(a) | | | — | | | | — | | | | 16,168,354 | | | | 16,168,354 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 439,397,728 | | | | 4,386,738 | | | | 443,784,466 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 22,900,226 | | | | — | | | | 22,900,226 | |
Short-Term Securities | | | 29,759,221 | | | | — | | | | — | | | | 29,759,221 | |
| | | | | | | | | | | | | | | | |
| | $ | 29,759,221 | | | $ | 934,834,750 | | | $ | 65,476,476 | | | $ | 1,030,070,447 | |
| | | | | | | | | | | | | | | | |
| | (a) | See above Schedule of Investments for values in each industry. | |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 52,073 | | | $ | — | | | $ | 52,073 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (447,842 | ) | | | — | | | | (447,842 | ) |
| | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (395,769 | ) | | $ | — | | | $ | (395,769 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument. | |
| | |
| 34 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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, 2019 | | $ | 30,188,096 | | | $ | 20,890,696 | | | $ | 10,972,539 | | | $ | 62,051,331 | |
Transfers into Level 3 | | | 6,223,483 | | | | — | | | | — | | | | 6,223,483 | |
Transfers out of Level 3(a) | | | (7,528,903 | ) | | | — | | | | (3,969,687 | ) | | | (11,498,590 | ) |
Accrued discounts/premiums | | | 254,880 | | | | 693 | | | | (163,018 | ) | | | 92,555 | |
Net realized gain (loss) | | | (96,535 | ) | | | 12,328 | | | | (291,025 | ) | | | (375,232 | ) |
Net change in unrealized appreciation (depreciation)(b)(c) | | | (1,684,495 | ) | | | 43,686 | | | | 220,762 | | | | (1,420,047 | ) |
Purchases | | | 23,772,359 | | | | 12,824,943 | | | | — | | | | 36,597,302 | |
Sales | | | (6,207,501 | ) | | | (17,603,992 | ) | | | (2,382,833 | ) | | | (26,194,326 | ) |
| | | | | | | | | | | | | | | | |
Closing Balance, as of March 31, 2020 | | $ | 44,921,384 | | | $ | 16,168,354 | | | $ | 4,386,738 | | | $ | 65,476,476 | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2020(c) | | $ | (1,687,662 | ) | | $ | 38,028 | | | $ | 220,762 | | | $ | (1,428,872 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | As of April 1, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2020, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. | |
| | (b) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. | |
| | (c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2020 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.
| | | | |
| SCHEDULES OF INVESTMENTS | | | 35 | |
| | |
Schedule of Investments March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
Capital Trusts — 2.5% | | | | | | | | |
| | |
Banks — 1.2% | | | | | | | | |
BNP Paribas SA, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.944%), 4.50%(a)(b)(c) | | $ | 720 | | | $ | 554,400 | |
HSBC Holdings PLC: | | | | | | | | |
(USD Swap Rate 11:00 am NY 1 + 3.746%), 6.00%(b)(c) | | | 520 | | | | 492,700 | |
(USD Swap Rate 11:00 am NY 1 + 4.368%), 6.38%(b)(c) | | | 500 | | | | 467,500 | |
JPMorgan Chase & Co.: | | | | | | | | |
(3 mo. LIBOR US + 3.470%), 5.24%(b)(c) | | | 244 | | | | 217,833 | |
(3 mo. LIBOR US + 3.330%), 6.10%(b)(c) | | | 208 | | | | 211,952 | |
(3 mo. LIBOR US + 3.780%), 6.75%(b)(c) | | | 925 | | | | 966,625 | |
Lloyds Banking Group PLC, (5 yr. Swap Semi 30/360 US + 4.496%), 7.50%(b)(c) | | | 380 | | | | 341,544 | |
U.S. Bancorp, Series J, (3 mo. LIBOR US + 2.914%), 5.30%(b)(c) | | | 1,075 | | | | 1,032,000 | |
Wells Fargo & Co., (3 mo. LIBOR US + 3.990%), 5.88%(b)(c) | | | 1,125 | | | | 1,141,875 | |
| | | | | | | | |
| | | | | | | 5,426,429 | |
| | |
| Capital Markets — 0.2% | | | | | | |
State Street Corp.: | | | | | | | | |
(3 mo. LIBOR US + 3.597%), 5.25%(b)(c) | | | 285 | | | | 267,900 | |
(3 mo. LIBOR US + 2.539%), 5.63%(b)(c) | | | 735 | | | | 646,800 | |
| | | | | | | | |
| | | | | | | 914,700 | |
| | |
| Electric Utilities — 0.2% | | | | | | |
Exelon Corp., 3.50%, 06/01/22 | | | 785 | | | | 760,620 | |
| | | | | | | | |
| | |
| Insurance — 0.1% | | | | | | |
Allstate Corp., Series B, (3 mo. LIBOR US + 2.938%), 5.75%, 08/15/53(b) | | | 788 | | | | 701,320 | |
| | | | | | | | |
| | |
| Media — 0.5% | | | | | | |
NBCUniversal Enterprise, Inc., 5.25%(a)(c) | | | 2,200 | | | | 2,200,000 | |
| | | | | | | | |
| | |
| Multi-Utilities — 0.1% | | | | | | |
Dominion Energy, Inc., 2.72%, 08/15/21(d) | | | 490 | | | | 482,845 | |
| | | | | | | | |
| | |
| Oil, Gas & Consumable Fuels — 0.2% | | | | | | |
Enbridge, Inc., (3 mo. LIBOR US + 3.641%), 6.25%, 03/01/78(b) | | | 780 | | | | 585,000 | |
TransCanada Trust: | | | | | | | | |
(3 mo. LIBOR US + 3.528%),
5.63%, 05/20/75(b) | | | 359 | | | | 272,840 | |
(3 mo. LIBOR US + 4.640%),
5.88%, 08/15/76(b) | | | 120 | | | | 93,900 | |
| | | | | | | | |
| | | | | | | 951,740 | |
| | | | | | | | |
| | |
Total Capital Trusts — 2.5%
(Cost: $12,397,380) | | | | | | | 11,437,654 | |
| | | | | | | | |
| | |
Corporate Bonds — 85.7% | | | | | | | | |
| | |
Aerospace & Defense — 2.1% | | | | | | | | |
Boeing Co.: | | | | | | | | |
2.70%, 02/01/27 | | | 200 | | | | 183,393 | |
3.25%, 02/01/35 | | | 194 | | | | 167,772 | |
3.95%, 08/01/59 | | | 64 | | | | 57,439 | |
General Dynamics Corp.: | | | | | | | | |
4.25%, 04/01/40 | | | 665 | | | | 793,384 | |
4.25%, 04/01/50 | | | 95 | | | | 119,623 | |
L3Harris Technologies, Inc.: | | | | | | | | |
4.40%, 06/15/28(a) | | | 1,385 | | | | 1,474,326 | |
2.90%, 12/15/29 | | | 332 | | | | 309,847 | |
Lockheed Martin Corp.: | | | | | | | | |
3.10%, 01/15/23 | | | 95 | | | | 96,355 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Aerospace & Defense (continued) | | | | | | |
3.55%, 01/15/26 | | $ | 145 | | | $ | 155,351 | |
4.07%, 12/15/42 | | | 715 | | | | 825,761 | |
Northrop Grumman Corp.: | | | | | | | | |
3.25%, 01/15/28 | | | 470 | | | | 488,386 | |
4.75%, 06/01/43 | | | 330 | | | | 395,385 | |
Northrop Grumman Systems Corp., 7.88%, 03/01/26 | | | 1,000 | | | | 1,271,200 | |
Raytheon Technologies Corp.: | | | | | | | | |
6.70%, 08/01/28 | | | 225 | | | | 284,958 | |
4.13%, 11/16/28 | | | 880 | | | | 966,022 | |
6.05%, 06/01/36 | | | 450 | | | | 596,634 | |
6.13%, 07/15/38 | | | 230 | | | | 330,520 | |
4.50%, 06/01/42 | | | 452 | | | | 522,141 | |
Rockwell Collins, Inc.: | | | | | | | | |
3.20%, 03/15/24 | | | 444 | | | | 456,451 | |
3.50%, 03/15/27 | | | 174 | | | | 179,823 | |
4.35%, 04/15/47 | | | 252 | | | | 275,070 | |
| | | | | | | | |
| | | | | | | 9,949,841 | |
| | |
| Air Freight & Logistics — 0.2% | | | | | | |
FedEx Corp.: | | | | | | | | |
3.25%, 04/01/26 | | | 120 | | | | 121,421 | |
3.10%, 08/05/29 | | | 567 | | | | 556,660 | |
4.10%, 02/01/45 | | | 215 | | | | 195,766 | |
| | | | | | | | |
| | | | | | | 873,847 | |
| | |
| Airlines — 0.8% | | | | | | |
Air Canada Pass-Through Trust, Series 2017, Class 1AA, 3.30%, 07/15/31(a) | | | 117 | | | | 112,499 | |
American Airlines Pass-Through Trust: | | | | | | | | |
Series 2014-1, Class B, 4.38%, 04/01/24 | | | 84 | | | | 78,314 | |
Series 2019-1, Class B, 3.85%, 08/15/29 | | | 409 | | | | 314,253 | |
Series 2017-1, Class AA, 3.65%, 08/15/30 | | | 702 | | | | 668,709 | |
British Airways Pass Through Trust, Series 2019-1, Class A, 3.35%, 12/15/30(a) | | | 340 | | | | 320,128 | |
Delta Air Lines, Inc., 3.80%, 04/19/23 | | | 880 | | | | 826,955 | |
Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1, Class A, 5.25%, 05/30/25(a) | | | 427 | | | | 431,787 | |
U.S. Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 05/15/27 | | | 603 | | | | 603,073 | |
United Airlines Pass Through Trust, Series 2019-2, Class AA, 2.70%, 11/01/33 | | | 220 | | | | 197,952 | |
| | | | | | | | |
| | | | | | | 3,553,670 | |
| | |
| Auto Components — 0.1% | | | | | | |
ZF North America Capital, Inc., 4.75%, 04/29/25(a) | | | 600 | | | | 503,241 | |
| | | | | | | | |
| | |
| Automobiles — 0.5% | | | | | | |
Ford Motor Co.: | | | | | | | | |
4.75%, 01/15/43 | | | 72 | | | | 40,860 | |
5.29%, 12/08/46 | | | 82 | | | | 48,790 | |
General Motors Co.: | | | | | | | | |
5.00%, 10/01/28 | | | 770 | | | | 663,463 | |
5.20%, 04/01/45 | | | 294 | | | | 232,788 | |
Volkswagen Group of America Finance LLC, 3.88%, 11/13/20(a) | | | 1,275 | | | | 1,270,902 | |
| | | | | | | | |
| | | | | | | 2,256,803 | |
| | |
| Banks — 16.0% | | | | | | |
Australia & New Zealand Banking Group Ltd., 2.63%, 11/09/22 | | | 355 | | | | 360,694 | |
Banco Santander SA: | | | | | | | | |
3.13%, 02/23/23 | | | 400 | | | | 381,291 | |
3.85%, 04/12/23 | | | 600 | | | | 603,063 | |
| | |
| 36 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Banks (continued) | | | | | | |
Bank of America Corp.: | | | | | | | | |
(3 mo. LIBOR US + 0.630%), 3.50%, 05/17/22(b) | | $ | 800 | | | $ | 809,505 | |
(3 mo. LIBOR US + 0.940%), 3.86%, 07/23/24(b) | | | 10 | | | | 10,463 | |
4.20%, 08/26/24 | | | 1,745 | | | | 1,856,007 | |
4.00%, 01/22/25 | | | 1,084 | | | | 1,140,792 | |
(3 mo. LIBOR US + 0.970%), 3.46%, 03/15/25(b) | | | 1,873 | | | | 1,931,464 | |
3.95%, 04/21/25 | | | 790 | | | | 830,518 | |
4.45%, 03/03/26 | | | 2,139 | | | | 2,303,781 | |
(3 mo. LIBOR US + 1.512%), 3.71%, 04/24/28(b) | | | 285 | | | | 291,404 | |
(3 mo. LIBOR US + 1.040%), 3.42%, 12/20/28(b) | | | 1,290 | | | | 1,330,684 | |
(3 mo. LIBOR US + 1.070%), 3.97%, 03/05/29(b) | | | 1,455 | | | | 1,519,509 | |
(3 mo. LIBOR US + 1.310%), 4.27%, 07/23/29(b) | | | 690 | | | | 745,933 | |
(3 mo. LIBOR US + 1.320%), 4.08%, 04/23/40(b) | | | 185 | | | | 199,823 | |
5.00%, 01/21/44 | | | 100 | | | | 127,053 | |
(3 mo. LIBOR US + 1.190%), 3.95%, 01/23/49(b) | | | 500 | | | | 530,538 | |
(3 mo. LIBOR US + 1.520%), 4.33%, 03/15/50(b) | | | 93 | | | | 109,663 | |
(3 mo. LIBOR US + 3.150%), 4.08%, 03/20/51(b) | | | 1,580 | | | | 1,808,603 | |
Banque Federative du Credit Mutuel SA, 2.13%, 11/21/22(a) | | | 615 | | | | 571,247 | |
Barclays Bank PLC, 5.14%, 10/14/20 | | | 1,325 | | | | 1,309,500 | |
Barclays PLC: | | | | | | | | |
(3 mo. LIBOR US + 1.400%), 4.61%, 02/15/23(b) | | | 1,510 | | | | 1,527,009 | |
5.20%, 05/12/26 | | | 620 | | | | 636,988 | |
(3 mo. LIBOR US + 3.054%), 5.09%, 06/20/30(b) | | | 900 | | | | 940,501 | |
BNP Paribas SA: | | | | | | | | |
(3 mo. LIBOR US + 1.111%), 2.82%, 11/19/25(a)(b) | | | 775 | | | | 765,520 | |
(5 yr. Swap Semi 30/360 US + 1.483%), 4.38%, 03/01/33(a)(b) | | | 645 | | | | 705,363 | |
BPCE SA, 2.38%, 01/14/25(a) | | | 895 | | | | 830,975 | |
Canadian Imperial Bank of Commerce, 3.10%, 04/02/24 | | | 152 | | | | 156,483 | |
Citigroup, Inc.: | | | | | | | | |
(3 mo. LIBOR US + 0.897%), 3.35%, 04/24/25(b) | | | 1,795 | | | | 1,839,334 | |
5.50%, 09/13/25 | | | 232 | | | | 254,049 | |
3.20%, 10/21/26 | | | 500 | | | | 517,751 | |
4.30%, 11/20/26 | | | 600 | | | | 627,676 | |
4.45%, 09/29/27 | | | 250 | | | | 261,006 | |
(3 mo. LIBOR US + 1.192%), 4.08%, 04/23/29(b) | | | 625 | | | | 652,677 | |
(Secured Overnight Financing Rate + 1.146%), 2.67%, 01/29/31(b) | | | 250 | | | | 242,384 | |
(Secured Overnight Financing Rate + 3.914%), 4.41%, 03/31/31(b) | | | 995 | | | | 1,093,184 | |
4.75%, 05/18/46 | | | 550 | | | | 615,238 | |
4.65%, 07/23/48 | | | 321 | | | | 385,889 | |
Citizens Bank N.A., 2.55%, 05/13/21 | | | 330 | | | | 329,673 | |
Commonwealth Bank of Australia, 3.74%, 09/12/39(a) | | | 290 | | | | 244,568 | |
Cooperatieve Rabobank UA: | | | | | | | | |
3.13%, 04/26/21 | | | 670 | | | | 674,998 | |
2.75%, 01/10/22 | | | 263 | | | | 264,674 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Banks (continued) | | | | | | |
Danske Bank A/S: | | | | | | | | |
5.00%, 01/12/22(a) | | $ | 555 | | | $ | 569,895 | |
(3 mo. LIBOR US + 1.249%), 3.00%, 09/20/22(a)(b) | | | 500 | | | | 497,753 | |
Discover Bank: | | | | | | | | |
3.35%, 02/06/23 | | | 300 | | | | 296,322 | |
(5 yr. Swap Semi 30/360 US + 1.730%), 4.68%, 08/09/28(b) | | | 600 | | | | 610,926 | |
HSBC Holdings PLC: | | | | | | | | |
(3 mo. LIBOR US + 1.055%), 3.26%, 03/13/23(b) | | | 985 | | | | 984,104 | |
4.25%, 08/18/25 | | | 500 | | | | 516,293 | |
(3 mo. LIBOR US + 1.140%), 2.63%, 11/07/25(b) | | | 310 | | | | 300,729 | |
4.95%, 03/31/30 | | | 200 | | | | 218,400 | |
Huntington Bancshares, Inc., 4.00%, 05/15/25 | | | 905 | | | | 948,048 | |
ING Groep NV: | | | | | | | | |
(3 mo. LIBOR US + 1.150%), 2.53%, 03/29/22(e) | | | 1,040 | | | | 1,002,793 | |
3.15%, 03/29/22 | | | 200 | | | | 200,947 | |
Intesa Sanpaolo SpA: | | | | | | | | |
3.38%, 01/12/23(a) | | | 485 | | | | 461,410 | |
5.02%, 06/26/24(a) | | | 416 | | | | 407,471 | |
JPMorgan Chase & Co.: | | | | | | | | |
2.30%, 08/15/21 | | | 665 | | | | 664,313 | |
(3 mo. LIBOR US + 1.000%), 4.02%, 12/05/24(b) | | | 551 | | | | 583,827 | |
(3 mo. LIBOR US + 1.245%), 3.96%, 01/29/27(b) | | | 1,055 | | | | 1,134,563 | |
3.63%, 12/01/27 | | | 858 | | | | 903,501 | |
(3 mo. LIBOR US + 1.337%), 3.78%, 02/01/28(b) | | | 800 | | | | 846,659 | |
(3 mo. LIBOR US + 1.120%), 4.01%, 04/23/29(b) | | | 1,215 | | | | 1,304,461 | |
(3 mo. LIBOR US + 1.160%), 3.70%, 05/06/30(b) | | | 1,035 | | | | 1,109,969 | |
(Secured Overnight Financing Rate + 1.510%), 2.74%, 10/15/30(b) | | | 800 | | | | 810,509 | |
(3 mo. LIBOR US + 1.360%), 3.88%, 07/24/38(b) | | | 190 | | | | 212,093 | |
4.95%, 06/01/45 | | | 970 | | | | 1,214,872 | |
(3 mo. LIBOR US + 1.220%), 3.90%, 01/23/49(b) | | | 1,049 | | | | 1,201,847 | |
KeyBank NA, 2.30%, 09/14/22 | | | 250 | | | | 248,847 | |
KeyCorp: | | | | | | | | |
2.25%, 04/06/27 | | | 60 | | | | 55,702 | |
2.55%, 10/01/29 | | | 118 | | | | 105,339 | |
Lloyds Bank PLC, 3.30%, 05/07/21 | | | 358 | | | | 358,088 | |
Lloyds Banking Group PLC: | | | | | | | | |
3.00%, 01/11/22 | | | 200 | | | | 198,245 | |
(3 mo. LIBOR US + 0.810%), 2.91%, 11/07/23(b) | | | 200 | | | | 198,545 | |
4.58%, 12/10/25 | | | 675 | | | | 682,737 | |
(1 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.000%), 2.44%, 02/05/26(b) | | | 200 | | | | 188,855 | |
Mitsubishi UFJ Financial Group, Inc.: | | | | | | | | |
2.19%, 09/13/21 | | | 1,150 | | | | 1,134,551 | |
3.22%, 03/07/22 | | | 575 | | | | 584,322 | |
2.62%, 07/18/22 | | | 1,015 | | | | 1,012,265 | |
2.67%, 07/25/22 | | | 218 | | | | 217,271 | |
3.76%, 07/26/23 | | | 1,100 | | | | 1,136,923 | |
PNC Financial Services Group, Inc., 3.45%, 04/23/29 | | | 694 | | | | 687,503 | |
Regions Bank, (3 mo. LIBOR US + 0.500%), 3.37%, 08/13/21(b) | | | 920 | | | | 918,156 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 37 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Banks (continued) | | | | | | |
Royal Bank of Canada: | | | | | | | | |
3.20%, 04/30/21 | | $ | 552 | | �� | $ | 558,584 | |
3.70%, 10/05/23 | | | 272 | | | | 284,328 | |
Royal Bank of Scotland Group PLC: | | | | | | | | |
3.88%, 09/12/23 | | | 390 | | | | 400,274 | |
6.00%, 12/19/23 | | | 348 | | | | 364,798 | |
5.13%, 05/28/24 | | | 460 | | | | 471,090 | |
(3 mo. LIBOR US + 1.762%), 4.27%, 03/22/25(b) | | | 460 | | | | 479,149 | |
(3 mo. LIBOR US + 1.754%), 4.89%, 05/18/29(b) | | | 432 | | | | 457,206 | |
Santander UK Group Holdings PLC, (3 mo. LIBOR US + 1.400%), 3.82%, 11/03/28(b) | | | 472 | | | | 468,843 | |
Santander UK PLC: | | | | | | | | |
2.13%, 11/03/20 | | | 750 | | | | 745,692 | |
5.00%, 11/07/23(a) | | | 617 | | | | 621,652 | |
Standard Chartered PLC: | | | | | | | | |
(3 mo. LIBOR US + 1.200%),
2.10%, 09/10/22(a)(e) | | | 1,055 | | | | 1,012,494 | |
(3 mo. LIBOR US + 1.209%),
2.82%, 01/30/26(a)(b) | | | 1,174 | | | | 1,112,313 | |
Sumitomo Mitsui Financial Group, Inc.: | | | | | | | | |
2.35%, 01/15/25 | | | 520 | | | | 516,331 | |
3.54%, 01/17/28 | | | 1,050 | | | | 1,039,473 | |
Svenska Handelsbanken AB, 3.35%, 05/24/21 | | | 500 | | | | 506,009 | |
Truist Bank, 2.25%, 03/11/30 | | | 1,170 | | | | 1,069,794 | |
U.S. Bancorp: | | | | | | | | |
3.10%, 04/27/26 | | | 59 | | | | 59,659 | |
2.38%, 07/22/26 | | | 51 | | | | 50,275 | |
3.00%, 07/30/29 | | | 97 | | | | 96,392 | |
U.S. Bank N.A., 3.00%, 02/04/21 | | | 323 | | | | 325,068 | |
Wells Fargo & Co.: | | | | | | | | |
4.13%, 08/15/23 | | | 350 | | | | 360,102 | |
3.75%, 01/24/24 | | | 385 | | | | 406,878 | |
3.00%, 02/19/25 | | | 1,250 | | | | 1,274,300 | |
(3 mo. LIBOR US + 1.310%), 3.58%, 05/22/28(b) | | | 1,280 | | | | 1,301,675 | |
5.61%, 01/15/44 | | | 327 | | | | 391,469 | |
4.65%, 11/04/44 | | | 980 | | | | 1,075,162 | |
4.40%, 06/14/46 | | | 285 | | | | 306,077 | |
4.75%, 12/07/46 | | | 189 | | | | 208,892 | |
(3 mo. LIBOR US + 4.240%), 5.01%, 04/04/51(b) | | | 285 | | | | 363,889 | |
Wells Fargo Bank NA, 2.60%, 01/15/21 | | | 622 | | | | 624,712 | |
| | | | | | | | |
| | | | | | | 74,019,109 | |
| | |
| Beverages — 1.4% | | | | | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | | | | | | | | |
4.70%, 02/01/36 | | | 665 | | | | 696,416 | |
4.90%, 02/01/46 | | | 675 | | | | 735,186 | |
Anheuser-Busch InBev Worldwide, Inc.: | | | | | | | | |
4.15%, 01/23/25 | | | 195 | | | | 209,334 | |
4.75%, 01/23/29 | | | 845 | | | | 932,753 | |
4.95%, 01/15/42 | | | 20 | | | | 21,554 | |
4.60%, 04/15/48 | | | 120 | | | | 126,955 | |
4.44%, 10/06/48 | | | 785 | | | | 800,817 | |
5.55%, 01/23/49 | | | 1,124 | | | | 1,321,144 | |
4.75%, 04/15/58 | | | 375 | | | | 384,613 | |
5.80%, 01/23/59 | | | 179 | | | | 218,946 | |
Fomento Economico Mexicano SAB de CV, 3.50%, 01/16/50 | | | 530 | | | | 497,119 | |
PepsiCo., Inc., 3.63%, 03/19/50 | | | 500 | | | | 593,622 | |
| | | | | | | | |
| | | | | | | 6,538,459 | |
| | |
| Biotechnology — 1.8% | | | | | | |
AbbVie, Inc.: | | | | | | | | |
2.50%, 05/14/20 | | | 2,230 | | | | 2,230,155 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Biotechnology (continued) | | | | | | |
2.85%, 05/14/23 | | $ | 1,000 | | | $ | 1,014,813 | |
2.95%, 11/21/26(a) | | | 230 | | | | 231,055 | |
3.20%, 11/21/29(a) | | | 490 | | | | 492,013 | |
4.05%, 11/21/39(a) | | | 180 | | | | 185,150 | |
4.40%, 11/06/42 | | | 795 | | | | 882,381 | |
4.45%, 05/14/46(a) | | | 989 | | | | 1,049,655 | |
4.88%, 11/14/48 | | | 605 | | | | 701,876 | |
Baxalta, Inc., 4.00%, 06/23/25 | | | 283 | | | | 297,095 | |
Gilead Sciences, Inc.: | | | | | | | | |
3.25%, 09/01/22 | | | 135 | | | | 138,096 | |
4.80%, 04/01/44 | | | 104 | | | | 133,416 | |
4.50%, 02/01/45 | | | 323 | | | | 392,617 | |
4.75%, 03/01/46 | | | 271 | | | | 346,072 | |
4.15%, 03/01/47 | | | 325 | | | | 396,708 | |
| | | | | | | | |
| | | | | | | 8,491,102 | |
| | |
| Capital Markets — 6.2% | | | | | | |
Bank of New York Mellon Corp.: | | | | | | | | |
3.45%, 08/11/23 | | | 265 | | | | 275,537 | |
2.20%, 08/16/23 | | | 1,125 | | | | 1,130,009 | |
3.00%, 10/30/28 | | | 80 | | | | 79,432 | |
CME Group, Inc., 5.30%, 09/15/43 | | | 14 | | | | 18,792 | |
Credit Agricole SA: | | | | | | | | |
2.75%, 06/10/20(a) | | | 1,000 | | | | 1,001,890 | |
3.75%, 04/24/23(a) | | | 275 | | | | 281,012 | |
2.38%, 01/22/25(a) | | | 1,345 | | | | 1,313,500 | |
3.25%, 01/14/30(a) | | | 630 | | | | 594,784 | |
Credit Suisse AG: | | | | | | | | |
3.00%, 10/29/21 | | | 405 | | | | 409,692 | |
2.10%, 11/12/21 | | | 404 | | | | 402,836 | |
3.63%, 09/09/24 | | | 575 | | | | 607,227 | |
Credit Suisse Group AG, (3 mo. LIBOR US + 1.240%), 4.21%, 06/12/24(a)(b) | | | 820 | | | | 806,072 | |
Credit Suisse Group Funding Guernsey Ltd.: | | | | | | | | |
3.45%, 04/16/21 | | | 1,350 | | | | 1,358,535 | |
3.80%, 06/09/23 | | | 547 | | | | 552,961 | |
Deutsche Bank AG: | | | | | | | | |
3.13%, 01/13/21 | | | 845 | | | | 826,822 | |
4.25%, 02/04/21 | | | 925 | | | | 888,259 | |
4.25%, 10/14/21 | | | 180 | | | | 172,069 | |
Goldman Sachs Group, Inc.: | | | | | | | | |
2.88%, 02/25/21 | | | 975 | | | | 978,435 | |
3.00%, 04/26/22 | | | 850 | | | | 856,234 | |
3.50%, 04/01/25 | | | 1,080 | | | | 1,104,003 | |
4.25%, 10/21/25 | | | 860 | | | | 886,505 | |
(3 mo. LIBOR US + 1.301%), 4.22%, 05/01/29(b) | | | 1,440 | | | | 1,532,506 | |
(3 mo. LIBOR US + 1.430%), 4.41%, 04/23/39(b) | | | 449 | | | | 469,545 | |
5.15%, 05/22/45 | | | 575 | | | | 663,957 | |
Intercontinental Exchange, Inc., 4.25%, 09/21/48 | | | 270 | | | | 313,200 | |
Morgan Stanley: | | | | | | | | |
5.50%, 07/28/21 | | | 10 | | | | 10,383 | |
(3 mo. LIBOR US + 1.400%), 3.20%, 10/24/23(e) | | | 1,675 | | | | 1,617,212 | |
(3 mo. LIBOR US + 0.847%), 3.74%, 04/24/24(b) | | | 925 | | | | 947,319 | |
3.88%, 04/29/24 | | | 1,385 | | | | 1,455,055 | |
3.63%, 01/20/27 | | | 1,270 | | | | 1,358,789 | |
3.95%, 04/23/27 | | | 448 | | | | 471,807 | |
(Secured Overnight Financing Rate + 1.143%), 2.70%, 01/22/31(b) | | | 306 | | | | 299,182 | |
(Secured Overnight Financing Rate + 3.120%), 3.62%, 04/01/31(b) | | | 1,320 | | | | 1,380,642 | |
(3 mo. LIBOR US + 1.431%), 4.46%, 04/22/39(b) | | | 156 | | | | 176,904 | |
| | |
| 38 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Capital Markets (continued) | | | | | | |
4.30%, 01/27/45 | | $ | 705 | | | $ | 815,994 | |
(Secured Overnight Financing Rate + 4.840%), 5.60%, 03/24/51(b) | | | 310 | | | | 429,939 | |
Northern Trust Corp., 3.95%, 10/30/25 | | | 69 | | | | 70,575 | |
State Street Corp.: | | | | | | | | |
(Secured Overnight Financing Rate + 2.690%), 2.83%, 03/30/23(a)(b) | | | 810 | | | | 817,579 | |
(3 mo. LIBOR US + 0.770%), 3.78%, 12/03/24(b) | | | 490 | | | | 512,896 | |
UBS Group AG: | | | | | | | | |
3.00%, 04/15/21(a) | | | 338 | | | | 338,651 | |
(3 mo. LIBOR US + 1.468%),
3.13%, 08/13/30(a)(b) | | | 755 | | | | 733,211 | |
| | | | | | | | |
| | | | | | | 28,959,952 | |
| | |
| Chemicals — 0.4% | | | | | | |
Air Liquide Finance SA: | | | | | | | | |
2.25%, 09/27/23(a) | | | 274 | | | | 271,078 | |
2.50%, 09/27/26(a) | | | 290 | | | | 283,641 | |
Cabot Corp., 4.00%, 07/01/29 | | | 88 | | | | 96,617 | |
DuPont de Nemours, Inc.: | | | | | | | | |
5.32%, 11/15/38 | | | 290 | | | | 325,732 | |
5.42%, 11/15/48 | | | 115 | | | | 126,531 | |
Ecolab, Inc., 4.80%, 03/24/30 | | | 295 | | | | 331,369 | |
LYB International Finance BV, 4.88%, 03/15/44 | | | 22 | | | | 23,738 | |
LYB International Finance III LLC, 4.20%, 10/15/49 | | | 46 | | | | 45,109 | |
Sherwin-Williams Co.: | | | | | | | | |
2.75%, 06/01/22 | | | 7 | | | | 6,985 | |
2.30%, 05/15/30 | | | 150 | | | | 139,702 | |
4.50%, 06/01/47 | | | 49 | | | | 52,433 | |
3.30%, 05/15/50 | | | 115 | | | | 107,669 | |
| | | | | | | | |
| | | | | | | 1,810,604 | |
|
| Commercial Services & Supplies — 0.7% | |
Aviation Capital Group LLC, 6.75%, 04/06/21(a) | | | 1,575 | | | | 1,561,158 | |
GATX Corp., 4.35%, 02/15/24 | | | 510 | | | | 544,438 | |
Republic Services, Inc., 3.95%, 05/15/28 | | | 800 | | | | 864,926 | |
Waste Management, Inc., 3.20%, 06/15/26 | | | 350 | | | | 364,179 | |
| | | | | | | | |
| | | | | | | 3,334,701 | |
| | |
| Communications Equipment — 0.3% | | | | | | |
Motorola Solutions, Inc., 4.60%, 05/23/29 | | | 1,390 | | | | 1,401,956 | |
| | | | | | | | |
| | |
| Consumer Finance — 2.1% | | | | | | |
Ally Financial, Inc.: | | | | | | | | |
5.13%, 09/30/24 | | | 67 | | | | 65,291 | |
8.00%, 11/01/31 | | | 154 | | | | 178,440 | |
American Express Co.: | | | | | | | | |
2.50%, 08/01/22 | | | 470 | | | | 473,047 | |
3.40%, 02/27/23 | | | 570 | | | | 583,973 | |
2.50%, 07/30/24 | | | 390 | | | | 394,506 | |
Capital One Bank USA N.A., 3.38%, 02/15/23 | | | 250 | | | �� | 246,231 | |
Capital One Financial Corp.: | | | | | | | | |
4.25%, 04/30/25 | | | 675 | | | | 691,553 | |
3.75%, 07/28/26 | | | 173 | | | | 161,559 | |
3.80%, 01/31/28 | | | 566 | | | | 554,460 | |
Capital One N.A.: | | | | | | | | |
2.95%, 07/23/21 | | | 735 | | | | 737,158 | |
2.25%, 09/13/21 | | | 250 | | | | 245,138 | |
Ford Motor Credit Co. LLC: | | | | | | | | |
3.34%, 03/28/22 | | | 855 | | | | 795,406 | |
5.58%, 03/18/24 | | | 410 | | | | 389,500 | |
5.11%, 05/03/29 | | | 1,280 | | | | 1,109,600 | |
General Motors Financial Co., Inc.: | | | | | | | | |
5.10%, 01/17/24 | | | 81 | | | | 74,383 | |
2.90%, 02/26/25 | | | 587 | | | | 507,418 | |
4.35%, 04/09/25 | | | 1,230 | | | | 1,067,156 | |
4.35%, 01/17/27 | | | 1,013 | | | | 810,078 | |
Synchrony Financial: | | | | | | | | |
2.85%, 07/25/22 | | | 215 | | | | 204,135 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Consumer Finance (continued) | | | | | | |
4.38%, 03/19/24 | | $ | 200 | | | $ | 196,744 | |
Toyota Motor Credit Corp., 2.15%, 02/13/30 | | | 385 | | | | 357,044 | |
| | | | | | | | |
| | | | | | | 9,842,820 | |
| | |
| Containers & Packaging — 0.1% | | | | | | |
International Paper Co.: | | | | | | | | |
4.40%, 08/15/47 | | | 190 | | | | 189,995 | |
4.35%, 08/15/48 | | | 200 | | | | 193,401 | |
| | | | | | | | |
| | | | | | | 383,396 | |
| | |
| Diversified Financial Services — 1.0% | | | | | | |
AerCap Ireland Capital DAC/AerCap Global | | | | | | | | |
Aviation Trust: | | | | | | | | |
4.50%, 05/15/21 | | | 1,611 | | | | 1,477,942 | |
5.00%, 10/01/21 | | | 674 | | | | 622,920 | |
4.45%, 04/03/26 | | | 399 | | | | 326,203 | |
3.65%, 07/21/27 | | | 1,400 | | | | 1,084,077 | |
GE Capital International Funding Co., 4.42%, 11/15/35 | | | 1,081 | | | | 1,153,514 | |
| | | | | | | | |
| | | | | | | 4,664,656 | |
|
| Diversified Telecommunication Services — 4.0% | |
AT&T Inc.: | | | | | | | | |
3.00%, 02/15/22 | | | 1,500 | | | | 1,512,759 | |
3.95%, 01/15/25 | | | 336 | | | | 354,812 | |
3.40%, 05/15/25 | | | 2,485 | | | | 2,584,896 | |
3.60%, 07/15/25 | | | 305 | | | | 323,147 | |
3.88%, 01/15/26 | | | 592 | | | | 610,045 | |
3.80%, 02/15/27 | | | 305 | | | | 318,271 | |
4.50%, 05/15/35 | | | 1,675 | | | | 1,785,168 | |
5.25%, 03/01/37 | | | 400 | | | | 466,676 | |
5.35%, 09/01/40 | | | 184 | | | | 212,304 | |
5.15%, 03/15/42 | | | 400 | | | | 459,841 | |
4.80%, 06/15/44 | | | 209 | | | | 227,904 | |
4.75%, 05/15/46 | | | 583 | | | | 644,752 | |
5.15%, 11/15/46 | | | 5 | | | | 5,873 | |
Telefonica Emisiones SAU: | | | | | | | | |
4.67%, 03/06/38 | | | 255 | | | | 265,717 | |
4.90%, 03/06/48 | | | 315 | | | | 348,957 | |
Verizon Communications, Inc.: | | | | | | | | |
3.38%, 02/15/25 | | | 459 | | | | 490,305 | |
3.88%, 02/08/29 | | | 500 | | | | 552,958 | |
4.50%, 08/10/33 | | | 550 | | | | 648,293 | |
4.27%, 01/15/36 | | | 2,095 | | | | 2,433,196 | |
5.25%, 03/16/37 | | | 745 | | | | 946,240 | |
4.81%, 03/15/39 | | | 780 | | | | 960,189 | |
3.85%, 11/01/42 | | | 950 | | | | 1,062,385 | |
4.86%, 08/21/46 | | | 190 | | | | 247,959 | |
4.52%, 09/15/48 | | | 300 | | | | 384,069 | |
5.01%, 04/15/49 | | | 135 | | | | 181,419 | |
4.00%, 03/22/50 | | | 315 | | | | 372,530 | |
| | | | | | | | |
| | | | | | | 18,400,665 | |
| | |
| Electric Utilities — 4.9% | | | | | | |
AEP Transmission Co. LLC, 3.80%, 06/15/49 | | | 90 | | | | 96,841 | |
American Transmission Systems, Inc., 5.25%, 01/15/22(a) | | | 400 | | | | 425,515 | |
Baltimore Gas & Electric Co.: | | | | | | | | |
3.50%, 08/15/46 | | | 500 | | | | 499,098 | |
3.20%, 09/15/49 | | | 250 | | | | 227,131 | |
DTE Electric Co.: | | | | | | | | |
3.70%, 03/15/45 | | | 143 | | | | 150,980 | |
Series A, 4.05%, 05/15/48 | | | 186 | | | | 208,943 | |
3.95%, 03/01/49 | | | 170 | | | | 183,923 | |
Duke Energy Carolinas LLC: | | | | | | | | |
3.75%, 06/01/45 | | | 420 | | | | 459,791 | |
3.20%, 08/15/49 | | | 111 | | | | 110,927 | |
Duke Energy Corp., 2.65%, 09/01/26 | | | 196 | | | | 194,465 | |
Duke Energy Florida LLC: | | | | | | | | |
2.50%, 12/01/29 | | | 1,335 | | | | 1,310,057 | |
4.20%, 07/15/48 | | | 460 | | | | 515,254 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 39 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Electric Utilities (continued) | | | | | | |
Duke Energy Progress LLC: | | | | | | | | |
3.70%, 09/01/28 | | $ | 690 | | | $ | 737,483 | |
6.30%, 04/01/38 | | | 48 | | | | 65,551 | |
4.15%, 12/01/44 | | | 110 | | | | 123,580 | |
3.60%, 09/15/47 | | | 350 | | | | 367,505 | |
Entergy Arkansas LLC, 3.70%, 06/01/24 | | | 788 | | | | 826,918 | |
Entergy Corp., 4.00%, 07/15/22 | | | 700 | | | | 718,396 | |
Exelon Corp.: | | | | | | | | |
2.45%, 04/15/21 | | | 2,000 | | | | 1,982,508 | |
4.70%, 04/15/50 | | | 75 | | | | 77,254 | |
FirstEnergy Corp.: | | | | | | | | |
2.85%, 07/15/22 | | | 970 | | | | 946,137 | |
3.90%, 07/15/27 | | | 150 | | | | 152,374 | |
2.65%, 03/01/30 | | | 550 | | | | 512,712 | |
3.40%, 03/01/50 | | | 360 | | | | 339,827 | |
Florida Power & Light Co.: | | | | | | | | |
2.85%, 04/01/25 | | | 205 | | | | 213,733 | |
5.95%, 02/01/38 | | | 800 | | | | 1,047,839 | |
Interstate Power & Light Co., 3.25%, 12/01/24 | | | 350 | | | | 353,924 | |
Kentucky Utilities Co., 5.13%, 11/01/40 | | | 375 | | | | 448,858 | |
MidAmerican Energy Co., 4.25%, 07/15/49 | | | 850 | | | | 987,603 | |
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(a) | | | 525 | | | | 551,935 | |
NextEra Energy Capital Holdings, Inc.: | | | | | | | | |
3.15%, 04/01/24 | | | 143 | | | | 146,321 | |
3.55%, 05/01/27 | | | 115 | | | | 117,232 | |
2.75%, 11/01/29 | | | 1,100 | | | | 1,060,498 | |
Ohio Power Co.: | | | | | | | | |
2.60%, 04/01/30 | | | 155 | | | | 150,533 | |
6.60%, 03/01/33 | | | 675 | | | | 973,695 | |
4.00%, 06/01/49 | | | 225 | | | | 231,877 | |
Oncor Electric Delivery Co. LLC: | | | | | | | | |
3.70%, 11/15/28 | | | 590 | | | | 631,273 | |
5.30%, 06/01/42 | | | 660 | | | | 881,046 | |
3.75%, 04/01/45 | | | 350 | | | | 371,123 | |
3.70%, 05/15/50(a) | | | 480 | | | | 562,036 | |
PPL Electric Utilities Corp., 3.95%, 06/01/47 | | | 220 | | | | 233,354 | |
Progress Energy, Inc., 3.15%, 04/01/22 | | | 960 | | | | 968,806 | |
Southern California Edison Co.: | | | | | | | | |
2.25%, 06/01/30 | | | 265 | | | | 239,258 | |
4.00%, 04/01/47 | | | 148 | | | | 154,151 | |
4.88%, 03/01/49 | | | 297 | | | | 342,681 | |
3.65%, 02/01/50 | | | 165 | | | | 160,101 | |
Tampa Electric Co., 4.30%, 06/15/48 | | | 160 | | | | 171,029 | |
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(a) | | | 407 | | | | 426,765 | |
Wisconsin Electric Power Co, 2.05%, 12/15/24 | | | 241 | | | | 238,620 | |
| | | | | | | | |
| | | | | | | 22,897,461 | |
| | |
| Electrical Equipment — 0.1% | | | | | | |
Otis Worldwide Corp.: | | | | | | | | |
2.57%, 02/15/30(a) | | | 500 | | | | 485,949 | |
3.36%, 02/15/50(a) | | | 80 | | | | 77,675 | |
| | | | | | | | |
| | | | | | | 563,624 | |
| | |
| Energy Equipment & Services — 0.2% | | | | | | |
Halliburton Co.: | | | | | | | | |
3.80%, 11/15/25 | | | 78 | | | | 73,618 | |
2.92%, 03/01/30 | | | 810 | | | | 625,858 | |
| | | | | | | | |
| | | | | | | 699,476 | |
|
| Equity Real Estate Investment Trusts (REITs) — 4.4% | |
Alexandria Real Estate Equities, Inc.: | | | | | | | | |
3.80%, 04/15/26 | | | 365 | | | | 364,654 | |
2.75%, 12/15/29 | | | 317 | | | | 277,745 | |
4.90%, 12/15/30 | | | 595 | | | | 645,661 | |
4.85%, 04/15/49 | | | 265 | | | | 279,684 | |
American Tower Corp.: | | | | | | | | |
2.25%, 01/15/22 | | | 965 | | | | 942,131 | |
4.70%, 03/15/22 | | | 525 | | | | 533,203 | |
5.00%, 02/15/24 | | | 430 | | | | 455,128 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
3.38%, 05/15/24 | | $ | 23 | | | $ | 23,048 | |
2.40%, 03/15/25 | | | 1,016 | | | | 997,469 | |
2.75%, 01/15/27 | | | 1,015 | | | | 979,281 | |
3.95%, 03/15/29 | | | 215 | | | | 223,480 | |
3.80%, 08/15/29 | | | 380 | | | | 384,674 | |
2.90%, 01/15/30 | | | 450 | | | | 433,687 | |
AvalonBay Communities, Inc., 2.30%, 03/01/30 | | | 370 | | | | 348,374 | |
Boston Properties LP, 4.50%, 12/01/28 | | | 500 | | | | 549,338 | |
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23 | | | 1,000 | | | | 996,845 | |
Crown Castle International Corp.: | | | | | | | | |
3.40%, 02/15/21 | | | 1,453 | | | | 1,462,775 | |
2.25%, 09/01/21 | | | 1,765 | | | | 1,740,563 | |
5.25%, 01/15/23 | | | 807 | | | | 841,353 | |
3.65%, 09/01/27 | | | 356 | | | | 360,543 | |
4.30%, 02/15/29 | | | 305 | | | | 315,955 | |
3.10%, 11/15/29 | | | 460 | | | | 440,654 | |
3.30%, 07/01/30 | | | 115 | | | | 114,056 | |
4.15%, 07/01/50 | | | 30 | | | | 29,670 | |
Duke Realty LP: | | | | | | | | |
2.88%, 11/15/29 | | | 1,582 | | | | 1,519,643 | |
3.05%, 03/01/50 | | | 250 | | | | 201,127 | |
Equinix, Inc., 2.90%, 11/18/26 | | | 913 | | | | 836,140 | |
Healthpeak Properties, Inc., 3.00%, 01/15/30 | | | 1,244 | | | | 1,186,050 | |
Mid-America Apartments LP, 3.60%, 06/01/27 | | | 173 | | | | 173,957 | |
National Retail Properties, Inc., 3.10%, 04/15/50 | | | 470 | | | | 365,417 | |
Prologis LP, 2.25%, 04/15/30 | | | 360 | | | | 328,958 | |
Realty Income Corp., 3.25%, 06/15/29 | | | 524 | | | | 503,944 | |
Simon Property Group LP, 3.25%, 09/13/49 | | | 380 | | | | 305,684 | |
UDR, Inc., 3.00%, 08/15/31 | | | 64 | | | | 61,154 | |
Ventas Realty LP, 4.88%, 04/15/49 | | | 61 | | | | 64,054 | |
Welltower, Inc., 2.70%, 02/15/27 | | | 1,180 | | | | 1,121,105 | |
| | | | | | | | |
| | | | | | | 20,407,204 | |
|
| Food & Staples Retailing — 2.2% | |
CVS Health Corp.: | | | | | | | | |
4.00%, 12/05/23 | | | 1,000 | | | | 1,054,007 | |
4.10%, 03/25/25 | | | 400 | | | | 423,133 | |
4.30%, 03/25/28 | | | 3,135 | | | | 3,353,332 | |
4.78%, 03/25/38 | | | 320 | | | | 353,837 | |
5.30%, 12/05/43 | | | 200 | | | | 235,753 | |
5.13%, 07/20/45 | | | 496 | | | | 570,703 | |
5.05%, 03/25/48 | | | 370 | | | | 422,735 | |
Kroger Co., 4.45%, 02/01/47 | | | 285 | | | | 306,293 | |
Walmart, Inc.: | | | | | | | | |
2.65%, 12/15/24 | | | 691 | | | | 719,285 | |
3.55%, 06/26/25 | | | 273 | | | | 297,959 | |
3.70%, 06/26/28 | | | 1,365 | | | | 1,531,859 | |
3.63%, 12/15/47 | | | 505 | | | | 575,108 | |
4.05%, 06/29/48 | | | 420 | | | | 524,026 | |
| | | | | | | | |
| | | | | | | 10,368,030 | |
| | |
| Food Products — 0.3% | | | | | | |
General Mills, Inc.: | | | | | | | | |
3.20%, 04/16/21 | | | 145 | | | | 144,664 | |
3.70%, 10/17/23 | | | 240 | | | | 244,298 | |
4.20%, 04/17/28 | | | 135 | | | | 148,638 | |
2.88%, 04/15/30 | | | 40 | | | | 39,920 | |
4.70%, 04/17/48 | | | 90 | | | | 104,122 | |
Kraft Heinz Foods Co., 3.00%, 06/01/26 | | | 710 | | | | 689,819 | |
| | | | | | | | |
| | | | | | | 1,371,461 | |
|
| Health Care Equipment & Supplies — 1.2% | |
Abbott Laboratories: | | | | | | | | |
3.75%, 11/30/26 | | | 566 | | | | 631,657 | |
4.75%, 11/30/36 | | | 385 | | | | 490,581 | |
4.75%, 04/15/43 | | | 117 | | | | 149,633 | |
4.90%, 11/30/46 | | | 250 | | | | 341,175 | |
| | |
| 40 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Health Care Equipment & Supplies (continued) | |
Becton Dickinson and Co.: | | | | | | | | |
(3 mo. LIBOR US + 1.030%),
2.03%, 06/06/22(e) | | $ | 1,525 | | | $ | 1,426,316 | |
3.70%, 06/06/27 | | | 1,384 | | | | 1,397,063 | |
Medtronic, Inc.: | | | | | | | | |
3.15%, 03/15/22 | | | 963 | | | | 998,612 | |
4.63%, 03/15/45 | | | 130 | | | | 173,621 | |
| | | | | | | | |
| | | | | | | 5,608,658 | |
|
| Health Care Providers & Services — 2.8% | |
Aetna, Inc.: | | | | | | | | |
2.75%, 11/15/22 | | | 196 | | | | 196,359 | |
2.80%, 06/15/23 | | | 350 | | | | 350,568 | |
3.50%, 11/15/24 | | | 656 | | | | 664,879 | |
Anthem, Inc.: | | | | | | | | |
4.35%, 08/15/20 | | | 700 | | | | 704,944 | |
2.50%, 11/21/20 | | | 1,195 | | | | 1,190,690 | |
4.65%, 01/15/43 | | | 47 | | | | 52,127 | |
5.10%, 01/15/44 | | | 318 | | | | 372,792 | |
4.38%, 12/01/47 | | | 350 | | | | 376,254 | |
3.70%, 09/15/49 | | | 341 | | | | 338,295 | |
Centene Corp.: | | | | | | | | |
4.25%, 12/15/27(a) | | | 315 | | | | 308,700 | |
3.38%, 02/15/30(a) | | | 220 | | | | 204,600 | |
Cigna Corp.: | | | | | | | | |
3.20%, 09/17/20 | | | 1,870 | | | | 1,872,742 | |
4.90%, 12/15/48 | | | 50 | | | | 59,989 | |
3.40%, 03/15/50 | | | 355 | | | | 335,042 | |
HCA, Inc.: | | | | | | | | |
5.25%, 06/15/26 | | | 430 | | | | 450,970 | |
4.50%, 02/15/27 | | | 389 | | | | 400,226 | |
5.50%, 06/15/47 | | | 425 | | | | 461,830 | |
5.25%, 06/15/49 | | | 304 | | | | 324,108 | |
UnitedHealth Group, Inc.: | | | | | | | | |
3.35%, 07/15/22 | | | 75 | | | | 77,562 | |
2.88%, 03/15/23 | | | 1,175 | | | | 1,216,652 | |
3.75%, 07/15/25 | | | 770 | | | | 832,107 | |
3.50%, 08/15/39 | | | 175 | | | | 188,726 | |
4.63%, 11/15/41 | | | 645 | | | | 797,193 | |
4.75%, 07/15/45 | | | 382 | | | | 486,430 | |
4.25%, 06/15/48 | | | 255 | | | | 300,641 | |
3.70%, 08/15/49 | | | 300 | | | | 332,358 | |
3.88%, 08/15/59 | | | 41 | | | | 45,056 | |
| | | | | | | | |
| | | | | | | 12,941,840 | |
|
| Hotels, Restaurants & Leisure — 0.4% | |
McDonald’s Corp.: | | | | | | | | |
4.88%, 12/09/45 | | | 748 | | | | 873,526 | |
4.45%, 03/01/47 | | | 455 | | | | 492,130 | |
4.45%, 09/01/48 | | | 575 | | | | 637,209 | |
4.20%, 04/01/50 | | | 35 | | | | 39,149 | |
| | | | | | | | |
| | | | | | | 2,042,014 | |
|
| Household Durables — 0.3% | |
Panasonic Corp., 2.54%, 07/19/22(a) | | | 1,220 | | | | 1,197,988 | |
| | | | | | | | |
| | |
| Household Products — 0.1% | | | | | | |
Procter & Gamble Co.: | | | | | | | | |
3.55%, 03/25/40 | | | 225 | | | | 262,418 | |
3.60%, 03/25/50 | | | 145 | | | | 178,177 | |
| | | | | | | | |
| | | | | | | 440,595 | |
|
| Industrial Conglomerates — 0.7% | |
Carrier Global Corp.: | | | | | | | | |
2.24%, 02/15/25(a) | | | 360 | | | | 349,717 | |
2.72%, 02/15/30(a) | | | 500 | | | | 460,717 | |
3.38%, 04/05/40(a) | | | 170 | | | | 149,048 | |
General Electric Co.: | | | | | | | | |
2.70%, 10/09/22 | | | 570 | | | | 553,693 | |
6.75%, 03/15/32 | | | 208 | | | | 247,003 | |
6.15%, 08/07/37 | | | 205 | | | | 233,782 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Industrial Conglomerates (continued) | |
4.13%, 10/09/42 | | $ | 29 | | | $ | 27,378 | |
Honeywell International, Inc., 2.70%, 08/15/29 | | | 315 | | | | 315,979 | |
Jabil, Inc., 3.60%, 01/15/30 | | | 355 | | | | 315,398 | |
Tyco Electronics Group SA, 3.50%, 02/03/22 | | | 600 | | | | 590,574 | |
| | | | | | | | |
| | | | | | | 3,243,289 | |
| | |
| Insurance — 0.8% | | | | | | |
Aon PLC: | | | | | | | | |
4.00%, 11/27/23 | | | 1,760 | | | | 1,834,749 | |
3.50%, 06/14/24 | | | 30 | | | | 31,163 | |
Hartford Financial Services Group, Inc., 4.30%, 04/15/43 | | | 115 | | | | 119,220 | |
Marsh & McLennan Cos., Inc.: | | | | | | | | |
3.75%, 03/14/26 | | | 600 | | | | 617,249 | |
4.90%, 03/15/49 | | | 295 | | | | 371,810 | |
Prudential Financial, Inc., 4.35%, 02/25/50 | | | 425 | | | | 425,216 | |
Teachers Insurance & Annuity Association of | | | | | | | | |
America, 6.85%, 12/16/39(a) | | | 90 | | | | 124,932 | |
Travelers Cos., Inc., 4.30%, 08/25/45 | | | 216 | | | | 256,444 | |
| | | | | | | | |
| | | | | | | 3,780,783 | |
|
| Interactive Media & Services — 0.2% | |
Tencent Holdings Ltd., 3.98%, 04/11/29(a) | | | 905 | | | | 1,000,754 | |
| | | | | | | | |
|
| Internet & Direct Marketing Retail — 0.9% | |
Amazon.com, Inc.: | | | | | | | | |
2.40%, 02/22/23 | | | 396 | | | | 411,871 | |
2.80%, 08/22/24 | | | 1,000 | | | | 1,062,369 | |
3.15%, 08/22/27 | | | 1,955 | | | | 2,138,669 | |
Expedia Group, Inc., 3.25%, 02/15/30 | | | 675 | | | | 565,039 | |
| | | | | | | | |
| | | | | | | 4,177,948 | |
| | |
| IT Services — 1.5% | | | | | | |
Fidelity National Information Services, Inc.: | | | | | | | | |
3.50%, 04/15/23 | | | 330 | | | | 339,051 | |
3.00%, 08/15/26 | | | 119 | | | | 119,968 | |
Fiserv, Inc.: | | | | | | | | |
3.80%, 10/01/23 | | | 1,100 | | | | 1,136,159 | |
4.40%, 07/01/49 | | | 486 | | | | 514,321 | |
Global Payments, Inc.: | | | | | | | | |
2.65%, 02/15/25 | | | 350 | | | | 343,634 | |
3.20%, 08/15/29 | | | 295 | | | | 281,520 | |
4.15%, 08/15/49 | | | 500 | | | | 473,734 | |
International Business Machines Corp.: | | | | | | | | |
3.30%, 05/15/26 | | | 130 | | | | 138,930 | |
4.15%, 05/15/39 | | | 376 | | | | 421,091 | |
4.00%, 06/20/42 | | | 205 | | | | 229,294 | |
4.25%, 05/15/49 | | | 1,535 | | | | 1,804,603 | |
Mastercard, Inc.: | | | | | | | | |
3.65%, 06/01/49 | | | 30 | | | | 33,648 | |
3.85%, 03/26/50 | | | 160 | | | | 196,071 | |
Visa, Inc.: | | | | | | | | |
2.80%, 12/14/22 | | | 234 | | | | 243,718 | |
3.15%, 12/14/25 | | | 620 | | | | 675,278 | |
3.65%, 09/15/47 | | | 30 | | | | 34,108 | |
| | | | | | | | |
| | | | | | | 6,985,128 | |
|
| Life Sciences Tools & Services — 0.1% | |
Thermo Fisher Scientific, Inc., 2.60%, 10/01/29 | | | 630 | | | | 607,226 | |
| | | | | | | | |
| | |
| Machinery — 0.1% | | | | | | |
Deere & Co., 3.75%, 04/15/50 | | | 135 | | | | 154,107 | |
John Deere Capital Corp., 2.65%, 06/24/24 | | | 215 | | | | 211,640 | |
| | | | | | | | |
| | | | | | | 365,747 | |
| | |
| Media — 3.3% | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital: | | | | | | | | |
6.38%, 10/23/35 | | | 255 | | | | 302,668 | |
6.48%, 10/23/45 | | | 1,975 | | | | 2,382,482 | |
5.13%, 07/01/49 | | | 585 | | | | 612,840 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 41 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Media (continued) | | | | | | |
4.80%, 03/01/50 | | $ | 200 | | | $ | 208,115 | |
Comcast Corp.: | | | | | | | | |
3.70%, 04/15/24 | | | 15 | | | | 16,097 | |
3.95%, 10/15/25 | | | 400 | | | | 434,936 | |
4.15%, 10/15/28 | | | 635 | | | | 712,986 | |
4.25%, 01/15/33 | | | 620 | | | | 724,344 | |
6.50%, 11/15/35 | | | 125 | | | | 182,190 | |
4.60%, 10/15/38 | | | 428 | | | | 523,880 | |
3.75%, 04/01/40 | | | 115 | | | | 129,823 | |
4.65%, 07/15/42 | | | 130 | | | | 164,289 | |
4.50%, 01/15/43 | | | 225 | | | | 264,762 | |
4.60%, 08/15/45 | | | 254 | | | | 323,320 | |
3.40%, 07/15/46 | | | 490 | | | | 529,444 | |
3.97%, 11/01/47 | | | 314 | | | | 357,113 | |
4.00%, 03/01/48 | | | 430 | | | | 507,375 | |
4.70%, 10/15/48 | | | 699 | | | | 905,555 | |
4.95%, 10/15/58 | | | 475 | | | | 642,897 | |
COX Communications, Inc., 3.25%, 12/15/22(a) | | | 1,005 | | | | 1,018,412 | |
Discovery Communications LLC: | | | | | | | | |
2.95%, 03/20/23 | | | 345 | | | | 347,000 | |
3.80%, 03/13/24 | | | 500 | | | | 496,921 | |
3.45%, 03/15/25 | | | 64 | | | | 61,961 | |
5.20%, 09/20/47 | | | 200 | | | | 201,515 | |
Fox Corp.: | | | | | | | | |
3.05%, 04/07/25 | | | 125 | | | | 124,805 | |
5.58%, 01/25/49(a) | | | 230 | | | | 275,075 | |
Grupo Televisa SAB, 6.63%, 01/15/40 | | | 505 | | | | 594,637 | |
Interpublic Group of Cos., Inc.: | | | | | | | | |
3.50%, 10/01/20 | | | 115 | | | | 113,253 | |
3.75%, 10/01/21 | | | 85 | | | | 85,820 | |
4.75%, 03/30/30 | | | 525 | | | | 520,194 | |
5.40%, 10/01/48 | | | 45 | | | | 48,393 | |
Time Warner Cable LLC, 4.50%, 09/15/42 | | | 137 | | | | 128,638 | |
ViacomCBS, Inc.: | | | | | | | | |
2.50%, 02/15/23 | | | 110 | | | | 106,274 | |
2.90%, 06/01/23 | | | 450 | | | | 421,368 | |
4.25%, 09/01/23 | | | 450 | | | | 458,897 | |
3.88%, 04/01/24 | | | 225 | | | | 220,171 | |
| | | | | | | | |
| | | | | | | 15,148,450 | |
|
| Metals & Mining — 0.2% | |
Barrick Gold Corp., 5.25%, 04/01/42 | | | 200 | | | | 235,944 | |
BHP Billiton Finance USA Ltd., 5.00%, 09/30/43 | | | 118 | | | | 152,439 | |
Newmont Corp.: | | | | | | | | |
2.80%, 10/01/29 | | | 80 | | | | 74,374 | |
2.25%, 10/01/30 | | | 200 | | | | 185,831 | |
Nucor Corp., 4.40%, 05/01/48 | | | 63 | | | | 71,432 | |
Southern Copper Corp., 5.88%, 04/23/45 | | | 225 | | | | 237,692 | |
| | | | | | | | |
| | | | | | | 957,712 | |
|
| Multiline Retail — 0.3% | |
Target Corp., 2.25%, 04/15/25 | | | 1,405 | | | | 1,433,399 | |
| | | | | | | | |
|
| Multi-Utilities — 1.9% | |
CMS Energy Corp.: | | | | | | | | |
5.05%, 03/15/22 | | | 1,644 | | | | 1,697,579 | |
3.00%, 05/15/26 | | | 310 | | | | 303,676 | |
NiSource, Inc.: | | | | | | | | |
5.25%, 02/15/43 | | | 55 | | | | 59,320 | |
4.38%, 05/15/47 | | | 364 | | | | 368,674 | |
Sempra Energy: | | | | | | | | |
2.85%, 11/15/20 | | | 2,150 | | | | 2,143,774 | |
3.40%, 02/01/28 | | | 1,725 | | | | 1,728,493 | |
Virginia Electric & Power Co.: | | | | | | | | |
2.88%, 07/15/29 | | | 180 | | | | 178,289 | |
6.00%, 01/15/36 | | | 626 | | | | 795,730 | |
4.60%, 12/01/48 | | | 530 | | | | 601,577 | |
3.30%, 12/01/49 | | | 1,111 | | | | 1,109,322 | |
| | | | | | | | |
| | | | | | | 8,986,434 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels — 6.2% | |
BP Capital Markets America, Inc.: | | | | | | | | |
3.59%, 04/14/27 | | $ | 250 | | | $ | 248,619 | |
3.94%, 09/21/28 | | | 46 | | | | 49,134 | |
4.23%, 11/06/28 | | | 530 | | | | 571,284 | |
BP Capital Markets PLC, 3.28%, 09/19/27 | | | 117 | | | | 117,661 | |
Cameron LNG LLC, 3.30%, 01/15/35(a) | | | 590 | | | | 510,615 | |
Canadian Natural Resources Ltd., 3.85%, 06/01/27 | | | 650 | | | | 514,021 | |
Cenovus Energy, Inc.: | | | | | | | | |
4.25%, 04/15/27 | | | 281 | | | | 137,602 | |
5.40%, 06/15/47 | | | 64 | | | | 29,068 | |
Cheniere Corpus Christi Holdings LLC,
5.88%, 03/31/25 | | | 720 | | | | 603,091 | |
Cimarex Energy Co.: | | | | | | | | |
4.38%, 06/01/24 | | | 310 | | | | 244,296 | |
3.90%, 05/15/27 | | | 1,184 | | | | 792,831 | |
Concho Resources, Inc.: | | | | | | | | |
3.75%, 10/01/27 | | | 635 | | | | 538,543 | |
4.30%, 08/15/28 | | | 293 | | | | 253,023 | |
4.88%, 10/01/47 | | | 118 | | | | 90,880 | |
4.85%, 08/15/48 | �� | | 275 | | | | 206,910 | |
Continental Resources, Inc., 3.80%, 06/01/24 | | | 310 | | | | 159,463 | |
Devon Energy Corp.: | | | | | | | | |
5.60%, 07/15/41 | | | 96 | | | | 59,069 | |
4.75%, 05/15/42 | | | 140 | | | | 83,858 | |
Diamondback Energy, Inc.: | | | | | | | | |
2.88%, 12/01/24 | | | 570 | | | | 398,142 | |
3.50%, 12/01/29 | | | 1,150 | | | | 781,911 | |
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22 | | | 485 | | | | 519,078 | |
Enbridge, Inc., 3.13%, 11/15/29 | | | 502 | | | | 456,577 | |
Energy Transfer Operating LP: | | | | | | | | |
4.20%, 04/15/27 | | | 394 | | | | 317,536 | |
6.50%, 02/01/42 | | | 560 | | | | 509,898 | |
5.30%, 04/15/47 | | | 84 | | | | 63,829 | |
6.00%, 06/15/48 | | | 82 | | | | 68,782 | |
6.25%, 04/15/49 | | | 320 | | | | 274,230 | |
Enterprise Products Operating LLC: | | | | | | | | |
5.95%, 02/01/41 | | | 196 | | | | 211,990 | |
5.70%, 02/15/42 | | | 164 | | | | 173,576 | |
4.45%, 02/15/43 | | | 884 | | | | 835,027 | |
4.25%, 02/15/48 | | | 229 | | | | 212,566 | |
4.80%, 02/01/49 | | | 220 | | | | 219,973 | |
4.20%, 01/31/50 | | | 90 | | | | 85,866 | |
Hess Corp.: | | | | | | | | |
5.60%, 02/15/41 | | | 642 | | | | 438,427 | |
5.80%, 04/01/47 | | | 396 | | | | 263,590 | |
Kinder Morgan Energy Partners LP: | | | | | | | | |
6.50%, 04/01/20 | | | 1,515 | | | | 1,515,000 | |
7.30%, 08/15/33 | | | 800 | | | | 912,571 | |
5.00%, 03/01/43 | | | 150 | | | | 142,200 | |
Kinder Morgan, Inc.: | | | | | | | | |
6.50%, 09/15/20 | | | 925 | | | | 927,072 | |
5.00%, 02/15/21(a) | | | 1,110 | | | | 1,104,035 | |
Marathon Oil Corp.: | | | | | | | | |
2.80%, 11/01/22 | | | 720 | | | | 551,248 | |
4.40%, 07/15/27 | | | 1,284 | | | | 856,568 | |
Marathon Petroleum Corp., 4.75%, 09/15/44 | | | 251 | | | | 190,832 | |
MPLX LP: | | | | | | | | |
(3 mo. LIBOR US + 0.900%), 1.90%, 09/09/21(e) | | | 170 | | | | 160,639 | |
6.25%, 10/15/22(a) | | | 336 | | | | 302,475 | |
3.50%, 12/01/22(a) | | | 70 | | | | 67,020 | |
4.13%, 03/01/27 | | | 1,150 | | | | 979,910 | |
4.25%, 12/01/27(a) | | | 180 | | | | 145,395 | |
Newfield Exploration Co., 5.38%, 01/01/26 | | | 335 | | | | 174,967 | |
Noble Energy, Inc.: | | | | | | | | |
5.05%, 11/15/44 | | | 88 | | | | 54,306 | |
4.20%, 10/15/49 | | | 84 | | | | 46,184 | |
| | |
| 42 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Occidental Petroleum Corp.: | | | | | | | | |
2.70%, 08/15/22 | | $ | 310 | | | $ | 221,044 | |
2.90%, 08/15/24 | | | 880 | | | | 481,646 | |
7.88%, 09/15/31 | | | 225 | | | | 119,405 | |
4.50%, 07/15/44 | | | 170 | | | | 73,154 | |
4.63%, 06/15/45 | | | 30 | | | | 12,715 | |
6.60%, 03/15/46 | | | 12 | | | | 5,600 | |
4.20%, 03/15/48 | | | 75 | | | | 32,141 | |
Ovintiv, Inc., 6.63%, 08/15/37 | | | 70 | | | | 30,357 | |
Pioneer Natural Resources Co., 3.45%, 01/15/21 | | | 255 | | | | 245,922 | |
Sabine Pass Liquefaction LLC: | | | | | | | | |
5.63%, 02/01/21 | | | 890 | | | | 863,333 | |
4.20%, 03/15/28 | | | 475 | | | | 407,569 | |
Shell International Finance BV, 3.50%, 11/13/23 | | | 1,585 | | | | 1,650,718 | |
Spectra Energy Partners LP, 3.38%, 10/15/26 | | | 880 | | | | 810,295 | |
Sunoco Logistics Partners Operations LP: | | | | | | | | |
5.35%, 05/15/45 | | | 902 | | | | 707,377 | |
5.40%, 10/01/47 | | | 880 | | | | 700,931 | |
Texas Eastern Transmission LP, 2.80%, 10/15/22(a) | | | 750 | | | | 736,807 | |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 | | | 265 | | | | 237,887 | |
Valero Energy Corp., 4.00%, 04/01/29 | | | 88 | | | | 83,377 | |
Western Midstream Operating LP, 5.38%, 06/01/21 | | | 1,025 | | | | 819,026 | |
Williams Cos., Inc., 4.50%, 11/15/23 | | | 1,300 | | | | 1,221,323 | |
| | | | | | | | |
| | | | | | | 28,632,015 | |
|
| Paper & Forest Products — 0.2% | |
Celulosa Arauco y Constitucion SA, 5.50%, 04/30/49(a) | | | 270 | | | | 219,004 | |
Georgia-Pacific LLC, 5.40%, 11/01/20(a) | | | 865 | | | | 873,267 | |
| | | | | | | | |
| | | | | | | 1,092,271 | |
|
| Pharmaceuticals — 3.0% | |
Allergan Funding SCS: | | | | | | | | |
3.45%, 03/15/22 | | | 3,180 | | | | 3,301,915 | |
3.80%, 03/15/25 | | | 650 | | | | 665,499 | |
Bayer U.S. Finance II LLC, 3.88%, 12/15/23(a) | | | 1,025 | | | | 1,048,901 | |
Bristol-Myers Squibb Co., 2.90%, 07/26/24(a) | | | 1,330 | | | | 1,409,473 | |
Johnson & Johnson, 3.55%, 03/01/36 | | | 452 | | | | 510,768 | |
Merck & Co., Inc., 3.70%, 02/10/45 | | | 19 | | | | 22,471 | |
Pfizer, Inc.: | | | | | | | | |
2.63%, 04/01/30 | | | 185 | | | | 194,521 | |
3.90%, 03/15/39 | | | 38 | | | | 42,939 | |
Sanofi, 3.63%, 06/19/28 | | | 60 | | | | 66,494 | |
Shire Acquisitions Investments Ireland DAC: | | | | | | | | |
2.40%, 09/23/21 | | | 3,430 | | | | 3,401,257 | |
2.88%, 09/23/23 | | | 1,445 | | | | 1,455,499 | |
Takeda Pharmaceutical Co. Ltd., 5.00%, 11/26/28 | | | 425 | | | | 484,487 | |
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21 | | | 514 | | | | 493,761 | |
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 07/21/21 | | | 108 | | | | 103,680 | |
Wyeth LLC, 5.95%, 04/01/37 | | | 369 | | | | 522,920 | |
| | | | | | | | |
| | | | | | | 13,724,585 | |
|
| Road & Rail — 2.0% | |
Burlington Northern Santa Fe LLC: | | | | | | | | |
5.75%, 05/01/40 | | | 500 | | | | 636,704 | |
4.40%, 03/15/42 | | | 235 | | | | 266,803 | |
4.90%, 04/01/44 | | | 60 | | | | 74,596 | |
4.15%, 12/15/48 | | | 410 | | | | 468,996 | |
Canadian Pacific Railway Co., 2.05%, 03/05/30 | | | 125 | | | | 116,204 | |
CSX Corp.: | | | | | | | | |
3.25%, 06/01/27 | | | 195 | | | | 203,007 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Road & Rail (continued) | | | | | | |
3.80%, 03/01/28 | | $ | 480 | | | $ | 519,627 | |
4.25%, 03/15/29 | | | 135 | | | | 151,321 | |
4.30%, 03/01/48 | | | 105 | | | | 115,073 | |
4.75%, 11/15/48 | | | 71 | | | | 81,736 | |
3.80%, 04/15/50 | | | 20 | | | | 20,898 | |
Norfolk Southern Corp.: | | | | | | | | |
3.80%, 08/01/28 | | | 875 | | | | 899,852 | |
3.94%, 11/01/47 | | | 170 | | | | 177,228 | |
4.15%, 02/28/48 | | | 140 | | | | 147,721 | |
3.40%, 11/01/49 | | | 100 | | | | 97,039 | |
4.05%, 08/15/52 | | | 36 | | | | 38,648 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.: | | | | | | | | |
3.38%, 02/01/22(a) | | | 1,000 | | | | 1,010,977 | |
3.45%, 07/01/24(a) | | | 1,065 | | | | 1,081,258 | |
Ryder System, Inc.: | | | | | | | | |
2.88%, 09/01/20 | | | 1,000 | | | | 995,559 | |
2.80%, 03/01/22 | | | 70 | | | | 69,101 | |
Union Pacific Corp.: | | | | | | | | |
4.05%, 03/01/46 | | | 355 | | | | 374,245 | |
4.50%, 09/10/48 | | | 215 | | | | 243,389 | |
3.80%, 10/01/51 | | | 20 | | | | 21,905 | |
3.95%, 08/15/59 | | | 159 | | | | 168,339 | |
3.84%, 03/20/60(a) | | | 894 | | | | 933,076 | |
3.75%, 02/05/70 | | | 130 | | | | 134,072 | |
| | | | | | | | |
| | | | | | | 9,047,374 | |
|
| Semiconductors & Semiconductor Equipment — 3.0% | |
Analog Devices, Inc.: | | | | | | | | |
2.95%, 01/12/21 | | | 1,145 | | | | 1,146,236 | |
2.50%, 12/05/21 | | | 340 | | | | 343,261 | |
Applied Materials, Inc., 3.30%, 04/01/27 | | | 705 | | | | 750,040 | |
Broadcom Corp./Broadcom Cayman Finance Ltd.: | | | | | | | | |
2.20%, 01/15/21 | | | 1,000 | | | | 986,757 | |
3.00%, 01/15/22 | | | 10 | | | | 9,889 | |
3.88%, 01/15/27 | | | 2,503 | | | | 2,391,287 | |
Broadcom, Inc., 4.75%, 04/15/29(a) | | | 840 | | | | 852,056 | |
Intel Corp.: | | | | | | | | |
4.75%, 03/25/50 | | | 270 | | | | 362,562 | |
3.10%, 02/15/60 | | | 215 | | | | 226,486 | |
KLA Corp.: | | | | | | | | |
4.65%, 11/01/24 | | | 40 | | | | 42,203 | |
4.10%, 03/15/29 | | | 939 | | | | 986,336 | |
5.00%, 03/15/49 | | | 60 | | | | 71,376 | |
3.30%, 03/01/50 | | | 445 | | | | 416,911 | |
Lam Research Corp.: | | | | | | | | |
3.75%, 03/15/26 | | | 890 | | | | 944,053 | |
4.00%, 03/15/29 | | | 946 | | | | 1,046,132 | |
4.88%, 03/15/49 | | | 290 | | | | 374,015 | |
NVIDIA Corp.: | | | | | | | | |
2.20%, 09/16/21 | | | 305 | | | | 307,274 | |
3.50%, 04/01/40 | | | 285 | | | | 302,373 | |
3.50%, 04/01/50 | | | 245 | | | | 266,396 | |
NXP BV/NXP Funding LLC, 5.55%, 12/01/28(a) | | | 70 | | | | 78,785 | |
NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 06/18/29(a) | | | 1,681 | | | | 1,722,649 | |
QUALCOMM, Inc., 4.30%, 05/20/47 | | | 365 | | | | 437,989 | |
| | | | | | | | |
| | | | | | | 14,065,066 | |
| | |
| Software — 2.4% | | | | | | |
Microsoft Corp.: | | | | | | | | |
2.88%, 02/06/24 | | | 1,600 | | | | 1,702,296 | |
4.10%, 02/06/37 | | | 530 | | | | 638,872 | |
3.75%, 02/12/45 | | | 466 | | | | 561,019 | |
4.45%, 11/03/45 | | | 1,082 | | | | 1,422,810 | |
3.70%, 08/08/46 | | | 495 | | | | 594,217 | |
Oracle Corp.: | | | | | | | | |
2.40%, 09/15/23 | | | 2,050 | | | | 2,099,146 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 43 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Software (continued) | | | | | | |
3.85%, 07/15/36 | | $ | 114 | | | $ | 119,864 | |
5.38%, 07/15/40 | | | 800 | | | | 1,068,566 | |
4.50%, 07/08/44 | | | 300 | | | | 345,840 | |
4.00%, 07/15/46 | | | 60 | | | | 66,936 | |
4.00%, 11/15/47 | | | 965 | | | | 1,058,508 | |
3.60%, 04/01/50 | | | 785 | | | | 785,020 | |
3.85%, 04/01/60 | | | 720 | | | | 724,659 | |
| | | | | | | | |
| | | | | | | 11,187,753 | |
| | |
| Specialty Retail — 0.7% | | | | | | |
Home Depot, Inc.: | | | | | | | | |
4.40%, 03/15/45 | | | 215 | | | | 251,363 | |
4.25%, 04/01/46 | | | 335 | | | | 398,160 | |
3.90%, 06/15/47 | | | 140 | | | | 154,762 | |
4.50%, 12/06/48 | | | 240 | | | | 298,278 | |
3.13%, 12/15/49 | | | 150 | | | | 147,997 | |
3.35%, 04/15/50 | | | 140 | | | | 146,272 | |
Lowe’s Cos., Inc.: | | | | | | | | |
4.00%, 04/15/25 | | | 620 | | | | 662,437 | |
3.70%, 04/15/46 | | | 445 | | | | 411,786 | |
4.55%, 04/05/49 | | | 684 | | | | 737,896 | |
| | | | | | | | |
| | | | | | | 3,208,951 | |
|
| Technology Hardware, Storage & Peripherals — 1.1% | |
Apple Inc.: | | | | | | | | |
2.20%, 09/11/29 | | | 25 | | | | 25,624 | |
3.85%, 05/04/43 | | | 481 | | | | 571,774 | |
4.38%, 05/13/45 | | | 1,025 | | | | 1,303,098 | |
3.85%, 08/04/46 | | | 730 | | | | 879,389 | |
3.75%, 09/12/47 | | | 500 | | | | 611,697 | |
Dell International LLC/EMC Corp.: | | | | | | | | |
4.42%, 06/15/21(a) | | | 45 | | | | 44,990 | |
6.02%, 06/15/26(a) | | | 1,375 | | | | 1,419,112 | |
Hewlett Packard Enterprise Co., 3.60%, 10/15/20 | | | 125 | | | | 125,151 | |
| | | | | | | | |
| | | | | | | 4,980,835 | |
|
| Textiles, Apparel & Luxury Goods — 0.0% | |
NIKE, Inc., 3.38%, 03/27/50 | | | 135 | | | | 147,272 | |
| | | | | | | | |
| | |
| Tobacco — 1.6% | | | | | | |
Altria Group, Inc.: | | | | | | | | |
4.50%, 05/02/43 | | | 75 | | | | 74,109 | |
5.38%, 01/31/44 | | | 637 | | | | 705,773 | |
5.95%, 02/14/49 | | | 880 | | | | 1,017,579 | |
BAT Capital Corp.: | | | | | | | | |
2.76%, 08/15/22 | | | 750 | | | | 737,099 | |
3.22%, 08/15/24 | | | 1,886 | | | | 1,814,887 | |
4.70%, 04/02/27 | | | 1,200 | | | | 1,219,400 | |
4.39%, 08/15/37 | | | 170 | | | | 156,708 | |
Reynolds American, Inc.: | | | | | | | | |
4.00%, 06/12/22 | | | 730 | | | | 740,289 | |
4.85%, 09/15/23 | | | 220 | | | | 228,910 | |
4.45%, 06/12/25 | | | 43 | | | | 43,257 | |
5.70%, 08/15/35 | | | 550 | | | | 589,685 | |
7.00%, 08/04/41 | | | 70 | | | | 75,698 | |
| | | | | | | | |
| | | | | | | 7,403,394 | |
|
| Trading Companies & Distributors — 0.3% | |
Air Lease Corp.: | | | | | | | | |
2.50%, 03/01/21 | | | 905 | | | | 832,359 | |
3.38%, 06/01/21 | | | 540 | | | | 485,867 | |
3.00%, 02/01/30 | | | 135 | | | | 97,498 | |
| | | | | | | | |
| | | | | | | 1,415,724 | |
|
| Wireless Telecommunication Services — 0.6% | |
America Movil SAB de CV, 4.38%, 04/22/49 | | | 775 | | | | 853,748 | |
Rogers Communications, Inc., 3.70%, 11/15/49 | | | 339 | | | | 346,201 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23(a) | | | 128 | | | | 126,862 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Wireless Telecommunication Services (continued) | |
Vodafone Group PLC: | | | | | | | | |
3.75%, 01/16/24 | | $ | 850 | | | $ | 884,900 | |
4.38%, 02/19/43 | | | 227 | | | | 234,123 | |
5.25%, 05/30/48 | | | 415 | | | | 500,159 | |
| | | | | | | | |
| | | | | | | 2,945,993 | |
| | | | | | | | |
| | |
Total Corporate Bonds — 85.7%
(Cost: $398,913,904) | | | | | | | 398,061,276 | |
| | | | | | | | |
| | |
Foreign Agency Obligations — 0.5% | | | | | | | | |
| | |
| Mexico — 0.4% | | | | | | |
Petroleos Mexicanos: | | | | | | | | |
6.50%, 03/13/27 | | | 1,135 | | | | 834,402 | |
6.38%, 01/23/45 | | | 475 | | | | 299,473 | |
6.35%, 02/12/48 | | | 966 | | | | 603,750 | |
7.69%, 01/23/50(a) | | | 390 | | | | 265,200 | |
| | | | | | | | |
| | | | | | | 2,002,825 | |
| | |
| Saudi Arabia — 0.1% | | | | | | |
Saudi Arabian Oil Co., 4.25%, 04/16/39(a) | | | 200 | | | | 197,000 | |
| | | | | | | | |
| |
Total Foreign Agency Obligations — 0.5%
(Cost: $3,154,214) | | | | 2,199,825 | |
| | | | | | | | |
| | |
Foreign Government Obligations — 1.9% | | | | | | | | |
| | |
| Chile — 0.2% | | | | | | |
Republic of Chile, 3.50%, 01/25/50 | | | 910 | | | | 946,400 | |
| | | | | | | | |
| | |
| Colombia — 0.3% | | | | | | |
Republic of Colombia: | | | | | | | | |
4.50%, 03/15/29 | | | 1,050 | | | | 1,071,984 | |
5.20%, 05/15/49 | | | 285 | | | | 299,517 | |
| | | | | | | | |
| | | | | | | 1,371,501 | |
| | |
| Indonesia — 0.4% | | | | | | |
Republic of Indonesia: | | | | | | | | |
4.13%, 01/15/25(a) | | | 350 | | | | 359,516 | |
3.50%, 01/11/28 | | | 975 | | | | 960,984 | |
3.50%, 02/14/50 | | | 370 | | | | 369,514 | |
| | | | | | | | |
| | | | | | | 1,690,014 | |
| | |
| Israel — 0.0% | | | | | | |
State of Israel, 3.88%, 07/03/50 | | | 250 | | | | 250,000 | |
| | | | | | | | |
| | |
| Mexico — 0.6% | | | | | | |
United Mexican States: | | | | | | | | |
4.15%, 03/28/27 | | | 1,193 | | | | 1,214,623 | |
4.75%, 03/08/44 | | | 923 | | | | 936,557 | |
4.60%, 02/10/48 | | | 600 | | | | 603,600 | |
| | | | | | | | |
| | | | | | | 2,754,780 | |
| | |
| Panama — 0.2% | | | | | | |
Republic of Panama: | | | | | | | | |
3.16%, 01/23/30 | | | 400 | | | | 398,125 | |
4.30%, 04/29/53 | | | 240 | | | | 257,925 | |
4.50%, 04/01/56 | | | 200 | | | | 217,500 | |
| | | | | | | | |
| | | | | | | 873,550 | |
| | |
| Poland — 0.1% | | | | | | |
Republic of Poland, 3.25%, 04/06/26 | | | 440 | | | | 478,500 | |
| | | | | | | | |
| | |
| Uruguay — 0.1% | | | | | | |
Republic of Uruguay, 4.38%, 10/27/27 | | | 315 | | | | 339,314 | |
| | | | | | | | |
| |
Total Foreign Government Obligations — 1.9%
(Cost: $8,583,561) | | | | 8,704,059 | |
| | | | | | | | |
| | |
Taxable Municipal Bonds — 2.3% | | | | | | | | |
| | |
| California — 1.2% | | | | | | |
City of San Francisco Public Utilities Commission Water Revenue RB, 3.30%, 11/01/39 | | | 495 | | | | 460,261 | |
| | |
| 44 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| California (continued) | | | | | | |
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45 | | $ | 1,075 | | | $ | 1,671,733 | |
State of California GO: | | | | | | | | |
7.30%, 10/01/39 | | | 510 | | | | 787,777 | |
7.63%, 03/01/40 | | | 1,125 | | | | 1,822,939 | |
University of California RB, 3.35%, 07/01/29 | | | 550 | | | | 597,976 | |
| | | | | | | | |
| | | | | | | 5,340,686 | |
| | |
| Illinois — 0.3% | | | | | | |
Chicago O’Hare International Airport RB, 6.40%, 01/01/40 | | | 1,000 | | | | 1,425,230 | |
| | | | | | | | |
| | |
| New Jersey — 0.0% | | | | | | |
New Jersey Transportation Trust Fund Authority RB, 4.13%, 06/15/42 | | | 165 | | | | 162,116 | |
| | | | | | | | |
| | |
| New York — 0.8% | | | | | | |
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39 | | | 1,125 | | | | 1,601,302 | |
New York State Dormitory Authority RB, 3.11%, 02/15/39 | | | 590 | | | | 607,688 | |
Port Authority of New York & New Jersey RB, 4.46%, 10/01/62 | | | 1,300 | | | | 1,434,628 | |
| | | | | | | | |
| | | | | | | 3,643,618 | |
| | | | | | | | |
| |
Total Taxable Municipal Bonds — 2.3%
(Cost: $8,639,546) | | | | 10,571,650 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
U.S. Treasury Obligations — 6.7% | |
U.S. Treasury Bonds: | | | | | | | | |
2.38%, 11/15/49 | | $ | 867 | | | $ | 1,080,534 | |
2.00%, 02/15/50 | | | 77 | | | | 89,550 | |
U.S. Treasury Inflation Indexed Bonds, 1.00%, 02/15/49 | | | 1,517 | | | | 1,885,038 | |
U.S. Treasury Notes: | | | | | | | | |
1.13%, 02/28/22 | | | 14,720 | | | | 14,964,375 | |
2.13%, 05/15/22 | | | 374 | | | | 389,004 | |
1.50%, 11/30/24 | | | 4,936 | | | | 5,197,646 | |
1.75%, 12/31/24 | | | 1,520 | | | | 1,618,444 | |
1.38%, 01/31/25 | | | 4,982 | | | | 5,219,229 | |
1.13%, 02/28/25 | | | 838 | | | | 868,738 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations — 6.7%
(Cost: $30,281,729) | | | | 31,312,558 | |
| | | | | | | | |
| |
Total Long-Term Investments — 99.6%
(Cost: $461,970,334) | | | | 462,287,022 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
|
Short-Term Securities — 0.2% | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.51%(f) | | | 1,041,835 | | | | 1,041,835 | |
| | | | | | | | |
| |
Total Short-Term Securities — 0.2%
(Cost: $1,041,835) | | | | 1,041,835 | |
| | | | | | | | |
| |
Options Purchased — 0.0%
(Cost: $173,230) | | | | 535 | |
| | | | | | | | |
| |
Total Investments — 99.8%
(Cost: $463,185,399) | | | | 463,329,392 | |
| | |
Other Assets Less Liabilities — 0.2%. | | | | | | | 937,493 | |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 464,266,885 | |
| | | | | | | | |
| (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. 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. |
| (c) | Perpetual security with no stated maturity date. |
| (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) | 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 rating 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.
| | | | |
| SCHEDULES OF INVESTMENTS | | | 45 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C 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 Bonds (30 Year) | | | 13 | | | | 06/19/20 | | | $ | 2,328 | | | $ | 76,635 | |
U.S. Treasury Notes (10 Year) | | | 19 | | | | 06/19/20 | | | | 2,635 | | | | 78 | |
U.S. Ultra Treasury Bonds | | | 18 | | | | 06/19/20 | | | | 3,994 | | | | (9,856 | ) |
U.S. Treasury Notes (2 Year) | | | 99 | | | | 06/30/20 | | | | 21,818 | | | | 4,272 | |
U.S. Treasury Notes (5 Year) | | | 32 | | | | 06/30/20 | | | | 4,012 | | | | 8,616 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 79,745 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Ultra Treasury Notes (10 Year) | | | 16 | | | | 06/19/20 | | | | 2,497 | | | | (138,242 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (58,497 | ) |
| | | | | | | | | | | | | | | | |
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, 09/08/50 | | | 3.50 | % | | Semi-Annual | |
| 3-month LIBOR,
1.45% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 09/08/20 | | | | 3.50 | % | | | $4,760 | | | $ | 535 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Reference Obligation/ Index | | Financing
Rate Received
by the
Fund | | | Payment
Frequency | | | Counterparty | | Termination
Date | | | Credit
Rating(a) | | Notional
Amount
(000)(b) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | | | | |
| | Boeing Co. | | | 1.00% | | | | Quarterly | | | BNP Paribas S.A. | | | 12/20/20 | | | BBB | | $ | 2,200 | | | $ | (54,244 | ) | | $ | 11,474 | | | $ | (65,718 | ) | | | | |
| | American Tower Corp. | | | 1.00% | | | | Quarterly | | | Morgan Stanley & Co. International PLC | | | 06/20/21 | | | BBB- | | $ | 1,875 | | | | 6,678 | | | | (18,771 | ) | | | 25,449 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (47,566 | ) | | $ | (7,297 | ) | | $ | (40,269 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. | |
| | (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 | | | $11,474 | | | | $18,771 | | | | $25,449 | | | | $65,718 | |
| | |
| 46 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C 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 | | Unrealized appreciation
on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 89,601 | | | $ | — | | | $ | 89,601 | |
Options purchased | | Investments at value —
unaffiliated(b) | | | — | | | | — | | | | — | | | | — | | | | 535 | | | | — | | | | 535 | |
Swaps — OTC | | Unrealized appreciation
on OTC swaps; Swap
premiums paid | | | — | | | | 36,923 | | | | — | | | | — | | | | — | | | | — | | | | 36,923 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 36,923 | | | $ | — | | | $ | — | | | $ | 90,136 | | | $ | — | | | $ | 127,059 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | Unrealized depreciation
on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 148,098 | | | $ | — | | | $ | 148,098 | |
Swaps — OTC | | Unrealized depreciation
on OTC swaps; Swaps
premiums received | | | — | | | | 84,489 | | | | — | | | | — | | | | — | | | | — | | | | 84,489 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 84,489 | | | $ | — | | | $ | — | | | $ | 148,098 | | | $ | — | | | $ | 232,587 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
| | (b) | Includes options purchased at value as reported in the Schedule of Investments. | |
For the year ended March 31, 2020, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,470,147 | | | $ | — | | | $ | 2,470,147 | |
Swaps | | | — | | | | (66,518 | ) | | | — | | | | — | | | | 100,177 | | | | — | | | | 33,659 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (66,518 | ) | | $ | — | | | $ | — | | | $ | 2,570,324 | | | $ | — | | | $ | 2,503,806 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (157,031 | ) | | $ | — | | | $ | (157,031 | ) |
Options purchased(a) | | | — | | | | — | | | | — | | | | — | | | | (32,235 | ) | | | — | | | | (32,235 | ) |
Swaps | | | — | | | | (49,619 | ) | | | — | | | | — | | | | — | | | | — | | | | (49,619 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (49,619 | ) | | $ | — | | | $ | — | | | $ | (189,266 | ) | | $ | — | | | $ | (238,885 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 47 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series C Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 45,418,921 | |
Average notional value of contracts — short | | | 16,601,045 | |
Options: | | | | |
Average notional value of swaption contracts purchased | | | 4,760,000 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | | 7,148,750 | |
Average notional value — sell protection | | | 2,425,000 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 262,500 | |
| | | | | |
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 | | $ | 8,589 | | | $ | 61,154 | |
Options(a) | | | 535 | | | | — | |
Swaps — OTC(b) | | | 36,923 | | | | 84,489 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 46,047 | | | $ | 145,643 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (8,589 | ) | | | (61,154 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 37,458 | | | $ | 84,489 | |
| | | | | | | | |
| | (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(b) | | | Net Amount of Derivative
Assets(c) | |
BNP Paribas S.A | | $ | 11,474 | | | $ | (11,474 | ) | | $ | — | | | | | $ | — | | | | | $ | — | |
JPMorgan Chase Bank N.A | | | 535 | | | | — | | | | — | | | | | | (535 | ) | | | | | — | |
Morgan Stanley & Co., International PLC | | | 25,449 | | | | (18,771 | ) | | | — | | | | | | — | | | | | | 6,678 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 37,458 | | | $ | (30,245 | ) | | $ | — | | | | | $ | (535 | ) | | | | $ | 6,678 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| 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(d) | |
BNP Paribas S.A | | $ | 65,718 | | | $ | (11,474 | ) | | $ | — | | | $ — | | | $ 54,244 | |
Morgan Stanley & Co., International PLC | | | 18,771 | | | | (18,771 | ) | | | — | | | — | | | — | |
| | | | | | | | | | | | | | | | | | |
| | $ | 84,489 | | | $ | (30,245 | ) | | $ | — | | | $ — | | | $ 54,244 | |
| | | | | | | | | | | | | | | | | | |
| | (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 received from the individual counterparty is not shown for financial reporting purposes. | |
| | (c) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (d) | Net amount represents the net amount payable from the counterparty in the event of default. | |
| | |
| 48 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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) | | $ | — | | | $ | 462,287,022 | | | $ | — | | | $ | 462,287,022 | |
Short-Term Securities | | | 1,041,835 | | | | — | | | | — | | | | 1,041,835 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | — | | | | 535 | | | | — | | | | 535 | |
| | | | | | | | | | | | | | | | |
| | $ | 1,041,835 | | | $ | 462,287,557 | | | $ | — | | | $ | 463,329,392 | |
| | | | | | | | | | | | | | | | |
(a) See above Schedule of Investments for values in each security type. | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts. | | $ | — | | | $ | 25,449 | | | $ | — | | | $ | 25,449 | |
Interest rate contracts | | | 89,601 | | | | — | | | | — | | | | 89,601 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts. | | | — | | | | (65,718 | ) | | | — | | | | (65,718 | ) |
Interest rate contracts | | | (148,098 | ) | | | — | | | | — | | | | (148,098 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (58,497 | ) | | $ | (40,269 | ) | | $ | — | | | $ | (98,766 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | | | |
| SCHEDULES OF INVESTMENTS | | | 49 | |
| | |
Schedule of Investments March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| |
Municipal Bonds — 95.1% | | | | |
| |
| Alabama — 1.5% | | | |
Alabama Special Care Facilities Financing Authority-Birmingham, RB, Methodist Home for the Aging Project, Series 2015-1, 5.50%, 06/01/30 | | $ | 500 | | | $ | 545,985 | |
County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Warrants, Series D, 6.50%, 10/01/53 | | | 1,000 | | | | 1,164,160 | |
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35 | | | 1,000 | | | | 1,166,200 | |
Tuscaloosa County IDA, Refunding RB, Hunt Refining Project, Series A, 5.25%, 05/01/44(a) | | | 1,745 | | | | 1,707,343 | |
| | | | | | | | |
| | | | | | | 4,583,688 | |
| |
| Alaska — 0.0% | | | |
Northern Tobacco Securitization Corp., Refunding RB, Asset-Backed, Series A, 4.63%, 06/01/23 | | | 65 | | | | 65,074 | |
| | | | | | | | |
| |
| Arizona — 2.5% | | | |
Arizona IDA: | | | | |
RB, Academies Math & Science Project, Series B, 5.13%, 07/01/47(a) | | | 195 | | | | 182,171 | |
RB, Charter Schools Project, 7.10%, 01/01/55(a) | | | 1,150 | | | | 1,094,363 | |
RB, Christian University Project, Series A, 5.63%, 10/01/49(a) | | | 170 | | | | 170,887 | |
RB, Doral Academy Nevada-Fire Mesa & Red Rock Campus Project, Series A, 5.00%, 07/15/39(a) | | | 220 | | | | 222,037 | |
RB, Lone Mountain Campus Project, Series A, 5.00%, 12/15/49(a) | | | 105 | | | | 102,245 | |
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/26(a) | | | 300 | | | | 298,701 | |
Refunding RB, Basis Schools Projects, Series A, 5.13%, 07/01/37(a) | | | 605 | | | | 592,839 | |
Refunding RB, Odyssey Prepatory Academy Project, 5.50%, 07/01/52(a) | | | 610 | | | | 577,286 | |
City of Phoenix Civic Improvement Corp., RB, AMT, Junior Lien Apartment Project, Series B, 4.00%, 07/01/39 | | | 800 | | | | 893,424 | |
City of Phoenix IDA: | | | | |
RB, Downtown Phoenix Student Housing II LLC, Arizona State University Project, Series A, 5.00%, 07/01/59 | | | 880 | | | | 1,006,359 | |
RB, Legacy Traditional Schools Project, 5.00%, 07/01/46(a) | | | 570 | | | | 528,065 | |
RB, Oro Valley Project, Series A, 5.00%, 07/01/49(a) | | | 270 | | | | 235,575 | |
Refunding RB, Basis Schools Projects, 5.00%, 07/01/45(a) | | | 140 | | | | 128,964 | |
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/35(a) | | | 45 | | | | 43,950 | |
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/46(a) | | | 50 | | | | 45,144 | |
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/35(a) | | | 300 | | | | 300,372 | |
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/45(a) | | | 100 | | | | 92,559 | |
County of Pima IDA, RB, Paideia Academies Project: | | | | |
5.13%, 07/01/39 | | | 145 | | | | 128,585 | |
5.25%, 07/01/49 | | | 180 | | | | 150,485 | |
La Paz County IDA, RB, Imagine Schools West Middle Project, 5.88%, 06/15/48(a) | | | 285 | | | | 259,914 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Arizona (continued) | | | | | | |
Maricopa County IDA, Refunding RB, HonorHealth Project, Series A, 4.13%, 09/01/38 | | $ | 230 | | | $ | 256,574 | |
Salt Verde Financial Corp., RB, 5.00%, 12/01/37 | | | 500 | | | | 588,605 | |
Tempe IDA, RB, Friendship Village of Tempe Project - Tempe Life Care Village, Inc., 5.00%, 12/01/54 | | | 100 | | | | 88,914 | |
| | | | | | | | |
| | | | | | | 7,988,018 | |
| | |
| Arkansas — 1.0% | | | | | | |
Arkansas Development Finance Authority, RB, AMT, Big River Steel Project, 4.50%, 09/01/49(a) | | | 3,045 | | | | 2,700,123 | |
Pulaski County Public Facilities Board, RB: | | | | | | | | |
5.00%, 12/01/39 | | | 230 | | | | 256,448 | |
5.00%, 12/01/42 | | | 250 | | | | 277,677 | |
| | | | | | | | |
| | | | | | | 3,234,248 | |
| | |
| California — 4.7% | | | | | | |
California County Tobacco Securitization Agency: | | | | | | | | |
RB, Asset-Backed, 5.45%, 06/01/28 | | | 500 | | | | 500,055 | |
RB, Asset-Backed, 5.60%, 06/01/36 | | | 425 | | | | 425,013 | |
RB, Asset-Backed, 5.70%, 06/01/46 | | | 760 | | | | 748,874 | |
Refunding RB, Asset-Backed, Merced County Project, Series A, 5.00%, 06/01/26 | | | 20 | | | | 20,058 | |
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.00%, 06/01/26 | | | 265 | | | | 265,093 | |
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.25%, 06/01/45 | | | 330 | | | | 333,092 | |
Refunding RB, Turbo, Golden Gate Tobacco Project, Series A, 5.00%, 06/01/36 | | | 300 | | | | 299,994 | |
California Infrastructure & Economic Development Bank, Refunding RB, Academy Motion Picture Art Project, 4.00%, 11/01/45 | | | 750 | | | | 784,328 | |
California Municipal Finance Authority: | | | | | | | | |
RB, Sycamore Academy Project,
5.63%, 07/01/44(a) | | | 150 | | | | 153,351 | |
Refunding RB, Community Medical Centers Project, Series A, 5.00%, 02/01/46 | | | 650 | | | | 734,026 | |
Refunding RB, Emerson College Project, Series B, 5.00%, 01/01/37 | | | 630 | | | | 757,071 | |
California School Finance Authority, RB: | | | | | | | | |
Alliance College-Ready Public Schools Project, 5.00%, 07/01/51(a) | | | 300 | | | | 328,281 | |
Alta Public Schools Project, Series A, 6.75%, 11/01/45a) | | | 250 | | | | 254,010 | |
California Statewide Communities Development Authority: | | | | | | | | |
RB, Loma Linda University Medical Center Project, Series A, 5.25%, 12/01/56(a) | | | 100 | | | | 106,392 | |
Refunding RB, (AGM), 5.00%, 11/15/49 | | | 500 | | | | 571,410 | |
Refunding RB, 899 Charleston Project, Series A, 5.25%, 11/01/44(a) | | | 250 | | | | 256,868 | |
California Statewide Financing Authority, RB, Asset-Backed: | | | | | | | | |
Series A, 6.00%, 05/01/43 | | | 85 | | | | 84,918 | |
Series B, 5.63%, 05/01/29 | | | 50 | | | | 50,120 | |
Series B, 6.00%, 05/01/43 | | | 315 | | | | 314,698 | |
City of Irvine, Community Facilities District No. 2013-3, (Great Park) Improvement Area No. 1, Special Tax Bonds, 5.00%, 09/01/44 | | | 250 | | | | 274,357 | |
| | |
| 50 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| California (continued) | | | | | | |
City of Los Angeles Department of Airports, Refunding RB, AMT, Series A, 5.00%, 05/15/39 | | $ | 2,000 | | | $ | 2,432,720 | |
City of Roseville, CDF No. 1, Special Tax Bonds, 5.00%, 09/01/44 | | | 500 | | | | 511,625 | |
Golden State Tobacco Securitization Corp., Refunding RB: | | | | | | | | |
Series A-1, 3.50%, 06/01/36 | | | 1,300 | | | | 1,286,870 | |
Series A-1, 5.00%, 06/01/47 | | | 115 | | | | 111,533 | |
Series A-2, 5.00%, 06/01/47 | | | 1,865 | | | | 1,816,715 | |
Oakland Unified School District, GO, Series A, 5.00%, 08/01/40 | | | 350 | | | | 400,935 | |
Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45 | | | 500 | | | | 583,850 | |
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 | | | | 336,986 | |
| | | | | | | | |
| | | | | | | 14,743,243 | |
| | |
| Colorado — 4.1% | | | | | | |
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47 | | | 1,000 | | | | 926,480 | |
Arista Metropolitan District, GO, Refunding, Improvement, County Unlimited and Special Project, Series A, 5.00%, 12/01/38 | | | 500 | | | | 508,175 | |
Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48 | | | 500 | | | | 440,825 | |
Broadway Station Metropolitan District No. 2, GO, Series A, 5.13%, 12/01/48 | | | 655 | | | | 624,732 | |
Centerra Metropolitan District No. 1, Tax Allocation Bonds, 5.00%, 12/01/47(a) | | | 155 | | | | 147,704 | |
Colorado Educational & Cultural Facilities Authority, Refunding RB, Charter School-University Project, 5.00%, 12/15/45 | | | 500 | | | | 525,555 | |
Colorado Health Facilities Authority: | | | | | | | | |
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/40 | | | 815 | | | | 901,520 | |
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/45 | | | 620 | | | | 689,235 | |
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 02/01/41 | | | 210 | | | | 216,623 | |
Refunding RB, Catholic Health Initiatives Project, Series B-1, 5.00%, 07/01/38 | | | 215 | | | | 234,722 | |
Refunding RB, CommonSpirit Health Project, Series A-1, 4.00%, 08/01/39 | | | 750 | | | | 753,135 | |
Copperleaf Metropolitan District No. 2, GO, Refunding, 5.75%, 12/01/45 | | | 500 | | | | 502,505 | |
Denver Convention Center Hotel Authority, Refunding RB, Senior, 5.00%, 12/01/40 | | | 950 | | | | 911,449 | |
DIATC Metropolitan District, GO,
3.25%, 12/01/29(a) | | | 590 | | | | 523,643 | |
First Creek Village Metropolitan District, GO, Series A: | | | | | | | | |
5.00%, 12/01/39 | | | 600 | | | | 605,562 | |
5.00%, 08/01/49 | | | 540 | | | | 537,759 | |
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48 | | | 500 | | | | 446,950 | |
Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49 | | | 675 | | | | 563,470 | |
Serenity Ridge Metropolitan District No. 2, GO, Refunding, Series A, 5.13%, 12/01/37 | | | 550 | | | | 541,524 | |
Southlands Metropolitan District No. 1, GO, Refunding, Series A-1: | | | | | | | | |
5.00%, 12/01/37 | | | 250 | | | | 262,330 | |
5.00%, 12/01/47 | | | 180 | | | | 186,586 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Colorado (continued) | | | | | | |
Thompson Crossing Metropolitan District No. 4, GO, Refunding, 5.00%, 12/01/49 | | $ | 645 | | | $ | 600,256 | |
Village at Dry Creek Metropolitan District No. 2, GO, 4.38%, 12/01/44 | | | 1,000 | | | | 828,110 | |
Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48 | | | 500 | | | | 450,875 | |
| | | | | | | | |
| | | | | | | 12,929,725 | |
| | |
| Connecticut — 0.4% | | | | | | |
Connecticut State Health & Educational Facilities Authority, RB, Mary Wade Home Issue Project, Series A-1, 5.00%, 10/01/54(a) | | | 145 | | | | 137,373 | |
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45(a) | | | 775 | | | | 716,278 | |
Mohegan Tribe of Indians of Connecticut: | | | | | | | | |
RB, Series A, 6.75%, 02/01/45(a) | | | 98 | | | | 101,346 | |
Refunding RB, Priority District Project, Series C, 6.25%, 02/01/30(a) | | | 330 | | | | 366,844 | |
| | | | | | | | |
| | | | | | | 1,321,841 | |
| | |
| Delaware — 0.2% | | | | | | |
Delaware EDA, RB, Exempt Facility Indian River Power Project, 5.38%, 10/01/45 | | | 505 | | | | 504,071 | |
| | | | | | | | |
| | |
| District of Columbia — 1.0% | | | | | | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Refunding RB, Dulles Metrorail & Capital Improvement Project, Series B, 4.00%, 10/01/49 | | | 3,030 | | | | 3,061,179 | |
| | | | | | | | |
| | |
| Florida — 6.5% | | | | | | |
Babcock Ranch Community Independent Special District, Special Assessment RB, 4.25%, 11/01/21 | | | 215 | | | | 214,465 | |
Brevard County Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 04/01/39 | | | 500 | | | | 544,315 | |
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31 | | | 480 | | | | 458,414 | |
Capital Trust Agency, Inc., RB: | | | | | | | | |
Paragon Academy of Technology-Sunshine Elementary Charitable School Project, Series A, 5.75%, 06/01/54(a) | | | 420 | | | | 379,050 | |
Renaissance Charter School, Inc. Project, Series A, 5.00%, 06/15/49(a) | | | 100 | | | | 89,648 | |
Celebration Pointe Community Development District, Special Assessment RB: | | | | | | | | |
5.13%, 05/01/45 | | | 250 | | | | 240,745 | |
Alachua County Project, 4.00%, 05/01/22(a) | | | 80 | | | | 79,619 | |
Charlotte County IDA, RB, Town & Country Utilities Project: | | | | | | | | |
5.00%, 10/01/34(a) | | | 105 | | | | 106,978 | |
5.00%, 10/01/49(a) | | | 510 | | | | 492,946 | |
Collier County Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45 | | | 1,000 | | | | 1,125,770 | |
County of Broward Airport System Revenue, RB, AMT, Series A, 4.00%, 10/01/49 | | | 610 | | | | 632,283 | |
County of Broward Port Facilities Revenue, RB, AMT, Senior Bond, Series B, 4.00%, 09/01/49 | | | 2,500 | | | | 2,588,800 | |
County of Osceola Transportation Revenue, Refunding RB: | | | | | | | | |
Series A-2, 0.00%, 10/01/46(b) | | | 935 | | | | 372,644 | |
Series A-2, 0.00%, 10/01/47(b) | | | 900 | | | | 346,212 | |
Series A-2, 0.00%, 10/01/48(b) | | | 635 | | | | 233,318 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 51 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Florida (continued) | | | | | | |
Series A-2, 0.00%, 10/01/49(b) | | $ | 525 | | | $ | 186,454 | |
County of Palm Beach, RB, Palm Beach Atlantic University Housing Project, Series A, 5.00%, 04/01/51(a) | | | 110 | | | | 105,567 | |
Florida Development Finance Corp., RB: | | | | | | | | |
AMT, Waste Pro USA, Inc. Project, 5.00%, 08/01/29(a)(c) | | | 470 | | | | 471,621 | |
Renaissance Charter School Project, Series A, 6.13%, 06/15/44 | | | 45 | | | | 45,893 | |
Florida Gulf Coast University Financing Corp., Refunding RB, Financing Corp. Housing Project, Series A, 4.00%, 02/01/38 | | | 765 | | | | 850,298 | |
Florida Higher Educational Facilities Financial Authority, RB, Jacksonville University Project, Series A-1, 5.00%, 06/01/48(a) | | | 355 | | | | 357,034 | |
Greater Orlando Aviation Authority, Refunding RB, AMT, Special Purpose JetBlue Airway Project, 5.00%, 11/15/36 | | | 250 | | | | 238,738 | |
Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33 | | | 370 | | | | 324,560 | |
Hillsborough County Aviation Authority, Refunding RB, AMT, Tampa International Project, Series A, 5.00%, 10/01/44 | | | 350 | | | | 385,763 | |
Lakewood Ranch Stewardship District, Special Assessment RB: | | | | | | | | |
Cresswind Project, 4.40%, 05/01/39 | | | 525 | | | | 495,757 | |
Indigo Expansion Area Project,
4.00%, 05/01/49(a) | | | 200 | | | | 167,266 | |
Lakewood Centre & NW Sector Projects, 4.95%, 05/01/29(a) | | | 135 | | | | 138,013 | |
Lakewood Centre & NW Sector Projects, 5.50%, 05/01/39(a) | | | 135 | | | | 141,372 | |
Lakewood Centre & NW Sector Projects, 5.65%, 05/01/48(a) | | | 210 | | | | 219,059 | |
Lakewood Centre North Project, 4.88%, 05/01/35 | | | 250 | | | | 251,688 | |
Northeast Sector Project - Phase 1B, 4.75%, 05/01/29 | | | 180 | | | | 181,838 | |
Northeast Sector Project - Phase 1B, 5.30%, 05/01/39 | | | 205 | | | | 211,693 | |
Northeast Sector Project - Phase 1B, 5.45%, 05/01/48 | | | 365 | | | | 375,483 | |
Northeast Sector Project - Phase 2A, 3.00%, 05/01/24 | | | 155 | | | | 156,147 | |
Northeast Sector Project - Phase 2A, 3.25%, 05/01/29 | | | 225 | | | | 226,276 | |
Stewardship District Azario Project, 3.13%, 05/01/25 | | | 315 | | | | 318,355 | |
Village of Lakewood Ranch Project, Series 2016, 5.13%, 05/01/46 | | | 100 | | | | 95,459 | |
Orange County Health Facilities Authority: | | | | | | | | |
RB, Presbyterian Retirement Community Project, 5.00%, 08/01/35 | | | 250 | | | | 274,245 | |
Refunding RB, Presbyterian Retirement Community Project, 5.00%, 08/01/41 | | | 695 | | | | 751,893 | |
Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25 | | | 300 | | | | 290,025 | |
Parker Road Community Development District, Special Assessment Refunding RB: | | | | | | | | |
3.10%, 05/01/25 | | | 275 | | | | 261,539 | |
3.38%, 05/01/30 | | | 335 | | | | 295,708 | |
Pinellas County IDA, RB, 2017 Foundation for Global Understanding, Inc. Project, 5.00%, 07/01/39 | | | 250 | | | | 268,475 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Florida (continued) | | | | | | |
Portico Community Development District, Special Assessment RB, Series 2: | | | | | | | | |
3.25%, 05/01/31 | | $ | 100 | | | $ | 97,389 | |
4.00%, 05/01/50 | | | 425 | | | | 387,341 | |
Preserve at South Branch Community Development District, Special Assessment RB, Phase 2: | | | | | | | | |
3.25%, 11/01/24 | | | 100 | | | | 97,737 | |
3.50%, 11/01/30 | | | 200 | | | | 185,714 | |
Seminole County IDA, Refunding RB, Legacy Pointe at UCF Project, Series A: | | | | | | | | |
5.50%, 11/15/49 | | | 740 | | | | 615,732 | |
5.75%, 11/15/54 | | | 595 | | | | 500,401 | |
Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34 | | | 375 | | | | 365,400 | |
Tolomato Community Development District, Special Assessment Refunding RB, Sub-Series A-2, 4.25%, 05/01/37 | | | 185 | | | | 161,583 | |
Trout Creek Community Development District, Special Assessment RB: | | | | | | | | |
4.50%, 05/01/23 | | | 250 | | | | 249,445 | |
5.00%, 05/01/28 | | | 240 | | | | 239,674 | |
5.63%, 05/01/45 | | | 250 | | | | 240,315 | |
West Villages Improvement District, Unit Development No. 7, Master Infrastructure, Special Assessment RB: | | | | | | | | |
4.25%, 05/01/29 | | | 100 | | | | 94,719 | |
4.75%, 05/01/39 | | | 190 | | | | 172,216 | |
5.00%, 05/01/50 | | | 290 | | | | 256,282 | |
Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29(a) | | | 805 | | | | 746,332 | |
| | | | | | | | |
| | | | | | | 20,401,706 | |
| | |
| Georgia — 2.1% | | | | | | |
Gainesville & Hall County Hospital Authority, Refunding RB, North East Georgia Health Systems, Inc. Project, 5.50%, 08/15/54 | | | 250 | | | | 285,930 | |
Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49 | | | 950 | | | | 1,115,338 | |
Municipal Electric Authority of Georgia: | | | | | | | | |
RB, Plant Vogtle Units 3&4 Project M Bonds, Series A, 5.00%, 01/01/56 | | | 3,515 | | | | 4,116,979 | |
Refunding RB, Sub-Series A, 4.00%, 01/01/49 | | | 845 | | | | 914,332 | |
| | | | | | | | |
| | | | | | | 6,432,579 | |
| | |
| Idaho — 0.2% | | | | | | |
Idaho Health Facilities Authority, RB, Trinity Health Credit Group Project, Series D, 4.00%, 12/01/43 | | | 540 | | | | 587,579 | |
| | | | | | | | |
| | |
| Illinois — 6.0% | | | | | | |
City of Chicago Board of Education, GO: | | | | | | | | |
Refunding, Series A, 0.00%, 12/01/25(b) | | | 135 | | | | 120,239 | |
Refunding, Series A, 5.00%, 12/01/29 | | | 360 | | | | 370,832 | |
Refunding, Series A, 5.00%, 12/01/30 | | | 425 | | | | 434,945 | |
Refunding, Series B, 4.00%, 12/01/35 | | | 230 | | | | 207,322 | |
Refunding, Series C, 5.00%, 12/01/25 | | | 225 | | | | 232,250 | |
Refunding, Series C, 5.00%, 12/01/34 | | | 625 | | | | 625,050 | |
Refunding, Series D, 5.00%, 12/01/25 | | | 290 | | | | 299,344 | |
Refunding, Series F, 5.00%, 12/01/22 | | | 215 | | | | 218,937 | |
Series A, 5.00%, 12/01/41 | | | 200 | | | | 195,708 | |
Series A, 5.00%, 12/01/42 | | | 570 | | | | 556,405 | |
Series D, 5.00%, 12/01/46 | | | 485 | | | | 471,328 | |
Series D, 5.00%, 12/01/46 | | | 190 | | | | 184,657 | |
Series H, 5.00%, 12/01/46 | | | 625 | | | | 607,381 | |
| | |
| 52 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Illinois (continued) | | | | | | |
City of Chicago, GO, Refunding, Series A, 6.00%, 01/01/38 | | $ | 275 | | | $ | 288,544 | |
City of Chicago, O’Hare International Airport Revenue, Refunding RB: | | | | | | | | |
Senior Lien, Series D, 5.00%, 01/01/39 | | | 260 | | | | 275,891 | |
Series D, 5.00%, 01/01/46 | | | 1,000 | | | | 1,077,590 | |
City of Chicago, Wastewater Transmission Revenue, Refunding RB, Second Lien, Series C, 5.00%, 01/01/39 | | | 500 | | | | 559,380 | |
Cook County Community College District No. 508, GO, 5.25%, 12/01/30 | | | 920 | | | | 1,008,210 | |
Illinois Finance Authority, Refunding RB: | | | | | | | | |
Chicago LLC University of Illinois at Chicago Project, 5.00%, 02/15/47 | | | 900 | | | | 1,005,264 | |
Presence Health Network Project, Series C, 5.00%, 02/15/41 | | | 650 | | | | 753,837 | |
Senior, Rogers Park Montessori School Project, 6.13%, 02/01/45 | | | 150 | | | | 155,143 | |
Metropolitan Pier & Exposition Authority: | | | | | | | | |
RB, McCormick Place Expansion Project, Series 2015A, 5.50%, 06/15/53 | | | 390 | | | | 395,795 | |
RB, McCormick Place Expansion Project, Series A, 5.00%, 06/15/57 | | | 660 | | | | 640,517 | |
RB, McCormick Place Expansion Project, Series B, 0.00%, 12/15/51(b) | | | 6,540 | | | | 1,155,618 | |
Refunding RB, McCormick Place Expansion Project, Series A, 4.00%, 06/15/50 | | | 680 | | | | 612,490 | |
Refunding RB, McCormick Place Expansion Project, Series B, 5.00%, 06/15/52 | | | 80 | | | | 76,994 | |
Refunding RB, McCormick Project, Series B-2, 5.00%, 06/15/50 | | | 600 | | | | 601,362 | |
State of Illinois, GO: | | | | | | | | |
5.00%, 01/01/28 | | | 1,005 | | | | 1,047,692 | |
5.00%, 04/01/31 | | | 1,000 | | | | 1,017,910 | |
5.50%, 07/01/33 | | | 365 | | | | 375,384 | |
5.00%, 03/01/37 | | | 300 | | | | 302,193 | |
5.00%, 02/01/39 | | | 1,000 | | | | 1,015,670 | |
5.00%, 05/01/39 | | | 275 | | | | 279,669 | |
Refunding, Series B, 5.00%, 10/01/27 | | | 400 | | | | 418,368 | |
Series A, 5.00%, 01/01/33 | | | 310 | | | | 312,102 | |
Series A, 5.00%, 12/01/35 | | | 825 | | | | 844,800 | |
| | | | | | | | |
| | | | | | | 18,744,821 | |
| | |
| Indiana — 1.0% | | | | | | |
City of Vincennes, Refunding RB, Southwest Industrial Regional Youth Village Factory Project, 6.25%, 01/01/29(a) | | | 400 | | | | 402,436 | |
County of Allen RB, StoryPoint Fort Wayne Project: | | | | | | | | |
6.63%, 01/15/34(a) | | | 100 | | | | 103,879 | |
6.75%, 01/15/43(a) | | | 395 | | | | 400,664 | |
6.88%, 01/15/52(a) | | | 380 | | | | 382,839 | |
Indiana Finance Authority: | | | | | | | | |
RB, AMT, Private Activity Bond, Ohio River Bridges East End Crossing Project, 5.25%, 01/01/51 | | | 1,000 | | | | 1,013,860 | |
Refunding RB, Marquette Project, 4.75%, 03/01/32 | | | 270 | | | | 280,249 | |
Indiana Housing & Community Development Authority, RB, Lake Meadows Assisted Living Project, Series A, 5.00%, 01/01/39(a) | | | 430 | | | | 376,246 | |
Town of Chesterton RB, StoryPoint Chesterton Project, Series A, 6.38%, 01/15/51(a) | | | 265 | | | | 252,927 | |
| | | | | | | | |
| | | | | | | 3,213,100 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Iowa — 1.7% | | | | | | |
Iowa Finance Authority: | | | | | | | | |
RB, Lifespace Communities Project, Series A, 5.00%, 05/15/48 | | $ | 940 | | | $ | 935,103 | |
Refunding RB, Iowa Fertilizer Co. Project, 3.13%, 12/01/22 | | | 795 | | | | 772,788 | |
Refunding RB, Iowa Fertilizer Co. Project, 5.25%, 12/01/25 | | | 310 | | | | 318,516 | |
Refunding RB, Iowa Fertilizer Co. Project, Series A, 5.25%, 12/01/50(c) | | | 400 | | | | 407,364 | |
Refunding RB, Unitypoint Health Project, Series E, 4.00%, 08/15/46 | | | 570 | | | | 600,769 | |
Iowa Student Loan Liquidity Corp., Refunding RB, AMT, Liquidity Corp. Project, Sub-Series C, 3.50%, 12/01/44 | | | 2,000 | | | | 1,936,780 | |
Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.50%, 06/01/42 | | | 485 | | | | 463,146 | |
| | | | | | | | |
| | | | | | | 5,434,466 | |
| | |
| Kentucky — 0.2% | | | | | | |
Kentucky Economic Development Finance Authority, Refunding RB, Owensboro Health Project, Series A, 5.25%, 06/01/41 | | | 500 | | | | 551,990 | |
| | | | | | | | |
| | |
| Louisiana — 0.3% | | | | | | |
Calcasieu Parish Memorial Hospital Service District, Refunding RB, Lake Charles Memorial Hospital Project, 5.00%, 12/01/34 | | | 250 | | | | 268,393 | |
Juban Crossing Economic Development District, Refunding RB, General Infrastructure Projects, Series C, 7.00%, 09/15/44(a) | | | 475 | | | | 416,276 | |
Louisiana Local Government Environmental Facilities & Community Development Authority, RB, University of Louisiana-Monroe Student Housing Project, Series A, 5.00%, 07/01/54(a) | | | 400 | | | | 372,052 | |
| | | | | | | | |
| | | | | | | 1,056,721 | |
| | |
| Maine — 1.2% | | | | | | |
Finance Authority of Maine, Refunding RB, AMT, (AGM), Student Loan Revenue Bond, Class A, Series 2019 A-1, 3.50%, 12/01/39 | | | 3,600 | | | | 3,696,588 | |
| | | | | | | | |
| | |
| Maryland — 2.0% | | | | | | |
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, Villages at 2 Rivers Project, 5.25%, 07/01/44 | | | 250 | | | | 226,100 | |
City of Baltimore, Refunding: | | | | | | | | |
RB, Baltimore Research Park Project, Series A, 4.00%, 09/01/27 | | | 100 | | | | 98,610 | |
Tax Allocation Bonds, Senior Lien, Harbor Point Project, Series A, 3.20%, 06/01/30(a) | | | 200 | | | | 183,062 | |
Tax Allocation Bonds, Senior Lien, Harbor Point Project, Series A, 3.25%, 06/01/31(a) | | | 225 | | | | 204,487 | |
Tax Allocation Bonds, Senior Lien, Harbor Point Project, Series A, 3.30%, 06/01/32(a) | | | 250 | | | | 225,580 | |
Tax Allocation Bonds, Senior Lien, Harbor Point Project, Series A, 3.35%, 06/01/33(a) | | | 270 | | | | 241,861 | |
Tax Allocation Bonds, Senior Lien, Harbor Point Project, Series A, 3.40%, 06/01/34(a) | | | 285 | | | | 253,411 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 53 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Maryland (continued) | | | | | | |
Tax Allocation Bonds, Senior Lien, Harbor Point Project, Series A, 3.45%, 06/01/35(a) | | $ | 300 | | | $ | 264,924 | |
County of Baltimore, Refunding RB, Riderwood Village, Inc. Project, 4.00%, 01/01/40 | | | 800 | | | | 885,568 | |
County of Frederick, Tax Allocation Bonds, Jefferson Technology Park Project, Series B, 7.13%, 07/01/43(a) | | | 150 | | | | 132,292 | |
Maryland Community Development Administration, Refunding RB, Series A, 4.10%, 09/01/38 | | | 580 | | | | 621,238 | |
Maryland Economic Development Corp: | | | | | | | | |
RB, AMT, Green Bonds, Purple Line Light Rail Project, 5.00%, 03/31/51 | | | 620 | | | | 693,272 | |
Refunding RB, Senior, University of Maryland Project, 5.00%, 07/01/39 | | | 100 | | | | 110,467 | |
Maryland Health & Higher Educational Facilities Authority: | | | | | | | | |
RB, Legends Charter School Project, Series A, 7.00%, 03/01/55(a) | | | 1,940 | | | | 1,613,091 | |
Refunding RB, Meritus Medical Center Project, 5.00%, 07/01/40 | | | 500 | | | | 538,825 | |
| | | | | | | | |
| | | | | | | 6,292,788 | |
| | |
| Massachusetts — 2.4% | | | | | | |
Massachusetts Development Finance Agency: | | | | | | | | |
RB, Baystate Medical Center Project, Series N, 5.00%, 07/01/44 | | | 500 | | | | 552,750 | |
RB, Emerson College Project, 5.00%, 01/01/43 | | | 500 | | | | 564,715 | |
RB, Emerson College Project, 5.00%, 01/01/48 | | | 1,000 | | | | 1,113,770 | |
RB, Emerson College Project, Series A, 5.00%, 01/01/47 | | | 500 | | | | 551,080 | |
RB, Green Bonds, Boston Medical Center Project, 5.00%, 07/01/44 | | | 180 | | | | 193,491 | |
RB, University of Massachusetts Boston Student Housing Project, 5.00%, 10/01/48 | | | 1,000 | | | | 1,041,440 | |
RB, University of Massachusetts Darthmouth Student Housing Project, 5.00%, 10/01/54 | | | 710 | | | | 808,875 | |
Refunding RB, Emmanuel College Project, Series A, 5.00%, 10/01/35 | | | 750 | | | | 817,830 | |
Refunding RB, Series A, 4.00%, 07/01/44 | | | 1,250 | | | | 1,308,638 | |
Massachusetts Housing Finance Agency, Refunding RB, AMT, Series A, 4.45%, 12/01/42 | | | 620 | | | | 642,506 | |
| | | | | | | | |
| | | | | | | 7,595,095 | |
| | |
| Michigan — 1.4% | | | | | | |
Advanced Technology Academy, Refunding RB,
3.88%, 11/01/29 | | | 250 | | | | 223,128 | |
City of Detroit, GO: | | | | | | | | |
5.00%, 04/01/34 | | | 90 | | | | 93,208 | |
5.00%, 04/01/35 | | | 90 | | | | 93,215 | |
5.00%, 04/01/36 | | | 65 | | | | 67,328 | |
5.00%, 04/01/37 | | | 100 | | | | 103,589 | |
5.00%, 04/01/38 | | | 45 | | | | 46,559 | |
Michigan Finance Authority, Refunding RB: | | | | | | | | |
AMT, Senior Lien, Detroit Water & Sewerage Department Project, 5.00%, 07/01/44 | | | 250 | | | | 264,918 | |
Series A, 4.00%, 12/01/49 | | | 1,355 | | | | 1,461,503 | |
Michigan Tobacco Settlement Finance Authority, RB, Turbo, Series A, 6.88%, 06/01/42 | | | 500 | | | | 499,995 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Michigan (continued) | | | | | | |
Wayne County Airport Authority, RB: | | | | | | | | |
AMT, Detroit Metropolitan Wayne County Airport Project, 5.00%, 12/01/39 | | $ | 250 | | | $ | 277,887 | |
Detroit Metropolitan Wayne County Airport Project, Series B, 5.00%, 12/01/44 | | | 500 | | | | 556,335 | |
Series D, 5.00%, 12/01/40 | | | 500 | | | | 569,280 | |
| | | | | | | | |
| | | | | | | 4,256,945 | |
| | |
| Minnesota — 1.1% | | | | | | |
City of Deephaven, Refunding RB, Eagle Ridge Academy Project, Series 2015A, 5.25%, 07/01/37 | | | 605 | | | | 614,910 | |
City of Minneapolis, RB, Northeast College Prep Project, Series A, 5.00%, 07/01/40 | | | 435 | | | | 390,069 | |
Duluth EDA, Refunding RB, Essentia Health Obligated Group Project, Series A: | | | | | | | | |
4.25%, 02/15/48 | | | 1,265 | | | | 1,359,685 | |
5.25%, 02/15/58 | | | 425 | | | | 490,918 | |
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB: | | | | | | | | |
Great River School Project, Series A, 5.50%, 07/01/38(a) | | | 240 | | | | 238,073 | |
Hmong College Prep Academy Project, Series E, 5.50%, 09/01/36 | | | 310 | | | | 320,332 | |
| | | | | | | | |
| | | | | | | 3,413,987 | |
| | |
| Missouri — 1.6% | | | | | | |
City of St. Louis IDA, Refunding RB, Ballpark Village Development Project, Series A: | | | | | | | | |
4.38%, 11/15/35 | | | 215 | | | | 213,392 | |
4.75%, 11/15/47 | | | 240 | | | | 236,335 | |
Kansas City IDA: | | | | | | | | |
RB, AMT, Kansas City International Airport Terminal Modernization Project, Series B, 5.00%, 03/01/54 | | | 2,205 | | | | 2,458,994 | |
Refunding RB, Kansas City United Methodist Church Project, 5.75%, 11/15/36(a)(d)(e) | | | 220 | | | | 175,797 | |
Kansas City Land Clearance Redevelopment Authority, Tax Allocation Bonds, Convention Center Hotel Project, Series B: | | | | | | | | |
4.38%, 02/01/31(a) | | | 755 | | | | 735,808 | |
5.00%, 02/01/40(a) | | | 260 | | | | 261,752 | |
Plaza at Noah’s Ark Community Improvement District, Refunding Tax Allocation Bonds, 5.00%, 05/01/35 | | | 400 | | | | 333,748 | |
Saint Louis County IDA, Refunding RB, Friendship Village St. Louis Project, 5.00%, 09/01/37 | | | 695 | | | | 711,499 | |
| | | | | | | | |
| | | | | | | 5,127,325 | |
| | |
| Nebraska — 0.2% | | | | | | |
Douglas County Hospital Authority No. 3, Refunding RB, Health Facilities NE Methodist Hospital Project, 5.00%, 11/01/45 | | | 500 | | | | 558,285 | |
| | | | | | | | |
| | |
| Nevada — 1.7% | | | | | | |
City of Reno, Refunding RB, (AGM), Series A-1, 4.00%, 06/01/46 | | | 5,000 | | | | 5,337,150 | |
| | | | | | | | |
| | |
| New Hampshire — 0.3% | | | | | | |
New Hampshire Business Finance Authority: | | | | | | | | |
RB, The Vista Project, Series A,
5.25%, 07/01/39(a) | | | 190 | | | | 186,703 | |
RB, The Vista Project, Series A,
5.63%, 07/01/46(a) | | | 125 | | | | 124,582 | |
| | |
| 54 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| New Hampshire (continued) | | | | | | |
RB, The Vista Project, Series A, 5.75%, 07/01/54(a) | | $ | 255 | | | $ | 254,974 | |
Refunding RB, AMT, Resource Recovery Covanta Project, Series C,
4.88%, 11/01/42(a) | | | 130 | | | | 133,632 | |
Refunding RB, Resource Recovery Covanta Project, Series B, 4.63%, 11/01/42(a) | | | 320 | | | | 326,339 | |
| | | | | | | | |
| | | | | | | 1,026,230 | |
| | |
| New Jersey — 8.0% | | | | | | |
Casino Reinvestment Development Authority, Inc., Refunding RB: | | | | | | | | |
5.25%, 11/01/39 | | | 250 | | | | 276,220 | |
5.25%, 11/01/44 | | | 560 | | | | 610,467 | |
Essex County Improvement Authority, RB, AMT, 5.25%, 07/01/45(a) | | | 250 | | | | 251,292 | |
New Jersey EDA: | | | | | | | | |
RB, AMT, Kapkowski Road Landfill Project, Series 1998 B-MB, 6.50%, 04/01/31 | | | 95 | | | | 100,346 | |
RB, AMT, Private Activity - The Goethals Project, 5.38%, 01/01/43 | | | 500 | | | | 543,970 | |
RB, Friends of Vineland Public Charter School Project, Series A, 5.25%, 11/01/54(a) | | | 945 | | | | 761,850 | |
RB, Provident Group-Kean Properties Project, 5.00%, 07/01/32 | | | 200 | | | | 231,122 | |
RB, School Facilities Construction Project, Series EEE, 5.00%, 06/15/43 | | | 2,935 | | | | 3,123,134 | |
RB, Series WW, 5.25%, 06/15/40 | | | 945 | | | | 995,869 | |
RB, Series WW, 5.25%, 06/15/40 | | | 55 | | | | 66,555 | |
Refunding RB, (AGM), Provident Group-Montclair Project, 5.00%, 06/01/37 | | | 200 | | | | 236,202 | |
Refunding RB, Charter, Greater Brunswick Project, Series A, 6.00%, 08/01/49(a) | | | 250 | | | | 232,637 | |
New Jersey Health Care Facilities Financing Authority, RB, Inspira Health Obligated Group Project, Series A, 4.00%, 07/01/47 | | | 540 | | | | 576,272 | |
New Jersey Health Care Facilities Financing Authority, Refunding RB, Barnabas Health Obligated Project: | | | | | | | | |
4.25%, 07/01/44 | | | 395 | | | | 416,318 | |
5.00%, 07/01/44 | | | 220 | | | | 243,210 | |
New Jersey Higher Education Student Assistance Authority, Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49 | | | 820 | | | | 845,887 | |
New Jersey Transportation Trust Fund Authority, RB, Transportation Program: | | | | | | | | |
Series AA, 5.00%, 06/15/38 | | | 325 | | | | 331,344 | |
Series AA, 5.25%, 06/15/41 | | | 205 | | | | 215,990 | |
Series AA, 5.25%, 06/15/43 | | | 1,615 | | | | 1,748,237 | |
Series AA, 5.00%, 06/15/44 | | | 30 | | | | 31,008 | |
Series AA, 5.00%, 06/15/44 | | | 30 | | | | 30,783 | |
Series AA, 5.00%, 06/15/46 | | | 450 | | | | 468,468 | |
Series B, 5.00%, 06/15/42 | | | 280 | | | | 293,689 | |
Series BB, 4.00%, 06/15/50 | | | 4,000 | | | | 3,852,240 | |
New Jersey Turnpike Authority, RB, Series A: | | | | | | | | |
5.00%, 01/01/43 | | | 370 | | | | 389,936 | |
4.00%, 01/01/48 | | | 2,000 | | | | 2,199,160 | |
Tobacco Settlement Financing Corp., Refunding RB: | | | | | | | | |
Series A, 5.00%, 06/01/35 | | | 375 | | | | 424,380 | |
Series A, 5.25%, 06/01/46 | | | 1,100 | | | | 1,129,590 | |
Sub-Series B, 5.00%, 06/01/46 | | | 4,335 | | | | 4,335,000 | |
| | | | | | | | |
| | | | | | | 24,961,176 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| New Mexico — 0.1% | | | | | | |
New Mexico Hospital Equipment Loan Council, Refunding RB, Gerald Champion Regional Medical Center Project, 5.50%, 07/01/42 | | $ | 325 | | | $ | 348,104 | |
| | | | | | | | |
| | |
| New York — 5.7% | | | | | | |
Build NYC Resource Corp., Refunding RB, AMT, Pratt Paper, Inc. Project, 5.00%, 01/01/35(a) | | | 285 | | | | 310,858 | |
Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 5.00%, 06/01/48 | | | 1,000 | | | | 882,540 | |
County of Cattaraugus, RB, St. Bonaventure University Project, 5.00%, 05/01/44 | | | 195 | | | | 212,080 | |
Erie Tobacco Asset Securitization Corp., Refunding RB, Asset Backed, Series A, 5.00%, 06/01/45 | | | 495 | | | | 467,354 | |
Hempstead Town Local Development Corp., RB, Molloy College Project, 5.00%, 07/01/44 | | | 500 | | | | 540,740 | |
New York City Housing Development Corp., RB, Series C-1A, 4.20%, 11/01/44 | | | 1,000 | | | | 1,036,490 | |
New York Counties Tobacco Trust IV, Refunding RB: | | | | | | | | |
Series A, 5.00%, 06/01/42 | | | 915 | | | | 824,662 | |
Series A, 5.00%, 06/01/45 | | | 225 | | | | 199,147 | |
Turbo, Series A, 6.25%, 06/01/41(a) | | | 550 | | | | 550,308 | |
New York Counties Tobacco Trust VI, Refunding RB: | | | | | | | | |
5.00%, 06/01/45 | | | 835 | | | | 789,534 | |
5.00%, 06/01/51 | | | 420 | | | | 385,190 | |
New York Liberty Development Corp., Refunding RB: | | | | | | | | |
Class 1-3 World Trade Center Project, 5.00%, 11/15/44(a) | | | 2,000 | | | | 2,034,220 | |
Class 2-3 World Trade Center Project, 5.38%, 11/15/40(a) | | | 150 | | | | 154,339 | |
Class 3-3 World Trade Center Project, 7.25%, 11/15/44(a) | | | 100 | | | | 110,641 | |
New York State Dormitory Authority, Refunding RB, Orange Regional Medical Center Project, 5.00%, 12/01/35(a) | | | 215 | | | | 243,565 | |
New York State Housing Finance Agency, RB, Affordable Housing Project, Series D, 3.25%, 11/01/34 | | | 1,000 | | | | 1,042,890 | |
New York State Thruway Authority, RB, Series B, 4.00%, 01/01/50 | | | 1,490 | | | | 1,628,421 | |
New York State Urban Development Corp., RB, State Personal Income Tax General Purpose Project, Series A, 4.00%, 03/15/47 | | | 1,000 | | | | 1,104,690 | |
New York Transportation Development Corp., RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A: | | | | | | | | |
5.00%, 07/01/34 | | | 500 | | | | 517,120 | |
5.00%, 07/01/41 | | | 1,470 | | | | 1,497,945 | |
Tompkins County Development Corp., Refunding RB, Kendal at Ithaca, Inc. Project, 5.00%, 07/01/44 | | | 385 | | | | 395,946 | |
Westchester County Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44 | | | 329 | | | | 351,025 | |
Westchester County Local Development Corp., Refunding RB, Kendal on the Hudson Project, 5.00%, 01/01/34 | | | 1,080 | | | | 1,130,879 | |
Westchester Tobacco Asset Securitization Corp., Refunding RB, Sub-Series C: | | | | | | | | |
4.00%, 06/01/42 | | | 965 | | | | 852,182 | |
5.13%, 06/01/51 | | | 500 | | | | 476,550 | |
| | | | | | | | |
| | | | | | | 17,739,316 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 55 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| North Carolina — 0.6% | | | | | | |
North Carolina Department of Transportation, RB, AMT, Hot Lanes Project, Series 1- 77, 5.00%, 06/30/54 | | $ | 115 | | | $ | 128,863 | |
North Carolina Housing Finance Agency, RB, 3.63%, 07/01/49 | | | 5 | | | | 5,180 | |
North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Galloway Ridge Project, Series A, 5.25%, 01/01/41 | | | 250 | | | | 230,443 | |
North Carolina Turnpike Authority, RB, (AGM), Senior Lien, Triangle Expressway System Project, 4.00%, 01/01/55 | | | 370 | | | | 389,732 | |
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40(a) | | | 250 | | | | 249,445 | |
University of North Carolina Hospitals at Chapel Hill, RB, 5.00%, 02/01/45 | | | 565 | | | | 766,880 | |
| | | | | | | | |
| | | | | | | 1,770,543 | |
| | |
| North Dakota — 0.3% | | | | | | |
County of Cass, Refunding RB, Essentia Health Obligated Group Project, Series B, 5.25%, 02/15/58 | | | 855 | | | | 987,611 | |
| | | | | | | | |
| | |
| Ohio — 3.3% | | | | | | |
Buckeye Tobacco Settlement Financing Authority, Refunding RB, Senior, Class 2, Series B-2, 5.00%, 06/01/55 | | | 8,095 | | | | 7,241,382 | |
Butler County Port Authority, RB, Storypoint Fairfield Project, 6.38%, 01/15/43(a) | | | 435 | | | | 426,061 | |
County of Franklin, RB, OPRS Communities Obligation Group Project, Series 2013A, 6.13%, 07/01/40 | | | 585 | | | | 622,686 | |
County of Hamilton, RB, Improvement, Life Enriching Community Project, 5.00%, 01/01/46 | | | 190 | | | | 182,185 | |
Hickory Chase Community Authority, Refunding RB, Senior Bonds, Hickory Chase Project, Series A, 5.00%, 12/01/40(a) | | | 455 | | | | 484,807 | |
Ohio Air Quality Development Authority, RB, AMT, AMG Vanadium Project, 5.00%, 07/01/49 (a) | | | 880 | | | | 853,653 | |
Port of Greater Cincinnati Development Authority, RB, Colonial Village/Athens Garden Project, 5.00%, 12/01/40 | | | 335 | | | | 208,434 | |
State of Ohio, RB, AMT, Portsmouth Bypass Project, 5.00%, 06/30/53 | | | 370 | | | | 410,537 | |
| | | | | | | | |
| | | | | | | 10,429,745 | |
| | |
| Oklahoma — 1.6% | | | | | | |
Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37 | | | 1,250 | | | | 1,316,813 | |
Oklahoma Development Finance Authority, RB, OU Medicine Project, Series B: | | | | | | | | |
5.00%, 08/15/38 | | | 975 | | | | 1,112,982 | |
5.25%, 08/15/43 | | | 875 | | | | 997,902 | |
Tulsa Airports Improvement Trust, Refunding RB,
AMT, American Airlines Project,
5.00%, 06/01/35(c) | | | 615 | | | | 597,811 | |
Tulsa County Industrial Authority, Refunding RB, Montereau, Inc. Project, 5.25%, 11/15/45 | | | 965 | | | | 973,357 | |
| | | | | | | | |
| | | | | | | 4,998,865 | |
| | |
| Oregon — 2.0% | | | | | | |
Clackamas County School District No. 12 North Clackamas, GO, Series A, 0.00%, 06/15/38(b) | | | 275 | | | | 145,139 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Oregon (continued) | | | | | | |
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, Mirabella at South Waterfront Project, 5.50%, 10/01/49 | | $ | 150 | | | $ | 153,057 | |
Oregon Facilities Authority, RB, Howard Street Charter School Project, Series A, 5.25%, 06/15/55(a) | | | 305 | | | | 261,757 | |
Salem Hospital Facility Authority, Refunding RB, Multi Model - Salem Health Projects, Series A, 4.00%, 05/15/49 | | | 5,000 | | | | 5,285,850 | |
Yamhill County Hospital Authority, Refunding RB, Friendsview Retirement Community Project, Series 2016A, 5.00%, 11/15/36 | | | 300 | | | | 306,120 | |
| | | | | | | | |
| | | | | | | 6,151,923 | |
| | |
| Pennsylvania — 3.9% | | | | | | |
Allentown Neighborhood Improvement Zone Development Authority, RB, City Center Project, 5.00%, 05/01/42(a) | | | 295 | | | | 299,460 | |
County of Lehigh, Refunding RB, Lehigh Valley Health Network Project, Series A, 4.00%, 07/01/49 | | | 2,000 | | | | 2,117,240 | |
Lancaster County Hospital Authority, Refunding RB, St. Anne’s Retirement Community Project, 5.00%, 04/01/33 | | | 250 | | | | 252,687 | |
Montgomery County Higher Education & Health Authority, Refunding RB, Thomas Jefferson University Project, Series A, 4.00%, 09/01/49 | | | 1,255 | | | | 1,292,637 | |
Montgomery County IDA, Refunding RB: | | | | | | | | |
Albert Einstein Healthcare Project, 5.25%, 01/15/45 | | | 500 | | | | 514,520 | |
Whitemarsh Continuing Care Retirement Community Project, 5.38%, 01/01/50 | | | 170 | | | | 170,957 | |
Moon IDA, Refunding RB, Baptist Homes Society Project, 6.00%, 07/01/45 | | | 250 | | | | 256,115 | |
Northampton County IDA, Tax Allocation Bonds, Route 33 Project, 7.00%, 07/01/32 | | | 110 | | | | 109,041 | |
Pennsylvania Economic Development Financing Authority: | | | | | | | | |
RB, AMT, The Pennsylvania Rapid Bridge Replacement Project, 5.00%, 06/30/42 | | | 1,625 | | | | 1,769,739 | |
Refunding RB, AMT, National Gypson Co. Project, 5.50%, 11/01/44 | | | 500 | | | | 460,965 | |
Pennsylvania Higher Education Assistance Agency, RB, AMT, Series B, 3.00%, 06/01/47 | | | 1,010 | | | | 914,333 | |
Pennsylvania Higher Educational Facilities Authority: | | | | | | | | |
RB, University of Pennsylvania Health System Project, 4.00%, 08/15/44 | | | 1,045 | | | | 1,147,379 | |
Refunding RB, Widener University Project, 5.00%, 07/15/38 | | | 250 | | | | 278,102 | |
Pennsylvania Turnpike Commission, RB: | | | | | | | | |
Series B, 5.25%, 12/01/44 | | | 1,000 | | | | 1,132,270 | |
Sub-Series A, 5.50%, 12/01/42 | | | 660 | | | | 785,077 | |
Philadelphia Authority for Industrial Development, Refunding RB, First Series 2015, 5.00%, 04/01/45 | | | 500 | | | | 562,380 | |
Philadelphia Hospitals & Higher Education Facilities Authority, RB, Temple University Health System Project, Series A, 5.63%, 07/01/42 | | | 130 | | | | 135,422 | |
| | | | | | | | |
| | | | | | | 12,198,324 | |
| | |
| 56 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Puerto Rico — 9.0% | | | | | | |
Children’s Trust Fund: | | | | | | | | |
RB, Asset-Backed, Series A, 0.00%, 05/15/57(b) | | $ | 15,375 | | | $ | 755,527 | |
RB, Asset-Backed, Series B, 0.00%, 05/15/57(b) | | | 15,620 | | | | 523,582 | |
Refunding RB, Asset-Backed, 5.50%, 05/15/39 | | | 160 | | | | 159,997 | |
Commonwealth of Puerto Rico, GO: | | | | | | | | |
Refunding, Series A, 5.50%, 07/01/18(d)(e) | | | 285 | | | | 170,160 | |
Refunding, Series A, 5.50%, 07/01/32(d)(e) | | | 90 | | | | 61,234 | |
Refunding, Series A, 8.00%, 07/01/35(d)(e) | | | 3,100 | | | | 1,869,416 | |
Refunding, Series A, 5.50%, 07/01/39(d)(e) | | | 865 | | | | 541,490 | |
Refunding, Series A, 6.50%, 07/01/40(d)(e) | | | 625 | | | | 426,428 | |
Refunding, Series A, 5.00%, 07/01/41(d)(e) | | | 455 | | | | 276,412 | |
Refunding, Series B, 6.00%, 07/01/39(d)(e) | | | 135 | | | | 92,108 | |
Series A, 5.25%, 07/01/22(d)(e) | | | 75 | | | | 51,029 | |
Series A, 5.13%, 07/01/31(d)(e) | | | 207 | | | | 140,839 | |
Series A, 6.00%, 07/01/38(d)(e) | | | 160 | | | | 109,165 | |
Series A, 5.75%, 07/01/41(d)(e) | | | 90 | | | | 64,800 | |
Series B, 5.25%, 07/01/17(d)(e) | | | 30 | | | | 17,912 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority: | | | | | | | | |
RB, Senior Lien, Series A, 5.00%, 07/01/33 | | | 25 | | | | 23,509 | |
RB, Senior Lien, Series A, 5.13%, 07/01/37 | | | 85 | | | | 79,839 | |
RB, Senior Lien, Series A, 5.75%, 07/01/37 | | | 1,070 | | | | 1,045,101 | |
RB, Senior Lien, Series A, 5.25%, 07/01/42 | | | 360 | | | | 341,942 | |
Refunding RB, Senior Lien, Series A, 6.00%, 07/01/38 | | | 1,505 | | | | 1,516,242 | |
Refunding RB, Senior Lien, Series A, 6.00%, 07/01/44 | | | 315 | | | | 314,991 | |
Puerto Rico Electric Power Authority: | | | | | | | | |
RB, Series 2013 A-RSA-1,
7.00%, 07/01/33(d)(e) | | | 1,795 | | | | 1,304,193 | |
RB, Series 2013 A-RSA-1,
6.75%, 07/01/36(d)(e) | | | 635 | | | | 461,372 | |
RB, Series 2013 A-RSA-1,
7.00%, 07/01/43(d)(e) | | | 175 | | | | 127,150 | |
RB, Series A-3, 10.00%, 07/01/19(d)(e) | | | 177 | | | | 150,695 | |
RB, Series AAA-RSA-1,
5.25%, 07/01/22(d)(e) | | | 160 | | | | 113,365 | |
RB, Series AAA-RSA-1,
5.25%, 07/01/28(d)(e) | | | 265 | | | | 187,760 | |
RB, Series AAA-RSA-1,
5.25%, 07/01/29(d)(e) | | | 40 | | | | 28,341 | |
RB, Series A-RSA-1, 5.00%, 07/01/29(d)(e) | | | 385 | | | | 272,784 | |
RB, Series A-RSA-1, 5.00%, 07/01/42(d)(e) | | | 470 | | | | 333,009 | |
RB, Series B-3, 10.00%, 07/01/19(d)(e) | | | 177 | | | | 150,695 | |
RB, Series C-1, 5.40%, 01/01/18(d)(e) | | | 486 | | | | 379,351 | |
RB, Series C-2, 5.40%, 07/01/18(d)(e) | | | 486 | | | | 379,412 | |
RB, Series C-3, 5.40%, 01/01/20(d)(e) | | | 49 | | | | 38,353 | |
RB, Series C-4, 5.40%, 07/01/20(d)(e) | | | 49 | | | | 38,353 | |
RB, Series CCC-RSA-1,
5.25%, 07/01/26(d)(e) | | | 125 | | | | 88,566 | |
RB, Series CCC-RSA-1,
5.25%, 07/01/28(d)(e) | | | 70 | | | | 49,597 | |
RB, Series D-2-RSA-1,
7.50%, 01/01/20(d)(e) | | | 840 | | | | 610,571 | |
RB, Series TT-RSA-1, 5.00%, 07/01/23(d)(e) | | | 855 | | | | 605,793 | |
RB, Series TT-RSA-1, 5.00%, 07/01/25(d)(e) | | | 45 | | | | 31,884 | |
RB, Series TT-RSA-1, 5.00%, 07/01/26(d)(e) | | | 190 | | | | 134,621 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Puerto Rico (continued) | | | | | | |
RB, Series TT-RSA-1, 5.00%, 07/01/32(d)(e) | | $ | 80 | | | $ | 56,682 | |
RB, Series WW-RSA-1, 5.50%, 07/01/17(d)(e) | | | 110 | | | | 86,212 | |
RB, Series WW-RSA-1, 5.50%, 07/01/18(d)(e) | | | 95 | | | | 74,456 | |
RB, Series WW-RSA-1, 5.50%, 07/01/19(d)(e) | | | 70 | | | | 54,862 | |
RB, Series WW-RSA-1, 5.38%, 07/01/22(d)(e) | | | 110 | | | | 77,938 | |
RB, Series WW-RSA-1, 5.38%, 07/01/24(d)(e) | | | 65 | | | | 46,054 | |
RB, Series WW-RSA-1, 5.25%, 07/01/33(d)(e) | | | 75 | | | | 53,140 | |
RB, Series WW-RSA-1, 5.50%, 07/01/38(d)(e) | | | 90 | | | | 63,768 | |
RB, Series XX-RSA-1, 5.25%, 07/01/27(d)(e) | | | 50 | | | | 35,426 | |
RB, Series XX-RSA-1, 5.25%, 07/01/35(d)(e) | | | 30 | | | | 21,256 | |
RB, Series XX-RSA-1, 5.75%, 07/01/36(d)(e) | | | 45 | | | | 31,884 | |
RB, Series XX-RSA-1, 5.25%, 07/01/40(d)(e) | | | 2,320 | | | | 1,643,790 | |
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/17(c)(d)(e) | | | 30 | | | | 19,500 | |
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/18(c)(d)(e) | | | 30 | | | | 19,500 | |
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/20(c)(d)(e) | | | 250 | | | | 182,500 | |
Refunding RB, Series UU-RSA-1, 1.66%, 07/01/31(c)(d)(e) | | | 300 | | | | 219,000 | |
Refunding RB, Series ZZ-RSA-1, 5.00%, 07/01/17(d)(e) | | | 70 | | | | 54,862 | |
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/19(d)(e) | | | 235 | | | | 184,181 | |
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/24(d)(e) | | | 150 | | | | 106,279 | |
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/26(d)(e) | | | 20 | | | | 14,171 | |
Refunding RB, Series ZZ-RSA-1, 5.00%, 07/01/28(d)(e) | | | 75 | | | | 53,140 | |
Puerto Rico Public Buildings Authority, Refunding RB, Government Facilities Project: | | | | | | | | |
Series F, 5.25%, 07/01/24(d)(e) | | | 100 | | | | 85,750 | |
Series M-2, 10.00%, 07/01/34(d)(e) | | | 85 | | | | 77,716 | |
Puerto Rico Sales Tax Financing Corp., RB: | | | | | | | | |
Series A-1, 0.00%, 07/01/29(b) | | | 77 | | | | 51,941 | |
Series A-1, 0.00%, 07/01/31(b) | | | 91 | | | | 56,221 | |
Series A-1, 0.00%, 07/01/33(b) | | | 132 | | | | 72,351 | |
Series A-1, 0.00%, 07/01/46(b) | | | 5,399 | | | | 1,266,119 | |
Series A-1, 0.00%, 07/01/46(b) | | | 477 | | | | 111,446 | |
Series A-1, 0.00%, 07/01/51(b) | | | 3,335 | | | | 570,952 | |
Series A-1, 4.75%, 07/01/53 | | | 3,941 | | | | 3,749,349 | |
Series A-1, 5.00%, 07/01/58 | | | 2,015 | | | | 1,959,950 | |
Series A-2, 4.33%, 07/01/40 | | | 824 | | | | 757,594 | |
Series A-2, 4.54%, 07/01/53 | | | 317 | | | | 287,278 | |
Series A-2, 4.78%, 07/01/58 | | | 1,978 | | | | 1,853,386 | |
| | | | | | | | |
| | | | | | | 28,066,242 | |
| | |
| Rhode Island — 0.9% | | | | | | |
Tobacco Settlement Financing Corp., Refunding RB: | | | | | | | | |
Series A, 5.00%, 06/01/35 | | | 400 | | | | 430,912 | |
Series A, 5.00%, 06/01/40 | | | 600 | | | | 630,042 | |
Series B, 4.50%, 06/01/45 | | | 750 | | | | 773,198 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 57 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Rhode Island (continued) | | | | | | |
Series B, 5.00%, 06/01/50 | | $ | 1,040 | | | $ | 1,098,209 | |
| | | | | | | | |
| | | | | | | 2,932,361 | |
| | |
| South Carolina — 2.7% | | | | | | |
South Carolina Jobs EDA: | | | | | | | | |
RB, Woodlands at Furman Project, Series A, 5.00%, 11/15/54 | | | 210 | | | | 193,792 | |
Refunding RB, Anmed Health Project, 5.00%, 02/01/36 | | | 1,045 | | | | 1,202,837 | |
Refunding RB, Anmed Health Project, 5.00%, 02/01/38 | | | 1,000 | | | | 1,145,850 | |
Refunding RB, Prisma Health Obligated Group Project, Series A, 5.00%, 05/01/43 | | | 730 | | | | 838,150 | |
Refunding RB, Woodlands at Furman Project, 4.00%, 11/15/27 | | | 160 | | | | 154,091 | |
South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/55 | | | 410 | | | | 489,991 | |
South Carolina Public Service Authority: | | | | | | | | |
RB, Obligations, Series A, 5.50%, 12/01/54 | | | 1,240 | | | | 1,346,603 | |
RB, Series E, 5.25%, 12/01/55 | | | 1,930 | | | | 2,101,191 | |
Refunding RB, Obligations, Series B, 4.00%, 12/01/56 | | | 200 | | | | 204,972 | |
Refunding RB, Obligations, Series C, 5.00%, 12/01/46 | | | 140 | | | | 150,088 | |
Refunding RB, Santee Cooper Project, Series B, 5.13%, 12/01/43 | | | 390 | | | | 421,886 | |
Refunding RB, Series A, 5.00%, 12/01/50 | | | 190 | | | | 204,706 | |
| | | | | | | | |
| | | | | | | 8,454,157 | |
| | |
| Tennessee — 2.3% | | | | | | |
Chattanooga-Hamilton County Hospital Authority, Refunding RB, 5.00%, 10/01/44 | | | 250 | | | | 254,593 | |
Franklin Health & Educational Facilities Board, Refunding RB, Provision Cares Proton Therapy Center Project, Series A, 7.50%, 06/01/47(a) | | | 265 | | | | 243,654 | |
Knox County Health Educational & Housing Facility Board, Refunding RB, Facilities Board-University Health Project, 5.00%, 04/01/36 | | | 690 | | | | 798,302 | |
Memphis-Shelby County Industrial Development Board, Refunding Tax Allocation Bonds, Senior Tax Increment, Graceland Project: | | | | | | | | |
5.50%, 07/01/37 | | | 360 | | | | 362,092 | |
5.63%, 01/01/46 | | | 470 | | | | 457,550 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Authority, Refunding RB: | | | | | | | | |
Lipscomb University Project, Series A, 4.00%, 10/01/49 | | | 220 | | | | 234,153 | |
Lipscomb University Project, Series A, 5.25%, 10/01/58 | | | 1,095 | | | | 1,290,512 | |
Trevecca Nazarene University Project, 5.00%, 10/01/48 | | | 1,800 | | | | 1,999,224 | |
Shelby County Health Educational & Housing Facilities Board, RB, The Farms at Bailey Station Project, Series A, 5.75%, 10/01/49 | | | 570 | | | | 446,441 | |
Tennessee Housing Development Agency, Refunding RB, Issue 4, 4.05%, 01/01/49 | | | 1,000 | | | | 1,088,220 | |
| | | | | | | | |
| | | | | | | 7,174,741 | |
| | |
| Texas — 4.5% | | | | | | |
Arlington Higher Education Finance Corp., RB: | | | | | | | | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Texas (continued) | | | | | | |
Austin Discovery School, Inc. Project, Series A, 5.63%, 08/15/54(a) | | $ | 1,305 | | | $ | 1,093,133 | |
Wayside Schools Project, Series A, 4.63%, 08/15/46 | | | 170 | | | | 147,990 | |
Brazoria County Industrial Development Corp., RB, AMT, Gladieux Metals Recycling LLC Project, Series B, 7.00%, 03/01/39 | | | 390 | | | | 402,800 | |
Central Texas Regional Mobility Authority, RB, Senior Lien, Series A, 5.00%, 01/01/45 | | | 500 | | | | 535,315 | |
Central Texas Turnpike System, Refunding RB, Series C: | | | | | | | | |
5.00%, 08/15/37 | | | 200 | | | | 213,556 | |
5.00%, 08/15/42 | | | 250 | | | | 263,340 | |
City of Garland, Electric Utility System Revenue, Refunding RB, 4.00%, 03/01/49 | | | 2,400 | | | | 2,640,024 | |
City of Houston Airport System: | | | | | | | | |
RB, AMT, Series B-1, 5.00%, 07/15/35 | | | 100 | | | | 96,552 | |
Refunding RB, AMT, Series C, 5.00%, 07/15/20 | | | 140 | | | | 139,989 | |
Refunding RB, AMT, United Airlines, Inc. Project, 4.75%, 07/01/24 | | | 500 | | | | 489,410 | |
Refunding RB, AMT, United Airlines, Inc. Project, 5.00%, 07/01/29 | | | 500 | | | | 487,990 | |
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45 | | | 500 | | | | 548,510 | |
County of Hays, Special Assessment RB, La Cima Import District Project, 7.00%, 09/15/45 | | | 250 | | | | 245,165 | |
Fort Bend County Industrial Development Corp., RB, NRG Energy, Inc. Project, Series B, 4.75%, 11/01/42 | | | 465 | | | | 488,906 | |
Mission Economic Development Corp., Refunding RB, AMT, Senior Lien, Natgasoline Project, 4.63%, 10/01/31(a) | | | 285 | | | | 294,282 | |
New Hope Cultural Education Facilities Corp: | | | | | | | | |
RB, Beta Academy Project,
5.00%, 08/15/39(a) | | | 125 | | | | 122,987 | |
RB, Beta Academy Project,
5.00%, 08/15/49(a) | | | 195 | | | | 181,147 | |
RB, Cityscape Schools, Inc. Project, Series A, 5.00%, 08/15/51(a) | | | 250 | | | | 248,655 | |
Refunding RB, Jubilee Academic Center Project, Series A, 4.00%, 08/15/26(a) | | | 775 | | | | 720,913 | |
Newark Higher Education Finance Corp., RB: | | | | | | | | |
Austin Achieve Public Schools, Inc. Project, 5.00%, 06/15/38 | | | 125 | | | | 125,104 | |
Christian Schools, Inc. Project, Series A, 5.50%, 08/15/35(a) | | | 300 | | | | 332,160 | |
North Texas Tollway Authority, Refunding RB: | | | | | | | | |
4.25%, 01/01/49 | | | 1,675 | | | | 1,828,798 | |
Series B, 5.00%, 01/01/40 | | | 250 | | | | 269,615 | |
Port Beaumont Navigation District, Refunding RB, AMT, Jefferson Gulf Coast Energy Project, Series A: | | | | | | | | |
3.63%, 01/01/35(a) | | | 405 | | | | 329,990 | |
4.00%, 01/01/50(a) | | | 875 | | | | 643,353 | |
Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Trinity Terrace Project, 5.00%, 10/01/49 | | | 250 | | | | 270,508 | |
Texas Transportation Commission, RB, First Tier Toll Revenue, State Highway No. 249 System Project, Series A: | | | | | | | | |
0.00%, 08/01/40(b) | | | 1,000 | | | | 403,030 | |
0.00%, 08/01/42(b) | | | 655 | | | | 235,780 | |
| | |
| 58 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Texas (continued) | | | | | | |
5.00%, 08/01/57 | | $ | 315 | | | $ | 350,195 | |
| | | | | | | | |
| | | | | | | 14,149,197 | |
| | |
| Utah — 0.3% | | | | | | |
Utah Charter School Finance Authority RB: | | | | | | | | |
Early Light Academy Project, 5.13%, 07/15/49(a) | | | 545 | | | | 516,257 | |
Spectrum Academy Project,
6.00%, 04/15/45(a) | | | 500 | | | | 499,985 | |
| | | | | | | | |
| | | | | | | 1,016,242 | |
| | |
| Vermont — 0.2% | | | | | | |
East Central Vermont Telecommunications District Project, RB, Series A,
4.75%, 12/01/40(a) | | | 695 | | | | 599,326 | |
| | | | | | | | |
| | |
| Virginia — 1.1% | | | | | | |
Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A: | | | | | | | | |
5.00%, 03/01/26 | | | 120 | | | | 121,699 | |
5.13%, 03/01/31 | | | 230 | | | | 233,413 | |
Cherry Hill Community Development Authority, Special Assessment RB, Potomac Shores Project, 5.40%, 03/01/45(a) | | | 250 | | | | 243,738 | |
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51 | | | 810 | | | | 898,703 | |
Fairfax County EDA, RB, Vinson Hall LLC Project, Series A, 5.00%, 12/01/42 | | | 400 | | | | 408,996 | |
Lexington IDA, RB, Kendal at Lexington Project, Series A, 5.00%, 01/01/48 | | | 330 | | | | 321,371 | |
Lower Magnolia Green Community Development Authority, Special Assessment RB: | | | | | | | | |
5.00%, 03/01/35(a) | | | 240 | | | | 237,041 | |
5.00%, 03/01/45(a) | | | 100 | | | | 92,150 | |
Norfolk Redevelopment & Housing Authority, RB, Norfolk Retirement Community Harbors Edge Project, Series A: | | | | | | | | |
4.00%, 01/01/29 | | | 250 | | | | 240,373 | |
5.00%, 01/01/34 | | | 190 | | | | 193,614 | |
5.00%, 01/01/49 | | | 365 | | | | 360,594 | |
Virginia College Building Authority, RB, Green Bonds, Marymount University Project, 5.00%, 07/01/45(a) | | | 250 | | | | 245,053 | |
| | | | | | | | |
| | | | | | | 3,596,745 | |
| | |
| Washington — 1.1% | | | | | | |
Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A, 5.50%, 09/01/42 | | | 250 | | | | 229,608 | |
King County Public Hospital District No. 4, GO, Refunding: | | | | | | | | |
Improvement, Snoqualmie Valley Hospital Project, 7.00%, 12/01/40 | | | 200 | | | | 202,890 | |
Series A, 5.00%, 12/01/30 | | | 200 | | | | 193,152 | |
Port of Seattle RB, AMT, Series C, 5.00%, 04/01/40 | | | 250 | | | | 274,328 | |
Washington Housing Finance Commission, Refunding RB: | | | | | | | | |
Horizon House Project, 5.00%, 01/01/43(a) | | | 1,100 | | | | 1,147,850 | |
Horizon House Project, 5.00%, 01/01/48(a) | | | 1,000 | | | | 1,034,600 | |
Skyline 1st Hill Project, 6.00%, 01/01/45(a) | | | 210 | | | | 215,017 | |
| | | | | | | | |
| | | | | | | 3,297,445 | |
| | |
| West Virginia — 0.1% | | | | | | |
City of Martinsburg, RB, Kings Daughters Apartments Project, Series A-1, 4.63%, 12/01/43 | | | 430 | | | | 456,110 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Wisconsin — 2.1% | | | | | | |
Public Finance Authority: | | | | | | | | |
RB, Alabama Proton Theray Center Project, Series A, 6.25%, 10/01/31(a) | | $ | 195 | | | $ | 199,319 | |
RB, Alabama Proton Theray Center Project, Series A, 7.00%, 10/01/47(a) | | | 195 | | | | 198,083 | |
RB, Delray Beach Radiation Therapy Project, 6.85%, 11/01/46(a) | | | 275 | | | | 287,174 | |
RB, Delray Beach Radiation Therapy Project, 7.00%, 11/01/46(a) | | | 155 | | | | 163,108 | |
RB, Gray Collegiate Academy Project, Series A, 5.63%, 06/15/49(a) | | | 1,440 | | | | 1,175,933 | |
RB, Limited American Prep Academy Project, 5.38%, 07/15/47(a) | | | 335 | | | | 309,892 | |
RB, Roseman University of Health Sciences Project, 5.00%, 04/01/50(a) | | | 100 | | | | 101,640 | |
RB, Senior, Minnesota College of Osteopathic Medicine Project, Series A-1, 5.50%, 12/01/48(a)(d)(e) | | | 8 | | | | 6,582 | |
RB, Series A, 5.63%, 06/15/49(a) | | | 885 | | | | 727,169 | |
RB, Traders Point Christian Schools Project, Series A, 5.38%, 06/01/44(a) | | | 245 | | | | 223,386 | |
RB, Traders Point Christian Schools Project, Series A, 5.50%, 06/01/54(a) | | | 300 | | | | 266,403 | |
RB, Voyager Foundation, Inc. Project, Series A, 5.13%, 10/01/45 | | | 150 | | | | 164,383 | |
Refunding RB, AMT, Senior Obligation Group Project, Series B, 5.00%, 07/01/42 | | | 750 | | | | 766,282 | |
Refunding RB, Ultimate Medical Academy Project, Series A, 5.00%, 10/01/34(a) | | | 100 | | | | 103,451 | |
Refunding RB, Ultimate Medical Academy Project, Series A, 5.00%, 10/01/39(a) | | | 165 | | | | 167,335 | |
Refunding RB, Wingate University Project, Series A, 5.25%, 10/01/48 | | | 435 | | | | 486,391 | |
Wisconsin Health & Educational Facilities Authority, Refunding RB, Camillus Health System Project, Series A: | | | | | | | | |
5.00%, 11/01/39 | | | 255 | | | | 249,727 | |
5.00%, 11/01/46 | | | 270 | | | | 251,400 | |
5.00%, 11/01/54 | | | 455 | | | | 438,920 | |
Wisconsin Housing & EDA, RB, WHPC Madison Pool Project, Series A, 4.55%, 07/01/37 | | | 165 | | | | 179,556 | |
| | | | | | | | |
| | | | | | | 6,466,134 | |
| | | | | | | | |
| |
Total Municipal Bonds — 95.1%
(Cost: $301,000,712) | | | | 297,952,749 | |
| | | | | | | | |
|
Municipal Bonds Transferred to Tender Option Bond Trusts — 6.7%(f) | |
| | |
| Colorado — 0.7% | | | | | | |
Colorado Health Facilities Authority, Refunding RB, CommonSpirit Health Project, Series A-2, 4.00%, 08/01/49(g) | | | 2,280 | | | | 2,269,398 | |
| | | | | | | | |
| | |
| Florida — 1.0% | | | | | | |
Escambia County Health Facilities Authority, Refunding RB, Health Care Facilities Project, Series A, 4.00%, 08/15/50(g) | | | 3,060 | | | | 3,217,866 | |
| | | | | | | | |
| | |
| Illinois — 0.6% | | | | | | |
Illinois Toll Highway Authority, RB: | | | | | | | | |
Series A, 5.00%, 01/01/40 | | | 660 | | | | 745,200 | |
Series C, 5.00%, 01/01/38 | | | 1,000 | | | | 1,123,164 | |
| | | | | | | | |
| | | | | | | 1,868,364 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 59 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Massachusetts — 0.3% | | | | | | |
Massachusetts Housing Finance Agency, Refunding RB, AMT, Series A, 4.50%, 12/01/47 | | $ | 982 | | | $ | 1,037,830 | |
| | | | | | | | |
| | |
| New York — 2.5% | | | | | | |
New York City Housing Development Corp.: | | | | | | | | |
RB, Series D-1-B, 4.25%, 11/01/45 | | | 1,000 | | | | 1,057,598 | |
Refunding RB, Sustainable Neighborhood Project, Series A-1, 4.15%, 11/01/38 | | | 1,550 | | | | 1,695,777 | |
New York State Dormitory Authority Personal Income Tax Revenue, Refunding RB, Series E, 5.00%, 03/15/36 | | | 3,330 | | | | 3,888,141 | |
Port Authority of New York & New Jersey Refunding, RB, 194th Series, 5.25%, 10/15/55 | | | 1,000 | | | | 1,163,102 | |
| | | | | | | | |
| | | | | | | 7,804,618 | |
| | |
| North Carolina — 0.7% | | | | | | |
North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55 | | | 1,000 | | | | 1,154,530 | |
North Carolina Housing Finance Agency Home Ownership, RB, Series 39-B, 4.00%, 01/01/48 | | | 765 | | | | 829,167 | |
| | | | | | | | |
| | | | | | | 1,983,697 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Washington — 0.5% | | | | | | |
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45 | | $ | 1,340 | | | $ | 1,530,628 | |
| | | | | | | | |
| | |
| West Virginia — 0.4% | | | | | | |
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48(g) | | | 1,215 | | | | 1,341,341 | |
| | | | | | | | |
| |
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 6.7%
(Cost: $20,300,058) | | | | 21,053,742 | |
| | | | | | | | |
| |
Total Long-Term Investments — 101.8%
(Cost: $321,300,770) | | | | 319,006,491 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| |
| Short-Term Securities — 2.6% | | | | |
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 3.51%(h) | | | 8,102,573 | | | | 8,100,953 | |
| | | | | | | | |
| |
Total Short-Term Securities — 2.6%
(Cost: $8,100,298) | | | | 8,100,953 | |
| | | | | | | | |
| |
Total Investments — 104.4%
(Cost: $329,401,068) | | | | 327,107,444 | |
| |
Liabilities in Excess of Other Assets — (1.0)% | | | | (3,041,356 | ) |
| |
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (3.4)% | | | | (10,784,078 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 313,282,010 | |
| | | | | | | | |
| (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 the security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between 06/01/26 to 08/15/27, is $3,409,742. See Note 4 of the Notes to Financial Statements for details. |
| (h) | Annualized 7-day yield as of period end. |
Derivative Financial Instruments Categorized by Risk Exposure
For the year ended March 31, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Realized Loss from: | | Commodity Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Futures contracts | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (4,949,394 | ) | | $ | — | | | $ | (4,949,394 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 405,307 | | | $ | — | | | $ | 405,307 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — short | | $ | 12,871,673 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
| 60 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series E Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments(a) | | $ | — | | | $ | 319,006,491 | | | $ | — | | | $ | 319,006,491 | |
Short-Term Securities | | | 8,100,953 | | | | — | | | | — | | | | 8,100,953 | |
| | | | | | | | | | | | | | | | |
| | $ | 8,100,953 | | | $ | 319,006,491 | | | $ | — | | | $ | 327,107,444 | |
| | | | | | | | | | | | | | | | |
| | (a) | See above Schedule of Investments for values in each security type. | |
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 $10,713,000 are categorized as Level 2 within the disclosure hierarchy.
See notes to financial statements.
| | | | |
| SCHEDULES OF INVESTMENTS | | | 61 | |
| | |
Schedule of Investments March 31, 2020 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
Asset-Backed Securities — 0.3% | | | | | | | | |
Mosaic Solar Loan Trust,Series 2019-2A, Class A, 2.88%, 09/20/40(a) | | $ | 288 | | | $ | 277,895 | |
Progress Residential Trust, Series 2017-SFR1, Class A, 2.77%, 08/17/34(a) | | | 866 | | | | 855,138 | |
Santander Drive Auto Receivables Trust,Series 2019-3, Class A3, 2.16%, 11/15/22 | | | 2,100 | | | | 2,072,757 | |
| | | | | | | | |
| | |
Total Asset-Backed Securities — 0.3%
(Cost: $3,254,437) | | | | | | | 3,205,790 | |
| | | | | | | | |
|
| Non-Agency Mortgage-Backed Securities — 10.5% | |
|
| Commercial Mortgage-Backed Securities — 10.0% | |
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35(a) | | | 945 | | | | 948,187 | |
BANK: | | | | | | | | |
Series 2020-BN26, Class A4, 2.40%, 03/15/63 | | | 2,054 | | | | 2,024,461 | |
Series 2020-BN26, Class B, 2.91%, 03/15/63(b) | | | 2,595 | | | | 2,177,245 | |
Benchmark Mortgage Trust,Series 2020-B17, Class A5, 2.29%, 03/15/53 | | | 1,565 | | | | 1,533,613 | |
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33(a) | | | 3,920 | | | | 4,015,597 | |
BX Commercial Mortgage Trust,Series 2019-XL, Class D, (1 mo. LIBOR US + 1.450%), 2.16%, 10/15/36(a)(c) | | | 4,013 | | | | 3,590,803 | |
BX Trust: | | | | | | | | |
Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | | | 4,207 | | | | 3,798,584 | |
Series 2019-OC11, Class D,
4.08%, 12/09/41(a)(b) | | | 1,489 | | | | 1,168,371 | |
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class A, 3.36%, 04/10/29(a) | | | 1,750 | | | | 1,687,311 | |
CFK Trust,Series 2020-MF2, Class B, 2.79%, 03/15/39(a) | | | 1,254 | | | | 1,139,735 | |
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A,
2.78%, 11/10/31(a)(b) | | | 2,005 | | | | 1,941,934 | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2013-CR6, Class A3FL, (1 mo. LIBOR US + 0.630%), 1.44%, 03/10/46(a)(c) | | | 57 | | | | 56,792 | |
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | | | 2,025 | | | | 2,152,305 | |
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | | | 1,215 | | | | 1,266,079 | |
Series 2015-LC23, Class ASB, 3.60%, 10/10/48 | | | 3,730 | | | | 3,875,178 | |
Series 2017-PANW, Class A,
3.24%, 10/10/29(a) | | | 3,960 | | | | 3,901,164 | |
CSAIL Commercial Mortgage Trust,Series 2019-C17, Class C, 3.93%, 09/15/52 | | | 1,203 | | | | 872,465 | |
FRESB Mortgage Trust: | | | | | | | | |
Series 2019-SB60, Class A10F, 3.31%, 01/25/29(b) | | | 3,022 | | | | 3,156,809 | |
Series 2019-SB61, Class A10F, 3.17%, 01/25/29(b) | | | 2,481 | | | | 2,606,975 | |
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A, 5.37%, 05/03/32(a) | | | 910 | | | | 969,174 | |
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.44%, 07/10/39(a)(b) | | | 669 | | | | 623,987 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
IMT Trust, Series 2017-APTS, Class BFX, 3.50%, 06/15/34(a)(b) | | $ | 2,425 | | | $ | 2,280,122 | |
JPMBB Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2014-C23, Class ASB, 3.66%, 09/15/47 | | | 5,315 | | | | 5,468,229 | |
Series 2016-C1, Class ASB, 3.32%, 03/15/49 | | | 3,500 | | | | 3,595,822 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2016-NINE, Class A,
2.95%, 09/06/38(a)(b) | | | 1,790 | | | | 1,831,881 | |
Series 2020-MKST, Class B, (1 mo. LIBOR US + 1.050%), 1.76%, 12/15/36(a)(c) | | | 1,540 | | | | 1,412,195 | |
KKR Industrial Portfolio Trust, Series 2020-AIP, Class A, (1 mo. LIBOR US + 1.037%), 2.04%, 03/15/37(a)(c) | | | 621 | | | | 554,271 | |
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), 3.33%, 11/24/31(a)(c) | | | 78 | | | | 77,693 | |
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49(a) | | | 2,740 | | | | 2,750,491 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series2013-C13, Class A4, 4.04%, 11/15/46 | | | 1,170 | | | | 1,218,978 | |
Morgan Stanley Capital I Trust: | | | | | | | | |
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 | | | 3,730 | | | | 3,854,921 | |
Series2018-SUN, Class A, (1 mo. LIBOR US + 0.900%), 1.61%, 07/15/35(a)(c) | | | 1,910 | | | | 1,540,527 | |
One Bryant Park Trust,Series 2019-OBP, Class A, 2.52%, 09/15/54(a) | | | 3,464 | | | | 3,451,942 | |
Seasoned Credit Risk Transfer Trust: | | | | | | | | |
Series 2018-2, Class MA, 3.50%, 11/25/57 | | | 1,390 | | | | 1,465,973 | |
Series 2018-3, Class MA, 3.50%, 08/25/57 | | | 1,936 | | | | 2,043,520 | |
Series 2018-4, Class MA, 3.50%, 03/25/58 | | | 3,294 | | | | 3,480,890 | |
Series 2019-2, Class MA, 3.50%, 08/25/58 | | | 1,116 | | | | 1,181,944 | |
Wells Fargo Commercial Mortgage Trust: | | | | | | | | |
Series 2015-LC22, Class ASB, 3.57%, 09/15/58 | | | 3,845 | | | | 4,000,247 | |
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 | | | 3,920 | | | | 4,025,992 | |
Series 2015-P2, Class AS, 4.01%, 12/15/48 | | | 1,605 | | | | 1,626,060 | |
WFRBS Commercial Mortgage Trust: | | | | | | | | |
Series 2012-C8, Class AFL, (1 mo. LIBOR US + 1.000%), 1.80%, 08/15/45(a)(c) | | | 2,479 | | | | 2,464,853 | |
Series 2014-C21, Class A4, 3.41%, 08/15/47 | | | 2,805 | | | | 2,909,009 | |
Series 2014-LC14, Class A4, 3.77%, 03/15/47 | | | 5,590 | | | | 5,887,139 | |
| | | | | | | | |
| | | | | | | 100,629,468 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.5% | |
Commercial Mortgage Trust, Series 2014-LC17, Class XA, 0.77%, 10/10/47(b) | | | 52,639 | | | | 1,378,828 | |
CSAIL Commercial Mortgage Trust,Series 2019-C16, Class XA, 1.57%, 06/15/52(b) | | | 13,118 | | | | 1,438,467 | |
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/48(a) | | | 124,118 | | | | 159,827 | |
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.06%, 04/10/47(b) | | | 649 | | | | 17,761 | |
UBS Commercial Mortgage Trust,Series 2019-C17, Class XA, 1.64%, 10/15/52(b) | | | 10,415 | | | | 1,059,327 | |
| | |
| 62 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
Wells Fargo Commercial Mortgage Trust,Series 2018-C44, Class XA,
0.75%, 05/15/51(b) | | $ | 8,707 | | | $ | 403,223 | |
| | | | | | | | |
| | | | | | | 4,457,433 | |
| | | | | | | | |
| |
TotalNon-Agency Mortgage-Backed
Securities — 10.5%
(Cost: $108,088,947) | | | | 105,086,901 | |
| | | | | | | | |
|
U.S. Government Sponsored Agency
Securities — 215.0% | |
|
| Collateralized Mortgage Obligations — 3.8% | |
Fannie Mae: | | | | | | | | |
Series 2010-134, Class KZ, 4.50%, 12/25/40 | | | 1,323 | | | | 1,400,237 | |
Series 2010-141, Class LZ, 4.50%, 12/25/40 | | | 1,184 | | | | 1,266,120 | |
Series 2011-8, Class ZA, 4.00%, 02/25/41 | | | 2,048 | | | | 2,261,339 | |
Series 2011-131, Class LZ, 4.50%, 12/25/41 | | | 743 | | | | 787,211 | |
Series 2013-81, Class YK, 4.00%, 08/25/43 | | | 200 | | | | 258,663 | |
Series 2017-76, Class PB, 3.00%, 10/25/57 | | | 900 | | | | 1,001,141 | |
Series 2018-21, Class CA, 3.50%, 04/25/45 | | | 5,416 | | | | 5,781,222 | |
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.233%), 6.13%, 05/25/48(c) | | | 3,504 | | | | 4,108,363 | |
Series 2019-39, Class LF, (1 mo. LIBOR US + 0.450%), 1.40%, 08/25/49(c) | | | 3,346 | | | | 3,315,904 | |
Freddie Mac: | | | | | | | | |
Series 3745, Class ZA, 4.00%, 10/15/40 | | | 335 | | | | 390,033 | |
Series 3780, Class ZA, 4.00%, 12/15/40 | | | 757 | | | | 885,444 | |
Series 3960, Class PL, 4.00%, 11/15/41 | | | 900 | | | | 1,049,388 | |
Series 4384, Class LB, 3.50%, 08/15/43 | | | 1,400 | | | | 1,545,576 | |
Series 4901, Class BF, (1 mo. LIBOR US +0.400%), 1.35%, 07/25/49(c) | | | 2,951 | | | | 2,915,975 | |
Ginnie Mae: | | | | | | | | |
Series 2014-107, Class WX,
6.81%, 07/20/39(b) | | | 765 | | | | 911,144 | |
Series 2016-123, Class LM, 3.00%, 09/20/46 | | | 600 | | | | 676,341 | |
Series 2019-5, Class P, 3.50%, 07/20/48 | | | 1,897 | | | | 2,035,923 | |
Series 2019-21, Class FL, (1 mo. LIBOR US + 0.450%), 1.22%, 02/20/49(c) | | | 3,848 | | | | 3,815,824 | |
Series 2019-89, Class FH, (1 mo. LIBOR US + 0.400%), 1.17%, 07/20/49(c) | | | 3,894 | | | | 3,866,174 | |
| | | | | | | | |
| | | | | | | 38,272,022 | |
|
| Commercial Mortgage-Backed Securities — 2.8% | |
Fannie Mae,Series 2020-M5, Class A2, 2.21%, 01/25/30 | | | 4,580 | | | | 4,744,127 | |
Freddie Mac: | | | | | | | | |
Series K074, Class A2, 3.60%, 01/25/28 | | | 1,640 | | | | 1,889,993 | |
Series K081, Class A2, 3.90%, 08/25/28(b) | | | 4,892 | | | | 5,828,478 | |
Series K082, Class A2, 3.92%, 09/25/28(b) | | | 3,255 | | | | 3,863,190 | |
Series K084, Class A2, 3.78%, 10/25/28(b) | | | 3,056 | | | | 3,585,307 | |
Series K085, Class A2, 4.06%, 10/25/28(b) | | | 3,500 | | | | 4,183,045 | |
Series K086, Class A2, 3.86%, 11/25/28(b) | | | 3,620 | | | | 4,291,253 | |
Ginnie Mae,Series 2019-7, Class V, 3.00%, 05/16/35 | | | 296 | | | | 316,514 | |
| | | | | | | | |
| | | | | | | 28,701,907 | |
|
| Interest Only Collateralized Mortgage Obligations — 2.2% | |
Fannie Mae: | | | | | | | | |
Series 2013-10, Class PI, 3.00%, 02/25/43 | | | 2,155 | | | | 186,165 | |
Series 2014-68, Class YI, 4.50%, 11/25/44 | | | 1,072 | | | | 158,788 | |
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.250%), 5.30%, 09/25/45(c) | | | 5,294 | | | | 1,001,549 | |
Series 2015-74, Class IA, 6.00%, 10/25/45 | | | 7,954 | | | | 1,578,259 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Interest Only Collateralized Mortgage Obligations (continued) | |
Series 2015-77, Class IO, 6.00%, 10/25/45 | | $ | 9,410 | | | $ | 1,875,929 | |
Series 2016-60, Class SD, (1 mo. LIBOR US + 6.100%), 5.15%, 09/25/46(c) | | | 2,466 | | | | 485,282 | |
Series 2016-78, Class CS, (1 mo. LIBOR US + 6.100%), 5.15%, 05/25/39(c) | | | 3,161 | | | | 571,806 | |
Series 2016-81, Class CS, (1 mo. LIBOR US + 6.100%), 5.15%, 11/25/46(c) | | | 4,436 | | | | 825,319 | |
Series 2017-38, Class S, (1 mo. LIBOR US + 6.100%), 5.15%, 05/25/47(c) | | | 4,076 | | | | 841,587 | |
Series 2017-68, Class IE, 4.50%, 09/25/47 | | | 4,749 | | | | 740,648 | |
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.150%), 5.20%, 09/25/47(c) | | | 2,665 | | | | 501,085 | |
Series 2017-81, Class SM, (1 mo. LIBOR US + 6.200%), 5.25%, 10/25/47(c) | | | 4,983 | | | | 1,347,452 | |
Series 2018-63, Class IO, 3.00%, 09/25/48 | | | 2,977 | | | | 301,423 | |
Series 2019-5, Class SA, (1 mo. LIBOR US + 6.100%), 5.15%, 03/25/49(c) | | | 18,085 | | | | 3,128,693 | |
Series 2019-25, Class SA, (1 mo. LIBOR US + 6.050%), 5.10%, 06/25/49(c) | | | 6,580 | | | | 1,316,583 | |
Series 2019-35, Class SA, (1 mo. LIBOR US + 6.100%), 5.15%, 07/25/49(c) | | | 2,596 | | | | 468,478 | |
Series 395, Class 7, 5.50%, 11/25/39 | | | 545 | | | | 91,914 | |
Freddie Mac: | | | | | | | | |
Series 4062, Class GI, 4.00%, 02/15/41 | | | 622 | | | | 56,018 | |
Series 4119, Class SC, (1 mo. LIBOR US + 6.150%), 5.45%, 10/15/42(c) | | | 3,921 | | | | 682,190 | |
Series 4309, Class SJ, (1 mo. LIBOR US + 6.100%), 5.40%, 02/15/44(c) | | | 2,576 | | | | 445,902 | |
Series 4533, Class JI, 5.00%, 12/15/45 | | | 1,624 | | | | 270,667 | |
Series 4901, Class CS, (1 mo. LIBOR US + 6.100%), 5.15%, 07/25/49(c) | | | 4,722 | | | | 862,599 | |
Series 4941, Class SH, (1 mo. LIBOR US + 5.950%), 5.00%, 12/25/49(c) | | | 8,962 | | | | 1,726,034 | |
Ginnie Mae: | | | | | | | | |
Series 2010-108, Class SG, (1 mo. LIBOR US + 6.100%), 5.33%, 09/20/39(c) | | | 799 | | | | 18,672 | |
Series 2014-113, Class NI, 5.00%, 07/20/44 | | | 775 | | | | 143,796 | |
Series 2015-64, Class SG, (1 mo. LIBOR US + 5.600%), 4.83%, 05/20/45(c) | | | 13,046 | | | | 2,077,585 | |
Series 2017-139, Class IB, 4.50%, 09/20/47 | | | 2,272 | | | | 282,297 | |
Series 2017-144, Class DI, 4.50%, 09/20/47 | | | 1,611 | | | | 183,955 | |
Series 2018-89, Class CI, 5.00%, 12/20/47 | | | 1,449 | | | | 253,278 | |
| | | | | | | | |
| | | | | | | 22,423,953 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 1.4% | |
Ginnie Mae: | | | | | | | | |
Series 2013-63, Class IO, 0.79%, 09/16/51(b) | | | 21,509 | | | | 911,301 | |
Series 2016-45, Class IO, 0.99%, 02/16/58(b) | | | 23,078 | | | | 1,422,840 | |
Series 2016-67, Class IO, 1.11%, 07/16/57(b) | | | 14,757 | | | | 944,526 | |
Series 2016-105, Class IO, 1.04%, 10/16/57(b) | | | 17,268 | | | | 1,002,227 | |
Series 2016-128, Class IO, 0.95%, 09/16/56(b) | | | 23,093 | | | | 1,529,811 | |
Series 2016-151, Class IO, 1.07%, 06/16/58(b) | | | 49,908 | | | | 3,427,998 | |
Series 2017-53, Class IO, 0.69%, 11/16/56(b) | | | 16,869 | | | | 839,076 | |
Series 2017-61, Class IO, 0.76%, 05/16/59(b) | | | 4,149 | | | | 253,865 | |
Series 2017-64, Class IO, 0.70%, 11/16/57(b) | | | 36,583 | | | | 2,030,754 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 63 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
Series 2017-171, Class IO, 0.70%, 09/16/59(b) | | $ | 25,291 | | | $ | 1,432,766 | |
| | | | | | | | |
| | | | | | | 13,795,164 | |
| |
| Mortgage-Backed Securities — 204.8% | | | | |
Fannie Mae Mortgage-Backed Securities: | | | | | | | | |
2.00%, 10/01/31-03/01/32 | | | 2,690 | | | | 2,770,358 | |
2.50%, 09/01/27-12/01/33 | | | 19,432 | | | | 20,225,614 | |
3.00%, 04/01/28-04/01/50 | | | 152,311 | | | | 160,207,336 | |
3.50%, 03/01/29-04/01/50 | | | 105,591 | | | | 113,062,799 | |
4.00%, 02/01/31-03/01/50 | | | 95,778 | | | | 103,778,380 | |
4.50%, 05/01/24-12/01/48 | | | 17,772 | | | | 19,483,510 | |
5.00%, 02/01/35-01/01/49 | | | 16,511 | | | | 18,248,016 | |
5.50%, 05/01/34-05/01/44 | | | 5,384 | | | | 6,084,818 | |
6.00%, 02/01/38-07/01/41 | | | 3,327 | | | | 3,829,565 | |
6.50%, 07/01/37-01/01/38 | | | 38 | | | | 43,275 | |
Freddie Mac Mortgage-Backed Securities: | | | | | | | | |
2.50%, 02/01/30-04/01/31 | | | 3,624 | | | | 3,775,659 | |
3.00%, 09/01/27-04/01/50 | | | 128,391 | | | | 134,761,555 | |
3.50%, 09/01/30-01/01/48 | | | 16,816 | | | | 18,018,507 | |
4.00%, 08/01/40-11/01/48 | | | 17,757 | | | | 19,144,952 | |
4.50%, 04/01/20-09/01/48 | | | 2,330 | | | | 2,537,209 | |
5.00%, 05/01/28-03/01/49 | | | 7,424 | | | | 8,225,699 | |
5.50%, 01/01/28-06/01/41 | | | 1,412 | | | | 1,584,737 | |
6.00%, 08/01/28-11/01/39 | | | 563 | | | | 644,955 | |
Ginnie Mae Mortgage-Backed Securities: | | | | | | | | |
2.50%, 04/15/50(d) | | | 12,599 | | | | 13,166,939 | |
3.00%, 12/20/44-04/15/50(d) | | | 126,085 | | | | 133,850,938 | |
3.50%, 01/15/42-04/15/50(d) | | | 83,487 | | | | 88,470,664 | |
4.00%, 04/20/39-04/15/50(d) | | | 45,526 | | | | 48,679,809 | |
4.50%, 09/20/39-04/15/50(d) | | | 23,189 | | | | 24,907,062 | |
5.00%, 07/15/33-04/15/50(d) | | | 9,878 | | | | 10,593,622 | |
5.50%, 07/15/38-12/20/41 | | | 853 | | | | 963,147 | |
Uniform Mortgage-Backed Securities: | | | | | | | | |
2.00%, 04/01/35(d) | | | 4,895 | | | | 5,025,310 | |
2.50%, 04/01/35-04/01/50(d) | | | 192,920 | | | | 199,854,779 | |
3.00%, 04/01/35-04/01/50(d) | | | 354,196 | | | | 371,286,631 | |
3.50%, 04/01/35-04/01/50(d) | | | 202,979 | | | | 214,507,839 | |
4.00%, 04/01/35-04/01/50(d) | | | 216,350 | | | | 230,684,847 | |
4.50%, 04/01/50(d) | | | 68,384 | | | | 73,584,924 | |
5.00%, 04/01/50(d) | | | 8,883 | | | | 9,582,189 | |
| | | | | | | | |
| | | | | | | 2,061,585,644 | |
| | | | | | | | |
| |
Total U.S. Government Sponsored Agency
Securities — 215.0%
(Cost: $2,114,339,029) | | | | 2,164,778,690 | |
| | | | | | | | |
|
| U.S. Treasury Obligations — 1.4% | |
U.S. Treasury Inflation Indexed Bonds: | | | | | | | | |
0.50%, 04/15/24 | | | 8,537 | | | | 8,660,019 | |
0.13%, 10/15/24 | | | 5,138 | | | | 5,200,623 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations — 1.4%
(Cost: $13,718,623) | | | | 13,860,642 | |
| | | | | | | | |
| |
Total Long-Term Investments — 227.2%
(Cost: $2,239,401,036) | | | | 2,286,932,023 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Short-Term Securities — 3.3% | |
| | |
| Money Market Fund — 3.3% | | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class,
0.51%(e) | | | 33,476,641 | | | $ | 33,476,641 | |
| | | | | | | | |
| |
Total Short-Term Securities — 3.3%
(Cost: $33,476,641) | | | | 33,476,641 | |
| | | | | | | | |
| |
Total Investments Before TBA Commitments and Options Written — 230.5%
(Cost: $2,272,877,677) | | | | 2,320,408,664 | |
| | | | | | | | |
| | |
| | | Par (000) | | | | |
|
TBA Sale Commitments — (110.2)%(d) | |
|
| Mortgage-Backed Securities — (110.2)% | |
Ginnie Mae Mortgage-Backed Securities: | | | | | | | | |
2.50%, 04/15/50 | | $ | (6,955 | ) | | | (7,268,518 | ) |
3.00%, 04/15/50 | | | (43,891 | ) | | | (46,395,873 | ) |
3.50%, 04/15/50 | | | (3,517 | ) | | | (3,706,888 | ) |
4.00%, 04/15/50 | | | (4,872 | ) | | | (5,175,791 | ) |
4.50%, 04/15/50 | | | (2,052 | ) | | | (2,177,685 | ) |
5.00%, 04/15/50 | | | (2,292 | ) | | | (2,438,115 | ) |
Uniform Mortgage-Backed Securities: | | | | | | | | |
2.00%, 04/01/35 | | | (4,895 | ) | | | (5,025,310 | ) |
2.50%, 04/01/35-04/01/50 | | | (149,274 | ) | | | (154,641,755 | ) |
3.00%, 04/01/35-04/01/50 | | | (488,232 | ) | | | (511,784,867 | ) |
3.50%, 04/01/35-04/01/50 | | | (126,969 | ) | | | (134,153,915 | ) |
4.00%, 04/01/35-04/01/50 | | | (204,203 | ) | | | (217,759,391 | ) |
4.50%, 04/01/50 | | | (15,447 | ) | | | (16,621,817 | ) |
5.50%, 04/01/50 | | | (1,637 | ) | | | (1,791,811 | ) |
6.00%, 04/01/50 | | | (600 | ) | | | (664,617 | ) |
| | | | | | | | |
| |
Total TBA Sale Commitments — (110.2)%
(Proceeds: $1,093,341,020) | | | | (1,109,606,353 | ) |
| | | | | | | | |
| |
Options Written — (0.2)%
(Premiums Received: $473,644) | | | | (2,079,172 | ) |
| | | | | | | | |
| |
Total Investments Net of TBA Sale Commitments and Options Written — 120.1%
(Cost: $1,179,063,013) | | | | 1,208,723,139 | |
| |
Liabilities in Excess of Other Assets — (20.1)% | | | | (201,945,570 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 1,006,777,569 | |
| | | | | | | | |
| (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 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. |
| (c) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (d) | Represents or includes a TBA transaction. |
| (e) | Annualized7-day yield as of period end. |
| | |
| 64 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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) | | | 7 | | | | 06/19/20 | | | $ | 971 | | | $ | (2,640 | ) |
U.S. Ultra Treasury Bonds | | | 7 | | | | 06/19/20 | | | | 1,553 | | | | 133,123 | |
U.S. Treasury Notes (2 Year) | | | 155 | | | | 06/30/20 | | | | 34,159 | | | | 28,446 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 158,929 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
Euro Dollar | | | 43 | | | | 06/15/20 | | | | 10,694 | | | | (78,372 | ) |
U.S. Treasury Bonds (30 Year) | | | 63 | | | | 06/19/20 | | | | 11,281 | | | | (164,109 | ) |
U.S. Ultra Treasury Notes (10 Year) | | | 8 | | | | 06/19/20 | | | | 1,248 | | | | (16,462 | ) |
U.S. Treasury Notes (5 Year) | | | 847 | | | | 06/30/20 | | | | 106,179 | | | | (737,516 | ) |
Euro Dollar | | | 43 | | | | 09/14/20 | | | | 10,712 | | | | (65,622 | ) |
Euro Dollar | | | 43 | | | | 12/14/20 | | | | 10,713 | | | | (69,772 | ) |
Euro Dollar | | | 44 | | | | 03/15/21 | | | | 10,969 | | | | (51,486 | ) |
Euro Dollar | | | 24 | | | | 06/14/21 | | | | 5,983 | | | | (44,577 | ) |
Euro Dollar | | | 24 | | | | 09/13/21 | | | | 5,982 | | | | (23,108 | ) |
Euro Dollar | | | 39 | | | | 12/13/21 | | | | 9,718 | | | | (34,991 | ) |
Euro Dollar | | | 25 | | | | 03/14/22 | | | | 6,228 | | | | (7,517 | ) |
Euro Dollar | | | 15 | | | | 12/19/22 | | | | 3,732 | | | | (15,396 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (1,308,928 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (1,149,999 | ) |
| | | | | | | | | | | | | | | | |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | | 203 | | | | 05/22/20 | | | | $132.50 | | | | $26,898 | | | | $(1,297,297 | ) |
U.S. Treasury Notes (10 Year) | | | 117 | | | | 05/22/20 | | | | 136.50 | | | | 15,970 | | | | (325,406 | ) |
U.S. Treasury Notes (10 Year) | | | 67 | | | | 05/22/20 | | | | 133.50 | | | | 8,944 | | | | (364,313 | ) |
U.S. Treasury Notes (10 Year) | | | 89 | | | | 05/22/20 | | | | 140.50 | | | | 12,504 | | | | (55,625 | ) |
Put | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (2 Year) | | | 334 | | | | 05/22/20 | | | | 109.88 | | | | 73,396 | | | | (36,531 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $(2,079,172 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 65 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series M Portfolio |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | |
Paid by the Fund | | Received by the Fund | | | | Termination | | | Notional Amount | | | | | Upfront Premium Paid | | Unrealized Appreciation |
| Rate | | Frequency | | Rate | | Frequency | | | | Date | | | (000) | | | Value | | (Received) | | (Depreciation) |
1.65% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 08/15/21 | | | | $ 2,000 | | | $ (29,912) | | $ 23 | | $ (29,935) |
1.68% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 06/24/22 | | | | $15,500 | | | (499,152) | | 181 | | (499,333) |
1.72% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 06/26/22 | | | | $ 4,400 | | | (146,219) | | 51 | | (146,270) |
1.84% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 07/18/22 | | | | $ 8,000 | | | (254,369) | | 94 | | (254,463) |
| 3-month LIBOR, 1.45% | | Quarterly | | 1.62% | | Semi-Annual | | | | | 07/21/22 | | | | $20,000 | | | 526,795 | | — | | 526,795 |
| 3-month LIBOR, 1.45% | | Quarterly | | 1.63% | | Semi-Annual | | | | | 07/21/22 | | | | $ 8,000 | | | 213,115 | | — | | 213,115 |
| 1.81% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 07/25/22 | | | | $ 4,500 | | | (140,743) | | 53 | | (140,796) |
| 1.78% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 07/26/22 | | | | $ 9,700 | | | (297,583) | | 114 | | (297,697) |
| 3-month LIBOR, 1.45% | | Quarterly | | 1.60% | | Semi-Annual | | | | | 08/04/22 | | | | $18,700 | | | 493,079 | | 193 | | 492,886 |
| 1.53% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 08/08/22 | | | | $15,500 | | | (384,777) | | 182 | | (384,959) |
| 3-month LIBOR, 1.45% | | Quarterly | | 1.42% | | Semi-Annual | | | | | 09/10/22 | | | | $ 5,300 | | | 133,909 | | 51 | | 133,858 |
1.61% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 10/01/29 | | | | $ 6,300 | | | (554,759) | | 98 | | (554,857) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ (940,616) | | $ 1,040 | | $ (941,656) |
| | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation/ 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.10.BBB- | | | 3.00% | | | | Monthly | | |
| Goldman
Sachs
International |
| | | 11/17/59 | | | $ | 4,174 | | | | $1,161,561 | | | | $209,618 | | | | $ 951,943 | |
CMBX.NA.10.BBB- | | | 3.00% | | | | Monthly | | |
| Goldman
Sachs
International |
| | | 11/17/59 | | | $ | 3,976 | | | | 1,106,250 | | | | 190,314 | | | | 915,936 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | $2,267,811 | | | | $399,932 | | | | $1,867,879 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Reference Obligation/ Index | | Financing Rate Received by the Fund | | | Payment Frequency | | | Counterparty | | Termination Date | | | Credit Rating(a) | | | Notional Amount (000)(b) | | | Value | | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | | | | |
| | CMBX.NA.9.BBB- | | | 3.00% | | | | Monthly | | | Deutsche Bank AG | | | 09/17/58 | | | | Not Rated | | | $ | 8,000 | | | | $(2,035,154 | ) | | | $(959,178 | ) | | | $(1,075,976 | ) | | | | |
| | CMBX.NA.9.BBB- | | | 3.00% | | | | Monthly | | | Goldman Sachs International | | | 09/17/58 | | | | Not Rated | | | $ | 10,400 | | | | (2,645,700 | ) | | | (472,603 | ) | | | (2,173,097 | ) | | | | |
| | CMBX.NA.10.BBB- | | | 3.00% | | | | Monthly | | | Goldman Sachs International | | | 11/17/59 | | | | BBB- | | | $ | 4,398 | | | | (1,223,644 | ) | | | (320,026 | ) | | | (903,618 | ) | | | | |
| | CMBX.NA.10.BBB- | | | 3.00% | | | | Monthly | | | J.P. Morgan Securities LLC | | | 11/17/59 | | | | BBB- | | | $ | 3,752 | | | | (1,044,167 | ) | | | (275,206 | ) | | | (768,961 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | $(6,948,665 | ) | | | $(2,027,013 | ) | | | $(4,921,652 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. | |
| | (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 and Options Written
| | | | | | | | | | | | | | | | | | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized Appreciation | | | Unrealized Depreciation | | | Value | |
Centrally Cleared Swaps(a) | | $ | 1,040 | | | $ | — | | | | $1,366,654 | | | | $2,308,310 | | | $ | — | |
OTC Swaps | | | 399,932 | | | | 2,027,013 | | | | 1,867,879 | | | | 4,921,652 | | | | — | |
Options Written | | | — | | | | — | | | | 35,873 | | | | 1,641,401 | | | | 2,079,172 | |
| | (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. | |
| | |
| 66 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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 | |
| Unrealized appreciation
on futures contracts(a) |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 161,569 | | | $ | — | | | $ | 161,569 | |
Swaps — centrally cleared | |
| Unrealized appreciation
on centrally cleared
swaps(a) |
| | | — | | | | — | | | | — | | | | — | | | | 1,366,654 | | | | — | | | | 1,366,654 | |
Swaps — OTC | |
| Unrealized appreciation
on OTC swaps; Swap
premiums paid |
| | | — | | | | 2,267,811 | | | | — | | | | — | | | | — | | | | — | | | | 2,267,811 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | 2,267,811 | | | $ | — | | | $ | — | | | $ | 1,528,223 | | | $ | — | | | $ | 3,796,034 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | |
Futures contracts | |
| Unrealized depreciation
on futures contracts(a) |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,311,568 | | | $ | — | | | $ | 1,311,568 | |
Options written | | | Options written at value | | | | — | | | | — | | | | — | | | | — | | | | 2,079,172 | | | | — | | | | 2,079,172 | |
Swaps — centrally cleared | |
| Unrealized depreciation
on centrally cleared
swaps(a) |
| | | — | | | | — | | | | — | | | | — | | | | 2,308,310 | | | | — | | | | 2,308,310 | |
Swaps — OTC | |
| Unrealized depreciation
on OTC swaps; Swap
premiums received |
| | | — | | | | 6,948,665 | | | | — | | | | — | | | | — | | | | — | | | | 6,948,665 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | 6,948,665 | | | $ | — | | | $ | — | | | $ | 5,699,050 | | | $ | — | | | $ | 12,647,715 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
For the year ended March 31, 2020, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (7,788,785 | ) | | $ | — | | | $ | (7,788,785 | ) |
Options purchased(a) | | | — | | | | — | | | | — | | | | — | | | | (60,833 | ) | | | — | | | | (60,833 | ) |
Options written | | | — | | | | — | | | | — | | | | — | | | | 444,129 | | | | — | | | | 444,129 | |
Swaps | | | — | | | | (919,638 | ) | | | — | | | | — | | | | (4,424,633 | ) | | | — | | | | (5,344,271 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (919,638 | ) | | $ | — | | | $ | — | | | $ | (11,830,122 | ) | | $ | — | | | $ | (12,749,760 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(a) Options purchased are included in net realized gain (loss) from investments — unaffiliated. | |
| Net Change in Unrealized Appreciation (Depreciation) on: | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (548,852 | ) | | $ | — | | | $ | (548,852 | ) |
Options written | | | — | | | | — | | | | — | | | | — | | | | (1,621,490 | ) | | | — | | | | (1,621,490 | ) |
Swaps | | | — | | | | (3,722,927 | ) | | | — | | | | — | | | | (130,653 | ) | | | — | | | | (3,853,580 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (3,722,927 | ) | | $ | — | | | $ | — | | | $ | (2,300,995 | ) | | $ | — | | | $ | (6,023,922 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 67 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series M Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 37,062,508 | |
Average notional value of contracts — short | | | 176,292,768 | |
Options: | | | | |
Average value of option contracts purchased | | | — | (1) |
Average value of option contracts written | | | 780,536 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | | 14,163,250 | |
Average notional value — sell protection | | | 19,753,500 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 109,087,000 | |
Average notional value — receives fixed rate | | | 20,325,000 | |
| |
| | (1) | Derivative not held at anyquarter-end. The risk exposure table serves as an indicator of activity during the period. | |
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 | | $ | 146,668 | | | $ | 40,588 | |
Options | | | — | | | | 2,079,172 | |
Swaps — Centrally cleared | | | — | | | | 2,050 | |
Swaps — OTC(a) | | | 2,267,811 | | | | 6,948,665 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 2,414,479 | | | $ | 9,070,475 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (146,668 | ) | | | (2,121,810 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 2,267,811 | | | $ | 6,948,665 | |
| | | | | | | | |
| | (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 | |
Goldman Sachs International | | $ | 2,267,811 | | | $ | (2,267,811 | ) | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | 2,035,154 | | | $ | — | | | $ | — | | | $ | (2,035,154 | ) | | $ | — | |
Goldman Sachs International | | | 3,869,344 | | | | (2,267,811 | ) | | | — | | | | (1,601,533 | ) | | | — | |
J.P. Morgan Securities LLC | | | 1,044,167 | | | | — | | | | — | | | | (1,044,167 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 6,948,665 | | | $ | (2,267,811 | ) | | $ | — | | | $ | (4,680,854 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | (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. | |
| | |
| 68 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series M 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 | | $ | — | | | $ | 3,205,790 | | | $ | — | | | $ | 3,205,790 | |
Non-Agency Mortgage-Backed Securities | �� | | — | | | | 105,086,901 | | | | — | | | | 105,086,901 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 2,164,778,690 | | | | — | | | | 2,164,778,690 | |
U.S. Treasury Obligations | | | — | | | | 13,860,642 | | | | — | | | | 13,860,642 | |
Short-Term Securities | | | 33,476,641 | | | | — | | | | — | | | | 33,476,641 | |
Liabilities: | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (1,109,606,353 | ) | | | — | | | | (1,109,606,353 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 33,476,641 | | | $ | 1,177,325,670 | | | $ | — | | | $ | 1,210,802,311 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 1,867,879 | | | $ | — | | | $ | 1,867,879 | |
Interest rate contracts | | | 161,569 | | | | 1,366,654 | | | | — | | | | 1,528,223 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (4,921,652 | ) | | | — | | | | (4,921,652 | ) |
Interest rate contracts | | | (3,390,740 | ) | | | (2,308,310 | ) | | | — | | | | (5,699,050 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (3,229,171 | ) | | $ | (3,995,429 | ) | | $ | — | | | $ | (7,224,600 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps, futures contracts and option written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. | |
See notes to financial statements.
| | | | |
| SCHEDULES OF INVESTMENTS | | | 69 | |
| | |
Schedule of Investments March 31, 2020 | | BATS: Series P Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
Affiliated Investment Companies — 29.6% | |
BlackRock Allocation Target Shares: Series S Portfolio(a) | | | 1,325,779 | | | $ | 12,236,936 | |
| | | | | | | | |
| | | | |
| | | Value | |
| |
Total Affiliated Investment Companies — 29.6%
(Cost: $12,752,096) | | $ | 12,236,936 | |
| |
Other Assets Less Liabilities—70.4% | | | 29,068,227 | |
| | | | |
| |
Net Assets — 100.0% | | $ | 41,305,163 | |
| | | | |
| (a) | Investments in issuers considered to be an affiliate/affiliates of the Fund during the year ended March 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Par/Shares
Held at
03/31/19 | | | Par/Shares
Purchased | | | Par/Shares
Sold | | | Par/Shares
Held at
03/31/20 | | | Value at
03/31/20 | | | Income | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | |
BlackRock Allocation Target Shares: | |
Series S Portfolio | | | 1,636,625 | | | | 209,377 | | | | 520,223 | | | | 1,325,779 | | | $ | 12,236,936 | | | $ | 438,044 | | | $ | (87,804 | ) | | $ | (253,730 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | | 189 | | | | 06/19/20 | | | $ | 26,212 | | | $ | 1,093,673 | |
U.S. Treasury Notes (2 Year) | | | 39 | | | | 06/30/20 | | | | 8,595 | | | | 134,019 | |
U.S. Treasury Notes (5 Year) | | | 17 | | | | 06/30/20 | | | | 2,131 | | | | 64,362 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,292,054 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Ultra Treasury Notes (10 Year) | | | 51 | | | | 06/19/20 | | | | 7,958 | | | | (440,517 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 851,537 | |
| | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | | | Termination Date | | | Notional Amount (000) | | | Value | | Upfront Premium Paid | | | Unrealized Appreciation (Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency | | | | (Received) | |
| 2.91% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 12/17/20 | | | $ | 35,000 | | | $(862,925) | | | | | | $ | 412 | | | $ | (863,337 | ) |
| 3.11% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 05/21/25 | | | $ | 14,320 | | | (2,024,599) | | | | | | | 195 | | | | (2,024,794 | ) |
3-month
LIBOR,
1.45% | | Quarterly | | 1.88% | | Semi-Annual | | | | | 04/30/26 | | | $ | 5,450 | | | 457,040 | | | | | | | 68 | | | | 456,972 | |
| 2.23% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 04/24/27 | | | $ | 26,460 | | | (3,160,406) | | | | | | | 383 | | | | (3,160,789 | ) |
| 2.27% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 05/18/27 | | | $ | 6,500 | | | (801,127) | | | | | | | 94 | | | | (801,221 | ) |
| 2.23% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 08/11/27 | | | $ | 3,850 | | | (452,258) | | | | | | | 61 | | | | (452,319 | ) |
| 2.90% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 11/15/27 | | | $ | 11,152 | | | (2,006,263) | | | | | | | (691 | ) | | | (2,005,572 | ) |
| 3.18% | | Semi-Annual | | 3-month LIBOR, 1.45% | | Quarterly | | | | | 05/21/28 | | | $ | 7,500 | | | (1,595,302) | | | | | | | 111 | | | | (1,595,413 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $(10,445,840) | | | | | | $ | 633 | | | $ | (10,446,473 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 70 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series P Portfolio |
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) | | | $1,324 | | | | $691 | | | | $456,972 | | | | $10,903,445 | |
| | (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 | | Unrealized appreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,292,054 | | | $ | — | | | $ | 1,292,054 | |
Swaps — centrally cleared | | Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 456,972 | | | | — | | | | 456,972 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,749,026 | | | $ | — | | | $ | 1,749,026 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities — Derivative Financial Instruments | |
Futures contracts | | Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 440,517 | | | $ | — | | | $ | 440,517 | |
Swaps — centrally cleared | | Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 10,903,445 | | | | — | | | | 10,903,445 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,343,962 | | | $ | — | | | $ | 11,343,962 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
For the year ended March 31, 2020, 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 | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,386,700 | | | $ | — | | | $ | 1,386,700 | |
Swaps | | | | | | | — | | | | — | | | | — | | | | — | | | | (331,596 | ) | | | — | | | | (331,596 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,055,104 | | | $ | — | | | $ | 1,055,104 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 609,332 | | | $ | — | | | $ | 609,332 | |
Swaps | | | | | | | — | | | | — | | | | — | | | | — | | | | (8,297,910 | ) | | | — | | | | (8,297,910 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (7,688,578 | ) | | $ | — | | | $ | (7,688,578 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 71 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series P Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 37,193,460 | |
Average notional value of contracts — short | | | 5,221,195 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 104,782,000 | |
Average notional value — receives fixed rate | | | 5,450,000 | |
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.
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 | | $ | 12,236,936 | | | $ | — | | | $ | — | | | $ | 12,236,936 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | 1,292,054 | | | $ | 456,972 | | | $ | — | | | $ | 1,749,026 | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (440,517 | ) | | | (10,903,445 | ) | | | — | | | | (11,343,962 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 851,537 | | | $ | (10,446,473 | ) | | $ | — | | | $ | (9,594,936 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | |
| 72 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedules of Investments March 31, 2020 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
Asset-Backed Securities — 31.2% | | | | | | | | |
American Express Credit Account Master Trust: | | | | | | | | |
Series 2018-5, Class A, (1 mo. LIBOR US + 0.340%), 1.05%, 12/15/25(a) | | $ | 3,390 | | | $ | 3,223,154 | |
Series 2019-2, Class A, 2.67%, 11/15/24 | | | 4,935 | | | | 5,071,976 | |
ARI Fleet Lease Trust,Series 2020-A, Class A3, 1.80%, 08/15/28(b)(c) | | | 210 | | | | 213,171 | |
BMW Vehicle Owner Trust,Series 2019-A, Class A4, 1.95%, 01/26/26 | | | 1,290 | | | | 1,270,888 | |
Capital One Multi-Asset Execution Trust,Series 2019-A2, Class A2, 1.72%, 08/15/24 | | | 2,180 | | | | 2,201,008 | |
Citibank Credit Card Issuance Trust: | | | | | | | | |
Series 2017-A7, Class A7, (1 mo. LIBOR US + 0.370%), 1.29%, 08/08/24(a) | | | 4,000 | | | | 3,943,201 | |
Series 2018-A4, Class A4, (1 mo. LIBOR US + 0.340%), 1.33%, 06/07/25(a) | | | 500 | | | | 474,801 | |
CNH Equipment Trust,Series 2019-B, Class A3, 2.52%, 08/15/24 | | | 2,500 | | | | 2,544,840 | |
Credit Acceptance Auto Loan Trust: | | | | | | | | |
Series 2019-3A, Class A, 2.38%, 11/15/28(b) | | | 600 | | | | 580,477 | |
Series 2020-1A, Class A, 2.01%, 02/15/29(b) | | | 1,310 | | | | 1,215,337 | |
Discover Card Execution Notes Trust,Series 2017-A5, Class A5, (1 mo. LIBOR US + 0.600%), 1.31%, 12/15/26(a) | | | 925 | | | | 887,607 | |
Drive Auto Receivables Trust,Series 2019-4, Class A3, 2.16%, 05/15/23 | | | 840 | | | | 839,567 | |
Enterprise Fleet Financing LLC: | | | | | | | | |
Series 2017-1, Class A2, 2.13%, 07/20/22(b) | | | 4 | | | | 3,804 | |
Series 2017-1, Class A3, 2.60%, 07/20/22(b) | | | 210 | | | | 209,398 | |
Series 2019-1, Class A2, 2.98%, 10/20/24(b) | | | 1,816 | | | | 1,817,760 | |
Ford Credit Auto Lease Trust,Series 2019-B, Class A2A, 2.28%, 02/15/22 | | | 865 | | | | 865,014 | |
Ford Credit Auto Owner Trust,Series 2019-C, Class A4, 1.93%, 04/15/25 | | | 880 | | | | 879,245 | |
Ford Credit Floorplan Master Owner Trust A,Series 2019-4, Class A, 2.44%, 09/15/26 | | | 1,680 | | | | 1,679,940 | |
GM Financial Automobile Leasing Trust,Series 2019-2, Class A2A, 2.67%, 06/21/21 | | | 1,284 | | | | 1,283,981 | |
GMF Floorplan Owner Revolving Trust,Series 2019-1, Class A, 2.70%, 04/15/24(b) | | | 1,850 | | | | 1,842,403 | |
Honda Auto Receivables Owner Trust: | | | | | | | | |
Series 2016-4, Class A4, 1.36%, 01/18/23 | | | 579 | | | | 579,059 | |
Series 2019-3, Class A4, 1.85%, 08/15/25 | | | 790 | | | | 797,553 | |
Series 2019-4, Class A4, 1.87%, 01/20/26 | | | 500 | | | | 490,629 | |
Series 2020-1, Class A4, 1.63%, 10/21/26 | | | 900 | | | | 895,168 | |
Hyundai Auto Receivables Trust,Series 2018-B, Class A3, 3.20%, 12/15/22 | | | 1,680 | | | | 1,701,124 | |
Mercedes-Benz Master Owner Trust,Series 2019-BA, Class A, 2.61%, 05/15/24(b) | | | 1,750 | | | | 1,739,318 | |
Mill City Mortgage Loan Trust,Series 2016-1, Class A1, 2.50%, 04/25/57(b)(d) | | | 405 | | | | 401,603 | |
Navient Private Education Refi Loan Trust: | | | | | | | | |
Series 2019-CA, Class A2, 3.13%, 02/15/68(b) | | | 780 | | | | 767,886 | |
Series 2019-FA, Class A1, 2.18%, 08/15/68(b) | | | 327 | | | | 326,065 | |
Series 2019-GA, Class A, 2.40%, 10/15/68(b) | | | 1,918 | | | | 1,932,066 | |
SLM Private Education Loan Trust,Series 2011-A, Class A3, (1 mo. LIBOR US + 2.500%), 3.21%, 01/15/43(a)(b) | | | 252 | | | | 252,092 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
SLM Student Loan Trust,Series 2013-4, Class A, (1 mo. LIBOR US + 0.550%), 1.50%, 06/25/43(a) | | $ | 261 | | | $ | 249,990 | |
SMB Private Education Loan Trust,Series 2016-B, Class A2A, 2.43%, 02/17/32(b) | | | 444 | | | | 447,032 | |
SoFi Professional Loan Program LLC: | | | | | | | | |
Series 2015-B, Class A2, 2.51%, 09/27/32(b) | | | 450 | | | | 449,521 | |
Series 2015-D, Class A2, 2.72%, 10/27/36(b) | | | 240 | | | | 238,590 | |
Series 2016-A, Class A2, 2.76%, 12/26/36(b) | | | 777 | | | | 782,900 | |
Series 2016-C, Class A2B, 2.36%, 12/27/32(b) | | | 80 | | | | 80,423 | |
Series 2016-D, Class A2B, 2.34%, 04/25/33(b) | | | 76 | | | | 76,184 | |
Series 2016-E, Class A2B, 2.49%, 01/25/36(b) | | | 254 | | | | 254,988 | |
SoFi Professional Loan Program Trust,Series 2020-A, Class A2FX, 2.54%, 05/15/46(b) | | | 380 | | | | 367,523 | |
Springleaf Funding Trust,Series 2015-BA, Class A, 3.48%, 05/15/28(b) | | | 1,000 | | | | 968,809 | |
Towd Point Mortgage Trust,Series 2016-3, Class A1, 2.25%, 04/25/56(b)(d) | | | 265 | | | | 261,701 | |
Verizon Owner Trust,Series 2020-A, Class A1A, 1.85%, 07/22/24 | | | 620 | | | | 604,870 | |
| | | | | | | | |
| | |
Total Asset-Backed Securities — 31.2%
(Cost: $46,023,370) | | | | | | | 45,712,666 | |
| | | | | | | | |
| | |
Capital Trusts — 0.1% | | | | | | | | |
| | |
| Multi-Utilities — 0.1% | | | | | | |
Dominion Energy, Inc., 2.58%, 07/01/20 | | | 110 | | | | 109,868 | |
| | | | | | | | |
| | |
Total Capital Trusts — 0.1%
(Cost: $110,009) | | | | | | | 109,868 | |
| | | | | | | | |
| | |
Corporate Bonds — 50.8% | | | | | | | | |
| | |
| Aerospace & Defense — 0.4% | | | | | | |
Boeing Co., 2.80%, 03/01/23 | | | 450 | | | | 421,551 | |
Raytheon Technologies Corp., 3.65%, 08/16/23(e) | | | 102 | | | | 107,254 | |
| | | | | | | | |
| | | | | | | 528,805 | |
| | |
| Airlines — 0.4% | | | | | | |
Delta Air Lines, Inc., 3.63%, 03/15/22 | | | 625 | | | | 577,231 | |
| | | | | | | | |
| | |
| Automobiles — 0.3% | | | | | | |
Daimler Finance North America LLC, 3.35%, 05/04/21(b) | | | 150 | | | | 148,482 | |
Volkswagen Group of America Finance LLC, 2.40%, 05/22/20(b) | | | 315 | | | | 313,938 | |
| | | | | | | | |
| | | | | | | 462,420 | |
| | |
| Banks — 10.0% | | | | | | |
Banco Santander SA, 2.71%, 06/27/24 | | | 200 | | | | 196,169 | |
Bank of America Corp.: | | | | | | | | |
3.30%, 01/11/23(e) | | | 545 | | | | 564,642 | |
(3 mo. LIBOR US + 1.021%),
2.88%, 04/24/23(e)(f) | | | 2,440 | | | | 2,449,943 | |
(3 mo. LIBOR US + 0.780%), 3.55%, 03/05/24(f) | | | 750 | | | | 780,082 | |
Bank of Montreal, 2.50%, 06/28/24 | | | 300 | | | | 293,173 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 73 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Banks (continued) | | | | | | |
Citigroup, Inc., 2.75%, 04/25/22 | | $ | 30 | | | $ | 30,163 | |
Discover Bank, 2.45%, 09/12/24 | | | 250 | | | | 235,959 | |
Fifth Third Bancorp: | | | | | | | | |
3.65%, 01/25/24(e) | | | 400 | | | | 415,902 | |
2.38%, 01/28/25 | | | 430 | | | | 408,678 | |
ING Groep NV, 4.10%, 10/02/23 | | | 325 | | | | 333,547 | |
JPMorgan Chase & Co.: | | | | | | | | |
(3 mo. LIBOR US + 0.610%),
1.50%, 06/18/22(a)(e) | | | 810 | | | | 778,815 | |
3.25%, 09/23/22 | | | 200 | | | | 206,262 | |
(3 mo. LIBOR US + 0.935%), 2.78%, 04/25/23(e)(f) | | | 905 | | | | 916,667 | |
2.70%, 05/18/23(e) | | | 500 | | | | 513,152 | |
(3 mo. LIBOR US + 0.890%), 3.80%, 07/23/24(f) | | | 305 | | | | 319,240 | |
(3 mo. LIBOR US + 1.000%), 4.02%, 12/05/24(e)(f) | | | 700 | | | | 741,703 | |
Lloyds Bank PLC, 2.70%, 08/17/20(e) | | | 550 | | | | 543,291 | |
Lloyds Banking Group PLC, 3.00%, 01/11/22 | | | 420 | | | | 416,314 | |
Mitsubishi UFJ Financial Group, Inc., 3.54%, 07/26/21 | | | 75 | | | | 75,647 | |
Royal Bank of Scotland Group PLC, 3.88%, 09/12/23 | | | 305 | | | | 313,034 | |
Sumitomo Mitsui Financial Group, Inc.: | | | | | | | | |
2.44%, 10/19/21 | | | 375 | | | | 374,789 | |
2.85%, 01/11/22(e) | | | 605 | | | | 608,324 | |
Truist Bank, 1.25%, 03/09/23(e) | | | 1,570 | | | | 1,533,612 | |
Wells Fargo & Co.: | | | | | | | | |
3.07%, 01/24/23 | | | 1,295 | | | | 1,308,701 | |
3.75%, 01/24/24 | | | 220 | | | | 232,502 | |
| | | | | | | | |
| | | | | | | 14,590,311 | |
| | |
| Beverages — 0.4% | | | | | | |
Anheuser-Busch InBev Worldwide, Inc., 4.15%, 01/23/25 | | | 500 | | | | 536,755 | |
| | | | | | | | |
| | |
| Biotechnology — 0.7% | | | | | | |
AbbVie, Inc.: | | | | | | | | |
2.50%, 05/14/20(e) | | | 545 | | | | 545,038 | |
3.75%, 11/14/23 | | | 320 | | | | 331,555 | |
Gilead Sciences, Inc., 3.70%, 04/01/24 | | | 130 | | | | 136,347 | |
| | | | | | | | |
| | | | | | | 1,012,940 | |
| | |
| Capital Markets — 4.3% | | | | | | |
Credit Suisse AG, 3.63%, 09/09/24(e) | | | 1,000 | | | | 1,056,048 | |
Credit Suisse Group AG, 3.57%, 01/09/23(b) | | | 625 | | | | 630,625 | |
Credit Suisse Group Funding Guernsey Ltd., 3.13%, 12/10/20(e) | | | 525 | | | | 524,474 | |
Deutsche Bank AG, 4.25%, 02/04/21 | | | 370 | | | | 355,304 | |
Goldman Sachs Group, Inc., 3.50%, 01/23/25(e). | | | 450 | | | | 460,053 | |
Morgan Stanley: | | | | | | | | |
3.13%, 01/23/23 | | | 170 | | | | 174,102 | |
(Secured Overnight Financing Rate + 1.152%), 2.72%, 07/22/25(e)(f) | | | 1,000 | | | | 1,001,956 | |
UBS Group AG: | | | | | | | | |
2.65%, 02/01/22(b) | | | 200 | | | | 196,885 | |
3.49%, 05/23/23(b) | | | 765 | | | | 773,399 | |
(3 mo. LIBOR US + 0.954%),
2.86%, 08/15/23(b)(e)(f) | | | 1,100 | | | | 1,090,762 | |
| | | | | | | | |
| | | | | | | 6,263,608 | |
| | |
| Chemicals — 1.3% | | | | | | |
DuPont de Nemours, Inc., 4.21%, 11/15/23 | | | 1,800 | | | | 1,895,329 | |
| | | | | | | | |
| | |
| Commercial Services & Supplies — 0.1% | | | | | | |
Waste Management, Inc., 2.95%, 06/15/24 | | | 100 | | | | 101,665 | |
| | | | | | | | |
| | |
| Consumer Finance — 3.9% | | | | | | |
American Express Co., 3.00%, 10/30/24 | | | 500 | | | | 511,453 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Consumer Finance (continued) | | | | | | |
Capital One Bank USA NA, (Secured Overnight Financing Rate + 0.911%), 2.28%, 01/28/26(e)(f) | | $ | 600 | | | $ | 539,697 | |
Capital One Financial Corp., 3.90%, 01/29/24 | | | 400 | | | | 400,762 | |
ERAC USA Finance LLC, 2.60%, 12/01/21(b) | | | 350 | | | | 350,422 | |
Ford Motor Credit Co. LLC: | | | | | | | | |
2.43%, 06/12/20 | | | 200 | | | | 194,500 | |
5.58%, 03/18/24 | | | 500 | | | | 475,000 | |
General Motors Financial Co., Inc.: | | | | | | | | |
4.20%, 03/01/21 | | | 285 | | | | 274,283 | |
3.20%, 07/06/21(e) | | | 1,895 | | | | 1,803,896 | |
3.25%, 01/05/23 | | | 405 | | | | 367,430 | |
Nissan Motor Acceptance Corp.: | | | | | | | | |
2.15%, 07/13/20(b) | | | 340 | | | | 337,993 | |
3.88%, 09/21/23(b)(e) | | | 250 | | | | 249,240 | |
Synchrony Financial, 2.85%, 07/25/22 | | | 280 | | | | 265,850 | |
| | | | | | | | |
| | | | | | | 5,770,526 | |
| | |
| Containers & Packaging — 0.0% | | | | | | |
WRKCo, Inc., 3.75%, 03/15/25 | | | 70 | | | | 70,369 | |
| | | | | | | | |
| | |
| Diversified Financial Services — 1.9% | | | | | | |
AerCap Ireland Capital DAC/AerCap Global | | | | | | | | |
Aviation Trust: | | | | | | | | |
3.95%, 02/01/22 | | | 900 | | | | 815,098 | |
3.50%, 05/26/22 | | | 370 | | | | 327,552 | |
2.88%, 08/14/24 | | | 250 | | | | 199,049 | |
3.50%, 01/15/25 | | | 450 | | | | 364,880 | |
CK Hutchison International 16 Ltd., 1.88%, 10/03/21(b) | | | 295 | | | | 293,986 | |
GE Capital International Funding Co.,
2.34%, 11/15/20(e) | | | 570 | | | | 560,416 | |
Hyundai Capital America, 2.55%, 04/03/20 | | | 215 | | | | 214,922 | |
| | | | | | | | |
| | | | | | | 2,775,903 | |
| |
| Diversified Telecommunication Services — 1.9% | | | | |
AT&T Inc.: | | | | | | | | |
3.20%, 03/01/22 | | | 50 | | | | 50,696 | |
3.60%, 02/17/23(e) | | | 400 | | | | 410,957 | |
4.05%, 12/15/23(e) | | | 600 | | | | 628,985 | |
3.95%, 01/15/25(e) | | | 100 | | | | 105,599 | |
Verizon Communications, Inc.: | | | | | | | | |
3.50%, 11/01/24 | | | 600 | | | | 638,335 | |
3.38%, 02/15/25(e) | | | 667 | | | | 712,491 | |
3.88%, 02/08/29 | | | 195 | | | | 215,653 | |
| | | | | | | | |
| | | | | | | 2,762,716 | |
| | |
| Electric Utilities — 0.9% | | | | | | |
Duke Energy Corp., 3.95%, 10/15/23(e) | | | 590 | | | | 614,756 | |
FirstEnergy Corp., 2.85%, 07/15/22 | | | 159 | | | | 155,088 | |
ITC Holdings Corp., 2.70%, 11/15/22 | | | 85 | | | | 84,282 | |
NextEra Energy Capital Holdings, Inc., 3.15%, 04/01/24(e) | | | 500 | | | | 511,611 | |
| | | | | | | | |
| | | | | | | 1,365,737 | |
| | |
| Electrical Equipment — 0.1% | | | | | | |
Otis Worldwide Corp., 2.06%, 04/05/25(b) | | | 205 | | | | 200,354 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 0.2% | |
Amphenol Corp., 2.20%, 04/01/20 | | | 290 | | | | 290,000 | |
| | | | | | | | |
| | |
| Energy Equipment & Services — 0.2% | | | | | | |
Baker Hughes a GE Co. LLC/Baker HughesCo-Obligor, Inc., 2.77%, 12/15/22 | | | 225 | | | | 214,228 | |
Halliburton Co., 3.50%, 08/01/23 | | | 47 | | | | 44,294 | |
| | | | | | | | |
| | | | | | | 258,522 | |
| | |
| 74 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) — 1.9% | |
American Tower Corp.: | | | | | | | | |
3.45%, 09/15/21 | | $ | 200 | | | $ | 201,288 | |
2.25%, 01/15/22 | | | 140 | | | | 136,682 | |
3.50%, 01/31/23 | | | 750 | | | | 753,837 | |
3.00%, 06/15/23 | | | 300 | | | | 300,394 | |
2.40%, 03/15/25 | | | 155 | | | | 152,173 | |
Crown Castle International Corp., 3.20%, 09/01/24 | | | 385 | | | | 383,799 | |
Equinix, Inc., 2.63%, 11/18/24 | | | 885 | | | | 844,078 | |
| | | | | | | | |
| | | | | | | 2,772,251 | |
| | |
| Food & Staples Retailing — 1.2% | | | | | | |
Alimentation Couche-Tard, Inc., 2.70%, 07/26/22(b) | | | 350 | | | | 345,996 | |
CVS Health Corp.: | | | | | | | | |
2.75%, 12/01/22(e) | | | 900 | | | | 906,275 | |
4.10%, 03/25/25(e) | | | 500 | | | | 528,916 | |
| | | | | | | | |
| | | | | | | 1,781,187 | |
| | |
| Food Products — 0.3% | | | | | | |
Conagra Brands, Inc., (3 mo. LIBOR US + 0.750%), 2.55%, 10/22/20(a) | | | 253 | | | | 250,322 | |
General Mills, Inc., 3.70%, 10/17/23 | | | 75 | | | | 76,343 | |
Tyson Foods, Inc., 3.90%, 09/28/23 | | | 115 | | | | 119,465 | |
| | | | | | | | |
| | | | | | | 446,130 | |
|
| Health Care Equipment & Supplies — 0.2% | |
Becton Dickinson and Co., 2.40%, 06/05/20 | | | 280 | | | | 279,128 | |
| | | | | | | | |
| | |
| Health Care Providers & Services — 0.1% | | | | | | |
Anthem, Inc.: | | | | | | | | |
2.95%, 12/01/22 | | | 50 | | | | 51,129 | |
2.38%, 01/15/25 | | | 65 | | | | 64,361 | |
| | | | | | | | |
| | | | | | | 115,490 | |
|
| Hotels, Restaurants & Leisure — 0.1% | |
Mcdonald’S Corp., 1.45%, 09/01/25 | | | 105 | | | | 99,974 | |
| | | | | | | | |
| | |
| Industrial Conglomerates — 0.3% | | | | | | |
Carrier Global Corp., 2.24%, 02/15/25(b) | | | 475 | | | | 461,432 | |
| | | | | | | | |
| | |
| Internet Software & Services — 0.2% | | | | | | |
Baidu, Inc., 2.88%, 07/06/22 | | | 300 | | | | 305,066 | |
| | | | | | | | |
| | |
| IT Services — 0.9% | | | | | | |
Fiserv, Inc., 2.75%, 07/01/24(e) | | | 635 | | | | 637,415 | |
Global Payments, Inc., 3.75%, 06/01/23 | | | 145 | | | | 149,752 | |
International Business Machines Corp., 3.00%, 05/15/24(e) | | | 510 | | | | 537,299 | |
| | | | | | | | |
| | | | | | | 1,324,466 | |
| | |
| Machinery — 0.2% | | | | | | |
Xylem, Inc., 4.88%, 10/01/21 | | | 220 | | | | 226,396 | |
| | | | | | | | |
| | |
| Media — 1.6% | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 07/23/22 | | | 135 | | | | 140,028 | |
Discovery Communications LLC, 2.95%, 03/20/23(e) | | | 900 | | | | 905,218 | |
Interpublic Group of Cos., Inc.: | | | | | | | | |
3.50%, 10/01/20 | | | 135 | | | | 132,950 | |
3.75%, 10/01/21 | | | 45 | | | | 45,434 | |
ViacomCBS, Inc.: | | | | | | | | |
4.50%, 03/01/21 | | | 60 | | | | 60,404 | |
3.38%, 03/01/22 | | | 9 | | | | 8,958 | |
2.50%, 02/15/23 | | | 112 | | | | 108,206 | |
4.25%, 09/01/23 | | | 80 | | | | 81,582 | |
3.88%, 04/01/24(e) | | | 900 | | | | 880,683 | |
| | | | | | | | |
| | | | | | | 2,363,463 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Metals & Mining — 0.1% | | | | | | |
Anglo American Capital PLC, 4.13%, 04/15/21(b) | | $ | 200 | | | $ | 197,073 | |
| | | | | | | | |
| | |
| Multi-Utilities — 0.5% | | | | | | |
Alliant Energy Finance LLC, 3.75%, 06/15/23(b) | | | 245 | | | | 253,276 | |
CenterPoint Energy, Inc., 2.50%, 09/01/22 | | | 270 | | | | 263,900 | |
Sempra Energy, (3 mo. LIBOR US + 0.500%), 2.33%, 01/15/21(a) | | | 220 | | | | 208,391 | |
| | | | | | | | |
| | | | | | | 725,567 | |
| | |
| Oil, Gas & Consumable Fuels — 4.6% | | | | | | |
Apache Corp., 3.25%, 04/15/22 | | | 99 | | | | 74,329 | |
Canadian Natural Resources Ltd., 2.95%, 01/15/23 | | | 125 | | | | 108,417 | |
Diamondback Energy, Inc., 2.88%, 12/01/24 | | | 655 | | | | 457,515 | |
Enbridge, Inc., 2.90%, 07/15/22 | | | 225 | | | | 203,380 | |
Energy Transfer Operating LP: | | | | | | | | |
3.60%, 02/01/23 | | | 150 | | | | 133,360 | |
4.50%, 04/15/24(e) | | | 500 | | | | 445,953 | |
2.90%, 05/15/25 | | | 360 | | | | 301,025 | |
EOG Resources, Inc., 2.45%, 04/01/20 | | | 345 | | | | 345,000 | |
Kinder Morgan Energy Partners LP: | | | | | | | | |
5.80%, 03/01/21(e) | | | 635 | | | | 639,315 | |
4.15%, 02/01/24 | | | 600 | | | | 601,833 | |
MPLX LP: | | | | | | | | |
6.25%, 10/15/22(b) | | | 53 | | | | 47,712 | |
3.50%, 12/01/22(b) | | | 145 | | | | 138,827 | |
Occidental Petroleum Corp.: | | | | | | | | |
2.70%, 08/15/22(e) | | | 660 | | | | 470,610 | |
2.90%, 08/15/24 | | | 200 | | | | 109,465 | |
Ovintiv, Inc., 3.90%, 11/15/21 | | | 1,035 | | | | 709,853 | |
Pioneer Natural Resources Co., 3.45%, 01/15/21 | | | 385 | | | | 371,294 | |
Sabine Pass Liquefaction LLC, 5.75%, 05/15/24 | | | 500 | | | | 462,978 | |
Western Midstream Operating LP, 3.10%, 02/01/25 | | | 110 | | | | 56,072 | |
Williams Cos., Inc., 3.70%, 01/15/23(e) | | | 1,190 | | | | 1,100,226 | |
| | | | | | | | |
| | | | | | | 6,777,164 | |
| | |
| Pharmaceuticals — 2.2% | | | | | | |
Allergan Finance LLC, 3.25%, 10/01/22(e) | | | 2,415 | | | | 2,421,476 | |
Allergan Funding SCS, 3.45%, 03/15/22 | | | 203 | | | | 210,783 | |
Shire Acquisitions Investments Ireland DAC, 2.40%, 09/23/21 | | | 93 | | | | 92,221 | |
Takeda Pharmaceutical Co. Ltd., 4.40%, 11/26/23 | | | 530 | | | | 557,865 | |
| | | | | | | | |
| | | | | | | 3,282,345 | |
| | |
| Road & Rail — 2.5% | | | | | | |
Penske Truck Leasing Co. LP/PTL Finance Corp.: | | | | | | | | |
3.20%, 07/15/20(b) | | | 1,360 | | | | 1,353,185 | |
3.38%, 02/01/22(b) | | | 440 | | | | 444,830 | |
2.70%, 03/14/23(b)(e) | | | 505 | | | | 498,892 | |
2.70%, 11/01/24(b) | | | 190 | | | | 177,290 | |
Ryder System, Inc.: | | | | | | | | |
2.88%, 09/01/20(e) | | | 948 | | | | 943,790 | |
3.65%, 03/18/24 | | | 300 | | | | 301,931 | |
| | | | | | | | |
| | | | | | | 3,719,918 | |
|
| Semiconductors & Semiconductor Equipment — 2.0% | |
Broadcom Corp./Broadcom Cayman Finance Ltd.: | | | | | | | | |
3.00%, 01/15/22 | | | 314 | | | | 310,505 | |
3.63%, 01/15/24 | | | 650 | | | | 638,483 | |
Broadcom, Inc., 3.63%, 10/15/24(b)(e) | | | 500 | | | | 492,027 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 75 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Semiconductors & Semiconductor Equipment (continued) | |
KLA Corp., 4.65%, 11/01/24 | | $ | 300 | | | $ | 316,520 | |
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.88%, 06/18/26(b)(e) | | | 500 | | | | 486,405 | |
QUALCOMM, Inc., 2.90%, 05/20/24(e) | | | 500 | | | | 517,570 | |
Texas Instruments, Inc., 1.38%, 03/12/25 | | | 165 | | | | 163,737 | |
| | | | | | | | |
| | | | | | | 2,925,247 | |
| | |
| Software — 0.2% | | | | | | |
CA, Inc., 3.60%, 08/15/22 | | | 265 | | | | 248,444 | |
| | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 1.3% | |
Dell International LLC/EMC Corp.: | | | | | | | | |
4.42%, 06/15/21(b) | | | 200 | | | | 199,956 | |
5.45%, 06/15/23(b) | | | 1,000 | | | | 1,027,651 | |
Hewlett Packard Enterprise Co., 3.60%, 10/15/20(e) | | | 600 | | | | 600,727 | |
| | | | | | | | |
| | | | | | | 1,828,334 | |
| | |
| Tobacco — 2.1% | | | | | | |
Altria Group, Inc.: | | | | | | | | |
2.85%, 08/09/22 | | | 300 | | | | 301,460 | |
3.80%, 02/14/24 | | | 320 | | | | 324,348 | |
BAT Capital Corp.: | | | | | | | | |
2.76%, 08/15/22(e) | | | 1,860 | | | | 1,828,006 | |
2.79%, 09/06/24(e) | | | 700 | | | | 676,736 | |
| | | | | | | | |
| | | | | | | 3,130,550 | |
| |
| Trading Companies & Distributors — 1.0% | | | | |
Air Lease Corp.: | | | | | | | | |
3.38%, 06/01/21 | | | 155 | | | | 139,462 | |
2.63%, 07/01/22(e) | | | 650 | | | | 554,457 | |
2.25%, 01/15/23 | | | 335 | | | | 278,332 | |
International Lease Finance Corp., 4.63%, 04/15/21 | | | 468 | | | | 432,063 | |
| | | | | | | | |
| | | | | | | 1,404,314 | |
|
| 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) | | | 75 | | | | 74,625 | |
4.74%, 09/20/29(b) | | | 400 | | | | 408,000 | |
| | | | | | | | |
| | | | | | | 482,625 | |
| | | | | | | | |
| | |
Total Corporate Bonds — 50.8%
(Cost: $77,137,781) | | | | | | | 74,359,755 | |
| | | | | | | | |
|
| Foreign Agency Obligations — 0.3% | |
| | |
| Chile — 0.1% | | | | | | |
Empresa Nacional del Petroleo, 5.25%, 8/10/20(b) | | | 200 | | | | 200,750 | |
| | | | | | | | |
| | |
| Saudi Arabia — 0.2% | | | | | | |
Saudi Arabian Oil Co., 2.88%, 4/16/24(b) | | | 220 | | | | 213,950 | |
| | | | | | | | |
| | |
Total Foreign Agency Obligations — 0.3%
(Cost: $419,350) | | | | | | | 414,700 | |
| | | | | | | | |
|
| Non-Agency Mortgage-Backed Securities — 29.3% | |
| | |
| Collateralized Mortgage Obligations — 2.6% | | | | | | |
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3, 3.50%, 07/25/49(b)(d) | | | 817 | | | | 827,900 | |
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A, 3.59%, 05/20/34(d) | | | 38 | | | | 33,400 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Flagstar Mortgage Trust, Series 2020-1INV, Class A11, (1 mo. LIBOR US + 0.850%), 1.80%, 03/25/50(a)(b) | | $ | 1,485 | | | $ | 1,378,574 | |
JP Morgan Mortgage Trust: | | | | | | | | |
Series 2015-3, Class A5, 3.50%, 05/25/45(b)(d) | | | 410 | | | | 406,578 | |
Series 2016-2, Class A1, 2.82%, 06/25/46(b)(d) | | | 418 | | | | 412,377 | |
New Residential Mortgage Loan Trust,Series 2020-1A, Class A1B, 3.50%, 10/25/59(b)(d) | | | 755 | | | | 757,894 | |
| | | | | | | | |
| | | | | | | 3,816,723 | |
|
| Commercial Mortgage-Backed Securities — 26.4% | |
BANK, Series 2019-BN18, Class A2, 3.47%, 05/15/62 | | | 1,250 | | | | 1,304,461 | |
BX Commercial Mortgage Trust: | | | | | | | | |
Series 2019-XL, Class A, (1 mo. LIBOR US + 0.920%), 1.63%, 10/15/36(a)(b) | | | 1,093 | | | | 1,039,624 | |
Series 2020-BXLP, Class A, (1 mo. LIBOR US + 0.800%), 1.51%, 12/15/36(a)(b) | | | 475 | | | | 440,517 | |
CGMS Commercial Mortgage Trust,Series 2017-B1, Class AAB, 3.24%, 08/15/50 | | | 1,210 | | | | 1,260,853 | |
Citigroup Commercial Mortgage Trust: | | | | | | | | |
Series 2014-GC21, Class A5, 3.86%, 05/10/47 | | | 761 | | | | 797,497 | |
Series 2016-C2, Class AAB, 2.71%, 08/10/49 | | | 1,986 | | | | 2,016,542 | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2013-CR6, Class ASB, 2.62%, 03/10/46 | | | 394 | | | | 395,786 | |
Series 2013-SFS, Class A1, 1.87%, 04/12/35(b) | | | 165 | | | | 161,306 | |
Series 2014-UBS2, Class A2, 2.82%, 03/10/47 | | | 3 | | | | 2,661 | |
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | | | 1,000 | | | | 1,042,041 | |
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47 | | | 1,055 | | | | 1,084,051 | |
Series 2015-CR23, Class A2, 2.85%, 05/10/48 | | | 1,159 | | | | 1,158,233 | |
GS Mortgage Securities Trust: | | | | | | | | |
Series 2012-ALOH, Class A, 3.55%, 04/10/34(b) | | | 951 | | | | 942,877 | |
Series 2013-GC13, Class A5, 4.05%, 07/10/46(d) | | | 625 | | | | 661,882 | |
Series 2013-GC16, Class AAB, 3.81%, 11/10/46 | | | 1,151 | | | | 1,187,704 | |
Series 2015-GC30, Class AAB, 3.12%, 05/10/50 | | | 1,100 | | | | 1,124,095 | |
Series 2015-GC34, Class AAB, 3.28%, 10/10/48 | | | 2,000 | | | | 2,061,345 | |
GSCG Trust, Series 2019-600C, Class A, 2.94%, 09/06/34(b) | | | 750 | | | | 728,219 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, (1 mo. LIBOR US + 1.150%),
1.86%, 05/15/38(a)(b) | | | 552 | | | | 451,803 | |
JPMBB Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2014-C21, Class A5, 3.78%, 08/15/47 . | | | 500 | | | | 527,885 | |
Series 2014-C25, Class A4A1, 3.41%, 11/15/47 | | | 500 | | | | 521,428 | |
Series 2015-C28, Class ASB, 3.04%, 10/15/48 | | | 1,671 | | | | 1,699,335 | |
| | |
| 76 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | | | | | | |
Series 2012-CBX, Class A4, 3.48%, 06/15/45 | | $ | 2,860 | | | $ | 2,900,655 | |
Series 2012-HSBC, Class D,
4.68%, 07/05/32(b)(d) | | | 745 | | | | 733,796 | |
Series 2017-JP6, Class A3, 3.11%, 07/15/50 | | | 850 | | | | 868,137 | |
Series 2019-BKWD, Class A, (1 mo. LIBOR US + 1.000%), 1.71%, 09/15/29(a)(b) | | | 241 | | | | 223,979 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | |
Series 2013-C7, Class A4, 2.92%, 02/15/46 | | | 2,735 | | | | 2,743,421 | |
Series 2013-C8, Class A4, 3.13%, 12/15/48 | | | 700 | | | | 705,996 | |
Series 2013-C10, Class A4,
4.08%, 07/15/46(d) | | | 2,000 | | | | 2,106,472 | |
Series 2014-C15, Class A4, 4.05%, 04/15/47 . | | | 230 | | | | 240,376 | |
Series 2015-C25, Class A4, 3.37%, 10/15/48 . | | | 330 | | | | 338,790 | |
Series 2016-C30, Class ASB, 2.73%, 09/15/49 | | | 268 | | | | 272,922 | |
Morgan Stanley Capital I Trust: | | | | | | | | |
Series 2012-C4, Class A3, 2.99%, 03/15/45 | | | 446 | | | | 446,550 | |
Series 2012-C4, Class A4, 3.24%, 03/15/45 | | | 1,900 | | | | 1,911,399 | |
Series 2014-CPT, Class A, 3.35%, 07/13/29(b) | | | 1,800 | | | | 1,772,868 | |
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class ASB, 3.24%, 12/15/47 | | | 1,902 | | | | 1,941,452 | |
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5, 4.05%, 03/15/47 | | | 721 | | | | 768,079 | |
| | | | | | | | |
| | | | | | | 38,585,037 | |
|
Interest Only Commercial Mortgage-Backed
Securities — 0.3% | |
Citigroup Commercial Mortgage Trust,Series 2015-P1, Class XA, 0.72%, 09/15/48(d) | | | 4,631 | | | | 149,947 | |
Commercial Mortgage Trust: | | | | | | | | |
Series 2015-CR23, Class XA,
0.92%, 05/10/48(d) | | | 2,209 | | | | 73,934 | |
Series 2015-LC21, Class XA,
0.75%, 07/10/48(d) | | | 5,236 | | | | 139,719 | |
CSAIL Commercial Mortgage Trust,Series 2016-C6, Class XA, 1.90%, 01/15/49(d) | | | 755 | | | | 58,887 | |
| | | | | | | | |
| | | | | | | 422,487 | |
| | | | | | | | |
| |
TotalNon-Agency Mortgage-Backed
Securities — 29.3%
(Cost: $43,707,709) | | | | 42,824,247 | |
| | | | | | | | |
|
U.S. Government Sponsored Agency
Securities — 35.5% | |
|
| Collateralized Mortgage Obligations — 4.5% | |
Fannie Mae,Series 2018-21, Class CA, 3.50%, 04/25/45 | | | 1,277 | | | | 1,363,317 | |
Freddie Mac: | | | | | | | | |
Series 3959, Class MA, 4.50%, 11/15/41 | | | 144 | | | | 158,193 | |
Series 3986, Class M, 4.50%, 09/15/41 | | | 166 | | | | 178,246 | |
Series 4253, Class PA, 3.50%, 08/15/41 | | | 294 | | | | 302,515 | |
Series 4274, Class PN, 3.50%, 10/15/35 | | | 293 | | | | 312,659 | |
Series 4390, Class CA, 3.50%, 06/15/50 | | | 331 | | | | 353,324 | |
Series 4459, Class BN, 3.00%, 08/15/43 | | | 628 | | | | 668,309 | |
Series 4482, Class DH, 3.00%, 06/15/42 | | | 324 | | | | 337,227 | |
Series 4493, Class PA, 3.00%, 02/15/44 | | | 485 | | | | 514,157 | |
Series 4494, Class KA, 3.75%, 10/15/42 | | | 536 | | | | 568,331 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Series 4777, Class CB, 3.50%, 10/15/45 | | $ | 1,681 | | | $ | 1,745,858 | |
| | | | | | | | |
| | | | | | | 6,502,136 | |
| | |
| Mortgage-Backed Securities — 31.0% | | | | | | |
Fannie Mae Mortgage-Backed Securities: | | | | | | | | |
2.50%, 12/01/27-04/01/32(e) | | | 2,428 | | | | 2,524,578 | |
3.00%, 09/01/30-11/01/33(e) | | | 4,429 | | | | 4,662,463 | |
4.00%, 03/01/32-04/01/34(e) | | | 6,294 | | | | 6,692,117 | |
4.50%, 09/01/26-01/01/48(e) | | | 5,134 | | | | 5,619,024 | |
5.00%, 05/01/21-07/01/25 | | | 8 | | | | 8,365 | |
(12 mo. LIBOR US + 1.579%),
2.88%, 07/01/44(a)(e) | | | 672 | | | | 676,650 | |
(12 mo. LIBOR US + 1.590%),
3.02%, 10/01/45(a)(e) | | | 869 | | | | 889,321 | |
(12 mo. LIBOR US + 1.590%),
3.14%, 06/01/45(a)(e) | | | 952 | | | | 985,489 | |
(12 mo. LIBOR US + 1.696%),
2.72%, 07/01/43(a)(e) | | | 1,214 | | | | 1,236,134 | |
Freddie Mac Mortgage-Backed Securities: | | | | | | | | |
2.50%, 11/01/27(e) | | | 560 | | | | 585,240 | |
4.00%, 09/01/33(e) | | | 2,223 | | | | 2,374,358 | |
4.50%, 03/01/49(e) | | | 6,693 | | | | 7,411,685 | |
5.00%, 09/01/21(g) | | | 0 | | | | 228 | |
5.50%, 05/01/22 | | | 8 | | | | 7,748 | |
(12 mo. LIBOR US + 1.620%),
2.58%, 03/01/45(a)(e) | | | 1,011 | | | | 1,025,955 | |
(12 mo. LIBOR US + 1.622%),
3.06%, 05/01/45(a)(e) | | | 1,649 | | | | 1,700,059 | |
Uniform Mortgage-Backed Securities, 4.00%, 04/01/50(h) | | | 8,445 | | | | 9,005,891 | |
| | | | | | | | |
| | | | | | | 45,405,305 | |
| | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 35.5%
(Cost: $50,595,241) | | | | 51,907,441 | |
| | | | | | | | |
| | |
U.S. Treasury Obligations — 5.0% | | | | | | | | |
U.S. Treasury Inflation Indexed Notes: | | | | | | | | |
0.13%, 10/15/24 | | | 4,022 | | | | 4,070,938 | |
0.25%, 7/15/29(e) | | | 3,177 | | | | 3,298,437 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations — 5.0%
(Cost: $7,327,585) | | | | 7,369,375 | |
| | | | | | | | |
| |
Total Long-Term Investments — 152.2%
(Cost: $225,321,045) | | | | 222,698,052 | |
| | | | | | | | |
| |
Options Purchased — 0.1%
(Cost: $132,009) | | | | 173,007 | |
| | | | | | | | |
| |
Total Investments Before TBA Commitments and Options Written — 152.3%
(Cost: $225,453,054) | | | | 222,871,059 | |
| | | | | | | | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 77 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
TBA Sale Commitments — (6.1)%(h) | |
|
| Mortgage-Backed Securities — (6.1)% | |
Uniform Mortgage-Backed Securities, 4.00%, 07/01/41 | | $ | (8,445 | ) | | $ | (9,005,891 | ) |
| | | | | | | | |
| |
Total TBA Sale Commitments — (6.1)%
(Proceeds: $8,854,091) | | | | (9,005,891 | ) |
| | | | | | | | |
| |
Options Written — (0.4)%
(Premiums Received: $287,945) | | | | (540,354 | ) |
| | | | | | | | |
| |
Total Investments Net of TBA Sale Commitments and Options Written — 145.8%
(Cost: $216,311,018) | | | | 213,324,814 | |
| |
Liabilities in Excess of Other Assets — (45.8)% | | | | (67,022,401 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 146,302,413 | |
| | | | | | | | |
| (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 regis- tration to qualified institutional investors. |
| (c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (d) | 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. |
| (e) | All or a portion of the security has been pledged as collateral in connection without- standing reverse repurchase agreements. |
| (f) | 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. |
| (g) | Amount is less than $500. |
| (h) | Represents or includes a TBA transaction. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industrysub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industrysub-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 |
BNP Paribas | | 0.95% | | | 08/06/19 | | | | Open | | | $ | 1,823,937 | | | $ | 1,853,967 | | | Corporate Bonds | | Open/Demand |
BNP Paribas | | 0.95% | | | 08/06/19 | | | | Open | | | | 2,363,750 | | | | 2,402,668 | | | Corporate Bonds | | Open/Demand |
BNP Paribas | | 0.95% | | | 08/07/19 | | | | Open | | | | 868,500 | | | | 882,395 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 1.04% | | | 08/27/19 | | | | Open | | | | 2,337,000 | | | | 2,372,780 | | | Corporate Bonds | | Open/Demand |
BNP Paribas | | 0.95% | | | 11/12/19 | | | | Open | | | | 507,450 | | | | 511,326 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 11/12/19 | | | | Open | | | | 246,000 | | | | 247,831 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 1.04% | | | 11/13/19 | | | | Open | | | | 710,500 | | | | 716,137 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 1.04% | | | 11/13/19 | | | | Open | | | | 475,625 | | | | 479,398 | | | Corporate Bonds | | Open/Demand |
BNP Paribas | | 1.00% | | | 12/12/19 | | | | Open | | | | 103,125 | | | | 103,760 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 01/29/20 | | | | Open | | | | 609,750 | | | | 611,831 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 01/29/20 | | | | Open | | | | 580,044 | | | | 582,023 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 01/29/20 | | | | Open | | | | 614,362 | | | | 616,459 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 01/29/20 | | | | Open | | | | 678,125 | | | | 680,438 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 02/28/20 | | | | Open | | | | 1,058,750 | | | | 1,060,470 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 02/28/20 | | | | Open | | | | 574,500 | | | | 575,434 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 02/28/20 | | | | Open | | | | 104,677 | | | | 104,864 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 881,999 | | | | 883,349 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 398,000 | | | | 398,609 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 541,000 | | | | 541,828 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 541,000 | | | | 541,828 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 578,000 | | | | 578,885 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 491,000 | | | | 491,752 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 767,000 | | | | 768,174 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 895,000 | | | | 896,370 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 624,000 | | | | 624,955 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 517,000 | | | | 517,791 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 609,000 | | | | 609,932 | | | Corporate Bonds | | Open/Demand |
HSBC Securities (USA), Inc. | | 0.65% | | | 03/02/20 | | | | Open | | | | 890,000 | | | | 891,362 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/03/20 | | | | Open | | | | 503,750 | | | | 504,541 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/03/20 | | | | Open | | | | 526,875 | | | | 527,703 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/03/20 | | | | Open | | | | 500,000 | | | | 500,758 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/03/20 | | | | Open | | | | 506,250 | | | | 507,018 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/03/20 | | | | Open | | | | 492,375 | | | | 493,149 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/03/20 | | | | Open | | | | 513,125 | | | | 513,930 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/05/20 | | | | Open | | | | 687,844 | | | | 688,592 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 0.95% | | | 03/05/20 | | | | Open | | | | 1,041,250 | | | | 1,042,382 | | | Corporate Bonds | | Open/Demand |
| | |
| 78 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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 |
RBC Capital Markets, LLC | | 0.95% | | | 03/05/20 | | | | Open | | | $ | 990,000 | | | $ | 991,077 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 1.04% | | | 03/09/20 | | | | Open | | | | 451,125 | | | | 451,569 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 1.04% | | | 03/09/20 | | | | Open | | | | 504,000 | | | | 504,496 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 1.04% | | | 03/09/20 | | | | Open | | �� | | 409,000 | | | | 409,403 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | 1.04% | | | 03/10/20 | | | | Open | | | | 892,125 | | | | 892,965 | | | Corporate Bonds | | Open/Demand |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 569,118 | | | | 569,251 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 1,367,599 | | | | 1,367,917 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 367,120 | | | | 367,206 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 17,767 | | | | 17,771 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 1,190,407 | | | | 1,190,685 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 57,936 | | | | 57,950 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 45,483 | | | | 45,494 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 55,331 | | | | 55,344 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 19,614 | | | | 19,619 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 5,411,531 | | | | 5,412,794 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 61,516 | | | | 61,529 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 1,934,577 | | | | 1,935,028 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 74,901 | | | | 74,919 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 1,007,399 | | | | 1,007,634 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 201,156 | | | | 201,203 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 1,723,741 | | | | 1,724,143 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 5,355,411 | | | | 5,356,661 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | 0.60% | | | 03/17/20 | | | | 04/08/20 | | | | 673,511 | | | | 673,668 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 79 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: 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. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | $ | 354,942 | | | $ | 355,025 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 866,276 | | | | 866,478 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 1,323,512 | | | | 1,323,821 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 115,755 | | | | 115,782 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 2,360,547 | | | | 2,361,098 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 953,744 | | | | 953,967 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 1,697,821 | | | | 1,698,217 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 1,209,961 | | | | 1,210,243 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 1,648,882 | | | | 1,649,267 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 55,562 | | | | 55,575 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 1,378,570 | | | | 1,378,892 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 360,219 | | | | 360,303 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 1,067,492 | | | | 1,067,741 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 302,217 | | | | 302,288 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 159,187 | | | | 159,224 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 1,233,356 | | | | 1,233,644 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
Citigroup Global Markets, Inc. | | | 0.60% | | | | 03/17/20 | | | | 04/08/20 | | | | 391,192 | | | | 391,283 | | | U.S. Government Sponsored Agency Securities | | Up to 30 Days |
RBC Capital Markets, LLC | | | 1.04% | | | | 03/25/20 | | | | Open | | | | 572,294 | | | | 572,393 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 0.95% | | | | 03/25/20 | | | | Open | | | | 385,000 | | | | 385,061 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 1.04% | | | | 03/25/20 | | | | Open | | | | 929,688 | | | | 929,849 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 1.30% | | | | 03/26/20 | | | | Open | | | | 352,275 | | | | 352,339 | | | Corporate Bonds | | Open/Demand |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 67,259,423 | | | $ | 67,435,505 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Certain agreements have no stated maturity and can be terminated by either party at any time. | |
| | |
| 80 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | | | Currency Sold | | | Counterparty | | Settlement
Date | | | Unrealized Appreciation (Depreciation) | |
JPY | | | 43,285,801 | | | | NZD | | | | 650,000 | | | Morgan Stanley & Co. International PLC | | | 06/17/20 | | | | | | | $ | 16,278 | |
USD | | | 760,000 | | | | CAD | | | | 1,058,072 | | | Bank of America N.A. | | | 06/17/20 | | | | | | | | 7,602 | |
USD | | | 390,000 | | | | CAD | | | | 540,241 | | | JPMorgan Chase Bank N.A. | | | 06/17/20 | | | | | | | | 5,833 | |
USD | | | 380,000 | | | | CAD | | | | 527,252 | | | Royal Bank of Canada | | | 06/17/20 | | | | | | | | 5,069 | |
USD | | | 390,000 | | | | JPY | | | | 40,832,337 | | | JPMorgan Chase Bank N.A. | | | 06/17/20 | | | | | | | | 8,990 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 43,772 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
CAD | | | 543,581 | | | | USD | | | | 390,000 | | | Bank of America N.A. | | | 06/17/20 | | | | | | | | (3,458 | ) |
CAD | | | 527,067 | | | | USD | | | | 380,000 | | | Citibank N.A. | | | 06/17/20 | | | | | | | | (5,201 | ) |
CAD | | | 527,067 | | | | USD | | | | 380,000 | | | Citibank N.A. | | | 06/17/20 | | | | | | | | (5,201 | ) |
CAD | | | 529,484 | | | | USD | | | | 380,000 | | | JPMorgan Chase Bank N.A. | | | 06/17/20 | | | | | | | | (3,483 | ) |
JPY | | | 40,952,457 | | | | USD | | | | 390,000 | | | Bank of America N.A. | | | 06/17/20 | | | | | | | | (7,869 | ) |
NZD | | | 650,000 | | | | JPY | | | | 41,860,000 | | | JPMorgan Chase Bank N.A. | | | 06/17/20 | | | | | | | | (2,974 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (28,186 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation | | | | | | | | | | | | | | | | | $ | 15,586 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount
(000) | | | Value/ Unrealized Appreciation (Depreciation) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (2 Year) | | | 275 | | | | 06/30/20 | | | $ | 60,605 | | | | | | | $ | 62,922 | |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | | 14 | | | | 06/19/20 | | | | 1,942 | | | | | | | | (59,816 | ) |
U.S. Ultra Treasury Bonds | | | 1 | | | | 06/19/20 | | | | 222 | | | | | | | | (23,649 | ) |
U.S. Ultra Treasury Notes (10 Year) | | | 23 | | | | 06/19/20 | | | | 3,589 | | | | | | | | (133,388 | ) |
U.S. Treasury Notes (5 Year) | | | 232 | | | | 06/30/20 | | | | 29,083 | | | | | | | | (327,698 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (544,551 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (481,629 | ) |
| | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | | 5 | | | | 04/24/20 | | | | $133.00 | | | | $665 | | | | $28,828 | |
Put | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | | 4 | | | | 04/24/20 | | | | 134.00 | | | | 536 | | | | 438 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $29,266 | |
| | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | 5 | | | 04/24/20 | | | | $134.00 | | | | $670 | | | | $(23,984 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 81 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
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 |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap, 09/05/30 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 0.95% | | | Semi-Annual | | Bank of America N.A. | | | 09/03/20 | | | | 0.95 | % | | | USD | | | | 520 | | | $ | 18,456 | |
10-Year Interest Rate Swap, 03/02/32 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.21% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 02/28/22 | | | | 1.21 | % | | | USD | | | | 480 | | | | 29,107 | |
10-Year Interest Rate Swap, 02/27/35 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.49% | | | Semi-Annual | | Citibank N.A. | | | 02/25/25 | | | | 1.49 | % | | | USD | | | | 320 | | | | 27,108 | |
10-Year Interest Rate Swap, 01/19/50 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 2.07% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 01/17/40 | | | | 2.07 | % | | | USD | | | | 240 | | | | 33,040 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 107,711 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Put | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap, 06/24/22 | | | 0.00% | | | Annual | |
| 6-month
EURIBOR
(0.29)% |
| | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 06/22/20 | | | | 0.00 | % | | | EUR | | | | 3,700 | | | | 251 | |
2-Year Interest Rate Swap, 06/25/22 | | | 0.00% | | | Annual | |
| 6-month
EURIBOR
(0.29)% |
| | Semi-Annual | | Bank of America N.A. | | | 06/23/20 | | | | 0.00 | % | | | EUR | | | | 1,388 | | | | 95 | |
2-Year Interest Rate Swap, 06/26/22 | | | 0.00% | | | Annual | |
| 6-month
EURIBOR
(0.29)% |
| | Semi-Annual | | Bank of America N.A. | | | 06/24/20 | | | | 0.00 | % | | | EUR | | | | 1,388 | | | | 96 | |
2-Year Interest Rate Swap, 06/28/22 | | | 0.00% | | | Annual | |
| 6-month
EURIBOR
(0.29)% |
| | Semi-Annual | | Bank of America N.A. | | | 06/26/20 | | | | 0.00 | % | | | EUR | | | | 1,388 | | | | 97 | |
10-Year Interest Rate Swap, 08/29/30 | | | 1.24% | | | Semi-Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Bank of America N.A. | | | 08/27/20 | | | | 1.24 | % | | | USD | | | | 690 | | | | 3,445 | |
10-Year Interest Rate Swap, 03/02/32 | | | 1.21% | | | Semi-Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Goldman Sachs Bank USA | | | 02/28/22 | | | | 1.21 | % | | | USD | | | | 480 | | | | 10,525 | |
10-Year Interest Rate Swap, 02/27/35 | | | 1.49% | | | Semi-Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Citibank N.A. | | | 02/25/25 | | | | 1.49 | % | | | USD | | | | 320 | | | | 10,754 | |
10-Year Interest Rate Swap, 01/19/50 | | | 2.07% | | | Semi-Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 01/17/40 | | | | 2.07 | % | | | USD | | | | 240 | | | | 10,767 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 36,030 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 143,741 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 82 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
OTC Interest Rate Swaptions Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | Expiration | | | Exercise | | | Notional Amount | | | | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty | | Date | | | Rate | | | (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap, 10/25/30 | | | 1.70 | % | | Semi- Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Citibank N.A. | | | 10/23/20 | | | | 1.70 | % | | | USD | | | | 1,330 | | | $ | (131,152 | ) |
10-Year Interest Rate Swap, 10/29/30 | | | 1.58 | % | | Semi- Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Barclays Bank PLC | | | 10/27/20 | | | | 1.58 | % | | | USD | | | | 1,180 | | | | (102,666 | ) |
2-Year Interest Rate Swap, 01/27/23 | | | 1.45 | % | | Semi- Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Bank of America N.A. | | | 01/25/21 | | | | 1.45 | % | | | USD | | | | 3,020 | | | | (67,205 | ) |
10-Year Interest Rate Swap, 01/20/32 | | | 1.65 | % | | Semi- Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 01/18/22 | | | | 1.65 | % | | | USD | | | | 1,030 | | | | (95,544 | ) |
10-Year Interest Rate Swap, 01/30/32 | | | 1.45 | % | | Semi- Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Bank of America N.A. | | | 01/28/22 | | | | 1.45 | % | | | USD | | | | 500 | | | | (38,660 | ) |
5-Year Interest Rate Swap, 03/02/27 | | | 1.25 | % | | Semi- Annual | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | Barclays Bank PLC | | | 02/28/22 | | | | 1.25 | % | | | USD | | | | 940 | | | | (33,474 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (468,701 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap, 10/04/22 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.05 | % | | Semi-Annual | | Goldman Sachs Bank USA | | | 10/02/20 | | | | 1.05 | % | | | USD | | | | 1,480 | | | | (5 | ) |
2-Year Interest Rate Swap, 10/04/22 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.05 | % | | Semi-Annual | | Goldman Sachs Bank USA | | | 10/02/20 | | | | 1.05 | % | | | USD | | | | 1,480 | | | | (6 | ) |
2-Year Interest Rate Swap, 10/07/22 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.00 | % | | Semi-Annual | | Deutsche Bank AG | | | 10/05/20 | | | | 1.00 | % | | | USD | | | | 1,365 | | | | (10 | ) |
10-Year Interest Rate Swap, 10/25/30 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.70 | % | | Semi-Annual | | Citibank N.A. | | | 10/23/20 | | | | 1.70 | % | | | USD | | | | 1,330 | | | | (2,485 | ) |
10-Year Interest Rate Swap, 10/29/30 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.58 | % | | Semi-Annual | | Barclays Bank PLC | | | 10/27/20 | | | | 1.58 | % | | | USD | | | | 1,180 | | | | (3,220 | ) |
2-Year Interest Rate Swap, 01/20/23 | |
| 6-month
EURIBOR
(0.29)% |
| | Semi-Annual | | | 0.00 | % | | Annual | | Bank of America N.A. | | | 01/18/21 | | | | 0.00 | % | | | EUR | | | | 7,640 | | | | (3,668 | ) |
2-Year Interest Rate Swap, 01/27/23 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.45 | % | | Semi-Annual | | Bank of America N.A. | | | 01/25/21 | | | | 1.45 | % | | | USD | | | | 3,020 | | | | (11 | ) |
10-Year Interest Rate Swap, 01/20/32 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 2.15 | % | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 01/18/22 | | | | 2.15 | % | | | USD | | | | 1,030 | | | | (4,422 | ) |
10-Year Interest Rate Swap, 01/30/32 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.95 | % | | Semi-Annual | | Bank of America N.A. | | | 01/28/22 | | | | 1.95 | % | | | USD | | | | 500 | | | | (3,131 | ) |
10-Year Interest Rate Swap, 02/24/32 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.85 | % | | Semi-Annual | | Bank of America N.A. | | | 02/22/22 | | | | 1.85 | % | | | USD | | | | 370 | | | | (2,880 | ) |
10-Year Interest Rate Swap, 02/24/32 | |
| 3-month
LIBOR
1.45% |
| | Quarterly | | | 1.85 | % | | Semi-Annual | | Bank of America N.A. | | | 02/22/22 | | | | 1.85 | % | | | USD | | | | 370 | | | | (2,880 | ) |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 83 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
OTC Interest Rate Swaptions Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | Expiration | | | Exercise | | | Notional Amount | | | | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty | | Date | | | Rate | | | (000) | | | Value | |
10-Year Interest Rate Swap, 03/02/32 | |
| 3-month LIBOR
1.45% |
| | Quarterly | | | 1.60 | % | | Semi- Annual | | Deutsche Bank AG | | | 02/28/22 | | | | 1.60 | % | | | USD | | | | 350 | | | $ | (4,182 | ) |
5-Year Interest Rate Swap, 03/02/27 | |
| 3-month LIBOR
1.45% |
| | Quarterly | | | 1.25 | % | | Semi-Annual | | Barclays Bank PLC | | | 02/28/22 | | | | 1.25 | % | | | USD | | | | 940 | | | | (5,898 | ) |
10-Year Interest Rate Swap, 03/05/32 | |
| 3-month LIBOR
1.45% |
| | Quarterly | | | 1.60 | % | | Semi-Annual | | Deutsche Bank AG | | | 03/03/22 | | | | 1.60 | % | | | USD | | | | 350 | | | | (4,204 | ) |
10-Year Interest Rate Swap, 03/06/32 | |
| 3-month LIBOR
1.45% |
| | Quarterly | | | 1.60 | % | | Semi-Annual | | Barclays Bank PLC | | | 03/04/22 | | | | 1.60 | % | | | USD | | | | 342 | | | | (4,113 | ) |
10-Year Interest Rate Swap, 03/06/32 | |
| 3-month LIBOR
1.45% |
| | Quarterly | | | 1.60 | % | | Semi-Annual | | Deutsche Bank AG | | | 03/04/22 | | | | 1.60 | % | | | USD | | | | 545 | | | | (6,554 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (47,669 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (516,370 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | | | Received by the Fund | | Effective
Date | | | Termination
Date | | | Notional Amount (000) | | Value | | | Upfront
Premium Paid
(Received) | | | Unrealized Appreciation
(Depreciation) | |
| Rate | | Frequency | | | | Rate | | Frequency |
| 1.22% | | Semi-Annual | | | | 3-Month LIBOR, 1.45% | | Quarterly | | | N/A | | | | 05/18/21 | | | USD | | 10,000 | | | $ (92,155 | ) | | | $ 103 | | | | $ (92,258 | ) |
| 1.30% | | Semi-Annual | | | | 3-Month LIBOR, 1.45% | | Quarterly | | | N/A | | | | 05/20/21 | | | USD | | 10,000 | | | (104,663 | ) | | | 103 | | | | (104,766 | ) |
3-Month LIBOR,
1.45% | | Quarterly | | | | 0.68% | | Semi-Annual | | | N/A | | | | 03/06/22 | | | USD | | 160 | | | 748 | | | | — | | | | 748 | |
| (0.30)% | | Annual | | | | 6-Month EURIBOR, (0.29)% | | Semi-Annual | | | N/A | | | | 03/23/22 | | | EUR | | 90 | | | (77 | ) | | | — | | | | (77 | ) |
6-Month
EURIBOR,
(0.29)% | | Semi-Annual | | | | (0.25)% | | Annual | | | 06/24/20(a | ) | | | 06/24/22 | | | EUR | | 322 | | | 518 | | | | — | | | | 518 | |
6-Month
EURIBOR,
(0.29)% | | Semi-Annual | | | | (0.29)% | | Annual | | | 06/25/20(a | ) | | | 06/25/22 | | | EUR | | 121 | | | 87 | | | | — | | | | 87 | |
6-Month
EURIBOR,
(0.29)% | | Semi-Annual | | | | (0.28)% | | Annual | | | 06/26/20(a | ) | | | 06/26/22 | | | EUR | | 121 | | | 114 | | | | — | | | | 114 | |
6-Month
EURIBOR,
(0.29)% | | Semi-Annual | | | | (0.28)% | | Annual | | | 06/30/20(a | ) | | | 06/30/22 | | | EUR | | 121 | | | 127 | | | | — | | | | 127 | |
3-Month LIBOR,
1.45% | | Quarterly | | | | 0.44% | | Semi-Annual | | | 09/11/20(a | ) | | | 09/11/22 | | | USD | | 143 | | | 328 | | | | — | | | | 328 | |
3-Month LIBOR,
1.45% | | Quarterly | | | | 0.44% | | Semi-Annual | | | 09/11/20(a | ) | | | 09/11/22 | | | USD | | 133 | | | 309 | | | | — | | | | 309 | |
3-Month LIBOR,
1.45% | | Quarterly | | | | 0.46% | | Semi-Annual | | | 09/11/20(a | ) | | | 09/11/22 | | | USD | | 134 | | | 376 | | | | — | | | | 376 | |
3-Month LIBOR,
1.45% | | Quarterly | | | | 0.51% | | Semi-Annual | | | 09/11/20(a | ) | | | 09/11/22 | | | USD | | 200 | | | 745 | | | | — | | | | 745 | |
3-Month LIBOR,
1.45% | | Quarterly | | | | 0.38% | | Semi-Annual | | | 09/28/20(a | ) | | | 09/28/22 | | | USD | | 450 | | | 541 | | | | — | | | | 541 | |
3-Month LIBOR,
1.45% | | Quarterly | | | | 0.34% | | Semi-Annual | | | 09/29/20(a | ) | | | 09/29/22 | | | USD | | 700 | | | 309 | | | | — | | | | 309 | |
| | |
| 84 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | | | Received by the Fund | | Effective
Date | | Termination
Date | | | Notional Amount (000) | | Value | | | Upfront
Premium Paid
(Received) | | | Unrealized Appreciation
(Depreciation) | |
| Rate | | Frequency | | | | Rate | | Frequency |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 0.36% | | Semi-Annual | | 09/29/20(a) | | | 09/29/22 | | | USD | | 180 | | | $ 119 | | | | $— | | | | $ 119 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 0.43% | | Semi-Annual | | 09/29/20(a) | | | 09/29/22 | | | USD | | 340 | | | 717 | | | | — | | | | 717 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.05% | | Semi-Annual | | 03/01/21(a) | | | 03/01/23 | | | USD | | 415 | | | 5,872 | | | | — | | | | 5,872 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.06% | | Semi-Annual | | 03/01/21(a) | | | 03/01/23 | | | USD | | 415 | | | 5,905 | | | | — | | | | 5,905 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.07% | | Semi-Annual | | 03/01/21(a) | | | 03/01/23 | | | USD | | 420 | | | 6,072 | | | | — | | | | 6,072 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.10% | | Semi-Annual | | 03/01/21(a) | | | 03/01/23 | | | USD | | 1,660 | | | 24,944 | | | | — | | | | 24,944 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 0.88% | | Semi-Annual | | 03/02/21(a) | | | 03/02/23 | | | USD | | 415 | | | 4,433 | | | | — | | | | 4,433 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 0.88% | | Semi-Annual | | 03/02/21(a) | | | 03/02/23 | | | USD | | 830 | | | 8,874 | | | | — | | | | 8,874 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 0.90% | | Semi-Annual | | 03/02/21(a) | | | 03/02/23 | | | USD | | 415 | | | 4,652 | | | | — | | | | 4,652 | |
| 0.61% | | Semi-Annual | | | | 3-Month LIBOR, 1.45% | | Quarterly | | 03/22/21(a) | | | 03/22/23 | | | USD | | 700 | | | (3,699 | ) | | | — | | | | (3,699 | ) |
| (0.17)% | | Annual | | | | 6-Month EURIBOR, (0.29)% | | Semi-Annual | | 03/24/21(a) | | | 03/24/23 | | | EUR | | 585 | | | (1,740 | ) | | | — | | | | (1,740 | ) |
| (0.18)% | | Annual | | | | 6-Month EURIBOR, (0.29)% | | Semi-Annual | | 03/24/21(a) | | | 03/24/23 | | | EUR | | 585 | | | (1,658 | ) | | | — | | | | (1,658 | ) |
| (0.18)% | | Annual | | | | 6-Month EURIBOR, (0.29)% | | Semi-Annual | | 03/24/21(a) | | | 03/24/23 | | | EUR | | 580 | | | (1,579 | ) | | | — | | | | (1,579 | ) |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.56% | | Semi-Annual | | N/A | | | 01/31/30 | | | USD | | 90 | | | 7,345 | | | | — | | | | 7,345 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.58% | | Semi-Annual | | N/A | | | 02/11/30 | | | USD | | 88 | | | 7,362 | | | | — | | | | 7,362 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.51% | | Semi-Annual | | N/A | | | 02/12/30 | | | USD | | 88 | | | 6,721 | | | | — | | | | 6,721 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.54% | | Semi-Annual | | N/A | | | 02/12/30 | | | USD | | 88 | | | 6,971 | | | | — | | | | 6,971 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.51% | | Semi-Annual | | N/A | | | 02/20/30 | | | USD | | 88 | | | 6,756 | | | | — | | | | 6,756 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.48% | | Semi-Annual | | N/A | | | 02/24/30 | | | USD | | 78 | | | 5,772 | | | | — | | | | 5,772 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.43% | | Semi-Annual | | N/A | | | 02/25/30 | | | USD | | 175 | | | 12,161 | | | | — | | | | 12,161 | |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.32% | | Semi-Annual | | N/A | | | 02/26/30 | | | USD | | 170 | | | 9,939 | | | | — | | | | 9,939 | |
| 1.31% | | Semi-Annual | | | | 3-Month LIBOR, 1.45% | | Quarterly | | N/A | | | 02/27/30 | | | USD | | 340 | | | (19,673 | ) | | | — | | | | (19,673 | ) |
3-Month
LIBOR,
1.45% | | Quarterly | | | | 1.24% | | Semi-Annual | | N/A | | | 03/02/30 | | | USD | | 170 | | | 8,647 | | | | — | | | | 8,647 | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 85 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid by the Fund | | | | Received by the Fund | | Effective
Date | | | Termination
Date | | | Notional Amount (000) | | Value | | | Upfront
Premium Paid
(Received) | | | Unrealized Appreciation
(Depreciation) | |
| Rate | | Frequency | | | | Rate | | Frequency |
3-Month LIBOR, 1.45% | | Quarterly | | | | 1.24% | | Semi-Annual | | | N/A | | | | 03/02/30 | | | USD | | 100 | | $ | 5,122 | | | $ | — | | | $ | 5,122 | |
3-Month LIBOR, 1.45% | | Quarterly | | | | 0.50% | | Semi-Annual | | | N/A | | | | 03/11/30 | | | USD | | 190 | | | (3,717 | ) | | | — | | | | (3,717 | ) |
3-Month LIBOR, 1.45% | | Quarterly | | | | 0.71% | | Semi-Annual | | | N/A | | | | 03/25/30 | | | USD | | 260 | | | (98 | ) | | | — | | | | (98 | ) |
3-Month LIBOR, 1.45% | | Quarterly | | | | 0.73% | | Semi-Annual | | | 04/15/20 | (a) | | | 04/15/30 | | | USD | | 90 | | | 178 | | | | — | | | | 178 | |
3-Month LIBOR, 1.45% | | Quarterly | | | | 0.62% | | Semi-Annual | | | 05/04/20 | (a) | | | 05/04/30 | | | USD | | 110 | | | (985 | ) | | | — | | | | (985 | ) |
3-Month LIBOR, 1.45% | | Quarterly | | | | 1.02% | | Semi-Annual | | | 09/08/20 | (a) | | | 09/08/30 | | | USD | | 235 | | | 7,049 | | | | — | | | | 7,049 | |
3-Month LIBOR, 1.45% | | Quarterly | | | | 1.05% | | Semi-Annual | | | 03/08/22 | (a) | | | 03/08/32 | | | USD | | 91 | | | 2,041 | | | | (191 | ) | | | 2,232 | |
1.05% | | Semi-Annual | | | | 3-Month LIBOR, 1.45% | | Quarterly | | | 03/08/22 | (a) | | | 03/08/32 | | | USD | | 91 | | | (2,042 | ) | | | — | | | | (2,042 | ) |
1.11% | | Semi-Annual | | | | 3-Month LIBOR, 1.45% | | Quarterly | | | 03/08/22 | (a) | | | 03/08/32 | | | USD | | 155 | | | (4,382 | ) | | | — | | | | (4,382 | ) |
1.00% | | Semi-Annual | | | | 3-Month LIBOR, 1.45% | | Quarterly | | | N/A | | | | 03/20/50 | | | USD | | 30 | | | (828 | ) | | | — | | | | (828 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (85,442 | ) | | $ | 15 | | | $ | (85,457 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
| | | | | | | | | | | | | | | | | | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | | | Value | |
Centrally Cleared Swaps(a) | | | $206 | | | | $191 | | | | $152,045 | | | | $237,502 | | | | $ — | |
Options Written | | | — | | | | — | | | | 118,297 | | | | 370,706 | | | | 540,354 | |
| | (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. | |
| | |
| 86 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S 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 | |
| Unrealized
appreciation
on futures
contracts(a) |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 62,922 | | | $ | — | | | $ | 62,922 | |
Forward foreign currency exchange contracts | |
| Unrealized
appreciation
on forward
foreign
currency
exchange
contracts |
| | | — | | | | — | | | | — | | | | 43,772 | | | | — | | | | — | | | | 43,772 | |
Options purchased | |
| Investments
at value —
unaffiliated(b)
|
| | | — | | | | — | | | | — | | | | — | | | | 173,007 | | | | — | | | | 173,007 | |
Swaps — centrally cleared | |
| Unrealized
appreciation
on centrally
cleared
swaps(a) |
| | | — | | | | — | | | | — | | | | — | | | | 152,045 | | | | — | | | | 152,045 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | — | | | $ | — | | | $ | 43,772 | | | $ | 387,974 | | | $ | — | | | $ | 431,746 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | |
Futures contracts | |
| Unrealized
depreciation
on futures
contracts(a) |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 544,551 | | | $ | — | | | $ | 544,551 | |
Forward foreign currency exchange contracts | |
| Unrealized
depreciation
on forward
foreign
currency
exchange
contracts |
| | | — | | | | — | | | | — | | | | 28,186 | | | | — | | | | — | | | | 28,186 | |
Options written | |
| Options
written at
value |
| | | — | | | | — | | | | — | | | | — | | | | 540,354 | | | | — | | | | 540,354 | |
Swaps — centrally cleared | |
| Net
unrealized
depreciation
on centrally
cleared
swaps(a) |
| | | — | | | | — | | | | — | | | | — | | | | 237,502 | | | | — | | | | 237,502 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | — | | | $ | — | | | $ | 28,186 | | | $ | 1,322,407 | | | $ | — | | | $ | 1,350,593 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
| | (b) | Includes options purchased at value as reported in the Schedule of Investments. | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 87 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
For the year ended March 31, 2020, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (1,262,866 | ) | | $ | — | | | $ | (1,262,866 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 2,039 | | | | — | | | | — | | | | 2,039 | |
Options purchased(a) | | | — | | | | — | | | | — | | | | — | | | | (36,012 | ) | | | — | | | | (36,012 | ) |
Options written | | | — | | | | — | | | | — | | | | — | | | | 10,183 | | | | — | | | | 10,183 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | 157,555 | | | | — | | | | 157,555 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 2,039 | | | $ | (1,131,140 | ) | | $ | — | | | $ | (1,129,101 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
(a) Options purchased are included in net realized gain (loss) from investments — unaffiliated. | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (739,457 | ) | | $ | — | | | $ | 739,457 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 15,213 | | | | — | | | | — | | | | 15,213 | |
Options purchased(a) | | | — | | | | —
| | | | — | | | | — | | | | 70,840 | | | | — | | | | 70,840 | |
Options written | | | — | | | | — | | | | — | | | | — | | | | (252,409 | ) | | | — | | | | (252,409 | ) |
Swaps | | | — | | | | — | | | | — | | | | — | | | | (535,801 | ) | | | — | | | | (535,801 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 15,213 | | | $ | (1,456,827 | ) | | $ | — | | | $ | (1,441,614 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | | $ | 50,054,072 | |
Average notional value of contracts — short | | | 31,916,205 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | | 5,835,580 | |
Average amounts sold — in USD | | | 3,442,119 | |
Options: | | | | |
Average value of option contracts purchased | | | 7,317 | |
Average value of option contracts written | | | 5,996 | |
Average notional value of swaption contracts purchased | | | 3,424,553 | |
Average notional value of swaption contracts written | | | 7,769,540 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 26,066,334 | |
Average notional value — receives fixed rate | | | 7,921,654 | |
Inflation swaps: | | | | |
Average notional value — pays fixed rate | | | 389,457 | |
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 | | $ | 23,299 | | | $ | 8,594 | |
Forward foreign currency exchange contracts | | | 43,772 | | | | 28,186 | |
Options(a) | | | 173,007 | | | | 540,354 | |
Swaps - Centrally cleared | | | — | | | | 127,705 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 240,078 | | | $ | 704,839 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (52,565 | ) | | | (160,283 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 187,513 | | | $ | 544,556 | |
| | | | | | | | |
| | (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. | |
| | |
| 88 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
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(a) | | | Non-cash Collateral Received | | | Cash Collateral Received | | | Net Amount of Derivative Assets(b) | |
Bank of America N.A. | | $ | 29,791 | | | $ | (29,791 | ) | | $ | — | | | $ | — | | | $ | — | |
Citibank N.A. | | | 37,862 | | | | (37,862 | ) | | | — | | | | — | | | | — | |
Goldman Sachs Bank USA | | | 39,632 | | | | (11 | ) | | | — | | | | — | | | | 39,621 | |
JPMorgan Chase Bank N.A. | | | 58,881 | | | | (58,881 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International PLC | | | 16,278 | | | | — | | | | — | | | | — | | | | 16,278 | |
Royal Bank of Canada | | | 5,069 | | | | — | | | | — | | | | — | | | | 5,069 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 187,513 | | | $ | (126,545 | ) | | $ | — | | | $ | — | | | $ | 60,968 | |
| | | | | | | | | | | | | | | | | | | | |
| 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) | |
Bank of America N.A. | | $ | 129,762 | | | $ | (29,791 | ) | | $ | — | | | $ | — | | | $ | 99,971 | |
Barclays Bank PLC | | | 149,371 | | | | — | | | | — | | | | — | | | | 149,371 | |
Citibank N.A. | | | 144,039 | | | | (37,862 | ) | | | — | | | | — | | | | 106,177 | |
Deutsche Bank AG | | | 14,950 | | | | — | | | | — | | | | — | | | | 14,950 | |
Goldman Sachs Bank USA | | | 11 | | | | (11 | ) | | | — | | | | — | | | | — | |
JPMorgan Chase Bank N.A. | | | 106,423 | | | | (58,881 | ) | | | — | | | | — | | | | 47,542 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 544,556 | | | $ | (126,545 | ) | | $ | — | | | $ | — | | | $ | 418,011 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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 from 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 | | $ | — | | | $ | 45,499,495 | | | $ | 213,171 | | | $ | 45,712,666 | |
Capital Trusts(a) | | | — | | | | 109,868 | | | | — | | | | 109,868 | |
Corporate Bonds(a) | | | — | | | | 74,359,755 | | | | — | | | | 74,359,755 | |
Foreign Agency Obligations | | | — | | | | 414,700 | | | | — | | | | 414,700 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 42,824,247 | | | | — | | | | 42,824,247 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 51,907,441 | | | | — | | | | 51,907,441 | |
U.S. Treasury Obligations | | | — | | | | 7,369,375 | | | | — | | | | 7,369,375 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 29,266 | | | | 143,741 | | | | — | | | | 173,007 | |
Liabilities: | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (9,005,891 | ) | | | — | | | | (9,005,891 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 29,266 | | | $ | 213,622,731 | | | $ | 213,171 | | | $ | 213,865,168 | |
| | | | | | | | | | | | | | | | |
| | (a) | See above Schedule of Investments for values in each industry. | |
| | | | |
| SCHEDULES OF INVESTMENTS | | | 89 | |
| | |
Schedule of Investments (continued) March 31, 2020 | | BATS: Series S Portfolio |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | $ | — | | | $ | 43,772 | | | $ | — | | | $ | 43,772 | |
Interest rate contracts | | | 62,922 | | | | 152,045 | | | | — | | | | 214,967 | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (28,186 | ) | | | — | | | | (28,186 | ) |
Interest rate contracts | | | (568,535 | ) | | | (753,872 | ) | | | — | | | | (1,322,407 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (505,613 | ) | | $ | (586,241 | ) | | $ | — | | | $ | (1,091,854 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. | |
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 $67,435,505 are categorized as Level 2 within the disclosure hierarchy.
See notes to financial statements.
| | |
| 90 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statements of Assets and Liabilities
March 31, 2020
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | | | BATS: Series E Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments at value — unaffiliated(a) | | $ | 1,030,070,447 | | | $ | 463,329,392 | | | $ | 327,107,444 | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 530,000 | | | | — | | | | — | |
Futures contracts | | | — | | | | 259,710 | | | | 627,650 | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | 5,849,342 | | | | 5,847,356 | | | | 7,877,556 | |
Capital shares sold | | | 287,187 | | | | 1,148,551 | | | | 936,212 | |
Dividends — unaffiliated | | | 32,436 | | | | 3,707 | | | | 10,190 | |
Interest — unaffiliated | | | 3,837,779 | | | | 4,052,690 | | | | 3,943,114 | |
From the Manager | | | 104,173 | | | | 63,189 | | | | 73,516 | |
Variation margin on futures contracts | | | — | | | | 8,589 | | | | 84,647 | |
Swap premiums paid | | | 13,020 | | | | 11,474 | | | | — | |
Unrealized appreciation on OTC swaps | | | 52,073 | | | | 25,449 | | | | — | |
Prepaid expenses | | | 33,759 | | | | 22,829 | | | | 21,412 | |
| | | | | | | | | | | | |
Total assets | | | 1,040,810,216 | | | | 474,772,936 | | | | 340,681,741 | |
| | | | | | | | | | | | |
| | | |
ACCRUED LIABILITIES | | | | | | | | | | | | |
Bank overdraft | | | — | | | | — | | | | 1,607 | |
Cash received: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | — | | | | 10,000 | | | | — | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | — | | | | 7,764,314 | | | | 8,584,972 | |
Capital shares redeemed | | | 162,805 | | | | 1,177,776 | | | | 6,785,604 | |
Income dividends | | | 4,017,677 | | | | 1,282,289 | | | | 1,116,712 | |
Interest expense and fees | | | — | | | | — | | | | 71,078 | |
Trustees’ and Officer’s fees | | | 615 | | | | 282 | | | | 85 | |
Other accrued expenses | | | 218,407 | | | | 125,747 | | | | 126,673 | |
Variation margin on futures contracts | | | — | | | | 61,154 | | | | — | |
Swap premiums received | | | 287,371 | | | | 18,771 | | | | — | |
Unrealized depreciation on OTC swaps | | | 447,842 | | | | 65,718 | | | | — | |
| | | | | | | | | | | | |
Total accrued liabilities | | | 5,134,717 | | | | 10,506,051 | | | | 16,686,731 | |
| | | | | | | | | | | | |
| | | |
OTHER LIABILITIES | | | | | | | | | | | | |
TOB Trust Certificates | | | — | | | | — | | | | 10,713,000 | |
| | | | | | | | | | | | |
Total other liabilities | | | — | | | | — | | | | 10,713,000 | |
| | | | | | | | | | | | |
Total liabilities | | | 5,134,717 | | | | 10,506,051 | | | | 27,399,731 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 1,035,675,499 | | | $ | 464,266,885 | | | $ | 313,282,010 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF | | | | | | | | | | | | |
Paid-in capital | | $ | 1,157,653,006 | | | $ | 456,250,575 | | | $ | 319,525,728 | |
Accumulated earnings (loss) | | | (121,977,507 | ) | | | 8,016,310 | | | | (6,243,718 | ) |
| | | | | | | | | | | | |
NET ASSETS | | $ | 1,035,675,499 | | | $ | 464,266,885 | | | $ | 313,282,010 | |
| | | | | | | | | | | | |
| | | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding(b) | | | 114,408,956 | | | | 44,267,472 | | | | 29,752,246 | |
| | | | | | | | | | | | |
| | | |
Net asset value | | $ | 9.05 | | | $ | 10.49 | | | $ | 10.53 | |
| | | | | | | | | | | | |
| | | |
(a) Investments at cost — unaffiliated | | $ | 1,146,610,064 | | | $ | 463,185,399 | | | $ | 329,401,068 | |
(b) Unlimited number of shares authorized, $0.001 par value. | | | | | | | | | | | | |
See notes to financial statements.
Statements of Assets and Liabilities (continued)
March 31, 2020
| | | | | | | | | | | | |
| | | BATS: Series M Portfolio | | | BATS: Series P Portfolio | | | BATS: Series S Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments at value — unaffiliated(a) | | $ | 2,320,408,664 | | | $ | — | | | $ | 222,871,059 | |
Investments at value — affiliated(b) | | | — | | | | 12,236,936 | | | | — | |
Cash | | | 383,351 | | | | 26,947,615 | | | | 1,217,302 | |
Due from broker | | | 463,000 | | | �� | — | | | | — | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 5,780,000 | | | | — | | | | — | |
Futures contracts | | | 4,466,000 | | | | 275,190 | | | | 288,925 | |
Centrally cleared swaps | | | 399,960 | | | | 2,614,570 | | | | 103,930 | |
Foreign currency at value(c) | | | — | | | | — | | | | 164,724 | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | 4,063,553 | | | | — | | | | 1,103,276 | |
Options written | | | — | | | | — | | | | 23,207 | |
Swaps | | | — | | | | — | | | | 66,305 | |
TBA sale commitments | | | 1,093,341,020 | | | | — | | | | 8,854,091 | |
Capital shares sold | | | 1,534,742 | | | | — | | | | 521,164 | |
Dividends — unaffiliated | | | 10,065 | | | | — | | | | 390 | |
Dividends — affiliated | | | — | | | | 40,944 | | | | — | |
Interest — unaffiliated | | | 4,503,532 | | | | — | | | | 930,754 | |
From the Manager | | | 83,721 | | | | 23,030 | | | | 41,705 | |
Principal paydowns | | | — | | | | — | | | | 38,010 | |
Variation margin on futures contracts | | | 146,668 | | | | 16,735 | | | | 23,299 | |
Variation margin on centrally cleared swaps | | | — | | | | 96,214 | | | | — | |
Swap premiums paid | | | 399,932 | | | | — | | | | — | |
Unrealized appreciation on: | | | | | | | | | | | | |
OTC swaps | | | 1,867,879 | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 43,772 | |
Prepaid expenses | | | 47,529 | | | | 17,051 | | | | 13,064 | |
| | | | | | | | | | | | |
Total assets | | | 3,437,899,616 | | | | 42,268,285 | | | | 236,304,977 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Cash received: | | | | | | | | | | | | |
Collateral — TBA commitments | | | 9,174,873 | | | | — | | | | — | |
Options written at value(d) | | | 2,079,172 | | | | — | | | | 540,354 | |
TBA sale commitments at value(e) | | | 1,109,606,353 | | | | — | | | | 9,005,891 | |
Reverse repurchase agreements at value | | | — | | | | — | | | | 67,435,505 | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | 1,297,211,087 | | | | — | | | | 11,911,064 | |
Capital shares redeemed | | | 2,968,835 | | | | 872,871 | | | | 378,386 | |
Income dividends | | | 2,918,126 | | | | — | | | | 459,326 | |
Trustees’ and Officer’s fees | | | 455 | | | | 1,126 | | | | 141 | |
Other accrued expenses | | | 171,843 | | | | 60,530 | | | | 107,412 | |
Variation margin on futures contracts | | | 40,588 | | | | 28,595 | | | | 8,594 | |
Variation margin on centrally cleared swaps | | | 2,050 | | | | — | | | | 127,705 | |
Swap premiums received | | | 2,027,013 | | | | — | | | | — | |
Unrealized depreciation on: | | | | | | | | | | | | |
OTC swaps | | | 4,921,652 | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 28,186 | |
| | | | | | | | | | | | |
Total liabilities | | | 2,431,122,047 | | | | 963,122 | | | | 90,002,564 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS | | $ | 1,006,777,569 | | | $ | 41,305,163 | | | $ | 146,302,413 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF | | | | | | | | | | | | |
Paid-in capital | | $ | 1,002,715,909 | | | $ | 78,758,954 | | | $ | 159,716,790 | |
Accumulated gain (loss) | | | 4,061,660 | | | | (37,453,791 | ) | | | (13,414,377 | ) |
| | | | | | | | | | | | |
NET ASSETS | | $ | 1,006,777,569 | | | $ | 41,305,163 | | | $ | 146,302,413 | |
| | | | | | | | | | | | |
| | | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding(f) | | | 102,590,561 | | | | 5,216,541 | | | | 15,854,185 | |
| | | | | | | | | | | | |
| | | |
Net asset value | | $ | 9.81 | | | $ | 7.92 | | | $ | 9.23 | |
| | | | | | | | | | | | |
| | | |
(a) Investments at cost — unaffiliated | | $ | 2,272,877,677 | | | $ | — | | | $ | 225,453,054 | |
(b) Investments at cost — affiliated | | $ | — | | | $ | 12,752,096 | | | $ | — | |
(c) Foreign currency at cost | | $ | — | | | $ | — | | | $ | 163,061 | |
(d) Premiums received | | $ | 473,644 | | | $ | — | | | $ | 287,945 | |
(e) Proceeds from TBA sale commitments | | $ | 1,093,341,020 | | | $ | — | | | $ | 8,854,091 | |
(f) Unlimited number of shares authorized, $0.001 par value. | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 92 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statements of Operations
Year Ended March 31, 2020
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | | | BATS: Series E Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Interest — unaffiliated | | $ | 50,959,708 | | | $ | 14,741,199 | | | $ | 11,524,897 | |
Dividends — unaffiliated | | | 787,266 | | | | 64,920 | | | | 205,904 | |
Other Income | | | — | | | | 3,885 | | | | 3,611 | |
| | | | | | | | | | | | |
Total investment income | | | 51,746,974 | | | | 14,810,004 | | | | 11,734,412 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Registration | | | 196,946 | | | | 37,073 | | | | 127,302 | |
Accounting services | | | 94,760 | | | | 57,437 | | | | 51,828 | |
Professional | | | 76,276 | | | | 58,914 | | | | 69,368 | |
Transfer agent | | | 48,701 | | | | 121,545 | | | | 26,613 | |
Pricing | | | 47,312 | | | | 43,571 | | | | 54,318 | |
Custodian | | | 26,423 | | | | 11,996 | | | | 6,467 | |
Printing | | | 9,397 | | | | 8,136 | | | | 12,020 | |
Trustees and Officer | | | 8,964 | | | | 5,040 | | | | 4,615 | |
Miscellaneous | | | 28,392 | | | | 13,022 | | | | 7,324 | |
| | | | | | | | | | | | |
Total expenses excluding interest expense | | | 537,171 | | | | 356,734 | | | | 359,855 | |
Interest expense and fees(a) | | | — | | | | — | | | | 192,812 | |
| | | | | | | | | | | | |
Total expenses | | | 537,171 | | | | 356,734 | | | | 552,667 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (534,668 | ) | | | (354,605 | ) | | | (359,797 | ) |
| | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 2,503 | | | | 2,129 | | | | 192,870 | |
| | | | | | | | | | | | |
Net investment income | | | 51,744,471 | | | | 14,807,875 | | | | 11,541,542 | |
| | | | | | | | | | | | |
| | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | (3,866,066 | ) | | | 11,685,786 | | | | 1,375,348 | |
Futures contracts | | | — | | | | 2,470,147 | | | | (4,949,394 | ) |
Swaps | | | 457,298 | | | | 33,659 | | | | — | |
| | | | | | | | | | | | |
| | | (3,408,768 | ) | | | 14,189,592 | | | | (3,574,046 | ) |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | (107,305,204 | ) | | | (8,533,303 | ) | | | (11,139,590 | ) |
Futures contracts | | | — | | | | (157,031 | ) | | | 405,307 | |
Swaps | | | (758,837 | ) | | | (49,619 | ) | | | — | |
| | | | | | | | | | | | |
| | | (108,064,041 | ) | | | (8,739,953 | ) | | | (10,734,283 | ) |
| | | | | | | | | | | | |
Realized and unrealized gain (loss) | | | (111,472,809 | ) | | | 5,449,639 | | | | (14,308,329 | ) |
| | | | | | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (59,728,338 | ) | | $ | 20,257,514 | | | $ | (2,766,787 | ) |
| | | | | | | | | | | | |
| (a) | Related to TOB Trusts. |
See notes to financial statements.
Statements of Operations (continued)
Year Ended March 31, 2020
| | | | | | | | | | | | |
| | | BATS: Series M Portfolio | | | BATS: Series P Portfolio | | | BATS:
Series S Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Interest — unaffiliated | | $ | 26,572,875 | | | $ | 168,447 | | | $ | 6,235,661 | |
Dividends — unaffiliated | | | 108,991 | | | | — | | | | 44,756 | |
Dividends — affiliated | | | — | | | | 438,044 | | | | — | |
Other income | | | 14,042 | | | | 6,400 | | | | 2,246 | |
| | | | | | | | | | | | |
Total investment income | | | 26,695,908 | | | | 612,891 | | | | 6,282,663 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Transfer agent | | | 141,004 | | | | 19,950 | | | | 27,676 | |
Accounting services | | | 80,577 | | | | 35,874 | | | | 44,778 | |
Professional | | | 65,664 | | | | 44,923 | | | | 63,480 | |
Registration | | | 56,033 | | | | 24,148 | | | | 33,348 | |
Custodian | | | 48,609 | | | | 397 | | | | 23,502 | |
Pricing | | | 58,445 | | | | — | | | | 26,848 | |
Trustees and Officer | | | 11,386 | | | | 116 | | | | 2,934 | |
Printing | | | 5,803 | | | | 10,705 | | | | 11,133 | |
Miscellaneous | | | 22,375 | | | | 4,542 | | | | 7,254 | |
| | | | | | | | | | | | |
Total expenses excluding interest expense | | | 489,896 | | | | 140,655 | | | | 240,953 | |
Interest expense(a) | | | — | | | | — | | | | 1,627,819 | |
| | | | | | | | | | | | |
Total expenses | | | 489,896 | | | | 140,655 | | | | 1,868,772 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (487,768 | ) | | | (140,486 | ) | | | (240,556 | ) |
| | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 2,128 | | | | 169 | | | | 1,628,216 | |
| | | | | | | | | | | | |
Net investment income | | | 26,693,780 | | | | 612,722 | | | | 4,654,447 | |
| | | | | | | | | | | | |
| | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | 14,338,477 | | | | — | | | | 1,273,590 | |
Investments — affiliated | | | — | | | | (87,804 | ) | | | — | |
Foreign currency transactions | | | — | | | | — | | | | 9,360 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 2,039 | |
Futures contracts | | | (7,788,785 | ) | | | 1,386,700 | | | | (1,262,866 | ) |
Options written | | | 444,129 | | | | — | | | | 10,183 | |
Swaps | | | (5,344,271 | ) | | | (331,596 | ) | | | 157,555 | |
| | | | | | | | | | | | |
| | | 1,649,550 | | | | 967,300 | | | | 189,861 | |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | 27,411,524 | | | | — | | | | (2,250,732 | ) |
Investments — affiliated | | | — | | | | (253,730 | ) | | | — | |
Foreign currency translations | | | — | | | | 8 | | | | 2,106 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 15,213 | |
Futures contracts | | | (548,852 | ) | | | 609,332 | | | | (739,457 | ) |
Options written | | | (1,621,490 | ) | | | — | | | | (252,409 | ) |
Swaps | | | (3,853,580 | ) | | | (8,297,910 | ) | | | (535,801 | ) |
| | | | | | | | | | | | |
| | | 21,387,602 | | | | (7,942,300 | ) | | | (3,761,080 | ) |
| | | | | | | | | | | | |
Net realized and unrealized gain (loss) | | | 23,037,152 | | | | (6,975,000 | ) | | | (3,571,219 | ) |
| | | | | | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 49,730,932 | | | $ | (6,362,278 | ) | | $ | 1,083,228 | |
| | | | | | | | | | | | |
| | (a) | See Note 4 of the Notes to Financial Statements for details of short-term borrowings. | |
See notes to financial statements.
| | |
| 94 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | | | | BATS: Series C Portfolio | |
| | | Year Ended
March 31, | | | | | | Year Ended
March 31, | |
| | | 2020 | | | 2019 | | | | | | 2020 | | | 2019 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | |
| | | | | |
OPERATIONS | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 51,744,471 | | | $ | 40,527,303 | | | | | | | $ | 14,807,875 | | | $ | 14,533,912 | |
Net realized gain (loss) | | | (3,408,768 | ) | | | (104,054 | ) | | | | | | | 14,189,592 | | | | (2,989,142 | ) |
Net change in unrealized appreciation (depreciation) | | | (108,064,041 | ) | | | (6,162,510 | ) | | | | | | | (8,739,953 | ) | | | 6,156,156 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (59,728,338 | ) | | | 34,260,739 | | | | | | | | 20,257,514 | | | | 17,700,926 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (52,227,829 | ) | | | (43,556,280 | ) | | | | | | | (17,172,880 | ) | | | (14,687,683 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | 170,345,298 | | | | 414,999,104 | | | | | | | | 88,253,994 | | | | (18,758,990 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 58,389,131 | | | | 405,703,563 | | | | | | | | 91,338,628 | | | | (15,745,747 | ) |
Beginning of year | | | 977,286,368 | | | | 571,582,805 | | | | | | | | 372,928,257 | | | | 388,674,004 | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 1,035,675,499 | | | $ | 977,286,368 | | | | | | | $ | 464,266,885 | | | $ | 372,928,257 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series E Portfolio | | | | | | BATS: Series M Portfolio | |
| | | Year Ended
March 31, | | | | | | Year Ended
March 31, | |
| | | 2020 | | | 2019 | | | | | | 2020 | | | 2019 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | |
| | | | | |
OPERATIONS | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 11,541,542 | | | $ | 7,918,178 | | | | | | | $ | 26,693,780 | | | $ | 26,173,559 | |
Net realized gain (loss) | | | (3,574,046 | ) | | | 5,198 | | | | | | | | 1,649,550 | | | | (4,402,839 | ) |
Net change in unrealized appreciation (depreciation) | | | (10,734,283 | ) | | | 4,124,028 | | | | | | | | 21,387,602 | | | | 16,574,355 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (2,766,787 | ) | | | 12,047,404 | | | | | | | | 49,730,932 | | | | 38,345,075 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (11,745,193 | ) | | | (9,058,546 | ) | | | | | | | (30,102,692 | ) | | | (28,369,325 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | 92,907,703 | | | | 51,755,524 | | | | | | | | 187,375,080 | | | | (20,232,145 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 78,395,723 | | | | 54,744,382 | | | | | | | | 207,003,320 | | | | (10,256,395 | ) |
Beginning of year | | | 234,886,287 | | | | 180,141,905 | | | | | | | | 799,774,249 | | | | 810,030,644 | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 313,282,010 | | | $ | 234,886,287 | | | | | | | $ | 1,006,777,569 | | | $ | 799,774,249 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 96 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series P Portfolio | | | | | | BATS: Series S Portfolio | |
| | | Year Ended
March 31, | | | | | | Year Ended
March 31, | |
| | | 2020 | | | 2019 | | | | | | 2020 | | | 2019 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | |
| | | | | |
OPERATIONS | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 612,722 | | | $ | 905,954 | | | | | | | $ | 4,654,447 | | | $ | 4,418,727 | |
Net realized gain (loss) | | | 967,300 | | | | 1,341,177 | | | | | | | | 189,861 | | | | (1,368,572 | ) |
Net change in unrealized appreciation (depreciation) | | | (7,942,300 | ) | | | (3,161,240 | ) | | | | | | | (3,761,080 | ) | | | 3,444,366 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (6,362,278 | ) | | | (914,109 | ) | | | | | | | 1,083,228 | | | | 6,494,521 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | | |
From net investment income | | | (546,948 | ) | | | (620,004 | ) | | | | | | | (5,291,105 | ) | | | (4,649,704 | ) |
From return of capital | | | (1,094 | ) | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (548,042 | ) | | | (620,004 | ) | | | | | | | (5,291,105 | ) | | | (4,649,704 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (3,438,937 | ) | | | (30,891,612 | ) | | | | | | | (12,665,537 | ) | | | (14,608,063 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | |
Total decrease in net assets | | | (10,349,257 | ) | | | (32,425,725 | ) | | | | | | | (16,873,414 | ) | | | (12,763,246 | ) |
Beginning of year | | | 51,654,420 | | | | 84,080,145 | | | | | | | | 163,175,827 | | | | 175,939,073 | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 41,305,163 | | | $ | 51,654,420 | | | | | | | $ | 146,302,413 | | | $ | 163,175,827 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Statement of Cash Flows
Year Ended March 31, 2020
| | | | |
| | | BATS: Series S Portfolio | |
| |
CASH USED FOR OPERATING ACTIVITIES | | | | |
Net increase in net assets resulting from operations | | $ | 1,083,228 | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities: | | | | |
Proceeds from sales of long-term investments and principal paydowns | | | 332,720,555 | |
Purchases of long-term investments | | | (369,098,137 | ) |
Net proceeds from sales of short-term securities | | | 13,866,889 | |
Amortization of premium and accretion of discount on investments and other fees | | | 503,378 | |
Premiums paid on closing options written | | | (18,617 | ) |
Premiums received from options written | | | 316,745 | |
Net realized gain on investments and options written | | | (1,283,773 | ) |
Net unrealized depreciation on investments, options written, swaps and foreign currency translations | | | 2,487,929 | |
(Increase) Decrease in Assets: | | | | |
Receivables: | | | | |
Interest — unaffiliated | | | 75,825 | |
Dividends — unaffiliated | | | 340 | |
From the Manager | | | 7,779 | |
Principal paydowns | | | (26,616 | ) |
Options written | | | (23,207 | ) |
Swaps | | | (66,305 | ) |
Variation margin on futures contracts | | | 16,580 | |
Prepaid expenses | | | 7,811 | |
Increase (Decrease) in Liabilities: | | | | |
Cash received: | | | | |
Collateral — Reverse repurchase agreements | | | (129,000 | ) |
Payables: | | | | |
Interest expense | | | 120,753 | |
Trustees’ and Officer’s fees | | | (1,325 | ) |
Variation margin on futures contracts | | | (83,700 | ) |
Variation margin on centrally cleared swaps | | | 122,623 | |
Board realignment and consolidation | | | (1,537 | ) |
Other accrued expenses | | | (22,992 | ) |
| | | | |
Net cash used for operating activities | | | (19,424,774 | ) |
| | | | |
| |
CASH PROVIDED BY FINANCING ACTIVITIES | | | | |
Net borrowing of reverse repurchase agreements | | | 36,420,017 | |
Cash dividends paid to shareholders | | | (5,210,087 | ) |
Payments on redemption of capital shares | | | (65,698,337 | ) |
Proceeds from issuance of capital shares | | | 55,342,870 | |
| | | | |
Net cash provided by financing activities | | | 20,854,463 | |
| | | | |
| |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | | | | |
Cash impact from foreign exchange fluctuations | | | 2,107 | |
| | | | |
| |
CASH AND FOREIGN CURRENCY | | | | |
Net increase in restricted and unrestricted cash and foreign currency | | | 1,431,796 | |
Restricted and unrestricted cash and foreign currency at beginning of year | | | 343,085 | |
| | | | |
Restricted and unrestricted cash and foreign currency at end of year | | $ | 1,774,881 | |
| | | | |
| |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | | | | |
Cash paid during the year for interest expense | | $ | 1,507,066 | |
| | | | |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY TO THE STATEMENTS OF ASSETS AND LIABILITIES
| | | | | | | | |
| | | March 31, 2020 | | | March 31, 2019 | |
Cash | | $ | 1,217,302 | | | $ | — | |
Cash pledged: | | | | | | | | |
Futures contracts. | | | 288,925 | | | | 189,920 | |
Centrally cleared swaps | | | 103,930 | | | | 105,930 | |
Foreign currency at value | | | 164,724 | | | | 47,235 | |
| | | | | | | | |
| | $ | 1,774,881 | | | $ | 343,085 | |
| | | | | | | | |
See notes to financial statements.
| | |
| 98 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series A Portfolio | |
| | | | | | | | | | | | | | | | | | Period | |
| | | | | | | | | | | | | | | | | | from | |
| | | | | | | | | | | | | | | | | | 09/21/2015(a) | |
| | | Year Ended March 31, | | | to | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 03/31/2016 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 9.99 | | | | | | | $ | 10.14 | | | $ | 10.14 | | | $ | 9.82 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | 0.45 | | | | | | | | 0.53 | | | | 0.58 | | | | 0.51 | | | | 0.48 | |
Net realized and unrealized gain (loss) | | | (0.94 | ) | | | | | | | (0.11 | ) | | | (0.03 | ) | | | 0.43 | | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.49 | ) | | | | | | | 0.42 | | | | 0.55 | | | | 0.94 | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(c) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.45 | ) | | | | | | | (0.52 | ) | | | (0.49 | ) | | | (0.62 | ) | | | (0.39 | ) |
From net realized gain | | | — | | | | | | | | (0.05 | ) | | | (0.06 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.45 | ) | | | | | | | (0.57 | ) | | | (0.55 | ) | | | (0.62 | ) | | | (0.39 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 9.05 | | | | | | | $ | 9.99 | | | $ | 10.14 | | | $ | 10.14 | | | $ | 9.82 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (5.22 | )% | | | | | | | 4.31 | % | | | 5.55 | % | | | 9.76 | % | | | 2.07 | %(e) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(g) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.05 | % | | | | | | | 0.04 | % | | | 0.12 | % | | | 0.26 | % | | | 1.23 | %(f)(h) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed excluding amortization of offering costs | | | 0.00 | %(i) | | | | | | | 0.00 | %(i) | | | 0.00 | % | | | 0.00 | % | | | 0.01 | %(f) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.45 | % | | | | | | | 5.26 | % | | | 5.65 | % | | | 5.01 | % | | | 9.03 | %(f) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,035,675 | | | | | | | $ | 977,286 | | | $ | 571,583 | | | $ | 323,784 | | | $ | 38,956 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 48 | % | | | | | | | 43 | % | | | 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. |
| (g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Period | |
| | | | | | | | | | | | | | | | | | from | |
| | | | | | | | | | | | | | | | | | 09/21/2015(a) | |
| | | Year Ended March 31, | | | to | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 03/31/2016 | |
Investments in underlying funds | | | 0.01 | % | | | | | | | 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%. |
| (i) | Amount is less than 0.005%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series C Portfolio | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| | | | | | | |
Net asset value, beginning of year | | $ | 10.28 | | | | | | | $ | 10.18 | | | $ | 10.31 | | | $ | 10.37 | | | $ | 10.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.38 | | | | | | | | 0.39 | | | | 0.37 | | | | 0.36 | | | | 0.38 | |
Net realized and unrealized gain (loss) | | | 0.27 | | | | | | | | 0.10 | | | | (0.08 | ) | | | (0.04 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.65 | | | | | | | | 0.49 | | | | 0.29 | | | | 0.32 | | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.38 | ) | | | | | | | (0.39 | ) | | | (0.37 | ) | | | (0.36 | ) | | | (0.38 | ) |
From net realized gain | | | (0.06 | ) | | | | | | | (0.00 | )(c) | | | (0.05 | ) | | | (0.02 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.44 | ) | | | | | | | (0.39 | ) | | | (0.42 | ) | | | (0.38 | ) | | | (0.47 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | $ | 10.49 | | | | | | | $ | 10.28 | | | $ | 10.18 | | | $ | 10.31 | | | $ | 10.37 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 6.31 | % | | | | | | | 5.05 | % | | | 2.82 | % | | | 3.12 | % | | | 0.70 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.09 | % | | | | | | | 0.09 | % | | | 0.11 | % | | | 0.11 | % | | | 0.13 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(f) | | | | | | | 0.00 | %(f) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.55 | % | | | | | | | 3.91 | % | | | 3.55 | % | | | 3.45 | % | | | 3.68 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 464,267 | | | | | | | $ | 372,928 | | | $ | 388,674 | | | $ | 417,251 | | | $ | 353,632 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 83 | % | | | | | | | 55 | % | | | 31 | % | | | 32 | % | | | 53 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Investments in underlying funds | | | 0.00 | % | | | | | | | 0.00 | % | | | 0.00 | % | | | 0.01 | % | | | 0.01 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (f) | Amount is less than 0.005%. |
See notes to financial statements.
| | |
| 100 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series E Portfolio | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| | | | | | | |
Net asset value, beginning of year | | $ | 10.91 | | | | | | | $ | 10.78 | | | $ | 10.49 | | | $ | 10.75 | | | $ | 10.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.43 | | | | | | | | 0.47 | | | | 0.45 | | | | 0.45 | | | | 0.43 | |
Net realized and unrealized gain (loss) | | | (0.37 | ) | | | | | | | 0.21 | | | | 0.30 | | | | (0.16 | ) | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.06 | | | | | | | | 0.68 | | | | 0.75 | | | | 0.29 | | | | 0.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.44 | ) | | | | | | | (0.47 | ) | | | (0.45 | ) | | | (0.45 | ) | | | (0.43 | ) |
From net realized gain | | | — | | | | | | | | (0.08 | ) | | | (0.01 | ) | | | (0.10 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.44 | ) | | | | | | | (0.55 | ) | | | (0.46 | ) | | | (0.55 | ) | | | (0.44 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | $ | 10.53 | | | | | | | $ | 10.91 | | | $ | 10.78 | | | $ | 10.49 | | | $ | 10.75 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.33 | % | | | | | | | 6.44 | % | | | 7.22 | % | | | 2.78 | % | | | 7.15 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.18 | % | | | | | | | 0.21 | % | | | 0.27 | % | | | 0.23 | % | | | 0.34 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.06 | % | | | | | | | 0.08 | % | | | 0.06 | % | | | 0.06 | % | | | 0.02 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | | | 0.00 | %(e) | | | | | | | 0.00 | %(e) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.78 | % | | | | | | | 4.35 | % | | | 4.17 | % | | | 4.21 | % | | | 4.17 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 313,282 | | | | | | | $ | 234,886 | | | $ | 180,142 | | | $ | 146,346 | | | $ | 110,186 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of year (000) | | $ | 10,713 | | | | | | | $ | 8,085 | | | $ | 6,625 | | | $ | 6,625 | | | $ | 4,835 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 54 | % | | | | | | | 53 | % | | | 100 | % | | | 87 | % | | | 44 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Investments in underlying funds | | | 0.01 | % | | | | | | | 0.01 | % | | | 0.02 | % | | | 0.01 | % | | | 0.01 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (e) | Amount is less than 0.005%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series M Portfolio | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| | | | | | | |
Net asset value, beginning of year | | $ | 9.59 | | | | | | | $ | 9.47 | | | $ | 9.69 | | | $ | 9.93 | | | $ | 10.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.30 | | | | | | | | 0.31 | | | | 0.25 | | | | 0.21 | | | | 0.22 | |
Net realized and unrealized gain | | | 0.25 | | | | | | | | 0.15 | | | | (0.16 | ) | | | (0.16 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.55 | | | | | | | | 0.46 | | | | 0.09 | | | | 0.05 | | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.33 | ) | | | | | | | (0.34 | ) | | | (0.31 | ) | | | (0.29 | ) | | | (0.27 | ) |
From net realized gain | | | — | | | | | | | | — | | | | — | | | | — | | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.33 | ) | | | | | | | (0.34 | ) | | | (0.31 | ) | | | (0.29 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | $ | 9.81 | | | | | | | $ | 9.59 | | | $ | 9.47 | | | $ | 9.69 | | | $ | 9.93 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 5.86 | % | | | | | | | 4.94 | % | | | 0.91 | % | | | 0.51 | % | | | 2.44 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.06 | % | | | | | | | 0.08 | % | | | 0.08 | % | | | 0.09 | % | | | 0.11 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(e) | | | | | | | 0.00 | %(e) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.00 | %(e) | | | | | | | 0.00 | %(e) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.03 | % | | | | | | | 3.30 | % | | | 2.59 | % | | | 2.12 | % | | | 2.25 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 1,006,778 | | | | | | | $ | 799,774 | | | $ | 810,031 | | | $ | 598,067 | | | $ | 552,687 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(f) | | | 1,316 | % | | | | | | | 1,209 | % | | | 1,515 | % | | | 1,728 | % | | | 1,789 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Investments in underlying funds | | | 0.00 | % | | | | | | | 0.00 | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (e) | Amount is less than 0.005%. |
| (f) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Portfolio turnover rate (excluding MDRs) | | | 813 | % | | | | | | | 683 | % | | | 833 | % | | | 1,040 | % | | | 1,090 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 102 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series P Portfolio | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| | | | | | | |
Net asset value, beginning of year | | $ | 9.25 | | | | | | | $ | 9.56 | | | $ | 9.38 | | | $ | 8.95 | | | $ | 9.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.12 | | | | | | | | 0.12 | | | | 0.08 | | | | 0.09 | | | | 0.10 | |
Net realized and unrealized gain (loss) | | | (1.33 | ) | | | | | | | (0.34 | ) | | | 0.15 | | | | 0.34 | | | | (0.53 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (1.21 | ) | | | | | | | (0.22 | ) | | | 0.23 | | | | 0.43 | | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | | | | | (0.09 | ) | | | (0.05 | ) | | | — | | | | — | |
From return of capital | | | (0.00 | )(c) | | | | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.12 | ) | | | | | | | (0.09 | ) | | | (0.05 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of year | | $ | 7.92 | | | | | | | $ | 9.25 | | | $ | 9.56 | | | $ | 9.38 | | | $ | 8.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (13.25 | )% | | | | | | | (2.32 | )% | | | 2.49 | % | | | 4.80 | % | | | (4.48 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.31 | % | | | | | | | 0.20 | % | | | 0.19 | % | | | 0.13 | % | | | 0.11 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(f) | | | | | | | 0.00 | %(f) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 1.33 | % | | | | | | | 1.24 | % | | | 0.89 | % | | | 1.00 | % | | | 1.04 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 41,305 | | | | | | | $ | 51,654 | | | $ | 84,080 | | | $ | 121,054 | | | $ | 221,470 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 15 | % | | | | | | | 0 | % | | | 6 | % | | | 10 | % | | | 0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Investments in underlying funds | | | 0.32 | % | | | 0.16 | % | | | 0.17 | % | | | 0.08 | % | | | 0.05 | % |
| | | | | | | | | | | | | | | | | | | | |
| (f) | Amount is less than 0.005%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series S Portfolio | |
| | | Year Ended March 31, | |
| | | 2020 | | | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
| | | | | | | |
Net asset value, beginning of year | | $ | 9.50 | | | | | | | $ | 9.38 | | | $ | 9.53 | | | $ | 9.54 | | | $ | 9.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.27 | | | | | | | | 0.25 | | | | 0.20 | | | | 0.19 | | | | 0.26 | |
Net realized and unrealized gain (loss) | | | (0.23 | ) | | | | | | | 0.13 | | | | (0.09 | ) | | | 0.11 | | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.04 | | | | | | | | 0.38 | | | | 0.11 | | | | 0.30 | | | | 0.11 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.31 | ) | | | | | | | (0.26 | ) | | | (0.26 | ) | | | (0.31 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.31 | ) | | | | | | | (0.26 | ) | | | (0.26 | ) | | | (0.31 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of year | | $ | 9.23 | | | | | | | $ | 9.50 | | | $ | 9.38 | | | $ | 9.53 | | | $ | 9.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.34 | % | | | | | | | 4.11 | % | | | 1.15 | % | | | 3.21 | % | | | 1.18 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.14 | %(d) | | | | | | | 0.69 | %(d) | | | 0.76 | %(d) | | | 0.48 | % | | | 0.31 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.99 | %(d) | | | | | | | 0.56 | %(d) | | | 0.59 | %(d) | | | 0.34 | % | | | 0.18 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.00 | %(d)(e) | | | | | | | 0.00 | %(d)(e) | | | 0.00 | %(d) | | | 0.00 | % | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 2.84 | %(d) | | | | | | | 2.62 | %(d) | | | 2.11 | %(d) | | | 2.37 | % | | | 2.91 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 146,302 | | | | | | | $ | 163,176 | | | $ | 175,939 | | | $ | 191,903 | | | $ | 238,237 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(f) | | | 144 | % | | | | | | | 184 | % | | | 263 | % | | | 279 | % | | | 270 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | | | |
Investments in underlying funds | | | 0.00 | % | | | 0.01 | % | | | 0.01 | % | | | | |
| | | | | | | | | | | | | | | | |
| (e) | Amount is less than 0.005%. |
| (f) | Includes MDRs. Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended March 31, | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Portfolio turnover rate (excluding MDRs) | | | 101 | % | | | 112 | % | | | 148 | % | | | 163 | % | | | 178 | % |
| | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 104 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements
BlackRock Allocation Target Shares (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940Act”), as anopen-end management investment company. The Trust is organized as a Delaware statutory trust. The following, each of which is a series of the Trust, are referred to herein collectively as the “Funds” or individually as a “Fund”:
| | | | |
| Fund Name | | Herein Referred To As | | Diversification Classification |
BATS: Series A Portfolio | | Series A | | Diversified |
BATS: Series C Portfolio | | Series C | | Diversified |
BATS: Series E Portfolio | | Series E | | Diversified |
BATS: Series M Portfolio | | Series M | | Diversified |
BATS: Series P Portfolio | | Series P | | Diversified |
| BATS: Series S Portfolio | | Series S | | Diversified |
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 Manager, and mutual funds advised by the Manager or its affiliates. Participants inwrap-fee programs pay a single aggregate fee to the program sponsor for all costs and expenses of thewrap-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 ofopen-endnon-index fixed-income mutual funds and all BlackRock-advisedclosed-end funds referred to as the BlackRock Fixed-Income 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 executed (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on theex-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.
Segregation and Collateralization:In cases where a Fund enters into certain investments (e.g., dollar rolls,to-be-announced (“TBA”) sale commitments, futures contracts, forward foreign currency exchange 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 borrowings 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 theex-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.
Deferred Compensation Plan:Under the Deferred Compensation Plan (the “Plan”) approved by the Board of Trustees of the Trust (the “Board”), the trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.
Recent Accounting Standards:The Funds have adopted Financial Accounting Standards Board Accounting Standards Update2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Funds have changed the amortization period for the premium on certain purchased
| | | | |
| NOTESTO FINANCIAL STATEMENTS | | | 105 | |
Notes to Financial Statements (continued)
callable debt securities withnon-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal period ended March 31, 2020. The adjusted cost basis of securities at March 31, 2019, if applicable, are as follows:
| | |
| | | |
Series A | | $995,962,482 |
Series C | | 361,972,146 |
Series E | | 245,929,128 |
Series S | | 195,412,381 |
This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value of 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.
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). 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. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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 may 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 inopen-end U.S. mutual funds are valued at net asset value (“NAV”) each business day. |
| | • | | Futures contracts traded on exchanges are valued at their last sale price. |
| | • | | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
| | • | | 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
| | |
| 106 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 are 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 anarm’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 pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and 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 the Global Valuation Committee’s 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. 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 level of prepayments as
| | | | |
| NOTESTO FINANCIAL STATEMENTS | | | 107 | |
Notes to Financial Statements (continued)
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 bynon-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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| 108 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (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 generallynon-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, When-Issued and 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 its 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 themark-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 counterpartynon-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 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.
| | | | |
| NOTESTO FINANCIAL STATEMENTS | | | 109 | |
Notes to Financial Statements (continued)
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 year ended March 31, 2020, 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 | | $ | 70,807,615 | | | | 2.22 | % |
| |
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 and cash 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 |
BNP Paribas | | | $ | 5,754,116 | | | | | | | | | | $ (5,754,116 | ) | | | | | | | | | $— | |
Citigroup Global Markets, Inc. | | | | 35,621,664 | | | | | | | | | | (35,621,664 | ) | | | | | | | | | — | |
HSBC Securities (USA), Inc. | | | | 7,992,666 | | | | | | | | | | (7,992,666 | ) | | | | | | | | | — | |
RBC Capital Markets, LLC | | | | 18,067,059 | | | | | | | | | | (18,067,059 | ) | | | | | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 67,435,505 | | | | | | | | | | $(67,435,505 | ) | | | | | | | | | $— | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Collateral with a value of $72,185,553 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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| 110 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (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 tonon-bank sponsored TOB Trusts, a fund incurrednon-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 | | $ | 164,176 | | | | $23,270 | | | | $5,366 | | | $ | 192,812 | |
| |
For the year ended March 31, 2020, 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 | | | $21,053,742 | | | | $10,713,000 | | | | 2.00% - 4.83 | % | | | $9,294,333 | | | | 2.09 | % |
| |
| | (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 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 anon-recourse or recourse basis. When a fund invests in TOB Trusts on anon-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 March 31, 2020, 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 March 31, 2020. | |
| 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, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.
| | | | |
| NOTESTO FINANCIAL STATEMENTS | | | 111 | |
Notes to Financial Statements (continued)
The contract ismarked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed.Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amounts reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.
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.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
| | • | | Swaptions — Certain Funds purchase and write 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 they otherwise would not, or at a price different from the current market value.
Swaps:Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the 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). |
| | |
| 112 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
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.
| | • | | Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index. |
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.
Collateral Requirements:For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting themark-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 andnon-cash collateral it receives. A Fund generally agrees not to usenon-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 counterpartynon-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 |
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, Inc. (“BlackRock”), to provide investment advisory services. The Manager receives no advisory fee from the Funds under the Investment Advisory Agreement.
With respect to each Fund, except for Series E, the Manager entered into a separatesub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager, effective March 2, 2020.
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.
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| NOTESTO FINANCIAL STATEMENTS | | | 113 | |
Notes to Financial Statements (continued)
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 certainwrap-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 | | $ | 534,668 | |
Series C | | | 354,605 | |
Series E | | | 359,797 | |
Series M | | | 487,768 | |
Series P | | | 140,486 | |
Series S | | | 240,556 | |
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 year ended March 31, 2020, the Funds did not participate in the Interfund Lending Program.
Trustees and Officers:Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
Other Transactions:The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended March 31, 2020, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule17a-7 under the 1940 Act were as follows:
| | | | | | | | | | | | |
| | | Purchases | | | Sales | | | Net Realized
Gain | |
Series C | | | $414,573 | | | | $680,232 | | | | $23,849 | |
For the year ended March 31, 2020, 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 | | $ | 700,691,658 | | | $ | 287,897,001 | | | $ | 261,993,064 | | | $ | 14,848,793,072 | | | $ | 2,020,110 | | | $ | 363,025,472 | |
U.S. Government Securities | | | — | | | | 137,365,611 | | | | — | | | | 18,067,473 | | | | — | | | | 12,767,064 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchases | | $ | 700,691,658 | | | $ | 425,262,612 | | | $ | 261,993,064 | | | $ | 14,866,860,545 | | | $ | 2,020,110 | | | $ | 375,792,536 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Sales | | Series A | | | Series C | | | Series E | | | Series M | | | Series P | | | Series S | |
Non-U.S. Government Securities (includes paydowns) | | $ | 540,303,639 | | | $ | 225,814,769 | | | $ | 160,612,876 | | | $ | 14,575,790,822 | | | $ | 4,989,576 | | | $ | 335,866,449 | |
U.S. Government Securities | | | — | | | | 116,575,040 | | | | — | | | | 22,367,160 | | | | — | | | | 5,487,687 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Sales | | $ | 540,303,639 | | | $ | 342,389,809 | | | $ | 160,612,876 | | | $ | 14,598,157,982 | | | $ | 4,989,576 | | | $ | 341,354,136 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended March 31, 2020, purchases and sales related to mortgage dollar rolls were as follows:
| | | | | | | | |
| | | Series M | | | Series S | |
Purchases | | | $5,590,686,465 | | | | $ 99,121,678 | |
Sales | | | 5,585,193,662 | | | | 100,484,306 | |
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.
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| 114 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
federal tax returns generally remains open for each of the four years ended March 31, 2020. 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 March 31, 2020, 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.
The tax character of distributions paid was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Series A | | | Series C | | | Series E | | | Series M | | | Series P | | | Series S | |
Tax-exempt income(a)
3/31/20 | | $ | — | | | $ | — | | | $ | 11,741,572 | | | $ | — | | | $ | — | | | $ | — | |
3/31/19 | | $ | — | | | $ | — | | | $ | 7,876,747 | | | $ | — | | | $ | — | | | $ | — | |
Ordinary income | | | | | | | | | | | | | | | | | | | | | | | | |
3/31/20 | | | 52,227,829 | | | | 16,699,777 | | | | 3,621 | | | | 30,102,692 | | | | 546,948 | | | | 5,291,105 | |
3/31/19 | | | 42,880,889 | | | | 14,646,689 | | | | 227,513 | | | | 28,369,325 | | | | 620,004 | | | | 4,649,704 | |
Long-term capital gains | | | | | | | | | | | | | | | | | | | | | | | | |
3/31/20 | | | — | | | | 473,103 | | | | — | | | | — | | | | — | | | | — | |
3/31/19 | | | 675,391 | | | | 40,994 | | | | 954,286 | | | | — | | | | — | | | | — | |
Return of capital | | | | | | | | | | | | | | | | | | | | | | | | |
3/31/20 | | | — | | | | — | | | | — | | | | — | | | | 1,094 | | | | — | |
| | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | | |
3/31/20 | | $ | 52,227,829 | | | $ | 17,172,880 | | | $ | 11,745,193 | | | $ | 30,102,692 | | | $ | 548,042 | | | $ | 5,291,105 | |
| | | | |
3/31/19 | | $ | 43,556,280 | | | $ | 14,687,683 | | | $ | 9,058,546 | | | $ | 28,369,325 | | | $ | 620,004 | | | $ | 4,649,704 | |
| | | | |
| | (a) | The Funds designate these amounts paid during the fiscal year ended March 31, 2020 as exempt-interest dividends. | |
As of period end, the tax components of accumulated net earnings (losses) were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Series A | | | Series C | | | Series E | | | Series M | | | Series P | | | Series S | |
Undistributed ordinary income | | $ | — | | | $ | 3,653,211 | | | $ | 12,355 | | | $ | 1,209,948 | | | $ | — | | | $ | — | |
Undistributed long-term capital gains | | | — | | | | 4,270,513 | | | | — | | | | — | | | | — | | | | — | |
Non-expiring capital loss carryforwards(a) | | | (4,772,564 | ) | | | — | | | | (3,719,355 | ) | | | (24,390,470 | ) | | | (27,095,097 | ) | | | (9,965,333 | ) |
Net unrealized gains (losses)(b) | | | (117,204,943 | ) | | | 92,586 | | | | (2,536,718 | ) | | | 27,242,182 | | | | (10,270,910 | ) | | | (3,449,044 | ) |
Qualified late year losses(c) | | | — | | | | — | | | | — | | | | — | | | | (87,784 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | (121,977,507 | ) | | $ | 8,016,310 | | | $ | (6,243,718 | ) | | $ | 4,061,660 | | | $ | (37,453,791 | ) | | $ | (13,414,377 | ) |
| | | | |
| | (a) | Amounts available to offset future realized capital gains. | |
| | (b) | The differences between book-basis andtax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, amortization methods for discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gain on investments in passive foreign investment companies, the realization for tax purposes of unrealized gains/losses on certain options and futures contracts, the accounting for swap agreements, the treatment of residual interests in tender option bond trusts and the classification of investments. | |
| | (c) | The Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. | |
During the year ended March 31, 2020, Series C and Series P utilized $2,491,680 and $1,921,290, respectively, of their capital loss carryforwards.
As of March 31, 2020, 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 | | $ | 1,146,613,760 | | | $ | 463,328,352 | | | $ | 318,879,397 | | | $ | 2,273,010,057 | | | $ | 12,831,716 | | | $ | 225,469,111 | |
| | | | |
Gross unrealized appreciation | | $ | 5,716,773 | | | $ | 17,186,806 | | | $ | 9,242,091 | | | $ | 63,233,038 | | | $ | 1,749,026 | | | $ | 3,153,600 | |
Gross unrealized depreciation | | | (122,657,241 | ) | | | (17,094,220 | ) | | | (11,727,044 | ) | | | (35,990,856 | ) | | | (12,019,940 | ) | | | (6,187,563 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | $ | (116,940,468 | ) | | $ | 92,586 | | | $ | (2,484,953 | ) | | $ | 27,242,182 | | | $ | (10,270,914 | ) | | $ | (3,033,963 | ) |
| | | | |
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 a364-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 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 2020 unless extended or renewed. Prior to April 18, 2019, 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 year ended March 31, 2020, the Funds did not borrow under the credit agreement.
| | | | |
| NOTESTO FINANCIAL STATEMENTS | | | 115 | |
Notes to Financial Statements (continued)
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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
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 the 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.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The impact of the pandemic may be short term or may last for an extended period of time.
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 amark-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.
Concentration Risk:Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative,
| | |
| 116 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
have greater credit risk and generally are less liquid than, 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. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
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:
| | | | | | | | | | | | | | | | | | |
| | | Year Ended 03/31/20 | | | | | Year Ended 03/31/19 | |
| | | Shares | | | Amount | | | | | Shares | | | Amount | |
Series A | | | | | | | | | | | | | | | | | | |
Shares sold | | | 56,175,142 | | | $ | 566,598,019 | | | | | | 69,144,009 | | | $ | 692,348,692 | |
Shares redeemed | | | (39,575,189 | ) | | | (396,252,721 | ) | | | | | (27,690,251 | ) | | | (277,349,588 | ) |
| | | | | | | | | | | | | | | | | | |
Net increase | | | 16,599,953 | | | $ | 170,345,298 | | | | | | 41,453,758 | | | $ | 414,999,104 | |
| | | | | | | | | | | | | | | | | | |
Series C | | | | | | | | | | | | | | | | | | |
Shares sold | | | 15,113,669 | | | $ | 163,942,733 | | | | | | 8,827,667 | | | $ | 88,295,064 | |
Shares redeemed | | | (7,124,584 | ) | | | (75,688,739 | ) | | | | | (10,736,125 | ) | | | (107,054,054 | ) |
| | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 7,989,085 | | | $ | 88,253,994 | | | | | | (1,908,458 | ) | | $ | (18,758,990 | ) |
| | | | | | | | | | | | | | | | | | |
Series E | | | | | | | | | | | | | | | | | | |
Shares sold | | | 17,189,745 | | | $ | 193,043,655 | | | | | | 10,019,529 | | | $ | 107,337,550 | |
Shares redeemed | | | (8,976,213 | ) | | | (100,135,952 | ) | | | | | (5,189,013 | ) | | | (55,582,026 | ) |
| | | | | | | | | | | | | | | | | | |
Net increase | | | 8,213,532 | | | $ | 92,907,703 | | | | | | 4,830,516 | | | $ | 51,755,524 | |
| | | | | | | | | | | | | | | | | | |
Series M | | | | | | | | | | | | | | | | | | |
Shares sold | | | 35,969,210 | | | $ | 350,693,918 | | | | | | 24,770,907 | | | $ | 232,427,176 | |
Shares redeemed | | | (16,794,450 | ) | | | (163,318,838 | ) | | | | | (26,871,015 | ) | | | (252,659,321 | ) |
| | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 19,174,760 | | | $ | 187,375,080 | | | | | | (2,100,108 | ) | | $ | (20,232,145 | ) |
| | | | | | | | | | | | | | | | | | |
Series P | | | | | | | | | | | | | | | | | | |
Shares sold | | | 2,498,617 | | | $ | 21,721,096 | | | | | | 1,454,951 | | | $ | 14,053,229 | |
Shares redeemed | | | (2,869,301 | ) | | | (25,160,033 | ) | | | | | (4,667,254 | ) | | | (44,944,841 | ) |
| | | | | | | | | | | | | | | | | | |
Net decrease | | | (370,684 | ) | | $ | (3,438,937 | ) | | | | | (3,212,303 | ) | | $ | (30,891,612 | ) |
| | | | | | | | | | | | | | | | | | |
Series S | | | | | | | | | | | | | | | | | | |
Shares sold | | | 5,557,853 | | | $ | 53,268,760 | | | | | | 6,846,900 | | | $ | 64,260,569 | |
Shares redeemed | | | (6,877,962 | ) | | | (65,934,297 | ) | | | | | (8,424,603 | ) | | | (78,868,632 | ) |
| | | | | | | | | | | | | | | | | | |
Net decrease | | | (1,320,109 | ) | | $ | (12,665,537 | ) | | | | | (1,577,703 | ) | | $ | (14,608,063 | ) |
| | | | | | | | | | | | | | | | | | |
Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following item was noted:
Effective April 16, 2020, the credit agreement was extended until April 2021 under the same terms.
| | | | |
| NOTESTO FINANCIAL STATEMENTS | | | 117 | |
Report of Independent Registered Public Accounting Firm
To the Shareholders of 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 and the Board of Trustees of the BlackRock Allocation Target Shares:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of 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 of BlackRock Allocation Target Shares (the “Funds”), including the schedules of investments, as of March 31, 2020, the related statements of operations for the year then ended, the statement of cash flows for BATS: Series S Portfolio for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of March 31, 2020, and the results of their operations and BATS: Series S Portfolio’s cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
| | |
| Fund | | Financial Highlights |
| BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, BATS: Series S Portfolio | | For each of the five years in the period ended March 31, 2020. |
BATS: Series A Portfolio | | For each of the four years in the period ended March 31, 2020 and for the period from September 21, 2015 (commencement of operations) through March 31, 2016. |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2020, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks and brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
May 22, 2020
We have served as the auditor of one or more BlackRock investment companies since 1992.
| | |
| 118 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Important Tax Information (unaudited)
For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended March 31, 2020 that qualified for the dividends-received deduction were as follows:
| | | | |
| |
| Fund | | Dividends-Received
Deduction | |
| |
Series C | | | 2.21 | % |
| |
The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended March 31, 2020:
| | | | |
| |
| Fund | | Qualified Dividend
Income | |
| |
Series C | | | $631,986 | |
| |
For the fiscal year ended March 31, 2020, the Funds hereby designate the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:
| | | | |
| |
| Fund | | Interest-Related
Dividends | |
| |
Series A | | | $40,602,593 | |
Series C | | | 11,421,234 | |
Series E | | | 599 | |
Series M | | | 29,876,032 | |
Series P | | | 496,224 | |
Series S | | | 6,074,976 | |
| |
The Funds hereby designate the following amount of distributions from direct federal obligation interest for the fiscal year ended March 31, 2020:
| | | | |
| |
| Fund | | Federal Obligation
Interest | |
| |
Series C | | | $395,827 | |
Series M | | | 789,777 | |
Series S | | | 34,647 | |
| |
The law varies in each state as to whether and what percent of ordinary income dividends attribute to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
The following distribution amounts are hereby designated for the fiscal year ended March 31, 2020:
| | | | |
| |
| Fund | | 20% Rate Long-Term Capital Gain
Dividends | |
| |
Series C | | | $473,103 | |
| |
| | | | |
| IMPORTANT TAX INFORMATION | | | 119 | |
Disclosure ofSub-Advisory Agreement
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Allocation Target Shares (the “Trust”), on behalf of its series, BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio (each, a “Fund” and collectively, the “Funds”), met in person on February 19, 2020 (the “February Meeting”) to consider the initial approval of thesub-advisory agreement (the“Sub-Advisory Agreements”) between BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor, and BlackRock International Limited, with respect to each Fund. TheSub-Advisory Agreements were substantially similar to thesub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.
On the date of the February Meeting, the Board consisted of ten individuals, eight 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”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of theSub-Advisory Agreements.
At the February Meeting, the Board reviewed materials relating to its consideration of the proposedSub-Advisory Agreements. Each Fund’s investment advisory agreement with the Manager was most recently approved by the Board atin-person meetings on May 1, 2019 (the “May Meeting”) and June5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of these agreements at the May and June Meetings is included in the Funds’ semi-annual shareholder report for the fiscal period ended September 30, 2019. The factors considered by the Board at the February Meeting in connection with approval of the proposedSub-Advisory Agreements were substantially the same as the factors considered at the May and June Meetings.
Following discussion, all the Board Members present at the February Meeting, including all the Independent Board Members present, approved theSub-Advisory Agreement between the Manager and BlackRock International Limited, with respect to each Fund for atwo-year term beginning on the effective date of theSub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of eachSub-Advisory Agreement were fair and reasonable and in the best interest of the applicable Fund and its shareholders. In arriving at its decision to approve eachSub-Advisory Agreement, the Board did not identify any single factor or group of factors asall-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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| 120 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statement Regarding Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout theopen-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of BlackRock Allocation Target Shares, on behalf of 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, met on November14-15, 2019 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the BlackRockopen-end funds, excluding money market funds (each, a “Fund”), pursuant to the Liquidity Rule. The Board has appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain Funds, as the program administrator for each Fund’s Program, as applicable. BlackRock has delegated oversight of the Program to the 40Act Liquidity Risk Management Committee (the “Committee”).At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the operation of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through September 30, 2019 (the “Program Reporting Period”).
The Report described the Program’s liquidity classification methodology for categorizing a Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also described BlackRock’s methodology in establishing a Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:
A. The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions:During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for anopen-end fund structure with a focus on Funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a Fund participated in borrowings for investment purposes (such as tender option bonds and reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a Fund’s liquidity bucketing. Derivative exposure was also considered in such calculation.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions:During the Program Reporting Period, the Committee reviewed historical net redemption activity, and used this information as a component to establish each Fund’s reasonably anticipated trading size (“RATS”). Each Fund has adopted anin-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a Fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements:The Committee considered the terms of the credit facility applicable to the Funds, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple Funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio and BlackRock Credit Strategies Income Fund, each a series of BlackRock Funds V). The Committee also considered other types of borrowing available to the Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.
There were no material changes to the Program during the Program Reporting Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
| | | | |
| STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM | | | 121 | |
Trustee and Officer Information
| | | | | | | | |
| Independent Trustees (a) |
| | | | | |
Name Year of Birth(b) | | Position(s) Held (Length of Service)(c) | | Principal Occupation(s) During Past Five Years | | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | | Public Company and Other Investment Company Direc- torships Held During Past Five Years |
Richard E. Cavanagh 1946 | | Co-Chair of the Board and Trustee (Since 2019) | | Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (anot-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. | | 87 RICs consisting of 111 Portfolios | | None |
Karen P. Robards 1950 | | Co-Chair of the Board and Trustee (Since 2019) | | Principal of Robards & Company, LLC (consulting and private investing) since 1987;Co-founder and Director of the Cooke Center for Learning and Development (anot-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987. | | 87 RICs consisting of 111 Portfolios | | Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017 |
Michael J. Castellano 1946 | | Trustee (Since 2019) | | Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious(non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015. | | 87 RICs consisting of 111 Portfolios | | None |
Cynthia L. Egan 1955 | | Trustee (Since 2019) | | Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007. | | 87 RICs consisting of 111 Portfolios | | Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016 |
Frank J. Fabozzi(d) 1948 | | Trustee (Since 2019) | | Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year. | | 88 RICs consisting of 112 Portfolios | | None |
| | |
| 122 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Trustee and Officer Information (continued)
| | | | | | | | |
| Independent Trustees (a) |
| | | | | |
Name Year of Birth(b) | | Position(s) Held (Length of Service)(c) | | Principal Occupation(s) During Past Five Years | | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | | Public Company and Other Investment Company Direc- torships Held During Past Five Years |
R. Glenn Hubbard 1958 | | Trustee (Since 2019) | | Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | | 87 RICs consisting of 111 Portfolios | | ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014 |
W. Carl Kester(d) 1951 | | Trustee (Since 2019) | | George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | | 88 RICs consisting of 112 Portfolios | | None |
Catherine A. Lynch(d) 1961 | | Trustee (Since 2019) | | Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999. | | 88 RICs consisting of 112 Portfolios | | None |
| | | | |
| TRUSTEEAND OFFICER INFORMATION | | | 123 | |
Trustee and Officer Information (continued)
| | | | | | | | |
| Interested Trustees (a)(d) |
| | | | | |
Name Year of Birth(b) | | Position(s) Held (Length of Service)(c) | | Principal Occupation(s) During Past Five Years | | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | | Public Company and Other Investment Company Directorships Held During Past Five Years |
Robert Fairbairn 1965 | | Trustee (Since 2015) | | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees;Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016. | | 123 RICs consisting of 262 Portfolios | | None |
John M. Perlowski(d) 1964 | | Trustee (Since 2015), President and Chief Executive Officer (Since 2010) | | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | | 124 RICs consisting of 283 Portfolios | | None |
| (a) | The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
| (b) | Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust’sby-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’sby-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on acase-by-case basis, as appropriate. |
| (c) | Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Certain other Independent Trustees became members of the boards of theclosed-end funds in the Fixed-Income Complex as follows: Michael J. Castellano, 2011; Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016. |
| (d) | Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund. |
| (e) | Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex. |
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| 124 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Trustee and Officer Information (continued)
| | | | |
| Officers Who Are Not Trustees (a) |
| | | |
Name Year of Birth(b) | | Position(s) Held (Length of Service) | | Principal Occupation(s) During Past Five Years |
Jennifer McGovern 1977 | | Vice President (Since 2014) | | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013. |
Neal J. Andrews 1966 | | Chief Financial Officer (Since 2007) | | Chief Financial Officer of the iShares®exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006. |
Jay M. Fife 1970 | | Treasurer (Since 2007) | | Managing Director of BlackRock, Inc. since 2007. |
Charles Park 1967 | | Chief Compliance Officer (Since 2014) | | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares®Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for theBFA-advised iShares®exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
Lisa Belle 1968 | | Anti-Money Laundering Compliance Officer (Since 2019) | | Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012. |
Janey Ahn 1975 | | Secretary (Since 2019) | | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |
(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Officers of the Trust serve at the pleasure of the Board. |
Further information about the Trust’s Trustees and Officers is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800)441-7762.
Effective February 19, 2020, Henry Gabbay resigned as a Trustee of the Trust.
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Adviser(a)
BlackRock International Limited
Edinburgh EH3 8BL, United Kingdom
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
| (a) | Excludes BATS: Series E Portfolio |
| | | | |
| TRUSTEEAND OFFICER INFORMATION | | | 125 | |
Additional Information
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed atblackrock.com.Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports 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 as an exhibit to its reports on FormN-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on FormN-Q. The Funds’ FormsN-PORT andN-Q are available on the SEC’s website at sec.gov. The Funds’ FormsN-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) atblackrock.com;and (3) on the SEC’s website at 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 recent12-month period ended June 30 is available upon request and without charge (1) atblackrock.com;or by calling (800)441-7762 and (2) on the SEC’s website at 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 theirnon-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 personalnon-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 tonon-affiliated third parties anynon-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. Thesenon-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 tonon-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 thenon-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
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| 126 | | 2020 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Currency | | |
| |
| CAD | | Canadian Dollar |
| |
| JPY | | Japanese Yen |
| |
| NZD | | New Zealand Dollar |
| |
| USD | | US Dollar |
|
| Portfolio Abbreviations |
| |
| ABS | | Asset-Backed Security |
| |
| AKA | | Also Known As |
| |
| AGM | | Assurance Guaranty Municipal Corp. |
| |
| AMT | | Alternative Minimum Tax (subject to) |
| |
| CLO | | Collateralized Loan Obligation |
| |
| DAC | | Designated Activity Company |
| |
| EDA | | Economic Development Authority |
| |
| GO | | General Obligation Bonds |
| |
| IDA | | Industrial Development Authority |
| |
| LIBOR | | London Interbank Offered Rate |
| |
| OTC | | Over-the-counter |
| |
| RB | | Revenue Bonds |
| |
| REMIC | | Real Estate Mortgage Investment Conduit |
| |
| S&P | | Standard & Poor’s |
| |
| TBA | | To-be-announced |
| | | | |
| GLOSSARYOF TERMS USEDINTHIS REPORT | | | 127 | |
Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
BATS-3/20-AR
| Item 2 – | Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make othernon-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls1-800-441-7762. |
| Item 3 – | Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: |
Michael Castellano
Frank J. Fabozzi
Henry Gabbay
Catherine A. Lynch
Karen P. Robards
The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of FormN-CSR.
Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and anon-profit organization.
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
| Item 4 – | Principal Accountant Fees and Services |
The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:
2
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (a) Audit Fees | | (b) Audit-Related Fees1 | | (c) Tax Fees2 | | (d) All Other Fees |
| Entity Name | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End |
Series A Portfolio | | | | $40,902 | | | | | $40,902 | | | | | $0 | | | | | $0 | | | | | $15,500 | | | | | $15,400 | | | | | $0 | | | | | $0 | |
Series C Portfolio | | | | $36,006 | | | | | $36,006 | | | | | $0 | | | | | $0 | | | | | $15,500 | | | | | $15,400 | | | | | $0 | | | | | $0 | |
Series E Portfolio | | | | $41,922 | | | | | $41,922 | | | | | $0 | | | | | $0 | | | | | $13,600 | | | | | $13,400 | | | | | $0 | | | | | $0 | |
Series M Portfolio | | | | $32,028 | | | | | $32,028 | | | | | $0 | | | | | $0 | | | | | $15,500 | | | | | $15,400 | | | | | $0 | | | | | $0 | |
Series P Portfolio | | | | $20,400 | | | | | $20,400 | | | | | $0 | | | | | $0 | | | | | $15,500 | | | | | $15,400 | | | | | $0 | | | | | $0 | |
Series S Portfolio | | | | $36,006 | | | | | $36,006 | | | | | $0 | | | | | $0 | | | | | $15,500 | | | | | $15,400 | | | | | $0 | | | | | $0 | |
The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):
| | | | |
| | | Current Fiscal Year End | | Previous Fiscal Year End |
| (b) Audit-Related Fees1 | | $0 | | $0 |
| (c) Tax Fees2 | | $0 | | $0 |
| (d) All Other Fees3 | | $1,984,000 | | $2,050,500 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters,out-of-pocket expenses and internal control reviews not required by regulators.
2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3Non-audit fees of $1,984,000 and $2,050,500 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(e)(1) Audit CommitteePre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to thepre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specificpre-approval by the Committee. The Committee also must approve othernon-audit services provided to the registrant and thosenon-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of thesenon-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specificcase-by-case basis (“generalpre-approval”). The term of any generalpre-approval is 12 months from the date of thepre-approval, unless the Committee provides for a different period. Tax or othernon-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemedpre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or
3
$50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding thepre-approved cost levels will require specificpre-approval by the Committee, as will any other services not subject to generalpre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to generalpre-approval at the next regularly scheduledin-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permittednon-audit services, including services exceedingpre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X.
(f) Not Applicable
(g) The aggregatenon-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
| | | | | | | | |
| Entity Name | | Current Fiscal Year
End | | | Previous Fiscal Year
End | |
Series A Portfolio | | | $15,500 | | | | $15,400 | |
Series C Portfolio | | | $15,500 | | | | $15,400 | |
Series E Portfolio | | | $13,600 | | | | $13,400 | |
Series M Portfolio | | | $15,500 | | | | $15,400 | |
Series P Portfolio | | | $15,500 | | | | $15,400 | |
Series S Portfolio | | | $15,500 | | | | $15,400 | |
Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:
| | |
Current Fiscal Year
End | | Previous Fiscal Year
End |
$1,984,000 | | $2,050,500 |
These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(h) The Committee has considered and determined that the provision ofnon-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence.
| Item 5 – | Audit Committee of Listed Registrants – Not Applicable |
4
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previousForm N-CSR filing.
| Item7 – | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies – Not Applicable |
| Item 8 – | Portfolio Managers ofClosed-End Management Investment Companies – Not Applicable |
| Item 9 – | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
| Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
| Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-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 Rule30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12 – | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies – Not Applicable |
| Item 13 – | Exhibits attached hereto |
(a)(1) Code of Ethics – See Item 2
(a)(2) – Section 302 Certifications are attached
(a)(3) Not Applicable
(a)(4) Not Applicable
(b) – Section 906 Certifications are attached
5
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Allocation Target Shares
| | |
| By: | | /s/ John M. Perlowski |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Allocation Target Shares |
Date: June 4, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
By: | | /s/ John M. Perlowski |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Allocation Target Shares |
|
Date: June 4, 2020 |
| |
By: | | /s/ Neal J. Andrews |
| | Neal J. Andrews |
| | Chief Financial Officer (principal financial officer) of |
| | BlackRock Allocation Target Shares |
Date: June 4, 2020
6
