UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-21457
Name of Fund: | BlackRock Allocation Target Shares |
BATS: Series A Portfolio |
BATS: Series C Portfolio |
BATS: Series E Portfolio |
BATS: Series M Portfolio |
BATS: Series P Portfolio |
BATS: Series S Portfolio |
BATS: Series V 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: 03/31/2022
Date of reporting period: 03/31/2022
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
MARCH 31, 2022 |
2022 Annual Report |
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 |
· | BATS: Series V Portfolio |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
The 12-month reporting period as of March 31, 2022 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.
Equity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks posted a strong advance. International equities from developed markets gained slightly, although emerging market stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. The corporate bond market also faced inflationary headwinds, although the improving economy assuaged credit concerns and high-yield corporate bonds consequently declined less than investment-grade corporate bonds.
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates in March 2022, the first increase of this business cycle. Furthermore, the Fed wound down its bond-buying programs and raised the prospect of reversing the flow and reducing its balance sheet. Continued high inflation and the Fed’s new tone led many analysts to anticipate that the Fed will continue to raise interest rates multiple times throughout the year.
Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metal markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption are likely to drive already-high commodity prices even higher. Sharp increases in energy prices will exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks amid the ebb and flow of the pandemic, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side of protecting employment, even at the expense of higher inflation.
In this environment, we favor an overweight to equities, as valuations have become more attractive and inflation-adjusted interest rates remain low. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. We favor U.S. equities due to strong earnings momentum, while Japanese equities should benefit from supportive monetary and fiscal policy. We are underweight credit overall, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities for additional yield. We believe that international diversification and a focus on sustainability and quality can help provide portfolio resilience.
Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of March 31, 2022 | ||||||||||
6-Month | 12-Month | |||||||||
U.S. large cap equities | 5.92% | 15.65% | ||||||||
U.S. small cap equities | (5.55) | (5.79) | ||||||||
International equities | (3.38) | 1.16 | ||||||||
Emerging market equities | (8.20) | (11.37) | ||||||||
3-month Treasury bills | 0.05 | 0.07 | ||||||||
U.S. Treasury securities | (6.04) | (3.31) | ||||||||
U.S. investment grade bonds | (5.92) | (4.15) | ||||||||
Tax-exempt municipal bonds | (5.55) | (4.47) | ||||||||
U.S. high yield bonds | (4.16) | (0.66) | ||||||||
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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Fund Summary as of March 31, 2022 | 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 the 12-month period ended March 31, 2022, the Fund outperformed its broad-based benchmark, the Bloomberg U.S. Universal Index, as well as its “Reference Benchmark” consisting of 50% Bloomberg U.S. Asset-Backed Securities Index and 50% Bloomberg Non-Agency Investment Grade CMBS Index. Shares of the Fund can be purchased or held only by or on behalf of (i) certain separately managed account clients; (ii) collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser; and (iii) mutual funds advised by BlackRock Advisors, LLC or its affiliates. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
Positive contributions to the Fund’s performance over the period were led by an allocation to collateralized loan obligations (“CLOs”), particularly AAA-rated paper. Indexed exposure to commercial mortgage-backed securities (“CMBS”) and an allocation to legacy (issued pre-2008 financial crisis) non-agency residential mortgage-backed securities (“RMBS”), particularly senior subprime paper, also contributed to performance.
Holdings of non-legacy, non-agency RMBS, asset-backed securities (“ABS”) and CMBS detracted from performance over the reporting period. Some of the larger detractors from performance included exposure to unsecured consumer loans within ABS as well as senior conduit and single-asset, single-buyer issues within CMBS.
Describe recent portfolio activity.
The Fund rotated opportunistically between securitized assets subsectors during the reporting period, taking advantage of spread widening and market volatility. The Fund increased its allocations to non-agency RMBS, CLOs and ABS, while decreasing its allocation to CMBS.
The Fund’s cash position averaged 5.7% during the period but did not have a material impact on performance. The cash position was maintained in order to be able to opportunistically rotate into advantageous positions.
Describe portfolio positioning at period end.
The Fund ended the period underweight duration (and corresponding interest rate sensitivity) relative to the benchmark. The Fund was positioned underweight ABS and CMBS relative to the benchmark and had out-of-benchmark exposures to non-agency RMBS and CLOs.
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.
4 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 (continued) | BATS: Series A Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
The Fund commenced operations on September 21, 2015.
(a) | The Fund will principally invest its assets in fixed-income securities, such as ABS, CMBS and RMBS issued or guaranteed by the U.S. Government, various agencies of the U.S. Government or various instrumentalities that have been established or sponsored by the U.S. Government, 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) | Bloomberg U.S. Universal Index (formerly Bloomberg Barclays U.S. Universal Index), an index that measures the performance of U.S. dollar-denominated taxable bonds that are rated either investment-grade or high yield. The index includes U.S. Treasury bonds, investment-grade and high yield U.S. corporate bonds, mortgage-backed securities, and Eurodollar bonds. |
(c) | A customized weighted index comprised of the returns of the Bloomberg U.S. Asset-Backed Securities Index (50%)/Bloomberg Non-Agency Investment Grade CMBS Index (50%). The Bloomberg 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 Investors Service (“Moody’s”), S&P Global Ratings (“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 Non-Agency Investment Grade CMBS Index measures the market of conduit and fusion CMBS deals with a minimum current deal size of $300 million that are rated investment grade or higher using the middle rating of Moody’s, S&P, and Fitch after dropping the highest and lowest available ratings. Securities must have a remaining average life of at least one year and must be fixed-rate, weighted average coupon (“WAC”), or capped WAC securities. |
Performance
Average Annual Total Returns(a) | ||||||||||||||||
1 Year | 5 Years | Since Inception(b) | ||||||||||||||
BATS: Series A Portfolio | (0.59 | )% | 3.40 | % | 4.40% | |||||||||||
Bloomberg U.S. Universal Index | (4.23 | ) | 2.31 | 2.49 | ||||||||||||
Reference Benchmark | (3.59 | ) | 2.18 | 2.17 |
(a) | See “About Fund Performance” for a detailed description of performance related information. |
(b) | The Fund commenced operations on September 21, 2015. |
Past performance is not an indication of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| Beginning Account Value (10/01/21) |
| | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Annualized Expense Ratio | | ||||||||||
$ 1,000.00 | $ 974.70 | $ 0.00 | $ 1,000.00 | $ 1,024.93 | $ 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 182/365 (to reflect the one-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. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
FUND SUMMARY | 5 |
Fund Summary as of March 31, 2022 (continued) | BATS: Series A Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | | Percent of Total Investments | (a) | |
Asset-Backed Securities | 55 | % | ||
Non-Agency Mortgage-Backed Securities | 42 | |||
U.S. Government Sponsored Agency Securities | 3 | |||
Floating Rate Loan Interests | — | (b) | ||
Corporate Bonds | — | (b) |
CREDIT QUALITY ALLOCATION
Credit Rating(c) | | Percent of Total Investments | (a) | |
AAA/Aaa(d) | 32 | % | ||
AA/Aa | 5 | |||
A | 5 | |||
BBB/Baa | 3 | |||
BB/Ba | 5 | |||
B | 3 | |||
CCC/Caa | 2 | |||
CC/Ca | 2 | |||
C | 1 | |||
N/R | 42 |
(a) | Total investments exclude short-term securities and TBA sale commitments. |
(b) | Amount is less than 1%. |
(c) | 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. |
(d) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
6 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 | 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 the 12-month period ended March 31, 2022, the Fund outperformed its benchmark, the Bloomberg 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 underweight positions in the financials, utilities and healthcare sectors contributed to performance, as did an overweight in independent energy. Overweights in the information technology, cable & satellite and automotive industries detracted.
Describe recent portfolio activity.
Early in the period, activity was centered on selectively increasing credit risk, with a focus on relative value, tactical yield curve positioning and opportunities in the primary market. The largest sub-sector increases were in technology and communications, as well as in cyclical areas such as retail and automotive. The investment adviser reduced the Fund’s allocation to banks, particularly U.K. and European issuers, amid expectations that high new-issue supply would cause yield spreads to widen. Nevertheless, the sector remained the Fund’s top overweight.
The investment adviser reduced risk in late 2021. However, it began adding risk back to the portfolio mid-way through the first calendar quarter of 2022 as the Russia/Ukraine conflict escalated and the market softened. The investment adviser continued to add risk in March 2022 via the new-issue market. Its new purchases were focused on adding resiliency to the portfolio, mainly through additions in sectors that the team believed had below-average sensitivity to an economic slowdown. These included non-cyclicals, such as communications and utilities.
The Fund had a bias toward a short duration (below-benchmark interest-rate sensitivity) for much of the period, but the investment adviser moved to a neutral duration by the end of March 2022.
Describe portfolio positioning at period end.
The Fund’s leading overweight positions were in the banking, technology, automotive and midstream energy sectors, while its largest underweights were in sovereigns, media, entertainment and pharmaceuticals. The Fund’s duration was roughly in line with 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.
FUND SUMMARY | 7 |
Fund Summary as of March 31, 2022 (continued) | BATS: Series C Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will principally invest its assets in investment grade fixed-income securities, such as corporate bonds, notes and debentures, ABS, CMBS and RMBS, obligations of non-U.S. governments and supranational organizations which are chartered to promote economic development, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements and reverse repurchase agreements. |
(b) | Bloomberg U.S. Credit Index (formerly Bloomberg Barclays U.S. Credit Index), an index that measures the investment grade, US dollar-denominated ,fixed-rate, taxable corporate and government related bond markets. It is composed of the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. |
Performance
Average Annual Total Returns(a) | ||||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||
BATS: Series C Portfolio | (3.88 | )% | 3.71 | % | 4.05% | |||||||||||
Bloomberg U.S. Credit Index | (4.16 | ) | 3.18 | 3.44 |
(a) | See “About Fund Performance” for a detailed description of performance related information. |
Past performance is not an indication of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Annualized Expense Ratio | | ||||||||||
$ 1,000.00 | $ 928.70 | $ 0.07 | $ 1,000.00 | $ 1,024.86 | $ 0.05 | 0.01 | % |
(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 182/365 (to reflect the one-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. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
8 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 (continued) | BATS: Series C Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | | Percent of Total Investments | (a) | |
Corporate Bonds | 89 | % | ||
Preferred Securities | 3 | |||
U.S. Treasury Obligations | 3 | |||
Foreign Government Obligations | 2 | |||
Municipal Bonds | 2 | |||
Foreign Agency Obligations | 1 |
CREDIT QUALITY ALLOCATION
Credit Rating(b) | | Percent of Total Investments | (a) | |
AAA/Aaa(c) | 4 | % | ||
AA/Aa | 5 | |||
A | 29 | |||
BBB/Baa | 60 | |||
BB/Ba | 2 |
(a) | Total investments exclude short-term securities. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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. |
(c) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
FUND SUMMARY | 9 |
Fund Summary as of March 31, 2022 | BATS: Series E Portfolio |
Investment Objective
BATS: Series E Portfolio’s (the “Fund”) investment objective is to seek to maximize Federal tax-free yield with a secondary goal of total return.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended March 31, 2022, the Fund outperformed both its broad-based benchmark, the Bloomberg Municipal High Yield Bond Index and its customized weighted index comprised of 65% Bloomberg Municipal Bond Index Total Return Index Value Unhedged/35% Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index the (“Customized Reference Benchmark”). The Fund also outperformed its former broad-based benchmark, the S&P® Municipal Bond Index and its former customized weighted index comprised 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?
Income was the largest contributor to performance at a time in which bond prices generally declined. The Fund employed derivatives primarily through the use of U.S. Treasury futures to manage interest rate risk. Since Treasury yields rose in response to the Fed’s shift to tighter monetary policy, this strategy contributed to Fund performance for the period. (Prices and yields move in opposite directions.) The Fund also benefited from various investments in distressed Puerto Rico obligations, which performed well as the territory emerged from bankruptcy. Positions in non-investment grade bonds, particularly BB rated and unrated securities, were an additional source of positive relative performance. At the sector level, security selection in tobacco and state tax-backed issues added value.
On the other hand, the Fund’s long duration positioning detracted in the rising-rate environment. (Duration is a measure of interest-rate sensitivity.) Holdings in investment-grade bonds underperformed in relation to high-yield debt. Positioning in the transportation, health care and education sectors also hurt relative performance, as did the Fund’s modest use of leverage.
Describe recent portfolio activity.
The investment adviser used periods of market strength to rotate out of less favored credits and structures. It also sought to capitalize on bespoke opportunities where it could structure deals to its liking and purchase them in their entirety, primarily in the charter schools sector. The Fund maintained its long duration positioning, with concentrations in the long end of the curve (bonds with maturities of 20 years and above).
The investment adviser picked up its tax-loss harvesting activity in the final months of the period as bond prices moved materially lower. In some cases, the investment adviser team took the opportunity to add back to positions at higher yields. The investment adviser favored a higher-quality bias during this time, with a preference for investment-grade securities over high yield issues.
Describe portfolio positioning at period end.
The Fund’s duration (interest-rate sensitivity) was above that of the index since valuations looked much more attractive after the recent sell-off and yield-spread widening. The Fund remained overweight in longer-term bonds, specifically those with maturities of 20 years and above. The Fund was also overweight in investment-grade bonds. Cash reserves remained on the lighter side, and the investment adviser maintained strategies designed to mitigate interest-rate risk. Notable sector-level overweights included transportation and education (led by charter schools). State tax-backed and school districts were the largest underweight positions, highlighting the investment adviser’s preference for revenue sectors.
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.
10 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 (continued) | BATS: Series E Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
The Fund commenced operations on August 4, 2014.
(a) | The Fund will invest in investment grade and non-investment grade municipal bonds. |
(b) | An index designed to measure the performance of U.S. dollar-denominated high-yield municipal bonds issued by U.S. states, the District of Columbia, U.S. territories and local governments or agencies. Effective October 1, 2021, the Fund has changed the benchmarks against which it measures its performance from the S&P® Municipal Bond Index and the Reference Benchmark to Bloomberg Municipal High Yield Bond Index and the Customized Reference Benchmark. The investment adviser believes the new benchmarks more accurately reflect the investment strategy of the Fund. The Customized Reference Benchmark commenced on September 30, 2016. |
(c) | A broad, market value-weighted index that seeks to measure the performance of the U.S. municipal bond market. |
(d) | 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. |
Performance
Average Annual Total Returns(a) | ||||||||||||||||
1 Year | 5 Years | Since Inception(b) | ||||||||||||||
BATS: Series E Portfolio | (1.07 | )% | 5.64 | % | 5.99% | |||||||||||
Bloomberg Municipal High Yield Bond Index | (1.35 | ) | 5.25 | 5.27 | ||||||||||||
Customized Reference Benchmark(c) | (3.39 | ) | 3.49 | N/A | ||||||||||||
S&P® Municipal Bond Index | (3.61 | ) | 2.57 | 2.75 | ||||||||||||
Reference Benchmark | (2.72 | ) | 4.40 | 4.72(d) |
(a) | See “About Fund Performance” for a detailed description of performance related information. |
(b) | The Fund commenced operations on August 4, 2014. |
(c) | The Customized Reference Benchmark is comprised of the Bloomberg Municipal Bond Index Total Return Index Value Unhedged (65%) and the Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (35%). The Customized Reference Benchmark commenced on September 30, 2016. |
(d) | 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 an indication of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
FUND SUMMARY | 11 |
Fund Summary as of March 31, 2022 (continued) | BATS: Series E Portfolio |
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||||||||||
Including | Excluding | Including | Excluding | |||||||||||||||||||||||||||||||||||
| Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Expenses Paid During the Period | (b) | | Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (b) | ||||||||||||
$ 1,000.00 | $ 944.00 | $ 0.18 | $ 0.00 | $ 1,000.00 | $ 1,024.75 | $ 0.20 | $ 1,024.90 | $ 0.00 |
(a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.04%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-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 182/365 (to reflect the one-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. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
Portfolio Information
SECTOR ALLOCATION
Sector | | Percent of Total Investments | (a) | |
County/City/Special District/School District | 29 | % | ||
Education | 19 | |||
Health Care | 17 | |||
Transportation | 15 | |||
Utilities | 8 | |||
Tobacco | 6 | |||
Housing | 6 |
CREDIT QUALITY ALLOCATION
Credit Rating(b) | | Percent of Total Investments | | |
AAA/Aaa | 1 | % | ||
AA/Aa | 10 | |||
A | 15 | |||
BBB/Baa | 11 | |||
BB/Ba | 10 | |||
B | 2 | |||
N/R | 51 |
(a) | Total investments exclude short-term securities. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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. |
12 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 | 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 the 12-month period ended March 31, 2022, the Fund underperformed its benchmark, the Bloomberg 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?
Detractors from the Fund’s relative performance over the period included holdings of agency mortgage-backed security (“MBS”) derivatives including interest-only and principal-only instruments, as well as agency collateralized mortgage obligations (“CMOs”).
The largest contributors to the Fund’s performance were out-of-benchmark allocations, such as those to commercial mortgage-backed securities (“CMBS”). The Fund’s active benchmark strategy, which implements relative value decisions between specified pools and to-be-announced securities (“TBAs”) versus the benchmark also contributed positively. The Fund’s active positioning with respect to duration (and corresponding interest rate sensitivity) was additive as well.
Describe recent portfolio activity.
The Fund’s CMBS allocation was increased primarily in AAA conduit paper and single-asset, single-borrower deals. Allocations to fixed rate CMOs were little changed over the period. Within agency MBS, the Fund’s allocation to TBAs was decreased after having been heavily underweight specified pools versus an overweight in TBAs throughout 2021.
The Fund’s cash position was elevated during much of the period and ended the period at 16.4% as the investment adviser sought to maintain liquidity and preserve capital. The Fund’s cash position did not have a material impact on the Fund’s performance for the period.
Describe portfolio positioning at period end.
The Fund remained constructive on agency MBS on the view that the sector is poised to benefit from a reprieve in the historically elevated level of interest rate volatility observed over the first quarter of 2022. Entering March 2022, nominal agency MBS spreads were at their widest in a decade (excepting March 2020 as the pandemic emerged). The Fund favored higher-coupon specified pools that provide a more stable cash flow relative to equivalent TBAs for the same nominal spread. Within the Fannie Mae coupon stack, the Fund maintained an up-in-coupon position along with an underweight in 15-year relative to 30-year mortgages given historically tight valuations.
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.
FUND SUMMARY | 13 |
Fund Summary as of March 31, 2022 (continued) | BATS: Series M Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will principally 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) | Bloomberg MBS Index (formerly Bloomberg Barclays MBS Index), this unmanaged index is a market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg U.S. Aggregate Bond Index. It is comprised of agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income. |
Performance
Average Annual Total Returns(a) | ||||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||
BATS: Series M Portfolio | (4.98 | )% | 1.81 | % | 2.36% | |||||||||||
Bloomberg MBS Index | (4.92 | ) | 1.36 | 1.70 |
(a) | See “About Fund Performance” for a detailed description of performance related information. |
Past performance is not an indication of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Annualized Expense Ratio | | ||||||||||
$ 1,000.00 | $ 942.60 | $ 0.03 | $ 1,000.00 | $ 1,024.90 | $ 0.05 | 0.01 | % |
(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 182/365 (to reflect the one-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. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
14 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 (continued) | BATS: Series M Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | | Percent of Total Investments | | |
U.S. Government Sponsored Agency Securities | 90 | % | ||
Non-Agency Mortgage-Backed Securities | 10 | |||
Asset-Backed Securities | —(a) |
CREDIT QUALITY ALLOCATION
Credit Rating(b) | | Percent of Total Investments | (c) | |
AAA/Aaa(d) | 96 | % | ||
AA/Aa | 1 | |||
A | 1 | |||
N/R | 2 |
(a) | Amount is less than 1%. |
(b) | 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. |
(c) | Total investments exclude short-term securities and TBA sale commitments. |
(d) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
FUND SUMMARY | 15 |
Fund Summary as of March 31, 2022 | 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 the 12-month period ended March 31, 2022, the Fund outperformed the Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The use and cost of derivatives will result in a negative contribution to returns when interest rates fall; however, the Fund’s strategy is designed to offset these costs by holding shares of 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. The Fund’s use of derivatives made a strong contribution to results given that bond yields moved sharply higher in the period.
The Fund’s position in the Series S Portfolio—which was hurt by its holdings in mortgage-backed securities and emerging market debt—detracted from performance. On the other hand, the Series S Portfolio’s overweight allocations to investment-grade corporate bonds, collateralized loan obligations and high yield bonds contributed in relative terms.
The Fund held cash 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.
Describe recent portfolio activity.
The Fund actively managed interest rate risk on the seven- to 10-year part of the yield curve by using derivatives as described above. The Fund maintained its allocation to Series S Portfolio in order to offset the cost of the derivatives. Since this is an overlay strategy designed to manage interest-rate risk, the portfolio’s positioning is relatively static.
Describe portfolio positioning at period end.
The Fund held positions in U.S. Treasury futures and interest rate swaps, and it had an out-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.
16 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 (continued) | BATS: Series P Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
The Fund commenced operations on March 20, 2013.
(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, the Bloomberg U.S. Treasury 7-10 Year Bond Index. |
(b) | Bloomberg U.S. Treasury 7-10 Year Bond Index (formerly Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index), an index that measures the performance of the U.S. Government bond market and includes public obligations of the U.S. Treasury with a maturity of between seven and up to (but not including) ten years. Securities must be fixed rate and rated investment grade, as defined by the Index methodology. |
(c) | Bloomberg U.S. Bellwether 10 Year Swap Index (formerly Bloomberg Barclays U.S. Bellwether 10 Year Swap Index) - provides total returns for swaps with varying maturities. For example, the 10-year swap index measures the total return of investing in 10-year par swaps over time. |
Performance
Average Annual Total Returns(a) | ||||||||||||||||
1 Year | 5 Years | Since Inception(b) | ||||||||||||||
BATS: Series P Portfolio | 2.99 | % | (0.37 | )% | (0.91)% | |||||||||||
Bloomberg U.S. Treasury 7-10 Year Bond Index | (3.97 | ) | 2.06 | 1.88 | ||||||||||||
Bloomberg U.S. Bellwether 10 Year Swap Index | (3.77 | ) | 1.99 | 2.04 |
(a) | See “About Fund Performance” for a detailed description of performance related information. |
(b) | The Fund commenced operations on March 20, 2013. |
Past performance is not an indication of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Annualized Expense Ratio | | ||||||||||
$ 1,000.00 | $ 1,061.70 | $ 0.00 | $ 1,000.00 | $ 1,024.93 | $ 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 182/365 (to reflect the one-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. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
FUND SUMMARY | 17 |
Fund Summary as of March 31, 2022 (continued) | BATS: Series P Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | | Percent of Total Investments | | |
Fixed-Income Funds | 100 | % |
PORTFOLIO HOLDINGS
Security | | Percent of Total Investments | | |
BATS: Series S Portfolio | 100 | % |
18 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 | 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 the 12-month period ended March 31, 2022, the Fund underperformed its benchmark, the ICE BofA 1-3 Year U.S. Treasury Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
As yields rose (and prices fell) during the past 12 months, securities that trade based off of their yield spreads over U.S. Treasuries suffered. The Fund’s out-of-benchmark allocations to investment-grade corporate bonds, commercial mortgage-backed securities (“CMBS”), mortgage-backed securities (“MBS”), emerging markets debt and asset-backed securities (“ABS”) therefore detracted from performance.
The Fund used derivatives to manage risk and adjust the portfolio’s interest-rate sensitivity, which marginally detracted from Fund performance. The Fund’s cash position was elevated during the period but did not have a material impact on the Fund’s performance.
Describe recent portfolio activity.
The investment adviser increased the Fund’s allocations to investment-grade corporate bonds and ABS. Within corporate bonds, it made the largest increases in the financials and industrials sectors. It also sought to take advantage of record new issuance and volatility in yield spreads by tactically adjusting its positioning. In ABS, the investment adviser increased the Fund’s allocation to the subprime auto and credit card categories. ABS fundamentals have been supported by the health of the U.S. consumer sector, which has benefited from an improving labor market and government stimulus programs. Delinquency rates and charge-offs have remained low as a result, benefiting the auto and credit card sectors.
Describe portfolio positioning at period end.
The Fund was positioned with a neutral-to-long duration bias versus the benchmark (i.e., a higher sensitivity to interest-rate movements). Since the index is comprised solely of U.S. Treasuries, the Fund was overweight in all spread sectors but underweight in U.S. Treasuries.
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.
FUND SUMMARY | 19 |
Fund Summary as of March 31, 2022 (continued) | BATS: Series S Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will principally invest its assets in investment grade fixed-income securities, such as CMBS and RMBS, obligations of non-U.S. governments and supranational organizations, which are chartered to promote economic development, obligations of domestic and non-U.S. corporations, ABS, 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. On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE BofA 1-3 Year U.S. Treasury Index (the “Index”). Historical index data prior to 3/1/2021 is for the 3pm pricing variant of the Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the Index. |
Performance
Average Annual Total Returns(a) | ||||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||
BATS: Series S Portfolio | (3.02 | )% | 2.01 | % | 2.23% | |||||||||||
ICE BofA 1-3 Year U.S. Treasury Index | (2.90 | ) | 1.06 | 0.85 |
(a) | See “About Fund Performance” for a detailed description of performance related information. |
Past performance is not an indication of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Annualized Expense Ratio | | ||||||||||
$ 1,000.00 | $ 965.20 | $ 0.08 | $ 1,000.00 | $ 1,024.85 | $ 0.10 | 0.02 | % |
(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 182/365 (to reflect the one-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. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
20 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 (continued) | BATS: Series S Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | | Percent of Total Investments | (a) | |
Corporate Bonds | 34 | % | ||
Non-Agency Mortgage-Backed Securities | 21 | |||
Asset-Backed Securities | 20 | |||
U.S. Government Sponsored Agency Securities | 12 | |||
U.S. Treasury Obligations | 11 | |||
Foreign Agency Obligations | 1 | |||
Foreign Government Obligations | 1 |
CREDIT QUALITY ALLOCATION
Credit Rating(b) | | Percent of Total Investments | (a) | |
AAA/Aaa(c) | 59 | % | ||
AA/Aa | 3 | |||
A | 15 | |||
BBB/Baa | 20 | |||
N/R | 3 |
(a) | Total investments exclude short-term securities, options purchased, TBA sale commitments and options written. |
(b) | 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. |
(c) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
FUND SUMMARY | 21 |
Fund Summary as of March 31, 2022 | BATS: Series V Portfolio |
Investment Objective
BATS: Series V Portfolio’s (the “Fund”) investment objective is to seek as high a level of income exempt from federal income tax consistent with preservation of capital while seeking to minimize price volatility.
The Fund commenced operations on May 5, 2021.
Portfolio Management Commentary
How did the Fund perform?
For the period since inception May 5, 2021 through March 31, 2022, the Fund underperformed its benchmark, the SIFMA Municipal Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
Detractors from the Fund’s performance relative to the benchmark included a slightly longer stance with respect to duration (and corresponding interest rate sensitivity), with fixed rate exposure to tax-backed local and school district issues.
Contributors included an overweight to variable rate demand notes, which quickly and efficiently repriced coupons in line with expected Fed rate increases. The Fund’s laddered exposure to maturities within commercial paper also proved additive.
Describe recent portfolio activity.
The Fund initially focused on laddering commercial paper maturities along with selective maturity extension trades but moved to a more defensive position in the first quarter of 2022 amid a major shift for the municipal market. As the Fed’s hawkish pivot turned more aggressive, yields increased significantly and municipal valuations, which were late to react, adjusted to more attractive levels. The front-end of the curve has meaningfully re-priced, and the additional carry (incremental income) has created a margin of safety. The Fund continues to prioritize high levels of liquidity.
Describe portfolio positioning at period end.
The Fund’s duration position at period end remained modestly longer than the benchmark to selectively take advantage of a steeper yield curve amid increasing expectations for aggressive Fed rate hikes and the resulting valuations being priced into municipals.
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.
22 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of March 31, 2022 (continued) | BATS: Series V Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
The Fund commenced operations on May 5, 2021.
(a) | The Fund will principally invest in a broad range of short-term obligations issued by or on behalf of states, territories and possessions of the United States, the District of Columbia, and their respective authorities, agencies, instrumentalities and political subdivisions, the interest of which, in the opinion of counsel to the issuer of the obligation, is exempt from regular federal income tax. |
(b) | A 7-day high-grade market index comprised of tax-exempt variable rate demand obligations with certain characteristics. The index is calculated and published by Bloomberg. |
Performance
Total Returns(a) | ||||||||
Since Inception(b) | ||||||||
BATS: Series V Portfolio | 0.01 | % | ||||||
SIFMA Municipal Swap Index | 0.07 |
(a) | See “About Fund Performance” for a detailed description of performance related information. |
(b) | The Fund commenced operations on May 5, 2021. |
Past performance is not an indication of future results. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Beginning Account Value (10/01/21) | | | Ending Account Value (03/31/22) | | | Expenses Paid During the Period | (a) | | Annualized Expense Ratio | | ||||||||||
$ 1,000.00 | $ 999.50 | $ 0.00 | $ 1,000.00 | $ 1,024.93 | $ 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 182/365 (to reflect the one-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. |
See “Disclosure of Expenses” for further information on how expenses were calculated.
FUND SUMMARY | 23 |
Fund Summary as of March 31, 2022 (continued) | BATS: Series V Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | | Percent of Net Assets | | |
Variable Rate Demand Notes | 64 | % | ||
Municipal Bonds | 37 | |||
Liabilities in Excess of Other Assets | (1) |
24 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance tables assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
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.
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 (which are based on a hypothetical investment of $1,000 invested at the beginning of the period (or from the commencement of operations if less than 6 months) and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund 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.
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.
Series E Portfolio may leverage its assets through the use of proceeds received in tender option bond (“TOB”) transactions, as described in the Notes to Financial Statements. In a TOB Trust transaction, the Fund transfers municipal bonds or other municipal securities into a special purpose entity (a “TOB Trust”). TOB investments generally provide the Fund with economic benefits in periods of declining short-term interest rates but expose the Fund to risks during periods of rising short-term interest rates. Additionally, fluctuations in the market value of municipal bonds deposited into a TOB Trust may adversely affect the Fund’s NAV per share.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by each Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, 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.
ABOUT FUND PERFORMANCE / DISCLOSURE OF EXPENSES / THE BENEFITS AND RISKS OF LEVERAGING | 25 |
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.
26 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities | ||||||||
510 Loan Acquisition Trust, Series 2020-1, Class A, 5.11%, 09/25/60(a)(b) | USD 664 | $ | 657,160 | |||||
522 Funding CLO Ltd., Series 2019-5A, Class AR, (3 mo. CME Term SOFR + 1.33%), 1.55%, 04/15/35(a)(c) | 430 | 426,841 | ||||||
ABFC Trust, Series 2007-WMC1, Class A2B, (1 mo. LIBOR US + 1.00%), 1.46%, 06/25/37(c) | 3,122 | 2,879,574 | ||||||
AccessLex Institute, Series 2007-A, Class A3, (3 mo. LIBOR US + 0.30%), 0.80%, 05/25/36(c) | 4,014 | 3,895,557 | ||||||
ACRES Commercial Realty Ltd., Series 2021-FL1, Class A, (1 mo. LIBOR US + 1.20%), 1.64%, 06/15/36(a)(c) | 6,414 | 6,338,332 | ||||||
Affirm Asset Securitization Trust, Series 2022-X1, Class A, 1.75%, 02/15/27(a) | 8,085 | 7,990,520 | ||||||
AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3 mo. LIBOR US + 1.16%), 1.41%, 07/20/34(a)(c) | 4,000 | 3,959,975 | ||||||
AGL CLO 14 Ltd., Series 2021-14A, Class A, (3 mo. LIBOR US + 1.15%), 1.27%, 12/02/34(a)(c) | 15,870 | 15,698,771 | ||||||
AGL CLO 3 Ltd. | ||||||||
Series 2020-3A, Class A, (3 mo. LIBOR US + 1.30%), 1.54%, 01/15/33(a)(c) | 250 | 248,557 | ||||||
Series 2020-3A, Class D, (3 mo. LIBOR US + 3.30%), 3.54%, 01/15/33(a)(c) | 1,250 | 1,244,641 | ||||||
AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.32%, 04/20/33(a)(c) | 4,350 | 4,304,981 | ||||||
AIG CLO Ltd., Series 2018-1A, Class A1R, (3 mo. LIBOR US + 1.12%), 1.37%, 04/20/32(a)(c) | 1,740 | 1,725,792 | ||||||
AIMCO CLO | ||||||||
Series 2017-AA, Class AR, (3 mo. LIBOR US + 1.05%), 1.30%, 04/20/34(a)(c) | 2,500 | 2,472,855 | ||||||
Series 2018-BA, Class AR, (3 mo. LIBOR US + 1.10%), 1.34%, 01/15/32(a)(c) | 1,000 | 991,883 | ||||||
Ajax Mortgage Loan Trust | ||||||||
Series 2017-D, Class B, | 81 | 70,921 | ||||||
Series 2018-A, Class B, | 17 | 16,241 | ||||||
Series 2018-B, Class B, | 90 | 53,913 | ||||||
Series 2018-D, Class A, | 2,537 | 2,542,271 | ||||||
Series 2018-D, Class B, | 910 | 642,731 | ||||||
Series 2018-E, Class C, | 39 | 37,947 | ||||||
Series 2018-F, Class C, | 50 | 33,718 | ||||||
Series 2018-G, Class A, | 2,394 | 2,395,264 | ||||||
Series 2018-G, Class B, | 560 | 552,709 | ||||||
Series 2018-G, Class C, | 1,430 | 1,416,336 | ||||||
Series 2019-A, Class A, | 1,735 | 1,731,351 | ||||||
Series 2019-A, Class B, | 350 | 346,954 | ||||||
Series 2019-A, Class C, | 873 | 711,117 | ||||||
Series 2019-B, Class A, | 1,862 | 1,867,407 | ||||||
Series 2019-B, Class B, | 409 | 405,440 | ||||||
Series 2019-B, Class C, | 1,040 | 1,048,621 | ||||||
Series 2019-E, Class A, | 1,705 | 1,700,123 | ||||||
Series 2019-E, Class B, | 350 | 345,145 | ||||||
Series 2019-E, Class C, | 752 | 707,094 | ||||||
Series 2019-G, Class A, | 1,717 | 1,689,297 | ||||||
Series 2019-G, Class B, | 224 | 215,940 | ||||||
Series 2019-G, Class C, | 568 | 491,542 | ||||||
Series 2019-H, Class A, | 595 | 593,385 | ||||||
Series 2019-H, Class B, | 140 | 136,998 | ||||||
Series 2019-H, Class C, | 343 | 353,850 | ||||||
Series 2020-A, Class A, | 7,736 | 7,582,495 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Ajax Mortgage Loan Trust | ||||||||
Series 2020-A, Class B, | USD 999 | $ | 946,246 | |||||
Series 2020-A, Class C, | 2,389 | 1,498,000 | ||||||
Series 2020-C, Class A, | 251 | 248,727 | ||||||
Series 2020-C, Class B, | 250 | 247,119 | ||||||
Series 2020-C, Class C, | 785 | 711,958 | ||||||
Series 2020-D, Class A, | 725 | 700,621 | ||||||
Series 2020-D, Class B, | 350 | 345,758 | ||||||
Series 2020-D, Class C, | 827 | 740,422 | ||||||
Series 2021-C, Class A, | 3,947 | 3,769,449 | ||||||
Series 2021-C, Class B, | 817 | 779,849 | ||||||
Series 2021-C, Class C, | 2,088 | 1,819,436 | ||||||
Series 2021-D, Class A, | 10,268 | 9,725,726 | ||||||
Series 2021-D, Class B, | 1,634 | 1,602,897 | ||||||
Series 2021-D, Class C, | 2,422 | 1,881,058 | ||||||
Series 2021-E, Class A1, | 13,885 | 12,809,063 | ||||||
Series 2021-E, Class A2, | 1,770 | 1,610,378 | ||||||
Series 2021-E, Class B1, | 1,068 | 954,196 | ||||||
Series 2021-E, Class B3, | 637 | 319,959 | ||||||
Series 2021-E, Class M1, | 698 | 608,995 | ||||||
Series 2021-E, Class SA, | 12 | 5,581 | ||||||
Series 2021-E, Class XS, | 10,144 | 271,831 | ||||||
Series 2021-F, Class A, | 16,190 | 15,335,369 | ||||||
Series 2021-F, Class B, | 1,945 | 1,900,377 | ||||||
Series 2021-F, Class C, | 3,631 | 3,273,536 | ||||||
Allegro CLO II-S Ltd. | ||||||||
Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 1.34%, 10/21/28(a)(c) | 1,694 | 1,686,291 | ||||||
Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.15%), 2.41%, 10/21/28(a)(c) | 300 | 297,707 | ||||||
Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 3.26%, 10/21/28(a)(c) | 750 | 727,734 | ||||||
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.13%), | 1,000 | 995,527 | ||||||
Allegro CLO XI Ltd., Series 2019-2A, Class A2A, | 250 | 248,067 | ||||||
ALM Ltd. | ||||||||
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), 2.09%, 10/15/29(a)(c) | 250 | 249,198 | ||||||
Series 2020-1A, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 10/15/29(a)(c) | 350 | 347,478 | ||||||
American Express Credit Account Master Trust, Series 2017-5, Class A, (1 mo. LIBOR US + 0.38%), | 9,000 | 9,005,963 | ||||||
AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2, (3 mo. LIBOR US + 1.05%), 1.32%, 07/24/29(a)(c) | 1,000 | 995,742 | ||||||
AMSR Trust | ||||||||
Series 2020-SFR4, Class F, 2.86%, 11/17/37(a) | 4,000 | 3,660,028 | ||||||
Series 2021-SFR1, Class F, 3.60%, 06/17/38(a)(c) | 2,872 | 2,541,331 | ||||||
Series 2021-SFR2, Class F1, 3.28%, 08/17/38(a) | 3,756 | 3,413,417 | ||||||
Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3 mo. LIBOR US + 1.20%), 1.32%, 01/19/35(a)(c) | 380 | 376,425 | ||||||
Anchorage Capital CLO 3-R Ltd. | ||||||||
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), | 1,250 | 1,243,390 |
SCHEDULES OF INVESTMENTS | 27 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Anchorage Capital CLO 3-R Ltd. | ||||||||
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 1.78%, 01/28/31(a)(c) | USD 1,000 | $ | 992,371 | |||||
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 2.13%, 01/28/31(a)(c) | 500 | 491,199 | ||||||
Anchorage Capital CLO 4-R Ltd. | ||||||||
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 1.33%, 01/28/31(a)(c) | 2,550 | 2,533,153 | ||||||
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 2.13%, 01/28/31(a)(c) | 1,500 | 1,474,837 | ||||||
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.88%, 01/28/31(a)(c) | 750 | 723,788 | ||||||
Anchorage Capital CLO 5-R Ltd. | ||||||||
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 1.69%, 01/15/30(a)(c) | 1,700 | 1,687,250 | ||||||
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 2.09%, 01/15/30(a)(c) | 3,250 | 3,227,407 | ||||||
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.40%), 5.64%, 01/15/30(a)(c) | 1,000 | 982,103 | ||||||
Anchorage Capital CLO 7 Ltd. | ||||||||
Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 1.37%, 01/28/31(a)(c) | 750 | 745,568 | ||||||
Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 2.03%, 01/28/31(a)(c) | 1,500 | 1,491,342 | ||||||
Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 2.48%, 01/28/31(a)(c) | 625 | 619,936 | ||||||
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.78%, 01/28/31(a)(c) | 1,000 | 974,885 | ||||||
Anchorage Capital CLO 8 Ltd. | ||||||||
Series 2016-8A, Class AR2A, (3 mo. LIBOR US + 1.20%), 1.33%, 10/27/34(a)(c) | 5,000 | 4,954,565 | ||||||
Series 2016-8A, Class BR2, (3 mo. LIBOR US + 1.80%), 1.93%, 10/27/34(a)(c) | 1,000 | 991,418 | ||||||
Series 2016-8A, Class CR2, (3 mo. LIBOR US + 2.40%), 2.53%, 10/27/34(a)(c) | 1,000 | 995,730 | ||||||
Anchorage Capital CLO Ltd. | ||||||||
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.49%, 10/13/30(a)(c) | 330 | 328,685 | ||||||
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 2.39%, 10/13/30(a)(c) | 500 | 497,538 | ||||||
Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.80%), 7.04%, 10/13/30(a)(c) | 1,000 | 972,970 | ||||||
Series 2018-10A, Class A2, (3 mo. LIBOR US + 1.50%), 1.74%, 10/15/31(a)(c) | 450 | 446,260 | ||||||
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 1.32%, 04/15/31(a)(c) | 1,387 | 1,377,414 | ||||||
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 1.26%, 04/20/31(a)(c) | 1,000 | 992,234 | ||||||
Apidos CLO XX, Series 2015-20A, Class A1RA, (3 mo. LIBOR US + 1.10%), 1.34%, 07/16/31(a)(c) | 360 | 357,491 | ||||||
Apidos CLO XXIX, Series 2018-29A, Class D, (3 mo. LIBOR US + 5.25%), 5.51%, 07/25/30(a)(c) | 500 | 454,308 | ||||||
Apidos CLO XXVI, Series 2017-26A, Class BR, (3 mo. LIBOR US + 1.95%), 2.19%, 07/18/29(a)(c) | 2,830 | 2,791,159 | ||||||
Apidos CLO XXX, Series XXXA, Class A1A, (3 mo. LIBOR US + 1.14%), 1.38%, 10/18/31(a)(c) | 400 | 397,975 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Apidos CLO XXXIX, Series 2022-39A, Class A1, (3 mo. CME Term SOFR + 1.30%), | USD 5,000 | $ | 5,000,000 | |||||
Apidos CLO XXXVII, Series 2021-37A, Class A, (3 mo. LIBOR US + 1.13%), | 1,780 | 1,758,900 | ||||||
Apidos CLO XXXVIII, Series 2021-38A, Class E2, (3 mo. LIBOR US + 7.75%), | 1,250 | 1,221,010 | ||||||
Apollo Credit Funding IV Ltd., Series 4A, Class A2R, (3 mo. LIBOR US + 1.60%), | 500 | 496,454 | ||||||
Aqua Finance Trust | ||||||||
Series 2021-A, Class A, 1.54%, 07/17/46(a) | 396 | 376,888 | ||||||
Series 2021-A, Class B, 2.40%, 07/17/46(a) | 5,500 | 5,054,906 | ||||||
Ares L CLO Ltd., Series 2018-50A, Class BR, (3 mo. LIBOR US + 1.60%), 1.84%, 01/15/32(a)(c) | 1,000 | 989,959 | ||||||
Ares LIX CLO Ltd. | ||||||||
Series 2021-59A, Class A, (3 mo. LIBOR US + 1.03%), 1.29%, 04/25/34(a)(c) | 250 | 247,015 | ||||||
Series 2021-59A, Class E, (3 mo. LIBOR US + 6.25%), 6.51%, 04/25/34(a)(c) | 250 | 244,122 | ||||||
Ares LVI CLO Ltd. | ||||||||
Series 2020-56A, Class AR, (3 mo. LIBOR US + 1.16%), 1.42%, 10/25/34(a)(c) | 2,130 | 2,105,426 | ||||||
Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 6.76%, 10/25/34(a)(c) | 250 | 241,390 | ||||||
Ares XLI CLO Ltd., Series 2016-41A, Class BR, (3 mo. LIBOR US + 1.45%), | 2,500 | 2,455,101 | ||||||
Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3 mo. LIBOR US + 1.58%), | 680 | 673,299 | ||||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A1A, (3 mo. LIBOR US + 0.94%), | 750 | 741,259 | ||||||
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), | 600 | 598,153 | ||||||
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), | 48 | 43,926 | ||||||
ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27(a) | 138 | 132,024 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6, Class M6, (1 mo. LIBOR US + 1.11%), | 914 | 882,546 | ||||||
ASSURANT CLO I Ltd. | ||||||||
Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.70%), 1.95%, 10/20/34(a)(c) | 1,400 | 1,380,152 | ||||||
Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.15%), 2.40%, 10/20/34(a)(c) | 250 | 247,421 | ||||||
ASSURANT CLO Ltd. | ||||||||
Series 2018-2A, Class A, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/31(a)(c) | 500 | 495,953 | ||||||
Series 2018-3A, Class CR, (3 mo. LIBOR US + 2.05%), 2.30%, 10/20/31(a)(c) | 500 | 495,878 | ||||||
Atrium IX, Series 9A, Class AR2, (3 mo. LIBOR US + 0.99%), 1.50%, 05/28/30(a)(c) | 1,825 | 1,811,948 |
28 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Atrium XII, Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), | USD 894 | $ | 887,716 | |||||
Atrium XIII | ||||||||
Series 13A, Class A1, (3 mo. LIBOR US + 1.18%), 1.44%, 11/21/30(a)(c) | 500 | 498,669 | ||||||
Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 1.76%, 11/21/30(a)(c) | 1,250 | 1,237,739 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class AR2, (3 mo. LIBOR US + 0.90%), 1.22%, 08/05/27(a)(c) | 1,131 | 1,124,445 | ||||||
Bain Capital Credit CLO Ltd. | ||||||||
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.97%), 1.22%, 07/20/30(a)(c) | 1,250 | 1,240,529 | ||||||
Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.96%), 1.22%, 04/23/31(a)(c) | 250 | 247,435 | ||||||
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 1.33%, 07/19/31(a)(c) | 1,000 | 993,143 | ||||||
Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.17%), 1.30%, 10/20/34(a)(c) | 350 | 346,155 | ||||||
Ballyrock CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.60%), 1.85%, 04/20/31(a)(c) | 250 | 247,367 | ||||||
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22(c) | 5,740 | 2,175,736 | ||||||
Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31(a) | 1,940 | 1,908,985 | ||||||
Barings CLO Ltd. | ||||||||
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 1.44%, 10/20/30(a)(c) | 1,000 | 995,403 | ||||||
Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 1.20%, 07/20/29(a)(c) | 780 | 775,711 | ||||||
Series 2019-3A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.32%, 04/20/31(a)(c) | 1,170 | 1,159,063 | ||||||
Battalion CLO 18 Ltd. | ||||||||
Series 2020-18A, Class AR, (3 mo. LIBOR US + 1.20%), 1.44%, 10/15/36(a)(c) | 500 | 495,500 | ||||||
Series 2020-18A, Class BR, (3 mo. LIBOR US + 1.75%), 1.99%, 10/15/36(a)(c) | 1,000 | 986,875 | ||||||
Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%), 1.31%, 07/18/30(a)(c) | 1,250 | 1,243,276 | ||||||
Battalion CLO X Ltd., Series 2016-10A, Class A1R2, (3 mo. LIBOR US + 1.17%), 1.43%, 01/25/35(a)(c) | 3,230 | 3,200,294 | ||||||
Battalion CLO XII Ltd., Series 2018-12A, Class B2R, (3 mo. LIBOR US + 2.08%), 2.55%, 05/17/31(a)(c) | 250 | 248,456 | ||||||
Battalion CLO XX Ltd., Series 2021-20A, Class A, (3 mo. LIBOR US + 1.18%), 1.42%, 07/15/34(a)(c) | 3,000 | 2,974,500 | ||||||
Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class B2, (1 mo. LIBOR US + 2.48%), 2.92%, 02/28/41(c) | 5,459 | 5,334,606 | ||||||
Bayview Financial Revolving Asset Trust Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 1.45%, 02/28/40(a)(c) | 4,546 | 4,348,212 | ||||||
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 1.45%, 12/28/40(a)(c) | 2,102 | 2,051,219 | ||||||
Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.93%), 1.38%, 12/28/40(a)(c) | 1,723 | 1,740,497 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
BDS Ltd. | ||||||||
Series 2021-FL7, Class A, (1 mo. LIBOR US + 1.07%), 1.54%, 06/16/36(a)(c) | USD 3,030 | $ | 2,996,131 | |||||
Series 2021-FL9, Class A, (1 mo. LIBOR US + 1.07%), 1.54%, 11/16/38(a)(c) | 1,870 | 1,851,244 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
Series 2005-HE8, Class M3, (1 mo. LIBOR US + 1.95%), 2.41%, 08/25/35(c) | 4,571 | 4,575,613 | ||||||
Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.34%), 0.80%, 09/25/36(c) | 158 | 154,340 | ||||||
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 0.78%, 03/25/37(c) | 918 | 886,513 | ||||||
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 0.60%, 03/25/37(c) | 65 | 61,982 | ||||||
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 0.81%, 04/25/37(c) | 309 | 306,127 | ||||||
Benefit Street Partners CLO II Ltd., Series 2013- IIA, Class A2R2, (3 mo. LIBOR US + 1.45%), 1.69%, 07/15/29(a)(c) | 1,340 | 1,330,137 | ||||||
Benefit Street Partners CLO Ltd. | ||||||||
Series 2015-6BR, Class A, (3 mo. LIBOR US + 1.19%), 1.44%, 07/20/34(a)(c) | 1,460 | 1,443,163 | ||||||
Series 2015-6BR, Class B, (3 mo. LIBOR US + 1.80%), 2.05%, 07/20/34(a)(c) | 250 | 247,144 | ||||||
Benefit Street Partners CLO V-B Ltd., Series 2018- 5BA, Class A1A, | 1,000 | 993,477 | ||||||
Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A1AR, | 1,900 | 1,889,099 | ||||||
Benefit Street Partners CLO XIX Ltd., Series 2019- 19A, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 01/15/33(a)(c) | 250 | 248,012 | ||||||
Betony CLO 2 Ltd., Series 2018-1A, Class A1, | 250 | 248,022 | ||||||
BHG Securitization Trust | ||||||||
Series 2021-A, Class A, | 239 | 227,102 | ||||||
Series 2021-A, Class B, | 3,714 | 3,474,792 | ||||||
Series 2021-B, Class C, | 5,380 | 4,926,846 | ||||||
Series 2021-B, Class D, | 145 | 132,711 | ||||||
Series 2022-A, Class C, | 8,542 | 8,105,440 | ||||||
Series 2022-A, Class D, | 975 | 923,391 | ||||||
Series 2022-A, Class E, | 700 | 663,945 | ||||||
Birch Grove CLO 2 Ltd. | ||||||||
Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.26%), 1.51%, 10/19/34(a)(c) | 320 | 316,601 | ||||||
Series 2021-2A, Class B, (3 mo. LIBOR US + 1.75%), 2.00%, 10/19/34(a)(c) | 250 | 246,992 | ||||||
Birch Grove CLO Ltd. | ||||||||
Series 19A, Class BR, (3 mo. LIBOR US + 1.75%), 2.58%, 06/15/31(a)(c) | 1,000 | 992,589 | ||||||
Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 4.18%, 06/15/31(a)(c) | 500 | 498,643 | ||||||
Series 2021-3A, Class D1, (3 mo. LIBOR US + 3.20%), 3.40%, 01/19/35(a)(c) | 750 | 744,119 | ||||||
BlueMountain CLO Ltd. | ||||||||
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 1.44%, 10/22/30(a)(c) | 2,501 | 2,495,244 | ||||||
Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.60%), 1.86%, 10/22/30(a)(c) | 1,000 | 990,479 |
SCHEDULES OF INVESTMENTS | 29 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
BlueMountain CLO Ltd. | ||||||||
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.70%), 2.21%, 08/15/31(a)(c) | USD 700 | $ | 694,376 | |||||
BlueMountain CLO XXIII Ltd. | ||||||||
Series 2018-23A, Class A1, (3 mo. LIBOR US + 1.15%), 1.40%, 10/20/31(a)(c) | 250 | 248,763 | ||||||
Series 2018-23A, Class B, (3 mo. LIBOR US + 1.70%), 1.95%, 10/20/31(a)(c) | 750 | 743,216 | ||||||
Series 2018-23A, Class C, (3 mo. LIBOR US + 2.15%), 2.40%, 10/20/31(a)(c) | 950 | 942,598 | ||||||
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3 mo. LIBOR US + 1.75%), 2.01%, 07/25/34(a)(c) | 420 | 415,700 | ||||||
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3 mo. LIBOR US + 1.26%), 1.50%, 04/15/34(a)(c) | 250 | 247,619 | ||||||
BlueMountain Fuji U.S. CLO III Ltd., Series 2017- 3A, Class B, (3 mo. LIBOR US + 1.38%), 1.62%, 01/15/30(a)(c) | 550 | 542,218 | ||||||
Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.09%, 07/15/24(a) | 1,070 | 1,057,829 | ||||||
Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.23%), 1.48%, 07/20/34(a)(c) | 250 | 246,862 | ||||||
Burnham Park CLO Ltd. | ||||||||
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.40%, 10/20/29(a)(c) | 4,000 | 3,986,214 | ||||||
Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.50%), 1.75%, 10/20/29(a)(c) | 500 | 495,038 | ||||||
Carbone CLO Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.14%), 1.39%, 01/20/31(a)(c) | 250 | 248,764 | ||||||
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3 mo. LIBOR US + 1.03%), 1.33%, 04/30/31(a)(c) | 2,350 | 2,337,257 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.97%), 1.21%, 04/17/31(a)(c) | 3,754 | 3,706,668 | ||||||
Series 2014-3RA, Class A1A, (3 mo. LIBOR US + 1.05%), 1.32%, 07/27/31(a)(c) | 248 | 246,709 | ||||||
Series 2014-3RA, Class A1B, (3 mo. LIBOR US + 1.30%), 1.57%, 07/27/31(a)(c) | 1,000 | 982,186 | ||||||
Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.50%), 8.75%, 07/20/32(a)(c) | 21 | 20,301 | ||||||
Carlyle U.S. CLO Ltd. | ||||||||
Series 2018-4A, Class B, (3 mo. LIBOR US + 2.07%), 2.32%, 01/20/31(a)(c) | 2,430 | 2,409,721 | ||||||
Series 2021-10A, Class A, (3 mo. LIBOR US + 1.15%), 1.27%, 10/20/34(a)(c) | 4,360 | 4,312,806 | ||||||
Series 2021-11A, Class C, (3 mo. LIBOR US + 2.05%), 2.30%, 01/25/33(a)(c) | 500 | 495,195 | ||||||
Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.14%), 1.38%, 04/15/34(a)(c) | 250 | 247,425 | ||||||
Carrington Mortgage Loan Trust | ||||||||
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.25%), 0.71%, 10/25/36(c) | 1,628 | 1,525,732 | ||||||
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.16%), 0.62%, 10/25/36(c) | 41 | 39,752 | ||||||
Series 2007-FRE1, Class A3, (1 mo. LIBOR US + 0.26%), 0.72%, 02/25/37(c) | 5,486 | 5,316,664 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
CarVal CLO VC Ltd. | ||||||||
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.25%), 3.46%, 10/15/34(a)(c) | USD 1,000 | $ | 993,262 | |||||
Series 2021-2A, Class E, (3 mo. LIBOR US + 6.75%), 0.00%, 10/15/34(a)(c) | 1,250 | 1,238,931 | ||||||
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44(a)(c) | 6,311 | 6,313,990 | ||||||
CBAM Ltd. | ||||||||
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 1.50%, 07/20/30(a)(c) | 1,500 | 1,495,080 | ||||||
Series 2018-6A, Class B1R, (3 mo. LIBOR US + 2.10%), 2.34%, 01/15/31(a)(c) | 1,000 | 994,897 | ||||||
Series 2018-7A, Class B1, (3 mo. LIBOR US + 1.60%), 1.85%, 07/20/31(a)(c) | 500 | 493,887 | ||||||
Cedar Funding II CLO Ltd. | ||||||||
Series 2013-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 1.33%, 04/20/34(a)(c) | 750 | 738,084 | ||||||
Series 2013-1A, Class BRR, (3 mo. LIBOR US + 1.35%), 1.60%, 04/20/34(a)(c) | 500 | 489,011 | ||||||
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.98%), 1.23%, 04/20/31(a)(c) | 1,400 | 1,386,044 | ||||||
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.34%, 07/17/31(a)(c) | 2,000 | 1,986,705 | ||||||
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3 mo. LIBOR US + 1.05%), 1.30%, 04/20/34(a)(c) | 500 | 494,500 | ||||||
Cedar Funding VII CLO Ltd. | ||||||||
Series 2018-7A, Class A1, (3 mo. LIBOR US + 1.00%), 1.25%, 01/20/31(a)(c) | 350 | 347,490 | ||||||
Series 2018-7A, Class A2, (3 mo. LIBOR US + 1.13%), 1.38%, 01/20/31(a)(c) | 250 | 245,625 | ||||||
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1R, (3 mo. LIBOR US + 1.15%), 1.39%, 10/17/34(a)(c) | 2,750 | 2,720,394 | ||||||
Cedar Funding XI CLO Ltd. | ||||||||
Series 2019-11A, Class A1R, (3 mo. LIBOR US + 1.05%), 1.56%, 05/29/32(a)(c) | 1,000 | 993,669 | ||||||
Series 2019-11A, Class A2R, (3 mo. LIBOR US + 1.35%), 1.86%, 05/29/32(a)(c) | 250 | 246,645 | ||||||
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 1.84%, 07/15/33(a)(c) | 1,000 | 989,535 | ||||||
CIFC Funding Ltd. | ||||||||
Series 2013-2A, Class A1L2, (3 mo. LIBOR US + 1.00%), 1.24%, 10/18/30(a)(c) | 1,580 | 1,569,344 | ||||||
Series 2014-2RA, Class A1, (3 mo. LIBOR US + 1.05%), 1.31%, 04/24/30(a)(c) | 250 | 248,741 | ||||||
Series 2014-3A, Class A1R2, (3 mo. LIBOR US + 1.20%), 1.46%, 10/22/31(a)(c) | 3,500 | 3,486,136 | ||||||
Series 2014-5A, Class A1R2, (3 mo. LIBOR US + 1.20%), 1.44%, 10/17/31(a)(c) | 5,250 | 5,228,201 | ||||||
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 1.37%, 01/22/31(a)(c) | 250 | 248,376 | ||||||
Series 2017-5A, Class A1, (3 mo. LIBOR US + 1.18%), 1.42%, 11/16/30(a)(c) | 250 | 249,303 | ||||||
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.00%), 1.24%, 04/18/31(a)(c) | 3,455 | 3,427,360 | ||||||
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/31(a)(c) | 250 | 247,989 |
30 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
CIFC Funding Ltd. | ||||||||
Series 2018-4A, Class A2, (3 mo. LIBOR US + 1.70%), 1.94%, 10/17/31(a)(c) | USD 250 | $ | 248,189 | |||||
Series 2019-5A, Class A1R1, (3 mo. LIBOR US + 1.14%), 1.38%, 01/15/35(a)(c) | 250 | 247,012 | ||||||
Series 2020-3A, Class A1R, (3 mo. LIBOR US + 1.13%), 1.38%, 10/20/34(a)(c) | 7,000 | 6,916,654 | ||||||
Series 2021-4A, Class A, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/33(a)(c) | 3,000 | 2,969,470 | ||||||
Series 2021-4A, Class B, (3 mo. LIBOR US + 1.58%), 1.82%, 07/15/33(a)(c) | 2,500 | 2,457,764 | ||||||
Series 2021-4A, Class C, (3 mo. LIBOR US + 1.85%), 2.09%, 07/15/33(a)(c) | 1,000 | 985,809 | ||||||
Series 2021-5A, Class A, (3 mo. LIBOR US + 1.14%), 1.38%, 07/15/34(a)(c) | 1,700 | 1,681,652 | ||||||
Citibank Credit Card Issuance Trust, Series 2018- A2, Class A2, (1 mo. LIBOR US + 0.33%), 0.78%, 01/20/25(c) | 8,000 | 8,009,570 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 0.66%, 05/25/37(c) | 1,076 | 852,119 | ||||||
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.27%), 0.73%, 05/25/37(c) | 501 | 399,629 | ||||||
Series 2007-WFH2, Class M3, (1 mo. LIBOR US + 0.71%), 1.16%, 03/25/37(c) | 5,000 | 4,802,324 | ||||||
Series 2007-WFH4, Class M3A, (1 mo. LIBOR US + 2.50%), 2.96%, 07/25/37(c) | 1,000 | 1,038,566 | ||||||
Clear Creek CLO | ||||||||
Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.20%), 1.45%, 10/20/30(a)(c) | 250 | 249,197 | ||||||
Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 3.20%, 10/20/30(a)(c) | 330 | 320,716 | ||||||
Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.30%), 6.55%, 10/20/30(a)(c) | 1,000 | 903,401 | ||||||
College Ave Student Loans LLC | ||||||||
Series 2021-B, Class B, 2.42%, 06/25/52(a) | 660 | 613,978 | ||||||
Series 2021-B, Class C, 2.72%, 06/25/52(a) | 2,670 | 2,482,109 | ||||||
Series 2021-B, Class D, 3.78%, 06/25/52(a) | 500 | 469,030 | ||||||
Series 2021-C, Class B, 2.72%, 07/26/55(a) | 406 | 381,124 | ||||||
Series 2021-C, Class C, 3.06%, 07/26/55(a) | 3,764 | 3,537,640 | ||||||
Series 2021-C, Class D, 4.11%, 07/26/55(a) | 270 | 255,310 | ||||||
Conseco Finance Corp. | ||||||||
Series 1996-10, Class B1, 7.24%, 11/15/28(c) | 59 | 56,750 | ||||||
Series 1998-4, Class M1, 6.83%, 04/01/30(c) | 1,121 | 1,052,472 | ||||||
Series 1998-8, Class M1, 6.98%, 09/01/30(c) | 1,037 | 1,004,700 | ||||||
Conseco Finance Securitizations Corp. | ||||||||
Series 2000-1, Class A5, 8.06%, 09/01/29(c) | 2,397 | 664,427 | ||||||
Series 2000-4, Class A6, 8.31%, 05/01/32(c) | 2,419 | 634,095 | ||||||
Cook Park CLO Ltd., Series 2018-1A, Class B, (3 mo. LIBOR US + 1.40%), 1.64%, 04/17/30(a)(c) | 250 | 246,530 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2005-16, Class 1AF, 4.52%, 04/25/36(c) | 1,723 | 1,590,843 | ||||||
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.16%), 0.62%, 09/25/46(c) | 3 | 2,861 | ||||||
Series 2006-12, Class 1A, (1 mo. LIBOR US + 0.26%), 0.72%, 12/25/36(c) | 208 | 202,932 | ||||||
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.27%), 0.67%, 03/15/34(c) | 16 | 15,254 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 2.47%, 09/27/66(a)(c) | USD 7,879 | $ | 7,565,887 | |||||
Credit-Based Asset Servicing & Securitization LLC | ||||||||
Series 2006-CB2, Class AF4, 3.00%, 12/25/36(b) | 17 | 16,985 | ||||||
Series 2006-MH1, Class B1, 6.25%, 10/25/36(a)(b) | 2,900 | 2,854,973 | ||||||
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.44%), 0.90%, 09/25/36(a)(c) | 5,740 | 302,660 | ||||||
CWHEQ Revolving Home Equity Loan Resuritization Trust | ||||||||
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.30%), 0.70%, 12/15/33(a)(c) | 17 | 17,355 | ||||||
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.19%), 0.59%, 05/15/35(a)(c) | 4 | 3,992 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.18%), 0.58%, 05/15/36(c) | 1,173 | 1,134,266 | ||||||
Deer Creek CLO Ltd. | ||||||||
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.18%), 1.43%, 10/20/30(a)(c) | 1,000 | 997,131 | ||||||
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.65%), 1.90%, 10/20/30(a)(c) | 750 | 742,511 | ||||||
Dewolf Park CLO Ltd. | ||||||||
Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.92%), 1.16%, 10/15/30(a)(c) | 8,000 | 7,920,813 | ||||||
Series 2017-1A, Class CR, (3 mo. LIBOR US + 1.85%), 2.09%, 10/15/30(a)(c) | 500 | 493,175 | ||||||
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.24%), 1.48%, 07/15/36(a)(c) | 1,030 | 1,018,343 | ||||||
Diameter Capital CLO 2 Ltd. | ||||||||
Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.22%), 1.34%, 10/15/36(a)(c) | 250 | 246,803 | ||||||
Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.75%), 1.87%, 10/15/36(a)(c) | 500 | 495,909 | ||||||
Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3 mo. CME Term SOFR + 1.39%), 1.69%, 04/15/37(a)(c) | 470 | 470,568 | ||||||
Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3 mo. LIBOR US + 1.10%), 1.34%, 01/15/31(a)(c) | 1,250 | 1,242,596 | ||||||
Dryden 42 Senior Loan Fund, Series 2016-42A, Class CR, (3 mo. LIBOR US + 2.05%), 2.29%, 07/15/30(a)(c) | 250 | 247,303 | ||||||
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/34(a)(c) | 1,620 | 1,601,930 | ||||||
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3 mo. LIBOR US + 1.70%), 1.94%, 10/15/30(a)(c) | 7,240 | 7,180,136 | ||||||
Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, (3 mo. LIBOR US + 0.95%), 1.19%, 07/18/30(a)(c) | 1,000 | 991,672 | ||||||
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.12%), 1.36%, 01/15/31(a)(c) | 2,000 | 1,989,079 | ||||||
Dryden 58 CLO Ltd., Series 2018-58A, Class B, (3 mo. LIBOR US + 1.50%), 1.74%, 07/17/31(a)(c) | 250 | 247,099 |
SCHEDULES OF INVESTMENTS | 31 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/31(a)(c) | USD 250 | $ | 248,750 | |||||
Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3 mo. LIBOR US + 1.60%), 1.84%, 07/18/30(a)(c) | 500 | 495,096 | ||||||
Dryden 77 CLO Ltd. | ||||||||
Series 2020-77A, Class AR, (3 mo. LIBOR US + 1.12%), 1.60%, 05/20/34(a)(c) | 2,000 | 1,980,000 | ||||||
Series 2020-77A, Class XR, (3 mo. LIBOR US + 1.00%), 1.48%, 05/20/34(a)(c) | 250 | 249,675 | ||||||
Dryden 78 CLO Ltd., Series 2020-78A, Class B, (3 mo. LIBOR US + 1.50%), 1.74%, 04/17/33(a)(c) | 250 | 246,439 | ||||||
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3 mo. LIBOR US + 1.20%), 1.71%, 08/15/30(a)(c) | 1,247 | 1,241,197 | ||||||
Eaton Vance CLO Ltd. | ||||||||
Series 2014-1RA, Class A2, (3 mo. LIBOR US + 1.49%), 1.73%, 07/15/30(a)(c) | 250 | 249,117 | ||||||
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.45%), 1.69%, 10/15/30(a)(c) | 250 | 247,957 | ||||||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38(a) | 1,128 | 1,118,088 | ||||||
EDvestinU Private Education Loan Issue No. 3 LLC | ||||||||
Series 2021-A, Class A, 1.80%, 11/25/45(a) | 323 | 298,965 | ||||||
Series 2021-A, Class B, 3.50%, 11/25/50(a) | 1,200 | 1,110,427 | ||||||
Elmwood CLO 15 Ltd. | ||||||||
Series 2022-2A, Class A1, (3 mo. CME Term SOFR + 1.34%), 1.98%, 04/22/35(a)(c) | 10,590 | 10,590,000 | ||||||
Series 2022-2A, Class D, (3 mo. CME Term SOFR + 3.67%), 4.31%, 04/22/35(a)(c) | 1,625 | 1,608,750 | ||||||
Elmwood CLO II Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 1.40%, 04/20/34(a)(c) | 2,250 | 2,226,360 | ||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class A, (3 mo. LIBOR US + 1.24%), 1.48%, 04/15/33(a)(c) | 500 | 497,420 | ||||||
Elmwood CLO X Ltd., Series 2021-3A, Class C, (3 mo. LIBOR US + 1.95%), 2.20%, 10/20/34(a)(c) | 6,300 | 6,222,877 | ||||||
Elmwood CLO XII Ltd., Series 2021-5A, Class A, (3 mo. LIBOR US + 1.15%), 1.27%, 01/20/35(a)(c) | 960 | 949,615 | ||||||
FBR Securitization Trust, Series 2005-5, Class M2, (1 mo. LIBOR US + 0.71%), 1.16%, 11/25/35(c) | 3,000 | 2,951,919 | ||||||
Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.34%), 1.58%, 07/15/30(a)(c) | 250 | 247,613 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.28%), 0.74%, 12/25/36(c) | 510 | 268,344 | ||||||
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.15%), 0.61%, 12/25/36(c) | 1,878 | 1,799,440 | ||||||
FirstKey Homes Trust | ||||||||
Series 2020-SFR1, Class G, 4.78%, 08/17/37(a) | 3,650 | 3,502,722 | ||||||
Series 2021-SFR1, Class F1, 3.24%, 08/17/38(a) | 4,464 | 3,999,273 | ||||||
Series 2021-SFR2, Class F1, 2.91%, 09/17/38(a) | 5,500 | 4,878,600 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3 mo. LIBOR US + 0.95%), 1.19%, 04/17/31(a)(c) | USD 1,250 | $ | 1,236,687 | |||||
Flatiron CLO 19 Ltd. | ||||||||
Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.08%), 1.54%, 11/16/34(a)(c) | 500 | 494,383 | ||||||
Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.00%), 3.46%, 11/16/34(a)(c) | 900 | 878,621 | ||||||
Foundation Finance Trust, Series 2021-2A, Class A, 2.19%, 01/15/42(a) | 3,092 | 2,976,270 | ||||||
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.28%), 0.74%, 02/25/37(c) | 2,304 | 1,870,977 | ||||||
FS Rialto Issuer Ltd. | ||||||||
Series 2021-FL2, Class A, (1 mo. LIBOR US + 1.22%), 1.65%, 05/16/38(a)(c) | 3,820 | 3,765,114 | ||||||
Series 2021-FL3, Class A, (1 mo. LIBOR US + 1.25%), 1.68%, 11/16/36(a)(c) | 2,205 | 2,169,444 | ||||||
Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 2.20%, 01/19/39(a)(c) | 12,331 | 12,331,000 | ||||||
Galaxy XIX CLO Ltd., Series 2015-19A, Class A1RR, (3 mo. LIBOR US + 0.95%), 1.21%, 07/24/30(a)(c) | 500 | 495,814 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, (3 mo. LIBOR US + 1.00%), 1.25%, 04/20/31(a)(c) | 3,000 | 2,977,041 | ||||||
Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3 mo. LIBOR US + 1.20%), 1.44%, 04/16/34(a)(c) | 1,000 | 992,935 | ||||||
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3 mo. LIBOR US + 1.02%), 1.48%, 05/16/31(a)(c) | 2,330 | 2,312,525 | ||||||
Generate CLO 2 Ltd. | ||||||||
Series 2A, Class AR, (3 mo. LIBOR US + 1.15%), | 1,220 | 1,215,159 | ||||||
Series 2A, Class BR, (3 mo. LIBOR US + 1.45%), | 250 | 246,814 | ||||||
Series 2A, Class ER, (3 mo. LIBOR US + 5.65%), | 1,000 | 938,943 | ||||||
Generate CLO 3 Ltd., Series 3A, Class AR, (3 mo. LIBOR US + 1.25%), 1.50%, 10/20/29(a)(c) | 991 | 987,775 | ||||||
Generate CLO 6 Ltd. | ||||||||
Series 6A, Class A1R, (3 mo. LIBOR US + 1.20%), 1.45%, 01/22/35(a)(c) | 250 | 247,301 | ||||||
Series 6A, Class CR, (3 mo. LIBOR US + 2.45%), 2.70%, 01/22/35(a)(c) | 4,330 | 4,314,878 | ||||||
Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 3.75%, 01/22/35(a)(c) | 4,500 | 4,463,273 | ||||||
Generate CLO 7 Ltd., Series 7A, Class A1, (3 mo. LIBOR US + 1.37%), 1.63%, 01/22/33(a)(c) | 250 | 248,895 | ||||||
Gilbert Park CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.19%), 1.43%, 10/15/30(a)(c) | 250 | 247,932 | ||||||
GMACM Home Equity Loan Trust, Series 2006- HE1, Class A, (1 mo. LIBOR US + 0.32%), 0.77%, | 23 | 29,133 | ||||||
GoldenTree Loan Management U.S. CLO 1 Ltd. | ||||||||
Series 2017-1A, Class A1R2, (3 mo. LIBOR US + 1.02%), 1.27%, 04/20/34(a)(c) | 250 | 245,826 | ||||||
Series 2021-11A, Class A, (3 mo. LIBOR US + 1.13%), 1.38%, 10/20/34(a)(c) | 5,530 | 5,464,339 |
32 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
GoldenTree Loan Management U.S. CLO 1 Ltd. | ||||||||
Series 2021-11A, Class E, (3 mo. LIBOR US + 5.35%), 5.60%, 10/20/34(a)(c) | USD 1,750 | $ | 1,564,954 | |||||
Series 2021-11A, Class EJ, (3 mo. LIBOR US + 7.75%), 8.00%, 10/20/34(a)(c) | 1,000 | 976,825 | ||||||
Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 5.00%, 01/20/33(a)(c) | 1,000 | 886,395 | ||||||
GoldenTree Loan Management U.S. CLO 10 Ltd., | ||||||||
Series 2021-10A, Class A, (3 mo. LIBOR US + 1.10%), 1.35%, 07/20/34(a)(c) | 250 | 246,232 | ||||||
GoldenTree Loan Management U.S. CLO 3 Ltd., | ||||||||
Series 2018-3A, Class AJ, (3 mo. LIBOR US + 1.30%), 1.55%, 04/20/30(a)(c) | 850 | 845,707 | ||||||
GoldenTree Loan Opportunities IX Ltd. | ||||||||
Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.11%), 1.41%, 10/29/29(a)(c) | 876 | 872,899 | ||||||
Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.66%), 5.96%, 10/29/29(a)(c) | 750 | 722,873 | ||||||
GoldenTree Loan Opportunities XI Ltd., | ||||||||
Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.07%), 1.31%, 01/18/31(a)(c) | 500 | 496,811 | ||||||
Goldman Home Improvement Trust, Series 2021- GRN2, Class B, 1.97%, 06/25/51(a) | 2,476 | 2,273,470 | ||||||
Golub Capital Partners CLO Ltd. | ||||||||
Series 2021-53A, Class E, (3 mo. LIBOR US + 6.70%), 6.95%, 07/20/34(a)(c) | 250 | 235,999 | ||||||
Series 2021-55A, Class A, (3 mo. LIBOR US + 1.20%), 1.45%, 07/20/34(a)(c) | 330 | 326,729 | ||||||
Series 2021-58A, Class A1, (3 mo. LIBOR US + 1.18%), 1.42%, 01/25/35(a)(c) | 1,780 | 1,760,370 | ||||||
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(a) | 4,087 | 3,743,017 | ||||||
Gracie Point International Funding, Series 2021- 1A, Class A, (1 mo. LIBOR US + 0.75%), 0.98%, 11/01/23(a)(c) | 4,649 | 4,636,619 | ||||||
Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3 mo. LIBOR US + 1.29%), 1.55%, 04/15/33(a)(c) | 500 | 497,000 | ||||||
GSAA Home Equity Trust | ||||||||
Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.70%), 1.16%, 12/25/35(c) | 283 | 138,991 | ||||||
Series 2006-4, Class 1A1, 2.94%, 03/25/36(c) | 777 | 615,169 | ||||||
Series 2007-2, Class AF3, 5.92%, 03/25/37(c) | 25 | 6,721 | ||||||
GSAMP Trust | ||||||||
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.20%), 0.66%, 01/25/47(c) | 11 | 7,070 | ||||||
Series 2007-HS1, Class M5, (1 mo. LIBOR US + 3.38%), 3.83%, 02/25/47(c) | 3,566 | 3,673,786 | ||||||
Series 2007-HS1, Class M7, (1 mo. LIBOR US + 3.38%), 3.83%, 02/25/47(c) | 3,000 | 2,979,584 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 04/15/33(a)(c) | 250 | 247,922 | ||||||
Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, (3 mo. LIBOR US + 1.32%), 1.56%, 04/15/34(a)(c) | 250 | 248,328 | ||||||
Gulf Stream Meridian 4 Ltd. | ||||||||
Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.20%), 1.44%, 07/15/34(a)(c) | 9,250 | 9,160,108 | ||||||
Series 2021-4A, Class A2, (3 mo. LIBOR US + 1.85%), 2.09%, 07/15/34(a)(c) | 1,000 | 995,133 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3 mo. LIBOR US + 1.80%), 2.04%, 07/15/34(a)(c) | USD 650 | $ | 646,021 | |||||
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3 mo. CME Term SOFR + 1.36%), 1.66%, 07/15/35(a)(c)(d) | 2,420 | 2,408,384 | ||||||
Halcyon Loan Advisors Funding Ltd., Series 2014- 3A, Class B1R, (3 mo. LIBOR US + 1.70%), 1.96%, 10/22/25(a)(c) | 66 | 65,917 | ||||||
Highbridge Loan Management Ltd. | ||||||||
Series 12A-18, Class D, (3 mo. LIBOR US + 5.15%), 5.39%, 07/18/31(a)(c) | 1,120 | 1,019,989 | ||||||
Series 3A-2014, Class A1R, (3 mo. LIBOR US + 1.18%), 1.42%, 07/18/29(a)(c) | 350 | 349,219 | ||||||
Series 7A-2015, Class BR, (3 mo. LIBOR US + 1.18%), 1.69%, 03/15/27(a)(c) | 250 | 248,146 | ||||||
Home Equity Asset Trust, Series 2006-3, Class M2, (1 mo. LIBOR US + 0.60%), 1.06%, 07/25/36(c) | 280 | 260,927 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1 mo. LIBOR US + 2.03%), 2.48%, 07/25/34(c) | 19 | 19,152 | ||||||
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) | 5,959 | 5,463,316 | ||||||
HPS Loan Management Ltd. | ||||||||
Series 10A-16, Class A1RR, (3 mo. LIBOR US + 1.14%), 1.39%, 04/20/34(a)(c) | 7,260 | 7,201,920 | ||||||
Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 1.32%, 02/05/31(a)(c) | 745 | 739,472 | ||||||
ICG U.S. CLO Ltd. | ||||||||
Series 2014-3A, Class A1RR, (3 mo. LIBOR US + 1.03%), 1.29%, 04/25/31(a)(c) | 249 | 247,375 | ||||||
Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.14%), 1.39%, 10/19/28(a)(c) | 920 | 917,504 | ||||||
Jamestown CLO XII Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 2.15%), 2.40%, 04/20/32(a)(c) | 250 | 248,555 | ||||||
Jamestown CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.34%), 1.58%, 04/15/33(a)(c) | 1,750 | 1,741,804 | ||||||
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (1 mo. LIBOR US + 0.80%), 1.26%, 07/25/36(c) | 3,498 | 3,425,914 | ||||||
Kapitus Asset Securitization LLC, Series 2022-1A, Class A, 3.38%, 07/10/28(a) | 3,913 | 3,796,922 | ||||||
KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3 mo. LIBOR US + 1.25%), 1.52%, 07/28/42(c) | 3,190 | 3,041,880 | ||||||
KKR CLO 10 Ltd., Series 10, Class BR, (3 mo. LIBOR US + 1.70%), 2.53%, 09/15/29(a)(c) | 640 | 638,577 | ||||||
KKR CLO 17 Ltd., Series 17, Class AR, (3 mo. LIBOR US + 1.08%), 1.32%, 04/15/34(a)(c) | 500 | 492,350 | ||||||
KKR CLO 23 Ltd., Series 23, Class E, (3 mo. LIBOR US + 6.00%), 6.25%, 10/20/31(a)(c) | 500 | 476,264 | ||||||
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.07%), 1.32%, 01/20/31(a)(c) | 2,000 | 1,987,265 | ||||||
LCM XVIII LP, Series 18A, Class A1R, (3 mo. LIBOR US + 1.02%), 1.27%, 04/20/31(a)(c) | 250 | 248,250 | ||||||
LCM XX LP, Series 20A, Class BR, (3 mo. LIBOR US + 1.55%), 1.80%, 10/20/27(a)(c) | 640 | 637,847 | ||||||
LCM XXI LP, Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 1.13%, 04/20/28(a)(c) | 190 | 189,308 |
SCHEDULES OF INVESTMENTS | 33 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Legacy Mortgage Asset Trust | ||||||||
Series 2019-SL2, Class A, 3.38%, 02/25/59(a)(c) | USD 1,771 | $ | 1,709,100 | |||||
Series 2019-SL2, Class B, 0.00%, 02/25/59(a)(d) | 508 | 76,213 | ||||||
Series 2019-SL2, Class M, 4.25%, 02/25/59(a)(c) | 600 | 575,734 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33 | 643 | 593,557 | ||||||
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.09%), 0.55%, 06/25/37(a)(c) | 87 | 66,543 | ||||||
Lending Funding Trust, Series 2020-2A, Class A, 2.32%, 04/21/31(a) | 4,680 | 4,429,976 | ||||||
LendingPoint Pass-Through Trust | ||||||||
Series 2022-ST1, Class A, 2.50%, 03/15/28(a) | 4,793 | 4,689,240 | ||||||
Series 2022-ST2, Class A, 3.25%, 04/15/28(a)(d) | 5,523 | 5,523,000 | ||||||
Lendmark Funding Trust | ||||||||
Series 2019-2A, Class A, 2.78%, 04/20/28(a) | 3,720 | 3,680,684 | ||||||
Series 2021-1A, Class A, 1.90%, 11/20/31(a) | 4,100 | 3,707,105 | ||||||
Series 2021-1A, Class B, 2.47%, 11/20/31(a) | 5,000 | 4,564,991 | ||||||
Series 2021-2A, Class B, 2.37%, 04/20/32(a) | 4,630 | 4,192,530 | ||||||
Series 2021-2A, Class C, 3.09%, 04/20/32(a) | 1,610 | 1,457,992 | ||||||
Series 2021-2A, Class D, 4.46%, 04/20/32(a) | 3,500 | 3,193,501 | ||||||
LoanCore Issuer Ltd. | ||||||||
Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.13%), 1.53%, 05/15/28(a)(c) | 461 | 459,707 | ||||||
Series 2021-CRE6, Class A, (1 mo. LIBOR US + 1.30%), 1.70%, 11/15/38(a)(c) | 1,940 | 1,926,979 | ||||||
Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 1.60%, 01/17/37(a)(c) | 11,427 | 11,349,163 | ||||||
Loanpal Solar Loan Ltd. | ||||||||
Series 2020-2GF, Class A, 2.75%, 07/20/47(a) | 1,035 | 981,253 | ||||||
Series 2021-1GS, Class A, 2.29%, 01/20/48(a) | 3,056 | 2,792,400 | ||||||
Series 2021-2GS, Class A, 2.22%, 03/20/48(a) | 3,995 | 3,702,688 | ||||||
Logan CLO I Ltd., Series 2021-1A, Class A, (3 mo. LIBOR US + 1.16%), 1.41%, 07/20/34(a)(c) | 4,000 | 3,956,497 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2006-2, Class 1A, (1 mo. LIBOR US + 0.36%), 0.82%, 03/25/46(c) | 728 | 636,455 | ||||||
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.30%), 0.76%, 06/25/36(c) | 3,311 | 2,034,512 | ||||||
Series 2006-7, Class 1A, (1 mo. LIBOR US + 0.16%), 0.61%, 08/25/36(c) | 4,143 | 2,391,868 | ||||||
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.62%, 08/25/36(c) | 6,018 | 2,879,960 | ||||||
Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.24%), 0.70%, 08/25/36(c) | 1,389 | 670,474 | ||||||
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.62%, 10/25/36(c) | 2,082 | 792,509 | ||||||
Series 2006-WL3, Class 2A4, (1 mo. LIBOR US + 0.60%), 1.06%, 01/25/36(c) | 3,712 | 3,546,237 | ||||||
Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.38%), 1.62%, 01/17/30(a)(c) | 820 | 808,515 | ||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class AR2, (3 mo. LIBOR US + 0.90%), 1.16%, 07/23/29(a)(c) | 2,127 | 2,111,204 | ||||||
Madison Park Funding XIII Ltd. | ||||||||
Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.95%), 1.20%, 04/19/30(a)(c) | 921 | 915,450 | ||||||
Series 2014-13A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.75%, 04/19/30(a)(c) | 350 | 347,354 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Madison Park Funding XIX Ltd., Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.92%), | USD 308 | $ | 306,308 | |||||
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3 mo. LIBOR US + 6.25%), 6.37%, 10/19/34(a)(c) | 750 | 736,948 | ||||||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3 mo. LIBOR US + 0.94%), 1.20%, 10/21/30(a)(c) | 3,460 | 3,427,537 | ||||||
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3 mo. LIBOR US + 0.97%), 1.24%, 07/27/31(a)(c) | 1,000 | 992,643 | ||||||
Madison Park Funding XXIV Ltd., Series 2016- 24A, Class BR, (3 mo. LIBOR US + 1.75%), 2.00%, 10/20/29(a)(c) | 490 | 488,579 | ||||||
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3 mo. LIBOR US + 1.20%), 1.50%, 07/29/30(a)(c) | 2,800 | 2,803,023 | ||||||
Madison Park Funding XXX Ltd. | ||||||||
Series 2018-30A, Class E, (3 mo. LIBOR US + 4.95%), 5.19%, 04/15/29(a)(c) | 1,000 | 969,332 | ||||||
Series 2018-30X, Class E, (3 mo. LIBOR US + 4.95%), 5.19%, 04/15/29(c)(e) | 250 | 242,333 | ||||||
Madison Park Funding XXXI Ltd. | ||||||||
Series 2018-31A, Class B, (3 mo. LIBOR US + 1.70%), 1.96%, 01/23/31(a)(c) | 250 | 248,265 | ||||||
Series 2018-31A, Class C, (3 mo. LIBOR US + 2.15%), 2.41%, 01/23/31(a)(c) | 250 | 249,716 | ||||||
Madison Park Funding XXXIII Ltd. | ||||||||
Series 2019-33A, Class AR, (3 mo. CME Term SOFR + 1.29%), 1.45%, 10/15/32(a)(c) | 1,790 | 1,776,344 | ||||||
Series 2019-33A, Class BR, (3 mo. CME Term SOFR + 1.80%), 1.96%, 10/15/32(a)(c) | 3,460 | 3,439,700 | ||||||
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class AR, (3 mo. LIBOR US + 1.07%), 1.31%, 07/15/33(a)(c) | 2,130 | 2,107,517 | ||||||
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class A, (3 mo. LIBOR US + 1.12%), 1.36%, 07/17/34(a)(c) | 1,250 | 1,232,309 | ||||||
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3 mo. LIBOR US + 3.65%), 3.74%, 01/22/35(a)(c) | 750 | 745,780 | ||||||
Mariner CLO LLC, Series 2016-3A, Class AR2, (3 mo. LIBOR US + 0.99%), 1.25%, 07/23/29(a)(c) | 219 | 218,102 | ||||||
Mariner Finance Issuance Trust | ||||||||
Series 2019-AA, Class A, 2.96%, 07/20/32(a) | 5,000 | 4,975,403 | ||||||
Series 2021-AA, Class A, 1.86%, 03/20/36(a) | 700 | 639,803 | ||||||
Series 2021-AA, Class B, 2.33%, 03/20/36(a) | 1,620 | 1,486,148 | ||||||
Series 2021-AA, Class C, 2.96%, 03/20/36(a) | 2,850 | 2,566,465 | ||||||
Series 2021-BA, Class C, 2.66%, 11/20/36(a) | 4,403 | 4,013,229 | ||||||
Series 2021-BA, Class D, 3.42%, 11/20/36(a) | 980 | 896,560 | ||||||
Series 2021-BA, Class E, 4.68%, 11/20/36(a) | 3,620 | 3,310,083 | ||||||
MASTR Asset-Backed Securities Trust | ||||||||
Series 2005-WF1, Class M8, (1 mo. LIBOR US + 1.86%), 2.32%, 06/25/35(c) | 1,119 | 1,109,843 | ||||||
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.52%), 0.98%, 06/25/36(a)(c) | 294 | 280,351 | ||||||
Series 2006-WMC2, Class A4, (1 mo. LIBOR US + 0.30%), 0.76%, 04/25/36(c) | 3,591 | 1,203,638 | ||||||
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.28%), 0.74%, 05/25/37(c) | 83 | 74,890 |
34 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.26%), 0.72%, 06/25/46(a)(c) | USD 19 | $ | 18,104 | |||||
Mercury Financial Credit Card Master Trust | ||||||||
Series 2021-1A, Class A, 1.54%, 03/20/26(a) | 4,130 | 4,007,655 | ||||||
Series 2022-1A, Class A, 2.50%, 09/21/26(a) | 10,537 | 10,166,821 | ||||||
MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33(b) | 1,041 | 842,920 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust | ||||||||
Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.24%), 0.70%, 05/25/37(c) | 1,908 | 1,582,258 | ||||||
Series 2007-H1, Class 1A2, (1 mo. LIBOR US + 3.50%), 3.96%, 10/25/37(c) | 2,981 | 2,867,683 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 0.72%, 08/25/37(c) | 1,732 | 1,816,338 | ||||||
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.97%), 1.23%, 04/21/31(a)(c) | 1,230 | 1,218,890 | ||||||
Mill City Solar Loan Ltd. | ||||||||
Series 2019-1A, Class A, 4.34%, 03/20/43(a) | 1,341 | 1,356,047 | ||||||
Series 2019-2GS, Class A, 3.69%, 07/20/43(a) | 2,270 | 2,254,417 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust | ||||||||
Series 2007-NC1, Class A2D, (1 mo. LIBOR US + 0.22%), 0.68%, 11/25/36(c) | 5,644 | 3,248,990 | ||||||
Series 2007-SEA1, Class 2A1, (1 mo. LIBOR US + 1.90%), 2.36%, 02/25/47(a)(c) | 101 | 97,783 | ||||||
Mosaic Solar Loan Trust | ||||||||
Series 2018-2GS, Class A, 4.20%, 02/22/44(a) | 1,321 | 1,311,576 | ||||||
Series 2019-1A, Class A, 4.37%, 12/21/43(a) | 2,129 | 2,111,774 | ||||||
Series 2019-2A, Class A, 2.88%, 09/20/40(a) | 308 | 298,583 | ||||||
Series 2020-2A, Class B, 2.21%, 08/20/46(a) | 1,804 | 1,684,694 | ||||||
Series 2021-1A, Class B, 2.05%, 12/20/46(a) | 498 | 458,928 | ||||||
Series 2021-2A, Class B, 2.09%, 04/22/47(a) | 4,518 | 4,166,537 | ||||||
MP CLO VIII Ltd., Series 2015-2A, Class ARR, (3 mo. LIBOR US + 1.20%), 1.48%, 04/28/34(a)(c) | 800 | 792,358 | ||||||
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3 mo. LIBOR US + 1.60%), 1.85%, 10/20/30(a)(c) | 250 | 247,378 | ||||||
Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1 mo. LIBOR US + 0.41%), 0.87%, 04/25/37(c) | 380 | 360,666 | ||||||
Navient Private Education Loan Trust, Series 2020- IA, Class B, 2.95%, 04/15/69(a) | 1,880 | 1,720,671 | ||||||
Navient Private Education Refi Loan Trust | ||||||||
Series 2018-DA, Class A2A, 4.00%, 12/15/59(a) | 1,320 | 1,347,462 | ||||||
Series 2019-D, Class A2A, 3.01%, 12/15/59(a) | 3,897 | 3,847,420 | ||||||
Series 2020-CA, Class A2B, (1 mo. LIBOR US + 1.60%), 2.00%, 11/15/68(a)(c) | 4,100 | 4,120,211 | ||||||
Series 2021-DA, Class A, (Prime Rate + (1.99)%), 1.26%, 04/15/60(a)(c) | 1,869 | 1,812,746 | ||||||
Series 2021-DA, Class B, 2.61%, 04/15/60(a) | 1,110 | 1,074,064 | ||||||
Series 2021-DA, Class C, 3.48%, 04/15/60(a) | 5,000 | 4,678,256 | ||||||
Series 2021-DA, Class D, 4.00%, 04/15/60(a) | 5,000 | 4,658,940 | ||||||
Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59(a) | 1,929 | 1,929,401 | ||||||
Nelnet Student Loan Trust | ||||||||
Series 2021-A, Class A1, (1 mo. LIBOR US + 0.80%), 1.25%, 04/20/62(a)(c) | 2,199 | 2,198,068 | ||||||
Series 2021-A, Class A2, (1 mo. LIBOR US + 1.03%), 1.48%, 04/20/62(a)(c) | 2,680 | 2,642,052 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Nelnet Student Loan Trust | ||||||||
Series 2021-A, Class APT2, 1.36%, 04/20/62(a) . | USD 2,955 | $ | 2,777,013 | |||||
Series 2021-A, Class B2, 2.85%, 04/20/62(a) | 1,640 | 1,525,231 | ||||||
Series 2021-A, Class C, 3.75%, 04/20/62(a) | 950 | 922,351 | ||||||
Series 2021-A, Class D, 4.93%, 04/20/62(a) | 1,690 | 1,592,715 | ||||||
Series 2021-BA, Class B, 2.68%, 04/20/62(a) | 8,450 | 7,732,980 | ||||||
Series 2021-BA, Class C, 3.57%, 04/20/62(a) | 2,370 | 2,186,193 | ||||||
Series 2021-BA, Class D, 4.75%, 04/20/62(a) | 8,380 | 7,814,112 | ||||||
Series 2021-CA, Class B, 2.53%, 04/20/62(a) | 7,230 | 6,550,952 | ||||||
Series 2021-CA, Class C, 3.36%, 04/20/62(a) | 2,770 | 2,608,886 | ||||||
Series 2021-CA, Class D, 4.44%, 04/20/62(a) | 5,590 | 5,311,650 | ||||||
Series 2021-DA, Class B, 2.90%, 04/20/62(a) | 4,800 | 4,488,289 | ||||||
Series 2021-DA, Class C, 3.50%, 04/20/62(a) | 2,700 | 2,525,433 | ||||||
Series 2021-DA, Class D, 4.38%, 04/20/62(a) | 680 | 645,475 | ||||||
Neuberger Berman CLO XIV Ltd., Series 2013- 14A, Class AR2, (3 mo. LIBOR US + 1.03%), 1.31%, 01/28/30(a)(c) | 500 | 497,401 | ||||||
Neuberger Berman CLO XVII Ltd., Series 2014- 17A, Class AR2, (3 mo. LIBOR US + 1.03%), 1.29%, 04/22/29(a)(c) | 1,250 | 1,243,444 | ||||||
Neuberger Berman CLO XX Ltd. | ||||||||
Series 2015-20A, Class ARR, (3 mo. LIBOR US + 1.16%), 1.40%, 07/15/34(a)(c) | 525 | 519,192 | ||||||
Series 2015-20A, Class DRR, (3 mo. LIBOR US + 2.95%), 3.19%, 07/15/34(a)(c) | 1,000 | 977,428 | ||||||
Series 2015-20A, Class ERR, (3 mo. LIBOR US + 6.50%), 6.74%, 07/15/34(a)(c) | 750 | 729,732 | ||||||
Neuberger Berman CLO XXII Ltd., Series 2016- 22A, Class BR, (3 mo. LIBOR US + 1.65%), 1.89%, 10/17/30(a)(c) | 250 | 247,920 | ||||||
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class AR, (3 mo. LIBOR US + 0.92%), | 4,050 | 4,011,557 | ||||||
Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class A2, (3 mo. LIBOR US + 1.40%), | 250 | 247,969 | ||||||
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR, (3 mo. CME Term SOFR + 1.75%), 1.99%, 01/20/35(a)(c)(d) | 1,000 | 1,000,000 | ||||||
Neuberger Berman Loan Advisers CLO 35 Ltd., Series 2019-35A, Class C, (3 mo. LIBOR US + 2.60%), | 250 | 249,635 | ||||||
Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3 mo. LIBOR US + 1.10%), | 3,000 | 2,968,500 | ||||||
Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, (3 mo. LIBOR US + 1.13%), | 5,000 | 4,940,377 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.40%), 0.86%, 10/25/36(a)(c) | 191 | 238,968 | ||||||
NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1 mo. LIBOR US + 0.48%), 0.94%, 11/25/36(c) | 4,188 | 1,757,105 | ||||||
Oakwood Mortgage Investors, Inc. | ||||||||
Series 2001-D, Class A2, 5.26%, 01/15/19(c) | 30 | 18,215 | ||||||
Series 2002-A, Class M1, 7.76%, 03/15/32(c) | 2,158 | 2,025,428 | ||||||
Series 2002-C, Class M1, 6.89%, 11/15/32(c) | 2,506 | 2,354,621 | ||||||
Ocean Trails CLO V, Series 2014-5A, Class BRR, (3 mo. LIBOR US + 1.95%), | 500 | 497,150 |
SCHEDULES OF INVESTMENTS | 35 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
OCP CLO Ltd. | ||||||||
Series 2014-6X, Class BR, (3 mo. LIBOR US + 2.15%), 2.39%, 10/17/30(c)(e) | USD 250 | $ | 246,476 | |||||
Series 2016-12A, Class BR2, (3 mo. CME Term SOFR + 1.81%), 2.53%, 04/18/33(a)(c)(d) | 3,000 | 2,992,500 | ||||||
Series 2017-13A, Class A1AR, (3 mo. LIBOR US + 0.96%), 1.20%, 07/15/30(a)(c) | 1,250 | 1,239,853 | ||||||
Series 2017-13A, Class A2R, (3 mo. LIBOR US + 1.55%), 1.79%, 07/15/30(a)(c) | 250 | 247,577 | ||||||
Series 2019-16A, Class AR, (3 mo. LIBOR US + 1.00%), 1.23%, 04/10/33(a)(c) | 1,490 | 1,476,590 | ||||||
Series 2020-18A, Class AR, (3 mo. LIBOR US + 1.09%), 1.34%, 07/20/32(a)(c) | 1,100 | 1,089,037 | ||||||
Series 2021-22A, Class A, (3 mo. LIBOR US + 1.18%), 1.30%, 12/02/34(a)(c) | 2,020 | 1,997,623 | ||||||
Series 2021-22A, Class E, (3 mo. LIBOR US + 6.60%), 6.72%, 12/02/34(a)(c) | 900 | 862,600 | ||||||
Octagon 56 Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.65%), 1.77%, 10/15/34(a)(c) | 250 | 246,961 | ||||||
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.96%), | 3,000 | 2,967,593 | ||||||
Octagon Investment Partners 24 Ltd. | ||||||||
Series 2015-1A, Class A2S, (3 mo. LIBOR US + 1.70%), 1.96%, 04/21/31(a)(c) | 500 | 495,646 | ||||||
Series 2015-1A, Class CS, (3 mo. LIBOR US + 2.80%), 3.06%, 04/21/31(a)(c) | 500 | 498,911 | ||||||
Series 2015-1A, Class DS, (3 mo. LIBOR US + 3.85%), 4.11%, 04/21/31(a)(c) | 1,000 | 995,771 | ||||||
Octagon Investment Partners 29 Ltd., Series 2016- 1A, Class AR, (3 mo. LIBOR US + 1.18%), 1.44%, 01/24/33(a)(c) | 250 | 248,453 | ||||||
Octagon Investment Partners 30 Ltd., Series 2017- 1A, Class D, (3 mo. LIBOR US + 6.20%), 6.45%, 03/17/30(a)(c) | 540 | 506,234 | ||||||
Octagon Investment Partners 33 Ltd., Series 2017- 1A, Class A1, (3 mo. LIBOR US + 1.19%), 1.44%, 01/20/31(a)(c) | 1,100 | 1,094,453 | ||||||
Octagon Investment Partners 36 Ltd., Series 2018- 1A, Class A1, (3 mo. LIBOR US + 0.97%), 1.21%, 04/15/31(a)(c) | 250 | 247,466 | ||||||
Octagon Investment Partners 37 Ltd., Series 2018- 2A, Class A2, (3 mo. LIBOR US + 1.58%), 1.84%, 07/25/30(a)(c) | 650 | 643,279 | ||||||
Octagon Investment Partners 51 Ltd., Series 2021- 1A, Class A, (3 mo. LIBOR US + 1.15%), 1.40%, 07/20/34(a)(c) | 1,250 | 1,236,903 | ||||||
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.35%), | 350 | 348,452 | ||||||
Octagon Investment Partners XVII Ltd. | ||||||||
Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.00%), 1.26%, 01/25/31(a)(c) | 1,000 | 992,369 | ||||||
Series 2013-1A, Class A2R2, (3 mo. LIBOR US + 1.10%), 1.36%, 01/25/31(a)(c) | 500 | 487,245 | ||||||
OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 04/21/34(a)(c) | 1,500 | 1,487,939 | ||||||
OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR, (3 mo. LIBOR US + 1.14%), 1.39%, 07/02/35(a)(c) | 250 | 247,750 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 10/22/36(a)(c) | USD 1,000 | $ | 987,491 | |||||
OHA Credit Funding 5 Ltd., Series 2020-5A, Class A2A, (3 mo. LIBOR US + 1.45%), 1.69%, 04/18/33(a)(c) | 300 | 297,270 | ||||||
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3 mo. LIBOR US + 1.14%), 1.39%, 07/20/34(a)(c) | 670 | 662,682 | ||||||
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3 mo. CME Term SOFR + 1.30%), 1.55%, 02/24/37(a)(c) | 770 | 766,722 | ||||||
OHA Loan Funding Ltd. | ||||||||
Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 1.50%, 05/23/31(a)(c) | 770 | 763,865 | ||||||
Series 2015-1A, Class AR3, (3 mo. LIBOR US + 1.15%), 1.36%, 01/19/37(a)(c) | 680 | 672,334 | ||||||
OneMain Financial Issuance Trust | ||||||||
Series 2019-1A, Class B, 3.79%, 02/14/31(a) | 2,000 | 2,000,596 | ||||||
Series 2019-2A, Class A, 3.14%, 10/14/36(a) | 4,770 | 4,661,464 | ||||||
Series 2021-1A, Class B, 1.95%, 06/16/36(a) | 4,700 | 4,263,484 | ||||||
Series 2021-1A, Class C, 2.22%, 06/16/36(a) | 4,680 | 4,249,182 | ||||||
Series 2021-1A, Class D, 2.47%, 06/16/36(a) | 5,000 | 4,420,802 | ||||||
Oportun Issuance Trust | ||||||||
Series 2021-B, Class A, 1.47%, 05/08/31(a) | 1,970 | 1,859,750 | ||||||
Series 2021-B, Class B, 1.96%, 05/08/31(a) | 5,000 | 4,760,710 | ||||||
Series 2021-C, Class A, 2.18%, 10/08/31(a) | 7,340 | 6,911,973 | ||||||
Series 2021-C, Class B, 2.67%, 10/08/31(a) | 13,345 | 12,598,386 | ||||||
Series 2021-C, Class C, 3.61%, 10/08/31(a) | 3,180 | 3,033,227 | ||||||
Series 2021-C, Class D, 5.57%, 10/08/31(a) | 450 | 429,946 | ||||||
Option One Mortgage Loan Trust | ||||||||
Series 2005-4, Class M3, (1 mo. LIBOR US + 0.74%), 1.19%, 11/25/35(c) | 460 | 432,992 | ||||||
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(b) | 3,747 | 3,428,367 | ||||||
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(b) | 2,992 | 2,750,906 | ||||||
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1 mo. LIBOR US + 1.20%), 1.60%, 10/15/37(a)(c) | 1,809 | 1,752,716 | ||||||
OSD CLO Ltd., Series 2021-23A, Class E, (3 mo. LIBOR US + 6.00%), 6.97%, 04/17/31(a)(c) | 1,000 | 925,197 | ||||||
OZLM Funding IV Ltd. | ||||||||
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.51%, 10/22/30(a)(c) | 834 | 829,177 | ||||||
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.70%), 1.96%, 10/22/30(a)(c) | 500 | 495,993 | ||||||
OZLM VI Ltd., | ||||||||
Series 2014-6A, Class A2AS, (3 mo. LIBOR US + 1.75%), 1.99%, 04/17/31(a)(c) OZLM VIII Ltd. | 2,570 | 2,548,835 | ||||||
Series 2014-8A, Class A2R3, (3 mo. LIBOR US + 1.65%), 1.89%, 10/17/29(a)(c) | 1,185 | 1,175,939 | ||||||
Series 2014-8A, Class BR3, (3 mo. LIBOR US + 2.10%), 2.34%, 10/17/29(a)(c)(d) | 1,750 | 1,741,250 | ||||||
OZLM XIV Ltd., Series 2015-14A, Class A1SR, (3 mo. LIBOR US + 1.25%), 1.49%, 07/15/34(a)(c) | 1,500 | 1,483,722 | ||||||
OZLM XX Ltd., Series 2018-20A, Class D, (3 mo. LIBOR US + 5.80%), 6.05%, 04/20/31(a)(c) | 1,000 | 913,210 | ||||||
OZLM XXII Ltd. | ||||||||
Series 2018-22A, Class A1, (3 mo. LIBOR US + 1.07%), 1.31%, 01/17/31(a)(c) | 1,099 | 1,091,085 |
36 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
OZLM XXII Ltd. | ||||||||
Series 2018-22A, Class A2, (3 mo. LIBOR US + 1.50%), 1.74%, 01/17/31(a)(c) | USD 500 | $ | 493,026 | |||||
Pagaya AI Debt Selection Trust | ||||||||
Series 2021-2, Class NOTE, 3.00%, 01/25/29(a) . | 2,765 | 2,703,037 | ||||||
Series 2022-1, Class A, 2.03%, 10/15/29(a) | 11,458 | 11,248,568 | ||||||
Palmer Square CLO Ltd. | ||||||||
Series 2013-2A, Class A1A3, (3 mo. LIBOR US + 1.00%), | 3,400 | 3,367,395 | ||||||
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), | 1,000 | 994,500 | ||||||
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.65%), | 400 | 388,825 | ||||||
Series 2015-1A, Class A1A4, (3 mo. LIBOR US + 1.13%), | 660 | 652,707 | ||||||
Series 2015-1A, Class A2R4, (3 mo. LIBOR US + 1.70%), | 1,000 | 990,120 | ||||||
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), | 750 | 733,156 | ||||||
Series 2015-2A, Class DR2, (3 mo. LIBOR US + 5.75%), | 500 | 477,924 | ||||||
Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), | 500 | 497,480 | ||||||
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), | 500 | 476,562 | ||||||
Series 2020-3A, Class A1AR, (3 mo. LIBOR US + 1.08%), | 960 | 951,813 | ||||||
Series 2021-3A, Class A1, (3 mo. LIBOR US + 1.15%), | 390 | 385,660 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.65%), | 250 | 249,724 | ||||||
Series 2019-3A, Class A2, (3 mo. LIBOR US + 1.60%), | 1,500 | 1,497,143 | ||||||
Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), | 250 | 249,853 | ||||||
Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), | 500 | 499,501 | ||||||
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.35%), | 1,900 | 1,889,460 | ||||||
Series 2020-1A, Class C, (3 mo. LIBOR US + 2.50%), | 1,750 | 1,746,798 | ||||||
Series 2020-2A, Class D, (3 mo. LIBOR US + 5.50%), | 250 | 248,538 | ||||||
Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.25%), | 3,310 | 3,267,009 | ||||||
Series 2021-3A, Class D, (3 mo. LIBOR US + 5.00%), | 250 | 242,057 | ||||||
Parallel Ltd., Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.75%), 2.00%, 07/20/27(a)(c) | 1,000 | 993,850 | ||||||
Park Avenue Institutional Advisers CLO Ltd. | ||||||||
Series 2016-1A, Class A1R, (3 mo. LIBOR US + 1.20%), 1.66%, 08/23/31(a)(c) | 350 | 348,223 | ||||||
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.85%), 6.31%, 08/23/31(a)(c) | 1,500 | 1,408,908 | ||||||
Series 2017-1A, Class DR, (3 mo. LIBOR US + 6.81%), 7.21%, 02/14/34(a)(c) | 900 | 862,408 | ||||||
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%), 3.64%, 07/15/34(a)(c) | 1,900 | 1,886,044 | ||||||
Pikes Peak CLO 1, Series 2018-1A, Class A, (3 mo. LIBOR US + 1.18%), 1.44%, 07/24/31(a)(c) | 764 | 761,775 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class M1, (1 mo. LIBOR US + 0.54%), 1.00%, 05/25/36(c) | USD 4,967 | $ | 4,723,266 | |||||
PRET LLC | ||||||||
Series 2021-NPL6, Class A1, 2.49%, 07/25/51(a)(b) | 16,436 | 15,940,494 | ||||||
Series 2021-RN4, Class A1, 2.49%, 10/25/51(a)(c) | 7,631 | 7,555,995 | ||||||
Prodigy Finance DAC | ||||||||
Series 2021-1A, Class B, (1 mo. LIBOR US + 2.50%), 2.96%, 07/25/51(a)(c) | 3,055 | 3,054,424 | ||||||
Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 4.21%, 07/25/51(a)(c) | 3,055 | 3,059,159 | ||||||
Series 2021-1A, Class D, (1 mo. LIBOR US + 5.90%), 6.36%, 07/25/51(a)(c) | 2,280 | 2,280,917 | ||||||
Progress Residential Trust | ||||||||
Series 2019-SFR3, Class E, 3.37%, 09/17/36(a) | 3,000 | 2,869,470 | ||||||
Series 2019-SFR3, Class F, 3.87%, 09/17/36(a) | 1,000 | 957,814 | ||||||
Series 2019-SFR4, Class E, 3.44%, 10/17/36(a) | 3,000 | 2,894,333 | ||||||
Series 2019-SFR4, Class F, 3.68%, 10/17/36(a) | 2,500 | 2,395,606 | ||||||
Series 2021-SFR10, Class E2, 3.67%, 12/17/40(a) | 990 | 901,353 | ||||||
Series 2021-SFR10, Class F, 4.61%, 12/17/40(a) | 4,000 | 3,688,162 | ||||||
Series 2021-SFR5, Class F, 3.16%, 07/17/38(a) | 1,808 | 1,625,298 | ||||||
Series 2021-SFR6, Class F, 3.42%, 07/17/38(a) | 3,577 | 3,240,880 | ||||||
Series 2021-SFR7, Class F, 3.83%, 08/17/40(a) | 5,735 | 5,147,918 | ||||||
Series 2021-SFR8, Class F, 3.18%, 10/17/38(a) | 4,500 | 3,991,706 | ||||||
Series 2021-SFR9, Class F, 4.05%, 11/17/40(a) | 2,400 | 2,054,354 | ||||||
Series 2022-SFR1, Class F, 4.88%, 02/17/41(a) | 5,000 | 4,578,004 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR2, | 1,135 | 1,128,995 | ||||||
Rad CLO 15 Ltd. | ||||||||
Series 2021-15A, Class A, (3 mo. LIBOR US + 1.09%), 1.34%, 01/20/34(a)(c) | 390 | 385,337 | ||||||
Series 2021-15A, Class B, (3 mo. LIBOR US + 1.65%), 1.90%, 01/20/34(a)(c) | 820 | 811,761 | ||||||
Series 2021-15A, Class E, (3 mo. LIBOR US + 6.20%), 6.45%, 01/20/34(a)(c) | 4,500 | 4,455,712 | ||||||
Rad CLO 2 Ltd., Series 2018-2A, Class AR, (3 mo. LIBOR US + 1.08%), 1.32%, 10/15/31(a)(c) | 1,250 | 1,239,664 | ||||||
Rad CLO 3 Ltd. | ||||||||
Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.55%), 1.79%, 04/15/32(a)(c) | 325 | 321,036 | ||||||
Series 2019-3A, Class CR, (3 mo. LIBOR US + 1.85%), 2.09%, 04/15/32(a)(c) | 250 | 246,388 | ||||||
Series 2019-3A, Class DR, (3 mo. LIBOR US + 2.75%), 2.99%, 04/15/32(a)(c) | 250 | 242,930 | ||||||
Rad CLO 4 Ltd., Series 2019-4A, Class D, (3 mo. LIBOR US + 3.85%), 4.11%, 04/25/32(a)(c) | 500 | 497,804 | ||||||
Rad CLO 7 Ltd., Series 2020-7A, Class A1, (3 mo. LIBOR US + 1.20%), 1.44%, 04/17/33(a)(c) | 250 | 248,062 | ||||||
Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3 mo. LIBOR US + 1.90%), 2.14%, 01/15/34(a)(c) | 500 | 497,315 | ||||||
Regatta IX Funding Ltd. | ||||||||
Series 2017-1A, Class C, (3 mo. LIBOR US + 2.45%), 2.69%, 04/17/30(a)(c) | 250 | 249,541 | ||||||
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.90%), 4.14%, 04/17/30(a)(c) | 250 | 247,571 |
SCHEDULES OF INVESTMENTS | 37 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3 mo. LIBOR US + 1.16%), 1.41%, 04/20/34(a)(c) | USD 3,000 | $ | 2,977,500 | |||||
Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3 mo. LIBOR US + 1.60%), 2.53%, 06/20/34(a)(c) | 250 | 246,746 | ||||||
Regatta VIII Funding Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.94%, 10/17/30(a)(c) | 1,255 | 1,248,725 | ||||||
Regatta XVI Funding Ltd. | ||||||||
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.05%), | 750 | 744,946 | ||||||
Series 2019-2A, Class D, (3 mo. LIBOR US + 3.90%), | 250 | 248,790 | ||||||
Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3 mo. LIBOR US + 7.61%), 7.85%, 10/15/33(a)(c) | 500 | 496,880 | ||||||
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3 mo. LIBOR US + 6.80%), 6.89%, 01/20/35(a)(c) | 1,500 | 1,458,512 | ||||||
Regional Management Issuance Trust | ||||||||
Series 2020-1, Class A, 2.34%, 10/15/30(a) | 720 | 697,876 | ||||||
Series 2020-1, Class B, 3.23%, 10/15/30(a) | 320 | 308,605 | ||||||
Series 2020-1, Class C, 3.80%, 10/15/30(a) | 805 | 778,851 | ||||||
Series 2021-2, Class B, 2.35%, 08/15/33(a) | 1,098 | 999,698 | ||||||
Series 2021-2, Class C, 3.23%, 08/15/33(a) | 820 | 751,623 | ||||||
Series 2021-3, Class A, 0.00%, 10/17/33(d) | 10,210 | 9,725,025 | ||||||
Series 2022-1, Class A, 3.07%, 03/15/32(a) | 2,274 | 2,211,065 | ||||||
Series 2022-1, Class B, 3.71%, 03/15/32(a) | 5,452 | 5,288,327 | ||||||
Series 2022-1, Class C, 4.46%, 03/15/32(a) | 1,111 | 1,077,430 | ||||||
Series 2022-1, Class D, 6.72%, 03/15/32(a) | 2,072 | 2,011,682 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
Series 2005-3, Class AF4, 5.14%, 11/25/35(b) | 1,298 | 1,319,747 | ||||||
Republic Finance Issuance Trust | ||||||||
Series 2021-A, Class A, 2.30%, 12/22/31(a) | 6,600 | 6,262,845 | ||||||
Series 2021-A, Class B, 2.80%, 12/22/31(a) | 8,454 | 7,952,978 | ||||||
Series 2021-A, Class C, 3.53%, 12/22/31(a) | 2,100 | 1,975,693 | ||||||
Series 2021-A, Class D, 5.23%, 12/22/31(a) | 3,550 | 3,344,675 | ||||||
Riserva CLO Ltd., Series 2016-3A, Class ARR, (3 mo. LIBOR US + 1.06%), 1.30%, 01/18/34(a)(c) | 1,100 | 1,082,928 | ||||||
Rockford Tower CLO Ltd. | ||||||||
Series 2017-1A, Class AR2, (3 mo. LIBOR US + 1.10%), 1.35%, 04/20/34(a)(c) | 1,500 | 1,477,913 | ||||||
Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.50%), 1.74%, 10/15/29(a)(c) | 1,250 | 1,238,771 | ||||||
Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.90%), 2.14%, 10/15/29(a)(c) | 1,000 | 992,332 | ||||||
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.09%, 10/15/29(a)(c) | 1,000 | 982,532 | ||||||
Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.25%), 6.49%, 10/15/29(a)(c) | 1,000 | 943,656 | ||||||
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 1.44%, 10/20/30(a)(c) | 2,924 | 2,913,735 | ||||||
Series 2017-3A, Class E, (3 mo. LIBOR US + 5.75%), 6.00%, 10/20/30(a)(c) | 2,250 | 2,153,491 | ||||||
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.10%), 1.58%, 05/20/31(a)(c) | 750 | 746,250 | ||||||
Series 2018-2A, Class E, (3 mo. LIBOR US + 6.00%), 6.25%, 10/20/31(a)(c) | 1,000 | 924,575 | ||||||
Series 2020-1A, Class B, (3 mo. LIBOR US + 1.80%), 2.05%, 01/20/32(a)(c) | 1,570 | 1,560,586 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Rockford Tower CLO Ltd. Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.17%), 1.42%, 07/20/34(a)(c) | USD 3,500 | $ | 3,463,898 | |||||
Romark CLO II Ltd., Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.18%), 1.43%, 07/25/31(a)(c) | 250 | 249,037 | ||||||
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 1.28%, 04/20/31(a)(c) | 1,237 | 1,227,170 | ||||||
RR 19 Ltd., Series 2021-19A, Class A2, (3 mo. LIBOR US + 1.65%), 1.78%, 10/15/35(a)(c) | 500 | 495,792 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.09%), 1.33%, 01/15/30(a)(c) | 4,330 | 4,304,501 | ||||||
Service Experts Issuer LLC, Series 2021-1A, Class A, 2.67%, 02/02/32(a) | 3,547 | 3,393,727 | ||||||
SESAC Finance LLC, Series 2019-1, Class A2, 5.22%, 07/25/49(a) | 2,322 | 2,293,531 | ||||||
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1 mo. LIBOR US + 0.32%), 0.78%, 07/25/36(c) | 192 | 50,715 | ||||||
Shackleton CLO Ltd., Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.12%), 1.36%, 07/15/30(a)(c) | 995 | 990,345 | ||||||
Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, (3 mo. LIBOR US + 1.16%), 1.40%, 04/17/34(a)(c) | 5,000 | 4,948,097 | ||||||
Signal Peak CLO 2 LLC, Series 2015-1A, Class AR2, (3 mo. LIBOR US + 0.98%), 1.23%, 04/20/29(a)(c) | 1,648 | 1,638,874 | ||||||
Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, (3 mo. LIBOR US + 1.11%), 1.37%, 04/25/31(a)(c) | 300 | 298,197 | ||||||
Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. LIBOR US + 1.27%), 1.52%, 04/20/33(a)(c) | 500 | 496,115 | ||||||
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.24%), 1.49%, 07/20/30(a)(c) | 1,379 | 1,375,416 | ||||||
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3 mo. LIBOR US + 6.20%), 6.45%, 01/20/34(a)(c) | 500 | 495,786 | ||||||
SLM Private Credit Student Loan Trust | ||||||||
Series 2005-A, Class A4, (3 mo. LIBOR US + 0.31%), 1.14%, 12/15/38(c) | 1,642 | 1,606,930 | ||||||
Series 2005-B, Class A4, (3 mo. LIBOR US + 0.33%), 1.16%, 06/15/39(c) | 1,194 | 1,150,950 | ||||||
Series 2005-B, Class B, (3 mo. LIBOR US + 0.40%), 1.23%, 06/15/39(c) | 172 | 171,224 | ||||||
Series 2006-BW, Class A5, (3 mo. LIBOR US + 0.20%), 1.03%, 12/15/39(c) | 2,106 | 2,011,805 | ||||||
SLM Private Education Loan Trust | ||||||||
Series 2010-C, Class A5, (1 mo. LIBOR US + 4.75%), 5.15%, 10/15/41(a)(c) | 3,692 | 4,091,799 | ||||||
Series 2014-A, Class B, 3.50%, 11/15/44(a) | 1,158 | 1,159,158 | ||||||
SMB Private Education Loan Trust | ||||||||
Series 2015-C, Class B, 3.50%, 09/15/43(a) | 2,365 | 2,315,550 | ||||||
Series 2016-B, Class A2A, 2.43%, 02/17/32(a) | 1,625 | 1,596,076 | ||||||
Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.90%), 1.30%, 09/15/34(a)(c) | 2,138 | 2,143,943 | ||||||
Series 2017-B, Class A2A, 2.82%, 10/15/35(a) | 1,064 | 1,041,296 | ||||||
Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.75%), 1.15%, 10/15/35(a)(c) | 1,747 | 1,741,154 |
38 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
SMB Private Education Loan Trust | ||||||||
Series 2018-A, Class A2B, (1 mo. LIBOR US + 0.80%), 1.20%, 02/15/36(a)(c) | USD 3,256 | $ | 3,243,312 | |||||
Series 2019-B, Class A2A, 2.84%, 06/15/37(a) | 3,581 | 3,533,550 | ||||||
Series 2021-A, Class B, 2.31%, 01/15/53(a) | 1,120 | 1,045,983 | ||||||
Series 2021-A, Class C, 2.99%, 01/15/53(a) | 3,290 | 3,067,692 | ||||||
Series 2021-A, Class D1, 3.86%, 01/15/53(a) | 1,480 | 1,414,621 | ||||||
Series 2021-A, Class D2, 3.86%, 01/15/53(a) | 800 | 761,296 | ||||||
Series 2021-B, Class A, 1.31%, 07/17/51(a) | 3,809 | 3,620,563 | ||||||
Series 2021-C, Class A2, (1 mo. LIBOR US + 0.80%), 1.20%, 01/15/53(a)(c) | 1,770 | 1,765,391 | ||||||
Series 2021-C, Class APT1, 1.39%, 01/15/53(a) | 1,944 | 1,796,048 | ||||||
Series 2021-C, Class B, 2.30%, 01/15/53(a) | 840 | 784,158 | ||||||
SoFi Professional Loan Program LLC, | ||||||||
Series 2019-B, Class A2FX, 3.09%, 08/17/48(a) | 603 | 603,160 | ||||||
SoFi RR Funding IV Trust, Series 2021-1, Class A, 2.98%, 12/31/25(a)(b)(d) | 1,361 | 1,347,198 | ||||||
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.34%, 01/26/31(a)(c) | 250 | 248,362 | ||||||
Sound Point CLO XV Ltd., Series 2017-1A, Class ARR, (3 mo. LIBOR US + 0.90%), 1.16%, 01/23/29(a)(c) | 3,920 | 3,896,040 | ||||||
Sound Point CLO XXIII Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.17%), 1.41%, 07/15/34(a)(c) | 2,240 | 2,216,380 | ||||||
Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.28%), 1.54%, 01/25/32(a)(c) | 1,000 | 997,500 | ||||||
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.80%), 1.25%, 01/25/35(c) | 105 | 95,249 | ||||||
SpringCastle America Funding LLC, Series 2020- AA, Class A, 1.97%, 09/25/37(a) | 2,043 | 1,967,994 | ||||||
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.25%), 1.49%, 10/15/30(a)(c) | 250 | 249,043 | ||||||
Stratus CLO Ltd. | ||||||||
Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%), 5.09%, 12/29/29(a)(c) | 1,250 | 1,149,581 | ||||||
Series 2021-1A, Class SUB, 0.00%, 12/29/29(a)(c) | 1,000 | 779,600 | ||||||
Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%), 5.84%, 12/28/29(a)(c) | 1,550 | 1,484,085 | ||||||
Structured Asset Investment Loan Trust, Series 2004-10, Class A11, (1 mo. LIBOR US + 1.50%), 1.96%, 11/25/34(c) | 208 | 207,697 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||||
Series 2006-BC2, Class A1, (1 mo. LIBOR US + 0.16%), 0.61%, 09/25/36(c) | 2,090 | 1,578,462 | ||||||
Series 2007-GEL1, Class A3, (1 mo. LIBOR US + 0.60%), 1.06%, 01/25/37(a)(c) | 1,600 | 1,308,375 | ||||||
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54(a) | 1,966 | 1,934,675 | ||||||
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3 mo. LIBOR US + 0.96%), 1.20%, 04/16/31(a)(c) | 500 | 494,557 | ||||||
Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3 mo. LIBOR US + 1.15%), 1.39%, 10/15/31(a)(c) | 300 | 298,445 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.88%), 1.12%, 04/15/28(a)(c) | USD 532 | $ | 529,428 | |||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, (3 mo. LIBOR US + 1.70%), 1.94%, 04/18/33(a)(c) | 250 | 247,738 | ||||||
Symphony CLO XXIII Ltd. | ||||||||
Series 2020-23A, Class BR, (3 mo. LIBOR US + 1.60%), 1.84%, 01/15/34(a)(c) | 1,150 | 1,137,850 | ||||||
Series 2020-23A, Class CR, (3 mo. LIBOR US + 2.00%), 2.24%, 01/15/34(a)(c) | 1,500 | 1,486,230 | ||||||
Series 2020-23A, Class ER, (3 mo. LIBOR US + 6.15%), 6.39%, 01/15/34(a)(c) | 1,250 | 1,236,595 | ||||||
Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3 mo. LIBOR US + 1.08%), 1.33%, 04/20/33(a)(c) | 689 | 682,369 | ||||||
TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.96%), 1.43%, 11/18/30(a)(c) | 1,000 | 990,797 | ||||||
TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.55%), 1.79%, 07/15/30(a)(c) | 1,000 | 990,198 | ||||||
TCW CLO AMR Ltd., Series 2019-1A, Class ASNR, (3 mo. LIBOR US + 1.22%), 1.68%, 08/16/34(a)(c) | 250 | 246,868 | ||||||
TICP CLO I-2 Ltd., Series 2018-IA, Class C, (3 mo. LIBOR US + 3.04%), 3.31%, 04/26/28(a)(c) | 500 | 499,034 | ||||||
TICP CLO III-2 Ltd., Series 2018-3R, Class B, (3 mo. LIBOR US + 1.35%), 1.60%, 04/20/28(a)(c) | 500 | 497,671 | ||||||
TICP CLO IX Ltd., Series 2017-9A, Class B, (3 mo. LIBOR US + 1.60%), 1.85%, 01/20/31(a)(c) | 250 | 248,169 | ||||||
TICP CLO VI Ltd. | ||||||||
Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 1.36%, 01/15/34(a)(c) | 4,250 | 4,196,249 | ||||||
Series 2016-6A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.74%, 01/15/34(a)(c) | 320 | 315,192 | ||||||
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.29%, 04/15/33(a)(c) | 600 | 585,021 | ||||||
TICP CLO XI Ltd., Series 2018-11A, Class B, (3 mo. LIBOR US + 1.73%), 1.98%, 10/20/31(a)(c) | 450 | 447,810 | ||||||
TICP CLO XII Ltd., Series 2018-12A, Class AR, (3 mo. LIBOR US + 1.17%), 1.41%, 07/15/34(a)(c) | 250 | 247,429 | ||||||
TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3 mo. LIBOR US + 6.70%), 6.95%, 10/20/32(a)(c) | 1,250 | 1,226,947 | ||||||
TICP CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.28%), 1.53%, 04/20/33(a)(c) | 750 | 746,084 | ||||||
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1 mo. LIBOR US + 1.00%), 1.46%, 05/25/58(a)(c) | 1,691 | 1,690,858 | ||||||
Trestles CLO Ltd., Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.99%), 1.25%, 04/25/32(a)(c) | 650 | 640,352 | ||||||
Trestles CLO V Ltd. | ||||||||
Series 2021-5A, Class A1, (3 mo. LIBOR US + 1.17%), 1.33%, 10/20/34(a)(c) | 7,230 | 7,143,240 |
SCHEDULES OF INVESTMENTS | 39 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Trestles CLO V Ltd. Series 2021-5A, Class E, (3 mo. LIBOR US + 6.35%), 6.51%, 10/20/34(a)(c) | USD 1,000 | $ | 990,602 | |||||
Tricon American Homes Trust | ||||||||
Series 2018-SFR1, Class E, 4.56%, 05/17/37(a) | 2,000 | 1,926,028 | ||||||
Series 2019-SFR1, Class E, 3.40%, 03/17/38(a) | 2,000 | 1,865,398 | ||||||
Series 2020-SFR1, Class F, 4.88%, 07/17/38(a) | 7,351 | 6,974,796 | ||||||
Tricon Residential Trust | ||||||||
Series 2021-SFR1, Class F, 3.69%, 07/17/38(a) | 3,250 | 3,004,000 | ||||||
Series 2021-SFR1, Class G, 4.13%, 07/17/38(a) | 2,099 | 1,902,432 | ||||||
Trimaran CAVU Ltd., Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 3.38%, 10/25/34(a)(c) | 300 | 294,295 | ||||||
Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3 mo. LIBOR US + 1.40%), 1.64%, 10/18/31(a)(c) | 250 | 250,840 | ||||||
Upstart Pass-Through Trust | ||||||||
Series 2020-ST5, Class A, 3.00%, 12/20/26(a) | 409 | 399,090 | ||||||
Series 2021-ST3, Class A, 2.00%, 05/20/27(a) | 3,399 | 3,300,250 | ||||||
Series 2021-ST4, Class A, 2.00%, 07/20/27(a) | 717 | 692,376 | ||||||
Series 2021-ST5, Class A, 2.00%, 07/20/27(a) | 3,568 | 3,447,118 | ||||||
Series 2021-ST9, Class A, 1.70%, 11/20/29(a) | 6,164 | 5,941,415 | ||||||
Series 2022-ST1, Class A, 2.60%, 03/20/30(a) | 11,084 | 10,811,140 | ||||||
Venture 39 CLO Ltd., Series 2020-39A, Class A1, (3 mo. LIBOR US + 1.28%), 1.52%, 04/15/33(a)(c) | 340 | 337,530 | ||||||
VMC Finance LLC, Series 2022-FL5, Class A, (SOFR (30-day) + 1.90%), 1.95%, 02/18/39(a)(c) | 5,300 | 5,299,994 | ||||||
VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51(a)(b) | 16,328 | 15,867,732 | ||||||
Voya CLO Ltd. | ||||||||
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 0.97%), 1.23%, 04/25/31(a)(c) | 1,000 | 989,159 | ||||||
Series 2013-3A, Class A1RR, (3 mo. LIBOR US + 1.15%), 1.39%, 10/18/31(a)(c) | 498 | 495,724 | ||||||
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.19%), 1.44%, 10/20/31(a)(c) | 500 | 499,471 | ||||||
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.95%), 1.19%, 04/17/30(a)(c) | 250 | 248,177 | ||||||
Series 2017-3A, Class A1R, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/34(a)(c) | 1,000 | 988,643 | ||||||
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.13%), 1.37%, 10/15/30(a)(c) | 1,250 | 1,244,312 | ||||||
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.30%), 1.55%, 04/19/31(a)(c) | 250 | 246,718 | ||||||
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.00%), 1.24%, 07/15/31(a)(c) | 250 | 247,818 | ||||||
Wachovia Asset Securitization Issuance II LLC Trust | ||||||||
Series 2007-HE1, Class A, (1 mo. LIBOR US + 0.14%), 0.60%, 07/25/37(a)(c) | 1,142 | 1,127,730 | ||||||
Series 2007-HE2A, Class A, (1 mo. LIBOR US + 0.13%), 0.59%, 07/25/37(a)(c) | 1,297 | 1,282,772 | ||||||
Washington Mutual Asset-Backed Certificates Trust | ||||||||
Series 2006-HE3, Class 1A, (1 mo. LIBOR US + 0.16%), 0.61%, 08/25/36(c) | 8,389 | 8,027,255 | ||||||
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.36%), 0.82%, 09/25/36(c) | 224 | 83,183 | ||||||
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.16%), 0.61%, 10/25/36(c) | 1,411 | 1,179,695 | ||||||
Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.24%), 0.70%, 05/25/37(c) | 124 | 114,250 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Wellfleet CLO Ltd., Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.15%), 1.39%, 01/17/31(a)(c) | USD 1,525 | $ | 1,519,146 | |||||
Whitebox CLO II Ltd. | ||||||||
Series 2020-2A, Class A1R, (3 mo. LIBOR US + 1.22%), 1.48%, 10/24/34(a)(c) | 320 | 315,763 | ||||||
Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 3.61%, 10/24/34(a)(c) | 250 | 244,672 | ||||||
Series 2020-2A, Class ER, (3 mo. LIBOR US + 7.10%), 7.36%, 10/24/34(a)(c) | 500 | 470,436 | ||||||
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. LIBOR US + 1.22%), 1.34%, 10/15/34(a)(c) | 4,000 | 3,947,002 | ||||||
Wind River CLO Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/28(a)(c) | 590 | 589,789 | ||||||
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.40%), 0.86%, 06/25/37(a)(c) | 452 | 177,383 | ||||||
|
| |||||||
Total Asset-Backed Securities — 52.3% |
| 1,379,014,175 | ||||||
|
| |||||||
Corporate Bonds | ||||||||
Banks — 0.0% | ||||||||
Washington Mutual Escrow Bonds | ||||||||
0.00%(d)(f)(g)(h) | 500 | — | ||||||
0.00%(d)(f)(g)(h) | 250 | — | ||||||
|
| |||||||
— | ||||||||
Insurance — 0.1% | ||||||||
Ambac Assurance Corp., 5.10%(a)(h) | 58 | 65,249 | ||||||
Sitka Holdings LLC, (3 mo. LIBOR US + 4.50%), 5.51%, 07/06/26(a)(c) | 2,385 | 2,274,707 | ||||||
|
| |||||||
2,339,956 | ||||||||
|
| |||||||
Total Corporate Bonds — 0.1% |
| 2,339,956 | ||||||
|
| |||||||
Floating Rate Loan Interests |
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
Project Pearl Pasco Holdings LLC, Advance, (3 mo. LIBOR US + 2.25%, 1.00% Floor), 2.25%, 09/15/23 | 4,744 | 4,727,378 | ||||||
|
| |||||||
Real Estate Management & Development — 0.3% |
| |||||||
MUPR 3 Assets LLC |
| |||||||
Facility, (1 mo. SOFR US + 2.75%, 0.00% Floor), 2.80%, 09/25/23 | 6,839 | 6,838,790 | ||||||
Facility, (1 mo. SOFR US + 2.75%, 3.02% Floor), 3.02%, 09/25/23 | 103 | 102,794 | ||||||
|
| |||||||
6,941,584 | ||||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
Caliber Home Loans, Inc., Advances, (3 mo. LIBOR US + 2.88%, 0.00% Floor), 2.98%, 07/24/25(d) | 4,000 | 3,990,000 | ||||||
|
| |||||||
Total Floating Rate Loan Interests — 0.6% |
| 15,658,962 | ||||||
|
|
40 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Non-Agency Mortgage-Backed Securities |
| |||||||
Collateralized Mortgage Obligations — 13.3% |
| |||||||
Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 3.15%, 05/25/36(c) | USD 4,798 | $ | 3,675,513 | |||||
Agate Bay Mortgage Trust | ||||||||
Series 2015-1, Class B5, 3.70%, 01/25/45(a)(c) | 723 | 704,790 | ||||||
Series 2015-3, Class B5, 3.57%, 04/25/45(a)(c) | 832 | 807,224 | ||||||
Series 2015-4, Class B5, 3.54%, 06/25/45(a)(c) | 580 | 555,568 | ||||||
Ajax Mortgage Loan Trust | ||||||||
Series 2021-G, Class A, 1.88%, 06/25/61(a)(c) | 10,661 | 10,095,343 | ||||||
Series 2021-G, Class B, 3.75%, 06/25/61(a)(c) | 1,283 | 1,218,965 | ||||||
Series 2021-G, Class C, 0.00%, 06/25/61(a) | 2,323 | 2,145,432 | ||||||
American Home Mortgage Assets Trust | ||||||||
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.21%), 0.67%, 10/25/46(c) | 94 | 57,962 | ||||||
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.92%), 1.06%, 11/25/46(c) | 948 | 335,886 | ||||||
Series 2006-6, Class A1A, (1 mo. LIBOR US + 0.19%), 0.65%, 12/25/46(c) | 5,244 | 4,595,367 | ||||||
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.70%), 0.84%, 02/25/47(c) | 33 | 16,587 | ||||||
Angel Oak Mortgage Trust, Series 2019-5, Class B1, 3.96%, 10/25/49(a)(c) | 405 | 401,872 | ||||||
Angel Oak Mortgage Trust I LLC | ||||||||
Series 2019-2, Class A1, 3.63%, 03/25/49(a)(c) | 363 | 362,256 | ||||||
Series 2019-2, Class B2, 6.29%, 03/25/49(a)(c) | 716 | 686,701 | ||||||
APS Resecuritization Trust, Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.85%), 3.31%, 09/27/46(a)(c) | 170 | 169,895 | ||||||
ARI Investments LLC, Series 2017-1, Class A, 4.61%, 01/06/25(d) | 444 | 444,411 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
Series 2006-4, Class 3CB1, (1 mo. LIBOR US + 0.80%), 1.26%, 05/25/46(c) | 630 | 507,576 | ||||||
Banc of America Funding Trust | ||||||||
Series 2014-R2, Class 1C, 0.00%, 11/26/36(a)(c) | 318 | 91,131 | ||||||
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(a)(c) | 374 | 366,018 | ||||||
Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37 | 998 | 929,772 | ||||||
Barclays Mortgage Trust | ||||||||
Series 2021-NPL1, Class A, 2.00%, 11/25/51(a)(b) | 11,011 | 10,611,296 | ||||||
Series 2021-NPL1, Class B, 4.63%, 11/25/51(a)(b) | 1,060 | 1,024,592 | ||||||
Series 2021-NPL1, Class C, 0.00%, 11/25/51(a)(d) | 2,407 | 2,279,710 | ||||||
BCAP LLC Trust | ||||||||
Series 2011-RR4, Class 3A6, 2.87%, 07/26/36(a)(c) | 1,445 | 1,433,043 | ||||||
Series 2011-RR5, Class 11A5, (1 mo. LIBOR US + 0.15%), 0.49%, 05/28/36(a)(c) | 372 | 362,527 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 02/25/36(b) | 174 | 145,522 | ||||||
Bear Stearns Mortgage Funding Trust | ||||||||
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.28%), 0.74%, 08/25/36(c) | 555 | 545,486 | ||||||
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.17%), 0.63%, 03/25/37(c) | 224 | 210,198 |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) |
| |||||||
Bear Stearns Mortgage Funding Trust | ||||||||
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.21%), 0.67%, 06/25/37(c) | USD 19 | $ | 18,863 | |||||
BRAVO Residential Funding Trust, Series 2019-NQM2, Class B2, 4.80%, 11/25/59(a)(c) | 996 | 959,627 | ||||||
Central Park Funding Trust, Series 2021-2, Class PT, (1 mo. LIBOR US + 3.00%), 3.45%, 10/27/22(a)(c) | 938 | 932,080 | ||||||
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | 9,419 | 5,329,445 | ||||||
CHNGE Mortgage Trust | ||||||||
Series 2022-1, Class A1, 3.01%, 01/25/67(a)(c) | 3,238 | 3,154,638 | ||||||
Series 2022-2, Class A1, 3.76%, 03/25/67(a)(c) | 9,975 | 9,839,581 | ||||||
CIM Trust, Series 2019-J2, Class B4, 3.77%, 10/25/49(a)(c) | 914 | 875,783 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
Series 2007-9, Class 1A1, 6.25%, 12/25/37 | 2,289 | 1,983,178 | ||||||
Series 2008-2, Class 1A1, 6.50%, 06/25/38 | 323 | 277,183 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
Series 2014-C, Class B2, 4.25%, 02/25/54(a) | 317 | 329,543 | ||||||
Series 2019-IMC1, Class B1, 3.97%, 07/25/49(a)(c) | 1,580 | 1,512,214 | ||||||
Series 2019-IMC1, Class B2, 5.41%, 07/25/49(a)(c) | 3,171 | 3,078,251 | ||||||
Series 2019-RP1, Class A1, 3.50%, 01/25/66(a)(c) | 2,180 | 2,163,806 | ||||||
CitiMortgage Alternative Loan Trust, Series 2007-A3, Class 1A5, 6.00%, 03/25/37 | 1,983 | 1,936,254 | ||||||
COLT Mortgage Loan Trust, Series 2020-2, Class M1, 5.25%, 03/25/65(a)(c) | 761 | 762,098 | ||||||
Countrywide Alternative Loan Trust | ||||||||
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.35%), 0.81%, 06/25/35(c) | 1,163 | 1,001,348 | ||||||
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.64%), 1.09%, 11/20/35(c) | 490 | 415,563 | ||||||
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.60%), 1.06%, 01/25/36(c) | 346 | 304,765 | ||||||
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.00%), 1.14%, 02/25/36(c) | 459 | 431,903 | ||||||
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | 1,046 | 674,483 | ||||||
Series 2006-J7, Class 1A2, 6.25%, 11/25/36 | 2,948 | 1,847,409 | ||||||
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.46%), 0.92%, 11/25/36(c) | 470 | 453,213 | ||||||
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.50%), 0.96%, 07/25/46(c) | 3,554 | 3,408,395 | ||||||
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 | 1,200 | 710,642 | ||||||
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 | 182 | 112,989 | ||||||
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.84%), 0.98%, 03/25/47(c) | 201 | 180,826 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
Series 2005-J2, Class 2A4, (1 mo. LIBOR US + 1.40%), 1.86%, 08/25/35(c) | 1,077 | 886,544 | ||||||
Series 2007-15, Class 2A2, 6.50%, 09/25/37 | 683 | 350,786 | ||||||
Series 2007-HYB1, Class 3A1, 2.80%, 03/25/37(c) | 1,905 | 1,760,839 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(a) | 39 | 19,851 |
SCHEDULES OF INVESTMENTS | 41 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) |
| |||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
Series 2020-SPT1, Class B2, 3.39%, 04/25/65(a)(c) | USD 8,400 | $ | 8,272,683 | |||||
Series 2021-RPL9, Class A1, 2.44%, 02/25/61(a)(c) | 4,838 | 4,599,070 | ||||||
Credit Suisse Mortgage Trust | ||||||||
Series 2007-5, Class 1A11, 7.00%, 08/25/37(c) | 1,972 | 1,344,489 | ||||||
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.12%), 0.31%, 08/27/36(a)(c) | 100 | 86,617 | ||||||
Series 2014-SAF1, Class B5, 3.95%, 03/25/44(a)(c) | 1,578 | 1,460,452 | ||||||
Series 2021-NQM1, Class M1, 2.13%, 05/25/65(a)(c) | 3,299 | 3,140,997 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
Series 2021-1, Class B2, 3.96%, 05/25/65(a)(c) | 150 | 142,863 | ||||||
Series 2021-1, Class M1, 2.09%, 05/25/65(a)(c) | 1,620 | 1,541,927 | ||||||
Series 2021-3, Class B1, 3.27%, 08/25/66(a)(c) | 3,671 | 3,344,929 | ||||||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36(c) | 19 | 17,791 | ||||||
GCAT Trust, Series 2020-NQM2, Class B1, 4.85%, 04/25/65(a)(c) | 2,533 | 2,510,512 | ||||||
GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.00%), 2.14%, 03/25/36(c) | 21 | 20,226 | ||||||
GS Mortgage-Backed Securities Corp. Trust | ||||||||
Series 2019-PJ2, Class A4, 4.00%, 11/25/49(a)(c) | 456 | 456,704 | ||||||
Series 2020-PJ2, Class B4, 3.61%, 07/25/50(a)(c) | 1,065 | 1,045,061 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
Series 2004-4, Class 1AF, (1 mo. LIBOR US + 0.40%), 0.86%, 06/25/34(a)(c) | 3,666 | 3,111,426 | ||||||
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.35%), 0.81%, 03/25/35(a)(c) | 62 | 59,232 | ||||||
Series 2005-RP3, Class 2A1, 3.31%, 09/25/35(a)(c) | 3,836 | 3,715,977 | ||||||
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.35%), 0.81%, 01/25/36(a)(c) | 52 | 43,686 | ||||||
Series 2006-RP2, Class 2A1, 3.45%, 04/25/36(a)(c) | 2,728 | 2,567,934 | ||||||
GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 2.53%, 04/25/36(c) | 1,990 | 1,497,731 | ||||||
Homeward Opportunities Fund I Trust, Series 2020-2, Class B1, 5.45%, 05/25/65(a)(c) | 3,640 | 3,559,575 | ||||||
IndyMac Index Mortgage Loan Trust | ||||||||
Series 2006-AR27, Class 2A2, (1 mo. LIBOR US + 0.40%), 0.86%, 10/25/36(c) | 245 | 236,716 | ||||||
Series 2007-AR19, Class 3A1, 2.97%, 09/25/37(c) | 679 | 518,330 | ||||||
Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.24%), 0.70%, 08/25/37(c) | 3,275 | 3,040,032 | ||||||
JPMorgan Alternative Loan Trust, Series 2006-S2, Class A5, 6.88%, 05/25/36(b) | 4,246 | 3,940,310 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2005-A4, Class B1, 2.57%, 07/25/35(c) | 383 | 377,739 | ||||||
Series 2020-5, Class B3, 3.62%, 12/25/50(a)(c) | 3,858 | 3,534,403 | ||||||
Series 2021-INV5, Class A2A, 2.50%, 12/25/51(a)(c) | 18,810 | 17,394,409 | ||||||
Series 2021-INV7, Class A3A, 2.50%, 02/25/52(a)(c) | 17,661 | 16,802,342 |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) |
| |||||||
JPMorgan Mortgage Trust | ||||||||
Series 2021-INV7, Class A4A, 2.50%, 02/25/52(a)(c) | USD 6,218 | $ | 5,177,809 | |||||
Series 2021-INV7, Class B1, 3.27%, 02/25/52(a)(c) | 3,911 | 3,627,743 | ||||||
Series 2021-INV7, Class B2, 3.27%, 02/25/52(a)(c) | 918 | 831,394 | ||||||
Series 2021-INV7, Class B3, 3.27%, 02/25/52(a)(c) | 1,277 | 1,116,183 | ||||||
Series 2021-INV7, Class B4, 3.27%, 02/25/52(a)(c) | 678 | 562,993 | ||||||
Series 2021-INV7, Class B5, 3.27%, 02/25/52(a)(c) | 279 | 214,807 | ||||||
Series 2021-INV7, Class B6, 3.22%, 02/25/52(a)(c) | 918 | 421,606 | ||||||
Legacy Mortgage Asset Trust, Series 2020-SL1, Class A, 2.73%, 01/25/60(a)(b) | 321 | 318,769 | ||||||
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.15%), 1.61%, 12/25/37(c) | 31 | 32,799 | ||||||
Loan Revolving Advance Investment Trust, Series 2021-2, Class A1X, (1 mo. LIBOR US + 2.75%), 2.84%, 06/30/23(a)(c) | 10,000 | 9,903,222 | ||||||
LSTAR Securities Investment Ltd., Series 2019-3, Class A1, (1 mo. LIBOR US + 2.50%), 2.96%, 04/01/24(a)(c) | 2,479 | 2,540,445 | ||||||
MASTR Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37(a)(c) | 1,004 | 929,784 | ||||||
MCM Trust | ||||||||
Series 2021-VFN1, Class Cert, 3.00%, 08/25/28(d) | 1,032 | 684,042 | ||||||
Series 2021-VFN1, Class Note, 3.00%, 08/25/28(d) | 2,489 | 2,488,737 | ||||||
Mello Warehouse Securitization Trust | ||||||||
Series 2020-2, Class F, (1 mo. LIBOR US + 3.25%), 3.71%, 11/25/53(a)(c) | 1,200 | 1,194,962 | ||||||
Series 2021-2, Class E, (1 mo. LIBOR US + 2.75%), 3.21%, 04/25/55(a)(c) | 3,800 | 3,758,106 | ||||||
MFA Trust, Series 2021-INV1, Class M1, 2.29%, 01/25/56(a)(c) | 700 | 661,748 | ||||||
MFRA Trust, Series 2022-CHM1, Class A1, 3.88%, 09/25/56(a)(b) | 8,458 | 8,348,068 | ||||||
Mortgage Loan Resecuritization Trust, | ||||||||
Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.34%), 0.57%, 04/16/36(a)(c) | 253 | 239,778 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
Series 2019-2A, Class A1, 4.25%, 12/25/57(a)(c) | 1,719 | 1,740,556 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust | ||||||||
Series 2005-AP1, Class 2A4, 6.05%, 02/25/35(b) | 396 | 401,026 | ||||||
Series 2007-2, Class A4, (1 mo. LIBOR US + 0.42%), 0.88%, 06/25/37(c) | 663 | 585,938 | ||||||
NYMT Loan Trust, Series 2020-SP2, Class A1, 2.94%, 10/25/60(a)(c) | 7,129 | 6,978,892 | ||||||
OBX Trust, Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59(a)(c) | 492 | 486,642 | ||||||
Preston Ridge Partners Mortgage LLC | ||||||||
Series 2021-4, Class A1, 1.87%, 04/25/26(a)(b) | 4,240 | 4,035,540 | ||||||
Series 2022-1, Class A1, 3.72%, 02/25/27(a)(b) | 4,920 | 4,832,571 | ||||||
RALI Trust | ||||||||
Series 2005-QA10, Class A21, 3.57%, 09/25/35(c) | 5,360 | 2,697,378 |
42 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) |
| |||||||
RALI Trust | ||||||||
Series 2006-QO10, Class A1, (1 mo. LIBOR US + 0.32%), 0.78%, 01/25/37(c) | USD 2,087 | $ | 1,968,579 | |||||
RCKT Mortgage Trust, Series 2020-1, Class B4, 3.49%, 02/25/50(a)(c) | 964 | 907,339 | ||||||
RCO VI Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/27(a)(b) | 21,336 | 20,677,894 | ||||||
Reperforming Loan REMIC Trust | ||||||||
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.34%), 0.80%, 06/25/35(a)(c) | 408 | 397,635 | ||||||
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.40%), 0.86%, 09/25/35(a)(c) | 588 | 523,606 | ||||||
Residential Mortgage Loan Trust, Series 2019-3, Class B2, 5.66%, 09/25/59(a)(c) | 2,900 | 2,780,629 | ||||||
RFMSI Series Trust, Series 2005-SA4, Class 2A1, 3.17%, 09/25/35(c) | 2,309 | 1,726,460 | ||||||
RFMSI Series Trust, Series 2006-SA2, Class 2A1, 4.45%, 08/25/36(c) | 518 | 392,186 | ||||||
RMF Buyout Issuance Trust | ||||||||
Series 2021-HB1, Class M3, 3.69%, 11/25/31(a)(c) | 3,379 | 3,189,192 | ||||||
Series 2021-HB1, Class M6, 6.00%, 11/25/31(a)(c)(d) | 1,051 | 912,883 | ||||||
Starwood Mortgage Residential Trust | ||||||||
Series 2020-3, Class B1, 4.75%, 04/25/65(a)(c) | 2,820 | 2,774,671 | ||||||
Series 2020-INV1, Class B1, 3.26%, 11/25/55(a) | 260 | 253,956 | ||||||
Series 2020-INV1, Class M1, 2.50%, 11/25/55(a) | 2,688 | 2,638,335 | ||||||
Series 2021-1, Class B1, 3.52%, 05/25/65(a)(c) | 648 | 622,571 | ||||||
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.42%), 0.88%, 05/25/46(c) | 32 | 22,439 | ||||||
Structured Asset Securities Corp. | ||||||||
Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.35%), 0.81%, 06/25/35(a)(c) | 902 | 827,258 | ||||||
Series 2005-RF5, Class 2A, 3.26%, 07/25/35(a)(c) | 2,327 | 2,270,061 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||||
Series 2006-RF3, Class 1A2, 6.00%, 10/25/36(a) | 4,323 | 2,900,150 | ||||||
Series 2006-RF4, Class 2A1, 6.00%, 10/25/36(a) | 1,335 | 951,501 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
Series 2006-3, Class A1, 2.39%, 06/25/46(c) | 1,172 | 913,022 | ||||||
Toorak Mortgage Corp. | ||||||||
Series 2019-2, Class A1, 3.72%, 09/25/22(b) | 2,291 | 2,274,254 | ||||||
Series 2021-INV2, Class B1, 4.10%, 11/25/56(a)(c) | 3,755 | 3,407,945 | ||||||
TVC Mortgage Trust, Series 2020-RTL1, Class A1, 3.47%, 09/25/24(a) | 212 | 212,043 | ||||||
Verus Securitization Trust | ||||||||
Series 2019-4, Class B1, 3.86%, 11/25/59(a)(c) | 800 | 796,269 | ||||||
Series 2020-4, Class B1, 5.05%, 05/25/65(a)(c) | 2,600 | 2,580,286 | ||||||
Series 2020-5, Class M1, 2.60%, 05/25/65(a)(c) | 264 | 250,999 | ||||||
Series 2021-1, Class M1, 1.97%, 01/25/66(a)(c) | 3,000 | 2,844,844 | ||||||
Series 2021-R1, Class M1, 2.34%, 10/25/63(a) | 3,250 | 3,148,414 | ||||||
Series 2021-R2, Class B1, 3.25%, 02/25/64(a)(c) | 265 | 257,429 | ||||||
Series 2022-1, Class B1, 4.01%, 01/25/67(a)(c) | 1,507 | 1,352,607 | ||||||
Visio Trust, Series 2019-2, Class B1, 3.91%, 11/25/54(a)(c) | 100 | 95,895 |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) |
| |||||||
Vista Point Securitization Trust | ||||||||
Series 2020-1, Class B1, 5.38%, 03/25/65(a)(c) | USD 1,000 | $ | 991,424 | |||||
Series 2020-2, Class A3, 2.50%, 04/25/65(a)(c) | 192 | 186,499 | ||||||
Series 2020-2, Class M1, 3.40%, 04/25/65(a)(c) | 170 | 164,307 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
Series 2005-9, Class 5A6, (1 mo. LIBOR US + 0.55%), 1.01%, 11/25/35(c) | 417 | 295,482 | ||||||
Series 2005-9, Class 5A9, 5.50%, 11/25/35 | 171 | 152,620 | ||||||
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | 185 | 182,901 | ||||||
Series 2006-4, Class 3A1, 7.00%, 05/25/36(b) | 112 | 107,577 | ||||||
Series 2006-AR1, Class A1A, (1 mo. LIBOR US + 0.50%), 0.96%, 02/25/36(c) | 1,351 | 1,205,887 | ||||||
Series 2006-AR5, Class A1A, (12 mo. Federal Reserve Cumulative Average US + 0.99%), 1.13%, 06/25/46(c) | 185 | 178,601 | ||||||
Series 2007-HY1, Class A2A, (1 mo. LIBOR US + 0.32%), 0.78%, 02/25/37(c) | 596 | 536,941 | ||||||
Series 2007-OA1, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.71%), 0.85%, 12/25/46(c) | 2,967 | 2,755,578 | ||||||
Series 2007-OA4, Class 2A, (Cost of Funds for the 11th District of San Francisco + 1.25%), 1.47%, 05/25/47(c) | 2,441 | 2,363,350 | ||||||
Series 2007-OA5, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.75%), 0.89%, 06/25/47(c) | 551 | 519,734 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR15, Class A1, 2.49%, 10/25/36(c) | 1,101 | 1,074,598 | ||||||
Western Alliance CLN, Series 2021-CL1, Class M, 5.63%, 12/28/24 | 8,540 | 8,539,237 | ||||||
Western Mortgage Reference Notes | ||||||||
Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 3.25%, 07/25/59(a)(c) | 10,713 | 10,660,565 | ||||||
Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 3.80%, 07/25/59(a)(c) | 10,776 | 10,723,856 | ||||||
WinWater Mortgage Loan Trust, Series 2014-3, Class B5, 3.97%, 11/20/44(a)(c) | 923 | 919,001 | ||||||
|
| |||||||
350,117,954 | ||||||||
Commercial Mortgage-Backed Securities — 25.4% | ||||||||
245 Park Avenue Trust | ||||||||
Series 2017-245P, Class A, 3.51%, 06/05/37(a) | 5,000 | 4,844,572 | ||||||
Series 2017-245P, Class C, 3.66%, 06/05/37(a)(c) | 3,000 | 2,854,884 | ||||||
Series 2017-245P, Class E, 3.66%, 06/05/37(a)(c) | 1,151 | 1,007,531 | ||||||
280 Park Avenue Mortgage Trust | ||||||||
Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 1.19%, 09/15/34(a)(c) | 5,000 | 4,975,667 | ||||||
Series 2017-280P, Class E, (1 mo. LIBOR US + 2.12%), 2.43%, 09/15/34(a)(c) | 1,705 | 1,682,089 | ||||||
Angel Oak SB Commercial Mortgage Trust, Series 2020-SBC1, Class A1, 2.07%, 05/25/50(a)(c) | 9,730 | 9,493,404 | ||||||
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.10%), 2.50%, 04/15/35(a)(c) | 644 | 623,045 | ||||||
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, (1 mo. LIBOR US + 1.05%), 1.45%, 09/15/32(a)(c) | 2,000 | 1,978,772 |
SCHEDULES OF INVESTMENTS | 43 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | ||||||||
Series 2015-200P, Class F, 3.60%, 04/14/33(a)(c) | USD 1,294 | $ | 1,212,324 | |||||
Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.90%), 1.30%, 11/15/32(a)(c) | 2,470 | 2,408,931 | ||||||
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.00%), 2.40%, 11/15/32(a)(c) | 1,090 | 901,550 | ||||||
BANK | ||||||||
Series 2019-BN22, Class A4, 2.98%, 11/15/62 | 3,000 | 2,918,986 | ||||||
Series 2020-BN28, Class A4, 1.84%, 03/15/63 | 4,200 | 3,735,508 | ||||||
Series 2021-BN33, Class A5, 2.56%, 05/15/64 | 1,999 | 1,874,672 | ||||||
Series 2021-BN35, Class A5, 2.29%, 06/15/64 | 744 | 679,894 | ||||||
Series 2021-BN37, Class A5, 2.62%, 11/15/64(c) | 2,485 | 2,338,221 | ||||||
Series 2022-BNK40, Class A4, 3.51%, 03/15/64(c) | 2,220 | 2,235,358 | ||||||
Barclays Commercial Mortgage Trust, Series 2019- C3, Class D, 3.00%, 05/15/52(a) | 3,014 | 2,474,894 | ||||||
Bayview Commercial Asset Trust | ||||||||
Series 2006-1A, Class A1, (1 mo. LIBOR US + 0.41%), 0.86%, 04/25/36(a)(c) | 7,868 | 7,317,727 | ||||||
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.54%), 1.00%, 04/25/36(a)(c) | 18 | 16,509 | ||||||
Series 2006-4A, Class A2, (1 mo. LIBOR US + 0.41%), 0.86%, 12/25/36(a)(c) | 1,649 | 1,561,013 | ||||||
Series 2006-SP2, Class A, (1 mo. LIBOR US + 0.42%), 0.88%, 01/25/37(a)(c) | 1,704 | 1,608,904 | ||||||
Series 2007-1, Class A2, (1 mo. LIBOR US + 0.27%), 0.73%, 03/25/37(a)(c) | 7,933 | 7,452,565 | ||||||
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 0.73%, 07/25/37(a)(c) | 36 | 33,976 | ||||||
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.45%), 0.91%, 09/25/37(a)(c) | 7,297 | 6,860,715 | ||||||
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 1.96%, 12/25/37(a)(c) | 4,429 | 4,296,306 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2017-DELC, Class F, (1 mo. LIBOR US + 3.50%), 3.90%, 08/15/36(a)(c) | 1,936 | 1,882,688 | ||||||
Series 2018-CHRS, Class E, 4.27%, 08/05/38(a)(c) | 1,000 | 799,279 | ||||||
Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 1.12%, 03/15/37(a)(c) | 5,000 | 4,877,139 | ||||||
Series 2021-C12, Class A5, 2.69%, 11/15/54 | 4,800 | 4,539,637 | ||||||
Series 2022-C15, Class A5, 3.66%, 04/15/55(c) | 1,930 | 1,976,399 | ||||||
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(a) | 397 | 392,444 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 4.88%, 02/11/41(c) | 228 | 226,082 | ||||||
Beast Mortgage Trust | ||||||||
Series 2021-SSCP, Class B, (1 mo. LIBOR US + 1.10%), 1.50%, 04/15/36(a)(c) | 278 | 269,621 | ||||||
Series 2021-SSCP, Class C, (1 mo. LIBOR US + 1.35%), 1.75%, 04/15/36(a)(c) | 337 | 326,944 | ||||||
Series 2021-SSCP, Class D, (1 mo. LIBOR US + 1.60%), 2.00%, 04/15/36(a)(c) | 324 | 314,337 | ||||||
Series 2021-SSCP, Class E, (1 mo. LIBOR US + 2.10%), 2.50%, 04/15/36(a)(c) | 278 | 269,796 | ||||||
Series 2021-SSCP, Class F, (1 mo. LIBOR US + 2.90%), 3.30%, 04/15/36(a)(c) | 262 | 255,473 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Beast Mortgage Trust | ||||||||
Series 2021-SSCP, Class G, (1 mo. LIBOR US + 3.80%), 4.20%, 04/15/36(a)(c) | USD 293 | $ | 287,326 | |||||
Series 2021-SSCP, Class H, (1 mo. LIBOR US + 4.90%), 5.30%, 04/15/36(a)(c) | 216 | 211,844 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2018-B5, Class C, 4.61%, 07/15/51(c) | 3,162 | 3,175,014 | ||||||
Series 2019-B10, Class 3CCA, 3.90%, 03/15/62(a)(c) | 349 | 332,408 | ||||||
Series 2019-B15, Class A5, 2.93%, 12/15/72 | 4,747 | 4,596,112 | ||||||
Series 2020-B19, Class A5, 1.85%, 09/15/53 | 3,300 | 2,946,395 | ||||||
Series 2020-B21, Class A5, 1.98%, 12/17/53 | 2,790 | 2,500,963 | ||||||
Series 2021-B24, Class A5, 2.58%, 03/15/54 | 3,000 | 2,819,529 | ||||||
Series 2021-B26, Class A5, 2.61%, 06/15/54 | 4,000 | 3,767,454 | ||||||
Series 2022-B34, Class A5, 3.79%, 04/15/55 | 2,837 | 2,921,981 | ||||||
BFLD Trust, Series 2020-EYP, Class E, (1 mo. LIBOR US + 3.70%), 4.10%, 10/15/35(a)(c) | 2,000 | 1,967,564 | ||||||
BHMS | ||||||||
Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.25%), 1.65%, 07/15/35(a)(c) | 2,850 | 2,820,412 | ||||||
Series 2018-ATLS, Class C, (1 mo. LIBOR US + 1.90%), 2.30%, 07/15/35(a)(c) | 2,600 | 2,554,435 | ||||||
BPR Trust, Series 2021-TY, Class E, (1 mo. LIBOR US + 3.60%), 4.00%, 09/15/38(a)(c) | 3,138 | 3,082,847 | ||||||
BWAY Mortgage Trust | ||||||||
Series 2013-1515, Class A2, 3.45%, 03/10/33(a) | 1,696 | 1,683,449 | ||||||
Series 2013-1515, Class C, 3.45%, 03/10/33(a) | 250 | 240,313 | ||||||
BX Commercial Mortgage Trust | ||||||||
Series 2018-BIOA, Class A, (1 mo. LIBOR US + 0.67%), 1.07%, 03/15/37(a)(c) | 2,272 | 2,253,451 | ||||||
Series 2018-BIOA, Class B, (1 mo. LIBOR US + 0.87%), 1.27%, 03/15/37(a)(c) | 2,272 | 2,249,114 | ||||||
Series 2018-BIOA, Class D, (1 mo. LIBOR US + 1.32%), 1.72%, 03/15/37(a)(c) | 373 | 366,984 | ||||||
Series 2018-BIOA, Class E, (1 mo. LIBOR US + 1.95%), 2.35%, 03/15/37(a)(c) | 3,365 | 3,310,430 | ||||||
Series 2018-IND, Class H, (1 mo. LIBOR US + 3.00%), 3.40%, 11/15/35(a)(c) | 700 | 691,340 | ||||||
Series 2019-XL, Class A, (1 mo. LIBOR US + 0.92%), 1.32%, 10/15/36(a)(c) | 2,624 | 2,612,252 | ||||||
Series 2019-XL, Class D, (1 mo. LIBOR US + 1.45%), 1.85%, 10/15/36(a)(c) | 2,550 | 2,525,946 | ||||||
Series 2019-XL, Class G, (1 mo. LIBOR US + 2.30%), 2.70%, 10/15/36(a)(c) | 4,250 | 4,159,443 | ||||||
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 3.05%, 10/15/36(a)(c) | 6,417 | 6,266,319 | ||||||
Series 2020-FOX, Class E, (1 mo. LIBOR US + 3.60%), 4.00%, 11/15/32(a)(c) | 1,658 | 1,643,772 | ||||||
Series 2020-VIV2, Class C, 3.54%, 03/09/44(a)(c) | 2,204 | 2,015,184 | ||||||
Series 2020-VIVA, Class D, 3.55%, 03/11/44(a)(c) | 3,000 | 2,689,733 | ||||||
Series 2020-VKNG, Class F, (1 mo. LIBOR US + 2.75%), 3.15%, 10/15/37(a)(c) | 1,645 | 1,596,049 | ||||||
Series 2021-21M, Class E, (1 mo. LIBOR US + 2.17%), 2.57%, 10/15/36(a)(c) | 6,185 | 5,965,719 | ||||||
Series 2021-CIP, Class E, (1 mo. LIBOR US + 2.82%), 3.22%, 12/15/38(a)(c) | 4,758 | 4,614,653 | ||||||
Series 2021-MC, Class E, (1 mo. LIBOR US + 2.10%), 2.50%, 04/15/34(a)(c) | 1,793 | 1,741,291 | ||||||
Series 2021-MC, Class F, (1 mo. LIBOR US + 2.35%), 2.75%, 04/15/34(a)(c) | 1,875 | 1,800,554 |
44 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
BX Commercial Mortgage Trust | ||||||||
Series 2021-NWM, Class A, (1 mo. LIBOR US + 0.91%), 1.31%, 02/15/33(a)(c)(d) | USD 1,269 | $ | 1,256,310 | |||||
Series 2021-NWM, Class B, (1 mo. LIBOR US + 2.15%), 2.55%, 02/15/33(a)(c)(d) | 744 | 736,560 | ||||||
Series 2021-NWM, Class C, (1 mo. LIBOR US + 4.25%), 4.65%, 02/15/33(a)(c)(d) | 491 | 486,090 | ||||||
Series 2021-VINO, Class A, (1 mo. LIBOR US + 0.65%), 1.05%, 05/15/38(a)(c) | 4,950 | 4,826,074 | ||||||
Series 2021-VINO, Class F, (1 mo. LIBOR US + 2.80%), 3.20%, 05/15/38(a)(c) | 7,100 | 6,851,163 | ||||||
Series 2021-VIV5, Class A, 2.84%, 03/09/44(a)(c) | 1,522 | 1,434,793 | ||||||
Series 2021-XL2, Class F, (1 mo. LIBOR US + 2.24%), 2.64%, 10/15/38(a)(c) | 4,941 | 4,792,411 | ||||||
Series 2022-LP2, Class F, (1 mo. CME Term SOFR + 3.26%), 3.56%, 02/15/39(a)(c) | 2,396 | 2,335,959 | ||||||
BX Trust | ||||||||
Series 2019-CALM, Class E, (1 mo. LIBOR US + 2.00%), 2.40%, 11/15/32(a)(c) | 3,000 | 2,930,632 | ||||||
Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | 3,757 | 3,626,880 | ||||||
Series 2021-ARIA, Class C, (1 mo. LIBOR US + 1.65%), 2.04%, 10/15/36(a)(c) | 150 | 146,806 | ||||||
Series 2021-ARIA, Class D, (1 mo. LIBOR US + 1.90%), 2.29%, 10/15/36(a)(c) | 1,249 | 1,220,773 | ||||||
Series 2021-ARIA, Class G, (1 mo. LIBOR US + 3.14%), 3.54%, 10/15/36(a)(c) | 7,890 | 7,593,661 | ||||||
Series 2021-SDMF, Class E, (1 mo. LIBOR US + 1.59%), 1.98%, 09/15/34(a)(c) | 3,980 | 3,776,513 | ||||||
Series 2021-SDMF, Class J, (1 mo. LIBOR US + 4.03%), 4.43%, 09/15/34(a)(c) | 1,764 | 1,705,421 | ||||||
Series 2021-SOAR, Class G, (1 mo. LIBOR US + 2.80%), 3.20%, 06/15/38(a)(c) | 5,391 | 5,218,566 | ||||||
Series 2021-SOAR, Class J, (1 mo. LIBOR US + 3.75%), 4.15%, 06/15/38(a)(c) | 4,750 | 4,574,222 | ||||||
Series 2021-VIEW, Class E, (1 mo. LIBOR US + 3.60%), 4.00%, 06/15/23(a)(c) | 7,397 | 7,136,072 | ||||||
Series 2022-LBA6, Class D, (1 mo. CME Term SOFR + 2.00%), 2.30%, 01/15/39(a)(c) | 2,150 | 2,110,812 | ||||||
BXP Trust | ||||||||
Series 2017-GM, Class B, 3.43%, 06/13/39(a)(c) | 265 | 257,684 | ||||||
Series 2021-601L, Class D, 2.78%, 01/15/44(a)(c) | 1,554 | 1,247,471 | ||||||
CAMB Commercial Mortgage Trust | ||||||||
Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.75%), 2.15%, 12/15/37(a)(c) | 1,000 | 983,714 | ||||||
Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.15%), 2.55%, 12/15/37(a)(c) | 2,269 | 2,229,083 | ||||||
CD Mortgage Trust, Series 2016-CD1, Class A3, 2.46%, 08/10/49 | 4,339 | 4,157,252 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
Series 2016-C4, Class C, 4.85%, 05/10/58(c) | 130 | 128,371 | ||||||
Series 2018-TAN, Class A, 4.24%, 02/15/33(a) | 1,000 | 1,004,939 | ||||||
Series 2018-TAN, Class B, 4.69%, 02/15/33(a) | 1,081 | 1,083,387 | ||||||
Series 2018-TAN, Class C, 5.30%, 02/15/33(a) | 1,050 | 1,052,626 | ||||||
CFK Trust | ||||||||
Series 2019-FAX, Class D, 4.64%, 01/15/39(a)(c) | 2,500 | 2,431,973 | ||||||
Series 2019-FAX, Class E, 4.64%, 01/15/39(a)(c) | 2,500 | 2,349,491 | ||||||
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.93%), 1.33%, 11/15/36(a)(c) | 230 | 229,136 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2013-375P, Class C, 3.52%, 05/10/35(a)(c) | USD 100 | $ | 98,934 | |||||
Series 2015-GC27, Class C, 4.42%, 02/10/48(c) | 491 | 476,975 | ||||||
Series 2016-P3, Class A4, 3.33%, 04/15/49 | 2,635 | 2,625,943 | ||||||
Series 2017-P7, Class A4, 3.71%, 04/14/50 | 6,000 | 6,072,896 | ||||||
Series 2019-PRM, Class E, 4.73%, 05/10/36(a)(c) | 3,000 | 2,941,183 | ||||||
Series 2019-SMRT, Class A, 4.15%, 01/10/36(a) | 2,000 | 2,023,458 | ||||||
Series 2019-SMRT, Class D, 4.75%, 01/10/36(a)(c) | 3,000 | 2,998,645 | ||||||
Cold Storage Trust | ||||||||
Series 2020-ICE5, Class A, (1 mo. LIBOR US + 0.90%), 1.30%, 11/15/37(a)(c) | 4,915 | 4,857,419 | ||||||
Series 2020-ICE5, Class E, (1 mo. LIBOR US + 2.77%), 3.16%, 11/15/37(a)(c) | 1,966 | 1,943,869 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2013-GAM, Class A2, 3.37%, 02/10/28(a) | 837 | 832,599 | ||||||
Series 2013-GAM, Class B, 3.42%, 02/10/28(a)(c) | 1,500 | 1,454,512 | ||||||
Series 2013-WWP, Class D, 3.90%, 03/10/31(a) | 110 | 111,375 | ||||||
Series 2015-CR23, Class A4, 3.50%, 05/10/48 | 2,000 | 2,006,125 | ||||||
Series 2015-CR26, Class A4, 3.63%, 10/10/48 | 3,535 | 3,554,025 | ||||||
Series 2015-LC19, Class D, 2.87%, 02/10/48(a) | 87 | 78,875 | ||||||
Series 2015-PC1, Class B, 4.32%, 07/10/50(c) | 3,175 | 3,165,475 | ||||||
Series 2016-667M, Class D, 3.18%, 10/10/36(a)(c) | 500 | 438,957 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
Series 2019-ICE4, Class A, (1 mo. LIBOR US + 0.98%), 1.38%, 05/15/36(a)(c) | 9,475 | 9,423,838 | ||||||
Series 2019-ICE4, Class B, (1 mo. LIBOR US + 1.23%), 1.63%, 05/15/36(a)(c) | 4,810 | 4,761,558 | ||||||
Series 2019-ICE4, Class E, (1 mo. LIBOR US + 2.15%), 2.55%, 05/15/36(a)(c) | 6,331 | 6,212,121 | ||||||
Series 2019-ICE4, Class F, (1 mo. LIBOR US + 2.65%), 3.05%, 05/15/36(a)(c) | 8,897 | 8,695,672 | ||||||
Credit Suisse Mortgage Trust | ||||||||
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 12/15/30(a)(c) | 240 | 238,347 | ||||||
Series 2020-FACT, Class E, (1 mo. LIBOR US + 4.86%), 5.26%, 10/15/37(a)(c) | 2,000 | 2,002,404 | ||||||
Series 2021-980M, Class D, 3.54%, 07/15/31(a)(c) | 3,364 | 3,076,629 | ||||||
Series 2021-980M, Class E, 3.54%, 07/15/31(a)(c) | 2,195 | 1,930,266 | ||||||
Series 2021-BHAR, Class E, (1 mo. LIBOR US + 3.50%), 3.90%, 11/15/38(a)(c) | 633 | 633,000 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2016-C6, Class C, 4.92%, 01/15/49(c) | 10 | 9,789 | ||||||
Series 2018-C14, Class A4, 4.42%, 11/15/51(c) | 4,219 | 4,418,886 | ||||||
Series 2019-C16, Class A3, 3.33%, 06/15/52 | 2,000 | 1,969,691 | ||||||
Series 2019-C16, Class C, 4.24%, 06/15/52(c) | 1,622 | 1,519,402 | ||||||
DBGS Mortgage Trust | ||||||||
Series 2018-5BP, Class A, (1 mo. LIBOR US + 0.80%), 1.19%, 06/15/33(a)(c) | 5,000 | 4,946,693 | ||||||
Series 2018-BIOD, Class A, (1 mo. LIBOR US + 0.80%), 1.11%, 05/15/35(a)(c) | 4,569 | 4,540,261 | ||||||
Series 2018-BIOD, Class D, (1 mo. LIBOR US + 1.30%), 1.61%, 05/15/35(a)(c) | 3,198 | 3,162,118 | ||||||
Series 2018-BIOD, Class F, (1 mo. LIBOR US + 2.00%), 2.31%, 05/15/35(a)(c) | 3,052 | 2,974,821 |
SCHEDULES OF INVESTMENTS | 45 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
DBGS Mortgage Trust | ||||||||
Series 2018-BIOD, Class G, (1 mo. LIBOR US + 2.50%), 2.81%, 05/15/35(a)(c) | USD 429 | $ | 415,474 | |||||
Series 2019-1735, Class F, 4.20%, 04/10/37(a)(c) | 160 | 132,988 | ||||||
Deutsche Bank UBS Mortgage Trust | ||||||||
Series 2017-BRBK, Class A, 3.45%, 10/10/34(a) | 2,670 | 2,656,011 | ||||||
Series 2017-BRBK, Class D, 3.53%, 10/10/34(a)(c) | 990 | 953,452 | ||||||
Series 2017-BRBK, Class F, 3.53%, 10/10/34(a)(c) | 1,524 | 1,419,893 | ||||||
ELP Commercial Mortgage Trust | ||||||||
Series 2021-ELP, Class G, (1 mo. LIBOR US + 3.12%), 3.51%, 11/15/38(a)(c) | 6,602 | 6,452,119 | ||||||
Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 4.01%, 11/15/38(a)(c) | 2,557 | 2,499,486 | ||||||
Extended Stay America Trust | ||||||||
Series 2021-ESH, Class D, (1 mo. LIBOR US + 2.25%), 2.65%, 07/15/38(a)(c) | 5,357 | 5,276,320 | ||||||
Series 2021-ESH, Class E, (1 mo. LIBOR US + 2.85%), 3.25%, 07/15/38(a)(c) | 3,469 | 3,409,859 | ||||||
Series 2021-ESH, Class F, (1 mo. LIBOR US + 3.70%), 4.10%, 07/15/38(a)(c) | 3,618 | 3,535,763 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2018-K74, Class B, 4.09%, 02/25/51(a)(c) | 2,150 | 2,164,290 | ||||||
Series 2018-W5FX, Class CFX, 3.42%, 04/25/28(a)(c) | 4,100 | 3,875,620 | ||||||
Series 2020-K105, Class B, 3.53%, 03/25/53(a)(c) | 2,905 | 2,807,399 | ||||||
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A, (1 mo. LIBOR US + 0.80%), 1.20%, 02/15/38(a)(c) | 2,730 | 2,683,521 | ||||||
Grace Trust, Series 2020-GRCE, Class F, 2.68%, 12/10/40(a)(c) | 2,000 | 1,570,223 | ||||||
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51(c) | 4,100 | 4,257,506 | ||||||
GS Mortgage Securities Corp. Trust | ||||||||
Series 2019-BOCA, Class A, (1 mo. LIBOR US + 1.20%), 1.60%, 06/15/38(a)(c) | 1,461 | 1,460,586 | ||||||
Series 2021-DM, Class F, (1 mo. LIBOR US + 3.44%), 3.83%, 11/15/36(a)(c) | 1,212 | 1,180,745 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2015-GC32, Class C, 4.42%, 07/10/48(c) | 410 | 402,579 | ||||||
Series 2015-GC32, Class D, 3.35%, 07/10/48 | 53 | 46,626 | ||||||
Series 2017-GS6, Class A3, 3.43%, 05/10/50 | 2,000 | 1,996,104 | ||||||
Series 2019-GSA1, Class A4, 3.05%, 11/10/52 | 2,587 | 2,517,102 | ||||||
Series 2019-GSA1, Class C, 3.80%, 11/10/52(c) | 5,000 | 4,703,435 | ||||||
GSCG Trust | ||||||||
Series 2019-600C, Class A, 2.94%, 09/06/34(a) | 5,000 | 4,897,563 | ||||||
Series 2019-600C, Class F, 3.99%, 09/06/34(a)(c) | 2,000 | 1,850,184 | ||||||
Harvest Commercial Capital Loan Trust, Series 2020-1, Class M4, 5.96%, 04/25/52(a)(c) | 669 | 618,353 | ||||||
HONO Mortgage Trust | ||||||||
Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 3.75%, 10/15/36(a)(c) | 1,968 | 1,930,993 | ||||||
Series 2021-LULU, Class F, (1 mo. LIBOR US + 4.40%), 4.80%, 10/15/36(a)(c) | 1,629 | 1,597,179 | ||||||
Houston Galleria Mall Trust, Series 2015-HGLR, Class D, 3.98%, 03/05/37(a) | 578 | 538,304 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Hudson Yards Mortgage Trust |
| |||||||
Series 2019-30HY, Class E, 3.44%, 07/10/39(a)(c) | USD 2,000 | $ | 1,845,323 | |||||
Series 2019-55HY, Class F, 2.94%, 12/10/41(a)(c) | 1,000 | 836,581 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.11%, 12/15/48(a)(c) | 1,190 | 1,085,172 | ||||||
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4, 3.06%, 11/13/52 | 1,968 | 1,919,251 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2015-JP1, Class C, 4.72%, 01/15/49(c) | 315 | 314,513 | ||||||
Series 2016-JP2, Class A4, 2.82%, 08/15/49 | 3,655 | 3,572,107 | ||||||
Series 2016-NINE, Class A, 2.85%, 09/06/38(a)(c) | 2,371 | 2,293,859 | ||||||
Series 2017-JP5, Class D, 4.60%, 03/15/50(a)(c) | 129 | 116,434 | ||||||
Series 2018-PHH, Class A, (1 mo. LIBOR US + 1.06%), 2.56%, 06/15/35(a)(c) | 4,845 | 4,767,262 | ||||||
Series 2019-COR5, Class C, 3.75%, 06/13/52 | 1,030 | 962,501 | ||||||
Series 2019-MFP, Class F, (1 mo. LIBOR US + 3.00%), 3.40%, 07/15/36(a)(c) | 1,000 | 968,826 | ||||||
Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 3.17%, 10/15/33(a)(c) | 700 | 677,600 | ||||||
Series 2021-MHC, Class E, (1 mo. LIBOR US + 2.45%), 2.85%, 04/15/38(a)(c) | 1,000 | 969,850 | ||||||
Series 2022-OPO, Class D, 3.45%, 01/05/39(a)(c) | 2,865 | 2,530,892 | ||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, (1 mo. LIBOR US + 1.80%), 2.20%, 05/15/36(a)(c) | 1,159 | 1,142,236 | ||||||
Lehman Brothers Small Balance Commercial Mortgage Trust | ||||||||
Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.25%), 0.71%, 03/25/37(a)(c) | 60 | 60,101 | ||||||
Series 2007-2A, Class M1, (1 mo. LIBOR US + 0.40%), 0.86%, 06/25/37(a)(c) | 978 | 936,545 | ||||||
Series 2007-3A, Class M2, (1 mo. LIBOR US + 2.00%), 2.46%, 10/25/37(a)(c) | 3,340 | 2,961,271 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%), 1.10%, 03/15/38(a)(c) | 1,946 | 1,902,432 | ||||||
LUXE Trust, Series 2021-TRIP, Class E, (1 mo. LIBOR US + 2.75%), 3.15%, 10/15/38(a)(c) | 654 | 641,193 | ||||||
Med Trust | ||||||||
Series 2021-MDLN, Class F, (1 mo. LIBOR US + 4.00%), 4.40%, 11/15/38(a)(c) | 2,200 | 2,147,549 | ||||||
Series 2021-MDLN, Class G, (1 mo. LIBOR US + 5.25%), 5.65%, 11/15/38(a)(c) | 21,012 | 20,516,211 | ||||||
MF1, Series 2021-W10, Class G, (1 mo. CME Term SOFR + 4.22%), 4.52%, 12/15/34(a)(c) | 560 | 559,300 | ||||||
MHC Commercial Mortgage Trust | ||||||||
Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 1.20%, 04/15/38(a)(c) | 1,950 | 1,918,272 | ||||||
Series 2021-MHC, Class F, (1 mo. LIBOR US + 2.60%), 3.00%, 04/15/38(a)(c) | 2,500 | 2,437,230 | ||||||
Series 2021-MHC2, Class A, (1 mo. LIBOR US + 0.85%), 1.25%, 05/15/23(a)(c) | 5,000 | 4,904,051 | ||||||
MHP | ||||||||
Series 2021-STOR, Class G, (1 mo. LIBOR US + 2.75%), 3.15%, 07/15/38(a)(c) | 2,146 | 2,070,559 |
46 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
MHP | ||||||||
Series 2021-STOR, Class J, (1 mo. LIBOR US + 3.95%), 4.35%, 07/15/38(a)(c) | USD 2,846 | $ | 2,774,286 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2015-C23, Class D, 4.14%, 07/15/50(a)(c) | 233 | 216,886 | ||||||
Series 2015-C25, Class A5, 3.64%, 10/15/48 | 1,455 | 1,464,268 | ||||||
Series 2015-C26, Class C, 4.38%, 10/15/48(c) | 1,000 | 981,183 | ||||||
Series 2015-C26, Class D, 3.06%, 10/15/48(a) | 156 | 139,475 | ||||||
Series 2016-C32, Class A4, 3.72%, 12/15/49 | 1,060 | 1,075,020 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2015-MS1, Class A4, 3.78%, 05/15/48(c) | 2,000 | 2,016,049 | ||||||
Series 2015-MS1, Class C, 4.04%, 05/15/48(c) | 20 | 18,918 | ||||||
Series 2017-CLS, Class A, (1 mo. LIBOR US + 0.70%), 1.10%, 11/15/34(a)(c) | 4,330 | 4,309,466 | ||||||
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.60%), 3.00%, 11/15/34(a)(c) | 843 | 832,444 | ||||||
Series 2017-H1, Class B, 4.08%, 06/15/50 | 2,400 | 2,380,244 | ||||||
Series 2017-H1, Class C, 4.28%, 06/15/50(c)(d) | 829 | 851,051 | ||||||
Series 2017-H1, Class D, 2.55%, 06/15/50(a) | 1,010 | 803,837 | ||||||
Series 2017-HR2, Class D, 2.73%, 12/15/50 | 160 | 130,136 | ||||||
Series 2018-H3, Class C, 4.86%, 07/15/51(c) | 450 | 459,546 | ||||||
Series 2018-MP, Class E, 4.28%, 07/11/40(a)(c) | 2,184 | 1,827,306 | ||||||
Series 2018-SUN, Class D, (1 mo. LIBOR US + 1.65%), 2.05%, 07/15/35(a)(c) | 1,000 | 981,149 | ||||||
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 2.95%, 07/15/35(a)(c) | 335 | 324,900 | ||||||
Series 2019-H7, Class AS, 3.52%, 07/15/52 | 1,900 | 1,867,097 | ||||||
Series 2019-H7, Class C, 4.13%, 07/15/52 | 5,000 | 4,854,865 | ||||||
Series 2019-H7, Class D, 3.00%, 07/15/52(a) | 3,000 | 2,458,474 | ||||||
Morgan Stanley Mortgage Capital Trust, Series 2017-237P, Class A, 3.40%, 09/13/39(a) | 5,400 | 5,243,569 | ||||||
Motel Trust, Series 2021-MTL6, Class F, (1 mo. LIBOR US + 3.55%), 3.95%, 09/15/38(a)(c) | 2,355 | 2,296,863 | ||||||
MSCG Trust, Series 2018-SELF, Class E, (1 mo. LIBOR US + 2.15%), 2.55%, 10/15/37(a)(c) | 4,776 | 4,695,139 | ||||||
MTN Commercial Mortgage Trust | ||||||||
Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 1.45%, 03/15/39(a)(c) | 3,720 | 3,703,684 | ||||||
Series 2022-LPFL, Class F, (1 mo. CME Term SOFR + 5.29%), 5.34%, 03/15/39(a)(c) | 3,220 | 3,200,080 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2017-75B, Class A, 3.86%, 04/10/37(a) | 1,850 | 1,861,651 | ||||||
Olympic Tower Mortgage Trust | ||||||||
Series 2017-OT, Class A, 3.57%, 05/10/39(a) | 4,200 | 4,094,538 | ||||||
Series 2017-OT, Class D, 3.95%, 05/10/39(a)(c) | 1,080 | 951,679 | ||||||
Series 2017-OT, Class E, 3.95%, 05/10/39(a)(c) | 498 | 413,772 | ||||||
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54(a) | 3,442 | 3,183,437 | ||||||
PKHL Commercial Mortgage Trust | ||||||||
Series 2021-MF, Class F, (1 mo. LIBOR US + 3.35%), 3.75%, 07/15/38(a)(c) | 1,824 | 1,755,119 | ||||||
Series 2021-MF, Class G, (1 mo. LIBOR US + 4.35%), 4.75%, 07/15/38(a)(c) | 1,967 | 1,894,257 | ||||||
Prima Capital CRE Securitization Ltd., Series 2020-8A, Class C, 3.00%, 12/01/70(a)(d) | 4,544 | 4,024,621 | ||||||
Ready Capital Mortgage Financing LLC, Series 2021-FL5, Class A, (1 mo. LIBOR US + 1.00%), 1.46%, 04/25/38(a)(c) | 2,972 | 2,942,786 | ||||||
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/48 | 2,000 | 1,910,348 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
SG Commercial Mortgage Securities Trust Series 2019-PREZ, Class E, 3.48%, 09/15/39(a)(c) | USD 2,000 | $ | 1,750,020 | |||||
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 07/15/41(a) | 8,300 | 7,716,803 | ||||||
SMRT, Series 2022-MINI, Class E, (1 mo. CME Term SOFR + 2.70%), 3.00%, 01/15/24(a)(c) | 847 | 832,135 | ||||||
SREIT Trust | ||||||||
Series 2021-MFP, Class F, (1 mo. LIBOR US + 2.62%), 3.02%, 11/15/38(a)(c) | 2,960 | 2,852,384 | ||||||
Series 2021-MFP2, Class F, (1 mo. LIBOR US + 2.62%), 3.02%, 11/15/36(a)(c) | 2,226 | 2,170,111 | ||||||
Series 2021-MFP2, Class J, (1 mo. LIBOR US + 3.92%), 4.31%, 11/15/36(a)(c) | 748 | 731,602 | ||||||
STWD Trust | ||||||||
Series 2021-FLWR, Class B, (1 mo. LIBOR US + 0.93%), 1.32%, 07/15/36(a)(c) | 7,000 | 6,789,675 | ||||||
Series 2021-FLWR, Class E, (1 mo. LIBOR US + 1.92%), 2.32%, 07/15/36(a)(c) | 1,738 | 1,664,023 | ||||||
Series 2021-FLWR, Class G, (1 mo. LIBOR US + 3.67%), 4.07%, 07/15/23(a)(c) | 4,188 | 3,999,269 | ||||||
TPGI Trust | ||||||||
Series 2021-DGWD, Class F, (1 mo. LIBOR US + 3.00%), 3.40%, 06/15/26(a)(c) | 1,700 | 1,651,989 | ||||||
Series 2021-DGWD, Class G, (1 mo. LIBOR US + 3.85%), 4.25%, 06/15/26(a)(c) | 1,700 | 1,649,729 | ||||||
TTAN, Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.85%), 1.25%, 03/15/38(a)(c) | 1,997 | 1,968,804 | ||||||
Velocity Commercial Capital Loan Trust | ||||||||
Series 2019-2, Class M2, 3.39%, 07/25/49(a)(c) | 2,181 | 2,129,583 | ||||||
Series 2019-2, Class M3, 3.48%, 07/25/49(a)(c) | 982 | 947,034 | ||||||
Series 2019-2, Class M4, 3.99%, 07/25/49(a)(c) | 2,453 | 2,343,888 | ||||||
Series 2021-1, Class M4, 2.85%, 05/25/51(a)(c) | 2,441 | 2,200,897 | ||||||
Series 2021-3, Class M4, 3.48%, 10/25/51(a)(c) | 2,830 | 2,702,848 | ||||||
Series 2021-4, Class A, 2.52%, 12/26/51(a)(c) | 9,428 | 8,982,031 | ||||||
Series 2021-4, Class M4, 4.48%, 12/26/51(a)(c) | 1,325 | 1,233,556 | ||||||
Series 2022-1, Class M4, 5.20%, 02/25/52(a)(c) | 5,935 | 5,583,802 | ||||||
VMC Finance LLC, Series 2021-FL4, Class A, (1 mo. LIBOR US + 1.10%), 1.57%, 06/16/36(a)(c) | 6,609 | 6,527,374 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2017-C39, Class B, 4.03%, 09/15/50 | 2,000 | 1,976,303 | ||||||
Series 2017-C39, Class C, 4.12%, 09/15/50 | 3,000 | 2,902,725 | ||||||
Series 2017-C39, Class D, 4.34%, 09/15/50(a)(c) | 750 | 669,662 | ||||||
Series 2017-C41, Class B, 4.19%, 11/15/50(c) | 2,000 | 1,925,284 | ||||||
Series 2017-C42, Class B, 4.00%, 12/15/50(c) | 500 | 496,277 | ||||||
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.85%), 1.24%, 12/13/31(a)(c) | 846 | 835,752 | ||||||
Series 2018-1745, Class A, 3.75%, 06/15/36(a)(c) | 5,000 | 4,989,842 | ||||||
Series 2018-C44, Class C, 4.83%, 05/15/51(c) | 1,484 | 1,495,307 | ||||||
Series 2018-C44, Class D, 3.00%, 05/15/51(a) | 317 | 256,769 | ||||||
Series 2018-C46, Class A4, 4.15%, 08/15/51 | 3,740 | 3,889,188 | ||||||
Series 2019-C49, Class A5, 4.02%, 03/15/52 | 2,796 | 2,894,110 | ||||||
Series 2019-C49, Class C, 4.87%, 03/15/52(c) | 1,500 | 1,513,753 | ||||||
Series 2019-C50, Class B, 4.19%, 05/15/52 | 3,121 | 3,119,744 | ||||||
Series 2019-C53, Class A3, 2.79%, 10/15/52 | 1,000 | 952,958 | ||||||
Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.09%), 2.49%, 02/15/37(a)(c) | 1,000 | 959,953 | ||||||
Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 3.14%, 02/15/37(a)(c) | 1,600 | 1,515,143 | ||||||
Series 2021-C59, Class A4, 2.34%, 04/15/54 | 5,000 | 4,620,153 |
SCHEDULES OF INVESTMENTS | 47 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2021-C59, Class A5, 2.63%, 04/15/54 | USD 4,990 | $ | 4,697,433 | |||||
Series 2021-FCMT, Class A, (1 mo. LIBOR US + 1.20%), 1.60%, 05/15/31(a)(c) | 4,660 | 4,607,735 | ||||||
|
| |||||||
668,630,331 | ||||||||
Interest Only Collateralized Mortgage Obligations — 0.2% |
| |||||||
JPMorgan Mortgage Trust | ||||||||
Series 2021-INV7, Class A2X, 0.50%, 02/25/52(a)(c) | 35,524 | 902,591 | ||||||
Series 2021-INV7, Class A3X, 0.50%, 02/25/52(a)(c) | 22,362 | 300,057 | ||||||
Series 2021-INV7, Class A4X, 0.50%, 02/25/52(a)(c) | 7,873 | 479,522 | ||||||
Series 2021-INV7, Class A5X, 0.50%, 02/25/52(a)(c) | 3,868 | 98,283 | ||||||
Series 2021-INV7, Class AX1, 0.27%, 02/25/52(a)(c) | 69,627 | 788,187 | ||||||
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 9.20%, 02/25/38(a)(c) | 10,188 | 3,046,014 | ||||||
|
| |||||||
5,614,654 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.9% |
| |||||||
Banc of America Commercial Mortgage Trust, | 10,000 | 532,100 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | ||||||||
Series 2017-SCH, Class XFCP, 0.00%, 11/15/19(a)(c)(d) | 95,950 | 960 | ||||||
Series 2017-SCH, Class XLCP, 0.00%, 11/15/19(a)(c)(d) | 56,050 | 561 | ||||||
BANK | ||||||||
Series 2019-BN22, Class XA, 0.60%, 11/15/62(c) | 38,825 | 1,474,049 | ||||||
Series 2019-BN22, Class XB, 0.15%, 11/15/62(c) | 85,561 | 930,904 | ||||||
Series 2020-BN28, Class XB, 0.97%, 03/15/63(c) | 29,819 | 2,097,314 | ||||||
BBCMS Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35(a)(c) | 12,500 | 131,625 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2019-B12, Class XA, 1.06%, 08/15/52(c) | 38,316 | 2,013,124 | ||||||
Series 2019-B9, Class XA, 1.04%, 03/15/52(c) | 15,822 | 904,995 | ||||||
Series 2020-B17, Class XB, 0.53%, 03/15/53(c) | 17,599 | 588,863 | ||||||
Series 2020-B19, Class XA, 1.78%, 09/15/53(c) | 23,959 | 2,273,849 | ||||||
Series 2021-B23, Class XA, 1.28%, 02/15/54(c) | 18,407 | 1,519,473 | ||||||
CFK Trust, Series 2019-FAX, Class XA, 0.23%, 01/15/39(a)(c) | 62,648 | 1,020,939 | ||||||
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class X, 0.51%, 01/10/36(a)(c) | 80,300 | 683,144 | ||||||
Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.65%, 08/15/57(c) | 40,742 | 1,416,893 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2019-C16, Class XA, 1.56%, 06/15/52(c) | 9,758 | 857,670 | ||||||
Series 2019-C17, Class XA, 1.36%, 09/15/52(c) | 3,982 | 294,980 | ||||||
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(c) | 11,214 | 464,260 | ||||||
GS Mortgage Securities Corp. II, Series 2005- ROCK, Class X1, 0.21%, 05/03/32(a)(c) | 144,016 | 1,119,105 | ||||||
JPMDB Commercial Mortgage Securities Trust | 8,570 | 243,853 |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) |
| |||||||
JPMDB Commercial Mortgage Securities Trust Series 2017-C5, Class XB, 0.30%, 03/15/50(c) | USD 30,000 | $ | 414,600 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49(a)(c) | 17,400 | 486,085 | ||||||
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.79%, 03/10/50(a)(c) | 9,167 | 236,392 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.18%, 12/15/47(a)(c) | 220 | 6,213 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2017-H1, Class XD, 2.16%, 06/15/50(a)(c) | 8,625 | 820,074 | ||||||
Series 2019-L2, Class XA, 1.02%, 03/15/52(c) | 11,197 | 635,839 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2019-NEMA, Class X, 0.51%, 02/15/39(a)(c) | 41,770 | 1,318,219 | ||||||
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39(a)(c) | 28,100 | 513,387 | ||||||
One Market Plaza Trust | ||||||||
Series 2017-1MKT, Class XCP, 0.00%, 02/10/32(a)(c) | 110,000 | 3,300 | ||||||
Series 2017-1MKT, Class XNCP, 0.09%, 02/10/32(a)(c)(d) | 22,000 | 22,000 | ||||||
UBS Commercial Mortgage Trust, Series 2019- C17, Class XA, 1.48%, 10/15/52(c) | 9,094 | 764,817 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2015-LC20, Class XB, 0.48%, 04/15/50(c) | 7,000 | 93,117 | ||||||
Series 2016-BNK1, Class XD, 1.25%, 08/15/49(a)(c) | 1,000 | 44,990 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 1.02%, 08/15/47(c) | 7,565 | 141,844 | ||||||
|
| |||||||
24,069,538 | ||||||||
|
| |||||||
Total Non-Agency Mortgage-Backed Securities — 39.8% |
| 1,048,432,477 | ||||||
|
| |||||||
U.S. Government Sponsored Agency Securities |
| |||||||
Collateralized Mortgage Obligations — 2.6% |
| |||||||
Fannie Mae | ||||||||
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.46%, 10/25/29(c) | 76 | 77,800 | ||||||
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.00%), 4.46%, 05/25/30(c) | 2,000 | 2,035,065 | ||||||
Series 2021-R01, Class 1B1, (SOFR (30-day) + 3.10%), 3.20%, 10/25/41(a)(c) | 3,534 | 3,251,679 | ||||||
Series 2021-R03, Class 1B2, (SOFR (30-day) + 5.50%), 5.60%, 12/25/41(a)(c) | 1,816 | 1,611,977 | ||||||
Series 2022-R01, Class 1B1, (SOFR (30-day) + 3.15%), 3.25%, 12/25/41(a)(c) | 4,950 | 4,592,396 | ||||||
Series 2022-R02, Class 2B1, (SOFR (30-day) + 4.50%), 4.60%, 01/25/42(a)(c) | 7,000 | 6,605,391 | ||||||
Series 2022-R02, Class 2B2, (SOFR (30-day) + 7.65%), 7.75%, 01/25/42(a)(c) | 3,464 | 3,253,576 | ||||||
Freddie Mac | ||||||||
Series 2020-DNA6, Class B1, (SOFR (30-day) + 3.00%), 3.10%, 12/25/50(a)(c) | 2,000 | 1,869,906 | ||||||
Series 2021-DNA1, Class B1, (SOFR (30-day) + 2.65%), 2.75%, 01/25/51(a)(c) | 7,690 | 6,809,596 | ||||||
Series 2021-DNA2, Class B1, (SOFR (30-day) + 3.40%), 3.50%, 08/25/33(a)(c) | 5,000 | 4,655,606 |
48 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) |
| |||||||
Freddie Mac | ||||||||
Series 2021-DNA5, Class B1, (SOFR (30-day) + 3.05%), 3.15%, 01/25/34(a)(c) | USD 3,580 | $ | 3,337,634 | |||||
Series 2021-DNA5, Class B2, (SOFR (30-day) + 5.50%), 5.60%, 01/25/34(a)(c) | 3,938 | 3,607,789 | ||||||
Series 2021-DNA6, Class B1, (SOFR (30-day) + 3.40%), 3.50%, 10/25/41(a)(c) | 6,000 | 5,535,382 | ||||||
Series 2021-DNA7, Class B1, (SOFR (30-day) + 3.65%), 3.75%, 11/25/41(a)(c) | 3,720 | 3,521,363 | ||||||
Series 2021-DNA7, Class B2, (SOFR (30-day) + 7.80%), 7.90%, 11/25/41(a)(c) | 1,844 | 1,720,522 | ||||||
Series 2021-HQA1, Class B1, (SOFR (30-day) + 3.00%), 3.10%, 08/25/33(a)(c) | 3,439 | 2,994,409 | ||||||
Series 2021-HQA2, Class B1, (SOFR (30-day) + 3.15%), 3.25%, 12/25/33(a)(c) | 3,625 | 3,081,003 | ||||||
Series 2021-HQA3, Class B1, (SOFR (30-day) + 3.35%), 3.45%, 09/25/41(a)(c) | 5,036 | 4,493,350 | ||||||
Series 2021-HQA4, Class B2, (SOFR (30-day) + 7.00%), 7.10%, 12/25/41(a)(c) | 1,259 | 1,111,862 | ||||||
Series 2022-DNA1, Class B1, (SOFR (30-day) + 3.40%), 3.50%, 01/25/42(a)(c) | 4,655 | 4,224,573 | ||||||
|
| |||||||
68,390,879 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.2% |
| |||||||
Freddie Mac | ||||||||
Series K105, Class X1, 1.52%, 01/25/30(c) | 9,986 | 983,870 | ||||||
Series K116, Class X1, 1.43%, 07/25/30(c) | 23,938 | 2,265,781 | ||||||
Series KL05, Class X1P, 0.89%, 06/25/29(c) | 12,845 | 747,264 | ||||||
Ginnie Mae | ||||||||
Series 2016-36, Class IO, 0.73%, 08/16/57(c) | 4,858 | 172,337 | ||||||
Series 2017-24, Class IO, 0.79%, 12/16/56(c) | 14,172 | 584,923 | ||||||
|
| |||||||
4,754,175 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency Securities — 2.8% (Cost: $81,501,645) |
| 73,145,054 | ||||||
|
| |||||||
Total Long-Term Investments — 95.6% |
| 2,518,590,624 | ||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities(i) | ||||||||
Money Market Funds — 4.7% | ||||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.12% | 122,854,692 | 122,854,692 | ||||||
|
| |||||||
Total Short-Term Securities — 4.7% |
| 122,854,692 | ||||||
|
| |||||||
Total Investments Before TBA Sale Commitments — 100.3% |
| 2,641,445,316 | ||||||
|
|
Security | Par (000) | Value | ||||||
TBA Sale Commitments(j) |
| |||||||
Mortgage-Backed Securities — (1.0)% |
| |||||||
Uniform Mortgage-Backed Securities |
| |||||||
2.00%, 04/01/52 | USD (4,579 | ) | $ | (4,250,268 | ) | |||
2.50%, 04/01/52 | (22,139 | ) | (21,121,831 | ) | ||||
|
| |||||||
Total TBA Sale Commitments — (1.0)% |
| (25,372,099 | ) | |||||
|
| |||||||
Total Investments — 99.3% |
| 2,616,073,217 | ||||||
Other Assets Less Liabilities — 0.7% |
| 18,935,851 | ||||||
|
| |||||||
Net Assets — 100.0% |
| $ | 2,635,009,068 | |||||
|
|
(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) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(c) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(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. |
(j) | Represents or includes a TBA transaction. |
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 | 49 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio |
Derivative Financial Instruments Outstanding as of Period End
OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing by the | 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 | USD 140 | $ | 14,211 | $ | 4,572 | $ | 9,639 | ||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD 53 | 5,380 | 3,967 | 1,413 | ||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD 27 | 2,741 | 1,444 | 1,297 | ||||||||||||||||||||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD 124 | (110 | ) | 22 | (132 | ) | ||||||||||||||||||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD 299 | (267 | ) | (200 | ) | (67 | ) | |||||||||||||||||
CMBX.NA.6.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 05/11/63 | USD 38 | 9,315 | 2,237 | 7,078 | ||||||||||||||||||||
CMBX.NA.13.BBB- | 3.00 | Monthly | Goldman Sachs International | 12/16/72 | USD 729 | 69,051 | 40,274 | 28,777 | ||||||||||||||||||||
CMBX.NA.13.BBB- | 3.00 | Monthly | Goldman Sachs International | 12/16/72 | USD 729 | 69,051 | 39,028 | 30,023 | ||||||||||||||||||||
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|
| |||||||||||||||||||||||
$ | 169,372 | $ | 91,344 | $ | 78,028 | |||||||||||||||||||||||
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|
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|
|
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
CMBX.NA.9.A | 2.00 | % | Monthly | Goldman Sachs International | 09/17/58 | Not Rated | USD 5,000 | $ | (31,211 | ) | $ | (94,091 | ) | $ | 62,880 | |||||||||||||||||||
CMBX.NA.9.A | 2.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD 1,457 | (9,095 | ) | (3,507 | ) | (5,588 | ) | ||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | USD 1,213 | (123,130 | ) | (139,972 | ) | 16,842 | |||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | Not Rated | USD 1,000 | (101,508 | ) | (187,066 | ) | 85,558 | |||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD 1,000 | (110,831 | ) | (80,745 | ) | (30,086 | ) | ||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD 500 | (55,416 | ) | (48,700 | ) | (6,716 | ) | ||||||||||||||||||||||
CMBX.NA.6.BBB- | 3.00 | Monthly | Credit Suisse International | 05/11/63 | B | USD 38 | (9,315 | ) | (2,791 | ) | (6,524 | ) | ||||||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||||||
$ | (440,506 | ) | $ | (556,872 | ) | $ | 116,366 | |||||||||||||||||||||||||||
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|
|
(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
Swaps Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swaps | $ | 91,544 | $ | (557,072) | $ | 243,507 | $ | (49,113 | ) |
50 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | 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:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; | $ | — | $ | 335,051 | $ | — | $ | — | $ | — | $ | — | $ | 335,051 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; | $ | — | $ | 606,185 | $ | — | $ | — | $ | — | $ | — | $ | 606,185 | ||||||||||||||
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|
|
For the period ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Swaps | $ | — | $ | 186,838 | $ | — | $ | — | $ | — | $ | — | $ | 186,838 | ||||||||||||||
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|
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|
|
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| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Swaps | $ | — | $ | 143,681 | $ | — | $ | — | $ | — | $ | — | $ | 143,681 | ||||||||||||||
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|
|
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|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Credit default swaps | ||||
Average notional value — buy protection | $ | 1,891,371 | ||
Average notional value — sell protection | $ | 9,116,806 |
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) | $ | 335,051 | $ | 606,185 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 335,051 | $ | 606,185 | ||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | — | ||||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 335,051 | $ | 606,185 | ||||
|
|
|
|
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
SCHEDULES OF INVESTMENTS | 51 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio |
The following tables 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(b) | |||||||||||||||
Citigroup Global Markets, Inc. | $ | 14,211 | $ | — | $ | — | $ | — | $ | 14,211 | ||||||||||
Deutsche Bank AG | 16,864 | (16,864 | ) | — | — | — | ||||||||||||||
Goldman Sachs International | 200,982 | (94,091 | ) | — | — | 106,891 | ||||||||||||||
J.P. Morgan Securities LLC | 9,315 | — | — | — | 9,315 | |||||||||||||||
Morgan Stanley & Co. International PLC | 93,679 | (93,679 | ) | — | — | — | ||||||||||||||
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|
|
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|
|
| |||||||||||
$ | 335,051 | $ | (204,634 | ) | $ | — | $ | — | $ | 130,417 | ||||||||||
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|
|
|
|
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non- Cash Collateral Pledged | Cash Collateral Pledged(c) | Net Amount of Derivative Liabilities(d) | |||||||||||||||
Credit Suisse International | $ | 9,315 | $ | — | $ | — | $ | — | $ | 9,315 | ||||||||||
Deutsche Bank AG | 306,618 | (16,864 | ) | — | (289,754 | ) | — | |||||||||||||
Goldman Sachs International | 94,091 | (94,091 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC | 196,161 | (93,679 | ) | — | — | 102,482 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 606,185 | $ | (204,634 | ) | $ | — | $ | (289,754 | ) | $ | 111,797 | |||||||||
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(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(d) | Net amount represents the net amount payable 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 financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 1,349,396,778 | $ | 29,617,397 | $ | 1,379,014,175 | ||||||||
Corporate Bonds | — | 2,339,956 | — | 2,339,956 | ||||||||||||
Floating Rate Loan Interests | — | 11,668,962 | 3,990,000 | 15,658,962 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 1,034,244,541 | 14,187,936 | 1,048,432,477 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 73,145,054 | — | 73,145,054 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 122,854,692 | — | — | 122,854,692 | ||||||||||||
Liabilities | ||||||||||||||||
TBA Sale Commitments | — | (25,372,099 | ) | — | (25,372,099 | ) | ||||||||||
Unfunded Floating Rate Loan Interests | — | (8,105 | ) | — | (8,105 | ) | ||||||||||
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| |||||||||
$ | 122,854,692 | $ | 2,445,415,087 | $ | 47,795,333 | $ | 2,616,065,112 | |||||||||
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| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 243,507 | $ | — | $ | 243,507 | ||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (49,113 | ) | — | (49,113 | ) | ||||||||||
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|
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|
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|
|
| |||||||||
$ | — | $ | 194,394 | $ | — | $ | 194,394 | |||||||||
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|
(a) | Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
52 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series A Portfolio |
A reconciliation of Level 3 financial instruments 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 | Corporate Bonds | Floating-Rate Loan Interest | Non-Agency Mortgage-Backed Securities | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Opening Balance, as of March 31, 2021 | $ | 40,264,618 | $ | — | (a) | $ | 5,682,886 | $ | 7,214,185 | $ | 53,161,689 | |||||||||
Transfers into Level 3(b) | — | — | — | 846,134 | 846,134 | |||||||||||||||
Transfers out of Level 3(c) | (24,626,380 | ) | — | — | (4,172,601 | ) | (28,798,981 | ) | ||||||||||||
Accrued discounts/premiums | 31,060 | — | — | 23,493 | 54,553 | |||||||||||||||
Net realized gain (loss) | (104,371 | ) | — | 8,414 | (5,623 | ) | (101,580 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation)(d)(e) | (230,379 | ) | — | 5,249 | (810,142 | ) | (1,035,272 | ) | ||||||||||||
Purchases | 25,823,710 | — | 2,252,273 | 11,202,048 | 39,278,031 | |||||||||||||||
Sales | (11,540,861 | ) | — | (3,958,822 | ) | (109,558 | ) | (15,609,241 | ) | |||||||||||
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| |||||||||||
Closing Balance, as of March 31, 2022 | $ | 29,617,397 | $ | — | (a) | $ | 3,990,000 | $ | 14,187,936 | $ | 47,795,333 | |||||||||
|
|
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|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2022(e) | $ | (147,191 | ) | $ | — | $ | (3,978 | ) | $ | (810,142 | ) | $ | (961,311 | ) | ||||||
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(a) | Rounds to less than $1. |
(b) | As of March 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the fair value hierarchy. |
(c) | As of March 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2022, 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. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s financial instruments 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 financial instruments.
See notes to financial statements.
SCHEDULES OF INVESTMENTS | 53 |
Schedule of Investments March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Corporate Bonds | ||||||||
Aerospace & Defense — 2.9% | ||||||||
Boeing Co. | ||||||||
1.17%, 02/04/23 | USD 525 | $ | 520,827 | |||||
2.70%, 02/01/27 | 200 | 191,829 | ||||||
2.95%, 02/01/30 | 200 | 185,312 | ||||||
3.25%, 02/01/35 | 194 | 173,222 | ||||||
3.85%, 11/01/48 | 165 | 144,668 | ||||||
3.75%, 02/01/50 | 280 | 249,322 | ||||||
5.81%, 05/01/50 | 930 | 1,073,906 | ||||||
5.93%, 05/01/60 | 415 | 479,153 | ||||||
General Dynamics Corp., 4.25%, 04/01/40 | 180 | 196,389 | ||||||
L3Harris Technologies, Inc. | ||||||||
4.40%, 06/15/28 | 955 | 993,145 | ||||||
4.40%, 06/15/28 | 1,680 | 1,747,103 | ||||||
2.90%, 12/15/29 | 392 | 376,807 | ||||||
Northrop Grumman Corp. | ||||||||
7.88%, 03/01/26(a) | 1,000 | 1,156,360 | ||||||
3.20%, 02/01/27 | 526 | 528,359 | ||||||
3.25%, 01/15/28 | 604 | 604,028 | ||||||
4.75%, 06/01/43 | 315 | 355,656 | ||||||
5.25%, 05/01/50 | 100 | 124,614 | ||||||
Raytheon Technologies Corp. | ||||||||
3.20%, 03/15/24 | 1,894 | 1,914,599 | ||||||
4.13%, 11/16/28 | 820 | 857,148 | ||||||
2.38%, 03/15/32 | 470 | 431,474 | ||||||
4.50%, 06/01/42 | 452 | 498,418 | ||||||
4.15%, 05/15/45 | 245 | 250,984 | ||||||
4.35%, 04/15/47 | 252 | 269,827 | ||||||
3.13%, 07/01/50 | 95 | 85,354 | ||||||
3.03%, 03/15/52 | 345 | 302,264 | ||||||
|
| |||||||
13,710,768 | ||||||||
Air Freight & Logistics — 0.3% | ||||||||
FedEx Corp. | ||||||||
3.10%, 08/05/29 | 567 | 558,796 | ||||||
4.25%, 05/15/30 | 65 | 68,186 | ||||||
3.25%, 05/15/41 | 120 | 107,414 | ||||||
4.10%, 02/01/45 | 340 | 331,280 | ||||||
4.55%, 04/01/46 | 135 | 141,346 | ||||||
|
| |||||||
1,207,022 | ||||||||
Airlines — 0.9% | ||||||||
Air Canada Pass-Through Trust, Series 2017-1, Class AA, 3.30%, 01/15/30(a) | 104 | 99,437 | ||||||
American Airlines Pass-Through Trust | ||||||||
Series 2017-1, Class AA, 3.65%, 02/15/29 | 624 | 604,550 | ||||||
Series 2019-1, Class B, 3.85%, 02/15/28 | 340 | 302,228 | ||||||
British Airways Pass Through Trust, Series 2019-1, Class A, 3.35%, 06/15/29(a) | 276 | 261,334 | ||||||
Delta Air Lines, Inc., 3.80%, 04/19/23 | 880 | 885,500 | ||||||
Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1, Class A, 5.25%, 05/30/23(a) | 191 | 189,818 | ||||||
U.S. Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 11/15/25 | 471 | 450,223 | ||||||
United Airlines Pass-Through Trust | ||||||||
Series 2019-2, Class AA, 2.70%, 05/01/32 | 206 | 188,420 | ||||||
Series 2020-1, Class A, 5.88%, 10/15/27 | 906 | 937,476 | ||||||
Series 2020-1, Class B, 4.88%, 01/15/26 | 264 | 260,080 | ||||||
|
| |||||||
4,179,066 |
Security | Par (000) | Value | ||||||
Auto Components — 0.3% | ||||||||
Aptiv PLC, 3.10%, 12/01/51 | USD 855 | $ | 679,711 | |||||
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 | 635 | 601,852 | ||||||
|
| |||||||
1,281,563 | ||||||||
Automobiles — 2.0% | ||||||||
Daimler Finance North America LLC, 0.75%, 03/01/24(a) | 170 | 163,122 | ||||||
Daimler Trucks Finance North America LLC, 2.00%, 12/14/26(a) | 470 | 437,788 | ||||||
Ford Motor Co. | ||||||||
4.75%, 01/15/43 | 72 | 65,395 | ||||||
5.29%, 12/08/46 | 82 | 79,590 | ||||||
General Motors Co. | ||||||||
5.40%, 10/02/23 | 40 | 41,387 | ||||||
6.13%, 10/01/25 | 160 | 171,763 | ||||||
6.25%, 10/02/43 | 1,193 | 1,352,626 | ||||||
5.20%, 04/01/45 | 44 | 44,536 | ||||||
5.95%, 04/01/49 | 172 | 191,143 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
2.60%, 09/28/22(a) | 20 | 19,997 | ||||||
2.75%, 03/09/28(a) | 575 | 518,280 | ||||||
Nissan Motor Co. Ltd. | ||||||||
3.04%, 09/15/23(a) | 2,535 | 2,529,337 | ||||||
3.52%, 09/17/25(a) | 1,040 | 1,019,254 | ||||||
4.35%, 09/17/27(a) | 645 | 635,568 | ||||||
4.81%, 09/17/30(a) | 600 | 594,813 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
0.75%, 11/23/22(a) | 665 | 659,248 | ||||||
1.25%, 11/24/25(a) | 930 | 857,200 | ||||||
|
| |||||||
9,381,047 | ||||||||
Banks — 16.3% | ||||||||
AIB Group PLC, 4.26%, 04/10/25(a) | 1,650 | 1,653,158 | ||||||
Banco Santander SA | ||||||||
2.75%, 05/28/25 | 400 | 389,786 | ||||||
1.72%, 09/14/27 | 600 | 541,921 | ||||||
Bank of America Corp. | ||||||||
4.20%, 08/26/24 | 2,395 | 2,453,209 | ||||||
4.00%, 01/22/25 | 909 | 925,644 | ||||||
4.45%, 03/03/26 | 1,689 | 1,746,744 | ||||||
3.42%, 12/20/28 | 2,210 | 2,187,666 | ||||||
3.97%, 03/05/29 | 212 | 215,226 | ||||||
2.69%, 04/22/32 | 2,555 | 2,349,672 | ||||||
2.97%, 02/04/33 | 1,150 | 1,077,542 | ||||||
4.08%, 04/23/40 | 185 | 189,948 | ||||||
2.68%, 06/19/41 | 315 | 265,973 | ||||||
4.08%, 03/20/51 | 1,205 | 1,246,969 | ||||||
2.83%, 10/24/51 | 35 | 29,764 | ||||||
Series L, 3.95%, 04/21/25 | 790 | 805,004 | ||||||
Series L, 4.75%, 04/21/45 | 240 | 260,220 | ||||||
Series N, 1.66%, 03/11/27 | 370 | 344,904 | ||||||
Bank of Ireland Group PLC, 2.03%, 09/30/27(a) | 1,755 | 1,589,451 | ||||||
Barclays PLC | ||||||||
3.65%, 03/16/25 | 420 | 420,778 | ||||||
5.20%, 05/12/26 | 800 | 831,808 | ||||||
5.09%, 06/20/30 | 1,600 | 1,659,705 | ||||||
BNP Paribas SA | ||||||||
4.71%, 01/10/25(a) | 1,645 | 1,679,547 | ||||||
1.32%, 01/13/27(a) | 1,000 | 910,567 | ||||||
BPCE SA | ||||||||
2.38%, 01/14/25(a) | 430 | 414,223 | ||||||
2.05%, 10/19/27(a) | 945 | 869,309 | ||||||
Canadian Imperial Bank of Commerce, 3.10%, 04/02/24 | 152 | 152,756 |
54 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
Citigroup, Inc. | ||||||||
5.50%, 09/13/25 | USD 232 | $ | 247,716 | |||||
3.11%, 04/08/26 | 415 | 411,473 | ||||||
4.30%, 11/20/26 | 1,250 | 1,285,474 | ||||||
4.45%, 09/29/27 | 1,100 | 1,134,580 | ||||||
3.89%, 01/10/28 | 1,205 | 1,218,556 | ||||||
4.13%, 07/25/28 | 250 | 253,783 | ||||||
3.52%, 10/27/28 | 630 | 624,077 | ||||||
4.08%, 04/23/29 | 25 | 25,479 | ||||||
2.67%, 01/29/31 | 100 | 92,649 | ||||||
4.41%, 03/31/31 | 815 | 846,096 | ||||||
2.57%, 06/03/31 | 1,965 | 1,800,150 | ||||||
2.56%, 05/01/32 | 295 | 266,022 | ||||||
3.06%, 01/25/33 | 800 | 747,467 | ||||||
2.90%, 11/03/42 | 50 | 42,841 | ||||||
4.75%, 05/18/46 | 220 | 235,467 | ||||||
Commonwealth Bank of Australia | ||||||||
3.78%, 03/14/32(a) | 515 | 497,770 | ||||||
3.74%, 09/12/39(a) | 290 | 271,214 | ||||||
Danske Bank A/S | ||||||||
1.17%, 12/08/23(a) | 1,340 | 1,322,712 | ||||||
3.77%, 03/28/25(a) | 470 | 471,079 | ||||||
Discover Bank, 4.68%, 08/09/28 | 300 | 304,216 | ||||||
HSBC Holdings PLC | ||||||||
3.80%, 03/11/25 | 430 | 432,024 | ||||||
2.63%, 11/07/25 | 510 | 497,454 | ||||||
4.30%, 03/08/26 | 280 | 287,301 | ||||||
4.95%, 03/31/30 | 355 | 379,142 | ||||||
2.80%, 05/24/32 | 1,205 | 1,094,911 | ||||||
Huntington Bancshares, Inc., 4.00%, 05/15/25 | 355 | 361,617 | ||||||
ING Groep NV, 1.40%, 07/01/26(a) | 305 | 282,165 | ||||||
Intesa Sanpaolo SpA | ||||||||
3.13%, 07/14/22(a) | 1,030 | 1,031,533 | ||||||
3.38%, 01/12/23(a) | 1,200 | 1,202,484 | ||||||
5.02%, 06/26/24(a) | 416 | 419,263 | ||||||
JPMorgan Chase & Co. | ||||||||
2.01%, 03/13/26 | 885 | 853,200 | ||||||
2.08%, 04/22/26 | 860 | 829,905 | ||||||
4.13%, 12/15/26 | 660 | 682,958 | ||||||
3.96%, 01/29/27 | 345 | 352,146 | ||||||
1.04%, 02/04/27 | 750 | 687,238 | ||||||
4.25%, 10/01/27 | 511 | 527,613 | ||||||
3.78%, 02/01/28 | 1,170 | 1,184,971 | ||||||
2.18%, 06/01/28 | 1,174 | 1,101,385 | ||||||
4.01%, 04/23/29 | 1,215 | 1,242,216 | ||||||
2.58%, 04/22/32 | 920 | 842,861 | ||||||
2.96%, 01/25/33 | 595 | 560,938 | ||||||
3.88%, 07/24/38 | 765 | 771,570 | ||||||
3.11%, 04/22/41 | 330 | 298,234 | ||||||
2.53%, 11/19/41 | 1,040 | 854,130 | ||||||
3.16%, 04/22/42 | 300 | 271,970 | ||||||
4.95%, 06/01/45 | 350 | 395,929 | ||||||
Lloyds Banking Group PLC | ||||||||
1.33%, 06/15/23 | 905 | 902,743 | ||||||
4.45%, 05/08/25 | 300 | 307,440 | ||||||
4.58%, 12/10/25 | 1,975 | 2,015,645 | ||||||
2.44%, 02/05/26 | 200 | 192,859 | ||||||
1.63%, 05/11/27 | 500 | 458,476 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.20%, 07/18/29 | 300 | 291,167 | ||||||
2.05%, 07/17/30 | 850 | 752,527 |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
NatWest Group PLC | ||||||||
3.88%, 09/12/23 | USD 390 | $ | 393,994 | |||||
2.36%, 05/22/24 | 410 | 406,669 | ||||||
4.27%, 03/22/25 | 460 | 465,335 | ||||||
3.07%, 05/22/28 | 895 | 859,094 | ||||||
4.89%, 05/18/29 | 432 | 449,053 | ||||||
3.03%, 11/28/35 | 855 | 758,542 | ||||||
Nordea Bank Abp, 1.50%, 09/30/26(a) | 1,500 | 1,377,129 | ||||||
PNC Financial Services Group, Inc., 3.45%, 04/23/29 | 294 | 298,878 | ||||||
Santander UK Group Holdings PLC | ||||||||
1.67%, 06/14/27 | 670 | 609,582 | ||||||
3.82%, 11/03/28 | 472 | 464,123 | ||||||
Santander UK PLC, 5.00%, 11/07/23(a) | 617 | 631,098 | ||||||
Standard Chartered PLC | ||||||||
1.32%, 10/14/23(a) | 510 | 505,195 | ||||||
1.82%, 11/23/25(a) | 1,340 | 1,273,039 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.35%, 01/15/25 | 520 | 505,302 | ||||||
0.95%, 01/12/26 | 400 | 365,733 | ||||||
3.54%, 01/17/28 | 700 | 694,483 | ||||||
3.04%, 07/16/29 | 250 | 240,417 | ||||||
UniCredit SpA | ||||||||
3.75%, 04/12/22(a) | 1,255 | 1,255,282 | ||||||
2.57%, 09/22/26(a) | 550 | 508,146 | ||||||
1.98%, 06/03/27(a) | 480 | 432,663 | ||||||
3.13%, 06/03/32(a) | 327 | 287,490 | ||||||
Wells Fargo & Co. | ||||||||
3.58%, 05/22/28 | 1,510 | 1,507,545 | ||||||
2.88%, 10/30/30 | 260 | 247,114 | ||||||
3.35%, 03/02/33 | 1,125 | 1,093,323 | ||||||
5.61%, 01/15/44 | 327 | 389,217 | ||||||
4.40%, 06/14/46 | 685 | 710,175 | ||||||
4.75%, 12/07/46 | 489 | 531,634 | ||||||
5.01%, 04/04/51 | 245 | 290,759 | ||||||
Westpac Banking Corp. | ||||||||
2.67%, 11/15/35 | 310 | 270,719 | ||||||
3.13%, 11/18/41 | 230 | 197,385 | ||||||
|
| |||||||
77,695,448 | ||||||||
Beverages — 1.1% | ||||||||
Anheuser-Busch InBev Finance, Inc., 4.90%, 02/01/46 | 310 | 344,765 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.00%, 04/13/28 | 280 | 290,125 | ||||||
4.75%, 01/23/29 | 194 | 210,330 | ||||||
4.95%, 01/15/42 | 95 | 104,882 | ||||||
4.60%, 04/15/48 | 120 | 129,513 | ||||||
4.44%, 10/06/48 | 535 | 560,037 | ||||||
5.55%, 01/23/49 | 624 | 760,828 | ||||||
4.50%, 06/01/50 | 500 | 534,221 | ||||||
4.75%, 04/15/58 | 750 | 813,279 | ||||||
5.80%, 01/23/59 | 279 | 352,113 | ||||||
4.60%, 06/01/60 | 200 | 212,570 | ||||||
Fomento Economico Mexicano SAB de CV, 3.50%, 01/16/50 | 180 | 166,374 | ||||||
JDE Peet’s NV, 1.38%, 01/15/27(a) | 1,100 | 987,457 | ||||||
|
| |||||||
5,466,494 | ||||||||
Biotechnology — 1.7% | ||||||||
AbbVie, Inc. | ||||||||
2.85%, 05/14/23 | 1,000 | 1,005,960 | ||||||
3.80%, 03/15/25 | 1,215 | 1,237,578 | ||||||
3.60%, 05/14/25 | 740 | 749,716 | ||||||
2.95%, 11/21/26 | 230 | 227,838 | ||||||
3.20%, 11/21/29 | 120 | 118,573 |
SCHEDULES OF INVESTMENTS | 55 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Biotechnology (continued) | ||||||||
AbbVie, Inc. | ||||||||
4.05%, 11/21/39 | USD 200 | $ | 205,481 | |||||
4.40%, 11/06/42 | 495 | 522,236 | ||||||
4.70%, 05/14/45 | 200 | 217,140 | ||||||
4.45%, 05/14/46 | 893 | 948,887 | ||||||
4.88%, 11/14/48 | 605 | 683,778 | ||||||
4.25%, 11/21/49 | 180 | 186,789 | ||||||
Amgen, Inc. | ||||||||
2.30%, 02/25/31 | 200 | 184,221 | ||||||
3.38%, 02/21/50 | 5 | 4,511 | ||||||
3.00%, 01/15/52 | 425 | 359,454 | ||||||
4.20%, 02/22/52 | 215 | 222,352 | ||||||
4.40%, 02/22/62 | 165 | 170,651 | ||||||
Gilead Sciences, Inc. | ||||||||
4.50%, 02/01/45 | 373 | 397,432 | ||||||
4.75%, 03/01/46 | 271 | 300,317 | ||||||
4.15%, 03/01/47 | 225 | 231,354 | ||||||
|
| |||||||
7,974,268 | ||||||||
Capital Markets — 5.3% | ||||||||
Bank of New York Mellon Corp., 3.00%, 10/30/28 | 80 | 78,041 | ||||||
Blackstone Private Credit Fund | ||||||||
4.70%, 03/24/25(a) | 690 | 700,071 | ||||||
3.25%, 03/15/27(a) | 1,080 | 989,785 | ||||||
CME Group, Inc., 5.30%, 09/15/43 | 14 | 17,097 | ||||||
Credit Agricole SA, 3.75%, 04/24/23(a) | 275 | 278,647 | ||||||
Credit Suisse AG, 1.25%, 08/07/26 | 505 | 460,507 | ||||||
Credit Suisse Group AG | ||||||||
3.80%, 06/09/23 | 547 | 552,015 | ||||||
3.75%, 03/26/25 | 660 | 657,558 | ||||||
2.19%, 06/05/26(a) | 1,055 | 990,731 | ||||||
1.31%, 02/02/27(a) | 755 | 675,269 | ||||||
Deutsche Bank AG | ||||||||
2.22%, 09/18/24 | 2,080 | 2,034,484 | ||||||
1.45%, 04/01/25 | 690 | 658,995 | ||||||
2.13%, 11/24/26 | 385 | 356,892 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.50%, 01/23/25 | 257 | 259,156 | ||||||
3.50%, 04/01/25 | 368 | 370,745 | ||||||
4.25%, 10/21/25 | 860 | 880,850 | ||||||
1.95%, 10/21/27 | 470 | 436,794 | ||||||
3.81%, 04/23/29 | 195 | 196,414 | ||||||
2.60%, 02/07/30 | 500 | 463,805 | ||||||
1.99%, 01/27/32 | 1,625 | 1,407,705 | ||||||
2.62%, 04/22/32 | 830 | 754,355 | ||||||
2.38%, 07/21/32 | 500 | 442,851 | ||||||
3.10%, 02/24/33 | 2,495 | 2,351,756 | ||||||
5.15%, 05/22/45 | 320 | 357,542 | ||||||
Intercontinental Exchange, Inc., 4.25%, 09/21/48 | 70 | 75,143 | ||||||
Morgan Stanley | ||||||||
2.19%, 04/28/26 | 1,430 | 1,381,335 | ||||||
3.13%, 07/27/26 | 500 | 495,685 | ||||||
3.63%, 01/20/27 | 1,270 | 1,280,917 | ||||||
3.95%, 04/23/27 | 448 | 455,236 | ||||||
1.59%, 05/04/27 | 830 | 771,138 | ||||||
1.51%, 07/20/27 | 765 | 703,191 | ||||||
3.77%, 01/24/29 | 300 | 302,341 | ||||||
2.70%, 01/22/31 | 470 | 441,032 | ||||||
3.62%, 04/01/31 | 30 | 29,844 | ||||||
2.94%, 01/21/33 | 390 | 365,718 | ||||||
4.46%, 04/22/39 | 156 | 168,238 | ||||||
3.22%, 04/22/42 | 115 | 105,790 | ||||||
4.30%, 01/27/45 | 605 | 636,311 |
Security | Par (000) | Value | ||||||
Capital Markets (continued) | ||||||||
Nomura Holdings, Inc., 2.61%, 07/14/31 | USD 505 | $ | 453,899 | |||||
Northern Trust Corp., 3.95%, 10/30/25 | 69 | 70,723 | ||||||
S&P Global, Inc., 3.70%, 03/01/52(a) | 70 | 70,974 | ||||||
UBS Group AG | ||||||||
1.01%, 07/30/24(a) | 975 | 948,433 | ||||||
1.36%, 01/30/27(a) | 370 | 339,918 | ||||||
|
| |||||||
25,467,931 | ||||||||
Chemicals — 0.5% | ||||||||
Cabot Corp., 4.00%, 07/01/29 | 88 | 88,388 | ||||||
DuPont de Nemours, Inc. | ||||||||
5.32%, 11/15/38 | 290 | 333,079 | ||||||
5.42%, 11/15/48 | 115 | 138,745 | ||||||
Eastman Chemical Co., 4.80%, 09/01/42 | 135 | 141,655 | ||||||
Ecolab, Inc., 2.70%, 12/15/51 | 430 | 368,308 | ||||||
International Flavors & Fragrances, Inc., 1.23%, 10/01/25(a) | 900 | 833,149 | ||||||
LYB International Finance BV, 4.88%, 03/15/44 | 172 | 183,061 | ||||||
LYB International Finance III LLC, 4.20%, 10/15/49 | 146 | 144,541 | ||||||
Sherwin-Williams Co. | ||||||||
2.75%, 06/01/22 | 7 | 7,009 | ||||||
3.45%, 08/01/25 | 34 | 34,290 | ||||||
2.30%, 05/15/30 | 150 | 137,156 | ||||||
4.50%, 06/01/47 | 49 | 51,895 | ||||||
|
| |||||||
2,461,276 | ||||||||
Commercial Services & Supplies — 0.1% | ||||||||
GATX Corp., 4.35%, 02/15/24 | 510 | 521,078 | ||||||
Republic Services, Inc. | ||||||||
0.88%, 11/15/25 | 40 | 36,792 | ||||||
2.38%, 03/15/33 | 35 | 31,422 | ||||||
Waste Management, Inc. | ||||||||
1.50%, 03/15/31 | 15 | 12,909 | ||||||
2.50%, 11/15/50 | 60 | 48,351 | ||||||
|
| |||||||
650,552 | ||||||||
Communications Equipment — 0.5% | ||||||||
Motorola Solutions, Inc. | ||||||||
4.60%, 05/23/29 | 1,390 | 1,445,437 | ||||||
2.30%, 11/15/30 | 260 | 227,932 | ||||||
2.75%, 05/24/31 | 760 | 687,634 | ||||||
|
| |||||||
2,361,003 | ||||||||
Consumer Finance — 2.8% | ||||||||
Ally Financial, Inc., 5.75%, 11/20/25 | 1,023 | 1,075,790 | ||||||
American Honda Finance Corp. | ||||||||
1.00%, 09/10/25 | 545 | 507,512 | ||||||
1.30%, 09/09/26 | 800 | 742,411 | ||||||
Capital One Financial Corp. | ||||||||
2.64%, 03/03/26 | 1,295 | 1,267,158 | ||||||
3.75%, 07/28/26 | 173 | 173,848 | ||||||
3.80%, 01/31/28 | 425 | 427,670 | ||||||
2.62%, 11/02/32 | 275 | 247,627 | ||||||
Ford Motor Credit Co. LLC, 5.11%, 05/03/29 | 320 | 321,898 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.15%, 06/30/22 | 95 | 95,235 | ||||||
5.10%, 01/17/24 | 81 | 83,743 | ||||||
2.90%, 02/26/25 | 542 | 529,410 | ||||||
4.35%, 04/09/25 | 1,940 | 1,973,063 | ||||||
Hyundai Capital America | ||||||||
0.80%, 01/08/24(a) | 3,050 | 2,911,385 | ||||||
1.00%, 09/17/24(a) | 940 | 884,117 | ||||||
1.80%, 10/15/25(a) | 310 | 289,533 | ||||||
Sodexo, Inc., 1.63%, 04/16/26(a) | 925 | 869,747 |
56 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Consumer Finance (continued) | ||||||||
Toyota Motor Credit Corp. | ||||||||
1.15%, 08/13/27 | USD 390 | $ | 353,344 | |||||
2.15%, 02/13/30 | 635 | 588,944 | ||||||
|
| |||||||
13,342,435 | ||||||||
Containers & Packaging — 0.5% | ||||||||
Berry Global, Inc., 1.57%, 01/15/26 | 1,175 | 1,094,604 | ||||||
WRKCo, Inc. | ||||||||
3.90%, 06/01/28 | 710 | 712,704 | ||||||
3.00%, 06/15/33 | 775 | 723,809 | ||||||
|
| |||||||
2,531,117 | ||||||||
Diversified Financial Services — 1.2% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
4.13%, 07/03/23 | 930 | 935,535 | ||||||
4.50%, 09/15/23 | 1,100 | 1,108,270 | ||||||
4.45%, 04/03/26 | 399 | 403,000 | ||||||
3.65%, 07/21/27 | 650 | 629,798 | ||||||
3.00%, 10/29/28 | 460 | 424,206 | ||||||
3.30%, 01/30/32 | 415 | 374,106 | ||||||
Aviation Capital Group LLC, 1.95%, 09/20/26(a) | 1,205 | 1,089,906 | ||||||
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | 695 | 746,283 | ||||||
|
| |||||||
5,711,104 | ||||||||
Diversified Telecommunication Services — 3.8% | ||||||||
AT&T Inc. | ||||||||
4.35%, 03/01/29 | 1,050 | 1,111,130 | ||||||
2.75%, 06/01/31 | 420 | 393,825 | ||||||
2.55%, 12/01/33 | 390 | 346,493 | ||||||
4.50%, 05/15/35 | 2,595 | 2,749,015 | ||||||
5.25%, 03/01/37 | 400 | 454,681 | ||||||
5.35%, 09/01/40 | 384 | 439,386 | ||||||
3.50%, 06/01/41 | 645 | 593,864 | ||||||
5.15%, 03/15/42 | 400 | 449,501 | ||||||
4.90%, 06/15/42 | 250 | 269,737 | ||||||
4.75%, 05/15/46 | 383 | 415,970 | ||||||
3.80%, 12/01/57 | 375 | 342,127 | ||||||
NTT Finance Corp., 1.16%, 04/03/26(a) | 1,895 | 1,747,172 | ||||||
Telefonica Emisiones SAU | ||||||||
4.10%, 03/08/27 | 300 | 306,824 | ||||||
4.90%, 03/06/48 | 360 | 372,242 | ||||||
Verizon Communications, Inc. | ||||||||
3.88%, 02/08/29 | 250 | 260,085 | ||||||
4.02%, 12/03/29 | 500 | 518,926 | ||||||
1.50%, 09/18/30 | 810 | 703,398 | ||||||
2.36%, 03/15/32(a) | 1,966 | 1,775,721 | ||||||
5.85%, 09/15/35 | 690 | 825,976 | ||||||
5.25%, 03/16/37 | 450 | 524,241 | ||||||
4.81%, 03/15/39 | 380 | 429,733 | ||||||
2.65%, 11/20/40 | 1,050 | 893,191 | ||||||
3.40%, 03/22/41 | 290 | 271,851 | ||||||
2.85%, 09/03/41 | 350 | 308,088 | ||||||
3.85%, 11/01/42 | 750 | 747,658 | ||||||
2.99%, 10/30/56 | 155 | 127,578 | ||||||
3.70%, 03/22/61 | 678 | 628,015 | ||||||
|
| |||||||
18,006,428 | ||||||||
Electric Utilities — 7.6% | ||||||||
AES Corp. | ||||||||
1.38%, 01/15/26 | 980 | 901,180 | ||||||
3.95%, 07/15/30(a) | 230 | 227,851 | ||||||
2.45%, 01/15/31 | 620 | 554,438 |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Baltimore Gas & Electric Co. | ||||||||
3.50%, 08/15/46 | USD 200 | $ | 193,259 | |||||
3.20%, 09/15/49 | 250 | 225,376 | ||||||
2.90%, 06/15/50 | 20 | 17,388 | ||||||
Colbun SA, 3.15%, 01/19/32(a) | 940 | 853,226 | ||||||
DTE Electric Co., 3.95%, 03/01/49 | 60 | 61,956 | ||||||
Duke Energy Carolinas LLC | ||||||||
2.85%, 03/15/32 | 805 | 778,071 | ||||||
3.75%, 06/01/45 | 420 | 412,857 | ||||||
3.95%, 03/15/48 | 200 | 205,189 | ||||||
3.20%, 08/15/49 | 331 | 307,033 | ||||||
Duke Energy Florida LLC | ||||||||
2.50%, 12/01/29 | 1,335 | 1,255,578 | ||||||
4.20%, 07/15/48 | 460 | 490,091 | ||||||
Duke Energy Progress LLC | ||||||||
6.30%, 04/01/38 | 48 | 61,649 | ||||||
4.10%, 03/15/43 | 100 | 101,873 | ||||||
4.15%, 12/01/44 | 10 | 10,294 | ||||||
3.70%, 10/15/46 | 70 | 67,778 | ||||||
3.60%, 09/15/47 | 400 | 393,127 | ||||||
Edison International, 2.40%, 09/15/22 | 1,265 | 1,266,121 | ||||||
Emera U.S. Finance LP, 0.83%, 06/15/24 | 420 | 397,513 | ||||||
Enel Finance International NV, 1.38%, 07/12/26(a) | 1,145 | 1,050,990 | ||||||
Entergy Arkansas LLC, 3.70%, 06/01/24 | 388 | 396,087 | ||||||
Entergy Corp. | ||||||||
0.90%, 09/15/25 | 925 | 848,246 | ||||||
2.80%, 06/15/30 | 275 | 257,736 | ||||||
Exelon Corp. | ||||||||
4.05%, 04/15/30 | 280 | 289,026 | ||||||
4.70%, 04/15/50 | 75 | 82,483 | ||||||
FirstEnergy Corp. | ||||||||
Series A, 3.35%, 07/15/22 | 970 | 968,788 | ||||||
Series B, 4.40%, 07/15/27 | 150 | 150,953 | ||||||
Series C, 7.38%, 11/15/31 | 284 | 350,274 | ||||||
FirstEnergy Transmission LLC, 4.35%, 01/15/25(a) | 900 | 904,336 | ||||||
Florida Power & Light Co. | ||||||||
5.95%, 02/01/38 | 800 | 1,007,836 | ||||||
2.88%, 12/04/51 | 167 | 149,710 | ||||||
Interstate Power & Light Co., 3.25%, 12/01/24 | 350 | 351,543 | ||||||
MidAmerican Energy Co. | ||||||||
3.65%, 04/15/29 | 700 | 719,496 | ||||||
4.25%, 07/15/49 | 675 | 736,472 | ||||||
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(a) | 525 | 529,708 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
1.90%, 06/15/28 | 850 | 783,147 | ||||||
2.44%, 01/15/32 | 365 | 333,766 | ||||||
3.00%, 01/15/52 | 134 | 114,400 | ||||||
Northern States Power Co., 2.60%, 06/01/51 | 300 | 253,727 | ||||||
NRG Energy, Inc., 2.45%, 12/02/27(a) | 580 | 534,936 | ||||||
Ohio Power Co. | ||||||||
4.00%, 06/01/49 | 225 | 224,166 | ||||||
Series D, 6.60%, 03/01/33 | 675 | 846,333 | ||||||
Series Q, 1.63%, 01/15/31 | 165 | 141,155 | ||||||
Series R, 2.90%, 10/01/51 | 150 | 124,303 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
3.70%, 11/15/28 | 370 | 380,561 | ||||||
5.30%, 06/01/42 | 143 | 172,054 | ||||||
3.75%, 04/01/45 | 350 | 346,140 | ||||||
4.10%, 11/15/48 | 100 | 105,658 | ||||||
3.80%, 06/01/49 | 200 | 204,002 | ||||||
3.10%, 09/15/49 | 200 | 183,246 |
SCHEDULES OF INVESTMENTS | 57 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Oncor Electric Delivery Co. LLC | ||||||||
3.70%, 05/15/50 | USD 210 | $ | 210,954 | |||||
5.35%, 10/01/52 | 242 | 305,367 | ||||||
Pacific Gas & Electric Co. | ||||||||
1.37%, 03/10/23 | 995 | 977,478 | ||||||
4.25%, 08/01/23 | 250 | 252,430 | ||||||
3.45%, 07/01/25 | 975 | 951,063 | ||||||
3.30%, 12/01/27 | 565 | 532,993 | ||||||
4.45%, 04/15/42 | 345 | 305,672 | ||||||
4.00%, 12/01/46 | 136 | 113,132 | ||||||
4.95%, 07/01/50 | 864 | 813,801 | ||||||
5.25%, 03/01/52 | 370 | 376,792 | ||||||
PECO Energy Co., 2.85%, 09/15/51 | 105 | 90,862 | ||||||
Progress Energy, Inc. | ||||||||
3.15%, 04/01/22 | 960 | 960,000 | ||||||
7.75%, 03/01/31 | 400 | 512,107 | ||||||
Public Service Co. of Colorado, Series 36, 2.70%, 01/15/51 | 516 | 437,112 | ||||||
San Diego Gas & Electric Co., Series WWW, 2.95%, 08/15/51 | 210 | 184,470 | ||||||
Southern California Edison Co. | ||||||||
1.10%, 04/01/24 | 1,135 | 1,095,264 | ||||||
4.00%, 04/01/47 | 148 | 142,203 | ||||||
3.45%, 02/01/52 | 200 | 179,689 | ||||||
Series 20A, 2.95%, 02/01/51 | 175 | 142,978 | ||||||
Series B, 4.88%, 03/01/49 | 222 | 235,869 | ||||||
Series E, 3.70%, 08/01/25 | 400 | 406,645 | ||||||
Series H, 3.65%, 06/01/51 | 280 | 260,592 | ||||||
Series J, 0.70%, 08/01/23 | 1,150 | 1,120,154 | ||||||
Tampa Electric Co. | ||||||||
4.30%, 06/15/48 | 182 | 193,183 | ||||||
3.45%, 03/15/51 | 170 | 158,248 | ||||||
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(a) | 357 | 359,432 | ||||||
Vistra Operations Co. LLC, 3.55%, 07/15/24(a) | 2,000 | 1,981,043 | ||||||
Wisconsin Electric Power Co., 2.05%, 12/15/24 | 491 | 480,084 | ||||||
|
| |||||||
36,102,743 | ||||||||
Electrical Equipment — 0.0% | ||||||||
Carrier Global Corp., 2.24%, 02/15/25 | 51 | 49,649 | ||||||
|
| |||||||
Energy Equipment & Services — 0.2% | ||||||||
Halliburton Co. | ||||||||
3.80%, 11/15/25 | 30 | 30,637 | ||||||
2.92%, 03/01/30 | 710 | 686,359 | ||||||
5.00%, 11/15/45 | 100 | 108,428 | ||||||
|
| |||||||
825,424 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 3.8% | ||||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.80%, 04/15/26 | 365 | 371,478 | ||||||
2.75%, 12/15/29 | 317 | 300,513 | ||||||
4.90%, 12/15/30 | 935 | 1,033,677 | ||||||
2.00%, 05/18/32 | 45 | 39,331 | ||||||
1.88%, 02/01/33 | 355 | 300,256 | ||||||
4.85%, 04/15/49 | 165 | 186,342 | ||||||
American Tower Corp. | ||||||||
3.50%, 01/31/23 | 1,130 | 1,140,471 | ||||||
5.00%, 02/15/24 | 2,290 | 2,368,633 | ||||||
3.38%, 05/15/24 | 23 | 23,069 | ||||||
3.95%, 03/15/29 | 215 | 215,287 | ||||||
3.80%, 08/15/29 | 200 | 199,027 | ||||||
2.90%, 01/15/30 | 500 | 463,963 | ||||||
2.10%, 06/15/30 | 355 | 309,599 |
Security | Par (000) | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
American Tower Corp. | ||||||||
2.70%, 04/15/31 | USD 760 | $ | 687,347 | |||||
Boston Properties LP | ||||||||
4.50%, 12/01/28 | 500 | 527,338 | ||||||
2.45%, 10/01/33 | 590 | 511,519 | ||||||
Camden Property Trust, 2.80%, 05/15/30 | 120 | 115,329 | ||||||
Crown Castle International Corp. | ||||||||
1.35%, 07/15/25 | 160 | 149,163 | ||||||
3.80%, 02/15/28 | 250 | 249,747 | ||||||
4.30%, 02/15/29 | 305 | 313,301 | ||||||
3.10%, 11/15/29 | 460 | 435,859 | ||||||
2.25%, 01/15/31 | 350 | 308,485 | ||||||
2.10%, 04/01/31 | 100 | 86,479 | ||||||
2.50%, 07/15/31 | 445 | 396,960 | ||||||
2.90%, 04/01/41 | 480 | 397,325 | ||||||
4.15%, 07/01/50 | 30 | 29,263 | ||||||
Duke Realty LP, 2.88%, 11/15/29 | 192 | 184,053 | ||||||
Equinix, Inc. | ||||||||
2.90%, 11/18/26 | 971 | 940,293 | ||||||
3.20%, 11/18/29 | 450 | 430,648 | ||||||
3.90%, 04/15/32 | 765 | 760,165 | ||||||
3.00%, 07/15/50 | 160 | 130,471 | ||||||
2.95%, 09/15/51 | 195 | 155,363 | ||||||
ERP Operating LP, 2.50%, 02/15/30 | 115 | 108,362 | ||||||
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/30 | 1,550 | 1,504,445 | ||||||
Healthpeak Properties, Inc., 3.00%, 01/15/30 | 279 | 268,024 | ||||||
Mid-America Apartments LP | ||||||||
3.60%, 06/01/27 | 23 | 23,044 | ||||||
1.70%, 02/15/31 | 120 | 104,044 | ||||||
Prologis LP, 2.25%, 04/15/30 | 360 | 334,457 | ||||||
Realty Income Corp. | ||||||||
3.95%, 08/15/27 | 395 | 405,766 | ||||||
2.20%, 06/15/28 | 225 | 207,561 | ||||||
3.25%, 06/15/29 | 119 | 118,041 | ||||||
2.85%, 12/15/32 | 120 | 113,372 | ||||||
Regency Centers LP, 4.13%, 03/15/28 | 250 | 258,278 | ||||||
Simon Property Group LP, 3.80%, 07/15/50 | 430 | 424,039 | ||||||
UDR, Inc. | ||||||||
3.00%, 08/15/31 | 64 | 60,735 | ||||||
2.10%, 08/01/32 | 70 | 60,329 | ||||||
Ventas Realty LP, 3.00%, 01/15/30 | 455 | 435,422 | ||||||
Welltower, Inc., 2.05%, 01/15/29 | 135 | 122,850 | ||||||
|
| |||||||
18,309,523 | ||||||||
Food & Staples Retailing — 1.2% | ||||||||
7-Eleven, Inc. | ||||||||
0.80%, 02/10/24(a) | 925 | 888,589 | ||||||
0.95%, 02/10/26(a) | 755 | 686,203 | ||||||
CVS Health Corp. | ||||||||
1.30%, 08/21/27 | 585 | 531,939 | ||||||
4.30%, 03/25/28 | 455 | 475,966 | ||||||
1.88%, 02/28/31 | 765 | 673,553 | ||||||
4.78%, 03/25/38 | 460 | 502,706 | ||||||
5.30%, 12/05/43 | 200 | 232,838 | ||||||
5.13%, 07/20/45 | 496 | 559,890 | ||||||
5.05%, 03/25/48 | 867 | 981,870 | ||||||
Walmart, Inc., 2.65%, 09/22/51 | 360 | 320,016 | ||||||
|
| |||||||
5,853,570 | ||||||||
Food Products — 0.3% | ||||||||
General Mills, Inc. | ||||||||
2.25%, 10/14/31 | 110 | 98,676 | ||||||
3.00%, 02/01/51 | 2 | 1,723 |
58 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Food Products (continued) | ||||||||
Kraft Heinz Foods Co. | ||||||||
3.00%, 06/01/26 | USD 657 | $ | 647,697 | |||||
4.38%, 06/01/46 | 130 | 128,393 | ||||||
4.88%, 10/01/49 | 470 | 495,206 | ||||||
|
| |||||||
1,371,695 | ||||||||
Health Care Equipment & Supplies — 0.7% | ||||||||
Abbott Laboratories | ||||||||
3.75%, 11/30/26 | 241 | 250,106 | ||||||
4.75%, 11/30/36 | 220 | 255,655 | ||||||
4.75%, 04/15/43 | 117 | 135,567 | ||||||
Becton Dickinson and Co. | ||||||||
3.73%, 12/15/24 | 48 | 48,777 | ||||||
3.70%, 06/06/27 | 1,719 | 1,743,958 | ||||||
4.67%, 06/06/47 | 410 | 446,582 | ||||||
3.79%, 05/20/50 | 240 | 232,551 | ||||||
|
| |||||||
3,113,196 | ||||||||
Health Care Providers & Services — 2.5% | ||||||||
Aetna, Inc. | ||||||||
2.80%, 06/15/23 | 350 | 351,297 | ||||||
3.50%, 11/15/24 | 656 | 663,071 | ||||||
3.88%, 08/15/47 | 323 | 314,701 | ||||||
Anthem, Inc. | ||||||||
2.38%, 01/15/25 | 35 | 34,509 | ||||||
2.25%, 05/15/30 | 294 | 269,761 | ||||||
4.65%, 01/15/43 | 47 | 51,308 | ||||||
5.10%, 01/15/44 | 298 | 343,490 | ||||||
3.13%, 05/15/50 | 90 | 79,256 | ||||||
Banner Health, 2.91%, 01/01/42 | 183 | 161,965 | ||||||
Centene Corp. | ||||||||
4.25%, 12/15/27 | 315 | 316,181 | ||||||
2.45%, 07/15/28 | 375 | 342,638 | ||||||
3.38%, 02/15/30 | 220 | 207,006 | ||||||
3.00%, 10/15/30 | 315 | 289,318 | ||||||
2.50%, 03/01/31 | 415 | 366,250 | ||||||
Cigna Corp., 4.13%, 11/15/25 | 690 | 711,183 | ||||||
CommonSpirit Health | ||||||||
3.35%, 10/01/29 | 500 | 485,449 | ||||||
2.78%, 10/01/30 | 139 | 129,540 | ||||||
3.91%, 10/01/50 | 390 | 371,558 | ||||||
GSK Consumer Healthcare Capital U.S. LLC, 3.63%, 03/24/32(a) | 1,150 | 1,148,919 | ||||||
HCA, Inc. | ||||||||
5.38%, 09/01/26 | 430 | 451,500 | ||||||
5.50%, 06/15/47 | 825 | 930,929 | ||||||
5.25%, 06/15/49 | 560 | 613,290 | ||||||
3.50%, 07/15/51 | 440 | 381,516 | ||||||
Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52 | 301 | 304,395 | ||||||
Humana, Inc., 2.15%, 02/03/32 | 60 | 52,570 | ||||||
Sutter Health | ||||||||
Series 20A, 2.29%, 08/15/30 | 388 | 350,969 | ||||||
Series 20A, 3.36%, 08/15/50 | 177 | 157,838 | ||||||
UnitedHealth Group, Inc. | ||||||||
2.30%, 05/15/31 | 375 | 352,188 | ||||||
3.50%, 08/15/39 | 324 | 321,398 | ||||||
2.75%, 05/15/40 | 215 | 193,099 | ||||||
5.70%, 10/15/40 | 155 | 194,683 | ||||||
4.63%, 11/15/41 | 370 | 420,154 | ||||||
4.75%, 07/15/45 | 382 | 443,253 | ||||||
4.25%, 06/15/48 | 40 | 43,751 | ||||||
3.70%, 08/15/49 | 150 | 152,214 |
Security | Par (000) | Value | ||||||
Health Care Providers & Services (continued) |
| |||||||
UnitedHealth Group, Inc. | ||||||||
3.25%, 05/15/51 | USD 95 | $ | 89,230 | |||||
3.88%, 08/15/59 | 41 | 42,226 | ||||||
|
| |||||||
12,132,603 | ||||||||
Household Durables — 0.4% | ||||||||
Lennar Corp., 4.88%, 12/15/23 | 880 | 903,928 | ||||||
Panasonic Corp., 2.54%, 07/19/22(a) | 1,220 | 1,221,644 | ||||||
|
| |||||||
2,125,572 | ||||||||
Industrial Conglomerates — 0.4% | ||||||||
Carlisle Cos., Inc., 2.20%, 03/01/32 | 805 | 701,329 | ||||||
General Electric Co., 6.75%, 03/15/32 | 113 | 142,351 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
0.65%, 03/11/24(a) | 820 | 789,991 | ||||||
2.88%, 03/11/41(a) | 545 | 491,824 | ||||||
|
| |||||||
2,125,495 | ||||||||
Insurance — 1.7% | ||||||||
Allstate Corp., Series B, 5.75%, 08/15/53 | 788 | 784,060 | ||||||
American International Group, Inc. | ||||||||
3.40%, 06/30/30 | 1,130 | 1,126,930 | ||||||
4.50%, 07/16/44 | 478 | 515,802 | ||||||
4.80%, 07/10/45 | 317 | 357,188 | ||||||
Aon Corp., 2.80%, 05/15/30 | 505 | 481,041 | ||||||
Aon Corp./Aon Global Holdings PLC | ||||||||
2.05%, 08/23/31 | 400 | 353,017 | ||||||
2.60%, 12/02/31 | 290 | 267,078 | ||||||
Aon Global Ltd. | ||||||||
4.00%, 11/27/23 | 1,760 | 1,793,059 | ||||||
4.60%, 06/14/44 | 50 | 52,446 | ||||||
Berkshire Hathaway Finance Corp., 3.85%, 03/15/52 | 270 | 276,093 | ||||||
Hartford Financial Services Group, Inc., 2.90%, 09/15/51 | 25 | 20,557 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
3.75%, 03/14/26 | 600 | 609,389 | ||||||
2.25%, 11/15/30 | 265 | 241,901 | ||||||
2.38%, 12/15/31 | 175 | 160,232 | ||||||
Progressive Corp., 3.00%, 03/15/32 | 175 | 170,275 | ||||||
Prudential Financial, Inc. | ||||||||
3.94%, 12/07/49 | 100 | 101,619 | ||||||
4.35%, 02/25/50 | 225 | 244,254 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/39(a) | 90 | 117,792 | ||||||
3.30%, 05/15/50(a) | 265 | 234,613 | ||||||
Travelers Cos., Inc. | ||||||||
4.30%, 08/25/45 | 116 | 123,876 | ||||||
2.55%, 04/27/50 | 40 | 32,366 | ||||||
|
| |||||||
8,063,588 | ||||||||
Interactive Media & Services — 0.2% | ||||||||
Alphabet, Inc. | ||||||||
1.90%, 08/15/40 | 610 | 497,470 | ||||||
2.05%, 08/15/50 | 130 | 102,550 | ||||||
Tencent Holdings Ltd., 3.84%, 04/22/51(a) | 440 | 383,090 | ||||||
|
| |||||||
983,110 | ||||||||
Internet & Direct Marketing Retail — 1.3% | ||||||||
Alibaba Group Holding Ltd. | ||||||||
4.20%, 12/06/47 | 200 | 185,096 | ||||||
3.15%, 02/09/51 | 335 | 256,486 | ||||||
Amazon.com, Inc. | ||||||||
3.15%, 08/22/27 | 1,705 | 1,726,867 | ||||||
3.88%, 08/22/37 | 100 | 105,844 | ||||||
4.05%, 08/22/47 | 295 | 320,897 |
SCHEDULES OF INVESTMENTS | 59 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Internet & Direct Marketing Retail (continued) |
| |||||||
Amazon.com, Inc. | ||||||||
2.50%, 06/03/50 | USD 250 | $ | 208,715 | |||||
3.10%, 05/12/51 | 875 | 821,180 | ||||||
2.70%, 06/03/60 | 150 | 123,879 | ||||||
3.25%, 05/12/61 | 400 | 375,159 | ||||||
Expedia Group, Inc. | ||||||||
3.60%, 12/15/23 | 1,220 | 1,230,088 | ||||||
6.25%, 05/01/25(a) | 104 | 111,190 | ||||||
3.25%, 02/15/30 | 645 | 613,960 | ||||||
2.95%, 03/15/31 | 95 | 87,955 | ||||||
|
| |||||||
6,167,316 | ||||||||
IT Services — 1.2% | ||||||||
Fiserv, Inc. | ||||||||
3.80%, 10/01/23 | 1,100 | 1,117,068 | ||||||
2.75%, 07/01/24 | 170 | 169,477 | ||||||
4.40%, 07/01/49 | 156 | 161,077 | ||||||
Global Payments, Inc. | ||||||||
1.20%, 03/01/26 | 1,220 | 1,123,950 | ||||||
3.20%, 08/15/29 | 695 | 660,259 | ||||||
2.90%, 05/15/30 | 350 | 323,030 | ||||||
4.15%, 08/15/49 | 70 | 67,649 | ||||||
International Business Machines Corp. | ||||||||
4.15%, 05/15/39 | 376 | 394,502 | ||||||
4.25%, 05/15/49 | 570 | 607,034 | ||||||
Mastercard, Inc. | ||||||||
1.90%, 03/15/31 | 65 | 60,134 | ||||||
3.65%, 06/01/49 | 30 | 30,996 | ||||||
3.85%, 03/26/50 | 96 | 101,424 | ||||||
PayPal Holdings, Inc. | ||||||||
1.65%, 06/01/25 | 935 | 899,010 | ||||||
3.25%, 06/01/50 | 15 | 13,674 | ||||||
Visa, Inc., 3.65%, 09/15/47 | 30 | 30,980 | ||||||
|
| |||||||
5,760,264 | ||||||||
Machinery — 0.0% | ||||||||
Deere & Co., 3.75%, 04/15/50 | 35 | 36,997 | ||||||
|
| |||||||
Media — 2.4% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
6.38%, 10/23/35 | 255 | 288,081 | ||||||
6.48%, 10/23/45 | 1,260 | 1,434,363 | ||||||
5.75%, 04/01/48 | 400 | 425,254 | ||||||
5.13%, 07/01/49 | 378 | 375,006 | ||||||
4.80%, 03/01/50 | 725 | 688,684 | ||||||
3.85%, 04/01/61 | 240 | 192,950 | ||||||
Comcast Corp. | ||||||||
2.35%, 01/15/27 | 400 | 388,943 | ||||||
4.15%, 10/15/28 | 635 | 667,270 | ||||||
3.25%, 11/01/39 | 480 | 455,140 | ||||||
3.75%, 04/01/40 | 430 | 432,844 | ||||||
4.60%, 08/15/45 | 254 | 278,798 | ||||||
3.40%, 07/15/46 | 490 | 460,052 | ||||||
3.97%, 11/01/47 | 314 | 318,996 | ||||||
4.00%, 03/01/48 | 430 | 441,027 | ||||||
4.00%, 11/01/49 | 600 | 605,137 | ||||||
2.89%, 11/01/51(a) | 660 | 556,403 | ||||||
2.94%, 11/01/56(a) | 709 | 585,296 | ||||||
4.95%, 10/15/58 | 85 | 100,534 | ||||||
2.65%, 08/15/62 | 200 | 154,491 | ||||||
Discovery Communications LLC | ||||||||
2.95%, 03/20/23 | 182 | 182,406 | ||||||
3.80%, 03/13/24 | 500 | 503,577 |
Security | Par (000) | Value | ||||||
Media (continued) | ||||||||
Fox Corp., 3.05%, 04/07/25 | USD 125 | $ | 124,935 | |||||
Interpublic Group of Cos., Inc. | ||||||||
4.75%, 03/30/30 | 3 | 3,221 | ||||||
3.38%, 03/01/41 | 245 | 218,087 | ||||||
Magallanes, Inc., 3.43%, 03/15/24(a) | 390 | 392,138 | ||||||
NBCUniversal Media LLC, 4.45%, 01/15/43 | 80 | 86,015 | ||||||
Paramount Global | ||||||||
4.38%, 03/15/43 | 522 | 496,813 | ||||||
5.85%, 09/01/43 | 28 | 32,261 | ||||||
Time Warner Cable LLC, 4.50%, 09/15/42 | 137 | 126,714 | ||||||
TWDC Enterprises 18 Corp., 4.13%, 06/01/44 | 65 | 68,106 | ||||||
Walt Disney Co. | ||||||||
3.50%, 05/13/40 | 216 | 210,382 | ||||||
3.60%, 01/13/51 | 200 | 197,754 | ||||||
|
| |||||||
11,491,678 | ||||||||
Metals & Mining — 0.4% | ||||||||
BHP Billiton Finance USA Ltd., 5.00%, 09/30/43 | 28 | 33,206 | ||||||
Glencore Funding LLC, 2.63%, 09/23/31(a) | 590 | 527,760 | ||||||
Newmont Corp. | ||||||||
2.80%, 10/01/29 | 80 | 76,524 | ||||||
2.25%, 10/01/30 | 300 | 274,179 | ||||||
Nucor Corp. | ||||||||
2.00%, 06/01/25 | 150 | 145,198 | ||||||
2.98%, 12/15/55 | 13 | 10,741 | ||||||
Southern Copper Corp., 5.88%, 04/23/45 | 25 | 30,437 | ||||||
Steel Dynamics, Inc. | ||||||||
2.40%, 06/15/25 | 70 | 67,667 | ||||||
1.65%, 10/15/27 | 380 | 345,039 | ||||||
3.25%, 10/15/50 | 180 | 153,816 | ||||||
|
| |||||||
1,664,567 | ||||||||
Multi-Utilities — 1.4% | ||||||||
Alliant Energy Finance LLC, 3.75%, 06/15/23(a) | 510 | 515,661 | ||||||
CenterPoint Energy Houston Electric LLC, Series AG, 3.00%, 03/01/32 | 215 | 210,198 | ||||||
CenterPoint Energy Resources Corp., 1.75%, 10/01/30 | 315 | 276,147 | ||||||
CMS Energy Corp., 3.00%, 05/15/26 | 310 | 304,729 | ||||||
Consumers Energy Co., 2.50%, 05/01/60 | 425 | 323,252 | ||||||
Dominion Energy, Inc. | ||||||||
3.90%, 10/01/25 | 650 | 663,010 | ||||||
Series C, 3.38%, 04/01/30 | 200 | 197,304 | ||||||
NiSource, Inc. | ||||||||
0.95%, 08/15/25 | 250 | 229,745 | ||||||
5.25%, 02/15/43 | 55 | 59,384 | ||||||
4.38%, 05/15/47 | 264 | 268,942 | ||||||
Piedmont Natural Gas Co., Inc., 3.35%, 06/01/50 | 50 | 44,552 | ||||||
Sempra Energy | ||||||||
3.40%, 02/01/28 | 2,125 | 2,117,899 | ||||||
3.70%, 04/01/29 | 225 | 226,089 | ||||||
Virginia Electric & Power Co. | ||||||||
4.00%, 01/15/43 | 160 | 162,956 | ||||||
4.60%, 12/01/48 | 40 | 44,989 | ||||||
3.30%, 12/01/49 | 191 | 179,054 | ||||||
Series B, 6.00%, 01/15/36 | 536 | 648,238 | ||||||
|
| |||||||
6,472,149 | ||||||||
Oil, Gas & Consumable Fuels — 8.5% | ||||||||
Atmos Energy Corp., 2.85%, 02/15/52 | 265 | 224,936 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.19%, 04/06/25 | 560 | 564,025 | ||||||
3.59%, 04/14/27 | 250 | 253,701 | ||||||
3.94%, 09/21/28 | 46 | 47,610 | ||||||
4.23%, 11/06/28 | 216 | 226,828 |
60 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
BP Capital Markets America, Inc. | ||||||||
1.75%, 08/10/30 | USD 245 | $ | 216,683 | |||||
3.06%, 06/17/41 | 960 | 860,233 | ||||||
3.38%, 02/08/61 | 55 | 48,896 | ||||||
BP Capital Markets PLC, 3.28%, 09/19/27 | 117 | 118,055 | ||||||
Cameron LNG LLC, 3.30%, 01/15/35(a) | 420 | 394,726 | ||||||
Cenovus Energy, Inc., 3.75%, 02/15/52 | 305 | 272,756 | ||||||
Cheniere Corpus Christi Holdings LLC, 5.88%, 03/31/25 | 2,010 | 2,121,420 | ||||||
ConocoPhillips Co., 3.80%, 03/15/52 | 275 | 279,820 | ||||||
Coterra Energy, Inc., 4.38%, 06/01/24(a) | 310 | 316,230 | ||||||
Devon Energy Corp. | ||||||||
5.25%, 10/15/27 | 725 | 751,628 | ||||||
4.50%, 01/15/30 | 400 | 412,774 | ||||||
4.75%, 05/15/42 | 260 | 274,746 | ||||||
Diamondback Energy, Inc. | ||||||||
3.50%, 12/01/29 | 1,540 | 1,525,472 | ||||||
4.25%, 03/15/52 | 160 | 158,135 | ||||||
Enbridge, Inc. | ||||||||
(SOFR + 0.40%), 0.60%, 02/17/23(b) | 340 | 339,642 | ||||||
4.00%, 10/01/23 | 2,070 | 2,102,165 | ||||||
0.55%, 10/04/23 | 575 | 557,239 | ||||||
2.50%, 01/15/25 | 615 | 604,255 | ||||||
4.25%, 12/01/26 | 600 | 621,777 | ||||||
6.25%, 03/01/78 | 780 | 807,442 | ||||||
Energy Transfer LP | ||||||||
3.60%, 02/01/23 | 389 | 391,242 | ||||||
4.90%, 02/01/24 | 730 | 749,401 | ||||||
4.50%, 04/15/24 | 550 | 562,743 | ||||||
4.00%, 10/01/27 | 565 | 568,634 | ||||||
3.75%, 05/15/30 | 265 | 260,696 | ||||||
6.50%, 02/01/42 | 210 | 241,360 | ||||||
5.95%, 10/01/43 | 210 | 224,125 | ||||||
5.35%, 05/15/45 | 702 | 722,531 | ||||||
6.13%, 12/15/45 | 250 | 275,688 | ||||||
5.30%, 04/15/47 | 84 | 86,322 | ||||||
5.40%, 10/01/47 | 880 | 921,300 | ||||||
6.00%, 06/15/48 | 82 | 90,897 | ||||||
6.25%, 04/15/49 | 630 | 722,910 | ||||||
Series 5Y, 4.20%, 09/15/23 | 1,186 | 1,201,627 | ||||||
Energy Transfer LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | 1,691 | 1,704,651 | ||||||
Enterprise Products Operating LLC | ||||||||
5.95%, 02/01/41 | 196 | 232,360 | ||||||
5.70%, 02/15/42 | 114 | 132,425 | ||||||
4.45%, 02/15/43 | 1,044 | 1,051,374 | ||||||
4.25%, 02/15/48 | 229 | 229,915 | ||||||
4.80%, 02/01/49 | 406 | 433,036 | ||||||
4.20%, 01/31/50 | 575 | 570,557 | ||||||
Exxon Mobil Corp., 3.45%, 04/15/51 | 205 | 198,726 | ||||||
Hess Corp. | ||||||||
4.30%, 04/01/27 | 600 | 615,650 | ||||||
5.60%, 02/15/41 | 642 | 721,382 | ||||||
5.80%, 04/01/47 | 396 | 471,151 | ||||||
HollyFrontier Corp., 2.63%, 10/01/23 | 640 | 633,464 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
7.30%, 08/15/33 | 490 | 607,848 | ||||||
6.95%, 01/15/38 | 100 | 125,056 | ||||||
4.70%, 11/01/42 | 150 | 149,632 | ||||||
5.00%, 03/01/43 | 150 | 154,281 | ||||||
Kinder Morgan, Inc. | ||||||||
3.15%, 01/15/23 | 2,295 | 2,307,100 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Kinder Morgan, Inc. | ||||||||
5.55%, 06/01/45 | USD 350 | $ | 391,280 | |||||
5.05%, 02/15/46 | 475 | 503,558 | ||||||
3.60%, 02/15/51 | 300 | 266,363 | ||||||
Marathon Oil Corp. | ||||||||
4.40%, 07/15/27 | 744 | 766,984 | ||||||
5.20%, 06/01/45 | 60 | 64,988 | ||||||
Marathon Petroleum Corp., 4.75%, 09/15/44 | 151 | 153,538 | ||||||
MPLX LP | ||||||||
3.50%, 12/01/22 | 70 | 70,557 | ||||||
1.75%, 03/01/26 | 955 | 894,863 | ||||||
4.13%, 03/01/27 | 640 | 654,444 | ||||||
4.25%, 12/01/27 | 70 | 72,294 | ||||||
Occidental Petroleum Corp., 4.63%, 06/15/45 | 30 | 29,100 | ||||||
Ovintiv Exploration, Inc., 5.38%, 01/01/26 | 335 | 355,085 | ||||||
Pioneer Natural Resources Co. | ||||||||
0.55%, 05/15/23 | 580 | 567,093 | ||||||
1.13%, 01/15/26 | 255 | 236,485 | ||||||
1.90%, 08/15/30 | 470 | 416,637 | ||||||
2.15%, 01/15/31 | 195 | 175,730 | ||||||
Plains All American Pipeline LP/PAA Finance Corp., 4.30%, 01/31/43 | 350 | 309,890 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.75%, 05/15/24 | 1,110 | 1,161,768 | ||||||
4.20%, 03/15/28 | 105 | 107,823 | ||||||
Texas Eastern Transmission LP, 2.80%, 10/15/22(a) | 750 | 752,174 | ||||||
TotalEnergies Capital International SA, 3.13%, 05/29/50 | 123 | 112,217 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 | 265 | 271,069 | ||||||
Valero Energy Corp. | ||||||||
2.85%, 04/15/25 | 40 | 39,521 | ||||||
4.00%, 06/01/52 | 120 | 112,776 | ||||||
Williams Cos., Inc., 3.75%, 06/15/27 | 780 | 788,522 | ||||||
|
| |||||||
40,734,037 | ||||||||
Paper & Forest Products — 0.1% | ||||||||
Celulosa Arauco y Constitucion SA, 5.50%, 04/30/49(a) | 270 | 273,679 | ||||||
Suzano Austria GmbH, 2.50%, 09/15/28 | 80 | 71,904 | ||||||
|
| |||||||
345,583 | ||||||||
Pharmaceuticals — 1.3% | ||||||||
Astrazeneca Finance LLC, 2.25%, 05/28/31 | 5 | 4,656 | ||||||
Bayer U.S. Finance II LLC | ||||||||
3.88%, 12/15/23(a) | 1,025 | 1,035,567 | ||||||
4.25%, 12/15/25(a) | 215 | 218,609 | ||||||
Bristol-Myers Squibb Co. | ||||||||
2.90%, 07/26/24 | 160 | 161,187 | ||||||
3.70%, 03/15/52 | 410 | 412,025 | ||||||
3.90%, 03/15/62 | 205 | 206,112 | ||||||
Johnson & Johnson, 3.55%, 03/01/36 | 112 | 115,785 | ||||||
Merck & Co., Inc. | ||||||||
1.45%, 06/24/30 | 58 | 51,496 | ||||||
2.15%, 12/10/31 | 320 | 295,978 | ||||||
3.70%, 02/10/45 | 19 | 19,351 | ||||||
2.75%, 12/10/51 | 265 | 230,826 | ||||||
Pfizer, Inc. | ||||||||
3.45%, 03/15/29 | 135 | 138,857 | ||||||
3.90%, 03/15/39 | 38 | 40,395 | ||||||
Roche Holdings, Inc., 2.61%, 12/13/51(a) | 770 | 666,957 | ||||||
Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23 | 577 | 578,600 | ||||||
Takeda Pharmaceutical Co. Ltd. | ||||||||
4.40%, 11/26/23 | 900 | 922,199 |
SCHEDULES OF INVESTMENTS | 61 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Pharmaceuticals (continued) | ||||||||
Takeda Pharmaceutical Co. Ltd. | ||||||||
5.00%, 11/26/28 | USD 375 | $ | 406,639 | |||||
3.18%, 07/09/50 | 725 | 634,221 | ||||||
Wyeth LLC, 5.95%, 04/01/37 | 103 | 130,982 | ||||||
|
| |||||||
6,270,442 | ||||||||
Road & Rail — 1.8% | ||||||||
Burlington Northern Santa Fe LLC | ||||||||
5.75%, 05/01/40 | 350 | 436,154 | ||||||
4.40%, 03/15/42 | 235 | 255,379 | ||||||
4.90%, 04/01/44 | 415 | 476,731 | ||||||
3.55%, 02/15/50 | 140 | 138,733 | ||||||
2.88%, 06/15/52 | 195 | 172,743 | ||||||
Canadian Pacific Railway Co. | ||||||||
2.05%, 03/05/30 | 45 | 41,222 | ||||||
3.00%, 12/02/41 | 305 | 274,365 | ||||||
3.10%, 12/02/51 | 340 | 300,608 | ||||||
CSX Corp. | ||||||||
3.25%, 06/01/27 | 195 | 196,285 | ||||||
3.80%, 03/01/28 | 480 | 495,928 | ||||||
4.25%, 03/15/29 | 135 | 143,163 | ||||||
4.30%, 03/01/48 | 125 | 134,289 | ||||||
4.75%, 11/15/48 | 71 | 81,313 | ||||||
Norfolk Southern Corp. | ||||||||
3.80%, 08/01/28 | 525 | 536,054 | ||||||
4.45%, 06/15/45 | 40 | 42,788 | ||||||
3.94%, 11/01/47 | 170 | 173,669 | ||||||
4.15%, 02/28/48 | 140 | 146,208 | ||||||
3.40%, 11/01/49 | 100 | 93,328 | ||||||
3.05%, 05/15/50 | 320 | 285,041 | ||||||
3.70%, 03/15/53 | 455 | 449,739 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | ||||||||
3.45%, 07/01/24(a) | 60 | 60,125 | ||||||
4.00%, 07/15/25(a) | 2,045 | 2,064,871 | ||||||
Ryder System, Inc., 2.85%, 03/01/27 | 510 | 494,534 | ||||||
Union Pacific Corp. | ||||||||
4.05%, 03/01/46 | 105 | 109,426 | ||||||
4.50%, 09/10/48 | 215 | 238,542 | ||||||
3.50%, 02/14/53 | 255 | 249,508 | ||||||
3.95%, 08/15/59 | 134 | 136,046 | ||||||
3.84%, 03/20/60 | 489 | 490,700 | ||||||
3.55%, 05/20/61 | 80 | 75,994 | ||||||
|
| |||||||
8,793,486 | ||||||||
Semiconductors & Semiconductor Equipment — 2.8% | ||||||||
Analog Devices, Inc. | ||||||||
2.95%, 04/01/25 | 155 | 155,291 | ||||||
2.80%, 10/01/41 | 190 | 170,478 | ||||||
Applied Materials, Inc., 3.30%, 04/01/27 | 705 | 714,543 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 | 1,023 | 1,029,839 | ||||||
Broadcom, Inc. | ||||||||
3.15%, 11/15/25 | 28 | 27,773 | ||||||
4.75%, 04/15/29 | 1,390 | 1,460,517 | ||||||
4.15%, 11/15/30 | 1,045 | 1,059,096 | ||||||
4.15%, 04/15/32(a) | 450 | 449,015 | ||||||
3.42%, 04/15/33(a) | 1,592 | 1,485,848 | ||||||
Intel Corp. | ||||||||
2.80%, 08/12/41 | 115 | 101,534 | ||||||
4.75%, 03/25/50 | 90 | 104,808 | ||||||
3.05%, 08/12/51 | 370 | 328,965 | ||||||
3.20%, 08/12/61 | 45 | 39,795 | ||||||
KLA Corp. | ||||||||
4.65%, 11/01/24 | 40 | 41,444 |
Security | Par (000) | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
KLA Corp. | ||||||||
4.10%, 03/15/29 | USD 939 | $ | 985,499 | |||||
5.00%, 03/15/49 | 355 | 424,078 | ||||||
3.30%, 03/01/50 | 255 | 240,190 | ||||||
Lam Research Corp., 3.75%, 03/15/26 | 890 | 914,518 | ||||||
NVIDIA Corp., 3.50%, 04/01/40 | 340 | 342,478 | ||||||
NXP BV/NXP Funding LLC, 5.55%, 12/01/28(a) | 70 | 75,737 | ||||||
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. | ||||||||
4.30%, 06/18/29(a) | 701 | 722,380 | ||||||
3.40%, 05/01/30(a) | 400 | 388,304 | ||||||
2.50%, 05/11/31(a) | 760 | 680,656 | ||||||
2.65%, 02/15/32(a) | 545 | 489,372 | ||||||
QUALCOMM, Inc., 4.30%, 05/20/47 | 465 | 523,257 | ||||||
Texas Instruments, Inc., 2.70%, 09/15/51 | 220 | 195,350 | ||||||
|
| |||||||
13,150,765 | ||||||||
Software — 2.3% | ||||||||
Autodesk, Inc., 2.40%, 12/15/31 | 1,030 | 918,337 | ||||||
Microsoft Corp. | ||||||||
3.45%, 08/08/36 | 43 | 44,724 | ||||||
2.53%, 06/01/50 | 1,675 | 1,446,354 | ||||||
2.92%, 03/17/52 | 504 | 472,948 | ||||||
Oracle Corp. | ||||||||
2.95%, 04/01/30 | 230 | 212,189 | ||||||
3.85%, 07/15/36 | 114 | 104,932 | ||||||
3.60%, 04/01/40 | 250 | 216,872 | ||||||
5.38%, 07/15/40 | 800 | 844,101 | ||||||
3.65%, 03/25/41 | 408 | 356,362 | ||||||
4.50%, 07/08/44 | 300 | 283,997 | ||||||
4.00%, 07/15/46 | 172 | 152,623 | ||||||
4.00%, 11/15/47 | 1,006 | 889,676 | ||||||
3.60%, 04/01/50 | 1,650 | 1,368,448 | ||||||
3.95%, 03/25/51 | 567 | 495,680 | ||||||
3.85%, 04/01/60 | 150 | 123,100 | ||||||
salesforce.com, Inc. | ||||||||
2.70%, 07/15/41 | 315 | 278,773 | ||||||
2.90%, 07/15/51 | 340 | 301,889 | ||||||
3.05%, 07/15/61 | 125 | 109,650 | ||||||
VMware, Inc., 2.20%, 08/15/31 | 1,830 | 1,611,192 | ||||||
Workday, Inc., 3.80%, 04/01/32 | 615 | 613,830 | ||||||
|
| |||||||
10,845,677 | ||||||||
Specialty Retail — 0.7% | ||||||||
Home Depot, Inc. | ||||||||
4.40%, 03/15/45 | 215 | 235,938 | ||||||
4.25%, 04/01/46 | 335 | 366,418 | ||||||
3.90%, 06/15/47 | 140 | 145,825 | ||||||
4.50%, 12/06/48 | 240 | 269,632 | ||||||
3.13%, 12/15/49 | 150 | 137,134 | ||||||
3.35%, 04/15/50 | 200 | 188,443 | ||||||
Lowe’s Cos., Inc. | ||||||||
3.70%, 04/15/46 | 485 | 464,719 | ||||||
4.55%, 04/05/49 | 199 | 213,464 | ||||||
5.13%, 04/15/50 | 315 | 368,500 | ||||||
3.00%, 10/15/50 | 260 | 221,195 | ||||||
4.25%, 04/01/52 | 415 | 429,248 | ||||||
4.45%, 04/01/62 | 220 | 228,929 | ||||||
|
| |||||||
3,269,445 | ||||||||
Technology Hardware, Storage & Peripherals — 1.0% | ||||||||
Apple Inc. | ||||||||
2.20%, 09/11/29 | 25 | 23,827 | ||||||
3.85%, 05/04/43 | 481 | 505,934 | ||||||
4.38%, 05/13/45 | 775 | 875,899 |
62 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Technology Hardware, Storage & Peripherals (continued) |
| |||||||
Apple Inc. | ||||||||
4.65%, 02/23/46 | USD 400 | $ | 473,302 | |||||
3.85%, 08/04/46 | 430 | 454,018 | ||||||
3.75%, 09/12/47 | 200 | 207,942 | ||||||
2.65%, 02/08/51 | 515 | 444,231 | ||||||
2.70%, 08/05/51 | 405 | 352,065 | ||||||
HP, Inc., 1.45%, 06/17/26 | 1,775 | 1,631,234 | ||||||
|
| |||||||
4,968,452 | ||||||||
Tobacco — 1.3% | ||||||||
Altria Group, Inc. | ||||||||
4.80%, 02/14/29 | 390 | 408,845 | ||||||
2.45%, 02/04/32 | 115 | 99,966 | ||||||
4.50%, 05/02/43 | 75 | 68,281 | ||||||
5.38%, 01/31/44 | 324 | 334,881 | ||||||
5.95%, 02/14/49 | 691 | 748,045 | ||||||
4.00%, 02/04/61 | 430 | 360,365 | ||||||
BAT Capital Corp. | ||||||||
4.70%, 04/02/27 | 1,200 | 1,230,776 | ||||||
3.56%, 08/15/27 | 454 | 441,855 | ||||||
2.26%, 03/25/28 | 300 | 269,181 | ||||||
2.73%, 03/25/31 | 160 | 141,008 | ||||||
4.74%, 03/16/32 | 760 | 764,493 | ||||||
4.39%, 08/15/37 | 170 | 158,086 | ||||||
Reynolds American, Inc. | ||||||||
5.70%, 08/15/35 | 875 | 923,197 | ||||||
7.00%, 08/04/41 | 70 | 80,229 | ||||||
|
| |||||||
6,029,208 | ||||||||
Trading Companies & Distributors — 0.8% | ||||||||
Air Lease Corp. | ||||||||
3.38%, 07/01/25 | 580 | 571,640 | ||||||
2.88%, 01/15/26 | 760 | 733,532 | ||||||
1.88%, 08/15/26 | 2,730 | 2,514,904 | ||||||
|
| |||||||
3,820,076 | ||||||||
Wireless Telecommunication Services — 1.2% | ||||||||
America Movil SAB de CV | ||||||||
3.63%, 04/22/29 | 250 | 251,013 | ||||||
4.38%, 04/22/49 | 525 | 553,481 | ||||||
Rogers Communications, Inc. | ||||||||
3.80%, 03/15/32(a) | 490 | 486,206 | ||||||
4.30%, 02/15/48 | 72 | 70,233 | ||||||
4.35%, 05/01/49 | 142 | 138,448 | ||||||
3.70%, 11/15/49 | 176 | 156,521 | ||||||
4.55%, 03/15/52(a) | 900 | 894,742 | ||||||
T-Mobile U.S.A., Inc. | ||||||||
3.88%, 04/15/30 | 250 | 250,960 | ||||||
2.70%, 03/15/32(a) | 1,405 | 1,278,118 | ||||||
4.38%, 04/15/40 | 495 | 497,100 | ||||||
3.00%, 02/15/41 | 165 | 139,477 | ||||||
4.50%, 04/15/50 | 65 | 65,758 | ||||||
3.30%, 02/15/51 | 265 | 222,978 | ||||||
Vodafone Group PLC | ||||||||
4.38%, 02/19/43 | 327 | 328,211 | ||||||
5.25%, 05/30/48 | 235 | 263,234 | ||||||
|
| |||||||
5,596,480 | ||||||||
|
| |||||||
Total Corporate Bonds — 87.7% | 417,900,312 | |||||||
|
| |||||||
Foreign Agency Obligations | ||||||||
Mexico — 0.2% | ||||||||
Petroleos Mexicanos, 7.69%, 01/23/50 | 1,125 | 978,750 |
Security | Par (000) | Value | ||||||
Norway — 0.1% | ||||||||
Equinor ASA, 2.88%, 04/06/25 | USD 375 | $ | 375,035 | |||||
|
| |||||||
Panama — 0.1% | ||||||||
Banco Nacional de Panama, 2.50%, 08/11/30(a) | 560 | 491,932 | ||||||
|
| |||||||
Saudi Arabia — 0.1% | ||||||||
Saudi Arabian Oil Co. | ||||||||
2.25%, 11/24/30(a) | 485 | 443,775 | ||||||
4.25%, 04/16/39(a) | 200 | 204,500 | ||||||
|
| |||||||
648,275 | ||||||||
|
| |||||||
Total Foreign Agency Obligations — 0.5% |
| 2,493,992 | ||||||
|
| |||||||
Foreign Government Obligations |
| |||||||
Chile — 0.1% | ||||||||
Republic of Chile, 3.50%, 01/25/50 | 510 | 466,746 | ||||||
|
| |||||||
Indonesia — 0.3% | ||||||||
Republic of Indonesia | ||||||||
4.13%, 01/15/25(a) | 350 | 361,331 | ||||||
3.50%, 01/11/28 | 975 | 1,001,081 | ||||||
|
| |||||||
1,362,412 | ||||||||
Israel — 0.0% | ||||||||
State of Israel, 3.88%, 07/03/50 | 250 | 258,328 | ||||||
|
| |||||||
Italy — 0.3% | ||||||||
Republic of Italy, 0.88%, 05/06/24 | 1,332 | 1,274,727 | ||||||
|
| |||||||
Mexico — 0.9% | ||||||||
United Mexican States | ||||||||
4.15%, 03/28/27 | 1,393 | 1,466,132 | ||||||
2.66%, 05/24/31 | 875 | 797,125 | ||||||
4.75%, 03/08/44 | 803 | 792,962 | ||||||
4.60%, 02/10/48 | 600 | 571,800 | ||||||
4.40%, 02/12/52 | 365 | 335,983 | ||||||
3.77%, 05/24/61 | 620 | 501,890 | ||||||
|
| |||||||
4,465,892 | ||||||||
Panama — 0.2% | ||||||||
Republic of Panama | ||||||||
3.16%, 01/23/30 | 400 | 390,950 | ||||||
4.30%, 04/29/53 | 240 | 232,320 | ||||||
4.50%, 04/01/56 | 200 | 196,413 | ||||||
|
| |||||||
819,683 | ||||||||
Peru — 0.2% | ||||||||
Republic of Peru | ||||||||
3.00%, 01/15/34 | 530 | 496,610 | ||||||
3.30%, 03/11/41 | 140 | 127,400 | ||||||
2.78%, 12/01/60 | 460 | 360,899 | ||||||
|
| |||||||
984,909 | ||||||||
Poland — 0.1% | ||||||||
Republic of Poland, 3.25%, 04/06/26 | 440 | 447,383 | ||||||
|
| |||||||
Uruguay — 0.1% | ||||||||
Republic of Uruguay, 4.38%, 10/27/27 | 315 | 333,664 | ||||||
|
| |||||||
Total Foreign Government Obligations — 2.2% |
| 10,413,744 | ||||||
|
| |||||||
Municipal Bonds | ||||||||
California — 1.1% | ||||||||
City of San Francisco Public Utilities Commission Water Revenue RB, Series A, 3.30%, 11/01/39 | 495 | 480,693 |
SCHEDULES OF INVESTMENTS | 63 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
California (continued) | ||||||||
Los Angeles Community College District, GO, Refunding, 1.61%, 08/01/28 | USD 1,170 | $ | 1,080,675 | |||||
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45 | 1,075 | 1,534,044 | ||||||
State of California, GO, 7.63%, 03/01/40 | 1,125 | 1,652,177 | ||||||
University of California, RB, 3.35%, 07/01/29 | 550 | 554,463 | ||||||
|
| |||||||
5,302,052 | ||||||||
Illinois — 0.3% | ||||||||
Chicago O’Hare International Airport RB, 6.40%, 01/01/40 | 1,000 | 1,339,578 | ||||||
|
| |||||||
New Jersey — 0.0% | ||||||||
New Jersey Transportation Trust Fund Authority RB, 4.13%, 06/15/42 | 165 | 164,043 | ||||||
|
| |||||||
New York — 0.7% | ||||||||
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39 | 1,125 | 1,656,053 | ||||||
New York State Dormitory Authority RB, Series F, 3.11%, 02/15/39 | 590 | 545,701 | ||||||
Port Authority of New York & New Jersey, RB, 4.46%, 10/01/62 | 1,040 | 1,162,054 | ||||||
|
| |||||||
3,363,808 | ||||||||
Texas — 0.1% | ||||||||
Texas Transportation Commission RB, 2.56%, 04/01/42 | 210 | 183,429 | ||||||
|
| |||||||
Total Municipal Bonds — 2.2% | 10,352,910 | |||||||
|
| |||||||
Preferred Securities | ||||||||
Capital Trusts — 2.9% | ||||||||
Banks — 2.0% | ||||||||
Citigroup, Inc., 3.88%(c) | 1,300 | 1,225,250 | ||||||
HSBC Holdings PLC | ||||||||
4.00%(c) | 200 | 189,600 | ||||||
6.00%(c) | 520 | 529,100 | ||||||
6.38%(c) | 500 | 517,335 | ||||||
ING Groep NV, 3.88%(c) | 865 | 752,550 | ||||||
JPMorgan Chase & Co. | ||||||||
Series FF, 5.00%(c) | 208 | 207,308 | ||||||
Series I, (3 mo. LIBOR US + 3.47%), 3.77%(b)(c) | 244 | 244,000 | ||||||
Series S, 6.75%(c) | 925 | 965,293 | ||||||
Lloyds Banking Group PLC, 7.50%(c) | 380 | 403,908 | ||||||
NatWest Group PLC, 6.00%(c) | 1,010 | 1,031,362 | ||||||
U.S. Bancorp | ||||||||
3.70%(c) | 1,155 | 1,045,275 | ||||||
Series J, 5.30%(c) | 1,075 | 1,060,036 | ||||||
Wells Fargo & Co. | ||||||||
Series BB, 3.90%(c) | 340 | 325,907 | ||||||
Series U, 5.88%(c) | 1,125 | 1,175,400 | ||||||
|
| |||||||
9,672,324 | ||||||||
Capital Markets — 0.6% | ||||||||
Charles Schwab Corp. | ||||||||
Series H, 4.00%(c) | 298 | 267,640 | ||||||
Series I, 4.00%(c) | 500 | 478,750 |
Security | Par (000) | Value | ||||||
Capital Markets (continued) | ||||||||
State Street Corp. | ||||||||
Series F, (3 mo. LIBOR US + 3.60%), 4.42%(b)(c) | USD 95 | $ | 94,973 | |||||
Series H, 5.63%(c) | 735 | 726,180 | ||||||
UBS Group AG | ||||||||
3.88%(a)(c) | 685 | 630,850 | ||||||
4.88%(a)(c) | 770 | 742,819 | ||||||
|
| |||||||
2,941,212 | ||||||||
Electric Utilities — 0.2% | ||||||||
Exelon Corp., 3.50% | 785 | 785,936 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||
TransCanada Trust | ||||||||
5.63% | 359 | 359,108 | ||||||
Series 16-A, 5.88% | 120 | 121,293 | ||||||
|
| |||||||
480,401 | ||||||||
|
| |||||||
Total Preferred Securities — 2.9% | 13,879,873 | |||||||
|
| |||||||
U.S. Treasury Obligations | ||||||||
U.S. Treasury Bonds | ||||||||
1.13%, 08/15/40 | 5,435 | 4,260,743 | ||||||
2.25%, 05/15/41 | 1,000 | 944,023 | ||||||
1.75%, 08/15/41 | 2,025 | 1,755,105 | ||||||
2.00%, 02/15/50 | 77 | 69,627 | ||||||
1.38%, 08/15/50 | 392 | 301,410 | ||||||
1.63%, 11/15/50 | 1,361 | 1,115,522 | ||||||
2.38%, 05/15/51 | 800 | 783,937 | ||||||
U.S. Treasury Notes, 1.13%, 01/15/25 | 4,364 | 4,202,055 | ||||||
|
| |||||||
Total U.S. Treasury Obligations — 2.8% | 13,432,422 | |||||||
|
| |||||||
Total Long-Term Investments — 98.3% | 468,473,253 | |||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities(d) | ||||||||
Money Market Funds — 1.3% | ||||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.12% | 6,072,055 | 6,072,055 | ||||||
|
| |||||||
Total Short-Term Securities — 1.3% | 6,072,055 | |||||||
|
| |||||||
Total Investments — 99.6% | 474,545,308 | |||||||
Other Assets Less Liabilities — 0.4% | 1,932,936 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 476,478,244 | ||||||
|
|
(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. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) | Perpetual security with no stated maturity date. |
(d) | 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.
64 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | 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) | 71 | 06/21/22 | $ | 10,654 | $ | (205,622 | ) | |||||||||
U.S. Treasury Notes (10 Year) | 76 | 06/21/22 | 9,339 | (102,376 | ) | |||||||||||
U.S. Ultra Treasury Bonds | 27 | 06/21/22 | 4,782 | (95,374 | ) | |||||||||||
U.S. Ultra Treasury Notes (10 Year) | 9 | 06/21/22 | 1,219 | 4,911 | ||||||||||||
U.S. Treasury Notes (2 Year) | 59 | 06/30/22 | 12,503 | (118,986 | ) | |||||||||||
|
| |||||||||||||||
(517,447 | ) | |||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
U.S. Treasury Notes (5 Year) | 61 | 06/30/22 | 6,996 | 174,453 | ||||||||||||
|
| |||||||||||||||
$ | (342,994 | ) | ||||||||||||||
|
|
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:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 179,364 | $ | — | $ | 179,364 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 522,358 | $ | — | $ | 522,358 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Net cumulative unrealized appreciation (depreciation) on futures 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 period ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (161,625 | ) | $ | — | $ | (161,625 | ) | ||||||||||||
Swaps | — | (2,021 | ) | — | — | — | — | (2,021 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (2,021 | ) | $ | — | $ | — | $ | (161,625 | ) | $ | — | $ | (163,646 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
| |||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (199,098 | ) | $ | — | $ | (199,098 | ) | ||||||||||||
Swaps | — | (5,631 | ) | — | — | — | — | (5,631 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (5,631 | ) | $ | — | $ | — | $ | (199,098 | ) | $ | — | $ | (204,729 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts | ||||
Average notional value of contracts — long | $ | 43,793,498 | ||
Average notional value of contracts — short | $ | 16,661,358 | ||
Credit default swaps | ||||
Average notional value — buy protection | $ | 8,063,000 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
SCHEDULES OF INVESTMENTS | 65 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series C Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Corporate Bonds | $ | — | $ | 417,900,312 | $ | — | $ | 417,900,312 | ||||||||
Foreign Agency Obligations | — | 2,493,992 | — | 2,493,992 | ||||||||||||
Foreign Government Obligations | — | 10,413,744 | — | 10,413,744 | ||||||||||||
Municipal Bonds | — | 10,352,910 | — | 10,352,910 | ||||||||||||
Preferred Securities | — | 13,879,873 | — | 13,879,873 | ||||||||||||
U.S. Treasury Obligations | — | 13,432,422 | — | 13,432,422 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 6,072,055 | — | — | 6,072,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 6,072,055 | $ | 468,473,253 | $ | — | $ | 474,545,308 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Interest Rate Contracts | $ | 179,364 | $ | — | $ | — | $ | 179,364 | ||||||||
Liabilities | ||||||||||||||||
Interest Rate Contracts | (522,358 | ) | — | — | (522,358 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (342,994 | ) | $ | — | $ | — | $ | (342,994 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
66 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Municipal Bonds | ||||||||||||
Alabama — 1.1% | ||||||||||||
County of Jefferson Sewer Revenue, Refunding RB, Series D, 6.50%, 10/01/53 | USD | 1,000 | $ | 1,097,911 | ||||||||
Hoover IDB, RB, AMT, 6.38%, 11/01/50(a) | 1,645 | 2,009,203 | ||||||||||
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35 | 1,000 | 1,099,660 | ||||||||||
|
| |||||||||||
4,206,774 | ||||||||||||
American Samoa — 0.1% | ||||||||||||
American Samoa EDA, RB, Series A, 5.00%, 09/01/38(b) | 265 | 307,397 | ||||||||||
|
| |||||||||||
Arizona — 2.9% | ||||||||||||
Arizona IDA | ||||||||||||
RB, 5.00%, 07/01/45(b) | 265 | 273,094 | ||||||||||
RB, 5.00%, 12/15/49(b) | 105 | 109,248 | ||||||||||
RB, 7.10%, 01/01/55(b) | 920 | 847,508 | ||||||||||
RB, 5.00%, 07/01/55(b) | 285 | 291,045 | ||||||||||
RB, Series B, 5.13%, 07/01/47(b) | 195 | 205,208 | ||||||||||
Refunding RB, 5.50%, 07/01/52(b) | 610 | 644,220 | ||||||||||
Refunding RB, Series A, 5.00%, 07/01/26(b) | 300 | 310,517 | ||||||||||
Refunding RB, Series A, 5.13%, 07/01/37(b) | 605 | 633,801 | ||||||||||
Refunding RB, Series G, 5.00%, 07/01/47(b) | 185 | 192,342 | ||||||||||
City of Phoenix IDA | ||||||||||||
RB, 5.00%, 07/01/46(b) | 570 | 588,968 | ||||||||||
RB, 5.00%, 07/01/59 | 880 | 954,406 | ||||||||||
RB, Series A, 5.00%, 07/01/49(b) | 270 | 272,748 | ||||||||||
Refunding RB, 5.00%, 07/01/35(b) | 300 | 310,333 | ||||||||||
Refunding RB, 5.00%, 07/01/45(b) | 100 | 102,657 | ||||||||||
Refunding RB, Series A, 5.00%, 07/01/35(b) | 45 | 46,550 | ||||||||||
County of Pima IDA | ||||||||||||
RB, 5.13%, 07/01/39 | 145 | 146,651 | ||||||||||
RB, 5.25%, 07/01/49 | 180 | 181,434 | ||||||||||
Refunding RB, 4.00%, 06/15/51(b) | 810 | 740,918 | ||||||||||
Refunding RB, 5.00%, 07/01/56(b) | 295 | 301,178 | ||||||||||
Refunding RB, 4.00%, 06/15/57(b) | 625 | 557,180 | ||||||||||
La Paz County IDA, RB, 5.88%, 06/15/48(b) | 285 | 296,843 | ||||||||||
Maricopa County IDA | ||||||||||||
RB, 5.25%, 10/01/40(b) | 280 | 306,657 | ||||||||||
RB, 5.50%, 10/01/51(b) | 280 | 306,723 | ||||||||||
RB, AMT, 4.00%, 10/15/47(b) | 1,270 | 1,250,936 | ||||||||||
Refunding RB, Series A, 4.13%, 09/01/38 | 230 | 238,352 | ||||||||||
Salt Verde Financial Corp., RB, 5.00%, 12/01/37 | 500 | 596,592 | ||||||||||
Tempe IDA, Refunding RB, 4.00%, 12/01/46 | 240 | 230,302 | ||||||||||
|
| |||||||||||
10,936,411 | ||||||||||||
Arkansas — 1.8% | ||||||||||||
Arkansas Development Finance Authority | ||||||||||||
RB, AMT, 4.50%, 09/01/49(b) | 3,045 | 3,120,618 | ||||||||||
RB, AMT, 4.75%, 09/01/49(b) | 3,150 | 3,293,522 | ||||||||||
Pulaski County Public Facilities Board | ||||||||||||
RB, 5.00%, 12/01/39 | 230 | 248,149 | ||||||||||
RB, 5.00%, 12/01/42 | 250 | 263,353 | ||||||||||
|
| |||||||||||
6,925,642 | ||||||||||||
California — 5.8% | ||||||||||||
California Community Housing Agency | ||||||||||||
RB, 3.00%, 08/01/56(b) | 645 | 482,494 | ||||||||||
RB, Series A, 5.00%, 04/01/49(b) | 165 | 158,773 | ||||||||||
RB, Series A-2, 4.00%, 08/01/47(b) | 1,055 | 917,000 | ||||||||||
California County Tobacco Securitization Agency, Refunding RB, Series A, 5.00%, 06/01/36 | 300 | 300,263 | ||||||||||
California HFA | ||||||||||||
RB, Series 2021-1, Class A, 3.50%, 11/20/35 | 971 | 1,012,830 |
Security | Par (000) | Value | ||||||||||
California (continued) | ||||||||||||
California HFA | ||||||||||||
RB, Series 2021-3, Class A, 3.25%, 08/20/36 | USD | 975 | $ | 953,739 | ||||||||
California Municipal Finance Authority | ||||||||||||
RB, 5.63%, 07/01/44(b) | 150 | 153,128 | ||||||||||
Refunding RB, Series A, 5.00%, 02/01/46 | 650 | 703,971 | ||||||||||
Refunding RB, Series B, 5.00%, 01/01/37 | 630 | 698,082 | ||||||||||
California Public Finance Authority, RB, 6.25%, 07/01/54(b) | 1,100 | 1,227,882 | ||||||||||
California School Finance Authority | ||||||||||||
RB, Series A, 6.75%, 11/01/45(b) | 250 | 262,562 | ||||||||||
Refunding RB, 5.00%, 07/01/51(b) | 300 | 317,397 | ||||||||||
California Statewide Communities Development Authority | ||||||||||||
Refunding RB, Series A, 5.25%, 11/01/44(b) | 250 | 251,967 | ||||||||||
Refunding RB, (AGM), 5.00%, 11/15/49 | 500 | 538,814 | ||||||||||
California Statewide Financing Authority | ||||||||||||
RB, 6.00%, 05/01/43 | 315 | 315,640 | ||||||||||
RB, 6.00%, 05/01/43 | 85 | 85,173 | ||||||||||
City of Irvine, Special Tax Bonds, 5.00%, 09/01/44 | 250 | 256,940 | ||||||||||
City of Roseville, Special Tax Bonds, 5.00%, 09/01/44 | 500 | 517,354 | ||||||||||
CMFA Special Finance Agency, RB, Series A-1, 3.00%, 12/01/56(b) | 100 | 73,651 | ||||||||||
CMFA Special Finance Agency I, RB, Series A-2, 4.00%, 04/01/56(b) | 2,250 | 2,062,796 | ||||||||||
CSCDA Community Improvement Authority | ||||||||||||
RB, 2.65%, 12/01/46(b) | 435 | 367,763 | ||||||||||
RB, 3.00%, 06/01/47(b) | 325 | 270,158 | ||||||||||
RB, 3.13%, 07/01/56(b) | 695 | 534,463 | ||||||||||
RB, 3.25%, 07/01/56(b) | 235 | 187,103 | ||||||||||
RB, 3.13%, 08/01/56(b) | 1,090 | 819,921 | ||||||||||
RB, 4.00%, 10/01/56(b) | 1,080 | 965,943 | ||||||||||
RB, 4.00%, 12/01/56(b) | 1,850 | 1,444,971 | ||||||||||
RB, 4.00%, 03/01/57(b) | 505 | 400,406 | ||||||||||
RB, 3.25%, 05/01/57(b) | 350 | 273,758 | ||||||||||
RB, 4.00%, 06/01/57(b) | 300 | 243,406 | ||||||||||
RB, 4.00%, 07/01/58(b) | 300 | 242,028 | ||||||||||
RB, 4.00%, 07/01/58(b) | 265 | 203,548 | ||||||||||
RB, 4.00%, 12/01/59(b) | 435 | 283,436 | ||||||||||
RB, 4.00%, 12/01/59(b) | 1,080 | 771,637 | ||||||||||
Golden State Tobacco Securitization Corp. | ||||||||||||
Refunding RB, Series A-1, 5.00%, 06/01/47 | 115 | 115,705 | ||||||||||
Refunding RB, Series B-2, 0.00%, 06/01/66(c) | 15,960 | 1,945,958 | ||||||||||
Hastings Campus Housing Finance Authority, RB, Series A, 0.00%, 07/01/61(b)(c) | 1,045 | 524,662 | ||||||||||
Riverside County Public Financing Authority, RB, 5.25%, 11/01/45 | 500 | 555,522 | ||||||||||
Riverside County Transportation Commission | ||||||||||||
Refunding RB, 4.00%, 06/01/47 | 265 | 272,724 | ||||||||||
Refunding RB, 3.00%, 06/01/49 | 180 | 151,579 | ||||||||||
San Francisco City & County Redevelopment Agency Successor Agency, TA, 0.00%, 08/01/31(b)(c) | 580 | 370,936 | ||||||||||
|
| |||||||||||
22,236,083 | ||||||||||||
Colorado — 4.4% | ||||||||||||
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47 | 1,000 | 1,000,300 | ||||||||||
Arista Metropolitan District, GO, Refunding, 5.00%, 12/01/38 | 500 | 517,271 | ||||||||||
Aurora Crossroads Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/50 | 500 | 513,684 | ||||||||||
Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48 | 500 | 517,728 |
SCHEDULES OF INVESTMENTS | 67 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Colorado (continued) | ||||||||||||
Banning Lewis Ranch Metropolitan District No. 8, GO, 4.88%, 12/01/51(b) | USD | 500 | $ | 437,643 | ||||||||
Broadway Station Metropolitan District No. 2, GO, Series A, 5.13%, 12/01/48 | 1,050 | 1,050,337 | ||||||||||
Centerra Metropolitan District No. 1, TA, 5.00%, 12/01/47(b) | 155 | 158,043 | ||||||||||
Colorado Educational & Cultural Facilities Authority, Refunding RB, 5.00%, 12/15/45 | 500 | 520,771 | ||||||||||
Colorado Health Facilities Authority | ||||||||||||
RB, 5.25%, 01/01/45 | 620 | 636,095 | ||||||||||
RB, Series A, 5.00%, 05/15/35 | 360 | 364,293 | ||||||||||
RB, Series A, 5.00%, 05/15/44 | 270 | 262,257 | ||||||||||
RB, Series A, 5.00%, 05/15/49 | 180 | 171,518 | ||||||||||
RB, Series A, 5.00%, 05/15/58 | 380 | 352,509 | ||||||||||
Refunding RB, 5.00%, 07/01/38 | 215 | 219,406 | ||||||||||
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40 | 950 | 1,023,301 | ||||||||||
DIATC Metropolitan District, GO, 3.25%, 12/01/29(b) | 590 | 564,224 | ||||||||||
First Creek Village Metropolitan District | ||||||||||||
GO, Series A, 5.00%, 12/01/39 | 600 | 627,331 | ||||||||||
GO, Series A, 5.00%, 08/01/49 | 540 | 558,884 | ||||||||||
Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51 | 575 | 548,803 | ||||||||||
Lanterns Metropolitan District No. 2, GO, Series A, 4.50%, 12/01/50 | 500 | 431,242 | ||||||||||
Loretto Heights Community Authority, RB, 4.88%, 12/01/51 | 570 | 508,675 | ||||||||||
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48 | 500 | 507,826 | ||||||||||
Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49 | 675 | 657,301 | ||||||||||
Pueblo Urban Renewal Authority, TA, 4.75%, 12/01/45(b) | 930 | 945,617 | ||||||||||
Serenity Ridge Metropolitan District No. 2, GO, Refunding, Series A, 5.13%, 12/01/37 | 550 | 595,834 | ||||||||||
Southlands Metropolitan District No. 1 | ||||||||||||
GO, Refunding, Series A-1, 5.00%, 12/01/37 | 250 | 260,894 | ||||||||||
GO, Refunding, Series A-1, 5.00%, 12/01/47 | 180 | 185,246 | ||||||||||
Thompson Crossing Metropolitan District No. 4, GO, Refunding, 5.00%, 12/01/49 | 645 | 662,281 | ||||||||||
Village at Dry Creek Metropolitan District No. 2, GO, 4.38%, 12/01/44 | 885 | 887,513 | ||||||||||
Waters’ Edge Metropolitan District No. 2, GO, 5.00%, 12/01/51 | 560 | 506,597 | ||||||||||
Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48 | 500 | 502,428 | ||||||||||
|
| |||||||||||
16,695,852 | ||||||||||||
Connecticut — 0.5% | ||||||||||||
Connecticut State Health & Educational Facilities Authority | ||||||||||||
RB, Series A, 5.00%, 01/01/45(b) | 190 | 199,873 | ||||||||||
RB, Series A, 5.00%, 01/01/55(b) | 255 | 265,698 | ||||||||||
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45(b) | 775 | 796,049 | ||||||||||
Mohegan Tribe of Indians of Connecticut | ||||||||||||
RB, Series A, 6.75%, 02/01/45(b) | 97 | 100,070 | ||||||||||
Refunding RB, Series C-1, 6.25%, 02/01/30(b) | 330 | 357,248 | ||||||||||
|
| |||||||||||
1,718,938 | ||||||||||||
District of Columbia — 2.2% | ||||||||||||
District of Columbia Tobacco Settlement Financing Corp. RB, 0.00%, 06/15/46(c) | 8,970 | 1,980,696 |
Security | Par (000) | Value | ||||||||||
District of Columbia (continued) | ||||||||||||
District of Columbia Tobacco Settlement Financing Corp. | ||||||||||||
RB, 0.00%, 06/15/46(c) | USD | 10,325 | $ | 1,606,673 | ||||||||
RB, 0.00%, 06/15/55(c) | 19,300 | 1,706,036 | ||||||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Refunding RB, 4.00%, 10/01/49 | 3,030 | 3,137,616 | ||||||||||
|
| |||||||||||
8,431,021 | ||||||||||||
Florida — 9.1% | ||||||||||||
Brevard County Health Facilities Authority | ||||||||||||
Refunding RB, 4.00%, 11/15/23(b) | 200 | 203,846 | ||||||||||
Refunding RB, 4.00%, 11/15/26(b) | 475 | 493,519 | ||||||||||
Refunding RB, 4.00%, 11/15/28(b) | 510 | 532,869 | ||||||||||
Refunding RB, 4.00%, 11/15/30(b) | 555 | 581,564 | ||||||||||
Refunding RB, 4.00%, 11/15/34(b) | 650 | 671,514 | ||||||||||
Refunding RB, 5.00%, 04/01/39 | 500 | 515,844 | ||||||||||
Refunding RB, 5.00%, 04/01/52(d) | 1,220 | 1,364,548 | ||||||||||
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31 | 480 | 503,079 | ||||||||||
Capital Trust Agency, Inc. | ||||||||||||
RB, 5.00%, 06/01/41(b) | 100 | 104,356 | ||||||||||
RB, 5.00%, 06/15/49(b) | 100 | 104,494 | ||||||||||
RB, 5.75%, 06/01/54(b) | 420 | 428,537 | ||||||||||
RB, 5.00%, 06/01/56(b) | 160 | 164,682 | ||||||||||
RB, 4.88%, 06/15/56(b) | 1,335 | 1,255,780 | ||||||||||
RB, 0.00%, 07/01/61(b)(c) | 36,570 | 2,622,168 | ||||||||||
Celebration Pointe Community Development District No. 1 | ||||||||||||
Special Assessment RB, 4.00%, 05/01/22(b) | 25 | 25,019 | ||||||||||
Special Assessment RB, 5.13%, 05/01/45 | 235 | 240,299 | ||||||||||
Charlotte County IDA | ||||||||||||
RB, 5.00%, 10/01/34(b) | 105 | 110,621 | ||||||||||
RB, 5.00%, 10/01/49(b) | 510 | 522,158 | ||||||||||
Collier County Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45 | 1,000 | 1,048,407 | ||||||||||
County of Broward Airport System Revenue, RB, AMT, Series A, 4.00%, 10/01/49 | 610 | 621,885 | ||||||||||
County of Broward Port Facilities Revenue, RB, AMT, Series B, 4.00%, 09/01/49 | 2,500 | 2,610,389 | ||||||||||
County of Osceola Transportation Revenue | ||||||||||||
Refunding RB, Series A-2, 0.00%, 10/01/46(c) | 935 | 339,007 | ||||||||||
Refunding RB, Series A-2, 0.00%, 10/01/47(c) | 900 | 312,380 | ||||||||||
Refunding RB, Series A-2, 0.00%, 10/01/48(c) | 635 | 210,940 | ||||||||||
Refunding RB, Series A-2, 0.00%, 10/01/49(c) | 525 | 167,371 | ||||||||||
County of Palm Beach, RB, 5.00%, 04/01/51(b) | 110 | 117,672 | ||||||||||
Escambia County Health Facilities Authority, Refunding RB, 4.00%, 08/15/45 | 505 | 515,855 | ||||||||||
Florida Development Finance Corp. | ||||||||||||
RB, 5.00%, 06/15/51(b) | 840 | 857,089 | ||||||||||
RB, 5.25%, 06/01/55(b) | 645 | 688,664 | ||||||||||
RB, 5.13%, 06/15/55(b) | 2,490 | 2,303,246 | ||||||||||
RB, Series A, 6.13%, 06/15/44 | 45 | 47,261 | ||||||||||
RB, Series C, 5.75%, 12/15/56(b) | 370 | 316,266 | ||||||||||
RB, AMT, 5.00%, 08/01/29(a)(b) | 470 | 472,350 | ||||||||||
Refunding RB, 5.00%, 06/01/51 | 245 | 266,930 | ||||||||||
Refunding RB, 4.00%, 06/01/55(b) | 300 | 288,053 | ||||||||||
Refunding RB, Series A, 4.50%, 12/15/56(b) | 1,085 | 903,051 | ||||||||||
Grand Oaks Community Development District | ||||||||||||
Special Assessment RB, 4.25%, 05/01/40 | 210 | 207,863 | ||||||||||
Special Assessment RB, 4.50%, 05/01/52 | 235 | 231,779 | ||||||||||
Greater Orlando Aviation Authority, Refunding RB, AMT, 5.00%, 11/15/36 | 250 | 256,138 |
68 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Florida (continued) | ||||||||||||
Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33 | USD | 370 | $ | 365,148 | ||||||||
Hillsborough County Aviation Authority, Refunding RB, AMT, Series A, 5.00%, 10/01/44 | 350 | 373,558 | ||||||||||
Lakewood Ranch Stewardship District | ||||||||||||
Special Assessment RB, 3.00%, 05/01/24 | 100 | 99,786 | ||||||||||
Special Assessment RB, 3.13%, 05/01/25 | 255 | 254,335 | ||||||||||
Special Assessment RB, 3.25%, 05/01/29 | 225 | 220,586 | ||||||||||
Special Assessment RB, 4.75%, 05/01/29 | 180 | 189,053 | ||||||||||
Special Assessment RB, 4.95%, 05/01/29(b) | 135 | 143,047 | ||||||||||
Special Assessment RB, 4.88%, 05/01/35 | 150 | 154,101 | ||||||||||
Special Assessment RB, 4.40%, 05/01/39 | 525 | 537,344 | ||||||||||
Special Assessment RB, 5.30%, 05/01/39 | 205 | 221,085 | ||||||||||
Special Assessment RB, 5.50%, 05/01/39(b) | 135 | 147,241 | ||||||||||
Special Assessment RB, 5.13%, 05/01/46 | 100 | 103,465 | ||||||||||
Special Assessment RB, 5.45%, 05/01/48 | 365 | 391,959 | ||||||||||
Special Assessment RB, 5.65%, 05/01/48(b) | 210 | 228,055 | ||||||||||
Special Assessment RB, 4.00%, 05/01/49(b) | 200 | 192,123 | ||||||||||
Special Assessment RB, 3.90%, 05/01/50 | 240 | 236,679 | ||||||||||
Miami Beach Health Facilities Authority, RB, 3.00%, 11/15/51 | 195 | 153,643 | ||||||||||
Orange County Health Facilities Authority | ||||||||||||
RB, 5.00%, 08/01/35 | 250 | 269,377 | ||||||||||
Refunding RB, 5.00%, 08/01/41 | 695 | 739,762 | ||||||||||
Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25 | 300 | 300,139 | ||||||||||
Parker Road Community Development District | ||||||||||||
Special Assessment Refunding RB, 3.10%, 05/01/25 | 175 | 174,562 | ||||||||||
Special Assessment Refunding RB, 3.38%, 05/01/30 | 335 | 329,220 | ||||||||||
Pinellas County IDA, RB, 5.00%, 07/01/39 | 250 | 261,158 | ||||||||||
Portico Community Development District | ||||||||||||
Special Assessment RB, Series 2, 3.25%, 05/01/31 | 100 | 96,705 | ||||||||||
Special Assessment RB, Series 2, 4.00%, 05/01/50 | 425 | 408,804 | ||||||||||
Preserve at South Branch Community Development District | ||||||||||||
Special Assessment RB, 3.25%, 11/01/24 | 75 | 75,018 | ||||||||||
Special Assessment RB, 3.50%, 11/01/30 | 200 | 197,795 | ||||||||||
Sandridge Community Development District | ||||||||||||
Special Assessment RB, Series A1, 3.88%, 05/01/41 | 135 | 125,094 | ||||||||||
Special Assessment RB, Series A1, 4.00%, 05/01/51 | 130 | 115,986 | ||||||||||
Special Assessment RB, Series A-2, 3.88%, 05/01/31 | 155 | 146,471 | ||||||||||
Sawyers Landing Community Development District, Special Assessment RB, 4.25%, 05/01/53 | 815 | 817,193 | ||||||||||
Seminole County IDA, Refunding RB, 5.75%, 11/15/54 | 595 | 610,639 | ||||||||||
Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34 | 375 | 365,080 | ||||||||||
Tolomato Community Development District, Special Assessment Refunding RB, Sub-Series A-2, 4.25%, 05/01/37 | 185 | 189,720 | ||||||||||
Trout Creek Community Development District | ||||||||||||
Special Assessment RB, 4.50%, 05/01/23 | 100 | 100,681 | ||||||||||
Special Assessment RB, 5.00%, 05/01/28 | 240 | 250,810 | ||||||||||
Special Assessment RB, 5.63%, 05/01/45 | 200 | 206,835 | ||||||||||
West Villages Improvement District | ||||||||||||
Special Assessment RB, 4.25%, 05/01/29 | 100 | 101,585 |
Security | Par (000) | Value | ||||||||||
Florida (continued) | ||||||||||||
West Villages Improvement District | ||||||||||||
Special Assessment RB, 4.75%, 05/01/39 | USD | 190 | $ | 195,620 | ||||||||
Special Assessment RB, 5.00%, 05/01/50 | 290 | 298,441 | ||||||||||
Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29(b) | 805 | 809,065 | ||||||||||
Windward at Lakewood Ranch Community Development District | ||||||||||||
Special Assessment RB, 4.00%, 05/01/42 | 140 | 132,659 | ||||||||||
Special Assessment RB, 4.25%, 05/01/52 | 170 | 160,891 | ||||||||||
|
| |||||||||||
34,718,011 | ||||||||||||
Georgia — 0.6% | ||||||||||||
Gainesville & Hall County Hospital Authority, Refunding RB, (County GTD), 5.50%, 08/15/54 | 250 | 274,543 | ||||||||||
Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49 | 950 | 1,165,621 | ||||||||||
Municipal Electric Authority of Georgia, Refunding RB, Sub-Series A, 4.00%, 01/01/49 | 845 | 867,111 | ||||||||||
|
| |||||||||||
2,307,275 | ||||||||||||
Guam — 0.1% | ||||||||||||
Territory of Guam, Refunding RB, Series A, 5.00%, 11/01/35 | 265 | 301,182 | ||||||||||
|
| |||||||||||
Idaho — 0.3% | ||||||||||||
Idaho Health Facilities Authority | ||||||||||||
RB, 4.00%, 12/01/43 | 330 | 357,145 | ||||||||||
Refunding RB, 3.00%, 03/01/51 | 1,045 | 874,044 | ||||||||||
|
| |||||||||||
1,231,189 | ||||||||||||
Illinois — 4.9% | ||||||||||||
Chicago Board of Education | ||||||||||||
GO, Series A, 5.00%, 12/01/42 | 570 | 577,431 | ||||||||||
GO, Series A, 4.00%, 12/01/47 | 930 | 912,903 | ||||||||||
GO, Series D, 5.00%, 12/01/46 | 190 | 202,568 | ||||||||||
GO, Series D, 5.00%, 12/01/46 | 485 | 498,472 | ||||||||||
GO, Series H, 5.00%, 12/01/46 | 625 | 660,781 | ||||||||||
GO, Refunding, Series A, 0.00%, 12/01/25(c) | 135 | 121,565 | ||||||||||
GO, Refunding, Series A, 5.00%, 12/01/30 | 505 | 552,526 | ||||||||||
GO, Refunding, Series B, 4.00%, 12/01/35 | 230 | 231,311 | ||||||||||
GO, Refunding, Series C, 5.00%, 12/01/25 | 225 | 239,955 | ||||||||||
GO, Refunding, Series C, 5.00%, 12/01/34 | 625 | 671,666 | ||||||||||
GO, Refunding, Series D, 5.00%, 12/01/25 | 290 | 309,275 | ||||||||||
GO, Refunding, Series F, 5.00%, 12/01/22 | 215 | 218,812 | ||||||||||
Chicago O’Hare International Airport | ||||||||||||
Refunding RB, Series D, 5.00%, 01/01/39 | 260 | 264,677 | ||||||||||
Refunding RB, Series D, 5.00%, 01/01/46 | 1,000 | 1,048,191 | ||||||||||
Chicago Transit Authority Sales Tax Receipts Fund, Refunding RB, Series A, 4.00%, 12/01/49 | 810 | 831,217 | ||||||||||
City of Chicago Wastewater Transmission Revenue, Refunding RB, Series C, 5.00%, 01/01/39 | 500 | 526,856 | ||||||||||
Cook County Community College District No. 508, GO, 5.25%, 12/01/30 | 920 | 960,020 | ||||||||||
Illinois Finance Authority | ||||||||||||
Refunding RB, 6.13%, 02/01/45 | 150 | 153,281 | ||||||||||
Refunding RB, 5.00%, 02/15/47 | 900 | 962,634 | ||||||||||
Refunding RB, Series C, 5.00%, 02/15/41 | 650 | 710,316 | ||||||||||
Metropolitan Pier & Exposition Authority | ||||||||||||
RB, 5.50%, 06/15/53 | 390 | 409,047 | ||||||||||
RB, 5.00%, 06/15/57 | 660 | 688,804 | ||||||||||
Refunding RB, 4.00%, 06/15/52 | 1,295 | 1,275,366 | ||||||||||
Refunding RB, (State Appropriation), Series B, 5.00%, 06/15/52 | 80 | 80,464 | ||||||||||
State of Illinois | ||||||||||||
GO, 5.00%, 01/01/28 | 1,005 | 1,086,549 |
SCHEDULES OF INVESTMENTS | 69 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Illinois (continued) | ||||||||||||
State of Illinois | ||||||||||||
GO, 5.00%, 04/01/31 | USD | 1,000 | $ | 1,052,191 | ||||||||
GO, 5.50%, 07/01/33 | 365 | 380,009 | ||||||||||
GO, 5.00%, 03/01/37 | 300 | 300,596 | ||||||||||
GO, 5.00%, 02/01/39 | 1,000 | 1,048,600 | ||||||||||
GO, 5.00%, 05/01/39 | 275 | 287,189 | ||||||||||
GO, Series A, 5.00%, 01/01/33 | 310 | 310,649 | ||||||||||
GO, Series A, 5.00%, 12/01/35 | 825 | 890,286 | ||||||||||
GO, Series D, 5.00%, 11/01/28 | 295 | 323,191 | ||||||||||
GO, Refunding, Series B, 5.00%, 10/01/27 | 105 | 115,886 | ||||||||||
|
| |||||||||||
18,903,284 | ||||||||||||
Indiana — 0.6% | ||||||||||||
City of Vincennes, Refunding RB, 6.25%, 01/01/29(b) | 325 | 325,385 | ||||||||||
Indiana Finance Authority | ||||||||||||
RB, AMT, 6.75%, 05/01/39 | 640 | 788,749 | ||||||||||
RB, AMT, 5.25%, 01/01/51 | 1,000 | 1,038,794 | ||||||||||
|
| |||||||||||
2,152,928 | ||||||||||||
Iowa — 1.1% | ||||||||||||
Iowa Finance Authority | ||||||||||||
RB, Series A, 5.00%, 05/15/48 | 940 | 967,048 | ||||||||||
Refunding RB, 5.25%, 12/01/25 | 310 | 320,850 | ||||||||||
Refunding RB, 5.25%, 12/01/50(a) | 400 | 415,332 | ||||||||||
Refunding RB, Series E, 4.00%, 08/15/46 | 570 | 581,329 | ||||||||||
Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44 | 2,000 | 1,781,173 | ||||||||||
|
| |||||||||||
4,065,732 | ||||||||||||
Kansas — 0.1% | ||||||||||||
City of Manhattan, RB, Series A, 4.00%, 06/01/52 | 270 | 257,050 | ||||||||||
|
| |||||||||||
Kentucky — 0.1% | ||||||||||||
City of Henderson | ||||||||||||
RB, AMT, 4.70%, 01/01/52(d) | 235 | 236,333 | ||||||||||
RB, AMT, 4.70%, 01/01/52(d) | 130 | 130,697 | ||||||||||
|
| |||||||||||
367,030 | ||||||||||||
Louisiana — 0.9% | ||||||||||||
Juban Crossing Economic Development District, Refunding RB, 7.00%, 09/15/44(b) | 375 | 338,027 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, RB, 5.00%, 07/01/54(b) | 400 | 400,431 | ||||||||||
Louisiana Public Facilities Authority | ||||||||||||
RB, 5.00%, 06/01/41(b) | 310 | 312,356 | ||||||||||
RB, 5.25%, 06/01/51(b) | 455 | 461,345 | ||||||||||
RB, 5.25%, 06/01/60(b) | 840 | 846,412 | ||||||||||
Parish of St. James, RB, Series 2, 6.35%, 07/01/40(b) | 950 | 1,175,389 | ||||||||||
|
| |||||||||||
3,533,960 | ||||||||||||
Maine — 0.1% | ||||||||||||
Finance Authority of Maine, RB, AMT, 8.00%, 12/01/51(b) | 570 | 456,024 | ||||||||||
|
| |||||||||||
Maryland — 1.8% | ||||||||||||
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, 5.25%, 07/01/44 | 250 | 257,267 | ||||||||||
City of Baltimore | ||||||||||||
Refunding RB, 4.00%, 09/01/27 | 100 | 105,196 | ||||||||||
Refunding TA, 3.20%, 06/01/30(b) | 200 | 197,940 | ||||||||||
Refunding TA, 3.25%, 06/01/31(b) | 225 | 222,498 | ||||||||||
Refunding TA, 3.30%, 06/01/32(b) | 500 | 493,267 | ||||||||||
Refunding TA, 3.35%, 06/01/33(b) | 540 | 530,828 | ||||||||||
Refunding TA, 3.40%, 06/01/34(b) | 570 | 558,140 | ||||||||||
Refunding TA, 3.45%, 06/01/35(b) | 610 | 595,818 |
Security | Par (000) | Value | ||||||||||
Maryland (continued) | ||||||||||||
County of Frederick, Refunding TA, 4.63%, 07/01/43(b) | USD | 1,100 | $ | 1,208,695 | ||||||||
Maryland EDC, Refunding RB, 5.00%, 07/01/39 | 100 | 103,900 | ||||||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||||||
RB, 7.00%, 03/01/55(b) | 1,940 | 2,108,327 | ||||||||||
Refunding RB, 5.00%, 07/01/40 | 500 | 530,886 | ||||||||||
|
| |||||||||||
6,912,762 | ||||||||||||
Massachusetts — 1.5% | ||||||||||||
Massachusetts Development Finance Agency | ||||||||||||
RB, 5.00%, 01/01/43 | 500 | 549,696 | ||||||||||
RB, 5.00%, 01/01/48 | 1,000 | 1,089,768 | ||||||||||
RB, 5.00%, 10/01/54 | 710 | 763,422 | ||||||||||
RB, Series A, 5.00%, 01/01/47 | 500 | 540,511 | ||||||||||
RB, Series N, 5.00%, 07/01/44 | 500 | 522,580 | ||||||||||
Refunding RB, 4.00%, 07/01/45 | 120 | 123,486 | ||||||||||
Refunding RB, 4.00%, 07/01/50 | 225 | 229,732 | ||||||||||
Refunding RB, Series A, 4.00%, 07/01/44 | 1,250 | 1,283,278 | ||||||||||
Massachusetts HFA, Refunding RB, AMT, Series A, 4.45%, 12/01/42 | 605 | 610,556 | ||||||||||
|
| |||||||||||
5,713,029 | ||||||||||||
Michigan — 0.5% | ||||||||||||
City of Detroit | ||||||||||||
GO, 5.00%, 04/01/34 | 90 | 99,743 | ||||||||||
GO, 5.00%, 04/01/35 | 90 | 99,520 | ||||||||||
GO, 5.00%, 04/01/36 | 65 | 71,692 | ||||||||||
GO, 5.00%, 04/01/37 | 100 | 110,025 | ||||||||||
GO, 5.00%, 04/01/38 | 45 | 49,365 | ||||||||||
Wayne County Airport Authority | ||||||||||||
RB, Series B, 5.00%, 12/01/44 | 500 | 527,432 | ||||||||||
RB, Series D, 5.00%, 12/01/40 | 500 | 538,884 | ||||||||||
RB, AMT, 5.00%, 12/01/39 | 250 | 262,151 | ||||||||||
|
| |||||||||||
1,758,812 | ||||||||||||
Minnesota — 1.6% | ||||||||||||
City of Deephaven, Refunding RB, 5.25%, 07/01/37 | 605 | 628,784 | ||||||||||
City of Forest Lake, Refunding RB, 5.00%, 07/01/56 | 2,140 | 2,176,956 | ||||||||||
City of Minneapolis | ||||||||||||
RB, 5.00%, 07/01/40 | 435 | 444,690 | ||||||||||
RB, Series A, 5.75%, 07/01/55 | 850 | 930,972 | ||||||||||
Duluth EDA | ||||||||||||
Refunding RB, 4.25%, 02/15/48 | 1,265 | 1,335,940 | ||||||||||
Refunding RB, 5.25%, 02/15/58 | 425 | 476,839 | ||||||||||
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB, Series A, 5.50%, 07/01/38(b) | 240 | 258,127 | ||||||||||
|
| |||||||||||
6,252,308 | ||||||||||||
Missouri — 0.7% | ||||||||||||
City of St. Louis Missouri IDA | ||||||||||||
Refunding RB, 4.38%, 11/15/35 | 215 | 205,074 | ||||||||||
Refunding RB, 4.75%, 11/15/47 | 240 | 209,505 | ||||||||||
Kansas City IDA | ||||||||||||
RB, Series C, 7.50%, 11/15/46 | 64 | 58,633 | ||||||||||
Refunding RB, 2.00%, 11/15/46 | 52 | 2,515 | ||||||||||
Refunding RB, 5.00%, 11/15/46 | 116 | 105,050 | ||||||||||
Kansas City Land Clearance Redevelopment Authority | ||||||||||||
TA, 4.38%, 02/01/31(b) | 720 | 674,373 | ||||||||||
TA, 5.00%, 02/01/40(b) | 260 | 239,154 | ||||||||||
Plaza at Noah’s Ark Community Improvement District | ||||||||||||
Refunding RB, 3.00%, 05/01/22 | 250 | 250,117 | ||||||||||
Refunding RB, 3.00%, 05/01/25 | 100 | 100,104 | ||||||||||
St. Louis County IDA, Refunding RB, 5.00%, 09/01/37 | 695 | 741,134 | ||||||||||
|
| |||||||||||
2,585,659 |
70 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Nebraska — 0.1% | ||||||||||||
Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45 | USD | 500 | $ | 526,770 | ||||||||
|
| |||||||||||
Nevada — 1.6% | ||||||||||||
City of Las Vegas Special Improvement District No. 815, Special Assessment RB, 5.00%, 12/01/49 | 190 | 203,968 | ||||||||||
City of Reno, Refunding RB, (AGM), Series A-1, 4.00%, 06/01/46 | 5,000 | 5,153,646 | ||||||||||
Tahoe-Douglas Visitors Authority | ||||||||||||
RB, 5.00%, 07/01/40 | 190 | 208,952 | ||||||||||
RB, 5.00%, 07/01/45 | 240 | 260,327 | ||||||||||
RB, 5.00%, 07/01/51 | 255 | 273,590 | ||||||||||
|
| |||||||||||
6,100,483 | ||||||||||||
New Hampshire — 0.5% | ||||||||||||
New Hampshire Business Finance Authority | ||||||||||||
RB, Series A, 4.13%, 08/15/40 | 320 | 300,170 | ||||||||||
RB, Series A, 4.25%, 08/15/46 | 365 | 336,232 | ||||||||||
RB, Series A, 4.50%, 08/15/55 | 755 | 697,051 | ||||||||||
Refunding RB, 4.63%, 11/01/42(b) | 320 | 327,212 | ||||||||||
Refunding RB, Series A, 3.63%, 07/01/43(a)(b) | 290 | 290,290 | ||||||||||
Refunding RB, AMT, 4.88%, 11/01/42(b) | 130 | 133,322 | ||||||||||
|
| |||||||||||
2,084,277 | ||||||||||||
New Jersey — 6.6% | ||||||||||||
Casino Reinvestment Development Authority, Inc. | ||||||||||||
Refunding RB, 5.25%, 11/01/39 | 250 | 265,430 | ||||||||||
Refunding RB, 5.25%, 11/01/44 | 560 | 592,259 | ||||||||||
New Jersey EDA | ||||||||||||
RB, 5.00%, 07/01/32 | 200 | 209,625 | ||||||||||
RB, 5.25%, 11/01/54(b) | 945 | 942,790 | ||||||||||
RB, Series EEE, 5.00%, 06/15/43 | 2,935 | 3,208,250 | ||||||||||
RB, Series WW, 5.25%, 06/15/40 | 55 | 60,483 | ||||||||||
RB, Series WW, 5.25%, 06/15/40 | 945 | 1,006,585 | ||||||||||
RB, AMT, 6.50%, 04/01/31 | 90 | 98,131 | ||||||||||
RB, AMT, 5.38%, 01/01/43 | 500 | 518,259 | ||||||||||
Refunding RB, Series A, 6.00%, 08/01/49(b) | 250 | 254,957 | ||||||||||
Refunding RB, (AGM), 5.00%, 06/01/37 | 200 | 224,361 | ||||||||||
New Jersey Health Care Facilities Financing Authority | ||||||||||||
RB, 4.00%, 07/01/47 | 540 | 549,023 | ||||||||||
RB, 3.00%, 07/01/51 | 1,865 | 1,706,977 | ||||||||||
Refunding RB, 4.25%, 07/01/44 | 395 | 404,442 | ||||||||||
Refunding RB, 5.00%, 07/01/44 | 220 | 231,138 | ||||||||||
New Jersey Higher Education Student Assistance Authority | ||||||||||||
RB, AMT, Series B, 2.50%, 12/01/40 | 790 | 741,277 | ||||||||||
Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49 |
| 820 | 730,349 | |||||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
RB, 5.25%, 06/15/43 | 1,615 | 1,789,532 | ||||||||||
RB, Series AA, 5.00%, 06/15/38 | 325 | 326,829 | ||||||||||
RB, Series AA, 5.25%, 06/15/41 | 205 | 217,266 | ||||||||||
RB, Series AA, 5.00%, 06/15/44 | 30 | 30,604 | ||||||||||
RB, Series AA, 5.00%, 06/15/44 | 30 | 30,979 | ||||||||||
RB, Series AA, 4.00%, 06/15/45 | 710 | 728,220 | ||||||||||
RB, Series AA, 5.00%, 06/15/46 | 450 | 471,072 | ||||||||||
RB, Series BB, 4.00%, 06/15/50 | 4,000 | 4,071,318 | ||||||||||
New Jersey Turnpike Authority, RB, Series A, 4.00%, 01/01/48 | 2,000 | 2,105,274 | ||||||||||
Tobacco Settlement Financing Corp. | ||||||||||||
Refunding RB, Series A, 5.00%, 06/01/35 | 375 | 415,013 | ||||||||||
Refunding RB, Series A, 5.25%, 06/01/46 | 1,100 | 1,194,482 | ||||||||||
Refunding RB, Sub-Series B, 5.00%, 06/01/46 | 1,795 | 1,953,701 | ||||||||||
|
| |||||||||||
25,078,626 |
Security | Par (000) | Value | ||||||||||
New Mexico — 0.1% | ||||||||||||
New Mexico Hospital Equipment Loan Council, Refunding RB, 5.50%, 07/01/42 | USD | 325 | $ | 327,472 | ||||||||
|
| |||||||||||
New York — 7.4% | ||||||||||||
Build NYC Resource Corp., Refunding RB, AMT, 5.00%, 01/01/35(b) | 285 | 304,418 | ||||||||||
Chautauqua Tobacco Asset Securitization Corp., | ||||||||||||
Refunding RB, 5.00%, 06/01/48 | 1,000 | 1,029,082 | ||||||||||
County of Cattaraugus, RB, 5.00%, 05/01/44 | 195 | 201,384 | ||||||||||
Erie Tobacco Asset Securitization Corp., Refunding RB, Series A, 5.00%, 06/01/45 | 495 | 497,521 | ||||||||||
Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44 | 500 | 523,935 | ||||||||||
Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56 | 125 | 130,274 | ||||||||||
Metropolitan Transportation Authority | ||||||||||||
RB, Series B, 3.00%, 11/15/25 | 165 | 166,037 | ||||||||||
RB, Series C-1, 4.75%, 11/15/45 | 1,285 | 1,397,530 | ||||||||||
RB, Series C-1, 5.25%, 11/15/55 | 1,950 | 2,174,527 | ||||||||||
New York City Housing Development Corp., RB, Series C-1, 4.20%, 11/01/44 | 1,000 | 1,004,965 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||||||
RB, Series F-1, 4.00%, 02/01/51(d) | 630 | 653,304 | ||||||||||
RB, Series F-1, 5.00%, 02/01/51 | 900 | 1,027,377 | ||||||||||
New York Counties Tobacco Trust IV | ||||||||||||
Refunding RB, 6.25%, 06/01/41(b) | 550 | 569,893 | ||||||||||
Refunding RB, Series A, 5.00%, 06/01/42 | 915 | 927,883 | ||||||||||
Refunding RB, Series A, 5.00%, 06/01/45 | 225 | 225,255 | ||||||||||
New York Counties Tobacco Trust VI | ||||||||||||
Refunding RB, 5.00%, 06/01/45 | 835 | 891,431 | ||||||||||
Refunding RB, 5.00%, 06/01/51 | 420 | 447,115 | ||||||||||
New York Liberty Development Corp. | ||||||||||||
Refunding RB, 5.38%, 11/15/40(b) | 150 | 159,967 | ||||||||||
Refunding RB, 5.00%, 11/15/44(b) | 3,000 | 3,157,824 | ||||||||||
Refunding RB, 2.88%, 11/15/46 | 1,990 | 1,674,773 | ||||||||||
Refunding RB, 3.00%, 11/15/51 | 455 | 390,907 | ||||||||||
New York State Dormitory Authority, Refunding RB, 5.00%, 12/01/35(b) | 215 | 239,832 | ||||||||||
New York State Thruway Authority, Refunding RB, Series B, 4.00%, 01/01/45 | 1,190 | 1,233,772 | ||||||||||
New York Transportation Development Corp. | ||||||||||||
RB, AMT, 5.00%, 07/01/34 | 500 | 523,487 | ||||||||||
RB, AMT, 5.00%, 10/01/35 | 240 | 266,867 | ||||||||||
RB, AMT, 5.00%, 10/01/40 | 680 | 756,956 | ||||||||||
RB, AMT, 5.00%, 07/01/41 | 1,470 | 1,546,353 | ||||||||||
RB, AMT, 4.00%, 04/30/53 | 640 | 653,091 | ||||||||||
Refunding RB, AMT, 5.38%, 08/01/36 | 865 | 990,853 | ||||||||||
Niagara Area Development Corp., RB, 5.00%, 07/01/52 | 275 | 279,500 | ||||||||||
Tompkins County Development Corp., Refunding RB, 5.00%, 07/01/44 | 385 | 400,493 | ||||||||||
Westchester County Healthcare Corp., RB, Series A, 5.00%, 11/01/44 | 314 | 327,663 | ||||||||||
Westchester County Local Development Corp. | ||||||||||||
Refunding RB, 5.00%, 01/01/34 | 1,080 | 1,096,484 | ||||||||||
Refunding RB, 5.00%, 07/01/46(b) | 1,125 | 1,132,303 | ||||||||||
Westchester Tobacco Asset Securitization Corp. | ||||||||||||
Refunding RB, Sub-Series C, 4.00%, 06/01/42 | 850 | 886,452 | ||||||||||
Refunding RB, Sub-Series C, 5.13%, 06/01/51 | 500 | 544,017 | ||||||||||
|
| |||||||||||
28,433,525 |
SCHEDULES OF INVESTMENTS | 71 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
North Carolina — 0.1% | ||||||||||||
North Carolina Medical Care Commission, Refunding RB, 5.25%, 01/01/41 | USD | 250 | $ | 254,533 | ||||||||
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40(b) | 250 | 258,162 | ||||||||||
|
| |||||||||||
512,695 | ||||||||||||
North Dakota — 0.2% | ||||||||||||
County of Cass, Refunding RB, 5.25%, 02/15/58 | 855 | 931,371 | ||||||||||
|
| |||||||||||
Ohio — 2.4% | ||||||||||||
Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, 5.00%, 06/01/55 | 2,545 | 2,634,431 | ||||||||||
Cleveland-Cuyahoga County Port Authority | ||||||||||||
Refunding TA, 4.00%, 12/01/55(b) | 185 | 166,164 | ||||||||||
Refunding TA, 4.50%, 12/01/55(b) | 155 | 134,590 | ||||||||||
County of Franklin | ||||||||||||
RB, 6.13%, 07/01/40 | 30 | 30,384 | ||||||||||
RB, 6.13%, 07/01/40 | 555 | 562,067 | ||||||||||
County of Hamilton | ||||||||||||
Refunding RB, 5.00%, 01/01/46 | 190 | 197,485 | ||||||||||
Refunding RB, 4.00%, 08/15/50 | 915 | 966,362 | ||||||||||
County of Hardin | ||||||||||||
Refunding RB, 5.00%, 05/01/30 | 140 | 144,593 | ||||||||||
Refunding RB, 5.25%, 05/01/40 | 285 | 289,353 | ||||||||||
Refunding RB, 5.50%, 05/01/50 | 670 | 680,205 | ||||||||||
Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40(b) | 450 | 447,883 | ||||||||||
Ohio Air Quality Development Authority, RB, AMT, 5.00%, 07/01/49(b) | 880 | 916,629 | ||||||||||
Port of Greater Cincinnati Development Authority, RB, 4.25%, 12/01/50(b) | 265 | 219,514 | ||||||||||
Southern Ohio Port Authority, RB, AMT, Series A, 7.00%, 12/01/42(b) | 1,380 | 1,348,908 | ||||||||||
State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53 | 370 | 390,185 | ||||||||||
|
| |||||||||||
9,128,753 | ||||||||||||
Oklahoma — 2.1% | ||||||||||||
Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37 | 1,000 | 1,078,298 | ||||||||||
Oklahoma Development Finance Authority | ||||||||||||
RB, 7.25%, 09/01/51(b) | 3,290 | 3,687,631 | ||||||||||
RB, Series B, 5.00%, 08/15/38 | 975 | 1,035,436 | ||||||||||
RB, Series B, 5.25%, 08/15/43 | 875 | 935,453 | ||||||||||
Tulsa Authority for Economic Opportunity, TA, 4.38%, 12/01/41(b) | 235 | 208,829 | ||||||||||
Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45 | 965 | 1,026,052 | ||||||||||
|
| |||||||||||
7,971,699 | ||||||||||||
Oregon — 0.2% | ||||||||||||
Clackamas County School District No. 12 North Clackamas, GO, (School Bond Guaranty), Series A, 0.00%, 06/15/38(c) | 275 | 145,198 | ||||||||||
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, 5.50%, 10/01/49 | 150 | 154,441 | ||||||||||
Oregon State Facilities Authority, RB, 5.25%, 06/15/55(b) | 305 | 307,966 | ||||||||||
Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36 | 300 | 306,846 | ||||||||||
|
| |||||||||||
914,451 | ||||||||||||
Pennsylvania — 3.1% | ||||||||||||
Allentown Neighborhood Improvement Zone Development Authority, RB, 5.00%, 05/01/42(b) | 295 | 321,421 |
Security | Par (000) | Value | ||||||||||
Pennsylvania (continued) | ||||||||||||
Bucks County IDA | ||||||||||||
RB, 4.00%, 07/01/46 | USD | 100 | $ | 102,607 | ||||||||
RB, 4.00%, 07/01/51 | 100 | 102,619 | ||||||||||
Hospitals & Higher Education Facilities Authority of Philadelphia, RB, Series A, 5.63%, 07/01/42 | 130 | 131,138 | ||||||||||
Montgomery County Higher Education and Health Authority | ||||||||||||
Refunding RB, 4.00%, 09/01/49 | 1,255 | 1,278,405 | ||||||||||
Refunding RB, 4.00%, 05/01/56 | 2,470 | 2,510,089 | ||||||||||
Montgomery County IDA, Refunding RB, 5.25%, 01/15/45 | 500 | 543,457 | ||||||||||
Pennsylvania Economic Development Financing Authority | ||||||||||||
RB, AMT, Series P-3, 5.00%, 06/30/42 | 1,625 | 1,732,761 | ||||||||||
Refunding RB, AMT, 5.50%, 11/01/44 | 500 | 515,761 | ||||||||||
Pennsylvania Higher Education Assistance Agency, RB, AMT, Series B, 3.00%, 06/01/47 | 1,010 | 849,094 | ||||||||||
Pennsylvania Higher Educational Facilities Authority | ||||||||||||
RB, 4.00%, 08/15/44 | 1,045 | 1,097,636 | ||||||||||
Refunding RB, 5.00%, 07/15/38 | 250 | 260,855 | ||||||||||
Pennsylvania Turnpike Commission | ||||||||||||
RB, Series B, 5.25%, 12/01/44 | 1,000 | 1,060,518 | ||||||||||
RB, Sub-Series A, 5.50%, 12/01/42 | 660 | 735,165 | ||||||||||
Philadelphia Authority for Industrial Development, Refunding RB, Series 2015, 5.00%, 04/01/45 | 500 | 535,566 | ||||||||||
|
| �� | ||||||||||
11,777,092 | ||||||||||||
Puerto Rico — 10.6% | ||||||||||||
Children’s Trust Fund | ||||||||||||
RB, Series A, 0.00%, 05/15/57(c) | 30,030 | 1,837,836 | ||||||||||
Refunding RB, 5.50%, 05/15/39 | 160 | 163,959 | ||||||||||
Commonwealth of Puerto Rico | ||||||||||||
GO, Series A, 0.00%, 07/01/24(c) | 215 | 195,760 | ||||||||||
GO, Series A, 0.00%, 07/01/33(c) | 537 | 310,354 | ||||||||||
GO, Series A1, 5.25%, 07/01/23 | 466 | 477,863 | ||||||||||
GO, Series A1, 5.38%, 07/01/25 | 465 | 491,268 | ||||||||||
GO, Series A1, 5.63%, 07/01/27 | 461 | 503,436 | ||||||||||
GO, Series A1, 5.63%, 07/01/29 | 755 | 837,341 | ||||||||||
GO, Series A1, 5.75%, 07/01/31 | 440 | 501,644 | ||||||||||
GO, Series A1, 4.00%, 07/01/33 | 418 | 408,332 | ||||||||||
GO, Series A1, 4.00%, 07/01/35 | 375 | 362,816 | ||||||||||
GO, Series A1, 4.00%, 07/01/37 | 322 | 309,865 | ||||||||||
GO, Series A1, 4.00%, 07/01/41 | 438 | 415,696 | ||||||||||
GO, Series A1, 4.00%, 07/01/46 | 455 | 428,737 | ||||||||||
GO, Sub-Series CW, 0.00%, 11/01/43(a) | 3,265 | 1,754,919 | ||||||||||
GO, Sub-Series CW/PRIFA, 0.00%, 11/01/51(a) | 796 | 384,196 | ||||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | ||||||||||||
RB, Series A, 5.13%, 07/01/37 | 55 | 55,425 | ||||||||||
RB, Series A, 5.75%, 07/01/37 | 885 | 893,157 | ||||||||||
Puerto Rico Electric Power Authority | ||||||||||||
RB, Series 2013 A-RSA-1, 7.00%, 07/01/33(e)(f) | 1,795 | 1,759,100 | ||||||||||
RB, Series 2013 A-RSA-1, 6.75%, 07/01/36(e)(f) | 775 | 759,500 | ||||||||||
RB, Series 2013 A-RSA-1, 7.00%, 07/01/43(e)(f) | 175 | 171,500 | ||||||||||
RB, Series A-1-RSA-1, 10.00%, 07/01/19(e)(f) | 42 | 45,581 | ||||||||||
RB, Series A-2-RSA-1, 10.00%, 07/01/19(e)(f) | 212 | 229,958 | ||||||||||
RB, Series A-3, 10.00%, 07/01/19(e)(f) | 177 | 192,065 | ||||||||||
RB, Series A-RSA-1, 5.00%, 07/01/29(e)(f) | 385 | 376,978 | ||||||||||
RB, Series A-RSA-1, 5.00%, 07/01/42(e)(f) | 470 | 460,207 | ||||||||||
RB, Series B-3, 10.00%, 07/01/19(e)(f) | 177 | 192,065 | ||||||||||
RB, Series C-1, 5.40%, 01/01/18(e)(f) | 486 | 457,774 | ||||||||||
RB, Series C-2, 5.40%, 07/01/18(e)(f) | 486 | 457,849 | ||||||||||
RB, Series C-3, 5.40%, 01/01/20(e)(f) | 49 | 46,281 |
72 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Puerto Rico (continued) | ||||||||||||
Puerto Rico Electric Power Authority | ||||||||||||
RB, Series C-4, 5.40%, 07/01/20(e)(f) | USD | 49 | $ | 46,712 | ||||||||
RB, Series CCC, 5.00%, 07/01/27(e)(f) | 545 | 501,694 | ||||||||||
RB, Series CCC-RSA-1, 5.25%, 07/01/26(e)(f) | 125 | 122,395 | ||||||||||
RB, Series CCC-RSA-1, 5.25%, 07/01/28(e)(f) | 70 | 68,541 | ||||||||||
RB, Series D-1-RSA-1, 7.50%, 01/01/20(e)(f) | 426 | 417,085 | ||||||||||
RB, Series D-2-RSA-1, 7.50%, 01/01/20(e)(f) | 840 | 823,540 | ||||||||||
RB, Series TT, 5.00%, 07/01/32(e)(f) | 395 | 363,613 | ||||||||||
RB, Series TT-RSA-1, 5.00%, 07/01/18(e)(f) | 160 | 156,666 | ||||||||||
RB, Series TT-RSA-1, 5.00%, 07/01/25(e)(f) | 45 | 44,062 | ||||||||||
RB, Series TT-RSA-1, 5.00%, 07/01/26(e)(f) | 190 | 186,041 | ||||||||||
RB, Series WW, 5.00%, 07/01/28(e)(f) | 165 | 151,889 | ||||||||||
RB, Series WW, 5.50%, 07/01/38(e)(f) | 130 | 119,670 | ||||||||||
RB, Series WW-RSA-1, 5.50%, 07/01/17(e)(f) | 110 | 107,708 | ||||||||||
RB, Series WW-RSA-1, 5.50%, 07/01/18(e)(f) | 95 | 93,021 | ||||||||||
RB, Series WW-RSA-1, 5.50%, 07/01/19(e)(f) | 70 | 68,541 | ||||||||||
RB, Series WW-RSA-1, 5.38%, 07/01/22(e)(f) | 940 | 920,413 | ||||||||||
RB, Series WW-RSA-1, 5.38%, 07/01/24(e)(f) | 65 | 63,646 | ||||||||||
RB, Series WW-RSA-1, 5.25%, 07/01/33(e)(f) | 75 | 73,437 | ||||||||||
RB, Series WW-RSA-1, 5.50%, 07/01/38(e)(f) | 90 | 88,125 | ||||||||||
RB, Series XX-RSA-1, 5.25%, 07/01/27(e)(f) | 50 | 48,958 | ||||||||||
RB, Series XX-RSA-1, 5.25%, 07/01/35(e)(f) | 30 | 29,375 | ||||||||||
RB, Series XX-RSA-1, 5.75%, 07/01/36(e)(f) | 600 | 587,498 | ||||||||||
RB, Series XX-RSA-1, 5.25%, 07/01/40(e)(f) | 2,320 | 2,271,658 | ||||||||||
Refunding RB, Series AAA-RSA-1, 5.25%, 07/01/22(e)(f) | 160 | 156,666 | ||||||||||
Refunding RB, Series AAA-RSA-1, 5.25%, 07/01/28(e)(f) | 265 | 259,478 | ||||||||||
Refunding RB, Series AAA-RSA-1, 5.25%, 07/01/29(e)(f) | 40 | 39,167 | ||||||||||
Refunding RB, Series DDD-RSA-1, 5.00%, 07/01/19(e)(f) | 895 | 876,351 | ||||||||||
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/17(a)(e)(f) | 30 | 27,000 | ||||||||||
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/18(a)(e)(f) | 30 | 27,000 | ||||||||||
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/20(a)(e)(f) | 250 | 225,000 | ||||||||||
Refunding RB, Series UU-RSA-1, 0.84%, 07/01/31(a)(e)(f) | 300 | 270,000 | ||||||||||
Refunding RB, Series ZZ, 5.25%, 07/01/23(e)(f) | 930 | 856,102 | ||||||||||
Refunding RB, Series ZZ-RSA-1, 5.00%, 07/01/17(e)(f) | 70 | 68,541 | ||||||||||
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/19(e)(f) | 235 | 230,103 | ||||||||||
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/24(e)(f) | 150 | 146,875 | ||||||||||
Refunding RB, Series ZZ-RSA-1, 5.00%, 07/01/28(e)(f) | 75 | 73,437 | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | ||||||||||||
RB, Series A-1, 0.00%, 07/01/29(c) | 613 | 499,531 | ||||||||||
RB, Series A-1, 0.00%, 07/01/31(c) | 364 | 275,207 | ||||||||||
RB, Series A-1, 0.00%, 07/01/33(c) | 132 | 92,414 | ||||||||||
RB, Series A-1, 0.00%, 07/01/46(c) | 1,539 | 471,467 | ||||||||||
RB, Series A-1, 0.00%, 07/01/51(c) | 8,072 | 1,790,869 | ||||||||||
RB, Series A-1, 4.75%, 07/01/53 | 3,377 | 3,578,354 | ||||||||||
RB, Series A-1, 5.00%, 07/01/58 | 2,368 | 2,513,064 | ||||||||||
RB, Series A-2, 4.33%, 07/01/40 | 2,225 | 2,297,513 | ||||||||||
RB, Series A-2, 4.33%, 07/01/40 | 34 | 35,302 | ||||||||||
RB, Series A-2, 4.54%, 07/01/53 | 317 | 330,649 |
Security | Par (000) | Value | ||||||||||
Puerto Rico (continued) | ||||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | ||||||||||||
RB, Series A-2, 4.78%, 07/01/58 | USD | 2,226 | $ | 2,344,085 | ||||||||
RB, Series B-1, 0.00%, 07/01/46(c) | 477 | 146,189 | ||||||||||
|
| |||||||||||
40,466,114 | ||||||||||||
Rhode Island — 0.9% | ||||||||||||
Rhode Island Student Loan Authority, RB, AMT, Series A, 3.63%, 12/01/37 | 525 | 494,310 | ||||||||||
Tobacco Settlement Financing Corp. | ||||||||||||
Refunding RB, Series A, 5.00%, 06/01/35 | 400 | 426,478 | ||||||||||
Refunding RB, Series A, 5.00%, 06/01/40 | 600 | 635,444 | ||||||||||
Refunding RB, Series B, 4.50%, 06/01/45 | 750 | 777,281 | ||||||||||
Refunding RB, Series B, 5.00%, 06/01/50 | 1,040 | 1,105,137 | ||||||||||
|
| |||||||||||
3,438,650 | ||||||||||||
South Carolina — 1.0% | ||||||||||||
South Carolina Jobs EDA | ||||||||||||
RB, Series A, 5.00%, 11/15/54 | 210 | 214,743 | ||||||||||
Refunding RB, 4.00%, 11/15/27 | 160 | 162,739 | ||||||||||
Refunding RB, 5.00%, 02/01/36 | 1,045 | 1,128,480 | ||||||||||
Refunding RB, 5.00%, 02/01/38 | 1,000 | 1,076,138 | ||||||||||
Refunding RB, 5.00%, 05/01/43 | 730 | 802,147 | ||||||||||
Refunding RB, 5.25%, 11/15/52 | 200 | 205,899 | ||||||||||
South Carolina Public Service Authority, Refunding RB, Series B, 4.00%, 12/01/56 | 200 | 204,203 | ||||||||||
|
| |||||||||||
3,794,349 | ||||||||||||
Tennessee — 1.5% | ||||||||||||
Chattanooga-Hamilton County Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44 | 250 | 261,111 | ||||||||||
Franklin Health & Educational Facilities Board, Refunding RB, 7.50%, 06/01/47(b)(e)(f) | 1,205 | 362,033 | ||||||||||
Knox County Health Educational & Housing Facility Board, Refunding RB, 5.00%, 04/01/36 | 690 | 754,940 | ||||||||||
Memphis-Shelby County IDB | ||||||||||||
Refunding TA, 5.50%, 07/01/37 | 360 | 313,049 | ||||||||||
Refunding TA, 5.63%, 01/01/46 | 470 | 388,616 | ||||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board | ||||||||||||
Refunding RB, 5.00%, 10/01/48 | 1,800 | 1,907,312 | ||||||||||
Refunding RB, 4.00%, 10/01/49 | 220 | 218,997 | ||||||||||
Refunding RB, 5.25%, 10/01/58 | 1,095 | 1,193,064 | ||||||||||
Metropolitan Government Nashville & Davidson County IDB, Special Assessment RB, 0.00%, 06/01/43(b)(c) | 685 | 237,992 | ||||||||||
|
| |||||||||||
5,637,114 | ||||||||||||
Texas — 3.7% | ||||||||||||
Angelina & Neches River Authority, RB, AMT, 7.50%, 12/01/45(b) | 510 | 459,350 | ||||||||||
Arlington Higher Education Finance Corp. | ||||||||||||
RB, 5.00%, 08/15/41 | 225 | 230,918 | ||||||||||
RB, 5.00%, 06/15/51 | 490 | 493,867 | ||||||||||
RB, 5.63%, 08/15/54(b) | 1,305 | 1,322,166 | ||||||||||
Brazoria County IDC, RB, AMT, 7.00%, 03/01/39 | 390 | 417,293 | ||||||||||
Central Texas Regional Mobility Authority, RB, Series A, 5.00%, 01/01/45 | 500 | 546,180 | ||||||||||
Central Texas Turnpike System | ||||||||||||
Refunding RB, Series C, 5.00%, 08/15/37 | 200 | 209,666 | ||||||||||
Refunding RB, Series C, 5.00%, 08/15/42 | 250 | 261,311 | ||||||||||
City of Crandall, Special Assessment RB, 4.25%, 09/15/41(b) | 230 | 220,889 | ||||||||||
City of Houston Airport System Revenue | ||||||||||||
RB, AMT, 4.00%, 07/15/41 | 160 | 154,800 | ||||||||||
RB, AMT, Series B-1, 5.00%, 07/15/35 | 100 | 105,472 |
SCHEDULES OF INVESTMENTS | 73 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Texas (continued) | ||||||||||||
City of Houston Airport System Revenue | ||||||||||||
Refunding RB, AMT, 4.75%, 07/01/24 | USD | 400 | $ | 413,469 | ||||||||
Refunding RB, AMT, 5.00%, 07/15/27 | 140 | 152,617 | ||||||||||
Refunding RB, AMT, 5.00%, 07/01/29 | 500 | 521,071 | ||||||||||
Refunding RB, AMT, Series C, 5.00%, 07/15/27 | 910 | 991,392 | ||||||||||
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45 | 500 | 523,533 | ||||||||||
County of Hays, Special Assessment RB, 7.00%, 09/15/45 | 250 | 263,765 | ||||||||||
Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42 | 465 | 469,696 | ||||||||||
Mission EDC, Refunding RB, AMT, 4.63%, 10/01/31(b) | 285 | 299,166 | ||||||||||
New Hope Cultural Education Facilities Finance Corp. | ||||||||||||
RB, 0.00%, 12/01/25(b)(c) | 695 | 680,644 | ||||||||||
RB, Series A, 5.00%, 08/15/51(b) | 250 | 263,762 | ||||||||||
New Hope Higher Education Finance Corp., RB, Series A, 5.75%, 06/15/51(b) | 1,175 | 1,023,326 | ||||||||||
Newark Higher Education Finance Corp. | ||||||||||||
RB, 5.00%, 06/15/38 | 125 | 125,511 | ||||||||||
RB, Series A, 5.50%, 08/15/35(b) | 300 | 320,151 | ||||||||||
North Texas Tollway Authority | ||||||||||||
Refunding RB, 4.25%, 01/01/49 | 1,675 | 1,760,347 | ||||||||||
Refunding RB, Series B, 5.00%, 01/01/40 | 250 | 255,204 | ||||||||||
Port Beaumont Navigation District, RB, AMT, 2.75%, 01/01/36(b) | 240 | 210,740 | ||||||||||
Tarrant County Cultural Education Facilities Finance Corp. | ||||||||||||
RB, 4.00%, 10/01/42 | 190 | 202,583 | ||||||||||
Refunding RB, 5.00%, 10/01/49 | 250 | 260,781 | ||||||||||
Texas Transportation Commission | ||||||||||||
RB, 0.00%, 08/01/40(c) | 1,000 | 447,727 | ||||||||||
RB, 0.00%, 08/01/42(c) | 655 | 263,811 | ||||||||||
RB, 5.00%, 08/01/57 | 315 | 343,944 | ||||||||||
|
| |||||||||||
14,215,152 | ||||||||||||
Utah — 0.1% | ||||||||||||
Utah Charter School Finance Authority | ||||||||||||
RB, Series A, 5.00%, 06/15/41(b) | 125 | 131,234 | ||||||||||
RB, Series A, 5.00%, 06/15/52(b) | 160 | 165,284 | ||||||||||
Refunding RB, 5.00%, 06/15/55(b) | 230 | 239,216 | ||||||||||
|
| |||||||||||
535,734 | ||||||||||||
Vermont — 0.3% | ||||||||||||
East Central Vermont Telecommunications District | ||||||||||||
RB, Series A, 4.75%, 12/01/40(b) | 695 | 674,449 | ||||||||||
RB, Series A, 4.50%, 12/01/44(b) | 705 | 641,747 | ||||||||||
|
| |||||||||||
1,316,196 | ||||||||||||
Virginia — 1.2% | ||||||||||||
Ballston Quarter Community Development Authority, TA, Series A, 5.13%, 03/01/31 | 230 | 204,517 | ||||||||||
Cherry Hill Community Development Authority, Special Assessment RB, 5.40%, 03/01/45(b) | 250 | 257,125 | ||||||||||
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51 | 810 | 859,982 | ||||||||||
Fairfax County EDA, RB, Series A, 5.00%, 12/01/42 | 400 | 420,547 | ||||||||||
Henrico County EDA, Refunding RB, 4.00%, 10/01/45 | 235 | 244,996 | ||||||||||
Lexington IDA, RB, Series A, 5.00%, 01/01/48 | 330 | 346,686 | ||||||||||
Lower Magnolia Green Community Development Authority | ||||||||||||
Special Assessment RB, 5.00%, 03/01/35(b) | 240 | 246,366 | ||||||||||
Special Assessment RB, 5.00%, 03/01/45(b) | 95 | 96,680 | ||||||||||
Lynchburg EDA, Refunding RB, 4.00%, 01/01/55 | 135 | 136,767 | ||||||||||
Norfolk Redevelopment & Housing Authority RB, 4.00%, 01/01/29 | 250 | 256,687 |
Security | Par (000) | Value | ||||||||||
Virginia (continued) | ||||||||||||
Norfolk Redevelopment & Housing Authority | ||||||||||||
RB, 5.00%, 01/01/34 | USD | 190 | $ | 201,588 | ||||||||
RB, 5.00%, 01/01/49 | 365 | 379,692 | ||||||||||
Virginia HDA, RB, (GNMA/FNMA/FHLMC), Series I, 2.55%, 11/01/50 | 1,250 | 991,099 | ||||||||||
|
| |||||||||||
4,642,732 | ||||||||||||
Washington — 1.5% | ||||||||||||
King County Public Hospital District No. 4, GO, | ||||||||||||
Refunding, 5.00%, 12/01/30 | 200 | 208,160 | ||||||||||
Port of Seattle, RB, AMT, Series C, 5.00%, 04/01/40 | 250 | 261,198 | ||||||||||
Washington State Convention Center Public Facilities District | ||||||||||||
RB, 4.00%, 07/01/31 | 900 | 919,232 | ||||||||||
RB, 3.00%, 07/01/58 | 1,230 | 892,708 | ||||||||||
Washington State Housing Finance Commission | ||||||||||||
RB, Series 2021-1, Class A, 3.50%, 12/20/35 | 692 | 683,405 | ||||||||||
RB, Series A, 5.00%, 07/01/50(b) | 155 | 164,076 | ||||||||||
RB, Series A, 5.00%, 07/01/56(b) | 175 | 183,933 | ||||||||||
Refunding RB, 5.00%, 01/01/43(b) | 1,100 | 1,196,261 | ||||||||||
Refunding RB, 6.00%, 01/01/45(b) | 210 | 218,891 | ||||||||||
Refunding RB, 5.00%, 01/01/48(b) | 1,000 | 1,081,520 | ||||||||||
|
| |||||||||||
5,809,384 | ||||||||||||
West Virginia — 0.1% | ||||||||||||
City of Martinsburg, RB, Series A-1, 4.63%, 12/01/43 | 430 | 448,566 | ||||||||||
|
| |||||||||||
Wisconsin — 5.2% | ||||||||||||
Public Finance Authority | ||||||||||||
RB, 6.25%, 10/01/31(b) | 195 | 196,513 | ||||||||||
RB, 0.00%, 01/01/35(b)(c) | 1,235 | 483,528 | ||||||||||
RB, 4.50%, 01/01/35(b) | 725 | 697,457 | ||||||||||
RB, 5.00%, 06/15/41(b) | 210 | 202,124 | ||||||||||
RB, 5.00%, 11/15/41 | 375 | 421,930 | ||||||||||
RB, 5.00%, 01/01/42(b) | 360 | 367,105 | ||||||||||
RB, 5.38%, 06/01/44(b) | 245 | 228,100 | ||||||||||
RB, 6.85%, 11/01/46(b) | 275 | 279,990 | ||||||||||
RB, 7.00%, 11/01/46(b) | 155 | 158,722 | ||||||||||
RB, 5.38%, 07/15/47(b) | 335 | 358,666 | ||||||||||
RB, 7.00%, 10/01/47(b) | 195 | 196,906 | ||||||||||
RB, 5.50%, 12/01/48(b)(e)(f) | 8 | 2,711 | ||||||||||
RB, 5.63%, 06/15/49(b) | 1,440 | 1,412,994 | ||||||||||
RB, 5.00%, 04/01/50(b) | 100 | 104,271 | ||||||||||
RB, 5.00%, 06/15/51(b) | 195 | 177,651 | ||||||||||
RB, 5.25%, 12/01/51(b) | 1,060 | 861,740 | ||||||||||
RB, 5.50%, 06/01/54(b) | 300 | 274,821 | ||||||||||
RB, 5.00%, 01/01/55(b) | 1,570 | 1,540,801 | ||||||||||
RB, 5.00%, 06/15/55(b) | 550 | 505,769 | ||||||||||
RB, 5.00%, 06/15/55(b) | 2,750 | 2,517,082 | ||||||||||
RB, 5.00%, 07/01/55(b) | 880 | 901,949 | ||||||||||
RB, 5.00%, 01/01/56(b) | 875 | 882,064 | ||||||||||
RB, 4.75%, 06/15/56(b) | 445 | 373,330 | ||||||||||
RB, 5.00%, 06/15/56(b) | 145 | 129,010 | ||||||||||
RB, 0.00%, 01/01/60(b)(c) | 19,530 | 1,135,215 | ||||||||||
RB, Series A, 5.13%, 10/01/45 | 150 | 152,964 | ||||||||||
RB, Series A, 5.63%, 06/15/49(b) | 885 | 900,162 | ||||||||||
RB, AMT, 4.00%, 09/30/51 | 680 | 677,911 | ||||||||||
RB, AMT, 4.25%, 07/01/54 | 1,160 | 1,040,792 | ||||||||||
RB, AMT, 4.00%, 03/31/56 | 715 | 700,241 | ||||||||||
Refunding RB, 4.00%, 04/01/32(b) | 115 | 117,964 | ||||||||||
Refunding RB, 5.00%, 10/01/34(b) | 100 | 107,657 | ||||||||||
Refunding RB, 5.00%, 10/01/39(b) | 165 | 176,531 | ||||||||||
Refunding RB, 4.00%, 04/01/42(b) | 125 | 120,390 | ||||||||||
Refunding RB, 4.00%, 04/01/52(b) | 155 | 146,570 |
74 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Wisconsin (continued) | ||||||||||||
Public Finance Authority Refunding RB, AMT, Series B, 5.00%, 07/01/42 | USD | 750 | $ | 753,124 | ||||||||
Wisconsin Health & Educational Facilities Authority, Refunding RB, 5.00%, 11/01/46 | 270 | 288,429 | ||||||||||
Wisconsin Housing & EDA, RB, Series A, 4.55%, 07/01/37 | 165 | 173,509 | ||||||||||
|
| |||||||||||
19,766,693 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds — 93.3% | 356,832,251 | |||||||||||
|
| |||||||||||
Municipal Bonds Transferred to Tender Option Bond Trusts(h) |
| |||||||||||
California — 0.5% | ||||||||||||
San Diego County Regional Airport Authority | ||||||||||||
RB, AMT, Sub-Series B, 4.00%, 07/01/56(g) | 535 | 556,976 | ||||||||||
RB, AMT, Sub-Series B, 5.00%, 07/01/56(g) | 1,275 | 1,413,538 | ||||||||||
|
| |||||||||||
1,970,514 | ||||||||||||
Colorado — 0.6% | ||||||||||||
Colorado Health Facilities Authority, Refunding RB, Series A-2, 4.00%, 08/01/49(g) | 2,280 | 2,302,420 | ||||||||||
|
| |||||||||||
Florida — 0.8% | ||||||||||||
Escambia County Health Facilities Authority, Refunding RB, Series A, 4.00%, 08/15/45(g) | 3,060 | 3,125,804 | ||||||||||
|
| |||||||||||
Illinois — 0.5% | ||||||||||||
Illinois Toll Highway Authority | ||||||||||||
RB, Series A, 5.00%, 01/01/40 | 660 | 706,050 | ||||||||||
RB, Series C, 5.00%, 01/01/38 | 1,000 | 1,065,586 | ||||||||||
|
| |||||||||||
1,771,636 | ||||||||||||
Massachusetts — 0.2% | ||||||||||||
Massachusetts HFA, Refunding RB, AMT, Series A, 4.50%, 12/01/47 | 958 | 976,176 | ||||||||||
|
| |||||||||||
New Jersey — 0.4% | ||||||||||||
New Jersey Higher Education Student Assistance Authority, Refunding RB, AMT, Sub-Series C, 4.25%, 12/01/50 | 1,540 | 1,557,129 | ||||||||||
|
| |||||||||||
New York — 4.1% | ||||||||||||
New York City Housing Development Corp. | ||||||||||||
RB, Series D-1-B, 4.25%, 11/01/45 | 1,000 | 1,009,538 | ||||||||||
Refunding RB, Series A-1, 4.15%, 11/01/38 | 1,518 | 1,560,445 | ||||||||||
New York State Dormitory Authority Personal Income Tax Revenue | ||||||||||||
Refunding RB, Series A, 4.00%, 03/15/49 | 3,290 | 3,452,658 | ||||||||||
Refunding RB, Series E, 5.00%, 03/15/36 | 3,330 | 3,610,597 | ||||||||||
Port Authority of New York & New Jersey | ||||||||||||
RB, AMT, Series 221, 4.00%, 07/15/60 | 5,015 | 5,110,785 | ||||||||||
Refunding RB, 194th Series, 5.25%, 10/15/55 | 1,000 | 1,072,838 | ||||||||||
|
| |||||||||||
15,816,861 | ||||||||||||
North Carolina — 0.4% | ||||||||||||
North Carolina Capital Facilities Finance Agency, Refunding RB, Series B, 5.00%, 10/01/55 | 1,000 | 1,098,159 | ||||||||||
North Carolina HFA Home Ownership, RB, Series 39-B, 4.00%, 01/01/48 | 330 | 335,053 | ||||||||||
|
| |||||||||||
1,433,212 |
Security | Par (000) | Value | ||||||||||
Oregon — 1.4% | ||||||||||||
Salem Hospital Facility Authority, Refunding RB, Series A, 4.00%, 05/15/49 | USD | 5,000 | $ | 5,216,575 | ||||||||
|
| |||||||||||
Virginia — 0.3% | ||||||||||||
Hampton Roads Transportation Accountability Commission, RB, Series A, 4.00%, 07/01/60(g) | 920 | 977,117 | ||||||||||
|
| |||||||||||
Washington — 0.4% | ||||||||||||
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45 | 1,340 | 1,456,975 | ||||||||||
|
| |||||||||||
West Virginia — 0.3% | ||||||||||||
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48(g) | 1,215 | 1,274,079 | ||||||||||
|
| |||||||||||
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 9.9% |
| 37,878,498 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 103.2% |
| 394,710,749 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Short-Term Securities(i) | ||||||||||||
Money Market Funds — 2.6% | ||||||||||||
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 0.32% | 9,900,094 | 9,899,104 | ||||||||||
|
| |||||||||||
Total Short-Term Securities — 2.6% | 9,899,104 | |||||||||||
|
| |||||||||||
Total Investments — 105.8% | 404,609,853 | |||||||||||
Other Assets Less Liabilities — 0.0% | 60,809 | |||||||||||
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (5.8)% |
| (22,151,994 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 382,518,668 | ||||||||||
|
|
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Zero-coupon bond. |
(d) | When-issued security. |
(e) | Issuer filed for bankruptcy and/or is in default. |
(f) | Non-income producing security. |
(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 07/01/29, is $5,292,410. See Note 4 of the Notes to Financial Statements for details. |
(h) | 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. |
(i) | Annualized 7-day yield as of period end. |
SCHEDULES OF INVESTMENTS | 75 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount | Value/ (Depreciation) | ||||||||||||
Short Contracts | ||||||||||||||||
U.S. Treasury Bonds (30 Year) | 121 | 06/21/22 | $ | 18,158 | $ | 192,644 | ||||||||||
U.S. Treasury Notes (10 Year) | 119 | 06/21/22 | 14,622 | 234,139 | ||||||||||||
U.S. Treasury Notes (5 Year) | 112 | 06/30/22 | 12,845 | 280,172 | ||||||||||||
|
| |||||||||||||||
$ | 706,955 | |||||||||||||||
|
|
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:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 706,955 | $ | — | $ | 706,955 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 period ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,019,065 | $ | — | $ | 1,019,065 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 198,018 | $ | — | $ | 198,018 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts | ||||
Average notional value of contracts — short | $ | 36,436,428 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
76 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series E Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 356,832,251 | $ | — | $ | 356,832,251 | ||||||||
Municipal Bonds Transferred to Tender Option Bond Trusts | — | 37,878,498 | — | 37,878,498 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 9,899,104 | — | — | 9,899,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 9,899,104 | $ | 394,710,749 | $ | — | $ | 404,609,853 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Interest Rate Contracts | $ | 706,955 | $ | — | $ | — | $ | 706,955 | ||||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, TOB Trust Certificates of $22,111,000 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
SCHEDULES OF INVESTMENTS | 77 |
Schedule of Investments March 31, 2022 | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities | ||||||||
Mosaic Solar Loan Trust, Series 2019-2A, | USD 143 | $ | 138,473 | |||||
|
| |||||||
Total Asset-Backed Securities — 0.0% | 138,473 | |||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities |
| |||||||
Commercial Mortgage-Backed Securities — 17.1% |
| |||||||
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35(a) | 945 | 948,382 | ||||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 1.19%, 09/15/34(a)(b) | 3,928 | 3,908,884 | ||||||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C, 3.60%, 05/15/53(a)(b)(c) | 400 | 397,400 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | ||||||||
Series 2015-200P, Class B, 3.49%, 04/14/33(a) | 2,164 | 2,126,045 | ||||||
Series 2018-DSNY, Class A, (1 mo. LIBOR US + 0.85%), 1.25%, 09/15/34(a)(b) | 665 | 656,634 | ||||||
BANK | ||||||||
Series 2018-BN11, Class B, 4.35%, 03/15/61(b) | 1,769 | 1,811,705 | ||||||
Series 2021-BN38, Class A5, 2.52%, 12/15/64 | 5,090 | 4,741,737 | ||||||
Series 2022-BNK40, Class A4, 3.51%, 03/15/64(b) . | 970 | 976,710 | ||||||
Benchmark Mortgage Trust, Series 2022-B33, | ||||||||
Class A5, 3.46%, 03/15/55 | 2,333 | 2,355,204 | ||||||
BFLD, Series 2019-DPLO, Class A, (1 mo. LIBOR US + 1.09%), 1.49%, 10/15/34(a)(b) | 70 | 69,430 | ||||||
BFLD TRUST Mortgage-Backed Securities, Series 2020-EYP, Class A, (1 mo. LIBOR US + 1.15%), 1.55%, 10/15/35(a)(b) | 2,778 | 2,746,851 | ||||||
BMO Mortgage Trust, Series 2022-C1, Class A5, 3.37%, 02/15/55 | 138 | 137,213 | ||||||
BPR Trust, Series 2021-TY, Class A, (1 mo. LIBOR US + 1.05%), 1.45%, 09/15/38(a)(b) | 2,863 | 2,819,985 | ||||||
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33(a) | 3,920 | 3,890,939 | ||||||
BX Commercial Mortgage Trust | 1,843 | 1,834,806 | ||||||
Series 2019-XL, Class D, (1 mo. LIBOR US + 1.45%), 1.85%, 10/15/36(a)(b) | 3,570 | 3,536,324 | ||||||
Series 2020-FOX, Class D, (1 mo. LIBOR US + 2.10%), 2.50%, 11/15/32(a)(b) | 2,567 | 2,542,953 | ||||||
Series 2020-VIV4, Class A, 2.84%, 03/09/44(a) | 4,980 | 4,658,853 | ||||||
Series 2021-CIP, Class A, (1 mo. LIBOR US + 0.92%), 1.32%, 12/15/38(a)(b) | 4,960 | 4,879,291 | ||||||
Series 2021-SOAR, Class A, (1 mo. LIBOR US + 0.67%), 1.07%, 06/15/38(a)(b) | 4,150 | 4,061,611 | ||||||
Series 2021-VINO, Class A, (1 mo. LIBOR US + 0.65%), 1.05%, 05/15/38(a)(b) | 1,200 | 1,169,957 | ||||||
Series 2021-VINO, Class B, (1 mo. LIBOR US + 0.85%), 1.25%, 05/15/38(a)(b) | 910 | 880,384 | ||||||
Series 2022-LP2, Class A, (1 mo. CME Term SOFR + 1.01%), 1.32%, 02/15/39(a)(b) | 6,283 | 6,157,048 | ||||||
BX Trust | 442 | 435,884 | ||||||
Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | 5,432 | 5,243,868 | ||||||
Series 2019-OC11, Class D, 4.08%, 12/09/41(a)(b) | 1,489 | 1,381,719 | ||||||
CD Mortgage Trust, Series 2018-CD7, Class C, 4.85%, 08/15/51(b) | 1,800 | 1,801,793 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39(a) | USD 1,254 | $ | 1,174,420 | |||||
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.37%, 03/13/35(a) | 4,700 | 4,715,586 | ||||||
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.93%), 1.33%, 11/15/36(a)(b) | 715 | 712,314 | ||||||
Citigroup Commercial Mortgage Trust | 895 | 893,368 | ||||||
Series 2020-420K, Class B, 2.86%, 11/10/42(a) | 130 | 118,929 | ||||||
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.78%, 11/10/31(a)(b) | 1,570 | 1,554,764 | ||||||
Commercial Mortgage Trust | 1,950 | 1,967,598 | ||||||
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | 2,025 | 2,047,504 | ||||||
Series 2015-CR27, Class B, 4.34%, 10/10/48(b) | 2,917 | 2,917,437 | ||||||
Series 2015-LC23, Class ASB, 3.60%, 10/10/48 | 2,699 | 2,713,689 | ||||||
Series 2017-COR2, Class AM, 3.80%, 09/10/50 | 404 | 405,345 | ||||||
Series 2017-PANW, Class A, 3.24%, 10/10/29(a) | 3,960 | 3,897,228 | ||||||
Series 2019-521F, Class B, (1 mo. LIBOR US + 1.10%), 1.50%, 06/15/34(a)(b) | 1,304 | 1,280,144 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A, (1 mo. LIBOR US + 0.98%), 1.38%, 05/15/36(a)(b) | 763 | 758,880 | ||||||
Credit Suisse Mortgage Capital Trust | 1,181 | 1,123,711 | ||||||
Series 2020-NET, Class C, 3.53%, 08/15/37(a) | 266 | 256,158 | ||||||
Series 2021-980M, Class A, 2.39%, 07/15/31(a) | 1,090 | 1,030,136 | ||||||
Series 2021-BHAR, Class A, (1 mo. LIBOR US + 1.15%), 1.55%, 11/15/38(a)(b) | 2,270 | 2,266,677 | ||||||
CSAIL Commercial Mortgage Trust | 1,003 | 1,026,778 | ||||||
Series 2018-CX12, Class A4, 4.22%, 08/15/51(b) | 556 | 575,671 | ||||||
Series 2019-C16, Class A3, 3.33%, 06/15/52 | 3,124 | 3,076,658 | ||||||
Series 2019-C17, Class C, 3.93%, 09/15/52 | 1,203 | 1,133,520 | ||||||
DBGS Mortgage Trust, Series 2018-5BP, Class D, (1 mo. LIBOR US + 1.50%), 1.90%, 06/15/33(a)(b) | 2,307 | 2,260,612 | ||||||
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A, (1 mo. LIBOR US + 0.80%), 1.20%, 02/15/38(a)(b) | 960 | 943,656 | ||||||
Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40(a) | 900 | 815,029 | ||||||
Great Wolf Trust, Series 2019-WOLF, Class A, (1 mo. LIBOR US + 1.03%), 1.43%, 12/15/36(a)(b) | 2,961 | 2,921,957 | ||||||
GS Mortgage Securities Corp. II | 910 | 950,973 | ||||||
Series 2005-ROCK, Class F, 5.52%, 05/03/32(a) | 706 | 719,817 | ||||||
GS Mortgage Securities Trust | 300 | 300,809 | ||||||
Series 2015-GC34, Class B, 4.47%, 10/10/48(b) | 1,500 | 1,497,352 | ||||||
Series 2020-TWN3, Class A, (1 mo. LIBOR US + 2.00%), 2.40%, 11/15/37(a)(b) | 5,300 | 5,295,210 | ||||||
Series 2021-DM, Class A, (1 mo. LIBOR US + 0.89%), 1.28%, 11/15/36(a)(b) | 4,010 | 3,925,166 | ||||||
Series 2021-IP, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 10/15/36(a)(b) | 2,660 | 2,609,442 | ||||||
Series 2021-ROSS, Class A, (1 mo. LIBOR US + 1.15%), 1.55%, 05/15/26(a)(b) | 730 | 720,484 | ||||||
Series 2021-STAR, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 12/15/36(a)(b) | 3,400 | 3,365,684 | ||||||
Hawaii Hotel Trust, Series 2019-MAUI, Class A, (1 mo. LIBOR US + 1.15%), 1.55%, 05/15/38(a)(b) | 100 | 99,123 |
78 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.44%, 07/10/39(a)(b) | USD 669 | $ | 621,521 | |||||
IMT Trust, Series 2017-APTS, Class BFX, 3.50%, 06/15/34(a)(b) | 2,425 | 2,396,652 | ||||||
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a) | 349 | 346,491 | ||||||
JPMBB Commercial Mortgage Securities Trust | 2,993 | 3,023,976 | ||||||
Series 2015-C28, Class A4, 3.23%, 10/15/48 | 4,058 | 4,030,556 | ||||||
Series 2016-C1, Class ASB, 3.32%, 03/17/49 | 2,622 | 2,635,266 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2016-NINE, Class A, 2.85%, 09/06/38(a)(b) | 1,790 | 1,731,762 | ||||||
Series 2018-AON, Class A, 4.13%, 07/05/31(a) | 865 | 872,068 | ||||||
Series 2020-609M, Class A, (1 mo. LIBOR US + 1.37%), 1.77%, 10/15/33(a)(b) | 2,000 | 1,964,796 | ||||||
Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 3.17%, 10/15/33(a)(b) | 600 | 580,800 | ||||||
Series 2020-MKST, Class B, (1 mo. LIBOR US + 1.05%), 1.45%, 12/15/36(a)(b) | 1,540 | 1,519,219 | ||||||
Series 2021-2NU, Class A, 1.97%, 01/05/40(a) | 1,210 | 1,100,207 | ||||||
Series 2022-ACB, Class A, (SOFR (30-day) + 1.40%), 1.45%, 03/15/39(a)(b) | 2,070 | 2,065,449 | ||||||
KKR Industrial Portfolio Trust, Series 2021-KDIP, Class B, (1 mo. LIBOR US + 0.80%), 1.20%, 12/15/37(a)(b) | 165 | 161,373 | ||||||
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49(a) | 2,316 | 2,311,006 | ||||||
Med Trust, Series 2021-MDLN, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 11/15/38(a)(b) | 3,750 | 3,685,263 | ||||||
MF1 | ||||||||
Series 2021-W10, Class A, (1 mo. CME Term SOFR + 1.07%), 1.37%, 12/15/34(a)(b) | 480 | 479,645 | ||||||
Series 2021-W10, Class B, (1 mo. CME Term SOFR + 1.37%), 1.67%, 12/15/34(a)(b) | 640 | 639,520 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A4, 4.04%, 11/15/46 | 1,170 | 1,181,901 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 | 2,997 | 3,012,856 | ||||||
Series 2018-H3, Class B, 4.62%, 07/15/51(b) | 740 | 760,858 | ||||||
Series 2018-MP, Class A, 4.28%, 07/11/40(a)(b) | 1,000 | 1,020,938 | ||||||
Series 2018-SUN, Class A, (1 mo. LIBOR US + 0.90%), 1.30%, 07/15/35(a)(b) | 1,910 | 1,885,981 | ||||||
MSCG Trust | ||||||||
Series 2018-SELF, Class A, (1 mo. LIBOR US + 0.90%), 1.30%, 10/15/37(a)(b) | 1,130 | 1,121,472 | ||||||
Series 2018-SELF, Class C, (1 mo. LIBOR US + 1.18%), 1.58%, 10/15/37(a)(b) | 2,015 | 1,979,549 | ||||||
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 1.45%, 03/15/39(a)(b) | 5,860 | 5,834,298 | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
Series 2018-3, Class MA, 3.50%, 08/25/57(b) | 1,753 | 1,762,284 | ||||||
Series 2018-4, Class MA, 3.50%, 03/25/58 | 1,878 | 1,886,234 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2015-LC22, Class ASB, 3.57%, 09/15/58 | 2,630 | 2,649,974 | ||||||
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 | 2,744 | 2,748,252 | ||||||
Series 2015-P2, Class AS, 4.01%, 12/15/48 | 1,605 | 1,616,473 | ||||||
Series 2017-C41, Class B, 4.19%, 11/15/50(b) | 1,304 | 1,255,697 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2021-FCMT, Class A, (1 mo. LIBOR US + 1.20%), 1.60%, 05/15/31(a)(b) | USD 3,516 | $ | 3,476,356 | |||||
WFRBS Commercial Mortgage Trust, Series 2014- C21, Class A4, 3.41%, 08/15/47 | 2,285 | 2,274,699 | ||||||
|
| |||||||
192,876,831 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.7% |
| |||||||
Arbor Multifamily Mortgage Securities Trust | ||||||||
Series 2020-MF1, Class XA, 0.97%, 05/15/53(a)(b) | 1,587 | 96,800 | ||||||
Series 2021-MF3, Class XA, 0.74%, 10/15/54(a)(b) | 2,932 | 147,018 | ||||||
BANK | ||||||||
Series 2020-BN29, Class XA, 1.35%, 11/15/53(b) | 4,303 | 381,107 | ||||||
Series 2021-BN33, Class XA, 1.06%, 05/15/64(b) | 15,856 | 1,121,297 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2020-B20, Class XA, 1.62%, 10/15/53(b) | 15,524 | 1,452,098 | ||||||
Series 2020-B21, Class XA, 1.46%, 12/17/53(b) | 3,862 | 364,369 | ||||||
Commercial Mortgage Trust, Series 2014-LC17, Class XA, 0.70%, 10/10/47(b) | 41,140 | 570,199 | ||||||
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA, 1.56%, 06/15/52(b) | 12,968 | 1,139,836 | ||||||
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.48%, 10/15/52(b) | 10,232 | 860,522 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2018-C44, Class XA, 0.73%, 05/15/51(b) | 8,547 | 296,398 | ||||||
Series 2020-C58, Class XA, 1.88%, 07/15/53(b) | 4,697 | 558,540 | ||||||
Series 2021-C59, Class XA, 1.55%, 04/15/54(b) | 3,988 | 400,004 | ||||||
|
| |||||||
7,388,188 | ||||||||
|
| |||||||
Total Non-Agency Mortgage-Backed Securities — 17.8% |
| 200,265,019 | ||||||
|
| |||||||
U.S. Government Sponsored Agency Securities |
| |||||||
Collateralized Mortgage Obligations — 1.2% |
| |||||||
Fannie Mae | ||||||||
Series 2010-134, Class KZ, 4.50%, 12/25/40 | 234 | 231,093 | ||||||
Series 2010-141, Class LZ, 4.50%, 12/25/40 | 456 | 463,083 | ||||||
Series 2011-131, Class LZ, 4.50%, 12/25/41 | 273 | 267,162 | ||||||
Series 2011-8, Class ZA, 4.00%, 02/25/41 | 777 | 788,740 | ||||||
Series 2013-81, Class YK, 4.00%, 08/25/43 | 200 | 212,894 | ||||||
Series 2017-76, Class PB, 3.00%, 10/25/57 | 900 | 887,191 | ||||||
Series 2018-21, Class CA, 3.50%, 04/25/45 | 969 | 967,137 | ||||||
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 6.70%, 05/25/48(b) | 2,475 | 2,594,368 | ||||||
Freddie Mac | ||||||||
Series 3745, Class ZA, 4.00%, 10/15/40 | 335 | 345,305 | ||||||
Series 3780, Class ZA, 4.00%, 12/15/40 | 1,274 | 1,330,845 | ||||||
Series 3960, Class PL, 4.00%, 11/15/41 | 900 | 941,943 | ||||||
Series 4161, Class BW, 2.50%, 02/15/43 | 1,400 | 1,355,633 | ||||||
Series 4384, Class LB, 3.50%, 08/15/43 | 1,400 | 1,410,108 | ||||||
Ginnie Mae | ||||||||
Series 2014-107, Class WX, 6.79%, 07/20/39(b) | 456 | 498,290 | ||||||
Series 2016-123, Class LM, 3.00%, 09/20/46 | 600 | 580,469 | ||||||
Series 2019-5, Class P, 3.50%, 07/20/48 | 553 | 553,068 | ||||||
|
| |||||||
13,427,329 | ||||||||
Commercial Mortgage-Backed Securities — 1.6% |
| |||||||
Freddie Mac | ||||||||
Series K082, Class A2, 3.92%, 09/25/28(b) | 2,400 | 2,549,504 | ||||||
Series K139, Class A2, 2.59%, 01/25/32(b) | 12,000 | 11,709,840 | ||||||
Series K154, Class A2, 3.42%, 04/25/32 | 3,500 | 3,621,038 | ||||||
|
| |||||||
17,880,382 |
SCHEDULES OF INVESTMENTS | 79 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Interest Only Collateralized Mortgage Obligations — 1.4% |
| |||||||
Fannie Mae | ||||||||
Series 2013-10, Class PI, 3.00%, 02/25/43 | USD 1,162 | $ | 107,847 | |||||
Series 2014-68, Class YI, 4.50%, 11/25/44 | 534 | 105,388 | ||||||
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 5.79%, 09/25/45(b) | 3,661 | 470,935 | ||||||
Series 2015-74, Class IA, 6.00%, 10/25/45 | 4,763 | 1,035,148 | ||||||
Series 2015-77, Class IO, 6.00%, 10/25/45 | 5,651 | 1,227,792 | ||||||
Series 2016-60, Class SD, (1 mo. LIBOR US + 6.10%), 5.64%, 09/25/46(b)(c) | 1,561 | 234,268 | ||||||
Series 2016-78, Class CS, (1 mo. LIBOR US + 6.10%), 5.64%, 05/25/39(b) | 1,997 | 279,957 | ||||||
Series 2017-38, Class S, (1 mo. LIBOR US + 6.10%), 5.64%, 05/25/47(b) | 2,490 | 414,239 | ||||||
Series 2017-68, Class IE, 4.50%, 09/25/47 | 2,156 | 359,267 | ||||||
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 5.69%, 09/25/47(b) | 1,554 | 254,799 | ||||||
Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 5.59%, 06/25/49(b) | 3,912 | 673,199 | ||||||
Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 5.64%, 07/25/49(b) | 1,351 | 193,567 | ||||||
Series 2019-5, Class SA, (1 mo. LIBOR US + 6.10%), 5.64%, 03/25/49(b) | 10,396 | 1,557,753 | ||||||
Series 2020-32, Class IO, 4.00%, 05/25/50 | 2,332 | 386,727 | ||||||
Series 2020-32, Class PI, 4.00%, 05/25/50 | 2,421 | 399,815 | ||||||
Series 2021-23, Class CI, 3.50%, 07/25/46 | 3,103 | 488,507 | ||||||
Series 2021-41, Class IO, 3.50%, 07/25/51 | 5,916 | 965,198 | ||||||
Freddie Mac | ||||||||
Series 4062, Class GI, 4.00%, 02/15/41 | 335 | 22,232 | ||||||
Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 5.75%, 10/15/42(b) | 1,887 | 313,479 | ||||||
Series 4533, Class JI, 5.00%, 12/15/45 | 959 | 181,362 | ||||||
Series 4901, Class CS, (1 mo. LIBOR US + 6.10%), 5.64%, 07/25/49(b) | 2,294 | 355,274 | ||||||
Series 4941, Class SH, (1 mo. LIBOR US + 5.95%), 5.49%, 12/25/49(b) | 4,759 | 721,580 | ||||||
Series 5159, Class KI, 3.00%, 11/25/51 | 3,038 | 340,381 | ||||||
Series 5159, Class PI, 3.00%, 11/25/51 | 5,076 | 528,164 | ||||||
Series 5176, Class QI, 3.00%, 12/25/51 | 2,893 | 369,226 | ||||||
Ginnie Mae | ||||||||
Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 5.75%, 07/20/47(b)(c) | 2,000 | 331,470 | ||||||
Series 2017-139, Class IB, 4.50%, 09/20/47(c) | 1,047 | 164,737 | ||||||
Series 2017-144, Class DI, 4.50%, 09/20/47 | 723 | 130,672 | ||||||
Series 2020-115, Class IM, 3.50%, 08/20/50(c) | 2,819 | 433,590 | ||||||
Series 2020-146, Class DI, 2.50%, 10/20/50 | 3,770 | 453,234 | ||||||
Series 2020-162, Class TI, 2.50%, 10/20/50 | 6,624 | 794,122 | ||||||
Series 2020-175, Class DI, 2.50%, 11/20/50 | 1,334 | 160,441 | ||||||
Series 2020-185, Class MI, 2.50%, 12/20/50 | 4,629 | 612,556 | ||||||
Series 2021-104, Class IH, 3.00%, 06/20/51 | 4,947 | 730,252 | ||||||
|
| |||||||
15,797,178 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.7% | ||||||||
Fannie Mae, Series 2020-M21, Class AX, 1.56%, 01/25/58(b) | 5,420 | 873,064 | ||||||
Freddie Mac | ||||||||
Series K094, Class X1, 0.88%, 06/25/29(b) | 4,305 | 231,748 | ||||||
Series K105, Class X1, 1.52%, 01/25/30(b) | 13,625 | 1,342,491 | ||||||
Series K109, Class X1, 1.58%, 04/25/30(b) | 2,869 | 296,036 | ||||||
Series K110, Class X1, 1.70%, 04/25/30(b) | 1,201 | 131,007 | ||||||
Series K113, Class X1, 1.39%, 06/25/30(b) | 4,900 | 453,762 | ||||||
Series K115, Class X1, 1.33%, 06/25/30(b) | 5,927 | 531,264 | ||||||
Series K116, Class X1, 1.43%, 07/25/30(b) | 2,089 | 197,689 | ||||||
Series K119, Class X1, 0.93%, 09/25/30(b) | 3,315 | 213,493 |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) |
| |||||||
Freddie Mac | ||||||||
Series K120, Class X1, 1.04%, 10/25/30(b) | USD 16,885 | $ | 1,198,997 | |||||
Series K122, Class X1, 0.88%, 11/25/30(b) | 5,075 | 311,720 | ||||||
Ginnie Mae | ||||||||
Series 2016-105, Class IO, 0.77%, 10/16/57(b) | 10,224 | 352,457 | ||||||
Series 2016-151, Class IO, 0.91%, 06/16/58(b) | 25,648 | 1,164,869 | ||||||
Series 2016-45, Class IO, 0.81%, 02/16/58(b) | 6,449 | 266,687 | ||||||
Series 2017-61, Class IO, 0.77%, 05/16/59(b) | 1,762 | 80,260 | ||||||
Series 2017-64, Class IO, 0.74%, 11/16/57(b) | 7,145 | 336,443 | ||||||
|
| |||||||
7,981,987 | ||||||||
Mortgage-Backed Securities — 150.5% | ||||||||
Fannie Mae Mortgage-Backed Securities | ||||||||
1.50%, 11/01/41 - 12/01/41 | 36,476 | 33,064,412 | ||||||
2.00%, 10/01/31 - 02/01/52 | 65,837 | 61,409,204 | ||||||
2.50%, 09/01/27 - 02/01/52 | 61,881 | 60,099,271 | ||||||
3.00%, 04/01/28 - 03/01/52 | 33,963 | 33,855,214 | ||||||
3.50%, 03/01/29 - 04/01/52(d) | 47,161 | 47,695,690 | ||||||
4.00%, 02/01/31 - 05/01/52 | 35,705 | 36,634,855 | ||||||
4.50%, 05/01/24 - 01/01/51(d) | 22,259 | 23,276,597 | ||||||
5.00%, 02/01/35 - 01/01/49 | 7,701 | 8,280,690 | ||||||
5.50%, 05/01/34 - 05/01/44 | 3,307 | 3,599,215 | ||||||
6.00%, 02/01/38 - 07/01/41 | 2,048 | 2,285,243 | ||||||
6.50%, 07/01/37 - 01/01/38 | 30 | 31,672 | ||||||
Freddie Mac Mortgage-Backed Securities | ||||||||
2.00%, 02/01/42 - 02/01/52 | 37,515 | 34,967,741 | ||||||
2.50%, 02/01/30 - 01/01/52(d) | 47,634 | 45,768,461 | ||||||
3.00%, 09/01/27 - 02/01/52 | 37,222 | 36,867,467 | ||||||
3.50%, 02/01/31 - 02/01/52 | 25,633 | 26,015,895 | ||||||
4.00%, 08/01/40 - 06/01/50(d) | 24,615 | 25,554,434 | ||||||
4.50%, 05/01/24 - 01/01/51 | 1,175 | 1,236,146 | ||||||
5.00%, 05/01/28 - 03/01/49 | 3,364 | 3,619,036 | ||||||
5.50%, 01/01/28 - 06/01/41 | 766 | 839,606 | ||||||
6.00%, 08/01/28 - 11/01/39 | 350 | 390,793 | ||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
2.00%, 08/20/50 - 04/15/52(e) | 62,756 | 59,761,595 | ||||||
2.50%, 10/20/51 - 04/15/52(d)(e) | 95,090 | 92,250,071 | ||||||
3.00%, 12/20/44 - 04/15/52(d)(e) | 66,853 | 66,057,193 | ||||||
3.50%, 01/15/42 - 04/15/52(e) | 37,851 | 38,198,796 | ||||||
4.00%, 04/20/39 - 04/15/52(d)(e) | 31,402 | 32,278,822 | ||||||
4.50%, 09/20/39 - 08/20/50 | 6,973 | 7,354,997 | ||||||
5.00%, 07/15/33 - 04/15/52(e) | 11,759 | 12,334,988 | ||||||
5.50%, 07/15/38 - 12/20/41 | 501 | 555,463 | ||||||
Uniform Mortgage-Backed Securities | ||||||||
1.50%, 04/01/37 - 04/01/52(e) | 85,197 | 78,035,837 | ||||||
2.00%, 04/01/37 - 04/01/52(e) | 294,354 | 275,360,865 | ||||||
2.50%, 04/01/37 - 04/01/52(e) | 179,868 | 171,657,861 | ||||||
3.00%, 04/01/37 - 04/01/52(e) | 105,287 | 102,995,339 | ||||||
3.50%, 04/01/37 - 04/01/52(e) | 45,001 | 45,056,185 | ||||||
4.00%, 04/01/52(e) | 214,652 | 218,839,658 | ||||||
4.50%, 04/01/52(e) | 827 | 857,082 | ||||||
5.00%, 04/01/52(e) | 7,561 | 7,954,704 | ||||||
|
| |||||||
1,695,041,098 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency |
| 1,750,127,974 | ||||||
|
| |||||||
Total Long-Term Investments — 173.2% |
| 1,950,531,466 | ||||||
|
| |||||||
Short-Term Securities | ||||||||
Certificates of Deposit — 28.2% | ||||||||
Bank of Nova Scotia, Houston, 0.20%, 09/23/22 | 37,300 | 37,085,104 |
80 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Certificates of Deposit (continued) |
| |||||||
Mizuho Bank Ltd., New York, 0.17%, 06/17/22 | USD 37,300 | $ | 37,246,537 | |||||
MUFG Bank Ltd., New York, 0.21%, 09/20/22 | 37,700 | 37,501,168 | ||||||
Natixis, New York, 0.30%, 10/20/22 | 38,200 | 37,940,490 | ||||||
Royal Bank of Canada, New York | ||||||||
0.20%, 09/23/22 | 37,500 | 37,270,726 | ||||||
0.27%, 10/20/22 | 38,000 | 37,732,772 | ||||||
Toronto-Dominion Bank, New York | ||||||||
0.20%, 09/23/22 | 37,700 | 37,472,235 | ||||||
0.27%, 10/20/22 | 30,500 | 30,281,955 | ||||||
Westpac Banking Corporation, New York, 0.27%, 10/20/22 | 25,000 | 24,823,634 | ||||||
|
| |||||||
317,354,621 | ||||||||
|
| |||||||
Shares | ||||||||
Money Market Funds — 0.5% |
| |||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.12%(f) | 5,806,823 | 5,806,823 | ||||||
|
| |||||||
Par (000) | ||||||||
U.S. Treasury Obligations(g) — 5.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.51%, 06/30/22 | USD 105 | 104,866 | ||||||
0.28%, 07/14/22 | 44,022 | 43,944,741 | ||||||
0.35%, 07/21/22 | 8,878 | 8,859,933 | ||||||
0.41%, 07/28/22 | 6,320 | 6,304,360 | ||||||
|
| |||||||
59,213,900 | ||||||||
|
| |||||||
Total Short-Term Securities — 34.0% |
| 382,375,344 | ||||||
|
| |||||||
Total Investments Before TBA Sale Commitments — 207.2% |
| 2,332,906,810 | ||||||
|
| |||||||
TBA Sale Commitments(e) |
| |||||||
Mortgage-Backed Securities — (53.4)% |
| |||||||
Ginnie Mae Mortgage-Backed Securities 2.00%, 04/15/52 | (3,697 | ) | (3,516,771 | ) |
Security | Par (000) | Value | ||||||
Mortgage-Backed Securities (continued) |
| |||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
2.50%, 04/15/52 | USD (32,518 | ) | $ | (31,538,649 | ) | |||
3.00%, 04/15/52 | (27,462 | ) | (27,139,107 | ) | ||||
3.50%, 04/15/52 | (3,727 | ) | (3,747,382 | ) | ||||
4.00%, 04/15/52 | (4,776 | ) | (4,869,706 | ) | ||||
4.50%, 04/15/52 | (4,147 | ) | (4,286,961 | ) | ||||
5.00%, 04/15/52 | (6,049 | ) | (6,322,845 | ) | ||||
Uniform Mortgage-Backed Securities | ||||||||
1.50%, 04/01/37 - 04/01/52 | (54,749 | ) | (49,999,970 | ) | ||||
2.00%, 04/01/37 - 04/01/52 | (133,974 | ) | (125,811,862 | ) | ||||
2.50%, 04/01/37 - 04/01/52 | (79,825 | ) | (76,215,612 | ) | ||||
3.00%, 04/01/37 - 04/01/52 | (89,768 | ) | (87,828,235 | ) | ||||
3.50%, 04/01/37 - 04/01/52 | (23,543 | ) | (23,597,641 | ) | ||||
4.00%, 04/01/52 | (140,576 | ) | (143,291,336 | ) | ||||
4.50%, 04/01/52 | (12,304 | ) | (12,741,635 | ) | ||||
|
| |||||||
Total TBA Sale Commitments — (53.4)% |
| (600,907,712 | ) | |||||
|
| |||||||
Total Investments — 153.8% |
| 1,731,999,098 | ||||||
Liabilities in Excess of Other Assets — (53.8)% |
| (605,803,725 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 1,126,195,373 | |||||
|
|
(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. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(e) | Represents or includes a TBA transaction. |
(f) | Annualized 7-day yield as of period end. |
(g) | Rates are discount rates or a range of discount rates as of period end. |
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)
| 33 | 06/21/22 | $ | 4,952 | $ | (91,656 | ) | |||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Euro Dollar | 17 | 06/13/22 | 4,185 | 46,113 | ||||||||||||
U.S. Treasury Notes (10 Year) | 596 | 06/21/22 | 73,233 | 16,971 | ||||||||||||
U.S. Ultra Treasury Notes (10 Year) | 37 | 06/21/22 | 5,012 | 96,915 | ||||||||||||
U.S. Treasury Notes (2 Year) | 288 | 06/30/22 | 61,034 | 821,322 | ||||||||||||
U.S. Treasury Notes (5 Year) | 439 | 06/30/22 | 50,348 | 1,086,654 | ||||||||||||
Euro Dollar | 17 | 09/19/22 | 4,157 | 70,352 | ||||||||||||
Euro Dollar | 17 | 12/19/22 | 4,137 | 81,576 | ||||||||||||
|
| |||||||||||||||
2,219,903 | ||||||||||||||||
|
| |||||||||||||||
$ | 2,128,247 | |||||||||||||||
|
|
SCHEDULES OF INVESTMENTS | 81 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series M Portfolio |
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective | Termination Date | Notional | Value | Upfront Premium Paid (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Amount (000) | |||||||||||||||||||||||||
1.68% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 06/24/22 | USD | 15,500 | $ | (91,633 | ) | $ | — | $ | (91,633 | ) | |||||||||||||||
1.72% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 06/26/22 | USD | 4,400 | (26,850 | ) | — | (26,850 | ) | ||||||||||||||||||
1.84% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 07/18/22 | USD | 8,000 | (47,542 | ) | — | (47,542 | ) | ||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.62% | Semi-Annual | N/A | 07/21/22 | USD | 20,000 | 95,318 | — | 95,318 | ||||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.63% | Semi-Annual | N/A | 07/21/22 | USD | 8,000 | 38,605 | — | 38,605 | ||||||||||||||||||||
1.81% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 07/25/22 | USD | 4,500 | (25,384 | ) | — | (25,384 | ) | ||||||||||||||||||
1.78% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 07/26/22 | USD | 9,700 | (53,085 | ) | — | (53,085 | ) | ||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.60% | Semi-Annual | N/A | 08/04/22 | USD | 18,700 | 78,448 | — | 78,448 | ||||||||||||||||||||
1.53% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 08/08/22 | USD | 15,500 | (57,507 | ) | — | (57,507 | ) | ||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.42% | Semi-Annual | N/A | 09/10/22 | USD | 5,300 | 7,869 | — | 7,869 | ||||||||||||||||||||
1-day Overnight Fed Funds Effective Rate, 0.33% | At Termination | 1.24% | At Termination | 07/27/22(a) | 09/21/22 | USD | 226,562 | (115,409 | ) | — | (115,409 | ) | ||||||||||||||||||
0.05% | Quarterly | 1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | N/A | 10/21/22 | USD | 308 | 1,887 | — | 1,887 | ||||||||||||||||||||
SOFR, 0.29% | Quarterly | 0.05% | Quarterly | N/A | 10/21/22 | USD | 308 | (1,871 | ) | — | (1,871 | ) | ||||||||||||||||||
0.18% | Quarterly | 1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | N/A | 10/21/25 | USD | 232 | 17,306 | — | 17,306 | ||||||||||||||||||||
SOFR, 0.29% | Quarterly | 0.17% | Quarterly | N/A | 10/21/25 | USD | 232 | (17,205 | ) | — | (17,205 | ) | ||||||||||||||||||
1.61% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 10/01/29 | USD | 6,300 | 313,995 | — | 313,995 | ||||||||||||||||||||
0.56% | Quarterly | 1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | N/A | 10/21/30 | USD | 83 | 10,268 | — | 10,268 | ||||||||||||||||||||
SOFR, 0.29% | Quarterly | 0.53% | Quarterly | N/A | 10/21/30 | USD | 83 | (10,312 | ) | — | (10,312 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 116,898 | $ | — | $ | 116,898 | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional (000) | Value | Upfront (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00 | % | Monthly | Goldman Sachs International | 11/17/59 | USD | 3,976 | $ | 440,621 | $ | 180,715 | $ | 259,906 | |||||||||||||||||||
CMBX.NA.10.BBB- | 3.00 | Monthly | Goldman Sachs International | 11/17/59 | USD | 4,174 | 462,652 | 199,046 | 263,606 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 903,273 | $ | 379,761 | $ | 523,512 | |||||||||||||||||||||||||||
|
|
|
|
|
|
82 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series M Portfolio |
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 | Value | Upfront (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | % | Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | USD | 8,000 | $ | (812,068 | ) | $ | (909,335 | ) | $ | 97,267 | ||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | Not Rated | USD | 10,400 | (1,055,688 | ) | (448,044 | ) | (607,644 | ) | |||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00 | Monthly | Goldman Sachs International | 11/17/59 | BBB- | USD | 4,398 | (487,379 | ) | (303,885 | ) | (183,494 | ) | |||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD | 3,753 | (415,893 | ) | (261,326 | ) | (154,567 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (2,771,028 | ) | $ | (1,922,590 | ) | $ | (848,438 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
(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
Swaps Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | — | $ | 563,696 | $ | (446,798 | ) | |||||||
OTC Swaps | 379,761 | (1,922,590 | ) | 620,779 | (945,705 | ) |
(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 Statement 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:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 2,219,903 | $ | — | $ | 2,219,903 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) | — | — | — | — | 563,696 | — | 563,696 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; | — | 1,000,540 | — | — | — | — | 1,000,540 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 1,000,540 | $ | — | $ | — | $ | 2,783,599 | $ | — | $ | 3,784,139 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 91,656 | $ | — | $ | 91,656 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) | — | — | — | — | 446,798 | — | 446,798 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; | — | 2,868,295 | — | — | — | — | 2,868,295 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 2,868,295 | $ | — | $ | — | $ | 538,454 | $ | — | $ | 3,406,749 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Net cumulative unrealized appreciation (depreciation) on futures 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). |
SCHEDULES OF INVESTMENTS | 83 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series M Portfolio |
For the period ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 3,559,055 | $ | — | $ | 3,559,055 | ||||||||||||||
Options purchased(a) | — | — | — | — | 61,150 | — | 61,150 | |||||||||||||||||||||
Options written | — | — | — | — | 774,626 | — | 774,626 | |||||||||||||||||||||
Swaps | — | 358,204 | — | — | — | — | 358,204 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 358,204 | $ | — | $ | — | $ | 4,394,831 | $ | — | $ | 4,753,035 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 2,000,277 | $ | — | $ | 2,000,277 | ||||||||||||||
Options written | — | — | — | — | (20,148 | ) | — | (20,148 | ) | |||||||||||||||||||
Swaps | — | 109,145 | — | — | 380,623 | — | 489,768 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 109,145 | $ | — | $ | — | $ | 2,360,752 | $ | — | $ | 2,469,897 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts | ||||
Average notional value of contracts — long | $ | 5,030,539 | ||
Average notional value of contracts — short | $ | 151,929,310 | ||
Options | ||||
Average value of option contracts purchased | $ | — | (a) | |
Average value of option contracts written | $ | 13,235 | ||
Credit default swaps | ||||
Average notional value — buy protection | $ | 8,150,000 | ||
Average notional value — sell protection | $ | 26,550,375 | ||
Interest rate swaps | ||||
Average notional value — pays fixed rate | $ | 109,263,574 | ||
Average notional value — received fixed rate | $ | 65,023,074 |
(a) | Derivative not held at any quarter-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 | $ | 23,931 | $ | 90,589 | ||||
Swaps — centrally cleared | — | 150,616 | ||||||
Swaps — OTC(a) | 1,000,540 | 2,868,295 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 1,024,471 | $ | 3,109,500 | ||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (23,931 | ) | (241,205 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 1,000,540 | $ | 2,868,295 | ||||
|
|
|
|
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
84 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series M Portfolio |
The following tables presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non- Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | |||||||||||||||
Deutsche Bank AG | $ | 97,267 | $ | (97,267 | ) | $ | — | $ | — | $ | — | |||||||||
Goldman Sachs International | 903,273 | (903,273 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,000,540 | $ | (1,000,540 | ) | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
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 | $ | 909,335 | $ | (97,267 | ) | $ | — | $ | (812,068 | ) | $ | — | ||||||||
Goldman Sachs International | 1,543,067 | (903,273 | ) | — | (639,794 | ) | — | |||||||||||||
J.P. Morgan Securities LLC | 415,893 | — | — | (415,893 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,868,295 | $ | (1,000,540 | ) | $ | — | $ | (1,867,755 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 138,473 | $ | — | $ | 138,473 | ||||||||
Non-Agency Mortgage-Backed Securities | — | 199,867,619 | 397,400 | 200,265,019 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 1,748,963,909 | 1,164,065 | 1,750,127,974 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Certificates of Deposit | — | 317,354,621 | — | 317,354,621 | ||||||||||||
Money Market Funds | 5,806,823 | — | — | 5,806,823 | ||||||||||||
U.S. Treasury Obligations | — | 59,213,900 | — | 59,213,900 | ||||||||||||
Liabilities | ||||||||||||||||
TBA Sale Commitments | — | (600,907,712 | ) | — | (600,907,712 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,806,823 | $ | 1,724,630,810 | $ | 1,561,465 | $ | 1,731,999,098 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 620,779 | $ | — | $ | 620,779 | ||||||||
Interest Rate Contracts | 2,219,903 | 563,696 | — | 2,783,599 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (945,705 | ) | — | (945,705 | ) | ||||||||||
Interest Rate Contracts | (91,656 | ) | (446,798 | ) | — | (538,454 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,128,247 | $ | (208,028 | ) | $ | — | $ | 1,920,219 | ||||||||
|
|
|
|
|
|
|
|
(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 | 85 |
Schedule of Investments March 31, 2022 | BATS: Series P Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Investment Companies | ||||||||
Fixed-Income Funds — 21.5% | ||||||||
BATS: Series S Portfolio(a) | 1,263,569 | $ | 11,725,920 | |||||
|
| |||||||
Total Investments — 21.5% | 11,725,920 | |||||||
Other Assets Less Liabilities — 78.5% | 42,845,557 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 54,571,477 | ||||||
|
|
(a) | Affiliate of the Fund. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 03/31/21 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 03/31/22 | Shares Held at 03/31/22 | Income | Capital Gain | |||||||||||||||||||||||||||
BATS: Series S Portfolio | $ | 15,524,886 | $ | — | $ | (3,205,400 | ) | $ | (28,931 | ) | $ | (564,635 | ) | $ | 11,725,920 | 1,263,569 | $ | 231,396 | $ | — | ||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
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. Ultra Treasury Bonds | 1 | 06/21/22 | $ | 177 | $ | (7,313 | ) | |||||||||
U.S. Treasury Notes (5 Year) | 18 | 06/30/22 | 2,064 | (8,194 | ) | |||||||||||
|
| |||||||||||||||
(15,507 | ) | |||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
U.S. Treasury Bonds (30 Year) | 2 | 06/21/22 | 300 | 8,944 | ||||||||||||
U.S. Treasury Notes (10 Year) | 211 | 06/21/22 | 25,927 | 727,573 | ||||||||||||
U.S. Ultra Treasury Notes (10 Year) | 244 | 06/21/22 | 33,054 | 1,072,113 | ||||||||||||
U.S. Treasury Notes (2 Year) | 29 | 06/30/22 | 6,146 | 77,806 | ||||||||||||
|
| |||||||||||||||
1,886,436 | ||||||||||||||||
|
| |||||||||||||||
$ | 1,870,929 | |||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||
0.05% | Quarterly | 1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | 10/21/22 | USD | 3,287 | $ | 20,135 | $ | — | $ | 20,135 | ||||||||||||||
SOFR, 0.29% | Quarterly | 0.05% | Quarterly | 10/21/22 | USD | 3,287 | (19,964 | ) | — | (19,964 | ) | |||||||||||||||
0.18% | Quarterly | 1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | 10/21/25 | USD | 3,167 | 236,665 | — | 236,665 | |||||||||||||||||
SOFR, 0.29% | Quarterly | 0.17% | Quarterly | 10/21/25 | USD | 3,167 | (235,294 | ) | — | (235,294 | ) | |||||||||||||||
2.90% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 11/15/27 | USD | 2 | (65 | ) | — | (65 | ) | |||||||||||||||
0.56% | Quarterly | 1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | 10/21/30 | USD | 336 | 41,412 | — | 41,412 | |||||||||||||||||
SOFR, 0.29% | Quarterly | 0.53% | Quarterly | 10/21/30 | USD | 336 | (41,591 | ) | — | (41,591 | ) | |||||||||||||||
0.75% | Quarterly | SOFR, 0.29% | Quarterly | 10/21/35 | USD | 22 | 3,505 | — | 3,505 |
86 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series P Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||
1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | 0.79% | Quarterly | 10/21/35 | USD | 22 | $ | (3,407 | ) | $ | — | $ | (3,407 | ) | ||||||||||||
0.84% | Quarterly | SOFR, 0.29% | Quarterly | 10/21/40 | USD | 39 | 7,549 | — | 7,549 | |||||||||||||||||
1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | 0.91% | Quarterly | 10/21/40 | USD | 39 | (7,204 | ) | — | (7,204 | ) | |||||||||||||||
0.91% | Quarterly | SOFR, 0.29% | Quarterly | 10/21/50 | USD | 22 | 5,133 | — | 5,133 | |||||||||||||||||
1-day Overnight Fed Funds Effective Rate, 0.33% | Quarterly | 0.99% | Quarterly | 10/21/50 | USD | 22 | (4,756 | ) | — | (4,756 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 2,118 | $ | — | $ | 2,118 | |||||||||||||||||||||
|
|
|
|
|
|
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
Swaps Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | — | $ | 314,399 | $ | (312,281 | ) |
(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:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 1,886,436 | $ | — | $ | 1,886,436 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) | — | — | — | — | 314,399 | — | 314,399 | |||||||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 2,200,835 | $ | — | $ | 2,200,835 | |||||||||||||||
|
|
|
|
|
|
|
|
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|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 15,507 | $ | — | $ | 15,507 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) | — | — | — | — | 312,281 | — | 312,281 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 327,788 | $ | — | $ | 327,788 | |||||||||||||||
|
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|
|
(a) | Net cumulative unrealized appreciation (depreciation) on futures 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). |
SCHEDULES OF INVESTMENTS | 87 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series P Portfolio |
For the year ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,475,395 | $ | — | $ | 1,475,395 | ||||||||||||||
Swaps | — | — | — | — | (5,013,456 | ) | — | (5,013,456 | ) | |||||||||||||||||||
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|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | (3,538,061 | ) | $ | — | $ | (3,538,061 | ) | |||||||||||||
|
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|
|
|
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|
|
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|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,597,810 | $ | — | $ | 1,597,810 | ||||||||||||||
Swaps | — | — | — | — | 3,920,219 | — | 3,920,219 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 5,518,029 | $ | — | $ | 5,518,029 | |||||||||||||||
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|
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|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts | ||||
Average notional value of contracts — long | $ | 1,131,098 | ||
Average notional value of contracts — short | $ | 62,887,002 | ||
Interest rate swaps | ||||
Average notional value — pays fixed rate | $ | 6,873,052 | ||
Average notional value — received fixed rate | $ | 6,875,052 |
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 financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Investment Companies | $ | 11,725,920 | $ | — | $ | — | $ | 11,725,920 | ||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Interest Rate Contracts | $ | 1,886,436 | $ | 314,399 | $ | — | $ | 2,200,835 | ||||||||
Liabilities | ||||||||||||||||
Interest Rate Contracts | (15,507 | ) | (312,281 | ) | — | (327,788 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,870,929 | $ | 2,118 | $ | — | $ | 1,873,047 | |||||||||
|
|
|
|
|
|
|
|
(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.
88 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities | ||||||||||||
AGL CLO 3 Ltd., Series 2020-3A, Class A, (3 mo. LIBOR US + 1.30%), 1.54%, 01/15/33(a)(b) | USD | 250 | $ | 248,557 | ||||||||
American Express Credit Account Master Trust | ||||||||||||
Series 2021-1, Class A, 0.90%, 11/15/26 | 3,660 | 3,489,524 | ||||||||||
Series 2022-1, Class A, 2.21%, 03/15/27 | 1,711 | 1,678,161 | ||||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||||
Series 2021-1, Class A3, 0.37%, 08/18/25 | 1,650 | 1,630,003 | ||||||||||
Series 2021-3, Class A3, 0.76%, 08/18/26 | 1,400 | 1,353,427 | ||||||||||
Series 2022-1, Class A3, 2.45%, 11/18/26 | 797 | 786,999 | ||||||||||
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 1.37%, 01/28/31(a)(b) | 470 | 467,223 | ||||||||||
Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class A, (1 mo. LIBOR US + 1.10%), 1.50%, 05/15/36(a)(b) | 500 | 494,375 | ||||||||||
ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, 08/15/28(a) | 210 | 208,963 | ||||||||||
Atrium XIII, Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 1.76%, 11/21/30(a)(b) | 800 | 792,153 | ||||||||||
Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A1R2, (3 mo. LIBOR US + 1.00%), 1.25%, 07/20/29(a)(b) | 1,016 | 1,012,527 | ||||||||||
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.35%, 01/20/31(a)(b) | 500 | 497,131 | ||||||||||
Birch Grove CLO 2 Ltd., Series 2021-2A, Class B, (3 mo. LIBOR US + 1.75%), 2.00%, 10/19/34(a)(b) | 250 | 246,992 | ||||||||||
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3 mo. LIBOR US + 1.75%), 2.01%, 07/25/34(a)(b) | 250 | 247,440 | ||||||||||
BMW Vehicle Lease Trust, Series 2021-1, Class A2, 0.20%, 03/27/23 | 829 | 827,756 | ||||||||||
BMW Vehicle Owner Trust, Series 2019-A, Class A4, 1.95%, 01/26/26 | 1,290 | 1,287,046 | ||||||||||
Capital One Multi-Asset Execution Trust, Series 2022- A1, Class A1, 2.80%, 03/15/27 | 3,331 | 3,317,786 | ||||||||||
CarMax Auto Owner Trust | ||||||||||||
Series 2021-1, Class A3, 0.34%, 12/15/25 | 1,220 | 1,190,534 | ||||||||||
Series 2021-2, Class A3, 0.52%, 02/17/26 | 910 | 877,836 | ||||||||||
Cedar Funding VII CLO Ltd. | ||||||||||||
Series 2018-7A, Class A1, (3 mo. LIBOR US + 1.00%), 1.25%, 01/20/31(a)(b) | 1,500 | 1,489,242 | ||||||||||
Series 2018-7A, Class A2, (3 mo. LIBOR US + 1.13%), 1.38%, 01/20/31(a)(b) | 875 | 859,687 | ||||||||||
CIFC Funding Ltd., Series 2014-3A, Class A1R2, (3 mo. LIBOR US + 1.20%), 1.46%, 10/22/31(a)(b) | 1,000 | 996,039 | ||||||||||
CNH Equipment Trust, Series 2019-B, Class A3, 2.52%, 08/15/24 | 579 | 581,302 | ||||||||||
College Ave Student Loans LLC | ||||||||||||
Series 2021-B, Class A1, (1 mo. LIBOR US + 0.80%), 1.26%, 06/25/52(a)(b) | 268 | 263,389 | ||||||||||
Series 2021-C, Class B, 2.72%, 07/26/55(a) | 100 | 93,873 | ||||||||||
Credit Acceptance Auto Loan Trust | ||||||||||||
Series 2019-3A, Class A, 2.38%, 11/15/28(a) | 336 | 336,413 | ||||||||||
Series 2020-1A, Class A, 2.01%, 02/15/29(a) | 1,136 | 1,136,485 | ||||||||||
Series 2020-2A, Class A, 1.37%, 07/16/29(a) | 250 | 247,593 | ||||||||||
Series 2021-2A, Class A, 0.96%, 02/15/30(a) | 970 | 937,973 | ||||||||||
Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.75%), 1.87%, 10/15/36(a)(b) | 250 | 247,955 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Discover Card Execution Notes Trust, Series 2017-A5, Class A5, (1 mo. LIBOR US + 0.60%), 1.00%, 12/15/26(b) | USD | 925 | $ | 931,097 | ||||||||
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34(a) | 975 | 956,349 | ||||||||||
Drive Auto Receivables Trust | ||||||||||||
Series 2021-1, Class A3, 0.44%, 11/15/24 | 487 | 486,194 | ||||||||||
Series 2021-3, Class A3, 0.79%, 10/15/25 | 1,400 | 1,373,293 | ||||||||||
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%), 1.29%, 04/20/34(a)(b) | 1,000 | 988,846 | ||||||||||
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3 mo. LIBOR US + 1.70%), 1.94%, 10/15/30(a)(b) | 700 | 694,212 | ||||||||||
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45(a) | 95 | 87,502 | ||||||||||
Enterprise Fleet Financing LLC | ||||||||||||
Series 2019-1, Class A2, 2.98%, 10/20/24(a) | 73 | 72,734 | ||||||||||
Series 2020-1, Class A2, 1.78%, 12/22/25(a) | 760 | 759,500 | ||||||||||
Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26(a) | 922 | 902,810 | ||||||||||
Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39(a) | CAD | 510 | 389,579 | |||||||||
Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.30%, 08/15/25 | USD | 550 | 536,927 | |||||||||
FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1 mo. LIBOR US + 1.22%), 1.65%, 05/16/38(a)(b) | 310 | 305,546 | ||||||||||
Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3 mo. LIBOR US + 1.40%), 1.66%, 07/24/30(a)(b) | 250 | 246,928 | ||||||||||
Generate CLO 2 Ltd., Series 2A, Class AR, (3 mo. LIBOR US + 1.15%), 1.41%, 01/22/31(a)(b) | 1,500 | 1,494,048 | ||||||||||
GM Financial Consumer Automobile Receivables Trust, Series 2022-1, Class A4, 1.51%, 04/17/28 | 277 | 264,568 | ||||||||||
GoodLeap Sustainable Home Solutions Trust | ||||||||||||
Series 2021-4GS, Class A, 1.93%, 07/20/48(a) | 238 | 215,072 | ||||||||||
Series 2021-5CS, Class A, 2.31%, 10/20/48(a) | 145 | 132,944 | ||||||||||
Series 2022-1GS, Class A, 2.70%, 01/20/49(a) | 122 | 114,391 | ||||||||||
Honda Auto Receivables Owner Trust | ||||||||||||
Series 2019-3, Class A4, 1.85%, 08/15/25 | 790 | 790,059 | ||||||||||
Series 2019-4, Class A4, 1.87%, 01/20/26 | 500 | 498,882 | ||||||||||
Series 2020-1, Class A4, 1.63%, 10/21/26 | 900 | 890,956 | ||||||||||
Series 2021-1, Class A3, 0.27%, 04/21/25 | 1,030 | 1,008,477 | ||||||||||
Hyundai Auto Receivables Trust, Series 2021-C, Class A3, 0.74%, 05/15/26 | 700 | 672,511 | ||||||||||
Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3 mo. LIBOR US + 1.80%), 2.06%, 07/25/34(a)(b) | 250 | 247,662 | ||||||||||
John Deere Owner Trust, Series 2021-A, Class A2, 0.20%, 12/15/23 | 1,169 | 1,164,743 | ||||||||||
Lendmark Funding Trust, Series 2021-1A, Class A, 1.90%, 11/20/31(a) | 330 | 298,377 | ||||||||||
LoanCore Issuer Ltd., Series 2021-CRE5, Class A, (1 mo. LIBOR US + 1.30%), 1.70%, 07/15/36(a)(b) | 220 | 217,810 | ||||||||||
Mariner Finance Issuance Trust | ||||||||||||
Series 2020-AA, Class A, 2.19%, 08/21/34(a) | 284 | 273,044 | ||||||||||
Series 2021-AA, Class A, 1.86%, 03/20/36(a) | 140 | 127,961 | ||||||||||
Mosaic Solar Loan Trust, Series 2022-1A, Class A, 2.64%, 01/20/53(a) | 229 | 215,897 | ||||||||||
Navient Private Education Loan Trust, Series 2020-IA, Class A1A, 1.33%, 04/15/69(a) | 1,154 | 1,082,367 | ||||||||||
Navient Private Education Refi Loan Trust | ||||||||||||
Series 2019-CA, Class A2, 3.13%, 02/15/68(a) | 416 | 413,370 | ||||||||||
Series 2019-GA, Class A, 2.40%, 10/15/68(a) | 144 | 142,752 |
SCHEDULES OF INVESTMENTS | 89 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Navient Private Education Refi Loan Trust | ||||||||||||
Series 2020-A, Class A2B, (1 mo. LIBOR US + 0.90%), 1.30%, 11/15/68(a)(b) | USD | 1,841 | $ | 1,828,968 | ||||||||
Series 2020-BA, Class A2, 2.12%, 01/15/69(a) | 492 | 482,321 | ||||||||||
Series 2020-DA, Class A, 1.69%, 05/15/69(a) | 625 | 608,066 | ||||||||||
Series 2020-FA, Class A, 1.22%, 07/15/69(a) | 875 | 854,445 | ||||||||||
Series 2021-A, Class A, 0.84%, 05/15/69(a) | 101 | 96,499 | ||||||||||
Series 2021-BA, Class A, 0.94%, 07/15/69(a) | 593 | 560,303 | ||||||||||
Series 2021-DA, Class A, (Prime Rate + (1.99)%), 1.26%, 04/15/60(a)(b) | 597 | 579,176 | ||||||||||
Nelnet Student Loan Trust | ||||||||||||
Series 2021-A, Class APT2, 1.36%, 04/20/62(a) | 886 | 832,367 | ||||||||||
Series 2021-CA, Class AFL, (1 mo. LIBOR US + 0.74%), 1.19%, 04/20/62(a)(b) | 674 | 665,715 | ||||||||||
OCP CLO Ltd., Series 2020-19A, Class BR, (3 mo. LIBOR US + 1.70%), 1.95%, 10/20/34(a)(b) | 250 | 246,375 | ||||||||||
Octagon 56 Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.65%), 1.77%, 10/15/34(a)(b) | 300 | 296,353 | ||||||||||
OneMain Direct Auto Receivables Trust, Series 2021- 1A, Class A, 0.87%, 07/14/28(a) | 1,990 | 1,895,675 | ||||||||||
OZLM XXII Ltd., Series 2018-22A, Class A2, (3 mo. LIBOR US + 1.50%), 1.74%, 01/17/31(a)(b) | 250 | 246,513 | ||||||||||
Palmer Square CLO Ltd. | ||||||||||||
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 1.37%, 01/17/31(a)(b) | 1,250 | 1,243,125 | ||||||||||
Series 2018-2A, Class A1A, (3 mo. LIBOR US + 1.10%), 1.34%, 07/16/31(a)(b) | 250 | 248,280 | ||||||||||
Park Avenue Institutional Advisers CLO Ltd., | ||||||||||||
Series 2018-1A, Class A1AR, (3 mo. LIBOR US + 1.00%), 1.25%, 10/20/31(a)(b) | 750 | 742,881 | ||||||||||
PFS Financing Corp. | ||||||||||||
Series 2020-A, Class A, 1.27%, 06/15/25(a) | 1,000 | 985,190 | ||||||||||
Series 2020-B, Class A, 1.21%, 06/15/24(a) | 930 | 929,461 | ||||||||||
Series 2020-F, Class A, 0.93%, 08/15/24(a) | 153 | 152,464 | ||||||||||
Series 2020-G, Class A, 0.97%, 02/15/26(a) | 370 | 354,619 | ||||||||||
Series 2021-A, Class A, 0.71%, 04/15/26(a) | 230 | 218,342 | ||||||||||
Pikes Peak CLO 8, Series 2021-8A, Class B, (3 mo. LIBOR US + 1.75%), 2.00%, 07/20/34(a)(b) | 250 | 247,520 | ||||||||||
Prodigy Finance DAC, Series 2021-1A, Class A, (1 mo. LIBOR US + 1.25%), 1.71%, 07/25/51(a)(b) | 173 | 173,140 | ||||||||||
Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40(a) | 527 | 491,523 | ||||||||||
Regional Management Issuance Trust | ||||||||||||
Series 2021-2, Class A, 1.90%, 08/15/33(a) | 421 | 389,966 | ||||||||||
Series 2022-1, Class B, 3.71%, 03/15/32(a) | 100 | 96,998 | ||||||||||
Santander Drive Auto Receivables Trust | ||||||||||||
Series 2021-1, Class A3, 0.32%, 09/16/24 | 968 | 966,977 | ||||||||||
Series 2021-4, Class A3, 0.51%, 08/15/25 | 564 | 555,178 | ||||||||||
SLM Student Loan Trust, Series 2013-4, Class A, (1 mo. LIBOR US + 0.55%), 1.01%, 06/25/43(b) | 211 | 207,611 | ||||||||||
SMB Private Education Loan Trust | ||||||||||||
Series 2016-A, Class A2B, (1 mo. LIBOR US + 1.50%), 1.90%, 05/15/31(a)(b) | 642 | 643,191 | ||||||||||
Series 2016-B, Class A2B, (1 mo. LIBOR US + 1.45%), 1.85%, 02/17/32(a)(b) | 658 | 658,443 | ||||||||||
Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.90%), 1.30%, 09/15/34(a)(b) | 1,497 | 1,500,760 | ||||||||||
Series 2019-B, Class A2B, (1 mo. LIBOR US + 1.00%), 1.40%, 06/15/37(a)(b) | 1,074 | 1,083,332 | ||||||||||
Series 2021-A, Class A2A1, (1 mo. LIBOR US + 0.73%), 1.13%, 01/15/53(a)(b) | 1,200 | 1,182,394 | ||||||||||
Series 2021-A, Class APL, 0.00%, 01/15/53(a) | 1,552 | 1,531,859 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
SMB Private Education Loan Trust | ||||||||||||
Series 2022-A, Class APT, 2.85%, 11/16/54(a) | USD | 1,000 | $ | 965,942 | ||||||||
SoFi Professional Loan Program LLC | ||||||||||||
Series 2016-C, Class A2B, 2.36%, 12/27/32(a) | 8 | 7,993 | ||||||||||
Series 2016-D, Class A2B, 2.34%, 04/25/33(a) | 18 | 17,829 | ||||||||||
Series 2016-E, Class A2B, 2.49%, 01/25/36(a) | 8 | 7,879 | ||||||||||
SoFi Professional Loan Program Trust | ||||||||||||
Series 2020-A, Class A2FX, 2.54%, 05/15/46(a) | 330 | 325,282 | ||||||||||
Series 2020-C, Class AFX, 1.95%, 02/15/46(a) | 424 | 415,310 | ||||||||||
TICP CLO VI Ltd., Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 1.36%, 01/15/34(a)(b) | 1,000 | 987,353 | ||||||||||
Toyota Auto Receivables Owner Trust, Series 2020-C, Class A4, 0.57%, 10/15/25 | 2,500 | 2,414,746 | ||||||||||
Toyota Lease Owner Trust, Series 2021-A, Class A2, 0.27%, 09/20/23(a) | 393 | 391,114 | ||||||||||
Verizon Owner Trust, Series 2020-A, Class A1A, 1.85%, 07/22/24 | 497 | 497,103 | ||||||||||
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/26 | 1,223 | 1,182,109 | ||||||||||
Voya CLO Ltd., Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.15%), 1.39%, 10/15/31(a)(b) | 1,000 | 995,053 | ||||||||||
Westlake Automobile Receivables Trust, Series 2021-1A, Class A2A, 0.39%, 10/15/24(a) | 696 | 691,175 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 19.5% | 79,536,710 | |||||||||||
|
| |||||||||||
Corporate Bonds |
| |||||||||||
Aerospace & Defense — 0.2% |
| |||||||||||
Boeing Co. | ||||||||||||
2.80%, 03/01/23 | 450 | 452,222 | ||||||||||
2.20%, 02/04/26 | 200 | 189,083 | ||||||||||
Raytheon Technologies Corp., 3.65%, 08/16/23 | 30 | 30,389 | ||||||||||
|
| |||||||||||
671,694 | ||||||||||||
Automobiles — 0.6% | ||||||||||||
Daimler Finance North America LLC, 1.45%, 03/02/26(a) | 315 | 293,144 | ||||||||||
Daimler Trucks Finance North America LLC, 2.00%, 12/14/26(a) | 150 | 139,720 | ||||||||||
Nissan Motor Co. Ltd., 3.52%, 09/17/25(a) | 1,945 | 1,906,201 | ||||||||||
|
| |||||||||||
2,339,065 | ||||||||||||
Banks — 9.4% | ||||||||||||
Banco de Credito del Peru S.A., 3.13%, 07/01/30(a) | 169 | 158,184 | ||||||||||
Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa, 4.13%, 06/06/24(a) | 161 | 162,843 | ||||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.95%, 10/01/28(a) | 212 | 215,354 | ||||||||||
Banco Santander SA, 2.75%, 05/28/25 | 600 | 584,679 | ||||||||||
Bank Leumi Le-Israel BM, 3.28%, 01/29/31(a)(c) | 200 | 187,250 | ||||||||||
Bank of America Corp. | ||||||||||||
3.00%, 12/20/23 | 2,475 | 2,481,249 | ||||||||||
3.55%, 03/05/24 | 2,340 | 2,353,360 | ||||||||||
1.84%, 02/04/25 | 500 | 488,865 | ||||||||||
0.98%, 09/25/25 | 1,600 | 1,516,495 | ||||||||||
1.53%, 12/06/25 | 1,610 | 1,539,641 | ||||||||||
1.32%, 06/19/26 | 234 | 219,298 | ||||||||||
1.20%, 10/24/26 | 770 | 711,622 | ||||||||||
Barclays PLC | ||||||||||||
1.01%, 12/10/24 | 1,200 | 1,152,084 | ||||||||||
3.65%, 03/16/25 | 540 | 541,000 |
90 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
BPCE SA, 2.05%, 10/19/27(a) | USD | 295 | $ | 271,371 | ||||||||
Citigroup, Inc. | ||||||||||||
2.88%, 07/24/23 | 1,975 | 1,977,703 | ||||||||||
0.98%, 05/01/25 | 1,150 | 1,096,269 | ||||||||||
3.29%, 03/17/26 | 490 | 488,347 | ||||||||||
3.11%, 04/08/26 | 1,900 | 1,883,851 | ||||||||||
1.46%, 06/09/27 | 1,000 | 918,388 | ||||||||||
Cooperatieve Rabobank UA, 1.34%, 06/24/26(a) | 270 | 252,000 | ||||||||||
Credit Agricole SA, 1.25%, 01/26/27(a) | 250 | 227,444 | ||||||||||
Danske Bank A/S, 1.62%, 09/11/26(a) | 805 | 744,374 | ||||||||||
Discover Bank, 2.45%, 09/12/24 | 250 | 245,604 | ||||||||||
DNB Bank ASA, 1.13%, 09/16/26(a) | 525 | 480,165 | ||||||||||
HSBC Holdings PLC | ||||||||||||
3.00%, 03/10/26 | 420 | 411,792 | ||||||||||
2.25%, 11/22/27 | 865 | 805,952 | ||||||||||
ING Groep NV, 1.73%, 04/01/27 | 280 | 258,256 | ||||||||||
JPMorgan Chase & Co. | ||||||||||||
1.51%, 06/01/24 | 3,300 | 3,255,355 | ||||||||||
3.80%, 07/23/24 | 632 | 639,192 | ||||||||||
4.02%, 12/05/24 | 1,975 | 2,006,617 | ||||||||||
2.30%, 10/15/25 | 940 | 920,623 | ||||||||||
2.60%, 02/24/26 | 900 | 882,652 | ||||||||||
2.08%, 04/22/26 | 241 | 232,566 | ||||||||||
1.05%, 11/19/26 | 900 | 830,946 | ||||||||||
1.58%, 04/22/27 | 540 | 502,944 | ||||||||||
Mitsubishi UFJ Financial Group, Inc., 1.41%, 07/17/25 | 965 | 904,057 | ||||||||||
Mizuho Financial Group, Inc., 1.23%, 05/22/27 | 200 | 181,932 | ||||||||||
NatWest Group PLC | ||||||||||||
3.88%, 09/12/23 | 305 | 308,123 | ||||||||||
2.36%, 05/22/24 | 645 | 639,760 | ||||||||||
1.64%, 06/14/27 | 595 | 543,960 | ||||||||||
NatWest Markets PLC, 1.60%, 09/29/26(a) | 650 | 595,257 | ||||||||||
Nordea Bank Abp, 1.50%, 09/30/26(a) | 850 | 780,373 | ||||||||||
Standard Chartered PLC, 0.99%, 01/12/25(a) | 535 | 511,076 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., 0.95%, 01/12/26 | 825 | 754,324 | ||||||||||
U.S. Bancorp, 2.22%, 01/27/28 | 600 | 573,087 | ||||||||||
UniCredit SpA, 2.57%, 09/22/26(a) | 570 | 526,623 | ||||||||||
Wells Fargo & Co., 3.53%, 03/24/28 | 505 | 503,986 | ||||||||||
|
| |||||||||||
38,466,893 | ||||||||||||
Biotechnology — 0.9% | ||||||||||||
AbbVie, Inc. | ||||||||||||
2.60%, 11/21/24 | 1,960 | 1,946,443 | ||||||||||
2.95%, 11/21/26 | 575 | 569,595 | ||||||||||
Gilead Sciences, Inc., 3.65%, 03/01/26 | 1,000 | 1,017,010 | ||||||||||
|
| |||||||||||
3,533,048 | ||||||||||||
Capital Markets — 3.6% | ||||||||||||
Blackstone Private Credit Fund | ||||||||||||
3.25%, 03/15/27(a) | 800 | 733,174 | ||||||||||
4.00%, 01/15/29(a) | 305 | 282,374 | ||||||||||
Charles Schwab Corp, 2.45%, 03/03/27 | 345 | 334,916 | ||||||||||
Credit Suisse AG, 2.95%, 04/09/25 | 1,000 | 989,013 | ||||||||||
Credit Suisse Group AG, 2.59%, 09/11/25(a) | 640 | 618,246 | ||||||||||
Deutsche Bank AG | ||||||||||||
1.45%, 04/01/25 | 345 | 329,498 | ||||||||||
2.55%, 01/07/28 | 680 | 627,329 | ||||||||||
Goldman Sachs Group, Inc. | ||||||||||||
4.00%, 03/03/24 | 600 | 612,258 | ||||||||||
0.66%, 09/10/24 | 620 | 599,653 | ||||||||||
3.50%, 01/23/25 | 450 | 453,775 | ||||||||||
3.27%, 09/29/25 | 1,410 | 1,412,669 | ||||||||||
2.64%, 02/24/28 | 410 | 392,012 |
Security | Par (000) | Value | ||||||||||
Capital Markets (continued) | ||||||||||||
Goldman Sachs Group, Inc. | ||||||||||||
Series VAR, 1.09%, 12/09/26 | USD | 500 | $ | 457,819 | ||||||||
Morgan Stanley | ||||||||||||
3.13%, 01/23/23 | 170 | 171,647 | ||||||||||
0.53%, 01/25/24 | 285 | 280,363 | ||||||||||
0.73%, 04/05/24 | 70 | 68,557 | ||||||||||
3.74%, 04/24/24 | 205 | 207,029 | ||||||||||
0.79%, 01/22/25 | 1,100 | 1,055,964 | ||||||||||
0.79%, 05/30/25 | 500 | 475,017 | ||||||||||
2.72%, 07/22/25 | 1,000 | 989,971 | ||||||||||
3.13%, 07/27/26 | 750 | 743,528 | ||||||||||
2.48%, 01/21/28 | 585 | 557,694 | ||||||||||
UBS Group AG | ||||||||||||
3.49%, 05/23/23(a) | 765 | 766,096 | ||||||||||
2.86%, 08/15/23(a) | 1,100 | 1,101,652 | ||||||||||
1.01%, 07/30/24(a) | 645 | 627,425 | ||||||||||
|
| |||||||||||
14,887,679 | ||||||||||||
Chemicals — 0.5% | ||||||||||||
DuPont de Nemours, Inc., 4.21%, 11/15/23 | 1,030 | 1,053,981 | ||||||||||
International Flavors & Fragrances, Inc., 1.23%, 10/01/25(a) | 455 | 421,203 | ||||||||||
LYB International Finance III LLC, 1.25%, 10/01/25 | 491 | 454,465 | ||||||||||
|
| |||||||||||
1,929,649 | ||||||||||||
Commercial Services & Supplies — 0.2% | ||||||||||||
Aptiv PLC/Aptiv Corp., 2.40%, 02/18/25 | 640 | 623,436 | ||||||||||
Republic Services, Inc., 0.88%, 11/15/25 | 365 | 335,726 | ||||||||||
|
| |||||||||||
959,162 | ||||||||||||
Consumer Finance — 1.7% | ||||||||||||
American Express Co., 2.55%, 03/04/27 | 655 | 636,872 | ||||||||||
Capital One Financial Corp. | ||||||||||||
3.90%, 01/29/24 | 400 | 406,248 | ||||||||||
3.20%, 02/05/25 | 400 | 400,357 | ||||||||||
2.64%, 03/03/26 | 1,450 | 1,418,826 | ||||||||||
Ford Motor Credit Co. LLC, 5.58%, 03/18/24 | 500 | 514,265 | ||||||||||
General Motors Financial Co., Inc. | ||||||||||||
2.90%, 02/26/25 | 600 | 586,063 | ||||||||||
1.50%, 06/10/26 | 1,400 | 1,279,172 | ||||||||||
2.35%, 02/26/27 | 700 | 652,823 | ||||||||||
Hyundai Capital America, 1.65%, 09/17/26(a) | 415 | 378,271 | ||||||||||
Nissan Motor Acceptance Co. LLC, 2.00%, 03/09/26(a) | 600 | 548,884 | ||||||||||
Synchrony Financial, 2.85%, 07/25/22 | 280 | 280,769 | ||||||||||
|
| |||||||||||
7,102,550 | ||||||||||||
Containers & Packaging — 0.1% | ||||||||||||
Sonoco Products Co., 2.25%, 02/01/27 | 325 | 307,719 | ||||||||||
|
| |||||||||||
Diversified Financial Services — 0.5% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||||||
2.88%, 08/14/24 | 250 | 243,133 | ||||||||||
3.50%, 01/15/25 | 450 | 442,109 | ||||||||||
2.45%, 10/29/26 | 510 | 471,726 | ||||||||||
Aviation Capital Group LLC, 1.95%, 09/20/26(a) | 640 | 578,871 | ||||||||||
LSEGA Financing PLC, 1.38%, 04/06/26(a) | 500 | 460,099 | ||||||||||
|
| |||||||||||
2,195,938 | ||||||||||||
Diversified Telecommunication Services — 0.7% | ||||||||||||
AT&T Inc. | ||||||||||||
1.70%, 03/25/26 | 1,265 | 1,197,557 | ||||||||||
2.30%, 06/01/27 | 885 | 843,204 | ||||||||||
Verizon Communications, Inc. | ||||||||||||
2.10%, 03/22/28 | 105 | 97,868 |
SCHEDULES OF INVESTMENTS | 91 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Verizon Communications, Inc. | ||||||||||||
3.88%, 02/08/29 | USD | 195 | $ | 202,866 | ||||||||
1.75%, 01/20/31 | 700 | 610,309 | ||||||||||
|
| |||||||||||
2,951,804 | ||||||||||||
Electric Utilities — 1.2% | ||||||||||||
Adani Electricity Mumbai Ltd., 3.95%, 02/12/30(a) | 200 | 180,743 | ||||||||||
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(a) | 200 | 188,500 | ||||||||||
Enel Finance International NV, 1.38%, 07/12/26(a) | 570 | 523,200 | ||||||||||
Eversource Energy, 2.90%, 03/01/27 | 400 | 391,953 | ||||||||||
Exelon Corp., 2.75%, 03/15/27(a) | 170 | 165,643 | ||||||||||
FirstEnergy Corp., Series A, 3.35%, 07/15/22 | 159 | 158,801 | ||||||||||
Kallpa Generacion SA, 4.13%, 08/16/27(a) | 200 | 199,225 | ||||||||||
NextEra Energy Capital Holdings, Inc., 1.88%, 01/15/27 | 550 | 515,809 | ||||||||||
Pacific Gas & Electric Co. | ||||||||||||
1.37%, 03/10/23 | 2,520 | 2,475,623 | ||||||||||
3.45%, 07/01/25 | 255 | 248,740 | ||||||||||
|
| |||||||||||
5,048,237 | ||||||||||||
Energy Equipment & Services — 0.1% | ||||||||||||
Halliburton Co., 3.50%, 08/01/23 | 47 | 47,426 | ||||||||||
Schlumberger Finance Canada Ltd., 1.40%, 09/17/25 |
| 360 | 341,535 | |||||||||
|
| |||||||||||
388,961 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% | ||||||||||||
American Tower Corp. | ||||||||||||
3.00%, 06/15/23 | 82 | 82,261 | ||||||||||
2.40%, 03/15/25 | 1,405 | 1,367,289 | ||||||||||
1.60%, 04/15/26 | 600 | 556,107 | ||||||||||
Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV, 4.96%, 07/18/29(a) | 200 | 200,350 | ||||||||||
Crown Castle International Corp. | ||||||||||||
1.35%, 07/15/25 | �� | 1,050 | 978,882 | |||||||||
3.70%, 06/15/26 | 500 | 503,169 | ||||||||||
Equinix, Inc., 1.25%, 07/15/25 | 1,475 | 1,375,124 | ||||||||||
Healthpeak Properties, Inc., 1.35%, 02/01/27 | 220 | 201,906 | ||||||||||
|
| |||||||||||
5,265,088 | ||||||||||||
Food & Staples Retailing — 0.5% | ||||||||||||
7-Eleven, Inc. | ||||||||||||
0.80%, 02/10/24(a) | 1,394 | 1,339,128 | ||||||||||
0.95%, 02/10/26(a) | 125 | 113,609 | ||||||||||
CVS Health Corp., 1.30%, 08/21/27 | 610 | 554,672 | ||||||||||
|
| |||||||||||
2,007,409 | ||||||||||||
Food Products — 0.1% | ||||||||||||
Grupo Bimbo SAB de CV, 4.00%, 09/06/49(a) | 200 | 186,038 | ||||||||||
Kraft Heinz Foods Co., 3.88%, 05/15/27 | 267 | 271,404 | ||||||||||
|
| |||||||||||
457,442 | ||||||||||||
Health Care Providers & Services — 0.8% | ||||||||||||
Anthem, Inc. | ||||||||||||
2.95%, 12/01/22 | 50 | 50,345 | ||||||||||
2.38%, 01/15/25 | 1,220 | 1,202,891 | ||||||||||
GSK Consumer Healthcare Capital UK PLC, 3.13%, 03/24/25(a) | 1,200 | 1,196,266 | ||||||||||
HCA, Inc. | ||||||||||||
5.25%, 04/15/25 | 400 | 421,125 | ||||||||||
3.13%, 03/15/27(a) | 305 | 298,013 | ||||||||||
PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25 | 114 | 107,409 | ||||||||||
|
| |||||||||||
3,276,049 |
Security | Par (000) | Value | ||||||||||
Household Durables — 0.0% | ||||||||||||
DR Horton, Inc., 1.30%, 10/15/26 | USD | 245 | $ | 222,642 | ||||||||
|
| |||||||||||
Industrial Conglomerates — 0.1% | ||||||||||||
Roper Technologies, Inc., 1.00%, 09/15/25 | 465 | 431,423 | ||||||||||
|
| |||||||||||
Insurance — 0.5% | ||||||||||||
Aon Corp./Aon Global Holdings PLC, 2.85%, 05/28/27 |
| 315 | 308,154 | |||||||||
MassMutual Global Funding II, 2.80%, 03/21/25(a) | 829 | 822,479 | ||||||||||
Metropolitan Life Global Funding I, 2.80%, 03/21/25(a) |
| 795 | 788,830 | |||||||||
|
| |||||||||||
1,919,463 | ||||||||||||
Interactive Media & Services — 0.1% | ||||||||||||
Baidu, Inc., 2.88%, 07/06/22 | 300 | 300,192 | ||||||||||
|
| |||||||||||
IT Services — 0.8% | ||||||||||||
Fidelity National Information Services, Inc., 1.15%, 03/01/26 | 380 | 348,750 | ||||||||||
Fiserv, Inc., 2.75%, 07/01/24 | 1,635 | 1,629,966 | ||||||||||
Global Payments, Inc. | ||||||||||||
1.20%, 03/01/26 | 800 | 737,017 | ||||||||||
2.15%, 01/15/27 | 215 | 201,794 | ||||||||||
International Business Machines Corp., 2.20%, 02/09/27 | 260 | 251,098 | ||||||||||
|
| |||||||||||
3,168,625 | ||||||||||||
Media — 0.9% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||||||
4.91%, 07/23/25 | 1,155 | 1,197,748 | ||||||||||
Series USD, 4.50%, 02/01/24 | 2,500 | 2,557,086 | ||||||||||
|
| |||||||||||
3,754,834 | ||||||||||||
Metals & Mining — 0.1% | ||||||||||||
Antofagasta PLC, 2.38%, 10/14/30(a) | 200 | 176,287 | ||||||||||
GUSAP III LP, 4.25%, 01/21/30(a) | 200 | 200,600 | ||||||||||
Metalloinvest Finance DAC, 3.38%, 10/22/28(a) | 228 | 45,600 | ||||||||||
Nucor Corp., 2.00%, 06/01/25 | 90 | 87,119 | ||||||||||
Steel Dynamics, Inc., 2.40%, 06/15/25 | 25 | 24,167 | ||||||||||
Vale Overseas Ltd. | ||||||||||||
3.75%, 07/08/30 | 29 | 27,884 | ||||||||||
6.88%, 11/10/39 | 22 | 26,718 | ||||||||||
|
| |||||||||||
588,375 | ||||||||||||
Multi-Utilities — 0.6% | ||||||||||||
Alliant Energy Finance LLC, 3.75%, 06/15/23(a) | 245 | 247,719 | ||||||||||
ONE Gas, Inc., 1.10%, 03/11/24 | 1,900 | 1,832,732 | ||||||||||
Sempra Energy, 3.30%, 04/01/25 | 320 | 320,507 | ||||||||||
|
| |||||||||||
2,400,958 | ||||||||||||
Oil, Gas & Consumable Fuels — 1.2% | ||||||||||||
Canadian Natural Resources Ltd., 2.95%, 01/15/23 | 125 | 125,609 | ||||||||||
Enbridge, Inc. | ||||||||||||
2.90%, 07/15/22 | 225 | 225,569 | ||||||||||
2.50%, 02/14/25 | 670 | 654,930 | ||||||||||
Energy Transfer LP | ||||||||||||
3.60%, 02/01/23 | 150 | 150,864 | ||||||||||
4.50%, 04/15/24 | 500 | 511,584 | ||||||||||
2.90%, 05/15/25 | 360 | 352,134 | ||||||||||
Galaxy Pipeline Assets BidCo. Ltd., 2.94%, 09/30/40(a) | 197 | 177,361 | ||||||||||
Kinder Morgan, Inc., 4.30%, 06/01/25 | 800 | 821,675 | ||||||||||
Marathon Petroleum Corp., 4.70%, 05/01/25 | 235 | 244,206 | ||||||||||
MPLX LP, 1.75%, 03/01/26 | 655 | 613,754 | ||||||||||
Pioneer Natural Resources Co., 1.13%, 01/15/26 | 310 | 287,492 | ||||||||||
Raizen Fuels Finance SA, 5.30%, 01/20/27(a) | 200 | 206,475 | ||||||||||
Sabine Pass Liquefaction LLC, 5.75%, 05/15/24 | 500 | 523,319 | ||||||||||
|
| |||||||||||
4,894,972 |
92 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Paper & Forest Products — 0.2% | ||||||||||||
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30(a) | USD | 200 | $ | 200,225 | ||||||||
Fibria Overseas Finance Ltd., 5.50%, 01/17/27 | 26 | 27,397 | ||||||||||
Inversiones CMPC SA, 4.38%, 04/04/27(a) | 200 | 208,500 | ||||||||||
Suzano Austria GmbH | ||||||||||||
5.75%, 07/14/26(a) | 200 | 214,500 | ||||||||||
3.75%, 01/15/31 | 29 | 27,159 | ||||||||||
|
| |||||||||||
677,781 | ||||||||||||
Road & Rail — 0.9% | ||||||||||||
Canadian Pacific Railway Co., 1.75%, 12/02/26 | 245 | 230,783 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | ||||||||||||
2.70%, 03/14/23(a) | 505 | 507,246 | ||||||||||
1.20%, 11/15/25(a) | 1,430 | 1,312,469 | ||||||||||
Ryder System, Inc. | ||||||||||||
3.65%, 03/18/24 | 750 | 757,959 | ||||||||||
2.85%, 03/01/27 | 370 | 358,779 | ||||||||||
SMBC Aviation Capital Finance DAC | ||||||||||||
1.90%, 10/15/26(a) | 570 | 509,310 | ||||||||||
2.30%, 06/15/28(a) | 200 | 177,242 | ||||||||||
|
| |||||||||||
3,853,788 | ||||||||||||
Semiconductors & Semiconductor Equipment — 1.5% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 | 1,200 | 1,208,022 | ||||||||||
Broadcom, Inc., 3.63%, 10/15/24 | 1,515 | 1,534,862 | ||||||||||
NXP BV/NXP Funding LLC, 4.88%, 03/01/24(a) | 1,800 | 1,850,112 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(a) | 1,465 | 1,420,867 | ||||||||||
|
| |||||||||||
6,013,863 | ||||||||||||
Software — 0.9% | ||||||||||||
Oracle Corp., 1.65%, 03/25/26 | 1,375 | 1,282,195 | ||||||||||
VMware, Inc., 1.40%, 08/15/26 | 2,280 | 2,093,156 | ||||||||||
Workday, Inc., 3.50%, 04/01/27 | 200 | 199,948 | ||||||||||
|
| |||||||||||
3,575,299 | ||||||||||||
Specialty Retail — 0.2% | ||||||||||||
Home Depot, Inc., 2.88%, 04/15/27 | 230 | 229,136 | ||||||||||
Lowe’s Cos., Inc., 3.35%, 04/01/27 | 460 | 462,689 | ||||||||||
|
| |||||||||||
691,825 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Dell International LLC/EMC Corp., 4.00%, 07/15/24 | 385 | 393,286 | ||||||||||
|
| |||||||||||
Tobacco — 0.7% | ||||||||||||
Altria Group, Inc., 2.35%, 05/06/25 | 260 | 252,526 | ||||||||||
BAT Capital Corp., 2.79%, 09/06/24 | 700 | 690,803 | ||||||||||
BAT International Finance PLC, 1.67%, 03/25/26 | 2,095 | 1,922,389 | ||||||||||
|
| |||||||||||
2,865,718 | ||||||||||||
Trading Companies & Distributors — 0.3% | ||||||||||||
Air Lease Corp. | ||||||||||||
2.63%, 07/01/22 | 650 | 650,515 | ||||||||||
2.30%, 02/01/25 | 240 | 230,849 | ||||||||||
1.88%, 08/15/26 | 285 | 262,545 | ||||||||||
|
| |||||||||||
1,143,909 | ||||||||||||
Wireless Telecommunication Services — 0.6% | ||||||||||||
Bharti Airtel Ltd., 3.25%, 06/03/31(a) | 200 | 183,962 | ||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 4.74%, 03/20/25(a) | 300 | 306,299 | ||||||||||
T-Mobile U.S.A., Inc., 3.75%, 04/15/27 | 900 | 905,261 | ||||||||||
T-Mobile USA, Inc., 1.50%, 02/15/26 | 961 | 896,342 | ||||||||||
|
| |||||||||||
2,291,864 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 32.1% (Cost: $135,945,262) | 130,977,204 | |||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Foreign Agency Obligations | ||||||||||||
Canada — 0.3% | ||||||||||||
CPPIB Capital, Inc., 0.50%, 09/16/24(a) | USD | 1,480 | $ | 1,410,004 | ||||||||
|
| |||||||||||
Chile — 0.0% | ||||||||||||
Corp Nacional del Cobre de Chile, 3.75%, 01/15/31(a) | 200 | 200,000 | ||||||||||
|
| |||||||||||
Colombia — 0.1% | ||||||||||||
Transportadora de Gas Internacional SA ESP, 5.55%, 11/01/28(a) | 200 | 205,650 | ||||||||||
|
| |||||||||||
Indonesia — 0.1% | ||||||||||||
Pertamina Persero PT, 3.10%, 01/21/30(a) | 232 | 219,719 | ||||||||||
|
| |||||||||||
Kuwait — 0.1% | ||||||||||||
MEGlobal Canada ULC, 5.88%, 05/18/30(a) | 288 | 320,040 | ||||||||||
|
| |||||||||||
Malaysia — 0.1% | ||||||||||||
Petronas Capital Ltd., 3.50%, 04/21/30(a) | 200 | 202,892 | ||||||||||
|
| |||||||||||
Panama — 0.0% | ||||||||||||
Banco Nacional de Panama, 2.50%, 08/11/30(a) | 200 | 175,690 | ||||||||||
|
| |||||||||||
Peru — 0.0% | ||||||||||||
Consorcio Transmantaro SA, 4.70%, 04/16/34(a) | 200 | 200,800 | ||||||||||
|
| |||||||||||
Qatar — 0.0% | ||||||||||||
Qatar Energy, 3.30%, 07/12/51(a) | 200 | 184,000 | ||||||||||
|
| |||||||||||
Saudi Arabia — 0.2% | ||||||||||||
SABIC Capital I BV, 2.15%, 09/14/30(c) | 232 | 207,640 | ||||||||||
Saudi Arabian Oil Co., 2.88%, 04/16/24(a) | 220 | 219,142 | ||||||||||
Saudi Telecom Co., 3.89%, 05/13/29(a) | 210 | 218,111 | ||||||||||
|
| |||||||||||
644,893 | ||||||||||||
United Arab Emirates — 0.1% | ||||||||||||
DAE Funding LLC, 3.38%, 03/20/28(a) | 200 | 187,662 | ||||||||||
DP World Crescent Ltd., 3.75%, 01/30/30(a) | 200 | 199,500 | ||||||||||
|
| |||||||||||
387,162 | ||||||||||||
|
| |||||||||||
Total Foreign Agency Obligations — 1.0% | ||||||||||||
(Cost: $4,417,182) | 4,150,850 | |||||||||||
|
| |||||||||||
Foreign Government Obligations | ||||||||||||
Chile — 0.1% | ||||||||||||
Republic of Chile | ||||||||||||
2.45%, 01/31/31 | 241 | 225,154 | ||||||||||
2.55%, 07/27/33 | 243 | 221,495 | ||||||||||
|
| |||||||||||
446,649 | ||||||||||||
Indonesia — 0.1% | ||||||||||||
Republic of Indonesia | ||||||||||||
3.55%, 03/31/32 | 271 | 277,775 | ||||||||||
7.75%, 01/17/38(a) | 123 | 168,917 | ||||||||||
|
| |||||||||||
446,692 | ||||||||||||
Kazakhstan — 0.0% | ||||||||||||
Republic of Kazakhstan, 4.88%, 10/14/44(a) | 200 | 197,500 | ||||||||||
|
| |||||||||||
Mexico — 0.1% | ||||||||||||
United Mexican States | ||||||||||||
4.75%, 04/27/32 | 251 | 266,060 | ||||||||||
4.60%, 02/10/48 | 276 | 263,028 | ||||||||||
|
| |||||||||||
529,088 | ||||||||||||
Panama — 0.1% | ||||||||||||
Republic of Panama | ||||||||||||
3.16%, 01/23/30 | 231 | 225,774 | ||||||||||
4.50%, 04/01/56 | 222 | 218,018 | ||||||||||
|
| |||||||||||
443,792 |
SCHEDULES OF INVESTMENTS | 93 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Peru — 0.1% | ||||||||||||
Republic of Peru | ||||||||||||
4.13%, 08/25/27 | USD | 87 | $ | 90,415 | ||||||||
2.78%, 01/23/31 | 193 | 182,059 | ||||||||||
3.00%, 01/15/34 | 25 | 23,425 | ||||||||||
3.30%, 03/11/41 | 99 | 90,090 | ||||||||||
|
| |||||||||||
385,989 | ||||||||||||
Philippines — 0.0% | ||||||||||||
Republic of Philippine, 1.65%, 06/10/31 | 249 | 221,637 | ||||||||||
|
| |||||||||||
Qatar — 0.1% | ||||||||||||
State of Qatar, 3.75%, 04/16/30(a) | 251 | 264,178 | ||||||||||
|
| |||||||||||
Romania — 0.1% | ||||||||||||
Republic of Romania | ||||||||||||
3.63%, 03/27/32(a) | 86 | 81,378 | ||||||||||
4.00%, 02/14/51(a) | 196 | 171,500 | ||||||||||
|
| |||||||||||
252,878 | ||||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Republic of Saudi | ||||||||||||
5.00%, 04/17/49(a) | 200 | 227,750 | ||||||||||
3.75%, 01/21/55(a) | 200 | 192,000 | ||||||||||
|
| |||||||||||
419,750 | ||||||||||||
Uruguay — 0.1% | ||||||||||||
Republic of Uruguay | ||||||||||||
4.38%, 01/23/31 | 123 | 133,550 | ||||||||||
5.10%, 06/18/50 | 76 | 89,955 | ||||||||||
|
| |||||||||||
223,505 | ||||||||||||
|
| |||||||||||
Total Foreign Government Obligations — 0.9% (Cost: $4,091,450) | 3,831,658 | |||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed Securities |
| |||||||||||
Collateralized Mortgage Obligations — 2.0% | ||||||||||||
Angel Oak Mortgage Trust | ||||||||||||
Series 2020-2, Class A1A, 2.53%, 01/26/65(a)(b) | 207 | 205,506 | ||||||||||
Series 2022-1, Class A1, 2.88%, 12/25/66(a)(d) | 300 | 292,535 | ||||||||||
Series 2022-2, Class A1, 3.35%, 01/25/67(a)(b) | 357 | 356,169 | ||||||||||
Chase Home Lending Mortgage Trust, Series 2019- ATR2, Class A3, 3.50%, 07/25/49(a)(b) | 196 | 195,325 | ||||||||||
COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 03/01/52(a)(b) | 150 | 149,733 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A, 2.68%, 05/20/34(b) | 29 | 29,126 | ||||||||||
Credit Suisse Mortgage Capital Trust, Series 2022-ATH1, Class A1A, 2.87%, 01/25/67(a)(b)(e) | 353 | 353,249 | ||||||||||
Deephaven Residential Mortgage Trust, Series 2022-2, Class A1, 4.30%, 03/25/67(a)(b) | 125 | 124,320 | ||||||||||
Flagstar Mortgage Trust, Series 2020-1INV, Class A11, (1 mo. LIBOR US + 0.85%), 1.31%, 03/25/50(a)(b) | 532 | 529,380 | ||||||||||
GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/66(a)(b) | 343 | 332,840 | ||||||||||
GS Mortgage-Backed Securities Corp. Trust, | ||||||||||||
Series 2022-PJ2, Class A4, 2.50%, 06/25/52(a)(b) | 592 | 545,751 | ||||||||||
JPMorgan Mortgage Trust | ||||||||||||
Series 2014-2, Class 1A1, 3.00%, 06/25/29(a)(b) | 387 | 379,139 | ||||||||||
Series 2016-2, Class A1, 2.35%, 06/25/46(a)(b) | 160 | 152,993 | ||||||||||
Series 2022-INV3, Class A3B, 3.00%, 09/25/52(a)(b) |
| 425 | 399,101 | |||||||||
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52(a)(b) | 475 | 457,410 | ||||||||||
MFA Trust, Series 2021-INV2, Class A1, 1.91%, 11/25/56(a)(b) | 340 | 320,893 |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B, 3.50%, 10/25/59(a)(b) | USD | 449 | $ | 446,286 | ||||||||
OBX Trust | ||||||||||||
Series 2020-EXP3, Class 2A1B, (1 mo. LIBOR US + 0.90%), 1.36%, 01/25/60(a)(b) | 1,000 | 991,502 | ||||||||||
Series 2022-INV3, Class A1, 3.00%, 02/25/52(a)(b) |
| 218 | 207,577 | |||||||||
PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(b) | 385 | 363,985 | ||||||||||
RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52(a)(b) | 500 | 474,705 | ||||||||||
Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/65(a)(b) | 303 | 298,394 | ||||||||||
Verus Securitization Trust | ||||||||||||
Series 2022-1, Class A1, 2.72%, 01/25/67(a)(d) | 176 | 171,128 | ||||||||||
Series 2022-3, Class A1, 4.13%, 02/25/67(a) | 446 | 445,040 | ||||||||||
|
| |||||||||||
8,222,087 | ||||||||||||
Commercial Mortgage-Backed Securities — 17.7% | ||||||||||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 1.19%, 09/15/34(a)(b) | 600 | 597,080 | ||||||||||
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1 mo. LIBOR US + 1.15%), 1.55%, 04/15/34(a)(b) | 420 | 409,957 | ||||||||||
BANK | ||||||||||||
Series 2018-BN10, Class ASB, 3.64%, 02/15/61 | 3,375 | 3,395,302 | ||||||||||
Series 2019-BN18, Class A2, 3.47%, 05/15/62 | 1,250 | 1,248,652 | ||||||||||
Barclays Commercial Mortgage Trust | ||||||||||||
Series 2019-C3, Class B, 4.10%, 05/15/52 | 400 | 403,860 | ||||||||||
Series 2019-C4, Class B, 3.32%, 08/15/52 | 360 | 345,746 | ||||||||||
Series 2019-C5, Class ASB, 2.99%, 11/15/52 | 250 | 246,557 | ||||||||||
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1 mo. LIBOR US + 0.75%), 1.15%, 04/15/36(a)(b) | 1,000 | 973,977 | ||||||||||
Benchmark Mortgage Trust | ||||||||||||
Series 2018-B1, Class ASB, 3.60%, 01/15/51(b) | 2,500 | 2,533,517 | ||||||||||
Series 2018-B2, Class ASB, 3.78%, 02/15/51(b) | 2,750 | 2,791,548 | ||||||||||
Series 2018-B5, Class C, 4.61%, 07/15/51(b) | 1,000 | 1,004,116 | ||||||||||
Series 2022-B34, Class A5, 3.79%, 04/15/55 | 505 | 520,127 | ||||||||||
Series 2022-B34, Class AM, 3.83%, 04/15/55(b) | 265 | 268,207 | ||||||||||
BX Commercial Mortgage Trust | ||||||||||||
Series 2018-BIOA, Class A, (1 mo. LIBOR US + 0.67%), 1.07%, 03/15/37(a)(b) | 909 | 901,381 | ||||||||||
Series 2019-XL, Class A, (1 mo. LIBOR US + 0.92%), 1.32%, 10/15/36(a)(b) | 659 | 656,178 | ||||||||||
Series 2020-FOX, Class A, (1 mo. LIBOR US + 1.00%), 1.40%, 11/15/32(a)(b) | 83 | 82,318 | ||||||||||
Series 2021-XL2, Class A, (1 mo. LIBOR US + 0.69%), 1.09%, 10/15/38(a)(b) | 776 | 759,368 | ||||||||||
BX Trust | ||||||||||||
Series 2018-BILT, Class D, (1 mo. LIBOR US + 1.77%), 2.17%, 05/15/30(a)(b) | 270 | 264,569 | ||||||||||
Series 2021-ARIA, Class A, (1 mo. LIBOR US + 0.90%), 1.30%, 10/15/36(a)(b) | 795 | 779,526 | ||||||||||
CD Mortgage Trust, Series 2016-CD2, Class A4, 3.53%, 11/10/49(b) | 520 | 522,117 | ||||||||||
CGMS Commercial Mortgage Trust, Series 2017-B1, Class AAB, 3.24%, 08/15/50 | 1,210 | 1,210,372 | ||||||||||
Citigroup Commercial Mortgage Trust | ||||||||||||
Series 2014-GC21, Class A5, 3.86%, 05/10/47 | 761 | 769,190 | ||||||||||
Series 2016-C2, Class AAB, 2.71%, 08/10/49 | 1,788 | 1,775,864 | ||||||||||
Commercial Mortgage Trust | ||||||||||||
Series 2013-CR10, Class A4, 4.21%, 08/10/46(b) | 1,750 | 1,774,710 | ||||||||||
Series 2013-CR6, Class ASB, 2.62%, 03/10/46 | 151 | 150,703 | ||||||||||
Series 2013-CR7, Class ASB, 2.74%, 03/10/46 | 104 | 104,104 |
94 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Commercial Mortgage Trust | ||||||||||||
Series 2013-CR8, Class B, 3.93%, 06/10/46(a)(b) | USD | 300 | $ | 301,575 | ||||||||
Series 2013-SFS, Class A1, 1.87%, 04/12/35(a) | 60 | 59,162 | ||||||||||
Series 2014-CR14, Class ASB, 3.74%, 02/10/47 | 325 | 327,204 | ||||||||||
Series 2014-CR16, Class A4, 4.05%, 04/10/47 | 1,000 | 1,013,497 | ||||||||||
Series 2014-CR17, Class C, 4.78%, 05/10/47(b) | 1,500 | 1,491,994 | ||||||||||
Series 2014-CR21, Class A3, 3.53%, 12/10/47 | 877 | 871,958 | ||||||||||
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | 1,000 | 1,011,433 | ||||||||||
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47 | 600 | 603,859 | ||||||||||
Series 2015-CR23, Class A2, 2.85%, 05/10/48 | 657 | 656,706 | ||||||||||
Series 2015-CR23, Class A4, 3.50%, 05/10/48 | 1,500 | 1,504,594 | ||||||||||
Series 2015-CR24, Class B, 4.38%, 08/10/48(b) | 500 | 502,038 | ||||||||||
Series 2015-LC19, Class A4, 3.18%, 02/10/48 | 1,600 | 1,594,869 | ||||||||||
Series 2015-LC23, Class A4, 3.77%, 10/10/48 | 550 | 555,596 | ||||||||||
Series 2018-COR3, Class A3, 4.23%, 05/10/51 | 160 | 166,733 | ||||||||||
Credit Suisse Mortgage Capital Trust, Series 2021- 980M, Class C, 3.20%, 07/15/31(a) | 170 | 159,550 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class C, 4.65%, 11/15/48(b) | 750 | 735,500 | ||||||||||
ELP Commercial Mortgage Trust, Series 2021-ELP, Class A, (1 mo. LIBOR US + 0.70%), 1.10%, 11/15/38(a)(b) | 290 | 284,355 | ||||||||||
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.59%, 04/25/48(a)(b) | 290 | 288,509 | ||||||||||
GS Mortgage Securities Trust | ||||||||||||
Series 2012-ALOH, Class A, 3.55%, 04/10/34(a) | 951 | 950,579 | ||||||||||
Series 2013-GC13, Class A5, 4.03%, 07/10/46(b) | 625 | 633,093 | ||||||||||
Series 2013-GC16, Class AAB, 3.81%, 11/10/46 | 581 | 587,523 | ||||||||||
Series 2015-GC30, Class AAB, 3.12%, 05/10/50 | 658 | 660,951 | ||||||||||
Series 2015-GC34, Class A4, 3.51%, 10/10/48 | 1,250 | 1,250,924 | ||||||||||
Series 2015-GC34, Class AAB, 3.28%, 10/10/48 | 1,570 | 1,572,706 | ||||||||||
Series 2021-STAR, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 12/15/36(a)(b) | 580 | 574,146 | ||||||||||
Hawaii Hotel Trust, Series 2019-MAUI, Class A, (1 mo. LIBOR US + 1.15%), 1.55%, 05/15/38(a)(b) | 552 | 547,160 | ||||||||||
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a) | 1,540 | 1,528,927 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||||||
Series 2014-C21, Class A5, 3.78%, 08/15/47 | 500 | 505,268 | ||||||||||
Series 2014-C25, Class A4A1, 3.41%, 11/15/47 | 412 | 408,994 | ||||||||||
Series 2015-C28, Class ASB, 3.04%, 10/15/48 | 983 | 986,386 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||||||
Series 2012-CBX, Class A4, 3.48%, 06/15/45 | 337 | 337,477 | ||||||||||
Series 2012-HSBC, Class D, 4.53%, |
| 745 | 746,550 | |||||||||
Series 2017-JP6, Class A3, 3.11%, 07/15/50 | 850 | 845,513 | ||||||||||
Series 2019-BKWD, Class A, (1 mo. LIBOR US + 1.00%), 1.40%, 09/15/29(a)(b) | 207 | 206,373 | ||||||||||
Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 1.20%, 04/15/38(a)(b) | 142 | 139,469 | ||||||||||
Series 2022-OPO, Class B, 3.38%, 01/05/39(a) | 150 | 142,569 | ||||||||||
Series 2022-OPO, Class D, 3.45%, 01/05/39(a)(b) | 100 | 88,338 | ||||||||||
Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%), 1.10%, 03/15/38(a)(b) | 531 | 518,845 | ||||||||||
MF1 | ||||||||||||
Series 2021-W10, Class A, (1 mo. CME Term SOFR + 1.07%), 1.37%, 12/15/34(a)(b) | 120 | 119,911 | ||||||||||
Series 2021-W10, Class B, (1 mo. CME Term SOFR + 1.37%), 1.67%, 12/15/34(a)(b) | 100 | 99,925 | ||||||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 1.20%, 04/15/38(a)(b) | 480 | 472,190 |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||||
Series 2013-C10, Class A4, 4.08%, 07/15/46(b) | USD | 2,000 | $ | 2,009,744 | ||||||||
Series 2013-C7, Class A4, 2.92%, 02/15/46 | 2,735 | 2,734,498 | ||||||||||
Series 2013-C8, Class A4, 3.13%, 12/15/48 | 700 | 701,546 | ||||||||||
Series 2014-C15, Class A4, 4.05%, 04/15/47 | 1,850 | 1,875,288 | ||||||||||
Series 2015-C25, Class A4, 3.37%, 10/15/48 | 330 | 326,711 | ||||||||||
Series 2016-C30, Class ASB, 2.73%, 09/15/49 | 229 | 227,258 | ||||||||||
Series 2016-C31, Class A5, 3.10%, 11/15/49 | 2,525 | 2,495,420 | ||||||||||
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 1.45%, 03/15/39(a)(b) | 700 | 696,930 | ||||||||||
One New York Plaza Trust, Series 2020-1NYP, Class A, (1 mo. LIBOR US + 0.95%), 1.35%, 01/15/36(a)(b) | 580 | 571,288 | ||||||||||
PKHL Commercial Mortgage Trust, Series 2021-MF, Class B, (1 mo. LIBOR US + 1.18%), 1.58%, 07/15/38(a)(b) | 544 | 532,305 | ||||||||||
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, 08/25/57(b) | 1,513 | 1,520,544 | ||||||||||
SREIT Trust, Series 2021-MFP2, Class A, (1 mo. LIBOR US + 0.82%), 1.22%, 11/15/36(a)(b) | 395 | 387,560 | ||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||
Series 2014-LC18, Class ASB, 3.24%, 12/15/47 | 1,076 | 1,082,080 | ||||||||||
Series 2015-C26, Class B, 3.78%, 02/15/48 | 515 | 502,358 | ||||||||||
Series 2015-C27, Class A5, 3.45%, 02/15/48 | 495 | 495,218 | ||||||||||
Series 2015-C29, Class A4, 3.64%, 06/15/48 | 3,000 | 3,018,377 | ||||||||||
Series 2017-C39, Class A5, 3.42%, 09/15/50 | 1,698 | 1,701,421 | ||||||||||
WFRBS Commercial Mortgage Trust | ||||||||||||
Series 2013-C13, Class A4, 3.00%, 05/15/45 | 174 | 174,212 | ||||||||||
Series 2014-LC14, Class A5, 4.05%, 03/15/47 | 721 | 729,389 | ||||||||||
|
| |||||||||||
72,324,142 | ||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.1% |
| |||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.71%, 09/15/48(b) | 4,417 | 93,683 | ||||||||||
Commercial Mortgage Trust | ||||||||||||
Series 2015-CR23, Class XA, 0.88%, 05/10/48(b) | 2,070 | 44,801 | ||||||||||
Series 2015-LC21, Class XA, 0.67%, 07/10/48(b) | 4,820 | 86,568 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.87%, 01/15/49(b) | 626 | 37,985 | ||||||||||
|
| |||||||||||
263,037 | ||||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities — 19.8% |
| 80,809,266 | ||||||||||
|
| |||||||||||
U.S. Government Sponsored Agency Securities |
| |||||||||||
Collateralized Mortgage Obligations — 2.1% |
| |||||||||||
Fannie Mae | ||||||||||||
Series 2018-21, Class CA, 3.50%, 04/25/45 | 228 | 228,068 | ||||||||||
Series 2019-73, Class P, 3.00%, 03/25/48 | 715 | 706,082 | ||||||||||
Freddie Mac | ||||||||||||
Series 3959, Class MA, 4.50%, 11/15/41 | 81 | 83,432 | ||||||||||
Series 3986, Class M, 4.50%, 09/15/41 | 43 | 44,254 | ||||||||||
Series 4274, Class PN, 3.50%, 10/15/35 | 130 | 132,640 | ||||||||||
Series 4390, Class CA, 3.50%, 06/15/50 | 112 | 112,958 | ||||||||||
Series 4459, Class BN, 3.00%, 08/15/43 | 334 | 331,361 | ||||||||||
Series 4482, Class DH, 3.00%, 06/15/42 | 94 | 94,258 | ||||||||||
Series 4494, Class KA, 3.75%, 10/15/42 | 178 | 179,799 | ||||||||||
Series 4752, Class PL, 3.00%, 09/15/46 | 482 | 471,447 | ||||||||||
Series 4777, Class CB, 3.50%, 10/15/45 | 490 | 495,747 | ||||||||||
Series 4941, Class MB, 3.00%, 07/25/49 | 363 | 353,777 | ||||||||||
Series 5000, Class MA, 2.00%, 06/25/44 | 292 | 282,259 | ||||||||||
Series 5006, Class KA, 2.00%, 06/25/45 | 816 | 789,252 |
SCHEDULES OF INVESTMENTS | 95 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Freddie Mac | ||||||||||||
Series 5105, Class LA, 1.50%, 04/15/44 | USD | 3,727 | $ | 3,659,721 | ||||||||
Ginnie Mae, Series 2017-136, Class GB, 3.00%, 03/20/47 | 599 | 590,980 | ||||||||||
|
| |||||||||||
8,556,035 | ||||||||||||
Commercial Mortgage-Backed Securities — 0.5% | ||||||||||||
Fannie Mae, Series 2014-M9, Class A2, 3.10%, 07/25/24(b) | 1,895 | 1,905,018 | ||||||||||
|
| |||||||||||
Mortgage-Backed Securities — 8.9% | ||||||||||||
Fannie Mae Mortgage-Backed Securities | ||||||||||||
0.54%, 10/27/25 | 4,500 | 4,182,262 | ||||||||||
2.50%, 12/01/27 - 04/01/32 | 1,380 | 1,367,170 | ||||||||||
3.00%, 09/01/30 - 05/01/52(f) | 6,593 | 6,525,078 | ||||||||||
4.00%, 03/01/32 - 08/01/49 | 5,499 | 5,730,952 | ||||||||||
4.50%, 09/01/26 - 01/01/48 | 2,434 | 2,565,502 | ||||||||||
5.00%, 07/01/25(g) | 1 | 622 | ||||||||||
(12 mo. LIBOR US + 1.59%), 1.87%, 07/01/44(b) | 172 | 177,278 | ||||||||||
(12 mo. LIBOR US + 1.59%), 3.02%, 10/01/45(b) | 145 | 148,003 | ||||||||||
(12 mo. LIBOR US + 1.59%), 3.03%, 06/01/45(b) | 219 | 221,695 | ||||||||||
(12 mo. LIBOR US + 1.69%), 2.71%, 07/01/43(b) | 427 | 442,102 | ||||||||||
Freddie Mac Mortgage-Backed Securities | ||||||||||||
0.60%, 09/30/25 | 3,000 | 2,796,330 | ||||||||||
0.90%, 10/13/27 | 2,000 | 1,812,410 | ||||||||||
2.50%, 11/01/27 | 270 | 267,886 | ||||||||||
3.00%, 02/01/36 | 435 | 433,988 | ||||||||||
4.00%, 09/01/33 - 06/01/37 | 1,934 | 2,023,764 | ||||||||||
4.50%, 03/01/49 | 3,437 | 3,642,114 | ||||||||||
(12 mo. LIBOR US + 1.62%), 2.41%, 03/01/45(b) | 264 | 271,760 | ||||||||||
(12 mo. LIBOR US + 1.62%), 3.22%, 05/01/45(b) | 439 | 443,115 | ||||||||||
Uniform Mortgage-Backed Securities, 3.00%, 04/01/52(f) | 3,485 | 3,408,766 | ||||||||||
|
| |||||||||||
36,460,797 | ||||||||||||
|
| |||||||||||
Total U.S. Government Sponsored Agency |
| 46,921,850 | ||||||||||
|
| |||||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Bonds, 1.75%, 08/15/41(h) | 5,000 | 4,333,594 | ||||||||||
U.S. Treasury Notes | ||||||||||||
0.13%, 04/30/23 - 08/31/23 | 22,000 | 21,592,656 | ||||||||||
0.25%, 08/31/25 | 1,700 | 1,572,899 | ||||||||||
0.38%, 12/31/25 | 14,200 | 13,112,258 | ||||||||||
0.75%, 03/31/26 | 1,125 | 1,049,106 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 10.2% (Cost: $43,228,886) | 41,660,513 | |||||||||||
|
| |||||||||||
Total Long-Term Investments — 95.0% (Cost: $401,509,536) | 387,888,051 | |||||||||||
|
| |||||||||||
Short-Term Securities | ||||||||||||
Commercial Paper — 0.5% | ||||||||||||
Macquarie Bank Ltd., 0.28%, 11/17/22(i) | 2,000 | 1,982,100 | ||||||||||
|
|
Security |
Shares |
Value | ||||||||||
Money Market Funds — 1.0% | ||||||||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.12%(j) | 4,027,221 | $ | 4,027,221 | |||||||||
|
| |||||||||||
Par (000) | ||||||||||||
U.S. Treasury Obligations(i) — 5.0% | ||||||||||||
U.S. Treasury Bills | ||||||||||||
1.01%, 01/26/23 | USD | 1,000 | 988,717 | |||||||||
1.53%, 03/23/23 | 20,000 | 19,688,945 | ||||||||||
|
| |||||||||||
20,677,662 | ||||||||||||
|
| |||||||||||
Total Short-Term Securities — 6.5% (Cost: $26,716,534) | 26,686,983 | |||||||||||
|
| |||||||||||
Options Purchased — 0.3% | ||||||||||||
(Cost: $1,031,730) | 1,181,891 | |||||||||||
|
| |||||||||||
Total Investments Before Options Written and TBA Sale Commitments — 101.8% |
| 415,756,925 | ||||||||||
|
| |||||||||||
TBA Sale Commitments(f) | ||||||||||||
Mortgage-Backed Securities — (0.8)% | ||||||||||||
Uniform Mortgage-Backed Securities, 3.00%, 04/01/52 | (3,485 | ) | (3,408,766 | ) | ||||||||
|
| |||||||||||
Total TBA Sale Commitments — (0.8)% |
| (3,408,766 | ) | |||||||||
|
| |||||||||||
Options Written — (0.9)% | ||||||||||||
(Premiums Received: $(1,799,846)) |
| (3,785,901 | ) | |||||||||
|
| |||||||||||
Total Investments Net of Options Written and TBA Sale Commitments — 100.1% |
| 408,562,258 | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other Assets — (0.1)% |
| (289,693 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 408,272,565 | ||||||||||
|
|
(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. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(d) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(e) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(f) | Represents or includes a TBA transaction. |
(g) | Rounds to less than 1,000. |
(h) | All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
(i) | Rates are discount rates or a range of discount rates as of period end. |
(j) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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.
96 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S 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 (2 Year) | 778 | 06/30/22 | $ | 164,875 | $ | (1,842,888 | ) | |||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Japanese Government Bonds (10 Year) | 1 | 06/13/22 | 1,229 | (5,753 | ) | |||||||||||
U.S. Treasury Bonds (30 Year) | 14 | 06/21/22 | 2,101 | 55,292 | ||||||||||||
U.S. Treasury Notes (10 Year) | 70 | 06/21/22 | 8,601 | 233,577 | ||||||||||||
U.S. Ultra Treasury Bonds | 23 | 06/21/22 | 4,074 | 125,153 | ||||||||||||
U.S. Ultra Treasury Notes (10 Year) | 89 | 06/21/22 | 12,057 | 379,954 | ||||||||||||
U.S. Treasury Notes (5 Year) | 659 | 06/30/22 | 75,579 | 1,694,220 | ||||||||||||
Euro Dollar | 21 | 12/16/24 | 5,108 | 67,829 | ||||||||||||
|
| |||||||||||||||
2,550,272 | ||||||||||||||||
|
| |||||||||||||||
$ | 707,384 | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 44,742 | EUR | 40,000 | Royal Bank of Canada | 06/15/22 | $ | 360 | |||||||||||||
|
| |||||||||||||||||||
USD | 313,743 | CAD | 400,000 | Bank of America N.A. | 06/15/22 | (6,157 | ) | |||||||||||||
USD | 102,007 | CAD | 129,000 | Bank of America N.A. | 06/15/22 | (1,161 | ) | |||||||||||||
|
| |||||||||||||||||||
(7,318 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
$ | (6,958 | ) | ||||||||||||||||||
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
U.S. Treasury Notes (10 Year) | 17 | 04/22/22 | USD | 126.00 | USD | 2,087 | $ | 1,594 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
U.S. Treasury Notes (10 Year) | 9 | 04/22/22 | USD | 121.50 | USD | 1,104 | 3,515 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 5,109 | |||||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
Description | Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 01/14/28 | SOFR, 0.29% | Quarterly | 1.59 | % | Semi-Annual | Bank of America N.A. | 01/12/23 | 1.59 | % | USD | 1,900 | $ | 12,027 | |||||||||||||||||||
10-Year Interest Rate Swap, 11/17/33 | 3-month LIBOR, 0.96% | Quarterly | 1.94 | % | Semi-Annual | Bank of America N.A. | 11/15/23 | 1.94 | % | USD | 1,600 | 41,020 | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/26/34 | SOFR, 0.29% | Quarterly | 1.71 | % | Semi-Annual | Goldman Sachs Bank USA | 06/24/24 | 1.71 | % | USD | 1,020 | 34,157 | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/30/34 | SOFR, 0.29% | Quarterly | 1.74 | % | Semi-Annual | Goldman Sachs Bank USA | 06/28/24 | 1.74 | % | USD | 1,020 | 35,357 |
SCHEDULES OF INVESTMENTS | 97 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
OTC Interest Rate Swaptions Purchased (continued)
Description | Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 07/24/34 | SOFR, 0.29% | Quarterly | 1.42% | Semi-Annual | Goldman Sachs Bank USA | 07/22/24 | 1.42 | % | USD | 620 | $ | 15,582 | ||||||||||||||||||||
10-Year Interest Rate Swap, 07/31/34 | 3-month LIBOR, 0.96% | Quarterly | 1.55% | Semi-Annual | Bank of America N.A. | 07/29/24 | 1.55 | % | USD | 1,320 | 29,183 | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/34 | SOFR, 0.29% | Quarterly | 1.42% | Semi-Annual | Wells Fargo Bank N.A. | 08/02/24 | 1.42 | % | USD | 620 | 15,836 | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 | SOFR, 0.29% | Quarterly | 1.17% | Semi-Annual | Citibank N.A. | 06/05/25 | 1.17 | % | USD | 1,140 | 28,632 | |||||||||||||||||||||
10-Year Interest Rate Swap, 12/13/35 | 3-month LIBOR, 0.96% | Quarterly | 1.49% | Semi-Annual | Barclays Bank PLC | 12/11/25 | 1.49 | % | USD | 2,088 | 60,924 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
272,718 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 08/03/27 | 2.75% | Semi-Annual | SOFR, 0.29% | Quarterly | Bank of America N.A. | 08/01/22 | 2.75 | % | USD | 3,260 | $ | 20,219 | ||||||||||||||||||||
5-Year Interest Rate Swap, 01/14/28 | 2.59% | Semi-Annual | SOFR, 0.29% | Quarterly | Deutsche Bank AG | 01/12/23 | 2.59 | % | USD | 1,900 | 28,110 | |||||||||||||||||||||
10-Year Interest Rate Swap, 02/17/33 | 2.13% | Semi-Annual | SOFR, 0.29% | Quarterly | Deutsche Bank AG | 02/15/23 | 2.13 | % | USD | 1,620 | 58,432 | |||||||||||||||||||||
10-Year Interest Rate Swap, 11/17/33 | 1.94% | Semi-Annual | | 3-month LIBOR, 0.96% | | Quarterly | Bank of America N.A. | 11/15/23 | 1.94 | % | USD | 1,600 | 104,202 | |||||||||||||||||||
10-Year Interest Rate Swap, 06/26/34 | 1.71% | Semi-Annual | SOFR, 0.29% | Quarterly | Goldman Sachs Bank USA | 06/24/24 | 1.71 | % | USD | 1,020 | 67,349 | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/30/34 | 1.74% | Semi-Annual | SOFR, 0.29% | Quarterly | Goldman Sachs Bank USA | 06/28/24 | 1.74 | % | USD | 1,020 | 65,855 | |||||||||||||||||||||
10-Year Interest Rate Swap, 07/24/34 | 1.42% | Semi-Annual | SOFR, 0.29% | Quarterly | Goldman Sachs Bank USA | 07/22/24 | 1.42 | % | USD | 620 | 51,030 | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/34 | 1.42% | Semi-Annual | SOFR, 0.29% | Quarterly | Wells Fargo Bank N.A. | 08/02/24 | 1.42 | % | USD | 620 | 50,903 | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/07/34 | 1.54% | Semi-Annual | SOFR, 0.29% | Quarterly | Deutsche Bank AG | 08/05/24 | 1.54 | % | USD | 1,880 | 142,886 | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 | 1.17% | Semi-Annual | SOFR, 0.29% | Quarterly | Citibank N.A. | 06/05/25 | 1.17 | % | USD | 1,140 | 112,400 | |||||||||||||||||||||
10-Year Interest Rate Swap, 12/13/35 | 1.49% | Semi-Annual | | 3-month LIBOR, 0.96% | | Quarterly | Barclays Bank PLC | 12/11/25 | 1.49 | % | USD | 2,088 | 202,678 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
904,064 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | 1,176,782 | |||||||||||||||||||||||||||||||
|
|
98 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Exchange-Traded Options Written
Description | Number of Contracts | Expiration Date | Exercise Price | Notional (000) | Value | |||||||||||
Call | ||||||||||||||||
U.S. Treasury Notes (10 Year) | 17 | 04/22/22 | USD 128.00 | USD 2,087 | $ | (797 | ) | |||||||||
|
|
OTC Interest Rate Swaptions Written
| Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional (000) | Value | |||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 04/03/24 | 0.61 | % | Semi-Annual | | 3-month LIBOR, 0.96% | Quarterly | JPMorgan Chase Bank N.A. | 04/01/22 | 0.61 | % | USD | 14,570 | $ | — | ||||||||||||||||||||
10-Year Interest Rate Swap, 08/05/32 | 1.45 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Deutsche Bank AG | 08/03/22 | 1.45 | % | USD | 615 | (2,688 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | 1.55 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Barclays Bank PLC | 08/08/22 | 1.55 | % | USD | 615 | (3,630 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 09/03/32 | 1.53 | % | Semi-Annual | | 3-month LIBOR, 0.96% | | Quarterly | Goldman Sachs Bank USA | 09/01/22 | 1.53 | % | USD | 2,170 | (6,344 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 10/09/32 | 1.80 | % | Semi-Annual | | 3-month LIBOR, 0.96% | | Quarterly | Deutsche Bank AG | 10/07/22 | 1.80 | % | USD | 1,110 | (7,882 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 10/13/32 | 1.06 | % | Semi-Annual | | 3-month LIBOR, 0.96% | | Quarterly | Deutsche Bank AG | 10/11/22 | 1.06 | % | USD | 765 | (1,140 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 10/15/32 | 1.80 | % | Semi-Annual | | 3-month LIBOR, 0.96% | | Quarterly | Deutsche Bank AG | 10/13/22 | 1.80 | % | USD | 1,110 | (8,073 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 11/17/32 | 1.85 | % | Semi-Annual | | 3-month LIBOR, 0.96% | | Quarterly | Bank of America N.A. | 11/15/22 | 1.85 | % | USD | 2,230 | (21,230 | ) | |||||||||||||||||||
2-Year Interest Rate Swap, 11/17/24 | 1.74 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Goldman Sachs Bank USA | 11/15/22 | 1.74 | % | USD | 11,055 | (19,299 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 11/17/24 | 1.78 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Goldman Sachs Bank USA | 11/15/22 | 1.78 | % | USD | 11,055 | (20,663 | ) |
SCHEDULES OF INVESTMENTS | 99 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
OTC Interest Rate Swaptions Written (continued)
| Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/07/32 | 1.45 | % | Semi-Annual | SOFR, 0.29% | Quarterly | JPMorgan Chase Bank N.A. | 12/05/22 | 1.45 | % | USD | 1,090 | $ | (8,575 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 12/14/32 | 1.15 | % | Semi-Annual | | 3-month LIBOR, 0.96% | Quarterly | Barclays Bank PLC | 12/12/22 | 1.15 | % | USD | 6,170 | (17,561 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/32 | 1.43 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Deutsche Bank AG | 12/13/22 | 1.43 | % | USD | 1,638 | (12,900 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 12/17/32 | 1.42 | % | Semi-Annual | SOFR, 0.29% | Quarterly | JPMorgan Chase Bank N.A. | 12/15/22 | 1.42 | % | USD | 1,637 | (12,725 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 1.23 | % | Semi-Annual | | 3-month LIBOR, 0.96% | Quarterly | Goldman Sachs Bank USA | 12/16/22 | 1.23 | % | USD | 758 | (2,551 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 1.25 | % | Semi-Annual | | 3-month LIBOR, 0.96% | Quarterly | Goldman Sachs Bank USA | 12/16/22 | 1.25 | % | USD | 758 | (2,612 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 01/01/33 | 1.25 | % | Semi-Annual | | 3-month LIBOR, 0.96% | Quarterly | Citibank N.A. | 12/30/22 | 1.25 | % | USD | 840 | (3,166 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 01/11/33 | 1.44 | % | Semi-Annual | | 3-month LIBOR, 0.96% | Quarterly | Barclays Bank PLC | 01/09/23 | 1.44 | % | USD | 1,530 | (8,467 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 01/12/25 | 1.25 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Deutsche Bank AG | 01/10/23 | 1.25 | % | USD | 7,670 | (8,337 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 01/14/25 | 1.25 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Barclays Bank PLC | 01/12/23 | 1.25 | % | USD | 7,670 | (9,648 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 01/20/25 | 1.36 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Wells Fargo Bank N.A. | 01/18/23 | 1.36 | % | USD | 3,220 | (4,278 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 02/19/25 | 1.39 | % | Semi-Annual | SOFR, 0.29% | Quarterly | Goldman Sachs Bank USA | 02/17/23 | 1.39 | % | USD | 4,095 | (6,610 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
(188,379 | ) | |||||||||||||||||||||||||||||||||
|
|
100 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
OTC Interest Rate Swaptions Written (continued)
| Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 04/03/24 | | 3-month LIBOR, 0.96% | Quarterly | 0.61% | Semi-Annual | JPMorgan Chase Bank N.A. | 04/01/22 | 0.61 | % | USD | 14,570 | $ | (548,511 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 04/08/24 | | 3-month LIBOR, 0.96% | Quarterly | 0.74% | Semi-Annual | JPMorgan Chase Bank N.A. | 04/06/22 | 0.74 | % | USD | 14,570 | (512,944 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/05/32 | SOFR, 0.29% | Quarterly | 1.95% | Semi-Annual | Deutsche Bank AG | 08/03/22 | 1.95 | % | USD | 615 | (17,808 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | SOFR, 0.29% | Quarterly | 2.05% | Semi-Annual | Barclays Bank PLC | 08/08/22 | 2.05 | % | USD | 615 | (15,139 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 09/03/32 | | 3-month LIBOR, 0.96% | Quarterly | 1.53% | Semi-Annual | Goldman Sachs Bank USA | 09/01/22 | 1.53 | % | USD | 2,170 | (183,545 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 10/09/32 | | 3-month LIBOR, 0.96% | Quarterly | 1.80% | Semi-Annual | Deutsche Bank AG | 10/07/22 | 1.80 | % | USD | 1,110 | (71,839 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 10/13/32 | | 3-month LIBOR, 0.96% | Quarterly | 1.06% | Semi-Annual | Deutsche Bank AG | 10/11/22 | 1.06 | % | USD | 765 | (94,965 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 10/15/32 | | 3-month LIBOR, 0.96% | Quarterly | 1.80% | Semi-Annual | Deutsche Bank AG | 10/13/22 | 1.80 | % | USD | 1,110 | (72,564 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 11/17/32 | | 3-month LIBOR, 0.96% | Quarterly | 1.85% | Semi-Annual | Bank of America N.A. | 11/15/22 | 1.85 | % | USD | 2,230 | (140,604 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 12/07/32 | | SOFR, 0.29% | Quarterly | 1.45% | Semi-Annual | JPMorgan Chase Bank N.A. | 12/05/22 | 1.45 | % | USD | 1,090 | (80,502 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 12/14/32 | | 3-month LIBOR, 0.96% | Quarterly | 1.15% | Semi-Annual | Barclays Bank PLC | 12/12/22 | 1.15 | % | USD | 6,170 | (723,869 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/32 | SOFR, 0.29% | Quarterly | 1.43% | Semi-Annual | Deutsche Bank AG | 12/13/22 | 1.43 | % | USD | 1,638 | (123,423 | ) |
SCHEDULES OF INVESTMENTS | 101 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
OTC Interest Rate Swaptions Written (continued)
| Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount | Value | |||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/17/32 | SOFR, 0.29% | Quarterly | 1.42% | Semi-Annual | JPMorgan Chase Bank N.A. | 12/15/22 | 1.42 | % | USD | 1,637 | $ | (124,813 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 3-month LIBOR, 0.96% | Quarterly | 1.23% | Semi-Annual | Goldman Sachs Bank USA | 12/16/22 | 1.23 | % | USD | 758 | (84,034 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 3-month LIBOR, 0.96% | Quarterly | 1.25% | Semi-Annual | Goldman Sachs Bank USA | 12/16/22 | 1.25 | % | USD | 758 | (83,262 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 01/01/33 | 3-month LIBOR, 0.96% | Quarterly | 1.25% | Semi-Annual | Citibank N.A. | 12/30/22 | 1.25 | % | USD | 840 | (91,822 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 01/11/33 | 3-month LIBOR, 0.96% | Quarterly | 1.44% | Semi-Annual | Barclays Bank PLC | 01/09/23 | 1.44 | % | USD | 1,530 | (145,133 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 01/12/25 | SOFR, 0.29% | Quarterly | 1.75% | Semi-Annual | Deutsche Bank AG | 01/10/23 | 1.75 | % | USD | 7,670 | (145,198 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 01/14/25 | SOFR, 0.29% | Quarterly | 1.75% | Semi-Annual | Barclays Bank PLC | 01/12/23 | 1.75 | % | USD | 7,670 | (145,882 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 02/17/25 | SOFR, 0.29% | Quarterly | 2.25% | Semi-Annual | Deutsche Bank AG | 02/15/23 | 2.25 | % | USD | 7,490 | (110,363 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 02/19/25 | SOFR, 0.29% | Quarterly | 2.39% | Semi-Annual | Goldman Sachs Bank USA | 02/17/23 | 2.39 | % | USD | 6,142 | (80,505 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
(3,596,725 | ) | |||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | (3,785,104 | ) | ||||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
CDX.NA.IG.37.V1 | 1.00 | % | Quarterly | 12/20/26 | USD | 6,310 | $(110,002) | $ | (117,830 | ) | $ | 7,828 | ||||||||||||||
|
|
|
|
|
102 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount |
| Upfront Premium Paid | Unrealized Appreciation | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||
SOFR, 0.29% | Annual | 0.84% | Annual | N/A | 03/01/23 | USD | 1,660 | $ | (10,209 | ) | $ | (3,973 | ) | $ | (6,236 | ) | ||||||||||||||
SOFR, 0.29% | Annual | 0.62% | Annual | N/A | 03/02/23 | USD | 600 | (5,036 | ) | (2,648 | ) | (2,388 | ) | |||||||||||||||||
SOFR, 0.29% | At Termination | (0.01)% | At Termination | 07/08/22(a) | 07/08/23 | USD | 770 | (17,266 | ) | (11,498 | ) | (5,768 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 0.24% | Annual | N/A | 12/08/23 | USD | 4,490 | (140,812 | ) | (92,391 | ) | (48,421 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 0.19% | Annual | N/A | 12/14/23 | USD | 2,078 | (68,163 | ) | (45,624 | ) | (22,539 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 0.25% | Annual | N/A | 01/12/24 | USD | 11,970 | (404,675 | ) | (263,682 | ) | (140,993 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 0.24% | Annual | N/A | 01/21/24 | USD | 3,130 | (108,614 | ) | (71,914 | ) | (36,700 | ) | |||||||||||||||||
1.06% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 02/24/24 | USD | 2,640 | 67,561 | 8,050 | 59,511 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 0.25% | Annual | N/A | 03/04/24 | USD | 8,580 | (322,569 | ) | (193,941 | ) | (128,628 | ) | |||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 0.52% | Semi-Annual | N/A | 03/07/24 | USD | 5,070 | (186,990 | ) | — | (186,990 | ) | ||||||||||||||||||
1.41% | Annual | SOFR, 0.29% | Annual | N/A | 03/08/24 | USD | 5,710 | 85,397 | (1,408 | ) | 86,805 | |||||||||||||||||||
1.11% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 03/10/24 | USD | 1,660 | 43,102 | 4,614 | 38,488 | ||||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 0.56% | Semi-Annual | N/A | 03/23/24 | USD | 5,070 | (192,403 | ) | — | (192,403 | ) | ||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 0.57% | Semi-Annual | N/A | 03/25/24 | USD | 10,220 | (387,063 | ) | — | (387,063 | ) | ||||||||||||||||||
0.61% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A(a) | 03/28/24 | USD | 3,590 | 133,631 | 48,206 | 85,425 | ||||||||||||||||||||
1.10% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/04/22(a) | 04/04/24 | USD | 595 | 16,668 | 2,415 | 14,253 | ||||||||||||||||||||
0.99% | Annual | SOFR, 0.29% | Annual | 04/07/22(a) | 04/07/24 | USD | 2,380 | 60,430 | 4,313 | 56,117 | ||||||||||||||||||||
0.99% | Annual | SOFR, 0.29% | Annual | 04/07/22(a) | 04/07/24 | USD | 2,380 | 60,523 | 4,408 | 56,115 | ||||||||||||||||||||
0.64% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/08/22(a) | 04/08/24 | USD | 4,850 | 180,209 | 64,397 | 115,812 | ||||||||||||||||||||
0.65% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/11/22(a) | 04/11/24 | USD | 2,660 | 98,739 | 35,155 | 63,584 | ||||||||||||||||||||
0.66% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/11/22(a) | 04/11/24 | USD | 1,420 | 52,392 | 18,444 | 33,948 | ||||||||||||||||||||
0.68% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/12/22(a) | 04/12/24 | USD | 3,930 | 143,939 | 49,933 | 94,006 | ||||||||||||||||||||
0.69% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/12/22(a) | 04/12/24 | USD | 2,660 | 96,807 | 33,171 | 63,636 | ||||||||||||||||||||
1.08% | Annual | SOFR, 0.29% | Annual | 04/13/22(a) | 04/13/24 | USD | 4,730 | 112,707 | — | 112,707 | ||||||||||||||||||||
0.73% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/14/22(a) | 04/14/24 | USD | 2,770 | 99,211 | 32,784 | 66,427 | ||||||||||||||||||||
0.79% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/14/22(a) | 04/14/24 | USD | 2,660 | 92,200 | 28,270 | 63,930 | ||||||||||||||||||||
0.80% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/14/22(a) | 04/14/24 | USD | 2,660 | 91,747 | 27,812 | 63,935 | ||||||||||||||||||||
0.81% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/20/22(a) | 04/20/24 | USD | 1,335 | 46,187 | 14,042 | 32,145 | ||||||||||||||||||||
0.81% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/20/22(a) | 04/20/24 | USD | 1,335 | 46,015 | 13,868 | 32,147 | ||||||||||||||||||||
0.83% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/20/22(a) | 04/20/24 | USD | 1,330 | 45,359 | 13,325 | 32,034 | ||||||||||||||||||||
0.85% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/20/22(a) | 04/20/24 | USD | 1,330 | 44,951 | 12,912 | 32,039 | ||||||||||||||||||||
0.90% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/20/22(a) | 04/20/24 | USD | 1,330 | 43,677 | 11,620 | 32,057 | ||||||||||||||||||||
0.92% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/20/22(a) | 04/20/24 | USD | 1,330 | 43,102 | 11,076 | 32,026 | ||||||||||||||||||||
0.94% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/20/22(a) | 04/20/24 | USD | 2,260 | 72,518 | 18,088 | 54,430 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 0.33% | Annual | 04/20/22(a) | 04/20/24 | USD | 2,680 | (104,498 | ) | (67,718 | ) | (36,780 | ) | |||||||||||||||||
0.91% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/25/22(a) | 04/25/24 | USD | 2,640 | 86,335 | 22,704 | 63,631 | ||||||||||||||||||||
0.94% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/25/22(a) | 04/25/24 | USD | 2,640 | 84,687 | 21,033 | 63,654 |
SCHEDULES OF INVESTMENTS | 103 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount |
| Upfront Premium Paid | Unrealized Appreciation | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||
0.98% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/26/22(a) | 04/26/24 | USD | 155 | $ | 4,889 | $ | 1,149 | $ | 3,740 | |||||||||||||||||
0.99% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/26/22(a) | 04/26/24 | USD | 1,325 | 41,536 | 9,561 | 31,975 | ||||||||||||||||||||
0.99% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 04/26/22(a) | 04/26/24 | USD | 1,325 | 41,323 | 9,345 | 31,978 | ||||||||||||||||||||
1.01% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 05/03/22(a) | 05/03/24 | USD | 3,950 | 123,546 | 27,962 | 95,584 | ||||||||||||||||||||
1.02% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 05/03/22(a) | 05/03/24 | USD | 3,950 | 122,738 | 27,142 | 95,596 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.35% | Annual | 05/03/22(a) | 05/03/24 | USD | 7,100 | (1,185 | ) | — | (1,185 | ) | ||||||||||||||||||
1.05% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 05/12/22(a) | 05/12/24 | USD | 2,630 | 81,249 | 17,296 | 63,953 | ||||||||||||||||||||
1.11% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 05/16/22(a) | 05/16/24 | USD | 1,810 | 54,169 | 10,062 | 44,107 | ||||||||||||||||||||
1.22% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/07/22(a) | 06/07/24 | USD | 1,330 | 38,380 | 5,596 | 32,784 | ||||||||||||||||||||
1.25% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/07/22(a) | 06/07/24 | USD | 1,330 | 37,657 | 4,861 | 32,796 | ||||||||||||||||||||
1.01% | Annual | SOFR, 0.29% | Annual | 06/09/22(a) | 06/09/24 | USD | 1,320 | 37,503 | 4,858 | 32,645 | ||||||||||||||||||||
1.28% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/17/22(a) | 06/17/24 | USD | 1,215 | 34,459 | 4,341 | 30,118 | ||||||||||||||||||||
0.73% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/21/22(a) | 06/21/24 | USD | 2,690 | 105,383 | 39,021 | 66,362 | ||||||||||||||||||||
0.75% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/28/22(a) | 06/28/24 | USD | 1,470 | 57,449 | 21,039 | 36,410 | ||||||||||||||||||||
0.77% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/28/22(a) | 06/28/24 | USD | 1,355 | 52,573 | 19,006 | 33,567 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.50% | Annual | 07/05/22(a) | 07/05/24 | USD | 2,900 | (1,266 | ) | — | (1,266 | ) | ||||||||||||||||||
1.45% | Annual | SOFR, 0.29% | Annual | 07/28/22(a) | 07/28/24 | USD | 1,050 | 23,035 | — | 23,035 | ||||||||||||||||||||
1.47% | Annual | SOFR, 0.29% | Annual | 07/29/22(a) | 07/29/24 | USD | 1,195 | 25,638 | — | 25,638 | ||||||||||||||||||||
1.48% | Annual | SOFR, 0.29% | Annual | 07/29/22(a) | 07/29/24 | USD | 1,195 | 25,451 | — | 25,451 | ||||||||||||||||||||
1.62% | Annual | SOFR, 0.29% | Annual | 08/08/22(a) | 08/08/24 | USD | 2,390 | 45,177 | — | 45,177 | ||||||||||||||||||||
0.74% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 08/12/22(a) | 08/12/24 | USD | 3,290 | 134,430 | 52,884 | 81,546 | ||||||||||||||||||||
1.76% | Annual | SOFR, 0.29% | Annual | 08/12/22(a) | 08/12/24 | USD | 2,390 | 38,990 | — | 38,990 | ||||||||||||||||||||
1.76% | Annual | SOFR, 0.29% | Annual | 08/12/22(a) | 08/12/24 | USD | 2,390 | 39,014 | — | 39,014 | ||||||||||||||||||||
1.81% | Annual | SOFR, 0.29% | Annual | 08/12/22(a) | 08/12/24 | USD | 2,390 | 36,755 | — | 36,755 | ||||||||||||||||||||
1.94% | Annual | SOFR, 0.29% | Annual | 08/12/22(a) | 08/12/24 | USD | 2,380 | 30,501 | — | 30,501 | ||||||||||||||||||||
1.94% | Annual | SOFR, 0.29% | Annual | 08/12/22(a) | 08/12/24 | USD | 2,380 | 30,200 | — | 30,200 | ||||||||||||||||||||
0.78% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 08/15/22(a) | 08/15/24 | USD | 1,840 | 73,934 | 28,337 | 45,597 | ||||||||||||||||||||
1.90% | Annual | SOFR, 0.29% | Annual | 08/15/22(a) | 08/15/24 | USD | 1,390 | 18,938 | — | 18,938 | ||||||||||||||||||||
1.90% | Annual | SOFR, 0.29% | Annual | 08/17/22(a) | 08/17/24 | USD | 1,790 | 24,726 | — | 24,726 | ||||||||||||||||||||
1.89% | Annual | SOFR, 0.29% | Annual | 08/29/22(a) | 08/29/24 | USD | 1,195 | 16,933 | — | 16,933 | ||||||||||||||||||||
1.90% | Annual | SOFR, 0.29% | Annual | 08/29/22(a) | 08/29/24 | USD | 1,195 | 16,840 | — | 16,840 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.70% | Annual | 09/02/22(a) | 09/02/24 | USD | 1,200 | (21,528 | ) | — | (21,528 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.72% | Annual | 09/02/22(a) | 09/02/24 | USD | 1,200 | (21,119 | ) | — | (21,119 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.42% | Annual | 09/06/22(a) | 09/06/24 | USD | 2,400 | (56,602 | ) | — | (56,602 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.46% | Annual | 09/06/22(a) | 09/06/24 | USD | 1,200 | (27,274 | ) | — | (27,274 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.51% | Annual | 09/06/22(a) | 09/06/24 | USD | 1,190 | (25,843 | ) | — | (25,843 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.52% | Annual | 09/06/22(a) | 09/06/24 | USD | 2,400 | (51,723 | ) | — | (51,723 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.52% | Annual | 09/06/22(a) | 09/06/24 | USD | 2,400 | (51,863 | ) | — | (51,863 | ) | ||||||||||||||||||
2.43% | Annual | SOFR, 0.29% | Annual | 09/07/22(a) | 09/07/24 | USD | 1,195 | 4,742 | — | 4,742 | ||||||||||||||||||||
2.45% | Annual | SOFR, 0.29% | Annual | 09/07/22(a) | 09/07/24 | USD | 1,195 | 4,346 | — | 4,346 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.61% | Annual | 09/07/22(a) | 09/07/24 | USD | 1,195 | (23,772 | ) | — | (23,772 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.71% | Annual | 09/07/22(a) | 09/07/24 | USD | 1,200 | (21,510 | ) | — | (21,510 | ) | ||||||||||||||||||
1.89% | Annual | SOFR, 0.29% | Annual | 09/13/22(a) | 09/13/24 | USD | 1,190 | 17,423 | — | 17,423 | ||||||||||||||||||||
1.89% | Annual | SOFR, 0.29% | Annual | 09/13/22(a) | 09/13/24 | USD | 2,380 | 34,527 | — | 34,527 | ||||||||||||||||||||
1.93% | Annual | SOFR, 0.29% | Annual | 09/13/22(a) | 09/13/24 | USD | 2,370 | 32,654 | — | 32,654 | ||||||||||||||||||||
2.07% | Annual | SOFR, 0.29% | Annual | 09/16/22(a) | 09/16/24 | USD | 593 | 6,602 | — | 6,602 |
104 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount |
| Upfront Premium Paid | Unrealized Appreciation | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||
2.08% | Annual | SOFR, 0.29% | Annual | 09/16/22(a) | 09/16/24 | USD | 592 | $ | 6,484 | $ | — | $ | 6,484 | |||||||||||||||||
2.12% | Annual | SOFR, 0.29% | Annual | 09/16/22(a) | 09/16/24 | USD | 593 | 6,005 | — | 6,005 | ||||||||||||||||||||
2.07% | Annual | SOFR, 0.29% | Annual | 09/19/22(a) | 09/19/24 | USD | 1,190 | 13,351 | — | 13,351 | ||||||||||||||||||||
2.07% | Annual | SOFR, 0.29% | Annual | 09/19/22(a) | 09/19/24 | USD | 1,190 | 13,305 | — | 13,305 | ||||||||||||||||||||
2.08% | Annual | SOFR, 0.29% | Annual | 09/19/22(a) | 09/19/24 | USD | 1,190 | 13,074 | — | 13,074 | ||||||||||||||||||||
2.10% | Annual | SOFR, 0.29% | Annual | 09/19/22(a) | 09/19/24 | USD | 2,230 | 23,810 | — | 23,810 | ||||||||||||||||||||
2.27% | Annual | SOFR, 0.29% | Annual | 09/20/22(a) | 09/20/24 | USD | 2,380 | 17,324 | — | 17,324 | ||||||||||||||||||||
2.28% | Annual | SOFR, 0.29% | Annual | 09/20/22(a) | 09/20/24 | USD | 1,190 | 8,419 | — | 8,419 | ||||||||||||||||||||
2.30% | Annual | SOFR, 0.29% | Annual | 09/20/22(a) | 09/20/24 | USD | 2,380 | 15,982 | — | 15,982 | ||||||||||||||||||||
2.31% | Annual | SOFR, 0.29% | Annual | 09/20/22(a) | 09/20/24 | USD | 1,190 | 7,852 | — | 7,852 | ||||||||||||||||||||
2.31% | Annual | SOFR, 0.29% | Annual | 09/20/22(a) | 09/20/24 | USD | 1,190 | 7,760 | — | 7,760 | ||||||||||||||||||||
2.46% | Annual | SOFR, 0.29% | Annual | 09/23/22(a) | 09/23/24 | USD | 1,185 | 4,473 | — | 4,473 | ||||||||||||||||||||
2.47% | Annual | SOFR, 0.29% | Annual | 09/23/22(a) | 09/23/24 | USD | 1,185 | 4,105 | — | 4,105 | ||||||||||||||||||||
2.67% | Annual | SOFR, 0.29% | Annual | 09/27/22(a) | 09/27/24 | USD | 1,390 | (471 | ) | — | (471 | ) | ||||||||||||||||||
2.68% | Annual | SOFR, 0.29% | Annual | 09/27/22(a) | 09/27/24 | USD | 1,390 | (498 | ) | — | (498 | ) | ||||||||||||||||||
2.72% | Annual | SOFR, 0.29% | Annual | 09/30/22(a) | 09/30/24 | USD | 530 | (574 | ) | — | (574 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 2.70% | Annual | 09/30/22(a) | 09/30/24 | USD | 1,431 | 1,166 | — | 1,166 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.73% | Annual | 09/30/22(a) | 09/30/24 | USD | 12,879 | 16,618 | — | 16,618 | ||||||||||||||||||||
2.81% | Annual | SOFR, 0.29% | Annual | 10/03/22(a) | 10/03/24 | USD | 1,395 | (3,909 | ) | — | (3,909 | ) | ||||||||||||||||||
2.69% | Annual | SOFR, 0.29% | Annual | 10/04/22(a) | 10/04/24 | USD | 1,300 | (693 | ) | — | (693 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 2.64% | Annual | 10/04/22(a) | 10/04/24 | USD | 6,000 | (3,500 | ) | — | (3,500 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.71% | Annual | 12/09/22(a) | 12/09/24 | USD | 6,580 | (127,385 | ) | — | (127,385 | ) | ||||||||||||||||||
1.89% | Annual | SOFR, 0.29% | Annual | 02/22/23(a) | 02/22/25 | USD | 820 | 13,151 | — | 13,151 | ||||||||||||||||||||
1.99% | Annual | SOFR, 0.29% | Annual | 02/27/23(a) | 02/27/25 | USD | 1,200 | 16,999 | — | 16,999 | ||||||||||||||||||||
2.53% | Annual | SOFR, 0.29% | Annual | 03/28/23(a) | 03/28/25 | USD | 4,310 | 15,225 | — | 15,225 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 0.10% | Annual | N/A | 06/02/25 | USD | 590 | (40,720 | ) | (28,995 | ) | (11,725 | ) | |||||||||||||||||
1.54% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 02/25/25(a) | 02/25/26 | USD | 4,060 | 35,234 | 18,130 | 17,104 | ||||||||||||||||||||
1.71% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 03/06/25(a) | 03/06/26 | USD | 3,120 | 21,821 | 8,722 | 13,099 | ||||||||||||||||||||
1.33% | Annual | SOFR, 0.29% | Annual | N/A | 01/14/27 | USD | 4,740 | 187,097 | — | 187,097 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.33% | Annual | N/A | 01/14/27 | USD | 460 | (18,135 | ) | — | (18,135 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.15% | Annual | N/A | 01/20/27 | USD | 708 | (34,404 | ) | (19,275 | ) | (15,129 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 1.19% | Annual | N/A | 01/20/27 | USD | 988 | (46,127 | ) | (25,064 | ) | (21,063 | ) | |||||||||||||||||
1.49% | Annual | SOFR, 0.29% | Annual | N/A | 03/04/27 | USD | 460 | 15,736 | — | 15,736 | ||||||||||||||||||||
1.54% | Annual | SOFR, 0.29% | Annual | N/A | 03/04/27 | USD | 460 | 14,763 | — | 14,763 | ||||||||||||||||||||
1.56% | Annual | SOFR, 0.29% | Annual | N/A | 03/04/27 | USD | 460 | 14,293 | — | 14,293 | ||||||||||||||||||||
1.57% | Annual | SOFR, 0.29% | Annual | N/A | 03/04/27 | USD | 460 | 14,129 | — | 14,129 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.73% | Annual | N/A | 03/14/27 | USD | 230 | (5,396 | ) | — | (5,396 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.74% | Annual | N/A | 03/14/27 | USD | 920 | (20,971 | ) | — | (20,971 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.75% | Annual | N/A | 03/15/27 | USD | 230 | (5,144 | ) | — | (5,144 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 2.05% | Annual | N/A | 03/18/27 | USD | 920 | (7,645 | ) | — | (7,645 | ) | ||||||||||||||||||
1.97% | Annual | SOFR, 0.29% | Annual | N/A | 03/21/27 | USD | 7,260 | 91,479 | — | 91,479 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.13% | Annual | N/A | 03/25/27 | USD | 465 | (2,246 | ) | — | (2,246 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 2.13% | Annual | N/A | 03/25/27 | USD | 465 | (2,235 | ) | — | (2,235 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 2.29% | Annual | N/A | 03/31/27 | USD | 270 | 691 | — | 691 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.30% | Annual | N/A | 03/31/27 | USD | 270 | 710 | — | 710 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.35% | Annual | N/A | 03/31/27 | USD | 490 | 2,614 | — | 2,614 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.45% | Annual | 04/13/22(a) | 04/13/27 | USD | 2,430 | (92,474 | ) | — | (92,474 | ) | ||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.63% | Semi-Annual | 05/26/22(a) | 05/26/27 | USD | 2,180 | (94,389 | ) | (14,992 | ) | (79,397 | ) | |||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 0.65% | Semi-Annual | 06/20/22(a) | 06/20/27 | USD | 625 | (56,314 | ) | (33,286 | ) | (23,028 | ) | |||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 0.68% | Semi-Annual | 06/20/22(a) | 06/20/27 | USD | 625 | (55,510 | ) | (32,492 | ) | (23,018 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 1.25% | Annual | 07/05/22(a) | 07/05/27 | USD | 490 | (24,687 | ) | (6,837 | ) | (17,850 | ) | |||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.35% | Semi-Annual | 07/08/22(a) | 07/08/27 | USD | 1,470 | (85,201 | ) | (31,872 | ) | (53,329 | ) | |||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.19% | Semi-Annual | 07/19/22(a) | 07/19/27 | USD | 1,880 | (123,327 | ) | (55,366 | ) | (67,961 | ) |
SCHEDULES OF INVESTMENTS | 105 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount |
| Upfront Premium Paid | Unrealized Appreciation | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||
3-month | Quarterly | 1.48% | Semi-Annual | 08/01/22(a) | 08/01/27 | USD | 1,620 | $ | (84,446 | ) | $ | (26,626 | ) | $ | (57,820 | ) | ||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.49% | Semi-Annual | 08/01/22(a) | 08/01/27 | USD | 1,620 | (83,723 | ) | (25,879 | ) | (57,844 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 1.93% | Annual | 08/12/22(a) | 08/12/27 | USD | 450 | (8,380 | ) | — | (8,380 | ) | ||||||||||||||||||
0.50% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 08/17/27 | USD | 800 | 79,917 | 51,363 | 28,554 | ||||||||||||||||||||
1.50% | Annual | SOFR, 0.29% | Annual | 09/06/22(a) | 09/06/27 | USD | 990 | 38,847 | — | 38,847 | ||||||||||||||||||||
1.62% | Annual | SOFR, 0.29% | Annual | 09/07/22(a) | 09/07/27 | USD | 490 | 16,604 | — | 16,604 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.03% | Annual | 09/16/22(a) | 09/16/27 | USD | 970 | (14,000 | ) | — | (14,000 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.99% | Annual | 09/19/22(a) | 09/19/27 | USD | 490 | (8,140 | ) | — | (8,140 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 2.00% | Annual | 09/19/22(a) | 09/19/27 | USD | 490 | (7,876 | ) | — | (7,876 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 2.01% | Annual | 09/19/22(a) | 09/19/27 | USD | 490 | (7,611 | ) | — | (7,611 | ) | ||||||||||||||||||
2.44% | Annual | SOFR, 0.29% | Annual | 09/30/22(a) | 09/30/27 | USD | 169 | (785 | ) | — | (785 | ) | ||||||||||||||||||
2.48% | Annual | SOFR, 0.29% | Annual | 09/30/22(a) | 09/30/27 | USD | 1,521 | (9,915 | ) | — | (9,915 | ) | ||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.68% | Semi-Annual | 11/21/22(a) | 11/21/27 | USD | 10 | (435 | ) | (110 | ) | (325 | ) | |||||||||||||||||
2.34% | Annual | SOFR, 0.29% | Annual | 01/04/23(a) | 01/04/28 | USD | 330 | (35 | ) | — | (35 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.90% | Annual | 02/14/23(a) | 02/14/28 | USD | 500 | (9,762 | ) | — | (9,762 | ) | ||||||||||||||||||
2.31% | Annual | SOFR, 0.29% | Annual | 03/28/23(a) | 03/28/28 | USD | 1,460 | 95 | — | 95 | ||||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 0.65% | Semi-Annual | 07/12/23(a) | 07/12/28 | USD | 820 | (70,606 | ) | (51,107 | ) | (19,499 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 1.54% | Annual | N/A | 02/04/29 | USD | 2,620 | (97,417 | ) | — | (97,417 | ) | ||||||||||||||||||
1.78% | Annual | SOFR, 0.29% | Annual | 06/30/22(a) | 02/15/29 | USD | 3,150 | 85,872 | (4,096 | ) | 89,968 | |||||||||||||||||||
SOFR, 0.29% | Annual | 2.07% | Annual | 06/30/22(a) | 02/15/29 | USD | 1,450 | (13,720 | ) | — | (13,720 | ) | ||||||||||||||||||
1.58% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 10/29/30 | USD | 1,180 | 69,024 | 24,830 | 44,194 | ||||||||||||||||||||
1.05% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 01/11/31 | USD | 980 | 103,258 | 64,803 | 38,455 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.80% | Annual | 01/15/27(a) | 01/15/31 | USD | 430 | (8,533 | ) | — | (8,533 | ) | ||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.51% | Semi-Annual | N/A | 08/19/31 | USD | 90 | (6,524 | ) | (2,695 | ) | (3,829 | ) | |||||||||||||||||
1.43% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 09/21/31 | USD | 810 | 66,321 | 31,379 | 34,942 | ||||||||||||||||||||
1.39% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 09/22/31 | USD | 810 | 68,960 | 34,154 | 34,806 | ||||||||||||||||||||
1.52% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 09/24/31 | USD | 1,760 | 130,593 | 53,647 | 76,946 | ||||||||||||||||||||
1.78% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 10/18/31 | USD | 890 | 40,124 | 6,909 | 33,215 | ||||||||||||||||||||
2.05% | Annual | SOFR, 0.29% | Annual | 06/30/22(a) | 11/15/31 | USD | 1,260 | 11,496 | — | 11,496 | ||||||||||||||||||||
2.09% | Annual | SOFR, 0.29% | Annual | 06/30/22(a) | 11/15/31 | USD | 1,670 | 10,126 | — | 10,126 | ||||||||||||||||||||
2.12% | Annual | SOFR, 0.29% | Annual | 06/30/22(a) | 11/15/31 | USD | 560 | 1,943 | — | 1,943 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.63% | Annual | 06/30/22(a) | 11/15/31 | USD | 1,270 | (57,203 | ) | — | (57,203 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.80% | Annual | 06/30/22(a) | 11/15/31 | USD | 1,270 | (38,521 | ) | — | (38,521 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.82% | Annual | 06/30/22(a) | 11/15/31 | USD | 2,080 | (60,792 | ) | 5,186 | (65,978 | ) | ||||||||||||||||||
1.48% | Annual | SOFR, 0.29% | Annual | N/A | 11/26/31 | USD | 600 | 30,595 | 6,455 | 24,140 | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.19% | Annual | N/A | 12/07/31 | USD | 182 | (14,200 | ) | (6,746 | ) | (7,454 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 1.24% | Annual | N/A | 12/07/31 | USD | 550 | (40,314 | ) | (17,789 | ) | (22,525 | ) | |||||||||||||||||
1.46% | Annual | SOFR, 0.29% | Annual | N/A | 01/06/32 | USD | 740 | 40,338 | 9,283 | 31,055 | ||||||||||||||||||||
1.65% | Annual | SOFR, 0.29% | Annual | N/A | 01/20/32 | USD | 580 | 22,025 | — | 22,025 | ||||||||||||||||||||
1.74% | Annual | SOFR, 0.29% | Annual | N/A | 02/08/32 | USD | 190 | 5,986 | — | 5,986 | ||||||||||||||||||||
1.79% | Annual | SOFR, 0.29% | Annual | N/A | 02/10/32 | USD | 930 | 25,062 | — | 25,062 | ||||||||||||||||||||
1.59% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 02/22/32 | USD | 200 | 13,769 | 5,495 | 8,274 | ||||||||||||||||||||
1.62% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 02/22/32 | USD | 100 | 6,642 | 2,497 | 4,145 | ||||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.60% | Semi-Annual | N/A | 03/02/32 | USD | 350 | (24,037 | ) | — | (24,037 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.67% | Annual | N/A | 03/02/32 | USD | 250 | (9,632 | ) | — | (9,632 | ) | ||||||||||||||||||
SOFR, 0.29% | Annual | 1.68% | Annual | N/A | 03/02/32 | USD | 250 | (9,339 | ) | — | (9,339 | ) |
106 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount |
| Upfront Premium Paid | Unrealized Appreciation | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||
SOFR, 0.29% | Annual | 1.51% | Annual | N/A | 03/03/32 | USD | 500 | $ | (26,568 | ) | $ | — | $ | (26,568 | ) | |||||||||||||||||
SOFR, 0.29% | Annual | 1.54% | Annual | N/A | 03/03/32 | USD | 500 | (25,438 | ) | — | (25,438 | ) | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.57% | Annual | N/A | 03/03/32 | USD | 500 | (23,901 | ) | — | (23,901 | ) | ||||||||||||||||||||
1.74% | Annual | SOFR, 0.29% | Annual | N/A | 03/04/32 | USD | 245 | 7,949 | — | 7,949 | ||||||||||||||||||||||
1.75% | Annual | SOFR, 0.29% | Annual | N/A | 03/04/32 | USD | 245 | 7,661 | — | 7,661 | ||||||||||||||||||||||
SOFR, 0.29% | Annual | 1.62% | Annual | N/A | 03/04/32 | USD | 570 | (24,882 | ) | — | (24,882 | ) | ||||||||||||||||||||
1.71% | Annual | SOFR, 0.29% | Annual | N/A | 03/07/32 | USD | 600 | 21,143 | — | 21,143 | ||||||||||||||||||||||
SOFR, 0.29% | Annual | 1.55% | Annual | N/A | 03/08/32 | USD | 250 | (12,379 | ) | — | (12,379 | ) | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.60% | Annual | N/A | 03/08/32 | USD | 250 | (11,249 | ) | — | (11,249 | ) | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.61% | Annual | N/A | 03/08/32 | USD | 250 | (11,023 | ) | — | (11,023 | ) | ||||||||||||||||||||
SOFR, 0.29% | Annual | 1.59% | Annual | N/A | 03/09/32 | USD | 550 | (25,672 | ) | — | (25,672 | ) | ||||||||||||||||||||
1.67% | Annual | SOFR, 0.29% | Annual | N/A | 03/10/32 | USD | 380 | 14,788 | — | 14,788 | ||||||||||||||||||||||
1.73% | Annual | SOFR, 0.29% | Annual | N/A | 03/11/32 | USD | 530 | 17,708 | — | 17,708 | ||||||||||||||||||||||
1.73% | Annual | SOFR, 0.29% | Annual | N/A | 03/11/32 | USD | 280 | 9,381 | — | 9,381 | ||||||||||||||||||||||
1.76% | Annual | SOFR, 0.29% | Annual | N/A | 03/11/32 | USD | 123 | 3,804 | — | 3,804 | ||||||||||||||||||||||
1.77% | Annual | SOFR, 0.29% | Annual | N/A | 03/11/32 | USD | 122 | 3,718 | — | 3,718 | ||||||||||||||||||||||
1.81% | Annual | SOFR, 0.29% | Annual | N/A | 03/14/32 | USD | 245 | 6,534 | — | 6,534 | ||||||||||||||||||||||
1.81% | Annual | SOFR, 0.29% | Annual | N/A | 03/14/32 | USD | 180 | 4,784 | — | 4,784 | ||||||||||||||||||||||
1.84% | Annual | SOFR, 0.29% | Annual | N/A | 03/14/32 | USD | 245 | 5,870 | — | 5,870 | ||||||||||||||||||||||
1.81% | Annual | SOFR, 0.29% | Annual | N/A | 03/15/32 | USD | 90 | 2,372 | — | 2,372 | ||||||||||||||||||||||
1.83% | Annual | SOFR, 0.29% | Annual | N/A | 03/15/32 | USD | 270 | 6,641 | — | 6,641 | ||||||||||||||||||||||
1.90% | Annual | SOFR, 0.29% | Annual | N/A | 03/16/32 | USD | 760 | 14,203 | — | 14,203 | ||||||||||||||||||||||
1.93% | Annual | SOFR, 0.29% | Annual | N/A | 03/16/32 | USD | 245 | 3,999 | — | 3,999 | ||||||||||||||||||||||
1.97% | Annual | SOFR, 0.29% | Annual | N/A | 03/16/32 | USD | 490 | 5,839 | — | 5,839 | ||||||||||||||||||||||
1.91% | Annual | SOFR, 0.29% | Annual | N/A | 03/17/32 | USD | 170 | 2,972 | — | 2,972 | ||||||||||||||||||||||
2.09% | Annual | SOFR, 0.29% | Annual | N/A | 03/18/32 | USD | 250 | 318 | — | 318 | ||||||||||||||||||||||
SOFR, 0.29% | Annual | 2.01% | Annual | N/A | 03/22/32 | USD | 125 | (1,104 | ) | — | (1,104 | ) | ||||||||||||||||||||
2.05% | Annual | SOFR, 0.29% | Annual | N/A | 03/23/32 | USD | 280 | 1,614 | — | 1,614 | ||||||||||||||||||||||
2.09% | Annual | SOFR, 0.29% | Annual | N/A | 03/23/32 | USD | 245 | 383 | — | 383 | ||||||||||||||||||||||
2.10% | Annual | SOFR, 0.29% | Annual | N/A | 03/23/32 | USD | 245 | 295 | — | 295 | ||||||||||||||||||||||
2.15% | Annual | SOFR, 0.29% | Annual | N/A | 03/23/32 | USD | 245 | (977 | ) | — | (977 | ) | ||||||||||||||||||||
2.18% | Annual | SOFR, 0.29% | Annual | N/A | 03/23/32 | USD | 245 | (1,629 | ) | — | (1,629 | ) | ||||||||||||||||||||
2.23% | Annual | SOFR, 0.29% | Annual | N/A | 03/24/32 | USD | 250 | (2,733 | ) | — | (2,733 | ) | ||||||||||||||||||||
2.15% | Annual | SOFR, 0.29% | Annual | N/A | 03/25/32 | USD | 600 | (2,170 | ) | — | (2,170 | ) | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.21% | Annual | N/A | 03/25/32 | USD | 290 | 2,619 | — | 2,619 | ||||||||||||||||||||||
SOFR, 0.29% | Annual | 2.18% | Annual | N/A | 03/28/32 | USD | 920 | 5,973 | — | 5,973 | ||||||||||||||||||||||
2.30% | Annual | SOFR, 0.29% | Annual | N/A | 03/30/32 | USD | 90 | (1,436 | ) | — | (1,436 | ) | ||||||||||||||||||||
SOFR, 0.29% | Annual | 2.27% | Annual | 06/24/22 | (a) | 06/24/32 | USD | 730 | 7,233 | — | 7,233 | |||||||||||||||||||||
SOFR, 0.29% | Annual | 1.96% | Annual | 08/17/22 | (a) | 08/17/32 | USD | 40 | (737 | ) | — | (737 | ) | |||||||||||||||||||
1.72% | Annual | SOFR, 0.29% | Annual | 02/06/23 | (a) | 02/06/33 | USD | 520 | 21,117 | — | 21,117 | |||||||||||||||||||||
1.75% | Annual | SOFR, 0.29% | Annual | 02/06/23 | (a) | 02/06/33 | USD | 2,780 | 105,999 | — | 105,999 | |||||||||||||||||||||
SOFR, 0.29% | Annual | 2.30% | Annual | 03/28/23 | (a) | 03/28/33 | USD | 520 | 6,000 | — | 6,000 | |||||||||||||||||||||
3-month | Quarterly | 1.67% | Semi-Annual | 08/06/24 | (a) | 08/06/34 | USD | 750 | (43,088 | ) | (28,521 | ) | (14,567 | ) | ||||||||||||||||||
2.08% | Annual | SOFR, 0.29% | Annual | 04/01/25 | (a) | 04/01/35 | USD | 660 | (2,150 | ) | — | (2,150 | ) | |||||||||||||||||||
0.97% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 08/17/40 | USD | 140 | 29,895 | 22,984 | 6,911 | ||||||||||||||||||||||
1.25% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | N/A | 11/05/40 | USD | 50 | 8,454 | 6,052 | 2,402 | ||||||||||||||||||||||
1.83% | Annual | SOFR, 0.29% | Annual | 06/30/22 | (a) | 08/15/47 | USD | 500 | 23,244 | — | 23,244 | |||||||||||||||||||||
SOFR, 0.29% | Annual | 2.05% | Annual | 06/30/22 | (a) | 08/15/47 | USD | 500 | (1,149 | ) | — | (1,149 | ) | |||||||||||||||||||
SOFR, 0.29% | Annual | 2.13% | Annual | 06/30/22 | (a) | 08/15/47 | USD | 490 | 6,336 | — | 6,336 | |||||||||||||||||||||
1.83% | Annual | SOFR, 0.29% | Annual | 06/30/22 | (a) | 11/15/48 | USD | 470 | 20,857 | (2,195 | ) | 23,052 | ||||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.02% | Semi-Annual | N/A | 08/17/50 | USD | 100 | (26,846 | ) | (21,244 | ) | (5,602 | ) | |||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.87% | Semi-Annual | N/A | 02/19/51 | USD | 80 | (6,964 | ) | (1,742 | ) | (5,222 | ) | |||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.91% | Semi-Annual | N/A | 02/22/51 | USD | 40 | (3,180 | ) | (554 | ) | (2,626 | ) | |||||||||||||||||||
3-month LIBOR, 0.96% | Quarterly | 1.90% | Semi-Annual | N/A | 06/11/51 | USD | 170 | (12,912 | ) | (2,349 | ) | (10,563 | ) |
SCHEDULES OF INVESTMENTS | 107 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount |
| Upfront Premium Paid | Unrealized Appreciation | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||
SOFR, 0.29% | Annual | 1.62% | Annual | N/A | 01/06/52 | USD | 100 | $ | (7,930 | ) | $ | (1,097 | ) | $ | (6,833 | ) | ||||||||||||||||
SOFR, 0.29% | Annual | 1.67% | Annual | 04/01/42 | (a) | 04/01/52 | USD | 270 | 15 | — | 15 | |||||||||||||||||||||
1.09% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/20/22 | (a) | 06/20/52 | USD | 115 | 30,187 | 23,999 | 6,188 | |||||||||||||||||||||
1.14% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 06/20/22 | (a) | 06/20/52 | USD | 115 | 29,019 | 22,767 | 6,252 | |||||||||||||||||||||
0.88.% | Semi-Annual | 3-month LIBOR, 0.96% | Quarterly | 07/12/23 | (a) | 07/12/53 | USD | 150 | 44,509 | 38,880 | 5,629 | |||||||||||||||||||||
1.67% | Annual | SOFR, 0.29% | Annual | 01/15/25 | (a) | 01/15/55 | USD | 93 | 4,583 | — | 4,583 | |||||||||||||||||||||
1.69% | Annual | SOFR, 0.29% | Annual | 01/15/27 | (a) | 01/15/57 | USD | 50 | 1,674 | — | 1,674 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 1,356,760 | $ | 24,909 | $ | 1,331,851 | |||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and Options Written
Swaps Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Centrally Cleared Swaps(a) | $ | 1,220,635 | $ | (1,313,556 | ) | $ | 4,222,839 | $ | (2,883,160 | ) | $ | — | ||||||||
Options Written | N/A | N/A | 719,446 | (2,705,501 | ) | (3,785,901 | ) |
(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:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 2,556,025 | $ | — | $ | 2,556,025 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 360 | — | — | 360 | |||||||||||||||||||||
Options purchased | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) | — | — | — | — | 1,181,891 | — | 1,181,891 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) | — | 7,828 | — | — | 4,215,011 | — | 4,222,839 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 7,828 | $ | — | $ | 360 | $ | 7,952,927 | $ | — | $ | 7,961,115 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
108 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 1,848,641 | $ | — | $ | 1,848,641 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 7,318 | — | — | 7,318 | |||||||||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written at value | — | — | — | — | 3,785,901 | — | 3,785,901 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) | — | — | — | — | 2,883,160 | — | 2,883,160 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | 7,318 | $ | 8,517,702 | $ | — | $ | 8,525,020 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Net cumulative unrealized appreciation (depreciation) on futures 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. |
For the year ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,193,111 | $ | — | $ | 1,193,111 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (21,949 | ) | — | — | (21,949 | ) | |||||||||||||||||||
Options purchased(a) | — | — | — | — | 327,624 | — | 327,624 | |||||||||||||||||||||
Options written | — | — | — | — | (122,901 | ) | — | (122,901 | ) | |||||||||||||||||||
Swaps | — | (18,804 | ) | — | — | (442,498 | ) | — | (461,302 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (18,804 | ) | $ | — | $ | (21,949 | ) | $ | 955,336 | $ | — | $ | 914,583 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (502,701 | ) | $ | — | $ | (502,701 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | (16,590 | ) | — | — | (16,590 | ) | |||||||||||||||||||
Options purchased(b) | — | — | — | — | (126,127 | ) | — | (126,127 | ) | |||||||||||||||||||
Options written | — | — | — | — | (332,621 | ) | — | (332,621 | ) | |||||||||||||||||||
Swaps | — | 7,828 | — | — | 346,903 | — | 354,731 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 7,828 | $ | — | $ | (16,590 | ) | $ | (614,546 | ) | $ | — | $ | (623,308 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
SCHEDULES OF INVESTMENTS | 109 |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts | ||||
Average notional value of contracts — long | $ | 154,438,964 | ||
Average notional value of contracts — short | $ | 109,872,126 | ||
Forward foreign currency exchange contracts | ||||
Average amounts purchased — in USD | $ | 381,679 | ||
Average amounts sold — in USD | $ | — | (a) | |
Options | ||||
Average value of option contracts purchased | $ | 36,643 | ||
Average value of option contracts written | $ | 31,131 | ||
Average notional value of swaption contracts purchased | $ | 61,051,366 | ||
Average notional value of swaption contracts written | $ | 202,457,520 | ||
Credit default swaps | ||||
Average notional value — buy protection | $ | 2,485,000 | ||
Interest rate swaps | ||||
Average notional value — pays fixed rate | $ | 74,051,049 | ||
Average notional value — received fixed rate | $ | 117,398,726 |
(a) | Derivative not held at any quarter-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 | $ | 30,392 | $ | 80,997 | ||||
Forward foreign currency exchange contracts | 360 | 7,318 | ||||||
Options(a) | 1,181,891 | 3,785,901 | ||||||
Swaps — centrally cleared | — | 360,087 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 1,212,643 | $ | 4,234,303 | ||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (35,501 | ) | (441,881 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 1,177,142 | $ | 3,792,422 | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments. |
The following tables 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 | Derivatives for Offset(a) | Non- Cash Collateral Received | Cash Collateral Received | Net Amount of | |||||||||||||||
Bank of America N.A | $ | 206,651 | $ | (169,152 | ) | $ | — | $ | — | $ | 37,499 | |||||||||
Barclays Bank PLC | 263,602 | (263,602 | ) | — | — | — | ||||||||||||||
Citibank N.A | 141,032 | (94,988 | ) | — | — | 46,044 | ||||||||||||||
Deutsche Bank AG | 229,428 | (229,428 | ) | — | — | — | ||||||||||||||
Goldman Sachs Bank USA | 269,330 | (269,330 | ) | — | — | — | ||||||||||||||
Royal Bank of Canada | 360 | — | — | — | 360 | |||||||||||||||
Wells Fargo Bank N.A. | 66,739 | (4,278 | ) | — | — | 62,461 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,177,142 | $ | (1,030,778 | ) | $ | — | $ | — | $ | 146,364 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged(c) | Cash Collateral Pledged(c) | Net Amount of Derivative Liabilities(d) | |||||||||||||||
Bank of America N.A | $ | 169,152 | $ | (169,152 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC | 1,069,329 | (263,602 | ) | — | (760,000 | ) | 45,727 | |||||||||||||
Citibank N.A. | 94,988 | (94,988 | ) | — | — | — |
110 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series S Portfolio |
Counterparty | Derivative an MNA by | Derivatives for Offset(a) | Non- Cash Collateral Pledged(c) | Cash Collateral Pledged(c) | Net Amount of Derivative Liabilities(d) | |||||||||||||||
Deutsche Bank AG | $ | 677,180 | $ | (229,428 | ) | $ | (447,752 | ) | $ | — | $ | — | ||||||||
Goldman Sachs Bank USA | 489,425 | (269,330 | ) | — | — | 220,095 | ||||||||||||||
JPMorgan Chase Bank N.A. | 1,288,070 | — | — | (1,288,070 | ) | — | ||||||||||||||
Wells Fargo Bank N.A. | 4,278 | (4,278 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 3,792,422 | $ | (1,030,778 | ) | $ | (447,752 | ) | $ | (2,048,070 | ) | $ | 265,822 | ||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(d) | Net amount represents the net amount payable 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 financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 79,536,710 | $ | — | $ | 79,536,710 | ||||||||
Corporate Bonds | — | 130,977,204 | — | 130,977,204 | ||||||||||||
Foreign Agency Obligations | — | 4,150,850 | — | 4,150,850 | ||||||||||||
Foreign Government Obligations | — | 3,831,658 | — | 3,831,658 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 80,456,017 | 353,249 | 80,809,266 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 46,921,850 | — | 46,921,850 | ||||||||||||
U.S. Treasury Obligations | — | 41,660,513 | — | 41,660,513 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Commercial Paper | — | 1,982,100 | — | 1,982,100 | ||||||||||||
Money Market Funds | 4,027,221 | — | — | 4,027,221 | ||||||||||||
U.S. Treasury Obligations | — | 20,677,662 | — | 20,677,662 | ||||||||||||
Options Purchased | ||||||||||||||||
Interest Rate Contracts | 5,109 | 1,176,782 | — | 1,181,891 | ||||||||||||
Liabilities | ||||||||||||||||
TBA Sale Commitments | — | (3,408,766 | ) | — | (3,408,766 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 4,032,330 | $ | 407,962,580 | $ | 353,249 | $ | 412,348,159 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 7,828 | $ | — | $ | 7,828 | ||||||||
Foreign Currency Exchange Contracts | — | 360 | — | 360 | ||||||||||||
Interest Rate Contracts | 2,556,025 | 4,215,011 | — | 6,771,036 | ||||||||||||
Liabilities | ||||||||||||||||
Foreign Currency Exchange Contracts | — | (7,318 | ) | — | (7,318 | ) | ||||||||||
Interest Rate Contracts | (1,849,438 | ) | (6,668,264 | ) | — | (8,517,702 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 706,587 | $ | (2,452,383 | ) | $ | — | $ | (1,745,796 | ) | |||||||
|
|
|
|
|
|
|
|
(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. |
See notes to financial statements.
SCHEDULES OF INVESTMENTS | 111 |
Schedule of Investments March 31, 2022 | BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Municipal Bonds | ||||||||
Alaska — 1.0% | ||||||||
Alaska Housing Finance Corp., Refunding RB, Series A, VRDN, 0.51%, 04/07/22(a) | USD | 100 | $ | 100,000 | ||||
|
| |||||||
Arizona — 1.5% | ||||||||
City of Avondale, RB, 5.00%, 07/01/22 | 150 | 151,437 | ||||||
|
| |||||||
California — 4.5% | ||||||||
California Statewide Communities Development Authority, Refunding RB, Series A, 4.00%, 06/01/22 | 200 | 200,966 | ||||||
Los Angeles County Sanitation Districts Financing Authority, RB, Series A, 5.00%, 10/01/22 | 250 | 254,771 | ||||||
|
| |||||||
455,737 | ||||||||
Connecticut — 1.0% | ||||||||
Connecticut Housing Finance Authority, Refunding RB, Sub- Series C-3, VRDN, 0.50%, 04/07/22(a) | 100 | 100,000 | ||||||
|
| |||||||
Florida — 5.9% | ||||||||
City of Gainesville Utilities System Revenue, Refunding RB, Series A, VRDN, 0.51%, 04/07/22(a) | 100 | 100,000 | ||||||
County of St. Lucie, Refunding RB, VRDN, 0.35%, 04/01/22(a) | 100 | 100,000 | ||||||
Orlando Utilities Commission, RB, Series 2, VRDN, 0.48%, 04/07/22(a) | 400 | 400,000 | ||||||
|
| |||||||
600,000 | ||||||||
Illinois — 6.4% | ||||||||
City of Aurora, Refunding RB, VRDN, 0.52%, 04/07/22(a) | 100 | 100,000 | ||||||
County of Cook, GO, Refunding, Series B, 4.00%, 11/15/22 | 200 | 203,162 | ||||||
Illinois Finance Authority, Refunding RB, Sub-Series C3A, VRDN, 0.51%, 04/07/22(a) | 350 | 350,000 | ||||||
|
| |||||||
653,162 | ||||||||
Louisiana — 1.0% | ||||||||
Louisiana Public Facilities Authority, Refunding RB, VRDN, 0.53%, 04/07/22(a) | 100 | 100,000 | ||||||
|
| |||||||
Maryland — 1.5% | ||||||||
Maryland EDC, RB, Series A, VRDN, 0.48%, 04/07/22(a) | 150 | 150,000 | ||||||
|
| |||||||
Massachusetts — 2.9% | ||||||||
Massachusetts Health & Educational Facilities Authority, RB, VRDN, 0.50%, 04/07/22(a) | 200 | 200,000 | ||||||
Massachusetts Water Resources Authority, Refunding RB, Series A-3, VRDN, 0.47%, 04/07/22(a) | 100 | 100,000 | ||||||
|
| |||||||
300,000 | ||||||||
Michigan — 1.9% | ||||||||
Board of Trustees Michigan University, TECP, 0.38%, 04/05/22 | 200 | 199,996 | ||||||
|
| |||||||
Mississippi — 2.0% | ||||||||
Mississippi Business Finance Corp., RB, Series C, VRDN, 0.37%, 04/01/22(a) | 200 | 200,000 | ||||||
|
| |||||||
Missouri — 3.4% | ||||||||
City of Kansas City, Refunding RB, Series E, VRDN, 0.49%, 04/07/22(a) | 350 | 350,000 | ||||||
|
| |||||||
Nebraska — 3.2% | ||||||||
Nebraska Investment Finance Authority, RB, Series C, VRDN, (GNMA/FNMA/FHLMC), 0.45%, 04/07/22(a) | 125 | 125,000 | ||||||
Omaha Public Power District | ||||||||
TECP, 0.14%, 05/04/22 | 100 | 99,948 | ||||||
TECP, 0.42%, 06/06/22 | 100 | 99,923 | ||||||
|
| |||||||
324,871 |
Security | Par (000) | Value | ||||||
Nevada — 2.0% | ||||||||
County of Clark Department of Aviation | ||||||||
Refunding RB, Series D-2B, VRDN, 0.51%, 04/07/22(a) | USD | 100 | $ | 100,000 | ||||
Refunding RB, Series D-3, VRDN, 0.47%, 04/07/22(a) | 100 | 100,000 | ||||||
|
| |||||||
200,000 | ||||||||
New Jersey — 1.0% | ||||||||
County of Middlesex, GO, Refunding, BAN, 2.00%, 06/01/22 | 100 | 100,154 | ||||||
|
| |||||||
New York — 21.6% | ||||||||
City of New York, GO, Sub-Series I-3, VRDN, 0.47%, 04/07/22(a) | 100 | 100,000 | ||||||
Metropolitan Transportation Authority, RB, Sub-Series E-1, VRDN, 0.43%, 04/01/22(a) | 300 | 300,000 | ||||||
New York City Housing Development Corp., RB, Series I, VRDN, 0.48%, 04/07/22(a) | 100 | 100,000 | ||||||
New York City Municipal Water Finance Authority, Refunding RB, Sub-Series A-2, VRDN, 0.36%, 04/01/22(a) | 200 | 200,000 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, VRDN, 0.43%, 04/01/22(a) | 200 | 200,000 | ||||||
New York State HFA, RB, VRDN, 0.50%, 04/07/22(a) | 300 | 300,000 | ||||||
New York State Power Authority Revenue | ||||||||
TECP, 0.15%, 04/13/22 | 100 | 99,987 | ||||||
TECP, 0.19%, 06/14/22 | 200 | 199,742 | ||||||
Port Authority of New York and New Jersey | ||||||||
TECP, 0.16%, 04/13/22 | 100 | 99,985 | ||||||
TECP, 0.55%, 05/11/22 | 200 | 199,948 | ||||||
State of New York Mortgage Agency, Refunding RB, Series 2, VRDN, 0.55%, 04/07/22(a) | 400 | 400,000 | ||||||
|
| |||||||
2,199,662 | ||||||||
North Carolina — 1.0% | ||||||||
University of North Carolina at Chapel Hill, Refunding RB, Series A, VRDN, 0.36%, 04/01/22(a) | 100 | 100,000 | ||||||
|
| |||||||
North Dakota — 1.0% | ||||||||
North Dakota HFA, RB, VRDN, 0.50%, 04/07/22(a) | 100 | 100,000 | ||||||
|
| |||||||
Ohio — 2.9% | ||||||||
Akron Bath Copley Joint Township Hospital District, RB, Series A-R, VRDN, 0.52%, 04/07/22(a) | 200 | 200,000 | ||||||
County of Franklin, RB, Series D, VRDN, 0.49%, 04/07/22(a) | 100 | 100,000 | ||||||
|
| |||||||
300,000 | ||||||||
Pennsylvania — 3.2% | ||||||||
General Authority of Southcentral Pennsylvania, Refunding RB, VRDN, 0.55%, 04/01/22(a) | 200 | 200,000 | ||||||
Owen J. Roberts School District, GO, Refunding, (State Aid Withholding), 4.00%, 09/01/22 | 125 | 126,466 | ||||||
|
| |||||||
326,466 | ||||||||
South Carolina — 2.0% | ||||||||
Charleston Public Facilities Corp., RB, 5.00%, 09/01/22 | 200 | 203,283 | ||||||
|
| |||||||
Tennessee — 1.9% | ||||||||
Metropolitan Government Nashville & Davidson County, TECP, 0.75%, 06/02/22 | 200 | 199,979 | ||||||
|
| |||||||
Texas — 19.7% | ||||||||
City of Austin Water & Wastewater System Revenue, Refunding RB, VRDN, 0.53%, 04/07/22(a) | 300 | 300,000 | ||||||
City of Houston Combined Utility System Revenue, Refunding RB, VRDN, 0.53%, 04/07/22(a) | 200 | 200,000 | ||||||
Dallas ISD, GO, (GTD-PSF), 5.00%, 02/15/23 | 200 | 206,004 | ||||||
Fort Bend ISD | ||||||||
TECP, 0.55%, 05/27/22 | 100 | 99,963 | ||||||
TECP, 0.60%, 05/27/22 | 200 | 199,931 | ||||||
Garland, TECP, 0.13%, 04/05/22 | 200 | 199,989 |
112 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2022 | BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Texas (continued) | ||||||||
Lower Colorado River Authority, TECP, 0.63%, 04/28/22 | USD | 200 | $ | 199,995 | ||||
State of Texas | ||||||||
GO, Series A, VRDN, 0.52%, 04/07/22(a) | 100 | 100,000 | ||||||
GO, VRDN, 0.52%, 04/07/22(a) | 200 | 200,000 | ||||||
GO, VRDN, 0.54%, 04/07/22(a) | 100 | 100,000 | ||||||
Texas A&M University Revenue Financing, TECP, 0.14%, 06/02/22 | 200 | 199,779 | ||||||
|
| |||||||
2,005,661 | ||||||||
Virginia — 4.1% | ||||||||
Fairfax County IDA, Refunding RB, VRDN, 0.51%, 04/07/22(a) | 120 | 120,000 | ||||||
Loudoun County EDA, RB, Series F, VRDN, 0.48%, 04/07/22(a) | 300 | 300,000 | ||||||
|
| |||||||
420,000 |
Security | Par (000) | Value | ||||||
Washington — 1.9% | ||||||||
County of King | ||||||||
TECP, 0.45%, 06/09/22 | USD | 100 | $ | 99,931 | ||||
TECP, 0.90%, 06/22/22 | 100 | 99,995 | ||||||
|
| |||||||
199,926 | ||||||||
Wisconsin — 2.9% | ||||||||
Wisconsin Housing & EDA, RB, Series D, VRDN, (FNMA COL), 0.50%, 04/07/22(a) | 300 | 300,000 | ||||||
|
| |||||||
Total Investments — 101.4% | 10,340,334 | |||||||
Liabilities in Excess of Other Assets — (1.4)% | (139,173 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 10,201,161 | ||||||
|
|
(a) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Short-Term Securities | ||||||||||||||||
Municipal Bonds | $ | — | $ | 10,340,334 | $ | — | $ | 10,340,334 | ||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
SCHEDULES OF INVESTMENTS | 113 |
Statements of Assets and Liabilities
March 31, 2022
BATS: Series A Portfolio | BATS: Series C Portfolio | BATS: Series E Portfolio | ||||||||||
ASSETS | ||||||||||||
Investments at value — unaffiliated(a) | $ | 2,641,445,316 | $ | 474,545,308 | $ | 404,609,853 | ||||||
Cash | — | — | 33,406 | |||||||||
Cash pledged: | ||||||||||||
Collateral — OTC derivatives | 490,000 | — | — | |||||||||
Futures contracts | — | 524,710 | 636,000 | |||||||||
Receivables: | ||||||||||||
Investments sold | — | 1,026,099 | — | |||||||||
TBA sale commitments | 25,945,213 | — | — | |||||||||
Capital shares sold | 338,044 | 412,706 | 181,727 | |||||||||
Dividends — unaffiliated | 9,632 | 103 | 1,498 | |||||||||
Interest — unaffiliated | 6,294,615 | 4,151,227 | 4,770,916 | |||||||||
From the Manager | 39,661 | 40,504 | 27,021 | |||||||||
Principal paydowns | 7,190 | — | — | |||||||||
Variation margin on futures contracts | — | 83,684 | 1,095 | |||||||||
Swap premiums paid | 91,544 | — | — | |||||||||
Unrealized appreciation on OTC swaps | 243,507 | — | — | |||||||||
Prepaid expenses | 32,080 | 21,431 | 19,749 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 2,674,936,802 | 480,805,772 | 410,281,265 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Cash received as collateral for TBA commitments | 720,000 | — | — | |||||||||
TBA sale commitments at value(e) | 25,372,099 | — | — | |||||||||
Payables: | ||||||||||||
Investments purchased | 7,089,608 | 2,293,773 | 3,517,402 | |||||||||
Capital shares redeemed | 275,469 | 636,428 | 512,425 | |||||||||
Income dividend distributions | 5,592,917 | 1,189,785 | 1,351,102 | |||||||||
Interest expense and fees | — | — | 40,994 | |||||||||
Trustees’ and Officer’s fees | 3,462 | 2,719 | 1,883 | |||||||||
Other accrued expenses | 200,456 | 147,727 | 82,929 | |||||||||
Professional fees | 59,433 | 56,539 | 54,752 | |||||||||
Variation margin on futures contracts | — | 557 | 90,110 | |||||||||
Swap premiums received | 557,072 | — | — | |||||||||
Unrealized depreciation on: | ||||||||||||
OTC swaps | 49,113 | — | — | |||||||||
Unfunded floating rate loan interests | 8,105 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total accrued liabilities | 39,927,734 | 4,327,528 | 5,651,597 | |||||||||
|
|
|
|
|
| |||||||
Other Liabilities | ||||||||||||
TOB Trust Certificates | — | — | 22,111,000 | |||||||||
|
|
|
|
|
| |||||||
Total other liabilities | — | — | 22,111,000 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 39,927,734 | 4,327,528 | 27,762,597 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 2,635,009,068 | $ | 476,478,244 | $ | 382,518,668 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF | ||||||||||||
Paid-in capital | $ | 2,740,022,265 | $ | 503,272,215 | $ | 374,697,145 | ||||||
Accumulated earnings (loss) | (105,013,197 | ) | (26,793,971 | ) | 7,821,523 | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 2,635,009,068 | $ | 476,478,244 | $ | 382,518,668 | ||||||
|
|
|
|
|
|
114 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Assets and Liabilities (continued)
March 31, 2022
BATS: Series A Portfolio | BATS: Series C Portfolio | BATS: Series E Portfolio | ||||||||||
NET ASSET VALUE | ||||||||||||
Shares outstanding | $ | 272,598,302 | $ | 48,418,074 | $ | 34,343,351 | ||||||
|
|
|
|
|
| |||||||
Net asset value | $ | 9.67 | $ | 9.84 | $ | 11.14 | ||||||
|
|
|
|
|
| |||||||
Shares authorized | Unlimited | Unlimited | Unlimited | |||||||||
|
|
|
|
|
| |||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||
|
|
|
|
|
| |||||||
(a) Investments, at cost — unaffiliated | $ | 2,742,388,044 | $ | 498,244,599 | $ | 402,106,133 | ||||||
(e) Proceeds from TBA sale commitments | $ | 25,945,213 | $ | — | $ | — |
See notes to financial statements.
FINANCIAL STATEMENTS | 115 |
Statements of Assets and Liabilities (continued)
March 31, 2022
BATS: Series M Portfolio | BATS: Series P Portfolio | BATS: Series S Portfolio | ||||||||||
ASSETS | ||||||||||||
Investments at value — unaffiliated(a) | $ | 2,332,906,810 | $ | — | $ | 415,756,925 | ||||||
Investments at value — affiliated(b) | — | 11,725,920 | — | |||||||||
Cash | — | 42,187,788 | 1,374,261 | |||||||||
Cash pledged: | ||||||||||||
Collateral — OTC derivatives | 2,070,000 | — | 2,260,000 | |||||||||
Collateral — TBA commitments | 5,617,000 | — | — | |||||||||
Futures contracts | 1,743,000 | 965,190 | 1,385,925 | |||||||||
Centrally cleared swaps | 428,773 | 10,000 | 1,789,000 | |||||||||
Foreign currency, at value(c) | — | — | 388,517 | |||||||||
Receivables: | ||||||||||||
Investments sold | 1,541,174 | — | 502,150 | |||||||||
Options written | — | — | 412,330 | |||||||||
TBA sale commitments | 604,838,717 | — | 3,407,200 | |||||||||
Capital shares sold | 1,869,313 | 12,879 | 2,407,781 | |||||||||
Dividends — affiliated | — | 20,380 | — | |||||||||
Dividends — unaffiliated | 396 | — | 487 | |||||||||
Interest — unaffiliated | 3,589,530 | — | 1,442,575 | |||||||||
From the Manager | 57,401 | 12,448 | 29,610 | |||||||||
Principal paydowns | — | — | 4,606 | |||||||||
Variation margin on futures contracts | 23,931 | 1,078 | 30,392 | |||||||||
Swap premiums paid | 379,761 | — | — | |||||||||
Unrealized appreciation on: | ||||||||||||
Forward foreign currency exchange contracts | — | — | 360 | |||||||||
OTC swaps | 620,779 | — | — | |||||||||
Prepaid expenses | 28,725 | 16,236 | 19,910 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 2,955,715,310 | 54,951,919 | 431,212,029 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Options written at value(d) | — | — | 3,785,901 | |||||||||
TBA sale commitments at value(e) | 600,907,712 | — | 3,408,766 | |||||||||
Payables: | ||||||||||||
Investments purchased | 1,222,180,066 | — | 13,343,701 | |||||||||
Capital shares redeemed | 1,063,657 | 183,591 | 240,294 | |||||||||
Income dividend distributions | 1,939,085 | — | 604,900 | |||||||||
Trustees’ and Officer’s fees | 5,025 | 524 | 1,591 | |||||||||
Options written | — | — | 883,559 | |||||||||
Other accrued expenses | 264,285 | 34,285 | 165,708 | |||||||||
Professional fees | 50,607 | 40,335 | 56,642 | |||||||||
Variation margin on futures contracts | 90,589 | 120,445 | 80,997 | |||||||||
Variation margin on centrally cleared swaps | 150,616 | 1,262 | 360,087 | |||||||||
Swap premiums received | 1,922,590 | — | — | |||||||||
Unrealized depreciation on: | ||||||||||||
Forward foreign currency exchange contracts | — | — | 7,318 | |||||||||
OTC swaps | 945,705 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,829,519,937 | 380,442 | 22,939,464 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,126,195,373 | $ | 54,571,477 | $ | 408,272,565 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF | ||||||||||||
Paid-in capital | $ | 1,216,025,912 | $ | 85,761,264 | $ | 428,903,960 | ||||||
Accumulated loss | (89,830,539 | ) | (31,189,787 | ) | (20,631,395 | ) | ||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,126,195,373 | $ | 54,571,477 | $ | 408,272,565 | ||||||
|
|
|
|
|
|
116 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Assets and Liabilities (continued)
March 31, 2022
BATS: Series M Portfolio | BATS: Series P Portfolio | BATS: Series S Portfolio | ||||||||||
NET ASSET VALUE | ||||||||||||
Shares outstanding | 123,586,992 | 6,098,689 | 44,001,040 | |||||||||
|
|
|
|
|
| |||||||
Net asset value | $ | 9.11 | $ | 8.95 | $ | 9.28 | ||||||
|
|
|
|
|
| |||||||
Shares authorized | Unlimited | Unlimited | Unlimited | |||||||||
|
|
|
|
|
| |||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||
|
|
|
|
|
| |||||||
(a) Investments, at cost — unaffiliated | $ | 2,393,368,587 | $ | — | $ | 429,257,800 | ||||||
(b) Investments, at cost — affiliated | $ | — | $ | 12,137,299 | $ | — | ||||||
(c) Foreign currency at cost | $ | — | $ | — | $ | 388,065 | ||||||
(d) Premiums received | $ | — | $ | — | $ | 1,799,846 | ||||||
(e) Proceeds from TBA sale commitments | $ | 604,838,717 | $ | — | $ | 3,407,200 |
See notes to financial statements.
FINANCIAL STATEMENTS | 117 |
Statements of Assets and Liabilities (continued)
March 31, 2022
BATS: Series V Portfolio | ||||
ASSETS | ||||
Investments at value — unaffiliated(a) | $ | 10,340,334 | ||
Cash | 78,295 | |||
Receivables: | ||||
Interest — unaffiliated | 15,502 | |||
From the Manager | 52,666 | |||
Deferred offering costs | 5,588 | |||
Prepaid expenses | 18,341 | |||
|
| |||
Total assets | 10,510,726 | |||
|
| |||
LIABILITIES | ||||
Payables: | ||||
Investments purchased | 254,918 | |||
Income dividend distributions | 2,713 | |||
Other accrued expenses | 23,423 | |||
Professional fees | 28,511 | |||
|
| |||
Total liabilities | 309,565 | |||
|
| |||
NET ASSETS | $ | 10,201,161 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Paid-in capital | $ | 10,207,573 | ||
Accumulated loss | (6,412 | ) | ||
|
| |||
NET ASSETS | $ | 10,201,161 | ||
|
| |||
NET ASSET VALUE | ||||
Shares outstanding | $ | 1,020,758 | ||
|
| |||
Net asset value | $ | 9.99 | ||
|
| |||
Shares authorized | Unlimited | |||
|
| |||
Par value | $ | 0.001 | ||
|
| |||
(a) Investments, at cost — unaffiliated | $ | 10,346,746 |
See notes to financial statements.
118 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Year Ended March 31, 2022
BATS: Series A Portfolio | BATS: Series C Portfolio | BATS: Series E Portfolio | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends — unaffiliated | $ | 26,013 | $ | 528 | $ | 2,886 | ||||||
Interest — unaffiliated | 57,507,444 | 14,097,738 | 16,157,842 | |||||||||
Other income | 223 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 57,533,680 | 14,098,266 | 16,160,728 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES | ||||||||||||
Accounting services | 145,432 | 63,581 | 57,554 | |||||||||
Professional | 69,183 | 61,493 | 102,151 | |||||||||
Pricing | 51,624 | 61,862 | 67,329 | |||||||||
Registration | 36,344 | 114,874 | 42,127 | |||||||||
Trustees and Officer | 32,108 | 10,960 | 8,697 | |||||||||
Custodian | 29,496 | 35,452 | 6,111 | |||||||||
Transfer agent | 17,057 | 136,085 | 27,233 | |||||||||
Proxy | — | 43,210 | — | |||||||||
Miscellaneous | 47,236 | 21,274 | 27,017 | |||||||||
|
|
|
|
|
| |||||||
Total expenses excluding interest expense | 428,480 | 548,791 | 338,219 | |||||||||
Interest expense and fees(a) | — | — | 142,343 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 428,480 | 548,791 | 480,562 | |||||||||
Less: | ||||||||||||
Fees waived and/or reimbursed by the Manager | (426,079 | ) | (503,741 | ) | (338,139 | ) | ||||||
|
|
|
|
|
| |||||||
Total expenses after fees waived and/or reimbursed | 2,401 | 45,050 | 142,423 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 57,531,279 | 14,053,216 | 16,018,305 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments — unaffiliated | 862,550 | 3,116,425 | 8,587,898 | |||||||||
Futures contracts | — | (161,625 | ) | 1,019,065 | ||||||||
Swaps | 186,838 | (2,021 | ) | — | ||||||||
|
|
|
|
|
| |||||||
1,049,388 | 2,952,779 | 9,606,963 | ||||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments — unaffiliated | (92,190,767 | ) | (35,086,586 | ) | (29,592,803 | ) | ||||||
Futures contracts | — | (199,098 | ) | 198,018 | ||||||||
Swaps | 143,681 | (5,631 | ) | — | ||||||||
Unfunded floating rate loan interests | (8,899 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
(92,055,985 | ) | (35,291,315 | ) | (29,394,785 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized loss | (91,006,597 | ) | (32,338,536 | ) | (19,787,822 | ) | ||||||
|
|
|
|
|
| |||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (33,475,318 | ) | $ | (18,285,320 | ) | $ | (3,769,517 | ) | |||
|
|
|
|
|
|
(a) | Related to TOB Trusts. |
See notes to financial statements.
FINANCIAL STATEMENTS | 119 |
Statements of Operations (continued)
Year Ended March 31, 2022
BATS: Series M Portfolio | BATS: Series P Portfolio | BATS: Series S Portfolio | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends — unaffiliated | $ | 1,059 | $ | — | $ | 999 | ||||||
Dividends — affiliated | — | 231,396 | — | |||||||||
Interest — unaffiliated | 13,869,089 | — | 5,516,632 | |||||||||
Other income | — | 3,665 | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 13,870,148 | 235,061 | 5,517,631 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES | ||||||||||||
Registration | 215,183 | 30,734 | 141,807 | |||||||||
Transfer agent | 134,486 | 18,355 | 48,770 | |||||||||
Accounting services | 98,516 | 36,110 | 55,790 | |||||||||
Custodian | 80,241 | 2,663 | 16,203 | |||||||||
Professional | 61,113 | 43,969 | 59,760 | |||||||||
Pricing | 57,312 | 88 | 31,140 | |||||||||
Proxy | 45,132 | — | 34,346 | |||||||||
Trustees and Officer | 21,867 | 2,772 | 8,074 | |||||||||
Miscellaneous | 36,757 | 13,892 | 48,002 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 750,607 | 148,583 | 443,892 | |||||||||
Less: | ||||||||||||
Fees waived and/or reimbursed by the Manager | (703,943 | ) | (148,558 | ) | (409,046 | ) | ||||||
|
|
|
|
|
| |||||||
Total expenses after fees waived and/or reimbursed | 46,664 | 25 | 34,846 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 13,823,484 | 235,036 | 5,482,785 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments — unaffiliated | (27,448,853 | ) | — | (546,588 | ) | |||||||
Investments — affiliated | — | (28,931 | ) | — | ||||||||
Options written | 774,626 | — | (122,901 | ) | ||||||||
Futures contracts | 3,559,055 | 1,475,395 | 1,193,111 | |||||||||
Forward foreign currency exchange contracts | — | — | (21,949 | ) | ||||||||
Foreign currency transactions | — | — | (11,824 | ) | ||||||||
Swaps | 358,204 | (5,013,456 | ) | (461,302 | ) | |||||||
|
|
|
|
|
| |||||||
(22,756,968 | ) | (3,566,992 | ) | 28,547 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments — unaffiliated | (55,521,468 | ) | — | (15,929,194 | ) | |||||||
Investments — affiliated | — | (564,635 | ) | — | ||||||||
Options written | (20,148 | ) | — | (332,621 | ) | |||||||
Futures contracts | 2,000,277 | 1,597,810 | (502,701 | ) | ||||||||
Forward foreign currency exchange contracts | — | — | (16,590 | ) | ||||||||
Foreign currency translations | — | (24 | ) | (12,074 | ) | |||||||
Swaps | 489,768 | 3,920,219 | 354,731 | |||||||||
|
|
|
|
|
| |||||||
(53,051,571 | ) | 4,953,370 | (16,438,449 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | (75,808,539 | ) | 1,386,378 | (16,409,902 | ) | |||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (61,985,055 | ) | $ | 1,621,414 | $ | (10,927,117 | ) | ||||
|
|
|
|
|
|
See notes to financial statements.
120 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Operations (continued)
Period Ended March 31, 2022
BATS: Series V Portfolio(a) | ||||
INVESTMENT INCOME | ||||
Interest — unaffiliated | $ | 6,006 | ||
Other income | 52 | |||
|
| |||
Total investment income | 6,058 | |||
|
| |||
EXPENSES | ||||
Organization and offering | 98,496 | |||
Professional | 46,152 | |||
Accounting services | 33,236 | |||
Transfer agent | 15,090 | |||
Registration | 2,541 | |||
Pricing | 2,352 | |||
Trustees and Officer | 1,533 | |||
Custodian | 1,500 | |||
Miscellaneous | 4,943 | |||
|
| |||
Total expenses | 205,843 | |||
Less: | ||||
Fees waived and/or reimbursed by the Manager | (205,843 | ) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | — | |||
|
| |||
Net investment income | 6,058 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from investments | — | |||
Net change in unrealized appreciation (depreciation) on investments | (6,412 | ) | ||
|
| |||
Net realized and unrealized loss | (6,412 | ) | ||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (354 | ) | |
|
|
(a) | The Fund commenced operations on May 5, 2021. |
See notes to financial statements.
FINANCIAL STATEMENTS | 121 |
Statements of Changes in Net Assets
BATS: Series A Portfolio | BATS: Series C Portfolio | |||||||||||||||||||
Year Ended March 31, | Year Ended March 31, | |||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 57,531,279 | $ | 40,789,661 | $ | 14,053,216 | $ | 14,948,398 | ||||||||||||
Net realized gain (loss) | 1,049,388 | (783,664 | ) | 2,952,779 | 14,503,919 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (92,055,985 | ) | 108,808,046 | (35,291,315 | ) | 11,203,803 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (33,475,318 | ) | 148,814,043 | (18,285,320 | ) | 40,656,120 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders | (58,245,586 | ) | (40,128,829 | ) | (23,188,564 | ) | (32,056,095 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions | 1,185,576,541 | 396,792,718 | (16,974,059 | ) | 62,059,277 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase (decrease) in net assets | 1,093,855,637 | 505,477,932 | (58,447,943 | ) | 70,659,302 | |||||||||||||||
Beginning of year | 1,541,153,431 | 1,035,675,499 | 534,926,187 | 464,266,885 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 2,635,009,068 | $ | 1,541,153,431 | $ | 476,478,244 | $ | 534,926,187 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
122 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
BATS: Series E Portfolio | BATS: Series M Portfolio | |||||||||||||||||||
Year Ended March 31, | Year Ended March 31, | |||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 16,018,305 | $ | 13,730,844 | $ | 13,823,484 | $ | 24,438,343 | ||||||||||||
Net realized gain (loss) | 9,606,963 | 1,080,504 | (22,756,968 | ) | 28,234,959 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (29,394,785 | ) | 34,899,084 | (53,051,571 | ) | (26,073,680 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,769,517 | ) | 49,710,432 | (61,985,055 | ) | 26,599,622 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders | (17,907,969 | ) | (13,607,770 | ) | (23,422,463 | ) | (35,084,303 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Net increase in net assets derived from capital share transactions | 3,581,504 | 51,229,978 | 14,436,016 | 198,873,987 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase (decrease) in net assets | (18,095,982 | ) | 87,332,640 | (70,971,502 | ) | 190,389,306 | ||||||||||||||
Beginning of year | 400,614,650 | 313,282,010 | 1,197,166,875 | 1,006,777,569 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 382,518,668 | $ | 400,614,650 | $ | 1,126,195,373 | $ | 1,197,166,875 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
FINANCIAL STATEMENTS | 123 |
Statements of Changes in Net Assets (continued)
BATS: Series P Portfolio | BATS: Series S Portfolio | |||||||||||||||||||
Year Ended March 31, | Year Ended March 31, | |||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 235,036 | $ | 246,326 | $ | 5,482,785 | $ | 5,829,319 | ||||||||||||
Net realized gain (loss) | (3,566,992 | ) | (3,108,870 | ) | 28,547 | 4,096,233 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 4,953,370 | 6,618,363 | (16,438,449 | ) | 6,512,758 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,621,414 | 3,755,819 | (10,927,117 | ) | 16,438,310 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders | — | — | (6,382,365 | ) | (6,345,846 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions | (224,900 | ) | 8,113,981 | 26,676,083 | 242,511,087 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase in net assets | 1,396,514 | 11,869,800 | 9,366,601 | 252,603,551 | ||||||||||||||||
Beginning of year | 53,174,963 | 41,305,163 | 398,905,964 | 146,302,413 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 54,571,477 | $ | 53,174,963 | $ | 408,272,565 | $ | 398,905,964 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
124 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
BATS: Series V Portfolio | ||||
Period from 05/05/21(a) to 03/31/22 | ||||
INCREASE (DECREASE) IN NET ASSETS | ||||
OPERATIONS | ||||
Net investment income | $ | 6,058 | ||
Net change in unrealized appreciation (depreciation) | (6,412 | ) | ||
|
| |||
Net decrease in net assets resulting from operations | (354 | ) | ||
|
| |||
DISTRIBUTIONS TO SHAREHOLDERS(b) | ||||
Decrease in net assets resulting from distributions to shareholders | (6,058 | ) | ||
|
| |||
CAPITAL SHARE TRANSACTIONS | ||||
Net increase in net assets derived from capital share transactions | 10,207,573 | |||
|
| |||
NET ASSETS | ||||
Total increase in net assets | 10,201,161 | |||
|
| |||
Beginning of period | — | |||
|
| |||
End of period | $ | 10,201,161 | ||
|
|
(a) | Commencement of operations. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
F I NANCIAL STATEMENTS | 125 |
(For a share outstanding throughout each period)
BATS: Series A Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.99 | $ | 9.05 | $ | 9.99 | $ | 10.14 | $ | 10.14 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.26 | 0.31 | 0.45 | 0.53 | 0.58 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 0.94 | (0.94 | ) | (0.11 | ) | (0.03 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from investment operations | (0.05 | ) | 1.25 | (0.49 | ) | 0.42 | 0.55 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions(b) | ||||||||||||||||||||
From net investment income | (0.27 | ) | (0.31 | ) | (0.45 | ) | (0.52 | ) | (0.49 | ) | ||||||||||
From net realized gain | — | — | — | (0.05 | ) | (0.06 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.27 | ) | (0.31 | ) | (0.45 | ) | (0.57 | ) | (0.55 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 9.67 | $ | 9.99 | $ | 9.05 | $ | 9.99 | $ | 10.14 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(c) | ||||||||||||||||||||
Based on net asset value | (0.59 | )% | 13.95 | % | (5.22 | )% | 4.31 | % | 5.55 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets(d) | ||||||||||||||||||||
Total expenses | 0.02 | % | 0.04 | % | 0.05 | % | 0.04 | % | 0.12 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 2.64 | % | 3.20 | % | 4.45 | % | 5.26 | % | 5.65 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 2,635,009 | $ | 1,541,153 | $ | 1,035,675 | $ | 977,286 | $ | 571,583 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover rate | 45 | %(f) | 26 | % | 48 | % | 43 | % | 45 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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 fees and expenses incurred indirectly as a result of investments in underlying funds. |
(e) | Amount is less than 0.005%. |
(f) | Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 34%. |
See notes to financial statements.
126 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BATS: Series C Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of year | $ | 10.69 | $ | 10.49 | $ | 10.28 | $ | 10.18 | $ | 10.31 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.28 | 0.33 | 0.38 | 0.39 | 0.37 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.66 | ) | 0.60 | 0.27 | 0.10 | (0.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from investment operations | (0.38 | ) | 0.93 | 0.65 | 0.49 | 0.29 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions(b) | ||||||||||||||||||||
From net investment income | (0.29 | ) | (0.33 | ) | (0.38 | ) | (0.39 | ) | (0.37 | ) | ||||||||||
From net realized gain | (0.18 | ) | (0.40 | ) | (0.06 | ) | (0.00 | )(c) | (0.05 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.47 | ) | (0.73 | ) | (0.44 | ) | (0.39 | ) | (0.42 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 9.84 | $ | 10.69 | $ | 10.49 | $ | 10.28 | $ | 10.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(d) | ||||||||||||||||||||
Based on net asset value | (3.88 | )% | 8.70 | % | 6.31 | % | 5.05 | % | 2.82 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets(e) | ||||||||||||||||||||
Total expenses | 0.10 | % | 0.09 | % | 0.09 | % | 0.09 | % | 0.11 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.01 | % | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 2.59 | % | 2.96 | % | 3.55 | % | 3.91 | % | 3.55 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 476,478 | $ | 534,926 | $ | 464,267 | $ | 372,928 | $ | 388,674 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover rate | 42 | % | 85 | % | 83 | % | 55 | % | 31 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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 fees and expenses incurred indirectly as a result of investments in underlying funds. |
(f) | Amount is less than 0.005%. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 127 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BATS: Series E Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of year | $ | 11.75 | $ | 10.53 | $ | 10.91 | $ | 10.78 | $ | 10.49 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.46 | 0.45 | 0.43 | 0.47 | 0.45 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.56 | ) | 1.22 | (0.37 | ) | 0.21 | 0.30 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from investment operations | (0.10 | ) | 1.67 | 0.06 | 0.68 | 0.75 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions(b) | ||||||||||||||||||||
From net investment income | (0.45 | ) | (0.45 | ) | (0.44 | ) | (0.47 | ) | (0.45 | ) | ||||||||||
From net realized gain | (0.06 | ) | — | — | (0.08 | ) | (0.01 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.51 | ) | (0.45 | ) | (0.44 | ) | (0.55 | ) | (0.46 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 11.14 | $ | 11.75 | $ | 10.53 | $ | 10.91 | $ | 10.78 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(c) | ||||||||||||||||||||
Based on net asset value | (1.07 | )% | 16.16 | % | 0.33 | % | 6.44 | % | 7.22 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets(d) | ||||||||||||||||||||
Total expenses | 0.11 | % | 0.15 | % | 0.18 | % | 0.21 | % | 0.27 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.03 | % | 0.04 | % | 0.06 | % | 0.08 | % | 0.06 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 3.80 | % | 4.06 | % | 3.78 | % | 4.35 | % | 4.17 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 382,519 | $ | 400,615 | $ | 313,282 | $ | 234,886 | $ | 180,142 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Borrowings outstanding, end of year (000) | $ | 22,111 | $ | 18,987 | $ | 10,713 | $ | 8,085 | $ | 6,625 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover rate | 26 | % | 31 | % | 54 | % | 53 | % | 100 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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 fees and expenses incurred indirectly as a result of investments in underlying funds. |
(e) | Amount is less than 0.005%. |
See notes to financial statements.
128 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BATS: Series M Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.77 | $ | 9.81 | $ | 9.59 | $ | 9.47 | $ | 9.69 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.11 | 0.21 | 0.30 | 0.31 | 0.25 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.59 | ) | 0.05 | 0.25 | 0.15 | (0.16 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from investment operations | (0.48 | ) | 0.26 | 0.55 | 0.46 | 0.09 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions from net investment income(b) | (0.18 | ) | (0.30 | ) | (0.33 | ) | (0.34 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 9.11 | $ | 9.77 | $ | 9.81 | $ | 9.59 | $ | 9.47 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(c) | ||||||||||||||||||||
Based on net asset value | (4.98 | )% | 2.68 | % | 5.86 | % | 4.94 | % | 0.91 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets(d) | ||||||||||||||||||||
Total expenses | 0.06 | % | 0.05 | % | 0.06 | % | 0.08 | % | 0.08 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 1.11 | % | 2.12 | % | 3.03 | % | 3.30 | % | 2.59 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 1,126,195 | $ | 1,197,167 | $ | 1,006,778 | $ | 799,774 | $ | 810,031 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover rate(f) | 1,473 | % | 1,500 | % | 1,316 | % | 1,209 | % | 1,515 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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 fees and expenses incurred indirectly as a result of investments in underlying funds. |
(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, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Portfolio turnover rate | 665 | % | 896 | % | 813 | % | 683 | % | 833 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 129 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BATS: Series P Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.69 | $ | 7.92 | $ | 9.25 | $ | 9.56 | $ | 9.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.04 | 0.06 | 0.12 | 0.12 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.22 | 0.71 | (1.33 | ) | (0.34 | ) | 0.15 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from investment operations | 0.26 | 0.77 | (1.21 | ) | (0.22 | ) | 0.23 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions(b) | ||||||||||||||||||||
From net investment income | — | — | (0.12 | ) | (0.09 | ) | (0.05 | ) | ||||||||||||
Return of capital | — | — | (0.00 | )(c) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | — | — | (0.12 | ) | (0.09 | ) | (0.05 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 8.95 | $ | 8.69 | $ | 7.92 | $ | 9.25 | $ | 9.56 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(d) | ||||||||||||||||||||
Based on net asset value | 2.99 | % | 9.72 | % | (13.25 | )% | (2.32 | )% | 2.49 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets(e) | ||||||||||||||||||||
Total expenses | 0.28 | % | 0.46 | % | 0.31 | % | 0.20 | % | 0.19 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 0.45 | % | 0.71 | % | 1.33 | % | 1.24 | % | 0.89 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 54,571 | $ | 53,175 | $ | 41,305 | $ | 51,654 | $ | 84,080 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover rate | 0 | % | 36 | % | 15 | % | 0 | % | 6 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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 fees and expenses incurred indirectly as a result of investments in underlying funds. |
(f) | Amount is less than 0.005%. |
See notes to financial statements.
130 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BATS: Series S Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.73 | $ | 9.23 | $ | 9.50 | $ | 9.38 | $ | 9.53 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.14 | 0.18 | 0.27 | 0.25 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.43 | ) | 0.54 | (0.23 | ) | 0.13 | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from investment operations | (0.29 | ) | 0.72 | 0.04 | 0.38 | 0.11 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions from net investment income(b) | (0.16 | ) | (0.22 | ) | (0.31 | ) | (0.26 | ) | (0.26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 9.28 | $ | 9.73 | $ | 9.23 | $ | 9.50 | $ | 9.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(c) | ||||||||||||||||||||
Based on net asset value | (3.02 | )% | 7.80 | %(d) | 0.34 | % | 4.11 | % | 1.15 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets(e) | ||||||||||||||||||||
Total expenses | 0.12 | % | 0.13 | % | 1.14 | % | 0.69 | % | 0.76 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.01 | % | 0.02 | % | 0.99 | % | 0.56 | % | 0.59 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.01 | % | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 1.42 | % | 1.89 | % | 2.84 | % | 2.62 | % | 2.11 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 408,273 | $ | 398,906 | $ | 146,302 | $ | 163,176 | $ | 175,939 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover rate | 68 | %(g) | 124 | %(g) | 144 | %(g) | 184 | %(g) | 263 | %(g) | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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) | Includes a payment received from an affiliate, which had no impact on the Fund’s total return. |
(e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(f) | Amount is less than 0.005%. |
(g) | Includes MDRs. Additional information regarding portfolio turnover rate is as follows: |
Year Ended March 31, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Portfolio turnover rate | 67 | % | 122 | % | 101 | % | 112 | % | 148 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 131 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BATS: Series V Portfolio | ||||
Period from 05/05/21(a) to 03/31/22 | ||||
Net asset value, beginning of period | $ | 10.00 | ||
|
| |||
Net investment income(b) | 0.01 | |||
Net realized and unrealized loss | (0.01 | ) | ||
|
| |||
Net increase from investment operations | 0.00 | |||
|
| |||
Distributions from net investment income(c) | (0.01 | ) | ||
|
| |||
Net asset value, end of period | $ | 9.99 | ||
|
| |||
Total Return(d) | ||||
Based on net asset value | 0.01 | %(e) | ||
|
| |||
Ratios to Average Net Assets(f) | ||||
Total expenses | 4.06 | %(g)(h) | ||
|
| |||
Total expenses after fees waived and/or reimbursed | 0.00 | %(g) | ||
|
| |||
Net investment income | 0.13 | %(g) | ||
|
| |||
Supplemental Data | ||||
Net assets, end of period (000) | $ | 10,201 | ||
|
| |||
Portfolio turnover rate | 283 | % | ||
|
|
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Where applicable, assumes the reinvestment of distributions. |
(e) | Aggregate total return. |
(f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) | Annualized. |
(h) | Audit, offering, organization and printing costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.35%. |
See notes to financial statements.
132 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements |
1. | ORGANIZATION |
BlackRock Allocation Target Shares (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. 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 | ||||||
BATS: Series V Portfolio | Series V | Diversified |
Shares of the Funds are offered to separate account clients of the adviser, BlackRock Advisors, LLC (the “Manager”) or certain of its affiliates. Shares of Series A are 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 in wrap-fee programs pay a single aggregate fee to the program sponsor for all costs and expenses of the wrap-fee programs including investment advice and portfolio execution.
The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of open-end non-index fixed-income funds and all BlackRock-advised closed-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 using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily 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 effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
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., 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 investments 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 the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
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 Funds, 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.
NOTES TO FINANCIAL STATEMENTS | 133 |
Notes to Financial Statements (continued)
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, 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.
Organization and Offering Costs: Upon commencement of operations, organization costs associated with the establishment of Series V were expensed by Series V and reimbursed by the Manager. The Manager reimbursed Series V $25,000, which is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. Offering costs are amortized over a 12-month period beginning with the commencement of operations of a class of shares.
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 overdrafts, subject to certain conditions.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Funds are open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its 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 investments for which market quotations are readily available are generally valued using the last available bid price 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), market data, 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. |
• | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”). |
• | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price, is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
• | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the 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 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 an arm’s-length transaction. Fair value determinations shall be based upon all available
134 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques 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 applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. | SECURITIES AND OTHER INVESTMENTS |
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 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.
NOTES TO FINANCIAL STATEMENTS | 135 |
Notes to Financial Statements (continued)
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond is 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.
136 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO 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 generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, the Fund may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests.
Fund Name | Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Series A | Project Pearl Pasco Holdings LLC | $ | 1,751,832 | $ | 1,751,832 | $ | 1,743,727 | $ | (8,105 | ) | ||||||||||
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Forward Commitments, When-Issued and Delayed Delivery Securities: The 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. The Funds 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, the Funds 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, the Funds assume 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, the Funds’ 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 securities, including 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, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
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 the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar RollTransactions: 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
NOTES TO FINANCIAL STATEMENTS | 137 |
Notes to Financial Statements (continued)
and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund 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.
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.
Accounting for TOBTrusts: The municipal bonds deposited into a TOB Trust are presented in a Fund’s Schedules of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.
Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a Fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:
Fund Name | Interest Expense | Liquidity Fees | Other Expenses | Total | ||||
Series E | $ 76,413 | $ 52,417 | $ 13,513 | $ 142,343 |
For the year ended March 31, 2022, the following table is a summary of each Fund’s TOB Trusts:
Fund Name | 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 Rate of Interest and Other Expenses on TOB Trusts | |||||
Series E | $ 37,878,498 | $ 22,111,000 | 0.54% -0.63% | $ 19,281,512 | 0.73% |
(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 in the Schedules of Investments. |
138 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
(b) | TOB Trusts may be structured on a non-recourse or recourse basis. When a Fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a Fund invests in a TOB Trust on a recourse basis, a Fund enters into a reimbursement agreement with the Liquidity Provider where a Fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a Fund invests in a recourse TOB Trust, a Fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Fund at March 31, 2022, 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, 2022. |
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Options: Certain Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
• | Swaptions – The Funds may 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. |
NOTES TO FINANCIAL STATEMENTS | 139 |
Notes to Financial Statements (continued)
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 CCP becomes the Fund’s counterparty on the swap. 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 are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
• | Forward swaps — The Funds may enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination. |
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 its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the 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
140 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
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 and Series V, the Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager.
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, Series S and Series V, the Manager does not charge the Funds a management fee, although investors in the Funds will pay a fee to BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, or their managed account program sponsor. With respect to Series A, the Manager does not charge the Fund a management fee, although investors in the Fund that are (i) retail and institutional separately managed account clients of BIM will pay a fee to BIM or their managed account program sponsor, (ii) participants in the collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of the Manager, that invest in the Fund will pay a fee to BTC, and (iii) mutual funds that are advised by the Manager or its affiliates will pay the Manager or its affiliate a management fee pursuant to a management agreement between each such fund and BlackRock or its affiliate. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations.
Although the Funds do not compensate the Manager directly for its services under the Investment Advisory Agreement, because each Fund is an investment option for certain wrap-fee or other separately managed account program clients, the Manager may benefit from the fees charged to such clients who have retained the Manager’s affiliates to manage their accounts. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The waivers were as follows:
Fund Name | Amounts Waived | |||
Series A | $ 426,079 | |||
Series C | 503,741 | |||
Series E | 338,139 | |||
Series M | 703,943 | |||
Series P | 148,558 | |||
Series S | 409,046 | |||
Series V | 205,843 |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets, to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any 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, 2022, 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.
NOTES TO FINANCIAL STATEMENTS | 141 |
Notes to Financial Statements (continued)
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, 2022, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
Fund Name | Purchases | Sales | Net Realized Gain | |||||||||
Series C | $ | 510,183 | $ | 394,453 | $ 7,057 | |||||||
Series V | 100,002 | 100,000 | — |
7. | PURCHASES AND SALES |
For the year ended March 31, 2022, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term investments, were as follows:
Fund Name/Asset Type | Purchases | Sales | ||||||
Series A | ||||||||
Non-U.S. Government Securities | $ | 2,180,153,471 | $ | 919,130,435 | ||||
Series C | ||||||||
Non-U.S. Government Securities | 201,907,769 | 218,296,799 | ||||||
U.S. Government Securities | 22,505,890 | 27,416,865 | ||||||
Series E | ||||||||
Non-U.S. Government Securities | 118,212,165 | 108,372,552 | ||||||
Series M | ||||||||
Non-U.S. Government Securities | 21,618,780,944 | 21,483,836,382 | ||||||
U.S. Government Securities | — | 41,737,500 | ||||||
Series P | ||||||||
Non-U.S. Government Securities | — | 3,205,400 | ||||||
Series S | ||||||||
Non-U.S. Government Securities | 198,110,599 | 153,494,964 | ||||||
U.S. Government Securities | 87,050,581 | 101,205,112 | ||||||
Series V | ||||||||
Non-U.S. Government Securities | 16,754,126 | 9,950,000 |
For the year ended March 31, 2022, purchases and sales related to mortgage dollar rolls were as follows:
Fund Name | Purchases | Sales | ||||||
Series A | $ | 225,502,238 | $ | 225,024,556 | ||||
Series M | 11,768,644,480 | 11,804,187,779 | ||||||
Series S | 6,901,797 | 6,919,018 |
8. | INCOME TAX INFORMATION |
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of March 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, permanent differences attributable to certain deemed distributions and net operating losses were reclassified to the following accounts:
Series C | Series E | Series P | ||||||||||
Paid-in capital | $ | 1,936,422 | $ | 359,935 | $ | (239,681 | ) | |||||
Accumulated earnings (loss) | (1,936,422 | ) | (359,935 | ) | 239,681 |
142 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
The tax character of distributions paid was as follows:
Period | Series A | Series C | Series E | Series M | Series P | Series S | Series V | |||||||||||||||||||||||||
Tax-exempt income | 03/31/22 | $ | — | $ | — | $ | 15,351,567 | $ | — | $ | — | $ | — | $ | 6,038 | |||||||||||||||||
03/31/21 | — | — | 13,502,771 | — | — | — | — | |||||||||||||||||||||||||
Ordinary income | 03/31/22 | 58,245,586 | 15,152,416 | 814,317 | 23,422,463 | — | 6,382,365 | 20 | ||||||||||||||||||||||||
03/31/21 | 40,128,829 | 22,856,090 | 104,999 | 35,084,303 | — | 6,345,846 | — | |||||||||||||||||||||||||
Long-term capital gains | 03/31/22 | — | 8,036,148 | 1,742,085 | — | — | — | — | ||||||||||||||||||||||||
03/31/21 | — | 9,200,005 | — | — | — | — | — | |||||||||||||||||||||||||
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Total | 03/31/22 | $ | 58,245,586 | $ | 23,188,564 | $ | 17,907,969 | $ | 23,422,463 | $ | — | $ | 6,382,365 | $ | 6,058 | |||||||||||||||||
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03/31/21 | $ | 40,128,829 | $ | 32,056,095 | $ | 13,607,770 | $ | 35,084,303 | $ | — | $ | 6,345,846 | $ | — | ||||||||||||||||||
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As of March 31, 2022, the tax components of accumulated net earnings (losses) were as follows:
Series A | Series C | Series E | Series M | Series P | Series S | Series V | ||||||||||||||||||||||
Undistributed tax-exempt income | $ | — | $ | — | $ | 284,500 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Undistributed ordinary income | — | — | 17,823 | 675,869 | — | — | — | |||||||||||||||||||||
Undistributed long-term capital gains | — | — | 5,522,097 | — | — | — | — | |||||||||||||||||||||
Non-expiring capital loss carryforwards(a) | (4,798,710 | ) | — | — | (33,840,374 | ) | (30,700,542 | ) | (6,255,143 | ) | — | |||||||||||||||||
Net unrealized gains (losses)(b) | (100,214,487 | ) | (24,271,377 | ) | 2,274,359 | (56,666,034 | ) | (489,245 | ) | (14,376,252 | ) | (6,412 | ) | |||||||||||||||
Qualified late-year losses(c) | — | (2,522,594 | ) | (277,256 | ) | — | — | — | — | |||||||||||||||||||
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$ | (105,013,197 | ) | $ | (26,793,971 | ) | $ | 7,821,523 | $ | (89,830,539 | ) | $ | (31,189,787 | ) | $ | (20,631,395 | ) | $ | (6,412 | ) | |||||||||
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(a) | Amounts available to offset future realized capital gains. |
(b) | The differences between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities, the realization for tax purposes of unrealized gains (losses) on certain futures and foreign currency exchange contracts, the accounting for swap agreements, the treatment of residual interests in tender option bond trusts and the classification of investments. |
(c) | The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
During the year ended March 31, 2022, the funds listed below utilized the following amounts of their respective capital loss carryforwards:
| Series A | Series E | ||||||
Amount utilized | $ | 861,658 | $ | 1,947,294 |
As of March 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
Series A | Series C | Series E | Series M | Series P | Series S | Series V | ||||||||||||||||||||||
Tax cost | $ | 2,742,409,143 | $ | 498,582,222 | $ | 380,224,494 | $ | 2,393,396,132 | $ | 12,216,919 | $ | 429,449,086 | $ | 10,346,746 | ||||||||||||||
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Gross unrealized appreciation | $ | 9,624,678 | $ | 5,589,003 | $ | 15,083,751 | $ | 9,600,976 | $ | 2,121,215 | $ | 8,120,741 | $ | — | ||||||||||||||
Gross unrealized depreciation | (109,824,656 | ) | (29,625,915 | ) | (12,809,392 | ) | (66,267,010 | ) | (2,610,433 | ) | (22,430,896 | ) | (6,412 | ) | ||||||||||||||
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Net unrealized appreciation (depreciation) | $ | (100,199,978 | ) | $ | (24,036,912 | ) | $ | 2,274,359 | $ | (56,666,034 | ) | $ | (489,218 | ) | $ | (14,310,155 | ) | $ | (6,412 | ) | ||||||||
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9. | BANK BORROWINGS |
The Trust, on behalf of the Funds (except Series V), along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts 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 2022 unless extended or renewed. 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, 2022, the Funds did not borrow under the credit agreement.
10. | PRINCIPAL RISKS |
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war,
NOTES TO FINANCIAL STATEMENTS | 143 |
Notes to Financial Statements (continued)
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.
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.
Certain obligations held by Series V have a credit enhancement or liquidity feature that may, under certain circumstances, provide for repayment of principal and interest on the obligation when due. These enhancements, which may include letters of credit, stand-by bond purchase agreements and/or third-party insurance, are issued by financial institutions. The value of the obligations may be affected by changes in creditworthiness of the entities that provide the credit enhancements or liquidity features. Series V monitors its exposure by reviewing the creditworthiness of the issuers, as well as the financial institutions issuing the credit enhancements and by limiting the amount of holdings with credit enhancements from one financial institution.
Market Risk: 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.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
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. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and exchange-traded 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
144 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
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. When a Fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. 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. Investment percentages in these securities are presented in the Schedules of Investments.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a Fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the LIBOR. Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares were as follows:
Year Ended 03/31/22 | Year Ended 03/31/21 | |||||||||||||||
Fund Name | Shares | Amounts | Shares | Amounts | ||||||||||||
Series A | ||||||||||||||||
Shares sold | 132,680,891 | $ | 1,328,660,314 | 60,842,553 | $ | 601,725,262 | ||||||||||
Shares redeemed | (14,382,169 | ) | (143,083,773 | ) | (20,951,929 | ) | (204,932,544 | ) | ||||||||
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118,298,722 | $ | 1,185,576,541 | 39,890,624 | $ | 396,792,718 | |||||||||||
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Series C | ||||||||||||||||
Shares sold | 10,950,876 | $ | 117,403,754 | 20,459,749 | $ | 228,205,940 | ||||||||||
Shares redeemed | (12,573,491 | ) | (134,377,813 | ) | (14,686,532 | ) | (166,146,663 | ) | ||||||||
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(1,622,615 | ) | $ | (16,974,059 | ) | 5,773,217 | $ | 62,059,277 | |||||||||
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Series E | ||||||||||||||||
Shares sold | 12,688,652 | $ | 151,830,799 | 12,192,027 | $ | 137,455,055 | ||||||||||
Shares redeemed | (12,435,072 | ) | (148,249,295 | ) | (7,854,502 | ) | (86,225,077 | ) | ||||||||
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253,580 | $ | 3,581,504 | 4,337,525 | $ | 51,229,978 | |||||||||||
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Series M | ||||||||||||||||
Shares sold | 32,197,355 | $ | 311,588,070 | 50,963,949 | $ | 506,033,332 | ||||||||||
Shares redeemed | (31,160,094 | ) | (297,152,054 | ) | (31,004,779 | ) | (307,159,345 | ) | ||||||||
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1,037,261 | $ | 14,436,016 | 19,959,170 | $ | 198,873,987 | |||||||||||
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NOTES TO FINANCIAL STATEMENTS | 145 |
Notes to Financial Statements (continued)
Year Ended 03/31/22 | Year Ended 03/31/21 | |||||||||||||||
Fund Name | Shares | Amounts | Shares | Amounts | ||||||||||||
Series P | ||||||||||||||||
Shares sold | 3,709,976 | $ | 31,649,680 | 3,776,282 | $ | 31,318,249 | ||||||||||
Shares redeemed | (3,733,889 | ) | (31,874,580 | ) | (2,870,221 | ) | (23,204,268 | ) | ||||||||
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(23,913 | ) | $ | (224,900 | ) | 906,061 | $ | 8,113,981 | |||||||||
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Series S | ||||||||||||||||
Shares sold | 19,121,099 | $ | 181,995,461 | 36,062,687 | $ | 348,486,957 | ||||||||||
Shares redeemed | (16,121,324 | ) | (155,319,378 | ) | (10,915,607 | ) | (105,975,870 | ) | ||||||||
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2,999,775 | $ | 26,676,083 | 25,147,080 | $ | 242,511,087 | |||||||||||
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Series V | ||||||||||||||||
Shares sold | 1,423,582 | $ | 14,235,811 | (a) | — | $ | — | |||||||||
Shares redeemed | (402,824 | ) | (4,028,238 | )(a) | — | — | ||||||||||
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1,020,758 | $ | 10,207,573 | — | $ | — | |||||||||||
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(a) | For the period from May 5, 2021 (commencement of operations) to March 31, 2022. |
As of March 31, 2022, BlackRock Financial Management, Inc., an affiliate of the Funds, owned 250,000 Shares of Series V.
12. | SUBSEQUENT EVENTS |
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 14, 2022, the 364-day credit agreement to which the Trust, on behalf of the Funds, and the Participating Funds are party was amended to (i) increase the aggregate commitment amount to $2.50 billion, (ii) update the interest terms at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum and (iii) extend the termination date to April 2023.
146 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
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, BATS: Series S Portfolio and BATS: Series V Portfolio and the Board of Trustees of 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, including the schedules of investments, as of March 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. We have also audited the accompanying statement of assets and liabilities of BATS: Series V Portfolio of BlackRock Allocation Target Shares (collectively with 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, the “Funds”), including the schedule of investments, as of March 31, 2022, the related statements of operations, changes in net assets, and the financial highlights for the period from May 5, 2021 (commencement of operations) through March 31, 2022, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position 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 as of March 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. Also, in our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of BATS: Series V Portfolio as of March 31, 2022, and the results of its operations, the changes in its net assets, and the financial highlights for the period from May 5, 2021 (commencement of operations) through March 31, 2022, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2022, by correspondence with the custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
May 20, 2022
We have served as the auditor of one or more BlackRock investment companies since 1992.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 147 |
Important Tax Information (unaudited)
The following amounts, or maximum amounts allowable by law, are hereby designated as exempt-interest dividends for the fiscal year ended March 31, 2022:
Fund Name | Exempt-Interest Dividends | |||
Series E | $ 15,671,507 | |||
Series V | 6,005 |
The following amounts, or maximum amounts allowable by law are hereby designated as qualified dividend income for individuals for the fiscal year ended March 31, 2022:
Fund Name | Qualified Dividend Income | |||
Series C | $ 621,013 |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended March 31, 2022:
Fund Name | 20% Rate Long-Term Capital Gain Dividends | |||
Series C | $ 8,036,148 | |||
Series E | 2,102,020 |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended March 31, 2022:
Fund Name | Federal Obligation Interest | |||
Series C | $ 228,240 | |||
Series M | 229,992 | |||
Series S | 236,121 |
The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
The following percentage, or maximum percentage allowable by law, of ordinary income distributions paid during the fiscal year ended March 31, 2022 qualified for the dividends-received deduction for corporate shareholders:
Fund Name | Dividends-Received Deduction | |||
Series C | 2.46 | % |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended March 31, 2022:
Fund Name | Interest Dividends | |||
Series A | $ 57,690,649 | |||
Series C | 14,340,827 | |||
Series E | 456,331 | |||
Series M | 22,720,214 | |||
Series S | 6,464,538 | |||
Series V | 53 |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends and qualified short-term capital gains eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended March 31, 2022:
Fund Name | Interest-Related Dividends | Qualified Short-Term Capital Gains | ||||||
Series A | $ 44,403,702 | $ — | ||||||
Series C | 11,024,258 | 730,655 | ||||||
Series E | 456,331 | 348,550 | ||||||
Series M | 22,720,214 | — | ||||||
Series S | 5,388,688 | — | ||||||
Series V | 53 | — |
148 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statement Regarding Liquidity Risk Management Program
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), BlackRock Allocation Target Shares (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, BATS: Series S Portfolio and BATS: Series V Portfolio (the “Funds”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.
The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds,met on November 18-19, 2021 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund’s Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2020 through September 30, 2021 (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 referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:
a) The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a fund’s liquidity bucketing. Derivative exposure was also considered in such calculation.
b) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size (“RATS”). Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.
c) Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered the terms of the credit facility committed to each Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V). The Committee also considered other types of borrowing available to the Funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.
There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program’s methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM | 149 |
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 Directorships Held During Past Five Years | ||||
R. Glenn Hubbard 1958 | Chair of the Board (Since 2022) Trustee (Since 2019) | Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | 73 RICs consisting of 103 Portfolios | ADP (data and information services) 2004- 2020; Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014 | ||||
W. Carl Kester(d) 1951 | Vice Chair of the Board (Since 2022) 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. | 75 RICs consisting of 105 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. | 73 RICs consisting of 103 Portfolios | Unum (insurance); The Hanover Insurance Group (Board Chair) (insurance); Huntsman Corporation (Lead Independent Director and non Executive Vice Chair of the Board) (chemical products); 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. Adjunct Professor of Finance, Carnegie Mellon University in fall 2020 semester; Professor of Practice, Johns Hopkins University since 2021. | 75 RICs consisting of 105 Portfolios | None | ||||
Lorenzo A. Flores 1964 | Trustee (Since 2021) | Vice Chairman, Kioxia, Inc. since 2019; Chief Financial Officer, Xilinx, Inc. from 2016 to 2019; Corporate Controller, Xilinx, Inc. from 2008 to 2016. | 73 RICs consisting of 103 Portfolios | None | ||||
Stayce D. Harris 1959 | Trustee (Since 2021) | Lieutenant General, Inspector General, Office of the Secretary of the United States Air Force from 2017 to 2019; Lieutenant General, Assistant Vice Chief of Staff and Director, Air Staff, United States Air Force from 2016 to 2017; Major General, Commander, 22nd Air Force, AFRC, Dobbins Air Reserve Base, Georgia from 2014 to 2016; Pilot, United Airlines from 1990 to 2020. | 73 RICs consisting of 103 Portfolios | The Boeing Company |
150 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO 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 Directorships Held During Past Five Years | ||||
J. Phillip Holloman 1955 | Trustee (Since 2021) | President and Chief Operating Officer, Cintas Corporation from 2008 to 2018. | 73 RICs consisting of 103 Portfolios | PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation) | ||||
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. | 75 RICs consisting of 105 Portfolios | PennyMac Mortgage Investment Trust | ||||
Karen P. Robards 1950 | 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 (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987. | 73 RICs consisting of 103 Portfolios | Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017 | ||||
Interested Trustees(a)(e) | ||||||||
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. | 103 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. | 105 RICs consisting of 264 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’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the 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’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. (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: 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 the closed-end funds in the Fixed-Income Complex as follows: 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 and BlackRock Private Investments 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. |
TRUSTEE AND OFFICER INFORMATION | 151 |
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 Americas Product Development and Governance for BlackRock’s Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group from 2013 to 2019. | ||
Trent Walker 1974 | Chief Financial Officer (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. | ||
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 AssetComplex 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 the BFA-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 June 10, 2021, Stayce D. Harris and J. Phillip Holloman were each appointed to serve as a Trustee of the Trust. Effective July 30, 2021, Lorenzo A. Flores was appointed to serve as a Trustee of the Trust.
Effective December 31, 2021, Richard E. Cavanagh and Michael J. Castellano retired as Trustees of the Trust.
Ms. Robards intends to retire as a Trustee of the Trust and, in that regard, has resigned as a Trustee of the Trust effective as of May 31, 2022.
152 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Proxy Results
At a Joint Special Meeting of Shareholders of BATS: Series C Portfolio, held on October 26, 2021, Fund shareholders were asked to vote on the following proposals:
Proposal 1. To approve the amendment or elimination, as applicable, of certain of the fundamental investment restrictions of the Fund.
Proposal 1b. To Approve the Amendment of the Fundamental Investment Restriction Regarding Borrowing and the Issuance of Senior Securities.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1e. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Real Estate.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1f. To Approve the Amendment of the Fundamental Investment Restriction Regarding Underwriting.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1g. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Commodities.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1h. To Approve the Amendment of the Fundamental Investment Restriction Regarding Lending.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1j. To Approve the Elimination of the Fundamental Investment Restriction Regarding Investing for the Purpose of Exercising Control or Management.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1k. To Approve the Elimination of the Fundamental Investment Restriction Regarding Purchasing Commodities Contracts and Investing in Oil, Gas or Mineral Exploration or Development Programs.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1l. To Approve the Elimination of the Fundamental Investment Restriction Regarding Acquiring Other Investment Companies.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
ADDITIONAL INFORMATION | 153 |
Additional Information (continued)
Proposal 1m. To Approve the Elimination of the Fundamental Investment Restriction Regarding Writing and Selling Options, Straddles and Spreads.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,374,588 | 1,600 | 2,986 |
Proposal 1n. To Approve the Elimination of the Fundamental Investment Restriction Regarding the Purchase of Securities on Margin and Short Sales.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
44,373,564 | 1,600 | 4,010 |
At a Joint Special Meeting of Shareholders of BATS: Series M Portfolio, held on October 26, 2021, Fund shareholders were asked to vote on the following proposals:
Proposal 1. To approve the amendment or elimination, as applicable, of certain of the fundamental investment restrictions of the Fund.
Proposal 1b. To Approve the Amendment of the Fundamental Investment Restriction Regarding Borrowing and the Issuance of Senior Securities.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1e. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Real Estate.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1f. To Approve the Amendment of the Fundamental Investment Restriction Regarding Underwriting.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1g. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Commodities.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1h. To Approve the Amendment of the Fundamental Investment Restriction Regarding Lending.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1j. To Approve the Elimination of the Fundamental Investment Restriction Regarding Investing for the Purpose of Exercising Control or Management.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1k. To Approve the Elimination of the Fundamental Investment Restriction Regarding Purchasing Commodities Contracts and Investing in Oil, Gas or Mineral Exploration or Development Programs.
154 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Additional Information (continued)
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1l. To Approve the Elimination of the Fundamental Investment Restriction Regarding Acquiring Other Investment Companies.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,568 |
Proposal 1m. To Approve the Elimination of the Fundamental Investment Restriction Regarding Writing and Selling Options, Straddles and Spreads.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,365,789 | 1,975 | 3,658 |
Proposal 1n. To Approve the Elimination of the Fundamental Investment Restriction Regarding the Purchase of Securities on Margin and Short Sales.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
116,356,604 | 11,160 | 3,568 |
At a Joint Special Meeting of Shareholders of BATS: Series S Portfolio, held on October 26, 2021, Fund shareholders were asked to vote on the following proposals:
Proposal 1. To approve the amendment or elimination, as applicable, of certain of the fundamental investment restrictions of the Fund.
Proposal 1b. To Approve the Amendment of the Fundamental Investment Restriction Regarding Borrowing and the Issuance of Senior Securities.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,359,977 | 0 | 0 |
Proposal 1e. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Real Estate.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
35,359,977 | 0 | 0 |
Proposal 1f. To Approve the Amendment of the Fundamental Investment Restriction Regarding Underwriting.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,359,977 | 0 | 0 |
Proposal 1g. To Approve the Amendment of the Fundamental Investment Restriction Regarding Investing in Commodities.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,359,977 | 0 | 0 |
Proposal 1h. To Approve the Amendment of the Fundamental Investment Restriction Regarding Lending.
ADDITIONAL INFORMATION | 155 |
Additional Information (continued)
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,359,977 | 0 | 0 |
Proposal 1j. To Approve the Elimination of the Fundamental Investment Restriction Regarding Investing for the Purpose of Exercising Control or Management.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,359,977 | 0 | 0 |
Proposal 1k. To Approve the Elimination of the Fundamental Investment Restriction Regarding Purchasing Commodities Contracts and Investing in Oil, Gas or Mineral Exploration or Development Programs.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,359,977 | 0 | 0 |
Proposal 1l. To Approve the Elimination of the Fundamental Investment Restriction Regarding Acquiring Other Investment Companies.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,359,977 | 0 | 0 |
Proposal 1m. To Approve the Elimination of the Fundamental Investment Restriction Regarding Writing and Selling Options, Straddles and Spreads.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,358,871 | 0 | 1,106 |
Proposal 1n. To Approve the Elimination of the Fundamental Investment Restriction Regarding the Purchase of Securities on Margin and Short Sales.
With respect to this Proposal, the shares of the Fund were voted as follows:
For | Against | Abstain | ||
38,358,871 | 0 | 1,106 |
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.
156 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Additional Information (continued)
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) 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 their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Fund and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor(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 and BATS: Series V Portfolio |
ADDITIONAL INFORMATION | 157 |
Glossary of Terms Used in this Report
Currency Abbreviation | ||
CAD | Canadian Dollar | |
EUR | Euro | |
USD | United States Dollar | |
Portfolio Abbreviation | ||
ABS | Asset-Backed Security | |
AGM | Assured Guaranty Municipal Corp. | |
AMT | Alternative Minimum Tax | |
BAN | Bond Anticipation Notes | |
CLN | Credit-Linked-Note | |
CLO | Collateralized Loan Obligation | |
COL | Collateralized | |
DAC | Designated Activity Co. | |
EDA | Economic Development Authority | |
EDC | Economic Development Corp. | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
GO | General Obligation Bonds | |
GTD | Guaranteed | |
HDA | Housing Development Authority | |
HFA | Housing Finance Agency | |
IDA | Industrial Development Authority | |
IDB | Industrial Development Board | |
IDC | Industrial Development Corp. | |
IO | Interest Only | |
ISD | Independent School District | |
LIBOR | London Interbank Offered Rate | |
LP | Limited Partnership | |
OTC | Over-the-Counter | |
RB | Revenue Bonds | |
REMIC | Real Estate Mortgage Investment Conduit | |
S&P | Standard & Poor’s | |
SOFR | Secured Overnight Financing Rate | |
TA | Tax Allocation | |
TBA | To-be-Announced | |
TECP | Tax-Exempt Commercial Paper | |
VRDN | Variable Rate Demand Note |
158 | 2 0 2 2 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
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-3/22-AR
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(b) Not Applicable
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: |
Frank J. Fabozzi
Lorenzo A. Flores
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 Form N-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 a non-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 | Previous Fiscal Year End | Current Fiscal Year | Previous Fiscal Year End | Current Fiscal Year | Previous Fiscal Year End | ||||||||
BATS: Series A Portfolio | $40,086 | $39,693 | $420 | $0 | $18,100 | $16,100 | $0 | $0 | ||||||||
BATS: Series C Portfolio | $35,292 | $34,946 | $420 | $0 | $18,100 | $16,100 | $0 | $0 | ||||||||
BATS: Series E Portfolio | $41,106 | $40,703 | $420 | $0 | $16,800 | $14,200 | $0 | $0 | ||||||||
BATS: Series M Portfolio | $31,416 | $31,108 | $420 | $0 | $18,100 | $16,100 | $0 | $0 | ||||||||
BATS: Series P Portfolio | $19,992 | $19,796 | $420 | $0 | $18,100 | $16,100 | $0 | $0 | ||||||||
BATS: Series S Portfolio | $35,292 | $34,946 | $420 | $0 | $18,100 | $16,100 | $0 | $0 | ||||||||
BATS: Series V Portfolio | $37,026 | N/A | $0 | $0 | $23,500 | N/A | $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 any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):
Current Fiscal Year End
| Previous Fiscal Year End
| |||
(b) Audit-Related Fees1 | $0 | $0 | ||
(c) Tax Fees2 | $0 | $0 | ||
(d) All Other Fees3 | $2,098,000 | $2,032,000 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.
2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3 Non-audit fees of $2,098,000 and $2,032,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides
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for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | ||
BATS: Series A Portfolio | $18,520 | $16,100 | ||
BATS: Series C Portfolio | $18,520 | $16,100 | ||
BATS: Series E Portfolio | $17,220 | $14,200 | ||
BATS: Series M Portfolio | $18,520 | $16,100 | ||
BATS: Series P Portfolio | $18,520 | $16,100 | ||
BATS: Series S Portfolio | $18,520 | $16,100 | ||
BATS: Series V Portfolio | $23500 | N/A |
Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:
| Current Fiscal Year End | Previous Fiscal Year End | ||||
$2,098,000 | $2,032,000 |
These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were not pre-approved
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pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5 – | Audit Committee of Listed Registrant – Not Applicable |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
Item 13 – | Exhibits attached hereto |
(a)(1) Code of Ethics – See Item 2
(a)(2) Section 302 Certifications are attached
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
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(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
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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: May 20, 2022
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: May 20, 2022
By: | /s/ Trent Walker | |||||
Trent Walker | ||||||
Chief Financial Officer (principal financial officer) of | ||||||
BlackRock Allocation Target Shares |
Date: May 20, 2022
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