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 |
| 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: 03/31/2023
Date of reporting period: 09/30/2022
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
| | |
| | SEPTEMBER 30, 2022 |
| | |
| |
| | 2022 Semi-Annual Report (Unaudited) |
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 |
The Markets in Review
Dear Shareholder,
The 12-month reporting period as of September 30, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets of 2021. The U.S. economy shrank in the first half of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.
Equity prices fell as interest rates rose, particularly weighing on relatively high-valuation growth stocks and economically sensitive small-capitalization stocks. While both large- and small-capitalization U.S. stocks fell, declines for small-capitalization U.S. stocks were steeper. Both emerging market stocks and international equities from developed markets fell significantly, 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 notably during the reporting period as investors reacted to higher inflation and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is proving more persistent than expected, raised interest rates five times while indicating that additional rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. As investors attempted to assess the Fed’s future trajectory, the Fed’s statements late in the reporting period led markets to believe that additional tightening is likely in the near term.
The pandemic’s restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth has slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a lower level that is more in line with the economy’s capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, and the outlook for Europe and the U.K. is also troubling. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.
In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where higher spreads provide income opportunities and partially compensate for inflation risk. We believe that investment-grade corporates, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities for a six- to twelve-month horizon.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
| | | | | | | | |
| Total Returns as of September 30, 2022 | |
| | | 6-Month | | | 12-Month | |
| | |
U.S. large cap equities (S&P 500® Index) | | | (20.20) | % | | | (15.47) | % |
| | |
U.S. small cap equities (Russell 2000® Index) | | | (19.01) | | | | (23.50) | |
| | |
International equities (MSCI Europe, Australasia, Far East Index) | | | (22.51) | | | | (25.13) | |
| | |
Emerging market equities (MSCI Emerging Markets Index) | | | (21.70) | | | | (28.11) | |
| | |
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) | | | 0.58 | | | | 0.63 | |
| | |
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) | | | (10.81) | | | | (16.20) | |
| | |
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) | | | (9.22) | | | | (14.60) | |
| | |
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) | | | (6.30) | | | | (11.50) | |
| | |
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | | | (10.42) | | | | (14.15) | |
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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| 2 | | T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
Table of Contents
| | |
| Fund Summary as of September 30, 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 six-month period ended September 30, 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 commercial mortgage-backed securities (“CMBS”). Other contributors included the credit card segment within asset-backed securities (“ABS”), near-prime non-agency residential mortgage-backed securities (“RMBS”), mortgage derivatives, and bonds backed by single family rentals.
Holdings of ABS and non-agency RMBS detracted overall from performance, as did an allocation to collateralized loan obligations (“CLOs”). Some subsectors that detracted from performance include consumer loan ABS, student loan ABS, and CLOs in the AAA and BB ratings categories.
Describe recent portfolio activity.
Over the period the Fund modestly decreased exposure to non-agency RMBS and ABS while slightly increasing exposure to CLOs and CMBS. A key theme was a focus on shorter-maturity, higher-quality, senior risk.
The Fund’s cash position averaged 6.3% during the period and was 6.9% at the end of the period as some positions were sold into strength and the managers sought to be selective in redeploying assets. The Fund’s cash position did not have a material impact on performance.
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 off-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.
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| 4 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series A Portfolio |
Performance
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | | | |
| 6-Month
Total Returns |
| | | | | | | 1 Year | | | | 5 Years | | |
| Since
Inception |
(c) |
BATS: Series A Portfolio | | | | | | | (3.31 | )% | | | | | | | (5.76 | )% | | | 2.01 | % | | | 3.58 | % |
Bloomberg U.S. Universal Index(d) | | | | | | | (9.36 | ) | | | | | | | (14.92 | ) | | | (0.18 | ) | | | 0.89 | |
Reference Benchmark(e) | | | | | | | (4.30 | ) | | | | | | | (8.82 | ) | | | 0.94 | | | | 1.38 | |
| | (a) | See “About Fund Performance” for a detailed description of performance related information. | |
| | (b) | 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. | |
| | (c) | The Fund commenced operations on September 21, 2015. | |
| | (d) | 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. | |
| | (e) | 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. | |
| | | 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
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | | | | | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | |
| Annualized
Expense
Ratio |
|
| $ | 1,000.00 | | | $ | 966.90 | | | $ | 0.00 | | | | | | | $ | 1,000.00 | | | $ | 1,025.07 | | | $ | 0.00 | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all 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 as of September 30, 2022 | | BATS: Series A Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | |
| Percent of
Total Investments |
(a) |
Asset-Backed Securities | | | 53.6 | % |
Non-Agency Mortgage-Backed Securities | | | 42.9 | |
U.S. Government Sponsored Agency Securities | | | 2.8 | |
Floating Rate Loan Interests | | | 0.6 | |
Corporate Bonds | | | 0.1 | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(b) | |
| Percent of
Total Investments |
(a) |
AAA/Aaa(c) | | | 34.3 | % |
AA/Aa | | | 4.3 | |
A | | | 4.6 | |
BBB/Baa | | | 2.8 | |
BB/Ba | | | 5.8 | |
B | | | 2.8 | |
CCC/Caa | | | 2.2 | |
CC/Ca | | | 2.3 | |
C | | | 0.5 | |
N/R | | | 40.4 | |
| (a) | | Total investments exclude short-term securities and TBA sale commitments. |
| (b) | | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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. |
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| 6 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 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 six-month period ended September 30, 2022, the Fund underperformed 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 allocation to capital securities was the largest detractor from performance, followed by overweights in technology and automotive issuers. (Capital securities are dividend-paying securities that combine some features of both corporate bonds and preferred stocks, while generally providing higher yields to compensate for being less senior in the issuers’ capital structures.) The Fund’s allocation to fallen angels (investment-grade issues that were downgraded to high yield) also detracted from results. On the other hand, underweights in media/entertainment, life insurance, pharmaceutical and integrated energy issuers contributed positively.
Describe recent portfolio activity.
At the beginning of the reporting period, the investment adviser’s activity was centered on reducing risk given signs that monetary policy was starting to have a negative impact on economic growth. Specifically, the investment adviser rotated from sectors sensitive to credit spreads—such as capital securities, emerging market debt and fallen angels—to more defensive sectors such as utilities, taxable municipals and pharmaceuticals. As market volatility continued to rise, the investment adviser focused on selectively increasing the Fund’s issuer overweights and underweights with the expectation that the market would experience a higher dispersion of return across sectors and issuers. It added risk in communications and non-cyclical issues, while trimming in consumer-oriented areas such as retailers.
Outside of relative value trading, the investment adviser increased the Fund’s overweight in banks as heavy issuance in the primary market caused yield spreads to widen. The investment adviser also reduced the portfolio’s allocation to European banks due to the deteriorating outlook for economic growth in the region. With respect to duration (interest rate sensitivity), the Fund moved from an underweight versus the benchmark to an overweight after the sell-off that followed the Fed’s September 2022 meeting.
Describe portfolio positioning at period end.
The Fund’s largest overweights were in the banking, technology, midstream energy and automotive sectors, while its largest underweights were in the sovereign, media and entertainment, life insurance and pharmaceuticals sectors. The Fund’s duration was longer than that of the benchmark.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series C Portfolio |
Performance
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | | | |
| 6-Month
Total Returns |
| | | | | | | 1 Year | | | | 5 Years | | | | 10 Years | |
BATS: Series C Portfolio | | | | | | | (11.57 | )% | | | | | | | (17.87 | )% | | | 0.40 | % | | | 2.08 | % |
Bloomberg U.S. Credit Index(c) | | | | | | | (11.50 | ) | | | | | | | (17.89 | ) | | | (0.05 | ) | | | 1.58 | |
| | (a) | See “About Fund Performance” for a detailed description of performance related information. | |
| | (b) | 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. | |
| | (c) | 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. | |
| | | 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
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | | | | | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | |
| Annualized
Expense
Ratio |
|
| $ | 1,000.00 | | | $ | 884.30 | | | $ | 0.01 | | | | | | | $ | 1,000.00 | | | $ | 1,025.06 | | | $ | 0.00 | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all 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 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series C Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | |
| Percent of
Total Investments |
(a) |
Corporate Bonds | | | 88.9 | % |
U.S. Treasury Obligations | | | 3.5 | |
Preferred Securities | | | 2.7 | |
Municipal Bonds | | | 2.5 | |
Foreign Government Obligations | | | 2.0 | |
Foreign Agency Obligations | | | 0.4 | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(b) | |
| Percent of
Total Investments |
(a) |
AAA/Aaa(c) | | | 4.9 | % |
AA/Aa | | | 3.8 | |
A | | | 34.9 | |
BBB/Baa | | | 54.8 | |
BB/Ba | | | 1.6 | |
| (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 as of September 30, 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 six-month period ended September 30, 2022, the Fund underperformed 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”). 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 long duration positioning (above-average interest rate sensitivity) detracted in the rising-rate environment. Yield curve positioning also detracted due to holdings in bonds with maturities of 20 years and longer. Positions in securities with coupons below 5%, which tend to have above-average interest rate sensitivity, further hurt results. An overweight in high yield bonds was an additional detractor, as was the Fund’s use of leverage. On a sector basis, overweights in the education, development districts and healthcare sectors cost the Fund some relative performance.
Income was the leading contributor to results at a time in which bond prices generally declined. The Fund’s position in cash, while limited, nonetheless contributed given the negative return for the broader market. At the sector level, positions in school districts and local tax-backed issues helped relative performance.
The Fund actively sought to manage interest rate risk using U.S. Treasury futures. Since Treasury yields rose in response to the Fed’s shift to tighter monetary policy, this strategy contributed to results. (Prices and yields move in opposite directions.)
Describe recent portfolio activity.
The Fund maintained its long duration positioning throughout the period, although the use of U.S. Treasury futures reduced the portfolio’s interest rate sensitivity. The investment adviser picked up tax-loss harvesting activity as bond prices moved materially lower. In some cases, the investment adviser took the opportunity to add back to positions at higher yields.
Market volatility was elevated as markets grappled with rising inflation and more hawkish monetary policy, leading to outflows from municipal bond funds. In response, the investment adviser opted to keep an above-average weighting in cash to meet redemptions. When replenishing cash reserves, the investment adviser first sold its positions in more defensive market segments that had outperformed—such as pre-refunded bonds—and maintained holdings in those it believed had the highest potential for price appreciation.
The investment adviser sought to capitalize on rising yields by moving up in credit quality to capture the increasingly attractive yield spreads in higher-rated securities. The Fund’s weighting in higher-quality municipals rose as a result, while its allocation to lower-quality bonds declined.
At the sector level, the most notable increases occurred in corporate-backed and education issues. The largest decreases occurred in pre-refunded bonds and healthcare.
Describe portfolio positioning at period end.
The Fund remained long duration relative to the benchmark due to the more attractive yields and yield spreads available following the sell-off of the past year. It was overweight in longer-term bonds, specifically those with maturities of 20 years and above, as well as in non-investment-grade issues. Notable sector-level overweights included education (led by charter schools), development districts and healthcare. State tax-backed, local tax-backed and school districts were the largest underweights, highlighting the team’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.
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| 10 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series E Portfolio |
Performance
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | |
| 6-Month
Total Returns |
| | | | | | | 1 Year | | | | 5 Years | | |
| Since
Inception |
(c) |
BATS: Series E Portfolio | | | | | (10.60 | )% | | | | | | | (15.60 | )% | | | 2.28 | % | | | 4.17 | % |
Bloomberg Municipal High Yield Bond Index(d) | | | | | (10.16 | ) | | | | | | | (15.05 | ) | | | 2.31 | | | | 3.57 | |
Customized Reference Benchmark(e) | | | | | (7.66 | ) | | | | | | | (12.75 | ) | | | 1.21 | | | | N/A | |
| | (a) | See “About Fund Performance” for a detailed description of performance related information. | |
| | (b) | The Fund will invest in investment grade and non-investment grade municipal bonds. | |
| | (c) | The Fund commenced operations on August 4, 2014. | |
| | (d) | 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. | |
| | (e) | 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. | |
| | | 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 | |
| | | | | | | Including
Interest Expense and Fees | | | Excluding
Interest Expense and Fees | | | | | | | | | Including
Interest Expense and Fees | | | Excluding
Interest Expense and Fees | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During the Period |
(a) | |
| Expenses
Paid During the Period |
(b) | | | | | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(b) |
| $ | 1,000.00 | | | $ | 894.00 | | | $ | 0.39 | | | $ | 0.00 | | | | | | | $ | 1,000.00 | | | $ | 1,024.65 | | | $ | 0.41 | | | $ | 1,025.10 | | | $ | 0.00 | |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.08%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term. | |
| | (b) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 183/365 (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 | | | 30.2 | % |
Education | | | 19.2 | |
Health Care | | | 14.7 | |
Transportation | | | 13.9 | |
Utilities | | | 10.2 | |
Tobacco | | | 6.0 | |
Housing | | | 5.8 | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(b) | |
| Percent of
Total Investments |
(a) |
AAA/Aaa | | | 0.8 | % |
AA/Aa | | | 10.7 | |
A | | | 16.5 | |
BBB/Baa | | | 11.8 | |
BB/Ba | | | 9.1 | |
B | | | 1.7 | |
N/R | | | 49.4 | |
| (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. |
| | |
| Fund Summary as of September 30, 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 six-month period ended September 30, 2022, the Fund outperformed 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?
The largest contributors to the Fund’s performance included active positioning with respect to duration and corresponding interest rate sensitivity. 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.
Detractors from the Fund’s relative performance over the period included interest rate volatility strategies and out-of-benchmark exposure to commercial mortgage-backed securities (“CMBS”).
Describe recent portfolio activity.
Within agency MBS, the Fund shifted to a defensive stance on lower coupons on the view that prepayment dynamics were unfavorable. The Fund’s allocation to CMBS was reduced modestly over the period while continuing to favor single-asset/single-borrower (“SASB”) issues.
The Fund’s cash position was 5.8% at period end and averaged 5.3% over the six-month period. The Fund’s cash position did not have a material impact on the Fund’s return for the period.
Describe portfolio positioning at period end.
The Fund was positioned overweight Agency MBS relative to the benchmark, on a view that MBS valuations are at historically attractive levels. Despite compelling valuations, the MBS overweight was modest in size in acknowledgment of the elevated state of macro uncertainty. Within the MBS sector, the Fund favored an overweight in higher coupons relative to an underweight in lower coupons. This coupon stack positioning was motivated by attractive relative value and an assessment that lower coupons remain vulnerable to slowing prepayment speeds and duration extension. The Fund also favored specified pools relative to TBAs, based on attractive relative valuations and a weakened outlook for TBA dollar rolls. Within securitized assets, the Fund favored high quality SASB CMBS, as well as Agency CMBS. The Fund closed the period positioned neutral duration with respect to 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.
| | |
| 12 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series M Portfolio |
Performance
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | | | |
| 6-Month
Total Returns |
| | | | | | | 1 Year | | | | 5 Years | | | | 10 Years | |
BATS: Series M Portfolio | | | | | | | (8.68 | )% | | | | | | | (13.91 | )% | | | (0.42 | )% | | | 0.95 | % |
Bloomberg MBS Index(c) | | | | | | | (9.14 | ) | | | | | | | (13.98 | ) | | | (0.92 | ) | | | 0.51 | |
| | (a) | See “About Fund Performance” for a detailed description of performance related information. | |
| | (b) | 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. | |
| | (c) | 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. | |
| | | 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
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | | | | | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value (09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | |
| Annualized
Expense
Ratio |
|
| $ | 1,000.00 | | | $ | 913.20 | | | $ | 0.00 | | | | | | | $ | 1,000.00 | | | $ | 1,025.07 | | | $ | 0.00 | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all 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
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | |
| Percent of
Total Investments |
(a) |
U.S. Government Sponsored Agency Securities | | | 89.6 | % |
Non-Agency Mortgage-Backed Securities | | | 10.4 | |
Asset-Backed Securities | | | —(b) | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(c) | |
| Percent of
Total Investments |
(a) |
AAA/Aaa(d) | | | 95.8 | % |
AA/Aa | | | 1.4 | |
A | | | 0.4 | |
BBB/Baa | | | 0.3 | |
N/R | | | 2.1 | |
| (a) | | Total investments exclude short-term securities, options written 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. |
| | |
| Fund Summary as of September 30, 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 six-month period ended September 30, 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 BlackRock Allocation Target Shares: Series S Portfolio (“Series S Portfolio”), a short-term proprietary fund. The use of derivatives is necessary to achieve the Fund’s objective and should therefore be evaluated in a portfolio context and not as a standalone strategy. The Fund’s use of derivatives contributed to results given that bond yields moved higher in the period.
The Fund’s position in the Series S Portfolio—which was hurt by its holdings in the bond market’s spread sectors—detracted from performance.
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 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.
| | |
| 14 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series P Portfolio |
Performance
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | | | |
| 6-Month
Total Returns |
| | | | | | | 1 Year | | | | 5 Years | | |
| Since
Inception |
(c) |
BATS: Series P Portfolio | | | | | | | 11.40 | % | | | | | | | 18.27 | % | | | 1.97 | % | | | 0.26 | % |
Bloomberg U.S. Treasury 7-10 Year Bond Index(d) | | | | | | | (9.75 | ) | | | | | | | (15.43 | ) | | | (0.38 | ) | | | 0.69 | |
Bloomberg U.S. Bellwether 10 Year Swap Index(e) | | | | | | | (10.72 | ) | | | | | | | (16.75 | ) | | | (0.73 | ) | | | 0.72 | |
| | (a) | See “About Fund Performance” for a detailed description of performance related information. | |
| | (b) | The Fund may invest in a portfolio of securities and other financial instruments, including derivative instruments, in an attempt to provide returns that are the inverse of its benchmark index, the Bloomberg U.S. Treasury 7-10 Year Bond Index. | |
| | (c) | The Fund commenced operations on March 20, 2013. | |
| | (d) | 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. | |
| | (e) | 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. | |
| | | 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
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | | | | | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | |
| Annualized
Expense
Ratio |
|
| | $ 1,000.00 | | | | $ 1,114.00 | | | | $ 0.00 | | | | | | | | $ 1,000.00 | | | | $ 1,025.07 | | | | $ 0.00 | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all 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
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | |
| Percent of
Total Investments |
|
Fixed-Income Funds | | | 100.0 | % |
| | |
| Fund Summary as of September 30, 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 six-month period ended September 30, 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?
Securities that trade based off of their yield spreads over U.S. Treasuries suffered in an environment of rising yields and increasing investor risk aversion. The Fund’s out-of-benchmark allocations to investment-grade corporate bonds, commercial mortgage-backed securities (“CMBS”), mortgage-backed securities (“MBS”), emerging markets debt, asset-backed securities (“ABS”), and 15- and 30-year pass-throughs therefore detracted from performance. The Fund’s allocation to U.S. Treasuries contributed.
The Fund used derivatives to manage risk and adjust the portfolio’s interest-rate sensitivity, which marginally contributed to results. The Fund’s cash position had no material impact to performance.
Describe recent portfolio activity.
The Fund increased its allocations to ABS and reduced its allocations to U.S. Treasuries and corporate issues. The increase in ABS was primarily the result of additions in securities linked to prime auto and credit cards receivables that have been supported by continued strength in the consumer. Within the investment-grade corporate portfolio, the Fund reduced its allocations to the utilities and industrials 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.
| | |
| 16 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series S Portfolio |
Performance
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | | | |
| 6-Month
Total Returns |
| | | | | | | 1 Year | | | | 5 Years | | | | 10 Years | |
BATS: Series S Portfolio | | | | | | | (2.51 | )% | | | | | | | (5.91 | )% | | | 1.18 | % | | | 1.69 | % |
ICE BofA 1-3 Year U.S. Treasury Index(c) | | | | | | | (1.99 | ) | | | | | | | (4.85 | ) | | | 0.58 | | | | 0.60 | |
| | (a) | See “About Fund Performance” for a detailed description of performance related information. | |
| | (b) | 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. | |
| | (c) | 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. | |
| | | 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
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period( |
a) | | | | | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period( |
a) | |
| Annualized
Expense
Ratio |
|
| | $ 1,000.00 | | | | $ 974.90 | | | | $ 0.00 | | | | | | | | $ 1,000.00 | | | | $ 1,025.07 | | | | $ 0.00 | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all 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 as of September 30, 2022 | | BATS: Series S Portfolio |
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | |
| Percent of
Total Investments |
(a) |
Corporate Bonds | | | 32.8 | % |
Asset-Backed Securities | | | 26.4 | |
Non-Agency Mortgage-Backed Securities | | | 21.1 | |
U.S. Government Sponsored Agency Securities | | | 17.7 | |
U.S. Treasury Obligations | | | 1.1 | |
Foreign Agency Obligations | | | 0.6 | |
Foreign Government Obligations | | | 0.3 | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(b) | |
| Percent of
Total Investments |
(a) |
AAA/Aaa(c) | | | 60.5 | % |
AA/Aa | | | 4.0 | |
A | | | 14.6 | |
BBB/Baa | | | 15.5 | |
BB/Ba | | | 0.1 | |
N/R | | | 5.3 | |
| (a) | | Total investments exclude short-term securities and TBA sale commitments. |
| (b) | | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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. |
| | |
| 18 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
| Fund Summary as of September 30, 2022 | | BATS: Series V Portfolio |
Investment Objective
BATS: SeriesV 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.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended September 30, 2022, the Fund performed in line with 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?
Positive contributors to the Fund’s performance relative to the benchmark included holdings of variable rate demand notes (“VRDNs”) which quickly and efficiently repriced coupons in line with expected Fed rate increases.
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, as well as commercial paper holdings which had a maturity profile that did not keep pace with the Fed’s aggressive rate hikes. The Fund’s cash position had no material impact on performance.
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 as the Fed became increasingly hawkish in its efforts to combat inflation. As Fed rate hikes weighed on the performance of fixed-rate instruments, the Fund increased its exposure to VRDNs in order to be more defensively positioned. The Fund continued to prioritize maintaining a high level of liquidity.
Describe portfolio positioning at period end.
The Fund’s duration position at period end remained modestly longer than the benchmark. The Fund maintained a defensive bias amid expectations for continued Fed rate hikes.
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 as of September 30, 2022 | | BATS: Series V Portfolio |
Performance
| | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns(a)(b) | |
| | |
| 6-Month
Total Returns |
| | | | | | | 1 Year | | |
| Since
Inception |
(c) |
BATS: Series V Portfolio | | | 0.50 | % | | | | | | | 0.45 | % | | | 0.36 | % |
SIFMA Municipal Swap Index(d) | | | 0.52 | | | | | | | | 0.58 | | | | 0.42 | |
| | (a) | See “About Fund Performance” for a detailed description of performance related information. | |
| | (b) | 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. | |
| | (c) | Commencement of operations on May 5, 2021. | |
| | (d) | 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. | |
| | | 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
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | | | | | |
| Beginning
Account Value
(04/01/22) |
| |
| Ending
Account Value
(09/30/22) |
| |
| Expenses
Paid During
the Period |
(a) | |
| Annualized
Expense
Ratio |
|
| $ | 1,000.00 | | | $ | 1,005.00 | | | $ | 0.00 | | | | | | | $ | 1,000.00 | | | $ | 1,025.07 | | | $ | 0.00 | | | | 0.00 | % |
| | (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all 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
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | |
| Percent of
Net Assets |
|
Variable Rate Demand Notes | | | 78.3 | %% |
Municipal Bonds | | | 21.6 | |
Other Assets less Liabilities | | | 0.1 | |
| | |
| 20 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
About Fund Performance
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.
Disclosure of Expenses
Shareholders of each Fund may incur the following charges: (a) transactional expenses and (b) operating expenses, including administration fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund 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.
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A B O U T F U N D P E R F O R M A N C E / D I S C L O S U R E O F E X P E N S E S / T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G | | 21 |
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
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| 22 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) September 30, 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 | | | | 621 | | | $ | 584,157 | |
522 Funding CLO Ltd. | | | | | | | | | | | | |
Series 2018-3A, Class CR, (3 mo. LIBOR US + 2.05%), 4.76%, 10/20/31(a)(c) | | | | | | | 500 | | | | 459,217 | |
Series 2019-5A, Class AR, (3 mo. CME Term SOFR + 1.33%), 3.66%, 04/15/35(a)(c) | | | | | | | 430 | | | | 412,004 | |
ABFC Trust, Series 2007-WMC1, Class A2B, (1 mo. LIBOR US + 1.00%), 4.08%, 06/25/37(c) | | | | | | | 2,999 | | | | 2,472,767 | |
AccessLex Institute, Series 2007-A, Class A3, (3 mo. LIBOR US + 0.30%), 3.30%, 05/25/36(c) | | | | | | | 3,509 | | | | 3,391,489 | |
ACRES Commercial Realty Ltd., Series 2021-FL1, Class A, (1 mo. LIBOR US + 1.20%), 4.14%, 06/15/36(a)(c) | | | | | | | 4,754 | | | | 4,635,788 | |
AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3 mo. LIBOR US + 1.16%), 3.87%, 07/20/34(a)(c) | | | | | | | 4,000 | | | | 3,837,010 | |
AGL CLO 14 Ltd., Series 2021-14A, Class A, (3 mo. LIBOR US + 1.15%), 3.88%, 12/02/34(a)(c) | | | | | | | 15,870 | | | | 15,195,606 | |
AGL CLO 3 Ltd. | | | | | | | | | | | | |
Series 2020-3A, Class A, (3 mo. LIBOR US + 1.30%), 3.81%, 01/15/33(a)(c) | | | | | | | 250 | | | | 242,113 | |
Series 2020-3A, Class D, (3 mo. LIBOR US + 3.30%), 5.81%, 01/15/33(a)(c) | | | | | | | 1,250 | | | | 1,135,304 | |
AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3 mo. LIBOR US + 1.07%), 3.78%, 04/20/33(a)(c) | | | | | | | 4,350 | | | | 4,218,188 | |
AGL Static CLO 18 Ltd., Series 2022-18A, Class B, (3 mo. CME Term SOFR + 2.00%), 3.12%, 04/21/31(a)(c) | | | | | | | 1,840 | | | | 1,758,039 | |
AIG CLO Ltd., Series 2018-1A, Class A1R, (3 mo. LIBOR US + 1.12%), 3.83%, 04/20/32(a)(c) | | | | | | | 1,740 | | | | 1,695,455 | |
AIMCO CLO | | | | | | | | | | | | |
Series 2017-AA, Class AR, (3 mo. LIBOR US + 1.05%), 3.76%, 04/20/34(a)(c) | | | | | | | 2,500 | | | | 2,388,554 | |
Series 2018-BA, Class AR, (3 mo. LIBOR US + 1.10%), 3.61%, 01/15/32(a)(c) | | | | | | | 1,000 | | | | 972,568 | |
Ajax Mortgage Loan Trust | | | | | | | | | | | | |
Series 2017-D, Class B, 0.00%, 12/25/57(a)(c)(d) | | | | | | | 72 | | | | 57,964 | |
Series 2018-A, Class B, 0.00%, 04/25/58(a) | | | | | | | 17 | | | | 17,110 | |
Series 2018-B, Class B, 0.00%, 02/26/57(a) | | | | | | | 74 | | | | 53,788 | |
Series 2018-D, Class B, 0.00%, 08/25/58(a)(c) | | | | | | | 7 | | | | 4,983 | |
Series 2018-E, Class C, 0.00%, 06/25/58(a)(c) | | | | | | | 4 | | | | 4,047 | |
Series 2018-F, Class C, 0.00%, 11/25/58(a) | | | | | | | 89 | | | | 58,232 | |
Series 2019-E, Class A, 3.00%, 09/25/59(a)(b) | | | | | | | 1,354 | | | | 1,331,840 | |
Series 2019-E, Class B, 4.88%, 09/25/59(a)(b) | | | | | | | 350 | | | | 342,304 | |
Series 2019-E, Class C, 0.00%, 09/25/59(a) | | | | | | | 738 | | | | 661,638 | |
Series 2019-G, Class A, 3.00%, 09/25/59(a)(b) | | | | | | | 1,570 | | | | 1,491,513 | |
Series 2019-G, Class B, 4.25%, 09/25/59(a)(b) | | | | | | | 224 | | | | 196,664 | |
Series 2019-G, Class C, 0.00%, 09/25/59(a) | | | | | | | 568 | | | | 300,361 | |
Series 2019-H, Class A, 3.00%, 11/25/59(a)(b) | | | | | | | 445 | | | | 435,523 | |
Series 2019-H, Class B, 4.25%, 11/25/59(a)(b) | | | | | | | 140 | | | | 135,618 | |
Series 2019-H, Class C, 0.00%, 11/25/59(a) | | | | | | | 338 | | | | 317,469 | |
Series 2020-A, Class A, 2.38%, 12/25/59(a)(b) | | | | | | | 6,857 | | | | 6,662,295 | |
Series 2020-A, Class B, 3.50%, 12/25/59(a)(b) | | | | | | | 999 | | | | 954,386 | |
Series 2020-A, Class C, 0.00%, 12/25/59(a) | | | | | | | 2,358 | | | | 1,476,613 | |
Series 2020-C, Class A, 2.25%, 09/27/60(a)(b) | | | | | | | 162 | | | | 158,774 | |
Series 2020-C, Class B, 5.00%, 09/27/60(a)(b) | | | | | | | 250 | | | | 240,717 | |
Series 2020-C, Class C, 0.00%, 09/27/60(a) | | | | | | | 785 | | | | 712,339 | |
Series 2020-D, Class A, 2.25%, 06/25/60(a)(b) | | | | | | | 613 | | | | 577,047 | |
Series 2020-D, Class B, 5.00%, 06/25/60(a)(b) | | | | | | | 350 | | | | 336,037 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Ajax Mortgage Loan Trust | | | | | | | | | | | | |
Series 2020-D, Class C, 0.00%, 06/25/60(a) | | | USD | | | | 827 | | | $ | 740,648 | |
Series 2021-C, Class A,
2.12%, 01/25/61(a)(b) | | | | | | | 3,361 | | | | 3,097,303 | |
Series 2021-C, Class B,
3.72%, 01/25/61(a)(b) | | | | | | | 817 | | | | 751,562 | |
Series 2021-C, Class C, 0.00%, 01/25/61(a) | | | | | | | 2,064 | | | | 1,927,519 | |
Series 2021-D, Class A,
2.00%, 03/25/60(a)(b) | | | | | | | 9,225 | | | | 8,413,011 | |
Series 2021-D, Class B,
4.00%, 03/25/60(a)(c) | | | | | | | 1,634 | | | | 1,494,670 | |
Series 2021-D, Class C,
0.00%, 03/25/60(a)(c)(d) | | | | | | | 2,415 | | | | 1,487,558 | |
Series 2021-E, Class A1,
1.74%, 12/25/60(a)(c) | | | | | | | 12,762 | | | | 10,801,250 | |
Series 2021-E, Class A2,
2.69%, 12/25/60(a)(c) | | | | | | | 1,770 | | | | 1,412,964 | |
Series 2021-E, Class B1,
3.73%, 12/25/60(a)(c) | | | | | | | 1,068 | | | | 841,286 | |
Series 2021-E, Class B3,
4.01%, 12/25/60(a)(c) | | | | | | | 637 | | | | 377,855 | |
Series 2021-E, Class M1,
2.94%, 12/25/60(a)(c) | | | | | | | 698 | | | | 536,876 | |
Series 2021-E, Class SA,
0.00%, 12/25/60(a)(c) | | | | | | | 10 | | | | 4,791 | |
Series 2021-F, Class A, 1.88%, 06/25/61(a)(b) | | | | | | | 14,703 | | | | 13,322,659 | |
Series 2021-F, Class B,
3.75%, 06/25/61(a)(b) | | | | | | | 1,945 | | | | 1,773,747 | |
Series 2021-F, Class C,
0.00%, 06/25/61(a)(d) | | | | | | | 3,629 | | | | 3,135,478 | |
Allegro CLO II-S Ltd. | | | | | | | | | | | | |
Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 3.81%, 10/21/28(a)(c) | | | | | | | 1,595 | | | | 1,573,854 | |
Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.15%), 4.88%, 10/21/28(a)(c) | | | | | | | 300 | | | | 285,025 | |
Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 5.73%, 10/21/28(a)(c) | | | | | | | 750 | | | | 678,787 | |
Allegro CLO IV Ltd., Series 2016-1A, Class BR2, (3 mo. LIBOR US + 1.55%), 4.06%, 01/15/30(a)(c) | | | | | | | 350 | | | | 335,295 | |
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.13%), 3.87%, 01/17/31(a)(c) | | | | | | | 1,000 | | | | 981,299 | |
Allegro CLO XI Ltd. | | | | | | | | | | | | |
Series 2019-2A, Class A2A, (3 mo. LIBOR US + 1.85%), 4.59%, 01/19/33(a)(c) | | | | | | | 250 | | | | 241,518 | |
Series 2019-2A, Class C, (3 mo. LIBOR US + 3.00%), 5.74%, 01/19/33(a)(c) | | | | | | | 250 | | | | 233,576 | |
ALM Ltd. | | | | | | | | | | | | |
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), 4.36%, 10/15/29(a)(c) | | | | | | | 250 | | | | 238,200 | |
Series 2020-1A, Class B, (3 mo. LIBOR US + 2.00%), 4.51%, 10/15/29(a)(c) | | | | | | | 350 | | | | 324,152 | |
AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2, (3 mo. LIBOR US + 1.05%), 3.83%, 07/24/29(a)(c) | | | | | | | 902 | | | | 892,659 | |
AMSR Trust | | | | | | | | | | | | |
Series 2020-SFR4, Class F, 2.86%, 11/17/37(a) | | | | | | | 4,000 | | | | 3,527,408 | |
Series 2020-SFR4, Class G2, 4.87%, 11/17/37(a) | | | | | | | 2,537 | | | | 2,335,009 | |
Series 2021-SFR1, Class F, 3.60%, 06/17/38(a)(c) | | | | | | | 2,872 | | | | 2,313,708 | |
Series 2021-SFR2, Class F1, 3.28%, 08/17/38(a) | | | | | | | 3,756 | | | | 3,185,385 | |
Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3 mo. LIBOR US + 1.20%), 3.94%, 01/19/35(a)(c) | | | | | | | 380 | | | | 363,462 | |
Anchorage Capital CLO 3-R Ltd. | | | | | | | | | | | | |
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 3.84%, 01/28/31(a)(c) | | | | | | | 1,243 | | | | 1,222,278 | |
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 4.29%, 01/28/31(a)(c) | | | | | | | 1,250 | | | | 1,201,977 | |
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 4.64%, 01/28/31(a)(c) | | | | | | | 500 | | | | 457,916 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 23 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Anchorage Capital CLO 4-R Ltd. | | | | | | | | | | | | |
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 3.84%, 01/28/31(a)(c) | | | USD | | | | 2,550 | | | $ | 2,508,421 | |
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 4.64%, 01/28/31(a)(c) | | | | | | | 1,500 | | | | 1,379,200 | |
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 5.39%, 01/28/31(a)(c) | | | | | | | 750 | | | | 671,442 | |
Anchorage Capital CLO 5-R Ltd. | | | | | | | | | | | | |
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 3.96%, 01/15/30(a)(c) | | | | | | | 2,070 | | | | 2,008,715 | |
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 4.36%, 01/15/30(a)(c) | | | | | | | 3,500 | | | | 3,327,427 | |
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.40%), 7.91%, 01/15/30(a)(c) | | | | | | | 1,000 | | | | 842,502 | |
Anchorage Capital CLO 7 Ltd. | | | | | | | | | | | | |
Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 3.88%, 01/28/31(a)(c) | | | | | | | 750 | | | | 737,086 | |
Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 4.54%, 01/28/31(a)(c) | | | | | | | 1,500 | | | | 1,434,958 | |
Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 4.99%, 01/28/31(a)(c) | | | | | | | 625 | | | | 579,472 | |
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%),
6.29%, 01/28/31(a)(c) | | | | | | | 1,000 | | | | 902,722 | |
Anchorage Capital CLO 8 Ltd. | | | | | | | | | | | | |
Series 2016-8A, Class AR2A, (3 mo. LIBOR US + 1.20%),
3.97%, 10/27/34(a)(c) | | | | | | | 5,000 | | | | 4,816,732 | |
Series 2016-8A, Class BR2, (3 mo. LIBOR US + 1.80%), 4.57%, 10/27/34(a)(c) | | | | | | | 1,000 | | | | 942,466 | |
Series 2016-8A, Class CR2, (3 mo. LIBOR US + 2.40%), 5.17%, 10/27/34(a)(c) | | | | | | | 1,000 | | | | 908,052 | |
Anchorage Capital CLO Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 3.71%, 10/13/30(a)(c) | | | | | | | 330 | | | | 325,636 | |
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 4.61%, 10/13/30(a)(c) | | | | | | | 500 | | | | 473,870 | |
Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.80%), 9.26%, 10/13/30(a)(c) | | | | | | | 1,000 | | | | 896,321 | |
Series 2018-10A, Class A2, (3 mo. LIBOR US + 1.50%), 4.01%, 10/15/31(a)(c) | | | | | | | 450 | | | | 437,285 | |
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 3.59%, 04/15/31(a)(c) | | | | | | | 1,387 | | | | 1,355,487 | |
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 3.72%, 04/20/31(a)(c) | | | | | | | 1,000 | | | | 978,401 | |
Apidos CLO XX, Series 2015-20A, Class A1RA, (3 mo. LIBOR US + 1.10%), 3.84%, 07/16/31(a)(c) | | | | | | | 360 | | | | 349,634 | |
Apidos CLO XXVI, Series 2017-26A, Class BR, (3 mo. LIBOR US + 1.95%), 4.69%, 07/18/29(a)(c) | | | | | | | 2,830 | | | | 2,645,970 | |
Apidos CLO XXX, Series XXXA, Class A1A, (3 mo. LIBOR US + 1.14%), 3.88%, 10/18/31(a)(c) | | | | | | | 400 | | | | 388,828 | |
Apidos CLO XXXIX, Series 2022-39A, Class A1, (3 mo. CME Term SOFR + 1.30%), 2.04%, 04/21/35(a)(c) | | | | | | | 5,000 | | | | 4,796,512 | |
Apidos CLO XXXVI, Series 2021-36A, Class B, (3 mo. LIBOR US + 1.60%), 4.31%, 07/20/34(a)(c) | | | | | | | 250 | | | | 235,408 | |
Apidos CLO XXXVII, Series 2021-37A, Class A, (3 mo. LIBOR US + 1.13%), 3.89%, 10/22/34(a)(c) | | | | | | | 1,780 | | | | 1,711,711 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Apidos CLO XXXVIII, Series 2021-38A, Class E2, (3 mo. LIBOR US + 7.75%), 10.48%, 01/21/34(a)(c) | | | USD | | | | 1,250 | | | $ | 1,108,183 | |
Apollo Credit Funding IV Ltd., Series 4A, Class A2R, (3 mo. LIBOR US + 1.60%), 4.11%, 07/15/30(a)(c) | | | | | | | 500 | | | | 476,509 | |
Aqua Finance Trust | | | | | | | | | | | | |
Series 2021-A, Class A, 1.54%, 07/17/46(a) | | | | | | | 323 | | | | 292,031 | |
Series 2021-A, Class B, 2.40%, 07/17/46(a) | | | | | | | 5,500 | | | | 4,547,115 | |
Arbor Realty Commercial Real Estate Notes Ltd. | | | | | | | | | | | | |
Series 2021-FL4, Class A, (1 mo. LIBOR US + 1.35%), 4.17%, 11/15/36(a)(c) | | | | | | | 546 | | | | 532,923 | |
Series 2022-FL2, Class A, (1 mo. CME Term SOFR + 1.85%), 4.70%, 05/15/37(a)(c) | | | | | | | 5,112 | | | | 5,001,881 | |
Ares L CLO Ltd., Series 2018-50A, Class BR, (3 mo. LIBOR US + 1.60%), 4.11%, 01/15/32(a)(c) | | | | | | | 1,000 | | | | 940,614 | |
Ares LIX CLO Ltd., Series 2021-59A, Class A, (3 mo. LIBOR US + 1.03%), 3.81%, 04/25/34(a)(c) | | | | | | | 250 | | | | 236,725 | |
Ares LVI CLO Ltd. | | | | | | | | | | | | |
Series 2020-56A, Class AR, (3 mo. LIBOR US + 1.16%), 3.94%, 10/25/34(a)(c) | | | | | | | 2,130 | | | | 2,049,639 | |
Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 9.28%, 10/25/34(a)(c) | | | | | | | 250 | | | | 215,971 | |
Ares XLI CLO Ltd., Series 2016-41A, Class BR, (3 mo. LIBOR US + 1.45%), 3.96%, 04/15/34(a)(c) | | | | | | | 2,500 | | | | 2,339,534 | |
Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3 mo. LIBOR US + 1.58%), 4.29%, 07/20/30(a)(c) | | | | | | | 680 | | | | 646,000 | |
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A1A, (3 mo. LIBOR US + 0.94%), 3.85%, 05/15/30(a)(c) | | | | | | | 750 | | | | 727,837 | |
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 3.68%, 10/15/30(a)(c) | | | | | | | 600 | | | | 590,483 | |
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), 3.56%, 05/25/35(c) | | | | | | | 45 | | | | 39,061 | |
ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27(a) | | | | | | | 138 | | | | 126,150 | |
Asset Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6, Class M6, (1 mo. LIBOR US + 1.11%), 4.19%, 07/25/35(c) | | | | | | | 914 | | | | 786,596 | |
ASSURANT CLO I Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.70%), 4.41%, 10/20/34(a)(c) | | | | | | | 1,400 | | | | 1,280,171 | |
Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.15%), 4.86%, 10/20/34(a)(c) | | | | | | | 250 | | | | 223,154 | |
ASSURANT CLO Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.04%), 3.75%, 04/20/31(a)(c) | | | | | | | 500 | | | | 486,552 | |
Atrium IX, Series 9A, Class AR2, (3 mo. LIBOR US + 0.99%), 4.03%, 05/28/30(a)(c) | | | | | | | 1,824 | | | | 1,792,072 | |
Atrium XIII | | | | | | | | | | | | |
Series 13A, Class A1, (3 mo. LIBOR US + 1.18%), 3.96%, 11/21/30(a)(c) | | | | | | | 500 | | | | 492,607 | |
Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 4.28%, 11/21/30(a)(c) | | | | | | | 1,250 | | | | 1,186,696 | |
| | |
| 24 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Atrium XIII | | | | | | | | | | | | |
Series 13A, Class C, (3 mo. LIBOR US + 1.80%), 4.58%, 11/21/30(a)(c) | | | USD | | | | 1,610 | | | $ | 1,494,484 | |
Bain Capital Credit CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.97%), 3.68%, 07/20/30(a)(c) | | | | | | | 1,250 | | | | 1,229,014 | |
Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.96%), 3.74%, 04/23/31(a)(c) | | | | | | | 250 | | | | 244,334 | |
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 3.82%, 07/19/31(a)(c) | | | | | | | 1,000 | | | | 978,756 | |
Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.17%), 3.88%, 10/20/34(a)(c) | | | | | | | 350 | | | | 335,006 | |
Ballyrock CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.60%), 4.31%, 04/20/31(a)(c) | | | | | | | 250 | | | | 234,819 | |
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22(c) | | | | | | | 5,740 | | | | 1,840,800 | |
Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31(a) | | | | | | | 1,940 | | | | 1,791,982 | |
Barings CLO Ltd. | | | | | | | | | | | | |
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 3.90%, 10/20/30(a)(c) | | | | | | | 1,000 | | | | 982,418 | |
Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 3.66%, 07/20/29(a)(c) | | | | | | | 644 | | | | 634,561 | |
Series 2019-3A, Class A1R, (3 mo. LIBOR US + 1.07%), 3.78%, 04/20/31(a)(c) | | | | | | | 1,170 | | | | 1,140,305 | |
Battalion CLO 18 Ltd. | | | | | | | | | | | | |
Series 2020-18A, Class AR, (3 mo. LIBOR US + 1.20%), 3.71%, 10/15/36(a)(c) | | | | | | | 500 | | | | 479,012 | |
Series 2020-18A, Class BR, (3 mo. LIBOR US + 1.75%), 4.26%, 10/15/36(a)(c) | | | | | | | 1,000 | | | | 934,293 | |
Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%), 3.81%, 07/18/30(a)(c) | | | | | | | 1,250 | | | | 1,224,231 | |
Battalion CLO X Ltd., Series 2016-10A, Class A1R2, (3 mo. LIBOR US + 1.17%), 3.95%, 01/25/35(a)(c) | | | | | | | 3,230 | | | | 3,107,142 | |
Battalion CLO XII Ltd., Series 2018-12A, Class B2R, (3 mo. LIBOR US + 2.08%), 5.02%, 05/17/31(a)(c) | | | | | | | 250 | | | | 240,982 | |
Battalion CLO XX Ltd., Series 2021-20A, Class A, (3 mo. LIBOR US + 1.18%), 3.69%, 07/15/34(a)(c) | | | | | | | 3,000 | | | | 2,880,259 | |
Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class B2, (1 mo. LIBOR US + 2.48%), 5.59%, 02/28/41(c) | | | | | | | 5,459 | | | | 5,216,656 | |
Bayview Financial Revolving Asset Trust | | | | | | | | | | | | |
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 4.11%, 02/28/40(a)(c) | | | | | | | 4,063 | | | | 3,806,007 | |
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 4.11%, 12/28/40(a)(c) | | | | | | | 1,804 | | | | 1,818,453 | |
Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.93%), 4.04%, 12/28/40(a)(c) | | | | | | | 1,478 | | | | 1,531,065 | |
BDS Ltd. | | | | | | | | | | | | |
Series 2021-FL7, Class A, (1 mo. LIBOR US + 1.07%), 4.06%, 06/16/36(a)(c) | | | | | | | 3,030 | | | | 2,917,606 | |
Series 2021-FL9, Class A, (1 mo. LIBOR US + 1.07%), 4.06%, 11/16/38(a)(c) | | | | | | | 1,870 | | | | 1,800,150 | |
Series 2022-FL11, Class ATS, (1 mo. CME Term SOFR + 1.80%), 4.82%, 03/19/39(a)(c) | | | | | | | 6,888 | | | | 6,706,509 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Bear Stearns Asset-Backed Securities I Trust | | | | | | | | | | | | |
Series 2005-HE8, Class M3, (1 mo. LIBOR US + 1.95%), 5.03%, 08/25/35(c) | | | USD | | | | 4,225 | | | $ | 4,066,900 | |
Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.34%), 3.42%, 09/25/36(c) | | | | | | | 139 | | | | 133,857 | |
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 3.40%, 03/25/37(c) | | | | | | | 918 | | | | 824,445 | |
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 3.22%, 03/25/37(c) | | | | | | | 55 | | | | 51,239 | |
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 3.43%, 04/25/37(c) | | | | | | | 309 | | | | 298,114 | |
Benefit Street Partners CLO II Ltd., Series 2013- IIA, Class A2R2, (3 mo. LIBOR US + 1.45%), 3.96%, 07/15/29(a)(c) | | | | | | | 1,680 | | | | 1,631,396 | |
Benefit Street Partners CLO Ltd. | | | | | | | | | | | | |
Series 2015-6BR, Class A, (3 mo. LIBOR US + 1.19%), 3.90%, 07/20/34(a)(c) | | | | | | | 1,460 | | | | 1,388,068 | |
Series 2015-6BR, Class B, (3 mo. LIBOR US + 1.80%), 4.51%, 07/20/34(a)(c) | | | | | | | 250 | | | | 235,645 | |
Benefit Street Partners CLO V-B Ltd., Series 2018- 5BA, Class A1A, (3 mo. LIBOR US + 1.09%), 3.80%, 04/20/31(a)(c) | | | | | | | 1,000 | | | | 978,999 | |
Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 3.81%, 01/20/31(a)(c) | | | | | | | 1,900 | | | | 1,855,290 | |
Benefit Street Partners CLO XIX Ltd., Series 2019- 19A, Class B, (3 mo. LIBOR US + 2.00%), 4.51%, 01/15/33(a)(c) | | | | | | | 250 | | | | 237,826 | |
Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.08%), 3.86%, 04/30/31(a)(c) | | | | | | | 250 | | | | 244,682 | |
BHG Securitization Trust | | | | | | | | | | | | |
Series 2021-A, Class A, 1.42%, 11/17/33(a) | | | | | | | 196 | | | | 182,129 | |
Series 2021-A, Class B, 2.79%, 11/17/33(a) | | | | | | | 3,714 | | | | 3,191,156 | |
Series 2021-B, Class C, 2.24%, 10/17/34(a) | | | | | | | 5,380 | | | | 4,444,978 | |
Series 2021-B, Class D, 3.17%, 10/17/34(a) | | | | | | | 145 | | | | 117,717 | |
Series 2022-A, Class C, 3.08%, 02/20/35(a) | | | | | | | 8,542 | | | | 7,026,286 | |
Series 2022-A, Class D, 3.56%, 02/20/35(a) | | | | | | | 975 | | | | 789,397 | |
Series 2022-A, Class E, 4.30%, 02/20/35(a) | | | | | | | 700 | | | | 550,464 | |
Series 2022-C, Class A, 5.32%, 10/17/35(a) | | | | | | | 2,919 | | | | 2,918,921 | |
Series 2022-C, Class B, 5.93%, 10/17/35(a) | | | | | | | 880 | | | | 879,908 | |
Birch Grove CLO 2 Ltd. | | | | | | | | | | | | |
Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.26%), 4.00%, 10/19/34(a)(c) | | | | | | | 320 | | | | 305,079 | |
Series 2021-2A, Class B, (3 mo. LIBOR US + 1.75%), 4.49%, 10/19/34(a)(c) | | | | | | | 250 | | | | 235,832 | |
Birch Grove CLO Ltd. | | | | | | | | | | | | |
Series 19A, Class BR, (3 mo. LIBOR US + 1.75%), 5.04%, 06/15/31(a)(c) | | | | | | | 1,000 | | | | 932,585 | |
Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 6.64%, 06/15/31(a)(c) | | | | | | | 500 | | | | 477,882 | |
Series 2021-3A, Class D1, (3 mo. LIBOR US + 3.20%), 5.94%, 01/19/35(a)(c) | | | | | | | 750 | | | | 661,544 | |
BlueMountain CLO Ltd. | | | | | | | | | | | | |
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 3.94%, 10/22/30(a)(c) | | | | | | | 2,501 | | | | 2,457,039 | |
Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.60%), 4.36%, 10/22/30(a)(c) | | | | | | | 1,250 | | | | 1,192,611 | |
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.70%), 4.61%, 08/15/31(a)(c) | | | | | | | 700 | | | | 657,673 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 25 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
BlueMountain CLO XXIII Ltd. | | | | | | | | | | | | |
Series 2018-23A, Class A1, (3 mo. LIBOR US + 1.15%), 3.86%, 10/20/31(a)(c) | | | USD | | | | 250 | | | $ | 242,840 | |
Series 2018-23A, Class B, (3 mo. LIBOR US + 1.70%), 4.41%, 10/20/31(a)(c) | | | | | | | 750 | | | | 701,522 | |
Series 2018-23A, Class C, (3 mo. LIBOR US + 2.15%), 4.86%, 10/20/31(a)(c) | | | | | | | 950 | | | | 876,330 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3 mo. LIBOR US + 1.75%), 4.53%, 07/25/34(a)(c) | | | | | | | 420 | | | | 395,256 | |
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3 mo. LIBOR US + 1.26%), 3.77%, 04/15/34(a)(c) | | | | | | | 250 | | | | 240,539 | |
BlueMountain Fuji U.S. CLO III Ltd., Series 2017- 3A, Class B, (3 mo. LIBOR US + 1.38%), 3.89%, 01/15/30(a)(c) | | | | | | | 550 | | | | 517,863 | |
BPCRE Ltd., Series 2022-FL2, Class A, (1 mo. CME Term SOFR + 2.40%), 5.42%, 01/16/37(a)(c) | | | | | | | 2,763 | | | | 2,710,749 | |
Brex Commercial Charge Card Master Trust, | | | | | | | | | | | | |
Series 2021-1, Class A, 2.09%, 07/15/24(a) | | | | | | | 1,070 | | | | 1,049,506 | |
Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.23%), 3.94%, 07/20/34(a)(c) | | | | | | | 250 | | | | 239,554 | |
Bristol Park CLO Ltd. | | | | | | | | | | | | |
Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.45%), 3.96%, 04/15/29(a)(c) | | | | | | | 350 | | | | 334,518 | |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.95%), 5.46%, 04/15/29(a)(c) | | | | | | | 250 | | | | 227,232 | |
Burnham Park CLO Ltd. | | | | | | | | | | | | |
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.15%), 3.86%, 10/20/29(a)(c) | | | | | | | 3,716 | | | | 3,659,284 | |
Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.50%), 4.21%, 10/20/29(a)(c) | | | | | | | 500 | | | | 479,742 | |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.85%), 5.56%, 10/20/29(a)(c) | | | | | | | 250 | | | | 222,705 | |
Carbone CLO Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.14%), 3.85%, 01/20/31(a)(c) | | | | | | | 250 | | | | 245,579 | |
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3 mo. LIBOR US + 1.03%), 3.81%, 04/30/31(a)(c) | | | | | | | 2,350 | | | | 2,300,610 | |
Carlyle Global Market Strategies CLO Ltd. | | | | | | | | | | | | |
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.97%), 3.71%, 04/17/31(a)(c) | | | | | | | 3,754 | | | | 3,640,980 | |
Series 2014-3RA, Class A1B, (3 mo. LIBOR US + 1.30%), 4.07%, 07/27/31(a)(c) | | | | | | | 1,000 | | | | 966,212 | |
Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.50%), 11.21%, 07/20/32(a)(c) | | | | | | | 3 | | | | 2,676 | |
Carlyle U.S. CLO Ltd. | | | | | | | | | | | | |
Series 2018-4A, Class B, (3 mo. LIBOR US + 2.07%), 4.78%, 01/20/31(a)(c) | | | | | | | 2,430 | | | | 2,239,840 | |
Series 2021-10A, Class A, (3 mo. LIBOR US + 1.15%), 3.86%, 10/20/34(a)(c) | | | | | | | 4,360 | | | | 4,172,229 | |
Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.14%), 3.65%, 04/15/34(a)(c) | | | | | | | 250 | | | | 240,877 | |
Carrington Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.25%), 3.33%, 10/25/36(c) | | | | | | | 1,523 | | | | 1,264,850 | |
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.16%), 3.24%, 10/25/36(c) | | | | | | | 34 | | | | 33,022 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Carrington Mortgage Loan Trust | | | | | | | | | | | | |
Series 2007-FRE1, Class A3, (1 mo. LIBOR US + 0.26%), 3.34%, 02/25/37(c) | | | USD | | | | 5,029 | | | $ | 4,662,325 | |
CarVal CLO VC Ltd. | | | | | | | | | | | | |
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.25%), 5.76%, 10/15/34(a)(c) | | | | | | | 1,000 | | | | 904,094 | |
Series 2021-2A, Class E, (3 mo. LIBOR US + 6.75%), 9.26%, 10/15/34(a)(c) | | | | | | | 1,250 | | | | 1,122,571 | |
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44(a)(c) | | | | | | | 5,812 | | | | 5,427,158 | |
CBAM Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 3.96%, 07/20/30(a)(c) | | | | | | | 1,500 | | | | 1,478,293 | |
Series 2018-6A, Class B1R, (3 mo. CME Term SOFR + 2.36%),
4.69%, 01/15/31(a)(c) | | | | | | | 1,000 | | | | 935,612 | |
Series 2018-7A, Class B1, (3 mo. LIBOR US + 1.60%), 4.31%, 07/20/31(a)(c) | | | | | | | 500 | | | | 462,764 | |
Cedar Funding II CLO Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 3.79%, 04/20/34(a)(c) | | | | | | | 750 | | | | 715,511 | |
Series 2013-1A, Class BRR, (3 mo. LIBOR US + 1.35%), 4.06%, 04/20/34(a)(c) | | | | | | | 500 | | | | 465,011 | |
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.98%), 3.69%, 04/20/31(a)(c) | | | | | | | 1,400 | | | | 1,364,872 | |
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 3.84%, 07/17/31(a)(c) | | | | | | | 2,000 | | | | 1,945,449 | |
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3 mo. LIBOR US + 1.05%), 3.76%, 04/20/34(a)(c) | | | | | | | 500 | | | | 477,435 | |
Cedar Funding VII CLO Ltd. | | | | | | | | | | | | |
Series 2018-7A, Class A1, (3 mo. LIBOR US + 1.00%), 3.71%, 01/20/31(a)(c) | | | | | | | 350 | | | | 342,548 | |
Series 2018-7A, Class A2, (3 mo. LIBOR US + 1.13%), 3.84%, 01/20/31(a)(c) | | | | | | | 250 | | | | 240,111 | |
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1R, (3 mo. LIBOR US + 1.15%), 3.89%, 10/17/34(a)(c) | | | | | | | 2,750 | | | | 2,629,612 | |
Cedar Funding XI CLO Ltd. | | | | | | | | | | | | |
Series 2019-11A, Class A1R, (3 mo. LIBOR US + 1.05%), 4.09%, 05/29/32(a)(c) | | | | | | | 1,000 | | | | 972,814 | |
Series 2019-11A, Class A2R, (3 mo. LIBOR US + 1.35%), 4.39%, 05/29/32(a)(c) | | | | | | | 250 | | | | 239,696 | |
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 4.11%, 07/15/33(a)(c) | | | | | | | 1,000 | | | | 937,121 | |
CIFC Funding Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.75%), 4.49%, 07/16/30(a)(c) | | | | | | | 250 | | | | 238,975 | |
Series 2013-2A, Class A1L2, (3 mo. LIBOR US + 1.00%), 3.74%, 10/18/30(a)(c) | | | | | | | 1,580 | | | | 1,550,903 | |
Series 2014-2RA, Class A1, (3 mo. LIBOR US + 1.05%), 3.83%, 04/24/30(a)(c) | | | | | | | 249 | | | | 245,045 | |
Series 2014-3A, Class A1R2, (3 mo. LIBOR US + 1.20%), 3.96%, 10/22/31(a)(c) | | | | | | | 3,500 | | | | 3,395,000 | |
Series 2014-5A, Class A1R2, (3 mo. LIBOR US + 1.20%), 3.94%, 10/17/31(a)(c) | | | | | | | 5,250 | | | | 5,100,776 | |
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 3.87%, 01/22/31(a)(c) | | | | | | | 250 | | | | 245,316 | |
Series 2017-5A, Class A1, (3 mo. LIBOR US + 1.18%), 3.92%, 11/16/30(a)(c) | | | | | | | 250 | | | | 245,662 | |
| | |
| 26 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
CIFC Funding Ltd. | | | | | | | | | | | | |
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.00%), 3.74%, 04/18/31(a)(c) | | | USD | | | | 3,455 | | | $ | 3,369,330 | |
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.04%), 3.75%, 04/20/31(a)(c) | | | | | | | 250 | | | | 244,038 | |
Series 2018-4A, Class A2, (3 mo. LIBOR US + 1.70%), 4.44%, 10/17/31(a)(c) | | | | | | | 250 | | | | 236,748 | |
Series 2019-5A, Class A1R1, (3 mo. LIBOR US + 1.14%), 3.65%, 01/15/35(a)(c) | | | | | | | 250 | | | | 238,480 | |
Series 2020-3A, Class A1R, (3 mo. LIBOR US + 1.13%), 3.84%, 10/20/34(a)(c) | | | | | | | 7,000 | | | | 6,686,650 | |
Series 2021-4A, Class A, (3 mo. LIBOR US + 1.05%), 3.56%, 07/15/33(a)(c) | | | | | | | 3,000 | | | | 2,918,255 | |
Series 2021-4A, Class B, (3 mo. LIBOR US + 1.58%), 4.09%, 07/15/33(a)(c) | | | | | | | 2,500 | | | | 2,395,384 | |
Series 2021-4A, Class C, (3 mo. LIBOR US + 1.85%), 4.36%, 07/15/33(a)(c) | | | | | | | 1,000 | | | | 911,728 | |
Series 2021-5A, Class A, (3 mo. LIBOR US + 1.14%), 3.65%, 07/15/34(a)(c) | | | | | | | 1,700 | | | | 1,627,550 | |
Citibank Credit Card Issuance Trust, Series 2018- A2, Class A2, (1 mo. LIBOR US + 0.33%), 3.32%, 01/20/25(c) | | | | | | | 8,000 | | | | 7,999,245 | |
Citigroup Mortgage Loan Trust | | | | | | | | | | | | |
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 3.28%, 05/25/37(c) | | | | | | | 1,017 | | | | 743,673 | |
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.27%), 3.35%, 05/25/37(c) | | | | | | | 473 | | | | 346,397 | |
Series 2007-WFH2, Class M3, (1 mo. LIBOR US + 0.71%), 3.79%, 03/25/37(c) | | | | | | | 5,000 | | | | 4,585,438 | |
Series 2007-WFH4, Class M3A, (1 mo. LIBOR US + 2.50%), 5.58%, 07/25/37(c) | | | | | | | 1,000 | | | | 976,645 | |
Clear Creek CLO | | | | | | | | | | | | |
Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.20%), 3.91%, 10/20/30(a)(c) | | | | | | | 250 | | | | 244,989 | |
Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 5.66%, 10/20/30(a)(c) | | | | | | | 330 | | | | 295,726 | |
Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.30%), 9.01%, 10/20/30(a)(c) | | | | | | | 1,000 | | | | 836,676 | |
College Ave Student Loans LLC | | | | | | | | | | | | |
Series 2021-B, Class B, 2.42%, 06/25/52(a) | | | | | | | 660 | | | | 565,546 | |
Series 2021-B, Class C, 2.72%, 06/25/52(a) | | | | | | | 2,670 | | | | 2,270,440 | |
Series 2021-B, Class D, 3.78%, 06/25/52(a) | | | | | | | 500 | | | | 422,522 | |
Series 2021-C, Class B, 2.72%, 07/26/55(a) | | | | | | | 406 | | | | 344,015 | |
Series 2021-C, Class C, 3.06%, 07/26/55(a) | | | | | | | 3,764 | | | | 3,172,554 | |
Series 2021-C, Class D, 4.11%, 07/26/55(a) | | | | | | | 270 | | | | 226,032 | |
Conseco Finance Corp. | | | | | | | | | | | | |
Series 1996-10, Class B1, 7.24%, 11/15/28(c) | | | | | | | 51 | | | | 48,098 | |
Series 1998-4, Class M1, 6.83%, 04/01/30(c) | | | | | | | 995 | | | | 894,766 | |
Series 1998-8, Class M1, 6.98%, 09/01/30(c) | | | | | | | 923 | | | | 856,613 | |
Conseco Finance Securitizations Corp. | | | | | | | | | | | | |
Series 2000-1, Class A5, 8.06%, 09/01/29(c) | | | | | | | 2,165 | | | | 504,861 | |
Series 2000-4, Class A6, 8.31%, 05/01/32(c) | | | | | | | 2,157 | | | | 490,433 | |
Cook Park CLO Ltd., Series 2018-1A, Class B, (3 mo. LIBOR US + 1.40%), 4.14%, 04/17/30(a)(c) | | | | | | | 250 | | | | 235,073 | |
Countrywide Asset-Backed Certificates | | | | | | | | | | | | |
Series 2005-16, Class 1AF, 4.49%, 04/25/36(c) | | | | | | | 1,595 | | | | 1,361,533 | |
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.16%), 3.24%, 09/25/46(c) | | | | | | | 1 | | | | 1,449 | |
Series 2006-12, Class 1A, (1 mo. LIBOR US + 0.26%), 3.34%, 12/25/36(c) | | | | | | | 197 | | | | 179,064 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.27%), 3.09%, 03/15/34(c) | | | USD | | | | 14 | | | $ | 13,737 | |
Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 2.47%, 09/27/66(a)(c) | | | | | | | 6,383 | | | | 6,058,100 | |
Credit-Based Asset Servicing & Securitization LLC | | | | | | | | | | | | |
Series 2006-CB2, Class AF4, 3.02%, 12/25/36(b) | | | | | | | 17 | | | | 13,947 | |
Series 2006-MH1, Class B1, 6.25%, 10/25/36(a)(b) | | | | | | | 2,194 | | | | 2,068,863 | |
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.44%), 3.52%, 09/25/36(a)(c) | | | | | | | 5,690 | | | | 367,869 | |
CWHEQ Revolving Home Equity Loan Resuritization Trust | | | | | | | | | | | | |
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.30%), 3.12%, 12/15/33(a)(c) | | | | | | | 10 | | | | 10,234 | |
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.19%), 3.01%, 05/15/35(a)(c) | | | | | | | 3 | | | | 2,927 | |
CWHEQ Revolving Home Equity Loan Trust, | | | | | | | | | | | | |
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.18%), 3.00%, 05/15/36(c) | | | | | | | 832 | | | | 788,334 | |
Deer Creek CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.18%), 3.89%, 10/20/30(a)(c) | | | | | | | 1,000 | | | | 981,905 | |
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.65%), 4.36%, 10/20/30(a)(c) | | | | | | | 750 | | | | 709,917 | |
Dewolf Park CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.92%), 3.43%, 10/15/30(a)(c) | | | | | | | 8,000 | | | | 7,805,973 | |
Series 2017-1A, Class CR, (3 mo. LIBOR US + 1.85%), 4.36%, 10/15/30(a)(c) | | | | | | | 500 | | | | 460,402 | |
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.24%), 3.75%, 07/15/36(a)(c) | | | | | | | 1,030 | | | | 989,756 | |
Diameter Capital CLO 2 Ltd. | | | | | | | | | | | | |
Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.22%), 3.73%, 10/15/36(a)(c) | | | | | | | 250 | | | | 239,404 | |
Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.75%), 4.26%, 10/15/36(a)(c) | | | | | | | 500 | | | | 475,820 | |
Diameter Capital CLO 3 Ltd., Series 2022-3A,
Class A1A, (3 mo. CME Term SOFR + 1.39%), 3.72%, 04/15/37(a)(c) | | | | | | | 470 | | | | 451,588 | |
Dryden 37 Senior Loan Fund, Series 2015-37A,
Class AR, (3 mo. LIBOR US + 1.10%), 3.61%, 01/15/31(a)(c) | | | | | | | 1,250 | | | | 1,220,064 | |
Dryden 40 Senior Loan Fund, Series 2015-40A,
Class CR, (3 mo. LIBOR US + 2.10%), 5.01%, 08/15/31(a)(c) | | | | | | | 1,200 | | | | 1,112,599 | |
Dryden 42 Senior Loan Fund, Series 2016-42A,
Class CR, (3 mo. LIBOR US + 2.05%), 4.56%, 07/15/30(a)(c) | | | | | | | 250 | | | | 230,018 | |
Dryden 43 Senior Loan Fund, Series 2016-43A,
Class AR2, (3 mo. LIBOR US + 1.04%), 3.75%, 04/20/34(a)(c) | | | | | | | 1,620 | | | | 1,559,120 | |
Dryden 45 Senior Loan Fund, Series 2016-45A,
Class BR, (3 mo. LIBOR US + 1.70%), 4.21%, 10/15/30(a)(c) | | | | | | | 7,240 | | | | 6,804,684 | |
Dryden 49 Senior Loan Fund, Series 2017-49A,
Class AR, (3 mo. LIBOR US + 0.95%), 3.69%, 07/18/30(a)(c) | | | | | | | 1,000 | | | | 984,607 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 27 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.12%), 3.63%, 01/15/31(a)(c) | | | USD | | | | 2,000 | | | $ | 1,949,967 | |
Dryden 58 CLO Ltd., Series 2018-58A, Class B, (3 mo. LIBOR US + 1.50%), 4.24%, 07/17/31(a)(c) | | | | | | | 250 | | | | 235,782 | |
Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3 mo. LIBOR US + 1.05%), 3.56%, 07/15/31(a)(c) | | | | | | | 250 | | | | 242,846 | |
Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3 mo. LIBOR US + 1.60%), 4.34%, 07/18/30(a)(c) | | | | | | | 500 | | | | 472,021 | |
Dryden 77 CLO Ltd. | | | | | | | | | | | | |
Series 2020-77A, Class AR, (3 mo. LIBOR US + 1.12%), 4.10%, 05/20/34(a)(c) | | | | | | | 2,000 | | | | 1,925,365 | |
Series 2020-77A, Class XR, (3 mo. LIBOR US + 1.00%), 3.98%, 05/20/34(a)(c) | | | | | | | 234 | | | | 232,938 | |
Dryden 78 CLO Ltd., Series 2020-78A, Class B, (3 mo. LIBOR US + 1.50%), 4.24%, 04/17/33(a)(c) | | | | | | | 250 | | | | 234,779 | |
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3 mo. LIBOR US + 1.20%), 4.11%, 08/15/30(a)(c) | | | | | | | 1,247 | | | | 1,227,137 | |
Eaton Vance CLO Ltd. | | | | | | | | | | | | |
Series 2014-1RA, Class A2, (3 mo. LIBOR US + 1.49%), 4.00%, 07/15/30(a)(c) | | | | | | | 250 | | | | 239,732 | |
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.45%), 3.96%, 10/15/30(a)(c) | | | | | | | 250 | | | | 239,566 | |
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38(a) | | | | | | | 948 | | | | 889,940 | |
EDvestinU Private Education Loan Issue No. 3 LLC | | | | | | | | | | | | |
Series 2021-A, Class A, 1.80%, 11/25/45(a) | | | | | | | 293 | | | | 250,038 | |
Series 2021-A, Class B, 3.50%, 11/25/50(a) | | | | | | | 1,200 | | | | 951,784 | |
EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40(a) | | | | | | | 1,248 | | | | 1,217,119 | |
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 | | | | 10,097,669 | |
Series 2022-2A, Class D, (3 mo. CME Term SOFR + 3.67%), 4.31%, 04/22/35(a)(c) | | | | | | | 1,625 | | | | 1,466,951 | |
Elmwood CLO I Ltd., Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.45%), 4.16%, 10/20/33(a)(c) | | | | | | | 250 | | | | 242,006 | |
Elmwood CLO II Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 3.86%, 04/20/34(a)(c) | | | | | | | 2,250 | | | | 2,171,250 | |
Elmwood CLO IV Ltd., Series 2020-1A, Class A, (3 mo. LIBOR US + 1.24%), 3.75%, 04/15/33(a)(c) | | | | | | | 500 | | | | 485,607 | |
Elmwood CLO X Ltd., Series 2021-3A, Class C, (3 mo. LIBOR US + 1.95%), 4.66%, 10/20/34(a)(c) | | | | | | | 6,300 | | | | 5,748,225 | |
Elmwood CLO XII Ltd., Series 2021-5A, Class A, (3 mo. LIBOR US + 1.15%), 3.86%, 01/20/35(a)(c) | | | | | | | 960 | | | | 917,605 | |
FBR Securitization Trust, Series 2005-5, Class M2, (1 mo. LIBOR US + 0.71%), 3.79%, 11/25/35(c) | | | | | | | 2,770 | | | | 2,691,762 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.34%), 3.85%, 07/15/30(a)(c) | | | USD | | | | 250 | | | $ | 238,776 | |
First Franklin Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.28%), 3.36%, 12/25/36(c) | | | | | | | 493 | | | | 228,699 | |
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.15%), 3.23%, 12/25/36(c) | | | | | | | 1,735 | | | | 1,616,595 | |
FirstKey Homes Trust | | | | | | | | | | | | |
Series 2020-SFR1, Class G, 4.78%, 08/17/37(a) | | | | | | | 3,650 | | | | 3,258,296 | |
Series 2021-SFR1, Class F1, 3.24%, 08/17/38(a) | | | | | | | 4,464 | | | | 3,739,495 | |
Series 2021-SFR2, Class F1, 2.91%, 09/17/38(a) | | | | | | | 5,500 | | | | 4,554,707 | |
Series 2022-SFR1, Class E1, 5.00%, 05/17/39(a) | | | | | | | 4,000 | | | | 3,574,073 | |
Series 2022-SFR2, Class E1, 4.50%, 07/17/39(a) | | | | | | | 2,681 | | | | 2,324,134 | |
Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3 mo. CME Term SOFR + 1.21%), 3.69%, 04/17/31(a)(c) | | | | | | | 1,250 | | | | 1,223,508 | |
Flatiron CLO 19 Ltd. | | | | | | | | | | | | |
Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.08%), 4.00%, 11/16/34(a)(c) | | | | | | | 500 | | | | 482,242 | |
Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.00%), 5.92%, 11/16/34(a)(c) | | | | | | | 900 | | | | 788,279 | |
Foundation Finance Trust, Series 2021-2A, Class A, 2.19%, 01/15/42(a) | | | | | | | 2,540 | | | | 2,321,564 | |
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.28%), 3.36%, 02/25/37(c) | | | | | | | 2,193 | | | | 1,665,162 | |
FS Rialto Issuer Ltd. | | | | | | | | | | | | |
Series 2021-FL3, Class A, (1 mo. LIBOR US + 1.25%), 4.19%, 11/16/36(a)(c) | | | | | | | 2,205 | | | | 2,107,894 | |
Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 4.18%, 01/19/39(a)(c) | | | | | | | 12,331 | | | | 12,043,657 | |
Series 2022-FL5, Class A, (1 mo. CME Term SOFR + 2.30%), 5.32%, 06/19/37(a)(c) | | | | | | | 5,456 | | | | 5,360,920 | |
Series 2022-FL6, Class A, (1 mo. CME Term SOFR + 2.58%), 5.60%, 08/17/37(a)(c) | | | | | | | 3,288 | | | | 3,253,948 | |
Galaxy XIX CLO Ltd., Series 2015-19A, Class A1RR, (3 mo. LIBOR US + 0.95%), 3.73%, 07/24/30(a)(c) | | | | | | | 500 | | | | 490,525 | |
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, (3 mo. LIBOR US + 1.00%),
3.71%, 04/20/31(a)(c) | | | | | | | 3,000 | | | | 2,924,803 | |
Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3 mo. LIBOR US + 1.20%), 3.94%, 04/16/34(a)(c) | | | | | | | 1,000 | | | | 962,224 | |
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3 mo. LIBOR US + 1.02%),
3.94%, 05/16/31(a)(c) | | | | | | | 2,330 | | | | 2,268,600 | |
Generate CLO 2 Ltd. | | | | | | | | | | | | |
Series 2A, Class AR, (3 mo. LIBOR US + 1.15%), 3.91%, 01/22/31(a)(c) | | | | | | | 1,220 | | | | 1,193,234 | |
Series 2A, Class BR, (3 mo. LIBOR US + 1.45%), 4.21%, 01/22/31(a)(c) | | | | | | | 250 | | | | 233,789 | |
Series 2A, Class ER, (3 mo. LIBOR US + 5.65%), 8.41%, 01/22/31(a)(c) | | | | | | | 1,000 | | | | 850,625 | |
Generate CLO 3 Ltd., Series 3A, Class AR, (3 mo. LIBOR US + 1.25%), 3.96%, 10/20/29(a)(c) | | | | | | | 967 | | | | 954,008 | |
| | |
| 28 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Generate CLO 6 Ltd. | | | | | | | | | | | | |
Series 6A, Class A1R, (3 mo. LIBOR US + 1.20%), 3.96%, 01/22/35(a)(c) | | | USD | | | | 250 | | | $ | 238,567 | |
Series 6A, Class CR, (3 mo. LIBOR US + 2.45%), 5.21%, 01/22/35(a)(c) | | | | | | | 4,330 | | | | 3,939,444 | |
Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 6.26%, 01/22/35(a)(c) | | | | | | | 4,500 | | | | 3,954,219 | |
Generate CLO 7 Ltd., Series 7A, Class A1, (3 mo. LIBOR US + 1.37%),
4.13%, 01/22/33(a)(c) | | | | | | | 250 | | | | 242,584 | |
Gilbert Park CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.19%), 3.70%, 10/15/30(a)(c) | | | | | | | 250 | | | | 245,746 | |
GMACM Home Equity Loan Trust, Series 2006- HE1, Class A, (1 mo. LIBOR US + 0.32%), 3.40%, 11/25/36(c) | | | | | | | 8 | | | | 12,108 | |
GoldenTree Loan Management U.S. CLO 1 Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A1R2, (3 mo. LIBOR US + 1.02%), 3.73%, 04/20/34(a)(c) | | | | | | | 250 | | | | 240,539 | |
Series 2021-11A, Class A, (3 mo. LIBOR US + 1.13%), 3.84%, 10/20/34(a)(c) | | | | | | | 5,530 | | | | 5,282,344 | |
Series 2021-11A, Class E, (3 mo. LIBOR US + 5.35%), 8.06%, 10/20/34(a)(c) | | | | | | | 1,750 | | | | 1,416,765 | |
Series 2021-11A, Class EJ, (3 mo. LIBOR US + 7.75%), 10.46%, 10/20/34(a)(c) | | | | | | | 1,000 | | | | 883,721 | |
Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 7.46%, 01/20/33(a)(c) | | | | | | | 1,000 | | | | 786,174 | |
GoldenTree Loan Management U.S. CLO 10 Ltd., Series 2021-10A, Class A, (3 mo. LIBOR US + 1.10%), 3.81%, 07/20/34(a)(c) | | | | | | | 250 | | | | 239,558 | |
GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class AJ, (3 mo. LIBOR US + 1.30%), 4.01%, 04/20/30(a)(c) | | | | | | | 850 | | | | 818,791 | |
GoldenTree Loan Opportunities IX Ltd. | | | | | | | | | | | | |
Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.11%), 3.92%, 10/29/29(a)(c) | | | | | | | 864 | | | | 851,977 | |
Series 2014-9A, Class BR2, (3 mo. LIBOR US + 1.60%), 4.41%, 10/29/29(a)(c) | | | | | | | 250 | | | | 242,540 | |
Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.66%), 8.47%, 10/29/29(a)(c) | | | | | | | 750 | | | | 641,180 | |
GoldenTree Loan Opportunities XI Ltd., | | | | | | | | | | | | |
Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.07%), 3.81%, 01/18/31(a)(c) | | | | | | | 500 | | | | 489,474 | |
Goldman Home Improvement Trust, Series 2021- GRN2, Class B, 1.97%, 06/25/51(a) | | | | | | | 2,476 | | | | 2,157,278 | |
Golub Capital Partners CLO Ltd. | | | | | | | | | | | | |
Series 2021-53A, Class E, (3 mo. LIBOR US + 6.70%), 9.41%, 07/20/34(a)(c) | | | | | | | 250 | | | | 214,306 | |
Series 2021-55A, Class A, (3 mo. LIBOR US + 1.20%), 3.91%, 07/20/34(a)(c) | | | | | | | 330 | | | | 316,138 | |
Series 2021-58A, Class A1, (3 mo. LIBOR US + 1.18%), 3.96%, 01/25/35(a)(c) | | | | | | | 1,780 | | | | 1,711,511 | |
GoodLeap Sustainable Home Solutions Trust | | | | | | | | | | | | |
Series 2021-5CS, Class A, 2.31%, 10/20/48(a) | | | | | | | 3,854 | | | | 3,202,532 | |
Series 2022-3CS, Class A, 4.95%, 07/20/49(a) | | | | | | | 2,926 | | | | 2,801,927 | |
Gracie Point International Funding | | | | | | | | | | | | |
Series 2021-1A, Class A, (1 mo. LIBOR US + 0.75%), 3.31%, 11/01/23(a)(c) | | | | | | | 4,648 | | | | 4,627,289 | |
Series 2022-2A, Class A, (SOFR (30-day) + 2.75%), 5.20%, 07/01/24(a)(c) | | | | | | | 5,101 | | | | 5,098,388 | |
Series 2022-2A, Class B, (SOFR (30-day) + 3.35%), 5.80%, 07/01/24(a)(c) | | | | | | | 2,032 | | | | 2,030,955 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3 mo. CME Term SOFR + 1.55%), 4.06%, 04/15/33(a)(c) | | | USD | | | | 500 | | | $ | 481,672 | |
GSAA Home Equity Trust | | | | | | | | | | | | |
Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.70%), 3.78%, 12/25/35(c) | | | | | | | 283 | | | | 127,764 | |
Series 2006-4, Class 1A1, 2.98%, 03/25/36(c) | | | | | | | 750 | | | | 552,061 | |
Series 2007-2, Class AF3, 5.92%, 03/25/37(c) | | | | | | | 25 | | | | 5,300 | |
GSAMP Trust | | | | | | | | | | | | |
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.20%), 3.28%, 01/25/47(c) | | | | | | | 11 | | | | 5,863 | |
Series 2007-HS1, Class M5, (1 mo. LIBOR US + 3.38%), 6.46%, 02/25/47(c) | | | | | | | 3,566 | | | | 3,504,951 | |
Series 2007-HS1, Class M7, (1 mo. LIBOR US + 3.38%), 6.46%, 02/25/47(c) | | | | | | | 3,000 | | | | 2,719,430 | |
Gulf Stream Meridian 1 Ltd. | | | | | | | | | | | | |
Series 2020-IA, Class A1, (3 mo. LIBOR US + 1.37%), 3.88%, 04/15/33(a)(c) | | | | | | | 250 | | | | 242,596 | |
Series 2020-IA, Class B, (3 mo. LIBOR US + 2.00%), 4.51%, 04/15/33(a)(c) | | | | | | | 250 | | | | 235,993 | |
Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, (3 mo. LIBOR US + 1.32%), 3.83%, 04/15/34(a)(c) | | | | | | | 250 | | | | 241,516 | |
Gulf Stream Meridian 4 Ltd. | | | | | | | | | | | | |
Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.20%), 3.71%, 07/15/34(a)(c) | | | | | | | 9,250 | | | | 8,894,914 | |
Series 2021-4A, Class A2, (3 mo. LIBOR US + 1.85%), 4.36%, 07/15/34(a)(c) | | | | | | | 1,000 | | | | 954,003 | |
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3 mo. LIBOR US + 1.80%), 4.31%, 07/15/34(a)(c) | | | | | | | 650 | | | | 620,047 | |
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3 mo. CME Term SOFR + 1.36%), 3.69%, 07/15/35(a)(c) | | | | | | | 2,420 | | | | 2,327,382 | |
Highbridge Loan Management Ltd. | | | | | | | | | | | | |
Series 12A-18, Class D, (3 mo. LIBOR US + 5.15%), 7.89%, 07/18/31(a)(c) | | | | | | | 1,120 | | | | 927,000 | |
Series 3A-2014, Class A1R, (3 mo. LIBOR US + 1.18%), 3.92%, 07/18/29(a)(c) | | | | | | | 350 | | | | 344,880 | |
Series 7A-2015, Class BR, (3 mo. LIBOR US + 1.18%), 4.09%, 03/15/27(a)(c) | | | | | | | 250 | | | | 244,807 | |
Hipgnosis Music Assets LP, Series 2022-1, Class A, 5.00%, 05/16/62(a) | | | | | | | 3,919 | | | | 3,574,736 | |
Home Equity Asset Trust, Series 2006-3, Class M2, (1 mo. LIBOR US + 0.60%), 3.68%, 07/25/36(c) | | | | | | | 280 | | | | 250,281 | |
Home Equity Mortgage Loan Asset-Backed Trust, | | | | | | | | | | | | |
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.03%), 3.52%, 07/25/34(c) | | | | | | | 18 | | | | 17,471 | |
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) | | | | | | | 5,852 | | | | 5,033,095 | |
HPS Loan Management Ltd. | | | | | | | | | | | | |
Series 10A-16, Class A1RR, (3 mo. LIBOR US + 1.14%), 3.85%, 04/20/34(a)(c) | | | | | | | 7,260 | | | | 6,957,277 | |
Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 3.83%, 02/05/31(a)(c) | | | | | | | 745 | | | | 728,700 | |
ICG U.S. CLO Ltd. | | | | | | | | | | | | |
Series 2014-3A, Class A1RR, (3 mo. LIBOR US + 1.03%), 3.81%, 04/25/31(a)(c) | | | | | | | 249 | | | | 244,049 | |
Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.14%), 3.88%, 10/19/28(a)(c) | | | | | | | 781 | | | | 769,864 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 29 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Jamestown CLO XII Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 2.15%), 4.86%, 04/20/32(a)(c) | | | USD | | | | 250 | | | $ | 234,142 | |
Jamestown CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.34%), 3.85%, 04/15/33(a)(c) | | | | | | | 1,750 | | | | 1,685,178 | |
JPMorgan Mortgage Acquisition Trust, | | | | | | | | | | | | |
Series 2006-CH1, Class M7, (1 mo. LIBOR US + 0.80%), 3.88%, 07/25/36(c) | | | | | | | 3,498 | | | | 2,997,869 | |
Kapitus Asset Securitization LLC, Series 2022-1A, Class A, 3.38%, 07/10/28(a) | | | | | | | 3,913 | | | | 3,604,487 | |
KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3 mo. LIBOR US + 1.25%), 4.02%, 07/28/42(c) | | | | | | | 3,190 | | | | 2,936,131 | |
KKR CLO 10 Ltd., Series 10, Class BR, (3 mo. LIBOR US + 1.70%), 4.99%, 09/15/29(a)(c) | | | | | | | 640 | | | | 622,361 | |
KKR CLO 17 Ltd., Series 17, Class AR, (3 mo. LIBOR US + 1.08%), 3.59%, 04/15/34(a)(c) | | | | | | | 500 | | | | 478,816 | |
KKR CLO 23 Ltd., Series 23, Class E, (3 mo. LIBOR US + 6.00%), 8.71%, 10/20/31(a)(c) | | | | | | | 500 | | | | 424,980 | |
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.07%), 3.78%, 01/20/31(a)(c) | | | | | | | 2,000 | | | | 1,952,452 | |
LCM XVIII LP, Series 18A, Class A1R, (3 mo. LIBOR US + 1.02%), 3.73%, 04/20/31(a)(c) | | | | | | | 250 | | | | 244,700 | |
LCM XX LP, Series 20A, Class BR, (3 mo. LIBOR US + 1.55%), 4.26%, 10/20/27(a)(c) | | | | | | | 640 | | | | 624,726 | |
LCM XXI LP | | | | | | | | | | | | |
Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 3.59%, 04/20/28(a)(c) | | | | | | | 157 | | | | 155,317 | |
Series 21A, Class BR, (3 mo. LIBOR US + 1.40%), 4.11%, 04/20/28(a)(c) | | | | | | | 250 | | | | 244,437 | |
Legacy Mortgage Asset Trust | | | | | | | | | | | | |
Series 2019-SL2, Class A, 3.38%, 02/25/59(a)(c) | | | | | | | 1,510 | | | | 1,406,508 | |
Series 2019-SL2, Class B, 0.00%, 02/25/59(a)(d) | | | | | | | 501 | | | | 75,216 | |
Series 2019-SL2, Class M, 4.25%, 02/25/59(a)(c) | | | | | | | 604 | | | | 477,322 | |
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33 | | | | | | | 586 | | | | 517,183 | |
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.09%), 3.17%, 06/25/37(a)(c) | | | | | | | 80 | | | | 56,646 | |
Lending Funding Trust, Series 2020-2A, Class A, 2.32%, 04/21/31(a) | | | | | | | 4,680 | | | | 4,074,328 | |
LendingPoint Pass-Through Trust | | | | | | | | | | | | |
Series 2022-ST1, Class A, 2.50%, 03/15/28(a) | | | | | | | 3,466 | | | | 3,278,514 | |
Series 2022-ST2, Class A, 3.25%, 04/15/28(a) | | | | | | | 4,496 | | | | 4,302,937 | |
Lendmark Funding Trust | | | | | | | | | | | | |
Series 2019-2A, Class A, 2.78%, 04/20/28(a) | | | | | | | 3,720 | | | | 3,618,839 | |
Series 2021-2A, Class B, 2.37%, 04/20/32(a) | | | | | | | 4,630 | | | | 3,582,735 | |
Series 2021-2A, Class C, 3.09%, 04/20/32(a) | | | | | | | 1,610 | | | | 1,221,365 | |
Series 2021-2A, Class D, 4.46%, 04/20/32(a) | | | | | | | 3,500 | | | | 2,574,262 | |
Series 2022-1A, Class A, 5.12%, 07/20/32(a) | | | | | | | 4,589 | | | | 4,427,081 | |
LoanCore Issuer Ltd. | | | | | | | | | | | | |
Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.13%), 3.95%, 05/15/28(a)(c) | | | | | | | 29 | | | | 28,673 | |
Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 3.83%, 01/17/37(a)(c) | | | | | | | 11,427 | | | | 11,072,191 | |
Loanpal Solar Loan Ltd. | | | | | | | | | | | | |
Series 2020-2GF, Class A, 2.75%, 07/20/47(a) | | | | | | | 972 | | | | 804,245 | |
Series 2021-1GS, Class A, 2.29%, 01/20/48(a) | | | | | | | 2,812 | | | | 2,306,242 | |
Series 2021-2GS, Class A, 2.22%, 03/20/48(a) | | | | | | | 3,707 | | | | 2,948,944 | |
Logan CLO I Ltd., Series 2021-1A, Class A, (3 mo. LIBOR US + 1.16%), 3.87%, 07/20/34(a)(c) | | | | | | | 4,000 | | | | 3,831,640 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Long Beach Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-2, Class 1A, (1 mo. LIBOR US + 0.36%), 3.44%, 03/25/46(c) | | | USD | | | | 684 | | | $ | 566,285 | |
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.30%), 3.38%, 06/25/36(c) | | | | | | | 3,186 | | | | 1,600,209 | |
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.32%), 3.40%, 08/25/36(c) | | | | | | | 5,877 | | | | 2,477,926 | |
Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.48%), 3.56%, 08/25/36(c) | | | | | | | 1,356 | | | | 572,900 | |
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.32%), 3.40%, 10/25/36(c) | | | | | | | 2,040 | | | | 696,045 | |
Series 2006-WL3, Class 2A4, (1 mo. LIBOR US + 0.60%), 3.68%, 01/25/36(c) | | | | | | | 3,469 | | | | 3,163,971 | |
Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.38%), 4.12%, 01/17/30(a)(c) | | | | | | | 820 | | | | 772,878 | |
Madison Park Funding XI Ltd., Series 2013-11A, Class AR2, (3 mo. LIBOR US + 0.90%), 3.68%, 07/23/29(a)(c) | | | | | | | 2,102 | | | | 2,063,786 | |
Madison Park Funding XIII Ltd. | | | | | | | | | | | | |
Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.95%), 3.69%, 04/19/30(a)(c) | | | | | | | 894 | | | | 879,803 | |
Series 2014-13A, Class BR2, (3 mo. LIBOR US + 1.50%), 4.24%, 04/19/30(a)(c) | | | | | | | 600 | | | | 582,796 | |
Madison Park Funding XIX Ltd., Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.92%), 3.68%, 01/22/28(a)(c) | | | | | | | 305 | | | | 299,501 | |
Madison Park Funding XLI Ltd., Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), 3.59%, 04/22/27(a)(c) | | | | | | | 842 | | | | 829,007 | |
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3 mo. LIBOR US + 6.25%), 8.99%, 10/19/34(a)(c) | | | | | | | 750 | | | | 647,112 | |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3 mo. LIBOR US + 0.94%), 3.67%, 10/21/30(a)(c) | | | | | | | 3,460 | | | | 3,389,059 | |
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3 mo. LIBOR US + 0.97%), 3.74%, 07/27/31(a)(c) | | | | | | | 1,000 | | | | 982,413 | |
Madison Park Funding XXIV Ltd., Series 2016- 24A, Class BR, (3 mo. CME Term SOFR + 2.01%), 4.49%, 10/20/29(a)(c) | | | | | | | 490 | | | | 474,465 | |
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3 mo. LIBOR US + 1.20%), 4.01%, 07/29/30(a)(c) | | | | | | | 2,800 | | | | 2,766,622 | |
Madison Park Funding XXX Ltd. | | | | | | | | | | | | |
Series 2018-30A, Class E, (3 mo. LIBOR US + 4.95%), 7.46%, 04/15/29(a)(c) | | | | | | | 1,000 | | | | 857,686 | |
Series 2018-30X, Class E, (3 mo. LIBOR US + 4.95%), 7.46%, 04/15/29(c)(e) | | | | | | | 250 | | | | 214,422 | |
Madison Park Funding XXXI Ltd., Series 2018- 31A, Class B, (3 mo. LIBOR US + 1.70%), 4.48%, 01/23/31(a)(c) | | | | | | | 250 | | | | 236,847 | |
Madison Park Funding XXXIII Ltd. | | | | | | | | | | | | |
Series 2019-33A, Class AR, (3 mo. CME Term SOFR + 1.29%), 3.62%, 10/15/32(a)(c) | | | | | | | 1,790 | | | | 1,733,740 | |
Series 2019-33A, Class BR, (3 mo. CME Term SOFR + 1.80%), 4.13%, 10/15/32(a)(c) | | | | | | | 3,460 | | | | 3,291,621 | |
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class AR, (3 mo. LIBOR US + 1.07%), 3.58%, 07/15/33(a)(c) | | | | | | | 2,130 | | | | 2,063,068 | |
| | |
| 30 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Madison Park Funding XXXVIII Ltd.,
Series 2021-38A, Class A, (3 mo. LIBOR US + 1.12%), 3.86%, 07/17/34(a)(c) | | | USD | | | | 1,250 | | | $ | 1,203,380 | |
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3 mo. LIBOR US + 3.65%), 6.41%, 01/22/35(a)(c) | | | | | | | 750 | | | | 677,747 | |
Mariner CLO LLC, Series 2016-3A, Class AR2, (3 mo. LIBOR US + 0.99%), 3.77%, 07/23/29(a)(c) | | | | | | | 198 | | | | 194,558 | |
Mariner Finance Issuance Trust | | | | | | | | | | | | |
Series 2019-AA, Class A, 2.96%, 07/20/32(a) | | | | | | | 4,002 | | | | 3,928,616 | |
Series 2021-AA, Class A, 1.86%, 03/20/36(a) | | | | | | | 700 | | | | 587,152 | |
Series 2021-AA, Class B, 2.33%, 03/20/36(a) | | | | | | | 1,620 | | | | 1,343,333 | |
Series 2021-AA, Class C, 2.96%, 03/20/36(a) | | | | | | | 2,850 | | | | 2,318,476 | |
Series 2021-BA, Class C, 2.66%, 11/20/36(a) | | | | | | | 4,403 | | | | 3,558,596 | |
Series 2021-BA, Class D, 3.42%, 11/20/36(a) | | | | | | | 980 | | | | 817,880 | |
Series 2021-BA, Class E, 4.68%, 11/20/36(a) | | | | | | | 3,620 | | | | 2,953,309 | |
MASTR Asset-Backed Securities Trust | | | | | | | | | | | | |
Series 2005-WF1, Class M8, (1 mo. LIBOR US + 1.86%), 4.94%, 06/25/35(c) | | | | | | | 1,119 | | | | 1,071,219 | |
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.52%), 3.60%, 06/25/36(a)(c) | | | | | | | 277 | | | | 249,307 | |
Series 2006-WMC2, Class A4, (1 mo. LIBOR US + 0.30%), 3.38%, 04/25/36(c) | | | | | | | 3,445 | | | | 904,979 | |
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.28%), 3.36%, 05/25/37(c) | | | | | | | 83 | | | | 66,630 | |
MASTR Specialized Loan Trust,
Series 2006-3, Class A, (1 mo. LIBOR US + 0.26%), 3.34%, 06/25/46(a)(c) | | | | | | | 16 | | | | 15,315 | |
Mercury Financial Credit Card Master Trust | | | | | | | | | | | | |
Series 2021-1A, Class A, 1.54%, 03/20/26(a) | | | | | | | 4,130 | | | | 3,923,498 | |
Series 2022-1A, Class A, 2.50%, 09/21/26(a) | | | | | | | 10,537 | | | | 9,981,410 | |
MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33(b) | | | | | | | 974 | | | | 760,723 | |
Merrill Lynch First Franklin Mortgage Loan Trust | | | | | | | | | | | | |
Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.24%), 3.56%, 05/25/37(c) | | | | | | | 1,818 | | | | 1,404,545 | |
Series 2007-H1, Class 1A2, (1 mo. LIBOR US + 3.50%), 6.58%, 10/25/37(c) | | | | | | | 2,935 | | | | 2,702,211 | |
Merrill Lynch Mortgage Investors Trust,
Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 3.34%, 08/25/37(c) | | | | | | | 1,745 | | | | 1,658,091 | |
MF1 LLC | | | | | | | | | | | | |
Series 2022-FL10, Class A, (1 mo. CME Term SOFR + 2.64%),
5.66%, 09/17/37(a)(c) | | | | | | | 2,138 | | | | 2,115,653 | |
Series 2022-FL9, Class A, (1 mo. CME Term SOFR + 2.15%), 5.17%, 06/19/37(a)(c) | | | | | | | 2,844 | | | | 2,787,693 | |
MF1 Ltd., Series 2021-FL7, Class A, (1 mo. LIBOR US + 1.08%), 4.07%, 10/16/36(a)(c) | | | | | | | 517 | | | | 494,969 | |
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.97%), 3.70%, 04/21/31(a)(c) | | | | | | | 1,230 | | | | 1,202,677 | |
Mill City Solar Loan Ltd. | | | | | | | | | | | | |
Series 2019-1A, Class A, 4.34%, 03/20/43(a) | | | | | | | 1,231 | | | | 1,163,272 | |
Series 2019-2GS, Class A, 3.69%, 07/20/43(a) | | | | | | | 2,101 | | | | 1,909,114 | |
Morgan Stanley ABS Capital I, Inc. Trust | | | | | | | | | | | | |
Series 2007-NC1, Class A2D, (1 mo. LIBOR US + 0.22%), 3.30%, 11/25/36(c) | | | | | | | 5,425 | | | | 2,765,269 | |
Series 2007-SEA1, Class 2A1, (1 mo. LIBOR US + 1.90%), 4.98%, 02/25/47(a)(c) | | | | | | | 91 | | | | 85,513 | |
Mosaic Solar Loan Trust | | | | | | | | | | | | |
Series 2018-2GS, Class A, 4.20%, 02/22/44(a) | | | | | | | 1,178 | | | | 1,089,307 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Mosaic Solar Loan Trust | | | | | | | | | | | | |
Series 2019-1A, Class A, 4.37%, 12/21/43(a) | | | USD | | | | 1,913 | | | $ | 1,795,831 | |
Series 2019-2A, Class A, 2.88%, 09/20/40(a) | | | | | | | 283 | | | | 245,677 | |
Series 2020-2A, Class B, 2.21%, 08/20/46(a) | | | | | | | 1,618 | | | | 1,375,136 | |
Series 2021-1A, Class B, 2.05%, 12/20/46(a) | | | | | | | 446 | | | | 356,659 | |
Series 2021-2A, Class B, 2.09%, 04/22/47(a) | | | | | | | 4,035 | | | | 3,282,082 | |
Series 2022-2A, Class A, 4.38%, 01/21/53(a) | | | | | | | 1,105 | | | | 1,040,188 | |
MP CLO VIII Ltd., Series 2015-2A, Class ARR, (3 mo. LIBOR US + 1.20%),
3.99%, 04/28/34(a)(c) | | | | | | | 800 | | | | 765,161 | |
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3 mo. LIBOR US + 1.60%),
4.31%, 10/20/30(a)(c) | | | | | | | 250 | | | | 233,928 | |
Nationstar Home Equity Loan Trust,
Series 2007-B, Class M1, (1 mo. LIBOR US + 0.41%), 3.49%, 04/25/37(c) | | | | | | | 380 | | | | 349,628 | |
Navient Private Education Loan Trust,
Series 2020- IA, Class B, 2.95%, 04/15/69(a) | | | | | | | 1,880 | | | | 1,475,052 | |
Navient Private Education Refi Loan Trust | | | | | | | | | | | | |
Series 2018-DA, Class A2A, 4.00%, 12/15/59(a) | | | | | | | 1,151 | | | | 1,107,607 | |
Series 2019-D, Class A2A, 3.01%, 12/15/59(a) | | | | | | | 3,477 | | | | 3,211,112 | |
Series 2020-CA, Class A2B, (1 mo. LIBOR US + 1.60%), 4.42%, 11/15/68(a)(c)(d) | | | | | | | 3,788 | | | | 3,769,912 | |
Series 2021-DA, Class A, (Prime Rate + (1.99)%), 3.51%, 04/15/60(a)(c) | | | | | | | 1,614 | | | | 1,475,977 | |
Series 2021-DA, Class B, 2.61%, 04/15/60(a) | | | | | | | 1,110 | | | | 983,879 | |
Series 2021-DA, Class C, 3.48%, 04/15/60(a) | | | | | | | 5,000 | | | | 4,194,737 | |
Series 2021-DA, Class D, 4.00%, 04/15/60(a) | | | | | | | 5,000 | | | | 4,222,949 | |
Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59(a) | | | | | | | 1,690 | | | | 1,600,688 | |
Nelnet Student Loan Trust
Series 2021-A, Class A1, (1 mo. LIBOR US +
0.80%), 3.79%, 04/20/62(a)(c) | | | | | | | 1,916 | | | | 1,871,853 | |
Series 2021-A, Class A2, (1 mo. LIBOR US + 1.03%), 4.02%, 04/20/62(a)(c) | | | | | | | 2,680 | | | | 2,580,254 | |
Series 2021-A, Class APT2, 1.36%, 04/20/62(a) | | | | | | | 2,595 | | | | 2,292,346 | |
Series 2021-A, Class B2, 2.85%, 04/20/62(a)(d) | | | | | | | 1,640 | | | | 1,406,136 | |
Series 2021-A, Class C, 3.75%, 04/20/62(a) | | | | | | | 950 | | | | 771,866 | |
Series 2021-A, Class D, 4.93%, 04/20/62(a) | | | | | | | 1,690 | | | | 1,405,341 | |
Series 2021-BA, Class B, 2.68%, 04/20/62(a) | | | | | | | 8,450 | | | | 6,721,025 | |
Series 2021-BA, Class C, 3.57%, 04/20/62(a) | | | | | | | 2,370 | | | | 1,891,344 | |
Series 2021-BA, Class D, 4.75%, 04/20/62(a) | | | | | | | 8,380 | | | | 6,883,924 | |
Series 2021-CA, Class B, 2.53%, 04/20/62(a) | | | | | | | 5,370 | | | | 4,185,637 | |
Series 2021-CA, Class C, 3.36%, 04/20/62(a) | | | | | | | 2,770 | | | | 2,153,516 | |
Series 2021-CA, Class D, 4.44%, 04/20/62(a) | | | | | | | 5,590 | | | | 4,430,385 | |
Series 2021-DA, Class B, 2.90%, 04/20/62(a) | | | | | | | 4,800 | | | | 3,868,882 | |
Series 2021-DA, Class C, 3.50%, 04/20/62(a) | | | | | | | 2,700 | | | | 2,184,776 | |
Series 2021-DA, Class D, 4.38%, 04/20/62(a) | | | | | | | 680 | | | | 536,659 | |
Neuberger Berman CLO XIV Ltd.,
Series 2013- 14A, Class AR2, (3 mo. LIBOR US + 1.03%), 3.82%, 01/28/30(a)(c) | | | | | | | 812 | | | | 798,612 | |
Neuberger Berman CLO XVII Ltd.,
Series 2014- 17A, Class AR2, (3 mo. LIBOR US + 1.03%), 3.79%, 04/22/29(a)(c) | | | | | | | 1,244 | | | | 1,222,757 | |
Neuberger Berman CLO XX Ltd. | | | | | | | | | | | | |
Series 2015-20A, Class ARR, (3 mo. LIBOR US + 1.16%), 3.67%, 07/15/34(a)(c) | | | | | | | 525 | | | | 506,701 | |
Series 2015-20A, Class DRR, (3 mo. LIBOR US + 2.95%), 5.46%, 07/15/34(a)(c) | | | | | | | 1,000 | | | | 890,963 | |
Series 2015-20A, Class ERR, (3 mo. LIBOR US + 6.50%), 9.01%, 07/15/34(a)(c) | | | | | | | 750 | | | | 637,106 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 31 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Neuberger Berman CLO XXII Ltd.,
Series 2016-22A, Class BR, (3 mo. LIBOR US + 1.65%), 4.39%, 10/17/30(a)(c) | | | USD | | | | 250 | | | $ | 237,118 | |
Neuberger Berman Loan Advisers CLO 26 Ltd.,
Series 2017-26A, Class AR, (3 mo. LIBOR US + 0.92%), 3.66%, 10/18/30(a)(c) | | | | | | | 4,050 | | | | 3,966,105 | |
Neuberger Berman Loan Advisers CLO 29 Ltd.,
Series 2018-29A, Class A2, (3 mo. LIBOR US + 1.40%), 4.14%, 10/19/31(a)(c) | | | | | | | 250 | | | | 240,872 | |
Neuberger Berman Loan Advisers CLO 34 Ltd.,
Series 2019-34A, Class BR, (3 mo. CME Term SOFR + 1.75%), 4.23%, 01/20/35(a)(c) | | | | | | | 1,000 | | | | 948,309 | |
Neuberger Berman Loan Advisers CLO 35 Ltd.,
Series 2019-35A, Class C, (3 mo. LIBOR US + 2.60%), 5.34%, 01/19/33(a)(c) | | | | | | | 250 | | | | 233,208 | |
Neuberger Berman Loan Advisers CLO 42 Ltd.,
Series 2021-42A, Class A, (3 mo. LIBOR US + 1.10%), 3.84%, 07/16/35(a)(c) | | | | | | | 3,000 | | | | 2,872,971 | |
Neuberger Berman Loan Advisers CLO 45 Ltd.,
Series 2021-45A, Class A, (3 mo. LIBOR US + 1.13%), 3.61%, 10/14/35(a)(c) | | | | | | | 5,000 | | | | 4,775,761 | |
Neuberger Berman Loan Advisers CLO 46 Ltd.,
Series 2021-46A, Class B, (3 mo. LIBOR US + 1.65%), 4.36%, 01/20/36(a)(c) | | | | | | | 250 | | | | 236,681 | |
New Residential Mortgage Loan Trust,
Series 2022-SFR2, Class F, 4.00%, 09/04/39(a) | | | | | | | 3,692 | | | | 2,766,454 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.40%), 3.48%, 10/25/36(a)(c) | | | | | | | 159 | | | | 177,570 | |
NovaStar Mortgage Funding Trust,
Series 2006-5, Class A2D, (1 mo. LIBOR US + 0.48%), 3.56%, 11/25/36(c) | | | | | | | 4,003 | | | | 1,383,245 | |
Oakwood Mortgage Investors, Inc. | | | | | | | | | | | | |
Series 1999-C, Class A2, 7.48%, 08/15/27 | | | | | | | 2,545 | | | | 2,160,147 | |
Series 2001-D, Class A2, 5.26%, 01/15/19(c) | | | | | | | 29 | | | | 14,621 | |
Series 2002-A, Class M1, 7.76%, 03/15/32(c) | | | | | | | 2,168 | | | | 1,902,541 | |
Series 2002-C, Class M1, 6.89%, 11/15/32(c) | | | | | | | 2,515 | | | | 2,433,943 | |
Ocean Trails CLO V, Series 2014-5A, Class BRR, (3 mo. LIBOR US + 1.95%), 4.41%, 10/13/31(a)(c) | | | | | | | 500 | | | | 484,061 | |
OCP CLO Ltd. | | | | | | | | | | | | |
Series 2016-12A, Class BR2, (3 mo. CME Term SOFR + 1.81%), 2.53%, 04/18/33(a)(c) | | | | | | | 3,000 | | | | 2,857,958 | |
Series 2017-13A, Class A1AR, (3 mo. LIBOR US + 0.96%), 3.47%, 07/15/30(a)(c) | | | | | | | 1,250 | | | | 1,222,741 | |
Series 2017-13A, Class A2R, (3 mo. LIBOR US + 1.55%), 4.06%, 07/15/30(a)(c) | | | | | | | 250 | | | | 238,372 | |
Series 2019-16A, Class AR, (3 mo. LIBOR US + 1.00%), 3.43%, 04/10/33(a)(c) | | | | | | | 1,490 | | | | 1,449,707 | |
Series 2020-18A, Class AR, (3 mo. LIBOR US + 1.09%), 3.80%, 07/20/32(a)(c) | | | | | | | 1,100 | | | | 1,062,857 | |
Series 2021-22A, Class A, (3 mo. LIBOR US + 1.18%), 3.89%, 12/02/34(a)(c) | | | | | | | 2,020 | | | | 1,943,036 | |
Octagon 56 Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.65%),
4.16%, 10/15/34(a)(c) | | | | | | | 250 | | | | 233,151 | |
Octagon Investment Partners 18-R Ltd.,
Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.96%), 3.70%, 04/16/31(a)(c) | | | | | | | 3,000 | | | | 2,930,065 | |
Octagon Investment Partners 29 Ltd.,
Series 2016- 1A, Class AR, (3 mo. LIBOR US + 1.18%), 3.96%, 01/24/33(a)(c) | | | | | | | 250 | | | | 241,445 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Octagon Investment Partners 33 Ltd.,
Series 2017- 1A, Class A1, (3 mo. LIBOR US + 1.19%), 3.90%, 01/20/31(a)(c) | | | USD | | | | 1,100 | | | $ | 1,078,913 | |
Octagon Investment Partners 36 Ltd.,
Series 2018- 1A, Class A1, (3 mo. LIBOR US + 0.97%), 3.48%, 04/15/31(a)(c) | | | | | | | 250 | | | | 244,132 | |
Octagon Investment Partners 37 Ltd.,
Series 2018- 2A, Class A2, (3 mo. LIBOR US + 1.58%), 4.36%, 07/25/30(a)(c) | | | | | | | 650 | | | | 611,296 | |
Octagon Investment Partners 51 Ltd.,
Series 2021- 1A, Class A, (3 mo. LIBOR US + 1.15%), 3.86%, 07/20/34(a)(c) | | | | | | | 1,250 | | | | 1,196,501 | |
Octagon Investment Partners XV Ltd.,
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.35%), 4.09%, 07/19/30(a)(c) | | | | | | | 350 | | | | 341,389 | |
Octagon Investment Partners XVII Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.00%), 3.78%, 01/25/31(a)(c) | | | | | | | 1,000 | | | | 975,201 | |
Series 2013-1A, Class A2R2, (3 mo. LIBOR US + 1.10%), 3.88%, 01/25/31(a)(c) | | | | | | | 500 | | | | 480,553 | |
OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 3.88%, 04/21/34(a)(c) | | | | | | | 1,500 | | | | 1,444,622 | |
OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR, (3 mo. LIBOR US + 1.14%), 3.85%, 07/02/35(a)(c) | | | | | | | 250 | | | | 240,300 | |
OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3 mo. LIBOR US + 1.15%), 3.91%, 10/22/36(a)(c) | | | | | | | 1,000 | | | | 955,975 | |
OHA Credit Funding 5 Ltd., Series 2020-5A, Class A2A, (3 mo. LIBOR US + 1.45%), 4.19%, 04/18/33(a)(c) | | | | | | | 300 | | | | 285,063 | |
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3 mo. LIBOR US + 1.14%), 3.85%, 07/20/34(a)(c) | | | | | | | 670 | | | | 641,076 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3 mo. CME Term SOFR + 1.30%), 3.85%, 02/24/37(a)(c) | | | | | | | 770 | | | | 736,673 | |
OHA Loan Funding Ltd. | | | | | | | | | | | | |
Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 4.00%, 05/23/31(a)(c) | | | | | | | 770 | | | | 751,816 | |
Series 2015-1A, Class AR3, (3 mo. LIBOR US + 1.15%), 3.89%, 01/19/37(a)(c) | | | | | | | 680 | | | | 649,109 | |
OneMain Financial Issuance Trust | | | | | | | | | | | | |
Series 2019-2A, Class A, 3.14%, 10/14/36(a) | | | | | | | 5,401 | | | | 4,799,928 | |
Series 2021-1A, Class A2, (SOFR (30-day) + 0.76%), 3.05%, 06/16/36(a)(c) | | | | | | | 1,201 | | | | 1,155,141 | |
Series 2021-1A, Class B, 1.95%, 06/16/36(a) | | | | | | | 4,700 | | | | 3,802,051 | |
Series 2021-1A, Class C, 2.22%, 06/16/36(a) | | | | | | | 4,680 | | | | 3,761,308 | |
Oportun Issuance Trust | | | | | | | | | | | | |
Series 2021-B, Class A, 1.47%, 05/08/31(a) | | | | | | | 1,970 | | | | 1,748,837 | |
Series 2021-B, Class B, 1.96%, 05/08/31(a) | | | | | | | 5,000 | | | | 4,437,518 | |
Series 2021-C, Class A, 2.18%, 10/08/31(a) | | | | | | | 7,340 | | | | 6,478,571 | |
Series 2021-C, Class B, 2.67%, 10/08/31(a) | | | | | | | 13,345 | | | | 11,711,624 | |
Series 2021-C, Class C, 3.61%, 10/08/31(a) | | | | | | | 3,180 | | | | 2,727,165 | |
Series 2021-C, Class D, 5.57%, 10/08/31(a) | | | | | | | 450 | | | | 385,762 | |
Option One Mortgage Loan Trust | | | | | | | | | | | | |
Series 2005-4, Class M3, (1 mo. LIBOR US + 0.74%), 3.82%, 11/25/35(c) | | | | | | | 460 | | | | 386,481 | |
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(b) | | | | | | | 3,351 | | | | 2,758,112 | |
| | |
| 32 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Option One Mortgage Loan Trust | | | | | | | | | | | | |
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(b) | | | USD | | | | 2,773 | | | $ | 2,325,890 | |
Origen Manufactured Housing Contract Trust, | | | | | | | | | | | | |
Series 2007-B, Class A1, (1 mo. LIBOR US + 1.20%), 4.02%, 10/15/37(a)(c) | | | | | | | 1,491 | | | | 1,452,766 | |
OSD CLO Ltd., Series 2021-23A, Class E, (3 mo. LIBOR US + 6.00%), 8.74%, 04/17/31(a)(c) | | | | | | | 1,000 | | | | 837,436 | |
OZLM Funding IV Ltd. | | | | | | | | | | | | |
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.25%), 4.01%, 10/22/30(a)(c) | | | | | | | 834 | | | | 819,210 | |
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.70%), 4.46%, 10/22/30(a)(c) | | | | | | | 500 | | | | 474,579 | |
OZLM VI Ltd., Series 2014-6A, Class A2AS, (3 mo. LIBOR US + 1.75%), 4.49%, 04/17/31(a)(c) | | | | | | | 2,570 | | | | 2,396,182 | |
OZLM VIII Ltd. | | | | | | | | | | | | |
Series 2014-8A, Class A2R3, (3 mo. LIBOR US + 1.65%), 4.39%, 10/17/29(a)(c) | | | | | | | 1,185 | | | | 1,149,422 | |
Series 2014-8A, Class BR3, (3 mo. LIBOR US + 2.10%), 4.84%, 10/17/29(a)(c) | | | | | | | 1,750 | | | | 1,628,334 | |
OZLM XIV Ltd., Series 2015-14A, Class A1SR, (3 mo. LIBOR US + 1.25%), 3.76%, 07/15/34(a)(c) | | | | | | | 1,500 | | | | 1,435,455 | |
OZLM XX Ltd., Series 2018-20A, Class D, (3 mo. LIBOR US + 5.80%), 8.51%, 04/20/31(a)(c) | | | | | | | 1,000 | | | | 780,002 | |
OZLM XXII Ltd. | | | | | | | | | | | | |
Series 2018-22A, Class A1, (3 mo. LIBOR US + 1.07%), 3.81%, 01/17/31(a)(c) | | | | | | | 1,099 | | | | 1,073,036 | |
Series 2018-22A, Class A2, (3 mo. LIBOR US + 1.50%), 4.24%, 01/17/31(a)(c) | | | | | | | 500 | | | | 464,750 | |
Pagaya AI Debt Selection Trust,
Series 2021-2, Class NOTE, 3.00%, 01/25/29(a) | | | | | | | 1,953 | | | | 1,823,686 | |
Palmer Square CLO Ltd. | | | | | | | | | | | | |
Series 2013-2A, Class A1A3, (3 mo. LIBOR US + 1.00%), 3.74%, 10/17/31(a)(c) | | | | | | | 3,400 | | | | 3,306,400 | |
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 3.87%, 01/17/31(a)(c) | | | | | | | 1,000 | | | | 982,933 | |
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.65%), 5.39%, 01/17/31(a)(c) | | | | | | | 400 | | | | 356,170 | |
Series 2015-1A, Class A1A4, (3 mo. LIBOR US + 1.13%), 4.11%, 05/21/34(a)(c) | | | | | | | 660 | | | | 632,208 | |
Series 2015-1A, Class A2R4, (3 mo. LIBOR US + 1.70%), 4.68%, 05/21/34(a)(c) | | | | | | | 1,000 | | | | 941,752 | |
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 5.46%, 07/20/30(a)(c) | | | | | | | 1,000 | | | | 898,301 | |
Series 2015-2A, Class DR2, (3 mo. LIBOR US + 5.75%), 8.46%, 07/20/30(a)(c) | | | | | | | 500 | | | | 421,331 | |
Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 3.77%, 04/18/31(a)(c) | | | | | | | 500 | | | | 489,157 | |
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), 8.34%, 07/16/31(a)(c) | | | | | | | 500 | | | | 427,974 | |
Series 2020-3A, Class A1AR, (3 mo. LIBOR US + 1.08%), 3.99%, 11/15/31(a)(c) | | | | | | | 960 | | | | 933,975 | |
Series 2021-3A, Class A1, (3 mo. LIBOR US + 1.15%), 3.66%, 01/15/35(a)(c) | | | | | | | 390 | | | | 372,523 | |
Palmer Square Loan Funding Ltd. | | | | | | | | | | | | |
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.35%), 4.33%, 02/20/28(a)(c) | | | | | | | 1,900 | | | | 1,900,000 | |
Series 2020-1A, Class C, (3 mo. LIBOR US + 2.50%), 5.48%, 02/20/28(a)(c) | | | | | | | 1,750 | | | | 1,750,000 | |
Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.25%), 4.23%, 05/20/29(a)(c) | | | | | | | 3,560 | | | | 3,376,058 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Palmer Square Loan Funding Ltd. | | | | | | | | | | | | |
Series 2021-3A, Class D, (3 mo. LIBOR US + 5.00%), 7.71%, 07/20/29(a)(c) | | | USD | | | | 250 | | | $ | 221,728 | |
Series 2021-4A, Class B, (3 mo. LIBOR US + 1.75%), 4.26%, 10/15/29(a)(c) | | | | | | | 250 | | | | 229,326 | |
Series 2021-4A, Class C, (3 mo. LIBOR US + 2.60%), 5.11%, 10/15/29(a)(c) | | | | | | | 250 | | | | 228,549 | |
Series 2022-2A, Class A2, (3 mo. CME Term SOFR + 1.90%), 2.99%, 10/15/30(a)(c) | | | | | | | 2,350 | | | | 2,262,308 | |
Series 2022-2A, Class B, (3 mo. CME Term SOFR + 2.20%), 3.29%, 10/15/30(a)(c) | | | | | | | 1,360 | | | | 1,252,538 | |
Series 2022-2A, Class C, (3 mo. CME Term SOFR + 3.10%), 4.19%, 10/15/30(a)(c) | | | | | | | 250 | | | | 233,709 | |
Parallel Ltd., Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.75%), 4.46%, 07/20/27(a)(c) | | | | | | | 1,000 | | | | 975,050 | |
Park Avenue Institutional Advisers CLO Ltd. | | | | | | | | | | | | |
Series 2016-1A, Class A1R, (3 mo. LIBOR US + 1.20%), 4.16%, 08/23/31(a)(c) | | | | | | | 350 | | | | 340,032 | |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.85%), 8.81%, 08/23/31(a)(c) | | | | | | | 1,500 | | | | 1,206,226 | |
Series 2017-1A, Class DR, (3 mo. LIBOR US + 6.81%), 9.72%, 02/14/34(a)(c) | | | | | | | 900 | | | | 751,712 | |
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%), 5.91%, 07/15/34(a)(c) | | | | | | | 1,900 | | | | 1,676,364 | |
Pikes Peak CLO 1, Series 2018-1A, Class A, (3 mo. LIBOR US + 1.18%), 3.96%, 07/24/31(a)(c) | | | | | | | 764 | | | | 743,615 | |
Pikes Peak CLO 11, Series 2022-11A, Class A1, (3 mo. CME Term SOFR + 1.95%), 4.13%, 07/25/34(a)(c) | | | | | | | 3,000 | | | | 2,907,790 | |
Popular ABS Mortgage Pass-Through Trust,
Series 2006-B, Class M1, (1 mo. LIBOR US + 0.54%), 3.62%, 05/25/36(c) | | | | | | | 4,508 | | | | 4,064,894 | |
PRET LLC | | | | | | | | | | | | |
Series 2021-NPL6, Class A1, 2.49%, 07/25/51(a)(b) | | | | | | | 13,096 | | | | 12,183,950 | |
Series 2021-RN4, Class A1,
2.49%, 10/25/51(a)(c) | | | | | | | 6,423 | | | | 5,961,978 | |
Prodigy Finance DAC | | | | | | | | | | | | |
Series 2021-1A, Class B, (1 mo. LIBOR US + 2.50%), 5.58%, 07/25/51(a)(c) | | | | | | | 3,055 | | | | 3,012,915 | |
Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 6.83%, 07/25/51(a)(c) | | | | | | | 3,055 | | | | 3,014,689 | |
Series 2021-1A, Class D, (1 mo. LIBOR US + 5.90%), 8.98%, 07/25/51(a)(c) | | | | | | | 2,280 | | | | 2,245,686 | |
Progress Residential Trust | | | | | | | | | | | | |
Series 2019-SFR3, Class E, 3.37%, 09/17/36(a) | | | | | | | 3,000 | | | | 2,857,961 | |
Series 2019-SFR3, Class F, 3.87%, 09/17/36(a) | | | | | | | 1,000 | | | | 953,724 | |
Series 2019-SFR4, Class E, 3.44%, 10/17/36(a) | | | | | | | 3,000 | | | | 2,831,140 | |
Series 2019-SFR4, Class F, 3.68%, 10/17/36(a) | | | | | | | 2,500 | | | | 2,366,399 | |
Series 2021-SFR10, Class E2, 3.67%, 12/17/40(a) | | | | | | | 990 | | | | 788,164 | |
Series 2021-SFR10, Class F, 4.61%, 12/17/40(a) | | | | | | | 4,000 | | | | 3,292,940 | |
Series 2021-SFR5, Class F, 3.16%, 07/17/38(a) | | | | | | | 1,808 | | | | 1,506,568 | |
Series 2021-SFR6, Class F, 3.42%, 07/17/38(a) | | | | | | | 3,577 | | | | 3,073,146 | |
Series 2021-SFR8, Class F, 3.18%, 10/17/38(a) | | | | | | | 4,500 | | | | 3,728,654 | |
Series 2021-SFR9, Class F, 4.05%, 11/17/40(a) | | | | | | | 2,400 | | | | 1,900,603 | |
Series 2022-SFR1, Class F, 4.88%, 02/17/41(a) | | | | | | | 5,000 | | | | 4,027,213 | |
Series 2022-SFR5, Class E1, 6.62%, 06/17/39(a) | | | | | | | 2,180 | | | | 2,052,044 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 33 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Race Point VIII CLO Ltd., Series 2013-8A, Class AR2, (3 mo. LIBOR US + 1.04%), 4.02%, 02/20/30(a)(c) | | | USD | | | | 1,092 | | | $ | 1,074,038 | |
Rad CLO 15 Ltd. | | | | | | | | | | | | |
Series 2021-15A, Class A, (3 mo. LIBOR US + 1.09%), 3.80%, 01/20/34(a)(c) | | | | | | | 390 | | | | 374,979 | |
Series 2021-15A, Class B, (3 mo. LIBOR US + 1.65%), 4.36%, 01/20/34(a)(c) | | | | | | | 820 | | | | 777,128 | |
Series 2021-15A, Class E, (3 mo. LIBOR US + 6.20%), 8.91%, 01/20/34(a)(c) | | | | | | | 4,500 | | | | 3,690,007 | |
Rad CLO 2 Ltd., Series 2018-2A, Class AR, (3 mo. LIBOR US + 1.08%), 3.59%, 10/15/31(a)(c) | | | | | | | 1,250 | | | | 1,212,165 | |
Rad CLO 3 Ltd. | | | | | | | | | | | | |
Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.55%), 4.06%, 04/15/32(a)(c) | | | | | | | 325 | | | | 303,766 | |
Series 2019-3A, Class CR, (3 mo. LIBOR US + 1.85%), 4.36%, 04/15/32(a)(c) | | | | | | | 250 | | | | 229,330 | |
Series 2019-3A, Class DR, (3 mo. LIBOR US + 2.75%), 5.26%, 04/15/32(a)(c) | | | | | | | 250 | | | | 221,960 | |
Rad CLO 4 Ltd., Series 2019-4A, Class D, (3 mo. LIBOR US + 3.85%), 6.63%, 04/25/32(a)(c) | | | | | | | 500 | | | | 451,781 | |
Rad CLO 7 Ltd., Series 2020-7A, Class A1, (3 mo. LIBOR US + 1.20%), 3.94%, 04/17/33(a)(c) | | | | | | | 250 | | | | 241,982 | |
Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3 mo. LIBOR US + 1.90%), 4.41%, 01/15/34(a)(c) | | | | | | | 500 | | | | 474,096 | |
Regatta IX Funding Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class C, (3 mo. LIBOR US + 2.45%), 5.19%, 04/17/30(a)(c) | | | | | | | 250 | | | | 237,629 | |
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.90%), 6.64%, 04/17/30(a)(c) | | | | | | | 250 | | | | 234,707 | |
Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3 mo. LIBOR US + 1.16%), 3.87%, 04/20/34(a)(c) | | | | | | | 3,000 | | | | 2,886,237 | |
Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3 mo. LIBOR US + 1.60%), 5.13%, 06/20/34(a)(c) | | | | | | | 250 | | | | 236,014 | |
Regatta VIII Funding Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 4.44%, 10/17/30(a)(c) | | | | | | | 1,255 | | | | 1,192,915 | |
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.20%), 5.94%, 10/17/30(a)(c) | | | | | | | 250 | | | | 229,216 | |
Regatta XVI Funding Ltd. | | | | | | | | | | | | |
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.05%), 4.56%, 01/15/33(a)(c) | | | | | | | 750 | | | | 716,845 | |
Series 2019-2A, Class D, (3 mo. LIBOR US + 3.90%), 6.41%, 01/15/33(a)(c) | | | | | | | 500 | | | | 456,160 | |
Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3 mo. LIBOR US + 7.61%), 10.12%, 10/15/33(a)(c) | | | | | | | 500 | | | | 452,092 | |
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3 mo. LIBOR US + 6.80%), 9.51%, 01/20/35(a)(c) | | | | | | | 1,500 | | | | 1,356,143 | |
Regional Management Issuance Trust | | | | | | | | | | | | |
Series 2020-1, Class A, 2.34%, 10/15/30(a) | | | | | | | 720 | | | | 665,111 | |
Series 2020-1, Class B, 3.23%, 10/15/30(a) | | | | | | | 320 | | | | 286,571 | |
Series 2020-1, Class C, 3.80%, 10/15/30(a) | | | | | | | 805 | | | | 715,675 | |
Series 2021-2, Class B, 2.35%, 08/15/33(a) | | | | | | | 1,098 | | | | 870,683 | |
Series 2021-2, Class C, 3.23%, 08/15/33(a) | | | | | | | 820 | | | | 642,713 | |
Series 2021-3, Class A, 3.88%, 10/17/33(d) | | | | | | | 10,210 | | | | 9,189,000 | |
Series 2022-1, Class A, 3.07%, 03/15/32(a) | | | | | | | 2,274 | | | | 2,055,185 | |
Series 2022-1, Class B, 3.71%, 03/15/32(a) | | | | | | | 5,452 | | | | 4,820,080 | |
Series 2022-1, Class C, 4.46%, 03/15/32(a) | | | | | | | 1,111 | | | | 976,275 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Regional Management Issuance Trust
Series 2022-1, Class D, 6.72%, 03/15/32(a) | | | USD | | | | 2,072 | | | $ | 1,775,814 | |
Renaissance Home Equity Loan Trust,
Series 2005-3, Class AF4, 5.14%, 11/25/35(b) | | | | | | | 1,085 | | | | 1,063,650 | |
Republic Finance Issuance Trust | | | | | | | | | | | | |
Series 2021-A, Class A, 2.30%, 12/22/31(a) | | | | | | | 6,600 | | | | 5,933,284 | |
Series 2021-A, Class B, 2.80%, 12/22/31(a) | | | | | | | 8,454 | | | | 7,423,151 | |
Series 2021-A, Class C, 3.53%, 12/22/31(a) | | | | | | | 2,100 | | | | 1,832,833 | |
Series 2021-A, Class D, 5.23%, 12/22/31(a) | | | | | | | 3,550 | | | | 2,817,319 | |
Riserva CLO Ltd., Series 2016-3A, Class ARR, (3 mo. LIBOR US + 1.06%), 3.80%, 01/18/34(a)(c) | | | | | | | 1,100 | | | | 1,060,832 | |
Rockford Tower CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class AR2, (3 mo. LIBOR US + 1.10%), 3.81%, 04/20/34(a)(c) | | | | | | | 1,500 | | | | 1,438,697 | |
Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.50%), 4.01%, 10/15/29(a)(c) | | | | | | | 1,250 | | | | 1,203,119 | |
Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.90%), 4.41%, 10/15/29(a)(c) | | | | | | | 1,000 | | | | 940,267 | |
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 5.36%, 10/15/29(a)(c) | | | | | | | 1,000 | | | | 927,516 | |
Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.25%), 8.76%, 10/15/29(a)(c) | | | | | | | 1,000 | | | | 841,278 | |
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 3.90%, 10/20/30(a)(c) | | | | | | | 2,924 | | | | 2,859,198 | |
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.10%), 4.08%, 05/20/31(a)(c) | | | | | | | 750 | | | | 732,421 | |
Series 2020-1A, Class B, (3 mo. LIBOR US + 1.80%), 4.51%, 01/20/32(a)(c) | | | | | | | 1,570 | | | | 1,471,865 | |
Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.17%), 3.88%, 07/20/34(a)(c) | | | | | | | 3,500 | | | | 3,362,618 | |
Romark CLO II Ltd., Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.18%), 3.96%, 07/25/31(a)(c) | | | | | | | 250 | | | | 243,386 | |
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 3.74%, 04/20/31(a)(c) | | | | | | | 1,237 | | | | 1,214,246 | |
RR 19 Ltd., Series 2021-19A, Class A2, (3 mo. LIBOR US + 1.65%), 4.16%, 10/15/35(a)(c) | | | | | | | 500 | | | | 484,722 | |
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.09%), 3.60%, 01/15/30(a)(c) | | | | 4,330 | | | | 4,235,509 | |
Service Experts Issuer LLC, Series 2021-1A, Class A, 2.67%, 02/02/32(a) | | | | | | | 3,131 | | | | 2,829,384 | |
SESAC Finance LLC, Series 2019-1, Class A2, 5.22%, 07/25/49(a) | | | | | | | 2,311 | | | | 2,116,619 | |
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1 mo. LIBOR US + 0.32%), 3.40%, 07/25/36(c) | | | | | | | 190 | | | | 42,878 | |
Shackleton CLO Ltd., Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.12%), 3.63%, 07/15/30(a)(c) | | | | | | | 995 | | | | 974,463 | |
Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, (3 mo. LIBOR US + 1.16%), 3.90%, 04/17/34(a)(c) | | | | | | | 5,000 | | | | 4,810,777 | |
Signal Peak CLO 2 LLC, Series 2015-1A, Class AR2, (3 mo. LIBOR US + 0.98%), 3.69%, 04/20/29(a)(c) | | | | | | | 1,482 | | | | 1,457,881 | |
Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, (3 mo. LIBOR US + 1.11%), 3.89%, 04/25/31(a)(c) | | | | | | | 300 | | | | 294,115 | |
| | |
| 34 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
Asset-Backed Securities (continued) | | | | | | | | | |
Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. LIBOR US + 1.27%), 3.98%, 04/20/33(a)(c) | | | USD | | | | 500 | | | $ | 482,761 | |
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.24%), 3.95%, 07/20/30(a)(c) | | | | | | | 1,259 | | | | 1,241,789 | |
Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A, (3 mo. LIBOR US + 1.32%), 4.03%, 10/20/32(a)(c) | | | | | | | 730 | | | | 710,336 | |
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3 mo. LIBOR US + 6.20%), 8.91%, 01/20/34(a)(c) | | | | | | | 500 | | | | 438,304 | |
SLM Private Credit Student Loan Trust | | | | | | | | | | | | |
Series 2005-A, Class A4, (3 mo. LIBOR US + 0.31%), 3.60%, 12/15/38(c) | | | | | | | 1,472 | | | | 1,421,976 | |
Series 2005-B, Class A4, (3 mo. LIBOR US + 0.33%), 3.62%, 06/15/39(c) | | | | | | | 1,081 | | | | 1,029,301 | |
Series 2006-BW, Class A5, (3 mo. LIBOR US + 0.20%), 3.49%, 12/15/39(c) | | | | | | | 1,931 | | | | 1,829,500 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1 mo. LIBOR US + 4.75%), 7.57%, 10/15/41(a)(c) | | | | | | | 3,383 | | | | 3,646,637 | |
SMB Private Education Loan Trust | | | | | | | | | | | | |
Series 2015-C, Class B, 3.50%, 09/15/43(a) | | | | | | | 2,365 | | | | 2,219,779 | |
Series 2016-B, Class A2A, 2.43%, 02/17/32(a) | | | | | | | 1,230 | | | | 1,186,061 | |
Series 2017-A, Class A2B,
(1 mo. LIBOR US + 0.90%), 3.72%, 09/15/34(a)(c) | | | | | | | 1,717 | | | | 1,696,159 | |
Series 2017-B, Class A2A, 2.82%, 10/15/35(a) | | | | | | | 903 | | | | 863,343 | |
Series 2017-B, Class A2B,
(1 mo. LIBOR US + 0.75%), 3.57%, 10/15/35(a)(c) | | | | | | | 1,483 | | | | 1,463,435 | |
Series 2018-A, Class A2B,
(1 mo. LIBOR US + 0.80%), 3.62%, 02/15/36(a)(c) | | | | | | | 2,789 | | | | 2,751,075 | |
Series 2019-B, Class A2A, 2.84%, 06/15/37(a) | | | | | | | 3,112 | | | | 2,939,807 | |
Series 2021-A, Class C,
2.99%, 01/15/53(a) | | | | | | | 3,290 | | | | 2,774,213 | |
Series 2021-A, Class D1,
3.86%, 01/15/53(a) | | | | | | | 1,480 | | | | 1,323,273 | |
Series 2021-A, Class D2,
3.86%, 01/15/53(a) | | | | | | | 800 | | | | 712,619 | |
Series 2021-B, Class A,
1.31%, 07/17/51(a) | | | | | | | 3,287 | | | | 2,925,105 | |
Series 2021-C, Class A2,
(1 mo. LIBOR US + 0.80%), 3.62%, 01/15/53(a)(c) | | | | | | | 1,770 | | | | 1,704,042 | |
Series 2021-C, Class APT1,
1.39%, 01/15/53(a) | | | | | | | 1,676 | | | | 1,470,292 | |
Series 2021-C, Class B,
2.30%, 01/15/53(a) | | | | | | | 840 | | | | 721,381 | |
SoFi Professional Loan Program LLC,
Series 2019-B, Class A2FX, 3.09%, 08/17/48(a) | | | | | | | 497 | | | | 469,620 | |
SoFi RR Funding IV Trust,
Series 2021-1, Class A,
2.98%, 12/31/25(a)(b)(d) | | | | | | | 361 | | | | 355,342 | |
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.07%), 3.84%, 01/26/31(a)(c) | | | | | | | 250 | | | | 243,972 | |
Sound Point CLO XV Ltd., Series 2017-1A, Class ARR, (3 mo. LIBOR US + 0.90%), 3.68%, 01/23/29(a)(c) | | | | | | | 3,399 | | | | 3,355,423 | |
Sound Point CLO XXIII Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.17%), 3.68%, 07/15/34(a)(c) | | | | | | | 2,240 | | | | 2,143,912 | |
Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.28%), 4.06%, 01/25/32(a)(c) | | | | | | | 1,000 | | | | 977,337 | |
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.80%), 3.88%, 01/25/35(c) | | | | | | | 101 | | | | 89,836 | |
SpringCastle America Funding LLC, Series 2020- AA, Class A, 1.97%, 09/25/37(a) | | | | | | | 1,689 | | | | 1,543,505 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
Asset-Backed Securities (continued) | | | | | | | | | |
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.25%), 3.76%, 10/15/30(a)(c) | | | USD | | | | 250 | | | $ | 244,125 | |
Stratus CLO Ltd. | | | | | | | | | | | | |
Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%), 7.71%, 12/29/29(a)(c) | | | | | | | 1,250 | | | | 1,084,286 | |
Series 2021-1A, Class SUB, 0.00%, 12/29/29(a)(c) | | | | | | | 1,000 | | | | 435,090 | |
Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%), 8.46%, 12/28/29(a)(c) | | | | | | | 1,550 | | | | 1,417,218 | |
Structured Asset Investment Loan Trust, | | | | | | | | | | | | |
Series 2004-10, Class A11, (1 mo. LIBOR US + 1.50%), 4.58%, 11/25/34(c) | | | | | | | 174 | | | | 170,894 | |
Structured Asset Securities Corp. Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-BC2, Class A1, (1 mo. LIBOR US + 0.16%), 3.24%, 09/25/36(c) | | | | | | | 1,990 | | | | 1,390,981 | |
Series 2007-GEL1, Class A3, (1 mo. LIBOR US + 0.60%), 3.68%, 01/25/37(a)(c) | | | | | | | 1,600 | | | | 1,266,341 | |
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54(a) | | | | | | | 1,870 | | | | 1,699,676 | |
Symphony CLO XIV Ltd., Series 2014-14A, Class B1RR, (3 mo. LIBOR US + 1.70%), 4.18%, 07/14/26(a)(c) | | | | | | | 250 | | | | 247,161 | |
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3 mo. LIBOR US + 0.96%), 3.70%, 04/16/31(a)(c) | | | | | | | 500 | | | | 488,199 | |
Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3 mo. LIBOR US + 1.15%), 3.66%, 10/15/31(a)(c) | | | | | | | 300 | | | | 292,113 | |
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.88%), 3.39%, 04/15/28(a)(c) | | | | | | | 490 | | | | 482,307 | |
Symphony CLO XXII Ltd., Series 2020-22A, Class B, (3 mo. LIBOR US + 1.70%), 4.44%, 04/18/33(a)(c) | | | | | | | 250 | | | | 237,272 | |
Symphony CLO XXIII Ltd.
Series 2020-23A, Class BR, (3 mo. LIBOR US + 1.60%), 4.11%, 01/15/34(a)(c) | | | | | | | 1,150 | | | | 1,088,087 | |
Series 2020-23A, Class CR, (3 mo. LIBOR US + 2.00%), 4.51%, 01/15/34(a)(c) | | | | | | | 1,500 | | | | 1,384,495 | |
Series 2020-23A, Class ER, (3 mo. LIBOR US + 6.15%), 8.66%, 01/15/34(a)(c) | | | | | | | 1,250 | | | | 1,071,298 | |
Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3 mo. LIBOR US + 1.08%), 3.79%, 04/20/33(a)(c) | | | | | | | 689 | | | | 670,581 | |
Symphony Static CLO I Ltd., Series 2021-1A, Class C, (3 mo. LIBOR US + 1.85%), 4.63%, 10/25/29(a)(c) | | | | | | | 500 | | | | 457,857 | |
TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.96%), 3.90%, 11/18/30(a)(c) | | | | | | | 1,000 | | | | 978,541 | |
TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.55%), 4.06%, 07/15/30(a)(c) | | | | | | | 1,000 | | | | 954,531 | |
TCW CLO AMR Ltd., Series 2019-1A, Class ASNR, (3 mo. LIBOR US + 1.22%), 4.14%, 08/16/34(a)(c) | | | | | | | 250 | | | | 240,385 | |
TICP CLO I-2 Ltd., Series 2018-IA, Class C, (3 mo. LIBOR US + 3.04%), 5.81%, 04/26/28(a)(c) | | | | | | | 500 | | | | 478,091 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 35 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | |
Asset-Backed Securities (continued) | | | | | | | | | |
TICP CLO III-2 Ltd., Series 2018-3R, Class B, (3 mo. LIBOR US + 1.35%), 4.06%, 04/20/28(a)(c) | | | USD | | | | 500 | | | $ | 490,530 | |
TICP CLO IX Ltd., Series 2017-9A, Class B, (3 mo. LIBOR US + 1.60%), 4.31%, 01/20/31(a)(c) | | | | | | | 250 | | | | 239,849 | |
TICP CLO V Ltd., Series 2016-5A, Class DR, (3 mo. LIBOR US + 3.15%), 5.89%, 07/17/31(a)(c) | | | | | | | 250 | | | | 229,972 | |
TICP CLO VI Ltd. | | | | | | | | | | | | |
Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 3.63%, 01/15/34(a)(c) | | | | | | | 4,250 | | | | 4,053,437 | |
Series 2016-6A, Class BR2, (3 mo. LIBOR US + 1.50%), 4.01%, 01/15/34(a)(c) | | | | | | | 320 | | | | 303,039 | |
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 9.56%, 04/15/33(a)(c) | | | | | | | 600 | | | | 546,247 | |
TICP CLO XI Ltd., Series 2018-11A, Class B, (3 mo. LIBOR US + 1.73%), 4.44%, 10/20/31(a)(c) | | | | | | | 450 | | | | 430,392 | |
TICP CLO XII Ltd., Series 2018-12A, Class AR, (3 mo. LIBOR US + 1.17%), 3.68%, 07/15/34(a)(c) | | | | | | | 250 | | | | 239,488 | |
TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3 mo. LIBOR US + 6.70%), 9.41%, 10/20/32(a)(c) | | | | | | | 1,250 | | | | 1,115,371 | |
TICP CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.28%), 3.99%, 04/20/33(a)(c) | | | | | | | 750 | | | | 728,857 | |
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1 mo. LIBOR US + 1.00%), 4.08%, 05/25/58(a)(c) | | | | | | | 1,389 | | | | 1,362,031 | |
Trestles CLO Ltd., Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.99%), 3.77%, 04/25/32(a)(c) | | | | | | | 650 | | | | 630,051 | |
Trestles CLO V Ltd.
| | | | | | | | | | | | |
Series 2021-5A, Class A1, (3 mo. LIBOR US + 1.17%), 3.88%, 10/20/34(a)(c) | | | | | | | 7,230 | | | | 6,897,290 | |
Series 2021-5A, Class E, (3 mo. LIBOR US + 6.35%), 9.06%, 10/20/34(a)(c) | | | | | | | 1,000 | | | | 855,756 | |
Tricon American Homes Trust
| | | | | | | | | | | | |
Series 2018-SFR1, Class E, 4.56%, 05/17/37(a) | | | | | | | 2,000 | | | | 1,884,484 | |
Series 2019-SFR1, Class E, 3.40%, 03/17/38(a) | | | | | | | 2,000 | | | | 1,801,580 | |
Series 2020-SFR1, Class F, 4.88%, 07/17/38(a) | | | | | | | 7,351 | | | | 6,667,872 | |
Tricon Residential Trust
| | | | | | | | | | | | |
Series 2021-SFR1, Class F, 3.69%, 07/17/38(a) | | | | | | | 3,250 | | | | 2,782,599 | |
Series 2021-SFR1, Class G, 4.13%, 07/17/38(a) | | | | 2,099 | | | | 1,784,485 | |
Trimaran Cavu Ltd. | | | | | | | | | |
Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.90%), 4.61%, 07/20/32(a)(c) | | | | | | | 250 | | | | 235,822 | |
Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 6.03%, 10/25/34(a)(c) | | | | | | | 300 | | | | 277,331 | |
Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3 mo. LIBOR US + 1.40%), 4.14%, 10/18/31(a)(c) | | | | | | | 250 | | | | 241,152 | |
Upstart Pass-Through Trust
| | | | | | | | | | | | |
Series 2021-ST3, Class A, 2.00%, 05/20/27(a) | | | | | | | 2,464 | | | | 2,327,455 | |
Series 2021-ST9, Class A, 1.70%, 11/20/29(a) | | | | | | | 4,589 | | | | 4,186,996 | |
Venture 39 CLO Ltd., Series 2020-39A, Class A1, (3 mo. LIBOR US + 1.28%), 3.79%, 04/15/33(a)(c) | | | | | | | 340 | | | | 327,746 | |
VMC Finance LLC, Series 2022-FL5, Class A, (SOFR (30-day) + 1.90%), 4.18%, 02/18/39(a)(c) | | | | | | | 5,300 | | | | 5,105,063 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Asset-Backed Securities (continued) | | | | | | | | | | | | |
VOLT CVI LLC, Series 2021-NP12, Class A1,
2.73%, 12/26/51(a)(b) | | | USD | | | | 14,134 | | | $ | 13,023,455 | |
Voya CLO Ltd.
| | | | | | | | | | | | |
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.23%), 3.77%, 04/25/31(a)(c) | | | | | | | 1,000 | | | | 974,142 | |
Series 2013-3A, Class A1RR, (3 mo. LIBOR US + 1.15%), 3.89%, 10/18/31(a)(c) | | | | | | | 498 | | | | 486,318 | |
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.19%), 3.90%, 10/20/31(a)(c) | | | | | | | 500 | | | | 487,962 | |
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.95%), 3.69%, 04/17/30(a)(c) | | | | | | | 247 | | | | 242,836 | |
Series 2017-3A, Class A1R, (3 mo. LIBOR US + 1.04%), 3.75%, 04/20/34(a)(c) | | | | | | | 1,000 | | | | 950,000 | |
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.13%), 3.64%, 10/15/30(a)(c) | | | | | | | 1,250 | | | | 1,228,909 | |
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.30%), 4.04%, 04/19/31(a)(c) | | | | | | | 250 | | | | 238,554 | |
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.00%), 3.51%, 07/15/31(a)(c) | | | | | | | 250 | | | | 243,017 | |
Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.15%), 3.66%, 10/15/31(a)(c) | | | | | | | 250 | | | | 242,500 | |
Washington Mutual Asset-Backed Certificates Trust | | | | | | | | | | | | |
Series 2006-HE3, Class 1A, (1 mo. LIBOR US + 0.31%), 3.24%, 08/25/36(c) | | | | | | | 7,650 | | | | 7,069,066 | |
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.36%), 3.26%, 09/25/36(c) | | | | | | | 213 | | | | 67,921 | |
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.16%), 3.24%, 10/25/36(c) | | | | | | | 1,318 | | | | 1,048,065 | |
Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.24%), 3.32%, 05/25/37(c) | | | | | | | 114 | | | | 98,394 | |
Wellfleet CLO Ltd., Series 2017-3A, Class A1,
(3 mo. LIBOR US + 1.15%), 3.89%, 01/17/31(a)(c) | | | | | | | 1,525 | | | | 1,489,893 | |
Whitebox CLO II Ltd. | | | | | | | | | | | | |
Series 2020-2A, Class A1R, (3 mo. LIBOR US + 1.22%), 4.00%, 10/24/34(a)(c) | | | | | | | 320 | | | | 306,900 | |
Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 6.13%, 10/24/34(a)(c) | | | | | | | 250 | | | | 225,359 | |
Series 2020-2A, Class ER, (3 mo. LIBOR US + 7.10%), 9.88%, 10/24/34(a)(c) | | | | | | | 500 | | | | 447,035 | |
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. LIBOR US + 1.22%), 3.73%, 10/15/34(a)(c) | | | | | | | 4,000 | | | | 3,836,615 | |
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.40%), 3.48%, 06/25/37(a)(c) | | | | | | | 443 | | | | 150,122 | |
York CLO 1 Ltd., Series 2014-1A, Class CRR, (3 mo. LIBOR US + 2.10%), 4.86%, 10/22/29(a)(c) | | | | | | | 250 | | | | 238,119 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities — 50.4%
(Cost: $1,367,128,533) | | | | | | | | 1,253,936,659 | |
| | | | | | | | | | | | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
| Banks — 0.0% | | | | | | | | | |
Washington Mutual Escrow Bonds
0.00%(d)(f)(g)(h) | | | | | | | 500 | | | | — | |
0.00%(d)(f)(g)(h) | | | | | | | 250 | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | — | |
| | |
| 36 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Insurance — 0.1% | | | | | | | | | | | | |
Ambac Assurance Corp., 5.10%(a)(h) | | | USD | | | | 58 | | | $ | 58,608 | |
Sitka Holdings LLC, (3 mo. LIBOR US + 4.50%), 8.17%, 07/06/26(a)(c) | | | | | | | 2,385 | | | | 2,280,566 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,339,174 | |
| | | | | | | | | | | | |
| | | |
Total Corporate Bonds — 0.1% | | | | | | | | | | | | |
(Cost: $2,441,659) | | | | | | | | | | | 2,339,174 | |
| | | | | | | | | | | | |
| | |
Floating Rate Loan Interests(d) | | | | | | | | | |
| | |
Diversified Financial Services — 0.2% | | | | | | | | | |
Project Pearl Pasco Holdings LLC, Advance, (1 mo. LIBOR US + 2.25%, 1.00% Floor), 4.65%, 09/15/24 | | | | | | | 5,785 | | | | 5,734,560 | |
| | | | | | | | | | | | |
| | |
Real Estate Management & Development — 0.2% | | | | | | | | | |
MUPR 3 Assets LLC, Facility, (1 mo. SOFR US + 2.75%, 0.00% Floor), 5.03%, 03/25/24 | | | | | | | 3,918 | | | | 3,908,259 | |
| | | | | | | | | | | | |
| | |
Thrifts & Mortgage Finance — 0.2% | | | | | | | | | |
Caliber Home Loans, Inc., Advances, (1 mo. SOFR US + 3.00%, 0.00% Floor), 5.39%, 07/24/25 | | | | | | | 4,000 | | | | 3,975,200 | |
| | | | | | | | | | | | |
| | |
Total Floating Rate Loan Interests — 0.6%
(Cost: $13,692,738) | | | | | | | | 13,618,019 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed Securities | |
| | |
Collateralized Mortgage Obligations — 14.3% | | | | | | | | | |
Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 3.40%, 05/25/36(c) | | | | | | | 4,584 | | | | 3,234,300 | |
Agate Bay Mortgage Trust | | | | | | | | | | | | |
Series 2015-1, Class B5, 3.69%, 01/25/45(a)(c) | | | | 723 | | | | 653,243 | |
Series 2015-3, Class B5, 3.54%, 04/25/45(a)(c) | | | | 832 | | | | 725,904 | |
Series 2015-4, Class B5, 3.52%, 06/25/45(a)(c) | | | | 580 | | | | 494,085 | |
Ajax Mortgage Loan Trust | | | | | | | | | | | | |
Series 2021-G, Class A, 1.88%, 06/25/61(a)(c) | | | | 9,691 | | | | 8,819,428 | |
Series 2021-G, Class B, 3.75%, 06/25/61(a)(c) | | | | 1,283 | | | | 1,166,334 | |
Series 2021-G, Class C, 0.00%, 06/25/61(a) | | | | | | | 2,321 | | | | 2,211,895 | |
Series 2022-A, Class A1, 3.50%, 10/25/61(a)(b)(d) | | | | | | | 9,378 | | | | 8,963,440 | |
Series 2022-A, Class A2, 3.00%, 10/25/61(a)(c)(d) | | | | | | | 478 | | | | 439,190 | |
Series 2022-A, Class A3, 3.00%, 10/25/61(a)(c)(d) | | | | | | | 255 | | | | 233,055 | |
Series 2022-A, Class B, 3.00%, 10/25/61(a)(d) | | | | 1,912 | | | | 1,245,981 | |
Series 2022-A, Class C, 3.00%, 10/25/61(a)(d) | | | | 951 | | | | 976,314 | |
Series 2022-A, Class M1, 3.00%, 10/25/61(a)(d) | | | | 279 | | | | 246,008 | |
Series 2022-A, Class M2, 3.00%, 10/25/61(a)(d) | | | | 1,250 | | | | 1,019,908 | |
Series 2022-A, Class M3, 3.00%, 10/25/61(a)(d) | | | | 80 | | | | 61,090 | |
Series 2022-B, Class A1, 3.50%, 03/27/62(a)(b)(d) | | | | | | | 12,191 | | | | 11,849,938 | |
Series 2022-B, Class A2, 3.00%, 03/27/62(a)(c)(d) | | | | | | | 376 | | | | 353,627 | |
Series 2022-B, Class A3, 3.00%, 03/27/62(a)(c)(d) | | | | | | | 322 | | | | 305,192 | |
Series 2022-B, Class B, 3.00%, 03/27/62(a)(d) | | | | 1,789 | | | | 1,160,395 | |
Series 2022-B, Class C, 3.00%, 03/27/62(a)(d) | | | | 994 | | | | 921,394 | |
Series 2022-B, Class M1, 3.00%, 03/27/62(a)(d) | | | | 241 | | | | 218,171 | |
Series 2022-B, Class M2, 3.00%, 03/27/62(a)(d) | | | | 1,198 | | | | 1,003,864 | |
American Home Mortgage Assets Trust | | | | | | | | | | | | |
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.21%), 3.29%, 10/25/46(c) | | | | | | | 90 | | | | 49,620 | |
Series 2006-6, Class A1A, (1 mo. LIBOR US + 0.19%), 3.27%, 12/25/46(c) | | | | | | | 5,020 | | | | 4,144,229 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Collateralized Mortgage Obligations (continued) | |
American Home Mortgage Assets Trust | | | | | | | | | | | | |
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.70%), 1.80%, 02/25/47(c) | | | USD | | | | 32 | | | $ | 13,219 | |
Angel Oak Mortgage Trust, Series 2019-5, Class B1, 3.96%, 10/25/49(a)(c) | | | | | | | 405 | | | | 354,683 | |
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1, 3.63%, 03/25/49(a)(c) | | | | | | | 9 | | | | 9,364 | |
APS Resecuritization Trust, Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.85%), 5.93%, 09/27/46(a)(c) | | | | | | | 116 | | | | 116,281 | |
Banc of America Alternative Loan Trust, Series 2006-4, Class 3CB1, (1 mo. LIBOR US + 0.80%), 3.88%, 05/25/46(c) | | | | | | | 574 | | | | 452,915 | |
Banc of America Funding Trust | | | | | | | | | | | | |
Series 2014-R2, Class 1C, 0.00%, 11/26/36(a)(c) | | | | 315 | | | | 82,899 | |
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(a)(c) | | | | | | | 350 | | | | 339,674 | |
Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37 | | | | | | | 888 | | | | 710,491 | |
Barclays Mortgage Loan Trust | | | | | | | | | | | | |
Series 2021-NPL1, Class A, 2.00%, 11/25/51(a)(b) | | | | | | | 9,917 | | | | 9,372,782 | |
Series 2021-NPL1, Class B, 4.63%, 11/25/51(a)(b) | | | | | | | 1,060 | | | | 1,005,576 | |
Series 2021-NPL1, Class C, 0.00%, 11/25/51(a)(d) | | | | | | | 2,393 | | | | 2,181,848 | |
Series 2022-NQM1, Class A1, 4.55%, 07/25/52(a)(c) | | | | | | | 3,949 | | | | 3,766,580 | |
BCAP LLC Trust | | | | | | | | | | | | |
Series 2011-RR4, Class 3A6, 3.24%, 07/26/36(a)(c) | | | | | | | 1,348 | | | | 1,284,535 | |
Series 2011-RR5, Class 11A5, (1 mo. LIBOR US + 0.15%), 2.74%, 05/28/36(a)(c) | | | | | | | 331 | | | | 313,338 | |
Bear Stearns Asset Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 02/25/36(b) | | | | | | | 167 | | | | 112,198 | |
Bear Stearns Mortgage Funding Trust | | | | | | | | | | | | |
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.28%), 3.36%, 08/25/36(c) | | | | | | | 414 | | | | 399,137 | |
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.17%), 3.25%, 03/25/37(c) | | | | | | | 196 | | | | 181,797 | |
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.21%), 3.29%, 06/25/37(c) | | | | | | | 18 | | | | 16,392 | |
Central Park Funding Trust,
Series 2021-2, Class PT, (1 mo. LIBOR US + 3.00%), 6.11%, 10/27/22(a)(c) | | | | | | | 911 | | | | 906,071 | |
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | | | | | | | 9,273 | | | | 4,299,973 | |
CHNGE Mortgage Trust | | | | | | | | | | | | |
Series 2022-1, Class A1, 3.01%, 01/25/67(a)(c) | | | | 2,795 | | | | 2,561,609 | |
Series 2022-2, Class A1, 3.76%, 03/25/67(a)(c) | | | | 9,188 | | | | 8,500,866 | |
Series 2022-4, Class A1, 6.00%, 10/25/57(a)(c) | | | | 719 | | | | 702,471 | |
CIM Trust, Series 2019-J2, Class B4, 3.77%, 10/25/49(a)(c) | | | | | | | 902 | | | | 649,957 | |
Citicorp Mortgage Securities Trust | | | | | | | | | | | | |
Series 2007-9, Class 1A1, 6.25%, 12/25/37 | | | | | | | 2,041 | | | | 1,691,622 | |
Series 2008-2, Class 1A1, 6.50%, 06/25/38 | | | | | | | 292 | | | | 221,580 | |
Citigroup Mortgage Loan Trust | | | | | | | | | | | | |
Series 2014-C, Class B2, 4.25%, 02/25/54(a) | | | | | | | 317 | | | | 277,990 | |
Series 2019-RP1, Class A1, 3.50%, 01/25/66(a)(c) | | | | | | | 1,806 | | | | 1,709,642 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 37 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Collateralized Mortgage Obligations (continued) | |
Citigroup Mortgage Loan Trust Series 2022-A, Class A1, 6.17%, 09/25/62(a)(b) | | | USD | | | | 7,368 | | | $ | 7,217,596 | |
CitiMortgage Alternative Loan Trust, Series 2007- A3, Class 1A5, 6.00%, 03/25/37 | | | | | | | 1,780 | | | | 1,550,116 | |
COLT Mortgage Loan Trust, Series 2020-2, | | | | | | | | | | | | |
Class M1, 5.25%, 03/25/65(a)(c) | | | | | | | 761 | | | | 688,879 | |
Countrywide Alternative Loan Trust | | | | | | | | | | | | |
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.35%), 3.43%, 06/25/35(c) | | | | | | | 1,133 | | | | 969,650 | |
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.64%), 3.63%, 11/20/35(c) | | | | | | | 441 | | | | 360,993 | |
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.00%), 2.10%, 02/25/36(c) | | | | | | | 431 | | | | 392,828 | |
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | | | | | | | 1,025 | | | | 559,976 | |
Series 2006-J7, Class 1A2, 6.25%, 11/25/36 | | | | | | | 2,859 | | | | 1,490,263 | |
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.46%), 3.54%, 11/25/36(c) | | | | | | | 470 | | | | 413,747 | |
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.50%), 3.58%, 07/25/46(c) | | | | | | | 3,208 | | | | 2,871,630 | |
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 | | | | | | | 1,142 | | | | 579,485 | |
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 | | | | | | | 172 | | | | 90,865 | |
Series 2007-OA2, Class 1A1, (12 mo. Federal
Reserve Cumulative Average US + 0.84%), 1.94%, 03/25/47(c) | | | | | | | 187 | | | | 158,215 | |
Countrywide Home Loan Mortgage Pass-Through Trust | | | | | | | | | | | | |
Series 2005-J2, Class 3A9, (1 mo. LIBOR US + 1.40%), 4.48%, 08/25/35(c) | | | | | | | 2,617 | | | | 1,840,294 | |
Series 2007-15, Class 2A2, 6.50%, 09/25/37 | | | | | | | 630 | | | | 285,142 | |
Series 2007-HYB1, Class 3A1, 3.23%, 03/25/37(c) | | | | | | | 1,385 | | | | 1,213,214 | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | | | | | |
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(a) | | | | | | | 39 | | | | 16,098 | |
Series 2020-SPT1, Class B2, 3.39%, 04/25/65(a)(c) | | | | | | | 8,400 | | | | 8,047,906 | |
Series 2021-RPL9, Class A1, 2.44%, 02/25/61(a)(c) | | | | | | | 4,528 | | | | 4,139,915 | |
Credit Suisse Mortgage Trust | | | | | | | | | | | | |
Series 2007-5, Class 1A11, 7.00%, 08/25/37(c) | | | | | | | 1,921 | | | | 1,088,018 | |
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.12%), 2.56%, 08/27/36(a)(c) | | | | | | | 96 | | | | 70,507 | |
Series 2014-SAF1, Class B5, 3.87%, 03/25/44(a)(c) | | | | | | | 1,578 | | | | 1,156,824 | |
Series 2021-NQM1, Class M1, 2.13%, 05/25/65(a)(c) | | | | | | | 3,299 | | | | 2,607,771 | |
Series 2022-NQM1, Class A1, 2.27%, 11/25/66(a)(c) | | | | | | | 5,358 | | | | 4,590,370 | |
Deephaven Residential Mortgage Trust | | | | | | | | | | | | |
Series 2021-1, Class B2, 3.96%, 05/25/65(a)(c) | | | | | | | 150 | | | | 125,346 | |
Series 2021-1, Class M1, 2.09%, 05/25/65(a)(c) | | | | | | | 1,620 | | | | 1,406,788 | |
Series 2021-3, Class B1, 3.27%, 08/25/66(a)(c) | | | | | | | 3,671 | | | | 2,468,354 | |
Deutsche Alt-B Securities Mortgage Loan Trust, | | | | | | | | | | | | |
Series 2006-AB3, Class A8, 6.36%, 07/25/36(c) | | | | | | | 18 | | | | 14,548 | |
GCAT Trust | | | | | | | | | | | | |
Series 2020-NQM2, Class B1, 4.85%, 04/25/65(a)(c) | | | | | | | 2,533 | | | | 2,172,560 | |
Series 2022-NQM4, Class A1, 5.27%, 08/25/67(a)(b) | | | | | | | 3,959 | | | | 3,837,533 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Collateralized Mortgage Obligations (continued) | |
GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.00%), 3.10%, 03/25/36(c) | | | USD | | | | 20 | | | $ | 18,660 | |
GS Mortgage-Backed Securities Corp. Trust | | | | | | | | | | | | |
Series 2019-PJ2, Class A4, 4.00%, 11/25/49(a)(c) | | | | | | | 340 | | | | 322,437 | |
Series 2020-PJ2, Class B4, 3.57%, 07/25/50(a)(c) | | | | | | | 1,065 | | | | 822,622 | |
GSMPS Mortgage Loan Trust | | | | | | | | | | | | |
Series 2004-4, Class 1AF, (1 mo. LIBOR US + 0.40%), 3.48%, 06/25/34(a)(c) | | | | | | | 3,411 | | | | 2,933,685 | |
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.35%), 3.43%, 03/25/35(a)(c) | | | | | | | 58 | | | | 56,041 | |
Series 2005-RP3, Class 2A1, 3.47%, 09/25/35(a)(c) | | | | | | | 3,445 | | | | 3,210,182 | |
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.35%), 3.43%, 01/25/36(a)(c) | | | | | | | 48 | | | | 40,422 | |
Series 2006-RP2, Class 2A1, 3.49%, 04/25/36(a)(c) | | | | | | | 2,443 | | | | 2,117,669 | |
GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 2.77%, 04/25/36(c) | | | | | | | 1,873 | | | | 1,304,456 | |
Homeward Opportunities Fund I Trust | | | | | | | | | | | | |
Series 2020-2, Class B1, 5.45%, 05/25/65(a)(c) | | | | 3,640 | | | | 3,518,357 | |
Series 2022-1, Class A1, 5.08%, 07/25/67(a)(b) | | | | 3,864 | | | | 3,749,459 | |
IndyMac Index Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-AR27, Class 2A2, (1 mo. LIBOR US + 0.40%), 3.48%, 10/25/36(c) | | | | | | | 218 | | | | 195,458 | |
Series 2007-AR19, Class 3A1, 3.37%, 09/25/37(c) | | | | | | | 649 | | | | 438,795 | |
Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.24%), 3.32%, 08/25/37(c) | | | | | | | 2,857 | | | | 2,504,614 | |
JPMorgan Alternative Loan Trust, Series 2006-S2, Class A5, 6.88%, 05/25/36(b) | | | | | | | 4,224 | | | | 3,480,325 | |
JPMorgan Mortgage Trust | | | | | | | | | | | | |
Series 2005-A4, Class B1, 3.35%, 07/25/35(c) | | | | 359 | | | | 330,778 | |
Series 2020-5, Class B3, 3.60%, 12/25/50(a)(c) | | | | 3,813 | | | | 2,934,866 | |
Series 2021-INV5, Class A2A, 2.50%, 12/25/51(a)(c) | | | | | | | 17,800 | | | | 14,135,220 | |
Series 2021-INV7, Class A3A, 2.50%, 02/25/52(a)(c) | | | | | | | 16,765 | | | | 14,338,925 | |
Series 2021-INV7, Class A4A, 2.50%, 02/25/52(a)(c) | | | | | | | 6,218 | | | | 4,201,066 | |
Series 2021-INV7, Class B1, 3.27%, 02/25/52(a)(c) | | | | | | | 3,865 | | | | 3,113,341 | |
Series 2021-INV7, Class B2, 3.27%, 02/25/52(a)(c) | | | | | | | 907 | | | | 717,638 | |
Series 2021-INV7, Class B3, 3.27%, 02/25/52(a)(c) | | | | | | | 1,262 | | | | 947,716 | |
Series 2021-INV7, Class B4, 3.27%, 02/25/52(a)(c) | | | | | | | 671 | | | | 423,009 | |
Series 2021-INV7, Class B5, 3.27%, 02/25/52(a)(c) | | | | | | | 276 | | | | 162,520 | |
Series 2021-INV7, Class B6, 3.15%, 02/25/52(a)(c) | | | | | | | 907 | | | | 293,592 | |
Legacy Mortgage Asset Trust, Series 2020-SL1, Class A, 2.73%, 01/25/60(a)(b) | | | | | | | 204 | | | | 198,868 | |
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 2.30%), 5.38%, 12/25/37(c) | | | | | | | 27 | | | | 26,948 | |
Loan Revolving Advance Investment Trust, Series 2021-2, Class A1X, (1 mo. LIBOR US + 2.75%), 4.72%, 06/30/23(a)(c) | | | | | | | 10,000 | | | | 9,910,471 | |
| | |
| 38 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Collateralized Mortgage Obligations (continued) | | | | | |
LSTAR Securities Investment Ltd., Series 2019-3, Class A1, (1 mo. LIBOR US + 3.50%), 6.06%, 04/01/24(a)(c) | | | USD | | | | 2,175 | | | $ | 2,145,390 | |
MASTR Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37(a)(c) | | | | | | | 926 | | | | 828,261 | |
MCM Trust | | | | | | | | | | | | |
Series 2021-VFN1, Class Cert, 3.00%, 08/25/28(d) | | | | | | | 1,032 | | | | 689,503 | |
Series 2021-VFN1, Class Note, 3.00%, 08/25/28(d) | | | | | | | 1,969 | | | | 1,927,401 | |
MFA Trust | | | | | | | | | | | | |
Series 2021-INV1, Class M1, 2.29%, 01/25/56(a)(c) | | | | | | | 700 | | | | 636,611 | |
Series 2022-NQM3, Class A1, 5.57%, 09/25/67(a)(b) | | | | | | | 3,341 | | | | 3,322,800 | |
MFRA Trust, Series 2022-CHM1, Class A1, 3.88%, 09/25/56(a)(b) | | | | | | | 7,391 | | | | 6,808,128 | |
Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3, 3.72%, 06/25/44(a)(c) | | | | | | | 198 | | | | 188,493 | |
Mortgage Loan Resecuritization Trust, | | | | | | | | | | | | |
Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.34%), 2.90%, 04/16/36(a)(c) | | | | 227 | | | | 213,034 | |
New Residential Mortgage Loan Trust, | | | | | | | | | | | | |
Series 2019-2A, Class A1, 4.25%, 12/25/57(a)(c) | | | | | | | 1,488 | | | | 1,424,190 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust | | | | | | | | | | | | |
Series 2005-AP1, Class 2A4, 6.05%, 02/25/35(b) | | | | | | | 355 | | | | 323,040 | |
Series 2007-2, Class A4, (1 mo. LIBOR US + 0.42%), 3.50%, 06/25/37(c) | | | | | | | 624 | | | | 553,661 | |
NYMT Loan Trust, Series 2020-SP2, Class A1, 2.94%, 10/25/60(a)(c) | | | | | | | 6,409 | | | | 6,162,028 | |
OBX Trust | | | | | | | | | | | | |
Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59(a)(c) | | | | | | | 282 | | | | 266,150 | |
Series 2022-NQM7, Class A1, 5.11%, 08/25/62(a)(b) | | | | | | | 2,625 | | | | 2,542,777 | |
Preston Ridge Partners Mortgage LLC | | | | | | | | | | | | |
Series 2021-4, Class A1, 1.87%, 04/25/26(a)(b) | | | | | | | 3,722 | | | | 3,410,214 | |
Series 2022-1, Class A1, 3.72%, 02/25/27(a)(b) | | | | | | | 4,449 | | | | 4,141,209 | |
PRKCM Trust | | | | | | | | | | | | |
Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(c) | | | | | | | 1,278 | | | | 1,054,824 | |
Series 2022-AFC1, Class A1A, 4.10%, 04/25/57(a)(c) | | | | | | | 548 | | | | 510,906 | |
Series 2022-AFC2, Class A1, 5.34%, 08/25/57(a)(c) | | | | | | | 3,972 | | | | 3,871,086 | |
RALI Trust | | | | | | | | | | | | |
Series 2005-QA10, Class A21, 3.90%, 09/25/35(c) | | | | | | | 5,303 | | | | 2,446,652 | |
Series 2006-QO10, Class A1, (1 mo. LIBOR US + 0.32%), 3.40%, 01/25/37(c) | | | | | | | 1,889 | | | | 1,638,955 | |
RCKT Mortgage Trust, Series 2020-1, Class B4, 3.48%, 02/25/50(a)(c) | | | | | | | 953 | | | | 757,340 | |
RCO VI Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/27(a)(b) | | | | | | | 17,069 | | | | 16,015,893 | |
Reperforming Loan REMIC Trust | | | | | | | | | | | | |
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.34%), 3.42%, 06/25/35(a)(c) | | | | 353 | | | | 334,387 | |
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.40%), 3.48%, 09/25/35(a)(c) | | | | | | | 533 | | | | 473,335 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Collateralized Mortgage Obligations (continued) | | | | | |
Residential Mortgage Loan Trust, Series 2019-3, Class B2, 5.66%, 09/25/59(a)(c) | | | USD | | | | 2,900 | | | $ | 2,654,430 | |
RFMSI Series Trust, Series 2005-SA4, Class 2A1, 4.14%, 09/25/35(c) | | | | | | | 2,081 | | | | 1,424,503 | |
RFMSI Series Trust, Series 2006-SA2, Class 2A1, 4.82%, 08/25/36(c) | | | | | | | 482 | | | | 345,968 | |
RMF Buyout Issuance Trust Series 2021-HB1, Class M3, 3.69%, 11/25/31(a)(c) | | | | | | | 3,379 | | | | 2,999,524 | |
Series 2021-HB1, Class M6, 6.00%, 11/25/31(a)(c)(d) | | | | | | | 1,083 | | | | 873,575 | |
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 09/25/67(a)(b) | | | | | | | 826 | | | | 801,064 | |
Starwood Mortgage Residential Trust | | | | | | | | | | | | |
Series 2020-3, Class B1,
4.75%, 04/25/65(a)(c) | | | | | | | 2,820 | | | | 2,680,270 | |
Series 2020-INV1, Class B1, 3.26%, 11/25/55(a) | | | | | | | 260 | | | | 235,383 | |
Series 2020-INV1, Class M1, 2.50%, 11/25/55(a) | | | | | | | 2,688 | | | | 2,410,013 | |
Series 2021-1, Class B1,
3.52%, 05/25/65(a)(c) | | | | | | | 648 | | | | 584,853 | |
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.42%), 3.50%, 05/25/46(c) | | | | | | | 30 | | | | 19,080 | |
Structured Asset Securities Corp. | | | | | | | | | | | | |
Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.35%), 3.43%, 06/25/35(a)(c) | | | | | | | 817 | | | | 759,645 | |
Series 2005-RF5, Class 2A, 3.41%, 07/25/35(a)(c) | | | | | | | 2,174 | | | | 2,016,986 | |
Structured Asset Securities Corp. Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-RF3, Class 1A2, 6.00%, 10/25/36(a) | | | | | | | 4,323 | | | | 2,592,529 | |
Series 2006-RF4, Class 2A1, 6.00%, 10/25/36(a) | | | | | | | 1,282 | | | | 744,073 | |
Thornburg Mortgage Securities Trust, | | | | | | | | | | | | |
Series 2006-3, Class A1, 2.64%, 06/25/46(c) | | | | | | | 1,045 | | | | 728,028 | |
Toorak Mortgage Corp., Series 2021-INV2, Class B1, 4.10%, 11/25/56(a)(c) | | | | | | | 3,755 | | | | 2,736,510 | |
TVC Mortgage Trust, Series 2020-RTL1, Class A1, 3.47%, 09/25/24(a) | | | | | | | 107 | | | | 106,326 | |
Verus Securitization Trust
Series 2019-4, Class B1, 3.86%, 11/25/59(a)(c) | | | | | | | 800 | | | | 717,006 | |
Series 2020-4, Class B1,
5.05%, 05/25/65(a)(c) | | | | | | | 2,600 | | | | 2,461,839 | |
Series 2020-5, Class M1, 2.60%, 05/25/65(a)(c) | | | | | | | 263 | | | | 224,400 | |
Series 2021-1, Class M1, 1.97%, 01/25/66(a)(c) | | | | | | | 3,000 | | | | 2,140,400 | |
Series 2021-R1, Class M1, 2.34%, 10/25/63(a) | | | | | | | 3,250 | | | | 2,797,016 | |
Series 2021-R2, Class B1, 3.25%, 02/25/64(a)(c) | | | | | | | 265 | | | | 247,162 | |
Series 2022-1, Class B1,
4.01%, 01/25/67(a)(c) | | | | | | | 1,507 | | | | 1,120,905 | |
Visio Trust, Series 2019-2, Class B1, 3.91%, 11/25/54(a)(c) | | | | | | | 100 | | | | 82,546 | |
Vista Point Securitization Trust
Series 2020-2, Class A3, 2.50%, 04/25/65(a)(c) | | | | | | | 138 | | | | 129,822 | |
Series 2020-2, Class M1, 3.40%, 04/25/65(a)(c) | | | | | | | 170 | | | | 157,539 | |
Washington Mutual Mortgage Pass-Through Certificates Trust | | | | | | | | | | | | |
Series 2005-9, Class 5A6, (1 mo. LIBOR US + 0.55%), 3.63%, 11/25/35(c) | | | | | | | 402 | | | | 277,131 | |
Series 2005-9, Class 5A9, 5.50%, 11/25/35 | | | | | | | 165 | | | | 123,415 | |
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | | | | | | | 151 | | | | 136,825 | |
Series 2006-4, Class 3A1, 7.00%, 05/25/36(b) | | | | | | | 103 | | | | 88,145 | |
Series 2006-AR1, Class A1A, (1 mo. LIBOR US + 0.50%), 3.58%, 02/25/36(c) | | | | | | | 1,287 | | | | 1,069,094 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 39 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Collateralized Mortgage Obligations (continued) | | | | | |
Washington Mutual Mortgage Pass-Through Certificates Trust | | | | | | | | | | | | |
Series 2006-AR5, Class A1A, (12 mo. Federal Reserve Cumulative Average US + 0.99%), 2.09%, 06/25/46(c) | | | USD | | | | 157 | | | $ | 143,083 | |
Series 2007-HY1, Class A2A, (1 mo. LIBOR US + 0.32%), 3.40%, 02/25/37(c) | | | | | | | 557 | | | | 466,029 | |
Series 2007-OA1, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.71%), 1.81%, 12/25/46(c) | | | | | | | 2,690 | | | | 2,308,938 | |
Series 2007-OA4, Class 2A, (Cost of Funds for the 11th District of San Francisco + 0.80%), 1.90%, 05/25/47(c) | | | | | | | 2,216 | | | | 1,935,397 | |
Series 2007-OA5, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.75%), 1.85%, 06/25/47(c) | | | | | | | 520 | | | | 444,472 | |
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR15, Class A1, 4.41%, 10/25/36(c) | | | | | | | 1,037 | | | | 974,009 | |
Western Alliance CLN, Series 2021-CL1, Class M, 5.63%, 12/28/24 | | | | | | | 8,540 | | | | 8,533,506 | |
Western Mortgage Reference Notes | | | | | | | | | | | | |
Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 5.43%, 07/25/59(a)(c) | | | | | | | 10,055 | | | | 9,961,047 | |
Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 5.98%, 07/25/59(a)(c) | | | | | | | 10,114 | | | | 10,020,948 | |
WinWater Mortgage Loan Trust, Series 2014-3, Class B5, 3.98%, 11/20/44(a)(c) | | | | | | | 923 | | | | 919,018 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 356,484,386 | |
|
| Commercial Mortgage-Backed Securities — 25.0% | |
245 Park Avenue Trust | | | | | | | | | | | | |
Series 2017-245P, Class A, 3.51%, 06/05/37(a) | | | | | | | 5,000 | | | | 4,452,169 | |
Series 2017-245P, Class C, 3.78%, 06/05/37(a)(c) | | | | | | | 3,000 | | | | 2,533,976 | |
Series 2017-245P, Class E, 3.78%, 06/05/37(a)(c) | | | | | | | 1,151 | | | | 890,016 | |
280 Park Avenue Mortgage Trust | | | | | | | | | | | | |
Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 3.59%, 09/15/34(a)(c) | | | | | | | 5,000 | | | | 4,867,971 | |
Series 2017-280P, Class E, (1 mo. LIBOR US + 2.12%), 4.82%, 09/15/34(a)(c) | | | | | | | 1,705 | | | | 1,576,521 | |
Angel Oak SB Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2020-SBC1, Class A1, 2.07%, 05/25/50(a)(c) | | | | | | | 7,924 | | | | 7,575,157 | |
AREIT LLC, Series 2022-CRE7, Class A, (1 mo. CME Term SOFR + 2.24%), 5.26%, 06/17/39(a)(c) | | | | | | | 3,080 | | | | 3,041,555 | |
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.10%), 4.92%, 04/15/35(a)(c) | | | | | | | 1,128 | | | | 1,056,566 | |
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, (1 mo. LIBOR US + 1.05%), 3.87%, 09/15/32(a)(c) | | | | | | | 2,000 | | | | 1,949,718 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-200P, Class F, 3.72%, 04/14/33(a)(c) | | | | | | | 1,294 | | | | 1,124,501 | |
Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.90%), 3.72%, 11/15/32(a)(c) | | | | | | | 2,470 | | | | 2,331,065 | |
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.00%), 4.82%, 11/15/32(a)(c) | | | | | | | 1,090 | | | | 907,735 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Commercial Mortgage-Backed Securities (continued) | | | | | |
BANK | | | | | | | | | | | | |
Series 2019-BN22, Class A4, 2.98%, 11/15/62 | | | USD | | | | 3,000 | | | $ | 2,588,732 | |
Series 2020-BN28, Class A4, 1.84%, 03/15/63 | | | | | | | 4,200 | | | | 3,271,258 | |
Series 2021-BN33, Class A5, 2.56%, 05/15/64 | | | | | | | 1,249 | | | | 1,018,876 | |
Series 2021-BN35, Class A5, 2.29%, 06/15/64 | | | | | | | 744 | | | | 589,343 | |
Series 2021-BN37, Class A5, 2.62%, 11/15/64(c) | | | | | | | 1,069 | | | | 868,523 | |
Bayview Commercial Asset Trust | | | | | | | | | | | | |
Series 2006-1A, Class A1, (1 mo. LIBOR US + 0.41%), 3.49%, 04/25/36(a)(c) | | | | | | | 7,015 | | | | 6,220,704 | |
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.54%), 3.62%, 04/25/36(a)(c) | | | | | | | 16 | | | | 14,034 | |
Series 2006-4A, Class A2, (1 mo. LIBOR US + 0.41%), 3.49%, 12/25/36(a)(c) | | | | | | | 1,503 | | | | 1,368,079 | |
Series 2006-SP2, Class A, (1 mo. LIBOR US + 0.42%), 3.50%, 01/25/37(a)(c) | | | | | | | 1,529 | | | | 1,377,406 | |
Series 2007-1, Class A2, (1 mo. LIBOR US + 0.27%), 3.35%, 03/25/37(a)(c) | | | | | | | 7,204 | | | | 6,591,013 | |
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 3.35%, 07/25/37(a)(c) | | | | | | | 34 | | | | 29,699 | |
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.45%), 3.53%, 09/25/37(a)(c) | | | | | | | 6,319 | | | | 5,695,907 | |
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 4.58%, 12/25/37(a)(c) | | | | | | | 4,117 | | | | 3,763,952 | |
BBCMS Mortgage Trust | | | | | | | | | | | | |
Series 2017-DELC, Class F, (1 mo. LIBOR US + 3.63%), 6.44%, 08/15/36(a)(c) | | | | | | | 1,936 | | | | 1,809,457 | |
Series 2018-CHRS, Class E, 4.41%, 08/05/38(a)(c) | | | | | | | 1,000 | | | | 701,284 | |
Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 3.54%, 03/15/37(a)(c) | | | | | | | 5,000 | | | | 4,705,640 | |
Series 2022-C16, Class A5, 4.60%, 06/15/55(c) | | | | | | | 1,305 | | | | 1,245,643 | |
Series 2022-C17, Class A5, 4.44%, 09/15/55 | | | | | | | 510 | | | | 480,509 | |
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(a) | | | | | | | 366 | | | | 339,519 | |
BDS LLC, Series 2022-FL12, Class A, (1 mo. CME Term SOFR + 2.14%), 4.60%, 08/19/38(a)(c) | | | | | | | 1,870 | | | | 1,856,034 | |
Beast Mortgage Trust | | | | | | | | | | | | |
Series 2021-SSCP, Class B, (1 mo. LIBOR US + 1.10%), 3.92%, 04/15/36(a)(c) | | | | | | | 278 | | | | 260,148 | |
Series 2021-SSCP, Class C, (1 mo. LIBOR US + 1.35%), 4.17%, 04/15/36(a)(c) | | | | | | | 337 | | | | 311,876 | |
Series 2021-SSCP, Class D, (1 mo. LIBOR US + 1.60%), 4.42%, 04/15/36(a)(c) | | | | | | | 324 | | | | 295,990 | |
Series 2021-SSCP, Class E, (1 mo. LIBOR US + 2.10%), 4.92%, 04/15/36(a)(c) | | | | | | | 278 | | | | 252,139 | |
Series 2021-SSCP, Class F, (1 mo. LIBOR US + 2.90%), 5.72%, 04/15/36(a)(c) | | | | | | | 262 | | | | 240,097 | |
Series 2021-SSCP, Class G, (1 mo. LIBOR US + 3.80%), 6.62%, 04/15/36(a)(c) | | | | | | | 293 | | | | 268,466 | |
Series 2021-SSCP, Class H, (1 mo. LIBOR US + 4.90%), 7.72%, 04/15/36(a)(c) | | | | | | | 216 | | | | 198,262 | |
Benchmark Mortgage Trust | | | | | | | | | | | | |
Series 2019-B15, Class A5, 2.93%, 12/15/72 | | | | | | | 4,747 | | | | 4,070,146 | |
Series 2021-B24, Class A5, 2.58%, 03/15/54 | | | | | | | 3,000 | | | | 2,448,977 | |
Series 2022-B35, Class A5, 4.59%, 05/15/55(c) | | | | | | | 2,000 | | | | 1,890,747 | |
BFLD Trust, Series 2020-EYP, Class E, (1 mo. LIBOR US + 3.70%), 6.52%, 10/15/35(a)(c) | | | | | | | 2,000 | | | | 1,844,199 | |
BHMS
Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.25%), 4.07%, 07/15/35(a)(c) | | | | | | | 2,850 | | | | 2,751,715 | |
| | |
| 40 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Commercial Mortgage-Backed Securities (continued) | | | | | |
BHMS | | | | | | | | | | | | |
Series 2018-ATLS, Class C, (1 mo. LIBOR US + 1.90%), 4.72%, 07/15/35(a)(c) | | | USD | | | | 2,600 | | | $ | 2,474,521 | |
BMO Mortgage Trust, Series 2022-C2, Class A5, 4.97%, 07/15/54(c) | | | | | | | 1,432 | | | | 1,402,497 | |
BOCA Commercial Mortgage Trust, Series 2022- BOCA, Class A, (1 mo. CME Term SOFR + 1.77%), 4.62%, 05/15/39(a)(c) | | | | | | | 1,540 | | | | 1,506,833 | |
BPR Trust | | | | | | | | | | | | |
Series 2021-TY, Class E, (1 mo. LIBOR US + 3.60%), 6.42%, 09/15/38(a)(c) | | | | | | | 3,138 | | | | 2,949,651 | |
Series 2022-SSP, Class A, (1 mo. CME Term SOFR + 3.00%), 5.85%, 05/15/39(a)(c) | | | | 770 | | | | 758,176 | |
BWAY Mortgage Trust | | | | | | | | | | | | |
Series 2013-1515, Class A2, 3.45%, 03/10/33(a) | | | | | | | 1,696 | | | | 1,607,292 | |
Series 2013-1515, Class C, 3.45%, 03/10/33(a) | | | | | | | 250 | | | | 227,242 | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-XL, Class D, (1 mo. LIBOR US + 1.45%), 4.27%, 10/15/36(a)(c) | | | | | | | 2,550 | | | | 2,466,667 | |
Series 2019-XL, Class G, (1 mo. LIBOR US + 2.30%), 5.12%, 10/15/36(a)(c) | | | | | | | 4,250 | | | | 4,069,155 | |
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 5.47%, 10/15/36(a)(c) | | | | | | | 6,417 | | | | 6,128,262 | |
Series 2020-VIV2, Class C, 3.66%, 03/09/44(a)(c) | | | | | | | 2,204 | | | | 1,738,134 | |
Series 2020-VIVA, Class D, 3.67%, 03/11/44(a)(c) | | | | | | | 3,000 | | | | 2,232,900 | |
Series 2020-VKNG, Class F, (1 mo. LIBOR US + 2.75%), 5.57%, 10/15/37(a)(c) | | | | | | | 1,490 | | | | 1,379,378 | |
Series 2021-21M, Class E, (1 mo. LIBOR US + 2.17%), 4.99%, 10/15/36(a)(c) | | | | | | | 4,625 | | | | 4,340,106 | |
Series 2021-CIP, Class E, (1 mo. LIBOR US + 2.82%), 5.64%, 12/15/38(a)(c) | | | | | | | 4,758 | | | | 4,436,199 | |
Series 2021-MC, Class E, (1 mo. LIBOR US + 2.10%), 4.92%, 04/15/34(a)(c) | | | | | | | 1,793 | | | | 1,664,104 | |
Series 2021-MC, Class F, (1 mo. LIBOR US + 2.35%), 5.17%, 04/15/34(a)(c) | | | | | | | 1,875 | | | | 1,714,406 | |
Series 2021-NWM, Class A, (1 mo. LIBOR US + 0.91%), 3.73%, 02/15/33(a)(c)(d) | | | | | | | 1,061 | | | | 1,007,890 | |
Series 2021-NWM, Class B, (1 mo. LIBOR US + 2.15%), 4.97%, 02/15/33(a)(c)(d) | | | | | | | 622 | | | | 590,914 | |
Series 2021-NWM, Class C, (1 mo. LIBOR US + 4.25%), 7.07%, 02/15/33(a)(c)(d) | | | | | | | 410 | | | | 389,972 | |
Series 2021-VINO, Class A, (1 mo. LIBOR US + 0.65%), 3.47%, 05/15/38(a)(c) | | | | | | | 4,950 | | | | 4,734,477 | |
Series 2021-VINO, Class F, (1 mo. LIBOR US + 2.80%), 5.62%, 05/15/38(a)(c) | | | | | | | 7,100 | | | | 6,531,854 | |
Series 2021-VIV5, Class A, 2.84%, 03/09/44(a)(c) | | | | | | | 1,522 | | | | 1,229,268 | |
Series 2021-XL2, Class F, (1 mo. LIBOR US + 2.24%), 5.06%, 10/15/38(a)(c) | | | | | | | 4,726 | | | | 4,351,491 | |
Series 2022-CSMO, Class C, (1 mo. CME Term SOFR + 3.89%), 6.73%, 06/15/27(a)(c) | | | | 1,080 | | | | 1,063,782 | |
Series 2022-LP2, Class F, (1 mo. CME Term SOFR + 3.26%), 6.18%, 02/15/39(a)(c) | | | | | | | 2,237 | | | | 2,068,334 | |
BX Trust | | | | | | | | | | | | |
Series 2019-CALM, Class E, (1 mo. LIBOR US + 2.00%), 4.82%, 11/15/32(a)(c) | | | | | | | 2,100 | | | | 1,972,002 | |
Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | | | | | | | 3,757 | | | | 3,129,523 | |
Series 2021-ARIA, Class C, (1 mo. LIBOR US + 1.65%), 4.46%, 10/15/36(a)(c) | | | | | | | 150 | | | | 139,478 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Commercial Mortgage-Backed Securities (continued) | | | | | |
BX Trust | | | | | | | | | | | | |
Series 2021-ARIA, Class D, (1 mo. LIBOR US + 1.90%), 4.71%, 10/15/36(a)(c) | | | USD | | | | 1,249 | | | $ | 1,158,256 | |
Series 2021-ARIA, Class G, (1 mo. LIBOR US + 3.14%), 5.96%, 10/15/36(a)(c) | | | | | | | 7,890 | | | | 7,021,316 | |
Series 2021-SDMF, Class E, (1 mo. LIBOR US + 1.59%), 4.41%, 09/15/34(a)(c) | | | | | | | 3,980 | | | | 3,599,984 | |
Series 2021-SDMF, Class J, (1 mo. LIBOR US + 4.03%), 6.85%, 09/15/34(a)(c) | | | | | | | 1,344 | | | | 1,195,285 | |
Series 2021-SOAR, Class G, (1 mo. LIBOR US + 2.80%), 5.62%, 06/15/38(a)(c) | | | | | | | 5,351 | | | | 4,894,066 | |
Series 2021-SOAR, Class J, (1 mo. LIBOR US + 3.75%), 6.57%, 06/15/38(a)(c) | | | | | | | 4,714 | | | | 4,307,647 | |
Series 2021-VIEW, Class E, (1 mo. LIBOR US + 3.60%), 6.42%, 06/15/36(a)(c) | | | | | | | 7,397 | | | | 6,801,553 | |
Series 2022-GPA, Class A, (1 mo. CME Term SOFR + 2.17%),
4.67%, 10/15/39(a)(c) | | | | | | | 11,930 | | | | 11,859,478 | |
Series 2022-GPA, Class D, (1 mo. CME Term SOFR + 4.06%),
6.56%, 10/15/39(a)(c) | | | | | | | 1,200 | | | | 1,180,761 | |
Series 2022-IND, Class E, (1 mo. CME Term SOFR + 3.99%), 6.91%, 04/15/37(a)(c) | | | | | | | 5,960 | | | | 5,574,062 | |
Series 2022-LBA6, Class D, (1 mo. CME Term SOFR + 2.00%),
4.85%, 01/15/39(a)(c) | | | | | | | 2,150 | | | | 2,027,276 | |
BXP Trust | | | | | | | | | | | | |
Series 2017-GM, Class B, 3.54%, 06/13/39(a)(c) | | | | | | | 265 | | | | 229,655 | |
Series 2021-601L, Class D, 2.87%, 01/15/44(a)(c) | | | | | | | 1,554 | | | | 1,036,341 | |
CAMB Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.75%), 4.57%, 12/15/37(a)(c) | | | | | | | 1,000 | | | | 962,410 | |
Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.15%), 4.97%, 12/15/37(a)(c) | | | | | | | 2,269 | | | | 2,172,340 | |
CD Mortgage Trust, Series 2016-CD1, Class A3, 2.46%, 08/10/49 | | | | | | | 4,339 | | | | 3,934,724 | |
CFCRE Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2016-C4, Class C, 5.00%, 05/10/58(c) | | | | | | | 130 | | | | 118,494 | |
Series 2018-TAN, Class A, 4.24%, 02/15/33(a) | | | | | | | 1,000 | | | | 989,190 | |
Series 2018-TAN, Class B, 4.69%, 02/15/33(a) | | | | | | | 1,081 | | | | 1,061,338 | |
Series 2018-TAN, Class C, 5.30%, 02/15/33(a) | | | | | | | 1,050 | | | | 1,027,536 | |
CFK Trust | | | | | | | | | | | | |
Series 2019-FAX, Class D, 4.79%, 01/15/39(a)(c) | | | | | | | 2,500 | | | | 2,106,729 | |
Series 2019-FAX, Class E, 4.79%, 01/15/39(a)(c) | | | | | | | 2,600 | | | | 2,087,559 | |
Citigroup Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-375P, Class C, 3.64%, 05/10/35(a)(c) | | | | | | | 100 | | | | 95,375 | |
Series 2016-P3, Class A4, 3.33%, 04/15/49 | | | | | | | 2,635 | | | | 2,467,607 | |
Series 2017-P7, Class A4, 3.71%, 04/14/50 | | | | | | | 6,000 | | | | 5,581,069 | |
Series 2019-PRM, Class E, 4.89%, 05/10/36(a)(c) | | | | | | | 3,000 | | | | 2,967,327 | |
Series 2019-SMRT, Class A, 4.15%, 01/10/36(a) | | | | | | | 2,000 | | | | 1,951,374 | |
Series 2019-SMRT, Class D, 4.90%, 01/10/36(a)(c) | | | | | | | 3,000 | | | | 2,879,473 | |
Cold Storage Trust | | | | | | | | | | | | |
Series 2020-ICE5, Class A, (1 mo. LIBOR US + 0.90%), 3.72%, 11/15/37(a)(c) | | | | | | | 8,238 | | | | 8,024,726 | |
Series 2020-ICE5, Class E, (1 mo. LIBOR US + 2.77%), 5.58%, 11/15/37(a)(c) | | | | | | | 1,966 | | | | 1,894,604 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-GAM, Class A2, 3.37%, 02/10/28(a) | | | | | | | 809 | | | | 797,746 | |
Series 2013-GAM, Class B, 3.53%, 02/10/28(a)(c) | | | | | | | 1,500 | | | | 1,462,140 | |
Series 2013-WWP, Class D, 3.90%, 03/10/31(a) | | | | | | | 110 | | | | 109,931 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 41 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-CR23, Class A4, 3.50%, 05/10/48 | | | USD | | | | 2,000 | | | $ | 1,906,028 | |
Series 2015-CR26, Class A4, 3.63%, 10/10/48 | | | | | | | 3,535 | | | | 3,364,255 | |
Series 2015-PC1, Class B, 4.43%, 07/10/50(c) | | | | | | | 3,175 | | | | 3,007,216 | |
Series 2016-667M, Class D, 3.29%, 10/10/36(a)(c) | | | | | | | 500 | | | | 389,968 | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | | | | | |
Series 2019-ICE4, Class A, (1 mo. LIBOR US + 0.98%), 3.80%, 05/15/36(a)(c) | | | | | | | 9,475 | | | | 9,344,652 | |
Series 2019-ICE4, Class B, (1 mo. LIBOR US + 1.23%), 4.05%, 05/15/36(a)(c) | | | | | | | 3,015 | | | | 2,955,178 | |
Series 2019-ICE4, Class E, (1 mo. LIBOR US + 2.15%), 4.97%, 05/15/36(a)(c) | | | | | | | 6,331 | | | | 6,116,025 | |
Series 2019-ICE4, Class F, (1 mo. LIBOR US + 2.65%), 5.47%, 05/15/36(a)(c) | | | | | | | 8,897 | | | | 8,523,116 | |
Credit Suisse Mortgage Trust | | | | | | | | | | | | |
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.95%), 3.77%, 12/15/30(a)(c) | | | | | | | 240 | | | | 237,932 | |
Series 2020-FACT, Class E, (1 mo. LIBOR US + 4.86%), 7.68%, 10/15/37(a)(c) | | | | | | | 2,000 | | | | 1,870,365 | |
Series 2021-980M, Class D, 3.65%, 07/15/31(a)(c) | | | | | | | 3,364 | | | | 2,795,098 | |
Series 2021-980M, Class E, 3.65%, 07/15/31(a)(c) | | | | | | | 2,195 | | | | 1,751,677 | |
Series 2021-BHAR, Class E, (1 mo. LIBOR US + 3.50%), 6.32%, 11/15/38(a)(c) | | | | | | | 633 | | | | 582,713 | |
Series 2022-NWPT, Class A, (1 mo. CME Term SOFR + 3.14%), 5.99%, 09/15/35(a)(c) | | | | | | | 3,659 | | | | 3,629,607 | |
CSAIL Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2018-C14, Class A4, 4.42%, 11/15/51(c) | | | | | | | 4,219 | | | | 3,967,138 | |
Series 2019-C16, Class A3, 3.33%, 06/15/52 | | | | | | | 2,000 | | | | 1,769,059 | |
Series 2019-C16, Class C, 4.24%, 06/15/52(c) | | | | | | | 1,622 | | | | 1,345,901 | |
DBGS Mortgage Trust | | | | | | | | | | | | |
Series 2018-5BP, Class A, (1 mo. LIBOR US + 0.80%), 3.61%, 06/15/33(a)(c) | | | | | | | 5,000 | | | | 4,798,938 | |
Series 2018-BIOD, Class A, (1 mo. LIBOR US + 0.80%), 3.51%, 05/15/35(a)(c) | | | | | | | 4,569 | | | | 4,476,893 | |
Series 2018-BIOD, Class D, (1 mo. LIBOR US + 1.30%), 4.01%, 05/15/35(a)(c) | | | | | | | 3,198 | | | | 3,085,602 | |
Series 2018-BIOD, Class F, (1 mo. LIBOR US + 2.00%), 4.71%, 05/15/35(a)(c) | | | | | | | 3,052 | | | | 2,912,956 | |
Series 2018-BIOD, Class G, (1 mo. LIBOR US + 2.50%), 5.21%, 05/15/35(a)(c) | | | | | | | 429 | | | | 406,206 | |
Deutsche Bank UBS Mortgage Trust | | | | | | | | | | | | |
Series 2017-BRBK, Class A, 3.45%, 10/10/34(a) | | | | | | | 1,312 | | | | 1,237,740 | |
Series 2017-BRBK, Class D, 3.65%, 10/10/34(a)(c) | | | | | | | 990 | | | | 898,346 | |
Series 2017-BRBK, Class F, 3.65%, 10/10/34(a)(c) | | | | | | | 1,524 | | | | 1,338,465 | |
ELP Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2021-ELP, Class G, (1 mo. LIBOR US + 3.12%), 5.93%, 11/15/38(a)(c) | | | | | | | 6,602 | | | | 6,060,158 | |
Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 6.43%, 11/15/38(a)(c) | | | | | | | 2,557 | | | | 2,349,936 | |
Extended Stay America Trust | | | | | | | | | | | | |
Series 2021-ESH, Class D, (1 mo. LIBOR US + 2.25%), 5.07%, 07/15/38(a)(c) | | | | | | | 4,962 | | | | 4,751,068 | |
Series 2021-ESH, Class E, (1 mo. LIBOR US + 2.85%), 5.67%, 07/15/38(a)(c) | | | | | | | 3,469 | | | | 3,294,296 | |
Series 2021-ESH, Class F, (1 mo. LIBOR US + 3.70%), 6.52%, 07/15/38(a)(c) | | | | | | | 3,618 | | | | 3,417,715 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
FREMF Mortgage Trust | | | | | | | | | | | | |
Series 2018-K74, Class B, 4.23%, 02/25/51(a)(c) | | | USD | | | | 2,150 | | | $ | 1,993,017 | |
Series 2018-W5FX, Class CFX, 3.79%, 04/25/28(a)(c) | | | | | | | 4,100 | | | | 3,423,996 | |
Series 2020-K105, Class B, 3.53%, 03/25/53(a)(c) | | | | | | | 2,905 | | | | 2,533,051 | |
GCT Commercial Mortgage Trust, Series 2021- GCT, Class A, (1 mo. LIBOR US + 0.80%), 3.62%, 02/15/38(a)(c) | | | | | | | 2,730 | | | | 2,633,147 | |
Grace Trust, Series 2020-GRCE, Class F, 2.77%, 12/10/40(a)(c) | | | | | | | 2,000 | | | | 1,204,149 | |
GS Mortgage Securities Corp. II, Series 2018- GS10, Class A5, 4.16%, 07/10/51(c) | | | | | | | 4,100 | | | | 3,838,925 | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-GC32, Class C, 4.56%, 07/10/48(c) | | | | | | | 410 | | | | 376,404 | |
Series 2017-GS6, Class A3, 3.43%, 05/10/50 | | | | | | | 2,000 | | | | 1,845,480 | |
Series 2019-GSA1, Class A4, 3.05%, 11/10/52 | | | | | | | 2,587 | | | | 2,226,739 | |
Series 2019-GSA1, Class C, 3.93%, 11/10/52(c) | | | | | | | 5,000 | | | | 3,967,730 | |
Series 2021-DM, Class F, (1 mo. LIBOR US + 3.44%), 6.25%, 11/15/36(a)(c) | | | | | | | 813 | | | | 742,010 | |
Series 2022-ECI, Class A, (1 mo. CME Term SOFR + 2.19%), 5.04%, 08/15/39(a)(c) | | | | | | | 3,170 | | | | 3,142,213 | |
Series 2022-ECI, Class D, (1 mo. CME Term SOFR + 4.19%), 7.04%, 08/15/39(a)(c) | | | | | | | 1,282 | | | | 1,259,526 | |
Series 2022-SHIP, Class A, (1 mo. CME Term SOFR + 0.73%), 3.58%, 08/15/36(a)(c) | | | | 3,470 | | | | 3,411,553 | |
Harvest Commercial Capital Loan Trust, | | | | | | | | | | | | |
Series 2020-1, Class M4, 5.96%, 04/25/52(a)(c) | | | | 669 | | | | 585,322 | |
HIT Trust, Series 2022-HI32, Class A, (1 mo. CME Term SOFR + 2.39%), 5.24%, 07/15/24(a)(c) | | | | | | | 710 | | | | 701,087 | |
HONO Mortgage Trust | | | | | | | | | | | | |
Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 6.17%, 10/15/36(a)(c) | | | | | | | 1,968 | | | | 1,841,502 | |
Series 2021-LULU, Class F, (1 mo. LIBOR US + 4.40%), 7.22%, 10/15/36(a)(c) | | | | | | | 1,629 | | | | 1,518,780 | |
Houston Galleria Mall Trust, Series 2015-HGLR, Class D, 3.98%, 03/05/37(a) | | | | | | | 578 | | | | 507,622 | |
Hudson Yards Mortgage Trust | | | | | | | | | | | | |
Series 2019-30HY, Class E, 3.56%, 07/10/39(a)(c) | | | | | | | 2,000 | | | | 1,515,344 | |
Series 2019-55HY, Class F, 3.04%, 12/10/41(a)(c) | | | | | | | 712 | | | | 504,102 | |
ILPT Commercial Mortgage Trust, Series 2022- LPF2, Class A, (1 mo. CME Term SOFR + 2.25%), 4.50%, 10/15/39(a)(c) | | | | | | | 6,059 | | | | 6,040,213 | |
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1 mo. CME Term SOFR + 2.49%),
5.33%, 08/15/37(a)(c) | | | | | | | 3,483 | | | | 3,443,746 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | | | | | | | | |
Series 2015-C33, Class D1, 4.27%, 12/15/48(a)(c) | | | | | | | 1,190 | | | | 1,015,533 | |
JPMDB Commercial Mortgage Securities Trust, | | | | | | | | | | | | |
Series 2019-COR6, Class A4, 3.06%, 11/13/52 | | | | | | | 1,968 | | | | 1,692,562 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-JP1, Class C, 4.88%, 01/15/49(c) | | | | | | | 315 | | | | 286,449 | |
Series 2016-JP2, Class A4, 2.82%, 08/15/49 | | | | | | | 3,655 | | | | 3,336,129 | |
Series 2018-PHH, Class A, (1 mo. LIBOR US + 1.21%), 4.03%, 06/15/35(a)(c) | | | | | | | 4,845 | | | | 4,703,598 | |
Series 2019-MFP, Class F, (1 mo. LIBOR US + 3.00%), 5.82%, 07/15/36(a)(c) | | | | | | | 1,000 | | | | 920,041 | |
| | |
| 42 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 5.59%, 10/15/33(a)(c) | | | USD 700 | | | $ | 657,598 | |
Series 2021-MHC, Class E, (1 mo. LIBOR US + 2.45%), 5.27%, 04/15/38(a)(c) | | | 2,528 | | | | 2,375,911 | |
Series 2022-NLP, Class F, (1 mo. CME Term SOFR + 3.54%), 6.39%, 04/15/37(a)(c) | | | 3,442 | | | | 3,149,072 | |
Series 2022-NXSS, Class A, (1 mo. CME Term SOFR + 2.18%),
5.13%, 08/15/39(a)(c) | | | 5,266 | | | | 5,213,203 | |
Series 2022-OPO, Class D, 3.57%, 01/05/39(a)(c) | | | 2,865 | | | | 2,247,915 | |
KNDL Mortgage Trust, Series 2019-KNSQ, | | | | | | | | |
Class E, (1 mo. LIBOR US + 1.80%),
4.62%, 05/15/36(a)(c) | | | 1,159 | | | | 1,110,446 | |
Lehman Brothers Small Balance Commercial Mortgage Trust | | | | | | | | |
Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.25%), 3.33%, 03/25/37(a)(c) | | | 43 | | | | 42,582 | |
Series 2007-2A, Class M1, (1 mo. LIBOR US + 0.40%), 3.48%, 06/25/37(a)(c) | | | 695 | | | | 683,595 | |
Series 2007-3A, Class M2, (1 mo. LIBOR US + 2.00%), 5.08%, 10/25/37(a)(c) | | | 3,340 | | | | 2,766,186 | |
Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%),
3.52%, 03/15/38(a)(c) | | | 1,946 | | | | 1,870,669 | |
LUXE Trust, Series 2021-TRIP, Class E, (1 mo. LIBOR US + 2.75%),
5.57%, 10/15/38(a)(c) | | | 654 | | | | 607,594 | |
Med Trust | | | | | | | | |
Series 2021-MDLN, Class F, (1 mo. LIBOR US + 4.00%), 6.82%, 11/15/38(a)(c) | | | 2,200 | | | | 2,024,196 | |
Series 2021-MDLN, Class G, (1 mo. LIBOR US + 5.25%), 8.07%, 11/15/38(a)(c)(d) | | | 21,012 | | | | 19,751,326 | |
MF1, Series 2021-W10, Class G, (1 mo. CME Term SOFR + 4.22%), 7.07%, 12/15/34(a)(c) | | | 560 | | | | 536,385 | |
MHC Commercial Mortgage Trust | | | | | | | | |
Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 3.62%, 04/15/38(a)(c) | | | 1,950 | | | | 1,876,782 | |
Series 2021-MHC, Class F, (1 mo. LIBOR US + 2.60%), 5.42%, 04/15/38(a)(c) | | | 2,500 | | | | 2,320,813 | |
Series 2021-MHC2, Class A, (1 mo. LIBOR US + 0.85%), 3.67%, 05/15/38(a)(c) | | | 5,000 | | | | 4,824,566 | |
MHP | | | | | | | | |
Series 2021-STOR, Class G, (1 mo. LIBOR US + 2.75%), 5.57%, 07/15/38(a)(c) | | | 2,146 | | | | 1,952,180 | |
Series 2021-STOR, Class J, (1 mo. LIBOR US + 3.95%), 6.77%, 07/15/38(a)(c) | | | 2,846 | | | | 2,592,774 | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
Series 2015-C23, Class D,
4.28%, 07/15/50(a)(c). | | | 233 | | | | 200,903 | |
Series 2015-C25, Class A5,
3.64%, 10/15/48 | | | 1,455 | | | | 1,385,848 | |
Series 2015-C26, Class C,
4.52%, 10/15/48(c) | | | 1,000 | | | | 911,178 | |
Series 2016-C32, Class A4,
3.72%, 12/15/49 | | | 1,060 | | | | 992,219 | |
Morgan Stanley Capital I Trust | | | | | | | | |
Series 2015-MS1, Class A4,
3.78%, 05/15/48(c) . | | | 2,000 | | | | 1,909,210 | |
Series 2017-CLS, Class A, (1 mo. LIBOR US + 0.70%), 3.52%, 11/15/34(a)(c) | | | 4,330 | | | | 4,302,987 | |
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.60%), 5.42%, 11/15/34(a)(c)(d) | | | 843 | | | | 843,885 | |
Series 2017-H1, Class B, 4.08%, 06/15/50 | | | 2,400 | | | | 2,151,199 | |
Series 2017-H1, Class C, 4.28%, 06/15/50(c) | | | 509 | | | | 440,682 | |
Series 2017-HR2, Class D, 2.73%, 12/15/50 | | | 160 | | | | 114,150 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
Morgan Stanley Capital I Trust | | | | | | | | |
Series 2018-MP, Class E,
4.42%, 07/11/40(a)(c) | | | USD 2,184 | | | $ | 1,588,831 | |
Series 2018-SUN, Class D, (1 mo. LIBOR US + 1.65%), 4.47%, 07/15/35(a)(c) | | | 1,000 | | | | 973,752 | |
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 5.37%, 07/15/35(a)(c) | | | 255 | | | | 247,435 | |
Series 2019-H7, Class AS,
3.52%, 07/15/52 | | | 1,900 | | | | 1,637,092 | |
Series 2019-H7, Class C,
4.13%, 07/15/52 | | | 5,000 | | | | 4,145,558 | |
Series 2019-H7, Class D, 3.00%, 07/15/52(a) | | | 3,000 | | | | 2,157,753 | |
Morgan Stanley Mortgage Capital Trust, Series 2017-237P, Class A,
3.40%, 09/13/39(a) | | | 5,400 | | | | 4,674,717 | |
MSCG Trust, Series 2018-SELF, Class E, (1 mo. LIBOR US + 2.15%),
4.97%, 10/15/37(a)(c) | | | 4,776 | | | | 4,514,039 | |
MTN Commercial Mortgage Trust | | | | | | | | |
Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%),
4.24%, 03/15/39(a)(c) | | | 3,720 | | | | 3,617,790 | |
Series 2022-LPFL, Class F, (1 mo. CME Term SOFR + 5.29%),
8.13%, 03/15/39(a)(c) | | | 3,220 | | | | 3,042,609 | |
Natixis Commercial Mortgage Securities Trust | | | | | | | | |
Series 2017-75B, Class A, 3.86%, 04/10/37(a) | | | 1,850 | | | | 1,680,796 | |
Series 2018-RIVA, Class E, (1 mo. CME Term SOFR + 2.79%),
5.63%, 02/15/33(a)(c) | | | 327 | | | | 324,886 | |
Olympic Tower Mortgage Trust | | | | | | | | |
Series 2017-OT, Class A, 3.57%, 05/10/39(a) | | | 2,920 | | | | 2,592,740 | |
Series 2017-OT, Class D,
4.08%, 05/10/39(a)(c) | | | 1,080 | | | | 852,130 | |
Series 2017-OT, Class E,
4.08%, 05/10/39(a)(c) | | | 498 | | | | 369,645 | |
PKHL Commercial Mortgage Trust | | | | | | | | |
Series 2021-MF, Class F, (1 mo. LIBOR US + 3.35%), 6.17%, 07/15/38(a)(c) | | | 1,824 | | | | 1,697,675 | |
Series 2021-MF, Class G, (1 mo. LIBOR US + 4.35%), 7.17%, 07/15/38(a)(c) | | | 1,967 | | | | 1,848,100 | |
Ready Capital Mortgage Financing LLC, | | | | | | | | |
Series 2022-FL9, Class A, (1 mo. CME Term SOFR + 2.47%),
5.53%, 06/25/37(a)(c) | | | 1,408 | | | | 1,395,486 | |
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1 mo. CME Term SOFR + 2.25%), 5.27%, 01/19/37(a)(c) | | | 10,254 | | | | 10,135,525 | |
SG Commercial Mortgage Securities Trust | | | | | | | | |
Series 2016-C5, Class B, 3.93%, 10/10/48 | | | 2,000 | | | | 1,775,023 | |
Series 2019-PREZ, Class E, 3.59%, 09/15/39(a)(c) | | | 2,000 | | | | 1,449,538 | |
SLG Office Trust, Series 2021-OVA, Class A,
2.59%, 07/15/41(a) | | | 3,500 | | | | 2,804,548 | |
SMRT, Series 2022-MINI, Class E, (1 mo. CME Term SOFR + 2.70%), 5.55%, 01/15/39(a)(c) | | | 847 | | | | 777,035 | |
SREIT Trust | | | | | | | | |
Series 2021-MFP, Class F, (1 mo. LIBOR US + 2.62%), 5.44%, 11/15/38(a)(c) | | | 2,960 | | | | 2,751,898 | |
Series 2021-MFP2, Class F, (1 mo. LIBOR US + 2.62%), 5.44%, 11/15/36(a)(c) | | | 2,226 | | | | 2,075,442 | |
Series 2021-MFP2, Class J, (1 mo. LIBOR US + 3.92%), 6.73%, 11/15/36(a)(c) | | | 449 | | | | 413,586 | |
STWD Trust | | | | | | | | |
Series 2021-FLWR, Class B, (1 mo. LIBOR US + 0.93%), 3.74%, 07/15/36(a)(c) | | | 7,000 | | | | 6,631,624 | |
Series 2021-FLWR, Class E, (1 mo. LIBOR US + 1.92%),
4.74%, 07/15/36(a)(c) | | | 1,738 | | | | 1,607,349 | |
Series 2021-FLWR, Class G, (1 mo. LIBOR US + 3.67%),
6.49%, 07/15/23(a)(c) | | | 1,326 | | | | 1,228,280 | |
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo. CME Term SOFR + 2.19%), 5.03%, 05/15/37(a)(c) | | | 4,470 | | | | 4,364,883 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 43 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
TPGI Trust | | | | | | | | | | | | |
Series 2021-DGWD, Class F, (1 mo. LIBOR US + 3.00%), 5.82%, 06/15/26(a)(c) | | | USD | | | | 1,700 | | | $ | 1,578,201 | |
Series 2021-DGWD, Class G, (1 mo. LIBOR US + 3.85%), 6.67%, 06/15/26(a)(c) | | | | | | | 1,700 | | | | 1,574,797 | |
TTAN, Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.85%), 3.67%, 03/15/38(a)(c) | | | | | | | 1,994 | | | | 1,923,502 | |
Velocity Commercial Capital Loan Trust | | | | | | | | | | | | |
Series 2019-2, Class M2,
3.39%, 07/25/49(a)(c) | | | | | | | 1,708 | | | | 1,564,669 | |
Series 2019-2, Class M3,
3.48%, 07/25/49(a)(c) | | | | | | | 768 | | | | 690,072 | |
Series 2019-2, Class M4,
3.99%, 07/25/49(a)(c) | | | | | | | 1,921 | | | | 1,671,316 | |
Series 2021-1, Class M4,
2.85%, 05/25/51(a)(c) | | | | | | | 2,260 | | | | 1,667,630 | |
Series 2021-3, Class M4,
3.48%, 10/25/51(a)(c) | | | | | | | 2,776 | | | | 2,184,135 | |
Series 2021-4, Class A,
2.52%, 12/26/51(a)(c) | | | | | | | 8,666 | | | | 7,831,173 | |
Series 2021-4, Class M4,
4.48%, 12/26/51(a)(c) | | | | | | | 1,289 | | | | 1,033,988 | |
Series 2022-1, Class M4,
5.20%, 02/25/52(a)(c) | | | | | | | 5,761 | | | | 4,762,935 | |
Series 2022-4, Class M2,
6.97%, 08/25/52(a)(c) | | | | | | | 1,087 | | | | 1,031,730 | |
Series 2022-4, Class M3,
7.54%, 08/25/52(a)(c) | | | | | | | 1,087 | | | | 1,026,617 | |
VMC Finance LLC, Series 2021-FL4, Class A, (1 mo. LIBOR US + 1.10%), 4.09%, 06/16/36(a)(c) | | | | | | | 4,052 | | | | 3,986,771 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2017-C39, Class B,
4.03%, 09/15/50 | | | | | | | 2,000 | | | | 1,786,274 | |
Series 2017-C39, Class C,
4.12%, 09/15/50 | | | | | | | 3,000 | | | | 2,560,756 | |
Series 2017-C41, Class B,
4.19%, 11/15/50(c) | | | | | | | 2,000 | | | | 1,741,818 | |
Series 2017-C42, Class B,
4.00%, 12/15/50(c) | | | | | | | 500 | | | | 442,112 | |
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.85%), 3.62%, 12/13/31(a)(c) | | | | | | | 1,181 | | | | 1,164,237 | |
Series 2018-1745, Class A,
3.87%, 06/15/36(a)(c) | | | | | | | 3,155 | | | | 2,776,074 | |
Series 2018-C44, Class C,
4.99%, 05/15/51(c) | | | | | | | 1,484 | | | | 1,271,685 | |
Series 2018-C44, Class D,
3.00%, 05/15/51(a) | | | | | | | 109 | | | | 76,648 | |
Series 2018-C46, Class A4,
4.15%, 08/15/51 | | | | | | | 3,740 | | | | 3,509,456 | |
Series 2019-C49, Class A5,
4.02%, 03/15/52 | | | | | | | 2,796 | | | | 2,587,099 | |
Series 2019-C49, Class C,
4.87%, 03/15/52(c) | | | | | | | 1,500 | | | | 1,303,434 | |
Series 2019-C50, Class B,
4.19%, 05/15/52 | | | | | | | 3,121 | | | | 2,743,056 | |
Series 2019-C53, Class A3,
2.79%, 10/15/52 | | | | | | | 1,000 | | | | 850,700 | |
Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.09%), 4.91%, 02/15/37(a)(c) | | | | | | | 1,000 | | | | 944,789 | |
Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 5.56%, 02/15/37(a)(c) | | | | | | | 1,600 | | | | 1,490,693 | |
Series 2021-C59, Class A4,
2.34%, 04/15/54 | | | | | | | 5,000 | | | | 4,020,234 | |
Series 2021-C59, Class A5,
2.63%, 04/15/54 | | | | | | | 4,990 | | | | 4,059,635 | |
Series 2021-FCMT, Class A, (1 mo. LIBOR US + 1.20%), 4.02%, 05/15/31(a)(c) | | | | | | | 4,660 | | | | 4,423,865 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 620,863,341 | |
|
| Interest Only Collateralized Mortgage Obligations — 0.2% | |
Ajax Mortgage Loan Trust, Series 2021-E, Class XS, 0.00%, 12/25/60(a)(c) | | | | | | | 9,535 | | | | 398,779 | |
JPMorgan Mortgage Trust | | | | | | | | | | | | |
Series 2021-INV7, Class A2X,
0.50%, 02/25/52(a)(c) | | | | | | | 34,190 | | | | 885,270 | |
Series 2021-INV7, Class A3X,
0.50%, 02/25/52(a)(c) | | | | | | | 21,226 | | | | 498,470 | |
Series 2021-INV7, Class A4X,
0.50%, 02/25/52(a)(c) | | | | | | | 7,873 | | | | 543,555 | |
Series 2021-INV7, Class A5X,
0.50%, 02/25/52(a)(c) | | | | | | | 3,723 | | | | 96,398 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Interest Only Collateralized Mortgage Obligations (continued) | |
JPMorgan Mortgage Trust | | | | | | | | | | | | |
Series 2021-INV7, Class AX1,
0.27%, 02/25/52(a)(c) | | | USD | | | | 67,012 | | | $ | 896,669 | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 10.19%, 02/25/38(a)(c) | | | | | | | 9,936 | | | | 2,765,512 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,084,653 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.8% | |
Banc of America Merrill Lynch Commercial | | | | | | | | | | | | |
Mortgage Securities Trust | | | | | | | | | | | | |
Series 2017-SCH, Class XFCP,
0.00%, 11/15/19(a)(c) | | | | | | | 95,950 | | | | 432 | |
Series 2017-SCH, Class XLCP,
0.00%, 11/15/19(a)(c) | | | | | | | 56,050 | | | | 73 | |
BANK | | | | | | | | | | | | |
Series 2019-BN22, Class XA,
0.71%, 11/15/62(c) | | | | | | | 38,741 | | | | 1,278,344 | |
Series 2019-BN22, Class XB,
0.24%, 11/15/62(c) | | | | | | | 85,561 | | | | 878,095 | |
Series 2020-BN28, Class XB,
1.09%, 03/15/63(c) | | | | | | | 29,820 | | | | 1,802,727 | |
Bank of America Merrill Lynch Commercial
Mortgage Trust, Series 2017-BNK3, Class XD,
1.39%, 02/15/50(a)(c) | | | | | | | 10,000 | | | | 462,888 | |
BBCMS Trust, Series 2015-SRCH, Class XB,
0.30%, 08/10/35(a)(c) | | | | | | | 12,500 | | | | 114,432 | |
Benchmark Mortgage Trust | | | | | | | | | | | | |
Series 2019-B12, Class XA,
1.17%, 08/15/52(c) | | | | | | | 37,347 | | | | 1,619,685 | |
Series 2019-B9, Class XA,
1.20%, 03/15/52(c) | | | | | | | 15,767 | | | | 772,537 | |
Series 2020-B17, Class XB,
0.65%, 03/15/53(c) | | | | | | | 17,599 | | | | 524,642 | |
Series 2020-B19, Class XA,
1.89%, 09/15/53(c) | | | | | | | 23,914 | | | | 1,898,568 | |
Series 2021-B23, Class XA,
1.38%, 02/15/54(c) | | | | | | | 18,373 | | | | 1,276,325 | |
BX Trust, Series 2022-GPA, Class XCP,
1.03%, 10/15/39(a)(c) | | | | | | | 65,811 | | | | 580,446 | |
CFK Trust, Series 2019-FAX, Class XA,
0.35%, 01/15/39(a)(c) | | | | | | | 62,648 | | | | 895,030 | |
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class X, 0.67%, 01/10/36(a)(c) | | | | | | | 80,300 | | | | 451,222 | |
Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.76%, 08/15/57(c) | | | | | | | 40,605 | | | | 1,210,885 | |
CSAIL Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-C16, Class XA,
1.71%, 06/15/52(c) | | | | | | | 9,726 | | | | 746,374 | |
Series 2019-C17, Class XA,
1.50%, 09/15/52(c) | | | | | | | 3,967 | | | | 252,919 | |
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD,
1.00%, 06/10/50(c) | | | | | | | 11,214 | | | | 412,106 | |
GS Mortgage Securities Corp. II, Series 2005- ROCK, Class X1, 0.21%, 05/03/32(a)(c) | | | | | | | 144,016 | | | | 901,555 | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2016-C4, Class XC,
0.75%, 12/15/49(a)(c) | | | | | | | 8,570 | | | | 208,358 | |
Series 2017-C5, Class XB, 0.42%, 03/15/50(c) | | | | | | | 30,000 | | | | 408,225 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC,
0.75%, 08/15/49(a)(c) | | | | | | | 17,400 | | | | 411,011 | |
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.95%, 03/10/50(a)(c) | | | | | | | 9,085 | | | | 198,821 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF,
1.33%, 12/15/47(a)(c) | | | | | | | 220 | | | | 5,361 | |
Morgan Stanley Capital I Trust Series 2017-H1, Class XD, 2.31%, 06/15/50(a)(c) | | | | | | | 8,625 | | | | 686,233 | |
| | |
| 44 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Interest Only Commercial Mortgage-Backed Securities (continued) | |
Morgan Stanley Capital I Trust Series 2019-L2, Class XA, 1.17%, 03/15/52(c) | | | USD | | | | 11,053 | | | $ | 544,883 | |
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.51%, 05/10/39(a)(c) | | | | | | | 28,100 | | | | 447,349 | |
One Market Plaza Trust | | | | | | | | | | | | |
Series 2017-1MKT, Class XCP,0.00%, 02/10/32(a)(c) | | | | | | | 110,000 | | | | 3,146 | |
Series 2017-1MKT, Class XNCP, 0.22%, 02/10/32(a)(c)(d) | | | | | | | 22,000 | | | | 57,860 | |
UBS Commercial Mortgage Trust, Series 2019- C17, Class XA, 1.61%, 10/15/52(c) | | | | | | | 9,045 | | | | 655,436 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-LC20, Class XB, 0.62%, 04/15/50(c) | | | | | | | 7,000 | | | | 76,394 | |
Series 2016-BNK1, Class XD, 1.39%, 08/15/49(a)(c) | | | | | | | 1,000 | | | | 38,924 | |
WFRBS Commercial Mortgage Trust, Series 2014- C21, Class XA, 1.17%, 08/15/47(c) | | | | | | | 7,364 | | | | 109,816 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,931,102 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities — 40.3%
(Cost: $1,103,491,038) | | | | 1,003,363,482 | |
| | | | | | | | | | | | |
|
U.S. Government Sponsored Agency Securities | |
| | |
Collateralized Mortgage Obligations — 1.4% | | | | | | | | | |
Fannie Mae | | | | | | | | | | | | |
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.00%), 7.08%, 05/25/30(c) | | | | | | | 2,000 | | | | 2,024,448 | |
Series 2022-R02, Class 2B1, (SOFR (30-day) + 4.50%), 6.78%, 01/25/42(a)(c) | | | | | | | 7,000 | | | | 6,256,256 | |
Freddie Mac | | | | | | | | | | | | |
Series 2020-DNA6, Class B1, (SOFR (30-day) + 3.00%), 5.28%, 12/25/50(a)(c) | | | | | | | 2,000 | | | | 1,849,074 | |
Series 2021-DNA1, Class B1, (SOFR (30-day) + 2.65%), 4.93%, 01/25/51(a)(c) | | | | | | | 7,690 | | | | 6,949,113 | |
Series 2021-DNA2, Class B1, (SOFR (30-day) + 3.40%), 5.68%, 08/25/33(a)(c) | | | | | | | 5,000 | | | | 4,500,202 | |
Series 2021-DNA5, Class B1, (SOFR (30-day) + 3.05%), 5.33%, 01/25/34(a)(c) | | | | | | | 3,580 | | | | 3,176,155 | |
Series 2021-DNA5, Class B2, (SOFR (30-day) + 5.50%), 7.78%, 01/25/34(a)(c) | | | | | | | 2,902 | | | | 2,119,437 | |
Series 2021-DNA6, Class B1, (SOFR (30-day) + 3.40%), 5.68%, 10/25/41(a)(c) | | | | | | | 6,000 | | | | 5,365,336 | |
Series 2021-DNA7, Class B1, (SOFR (30-day) + 3.65%), 5.93%, 11/25/41(a)(c) | | | | | | | 3,719 | | | | 3,273,186 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,513,207 | |
|
| Commercial Mortgage-Backed Securities — 0.2% | |
Freddie Mac, Series K151, Class A2, 3.80%, 12/25/32 | | | | | | | 3,741 | | | | 3,490,296 | |
| | | | | | | | | | | | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.1% | |
Freddie Mac | | | | | | | | | | | | |
Series K116, Class X1, 1.53%, 07/25/30(c) | | | | | | | 23,913 | | | | 1,971,132 | |
Series KL05, Class X1P, 1.02%, 06/25/29(c) | | | | | | | 12,845 | | | | 650,871 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2016-36, Class IO, 0.69%, 08/16/57(c) | | | | | | | 3,320 | | | | 98,736 | |
Series 2017-24, Class IO, 0.79%, 12/16/56(c) | | | | | | | 13,964 | | | | 515,916 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,236,655 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | |
Mortgage-Backed Securities — 0.9% | | | | | | | | | |
Uniform Mortgage-Backed Securities | | | | | | | | | |
2.00%, 10/01/52(i) | | | USD | | | | 4,579 | | | $ | 3,706,352 | |
2.50%, 10/01/52(i) | | | | | | | 22,139 | | | | 18,570,244 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,276,596 | |
| | | | | | | | | | | | |
Total U.S. Government Sponsored Agency
Securities — 2.6% | | | | | |
(Cost: $71,704,712) | | | | | | | | | | | 64,516,754 | |
| | | | | | | | | | | | |
Total Long-Term Investments — 94.0% | | | | | | | | | |
(Cost: $2,558,458,680) | | | | | | | | | | | 2,337,774,088 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
| Short-Term Securities(j) | | | | | | | | | |
| | |
Money Market Funds — 7.0% | | | | | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.46% | | | | | | | 174,769,576 | | | | 174,769,576 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 7.0%
(Cost: $174,769,576) | | | | 174,769,576 | |
| | | | | | | | | | | | |
| |
Total Investments Before TBA Sale
Commitments — 101.0%
(Cost: $2,733,228,256) | | | | 2,512,543,664 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
| | | |
| TBA Sale Commitments(i) | | | | | | | | | |
| |
Mortgage-Backed Securities — (1.8)% | | | | | |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
2.00%, 10/01/52 | | | USD | | | | (9,158 | ) | | | (7,412,347 | ) |
2.50%, 10/01/52 | | | | | | | (44,277 | ) | | | (37,092,059 | ) |
| | | | | | | | | | | | |
Total TBA Sale Commitments — (1.8)% | | | | | |
(Proceeds: $(47,275,756)) | | | | (44,504,406 | ) |
| | | | | | | | | | | | |
| |
Total Investments Net of TBA Sale
Commitments —99.2%
(Cost: $2,685,952,500) | | | | 2,468,039,258 | |
| |
Other Assets Less Liabilities — 0.8% | | | | 19,849,486 | |
| | | | | | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 2,487,888,744 | |
| | | | | | | | | | | | |
| (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) | Represents or includes a TBA transaction. |
| (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.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 45 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio |
Derivative Financial Instruments Outstanding as of Period End
OTC Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate
Paid by the
Fund | | | Payment
Frequency | | | Counterparty | | Termination
Date | | | | | | Notional
Amount
(000) | | | Value | | | Upfront
Premium Paid (Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.9.BBB- | | | 3.00 | % | | | Monthly | | | Citigroup Global Markets, Inc. | | | 09/17/58 | | | | USD | | | | 140 | | | $ | 27,230 | | | $ | 4,508 | | | $ | 22,722 | |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co.
International PLC | | | 09/17/58 | | | | USD | | | | 53 | | | | 10,308 | | | | 3,911 | | | | 6,397 | |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co.
International PLC | | | 09/17/58 | | | | USD | | | | 27 | | | | 5,251 | | | | 1,424 | | | | 3,827 | |
CMBX.NA.6.AAA | | | 0.50 | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | | USD | | | | 11 | | | | (4 | ) | | | 2 | | | | (6 | ) |
CMBX.NA.6.AAA | | | 0.50 | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | | USD | | | | 28 | | | | (9 | ) | | | (18 | ) | | | 9 | |
CMBX.NA.6.BBB- | | | 3.00 | | | | Monthly | | | J.P. Morgan Securities LLC | | | 05/11/63 | | | | USD | | | | 29 | | | | 6,436 | | | | 1,659 | | | | 4,777 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 49,212 | | | $ | 11,486 | | | $ | 37,726 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate
Received
by the Fund | | | Payment
Frequency | | | Counterparty | | Termination
Date | | | Credit
Rating(a) | | | | | Notional
Amount
(000)(b) | | | Value | | | Upfront
Premium
Paid (Received) | | | Unrealized
Appreciation (Depreciation) | |
CMBX.NA.9.A | | | 2.00 | % | | | Monthly | | | Goldman Sachs International | | | 09/17/58 | | | Not Rated | | | USD | | | | 5,000 | | | $ | (243,698 | ) | | $ | (92,784 | ) | | $ | (150,914 | ) |
CMBX.NA.9.A | | | 2.00 | | | | Monthly | | | Morgan Stanley & Co.
International PLC | | | 09/17/58 | | | Not Rated | | | USD | | | | 1,457 | | | | (71,013 | ) | | | (3,458 | ) | | | (67,555 | ) |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Deutsche Bank AG | | | 09/17/58 | | | Not Rated | | | USD | | | | 1,213 | | | | (235,916 | ) | | | (138,028 | ) | | | (97,888 | ) |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co.
International PLC | | | 09/17/58 | | | Not Rated | | | USD | | | | 500 | | | | (97,245 | ) | | | (92,234 | ) | | | (5,011 | ) |
CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Deutsche Bank AG | | | 11/17/59 | | | BBB- | | | USD | | | | 1,000 | | | | (185,455 | ) | | | (79,658 | ) | | | (105,797 | ) |
CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Deutsche Bank AG | | | 11/17/59 | | | BBB- | | | USD | | | | 500 | | | | (92,727 | ) | | | (48,044 | ) | | | (44,683 | ) |
CMBX.NA.6.BBB- | | | 3.00 | | | | Monthly | | | Credit Suisse International | | | 05/11/63 | | | BB | | | USD | | | | 29 | | | | (6,436 | ) | | | (2,070 | ) | | | (4,366 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (932,490 | ) | | $ | (456,276 | ) | | $ | (476,214 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | | $ | 11,504 | | | $ | (456,294 | ) | | $ | 37,732 | | | $ | (476,220 | ) |
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; | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap premiums paid | | | | | | $ | — | | | | | | | $ | 49,236 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 49,236 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap premiums received | | | | | | $ | — | | | | | | | $ | 932,514 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 932,514 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| 46 | | | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio |
For the period ended September 30, 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 | | $ | — | | | $ | 270,881 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 270,881 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | — | | | $ | (632,882 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (632,882 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Credit default swaps | | | | |
Average notional value — buy protection | | $ | 366,469 | |
Average notional value — sell protection | | $
| 9,951,799
|
|
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) | | $ | 49,236 | | | $ | 932,514 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 49,236 | | | $ | 932,514 | |
| | | | | | | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | — | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 49,236 | | | $ | 932,514 | |
| | | | | | | | |
| | (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. | |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative
Assets
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a) | | | Non- Cash
Collateral
Received | | | Cash
Collateral
Received | | �� | Net
Amount of
Derivative
Assets(b) | |
Citigroup Global Markets, Inc | | $ | 27,230 | | | $ | — | | | $ | — | | | $ | — | | | $ | 27,230 | |
Deutsche Bank AG | | | 11 | | | | (11 | ) | | | — | | | | — | | | | — | |
J.P. Morgan Securities LLC | | | 6,436 | | | | — | | | | — | | | | — | | | | 6,436 | |
Morgan Stanley & Co. International PLC | | | 15,559 | | | | (15,559 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 49,236 | | | $ | (15,570 | ) | | $ | — | | | $ | — | | | $ | 33,666 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Counterparty | | Derivative
Liabilities
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset(a) | | | Non- Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net
Amount of
Derivative
Liabilities(c) | |
Credit Suisse International | | $ | 6,436 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,436 | |
Deutsche Bank AG | | | 514,122 | | | | (11 | ) | | | — | | | | (490,000 | ) | | | 24,111 | |
Goldman Sachs International | | | 243,698 | | | | — | | | | — | | | | — | | | | 243,698 | |
Morgan Stanley & Co. International PLC | | | 168,258 | | | | (15,559 | ) | | | — | | | | — | | | | 152,699 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 932,514 | | | $ | (15,570 | ) | | $ | — | | | $ | (490,000 | ) | | $ | 426,944 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (c) | Net amount represents the net amount payable from the counterparty in the event of default. | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 47 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A 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 | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 1,234,460,053 | | | $ | 19,476,606 | | | $ | 1,253,936,659 | |
Corporate Bonds | | | — | | | | 2,339,174 | | | | — | | | | 2,339,174 | |
Floating Rate Loan Interests | | | — | | | | — | | | | 13,618,019 | | | | 13,618,019 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 946,051,741 | | | | 57,311,741 | | | | 1,003,363,482 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 64,516,754 | | | | — | | | | 64,516,754 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 174,769,576 | | | | — | | | | — | | | | 174,769,576 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (44,504,406 | ) | | | — | | | | (44,504,406 | ) |
Unfunded Floating Rate Loan Interests | | | — | | | | — | | | | (9,041 | ) | | | (9,041 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 174,769,576 | | | $ | 2,202,863,316 | | | $ | 90,397,325 | | | $ | 2,468,030,217 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 37,732 | | | $ | — | | | $ | 37,732 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (476,220 | ) | | | — | | | | (476,220 | ) |
| | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (438,488 | ) | | $ | — | | | $ | (438,488 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument. | |
Areconciliation 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, 2022 | | $ | 29,617,397 | | | $ | — | (a) | | $ | 3,990,000 | | | $ | 14,187,936 | | | $ | 47,795,333 | |
Transfers into Level 3(b) | | | 8,918,978 | | | | — | | | | 10,583,659 | | | | 21,348,655 | | | | 40,851,292 | |
Transfers out of Level 3(c) | | | (15,805,865 | ) | | | — | | | | — | | | | (852,571 | ) | | | (16,658,436 | ) |
Accrued discounts/premiums | | | 9,832 | | | | — | | | | 3,140 | | | | 30,942 | | | | 43,914 | |
Net realized gain (loss) | | | 206,260 | | | | — | | | | — | | | | (564,330 | ) | | | (358,070 | ) |
Net change in unrealized appreciation
(depreciation)(d)(e) | | | (1,267,244 | ) | | | — | | | | (40,011 | ) | | | (2,251,921 | ) | | | (3,559,176 | ) |
Purchases | | | 5,780 | | | | — | | | | 7,282,792 | | | | 32,753,892 | | | | 40,042,464 | |
Sales | | | (2,208,532 | ) | | | — | | | | (8,201,561 | ) | | | (7,340,862 | ) | | | (17,750,955 | ) |
| | | | | | | | | | | | | | | | | | | | |
Closing Balance, as of September 30, 2022 | | $ | 19,476,606 | | | $ | — | (a) | | $ | 13,618,019 | | | $ | 57,311,741 | | | $ | 90,406,366 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2022(e) | | $ | (1,230,396 | ) | | $ | — | | | $ | (40,011 | ) | | $ | (2,439,722 | ) | | $ | (3,710,129 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | |
| 48 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series A Portfolio |
| | | | | | | | |
| | | | | | Unfunded
Floating-Rate
Loan Interest | |
Liabilities | | | | | | | | |
Opening Balance, as of March 31, 2022 | | | | | | $ | — | |
Transfers into Level 3 | | | | | | | — | |
Transfers out of Level 3 | | | | | | | — | |
Accrued discounts/premiums | | | | | | | — | |
Net realized gain (loss) | | | | | | | — | |
Net change in unrealized appreciation (depreciation)(d)(e) | | | | | | | (9,041 | ) |
Purchases | | | | | | | — | |
Sales | | | | | | | — | |
| | | | | | | | |
Closing Balance, as of September 30, 2022 | | | | | | $ | (9,041 | ) |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2022(e) | | | | | | $ | (9,041 | ) |
| | | | | | | | |
| | (a) | Rounds to less than $1. | |
| | (b) | As of March 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of September 30, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of September 30, 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 September 30, 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.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 49 |
| | |
Schedule of Investments (unaudited) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Corporate Bonds | |
|
Aerospace & Defense — 2.8% | |
Boeing Co. | | | | | | | | | | | | |
1.17%, 02/04/23 | | | USD | | | | 525 | | | $ | 518,514 | |
2.70%, 02/01/27 | | | | | | | 200 | | | | 173,467 | |
2.95%, 02/01/30 | | | | | | | 200 | | | | 160,787 | |
3.25%, 02/01/35 | | | | | | | 194 | | | | 137,013 | |
3.85%, 11/01/48 | | | | | | | 165 | | | | 106,797 | |
3.75%, 02/01/50 | | | | | | | 280 | | | | 182,344 | |
5.81%, 05/01/50 | | | | | | | 930 | | | | 808,162 | |
5.93%, 05/01/60 | | | | | | | 115 | | | | 98,372 | |
General Dynamics Corp., 4.25%, 04/01/40 | | | | | | | 130 | | | | 113,892 | |
L3Harris Technologies, Inc. | | | | | | | | | | | | |
4.40%, 06/15/28 | | | | | | | 505 | | | | 474,461 | |
4.40%, 06/15/28 | | | | | | | 1,680 | | | | 1,578,403 | |
2.90%, 12/15/29 | | | | | | | 392 | | | | 331,085 | |
Northrop Grumman Corp. | | | | | | | | | | | | |
7.88%, 03/01/26 | | | | | | | 1,000 | | | | 1,084,731 | |
3.20%, 02/01/27 | | | | | | | 51 | | | | 47,057 | |
5.25%, 05/01/50 | | | | | | | 100 | | | | 95,422 | |
Raytheon Technologies Corp. | | | | | | | | | | | | |
3.20%, 03/15/24 | | | | | | | 1,894 | | | | 1,851,917 | |
4.13%, 11/16/28 | | | | | | | 820 | | | | 766,133 | |
2.38%, 03/15/32 | | | | | | | 220 | | | | 172,775 | |
4.50%, 06/01/42 | | | | | | | 202 | | | | 172,746 | |
4.15%, 05/15/45 | | | | | | | 495 | | | | 396,707 | |
4.35%, 04/15/47 | | | | | | | 252 | | | | 209,707 | |
3.13%, 07/01/50 | | | | | | | 95 | | | | 63,865 | |
3.03%, 03/15/52 | | | | | | | 195 | | | | 127,217 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,671,574 | |
|
Air Freight & Logistics — 0.2% | |
FedEx Corp. | | | | | | | | | | | | |
3.10%, 08/05/29 | | | | | | | 467 | | | | 401,494 | |
4.10%, 02/01/45 | | | | | | | 340 | | | | 246,493 | |
4.55%, 04/01/46 | | | | | | | 135 | | | | 106,804 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 754,791 | |
|
Airlines — 1.0% | |
Air Canada Pass-Through Trust, Series 2017-1, | | | | | | | | | | | | |
Class AA, 3.30%, 01/15/30(a) | | | | | | | 101 | | | | 87,151 | |
American Airlines Pass-Through Trust | | | | | | | | | | | | |
Series 2017-1, Class AA, 3.65%, 02/15/29 | | | | | | | 605 | | | | 533,644 | |
Series 2019-1, Class B, 3.85%, 02/15/28 | | | | | | | 320 | | | | 258,781 | |
British Airways Pass Through Trust, | | | | | | | | | | | | |
Series 2019-1, Class A, 3.35%, 06/15/29(a) | | | | | | | 257 | | | | 214,784 | |
Delta Air Lines, Inc., 3.80%, 04/19/23 | | | | | | | 880 | | | | 871,253 | |
Doric Nimrod Air Alpha Pass-Through Trust, | | | | | | | | | | | | |
Series 2013-1, Class A, 5.25%, 05/30/23(a) | | | | | | | 129 | | | | 126,905 | |
U.S. Airways Pass-Through Trust, | | | | | | | | | | | | |
Series 2013-1, Class A, 3.95%, 11/15/25 | | | | | | | 441 | | | | 390,482 | |
United Airlines Pass-Through Trust | | | | | | | | | | | | |
Series 2019-2, Class AA, 2.70%, 05/01/32 | | | | | | | 200 | | | | 159,813 | |
Series 2020-1, Class A, 5.88%, 10/15/27 | | | | | | | 847 | | | | 817,213 | |
Series 2020-1, Class B, 4.88%, 01/15/26 | | | | | | | 243 | | | | 226,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,686,776 | |
|
Auto Components — 0.2% | |
Aptiv PLC, 3.10%, 12/01/51 | | | | | | | 395 | | | | 221,197 | |
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 | | | | | | | 485 | | | | 386,133 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 607,330 | |
|
Automobiles — 2.1% | |
Daimler Trucks Finance North America LLC, 2.00%, 12/14/26(a) | | | | | | | 470 | | | | 404,450 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Automobiles (continued) | |
Ford Motor Co. | | | | | | | | | | | | |
4.75%, 01/15/43 | | | USD | | | | 72 | | | $ | 47,706 | |
5.29%, 12/08/46 | | | | | | | 82 | | | | 57,810 | |
General Motors Co. | | | | | | | | | | | | |
5.40%, 10/02/23 | | | | | | | 40 | | | | 40,004 | |
5.60%, 10/15/32 | | | | | | | 565 | | | | 504,346 | |
6.25%, 10/02/43 | | | | | | | 918 | | | | 797,401 | |
5.20%, 04/01/45 | | | | | | | 44 | | | | 33,503 | |
5.95%, 04/01/49 | | | | | | | 177 | | | | 147,641 | |
Nissan Motor Acceptance Co. LLC | | | | | | | | | | | | |
1.85%, 09/16/26(a) | | | | | | | 495 | | | | 402,023 | |
2.75%, 03/09/28(a) | | | | | | | 475 | | | | 373,919 | |
Nissan Motor Co. Ltd. | | | | | | | | | | | | |
3.04%, 09/15/23(a) | | | | | | | 2,535 | | | | 2,464,426 | |
3.52%, 09/17/25(a) | | | | | | | 531 | | | | 488,363 | |
4.35%, 09/17/27(a) | | | | | | | 645 | | | | 555,981 | |
Volkswagen Group of America Finance LLC | | | | | | | | | | | | |
0.75%, 11/23/22(a) | | | | | | | 665 | | | | 661,905 | |
1.25%, 11/24/25(a) | | | | | | | 330 | | | | 289,749 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,269,227 | |
|
Banks — 16.0% | |
AIB Group PLC, 4.26%, 04/10/25(a) | | | | | | | 1,650 | | | | 1,581,578 | |
Banco Santander SA, 1.72%, 09/14/27 | | | | | | | 600 | | | | 496,365 | |
Bank of America Corp. | | | | | | | | | | | | |
1.84%, 02/04/25 | | | | | | | 2,520 | | | | 2,394,848 | |
3.37%, 01/23/26 | | | | | | | 930 | | | | 881,166 | |
1.32%, 06/19/26 | | | | | | | 1,836 | | | | 1,629,629 | |
3.42%, 12/20/28 | | | | | | | 2,210 | | | | 1,962,257 | |
3.97%, 03/05/29 | | | | | | | 212 | | | | 191,796 | |
3.97%, 02/07/30 | | | | | | | 900 | | | | 801,127 | |
2.69%, 04/22/32 | | | | | | | 2,555 | | | | 1,994,776 | |
2.97%, 02/04/33 | | | | | | | 1,150 | | | | 899,014 | |
4.57%, 04/27/33 | | | | | | | 430 | | | | 385,145 | |
5.02%, 07/22/33 | | | | | | | 90 | | | | 83,489 | |
4.08%, 04/23/40 | | | | | | | 185 | | | | 146,795 | |
2.68%, 06/19/41 | | | | | | | 565 | | | | 364,909 | |
4.08%, 03/20/51 | | | | | | | 405 | | | | 305,484 | |
2.83%, 10/24/51 | | | | | | | 35 | | | | 20,822 | |
Series L, 4.75%, 04/21/45 | | | | | | | 240 | | | | 193,438 | |
Series N, 1.66%, 03/11/27 | | | | | | | 654 | | | | 566,688 | |
Bank of Ireland Group PLC, 6.25%, 09/16/26(a) | | | | | | | 630 | | | | 616,502 | |
Barclays PLC | | | | | | | | | | | | |
3.93%, 05/07/25 | | | | | | | 485 | | | | 466,441 | |
5.20%, 05/12/26 | | | | | | | 800 | | | | 760,457 | |
5.09%, 06/20/30 | | | | | | | 1,600 | | | | 1,390,978 | |
BNP Paribas SA, 4.71%, 01/10/25(a) | | | | | | | 1,645 | | | | 1,619,382 | |
Citigroup, Inc. | | | | | | | | | | | | |
1.12%, 01/28/27 | | | | | | | 80 | | | | 68,441 | |
4.45%, 09/29/27 | | | | | | | 1,100 | | | | 1,018,241 | |
3.89%, 01/10/28 | | | | | | | 1,260 | | | | 1,159,720 | |
4.13%, 07/25/28 | | | | | | | 250 | | | | 225,527 | |
2.57%, 06/03/31 | | | | | | | 1,965 | | | | 1,545,508 | |
2.56%, 05/01/32 | | | | | | | 295 | | | | 226,461 | |
3.06%, 01/25/33 | | | | | | | 800 | | | | 630,030 | |
4.75%, 05/18/46 | | | | | | | 20 | | | | 15,943 | |
Commonwealth Bank of Australia, 3.78%, 03/14/32(a) | | | | | | | 515 | | | | 410,425 | |
Danske Bank A/S | | | | | | | | | | | | |
1.17%, 12/08/23(a) | | | | | | | 1,340 | | | | 1,327,599 | |
3.77%, 03/28/25(a) | | | | | | | 470 | | | | 451,987 | |
Discover Bank, 4.68%, 08/09/28 | | | | | | | 300 | | | | 287,673 | |
HSBC Holdings PLC | | | | | | | | | | | | |
2.63%, 11/07/25 | | | | | | | 510 | | | | 473,512 | |
| | |
| 50 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Banks (continued) | |
HSBC Holdings PLC | | | | | | | | | | | | |
4.18%, 12/09/25 | | | USD | | | | 1,345 | | | $ | 1,286,677 | |
4.30%, 03/08/26 | | | | | | | 280 | | | | 268,261 | |
2.80%, 05/24/32 | | | | | | | 630 | | | | 462,899 | |
Huntington National Bank, 4.55%, 05/17/28 | | | | | | | 1,010 | | | | 972,128 | |
Intesa Sanpaolo SpA | | | | | | | | | | | | |
3.38%, 01/12/23(a) | | | | | | | 1,200 | | | | 1,193,304 | |
5.02%, 06/26/24(a) | | | | | | | 416 | | | | 387,884 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
2.01%, 03/13/26 | | | | | | | 885 | | | | 810,480 | |
2.08%, 04/22/26 | | | | | | | 860 | | | | 783,536 | |
3.96%, 01/29/27 | | | | | | | 345 | | | | 325,536 | |
1.04%, 02/04/27 | | | | | | | 750 | | | | 637,302 | |
3.78%, 02/01/28 | | | | | | | 670 | | | | 614,279 | |
2.18%, 06/01/28 | | | | | | | 864 | | | | 734,830 | |
4.01%, 04/23/29 | | | | | | | 1,215 | | | | 1,095,455 | |
2.58%, 04/22/32 | | | | | | | 670 | | | | 519,351 | |
2.55%, 11/08/32 | | | | | | | 65 | | | | 49,323 | |
5.72%, 09/14/33 | | | | | | | 1,095 | | | | 1,035,481 | |
3.88%, 07/24/38 | | | | | | | 765 | | | | 597,457 | |
3.11%, 04/22/41 | | | | | | | 330 | | | | 228,620 | |
2.53%, 11/19/41 | | | | | | | 1,040 | | | | 649,257 | |
3.16%, 04/22/42 | | | | | | | 300 | | | | 205,402 | |
4.95%, 06/01/45 | | | | | | | 350 | | | | 291,954 | |
Lloyds Banking Group PLC | | | | | | | | | | | | |
4.45%, 05/08/25 | | | | | | | 300 | | | | 289,717 | |
4.58%, 12/10/25 | | | | | | | 1,975 | | | | 1,863,191 | |
2.44%, 02/05/26 | | | | | | | 200 | | | | 183,753 | |
1.63%, 05/11/27 | | | | | | | 500 | | | | 424,724 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | | | | | |
3.20%, 07/18/29 | | | | | | | 300 | | | | 253,146 | |
2.05%, 07/17/30 | | | | | | | 850 | | | | 647,856 | |
NatWest Group PLC | | | | | | | | | | | | |
2.36%, 05/22/24 | | | | | | | 410 | | | | 400,368 | |
3.03%, 11/28/35 | | | | | | | 535 | | | | 379,082 | |
Nordea Bank Abp, 1.50%, 09/30/26(a) | | | | | | | 1,500 | | | | 1,278,433 | |
PNC Financial Services Group, Inc., 3.45%, 04/23/29 | | | | | | | 244 | | | | 218,321 | |
Santander UK Group Holdings PLC | | | | | | | | | | | | |
1.67%, 06/14/27 | | | | | | | 670 | | | | 557,016 | |
3.82%, 11/03/28 | | | | | | | 472 | | | | 405,452 | |
Santander UK PLC, 5.00%, 11/07/23(a) | | | | | | | 617 | | | | 610,491 | |
Standard Chartered PLC | | | | | | | | | | | | |
1.32%, 10/14/23(a) | | | | | | | 510 | | | | 509,490 | |
1.82%, 11/23/25(a) | | | | | | | 490 | | | | 444,423 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | | | | | |
2.35%, 01/15/25 | | | | | | | 520 | | | | 486,989 | |
0.95%, 01/12/26 | | | | | | | 400 | | | | 346,389 | |
3.54%, 01/17/28 | | | | | | | 700 | | | | 632,538 | |
3.04%, 07/16/29 | | | | | | | 250 | | | | 209,898 | |
Toronto-Dominion Bank, 3.77%, 06/06/25 | | | | | | | 1,035 | | | | 1,000,045 | |
Wells Fargo & Co. | | | | | | | | | | | | |
3.91%, 04/25/26 | | | | | | | 1,235 | | | | 1,180,620 | |
3.58%, 05/22/28 | | | | | | | 1,510 | | | | 1,365,727 | |
2.88%, 10/30/30 | | | | | | | 160 | | | | 131,462 | |
5.61%, 01/15/44 | | | | | | | 327 | | | | 294,045 | |
4.40%, 06/14/46 | | | | | | | 685 | | | | 522,176 | |
4.75%, 12/07/46 | | | | | | | 289 | | | | 231,110 | |
5.01%, 04/04/51 | | | | | | | 245 | | | | 211,478 | |
Westpac Banking Corp. | | | | | | | | | | | | |
2.67%, 11/15/35 | | | | | | | 310 | | | | 228,043 | |
3.13%, 11/18/41 | | | | | | | 230 | | | | 147,104 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 56,196,656 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Beverages — 1.3% | |
Anheuser-Busch InBev Finance, Inc., 4.90%, 02/01/46 . | | | USD | | | | 310 | | | $ | 269,415 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | | | | | |
4.00%, 04/13/28 | | | | | | | 280 | | | | 265,988 | |
4.75%, 01/23/29 | | | | | | | 44 | | | | 42,863 | |
4.95%, 01/15/42 | | | | | | | 95 | | | | 84,771 | |
4.60%, 04/15/48 | | | | | | | 120 | | | | 99,376 | |
4.44%, 10/06/48 | | | | | | | 535 | | | | 434,005 | |
5.55%, 01/23/49 | | | | | | | 624 | | | | 586,866 | |
4.50%, 06/01/50 | | | | | | | 500 | | | | 412,015 | |
4.75%, 04/15/58 | | | | | | | 980 | | | | 804,263 | |
5.80%, 01/23/59 | | | | | | | 279 | | | | 266,367 | |
4.60%, 06/01/60 | | | | | | | 105 | | | | 82,774 | |
JDE Peet’s NV, 1.38%, 01/15/27(a) | | | | | | | 1,100 | | | | 908,842 | |
Keurig Dr Pepper, Inc., 4.50%, 04/15/52 | | | | | | | 185 | | | | 145,856 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,403,401 | |
|
Biotechnology — 1.8% | |
AbbVie, Inc. | | | | | | | | | | | | |
2.85%, 05/14/23 | | | | | | | 1,000 | | | | 989,059 | |
3.80%, 03/15/25 | | | | | | | 1,215 | | | | 1,176,733 | |
3.60%, 05/14/25 | | | | | | | 740 | | | | 710,303 | |
2.95%, 11/21/26 | | | | | | | 230 | | | | 210,716 | |
3.20%, 11/21/29 | | | | | | | 120 | | | | 105,057 | |
4.05%, 11/21/39 | | | | | | | 200 | | | | 160,883 | |
4.40%, 11/06/42 | | | | | | | 495 | | | | 411,074 | |
4.70%, 05/14/45 | | | | | | | 50 | | | | 42,291 | |
4.45%, 05/14/46 | | | | | | | 633 | | | | 514,437 | |
4.88%, 11/14/48 | | | | | | | 605 | | | | 531,957 | |
Amgen, Inc. | | | | | | | | | | | | |
2.30%, 02/25/31 | | | | | | | 200 | | | | 159,055 | |
3.38%, 02/21/50 | | | | | | | 5 | | | | 3,403 | |
3.00%, 01/15/52 | | | | | | | 425 | | | | 265,674 | |
4.20%, 02/22/52 | | | | | | | 215 | | | | 168,538 | |
4.40%, 02/22/62 | | | | | | | 315 | | | | 246,100 | |
Gilead Sciences, Inc. | | | | | | | | | | | | |
4.50%, 02/01/45 | | | | | | | 373 | | | | 308,592 | |
4.75%, 03/01/46 | | | | | | | 171 | | | | 148,824 | |
4.15%, 03/01/47 | | | | | | | 225 | �� | | | 178,585 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,331,281 | |
|
Capital Markets — 6.1% | |
Bank of New York Mellon Corp., 3.00%, 10/30/28 | | | | | | | 80 | | | | 69,652 | |
Blackstone Private Credit Fund | | | | | | | | | | | | |
4.70%, 03/24/25 | | | | | | | 690 | | | | 653,034 | |
3.25%, 03/15/27 | | | | | | | 490 | | | | 405,646 | |
CME Group, Inc., 5.30%, 09/15/43 | | | | | | | 14 | | | | 13,906 | |
Credit Agricole SA, 3.75%, 04/24/23(a) | | | | | | | 275 | | | | 272,981 | |
Credit Suisse Group AG, 3.80%, 06/09/23 | | | | | | | 547 | | | | 538,268 | |
Deutsche Bank AG | | | | | | | | | | | | |
2.22%, 09/18/24 | | | | | | | 1,930 | | | | 1,838,185 | |
1.45%, 04/01/25 | | | | | | | 190 | | | | 174,803 | |
2.13%, 11/24/26 | | | | | | | 385 | | | | 326,896 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
4.48%, 08/23/28 | | | | | | | 2,035 | | | | 1,909,841 | |
3.81%, 04/23/29 | | | | | | | 195 | | | | 172,887 | |
2.60%, 02/07/30 | | | | | | | 500 | | | | 403,188 | |
1.99%, 01/27/32 | | | | | | | 1,625 | | | | 1,201,381 | |
2.62%, 04/22/32 | | | | | | | 830 | | | | 643,356 | |
2.38%, 07/21/32 | | | | | | | 500 | | | | 376,993 | |
3.10%, 02/24/33 | | | | | | | 2,660 | | | | 2,112,717 | |
5.15%, 05/22/45 | | | | | | | 320 | | | | 267,020 | |
Series VAR, 1.09%, 12/09/26 | | | | | | | 200 | | | | 172,585 | |
Intercontinental Exchange, Inc. | | | | | | | | | | | | |
4.60%, 03/15/33 | | | | | | | 345 | | | | 321,336 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 51 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Capital Markets (continued) | |
Intercontinental Exchange, Inc. | | | | | | | | | | | | |
4.25%, 09/21/48 | | | USD | | | | 70 | | | $ | 57,107 | |
Morgan Stanley | | | | | | | | | | | | |
3.62%, 04/17/25 | | | | | | | 855 | | | | 830,345 | |
2.19%, 04/28/26 | | | | | | | 1,430 | | | | 1,311,706 | |
4.68%, 07/17/26 | | | | | | | 1,520 | | | | 1,480,058 | |
3.95%, 04/23/27 | | | | | | | 448 | | | | 416,319 | |
1.59%, 05/04/27 | | | | | | | 1,390 | | | | 1,201,079 | |
1.51%, 07/20/27 | | | | | | | 735 | | | | 625,989 | |
3.77%, 01/24/29 | | | | | | | 300 | | | | 269,803 | |
2.70%, 01/22/31 | | | | | | | 470 | | | | 381,062 | |
3.62%, 04/01/31 | | | | | | | 30 | | | | 25,927 | |
2.94%, 01/21/33 | | | | | | | 390 | | | | 308,320 | |
4.46%, 04/22/39 | | | | | | | 156 | | | | 131,949 | |
3.22%, 04/22/42 | | | | | | | 965 | | | | 672,533 | |
4.30%, 01/27/45 | | | | | | | 605 | | | | 478,881 | |
Nomura Holdings, Inc., 2.61%, 07/14/31 | | | | | | | 505 | | | | 374,451 | |
Northern Trust Corp., 3.95%, 10/30/25 | | | | | | | 69 | | | | 67,363 | |
UBS Group AG, 1.01%, 07/30/24(a) | | | | | | | 975 | | | | 940,681 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,448,248 | |
|
Chemicals — 0.7% | |
Celanese U.S. Holdings LLC, 5.90%, 07/05/24 | | | | | | | 1,100 | | | | 1,084,753 | |
DuPont de Nemours, Inc., 5.32%, 11/15/38 | | | | | | | 290 | | | | 262,930 | |
Eastman Chemical Co., 4.80%, 09/01/42 | | | | | | | 135 | | | | 108,875 | |
Ecolab, Inc., 2.70%, 12/15/51 | | | | | | | 430 | | | | 273,793 | |
International Flavors & Fragrances, Inc., 1.23%, 10/01/25(a) | | | | | | | 300 | | | | 262,899 | |
LYB International Finance BV, 4.88%, 03/15/44 | | | | | | | 172 | | | | 139,861 | |
LYB International Finance III LLC, 4.20%, 10/15/49 | | | | | | | 146 | | | | 104,766 | |
Sherwin-Williams Co. | | | | | | | | | | | | |
3.45%, 08/01/25 | | | | | | | 34 | | | | 32,348 | |
2.30%, 05/15/30 | | | | | | | 150 | | | | 119,809 | |
4.50%, 06/01/47 | | | | | | | 49 | | | | 39,721 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,429,755 | |
|
Commercial Services & Supplies — 0.2% | |
GATX Corp., 4.35%, 02/15/24 | | | | | | | 510 | | | | 503,526 | |
Republic Services, Inc. | | | | | | | | | | | | |
0.88%, 11/15/25 | | | | | | | 40 | | | | 35,160 | |
2.38%, 03/15/33 | | | | | | | 35 | | | | 26,851 | |
Waste Management, Inc., 1.50%, 03/15/31 | | | | | | | 15 | | | | 11,372 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 576,909 | |
|
Communications Equipment — 0.5% | |
Motorola Solutions, Inc. | | | | | | | | | | | | |
4.60%, 05/23/29 | | | | | | | 1,190 | | | | 1,095,817 | |
2.30%, 11/15/30 | | | | | | | 260 | | | | 195,363 | |
2.75%, 05/24/31 | | | | | | | 760 | | | | 580,028 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,871,208 | |
|
Consumer Finance — 3.7% | |
Ally Financial, Inc., 5.75%, 11/20/25 | | | | | | | 1,023 | | | | 992,203 | |
American Express Co., 3.95%, 08/01/25 | | | | | | | 1,300 | | | | 1,259,125 | |
American Honda Finance Corp. | | | | | | | | | | | | |
1.00%, 09/10/25 | | | | | | | 545 | | | | 488,051 | |
1.30%, 09/09/26 | | | | | | | 800 | | | | 696,720 | |
Capital One Financial Corp. | | | | | | | | | | | | |
2.64%, 03/03/26 | | | | | | | 1,295 | | | | 1,203,252 | |
3.75%, 07/28/26 | | | | | | | 173 | | | | 159,945 | |
3.80%, 01/31/28 | | | | | | | 425 | | | | 384,050 | |
2.62%, 11/02/32 | | | | | | | 275 | | | | 205,798 | |
Ford Motor Credit Co. LLC, 5.11%, 05/03/29 | | | | | | | 320 | | | | 277,664 | |
General Motors Financial Co., Inc. | | | | | | | | | | | | |
5.10%, 01/17/24 | | | | | | | 81 | | | | 80,705 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Consumer Finance (continued) | |
General Motors Financial Co., Inc. | | | | | | | | | | | | |
2.90%, 02/26/25 | | | USD | | | | 542 | | | $ | 506,395 | |
4.35%, 04/09/25 | | | | | | | 1,240 | | | | 1,197,339 | |
Hyundai Capital America | | | | | | | | | | | | |
0.80%, 01/08/24(a) | | | | | | | 3,050 | | | | 2,869,320 | |
1.00%, 09/17/24(a) | | | | | | | 940 | | | | 858,718 | |
1.80%, 10/15/25(a) | | | | | | | 310 | | | | 275,702 | |
Sodexo, Inc., 1.63%, 04/16/26(a) | | | | | | | 575 | | | | 502,557 | |
Toyota Motor Credit Corp. | | | | | | | | | | | | |
1.15%, 08/13/27 | | | | | | | 390 | | | | 326,309 | |
2.15%, 02/13/30 | | | | | | | 635 | | | | 521,426 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,805,279 | |
|
Containers & Packaging — 0.6% | |
Berry Global, Inc., 1.57%, 01/15/26 | | | | | | | 1,175 | | | | 1,024,395 | |
WRKCo, Inc. | | | | | | | | | | | | |
3.90%, 06/01/28 | | | | | | | 710 | | | | 652,185 | |
3.00%, 06/15/33 | | | | | | | 775 | | | | 599,636 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,276,216 | |
|
Diversified Financial Services — 1.0% | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | | | | | | | | |
4.50%, 09/15/23 | | | | | | | 1,100 | | | | 1,084,160 | |
6.50%, 07/15/25 | | | | | | | 275 | | | | 274,504 | |
4.45%, 04/03/26 | | | | | | | 399 | | | | 372,227 | |
3.30%, 01/30/32 | | | | | | | 265 | | | | 199,298 | |
Aviation Capital Group LLC, 1.95%, 09/20/26(a) | | | | | | | 1,205 | | | | 975,882 | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | | | | | | | 495 | | | | 443,481 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,349,552 | |
|
Diversified Telecommunication Services — 2.9% | |
AT&T Inc. | | | | | | | | | | | | |
4.35%, 03/01/29 | | | | | | | 50 | | | | 46,746 | |
4.50%, 05/15/35 | | | | | | | 2,530 | | | | 2,191,166 | |
3.50%, 06/01/41 | | | | | | | 430 | | | | 309,721 | |
3.65%, 06/01/51 | | | | | | | 220 | | | | 148,622 | |
NTT Finance Corp., 1.16%, 04/03/26(a) | | | | | | | 1,695 | | | | 1,480,590 | |
Telefonica Emisiones SAU | | | | | | | | | | | | |
4.10%, 03/08/27 | | | | | | | 300 | | | | 277,565 | |
4.90%, 03/06/48 | | | | | | | 360 | | | | 262,152 | |
Verizon Communications, Inc. | | | | | | | | | | | | |
3.88%, 02/08/29 | | | | | | | 250 | | | | 228,220 | |
4.02%, 12/03/29 | | | | | | | 150 | | | | 136,226 | |
1.50%, 09/18/30 | | | | | | | 810 | | | | 608,914 | |
2.36%, 03/15/32 | | | | | | | 1,966 | | | | 1,507,580 | |
5.85%, 09/15/35 | | | | | | | 690 | | | | 692,234 | |
5.25%, 03/16/37 | | | | | | | 450 | | | | 420,252 | |
4.81%, 03/15/39 | | | | | | | 380 | | | | 334,467 | |
2.65%, 11/20/40 | | | | | | | 1,050 | | | | 684,344 | |
3.40%, 03/22/41 | | | | | | | 290 | | | | 211,743 | |
2.85%, 09/03/41 | | | | | | | 350 | | | | 233,366 | |
3.85%, 11/01/42 | | | | | | | 410 | | | | 314,294 | |
3.70%, 03/22/61 | | | | | | | 128 | | | | 86,897 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,175,099 | |
|
Electric Utilities — 7.2% | |
AES Corp. | | | | | | | | | | | | |
1.38%, 01/15/26 | | | | | | | 980 | | | | 844,185 | |
3.95%, 07/15/30(a) | | | | | | | 130 | | | | 111,319 | |
2.45%, 01/15/31 | | | | | | | 420 | | | | 321,303 | |
Alabama Power Co., 3.94%, 09/01/32 | | | | | | | 595 | | | | 537,245 | |
Baltimore Gas & Electric Co. | | | | | | | | | | | | |
3.50%, 08/15/46 | | | | | | | 200 | | | | 147,297 | |
| | |
| 52 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Electric Utilities (continued) | |
Baltimore Gas & Electric Co. | | | | | | | | | | | | |
3.20%, 09/15/49 | | | USD | | | | 250 | | | $ | 172,478 | |
2.90%, 06/15/50 | | | | | | | 20 | | | | 12,985 | |
Berkshire Hathaway Energy Co., 4.60%, 05/01/53(a) | | | | | | | 200 | | | | 168,394 | |
Colbun SA, 3.15%, 01/19/32(a) | | | | | | | 615 | | | | 468,668 | |
Duke Energy Carolinas LLC | | | | | | | | | | | | |
2.85%, 03/15/32 | | | | | | | 30 | | | | 24,842 | |
3.95%, 03/15/48 | | | | | | | 200 | | | | 157,340 | |
3.20%, 08/15/49 | | | | | | | 331 | | | | 227,676 | |
Duke Energy Florida LLC | | | | | | | | | | | | |
2.50%, 12/01/29 | | | | | | | 1,335 | | | | 1,128,340 | |
4.20%, 07/15/48 | | | | | | | 260 | | | | 213,616 | |
Duke Energy Progress LLC | | | | | | | | | | | | |
6.30%, 04/01/38 | | | | | | | 48 | | | | 50,579 | |
4.10%, 03/15/43 | | | | | | | 100 | | | | 82,024 | |
4.15%, 12/01/44 | | | | | | | 10 | | | | 8,064 | |
3.70%, 10/15/46 | | | | | | | 70 | | | | 52,787 | |
3.60%, 09/15/47 | | | | | | | 400 | | | | 300,577 | |
Emera U.S. Finance LP, 0.83%, 06/15/24 | | | | | | | 420 | | | | 389,118 | |
Enel Finance International NV, 1.38%, 07/12/26(a) | | | | | | | 1,145 | | | | 967,322 | |
Exelon Corp. | | | | | | | | | | | | |
4.05%, 04/15/30 | | | | | | | 280 | | | | 253,780 | |
4.70%, 04/15/50 | | | | | | | 75 | | | | 62,722 | |
FirstEnergy Corp., Series B, 4.40%, 07/15/27 | | | | | | | 150 | | | | 139,182 | |
FirstEnergy Transmission LLC, 4.35%, 01/15/25(a) | | | | | | | 900 | | | | 867,750 | |
Florida Power & Light Co. | | | | | | | | | | | | |
5.95%, 02/01/38 | | | | | | | 650 | | | | 673,740 | |
2.88%, 12/04/51 | | | | | | | 167 | | | | 110,072 | |
Georgia Power Co., 4.70%, 05/15/32 | | | | | | | 925 | | | | 866,288 | |
Interstate Power & Light Co., 3.25%, 12/01/24 | | | | | | | 350 | | | | 337,917 | |
MidAmerican Energy Co. | | | | | | | | | | | | |
3.65%, 04/15/29 | | | | | | | 700 | | | | 645,426 | |
4.25%, 07/15/49 | | | | | | | 575 | | | | 478,470 | |
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(a) | | | | | | | 375 | | | | 347,313 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 06/15/28 | | | | | | | 850 | | | | 703,614 | |
Northern States Power Co., 2.60%, 06/01/51 | | | | | | | 300 | | | | 186,543 | |
NRG Energy, Inc., 2.45%, 12/02/27(a) | | | | | | | 430 | | | | 352,018 | |
Ohio Power Co. | | | | | | | | | | | | |
4.00%, 06/01/49 | | | | | | | 225 | | | | 172,796 | |
Series D, 6.60%, 03/01/33 | | | | | | | 675 | | | | 715,815 | |
Series Q, 1.63%, 01/15/31 | | | | | | | 165 | | | | 124,069 | |
Series R, 2.90%, 10/01/51 | | | | | | | 150 | | | | 93,748 | |
Oncor Electric Delivery Co. LLC | | | | | | | | | | | | |
3.70%, 11/15/28 | | | | | | | 370 | | | | 343,084 | |
5.30%, 06/01/42 | | | | | | | 143 | | | | 138,059 | |
3.75%, 04/01/45 | | | | | | | 350 | | | | 273,207 | |
4.10%, 11/15/48 | | | | | | | 100 | | | | 82,440 | |
3.80%, 06/01/49 | | | | | | | 200 | | | | 157,040 | |
3.10%, 09/15/49 | | | | | | | 200 | | | | 138,307 | |
5.35%, 10/01/52 | | | | | | | 242 | | | | 234,978 | |
Pacific Gas & Electric Co. | | | | | | | | | | | | |
4.25%, 08/01/23 | | | | | | | 250 | | | | 248,035 | |
3.45%, 07/01/25 | | | | | | | 975 | | | | 906,880 | |
3.30%, 12/01/27 | | | | | | | 565 | | | | 475,981 | |
4.45%, 04/15/42 | | | | | | | 45 | | | | 31,712 | |
4.00%, 12/01/46 | | | | | | | 136 | | | | 86,629 | |
4.95%, 07/01/50 | | | | | | | 578 | | | | 423,054 | |
5.25%, 03/01/52 | | | | | | | 370 | | | | 279,490 | |
PacifiCorp., 2.90%, 06/15/52 | | | | | | | 330 | | | | 211,160 | |
PECO Energy Co., 2.85%, 09/15/51 | | | | | | | 55 | | | | 35,403 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Electric Utilities (continued) | |
Progress Energy, Inc., 7.75%, 03/01/31 | | | USD | | | | 400 | | | $ | 442,405 | |
Public Service Co. of Colorado, Series 36, 2.70%, 01/15/51 | | | | | | | 416 | | | | 262,853 | |
Public Service Electric and Gas Co., 2.05%, 08/01/50 | | | | | | | 79 | | | | 42,848 | |
San Diego Gas & Electric Co., Series WWW, 2.95%, 08/15/51 | | | | | | | 210 | | | | 136,417 | |
Southern California Edison Co. | | | | | | | | | | | | |
1.10%, 04/01/24 | | | | | | | 1,135 | | | | 1,069,386 | |
4.00%, 04/01/47 | | | | | | | 148 | | | | 107,829 | |
3.45%, 02/01/52 | | | | | | | 200 | | | | 134,497 | |
Series 20A, 2.95%, 02/01/51 | | | | | | | 175 | | | | 106,510 | |
Series B, 4.88%, 03/01/49 | | | | | | | 222 | | | | 185,541 | |
Series E, 3.70%, 08/01/25 | | | | | | | 100 | | | | 96,154 | |
Series E, 5.45%, 06/01/52 | | | | | | | 430 | | | | 383,510 | |
Series H, 3.65%, 06/01/51 | | | | | | | 280 | | | | 194,910 | |
Series J, 0.70%, 08/01/23 | | | | | | | 1,150 | | | | 1,112,096 | |
Southern Co., 4.48%, 08/01/24(b) | | | | | | | 1,135 | | | | 1,120,726 | |
Tampa Electric Co. | | | | | | | | | | | | |
4.30%, 06/15/48 | | | | | | | 182 | | | | 151,610 | |
3.45%, 03/15/51 | | | | | | | 170 | | | | 119,333 | |
Vistra Operations Co. LLC | | | | | | | | | | | | |
3.55%, 07/15/24(a) | | | | | | | 350 | | | | 333,491 | |
5.13%, 05/13/25(a) | | | | | | | 1,325 | | | | 1,282,799 | |
Wisconsin Electric Power Co., 2.05%, 12/15/24 | | | | | | | 291 | | | | 274,876 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,140,672 | |
|
Electrical Equipment — 0.0% | |
Carrier Global Corp., 2.24%, 02/15/25 | | | | | | | 51 | | | | 47,655 | |
| | | | | | | | | | | | |
|
Energy Equipment & Services — 0.1% | |
Halliburton Co. | | | | | | | | | | | | |
3.80%, 11/15/25 | | | | | | | 30 | | | | 28,893 | |
2.92%, 03/01/30 | | | | | | | 460 | | | | 382,854 | |
5.00%, 11/15/45 | | | | | | | 100 | | | | 83,038 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 494,785 | |
|
Equity Real Estate Investment Trusts (REITs) — 4.1% | |
Alexandria Real Estate Equities, Inc. | | | | | | | | | | | | |
3.80%, 04/15/26 | | | | | | | 365 | | | | 347,003 | |
2.75%, 12/15/29 | | | | | | | 67 | | | | 55,466 | |
4.90%, 12/15/30 | | | | | | | 935 | | | | 884,436 | |
2.00%, 05/18/32 | | | | | | | 45 | | | | 33,069 | |
1.88%, 02/01/33 | | | | | | | 355 | | | | 249,505 | |
4.85%, 04/15/49 | | | | | | | 65 | | | | 54,430 | |
American Tower Corp. | | | | | | | | | | | | |
3.50%, 01/31/23 | | | | | | | 1,130 | | | | 1,126,462 | |
5.00%, 02/15/24 | | | | | | | 1,790 | | | | 1,789,001 | |
3.38%, 05/15/24 | | | | | | | 23 | | | | 22,393 | |
3.95%, 03/15/29 | | | | | | | 215 | | | | 191,766 | |
3.80%, 08/15/29 | | | | | | | 200 | | | | 175,444 | |
2.90%, 01/15/30 | | | | | | | 500 | | | | 411,004 | |
2.10%, 06/15/30 | | | | | | | 355 | | | | 271,925 | |
2.70%, 04/15/31 | | | | | | | 760 | | | | 596,379 | |
Boston Properties LP | | | | | | | | | | | | |
4.50%, 12/01/28 | | | | | | | 400 | | | | 368,082 | |
2.45%, 10/01/33 | | | | | | | 10 | | | | 7,039 | |
Camden Property Trust, 2.80%, 05/15/30 | | | | | | | 120 | | | | 100,729 | |
Crown Castle, Inc. | | | | | | | | | | | | |
1.35%, 07/15/25 | | | | | | | 160 | | | | 143,583 | |
3.80%, 02/15/28 | | | | | | | 250 | | | | 226,204 | |
4.30%, 02/15/29 | | | | | | | 55 | | | | 50,450 | |
3.10%, 11/15/29 | | | | | | | 260 | | | | 218,503 | |
2.25%, 01/15/31 | | | | | | | 350 | | | | 267,258 | |
2.10%, 04/01/31 | | | | | | | 100 | | | | 74,945 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 53 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Equity Real Estate Investment Trusts (REITs) (continued) | |
Crown Castle, Inc. | | | | | | | | | | | | |
2.50%, 07/15/31 | | | USD | | | | 445 | | | $ | 342,912 | |
2.90%, 04/01/41 | | | | | | | 480 | | | | 311,640 | |
4.15%, 07/01/50 | | | | | | | 30 | | | | 22,262 | |
Duke Realty LP, 2.88%, 11/15/29 | | | | | | | 192 | | | | 163,501 | |
Equinix, Inc. | | | | | | | | | | | | |
2.90%, 11/18/26 | | | | | | | 671 | | | | 601,945 | |
3.20%, 11/18/29 | | | | | | | 100 | | | | 84,538 | |
3.90%, 04/15/32 | | | | | | | 515 | | | | 437,475 | |
3.00%, 07/15/50 | | | | | | | 160 | | | | 98,034 | |
2.95%, 09/15/51 | | | | | | | 195 | | | | 116,800 | |
GLP Capital LP/GLP Financing II, Inc.,
4.00%, 01/15/30 | | | | 1,300 | | | | 1,085,681 | |
Healthpeak Properties, Inc., 3.00%, 01/15/30 | | | | | | | 229 | | | | 191,410 | |
Kimco Realty Corp., 4.60%, 02/01/33 | | | | | | | 575 | | | | 519,173 | |
Mid-America Apartments LP | | | | | | | | | | | | |
3.60%, 06/01/27 | | | | | | | 23 | | | | 21,340 | |
1.70%, 02/15/31 | | | | | | | 120 | | | | 90,638 | |
Prologis LP, 2.25%, 04/15/30 | | | | | | | 360 | | | | 294,055 | |
Realty Income Corp. | | | | | | | | | | | | |
3.95%, 08/15/27 | | | | | | | 395 | | | | 370,943 | |
2.20%, 06/15/28 | | | | | | | 225 | | | | 189,536 | |
3.25%, 06/15/29 | | | | | | | 119 | | | | 104,456 | |
2.85%, 12/15/32 | | | | | | | 120 | | | | 96,054 | |
Regency Centers LP, 4.13%, 03/15/28 | | | | | | | 250 | | | | 229,579 | |
Simon Property Group LP, 3.80%, 07/15/50 | | | | | | | 430 | | | | 301,382 | |
UDR, Inc. | | | | | | | | | | | | |
3.00%, 08/15/31 | | | | | | | 64 | | | | 50,956 | |
2.10%, 08/01/32 | | | | | | | 70 | | | | 50,545 | |
Ventas Realty LP, 3.00%, 01/15/30 | | | | | | | 355 | | | | 294,750 | |
VICI Properties LP, 5.13%, 05/15/32 | | | | | | | 670 | | | | 593,888 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,328,569 | |
|
Food & Staples Retailing — 1.2% | |
7-Eleven, Inc. | | | | | | | | | | | | |
0.80%, 02/10/24(a) | | | | | | | 525 | | | | 496,290 | |
0.95%, 02/10/26(a) | | | | | | | 755 | | | | 651,138 | |
CVS Health Corp. | | | | | | | | | | | | |
1.30%, 08/21/27 | | | | | | | 585 | | | | 487,381 | |
4.30%, 03/25/28 | | | | | | | 455 | | | | 429,136 | |
1.88%, 02/28/31 | | | | | | | 765 | | | | 582,720 | |
5.30%, 12/05/43 | | | | | | | 200 | | | | 180,350 | |
5.13%, 07/20/45 | | | | | | | 496 | | | | 434,328 | |
5.05%, 03/25/48 | | | | | | | 867 | | | | 763,534 | |
Walmart, Inc., 2.65%, 09/22/51 | | | | | | | 210 | | | | 140,893 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,165,770 | |
|
Food Products — 0.4% | |
General Mills, Inc., 3.00%, 02/01/51 | | | | | | | 2 | | | | 1,298 | |
Kraft Heinz Foods Co. | | | | | | | | | | | | |
3.00%, 06/01/26 | | | | | | | 507 | | | | 467,479 | |
4.38%, 06/01/46 | | | | | | | 500 | | | | 388,699 | |
4.88%, 10/01/49 | | | | | | | 470 | | | | 387,367 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,244,843 | |
|
Health Care Equipment & Supplies — 1.0% | |
Abbott Laboratories | | | | | | | | | | | | |
3.75%, 11/30/26 | | | | | | | 241 | | | | 233,735 | |
4.75%, 11/30/36 | | | | | | | 220 | | | | 214,581 | |
4.75%, 04/15/43 | | | | | | | 117 | | | | 108,821 | |
Becton Dickinson and Co. | | | | | | | | | | | | |
3.73%, 12/15/24 | | | | | | | 48 | | | | 46,354 | |
3.70%, 06/06/27 | | | | | | | 1,719 | | | | 1,599,691 | |
4.67%, 06/06/47 | | | | | | | 410 | | | | 352,002 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Health Care Equipment & Supplies (continued) | |
Becton Dickinson and Co. 3.79%, 05/20/50 | | | USD | | | | 108 | | | $ | 80,778 | |
Thermo Fisher Scientific, Inc., 2.00%, 10/15/31 | | | | | | | 950 | | | | 748,862 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,384,824 | |
|
Health Care Providers & Services — 1.8% | |
Aetna, Inc. | | | | | | | | | | | | |
2.80%, 06/15/23 | | | | | | | 350 | | | | 345,492 | |
3.50%, 11/15/24 | | | | | | | 656 | | | | 637,424 | |
3.88%, 08/15/47 | | | | | | | 173 | | | | 127,306 | |
Banner Health, 2.91%, 01/01/42 | | | | | | | 183 | | | | 130,278 | |
Cigna Corp., 4.13%, 11/15/25 | | | | | | | 40 | | | | 38,849 | |
CommonSpirit Health | | | | | | | | | | | | |
3.35%, 10/01/29 | | | | | | | 450 | | | | 380,951 | |
2.78%, 10/01/30 | | | | | | | 139 | | | | 110,934 | |
3.91%, 10/01/50 | | | | | | | 340 | | | | 241,822 | |
Elevance Health, Inc. | | | | | | | | | | | | |
2.38%, 01/15/25 | | | | | | | 35 | | | | 33,031 | |
2.25%, 05/15/30 | | | | | | | 294 | | | | 237,164 | |
4.65%, 01/15/43 | | | | | | | 47 | | | | 40,542 | |
5.10%, 01/15/44 | | | | | | | 298 | | | | 270,353 | |
3.13%, 05/15/50 | | | | | | | 90 | | | | 59,530 | |
HCA, Inc. | | | | | | | | | | | | |
5.50%, 06/15/47 | | | | | | | 725 | | | | 612,476 | |
5.25%, 06/15/49 | | | | | | | 560 | | | | 455,362 | |
3.50%, 07/15/51 | | | | | | | 440 | | | | 272,435 | |
Hoag Memorial Hospital Presbyterian,
3.80%, 07/15/52 | | | | | | | 251 | | | | 196,653 | |
Humana, Inc., 2.15%, 02/03/32 | | | | | | | 60 | | | | 45,593 | |
Sutter Health | | | | | | | | | | | | |
Series 20A, 2.29%, 08/15/30 | | | | | | | 388 | | | | 312,664 | |
Series 20A, 3.36%, 08/15/50 | | | | | | | 177 | | | | 122,781 | |
UnitedHealth Group, Inc. | | | | | | | | | | | | |
2.30%, 05/15/31 | | | | | | | 375 | | | | 301,683 | |
3.50%, 08/15/39 | | | | | | | 324 | | | | 254,555 | |
2.75%, 05/15/40 | | | | | | | 215 | | | | 150,541 | |
5.70%, 10/15/40 | | | | | | | 155 | | | | 155,802 | |
4.63%, 11/15/41 | | | | | | | 370 | | | | 329,975 | |
4.75%, 07/15/45 | | | | | | | 382 | | | | 338,300 | |
4.25%, 06/15/48 | | | | | | | 40 | | | | 33,131 | |
3.70%, 08/15/49 | | | | | | | 150 | | | | 113,501 | |
3.25%, 05/15/51 | | | | | | | 95 | | | | 65,921 | |
3.88%, 08/15/59 | | | | | | | 41 | | | | 30,518 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,445,567 | |
|
Industrial Conglomerates — 0.5% | |
Carlisle Cos., Inc., 2.20%, 03/01/32 | | | | | | | 655 | | | | 487,414 | |
Siemens Financieringsmaatschappij NV | | | | | | | | | | | | |
0.65%, 03/11/24(a) | | | | | | | 820 | | | | 772,358 | |
2.88%, 03/11/41(a) | | | | | | | 545 | | | | 384,563 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,644,335 | |
|
Insurance — 1.3% | |
Allstate Corp., Series B, 5.75%, 08/15/53 | | | | | | | 788 | | | | 725,368 | |
American International Group, Inc.,
4.80%, 07/10/45 | | | | | | | 317 | | | | 269,686 | |
Aon Corp., 2.80%, 05/15/30 | | | | | | | 305 | | | | 252,875 | |
Aon Corp./Aon Global Holdings PLC | | | | | | | | | | | | |
2.05%, 08/23/31 | | | | | | | 400 | | | | 299,696 | |
2.60%, 12/02/31 | | | | | | | 290 | | | | 226,743 | |
Aon Global Ltd., 4.00%, 11/27/23 | | | | | | | 1,760 | | | | 1,747,916 | |
Berkshire Hathaway Finance Corp.,
3.85%, 03/15/52 | | | | | | | 20 | | | | 15,281 | |
Marsh & McLennan Cos., Inc. | | | | | | | | | | | | |
3.75%, 03/14/26 | | | | | | | 200 | | | | 193,330 | |
2.25%, 11/15/30 | | | | | | | 265 | | | | 210,268 | |
2.38%, 12/15/31 | | | | | | | 175 | | | | 137,512 | |
| | |
| 54 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Insurance (continued) | |
MetLife, Inc., 5.00%, 07/15/52 | | | USD | | | | 145 | | | $ | 132,176 | |
Progressive Corp., 3.00%, 03/15/32 | | | | | | | 175 | | | | 145,772 | |
Prudential Financial, Inc., 4.35%, 02/25/50 | | | | | | | 116 | | | | 95,609 | |
Teachers Insurance & Annuity Association of America | | | | | | | | | | | | |
6.85%, 12/16/39(a) | | | | | | | 90 | | | | 98,000 | |
3.30%, 05/15/50(a) | | | | | | | 265 | | | | 180,649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,730,881 | |
|
Interactive Media & Services — 0.7% | |
Alphabet, Inc. | | | | | | | | | | | | |
1.90%, 08/15/40 | | | | | | | 535 | | | | 343,411 | |
2.05%, 08/15/50 | | | | | | | 130 | | | | 76,390 | |
Meta Platforms, Inc. | | | | | | | | | | | | |
3.85%, 08/15/32(a) | | | | | | | 685 | | | | 602,202 | |
4.45%, 08/15/52(a) | | | | | | | 280 | | | | 228,503 | |
Netflix, Inc., 4.88%, 04/15/28 | | | | | | | 905 | | | | 847,003 | |
Tencent Holdings Ltd., 3.84%, 04/22/51(a) | | | | | | | 440 | | | | 295,905 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,393,414 | |
|
Internet & Direct Marketing Retail — 0.7% | |
Alibaba Group Holding Ltd., 4.20%, 12/06/47 | | | | | | | 200 | | | | 143,537 | |
Amazon.com, Inc. | | | | | | | | | | | | |
3.15%, 08/22/27 | | | | | | | 1,505 | | | | 1,402,476 | |
4.05%, 08/22/47 | | | | | | | 295 | | | | 249,119 | |
3.10%, 05/12/51 | | | | | | | 93 | | | | 65,107 | |
3.95%, 04/13/52 | | | | | | | 115 | | | | 94,325 | |
2.70%, 06/03/60 | | | | | | | 150 | | | | 88,491 | |
3.25%, 05/12/61 | | | | | | | 400 | | | | 269,142 | |
4.10%, 04/13/62 | | | | | | | 235 | | | | 187,368 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,499,565 | |
|
IT Services — 1.1% | |
Fiserv, Inc. | | | | | | | | | | | | |
2.75%, 07/01/24 | | | | | | | 170 | | | | 163,053 | |
3.85%, 06/01/25 | | | | | | | 450 | | | | 432,012 | |
4.40%, 07/01/49 | | | | | | | 156 | | | | 120,993 | |
Global Payments, Inc. | | | | | | | | | | | | |
1.20%, 03/01/26 | | | | | | | 1,220 | | | | 1,049,987 | |
3.20%, 08/15/29 | | | | | | | 695 | | | | 579,090 | |
2.90%, 05/15/30 | | | | | | | 350 | | | | 278,994 | |
4.15%, 08/15/49 | | | | | | | 70 | | | | 47,997 | |
5.95%, 08/15/52 | | | | | | | 135 | | | | 118,940 | |
Mastercard, Inc. | | | | | | | | | | | | |
3.35%, 03/26/30 | | | | | | | 70 | | | | 63,093 | |
3.65%, 06/01/49 | | | | | | | 30 | | | | 23,398 | |
PayPal Holdings, Inc. | | | | | | | | | | | | |
1.65%, 06/01/25 | | | | | | | 685 | | | | 630,559 | |
4.40%, 06/01/32 | | | | | | | 230 | | | | 214,368 | |
3.25%, 06/01/50 | | | | | | | 15 | | | | 10,144 | |
S&P Global, Inc., 3.25%, 12/01/49 | | | | | | | 80 | | | | 56,138 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,788,766 | |
|
Media — 2.0% | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | | | | |
6.38%, 10/23/35 | | | | | | | 255 | | | | 233,851 | |
6.48%, 10/23/45 | | | | | | | 1,260 | | | | 1,109,540 | |
5.75%, 04/01/48 | | | | | | | 400 | | | | 322,844 | |
5.13%, 07/01/49 | | | | | | | 519 | | | | 380,446 | |
4.80%, 03/01/50 | | | | | | | 625 | | | | 450,868 | |
3.85%, 04/01/61 | | | | | | | 50 | | | | 29,190 | |
Comcast Corp. | | | | | | | | | | | | |
2.35%, 01/15/27 | | | | | | | 400 | | | | 358,708 | |
4.15%, 10/15/28 | | | | | | | 185 | | | | 174,726 | |
3.25%, 11/01/39 | | | | | | | 480 | | | | 352,545 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Media (continued) | |
Comcast Corp. | | | | | | | | | | | | |
3.75%, 04/01/40 | | | USD | | | | 430 | | | $ | 338,029 | |
4.60%, 08/15/45 | | | | | | | 254 | | | | 212,021 | |
3.40%, 07/15/46 | | | | | | | 490 | | | | 345,747 | |
3.97%, 11/01/47 | | | | | | | 314 | | | | 240,086 | |
4.00%, 03/01/48 | | | | | | | 430 | | | | 330,939 | |
4.00%, 11/01/49 | | | | | | | 600 | | | | 459,759 | |
2.89%, 11/01/51 | | | | | | | 410 | | | | 256,755 | |
2.94%, 11/01/56 | | | | | | | 709 | | | | 423,184 | |
2.65%, 08/15/62 | | | | | | | 100 | | | | 53,897 | |
Discovery Communications LLC | | | | | | | | | | | | |
2.95%, 03/20/23 | | | | | | | 182 | | | | 180,403 | |
3.80%, 03/13/24 | | | | | | | 100 | | | | 97,615 | |
Interpublic Group of Cos., Inc. | | | | | | | | | | | | |
4.75%, 03/30/30 | | | | | | | 3 | | | | 2,742 | |
3.38%, 03/01/41 | | | | | | | 95 | | | | 62,841 | |
NBCUniversal Media LLC, 4.45%, 01/15/43 | | | | | | | 80 | | | | 66,413 | |
Time Warner Cable LLC, 4.50%, 09/15/42 | | | | | | | 137 | | | | 94,586 | |
TWDC Enterprises 18 Corp., 4.13%, 06/01/44 | | | | | | | 65 | | | | 53,166 | |
Walt Disney Co. | | | | | | | | | | | | |
3.50%, 05/13/40 | | | | | | | 216 | | | | 166,805 | |
3.60%, 01/13/51 | | | | | | | 50 | | | | 37,060 | |
Warnermedia Holdings, Inc., 5.14%, 03/15/52(a) | | | | | | | 200 | | | | 145,364 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,980,130 | |
|
Metals & Mining — 0.4% | |
Glencore Funding LLC, 2.63%, 09/23/31(a) | | | | | | | 1,170 | | | | 876,920 | |
Newmont Corp. | | | | | | | | | | | | |
2.80%, 10/01/29 | | | | | | | 30 | | | | 24,834 | |
2.25%, 10/01/30 | | | | | | | 100 | | | | 77,355 | |
Nucor Corp., 2.98%, 12/15/55 | | | | | | | 13 | | | | 7,684 | |
Steel Dynamics, Inc. | | | | | | | | | | | | |
2.40%, 06/15/25 | | | | | | | 70 | | | | 64,717 | |
1.65%, 10/15/27 | | | | | | | 380 | | | | 310,742 | |
3.25%, 10/15/50 | | | | | | | 180 | | | | 109,839 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,472,091 | |
|
Multi-Utilities — 1.4% | |
Alliant Energy Finance LLC, 3.75%, 06/15/23(a) | | | | | | | 510 | | | | 503,518 | |
CenterPoint Energy Houston Electric LLC, Series AG, | | | | | | | | | | | | |
3.00%, 03/01/32 | | | | | | | 165 | | | | 139,638 | |
CMS Energy Corp., 3.00%, 05/15/26 | | | | | | | 310 | | | | 286,081 | |
Consumers Energy Co. | | | | | | | | | | | | |
3.60%, 08/15/32 | | | | | | | 280 | | | | 249,686 | |
2.50%, 05/01/60 | | | | | | | 425 | | | | 234,400 | |
Dominion Energy, Inc. | | | | | | | | | | | | |
3.90%, 10/01/25 | | | | | | | 650 | | | | 624,237 | |
Series C, 3.38%, 04/01/30 | | | | | | | 200 | | | | 171,995 | |
NiSource, Inc. | | | | | | | | | | | | |
0.95%, 08/15/25 | | | | | | | 250 | | | | 221,897 | |
5.25%, 02/15/43 | | | | | | | 55 | | | | 49,186 | |
4.38%, 05/15/47 | | | | | | | 214 | | | | 169,739 | |
Piedmont Natural Gas Co., Inc.,
3.35%, 06/01/50 | | | | | | | 50 | | | | 33,152 | |
Sempra Energy | | | | | | | | | | | | |
3.40%, 02/01/28 | | | | | | | 1,520 | | | | 1,374,386 | |
3.70%, 04/01/29 | | | | | | | 225 | | | | 200,950 | |
Virginia Electric & Power Co. | | | | | | | | | | | | |
4.00%, 01/15/43 | | | | | | | 160 | | | | 125,580 | |
4.60%, 12/01/48 | | | | | | | 40 | | | | 34,561 | |
3.30%, 12/01/49 | | | | | | | 191 | | | | 133,942 | |
Series B, 6.00%, 01/15/36 | | | | | | | 436 | | | | 440,338 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,993,286 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 55 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Oil, Gas & Consumable Fuels — 8.5% | |
Atmos Energy Corp., 2.85%, 02/15/52 | | | USD | | | | 215 | | | $ | 135,900 | |
BP Capital Markets America, Inc. | | | | | | | | | | | | |
3.59%, 04/14/27 | | | | | | | 250 | | | | 234,132 | |
1.75%, 08/10/30 | | | | | | | 95 | | | | 73,839 | |
3.06%, 06/17/41 | | | | | | | 960 | | | | 684,492 | |
3.38%, 02/08/61 | | | | | | | 55 | | | | 35,836 | |
Cameron LNG LLC, 3.30%, 01/15/35(a) | | | | | | | 420 | | | | 330,327 | |
Cenovus Energy, Inc., 3.75%, 02/15/52 | | | | | | | 255 | | | | 172,796 | |
Cheniere Corpus Christi Holdings LLC,
5.88%, 03/31/25 | | | | | | | 2,010 | | | | 2,018,040 | |
ConocoPhillips Co., 3.80%, 03/15/52 | | | | | | | 225 | | | | 171,930 | |
DCP Midstream Operating LP, 3.25%, 02/15/32 | | | | | | | 389 | | | | 307,511 | |
Devon Energy Corp. | | | | | | | | | | | | |
5.25%, 10/15/27 | | | | | | | 75 | | | | 75,143 | |
4.50%, 01/15/30 | | | | | | | 270 | | | | 245,757 | |
4.75%, 05/15/42 | | | | | | | 260 | | | | 211,724 | |
Diamondback Energy, Inc. | | | | | | | | | | | | |
3.50%, 12/01/29 | | | | | | | 1,540 | | | | 1,329,233 | |
4.25%, 03/15/52 | | | | | | | 160 | | | | 116,805 | |
Enbridge, Inc. | | | | | | | | | | | | |
(SOFR + 0.40%), 3.09%, 02/17/23(c) | | | | | | | 340 | | | | 339,250 | |
4.00%, 10/01/23 | | | | | | | 2,070 | | | | 2,051,801 | |
0.55%, 10/04/23 | | | | | | | 575 | | | | 549,732 | |
2.50%, 01/15/25 | | | | | | | 615 | | | | 577,413 | |
6.25%, 03/01/78 | | | | | | | 780 | | | | 700,986 | |
Energy Transfer LP | | | | | | | | | | | | |
3.60%, 02/01/23 | | | | | | | 389 | | | | 387,343 | |
4.90%, 02/01/24 | | | | | | | 730 | | | | 725,961 | |
4.50%, 04/15/24 | | | | | | | 550 | | | | 541,336 | |
4.00%, 10/01/27 | | | | | | | 115 | | | | 104,294 | |
3.75%, 05/15/30 | | | | | | | 265 | | | | 224,392 | |
5.95%, 10/01/43 | | | | | | | 160 | | | | 138,619 | |
5.35%, 05/15/45 | | | | | | | 702 | | | | 564,625 | |
6.13%, 12/15/45 | | | | | | | 415 | | | | 363,940 | |
5.30%, 04/15/47 | | | | | | | 84 | | | | 67,011 | |
5.40%, 10/01/47 | | | | | | | 880 | | | | 712,514 | |
6.00%, 06/15/48 | | | | | | | 82 | | | | 70,847 | |
6.25%, 04/15/49 | | | | | | | 455 | | | | 403,643 | |
Series 5Y, 4.20%, 09/15/23 | | | | | | | 1,186 | | | | 1,173,239 | |
Enterprise Products Operating LLC | | | | | | | | | | | | |
5.95%, 02/01/41 | | | | | | | 196 | | | | 187,553 | |
5.70%, 02/15/42 | | | | | | | 114 | | | | 105,772 | |
4.45%, 02/15/43 | | | | | | | 594 | | | | 477,129 | |
4.25%, 02/15/48 | | | | | | | 129 | | | | 99,486 | |
4.80%, 02/01/49 | | | | | | | 406 | | | | 334,070 | |
4.20%, 01/31/50 | | | | | | | 575 | | | | 439,076 | |
EQT Corp., 5.70%, 04/01/28 | | | | | | | 190 | | | | 186,266 | |
Hess Corp. | | | | | | | | | | | | |
4.30%, 04/01/27 | | | | | | | 350 | | | | 329,253 | |
5.60%, 02/15/41 | | | | | | | 642 | | | | 561,476 | |
5.80%, 04/01/47 | | | | | | | 396 | | | | 353,646 | |
HF Sinclair Corp., 2.63%, 10/01/23(a) | | | | | | | 640 | | | | 619,409 | |
Kinder Morgan Energy Partners LP | | | | | | | | | | | | |
7.30%, 08/15/33 | | | | | | | 290 | | | | 301,612 | |
6.95%, 01/15/38 | | | | | | | 100 | | | | 99,430 | |
4.70%, 11/01/42 | | | | | | | 150 | | | | 117,143 | |
5.00%, 03/01/43 | | | | | | | 150 | | | | 119,969 | |
Kinder Morgan, Inc. | | | | | | | | | | | | |
3.15%, 01/15/23 | | | | | | | 2,295 | | | | 2,284,305 | |
5.55%, 06/01/45 | | | | | | | 250 | | | | 217,800 | |
5.05%, 02/15/46 | | | | | | | 350 | | | | 285,889 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Oil, Gas & Consumable Fuels (continued) | |
Marathon Oil Corp. | | | | | | | | | | | | |
4.40%, 07/15/27 | | | USD | | | | 544 | | | $ | 507,927 | |
5.20%, 06/01/45 | | | | | | | 60 | | | | 50,218 | |
Marathon Petroleum Corp., 4.75%, 09/15/44 | | | | | | | 151 | | | | 121,128 | |
MPLX LP | | | | | | | | | | | | |
1.75%, 03/01/26 | | | | | | | 655 | | | | 573,113 | |
4.13%, 03/01/27 | | | | | | | 640 | | | | 596,932 | |
4.25%, 12/01/27 | | | | | | | 70 | | | | 65,168 | |
4.95%, 03/14/52 | | | | | | | 810 | | | | 633,883 | |
Phillips 66, 3.30%, 03/15/52 | | | | | | | 380 | | | | 248,757 | |
Pioneer Natural Resources Co. | | | | | | | | | | | | |
0.55%, 05/15/23 | | | | | | | 580 | | | | 565,941 | |
1.13%, 01/15/26 | | | | | | | 255 | | | | 222,939 | |
1.90%, 08/15/30 | | | | | | | 370 | | | | 282,882 | |
2.15%, 01/15/31 | | | | | | | 195 | | | | 150,208 | |
Plains All American Pipeline LP/PAA Finance Corp., 4.30%, 01/31/43 | | | | | | | 250 | | | | 168,144 | |
Sabine Pass Liquefaction LLC | | | | | | | | | | | | |
5.75%, 05/15/24 | | | | | | | 960 | | | | 963,515 | |
4.20%, 03/15/28 | | | | | | | 105 | | | | 95,756 | |
Texas Eastern Transmission LP, 2.80%, 10/15/22(a) | | | | | | | 750 | | | | 749,567 | |
TotalEnergies Capital International SA,
3.13%, 05/29/50 | | | | | | | 5 | | | | 3,453 | |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 | | | | | | | 265 | | | | 243,052 | |
Valero Energy Corp., 4.00%, 06/01/52 | | | | | | | 120 | | | | 86,583 | |
Williams Cos., Inc., 3.75%, 06/15/27 | | | | | | | 580 | | | | 535,002 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,823,863 | |
|
Paper & Forest Products — 0.1% | |
Celulosa Arauco y Constitucion SA,
5.50%, 04/30/49(a) | | | | 270 | | | | 197,319 | |
| | | | | | | | | | | | |
|
Pharmaceuticals — 1.5% | |
Astrazeneca Finance LLC, 2.25%, 05/28/31 | | | | | | | 5 | | | | 4,063 | |
Bayer U.S. Finance II LLC | | | | | | | | | | | | |
3.88%, 12/15/23(a) | | | | | | | 1,025 | | | | 1,005,625 | |
4.25%, 12/15/25(a) | | | | | | | 215 | | | | 205,766 | |
Bristol-Myers Squibb Co. | | | | | | | | | | | | |
2.90%, 07/26/24 | | | | | | | 160 | | | | 155,176 | |
3.70%, 03/15/52 | | | | | | | 410 | | | | 313,830 | |
Merck & Co., Inc. | | | | | | | | | | | | |
1.45%, 06/24/30 | | | | | | | 58 | | | | 45,355 | |
2.15%, 12/10/31 | | | | | | | 320 | | | | 258,090 | |
3.70%, 02/10/45 | | | | | | | 19 | | | | 14,911 | |
2.75%, 12/10/51 | | | | | | | 265 | | | | 172,591 | |
Pfizer, Inc. | | | | | | | | | | | | |
3.45%, 03/15/29 | | | | | | | 135 | | | | 124,313 | |
3.90%, 03/15/39 | | | | | | | 38 | | | | 32,582 | |
Roche Holdings, Inc., 2.61%, 12/13/51(a) | | | | | | | 570 | | | | 371,643 | |
Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23 | | | | | | | 577 | | | | 564,283 | |
Takeda Pharmaceutical Co. Ltd. | | | | | | | | | | | | |
4.40%, 11/26/23 | | | | | | | 900 | | | | 894,187 | |
5.00%, 11/26/28 | | | | | | | 375 | | | | 363,011 | |
3.18%, 07/09/50 | | | | | | | 725 | | | | 480,965 | |
Wyeth LLC, 5.95%, 04/01/37 | | | | | | | 103 | | | | 108,386 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,114,777 | |
|
Road & Rail — 1.9% | |
Burlington Northern Santa Fe LLC | | | | | | | | | | | | |
5.75%, 05/01/40 | | | | | | | 350 | | | | 354,245 | |
4.40%, 03/15/42 | | | | | | | 235 | | | | 203,115 | |
4.90%, 04/01/44 | | | | | | | 265 | | | | 242,046 | |
3.55%, 02/15/50 | | | | | | | 140 | | | | 104,931 | |
| | |
| 56 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Road & Rail (continued) | |
Burlington Northern Santa Fe LLC
2.88%, 06/15/52 | | | USD | | | | 195 | | | $ | 127,348 | |
Canadian National Railway Co.,
3.85%, 08/05/32 | | | | | | | 410 | | | | 373,781 | |
Canadian Pacific Railway Co. | | | | | | | | | | | | |
2.05%, 03/05/30 | | | | | | | 45 | | | | 36,075 | |
3.00%, 12/02/41 | | | | | | | 305 | | | | 216,012 | |
3.10%, 12/02/51 | | | | | | | 340 | | | | 223,193 | |
CSX Corp. | | | | | | | | | | | | |
3.25%, 06/01/27 | | | | | | | 195 | | | | 179,268 | |
4.25%, 03/15/29 | | | | | | | 135 | | | | 127,235 | |
4.10%, 11/15/32 | | | | | | | 185 | | | | 168,002 | |
4.30%, 03/01/48 | | | | | | | 125 | | | | 102,963 | |
4.75%, 11/15/48 | | | | | | | 71 | | | | 62,621 | |
Norfolk Southern Corp. | | | | | | | | | | | | |
3.80%, 08/01/28 | | | | | | | 525 | | | | 487,516 | |
4.45%, 06/15/45 | | | | | | | 40 | | | | 33,304 | |
3.94%, 11/01/47 | | | | | | | 170 | | | | 131,872 | |
4.15%, 02/28/48 | | | | | | | 5 | | | | 3,999 | |
3.40%, 11/01/49 | | | | | | | 100 | | | | 69,972 | |
3.70%, 03/15/53 | | | | | | | 355 | | | | 257,706 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. | | | | | | | | | | | | |
3.45%, 07/01/24(a) | | | | | | | 60 | | | | 57,722 | |
4.00%, 07/15/25(a) | | | | | | | 2,045 | | | | 1,949,060 | |
Ryder System, Inc., 2.85%, 03/01/27 | | | | | | | 510 | | | | 457,170 | |
Union Pacific Corp. | | | | | | | | | | | | |
4.05%, 03/01/46 | | | | | | | 105 | | | | 85,654 | |
4.50%, 09/10/48 | | | | | | | 215 | | | | 184,428 | |
3.50%, 02/14/53 | | | | | | | 55 | | | | 39,831 | |
3.95%, 08/15/59 | | | | | | | 134 | | | | 101,612 | |
3.84%, 03/20/60 | | | | | | | 489 | | | | 363,104 | |
2.97%, 09/16/62 | | | | | | | 80 | | | | 48,430 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,792,215 | |
|
Semiconductors & Semiconductor Equipment — 2.4% | |
Analog Devices, Inc. | | | | | | | | | | | | |
2.95%, 04/01/25 | | | | | | | 55 | | | | 52,861 | |
2.80%, 10/01/41 | | | | | | | 190 | | | | 134,344 | |
Applied Materials, Inc., 3.30%, 04/01/27 | | | | | | | 605 | | | | 567,264 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 | | | | | | | 23 | | | | 21,157 | |
Broadcom, Inc. | | | | | | | | | | | | |
3.15%, 11/15/25 | | | | | | | 28 | | | | 26,282 | |
4.15%, 11/15/30 | | | | | | | 444 | | | | 384,302 | |
4.15%, 04/15/32(a) | | | | | | | 250 | | | | 209,087 | |
3.42%, 04/15/33(a) | | | | | | | 1,027 | | | | 783,823 | |
4.93%, 05/15/37(a) | | | | | | | 1,489 | | | | 1,227,787 | |
Intel Corp., 2.80%, 08/12/41 | | | | | | | 115 | | | | 77,501 | |
KLA Corp. | | | | | | | | | | | | |
4.65%, 11/01/24 | | | | | | | 12 | | | | 11,959 | |
4.10%, 03/15/29 | | | | | | | 589 | | | | 559,660 | |
5.00%, 03/15/49 | | | | | | | 355 | | | | 324,994 | |
3.30%, 03/01/50 | | | | | | | 155 | | | | 108,874 | |
Lam Research Corp. | | | | | | | | | | | | |
3.75%, 03/15/26 | | | | | | | 890 | | | | 853,522 | |
4.88%, 03/15/49 | | | | | | | 80 | | | | 73,773 | |
2.88%, 06/15/50 | | | | | | | 35 | | | | 22,821 | |
NVIDIA Corp., 3.50%, 04/01/40 | | | | | | | 340 | | | | 264,105 | |
NXP BV/NXP Funding LLC, 5.55%, 12/01/28 | | | | | | | 70 | | | | 67,606 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. | | | | | | | | | | | | |
4.30%, 06/18/29 | | | | | | | 701 | | | | 630,681 | |
3.40%, 05/01/30 | | | | | | | 50 | | | | 41,864 | |
2.50%, 05/11/31 | | | | | | | 760 | | | | 568,480 | |
2.65%, 02/15/32 | | | | | | | 545 | | | | 404,935 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Semiconductors & Semiconductor Equipment (continued) | |
QUALCOMM, Inc., 4.30%, 05/20/47 | | | USD | | | | 415 | | | $ | 351,891 | |
Texas Instruments, Inc., 2.70%, 09/15/51 | | | | | | | 220 | | | | 146,047 | |
TSMC Arizona Corp., 4.50%, 04/22/52 | | | | | | | 485 | | | | 422,479 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,338,099 | |
|
Software — 2.0% | |
Autodesk, Inc., 2.40%, 12/15/31 | | | | | | | 930 | | | | 723,360 | |
Microsoft Corp. | | | | | | | | | | | | |
2.53%, 06/01/50 | | | | | | | 1,475 | | | | 963,681 | |
2.92%, 03/17/52 | | | | | | | 404 | | | | 284,940 | |
Oracle Corp. | | | | | | | | | | | | |
3.85%, 07/15/36 | | | | | | | 114 | | | | 85,307 | |
5.38%, 07/15/40 | | | | | | | 800 | | | | 666,706 | |
3.65%, 03/25/41 | | | | | | | 208 | | | | 141,320 | |
4.50%, 07/08/44 | | | | | | | 300 | | | | 220,953 | |
4.00%, 07/15/46 | | | | | | | 172 | | | | 116,241 | |
4.00%, 11/15/47 | | | | | | | 1,006 | | | | 674,070 | |
3.60%, 04/01/50 | | | | | | | 1,550 | | | | 969,839 | |
4.38%, 05/15/55 | | | | | | | 180 | | | | 123,203 | |
Salesforce, Inc. | | | | | | | | | | | | |
2.70%, 07/15/41 | | | | | | | 315 | | | | 216,862 | |
2.90%, 07/15/51 | | | | | | | 240 | | | | 158,529 | |
3.05%, 07/15/61 | | | | | | | 125 | | | | 78,000 | |
VMware, Inc., 2.20%, 08/15/31 | | | | | | | 1,730 | | | | 1,259,207 | |
Workday, Inc., 3.80%, 04/01/32 | | | | | | | 365 | | | | 316,813 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,999,031 | |
|
Specialty Retail — 0.8% | |
Home Depot, Inc. | | | | | | | | | | | | |
4.40%, 03/15/45 | | | | | | | 215 | | | | 182,741 | |
4.25%, 04/01/46 | | | | | | | 335 | | | | 283,013 | |
3.90%, 06/15/47 | | | | | | | 40 | | | | 31,825 | |
4.50%, 12/06/48 | | | | | | | 240 | | | | 210,075 | |
3.13%, 12/15/49 | | | | | | | 150 | | | | 103,190 | |
3.35%, 04/15/50 | | | | | | | 200 | | | | 143,348 | |
Lowe’s Cos., Inc. | | | | | | | | | | | | |
5.00%, 04/15/33 | | | | | | | 270 | | | | 255,041 | |
3.70%, 04/15/46 | | | | | | | 485 | | | | 346,872 | |
4.55%, 04/05/49 | | | | | | | 199 | | | | 159,298 | |
5.13%, 04/15/50 | | | | | | | 315 | | | | 287,249 | |
3.00%, 10/15/50 | | | | | | | 260 | | | | 159,211 | |
4.25%, 04/01/52 | | | | | | | 415 | | | | 317,766 | |
5.63%, 04/15/53 | | | | | | | 230 | | | | 212,706 | |
4.45%, 04/01/62 | | | | | | | 220 | | | | 164,203 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,856,538 | |
|
Technology Hardware, Storage & Peripherals — 1.2% | |
Apple Inc. | | | | | | | | | | | | |
2.20%, 09/11/29 | | | | | | | 25 | | | | 21,297 | |
3.85%, 05/04/43 | | | | | | | 131 | | | | 109,909 | |
4.38%, 05/13/45 | | | | | | | 650 | | | | 583,226 | |
4.65%, 02/23/46 | | | | | | | 400 | | | | 374,045 | |
3.85%, 08/04/46 | | | | | | | 430 | | | | 355,656 | |
3.75%, 09/12/47 | | | | | | | 200 | | | | 161,676 | |
2.65%, 02/08/51 | | | | | | | 515 | | | | 338,114 | |
2.70%, 08/05/51 | | | | | | | 405 | | | | 267,319 | |
3.95%, 08/08/52 | | | | | | | 360 | | | | 300,624 | |
HP, Inc., 1.45%, 06/17/26 | | | | | | | 1,775 | | | | 1,530,185 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,042,051 | |
|
Tobacco — 0.9% | |
Altria Group, Inc. | | | | | | | | | | | | |
4.80%, 02/14/29 | | | | | | | 190 | | | | 175,384 | |
2.45%, 02/04/32 | | | | | | | 115 | | | | 81,157 | |
4.50%, 05/02/43 | | | | | | | 75 | | | | 52,862 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 57 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Tobacco (continued) | |
Altria Group, Inc. | | | | | | | | | | | | |
5.95%, 02/14/49 | | | USD | | | | 553 | | | $ | 457,872 | |
3.70%, 02/04/51 | | | | | | | 200 | | | | 120,736 | |
BAT Capital Corp. | | | | | | | | | | | | |
4.70%, 04/02/27 | | | | | | | 1,200 | | | | 1,119,681 | |
3.56%, 08/15/27 | | | | | | | 454 | | | | 398,690 | |
2.26%, 03/25/28 | | | | | | | 300 | | | | 238,619 | |
2.73%, 03/25/31 | | | | | | | 160 | | | | 119,074 | |
4.39%, 08/15/37 | | | | | | | 170 | | | | 121,277 | |
Reynolds American, Inc. | | | | | | | | | | | | |
5.70%, 08/15/35 | | | | | | | 450 | | | | 380,565 | |
7.00%, 08/04/41 | | | | | | | 70 | | | | 65,312 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,331,229 | |
|
Trading Companies & Distributors — 0.9% | |
Air Lease Corp. | | | | | | | | | | | | |
3.38%, 07/01/25 | | | | | | | 580 | | | | 540,407 | |
2.88%, 01/15/26 | | | | | | | 760 | | | | 680,326 | |
1.88%, 08/15/26 | | | | | | | 2,305 | | | | 1,953,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,174,173 | |
|
Wireless Telecommunication Services — 1.2% | |
America Movil SAB de CV | | | | | | | | | | | | |
3.63%, 04/22/29 | | | | | | | 250 | | | | 225,439 | |
4.38%, 04/22/49 | | | | | | | 525 | | | | 430,046 | |
Rogers Communications, Inc. | | | | | | | | | | | | |
3.80%, 03/15/32(a) | | | | | | | 490 | | | | 423,777 | |
4.30%, 02/15/48 | | | | | | | 72 | | | | 54,397 | |
4.35%, 05/01/49 | | | | | | | 142 | | | | 108,223 | |
3.70%, 11/15/49 | | | | | | | 176 | | | | 120,369 | |
4.55%, 03/15/52(a) | | | | | | | 939 | | | | 748,919 | |
T-Mobile U.S.A., Inc. | | | | | | | | | | | | |
3.88%, 04/15/30 | | | | | | | 133 | | | | 117,973 | |
3.50%, 04/15/31 | | | | | | | 633 | | | | 531,916 | |
2.70%, 03/15/32 | | | | | | | 631 | | | | 492,475 | |
4.38%, 04/15/40 | | | | | | | 495 | | | | 403,071 | |
3.00%, 02/15/41 | | | | | | | 165 | | | | 110,276 | |
4.50%, 04/15/50 | | | | | | | 65 | | | | 52,036 | |
3.30%, 02/15/51 | | | | | | | 265 | | | | 172,647 | |
Vodafone Group PLC | | | | | | | | | | | | |
4.38%, 02/19/43 | | | | | | | 177 | | | | 135,397 | |
5.25%, 05/30/48 | | | | | | | 235 | | | | 194,587 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,321,548 | |
| | | | | | | | | | | | |
| |
Total Corporate Bonds — 86.4%
(Cost: $360,118,001) | | | | 302,599,298 | |
| | | | | | | | | | | | |
|
Foreign Agency Obligations | |
|
Mexico — 0.3% | |
Petroleos Mexicanos | | | | | | | | | | | | |
6.88%, 08/04/26 | | | | | | | 445 | | | | 399,143 | |
7.69%, 01/23/50 | | | | | | | 1,025 | | | | 623,917 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,023,060 | |
|
Panama — 0.1% | |
Banco Nacional de Panama,
2.50%, 08/11/30(a) | | | | 560 | | | | 408,905 | |
| | | | | | | | | | | | |
| |
Total Foreign Agency Obligations — 0.4%
(Cost: $1,976,240) | | | | 1,431,965 | |
| | | | | | | | | | | | |
|
Foreign Government Obligations | |
|
Chile — 0.1% | |
Republic of Chile, 3.50%, 01/25/50 | | | | | | | 510 | | | | 344,027 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Indonesia — 0.3% | |
Republic of Indonesia | | | | | | | | | | | | |
4.13%, 01/15/25(a) | | | USD | | | | 350 | | | $ | 342,300 | |
3.50%, 01/11/28 | | | | | | | 725 | | | | 661,472 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,003,772 | |
|
Israel — 0.1% | |
State of Israel, 3.88%, 07/03/50 | | | | | | | 250 | | | | 200,906 | |
| | | | | | | | | | | | |
|
Italy — 0.3% | |
Republic of Italy, 0.88%, 05/06/24 | | | | | | | 1,332 | | | | 1,236,149 | |
| | | | | | | | | | | | |
|
Mexico — 0.9% | |
United Mexican States | | | | | | | | | | | | |
4.15%, 03/28/27 | | | | | | | 1,393 | | | | 1,331,011 | |
2.66%, 05/24/31 | | | | | | | 875 | | | | 671,125 | |
4.75%, 03/08/44 | | | | | | | 163 | | | | 124,777 | |
4.60%, 02/10/48 | | | | | | | 600 | | | | 436,987 | |
4.40%, 02/12/52 | | | | | | | 365 | | | | 251,485 | |
3.77%, 05/24/61 | | | | | | | 620 | | | | 366,498 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,181,883 | |
|
Panama — 0.1% | |
Republic of Panama | | | | | | | | | | | | |
3.16%, 01/23/30 | | | | | | | 400 | | | | 324,700 | |
4.50%, 04/01/56 | | | | | | | 200 | | | | 134,037 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 458,737 | |
|
Peru — 0.1% | |
Republic of Peru, 2.78%, 12/01/60 | | | | | | | 360 | | | | 192,893 | |
| | | | | | | | | | | | |
|
Poland — 0.0% | |
Republic of Poland, 3.25%, 04/06/26 | | | | | | | 190 | | | | 178,814 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations — 1.9%
(Cost: $8,219,905) | | | | 6,797,181 | |
| | | | | | | | | | | | |
|
Municipal Bonds | |
|
California — 1.2% | |
City of San Francisco Public Utilities Commission Water Revenue RB, Series A, 3.30%, 11/01/39 | | | | | | | 495 | | | | 387,929 | |
Los Angeles Community College District, GO, Refunding, 1.61%, 08/01/28 | | | | | | | 1,170 | | | | 999,548 | |
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45 | | | | | | | 1,075 | | | | 1,242,100 | |
State of California, GO, 7.63%, 03/01/40 | | | | | | | 950 | | | | 1,169,302 | |
University of California, RB,
3.35%, 07/01/29 | | | | | | | 550 | | | | 499,015 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,297,894 | |
|
Illinois — 0.3% | |
Chicago O’Hare International Airport RB, 6.40%, 01/01/40 | | | | | | | 1,000 | | | | 1,104,916 | |
| | | | | | | | | | | | |
|
New Jersey — 0.0% | |
New Jersey Transportation Trust Fund Authority RB, 4.13%, 06/15/42 | | | | | | | 165 | | | | 132,512 | |
| | | | | | | | | | | | |
|
New York — 0.8% | |
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39 | | | | | | | 1,125 | | | | 1,356,514 | |
New York State Dormitory Authority RB, Series F, 3.11%, 02/15/39 | | | | | | | 590 | | | | 455,108 | |
Port Authority of New York & New Jersey, RB, 4.46%, 10/01/62 | | | | | | | 940 | | | | 812,249 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,623,871 | |
| | |
| 58 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Texas — 0.1% | |
Texas Transportation Commission RB,
2.56%, 04/01/42 | | | USD | | | | 210 | | | $ | 149,150 | |
| | | | | | | | |
| |
Total Municipal Bonds — 2.4%
(Cost: $8,723,214) | | | | 8,308,343 | |
| | | | | | | | |
|
Preferred Securities | |
|
| Capital Trusts — 2.6% | |
|
Banks — 1.9% | |
Citigroup, Inc., 3.88%(d) | | | | | | | 1,300 | | | | 1,072,019 | |
HSBC Holdings PLC | | | | | | | | | | | | |
6.00%(d) | | | | | | | 520 | | | | 430,820 | |
6.38%(d) | | | | | | | 250 | | | | 225,237 | |
ING Groep NV, 3.88%(d) | | | | | | | 865 | | | | 562,120 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
Series FF, 5.00%(d) | | | | | | | 208 | | | | 187,564 | |
Series I, (3 mo. LIBOR US + 3.47%),
6.28%(c)(d) | | | | | | | 244 | | | | 243,996 | |
Series S, 6.75%(d) | | | | | | | 925 | | | | 916,607 | |
Lloyds Banking Group PLC, 7.50%(d) | | | | | | | 380 | | | | 346,750 | |
NatWest Group PLC, 6.00%(d) | | | | | | | 810 | | | | 706,725 | |
U.S. Bancorp | | | | | | | | | | | | |
3.70%(d) | | | | | | | 1,155 | | | | 871,852 | |
Series J, 5.30%(d) | | | | | | | 170 | | | | 143,200 | |
Wells Fargo & Co., Series U, 5.88%(d) | | | | | | | 1,125 | | | | 1,071,054 | |
| | | | | | | | |
| | | | | | | | | | | 6,777,944 | |
|
Capital Markets — 0.6% | |
Charles Schwab Corp. | | | | | | | | | | | | |
Series H, 4.00%(d) | | | | | | | 298 | | | | 218,906 | |
Series I, 4.00%(d) | | | | | | | 500 | | | | 410,103 | |
State Street Corp. | | | | | | | | | | | | |
Series F, (3 mo. LIBOR US + 3.60%),
6.89%(c)(d) | | | | | | | 95 | | | | 94,122 | |
Series H, 5.63%(d) | | | | | | | 735 | | | | 678,037 | |
UBS Group AG, 4.88%(a)(d) | | | | | | | 770 | | | | 599,638 | |
| | | | | | | | |
| | | | | | | | | | | 2,000,806 | |
|
Oil, Gas & Consumable Fuels — 0.1% | |
TransCanada Trust | | | | | | | | | | | | |
5.63% | | | | | | | 359 | | | | 331,490 | |
Series 16-A, 5.88% | | | | | | | 120 | | | | 111,687 | |
| | | | | | | | |
| | | | | | | | | | | 443,177 | |
| | | | | | | | |
| |
Total Preferred Securities — 2.6%
(Cost: $10,889,038) | | | | 9,221,927 | |
| | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
U.S. Treasury Obligations | |
U.S. Treasury Bonds | | | | | | | | | | | | |
1.13%, 08/15/40 | | | USD | | | | 5,435 | | | $ | 3,366,728 | |
2.25%, 05/15/41 - 02/15/52 | | | | | | | 1,250 | | | | 937,617 | |
1.75%, 08/15/41 | | | | | | | 2,025 | | | | 1,384,515 | |
2.00%, 02/15/50 | | | | | | | 77 | | | | 53,104 | |
1.38%, 08/15/50 | | | | | | | 392 | | | | 226,746 | |
1.63%, 11/15/50 | | | | | | | 1,361 | | | | 845,176 | |
2.38%, 05/15/51 | | | | | | | 800 | | | | 598,500 | |
2.88%, 05/15/52 | | | | | | | 2,350 | | | | 1,970,695 | |
3.00%, 08/15/52 | | | | | | | 575 | | | | 496,207 | |
U.S. Treasury Notes, 2.75%, 08/15/32 | | | | | | | 2,200 | | | | 2,011,625 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations — 3.4%
(Cost: $15,552,369) | | | | 11,890,913 | |
| | | | | | | | |
| |
Total Long-Term Investments — 97.1%
(Cost: $405,478,767) | | | | 340,249,627 | |
| | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Short-Term Securities(e) | |
|
| Money Market Funds — 2.2% | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.46% | | | | | | | 7,687,642 | | | | 7,687,642 | |
| | | | | | | | |
| |
Total Short-Term Securities — 2.2%
(Cost: $7,687,642) | | | | 7,687,642 | |
| | | | | | | | |
| |
Total Investments — 99.3%
(Cost: $413,166,409) | | | | 347,937,269 | |
| |
Other Assets Less Liabilities — 0.7% | | | | 2,279,592 | |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 350,216,861 | |
| | | | | | | | |
| (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-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
| (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) | Perpetual security with no stated maturity date. |
| (e) | 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.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 59 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 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) | | | 41 | | | | 12/20/22 | | | $ | 5,183 | | | $ | (178,220 | ) |
U.S. Treasury Notes (10 Year) | | | 108 | | | | 12/20/22 | | | | 12,103 | | | | (450,072 | ) |
U.S. Ultra Treasury Notes (10 Year) | | | 8 | | | | 12/20/22 | | | | 948 | | | | (3,382 | ) |
U.S. Treasury Notes (5 Year) | | | 157 | | | | 12/30/22 | | | | 16,879 | | | | (23,235 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (654,909 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Ultra Treasury Bonds | | | 6 | | | | 12/20/22 | | | | 822 | | | | 4,463 | |
U.S. Treasury Notes (2 Year) | | | 2 | | | | 12/30/22 | | | | 411 | | | | (296 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,167 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (650,742 | ) |
| | | | | | | | | | | | | | | | |
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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,463 | | | $ | — | | | $ | 4,463 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 655,205 | | | $ | — | | | $ | 655,205 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 September 30, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (2,884,176 | ) | | $ | — | | | $ | (2,884,176 | ) |
Swaps | | | — | | | | 122,697 | | | | — | | | | — | | | | — | | | | — | | | | 122,697 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 122,697 | | | $ | — | | | $ | — | | | $ | (2,884,176 | ) | | $ | — | | | $ | (2,761,479 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (307,748 | ) | | $ | — | | | $ | (307,748 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts | | | | |
Average notional value of contracts — long | | $ | 31,469,035 | |
Average notional value of contracts — short | | $ | 1,415,945 | |
Credit default swaps | | | | |
Average notional value — buy protection | | | $—(a) | |
| | (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.
| | |
| 60 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 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 | | $ | — | | | $ | 302,599,298 | | | $ | — | | | $ | 302,599,298 | |
Foreign Agency Obligations | | | — | | | | 1,431,965 | | | | — | | | | 1,431,965 | |
Foreign Government Obligations | | | — | | | | 6,797,181 | | | | — | | | | 6,797,181 | |
Municipal Bonds | | | — | | | | 8,308,343 | | | | — | | | | 8,308,343 | |
Preferred Securities | | | — | | | | 9,221,927 | | | | — | | | | 9,221,927 | |
U.S. Treasury Obligations | | | — | | | | 11,890,913 | | | | — | | | | 11,890,913 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 7,687,642 | | | | — | | | | — | | | | 7,687,642 | |
| | | | | | | | | | | | | | | | |
| | $ | 7,687,642 | | | $ | 340,249,627 | | | $ | — | | | $ | 347,937,269 | |
| | | | | | | | | | | | | | | | |
| Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | $ | 4,463 | | | $ | — | | | $ | — | | | $ | 4,463 | |
Liabilities | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | (655,205 | ) | | | — | | | | — | | | | (655,205 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (650,742 | ) | | $ | — | | | $ | — | | | $ | (650,742 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 61 |
| | |
Schedule of Investments (unaudited) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Municipal Bonds | | | | | | | | | | | | |
| | | |
Alabama — 2.1% | | | | | | | | | | | | |
Black Belt Energy Gas District, Refunding RB, Series D1, 4.00%, 07/01/52(a) | | | USD | | | | 645 | | | $ | 634,033 | |
County of Jefferson Sewer Revenue, Refunding RB, Series D, 6.50%, 10/01/53 | | | | | | | 1,000 | | | | 1,069,441 | |
Hoover IDB, RB, AMT, 6.38%, 11/01/50(a) | | | | | | | 1,295 | | | | 1,418,221 | |
Southeast Energy Authority Cooperative District, RB, Series B-1, 5.00%, 05/01/53(a) | | | | | | | 1,785 | | | | 1,786,277 | |
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35 | | | | | | | 1,000 | | | | 1,022,221 | |
Sumter County IDA, RB, AMT,
6.00%, 07/15/52(a) | | | | | | | 905 | | | | 824,053 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,754,246 | |
| | | |
| American Samoa — 0.1% | | | | | | | | | |
American Samoa EDA, RB, Series A,
5.00%, 09/01/38(b) | | | | | | | 265 | | | | 270,664 | |
| | | | | | | | | | | | |
| | | |
| Arizona — 2.7% | | | | | | | | | |
Arizona IDA | | | | | | | | | | | | |
RB, 5.00%, 07/01/45(b) | | | | | | | 265 | | | | 244,607 | |
RB, 5.00%, 12/15/49(b) | | | | | | | 105 | | | | 100,580 | |
RB, 7.10%, 01/01/55(b) | | | | | | | 920 | | | | 932,895 | |
RB, 5.00%, 07/01/55(b) | | | | | | | 285 | | | | 255,841 | |
RB, Series B, 5.13%, 07/01/47(b) | | | | | | | 195 | | | | 184,896 | |
Refunding RB, 5.50%, 07/01/52(b) | | | | | | | 610 | | | | 591,396 | |
Refunding RB, Series A, 5.00%, 07/01/26(b) | | | | | | | 225 | | | | 225,097 | |
Refunding RB, Series A, 5.13%, 07/01/37(b) | | | | | | | 605 | | | | 597,706 | |
Refunding RB, Series G, 5.00%, 07/01/47(b) | | | | | | | 185 | | | | 175,651 | |
City of Phoenix IDA | | | | | | | | | | | | |
RB, 5.00%, 07/01/46(b) | | | | | | | 570 | | | | 526,403 | |
RB, 5.00%, 07/01/59 | | | | | | | 880 | | | | 773,885 | |
Refunding RB, Series A, 5.00%, 07/01/35(b) | | | | | | | 45 | | | | 44,228 | |
County of Pima IDA | | | | | | | | | | | | |
RB, 5.13%, 07/01/39 | | | | | | | 145 | | | | 134,840 | |
RB, 5.25%, 07/01/49 | | | | | | | 180 | | | | 159,961 | |
Refunding RB, 4.00%, 06/15/51(b) | | | | | | | 810 | | | | 619,285 | |
Refunding RB, 5.00%, 07/01/56(b) | | | | | | | 295 | | | | 268,217 | |
Refunding RB, 4.00%, 06/15/57(b) | | | | | | | 625 | | | | 464,324 | |
La Paz County IDA, RB, 5.88%, 06/15/48(b) | | | | | | | 285 | | | | 254,513 | |
Maricopa County IDA | | | | | | | | | | | | |
RB, 5.25%, 10/01/40(b) | | | | | | | 280 | | | | 275,817 | |
RB, 5.50%, 10/01/51(b) | | | | | | | 280 | | | | 274,048 | |
RB, AMT, 4.00%, 10/15/47(b) | | | | | | | 1,270 | | | | 976,140 | |
Refunding RB, Series A, 4.13%, 09/01/38 | | | | | | | 230 | | | | 212,343 | |
Salt Verde Financial Corp., RB,
5.00%, 12/01/37 | | | | | | | 500 | | | | 493,293 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,785,966 | |
| | | |
| Arkansas — 1.9% | | | | | | | | | |
Arkansas Development Finance Authority | | | | | | | | | | | | |
RB, AMT, 4.50%, 09/01/49(b) | | | | | | | 2,845 | | | | 2,311,888 | |
RB, AMT, 4.75%, 09/01/49(b) | | | | | | | 3,150 | | | | 2,663,786 | |
RB, AMT, 5.45%, 09/01/52(b) | | | | | | | 990 | | | | 903,580 | |
Pulaski County Public Facilities Board, RB, 5.00%, 12/01/42 | | | | | | | 250 | | | | 250,137 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,129,391 | |
| | | |
| California — 5.7% | | | | | | | | | |
California Community Housing Agency | | | | | | | | | | | | |
RB, Series A, 5.00%, 04/01/49(b) | | | | | | | 165 | | | | 137,715 | |
RB, Series A-2, 4.00%, 08/01/47(b) | | | | | | | 1,055 | | | | 735,342 | |
California HFA | | | | | | | | | | | | |
RB, Series 2021-1, Class A, 3.50%, 11/20/35 | | | | | | | 964 | | | | 832,396 | |
RB, Series 2021-3, Class A, 3.25%, 08/20/36 | | | | | | | 968 | | | | 828,430 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| California (continued) | | | | | | | | | |
California Municipal Finance Authority RB, 5.63%, 07/01/44(b) | | | USD | | | | 150 | | | $ | 149,515 | |
Refunding RB, Series B, 5.00%, 01/01/37 | | | | | | | 630 | | | | 645,410 | |
California Public Finance Authority, RB, 6.25%, 07/01/54(b) | | | | | | | 1,100 | | | | 1,190,126 | |
California School Finance Authority | | | | | | | | | | | | |
RB, Series A, 6.75%, 11/01/45(b) | | | | | | | 250 | | | | 253,281 | |
Refunding RB, 5.00%, 07/01/51(b) | | | | | | | 300 | | | | 281,224 | |
California Statewide Communities Development Authority, Refunding RB, Series A, 5.25%, 11/01/44(b) | | | | | | | 250 | | | | 222,315 | |
California Statewide Financing Authority | | | | | | | | | | | | |
RB, 6.00%, 05/01/43 | | | | | | | 315 | | | | 315,073 | |
RB, 6.00%, 05/01/43 | | | | | | | 85 | | | | 85,020 | |
City of Irvine, Special Tax Bonds,
5.00%, 09/01/44 | | | | | | | 250 | | | | 250,570 | |
City of Los Angeles Department of Airports, RB, AMT, 5.25%, 05/15/47 | | | | | | | 1,500 | | | | 1,549,487 | |
City of Roseville, Special Tax Bonds,
5.00%, 09/01/44 | | | | | | | 500 | | | | 499,446 | |
CMFA Special Finance Agency, RB, Series A-1, 3.00%, 12/01/56(b) | | | | | | | 100 | | | | 62,037 | |
CMFA Special Finance Agency I, RB, Series A-2, 4.00%, 04/01/56(b) | | | | | | | 2,250 | | | | 1,718,302 | |
CMFA Special Finance Agency VIII, RB, Series A-1, 3.00%, 08/01/56(b) | | | | | | | 645 | | | | 415,356 | |
CSCDA Community Improvement Authority | | | | | | | | | | | | |
RB, 2.80%, 03/01/47(b) | | | | | | | 315 | | | | 222,941 | |
RB, 3.00%, 06/01/47(b) | | | | | | | 325 | | | | 231,741 | |
RB, 3.13%, 07/01/56(b) | | | | | | | 695 | | | | 431,249 | |
RB, 3.25%, 07/01/56(b) | | | | | | | 235 | | | | 141,947 | |
RB, 4.00%, 07/01/56(b) | | | | | | | 720 | | | | 507,111 | |
RB, 4.00%, 07/01/56(b) | | | | | | | 205 | | | | 146,851 | |
RB, 4.00%, 10/01/56(b) | | | | | | | 155 | | | | 118,442 | |
RB, 4.00%, 12/01/56(b) | | | | | | | 1,850 | | | | 1,201,308 | |
RB, 4.00%, 03/01/57(b) | | | | | | | 505 | | | | 327,501 | |
RB, 3.25%, 05/01/57(b) | | | | | | | 350 | | | | 230,213 | |
RB, 4.00%, 06/01/57(b) | | | | | | | 300 | | | | 204,794 | |
RB, 4.00%, 07/01/58(b) | | | | | | | 300 | | | | 188,247 | |
RB, 4.00%, 07/01/58(b) | | | | | | | 265 | | | | 174,283 | |
RB, 4.00%, 12/01/59(b) | | | | | | | 435 | | | | 279,073 | |
RB, 4.00%, 12/01/59(b) | | | | | | | 1,080 | | | | 703,457 | |
RB, Series A, 3.00%, 09/01/56(b) | | | | | | | 1,090 | | | | 677,764 | |
Golden State Tobacco Securitization Corp., Refunding RB, Series B-2, 0.00%, 06/01/66(c) | | | | | | | 10,815 | | | | 940,696 | |
Hastings Campus Housing Finance Authority, RB, Series A, 0.00%, 07/01/61(b)(c) | | | | | | | 1,045 | | | | 380,916 | |
Riverside County Transportation Commission | | | | | | | | | | | | |
Refunding RB, 4.00%, 06/01/47 | | | | | | | 265 | | | | 219,967 | |
Refunding RB, 3.00%, 06/01/49 | | | | | | | 180 | | | | 116,990 | |
San Diego County Regional Airport Authority, RB, AMT, Series B, 4.00%, 07/01/56 | | | | | | | 535 | | | | 433,718 | |
San Francisco City & County Redevelopment Agency Successor Agency, TA, 0.00%, 08/01/31(b)(c) | | | | | | | 580 | | | | 380,345 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,430,599 | |
| | | |
| Colorado — 4.2% | | | | | | | | | |
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47 | | | | | | | 1,000 | | | | 869,910 | |
Arista Metropolitan District, GO, Refunding, 5.00%, 12/01/38 | | | | | | | 500 | | | | 457,837 | |
Aurora Crossroads Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/50 | | | | | | | 500 | | | | 421,803 | |
Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48 | | | | | | | 500 | | | | 410,354 | |
| | |
| 62 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 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 | | | $ | 375,335 | |
Broadway Station Metropolitan District No. 2, GO, Series A, 5.13%, 12/01/48 | | | | | | | 550 | | | | 454,856 | |
Centerra Metropolitan District No. 1, TA,
5.00%, 12/01/47(b) | | | | | | | 155 | | | | 129,438 | |
City & County of Denver Airport System Revenue | | | | | | | | | | | | |
Refunding RB, AMT, Series A,
4.13%, 11/15/53 | | | | | | | 455 | | | | 386,609 | |
Refunding RB, AMT, Series A,
5.50%, 11/15/53 | | | | | | | 485 | | | | 504,600 | |
Colorado Educational & Cultural Facilities Authority, Refunding RB, 5.00%, 12/15/45(b) | | | | | | | 500 | | | | 474,973 | |
Colorado Health Facilities Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 05/15/35 | | | | | | | 250 | | | | 225,002 | |
RB, Series A, 5.00%, 05/15/44 | | | | | | | 270 | | | | 223,415 | |
RB, Series A, 5.00%, 05/15/49 | | | | | | | 180 | | | | 141,861 | |
RB, Series A, 5.00%, 05/15/58 | | | | | | | 380 | | | | 283,294 | |
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40 | | | | | | | 950 | | | | 952,771 | |
DIATC Metropolitan District, GO,
3.25%, 12/01/29(b) | | | | | | | 590 | | | | 506,252 | |
First Creek Village Metropolitan District | | | | | | | | | | | | |
GO, Series A, 5.00%, 12/01/39 | | | | | | | 600 | | | | 534,360 | |
GO, Series A, 5.00%, 08/01/49 | | | | | | | 540 | | | | 459,044 | |
Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51 | | | | | | | 575 | | | | 423,419 | |
Lanterns Metropolitan District No. 2, GO,
Series A, 4.50%, 12/01/50 | | | | | | | 500 | | | | 356,159 | |
Loretto Heights Community Authority, RB, 4.88%, 12/01/51 | | | | | | | 570 | | | | 431,062 | |
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48 | | | | | | | 500 | | | | 441,823 | |
Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49 | | | | | | | 675 | | | | 587,350 | |
Pueblo Urban Renewal Authority, TA,
4.75%, 12/01/45(b) | | | | | | | 930 | | | | 819,014 | |
Southlands Metropolitan District No. 1 | | | | | | | | | | | | |
GO, Refunding, Series A-1, 5.00%, 12/01/37 | | | | | | | 250 | | | | 226,803 | |
GO, Refunding, Series A-1, 5.00%, 12/01/47 | | | | | | | 180 | | | | 154,367 | |
Thompson Crossing Metropolitan District No. 4, GO, Refunding, 5.00%, 12/01/49 | | | | | | | 645 | | | | 547,204 | |
Village at Dry Creek Metropolitan District No. 2, GO, 4.38%, 12/01/44 | | | | | | | 885 | | | | 698,907 | |
Waters’ Edge Metropolitan District No. 2, GO, 5.00%, 12/01/51 | | | | | | | 560 | | | | 438,690 | |
Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48 | | | | | | | 500 | | | | 433,956 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,370,468 | |
| | | |
| Connecticut — 0.5% | | | | | | | | | |
Connecticut State Health & Educational Facilities Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 01/01/45(b) | | | | | | | 190 | | | | 176,515 | |
RB, Series A, 5.00%, 01/01/55(b) | | | | | | | 255 | | | | 228,710 | |
Mohegan Tribal Finance Authority, RB,
7.00%, 02/01/45(b) | | | | | | | 775 | | | | 780,526 | |
Mohegan Tribe of Indians of Connecticut | | | | | | | | | | | | |
RB, Series A, 6.75%, 02/01/45(b) | | | | | | | 97 | | | | 98,242 | |
Refunding RB, Series C-1, 6.25%, 02/01/30(b) | | | | | | | 330 | | | | 338,275 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,622,268 | |
| | | |
| Delaware — 0.2% | | | | | | | | | |
Affordable Housing Opportunities Trust, RB, Series AH- 01, Class B, 6.88%, 05/01/39(b)(d) | | | | | | | 670 | | | | 630,041 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| District of Columbia — 1.6% | | | | | | | | | |
District of Columbia Tobacco Settlement Financing Corp. | | | | | | | | | | | | |
RB, 0.00%, 06/15/46(c) | | | USD | | | | 8,970 | | | $ | 1,809,485 | |
RB, 0.00%, 06/15/46(c) | | | | | | | 10,325 | | | | 1,857,650 | |
RB, 0.00%, 06/15/55(c) | | | | | | | 19,300 | | | | 1,556,537 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,223,672 | |
| | | |
| Florida — 7.8% | | | | | | | | | |
Brevard County Health Facilities Authority | | | | | | | | | | | | |
Refunding RB, 4.00%, 11/15/23(b) | | | | | | | 200 | | | | 198,289 | |
Refunding RB, 4.00%, 11/15/26(b) | | | | | | | 475 | | | | 456,677 | |
Refunding RB, 4.00%, 11/15/28(b) | | | | | | | 510 | | | | 479,023 | |
Refunding RB, 4.00%, 11/15/30(b) | | | | | | | 555 | | | | 509,932 | |
Refunding RB, 4.00%, 11/15/34(b) | | | | | | | 650 | | | | 572,515 | |
Refunding RB, 5.00%, 04/01/39 | | | | | | | 500 | | | | 512,185 | |
Refunding RB, 5.00%, 04/01/52 | | | | | | | 1,220 | | | | 1,200,741 | |
Buckhead Trails Community Development District, Special Assessment RB, Series 2022, 5.75%, 05/01/52 | | | | | | | 210 | | | | 191,106 | |
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31 | | | | | | | 480 | | | | 458,039 | |
Capital Trust Agency, Inc. | | | | | | | | | | | | |
RB, 5.00%, 06/01/41(b) | | | | | | | 100 | | | | 92,236 | |
RB, 5.00%, 06/15/49(b) | | | | | | | 100 | | | | 87,669 | |
RB, 5.75%, 06/01/54(b) | | | | | | | 420 | | | | 378,233 | |
RB, 5.00%, 06/01/56(b) | | | | | | | 160 | | | | 139,138 | |
RB, 4.88%, 06/15/56(b) | | | | | | | 1,335 | | | | 1,034,225 | |
RB, 0.00%, 07/01/61(b)(c) | | | | | | | 36,570 | | | | 1,691,557 | |
Celebration Pointe Community Development District No. 1, Special Assessment RB,
5.13%, 05/01/45 | | | | | | | 235 | | | | 216,970 | |
Charlotte County IDA | | | | | | | | | | | | |
RB, 5.00%, 10/01/34(b) | | | | | | | 105 | | | | 101,878 | |
RB, 5.00%, 10/01/49(b) | | | | | | | 510 | | | | 439,495 | |
County of Broward Airport System Revenue, RB, AMT, Series A, 4.00%, 10/01/49 | | | | | | | 610 | | | | 509,694 | |
County of Osceola Transportation Revenue | | | | | | | | | | | | |
Refunding RB, Series A-2, 0.00%, 10/01/46(c) | | | | | | | 935 | | | | 231,735 | |
Refunding RB, Series A-2, 0.00%, 10/01/47(c) | | | | | | | 900 | | | | 209,901 | |
Refunding RB, Series A-2, 0.00%, 10/01/48(c) | | | | | | | 635 | | | | 139,143 | |
Refunding RB, Series A-2, 0.00%, 10/01/49(c) | | | | | | | 525 | | | | 108,392 | |
County of Palm Beach, RB, 5.00%, 04/01/51(b) | | | | | | | 110 | | | | 99,849 | |
Escambia County Health Facilities Authority, Refunding RB, 4.00%, 08/15/50 | | | | | | | 500 | | | | 395,819 | |
Florida Development Finance Corp. | | | | | | | | | | | | |
RB, 5.00%, 06/15/51(b) | | | | | | | 840 | | | | 713,023 | |
RB, 5.25%, 06/01/55(b) | | | | | | | 645 | | | | 554,751 | |
RB, 5.13%, 06/15/55(b) | | | | | | | 2,490 | | | | 1,997,333 | |
RB, 6.50%, 06/30/57(b) | | | | | | | 265 | | | | 252,576 | |
RB, Series A, 6.13%, 06/15/44(b) | | | | | | | 45 | | | | 45,202 | |
RB, Series C, 5.75%, 12/15/56(b) | | | | | | | 370 | | | | 304,849 | |
Refunding RB, 4.00%, 06/01/46(b) | | | | | | | 300 | | | | 219,634 | |
Refunding RB, Series A, 4.50%, 12/15/56(b) | | | | | | | 1,085 | | | | 802,467 | |
Grand Oaks Community Development District | | | | | | | | | | | | |
Special Assessment RB, 4.25%, 05/01/40 | | | | | | | 210 | | | | 180,616 | |
Special Assessment RB, 4.50%, 05/01/52 | | | | | | | 235 | | | | 196,181 | |
Greater Orlando Aviation Authority, Refunding RB, AMT, 5.00%, 11/15/36 | | | | | | | 250 | | | | 230,024 | |
Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33 | | | | | | | 370 | | | | 316,104 | |
Lakewood Ranch Stewardship District | | | | | | | | | | | | |
Special Assessment RB, 3.13%, 05/01/25 | | | | | | | 200 | | | | 195,185 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 63 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Florida (continued) | | | | | | | | | |
Lakewood Ranch Stewardship District | | | | | | | | | | | | |
Special Assessment RB, 3.25%, 05/01/29 | | | USD | | | | 225 | | | $ | 206,307 | |
Special Assessment RB, 4.75%, 05/01/29 | | | | | | | 180 | | | | 176,015 | |
Special Assessment RB, 4.95%, 05/01/29(b) | | | | | | | 135 | | | | 133,118 | |
Special Assessment RB, 4.88%, 05/01/35 | | | | | | | 150 | | | | 140,601 | |
Special Assessment RB, 4.40%, 05/01/39 | | | | | | | 525 | | | | 455,678 | |
Special Assessment RB, 5.30%, 05/01/39 | | | | | | | 205 | | | | 197,636 | |
Special Assessment RB, 5.50%, 05/01/39(b) | | | | | | | 135 | | | | 133,034 | |
Special Assessment RB, 5.13%, 05/01/46 | | | | | | | 100 | | | | 88,084 | |
Special Assessment RB, 5.45%, 05/01/48 | | | | | | | 365 | | | | 350,415 | |
Special Assessment RB, 5.65%, 05/01/48(b) | | | | | | | 210 | | | | 207,199 | |
Special Assessment RB, 4.00%, 05/01/49(b) | | | | | | | 200 | | | | 152,555 | |
Special Assessment RB, 3.90%, 05/01/50 | | | | | | | 240 | | | | 184,619 | |
Miami Beach Health Facilities Authority, RB, 3.00%, 11/15/51 | | | | | | | 195 | | | | 117,236 | |
Orange County Health Facilities Authority, RB, 5.00%, 08/01/35 | | | | | | | 250 | | | | 252,143 | |
Osceola Chain Lakes Community Development District, Special Assessment RB,
3.25%, 05/01/25 | | | | | | | 270 | | | | 262,996 | |
Palm Beach County Health Facilities Authority | | | | | | | | | | | | |
RB, 5.00%, 11/01/47 | | | | | | | 160 | | | | 150,421 | |
RB, 5.00%, 11/01/52 | | | | | | | 225 | | | | 207,369 | |
Parker Road Community Development District | | | | | | | | | | | | |
Special Assessment Refunding RB,
3.10%, 05/01/25 | | | | | | | 100 | | | | 97,164 | |
Special Assessment Refunding RB,
3.38%, 05/01/30 | | | | | | | 335 | | | | 302,891 | |
Pinellas County IDA, RB, 5.00%, 07/01/39 | | | | | | | 250 | | | | 235,420 | |
Portico Community Development District | | | | | | | | | | | | |
Special Assessment RB, Series 2,
3.25%, 05/01/31 | | | | | | | 100 | | | | 86,748 | |
Special Assessment RB, Series 2,
4.00%, 05/01/50 | | | | | | | 425 | | | | 322,507 | |
Preserve at South Branch Community Development District | | | | | | | | | | | | |
Special Assessment RB, 3.25%, 11/01/24 | | | | | | | 75 | | | | 73,976 | |
Special Assessment RB, 3.50%, 11/01/30 | | | | | | | 200 | | | | 182,549 | |
Sandridge Community Development District | | | | | | | | | | | | |
Special Assessment RB, Series A1,
3.88%, 05/01/41 | | | | | | | 135 | | | | 105,244 | |
Special Assessment RB, Series A1,
4.00%, 05/01/51 | | | | | | | 130 | | | | 92,119 | |
Sawyers Landing Community Development District, Special Assessment RB,
4.25%, 05/01/53 | | | | | | | 815 | | | | 597,102 | |
Seminole County IDA, Refunding RB,
5.75%, 11/15/54 . | | | | | | | 595 | | | | 499,229 | |
Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34 | | | | | | | 365 | | | | 304,652 | |
Tolomato Community Development District, Special Assessment Refunding RB,
Sub-Series A-2, 4.25%, 05/01/37 | | | | | | | 185 | | | | 160,239 | |
Trout Creek Community Development District | | | | | | | | | | | | |
Special Assessment RB, 4.50%, 05/01/23 | | | | | | | 55 | | | | 54,876 | |
Special Assessment RB, 5.00%, 05/01/28 | | | | | | | 240 | | | | 237,254 | |
Special Assessment RB, 5.63%, 05/01/45 | | | | | | | 200 | | | | 192,857 | |
West Villages Improvement District | | | | | | | | | | | | |
Special Assessment RB, 4.25%, 05/01/29 | | | | | | | 100 | | | | 95,159 | |
Special Assessment RB, 4.75%, 05/01/39 | | | | | | | 190 | | | | 169,238 | |
Special Assessment RB, 5.00%, 05/01/50 | | | | | | | 290 | | | | 245,309 | |
Westside Community Development District, Special Assessment Refunding RB,
3.75%, 05/01/29(b) | | | | | | | 805 | | | | 754,482 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Florida (continued) | | | | | | | | | | | | |
Windward at Lakewood Ranch Community Development District | | | | | | | | | | | | |
Special Assessment RB, 4.00%, 05/01/42 | | | USD | | | | 140 | | | $ | 112,215 | |
Special Assessment RB, 4.25%, 05/01/52 | | | | | | | 170 | | | | 133,886 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,932,928 | |
|
Georgia — 1.2% | |
East Point Business & IDA, RB, Series A, 5.25%, 06/15/62(b) | | | | | | | 150 | | | | 141,051 | |
Georgia Ports Authority, RB, 4.00%, 07/01/47 | | | | | | | 500 | | | | 440,517 | |
Main Street Natural Gas, Inc. | | | | | | | | | | | | |
RB, Series A, 5.00%, 05/15/49 | | | | | | | 950 | | | | 909,688 | |
RB, Series B, 5.00%, 12/01/52(a) | | | | | | | 1,190 | | | | 1,205,457 | |
Municipal Electric Authority of Georgia | | | | | | | | | | | | |
RB, 5.00%, 07/01/52 | | | | | | | 645 | | | | 618,036 | |
Refunding RB, Sub-Series A, 4.00%, 01/01/49 | | | | | | | 845 | | | | 697,200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,011,949 | |
| | | |
Idaho — 0.3% | | | | | | | | | | | | |
Idaho Health Facilities Authority
RB, 4.00%, 12/01/43 | | | | 330 | | | | 288,277 | |
Refunding RB, 3.00%, 03/01/51 | | | | | | | 1,045 | | | | 698,501 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 986,778 | |
| | | |
Illinois — 5.0% | | | | | | | | | | | | |
Chicago Board of Education | | | | | | | | | | | | |
GO, Series D, 5.00%, 12/01/46 | | | | | | | 190 | | | | 177,838 | |
GO, Series D, 5.00%, 12/01/46 | | | | | | | 485 | | | | 453,903 | |
GO, Series H, 5.00%, 12/01/46 | | | | | | | 625 | | | | 584,664 | |
GO, Refunding, Series A, 0.00%, 12/01/25(c) | | | | | | | 135 | | | | 117,756 | |
GO, Refunding, Series A, 5.00%, 12/01/30 | | | | | | | 505 | | | | 509,942 | |
GO, Refunding, Series B, 4.00%, 12/01/35 | | | | | | | 230 | | | | 204,956 | |
GO, Refunding, Series B, 4.00%, 12/01/41 | | | | | | | 930 | | | | 773,329 | |
GO, Refunding, Series C, 5.00%, 12/01/34 | | | | | | | 625 | | | | 620,199 | |
GO, Refunding, Series D, 5.00%, 12/01/25 | | | | | | | 290 | | | | 292,856 | |
Chicago O’Hare International Airport | | | | | | | | | | | | |
RB, AMT, 5.50%, 01/01/55(e) | | | | | | | 930 | | | | 952,774 | |
Refunding RB, Series D, 5.00%, 01/01/39 | | | | | | | 260 | | | | 260,972 | |
Refunding RB, Series D, 5.00%, 01/01/46 | | | | | | | 1,000 | | | | 1,005,192 | |
Chicago Transit Authority Sales Tax Receipts Fund, Refunding RB, Series A,
4.00%, 12/01/49 | | | | | | | 810 | | | | 669,947 | |
City of Chicago Wastewater Transmission Revenue, Refunding RB, Series C,
5.00%, 01/01/39 | | | | | | | 500 | | | | 504,966 | |
Cook County Community College District No. 508, GO, 5.25%, 12/01/30 | | | | | | | 920 | | | | 932,363 | |
Illinois Finance Authority | | | | | | | | | | | | |
Refunding RB, 6.13%, 02/01/45 | | | | | | | 150 | | | | 150,867 | |
Refunding RB, 5.00%, 02/15/47 | | | | | | | 900 | | | | 770,850 | |
Refunding RB, Series C, 5.00%, 02/15/41 | | | | | | | 650 | | | | 652,118 | |
Metropolitan Pier & Exposition Authority | | | | | | | | | | | | |
RB, 5.50%, 06/15/53 | | | | | | | 390 | | | | 374,424 | |
RB, 5.00%, 06/15/57 | | | | | | | 660 | | | | 581,420 | |
Refunding RB, 4.00%, 06/15/50 | | | | | | | 600 | | | | 460,511 | |
Refunding RB, 4.00%, 06/15/52 | | | | | | | 1,295 | | | | 976,894 | |
State of Illinois | | | | | | | | | | | | |
GO, 5.00%, 01/01/28 | | | | | | | 1,005 | | | | 1,024,592 | |
GO, 5.00%, 04/01/31 | | | | | | | 1,000 | | | | 1,004,382 | |
GO, 5.50%, 07/01/33 | | | | | | | 365 | | | | 367,347 | |
GO, 5.00%, 02/01/39 | | | | | | | 1,000 | | | | 969,357 | |
GO, 5.00%, 05/01/39 | | | | | | | 275 | | | | 266,268 | |
GO, Series D, 5.00%, 11/01/28 | | | | | | | 295 | | | | 301,224 | |
GO, Refunding, Series B, 5.00%, 10/01/27 | | | | | | | 105 | | | | 107,559 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,069,470 | |
| | |
| 64 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Indiana — 0.3% | | | | | | | | | | | | |
City of Vincennes, Refunding RB,
6.25%, 01/01/29(b) | | | USD | | | | 325 | | | $ | 325,073 | |
Indiana Finance Authority, RB, AMT,
6.75%, 05/01/39 | | | | | | | 640 | | | | 711,583 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,036,656 | |
| | | |
Iowa — 1.0% | | | | | | | | | | | | |
Iowa Finance Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 05/15/48 | | | | | | | 940 | | | | 809,277 | |
Refunding RB, Series E, 4.00%, 08/15/46 | | | | | | | 570 | | | | 478,241 | |
Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44 | | | | | | | 2,000 | | | | 1,489,648 | |
Iowa Tobacco Settlement Authority, Refunding RB, Series B-2, 0.00%, 06/01/65(c) | | | | | | | 4,880 | | | | 460,736 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,237,902 | |
| | | |
Kansas — 0.1% | | | | | | | | | | | | |
City of Manhattan, RB, Series A,
4.00%, 06/01/52 | | | | | | | 270 | | | | 197,139 | |
| | | | | | | | | | | | |
| | | |
Kentucky — 0.1% | | | | | | | | | | | | |
City of Henderson, RB, AMT, 4.70%, 01/01/52(b) | | | | | | | 365 | | | | 312,773 | |
| | | | | | | | | | | | |
| | | |
Louisiana — 1.0% | | | | | | | | | | | | |
Juban Crossing Economic Development District, Refunding RB, 7.00%, 09/15/44(b) | | | | | | | 375 | | | | 305,787 | |
Louisiana Local Government Environmental Facilities & Community Development Authority, RB, 5.00%, 07/01/54(b | | | | | | | 400 | | | | 336,786 | |
Louisiana Public Facilities Authority | | | | | | | | | | | | |
RB, 5.00%, 06/01/41(b) | | | | | | | 310 | | | | 269,385 | |
RB, 5.25%, 06/01/51(b) | | | | | | | 455 | | | | 385,091 | |
RB, 5.25%, 06/01/60(b) | | | | | | | 840 | | | | 692,968 | |
RB, Series A, 6.50%, 06/01/62(b) | | | | | | | 150 | | | | 149,756 | |
Parish of St. James, RB, Series 2,
6.35%, 07/01/40(b) | | | | | | | 950 | | | | 1,002,604 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,142,377 | |
| | | |
Maine — 0.1% | | | | | | | | | | | | |
Finance Authority of Maine, RB, AMT,
8.00%, 12/01/51(b) | | | | | | | 570 | | | | 465,262 | |
| | | | | | | | | | | | |
| | | |
Maryland — 2.2% | | | | | | | | | | | | |
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds,
5.25%, 07/01/44 | | | | | | | 250 | | | | 235,544 | |
City of Baltimore | | | | | | | | | | | | |
RB, 4.88%, 06/01/42 | | | | | | | 170 | | | | 158,447 | |
Refunding RB, 4.00%, 09/01/27 | | | | | | | 100 | | | | 97,344 | |
Refunding TA, 3.20%, 06/01/30(b) | | | | | | | 200 | | | | 176,720 | |
Refunding TA, 3.25%, 06/01/31(b) | | | | | | | 225 | | | | 196,212 | |
Refunding TA, 3.30%, 06/01/32(b) | | | | | | | 500 | | | | 431,162 | |
Refunding TA, 3.35%, 06/01/33(b) | | | | | | | 540 | | | | 460,918 | |
Refunding TA, 3.40%, 06/01/34(b) | | | | | | | 570 | | | | 481,814 | |
Refunding TA, 3.45%, 06/01/35(b) | | | | | | | 610 | | | | 510,873 | |
County of Frederick, Refunding TA,
4.63%, 07/01/43(b) | | | | | | | 1,100 | | | | 1,000,208 | |
Maryland EDC | | | | | | | | | | | | |
RB, AMT, 5.25%, 06/30/47 | | | | | | | 570 | | | | 570,123 | |
Refunding RB, 5.00%, 07/01/39 | | | | | | | 100 | | | | 96,571 | |
Maryland Health & Higher Educational Facilities Authority | | | | | | | | | | | | |
RB, 7.00%, 03/01/55(b) | | | | | | | 1,940 | | | | 2,007,648 | |
Refunding RB, 5.00%, 07/01/40 | | | | | | | 500 | | | | 500,708 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,924,292 | |
| | | |
Massachusetts — 1.5% | | | | | | | | | | | | |
Massachusetts Development Finance Agency | | | | | | | | | | | | |
RB, 5.00%, 01/01/43 | | | | | | | 500 | | | | 501,306 | |
RB, 5.00%, 01/01/48 | | | | | | | 1,000 | | | | 985,230 | |
RB, 5.00%, 10/01/54 | | | | | | | 710 | | | | 577,431 | |
RB, Series A, 5.00%, 01/01/47 | | | | | | | 500 | | | | 494,403 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Massachusetts (continued) | | | | | | | | | |
Massachusetts Development Finance Agency | | | | | | | | | | | | |
RB, Series N, 5.00%, 07/01/44 | | | USD | | | | 500 | | | $ | 504,953 | |
Refunding RB, 4.00%, 07/01/45 | | | | | | | 120 | | | | 90,749 | |
Refunding RB, 4.00%, 07/01/50 | | | | | | | 225 | | | | 161,316 | |
Refunding RB, Series A, 4.00%, 07/01/44 | | | | | | | 1,250 | | | | 1,020,268 | |
Massachusetts HFA, Refunding RB, AMT,
Series A, 4.45%, 12/01/42 | | | | | | | 500 | | | | 451,785 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,787,441 | |
| | | |
Michigan — 0.6% | | | | | | | | | | | | |
City of Detroit | | | | | | | | | | | | |
GO, 5.00%, 04/01/34 | | | | | | | 90 | | | | 90,422 | |
GO, 5.00%, 04/01/35 | | | | | | | 90 | | | | 90,264 | |
GO, 5.00%, 04/01/36 | | | | | | | 65 | | | | 65,080 | |
GO, 5.00%, 04/01/37 | | | | | | | 100 | | | | 99,898 | |
GO, 5.00%, 04/01/38 | | | | | | | 45 | | | | 44,773 | |
Michigan Strategic Fund, RB, 5.00%, 11/15/42 | | | | | | | 210 | | | | 190,091 | |
Wayne County Airport Authority | | | | | | | | | | | | |
RB, Series B, 5.00%, 12/01/44 | | | | | | | 500 | | | | 505,456 | |
RB, Series D, 5.00%, 12/01/40 | | | | | | | 500 | | | | 503,880 | |
RB, AMT, 5.00%, 12/01/39 | | | | | | | 250 | | | | 250,638 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,840,502 | |
| | | |
Minnesota — 1.7% | | | | | | | | | | | | |
City of Deephaven, Refunding RB,
5.25%, 07/01/37 | | | | | | | 605 | | | | 574,122 | |
City of Forest Lake, Refunding RB,
5.00%, 07/01/56 | | | | | | | 2,140 | | | | 1,879,204 | |
City of Minneapolis | | | | | | | | | | | | |
RB, 5.00%, 07/01/40 | | | | | | | 435 | | | | 382,970 | |
RB, Series A, 5.75%, 07/01/55 | | | | | | | 850 | | | | 810,436 | |
Duluth EDA | | | | | | | | | | | | |
Refunding RB, 4.25%, 02/15/48 | | | | | | | 1,265 | | | | 1,076,715 | |
Refunding RB, 5.25%, 02/15/58 | | | | | | | 425 | | | | 427,680 | |
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB, Series A,
5.50%, 07/01/38(b) | | | | | | | 240 | | | | 229,735 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,380,862 | |
| | | |
Missouri — 1.0% | | | | | | | | | | | | |
City of St. Louis Missouri IDA | | | | | | | | | | | | |
Refunding RB, 4.38%, 11/15/35 | | | | | | | 215 | | | | 180,286 | |
Refunding RB, 4.75%, 11/15/47 | | | | | | | 240 | | | | 182,309 | |
Kansas City IDA | | | | | | | | | | | | |
RB, Series C, 7.50%, 11/15/46 | | | | | | | 64 | | | | 51,311 | |
RB, AMT, 5.00%, 03/01/54 | | | | | | | 1,275 | | | | 1,240,231 | |
Refunding RB, 2.00%, 11/15/46 | | | | | | | 52 | | | | 2,296 | |
Refunding RB, 5.00%, 11/15/46 | | | | | | | 116 | | | | 91,092 | |
Kansas City Land Clearance Redevelopment Authority | | | | | | | | | | | | |
TA, 4.38%, 02/01/31(b) | | | | | | | 720 | | | | 606,814 | |
TA, 5.00%, 02/01/40(b) | | | | | | | 260 | | | | 206,491 | |
Plaza at Noah’s Ark Community Improvement District, Refunding RB, 3.00%, 05/01/25 | | | | | | | 100 | | | | 95,598 | |
St. Louis County IDA, Refunding RB,
5.00%, 09/01/37 | | | | | | | 695 | | | | 640,053 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,296,481 | |
| | | |
Nebraska — 0.2% | | | | | | | | | | | | |
Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45 | | | | | | | 500 | | | | 497,665 | |
| | | | | | | | | | | | |
| | | |
Nevada — 1.6% | | | | | | | | | | | | |
City of Las Vegas Special Improvement District No. 815, Special Assessment RB,
5.00%, 12/01/49 | | | | | | | 190 | | | | 179,107 | |
Las Vegas Convention & Visitors Authority, RB, Series B, 4.00%, 07/01/49 | | | | | | | 5,000 | | | | 4,159,967 | |
Tahoe-Douglas Visitors Authority | | | | | | | | | | | | |
RB, 5.00%, 07/01/40 | | | | | | | 190 | | | | 187,123 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 65 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Nevada (continued) | | | | | | | | | | | | |
Tahoe-Douglas Visitors Authority | | | | | | | | | | | | |
RB, 5.00%, 07/01/45 | | | USD | | | | 240 | | | $ | 230,170 | |
RB, 5.00%, 07/01/51 | | | | | | | 255 | | | | 237,546 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,993,913 | |
| | | |
New Hampshire — 0.5% | | | | | | | | | | | | |
New Hampshire Business Finance Authority | | | | | | | | | | | | |
RB, Series A, 4.13%, 08/15/40 | | | | | | | 320 | | | | 259,903 | |
RB, Series A, 4.25%, 08/15/46 | | | | | | | 365 | | | | 285,104 | |
RB, Series A, 4.50%, 08/15/55 | | | | | | | 755 | | | | 588,453 | |
Refunding RB, 4.63%, 11/01/42(b) | | | | | | | 320 | | | | 272,352 | |
Refunding RB, Series A, 3.63%, 07/01/43(a)(b) | | | | 190 | | | | 150,395 | |
Refunding RB, AMT, 4.88%, 11/01/42(b) | | | | | | | 130 | | | | 111,797 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,668,004 | |
| | | |
New Jersey — 5.9% | | | | | | | | | | | | |
Casino Reinvestment Development Authority, Inc. | | | | | | | | | | | | |
Refunding RB, 5.25%, 11/01/39 | | | | | | | 250 | | | | 250,473 | |
Refunding RB, 5.25%, 11/01/44 | | | | | | | 560 | | | | 560,814 | |
New Jersey EDA | | | | | | | | | | | | |
RB, 5.00%, 07/01/32 | | | | | | | 200 | | | | 194,904 | |
RB, 5.25%, 11/01/54(b) | | | | | | | 945 | | | | 805,574 | |
RB, Series WW, 5.25%, 06/15/40 | | | | | | | 55 | | | | 57,812 | |
RB, Series WW, 5.25%, 06/15/40 | | | | | | | 945 | | | | 951,799 | |
RB, AMT, 6.50%, 04/01/31 | | | | | | | 85 | | | | 86,995 | |
RB, AMT, 5.38%, 01/01/43 | | | | | | | 500 | | | | 494,867 | |
Refunding RB, Series A, 6.00%, 08/01/49(b) | | | | | | | 250 | | | | 248,225 | |
Refunding RB, (AGM), 5.00%, 06/01/37 | | | | | | | 200 | | | | 197,586 | |
New Jersey Health Care Facilities Financing Authority | | | | | | | | | |
RB, 4.00%, 07/01/47 | | | | | | | 540 | | | | 462,808 | |
RB, 3.00%, 07/01/51 | | | | | | | 1,865 | | | | 1,292,644 | |
Refunding RB, 4.25%, 07/01/44 | | | | | | | 395 | | | | 369,181 | |
Refunding RB, 5.00%, 07/01/44 | | | | | | | 220 | | | | 221,925 | |
New Jersey Higher Education Student Assistance Authority | | | | | | | | | | | | |
RB, AMT, Series B, 2.50%, 12/01/40 | | | | | | | 790 | | | | 571,728 | |
Refunding RB, AMT, Series C,
4.25%, 12/01/50 | | | | | | | 1,540 | | | | 1,264,725 | |
Refunding RB, AMT, Sub-Series C,
3.63%, 12/01/49 | | | | 820 | | | | 639,987 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | | | | | |
RB, 5.25%, 06/15/43 | | | | | | | 1,615 | | | | 1,630,430 | |
RB, Series AA, 5.25%, 06/15/41 | | | | | | | 205 | | | | 206,296 | |
RB, Series AA, 5.00%, 06/15/44 | | | | | | | 30 | | | | 29,766 | |
RB, Series AA, 4.00%, 06/15/45 | | | | | | | 3,710 | | | | 3,092,194 | |
RB, Series AA, 5.00%, 06/15/46 | | | | | | | 450 | | | | 445,575 | |
New Jersey Turnpike Authority, RB,
Series A, 4.00%, 01/01/48 | | | | | | | 2,000 | | | | 1,820,043 | |
Tobacco Settlement Financing Corp. | | | | | | | | | | | | |
Refunding RB, Series A, 5.00%, 06/01/35 | | | | | | | 375 | | | | 384,120 | |
Refunding RB, Series A, 5.25%, 06/01/46 | | | | | | | 1,100 | | | | 1,079,343 | |
Refunding RB, Sub-Series B,
5.00%, 06/01/46 | | | | | | | 1,795 | | | | 1,650,593 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,010,407 | |
| | | |
New Mexico — 0.1% | | | | | | | | | | | | |
New Mexico Hospital Equipment Loan Council, Refunding RB, 5.50%, 07/01/42 | | | | | | | 325 | | | | 325,169 | |
| | | | | | | | | | | | |
| | | |
New York — 8.0% | | | | | | | | | | | | |
Build NYC Resource Corp., Refunding RB, AMT, 5.00%, 01/01/35(b) | | | | | | | 285 | | | | 290,387 | |
Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 5.00%, 06/01/48 | | | | | | | 1,000 | | | | 919,864 | |
City of New York, GO, Series A-1,
4.00%, 09/01/46 | | | | | | | 530 | | | | 459,739 | |
County of Cattaraugus, RB, 5.00%, 05/01/44 | | | | | | | 195 | | | | 195,853 | |
Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44 | | | | | | | 500 | | | | 484,336 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
New York (continued) | | | | | | | | | | | | |
Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56 | | | USD | | | | 125 | | | $ | 102,398 | |
Metropolitan Transportation Authority | | | | | | | | | | | | |
RB, Series B, 3.00%, 11/15/25 | | | | | | | 165 | | | | 159,226 | |
RB, Series C-1, 4.75%, 11/15/45 | | | | | | | 1,285 | | | | 1,220,677 | |
RB, Series C-1, 5.25%, 11/15/55 | | | | | | | 1,950 | | | | 1,889,934 | |
New York City Housing Development Corp., RB, Series C-1, 4.20%, 11/01/44 | | | | | | | 1,000 | | | | 895,507 | |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | | | | | |
RB, Series F-1, 4.00%, 02/01/51 | | | | | | | 630 | | | | 534,632 | |
RB, Series F-1, 5.00%, 02/01/51 | | | | | | | 900 | | | | 926,951 | |
New York Counties Tobacco Trust IV, Refunding RB, Series A, 5.00%, 06/01/42 | | | | | | | 915 | | | | 797,741 | |
New York Counties Tobacco Trust VI, Refunding RB, 5.00%, 06/01/45 | | | | | | | 835 | | | | 725,393 | |
New York Liberty Development Corp. | | | | | | | | | | | | |
Refunding RB, 5.38%, 11/15/40(b) | | | | | | | 150 | | | | 145,746 | |
Refunding RB, 5.00%, 11/15/44(b) | | | | | | | 3,000 | | | | 2,681,412 | |
Refunding RB, 2.88%, 11/15/46 | | | | | | | 1,990 | | | | 1,324,055 | |
Refunding RB, 3.00%, 11/15/51 | | | | | | | 455 | | | | 292,309 | |
New York State Dormitory Authority | | | | | | | | | | | | |
Refunding RB, 5.00%, 12/01/35(b) | | | | | | | 215 | | | | 202,866 | |
Refunding RB, Series A, 4.00%, 03/15/49 | | | | | | | 3,290 | | | | 2,872,874 | |
New York State Thruway Authority, Refunding RB, Series B, 4.00%, 01/01/45 | | | | | | | 1,190 | | | | 1,048,524 | |
New York Transportation Development Corp. | | | | | | | | | | | | |
RB, AMT, 5.00%, 07/01/34 | | | | | | | 500 | | | | 500,206 | |
RB, AMT, 5.00%, 10/01/35 | | | | | | | 710 | | | | 679,894 | |
RB, AMT, 5.00%, 12/01/39 | | | | | | | 830 | | | | 799,252 | |
RB, AMT, 5.00%, 10/01/40 | | | | | | | 210 | | | | 196,080 | |
RB, AMT, 5.00%, 07/01/41 | | | | | | | 1,470 | | | | 1,427,465 | |
RB, AMT, 4.00%, 04/30/53 | | | | | | | 640 | | | | 487,513 | |
Refunding RB, AMT, 5.38%, 08/01/36 | | | | | | | 865 | | | | 854,104 | |
Tompkins County Development Corp., Refunding RB, 5.00%, 07/01/44 | | | | | | | 385 | | | | 362,776 | |
Westchester County Healthcare Corp., RB, Series A, 5.00%, 11/01/44 | | | | | | | 314 | | | | 306,198 | |
Westchester County Local Development Corp. | | | | | | | | | | | | |
Refunding RB, 5.00%, 07/01/41(b) | | | | | | | 510 | | | | 422,978 | |
Refunding RB, 5.00%, 07/01/46(b) | | | | | | | 615 | | | | 490,375 | |
Westchester Tobacco Asset Securitization Corp. | | | | | | | | | | | | |
Refunding RB, Sub-Series C,
4.00%, 06/01/42 | | | | | | | 740 | | | | 707,698 | |
Refunding RB, Sub-Series C,
5.13%, 06/01/51 | | | | | | | 500 | | | | 466,855 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,871,818 | |
| | | |
North Carolina — 0.1% | | | | | | | | | | | | |
North Carolina Medical Care Commission, Refunding RB, 5.25%, 01/01/41 | | | | | | | 250 | | | | 214,039 | |
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40(b) | | | | | | | 250 | | | | 247,107 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 461,146 | |
| | | |
North Dakota — 0.3% | | | | | | | | | | | | |
County of Cass, Refunding RB, 5.25%, 02/15/58 | | | | | | | 855 | | | | 860,575 | |
| | | | | | | | | | | | |
| | | |
| Ohio — 2.1% | | | | | | | | | |
Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, 5.00%, 06/01/55 | | | | | | | 2,545 | | | | 2,133,439 | |
Cleveland-Cuyahoga County Port Authority | | | | | | | | | | | | |
Refunding TA, 4.00%, 12/01/55(b) | | | | | | | 185 | | | | 135,807 | |
Refunding TA, 4.50%, 12/01/55(b) | | | | | | | 155 | | | | 114,468 | |
County of Hamilton | | | | | | | | | | | | |
Refunding RB, 5.00%, 01/01/46 | | | | | | | 190 | | | | 170,443 | |
| | |
| 66 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Ohio (continued) | | | | | | | | | | | | |
County of Hamilton | | | | | | | | | | | | |
Refunding RB, 4.00%, 08/15/50 | | | USD | | | | 915 | | | $ | 742,365 | |
County of Hardin | | | | | | | | | | | | |
Refunding RB, 5.00%, 05/01/30 | | | | | | | 140 | | | | 132,128 | |
Refunding RB, 5.25%, 05/01/40 | | | | | | | 145 | | | | 129,690 | |
Refunding RB, 5.50%, 05/01/50 | | | | | | | 670 | | | | 579,079 | |
Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40(b) | | | | | | | 450 | | | | 377,645 | |
Ohio Air Quality Development Authority, RB, AMT, 5.00%, 07/01/49(b) | | | | | | | 780 | | | | 690,916 | |
Port of Greater Cincinnati Development Authority, RB, | | | | | | | | | |
4.25%, 12/01/50(b) | | | | | | | 265 | | | | 200,400 | |
Southern Ohio Port Authority, RB, AMT,
Series A, 7.00%, 12/01/42(b) | | | | | | | 1,380 | | | | 1,139,210 | |
State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53 | | | | 370 | | | | 348,409 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,893,999 | |
| | | |
Oklahoma — 2.1% | | | | | | | | | | | | |
Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37 | | | | | | | 1,000 | | | | 988,529 | |
Oklahoma Development Finance Authority | | | | | | | | | | | | |
RB, 7.25%, 09/01/51(b) | | | | | | | 3,290 | | | | 3,137,823 | |
RB, Series B, 5.00%, 08/15/38 | | | | | | | 975 | | | | 857,413 | |
RB, Series B, 5.25%, 08/15/48 | | | | | | | 875 | | | | 740,281 | |
Tulsa Authority for Economic Opportunity, TA, 4.38%, 12/01/41(b) | | | | | | | 235 | | | | 178,689 | |
Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45 | | | | | | | 965 | | | | 932,209 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,834,944 | |
| | | |
Oregon — 0.3% | | | | | | | | | | | | |
Clackamas County School District No. 12 North Clackamas, GO, (School Bond Guaranty), Series A, 0.00%, 06/15/38(c) | | | | | | | 275 | | | | 129,321 | |
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB,
5.50%, 10/01/49 | | | | | | | 150 | | | | 142,094 | |
Oregon State Facilities Authority | | | | | | | | | | | | |
RB, 5.25%, 06/15/55(b) | | | | | | | 305 | | | | 266,450 | |
RB, Series A, 4.13%, 06/01/52 | | | | | | | 350 | | | | 291,029 | |
Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36 | | | | | | | 300 | | | | 264,116 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,093,010 | |
| | | |
Pennsylvania — 2.5% | | | | | | | | | | | | |
Bucks County IDA | | | | | | | | | | | | |
RB, 4.00%, 07/01/46 | | | | | | | 100 | | | | 72,005 | |
RB, 4.00%, 07/01/51 | | | | | | | 100 | | | | 73,286 | |
Montgomery County Higher Education and Health Authority | | | | | | | | | | | | |
Refunding RB, 4.00%, 09/01/49 | | | | | | | 1,255 | | | | 1,010,301 | |
Refunding RB, 4.00%, 09/01/49 | | | | | | | 1,900 | | | | 1,529,228 | |
Pennsylvania Economic Development Financing Authority | | | | | | | | | | | | |
RB, AMT, Series P-3, 5.00%, 06/30/42 | | | | | | | 1,625 | | | | 1,575,870 | |
Refunding RB, AMT, 5.50%, 11/01/44 | | | | | | | 500 | | | | 484,469 | |
Pennsylvania Higher Education Assistance Agency, RB, AMT, Series B, 3.00%, 06/01/47 | | | | | | | 1,010 | | | | 672,127 | |
Pennsylvania Higher Educational Facilities Authority | | | | | | | | | | | | |
RB, 4.00%, 08/15/44 | | | | | | | 1,045 | | | | 912,451 | |
Refunding RB, 5.00%, 07/15/38 | | | | | | | 250 | | | | 252,365 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Pennsylvania (continued) | | | | | | | | | | | | |
Pennsylvania Turnpike Commission, RB,
Series B, 5.25%, 12/01/44 | | | USD | | | | 1,000 | | | $ | 1,008,396 | |
Philadelphia Authority for Industrial Development, Refunding RB, Series 2015, 5.00%, 04/01/45 | | | | | | | 500 | | | | 503,742 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,094,240 | |
| | | |
Puerto Rico — 10.0% | | | | | | | | | | | | |
Children’s Trust Fund, RB, Series A,
0.00%, 05/15/57(c) | | | | | | | 30,030 | | | | 1,709,420 | |
Commonwealth of Puerto Rico | | | | | | | | | | | | |
GO, Series A, 0.00%, 07/01/33(c) | | | | | | | 537 | | | | 285,756 | |
GO, Series A1, 5.63%, 07/01/29 | | | | | | | 1,049 | | | | 1,071,430 | |
GO, Series A1, 5.75%, 07/01/31 | | | | | | | 440 | | | | 448,407 | |
GO, Series A1, 4.00%, 07/01/33 | | | | | | | 418 | | | | 365,523 | |
GO, Series A1, 4.00%, 07/01/35 | | | | | | | 375 | | | | 321,234 | |
GO, Series A1, 4.00%, 07/01/37 | | | | | | | 322 | | | | 261,982 | |
GO, Series A1, 4.00%, 07/01/41 | | | | | | | 438 | | | | 342,628 | |
GO, Series A1, 4.00%, 07/01/46 | | | | | | | 455 | | | | 342,577 | |
GO, Sub-Series CW, 0.00%, 11/01/43(a) | | | | | | | 3,265 | | | | 1,608,766 | |
GO, Sub-Series CW/CONV,
0.00%, 11/01/51(a) | | | | | | | 140 | | | | 45,870 | |
GO, Sub-Series CW/PRIFA,
0.00%, 11/01/51(a) | | | | | | | 3,943 | | | | 1,446,112 | |
Puerto Rico Electric Power Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 07/01/29(f)(g) | | | | | | | 385 | | | | 287,467 | |
RB, Series A, 7.00%, 07/01/33(f)(g) | | | | | | | 1,795 | | | | 1,377,662 | |
RB, Series A, 6.75%, 07/01/36(f)(g) | | | | | | | 775 | | | | 594,813 | |
RB, Series A, 5.00%, 07/01/42(f)(g) | | | | | | | 470 | | | | 350,933 | |
RB, Series A, 7.00%, 07/01/43(f)(g) | | | | | | | 175 | | | | 134,313 | |
RB, Series A-1, 10.00%, 07/01/19(f)(g) | | | | | | | 42 | | | | 33,188 | |
RB, Series A-2, 10.00%, 07/01/19(f)(g) | | | | | | | 212 | | | | 192,338 | |
RB, Series A-3, 10.00%, 07/01/19(f)(g) | | | | | | | 177 | | | | 173,478 | |
RB, Series B-3, 10.00%, 07/01/19(f)(g) | | | | | | | 177 | | | | 173,478 | |
RB, Series C-1, 5.40%, 01/01/18(f)(g) | | | | | | | 486 | | | | 411,206 | |
RB, Series C-2, 5.40%, 07/01/18(f)(g) | | | | | | | 486 | | | | 411,273 | |
RB, Series C-3, 5.40%, 01/01/20(f)(g) | | | | | | | 49 | | | | 41,573 | |
RB, Series C-4, 5.40%, 07/01/20(f)(g) | | | | | | | 49 | | | | 36,755 | |
RB, Series CCC, 5.25%, 07/01/26(f)(g) | | | | | | | 125 | | | | 93,333 | |
RB, Series CCC, 5.00%, 07/01/27(f)(g) | | | | | | | 545 | | | | 406,933 | |
RB, Series CCC, 5.25%, 07/01/28(f)(g) | | | | | | | 70 | | | | 52,267 | |
RB, Series D-1, 7.50%, 01/01/20(f)(g) | | | | | | | 426 | | | | 380,377 | |
RB, Series D-2, 7.50%, 01/01/20(f)(g) | | | | | | | 840 | | | | 710,513 | |
RB, Series TT, 5.00%, 07/01/18(f)(g) | | | | | | | 160 | | | | 135,600 | |
RB, Series TT, 5.00%, 07/01/25(f)(g) | | | | | | | 45 | | | | 33,600 | |
RB, Series TT, 5.00%, 07/01/26(f)(g) | | | | | | | 190 | | | | 141,867 | |
RB, Series TT, 5.00%, 07/01/32(f)(g) | | | | | | | 395 | | | | 294,933 | |
RB, Series WW, 5.50%, 07/01/17(f)(g) | | | | | | | 110 | | | | 82,133 | |
RB, Series WW, 5.50%, 07/01/18(f)(g) | | | | | | | 95 | | | | 70,933 | |
RB, Series WW, 5.50%, 07/01/19(f)(g) | | | | | | | 70 | | | | 52,267 | |
RB, Series WW, 5.38%, 07/01/22(f)(g) | | | | | | | 940 | | | | 701,867 | |
RB, Series WW, 5.38%, 07/01/24(f)(g) | | | | | | | 65 | | | | 48,533 | |
RB, Series WW, 5.00%, 07/01/28(f)(g) | | | | | | | 165 | | | | 123,200 | |
RB, Series WW, 5.25%, 07/01/33(f)(g) | | | | | | | 75 | | | | 56,000 | |
RB, Series WW, 5.50%, 07/01/38(f)(g) | | | | | | | 220 | | | | 164,267 | |
RB, Series XX, 5.25%, 07/01/27(f)(g) | | | | | | | 50 | | | | 37,333 | |
RB, Series XX, 5.25%, 07/01/35(f)(g) | | | | | | | 30 | | | | 22,400 | |
RB, Series XX, 5.75%, 07/01/36(f)(g) | | | | | | | 600 | | | | 448,000 | |
RB, Series XX, 5.25%, 07/01/40(f)(g) | | | | | | | 2,320 | | | | 1,732,267 | |
Refunding RB, Series AAA,
5.25%, 07/01/22(f)(g) | | | | | | | 160 | | | | 119,467 | |
Refunding RB, Series AAA,
5.25%, 07/01/28(f)(g) | | | | | | | 265 | | | | 197,867 | |
Refunding RB, Series AAA,
5.25%, 07/01/29(f)(g) | | | | | | | 40 | | | | 29,867 | |
Refunding RB, Series DDD,
5.00%, 07/01/19(f)(g) | | | | | | | 895 | | | | 668,267 | |
Refunding RB, Series UU,
0.00%, 07/01/17(a)(f)(g) | | | | | | | 30 | | | | 22,500 | |
Refunding RB, Series UU,
0.00%, 07/01/18(a)(f)(g) | | | | | | | 30 | | | | 22,500 | |
Refunding RB, Series UU,
0.00%, 07/01/20(a)(f)(g) | | | | | | | 250 | | | | 187,500 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 67 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Puerto Rico (continued) | | | | | | | | | |
Puerto Rico Electric Power Authority | | | | | | | | | | | | |
Refunding RB, Series UU,
2.23%, 07/01/31(a)(f)(g) | | | USD | | | | 300 | | | $ | 225,000 | |
Refunding RB, Series ZZ,
5.00%, 07/01/17(f)(g) | | | | | | | 70 | | | | 52,267 | |
Refunding RB, Series ZZ,
5.25%, 07/01/19(f)(g) | | | | | | | 235 | | | | 199,163 | |
Refunding RB, Series ZZ,
5.25%, 07/01/23(f)(g) | | | | | | | 930 | | | | 694,400 | |
Refunding RB, Series ZZ,
5.25%, 07/01/24(f)(g) | | | | | | | 150 | | | | 112,000 | |
Refunding RB, Series ZZ,
5.00%, 07/01/28(f)(g) | | | | | | | 75 | | | | 56,000 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | | | | | | | | | | | | |
RB, Series A-1, 0.00%, 07/01/29(c) | | | | | | | 613 | | | | 443,221 | |
RB, Series A-1, 0.00%, 07/01/33(c) | | | | | | | 496 | | | | 289,045 | |
RB, Series A-1, 0.00%, 07/01/46(c) | | | | | | | 6,971 | | | | 1,578,195 | |
RB, Series A-1, 4.75%, 07/01/53 | | | | | | | 3,377 | | | | 2,870,799 | |
RB, Series A-1, 5.00%, 07/01/58 | | | | | | | 2,171 | | | | 1,926,661 | |
RB, Series A-2, 4.33%, 07/01/40 | | | | | | | 2,225 | | | | 1,920,627 | |
RB, Series A-2, 4.33%, 07/01/40 | | | | | | | 34 | | | | 29,667 | |
RB, Series A-2, 4.54%, 07/01/53 | | | | | | | 317 | | | | 262,009 | |
RB, Series A-2, 4.78%, 07/01/58 | | | | | | | 2,226 | | | | 1,872,372 | |
RB, Series B-1, 0.00%, 07/01/46(c) | | | | | | | 477 | | | | 107,944 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 32,144,143 | |
| | | |
| Rhode Island — 0.8% | | | | | | | | | |
Rhode Island Student Loan Authority, RB, AMT, Series A, 3.63%, 12/01/37 | | | | | | | 475 | | | | 426,396 | |
Tobacco Settlement Financing Corp. | | | | | | | | | | | | |
Refunding RB, Series A, 5.00%, 06/01/35 | | | | | | | 400 | | | | 403,255 | |
Refunding RB, Series A, 5.00%, 06/01/40 | | | | | | | 600 | | | | 602,686 | |
Refunding RB, Series B, 5.00%, 06/01/50 | | | | | | | 1,040 | | | | 1,040,552 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,472,889 | |
| | | |
| South Carolina — 1.0% | | | | | | | | | |
South Carolina Jobs EDA | | | | | | | | | | | | |
RB, 7.50%, 08/15/62(b) | | | | | | | 325 | | | | 304,407 | |
Refunding RB, 4.00%, 11/15/27 | | | | | | | 160 | | | | 148,927 | |
Refunding RB, 5.00%, 02/01/38 | | | | | | | 1,000 | | | | 1,016,022 | |
Refunding RB, 5.00%, 05/01/43 | | | | | | | 730 | | | | 728,441 | |
Refunding RB, 5.25%, 11/15/52 | | | | | | | 200 | | | | 176,545 | |
South Carolina Public Service Authority | | | | | | | | | | | | |
Refunding RB, Series A, 4.00%, 12/01/33 | | | | | | | 725 | | | | 677,962 | |
Refunding RB, Series B, 4.00%, 12/01/56 | | | | | | | 200 | | | | 157,931 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,210,235 | |
| | | |
| Tennessee — 1.4% | | | | | | | | | |
Chattanooga-Hamilton County Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44 | | | | | | | 250 | | | | 246,462 | |
Franklin Health & Educational Facilities Board, Refunding RB, 7.50%, 06/01/47(b)(f)(g) | | | | | | | 1,205 | | | | 362,033 | |
Knox County Health Educational & Housing Facility Board, Refunding RB, 5.00%, 04/01/36 | | | | | | | 690 | | | | 693,199 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board | | | | | | | | | | | | |
Refunding RB, 5.00%, 10/01/48 | | | | | | | 1,800 | | | | 1,691,139 | |
Refunding RB, 4.00%, 10/01/49 | | | | | | | 220 | | | | 168,225 | |
Refunding RB, 5.25%, 10/01/58 | | | | | | | 1,095 | | | | 1,058,980 | |
Metropolitan Government Nashville & Davidson County IDB, Special Assessment RB, 0.00%, 06/01/43(b)(c) | | | | | | | 685 | | | | 204,399 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,424,437 | |
| | | |
| Texas — 4.0% | | | | | | | | | |
Angelina & Neches River Authority, RB, AMT, 7.50%, 12/01/45(b) | | | | | | | 510 | | | | 378,003 | |
Arlington Higher Education Finance Corp. | | | | | | | | | | | | |
RB, 5.00%, 08/15/41 | | | | | | | 225 | | | | 206,440 | |
RB, 5.00%, 06/15/51 | | | | | | | 490 | | | | 427,304 | |
RB, 5.63%, 08/15/54(b) | | | | | | | 1,305 | | | | 1,187,753 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Texas (continued) | | | | | | | | | |
Brazoria County IDC, RB, AMT,
7.00%, 03/01/39 | | | USD | | | | 390 | | | $ | 356,585 | |
Central Texas Turnpike System | | | | | | | | | | | | |
Refunding RB, Series C, 5.00%, 08/15/37 | | | | | | | 200 | | | | 200,512 | |
Refunding RB, Series C, 5.00%, 08/15/42 | | | | | | | 250 | | | | 250,606 | |
City of Crandall, Special Assessment RB,
4.25%, 09/15/41(b) | | | | | | | 230 | | | | 184,575 | |
City of Houston Airport System Revenue | | | | | | | | | | | | |
RB, AMT, 4.00%, 07/15/41 | | | | | | | 140 | | | | 109,395 | |
RB, AMT, Series B-1, 5.00%, 07/15/35 | | | | | | | 100 | | | | 91,607 | |
Refunding RB, AMT, 5.00%, 07/15/27 | | | | | | | 140 | | | | 138,119 | |
Refunding RB, AMT, 5.00%, 07/01/29 | | | | | | | 500 | | | | 485,436 | |
Refunding RB, AMT, Series C,
5.00%, 07/15/27 | | | | | | | 910 | | | | 897,591 | |
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45 | | | | | | | 500 | | | | 500,333 | |
County of Hays, Special Assessment RB, 7.00%, 09/15/45 | | | | | | | 250 | | | | 254,832 | |
Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42 | | | | | | | 465 | | | | 421,960 | |
Mission EDC, Refunding RB, AMT, 4.63%, 10/01/31(b) | | | | | | | 285 | | | | 277,042 | |
New Hope Cultural Education Facilities Finance Corp. | | | | | | | | | | | | |
RB, 6.75%, 10/01/52 | | | | | | | 800 | | | | 744,405 | |
RB, Series A, 5.00%, 08/15/51(b) | | | | | | | 250 | | | | 222,904 | |
New Hope Higher Education Finance Corp., RB, Series A, 5.75%, 06/15/51(b) | | | | | | | 1,175 | | | | 1,023,563 | |
Newark Higher Education Finance Corp., RB, Series A, 5.50%, 08/15/35(b) | | | | | | | 300 | | | | 302,626 | |
North Texas Tollway Authority, Refunding RB,
4.25%, 01/01/49 | | | | | | | 1,675 | | | | 1,414,770 | |
Port Beaumont Navigation District | | | | | | | | | | | | |
RB, AMT, 2.75%, 01/01/36(b) | | | | | | | 1,105 | | | | 788,178 | |
RB, AMT, 2.88%, 01/01/41(b) | | | | | | | 200 | | | | 130,816 | |
RB, AMT, 3.00%, 01/01/50(b) | | | | | | | 1,220 | | | | 727,746 | |
Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, 5.00%, 10/01/49 | | | | | | | 250 | | | | 241,577 | |
Texas Transportation Commission State Highway | | | | | | | | | | | | |
249 System | | | | | | | | | | | | |
RB, 0.00%, 08/01/40(c) | | | | | | | 1,000 | | | | 368,310 | |
RB, 0.00%, 08/01/42(c) | | | | | | | 655 | | | | 212,220 | |
RB, 5.00%, 08/01/57 | | | | | | | 315 | | | | 306,538 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,851,746 | |
| | | |
Utah — 0.1% | | | | | | | | | | | | |
Utah Charter School Finance Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 06/15/41(b) | | | | | | | 125 | | | | 109,943 | |
RB, Series A, 5.00%, 06/15/52(b) | | | | | | | 160 | | | | 134,291 | |
Refunding RB, 5.00%, 06/15/55(b) | | | | | | | 230 | | | | 202,467 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 446,701 | |
| | | |
Vermont — 0.4% | | | | | | | | | | | | |
East Central Vermont Telecommunications District | | | | | | | | | | | | |
RB, Series A, 4.75%, 12/01/40(b) | | | | | | | 695 | | | | 586,687 | |
RB, Series A, 4.50%, 12/01/44(b) | | | | | | | 705 | | | | 550,419 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,137,106 | |
| | | |
Virginia — 1.3% | | | | | | | | | | | | |
Ballston Quarter Community Development Authority, TA, Series A, 5.13%, 03/01/31 | | | | | | | 230 | | | | 188,499 | |
Cherry Hill Community Development Authority, Special Assessment RB, 5.40%, 03/01/45(b) | | | | | | | 250 | | | | 233,724 | |
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51 | | | | | | | 810 | | | | 818,155 | |
Hampton Roads Transportation Accountability Commission | | | | | | | | | | | | |
RB, Series A, 4.00%, 07/01/55 | | | | | | | 285 | | | | 259,725 | |
RB, Series A, 4.00%, 07/01/60 | | | | | | | 635 | | | | 565,258 | |
| | |
| 68 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Virginia (continued) | |
Henrico County EDA, Refunding RB,
4.00%, 10/01/45 | | | USD | | | | 235 | | | $ | 201,030 | |
Lower Magnolia Green Community Development Authority | | | | | | | | | | | | |
Special Assessment RB, 5.00%, 03/01/35(b) | | | | | | | 240 | | | | 227,609 | |
Special Assessment RB, 5.00%, 03/01/45(b) | | | | | | | 95 | | | | 85,183 | |
Norfolk Redevelopment & Housing Authority | | | | | | | | | | | | |
RB, 4.00%, 01/01/29 | | | | | | | 250 | | | | 228,295 | |
RB, 5.00%, 01/01/34 | | | | | | | 190 | | | | 179,308 | |
RB, 5.00%, 01/01/49 | | | | | | | 365 | | | | 310,713 | |
Virginia HDA, RB, (GNMA/FNMA/FHLMC), Series I, 2.55%, 11/01/50 | | | | | | | 1,250 | | | | 775,444 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,072,943 | |
|
Washington — 1.6% | |
King County Public Hospital District No. 4, GO, Refunding, 5.00%, 12/01/30 | | | | | | | 200 | | | | 195,382 | |
Port of Seattle, RB, AMT, Series C,
5.00%, 04/01/40 | | | | | | | 250 | | | | 251,050 | |
Washington State Convention Center Public Facilities District | | | | | | | | | | | | |
RB, 4.00%, 07/01/31 | | | | | | | 900 | | | | 786,676 | |
RB, 3.00%, 07/01/58 | | | | | | | 1,230 | | | | 684,723 | |
Washington State Housing Finance Commission | | | | | | | | | | | | |
RB, Series 2021-1, Class A,
3.50%, 12/20/35 | | | | | | | 687 | | | | 582,693 | |
RB, Series A, 5.00%, 07/01/56(b) | | | | | | | 350 | | | | 321,561 | |
Refunding RB, 5.00%, 01/01/43(b) | | | | | | | 1,100 | | | | 1,044,133 | |
Refunding RB, 6.00%, 01/01/45(b) | | | | | | | 210 | | | | 199,610 | |
Refunding RB, 5.00%, 01/01/48(b) | | | | | | | 1,000 | | | | 930,331 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,996,159 | |
|
West Virginia — 0.1% | |
City of Martinsburg, RB, Series A-1,
4.63%, 12/01/43 | | | | | | | 430 | | | | 414,309 | |
| | | | | | | | | | | | |
|
Wisconsin — 5.4% | |
Public Finance Authority | | | | | | | | | | | | |
RB, 6.25%, 10/01/31(b)(f)(g) | | | | | | | 195 | | | | 160,264 | |
RB, 0.00%, 01/01/35(b)(c) | | | | | | | 1,210 | | | | 535,839 | |
RB, 4.50%, 01/01/35(b) | | | | | | | 725 | | | | 670,708 | |
RB, 5.00%, 06/15/41(b) | | | | | | | 210 | | | | 182,870 | |
RB, 5.00%, 11/15/41 | | | | | | | 375 | | | | 376,496 | |
RB, 5.00%, 01/01/42(b) | | | | | | | 360 | | | | 334,269 | |
RB, 5.38%, 06/01/44(b) | | | | | | | 245 | | | | 201,265 | |
RB, 6.85%, 11/01/46(b) | | | | | | | 275 | | | | 196,079 | |
RB, 7.00%, 11/01/46(b) | | | | | | | 155 | | | | 112,769 | |
RB, 5.38%, 07/15/47(b) | | | | | | | 335 | | | | 297,200 | |
RB, 7.00%, 10/01/47(b) | | | | | | | 195 | | | | 149,855 | |
RB, 5.50%, 12/01/48(b)(f)(g) | | | | | | | 8 | | | | 1,808 | |
RB, 5.63%, 06/15/49(b) | | | | | | | 1,435 | | | | 1,201,052 | |
RB, 5.00%, 04/01/50(b) | | | | | | | 100 | | | | 87,083 | |
RB, 5.00%, 06/15/51(b) | | | | | | | 195 | | | | 153,809 | |
RB, 5.25%, 12/01/51(b) | | | | | | | 1,060 | | | | 749,285 | |
RB, 5.50%, 06/01/54(b) | | | | | | | 300 | | | | 239,702 | |
RB, 5.00%, 01/01/55(b) | | | | | | | 1,570 | | | | 1,369,428 | |
RB, 5.00%, 06/15/55(b) | | | | | | | 550 | | | | 447,382 | |
RB, 5.00%, 06/15/55(b) | | | | | | | 2,750 | | | | 2,064,621 | |
RB, 5.00%, 07/01/55(b) | | | | | | | 880 | | | | 745,758 | |
RB, 5.00%, 01/01/56(b) | | | | | | | 875 | | | | 760,548 | |
RB, 4.75%, 06/15/56(b) | | | | | | | 445 | | | | 312,792 | |
RB, 5.00%, 06/15/56(b) | | | | | | | 145 | | | | 112,112 | |
RB, 0.00%, 01/01/60(b)(c) | | | | | | | 19,530 | | | | 1,377,652 | |
RB, Series A, 5.63%, 06/15/49(b) | | | | | | | 875 | | | | 790,828 | |
RB, AMT, 4.00%, 09/30/51 | | | | | | | 375 | | | | 277,064 | |
RB, AMT, 4.25%, 07/01/54 | | | | | | | 1,160 | | | | 793,921 | |
RB, AMT, 4.00%, 03/31/56 | | | | | | | 1,020 | | | | 733,112 | |
Refunding RB, 4.00%, 04/01/32(b) | | | | | | | 115 | | | | 107,623 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Wisconsin (continued) | |
Public Finance Authority | | | | | | | | | | | | |
Refunding RB, 5.00%, 10/01/34(b) | | | USD | | | | 100 $ | | | | 95,802 | |
Refunding RB, 5.00%, 10/01/39(b) | | | | | | | 165 | | | | 153,400 | |
Refunding RB, 4.00%, 04/01/42(b) | | | | | | | 125 | | | | 99,536 | |
Refunding RB, 4.00%, 04/01/52(b) | | | | | | | 155 | | | | 112,500 | |
Refunding RB, 5.25%, 05/15/52(b) | | | | | | | 245 | | | | 205,303 | |
Refunding RB, AMT, Series B, 5.00%, 07/01/42 | | | | | | | 750 | | | | 742,941 | |
Wisconsin Health & Educational Facilities Authority,
Refunding RB, 5.00%, 11/01/46 | | | | | | | 270 | | | | 231,746 | |
Wisconsin Housing & EDA, RB, Series A,
4.55%, 07/01/37 | | | | | | | 165 | | | | 163,666 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,348,088 | |
| | | | | | | | | | | | |
| | | |
Total Municipal Bonds — 92.7%
(Cost: $340,117,826) | | | | | | | | | | | 297,963,773 | |
| | | | | | | | | | | | |
|
Municipal Bonds Transferred to Tender Option Bond Trusts(i) | |
| | | |
Colorado — 0.6% | | | | | | | | | | | | |
Colorado Health Facilities Authority, Refunding RB, Series A-2, 4.00%, 08/01/49(h) | | | | | | | 2,280 | | | | 1,827,002 | |
| | | | | | | | | | | | |
|
Florida — 0.8% | |
Escambia County Health Facilities Authority, Refunding RB, Series A, 4.00%, 08/15/45(h) | | | | 3,060 | | | | 2,475,333 | |
| | | | | | | | | | | | |
|
Illinois — 0.2% | |
Illinois Toll Highway Authority, RB, Series A,
5.00%, 01/01/40 | | | | | | | 660 | | | | 669,463 | |
| | | | | | | | | | | | |
|
Massachusetts — 0.2% | |
Massachusetts HFA, Refunding RB, AMT, Series A,
4.50%, 12/01/47 | | | | | | | 790 | | | | 730,775 | |
| | | | | | | | | | | | |
|
Nebraska — 0.9% | |
Central Plains Energy Gas Revenue, RB, Series 1,
5.00%, 05/01/53 | | | | | | | 2,860 | | | | 2,858,297 | |
| | | | | | | | | | | | |
|
New York — 3.4% | |
New York City Housing Development Corp. | | | | | | | | | | | | |
RB, Series D-1-B, 4.25%, 11/01/45 | | | | | | | 1,000 | | | | 843,076 | |
Refunding RB, Series A-1,
4.15%, 11/01/38 | | | | | | | 1,518 | | | | 1,415,710 | |
New York State Dormitory Authority Personal Income | | | | | | | | | |
Tax Revenue, Refunding RB, Series E, 5.00%, 03/15/36 | | | | | | | 3,330 | | | | 3,413,273 | |
Port Authority of New York & New Jersey | | | | | | | | | | | | |
RB, AMT, Series 221, 4.00%, 07/15/55 | | | | | | | 5,015 | | | | 4,160,822 | |
Refunding RB, 194th Series, 5.25%, 10/15/55 | | | | | | | 1,000 | | | | 1,025,757 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,858,638 | |
| | | |
North Carolina — 0.3% | | | | | | | | | | | | |
North Carolina Capital Facilities Finance Agency, Refunding RB, Series B, 5.00%, 10/01/55 | | | | | | | 1,000 | | | | 1,050,919 | |
North Carolina HFA Home Ownership, RB, Series 39-B,
4.00%, 01/01/48 | | | | 120 | | | | 116,710 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,167,629 | |
|
Oregon — 1.3% | |
Salem Hospital Facility Authority, Refunding RB, Series A, 4.00%, 05/15/49 | | | | | | | 5,000 | | | | 4,155,530 | |
| | | | | | | | | | | | |
|
Washington — 0.4% | |
Snohomish County Public Utilities District No. 1, RB,
5.00%, 12/01/45 | | | | | | | 1,340 | | | | 1,361,928 | |
| | | | | | | | | | | | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 69 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
West Virginia — 0.3% | |
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48(h) | | | USD | | | | 1,215 | | | $ | 1,037,074 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 8.4%
(Cost: $30,962,297) | | | | 27,141,669 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 101.1%
(Cost: $371,080,123) | | | | 325,105,442 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
| Short-Term Securities(j) | |
|
| Money Market Funds — 2.6% | |
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 1.96% | | | | | | | 8,253,383 | | | | 8,251,732 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 2.6%
(Cost: $8,251,961) | | | | 8,251,732 | |
| | | | | | | | | | | | |
| |
Total Investments — 103.7%
(Cost: $379,332,084) | | | | 333,357,174 | |
| |
Other Assets Less Liabilities — 1.2% | | | | 3,919,834 | |
| | | |
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (4.9)% | | | | | | | | | | | (15,810,910 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 321,466,098 | |
| | | | | | | | | | | | |
| (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. |
| (d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (e) | When-issued security. |
| (f) | Issuer filed for bankruptcy and/or is in default. |
| (g) | Non-income producing security. |
| (h) | 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 02/15/28, is $3,409,742. See Note 4 of the Notes to Financial Statements for details. |
| (i) | 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. |
(j) Annualized 7-day yield 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) | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds (30 Year) | | | 245 | | | | 12/20/22 | | | $ | 30,970 | | | $ | 1,729,729 | |
U.S. Treasury Notes (10 Year) | | | 144 | | | | 12/20/22 | | | | 16,137 | | | | 674,393 | |
U.S.Treasury Notes (5 Year) | | | 103 | | | | 12/30/22 | | | | 11,073 | | | | 344,025 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 2,748,147 | |
| | | | | | | | | | | | | | | | |
| | |
| 70 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series E 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 | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,748,147 | | | $ | — | | | $ | 2,748,147 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 September 30, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,519,780 | | | $ | — | | | $ | 3,519,780 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,041,192 | | | $ | — | | | $ | 2,041,192 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts | | | | |
Average notional value of contracts — short | | $ | 62,560,668 | |
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 | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | — | | | $ | 297,333,732 | | | $ | 630,041 | | | $ | 297,963,773 | |
Municipal Bonds Transferred to Tender Option Bond Trusts | | | — | | | | 27,141,669 | | | | — | | | | 27,141,669 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 8,251,732 | | | | — | | | | — | | | | 8,251,732 | |
| | | | | | | | | | | | | | | | |
| | $ | 8,251,732 | | | $ | 324,475,401 | | | $ | 630,041 | | | $ | 333,357,174 | |
| | | | | | | | | | | | | | | | |
| | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | $ | 2,748,147 | | | $ | — | | | $ | — | | | $ | 2,748,147 | |
| | | | | | | | | | | | | | | | |
| | (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 $15,744,000 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 71 |
| | |
Schedule of Investments (unaudited) September 30, 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, Class A, 2.88%, 09/20/40(a) | | | USD | | | | 131 | | | $ | 113,937 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities — 0.0%
(Cost: $131,363) | | | | | | | | 113,937 | |
| | | | | | | | | | | | |
| |
Non-Agency Mortgage-Backed Securities | | | | | |
| |
Commercial Mortgage-Backed Securities — 14.7% | | | | | |
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2,
3.90%, 08/10/35(a) | | | | | | | 945 | | | | 890,533 | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 3.59%, 09/15/34(a)(b) | | | | | | | 3,928 | | | | 3,824,278 | |
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C,
3.72%, 05/15/53(a)(b)(c) | | | | | | | 400 | | | | 323,880 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-200P, Class B,
3.49%, 04/14/33(a) | | | | | | | 2,164 | | | | 1,990,216 | |
Series 2018-DSNY, Class A, (1 mo. LIBOR US + 0.85%), 3.67%, 09/15/34(a)(b) | | | | | | | 665 | | | | 651,273 | |
| | | |
| BANK | | | | | | | | | |
Series 2018-BN11, Class B,
4.50%, 03/15/61(b) | | | | | | | 1,769 | | | | 1,587,790 | |
Series 2021-BN38, Class A5,
2.52%, 12/15/64 | | | | | | | 5,090 | | | | 4,091,513 | |
BBCMS Mortgage Trust, Series 2022-C16, Class A5, 4.60%, 06/15/55(b) | | | | | | | 2,440 | | | | 2,328,412 | |
BFLD, Series 2019-DPLO, Class A, (1 mo. LIBOR US + 1.09%), 3.91%, 10/15/34(a)(b) | | | | | | | 70 | | | | 68,335 | |
BFLD TRUST Mortgage-Backed Securities, Series 2020-EYP, Class A, (1 mo. LIBOR US + 1.15%), 3.97%, 10/15/35(a)(b) | | | | | | | 2,778 | | | | 2,680,254 | |
BMO Mortgage Trust, Series 2022-C1, Class A5, 3.37%, 02/15/55(b) | | | | | | | 138 | | | | 119,226 | |
BPR Trust, Series 2021-TY, Class A, (1 mo. LIBOR US + 1.05%), 3.87%, 09/15/38(a)(b) | | | | | | | 2,863 | | | | 2,720,348 | |
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33(a) | | | | | | | 3,920 | | | | 3,714,919 | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-XL, Class D, (1 mo. LIBOR US + 1.45%), 4.27%, 10/15/36(a)(b) | | | | | | | 3,570 | | | | 3,453,333 | |
Series 2020-VIV4, Class A, 2.84%, 03/09/44(a) | | | | | | | 4,980 | | | | 4,022,177 | |
Series 2021-CIP, Class A, (1 mo. LIBOR US + 0.92%), 3.74%, 12/15/38(a)(b) | | | | | | | 4,960 | | | | 4,748,765 | |
Series 2021-VINO, Class B, (1 mo. LIBOR US + 0.85%), 3.67%, 05/15/38(a)(b) | | | | | | | 910 | | | | 859,824 | |
Series 2022-LP2, Class A, (1 mo. CME Term SOFR + 1.01%), 3.94%, 02/15/39(a)(b) | | | | | | | 5,867 | | | | 5,632,746 | |
BX Trust | | | | | | | | | | | | |
Series 2018-BILT, Class A, (1 mo. LIBOR US + 0.80%), 3.62%, 05/15/30(a)(b) | | | | | | | 442 | | | | 427,554 | |
Series 2019-OC11, Class A,
3.20%, 12/09/41(a) | | | | | | | 3,482 | | | | 2,900,452 | |
Series 2019-OC11, Class D,
4.08%, 12/09/41(a)(b) | | | | | | | 1,489 | | | | 1,215,281 | |
Series 2022-GPA, Class A, (1 mo. CME Term SOFR +
2.17%), 4.67%, 10/15/39(a)(b) | | | | | | | 1,053 | | | | 1,046,775 | |
CD Mortgage Trust, Series 2018-CD7, Class C, 5.01%, 08/15/51(b) | | | | | | | 1,800 | | | | 1,580,559 | |
CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39(a) | | | | | | | 1,254 | | | | 1,072,454 | |
Citigroup Commercial Mortgage Trust, Series 2020- 420K, Class B,
2.86%, 11/10/42(a) | | | | | | | 130 | | | | 101,571 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-WWP, Class A2,
3.42%, 03/10/31(a) | | | | | | | 1,950 | | | | 1,947,230 | |
Series 2014-LC15, Class A4,
4.01%, 04/10/47 | | | | | | | 2,025 | | | | 1,986,562 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-CR27, Class B,
4.49%, 10/10/48(b) | | | USD | | | | 2,917 | | | $ | 2,679,651 | |
Series 2015-LC23, Class ASB,
3.60%, 10/10/48 | | | | | | | 2,329 | | | | 2,269,971 | |
Series 2017-COR2, Class AM,
3.80%, 09/10/50 | | | | | | | 404 | | | | 365,074 | |
Series 2017-PANW, Class A,
3.24%, 10/10/29(a) | | | | | | | 3,960 | | | | 3,734,635 | |
Series 2019-521F, Class B, (1 mo. LIBOR US + 1.10%), 3.92%, 06/15/34(a)(b) | | | | | | | 1,304 | | | | 1,269,355 | |
Credit Suisse Mortgage Capital Trust | | | | | | | | | | | | |
Series 2020-NET, Class A,
2.26%, 08/15/37(a)(c) | | | | | | | 1,181 | | | | 1,083,983 | |
Series 2020-NET, Class C, 3.53%, 08/15/37(a) | | | | | | | 266 | | | | 240,254 | |
Series 2021-980M, Class A, 2.39%, 07/15/31(a) | | | | | | | 1,090 | | | | 932,267 | |
Series 2021-BHAR, Class A, (1 mo. LIBOR US + 1.15%), 3.97%, 11/15/38(a)(b) | | | | | | | 2,270 | | | | 2,168,751 | |
CSAIL Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2018-CX11, Class A5,
4.03%, 04/15/51(b) | | | | | | | 1,003 | | | | 931,282 | |
Series 2018-CX12, Class A4, 4.22%, 08/15/51(b) | | | | | | | 556 | | | | 523,990 | |
Series 2019-C16, Class A3, 3.33%, 06/15/52 | | | | | | | 3,124 | | | | 2,763,270 | |
Series 2019-C17, Class C, 3.93%, 09/15/52(c) | | | | | | | 1,203 | | | | 1,041,723 | |
DBGS Mortgage Trust, Series 2018-5BP, Class D,
(1 mo. LIBOR US + 1.50%),
4.32%, 06/15/33(a)(b) | | | | | | | 2,307 | | | | 2,133,407 | |
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A, (1 mo. LIBOR US + 0.80%), 3.62%, 02/15/38(a)(b) | | | | | | | 960 | | | | 925,942 | |
Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40(a) | | | | | | | 900 | | | | 686,472 | |
Great Wolf Trust, Series 2019-WOLF, Class A, (1 mo. LIBOR US + 1.03%), 3.85%, 12/15/36(a)(b) | | | | | | | 2,961 | | | | 2,864,230 | |
GS Mortgage Securities Corp. II | | | | | | | | | | | | |
Series 2005-ROCK, Class A,
5.37%, 05/03/32(a) | | | | | | | 910 | | | | 885,666 | |
Series 2005-ROCK, Class F,
5.52%, 05/03/32(a) | | | | | | | 706 | | | | 674,171 | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2012-GCJ9, Class C,
4.45%, 11/10/45(a)(b) | | | | | | | 300 | | | | 298,807 | |
Series 2014-GC24, Class A5,
3.93%, 09/10/47 | | | | | | | 4,000 | | | | 3,884,438 | |
Series 2015-GC34, Class B, 4.47%, 10/10/48(b) | | | | | | | 1,500 | | | | 1,374,226 | |
Series 2021-IP, Class A, (1 mo. LIBOR US + 0.95%), 3.77%, 10/15/36(a)(b) | | | | | | | 2,660 | | | | 2,507,267 | |
Series 2021-ROSS, Class A, (1 mo. LIBOR US + 1.15%), 3.97%, 05/15/26(a)(b) | | | | | | | 730 | | | | 682,532 | |
Series 2022-ECI, Class A, (1 mo. CME Term SOFR + 2.19%), 5.04%, 08/15/39(a)(b) | | | | | | | 820 | | | | 812,812 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, (1 mo. LIBOR US + 1.15%),
3.97%, 05/15/38(a)(b) | | | | | | | 100 | | | | 97,423 | |
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.56%, 07/10/39(a)(b) | | | | | | | 669 | | | | 526,294 | |
IMT Trust, Series 2017-APTS, Class BFX, 3.61%, 06/15/34(a)(b) | | | | | | | 2,425 | | | | 2,300,857 | |
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a) | | | | | | | 349 | | | | 328,214 | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2014-C23, Class ASB, 3.66%, 09/15/47 | | | | | | | 2,478 | | | | 2,432,152 | |
Series 2015-C28, Class A4, 3.23%, 10/15/48 | | | | | | | 4,058 | | | | 3,852,412 | |
Series 2016-C1, Class ASB, 3.32%, 03/17/49 | | | | | | | 2,208 | | | | 2,138,178 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2016-NINE, Class A,
2.95%, 09/06/38(a)(b) | | | | | | | 1,790 | | | | 1,582,062 | |
Series 2018-AON, Class A, 4.13%, 07/05/31(a) | | | | | | | 865 | | | | 844,816 | |
Series 2020-609M, Class A, (1 mo. LIBOR US + 1.37%), 4.19%, 10/15/33(a)(b) | | | | | | | 2,000 | | | | 1,919,565 | |
Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 5.59%, 10/15/33(a)(b) | | | | | | | 600 | | | | 563,655 | |
Series 2020-MKST, Class B, (1 mo. LIBOR US + 1.05%), 3.87%, 12/15/36(a)(b) | | | | | | | 1,540 | | | | 1,463,878 | |
| | |
| 72 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2021-2NU, Class A, 1.97%, 01/05/40(a) | | | USD | | | | 1,210 | | | $ | 980,229 | |
Series 2022-ACB, Class A, (SOFR (30-day) + 1.40%), 3.69%, 03/15/39(a)(b) | | | | | | | 2,070 | | | | 2,019,468 | |
Series 2022-NXSS, Class A, (1 mo. CME Term SOFR + 2.18%), 5.13%, 08/15/39(a)(b) | | | | | | | 210 | | | | 207,895 | |
KKR Industrial Portfolio Trust, Series 2021-KDIP, Class B, (1 mo. LIBOR US + 0.80%), 3.62%, 12/15/37(a)(b) | | | | | | | 165 | | | | 157,140 | |
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49(a) | | | | | | | 799 | | | | 793,011 | |
Med Trust, Series 2021-MDLN, Class A, (1 mo. LIBOR US + 0.95%), 3.77%, 11/15/38(a)(b) | | | | | | | 3,750 | | | | 3,599,688 | |
MF1 | | | | | | | | | | | | |
Series 2021-W10, Class A, (1 mo. CME Term SOFR + 1.07%), 3.92%, 12/15/34(a)(b) | | | | | | | 480 | | | | 473,486 | |
Series 2021-W10, Class B, (1 mo. CME Term SOFR + 1.37%), 4.22%, 12/15/34(a)(b) | | | | | | | 640 | | | | 626,489 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | | | | | | | | |
Series 2013-C13, Class A4, 4.04%, 11/15/46 | | | | | | | 1,170 | | | | 1,151,742 | |
Morgan Stanley Capital I Trust | | | | | | | | | | | | |
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 | | | | | | | 2,621 | | | | 2,526,766 | |
Series 2018-H3, Class B, 4.62%, 07/15/51(b) | | | | | | | 740 | | | | 669,573 | |
Series 2018-MP, Class A, 4.42%, 07/11/40(a)(b) | | | | | | | 1,000 | | | | 885,118 | |
Series 2018-SUN, Class A, (1 mo. LIBOR US + 0.90%), 3.72%, 07/15/35(a)(b) | | | | | | | 1,910 | | | | 1,868,033 | |
MSCG Trust, Series 2018-SELF, Class C, (1 mo. LIBOR US + 1.18%), 4.00%, 10/15/37(a)(b) | | | | | | | 2,015 | | | | 1,944,091 | |
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 4.24%, 03/15/39(a)(b) | | | | | | | 5,860 | | | | 5,698,991 | |
Seasoned Credit Risk Transfer Trust | | | | | | | | | | | | |
Series 2018-3, Class MA, 3.50%, 08/25/57(b) | | | | | | | 1,553 | | | | 1,484,940 | |
Series 2018-4, Class MA, 3.50%, 03/25/58 | | | | | | | 1,689 | | | | 1,617,203 | |
Taubman Centers Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2022-DPM, Class A, (1 mo. CME Term SOFR + 2.19%), 5.03%, 05/15/37(a)(b) | | | | | | | 1,250 | | | | 1,220,605 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-LC22, Class ASB, 3.57%, 09/15/58 | | | | | | | 2,239 | | | | 2,181,553 | |
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 | | | | | | | 2,402 | | | | 2,325,679 | |
Series 2015-P2, Class AS, 4.01%, 12/15/48 | | | | | | | 1,605 | | | | 1,506,148 | |
Series 2017-C41, Class B, 4.19%, 11/15/50(b) | | | | | | | 1,304 | | | | 1,136,038 | |
Series 2021-FCMT, Class A, (1 mo. LIBOR US + 1.20%), 4.02%, 05/15/31(a)(b) | | | | | | | 3,516 | | | | 3,337,634 | |
WFRBS Commercial Mortgage Trust, Series 2014- C21, Class A4, 3.41%, 08/15/47 | | | | | | | 2,211 | | | | 2,133,860 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 152,315,322 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.6% | |
Arbor Multifamily Mortgage Securities Trust | | | | | | | | | | | | |
Series 2020-MF1, Class XA, 1.08%, 05/15/53(a)(b) | | | . | | | | 1,584 | | | | 82,819 | |
Series 2021-MF3, Class XA, 0.85%, 10/15/54(a)(b) | | | . | | | | 2,931 | | | | 125,395 | |
BANK | | | | | | | | | | | | |
Series 2020-BN29, Class XA, 1.45%, 11/15/53(b) | | | | | | | 4,285 | | | | 326,144 | |
Series 2021-BN33, Class XA, 1.17%, 05/15/64(b) | | | | | | | 15,836 | | | | 955,081 | |
Benchmark Mortgage Trust | | | | | | | | | | | | |
Series 2020-B20, Class XA, 1.73%, 10/15/53(b) | | | | | | | 15,493 | | | | 1,232,569 | |
Series 2020-B21, Class XA, 1.57%, 12/17/53(b) | | | | | | | 3,857 | | | | 304,376 | |
Commercial Mortgage Trust, Series 2014-LC17, Class XA,
0.82%, 10/10/47(b) | | | | | | | 38,870 | | | | 406,052 | |
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA, 1.71%, 06/15/52(b) | | | | | | | 12,925 | | | | 991,925 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.61%, 10/15/52(b) | | | USD | | | | 10,177 | | | $ | 737,454 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2018-C44, Class XA, 0.89%, 05/15/51(b) | | | | | | | 8,498 | | | | 253,921 | |
Series 2020-C58, Class XA, 2.00%, 07/15/53(b) | | | | | | | 4,676 | | | | 472,239 | |
Series 2021-C59, Class XA, 1.67%, 04/15/54(b) | | | | | | | 3,974 | | | | 341,116 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,229,091 | |
| | | | | | | | | | | | |
| |
Total Non-Agency Mortgage-Backed Securities — 15.3% | | | | | |
(Cost: $173,877,362) | | | | | | | | | | | 158,544,413 | |
| | | | | | | | | | | | |
|
U.S. Government Sponsored Agency Securities | |
| |
Collateralized Mortgage Obligations — 1.1% | | | | | |
Fannie Mae | | | | | | | | | | | | |
Series 2010-134, Class KZ, 4.50%, 12/25/40 | | | | | | | 197 | | | | 183,011 | |
Series 2010-141, Class LZ, 4.50%, 12/25/40 | | | | | | | 383 | | | | 363,583 | |
Series 2011-131, Class LZ, 4.50%, 12/25/41 | | | | | | | 251 | | | | 245,724 | |
Series 2011-8, Class ZA, 4.00%, 02/25/41 | | | | | | | 693 | | | | 668,735 | |
Series 2013-81, Class YK, 4.00%, 08/25/43 | | | | | | | 200 | | | | 185,769 | |
Series 2017-76, Class PB, 3.00%, 10/25/57(c) | | | | | | | 900 | | | | 774,072 | |
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 3.64%, 05/25/48(b) | | | | | | | 2,205 | | | | 1,938,106 | |
Series 2022-25, Class KL, 4.00%, 05/25/52 | | | | | | | 1,500 | | | | 1,362,193 | |
Freddie Mac | | | | | | | | | | | | |
Series 3745, Class ZA, 4.00%, 10/15/40 | | | | | | | 328 | | | | 314,015 | |
Series 3780, Class ZA, 4.00%, 12/15/40 | | | | | | | 1,300 | | | | 1,244,233 | |
Series 3960, Class PL, 4.00%, 11/15/41 | | | | | | | 900 | | | | 863,847 | |
Series 4161, Class BW, 2.50%, 02/15/43 | | | | | | | 1,400 | | | | 1,201,688 | |
Series 4384, Class LB, 3.50%, 08/15/43 | | | | | | | 1,260 | | | | 1,214,197 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2014-107, Class WX, 6.76%, 07/20/39(b) | | | | | | | 396 | | | | 412,260 | |
Series 2016-123, Class LM, 3.00%, 09/20/46 | | | | | | | 600 | | | | 521,107 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,492,540 | |
| |
Commercial Mortgage-Backed Securities — 3.3% | | | | | |
Freddie Mac | | | | | | | | | | | | |
Series K082, Class A2, 3.92%, 09/25/28(b) | | | | | | | 2,400 | | | | 2,321,418 | |
Series K139, Class A2, 2.59%, 01/25/32(b) | | | | | | | 12,000 | | | | 10,245,968 | |
Series K149, Class A2, 3.53%, 08/25/32(b) | | | | | | | 9,620 | | | | 8,818,642 | |
Series K150, Class A2, 3.71%, 11/25/32 | | | | | | | 5,241 | | | | 4,874,957 | |
Series K151, Class A2, 3.80%, 12/25/32 | | | | | | | 5,188 | | | | 4,840,325 | |
Series K154, Class A2, 3.42%, 04/25/32 | | | | | | | 3,500 | | | | 3,272,037 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 34,373,347 | |
|
| Interest Only Collateralized Mortgage Obligations — 1.5% | |
Fannie Mae | | | | | | | | | | | | |
Series 2013-10, Class PI, 3.00%, 02/25/43 | | | | | | | 1,072 | | | | 147,841 | |
Series 2014-68, Class YI, 4.50%, 11/25/44 | | | | | | | 471 | | | | 102,028 | |
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 3.17%, 09/25/45(b) | | | | | | | 3,232 | | | | 230,214 | |
Series 2015-74, Class IA, 6.00%, 10/25/45 | | | | | | | 4,230 | | | | 1,025,032 | |
Series 2015-77, Class IO, 6.00%, 10/25/45 | | | | | | | 5,090 | | | | 1,227,248 | |
Series 2016-60, Class SD, (1 mo. LIBOR US + 6.10%), 3.02%, 09/25/46(b) | | | | | | | 1,376 | | | | 102,144 | |
Series 2016-78, Class CS, (1 mo. LIBOR US + 6.10%), 3.02%, 05/25/39(b)(c) | | | | | | | 1,766 | | | | 173,805 | |
Series 2017-38, Class S, (1 mo. LIBOR US + 6.10%), 3.02%, 05/25/47(b) | | | | | | | 2,245 | | | | 258,474 | |
Series 2017-68, Class IE, 4.50%, 09/25/47(c) | | | | | | | 1,940 | | | | 334,203 | |
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 3.07%, 09/25/47(b) | | | | | | | 1,395 | | | | 149,075 | |
Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 2.97%, 06/25/49(b)(c) | | | | | | | 3,455 | | | | 363,415 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 73 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
Interest Only Collateralized Mortgage Obligations (continued) | |
Fannie Mae | | | | | | | | | | | | |
Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 3.02%, 07/25/49(b) | | | USD | | | | 1,221 | | | $ | 120,556 | |
Series 2019-5, Class SA, (1 mo. LIBOR US + 6.10%), 3.02%, 03/25/49(b)(c) | | | | | | | 9,258 | | | | 1,093,609 | |
Series 2020-32, Class IO, 4.00%, 05/25/50 | | | | | | | 2,086 | | | | 460,243 | |
Series 2020-32, Class PI, 4.00%, 05/25/50 | | | | | | | 2,165 | | | | 477,696 | |
Series 2021-23, Class CI, 3.50%, 07/25/46 | | | | | | | 2,826 | | | | 528,022 | |
Series 2021-41, Class IO, 3.50%, 07/25/51 | | | | | | | 5,388 | | | | 924,637 | |
Freddie Mac | | | | | | | | | | | | |
Series 4062, Class GI, 4.00%, 02/15/41 | | | | | | | 283 | | | | 18,627 | |
Series 4119, Class SC, (1 mo. LIBOR US + 6.15%),
3.33%, 10/15/42(b) | | | | | | | 1,691 | | | | 183,683 | |
Series 4533, Class JI, 5.00%, 12/15/45 | | | | | | | 852 | | | | 164,632 | |
Series 4901, Class CS, (1 mo. LIBOR US + 6.10%), 3.02%, 07/25/49(b) | | | | | | | 2,082 | | | | 246,198 | |
Series 4941, Class SH, (1 mo. LIBOR US + 5.95%), 2.87%, 12/25/49(b) | | | | | | | 4,157 | | | | 496,031 | |
Series 5112, Class KI, 3.50%, 06/25/51 | | | | | | | 1,696 | | | | 274,654 | |
Series 5159, Class KI, 3.00%, 11/25/51 | | | | | | | 2,727 | | | | 380,329 | |
Series 5159, Class PI, 3.00%, 11/25/51 | | | | | | | 4,753 | | | | 672,221 | |
Series 5176, Class QI, 3.00%, 12/25/51 | | | | | | | 2,707 | | | | 416,396 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 3.19%, 07/20/47(b)(c) | | | | | | | 1,776 | | | | 217,996 | |
Series 2017-139, Class IB, 4.50%, 09/20/47 | | | | | | | 928 | | | | 172,642 | |
Series 2017-144, Class DI, 4.50%, 09/20/47 | | | | | | | 629 | | | | 116,976 | |
Series 2020-115, Class IM, 3.50%, 08/20/50 | | | | | | | 2,596 | | | | 398,192 | |
Series 2020-146, Class DI, 2.50%, 10/20/50 | | | | | | | 3,507 | | | | 518,540 | |
Series 2020-162, Class TI, 2.50%, 10/20/50 | | | | | | | 6,146 | | | | 791,949 | |
Series 2020-175, Class DI, 2.50%, 11/20/50 | | | | | | | 1,214 | | | | 171,525 | |
Series 2020-185, Class MI, 2.50%, 12/20/50 | | | | | | | 4,303 | | | | 587,891 | |
Series 2021-104, Class IH, 3.00%, 06/20/51 | | | | | | | 4,803 | | | | 727,863 | |
Series 2021-149, Class KI, 3.00%, 08/20/51 | | | | | | | 9,113 | | | | 1,389,937 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,664,524 | |
|
Interest Only Commercial Mortgage-Backed Securities — 0.5% | |
Fannie Mae, Series 2020-M21, Class AX, 1.94%, 01/25/58(b) | | | | | | | 5,404 | | | | 760,095 | |
Freddie Mac | | | | | | | | | | | | |
Series K105, Class X1, 1.65%, 01/25/30(b) | | | | | | | 13,619 | | | | 1,165,124 | |
Series K110, Class X1, 1.81%, 04/25/30(b) | | | | | | | 1,200 | | | | 114,030 | |
Series K116, Class X1, 1.53%, 07/25/30(b) | | | | | | | 2,086 | | | | 171,981 | |
Series K119, Class X1, 1.03%, 09/25/30(b) | | | | | | | 3,311 | | | | 185,741 | |
Series K120, Class X1, 1.13%, 10/25/30(b) | | | | | | | 16,868 | | | | 1,044,304 | |
Series K122, Class X1, 0.97%, 11/25/30(b) | | | | | | | 5,072 | | | | 273,071 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2016-151, Class IO, 0.85%, 06/16/58(b) | | | | | | | 22,956 | | | | 908,531 | |
Series 2017-61, Class IO, 0.77%, 05/16/59(b) | | | | | | | 1,735 | | | | 71,509 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,694,386 | |
|
Mortgage-Backed Securities — 125.5% | |
Fannie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 11/01/41 - 03/01/51 | | | | | | | 40,578 | | | | 32,267,123 | |
2.00%, 10/01/31 - 03/01/52 | | | | | | | 123,165 | | | | 100,941,640 | |
2.50%, 09/01/27 - 02/01/52 | | | | | | | 124,436 | | | | 106,996,483 | |
3.00%, 04/01/28 - 05/01/52 | | | | | | | 35,664 | | | | 32,182,137 | |
3.50%, 03/01/29 - 04/01/52 | | | | | | | 39,312 | | | | 36,250,115 | |
4.00%, 02/01/31 - 10/01/51 | | | | | | | 35,644 | | | | 33,546,189 | |
4.50%, 05/01/24 - 04/01/52 | | | | | | | 19,874 | | | | 19,283,906 | |
5.00%, 02/01/35 - 01/01/49 | | | | | | | 6,718 | | | | 6,701,503 | |
5.50%, 05/01/34 - 05/01/44 | | | | | | | 2,968 | | | | 3,059,647 | |
6.00%, 02/01/38 - 07/01/41 | | | | | | | 1,840 | | | | 1,934,086 | |
6.50%, 07/01/37 - 01/01/38 | | | | | | | 26 | | | | 26,867 | |
| | | | | | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
Mortgage-Backed Securities (continued) | |
Freddie Mac Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 08/01/50 - 04/01/51 | | | USD | | | | 4,664 | | | $ | 3,582,063 | |
2.00%, 02/01/36 - 02/01/52 | | | | | | | 52,788 | | | | 43,173,729 | |
2.50%, 02/01/30 - 01/01/52(d) | | | | | | | 70,094 | | | | 59,525,498 | |
3.00%, 09/01/27 - 08/01/52(d) | | | | | | | 78,513 | | | | 69,521,974 | |
3.50%, 02/01/31 - 06/01/50 | | | | | | | 22,854 | | | | 20,999,738 | |
4.00%, 08/01/40 - 06/01/50 | | | | | | | 24,009 | | | | 22,763,032 | |
4.50%, 05/01/24 - 01/01/51 | | | | | | | 1,025 | | | | 999,264 | |
5.00%, 05/01/28 - 03/01/49 | | | | | | | 2,939 | | | | 2,933,243 | |
5.50%, 01/01/28 - 06/01/41 | | | | | | | 672 | | | | 689,419 | |
6.00%, 08/01/28 - 11/01/39 | | | | | | | 317 | | | | 333,997 | |
Ginnie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
2.00%, 08/20/50 - 10/15/52(e) | | | | | | | 56,670 | | | | 47,429,374 | |
2.50%, 04/20/51 - 10/15/52(e) | | | | | | | 56,984 | | | | 49,090,147 | |
3.00%, 12/20/44 - 10/15/52(e) | | | | | | | 74,003 | | | | 65,525,564 | |
3.50%, 01/15/42 - 10/15/52(e) | | | | | | | 138,859 | | | | 126,326,444 | |
4.00%, 04/20/39 - 10/15/52(e) | | | | | | | 42,926 | | | | 40,179,655 | |
4.50%, 09/20/39 - 10/15/52(e) | | | | | | | 10,619 | | | | 10,281,174 | |
5.00%, 07/15/33 - 10/15/52(e) | | | | | | | 4,348 | | | | 4,281,701 | |
5.50%, 07/15/38 - 12/20/41 | | | | | | | 451 | | | | 471,487 | |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 10/01/37 - 10/01/52(e) | | | | | | | 18,266 | | | | 15,274,895 | |
2.00%, 10/01/37 - 10/01/52(e) | | | | | | | 108,511 | | | | 90,369,077 | |
2.50%, 10/01/37 - 10/01/52(e) | | | | | | | 127,275 | | | | 107,076,257 | |
3.00%, 10/01/37 - 10/01/52(e) | | | | | | | 39,758 | | | | 34,630,591 | |
3.50%, 10/01/37 - 10/01/52(e) | | | | | | | 7,283 | | | | 6,573,344 | |
4.00%, 10/01/52(e) | | | | | | | 44,360 | | | | 41,158,112 | |
4.50%, 10/01/52(e) | | | | | | | 35,414 | | | | 33,724,534 | |
5.00%, 10/01/52(e) | | | | | | | 31,186 | | | | 30,371,665 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,300,475,674 | |
| | | | | | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 131.9%
(Cost: $1,486,056,304) | | | | 1,366,700,471 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 147.2%
(Cost: $1,660,065,029) | | | | 1,525,358,821 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Short-Term Securities | | | | | | | | | | | | |
| | | |
Money Market Funds — 0.7% | | | | | | | | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.46%(f) | | | | | | | 6,754,651 | | | | 6,754,651 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
| |
U.S. Treasury Obligations(g) — 8.4% | | | | | |
U.S. Treasury Bills | | | | | | | | | | | | |
3.06%, 12/13/22 | | | USD | | | | 80,084 | | | | 79,607,168 | |
3.12%, 12/22/22 | | | | | | | 7,980 | | | | 7,923,289 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 87,530,457 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 9.1%
(Cost: $94,283,282) | | | | 94,285,108 | |
| | | | | | | | | | | | |
|
Total Investments Before Options Written and TBA Sale | |
Commitments — 156.3% | | | | | | | | | | | | |
(Cost: $1,754,348,311) | | | | | | | | | | | 1,619,643,929 | |
| | | | | | | | | | | | |
| | | |
TBA Sale Commitments(e) | | | | | | | | | | | | |
| |
Mortgage-Backed Securities — (33.4)% | | | | | |
Ginnie Mae Mortgage-Backed Securities 2.00%, 10/15/52 | | | | | | | (416 | ) | | | (346,336 | ) |
| | |
| 74 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Mortgage-Backed Securities (continued) | | | | | | | | | | | | |
Ginnie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
2.50%, 10/15/52 | | | USD | | | | (449 | ) | | $ | (385,702 | ) |
3.00%, 10/15/52 | | | | | | | (11,117 | ) | | | (9,823,236 | ) |
3.50%, 10/15/52 | | | | | | | (54,026 | ) | | | (49,136,225 | ) |
4.00%, 10/15/52 | | | | | | | (271 | ) | | | (253,057 | ) |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 10/01/37 - 10/01/52 | | | | | | | (551 | ) | | | (444,748 | ) |
2.00%, 10/01/37 - 10/01/52 | | | | | | | (2,236 | ) | | | (1,837,165 | ) |
2.50%, 10/01/37 - 10/01/52 | | | | | | | (182,675 | ) | | | (153,100,988 | ) |
3.00%, 10/01/37 - 10/01/52 | | | | | | | (46,291 | ) | | | (40,283,825 | ) |
3.50%, 10/01/37 - 10/01/52 | | | | | | | (21,791 | ) | | | (19,631,494 | ) |
4.00%, 10/01/52 | | | | | | | (28,057 | ) | | | (26,032,731 | ) |
4.50%, 10/01/52 | | | | | | | (23,786 | ) | | | (22,658,023 | ) |
5.00%, 10/01/52 | | | | | | | (22,865 | ) | | | (22,272,055 | ) |
| | | | | | | | |
| | |
Total TBA Sale Commitments — (33.4)%
(Proceeds: $(357,956,590)) | | | | | | | | (346,205,585 | ) |
| | | | | | | | |
| | | |
Options Written — (0.1)% | | | | | | | | | | | | |
(Premiums Received: $(105,706)) | | | | | | | | | | | (635,594 | ) |
| | | | | | | | |
| |
Total Investments Net of Options Written and TBA Sale Commitments — 122.8%
(Cost: $1,396,286,015) | | | | 1,272,802,750 | |
| | |
Liabilities in Excess of Other Assets — (22.8)% | | | | | | | | (236,208,522 | ) |
| | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 1,036,594,228 | |
| | | | | | | | |
| (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) | | | 18 | | | | 12/20/22 | | | $ | 2,275 | | | $ | 37,306 | |
U.S. Ultra Treasury Bonds | | | 3 | | | | 12/20/22 | | | | 411 | | | | (24,754 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,552 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Treasury Notes (10 Year) | | | 260 | | | | 12/20/22 | | | | 29,136 | | | | (53,208 | ) |
U.S. Ultra Treasury Bonds (10 Year) | | | 107 | | | | 12/20/22 | | | | 12,678 | | | | 718,660 | |
U.S. Treasury Notes (2 Year) | | | 145 | | | | 12/30/22 | | | | 29,782 | | | | 432,424 | |
U.S. Treasury Notes (5 Year) | | | 367 | | | | 12/30/22 | | | | 39,455 | | | | 1,049,013 | |
3-month SOFR | | | 227 | | | | 03/14/23 | | | | 54,313 | | | | (37,103 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,109,786 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 2,122,338 | |
| | | | | | | | | | | | | | | | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 75 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series M Portfolio |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise
Price | | | Notional
Amount
(000) | | | Value | |
Put | | | | | | | | | | | | | | | | | | | | |
3-month SOFR | | | 473 | | | | 11/11/22 | | | | USD 96.19 | | | | USD 113,153 | | | | $ (635,594) | |
| | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid by the Fund | | Received by the Fund | | Termination | | | Notional
Amount (000) | | | | | | Upfront
Premium
Paid | | | Unrealized
Appreciation | |
| Rate | | Frequency | | Rate | | Frequency | | Date | | | Value | | | (Received) | | | (Depreciation) | |
| | | | | 1-day Overnight Fed Funds | | | | | | | | | | | | | | | | | | | | | | | | |
| 0.05% | | Quarterly | | Effective Rate, 3.08% | | Quarterly | | | 10/21/22 | | | USD | | | 308 | | | $ | 2,000 | | | $ | — | | | $ | 2,000 | |
| SOFR, 2.98% | | Quarterly | | 0.05% | | Quarterly | | | 10/21/22 | | | USD | | | 308 | | | | (1,966 | ) | | | — | | | | (1,966 | ) |
| | | | 1-day Overnight Fed Funds | | | | | | | | | | | | | | | | | | | | | | | | |
| 0.18% | | Quarterly | | Effective Rate, 3.08% | | Quarterly | | | 10/21/25 | | | USD | | | 232 | | | | 26,673 | | | | — | | | | 26,673 | |
SOFR, 2.98% | | Quarterly | | 0.17% | | Quarterly | | | 10/21/25 | | | USD | | | 232 | | | | (26,474 | ) | | | — | | | | (26,474 | ) |
| | | | 1-day Overnight Fed Funds | | | | | | | | | | | | | | | | | | | | | | | | |
| 0.56% | | Quarterly | | Effective Rate, 3.08% | | Quarterly | | | 10/21/30 | | | USD | | | 83 | | | | 18,035 | | | | — | | | | 18,035 | |
SOFR, 2.98% | | Quarterly | | 0.53% | | Quarterly | | | 10/21/30 | | | USD | | | 83 | | | | (18,145 | ) | | | — | | | | (18,145 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 123 | | | $ | — | | | $ | 123 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate
Paid by the Fund | | | Payment
Frequency | | | Counterparty | | Termination
Date | | | Notional
Amount
(000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.10.BBB- | | | 3.00 | % | | | Monthly | | | Goldman Sachs International | | | 11/17/59 | | | USD | | | 3,976 | | | $ | 737,295 | | | $ | 178,282 | | | $ | 559,013 | |
CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Goldman Sachs International | | | 11/17/59 | | | USD | | | 4,174 | | | | 774,160 | | | | 196,367 | | | | 577,793 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1,511,455 | | | $ | 374,649 | | | $ | 1,136,806 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing Rate Received by the Fund | | | Payment
Frequency | | | Counterparty | | Termination
Date | | | Credit
Rating(a)
| | Notional
Amount
(000)(b) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation (Depreciation) | |
CMBX.NA.9.BBB- | | | 3.00 | % | | | Monthly | | | Deutsche
Bank AG | | | 09/17/58 | | | Not Rated | | | USD | | | | 8,000 | | | $ | (1,555,920 | ) | | $ | (896,703 | ) $ | | | (659,217 | ) |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Goldman
Sachs
International | | | 09/17/58 | | | Not Rated | | | USD | | | | 10,400 | | | | (2,022,695 | ) | | | (441,820 | ) | | | (1,580,875 | ) |
CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Goldman
Sachs
International | | | 11/17/59 | | | BBB- | | | USD | | | | 4,397 | | | | (815,537 | ) | | | (299,795 | ) | | | (515,742 | ) |
CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | J.P. Morgan
Securities
LLC | | | 11/17/59 | | | BBB- | | | USD | | | | 3,753 | | | | (695,918 | ) | | | (257,808 | ) | | | (438,110 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (5,090,070) | | | $ | (1,896,126) | | | $ | (3,193,944) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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, OTC Swaps and Options Written
| | | | | | | | | | | | | | | | | | | | |
| | | Swaps
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | | | Value | |
Centrally Cleared Swaps(a) | | $ | — | | | $ | — | | | $ | 46,708 | | | $ | (46,585) | | | $ | — | |
OTC Swaps | | | 374,649 | | | | (1,896,126 | ) | | | 1,136,806 | | | | (3,193,944) | | | | — | |
Options Written | | | N/A | | | | N/A | | | | — | | | | (529,888 | ) | | | (635,594 | ) |
| | (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. | |
| | |
| 76 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series M Portfolio |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,237,403 | | | $ | — | | | $ | 2,237,403 | |
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 46,708 | | | | — | | | | 46,708 | |
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 1,511,455 | | | | — | | | | — | | | | — | | | | — | | | | 1,511,455 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 1,511,455 | | | $ | — | | | $ | — | | | $ | 2,284,111 | | | $ | — | | | $ | 3,795,566 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 115,065 | | | $ | — | | | $ | 115,065 | |
Options written
Options written at value | | | — | | | | — | | | | — | | | | — | | | | 635,594 | | | | — | | | | 635,594 | |
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 46,585 | | | | — | | | | 46,585 | |
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 5,090,070 | | | | — | | | | — | | | | — | | | | — | | | | 5,090,070 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 5,090,070 | | | $ | — | | | $ | — | | | $ | 797,244 | | | $ | — | | | $ | 5,887,314 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 September 30, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,269,380 | | | $ | — | | | $ | 8,269,380 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | 862,235 | | | | — | | | | 862,235 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,131,615 | | | $ | — | | | $ | 9,131,615 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (5,909 | ) | | $ | — | | | $ | (5,909 | ) |
Options written | | | — | | | | — | | | | — | | | | — | | | | (529,888 | ) | | | — | | | | (529,888 | ) |
Swaps | | | — | | | | (1,732,212 | ) | | | — | | | | — | | | | (116,775 | ) | | | — | | | | (1,848,987 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (1,732,212 | ) | | $ | — | | | $ | — | | | $ | (652,572 | ) | | $ | — | | | $ | (2,384,784 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts | | | | |
Average notional value of contracts — long | | | $1,343,156 | |
Average notional value of contracts — short | | | $152,639,277 | |
Options | | | | |
Average value of option contracts written | | | $317,797 | |
Credit default swaps | | | | |
Average notional value — buy protection | | | $8,150,000 | |
Average notional value — sell protection | | | $26,550,250 | |
Interest rate swaps | | | | |
Average notional value — pays fixed rate | | | $26,623,074 | |
Average notional value — received fixed rate | | | $22,623,074 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 77 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series M Portfolio |
Derivative Financial Instruments – Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments
Futures contracts | | $ | 47,332 | | | $ | 4,281 | |
Options | | | — | | | | 635,594 | |
Swaps — centrally cleared | | | — | | | | 16 | |
Swaps — OTC(a) | | | 1,511,455 | | | | 5,090,070 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 1,558,787 | | | $ | 5,729,961 | |
| | | | | | | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (47,332 | ) | | | (639,891 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 1,511,455 | | | $ | 5,090,070 | |
| | | | | | | | |
| | (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. | |
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 | |
Goldman Sachs International | | $ | 1,511,455 | | | $ | (1,511,455) | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative
Liabilities
Subject to
an MNA by
Counterparty | | | Derivatives
Available for Offset(a) | | | Non-
Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net
Amount of
Derivative
Liabilities(b)
| |
Deutsche Bank AG | | $ | 1,555,920 | | | $ | — | | | $ | — | | | $ | (1,360,000 | ) | | $ | 195,920 | |
Goldman Sachs International | | | 2,838,232 | | | | (1,511,455 | ) | | | — | | | | (1,070,000 | ) | | | 256,777 | |
J.P. Morgan Securities LLC | | | 695,918 | | | | — | | | | — | | | | (500,000 | ) | | | 195,918 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 5,090,070 | | | $ | (1,511,455 | ) | | $ | — | | | $ | (2,930,000 | ) | | $ | 648,615 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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 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 | | $ | — | | | $ | 113,937 | | | $ | — | | | $ | 113,937 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 156,094,827 | | | | 2,449,586 | | | | 158,544,413 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 1,363,743,371 | | | | 2,957,100 | | | | 1,366,700,471 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 6,754,651 | | | | — | | | | — | | | | 6,754,651 | |
U.S. Treasury Obligations | | | — | | | | 87,530,457 | | | | — | | | | 87,530,457 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (346,205,585 | ) | | | — | | | | (346,205,585 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 6,754,651 | | | $ | 1,261,277,007 | | | $ | 5,406,686 | | | $ | 1,273,438,344 | |
| | | | | | | | | | | | | | | | |
| | |
| 78 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series M Portfolio |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 1,136,806 | | | $ | — | | | $ | 1,136,806 | |
Interest Rate Contracts | | | 2,237,403 | | | | 46,708 | | | | — | | | | 2,284,111 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (3,193,944 | ) | | | — | | | | (3,193,944 | ) |
Interest Rate Contracts | | | (750,659 | ) | | | (46,585 | ) | | | — | | | | (797,244 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 1,486,744 | | | $ | (2,057,015 | ) | | $ | — | | | $ | (570,271 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps, futures contracts and options written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at fair value. |
See notes to financial statements.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 79 |
| | |
Schedule of Investments (unaudited) September 30, 2022 | | BATS: Series P Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | |
Shares | | | Value | |
| | |
Investment Companies | | | | | | | | |
|
| Fixed-Income Funds — 23.0% | |
BATS: Series S Portfolio(a) | | | 1,373,569 | | | $ | 12,279,706 | |
| | | | | | | | |
| |
Total Investments — 23.0%
(Cost: $13,149,299) | | | | 12,279,706 | |
| |
Other Assets Less Liabilities — 77.0% | | | | 41,137,506 | |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 53,417,212 | |
| | | | | | | | |
| (a) | Affiliate of the Fund. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
03/31/22 | | | Purchases at Cost | | | Proceeds
from Sale | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
09/30/22 | | | Shares
Held at
09/30/22 | | | Income | | | Capital Gain
Distributions
from Underlying
Funds | |
BATS: Series S Portfolio | | $ | 11,725,920 | | | | $ 1,012,000 | | | $ | — | | | $ | — | | | $ | (458,214) | | | $ | 12,279,706 | | | | 1,373,569 | | | $ | 162,535 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | | 12/20/22 | | | $ | 137 | | | $ | (13,564 | ) |
U.S. Treasury Notes (5 Year) | | | 40 | | | | 12/30/22 | | | | 4,300 | | | | (142,978 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (156,542 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds (30 Year) | | | 2 | | | | 12/20/22 | | | | 253 | | | | 21,244 | |
U.S. Treasury Notes (10 Year) | | | 251 | | | | 12/20/22 | | | | 28,128 | | | | 1,374,654 | |
U.S. Ultra Treasury Bonds (10 Year) | | | 271 | | | | 12/20/22 | | | | 32,109 | | | | 1,860,284 | |
U.S. Treasury Notes (2 Year) | | | 31 | | | | 12/30/22 | | | | 6,367 | | | | 99,378 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,355,560 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 3,199,018 | |
| | | | | | | | | | | | | | | | |
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, 3.08% | | Quarterly | | | 10/21/22 | | | | USD 3,287 | | | $ | 21,339 | | | $ | — | | | $ | 21,339 | |
| SOFR, 2.98% | | Quarterly | | 0.05% | | Quarterly | | | 10/21/22 | | | | USD 3,287 | | | | (20,972 | ) | | | — | | | | (20,972 | ) |
| 0.18% | | Quarterly | | 1-day Overnight Fed Funds Effective Rate, 3.08% | | Quarterly | | | 10/21/25 | | | | USD 3,167 | | | | 364,765 | | | | — | | | | 364,765 | |
| SOFR, 2.98% | | Quarterly | | 0.17% | | Quarterly | | | 10/21/25 | | | | USD 3,167 | | | | (362,053 | ) | | | — | | | | (362,053 | ) |
| 2.90% | | Semi-Annual | | 3-month LIBOR, 3.75% | | Quarterly | | | 11/15/27 | | | | USD 2 | | | | 94 | | | | — | | | | 94 | |
| 0.56% | | Quarterly | | 1-day Overnight Fed Funds Effective Rate, 3.08% | | Quarterly | | | 10/21/30 | | | | USD 336 | | | | 72,738 | | | | — | | | | 72,738 | |
| SOFR, 2.98% | | Quarterly | | 0.53% | | Quarterly | | | 10/21/30 | | | | USD 336 | | | | (73,181 | ) | | | — | | | | (73,181 | ) |
| 0.75% | | Quarterly | | SOFR, 2.98% | | Quarterly | | | 10/21/35 | | | | USD 22 | | | | 6,343 | | | | — | | | | 6,343 | |
| | |
| 80 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 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, 3.08% | | Quarterly | | 0.79% | | Quarterly | | | 10/21/35 | | | | USD 22 | | | $ | (6,259 | ) | | $ | — | | | $ | (6,259 | ) |
0.84% | | Quarterly | | SOFR, 2.98% | | Quarterly | | | 10/21/40 | | | | USD 39 | | | | 13,511 | | | | — | | | | 13,511 | |
1-day Overnight Fed Funds Effective Rate, 3.08% | | Quarterly | | 0.91% | | Quarterly | | | 10/21/40 | | | | USD 39 | | | | (13,205 | ) | | | — | | | | (13,205 | ) |
0.91% | | Quarterly | | SOFR, 2.98% | | Quarterly | | | 10/21/50 | | | | USD 22 | | | | 8,812 | | | | — | | | | 8,812 | |
1-day Overnight Fed Funds Effective Rate, 3.08% | | Quarterly | | 0.99% | | Quarterly | | | 10/21/50 | | | | USD 22 | | | | (8,504 | ) | | | — | | | | (8,504 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 3,428 | | | $ | — | | | $ | 3,428 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | | $ — | | | | $ — | | | | $ 487,602 | | | | $ (484,174) | |
| | (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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | $ 3,355,560 | | | $ | — | | | | $ 3,355,560 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 487,602 | | | | — | | | | 487,602 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | $ 3,843,162 | | | $ | — | | | | $ 3,843,162 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | $ 156,542 | | | $ | — | | | | $ 156,542 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 484,174 | | | | — | | | | 484,174 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | $ 640,716 | | | $ | — | | | | $ 640,716 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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). |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 81 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series P Portfolio |
For the period ended September 30, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,593,580 | | | $ | — | | | $ | 4,593,580 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | 4,519 | | | | — | | | | 4,519 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | $ 4,598,099 | | | $ | — | | | | $ 4,598,099 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,328,089 | | | $ | — | | | $ | 1,328,089 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | 1,310 | | | | — | | | | 1,310 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | $ 1,329,399 | | | $ | — | | | | $ 1,329,399 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts | | | | |
Average notional value of contracts — long | | | $3,811,203 | |
Average notional value of contracts — short | | $ | 68,406,493 | |
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 | | $ | 12,279,706 | | | $ | — | | | $ | — | | | $ | 12,279,706 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | $ | 3,355,560 | | | $ | 487,602 | | | $ | — | | | $ | 3,843,162 | |
Liabilities | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | (156,542 | ) | | | (484,174 | ) | | | — | | | | (640,716 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 3,199,018 | | | $ | 3,428 | | | $ | — | | | $ | 3,202,446 | |
| | | | | | | | | | | | | | | | |
| | (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.
| | |
| 82 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) September 30, 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%),
3.81%, 01/15/33(a)(b) | | | USD | | | | 250 | | | $ | 242,113 | |
American Express Credit Account Master Trust | | | | | | | | | | | | |
Series 2021-1, Class A, 0.90%, 11/15/26 | | | | | | | 1,385 | | | | 1,279,526 | |
Series 2022-1, Class A, 2.21%, 03/15/27 | | | | | | | 1,711 | | | | 1,614,331 | |
Series 2022-2, Class A, 3.39%, 05/15/27 | | | | | | | 3,884 | | | | 3,757,669 | |
Series 2022-3, Class A, 3.75%, 08/15/27 | | | | | | | 5,051 | | | | 4,920,320 | |
AmeriCredit Automobile Receivables Trust | | | | | | | | | | | | |
Series 2021-1, Class A3, 0.37%, 08/18/25 | | | | | | | 1,327 | | | | 1,304,445 | |
Series 2021-3, Class A3, 0.76%, 08/18/26 | | | | | | | 1,400 | | | | 1,339,899 | |
Series 2022-1, Class A3, 2.45%, 11/18/26 | | | | | | | 797 | | | | 772,674 | |
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 3.88%, 01/28/31(a)(b) | | | | | | | 470 | | | | 461,907 | |
Arbor Realty Commercial Real Estate Notes Ltd., | | | | | | | | | | | | |
Series 2021-FL2, Class A, (1 mo. LIBOR US + 1.10%), 3.92%, 05/15/36(a)(b) | | | | | | | 500 | | | | 485,435 | |
Atrium XIII, Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 4.28%, 11/21/30(a)(b) | | | | | | | 800 | | | | 759,486 | |
BA Credit Card Trust, Series 2022-A1, Class A1, 3.53%, 11/15/27 | | | | | | | 4,763 | | | | 4,620,219 | |
Bain Capital Credit CLO Ltd., Series 2021-5A, Class B, (3 mo. LIBOR US + 1.65%),
4.43%, 10/23/34(a)(b) | | | | | | | 500 | | | | 468,465 | |
Benefit Street Partners CLO III Ltd.,
Series 2013-IIIA, | | | | | | | | | | | | |
Class A1R2, (3 mo. LIBOR US + 1.00%), 3.71%, 07/20/29(a)(b) | | | | | | | 767 | | | | 758,767 | |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 3.81%, 01/20/31(a)(b) | | | | | | | 500 | | | | 488,234 | |
BHG Securitization Trust, Series 2022-B, Class A, 3.75%, 06/18/35(a) | | | | | | | 122 | | | | 119,772 | |
Birch Grove CLO 2 Ltd., Series 2021-2A, Class B, (3 mo. LIBOR US + 1.75%),
4.49%, 10/19/34(a)(b) | | | | | | | 250 | | | | 235,832 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3 mo. LIBOR US + 1.75%), 4.53%, 07/25/34(a)(b) | | | | | | | 250 | | | | 235,271 | |
BMW Vehicle Owner Trust | | | | | | | | | | | | |
Series 2019-A, Class A4, 1.95%, 01/26/26 | | | | | | | 1,290 | | | | 1,274,863 | |
Series 2022-A, Class A3, 3.21%, 08/25/26 | | | | | | | 2,722 | | | | 2,648,827 | |
Canyon CLO Ltd., Series 2021-4A, Class B, (3 mo. LIBOR US + 1.70%),
4.21%, 10/15/34(a)(b) | | | | | | | 250 | | | | 234,884 | |
Capital One Multi-Asset Execution Trust | | | | | | | | | | | | |
Series 2022-A1, Class A1, 2.80%, 03/15/27 | | | | | | | 3,331 | | | | 3,188,264 | |
Series 2022-A2, Class A, 3.49%, 05/15/27 | | | | | | | 7,105 | | | | 6,888,647 | |
Capital One Prime Auto Receivables Trust, | | | | | | | | | | | | |
Series 2022-2, Class A3, 3.66%, 05/17/27 | | | | | | | 2,113 | | | | 2,064,333 | |
CarMax Auto Owner Trust | | | | | | | | | | | | |
Series 2021-1, Class A3, 0.34%, 12/15/25 | | | | | | | 1,077 | | | | 1,042,755 | |
Series 2021-2, Class A3, 0.52%, 02/17/26 | | | | | | | 910 | | | | 879,677 | |
Series 2022-2, Class A3, 3.49%, 02/16/27 | | | | | | | 3,234 | | | | 3,153,922 | |
Series 2022-3, Class A3, 3.97%, 04/15/27 | | | | | | | 1,390 | | | | 1,363,124 | |
Cedar Funding VII CLO Ltd. | | | | | | | | | | | | |
Series 2018-7A, Class A1, (3 mo. LIBOR US + 1.00%), 3.71%, 01/20/31(a)(b) | | | | | | | 1,500 | | | | 1,468,064 | |
Series 2018-7A, Class A2, (3 mo. LIBOR US + 1.13%), 3.84%, 01/20/31(a)(b) | | | | | | | 875 | | | | 840,388 | |
CIFC Funding Ltd., Series 2014-3A, Class A1R2, | | | | | | | | | | | | |
(3 mo. LIBOR US + 1.20%),
3.96%, 10/22/31(a)(b) | | | | | | | 1,000 | | | | 970,000 | |
CNH Equipment Trust | | | | | | | | | | | | |
Series 2019-B, Class A3, 2.52%, 08/15/24 | | | | | | | 249 | | | | 248,292 | |
Series 2022-B, Class A3, 3.89%, 08/16/27 | | | | | | | 614 | | | | 600,100 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Asset- Backed Securities (continued) | | | | | | | | | | | | |
College Ave Student Loans LLC | | | | | | | | | | | | |
Series 2021-B, Class A1, (1 mo. LIBOR US + 0.80%),
3.88%, 06/25/52(a)(b) | | | USD | | | | 241 | | | $ | 232,333 | |
Series 2021-C, Class B,
2.72%, 07/26/55(a) | | | | | | | 100 | | | | 84,733 | |
Credit Acceptance Auto Loan Trust | | | | | | | | | | | | |
Series 2020-1A, Class A,
2.01%, 02/15/29(a) | | | | | | | 211 | | | | 210,722 | |
Series 2020-2A, Class A,
1.37%, 07/16/29(a) | | | | | | | 192 | | | | 189,254 | |
Series 2021-2A, Class A,
0.96%, 02/15/30(a) | | | | | | | 970 | | | | 924,958 | |
Series 2022-1A, Class A,
4.60%, 06/15/32(a) | | | | | | | 780 | | | | 760,710 | |
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.24%),
3.75%, 07/15/36(a)(b) | | | | | | | 250 | | | | 240,232 | |
Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.75%),
4.26%, 10/15/36(a)(b) | | | | | | | 250 | | | | 237,910 | |
Discover Card Execution Notes Trust | | | | | | | | | | | | |
Series 2017-A5, Class A5, (1 mo. LIBOR US + 0.60%), 3.42%, 12/15/26(b) | | | | | | | 925 | | | | 924,538 | |
Series 2022-A3, Class A3,
3.56%, 07/15/27 | | | | | | | 4,148 | | | | 4,030,492 | |
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2,
0.56%, 12/11/34(a) | | | | | | | 722 | | | | 697,062 | |
Drive Auto Receivables Trust, Series 2021-3, Class A3, 0.79%, 10/15/25 | | | | | | | 1,400 | | | | 1,382,872 | |
Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, (3 mo. LIBOR US + 1.02%),
3.53%, 04/15/29(a)(b) | | | | | | | 232 | | | | 228,769 | |
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%),
3.75%, 04/20/34(a)(b) | | | | | | | 1,000 | | | | 962,420 | |
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3 mo. LIBOR US + 1.70%),
4.21%, 10/15/30(a)(b) | | | | | | | 700 | | | | 657,911 | |
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A,
1.80%, 11/25/45(a) | | | | | | | 86 | | | | 73,182 | |
ELFI Graduate Loan Program LLC, Series 2022-A, Class A, 4.51%, 08/26/47(a) | | | | | | | 558 | | | | 537,308 | |
Enterprise Fleet Financing LLC, Series 2020-1, Class A2, 1.78%, 12/22/25(a) | | | | | | | 386 | | | | 383,807 | |
Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26(a) | | | | | | | 678 | | | | 655,801 | |
Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39(a) | | | CAD | | | | 510 | | | | 360,169 | |
Ford Credit Auto Owner Trust | | | | | | | | | | | | |
Series 2021-A, Class A3, 0.30%, 08/15/25 | | | USD | | | | 506 | | | | 491,123 | |
Series 2022-B, Class A4, 3.93%, 08/15/27 | | | | | | | 417 | | | | 407,477 | |
FS Rialto Issuer Ltd., Series 2021-FL2, Class A, | | | | | | | | | | | | |
(1 mo. LIBOR US + 1.22%),
4.16%, 05/16/38(a)(b) | | | | | | | 310 | | | | 301,525 | |
Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, | | | | | | | | | | | | |
(3 mo. LIBOR US + 1.40%),
4.18%, 07/24/30(a)(b) | | | | | | | 250 | | | | 238,439 | |
Generate CLO 2 Ltd., Series 2A, Class AR, (3 mo. LIBOR US + 1.15%), 3.91%, 01/22/31(a)(b) | | | | | | | 1,500 | | | | 1,467,091 | |
GM Financial Consumer Automobile Receivables | | | | | | | | | | | | |
Trust | | | | | | | | | | | | |
Series 2022-1, Class A4,
1.51%, 04/17/28 | | | | | | | 277 | | | | 253,680 | |
Series 2022-2, Class A3,
3.10%, 02/16/27 | | | | | | | 196 | | | | 189,926 | |
Series 2022-2, Class A4,
3.25%, 04/17/28 | | | | | | | 629 | | | | 600,944 | |
Series 2022-3, Class A4,
3.71%, 12/16/27 | | | | | | | 887 | | | | 856,443 | |
GoodLeap Sustainable Home Solutions Trust | | | | | | | | | | | | |
Series 2021-4GS, Class A,
1.93%, 07/20/48(a) | | | | | | | 155 | | | | 124,324 | |
Series 2021-5CS, Class A,
2.31%, 10/20/48(a) | | | | | | | 137 | | | | 113,747 | |
Series 2022-1GS, Class A,
2.70%, 01/20/49(a) | | | | | | | 116 | | | | 98,039 | |
Series 2022-2CS, Class A,
4.00%, 04/20/49(a) | | | | | | | 82 | | | | 74,961 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 83 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Asset- Backed Securities (continued) | | | | | | | | | |
GoodLeap Sustainable Home Solutions Trust | | | | | | | | | | | | |
Series 2022-3CS, Class A,
4.95%, 07/20/49(a) | | | USD | | | | 860 | | | $ | 824,041 | |
Honda Auto Receivables Owner Trust | | | | | | | | | | | | |
Series 2019-3, Class A4, 1.85%, 08/15/25 | | | | | | | 790 | | | | 787,054 | |
Series 2019-4, Class A4, 1.87%, 01/20/26 | | | | | | | 500 | | | | 493,405 | |
Series 2020-1, Class A4, 1.63%, 10/21/26 | | | | | | | 900 | | | | 881,604 | |
Series 2021-1, Class A3, 0.27%, 04/21/25 | | | | | | | 898 | | | | 871,481 | |
Hyundai Auto Receivables Trust | | | | | | | | | | | | |
Series 2021-C, Class A3, 0.74%, 05/15/26 | | | | | | | 700 | | | | 660,359 | |
Series 2022-B, Class A3, 3.72%, 11/16/26 | | | | | | | 507 | | | | 497,245 | |
Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3 mo. LIBOR US + 1.80%), 4.58%, 07/25/34(a)(b) | | | | 250 | | | | 234,425 | |
John Deere Owner Trust, Series 2021-A, Class A2, 0.20%, 12/15/23 | | | | 226 | | | | 225,448 | |
Lendmark Funding Trust, Series 2021-1A, Class A, 1.90%, 11/20/31(a) | | | | | | | 330 | | | | 277,252 | |
LoanCore Issuer Ltd., Series 2021-CRE5, Class A, (1 mo. LIBOR US + 1.30%),
4.12%, 07/15/36(a)(b) | | | | | | | 220 | | | | 213,125 | |
Mariner Finance Issuance Trust | | | | | | | | | | | | |
Series 2020-AA, Class A, 2.19%, 08/21/34(a) | | | | | | | 284 | | | | 274,140 | |
Series 2021-AA, Class A, 1.86%, 03/20/36(a) | | | | | | | 140 | | | | 117,430 | |
Mosaic Solar Loan Trust | | | | | | | | | | | | |
Series 2022-1A, Class A, 2.64%, 01/20/53(a) | | | | | | | 213 | | | | 185,195 | |
Series 2022-2A, Class A, 4.38%, 01/21/53(a) | | | | | | | 183 | | | | 172,278 | |
Navient Private Education Loan Trust | | | | | | | | | | | | |
Series 2020-A, Class A2B, (1 mo. LIBOR US + 0.90%), 3.72%, 11/15/68(a)(b) | | | | | | | 1,623 | | | | 1,600,142 | |
Series 2020-IA, Class A1A,
1.33%, 04/15/69(a) | | | | | | | 1,036 | | | | 899,718 | |
Navient Private Education Refi Loan Trust | | | | | | | | | | | | |
Series 2019-CA, Class A2,
3.13%, 02/15/68(a) | | | | | | | 334 | | | | 320,033 | |
Series 2019-GA, Class A, 2.40%, 10/15/68(a) | | | | | | | 122 | | | | 112,846 | |
Series 2020-BA, Class A2, 2.12%, 01/15/69(a) | | | | | | | 422 | | | | 386,360 | |
Series 2020-DA, Class A, 1.69%, 05/15/69(a) | | | | | | | 539 | | | | 486,656 | |
Series 2020-FA, Class A, 1.22%, 07/15/69(a) | | | | | | | 759 | | | | 683,768 | |
Series 2021-A, Class A, 0.84%, 05/15/69(a) | | | | | | | 88 | | | | 77,119 | |
Series 2021-BA, Class A, 0.94%, 07/15/69(a) | | | | | | | 532 | | | | 457,170 | |
Series 2021-DA, Class A, (Prime Rate + (1.99)%), | | | | | | | | | |
3.51%, 04/15/60(a)(b) | | | | | | | 516 | | | | 471,578 | |
Series 2022-BA, Class A, 4.16%, 10/15/70(a) | | | | | | | 1,603 | | | | 1,544,573 | |
Nelnet Student Loan Trust | | | | | | | | | | | | |
Series 2021-A, Class APT2,
1.36%, 04/20/62(a) | | | | | | | 778 | | | | 687,096 | |
Series 2021-CA, Class AFL, (1 mo. LIBOR US + 0.74%), 3.73%, 04/20/62(a)(b) | | | | 585 | | | | 566,467 | |
OCP CLO Ltd., Series 2020-19A, Class BR, (3 mo. LIBOR US + 1.70%), 4.41%, 10/20/34(a)(b) | | | | 250 | | | | 234,511 | |
Octagon 56 Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.65%),
4.16%, 10/15/34(a)(b) | | | | | | | 300 | | | | 279,782 | |
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.97%),
3.48%, 04/15/31(a)(b) | | | | 435 | | | | 424,789 | |
OneMain Direct Auto Receivables Trust, Series 2021- 1A, Class A, 0.87%, 07/14/28(a) | | | | 1,990 | | | | 1,840,608 | |
OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.13%, 05/14/35(a) | | | | 689 | | | | 654,435 | |
OZLM XXII Ltd., Series 2018-22A, Class A2, (3 mo. LIBOR US + 1.50%), 4.24%, 01/17/31(a)(b) | | | | 250 | | | | 232,375 | |
Palmer Square CLO Ltd. | | | | | | | | | | | | |
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 3.87%, 01/17/31(a)(b) | | | | 1,250 | | | | 1,228,666 | |
Series 2018-2A, Class A1A, (3 mo. LIBOR US + 1.10%), 3.84%, 07/16/31(a)(b) | | | | | | | 250 | | | | 243,204 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Asset- Backed Securities (continued) | | | | | | | | | |
Park Avenue Institutional Advisers CLO Ltd., | | | | | | | | | | | | |
Series 2018-1A, Class A1AR, (3 mo. LIBOR US + 1.00%), 3.71%, 10/20/31(a)(b) | | | USD | | | | 750 | | | $ | 726,677 | |
PFS Financing Corp. | | | | | | | | | | | | |
Series 2020-A, Class A, 1.27%, 06/15/25(a) | | | | | | | 1,000 | | | | 972,352 | |
Series 2020-G, Class A, 0.97%, 02/15/26(a) | | | | | | | 370 | | | | 348,792 | |
Series 2021-A, Class A, 0.71%, 04/15/26(a) | | | | | | | 230 | | | | 214,585 | |
Series 2022-D, Class A, 4.27%, 08/15/27(a) | | | | | | | 706 | | | | 683,727 | |
Pikes Peak CLO 8, Series 2021-8A, Class B, (3 mo. LIBOR US + 1.75%), 4.46%, 07/20/34(a)(b) | | | | | | | 250 | | | | 235,799 | |
Prodigy Finance DAC, Series 2021-1A, Class A, (1 mo. LIBOR US + 1.25%),
4.33%, 07/25/51(a)(b) | | | | | | | 132 | | | | 128,914 | |
Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40(a) | | | | | | | 527 | | | | 442,521 | |
Regional Management Issuance Trust | | | | | | | | | | | | |
Series 2021-2, Class A, 1.90%, 08/15/33(a) | | | | | | | 421 | | | | 345,868 | |
Series 2022-1, Class B, 3.71%, 03/15/32(a) | | | | | | | 100 | | | | 88,409 | |
Santander Drive Auto Receivables Trust | | | | | | | | | | | | |
Series 2021-4, Class A3, 0.51%, 08/15/25 | | | | | | | 523 | | | | 519,267 | |
Series 2022-3, Class A3, 3.40%, 12/15/26 | | | | | | | 1,080 | | | | 1,060,431 | |
SLM Student Loan Trust, Series 2013-4, Class A, (1 mo. LIBOR US + 0.55%),
3.63%, 06/25/43(b) | | | | | | | 198 | | | | 193,220 | |
SMB Private Education Loan Trust | | | | | | | | | | | | |
Series 2016-A, Class A2B, (1 mo. LIBOR US + 1.50%), 4.32%, 05/15/31(a)(b) | | | | | | | 473 | | | | 472,359 | |
Series 2016-B, Class A2B, (1 mo. LIBOR US + 1.45%), 4.27%, 02/17/32(a)(b) | | | | | | | 498 | | | | 497,054 | |
Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.90%), 3.72%, 09/15/34(a)(b) | | | | | | | 1,202 | | | | 1,187,312 | |
Series 2019-B, Class A2B, (1 mo. LIBOR US + 1.00%), 3.82%, 06/15/37(a)(b) | | | | | | | 934 | | | | 919,692 | |
Series 2021-A, Class A2A1, (1 mo. LIBOR US + 0.73%), 3.55%, 01/15/53(a)(b) | | | | | | | 1,114 | | | | 1,069,125 | |
Series 2021-A, Class APL,
0.00%, 01/15/53(a) | | | | | | | 1,308 | | | | 1,256,322 | |
Series 2022-A, Class APT,
2.85%, 11/16/54(a) | | | | | | | 893 | | | | 812,170 | |
Series 2022-B, Class A1A,
3.94%, 02/16/55(a) | | | | | | | 922 | | | | 859,515 | |
SoFi Professional Loan Program LLC | | | | | | | | | | | | |
Series 2016-C, Class A2B,
2.36%, 12/27/32(a) | | | | | | | 1 | | | | 619 | |
Series 2016-D, Class A2B,
2.34%, 04/25/33(a) | | | | | | | 12 | | | | 12,030 | |
SoFi Professional Loan Program Trust | | | | | | | | | | | | |
Series 2020-A, Class A2FX,
2.54%, 05/15/46(a) | | | | | | | 278 | | | | 259,541 | |
Series 2020-C, Class AFX,
1.95%, 02/15/46(a) | | | | | | | 361 | | | | 327,742 | |
TICP CLO VI Ltd., Series 2016-6A,
Class AR2, (3 mo. | | | | | | | | | | | | |
LIBOR US + 1.12%), 3.63%, 01/15/34(a)(b) | | | | | | | 1,000 | | | | 953,750 | |
Toyota Auto Receivables Owner Trust | | | | | | | | | | | | |
Series 2020-C, Class A4, 0.57%, 10/15/25 | | | | | | | 2,500 | | | | 2,377,302 | |
Series 2022-B, Class A3, 2.93%, 09/15/26 | | | | | | | 1,241 | | | | 1,202,955 | |
Series 2022-B, Class A4, 3.11%, 08/16/27 | | | | | | | 573 | | | | 543,496 | |
Toyota Lease Owner Trust, Series 2021-A, Class A2, 0.27%, 09/20/23(a) | | | | | | | 69 | | | | 68,840 | |
Verizon Owner Trust, Series 2020-A, Class A1A, 1.85%, 07/22/24 | | | | | | | 209 | | | | 207,869 | |
Volkswagen Auto Loan Enhanced Trust, | | | | | | | | | | | | |
Series 2021-1, Class A3, 1.02%, 06/22/26 | | | | | | | 1,223 | | | | 1,158,885 | |
Voya CLO Ltd., Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.15%), 3.66%, 10/15/31(a)(b) | | | | | | | 1,000 | | | | 970,000 | |
Westlake Automobile Receivables Trust, Series 2021-1A, Class A2A, 0.39%, 10/15/24(a) | | | | | | | 257 | | | | 255,353 | |
| | | | | | | | |
| | | |
Total Asset-Backed Securities — 26.2%
(Cost: $115,646,288) | | | | | | | | | | | 111,242,278 | |
| | | | | | | | |
| | |
| 84 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
| Aerospace & Defense — 0.2% | | | | | | | | | |
Boeing Co. | | | | | | | | | | | | |
2.80%, 03/01/23 | | | USD | | | | 450 | | | $ | 446,795 | |
2.20%, 02/04/26 | | | | | | | 200 | | | | 177,487 | |
Raytheon Technologies Corp., 3.65%, 08/16/23 | | | | | | | 30 | | | | 29,709 | |
| | | | | | | | |
| | | | | | | | | 653,991 | |
| | | |
| Automobiles — 0.9% | | | | | | | | | |
Daimler Trucks Finance North America LLC, 2.00%, 12/14/26(a) | | | | | | | 150 | | | | 129,080 | |
Honda Motor Co. Ltd., 2.53%, 03/10/27 | | | | | | | 350 | | | | 316,518 | |
Mercedes-Benz Finance North America LLC, 1.45%, 03/02/26(a) | | | | | | | 315 | | | | 276,781 | |
Nissan Motor Co.Ltd. | | | | | | | | | | | | |
3.52%, 09/17/25(a) | | | | | | | 1,945 | | | | 1,788,825 | |
2.65%, 03/17/26(c) | | | EUR | | | | 100 | | | | 90,028 | |
3.20%, 09/17/28(c) | | | | | | | 155 | | | | 129,972 | |
Stellantis NV | | | | | | | | | | | | |
2.38%, 04/14/23(c) | | | | | | | 695 | | | | 679,296 | |
3.75%, 03/29/24(c) | | | | | | | 135 | | | | 132,766 | |
Traton Finance Luxembourg SA,
1.63%, 06/14/24(c) | | | | | | | 500 | | | | 460,259 | |
| | | | | | | | | | | | |
| | | | | | | | | 4,003,525 | |
| | | |
| Banks — 10.2% | | | | | | | | | |
Banco Santander SA, 2.75%, 05/28/25 | | | USD | | | | 600 | | | | 548,610 | |
Bank Leumi Le-Israel BM, 3.28%, 01/29/31(a)(c) | | | | | | | 200 | | | | 170,125 | |
Bank of America Corp. | | | | | | | | | | | | |
3.00%, 12/20/23 | | | | | | | 2,475 | | | | 2,461,859 | |
3.55%, 03/05/24 | | | | | | | 2,340 | | | | 2,321,587 | |
1.84%, 02/04/25 | | | | | | | 500 | | | | 475,168 | |
0.98%, 09/25/25 | | | | | | | 1,600 | | | | 1,455,733 | |
1.53%, 12/06/25 | | | | | | | 1,610 | | | | 1,472,675 | |
1.32%, 06/19/26 | | | | | | | 234 | | | | 207,698 | |
4.83%, 07/22/26 | | | | | | | 1,460 | | | | 1,427,433 | |
1.20%, 10/24/26 | | | | | | | 770 | | | | 671,866 | |
Bank of Montreal, Series H, 4.25%, 09/14/24 | | | | | | | 890 | | | | 875,556 | |
Barclays PLC | | | | | | | | | | | | |
1.01%, 12/10/24 | | | | | | | 1,200 | | | | 1,129,507 | |
3.93%, 05/07/25 | | | | | | | 800 | | | | 769,388 | |
5.50%, 08/09/28 | | | | | | | 595 | | | | 557,775 | |
BPCE SA, 2.05%, 10/19/27(a) | | | | | | | 295 | | | | 248,374 | |
Citigroup, Inc. | | | | | | | | | | | | |
0.98%, 05/01/25 | | | | | | | 1,150 | | | | 1,065,523 | |
3.29%, 03/17/26 | | | | | | | 490 | | | | 462,616 | |
3.11%, 04/08/26 | | | | | | | 1,665 | | | | 1,560,552 | |
5.61%, 09/29/26 | | | | | | | 570 | | | | 566,855 | |
1.12%, 01/28/27 | | | | | | | 100 | | | | 85,551 | |
1.46%, 06/09/27 | | | | | | | 580 | | | | 493,811 | |
Cooperatieve Rabobank UA,
1.34%, 06/24/26(a) | | | | | | | 270 | | | | 239,283 | |
Credit Agricole SA, 1.25%, 01/26/27(a) | | | | | | | 250 | | | | 212,837 | |
Danske Bank A/S | | | | | | | | | | | | |
0.98%, 09/10/25(a) | | | | | | | 600 | | | | 543,307 | |
1.62%, 09/11/26(a) | | | | | | | 1,305 | | | | 1,129,377 | |
Discover Bank, 2.45%, 09/12/24 | | | | | | | 250 | | | | 236,460 | |
HSBC Holdings PLC | | | | | | | | | | | | |
3.00%, 03/10/26 | | | | | | | 420 | | | | 388,335 | |
2.25%, 11/22/27 | | | | | | | 865 | | | | 726,763 | |
Huntington Bancshares, Inc., 4.44%, 08/04/28 | | | | | | | 470 | | | | 443,780 | |
ING Groep NV | | | | | | | | | | | | |
0.10%, 09/03/25(c) | | | EUR | | | | 100 | | | | 91,142 | |
1.73%, 04/01/27 | | | USD | | | | 280 | | | | 240,045 | |
1.38%, 01/11/28(c) | | | EUR | | | | 200 | | | | 169,155 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
0.70%, 03/16/24 | | | USD | | | | 470 | | | $ | 460,081 | |
1.51%, 06/01/24 | | | | | | | 420 | | | | 410,035 | |
3.80%, 07/23/24 | | | | | | | 632 | | | | 623,361 | |
4.02%, 12/05/24 | | | | | | | 1,975 | | | | 1,943,331 | |
2.30%, 10/15/25 | | | | | | | 940 | | | | 881,507 | |
2.60%, 02/24/26 | | | | | | | 900 | | | | 837,251 | |
2.08%, 04/22/26 | | | | | | | 821 | | | | 748,004 | |
1.05%, 11/19/26 | | | | | | | 800 | | | | 691,947 | |
4.85%, 07/25/28 | | | | | | | 600 | | | | 576,104 | |
KeyBank N.A./Cleveland OH, 4.15%, 08/08/25 | | | | | | | 525 | | | | 508,879 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | | | | | |
1.41%, 07/17/25 | | | | | | | 965 | | | | 865,064 | |
4.79%, 07/18/25 | | | | | | | 1,420 | | | | 1,401,351 | |
Mizuho Financial Group, Inc., 1.23%, 05/22/27 | | | | | | | 200 | | | | 169,012 | |
NatWest Group PLC | | | | | | | | | | | | |
2.36%, 05/22/24 | | | | | | | 645 | | | | 629,848 | |
1.64%, 06/14/27 | | | | | | | 1,145 | | | | 961,288 | |
NatWest Markets PLC, 1.60%, 09/29/26(a) | | | | | | | 427 | | | | 360,569 | |
Nordea Bank Abp, 1.50%, 09/30/26(a) | | | | | | | 850 | | | | 724,446 | |
PSA Banque France SA, 0.75%, 04/19/23(c) | | | EUR | | | | 755 | | | | 730,082 | |
Standard Chartered PLC, 0.99%, 01/12/25(a) | | | USD | | | | 535 | | | | 500,990 | |
Sumitomo Mitsui Financial Group, Inc., 0.95%, 01/12/26 | | | | | | | 825 | | | | 714,427 | |
Svenska Handelsbanken AB, 1.42%, 06/11/27(a) | | | | | | | 550 | | | | 473,778 | |
Swedbank AB, 5.34%, 09/20/27(a) | | | | | | | 630 | | | | 610,403 | |
U.S. Bancorp | | | | | | | | | | | | |
2.22%, 01/27/28 | | | | | | | 600 | | | | 528,482 | |
4.55%, 07/22/28 | | | | | | | 560 | | | | 539,647 | |
UniCredit SpA, 2.57%, 09/22/26(a) | | | | | | | 570 | | | | 488,391 | |
Wells Fargo & Co. | | | | | | | | | | | | |
3.91%, 04/25/26 | | | | | | | 1,385 | | | | 1,324,015 | |
3.53%, 03/24/28 | | | | | | | 1,005 | | | | 910,246 | |
| | | | | | | | |
| | | | | | | | | 43,061,285 | |
| | | |
| Beverages — 0.1% | | | | | | | | | |
Asahi Group Holdings Ltd., 0.01%, 04/19/24(c) | | | EUR | | | | 525 | | | | 490,202 | |
| | | | | | | | |
Biotechnology — 0.5% | | | | | | | | | | | | |
AbbVie, Inc. | | | | | | | | | | | | |
2.60%, 11/21/24 | | | USD | | | | 260 | | | | 247,423 | |
3.80%, 03/15/25 | | | | | | | 700 | | | | 677,953 | |
2.95%, 11/21/26 | | | | | | | 575 | | | | 526,791 | |
0.75%, 11/18/27 | | | EUR | | | | 175 | | | | 147,818 | |
Gilead Sciences, Inc. | | | | | | | | | | | | |
3.65%, 03/01/26 | | | USD | | | | 335 | | | | 318,426 | |
2.95%, 03/01/27 | | | | | | | 350 | | | | 319,068 | |
| | | | | | | | |
| | | | | | | | | 2,237,479 | |
| | | |
| Capital Markets — 3.1% | | | | | | | | | |
Bank of New York Mellon Corp. | | | | | | | | | | | | |
3.43%, 06/13/25 | | | | | | | 950 | | | | 925,592 | |
4.41%, 07/24/26 | | | | | | | 605 | | | | 591,098 | |
Blackstone Private Credit Fund | | | | | | | | | | | | |
3.25%, 03/15/27 | | | | | | | 800 | | | | 662,280 | |
4.00%, 01/15/29 | | | | | | | 305 | | | | 244,320 | |
Credit Suisse AG, 2.95%, 04/09/25 | | | | | | | 415 | | | | 381,680 | |
Credit Suisse Group AG, 3.25%, 04/02/26(c) | | | EUR | | | | 385 | | | | 357,196 | |
Deutsche Bank AG | | | | | | | | | | | | |
1.45%, 04/01/25 | | | USD | | | | 345 | | | | 317,405 | |
2.55%, 01/07/28 | | | | | | | 1,330 | | | | 1,079,748 | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | |
0.66%, 09/10/24 | | | | | | | 620 | | | | 590,181 | |
3.50%, 01/23/25 | | | | | | | 450 | | | | 432,430 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 85 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Capital Markets (continued) | | | | | | | | | |
Goldman Sachs Group, Inc.
3.27%, 09/29/25 | | | USD | | | | 1,410 | | | $ | 1,343,079 | |
2.64%, 02/24/28 | | | | | | | 410 | | | | 355,732 | |
Series VAR, 1.09%, 12/09/26 | | | | | | | 500 | | | | 431,463 | |
Intercontinental Exchange, Inc.,
4.00%, 09/15/27 | | | | | | | 839 | | | | 796,406 | |
Morgan Stanley | | | | | | | | | | | | |
3.13%, 01/23/23 | | | | | | | 170 | | | | 169,442 | |
0.53%, 01/25/24 | | | | | | | 285 | | | | 280,355 | |
0.73%, 04/05/24 | | | | | | | 70 | | | | 68,310 | |
0.79%, 01/22/25 | | | | | | | 1,100 | | | | 1,030,433 | |
0.79%, 05/30/25 | | | | | | | 500 | | | | 460,201 | |
0.99%, 12/10/26 | | | | | | | 735 | | | | 633,781 | |
2.48%, 01/21/28 | | | | | | | 585 | | | | 511,290 | |
UBS Group AG | | | | | | | | | | | | |
1.01%, 07/30/24(a) | | | | | | | 645 | | | | 622,297 | |
1.25%, 09/01/26(c) | | | EUR | | | | 200 | | | | 175,598 | |
4.70%, 08/05/27(a) | | | USD | | | | 605 | | | | 573,541 | |
| | | | | | | | | | | 13,033,858 | |
| | | |
| Chemicals — 0.5% | | | | | | | | | |
International Flavors & Fragrances, Inc., 1.23%, 10/01/25(a) | | | | | | | 1,497 | | | | 1,311,867 | |
LYB International Finance III LLC,
1.25%, 10/01/25 | | | | | | | 491 | | | | 431,429 | |
Sherwin-Williams Co, 4.25%, 08/08/25 | | | | | | | 225 | | | | 219,614 | |
| | | | | | | | | | | 1,962,910 | |
| | | |
| Commercial Services & Supplies — 0.3% | | | | | | | | | |
Aptiv PLC/Aptiv Corp., 2.40%, 02/18/25 | | | | | | | 640 | | | | 597,215 | |
Conti-Gummi Finance BV, 1.13%, 09/25/24(c) | | | EUR | | | | 395 | | | | 370,414 | |
Republic Services, Inc., 0.88%, 11/15/25 | | | USD | | | | 365 | | | | 320,835 | |
| | | | | | | | | | | 1,288,464 | |
| | | |
| Consumer Finance — 2.5% | | | | | | | | | |
American Express Co., 2.55%, 03/04/27 | | | | | | | 1,105 | | | | 984,233 | |
Capital One Financial Corp. | | | | | | | | | | | | |
3.90%, 01/29/24 | | | | | | | 400 | | | | 394,168 | |
3.20%, 02/05/25 | | | | | | | 400 | | | | 379,944 | |
2.64%, 03/03/26 | | | | | | | 1,020 | | | | 947,735 | |
4.93%, 05/10/28 | | | | | | | 620 | | | | 590,697 | |
Ford Motor Credit Co. LLC, 5.58%, 03/18/24 | | | | | | | 500 | | | | 490,150 | |
General Motors Financial Co., Inc. | | | | | | | | | | | | |
2.90%, 02/26/25 | | | | | | | 600 | | | | 560,585 | |
1.50%, 06/10/26 | | | | | | | 155 | | | | 131,730 | |
2.35%, 02/26/27 | | | | | | | 700 | | | | 593,957 | |
2.70%, 08/20/27 | | | | | | | 300 | | | | 254,016 | |
Hyundai Capital America, 1.65%, 09/17/26(a) | | | | | | | 415 | | | | 349,737 | |
Nissan Motor Acceptance Co. LLC, | | | | | | | | | | | | |
2.00%, 03/09/26(a) | | | | | | | 600 | | | | 507,433 | |
Synchrony Financial | | | | | | | | | | | | |
4.38%, 03/19/24 | | | | | | | 1,150 | | | | 1,129,378 | |
4.88%, 06/13/25 | | | | | | | 24 | | | | 23,153 | |
4.50%, 07/23/25 | | | | | | | 582 | | | | 555,079 | |
Toyota Motor Credit Corp., 4.40%, 09/20/24 | | | | | | | 1,580 | | | | 1,570,008 | |
Volkswagen Leasing GmbH | | | | | | | | | | | | |
1.00%, 02/16/23(c) | | | EUR | | | | 930 | | | | 907,602 | |
1.63%, 08/15/25(c) | | | | | | | 125 | | | | 115,498 | |
| | | | | | | | | | | 10,485,103 | |
| | | |
| Containers & Packaging — 0.1% | | | | | | | | | |
Sonoco Products Co., 2.25%, 02/01/27 | | | USD | | | | 325 | | | | 287,833 | |
| | | |
| Diversified Financial Services — 0.5% | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | | | | | | | | |
2.88%, 08/14/24 | | | | | | | 250 | | | | 235,104 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
Diversified Financial Services (continued) | | | | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | | | | | | | | |
3.50%, 01/15/25 | | | USD | | | | 450 | | | $ | 422,884 | |
2.45%, 10/29/26 | | | | | | | 510 | | | | 430,239 | |
Aviation Capital Group LLC, 1.95%, 09/20/26(a) | | | | | | | 640 | | | | 518,311 | |
LSEGA Financing PLC, 1.38%, 04/06/26(a) | | | | | | | 816 | | | | 714,932 | |
| | | | | | | | | | | 2,321,470 | |
| | | |
| Diversified Telecommunication Services — 0.7% | | | | | | | | | |
AT&T Inc., 1.70%, 03/25/26 | | | | | | | 1,265 | | | | 1,124,951 | |
NTT Finance Corp., 4.37%, 07/27/27(a) | | | | | | | 275 | | | | 266,729 | |
Verizon Communications, Inc. | | | | | | | | | | | | |
2.10%, 03/22/28 | | | | | | | 855 | | | | 721,802 | |
3.88%, 02/08/29 | | | | | | | 195 | | | | 178,012 | |
1.75%, 01/20/31 | | | | | | | 700 | | | | 524,975 | |
| | | | | | | | | | | 2,816,469 | |
| | | |
| Electric Utilities — 1.2% | | | | | | | | | |
Edison International, 4.70%, 08/15/25 | | | | | | | 860 | | | | 833,181 | |
Enel Finance International NV,
1.13%, 09/16/26(c) | | | EUR | | | | 225 | | | | 198,685 | |
Eversource Energy, 2.90%, 03/01/27 | | | USD | | | | 750 | | | | 680,595 | |
Exelon Corp., 2.75%, 03/15/27(a) | | | | | | | 170 | | | | 152,310 | |
National Grid Electricity Transmission PLC,
0.19%, 01/20/25(c) | | | EUR | | | | 295 | | | | 269,693 | |
NextEra Energy Capital Holdings, Inc.,
1.88%, 01/15/27 | | | USD | | | | 550 | | | | 477,283 | |
Pacific Gas & Electric Co., 3.45%, 07/01/25 | | | | | | | 255 | | | | 237,184 | |
Southern Co., 4.48%, 08/01/24(d) | | | | | | | 1,490 | | | | 1,471,262 | |
Texas Electric Market Stabilization Funding N LLC, | | | | | | | | | | | | |
Series A-1, 4.27%, 08/01/34(a) | | | | | | | 340 | | | | 326,383 | |
Virginia Electric and Power Co., Series B, 3.75%, 05/15/27 | | | | | | | 355 | | | | 335,117 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,981,693 | |
| | | |
| Electrical Equipment — 0.1% | | | | | | | | | |
Amphenol Technologies Holding GmbH | | | | | | | | | | | | |
0.75%, 05/04/26(c) | | | EUR | | | | 100 | | | | 89,000 | |
2.00%, 10/08/28(c) | | | | | | | 150 | | | | 132,589 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 221,589 | |
| | | |
| Energy Equipment & Services — 0.1% | | | | | | | | | |
Schlumberger Finance Canada Ltd.,
1.40%, 09/17/25 | | | USD | | | | 360 | | | | 326,709 | |
| |
| Equity Real Estate Investment Trusts (REITs) — 1.4% | | | | |
American Tower Corp. | | | | | | | | | | | | |
3.00%, 06/15/23 | | | | | | | 82 | | | | 80,945 | |
2.40%, 03/15/25 | | | | | | | 1,405 | | | | 1,304,297 | |
1.30%, 09/15/25 | | | | | | | 450 | | | | 399,080 | |
0.45%, 01/15/27 | | | EUR | | | | 390 | | | | 323,744 | |
0.50%, 01/15/28 | | | | | | | 100 | | | | 79,310 | |
Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV, 4.96%, 07/18/29(a) | | | USD | | | | 200 | | | | 166,287 | |
Crown Castle, Inc. | | | | | | | | | | | | |
1.35%, 07/15/25 | | | | | | | 1,050 | | | | 942,265 | |
3.70%, 06/15/26 | | | | | | | 500 | | | | 469,612 | |
Digital Euro Finco LLC, 2.63%, 04/15/24(c) | | | EUR | | | | 515 | | | | 490,069 | |
Equinix, Inc., 1.25%, 07/15/25 | | | USD | | | | 1,050 | | | | 939,049 | |
Healthpeak Properties, Inc., 1.35%, 02/01/27 | | | | | | | 220 | | | | 186,302 | |
VICI Properties LP, 4.38%, 05/15/25 | | | | | | | 730 | | | | 695,062 | |
| | | | | | | | | | | 6,076,022 | |
| | | |
| Food & Staples Retailing — 0.5% | | | | | | | | | |
7-Eleven, Inc. 0.80%, 02/10/24(a) | | | | | | | 1,394 | | | | 1,317,767 | |
| | |
| 86 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Food & Staples Retailing (continued) | | | | | | | | | |
7-Eleven, Inc. 0.95%, 02/10/26(a) | | | USD | | | | 125 | | | $ | 107,804 | |
CVS Health Corp., 1.30%, 08/21/27 | | | | | | | 810 | | | | 674,835 | |
| | | | | | | | | | | 2,100,406 | |
| | | |
| Food Products — 0.2% | | | | | | | | | |
General Mills, Inc., 0.45%, 01/15/26 | | | EUR | | | | 385 | | | | 341,493 | |
Kraft Heinz Foods Co., 3.00%, 06/01/26 | | | USD | | | | 400 | | | | 368,819 | |
| | | | | | | | | | | 710,312 | |
Health Care Providers & Services — 0.4% | | | | | | | | | | | | |
Becton Dickinson Euro Finance Sarl | | | | | | | | | | | | |
0.63%, 06/04/23 | | | EUR | | | | 665 | | | | 642,681 | |
1.21%, 06/04/26 | | | | | | | 100 | | | | 89,936 | |
Elevance Health, Inc., 2.95%, 12/01/22 | | | USD | | | | 50 | | | | 49,898 | |
Fresenius Finance Ireland PLC,
1.73%, 10/01/25(c) | | | EUR | | | | 310 | | | | 271,994 | |
HCA, Inc. | | | | | | | | | | | | |
5.25%, 04/15/25 | | | USD | | | | 400 | | | | 391,806 | |
3.13%, 03/15/27(a) | | | | | | | 305 | | | | 270,013 | |
PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25 | | | | | | | 114 | | | | 101,631 | |
| | | | | | | | | | | 1,817,959 | |
Household Durables — 0.0% | | | | | | | | | | | | |
DR Horton, Inc., 1.30%, 10/15/26 | | | | | | | 245 | | | | 205,095 | |
Industrial Conglomerates — 0.5% | | | | | | | | | | | | |
CRH Finance DAC, 3.13%, 04/03/23(c) | | | EUR | | | | 690 | | | | 677,944 | |
General Electric Co., 1.88%, 05/28/27 | | | | | | | 175 | | | | 156,728 | |
Holcim Finance Luxembourg SA,
0.13%, 07/19/27(c) | | | | | | | 285 | | | | 233,465 | |
John Deere Capital Corp., 4.05%, 09/08/25 | | | USD | | | | 565 | | | | 555,849 | |
Roper Technologies, Inc., 1.00%, 09/15/25 | | | | | | | 465 | | | | 412,695 | |
| | | | | | | | | | | 2,036,681 | |
Insurance — 0.6% | | | | | | | | | | | | |
Aon Corp./Aon Global Holdings PLC,
2.85%, 05/28/27 | | | | | | | 315 | | | | 282,563 | |
MassMutual Global Funding II,
2.80%, 03/21/25(a) | | | | | | | 829 | | | | 786,864 | |
Met Tower Global Funding, 3.70%, 06/13/25(a) | | | | | | | 800 | | | | 771,291 | |
Metropolitan Life Global Funding I,
2.80%, 03/21/25(a) | | | | | | | 795 | | | | 752,971 | |
| | | | | | | | | | | 2,593,689 | |
Interactive Media & Services — 0.3% | | | | | | | | | | | | |
Meta Platforms, Inc., 3.50%, 08/15/27(a) | | | | | | | 1,395 | | | | 1,304,483 | |
Internet & Direct Marketing Retail — 0.0% | | | | | | | | | | | | |
Booking Holdings, Inc., 1.80%, 03/03/27 | | | EUR | | | | 200 | | | | 181,034 | |
| | | |
| IT Services — 0.5% | | | | | | | | | |
Global Payments, Inc. | | | | | | | | | | | | |
1.20%, 03/01/26 | | | USD | | | | 800 | | | | 688,516 | |
2.15%, 01/15/27 | | | | | | | 1,615 | | | | 1,381,945 | |
| | | | | | | | | | | 2,070,461 | |
Media — 1.0% | | | | | | | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital,
4.91%, 07/23/25 | | | | | | | 2,485 | | | | 2,423,270 | |
Comcast Corp., 2.35%, 01/15/27 | | | | | | | 1,620 | | | | 1,452,768 | |
Publicis Groupe SA, 1.63%, 12/16/24(c) | | | EUR | | | | 300 | | | | 284,093 | |
| | | | | | | | | | | 4,160,131 | |
Metals & Mining — 0.1% | | | | | | | | | | | | |
Nucor Corp. | | | | | | | | | | | | |
2.00%, 06/01/25 | | | USD | | | | 90 | | | | 83,070 | |
4.30%, 05/23/27 | | | | | | | 525 | | | | 502,588 | |
Steel Dynamics, Inc., 2.40%, 06/15/25 | | | | | | | 25 | | | | 23,113 | |
| | | | | | | | | | | 608,771 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
Multi-Utilities — 0.5% | | | | | | | | | | | | |
Alliant Energy Finance LLC, 3.75%, 06/15/23(a) | | | USD | | | | 245 | | | $ | 241,886 | |
ONE Gas, Inc., 1.10%, 03/11/24 | | | | | | | 1,492 | | | | 1,428,306 | |
Redexis Gas Finance BV, 1.88%, 05/28/25(c) | | | EUR | | | | 300 | | | | 276,279 | |
Sempra Energy, 3.30%, 04/01/25 | | | USD | | | | 320 | | | | 304,549 | |
| | | | | | | | | | | 2,251,020 | |
Oil, Gas & Consumable Fuels — 1.2% | | | | | | | | | | | | |
BP Capital Markets PLC, 1.95%, 03/03/25(c) | | | EUR | | | | 360 | | | | 342,122 | |
Canadian Natural Resources Ltd., 2.95%, 01/15/23 | | | USD | | | | 125 | | | | 124,380 | |
Enbridge, Inc., 2.50%, 02/14/25 | | | | | | | 670 | | | | 629,292 | |
Energy Transfer LP | | | | | | | | | | | | |
3.60%, 02/01/23 | | | | | | | 150 | | | | 149,361 | |
4.50%, 04/15/24 | | | | | | | 500 | | | | 492,124 | |
2.90%, 05/15/25 | | | | | | | 910 | | | | 848,208 | |
Kinder Morgan, Inc., 4.30%, 06/01/25 | | | | | | | 800 | | | | 780,067 | |
Marathon Petroleum Corp., 4.70%, 05/01/25 | | | | | | | 235 | | | | 230,727 | |
MPLX LP, 1.75%, 03/01/26 | | | | | | | 655 | | | | 573,113 | |
Pioneer Natural Resources Co., 1.13%, 01/15/26 | | | | | | | 310 | | | | 271,024 | |
Sabine Pass Liquefaction LLC, 5.75%, 05/15/24 | | | | | | | 500 | | | | 501,830 | |
TotalEnergies Capital International SA,
0.75%, 07/12/28(c) | | | EUR | | | | 200 | | | | 168,651 | |
| | | | | | | | | | | 5,110,899 | |
Paper & Forest Products — 0.1% | | | | | | | | | | | | |
Celulosa Arauco y Constitucion SA,
4.20%, 01/29/30(a) | | | USD | | | | 200 | | | | 163,350 | |
Fibria Overseas Finance Ltd., 5.50%, 01/17/27 | | | | | | | 26 | | | | 24,819 | |
Inversiones CMPC SA, 4.38%, 04/04/27(a) | | | | | | | 200 | | | | 181,475 | |
Suzano Austria GmbH | | | | | | | | | | | | |
5.75%, 07/14/26(a) | | | | | | | 200 | | | | 194,125 | |
3.75%, 01/15/31 | | | | | | | 29 | | | | 22,620 | |
| | | | | | | | | | | 586,389 | |
Pharmaceuticals — 0.0% | | | | | | | | | | | | |
Bayer AG, 0.75%, 01/06/27(c) | | | EUR | | | | 200 | | | | 171,867 | |
Professional Services — 0.0% | | | | | | | | | | | | |
Wolters Kluwer NV, 3.00%, 09/23/26(c) | | | | | | | 100 | | | | 96,714 | |
Road & Rail — 0.6% | | | | | | | | | | | | |
Canadian Pacific Railway Co., 1.75%, 12/02/26 | | | USD | | | | 245 | | | | 214,529 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. | | | | | | | | | | | | |
2.70%, 03/14/23(a) | | | | | | | 505 | | | | 499,657 | |
1.20%, 11/15/25(a) | | | | | | | 1,130 | | | | 981,773 | |
Ryder System, Inc., 2.85%, 03/01/27 | | | | | | | 370 | | | | 331,672 | |
SMBC Aviation Capital Finance DAC | | | | | | | | | | | | |
1.90%, 10/15/26(a) | | | | | | | 570 | | | | 474,779 | |
2.30%, 06/15/28(a) | | | | | | | 200 | | | | 157,768 | |
| | | | | | | | | | | 2,660,178 | |
Semiconductors & Semiconductor
Equipment — 1.4% | | | | | | | | | |
Broadcom Corp./Broadcom Cayman Finance Ltd., | | | | | | | | | |
3.88%, 01/15/27 | | | | | | | 1,200 | | | | 1,103,855 | |
Broadcom, Inc., 3.63%, 10/15/24 | | | | | | | 1,515 | | | | 1,474,218 | |
Intel Corp., 3.75%, 08/05/27 | | | | | | | 320 | | | | 303,816 | |
NXP BV/NXP Funding LLC, 4.88%, 03/01/24 | | | | | | | 1,800 | | | | 1,782,864 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.70%, 05/01/25 | | | | | | | 1,465 | | | | 1,355,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,020,153 | |
Software — 0.8% | | | | | | | | | | | | |
Oracle Corp. | | | | | | | | | | | | |
1.65%, 03/25/26 | | | | | | | 1,375 | | | | 1,204,778 | |
2.65%, 07/15/26 | | | | | | | 43 | | | | 38,699 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 87 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
Software (continued) | | | | | | | | | | | | |
VMware, Inc., 1.40%, 08/15/26 | | | USD | | | | 2,280 | | | $ | 1,949,899 | |
Workday, Inc., 3.50%, 04/01/27 | | | | | | | 200 | | | | 184,998 | |
| | | | | | | | | | | 3,378,374 | |
Specialty Retail — 0.3% | | | | | | | | | | | | |
Home Depot, Inc., 4.00%, 09/15/25 | | | | | | | 120 | | | | 118,092 | |
Lowe’s Cos., Inc., 3.35%, 04/01/27 | | | | | | | 1,090 | | | | 1,009,492 | |
| | | | | | | | | | | 1,127,584 | |
Technology Hardware, Storage & Peripherals — 0.1% | | | | | | | | | |
Dell International LLC/EMC Corp.,
4.00%, 07/15/24 | | | | | | | 290 | | | | 284,661 | |
Tobacco — 0.7% | | | | | | | | | | | | |
Altria Group, Inc., 2.35%, 05/06/25 | | | | | | | 260 | | | | 240,809 | |
BAT Capital Corp. | | | | | | | | | | | | |
2.79%, 09/06/24 | | | | | | | 700 | | | | 665,484 | |
3.56%, 08/15/27 | | | | | | | 1,555 | | | | 1,365,558 | |
Louis Dreyfus Co. Finance BV,
2.38%, 11/27/25(c) | | | EUR | | | | 305 | | | | 281,590 | |
Philip Morris International, Inc.,
0.13%, 08/03/26 | | | | | | | 320 | | | | 270,905 | |
| | | | | | | | | | | 2,824,346 | |
Trading Companies & Distributors — 0.1% | | | | | | | | | |
Air Lease Corp. | | | | | | | | | | | | |
2.30%, 02/01/25 | | | USD | | | | 240 | | | | 220,828 | |
1.88%, 08/15/26 | | | | | | | 285 | | | | 241,532 | |
| | | | | | | | | | | 462,360 | |
Wireless Telecommunication Services — 0.3% | | | | | | | | | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
4.74%, 03/20/25(a) | | | | | | | 250 | | | | 246,397 | |
T-Mobile U.S.A., Inc. | | | | | | | | | | | | |
1.50%, 02/15/26 | | | | | | | 224 | | | | 196,607 | |
2.25%, 02/15/26 | | | | | | | 57 | | | | 51,002 | |
3.75%, 04/15/27 | | | | | | | 900 | | | | 830,557 | |
| | | | | | | | | | | 1,324,563 | |
Total Corporate Bonds — 32.6% | | | | | | | | | | | | |
(Cost: $149,553,283) | | | | | | | | | | | 138,336,732 | |
| | | |
Foreign Agency Obligations | | | | | | | | | | | | |
| | | |
Canada — 0.3% | | | | | | | | | | | | |
CPPIB Capital, Inc., 0.50%, 09/16/24(a) | | | | | | | 1,480 | | | | 1,371,706 | |
Colombia — 0.1% | | | | | | | | | | | | |
Transportadora de Gas Internacional SA
ESP, 5.55%, 11/01/28(a) | | | | | | | 200 | | | | 178,100 | |
Panama — 0.0% | | | | | | | | | | | | |
Banco Nacional de Panama,
2.50%, 08/11/30(a) | | | | | | | 200 | | | | 146,038 | |
Peru — 0.1% | | | | | | | | | | | | |
Consorcio Transmantaro SA,
4.70%, 04/16/34(a) | | | | | | | 200 | | | | 171,475 | |
Qatar — 0.0% | | | | | | | | | | | | |
Qatar Energy, 2.25%, 07/12/31(a) | | | | | | | 200 | | | | 161,000 | |
Saudi Arabia — 0.1% | | | | | | | | | | | | |
SABIC Capital I BV, 2.15%, 09/14/30(c) | | | | | | | 232 | | | | 185,643 | |
Saudi Arabian Oil Co., 2.88%, 04/16/24(a) | | | | | | | 220 | | | | 212,575 | |
| | | | | | | | | | | 398,218 | |
Total Foreign Agency Obligations — 0.6% | | | | | | | | | | | | |
(Cost: $2,738,279) | | | | | | | | | | | 2,426,537 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
Foreign Government Obligations | | | | | | | | | | | | |
Chile — 0.0% | | | | | | | | | | | | |
Republic of Chile, 3.24%, 02/06/28 | | | USD | | | | 210 | | | $ | 188,974 | |
Indonesia — 0.1% | | | | | | | | | | | | |
Republic of Indonesia, 3.55%, 03/31/32 | | | | | | | 271 | | | | 235,122 | |
Mexico — 0.1% | | | | | | | | | | | | |
United Mexican States, 4.75%, 04/27/32 | | | | | | | 251 | | | | 225,273 | |
Panama — 0.0% | | | | | | | | | | | | |
Republic of Panama, 3.16%, 01/23/30 | | | | | | | 231 | | | | 187,514 | |
Peru — 0.0% | | | | | | | | | | | | |
Republic of Peru | | | | | | | | | | | | |
4.13%, 08/25/27 | | | | | | | 43 | | | | 40,616 | |
2.78%, 01/23/31 | | | | | | | 94 | | | | 74,425 | |
1.86%, 12/01/32 | | | | | | | 45 | | | | 31,508 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 146,549 | |
Qatar — 0.1% | | | | | | | | | | | | |
State of Qatar, 3.75%, 04/16/30(a) | | | | | | | 251 | | | | 234,999 | |
Romania — 0.0% | | | | | | | | | | | | |
Republic of Romania, 3.63%, 03/27/32(a) | | | | | | | 86 | | | | 61,936 | |
Uruguay — 0.0% | | | | | | | | | | | | |
Republic of Uruguay | | | | | | | | | | | | |
4.38%, 10/27/27 | | | | | | | 40 | | | | 39,370 | |
4.38%, 01/23/31 | | | | | | | 63 | | | | 60,277 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 99,647 | |
Total Foreign Government Obligations — 0.3% | | | | | | | | | | | | |
(Cost: $1,645,550) | | | | | | | | | | | 1,380,014 | |
| | | | | | | | |
| | |
Non-Agency Mortgage-Backed Securities | | | | | | | | |
| | |
Collateralized Mortgage Obligations — 1.8% | | | | | | | | |
Angel Oak Mortgage Trust | | | | | | | | |
Series 2020-2, Class A1A, 2.53%, 01/26/65(a)(b) | | | 163 | | | | 150,853 | |
Series 2022-1, Class A1, 2.88%, 12/25/66(a)(d) | | | 278 | | | | 240,161 | |
Series 2022-2, Class A1, 3.35%, 01/25/67(a)(b) | | | 329 | | | | 295,514 | |
Arroyo Mortgage Trust, Series 2022-2, Class A1, | | | | | | | | |
4.95%, 07/25/57(a)(d) | | | 294 | | | | 283,358 | |
Chase Home Lending Mortgage Trust, Series 2019- | | | | | | | | |
ATR2, Class A3, 3.50%, 07/25/49(a)(b) | | | 168 | | | | 151,615 | |
COLT Mortgage Loan Trust, Series 2022-3, Class A1, | | | | | | | | |
3.90%, 02/25/67(a)(b) | | | 142 | | | | 129,065 | |
Countrywide Home Loan Mortgage Pass-Through | | | | | | | | |
Trust, Series 2004-HYB1, Class 2A,
3.02%, 05/20/34(b) | | | 28 | | | | 26,199 | |
Credit Suisse Mortgage Capital Trust, Series 2022- | | | | | | | | |
ATH1, Class A1A, 2.87%, 01/25/67(a)(b) | | | 321 | | | | 297,314 | |
Flagstar Mortgage Trust, Series 2020-1INV, | | | | | | | | |
Class A11, (1 mo. LIBOR US + 0.85%), 3.93%, 03/25/50(a)(b) | | | 485 | | | | 457,091 | |
GCAT Trust, Series 2021-NQM7, Class A1,
1.92%, 08/25/66(a)(b) | | | 285 | | | | 254,153 | |
GS Mortgage-Backed Securities Corp. Trust, | | | | | | | | |
Series 2022-PJ2, Class A4, 2.50%, 06/25/52(a)(b) | | | 558 | | | | 443,453 | |
Homeward Opportunities Fund I Trust, Series 2022-1, | | | | | | | | |
Class A1, 5.08%, 07/25/67(a)(d) | | | 201 | | | | 195,279 | |
JPMorgan Mortgage Trust | | | | | | | | |
Series 2014-2, Class 1A1, 3.00%, 06/25/29(a)(b) | | | 331 | | | | 309,839 | |
Series 2016-2, Class A1, 3.72%, 06/25/46(a)(b) | | | 108 | | | | 99,297 | |
Series 2022-INV3, Class A3B, 3.00%, 09/25/52(a)(b) | | | 401 | | | | 328,337 | |
| | |
| 88 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Collateralized Mortgage Obligations (continued) | |
Mello Mortgage Capital Acceptance, Series 2022- INV2, Class A3, 3.00%, 04/25/52(a)(b) | | | USD | | | | 459 | | | $ | 378,509 | |
MFA Trust, Series 2021-INV2, Class A1,
1.91%, 11/25/56(a)(b) | | | | | | | 323 | | | | 277,662 | |
New Residential Mortgage Loan Trust, Series 2020- 1A, Class A1B, 3.50%, 10/25/59(a)(b) | | | | | | | 389 | | | | 362,293 | |
OBX Trust | | | | | | | | | | | | |
Series 2020-EXP3, Class 2A1B, (1 mo. LIBOR US + 0.90%), 3.98%, 01/25/60(a)(b) | | | | | | | 1,000 | | | | 977,212 | |
Series 2022-INV3, Class A1,
3.00%, 02/25/52(a)(b) | | | | | | | 207 | | | | 171,136 | |
PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(b) | | | | | | | 364 | | | | 300,219 | |
RCKT Mortgage Trust, Series 2022-2, Class A1,
3.00%, 02/25/52(a)(b) | | | | | | | 479 | | | | 395,373 | |
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 09/25/67(a)(d) | | | | | | | 166 | | | | 160,600 | |
Starwood Mortgage Residential Trust, Series 2020-3, Class A1,
1.49%, 04/25/65(a)(b) | | | | | | | 223 | | | | 214,160 | |
Verus Securitization Trust | | | | | | | | | | | | |
Series 2022-1, Class A1,
2.72%, 01/25/67(a)(d) | | | | | | | 166 | | | | 146,284 | |
Series 2022-3, Class A1,
4.13%, 02/25/67(a)(d) | | | | | | | 413 | | | | 378,585 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,423,561 | |
Commercial Mortgage-Backed Securities — 18.3% | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 3.59%, 09/15/34(a)(b) | | | | | | | 600 | | | | 584,157 | |
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1 mo. LIBOR US + 1.15%),
3.97%, 04/15/34(a)(b) | | | | | | | 420 | | | | 402,111 | |
BANK | | | | | | | | | | | | |
Series 2018-BN10, Class ASB,
3.64%, 02/15/61 | | | | | | | 2,375 | | | | 2,266,607 | |
Series 2019-BN18, Class A2,
3.47%, 05/15/62 | | | | | | | 1,250 | | | | 1,210,655 | |
Series 2022-BNK42, Class A5,
4.49%, 06/15/55(b) | | | | | | | 350 | | | | 331,680 | |
Barclays Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-C3, Class B, 4.10%, 05/15/52 | | | | | | | 400 | | | | 348,523 | |
Series 2019-C4, Class B, 3.32%, 08/15/52 | | | | | | | 360 | | | | 295,978 | |
Series 2019-C5, Class ASB, 2.99%, 11/15/52 | | | | | | | 250 | | | | 228,282 | |
BBCMS Mortgage Trust, Series 2022-C16, Class A5, 4.60%, 06/15/55(b) | | | | | | | 460 | | | | 438,963 | |
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1 mo. LIBOR US + 0.75%),
3.57%, 04/15/36(a)(b) | | | | | | | 1,000 | | | | 951,132 | |
Benchmark Mortgage Trust | | | | | | | | | | | | |
Series 2018-B1, Class ASB,
3.60%, 01/15/51(b) | | | | | | | 2,500 | | | | 2,381,478 | |
Series 2018-B2, Class ASB, 3.78%, 02/15/51(b) | | | | | | | 2,750 | | | | 2,640,936 | |
Series 2018-B5, Class C, 4.76%, 07/15/51(b) | | | | | | | 500 | | | | 432,840 | |
Series 2022-B34, Class A5,
3.79%, 04/15/55(b) | | | | | | | 505 | | | | 450,045 | |
Series 2022-B34, Class AM,
3.96%, 04/15/55(b)(e) | | | | | | | 265 | | | | 246,768 | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-XL, Class A, (1 mo. LIBOR US + 0.92%), 3.74%, 10/15/36(a)(b) | | | | | | | 597 | | | | 587,782 | |
Series 2021-XL2, Class A, (1 mo. LIBOR US + 0.69%), 3.51%, 10/15/38(a)(b) | | | | | | | 742 | | | | 711,518 | |
Series 2022-LP2, Class A, (1 mo. CME Term SOFR + 1.01%), 3.94%, 02/15/39(a)(b) | | | | | | | 280 | | | | 268,952 | |
BX Trust | | | | | | | | | | | | |
Series 2018-BILT, Class D, (1 mo. LIBOR US + 1.77%), 4.59%, 05/15/30(a)(b) | | | | | | | 270 | | | | 254,418 | |
Series 2021-ARIA, Class A, (1 mo. LIBOR US + 0.90%), 3.72%, 10/15/36(a)(b) | | | | | | | 795 | | | | 754,167 | |
Series 2022-IND, Class A, (1 mo. CME Term SOFR + 1.49%), 4.41%, 04/15/37(a)(b) | | | | | | | 900 | | | | 873,789 | |
CD Mortgage Trust | | | | | | | | | | | | |
Series 2016-CD2, Class A4,
3.53%, 11/10/49(b) | | | | | | | 520 | | | | 484,232 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
CD Mortgage Trust Series 2017-CD5, Class A4, 3.43%, 08/15/50 | | | USD | | | | 525 | | | $ | 482,598 | |
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3, 3.22%, 11/10/49(b) | | | | | | | 820 | | | | 753,787 | |
CGMS Commercial Mortgage Trust, Series 2017-B1, Class AAB, 3.24%, 08/15/50 | | | | | | | 1,194 | | | | 1,136,099 | |
Citigroup Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2014-GC21, Class A5, 3.86%, 05/10/47 | | | | | | | 761 | | | | 744,663 | |
Series 2015-GC27, Class A5, 3.14%, 02/10/48 | | | | | | | 1,395 | | | | 1,331,564 | |
Series 2015-GC33, Class A4, 3.78%, 09/10/58 | | | | | | | 1,060 | | | | 1,013,416 | |
Series 2016-C2, Class AAB, 2.71%, 08/10/49 | | | | | | | 1,556 | | | | 1,493,854 | |
Series 2016-P4, Class AAB, 2.78%, 07/10/49 | | | | | | | 1,106 | | | | 1,060,243 | |
Series 2018-B2, Class A4, 4.01%, 03/10/51 | | | | | | | 535 | | | | 498,792 | |
Cold Storage Trust, Series 2020-ICE5, Class A,
(1 mo. LIBOR US + 0.90%),
3.72%, 11/15/37(a)(b) | | | | | | | 1,293 | | | | 1,259,100 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-CR10, Class A4,
4.21%, 08/10/46(b) | | | | | | | 1,750 | | | | 1,737,804 | |
Series 2013-CR6, Class ASB, 2.62%, 03/10/46 | | | | | | | 87 | | | | 87,143 | |
Series 2013-CR7, Class ASB, 2.74%, 03/10/46 | | | | | | | 27 | | | | 26,834 | |
Series 2013-CR8, Class B,
4.05%, 06/10/46(a)(b) | | | | | | | 300 | | | | 295,067 | |
Series 2013-SFS, Class A1, 1.87%, 04/12/35(a) | | | | | | | 33 | | | | 32,064 | |
Series 2014-CR14, Class ASB,
3.74%, 02/10/47 | | | | | | | 230 | | | | 228,009 | |
Series 2014-CR16, Class A4, 4.05%, 04/10/47 | | | | | | | 1,000 | | | | 980,993 | |
Series 2014-CR17, Class C, 4.94%, 05/10/47(b) | | | | | | | 1,046 | | | | 982,806 | |
Series 2014-CR21, Class A3, 3.53%, 12/10/47 | | | | | | | 877 | | | | 846,015 | |
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | | | | | | | 1,250 | | | | 1,226,273 | |
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | | | | | | | 1,000 | | | | 980,755 | |
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47 | | | | | | | 484 | | | | 474,969 | |
Series 2015-CR23, Class A2, 2.85%, 05/10/48 | | | | | | | 551 | | | | 550,711 | |
Series 2015-CR23, Class A4, 3.50%, 05/10/48 | | | | | | | 1,500 | | | | 1,429,521 | |
Series 2015-CR24, Class B, 4.49%, 08/10/48(b) | | | | | | | 500 | | | | 469,318 | |
Series 2015-LC19, Class A4, 3.18%, 02/10/48 | | | | | | | 1,600 | | | | 1,525,963 | |
Series 2015-LC23, Class A4, 3.77%, 10/10/48 | | | | | | | 550 | | | | 524,944 | |
Series 2018-COR3, Class A3, 4.23%, 05/10/51 | | | | | | | 160 | | | | 150,848 | |
Credit Suisse Mortgage Capital Trust, Series 2021- 980M, Class C, 3.20%, 07/15/31(a) | | | | | | | 170 | | | | 144,402 | |
Credit Suisse Mortgage Trust, Series 2022-NWPT, Class A, (1 mo. CME Term SOFR + 3.14%), 5.99%, 09/15/35(a)(b) | | | | | | | 280 | | | | 277,751 | |
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.76%, 09/15/52 | | | | | | | 1,000 | | | | 849,798 | |
ELP Commercial Mortgage Trust, Series 2021-ELP, Class A, (1 mo. LIBOR US + 0.70%), 3.52%, 11/15/38(a)(b) | | | | | | | 290 | | | | 276,196 | |
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.73%, 04/25/48(a)(b) | | | | | | | 290 | | | | 278,317 | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2013-GC13, Class A5,
4.18%, 07/10/46(b) | | | | | | | 625 | | | | 620,408 | |
Series 2013-GC16, Class AAB,
3.81%, 11/10/46 | | | | | | | 418 | | | | 415,259 | |
Series 2015-GC30, Class AAB,
3.12%, 05/10/50 | | | | | | | 533 | | | | 521,845 | |
Series 2015-GC34, Class A4, 3.51%, 10/10/48 | | | | | | | 1,250 | | | | 1,182,085 | |
Series 2015-GC34, Class AAB,
3.28%, 10/10/48 | | | | | | | 1,361 | | | | 1,325,194 | |
Series 2021-STAR, Class A, (1 mo. LIBOR US + 0.95%), 3.77%, 12/15/36(a)(b) | | | | | | | 580 | | | | 556,154 | |
Series 2022-ECI, Class A, (1 mo. CME Term SOFR + 2.19%), 5.04%, 08/15/39(a)(b) | | | | | | | 760 | | | | 753,338 | |
Series 2022-SHIP, Class A, (1 mo. CME Term SOFR + 0.73%), 3.58%, 08/15/36(a)(b) | | | | | | | 650 | | | | 639,052 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A,
(1 mo. LIBOR US + 1.15%),
3.97%, 05/15/38(a)(b) | | | | | | | 552 | | | | 537,777 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 89 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1 mo. CME Term SOFR + 2.25%), 4.50%, 10/15/39(a)(b) | | | USD | | | | 500 | | | $ | 498,450 | |
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a) | | | | | | | 1,540 | | | | 1,448,278 | |
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1 mo. CME Term SOFR + 2.49%),
5.33%, 08/15/37(a)(b) | | | | | | | 1,270 | | | | 1,255,687 | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2014-C21, Class A5,
3.78%, 08/15/47 | | | | | | | 500 | | | | 487,705 | |
Series 2014-C25, Class A4A1,
3.41%, 11/15/47 | | | | | | | 380 | | | | 364,970 | |
Series 2015-C28, Class ASB,
3.04%, 10/15/48 | | | | | | | 766 | | | | 746,692 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2017-JP6, Class A3,
3.11%, 07/15/50 | | | | | | | 414 | | | | 399,855 | |
Series 2019-BKWD, Class A, (1 mo. LIBOR US + 1.00%), 4.07%, 09/15/29(a)(b) | | | | | | | 207 | | | | 204,067 | |
Series 2019-MFP, Class A, (1 mo. LIBOR US + 0.96%), 3.78%, 07/15/36(a)(b) | | | | | | | 720 | | | | 706,963 | |
Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 3.62%, 04/15/38(a)(b) | | | | | | | 142 | | | | 137,281 | |
Series 2022-NXSS, Class A, (1 mo. CME Term SOFR + 2.18%), 5.13%, 08/15/39(a)(b) | | | | | | | 180 | | | | 178,195 | |
Series 2022-OPO, Class B,
3.38%, 01/05/39(a) | | | | | | | 150 | | | | 127,414 | |
Series 2022-OPO, Class D,
3.57%, 01/05/39(a)(b) | | | | | | | 100 | | | | 78,461 | |
Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%), 3.52%, 03/15/38(a)(b) | | | | | | | 531 | | | | 510,182 | |
MF1 | | | | | | | | | | | | |
Series 2021-W10, Class A, (1 mo. CME Term SOFR + 1.07%), 3.92%, 12/15/34(a)(b) | | | | | | | 120 | | | | 118,371 | |
Series 2021-W10, Class B, (1 mo. CME Term SOFR + 1.37%), 4.22%, 12/15/34(a)(b) | | | | | | | 100 | | | | 97,889 | |
MHC Commercial Mortgage Trust, Series 2021-MHC, | | | | | | | | | | | | |
Class A, (1 mo. LIBOR US + 0.80%),
3.62%, 04/15/38(a)(b) | | | | | | | 590 | | | | 567,847 | |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10, Class A4, 4.21%, 07/15/46(b) | | | | | | | 2,000 | | | | 1,982,833 | |
Series 2013-C7, Class A4, 2.92%, 02/15/46 | | | | | | | 2,326 | | | | 2,318,943 | |
Series 2013-C8, Class A4, 3.13%, 12/15/48 | | | | | | | 475 | | | | 473,482 | |
Series 2014-C15, Class A4, 4.05%, 04/15/47 | | | | | | | 1,850 | | | | 1,817,722 | |
Series 2015-C25, Class A4,
3.37%, 10/15/48 | | | | | | | 330 | | | | 312,782 | |
Series 2016-C30, Class ASB,
2.73%, 09/15/49 | | | | | | | 205 | | | | 196,546 | |
Series 2016-C31, Class A5,
3.10%, 11/15/49 | | | | | | | 2,525 | | | | 2,313,908 | |
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 4.24%, 03/15/39(a)(b) | | | | | | | 700 | | | | 680,767 | |
One New York Plaza Trust, Series 2020-1NYP, Class A, (1 mo. LIBOR US + 0.95%),
3.77%, 01/15/36(a)(b) | | | | | | | 580 | | | | 556,082 | |
PKHL Commercial Mortgage Trust, Series 2021-MF, | | | | | | | | | | | | |
Class B, (1 mo. LIBOR US + 1.18%), 4.00%, 07/15/38(a)(b) | | | | | | | 544 | | | | 516,375 | |
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, 08/25/57(b) | | | | | | | 1,340 | | | | 1,281,244 | |
SREIT Trust, Series 2021-MFP2, Class A, (1 mo. LIBOR US + 0.82%),
3.64%, 11/15/36(a)(b) | | | | | | | 395 | | | | 378,177 | |
Taubman Centers Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2022-DPM, Class A, (1 mo. CME Term SOFR + 2.19%), 5.03%, 05/15/37(a)(b) | | | | | | | 270 | | | | 263,651 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2014-LC18, Class ASB,
3.24%, 12/15/47 | | | | | | | 872 | | | | 853,816 | |
Series 2015-C26, Class B, 3.78%, 02/15/48 | | | | | | | 515 | | | | 480,145 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-C27, Class A5,
3.45%, 02/15/48 | | | USD | | | | 495 | | | $ | 472,266 | |
Series 2015-C29, Class A4,
3.64%, 06/15/48 | | | | | | | 3,000 | | | | 2,867,000 | |
Series 2016-LC24, Class A3,
2.68%, 10/15/49 | | | | | | | 853 | | | | 775,204 | |
Series 2017-C39, Class A5,
3.42%, 09/15/50 | | | | | | | 1,698 | | | | 1,560,304 | |
Series 2021-C60, Class ASB,
2.13%, 08/15/54 | | | | | | | 884 | | | | 738,028 | |
WFRBS Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-C13, Class A4,
3.00%, 05/15/45 | | | | | | | 174 | | | | 171,772 | |
Series 2014-LC14, Class A5, 4.05%, 03/15/47 | | | | | | | 721 | | | | 708,713 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 77,494,809 | |
| | | |
Interest Only Commercial Mortgage-Backed Securities — 0.0% | | | | | | | | | | | | |
Citigroup Commercial Mortgage Trust, Series 2015- P1, Class XA, 0.85%, 09/15/48(b) | | | | | | | 4,356 | | | | 75,607 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-CR23, Class XA, 1.02%, 05/10/48(b) | | | | | | | 2,037 | | | | 35,029 | |
Series 2015-LC21, Class XA, 0.81%, 07/10/48(b) | | | | | | | 4,565 | | | | 64,398 | |
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 2.03%, 01/15/49(b) | | | | | | | 620 | | | | 31,047 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 206,081 | |
| | | |
Mortgage-Backed Securities — 1.0% | | | | | | | | | | | | |
Fannie Mae, 3.09%, 09/25/52 | | | | | | | 4,131 | | | | 4,128,418 | |
| | | | | | | | | | | | |
| | | |
Total Non-Agency Mortgage-Backed Securities — 21.1%
(Cost: $96,427,206) | | | | | | | | | | | 89,252,869 | |
| | | | | | | | | | | | |
|
U.S. Government Sponsored Agency Securities | |
| | |
Collateralized Mortgage Obligations — 1.6% | | | | | | | | | |
Fannie Mae | | | | | | | | | | | | |
Series 2018-21, Class CA, 3.50%, 04/25/45 | | | | | | | 170 | | | | 166,914 | |
Series 2019-73, Class P, 3.00%, 03/25/48 | | | | | | | 628 | | | | 588,791 | |
Freddie Mac | | | | | | | | | | | | |
Series 3959, Class MA, 4.50%, 11/15/41 | | | | | | | 70 | | | | 70,040 | |
Series 3986, Class M, 4.50%, 09/15/41 | | | | | | | 27 | | | | 27,146 | |
Series 4274, Class PN, 3.50%, 10/15/35 | | | | | | | 105 | | | | 102,444 | |
Series 4390, Class CA, 3.50%, 06/15/50 | | | | | | | 81 | | | | 80,350 | |
Series 4459, Class BN, 3.00%, 08/15/43 | | | | | | | 307 | | | | 282,067 | |
Series 4482, Class DH, 3.00%, 06/15/42 | | | | | | | 64 | | | | 63,175 | |
Series 4494, Class KA, 3.75%, 10/15/42 | | | | | | | 132 | | | | 130,415 | |
Series 4752, Class PL, 3.00%, 09/15/46 | | | | | | | 397 | | | | 372,304 | |
Series 4777, Class CB, 3.50%, 10/15/45 | | | | | | | 366 | | | | 354,390 | |
Series 4941, Class MB, 3.00%, 07/25/49 | | | | | | | 324 | | | | 296,499 | |
Series 5000, Class MA, 2.00%, 06/25/44 | | | | | | | 265 | | | | 241,596 | |
Series 5006, Class KA, 2.00%, 06/25/45 | | | | | | | 744 | | | | 673,088 | |
Series 5105, Class LA, 1.50%, 04/15/44 | | | | | | | 2,947 | | | | 2,775,877 | |
Ginnie Mae, Series 2017-136, Class GB, 3.00%, 03/20/47 | | | | | | | 485 | | | | 460,026 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,685,122 | |
| |
Commercial Mortgage-Backed Securities — 0.4% | | | | | |
Fannie Mae, Series 2014-M9, Class A2, 3.10%, 07/25/24(b) | | | | | | | 1,619 | | | | 1,574,703 | |
| | | | | | | | | | | | |
| | |
Mortgage-Backed Securities — 15.7% | | | | | | | | | |
Fannie Mae Mortgage-Backed Securities 0.54%, 10/27/25 | | | | | | | 4,500 | | | | 3,990,479 | |
2.50%, 12/01/27 - 04/01/32 | | | | | | | 1,213 | | | | 1,131,447 | |
3.00%, 09/01/30 - 09/01/35 | | | | | | | 2,701 | | | | 2,522,200 | |
4.00%, 03/01/32 - 08/01/49 | | | | | | | 12,956 | | | | 12,384,514 | |
4.50%, 09/01/26 - 01/01/48 | | | | | | | 5,208 | | | | 5,117,749 | |
5.00%, 07/01/25 - 06/01/39 | | | | | | | 2,703 | | | | 2,736,593 | |
(12 mo. LIBOR US + 1.59%),
2.99%, 06/01/45(b) | | | | | | | 168 | | | | 164,717 | |
(12 mo. LIBOR US + 1.59%),
3.02%, 10/01/45(b) | | | | | | | 138 | | | | 140,342 | |
| | |
| 90 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Mortgage-Backed Securities (continued) | |
Fannie Mae Mortgage-Backed
Securities (12 mo. LIBOR US + 1.60%), 3.24%, 07/01/44(b) | | | USD | | | | 150 | | | $ | 151,028 | |
(12 mo. LIBOR US + 1.71%),
3.21%, 07/01/43(b) | | | | | | | 296 | | | | 302,172 | |
Freddie Mac Mortgage-Backed Securities | | | | | | | | | | | | |
0.60%, 09/30/25 | | | | | | | 3,000 | | | | 2,672,293 | |
0.90%, 10/13/27 | | | | | | | 2,000 | | | | 1,712,836 | |
2.50%, 11/01/27 | | | | | | | 219 | | | | 210,916 | |
3.00%, 02/01/36 | | | | | | | 390 | | | | 359,485 | |
4.00%, 09/01/33 - 06/01/37 | | | | | | | 1,689 | | | | 1,633,848 | |
4.50%, 03/01/49 - 01/01/50 | | | | | | | 3,332 | | | | 3,274,571 | |
(12 mo. LIBOR US + 1.62%), 2.23%, 03/01/45(b) | | | | | | | 218 | | | | 217,510 | |
(12 mo. LIBOR US + 1.62%), 3.22%, 05/01/45(b) | | | | | | | 433 | | | | 422,973 | |
Uniform Mortgage-Backed Securities, 4.50%, 10/01/52(f) | | | | | | | 28,900 | | | | 27,516,398 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 66,662,071 | |
| | | | | | | | | | | | |
| | | |
Total U.S. Government Sponsored Agency Securities — 17.7% | | | | | | | | | | | | |
(Cost: $79,278,752) | | | | | | | | | | | 74,921,896 | |
| | | | | | | | | | | | |
|
U.S. Treasury Obligations | |
U.S. Treasury Inflation Indexed Notes, 0.13%, 04/15/27 | | | | | | | 5,121 | | | | 4,721,250 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Obligations — 1.1%
(Cost: $4,746,732) | | | | | | | | 4,721,250 | |
| | | | | | | | | | | | |
| | |
Total Long-Term Investments — 99.6%
(Cost: $450,036,090) | | | | | | | | 422,281,576 | |
| | | | | | | | | | | | |
|
Short-Term Securities | |
| | | |
Commercial Paper — 0.3% | | | | | | | | | | | | |
HSBC U.S.A., Inc., 4.01%, 06/14/23(g) | | | | | | | 1,460 | | | | 1,412,712 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Money Market Funds — 3.1% | | | | | | | | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.46%(h) | | | | | | | 13,302,803 | | | | 13,302,803 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
U.S. Treasury Obligations(g) — 3.1% | | | | | | | | | | | | |
U.S. Treasury Bills, 3.84%, 03/23/23 | | | USD | | | | 13,175 | | | $ | 12,945,796 | |
| | | | | | | | | | | | |
| | | |
Total Short-Term Securities — 6.5%
(Cost: $27,662,056) | | | | | | | | | | | 27,661,311 | |
| | | | | | | | | | | | |
| | | |
Total Investments Before TBA Sale Commitments — 106.1%
(Cost: $477,698,146) | | | | | | | | | | | 449,942,887 | |
| | | | | | | | | | | | |
| | | |
TBA Sale Commitments(f) | | | | | | | | | | | | |
| | | |
Mortgage-Backed Securities — (2.5)% | | | | | | | | | | | | |
| | | |
Uniform Mortgage-Backed Securities, 4.50%, 10/01/52 | | | | | | | (11,300 | ) | | | (10,764,133 | ) |
| | | | | | | | | | | | |
| | | |
Total TBA Sale Commitments — (2.5)%
(Proceeds: $(10,808,156)) | | | | | | | | | | | (10,764,133 | ) |
| | | | | | | | | | | | |
| | | |
Total Investments Net of TBA Sale Commitments — 103.6%
(Cost: $466,889,990) | | | | | | | | | | | 439,178,754 | |
Liabilities in Excess of Other Assets — (3.6)% | | | | | | | | (15,265,188 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 423,913,566 | |
| | | | | | | | | | | | |
| (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) | Rates are discount rates or a range of discount rates as of period end. |
| (h) | 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.
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) | | | 31 | | | | 12/20/22 | | | $ | 3,919 | | | $ | (310,612 | ) |
U.S. Treasury Notes (2 Year) | | | 811 | | | | 12/30/22 | | | | 166,572 | | | | (2,568,070 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (2,878,682 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Short Contracts | | | | | | | | | | | | | | | | |
Euro-Bobl | | | 27 | | | | 12/08/22 | | | | 3,169 | | | | 75,257 | |
Euro-Schatz | | | 64 | | | | 12/08/22 | | | | 6,722 | | | | 59,374 | |
Japanese Government Bonds (10 Year) | | | 6 | | | | 12/13/22 | | | | 6,148 | | | | 5,997 | |
U.S. Treasury Notes (10 Year) | | | 177 | | | | 12/20/22 | | | | 19,835 | | | | 496,544 | |
U.S. Ultra Treasury Bonds | | | 32 | | | | 12/20/22 | | | | 4,384 | | | | 334,474 | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 91 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio |
Futures Contracts (continued)
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount
(000) | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Short ContractsShort Contracts (continued) | | | | | | | | | | | | | | | | |
U.S. Ultra Treasury Bonds (10 Year) | | | 118 | | | | 12/20/22 | | | $ | 13,981 | | | $ | 701,624 | |
U.S. Treasury Notes (5 Year) | | | 397 | | | | 12/30/22 | | | | 42,681 | | | | 1,028,766 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,702,036 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (176,646) | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| USD | | | 395,934 | | | CAD | | | 523,000 | | | Royal Bank of Canada | | | 12/21/22 | | | $ | 17,156 | |
| USD | | | 11,507,563 | | | EUR | | | 11,454,000 | | | JPMorgan Chase Bank N.A. | | | 12/21/22 | | | | 208,010 | |
| USD | | | 72,419 | | | EUR | | | 72,000 | | | JPMorgan Chase Bank N.A. | | | 12/21/22 | | | | 1,390 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 226,556 | |
| | | | | | | | | | | | | | | | | | | | |
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
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CDX.NA.IG.39.V1 | | 1.00% | | | Quarterly | | | 12/20/27 | | | USD 3,250 | | | $ | 9,982 | | | $ | (5,229) | | | $ | 15,211 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid by the Fund | | Received by the Fund | | Effective Date | | Termination Date | | Notional Amount (000) | | | Value | | | Upfront
Premium
Paid (Received) | | | Unrealized
Appreciation (Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency |
| |
SOFR, 2.98% | | Annual | | 3.66% | | Annual | | 01/05/2023(a) | | 09/30/24 | | | USD | | | | 9,575 | | | $ | (97,965 | ) | | $ | 1,964 | | | $ | (99,929 | ) |
SOFR, 2.98% | | Annual | | 3.22% | | Annual | | 01/05/2023(a) | | 02/28/27 | | | USD | | | | 9,575 | | | | 239,458 | | | | 3,772 | | | | 235,686 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 141,493 | | | $ | 5,736 | | | $ | 135,757 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | $ | 5,736 | | | $ | (5,229 | ) | | $ | 250,897 | | | $ | (99,929 | ) |
| | (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. | |
| | |
| 92 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 2,702,036 | | | | | | | $ | — | | | $ | 2,702,036 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 226,556 | | | | | | | | — | | | | | | | | — | | | | 226,556 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | | | | | — | | | | | | | | 15,211 | | | | | | | | — | | | | | | | | — | | | | | | | | 235,686 | | | | | | | | — | | | | 250,897 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | | | | | $ | 15,211 | | | | | | | $ | — | | | | | | | $ | 226,556 | | | | | | | $ | 2,937,722 | | | | | | | $ | — | | | $ | 3,179,489 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 2,878,682 | | | | | | | $ | — | | | $ | 2,878,682 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 99,929 | | | | | | | | — | | | | 99,929 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 2,978,611 | | | | | | | $ | — | | | $ | 2,978,611 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 September 30, 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 | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 3,563,556 | | | | | | | $ | — | | | $ | 3,563,556 | |
Forward foreign currency exchange contracts | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 810,991 | | | | | | | | — | | | | | | | | — | | | | 810,991 | |
Options purchased(a) | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 261,891 | | | | | | | | — | | | | 261,891 | |
Options written | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | (1,383,722 | ) | | | | | | | — | | | | (1,383,722 | ) |
Swaps | | | | | | | — | | | | | | | | 76,335 | | | | | | | | — | | | | | | | | — | | | | | | | | 565,610 | | | | | | | | — | | | | 641,945 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | | | | | $ | 76,335 | | | | | | | $ | — | | | | | | | $ | 810,991 | | | | | | | $ | 3,007,335 | | | | | | | $ | — | | | $ | 3,894,661 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | (884,030 | ) | | | | | | $ | — | | | $ | (884,030 | ) |
Forward foreign currency exchange contracts | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 233,514 | | | | | | | | — | | | | | | | | — | | | | 233,514 | |
Options purchased(b) | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | (150,161 | ) | | | | | | | — | | | | (150,161 | ) |
Options written | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 1,986,055 | | | | | | | | — | | | | 1,986,055 | |
Swaps | | | | | | | — | | | | | | | | 7,383 | | | | | | | | — | | | | | | | | — | | | | | | | | (1,196,094 | ) | | | | | | | — | | | | (1,188,711 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | | | | | $ | 7,383 | | | | | | | $ | — | | | | | | | $ | 233,514 | | | | | | | $ | (244,230 | ) | | | | | | $ | — | | | $ | (3,333 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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. | |
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 93 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts | | | | |
Average notional value of contracts — long | | $ | 159,801,242 | |
Average notional value of contracts — short | | $ | 109,338,705 | |
Forward foreign currency exchange contracts | | | | |
Average amounts purchased — in USD | | | $12,431,897 | |
Options | | | | |
Average value of option contracts purchased | | | $—(a) | |
Average value of option contracts written | | | $—(a) | |
Average notional value of swaption contracts purchased | | | $—(a) | |
Average notional value of swaption contracts written | | | $—(a) | |
Credit default swaps | | | | |
Average notional value — buy protection | | | $1,625,000 | |
Interest rate swaps | | | | |
Average notional value — pays fixed rate | | | $19,150,000 | |
| | (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 | | $ | 40,819 | | | $ | 101,703 | |
Forward foreign currency exchange contracts | | | 226,556 | | | | — | |
Swaps — centrally cleared | | | 4,999 | | | | — | |
| | | | | | | | |
| | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 272,374 | | | $ | 101,703 | |
| | | | | | | | |
| | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (45,818 | ) | | | (101,703 | ) |
| | | | | | | | |
| | |
Total derivative assets and liabilities subject to an MNA | | $ | 226,556 | | | $ | — | |
| | | | | | | | |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative
Assets
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset | | | Non-
Cash
Collateral
Received | | | Cash
Collateral
Received | | | Net
Amount of
Derivative
Assets(a) | |
JPMorgan Chase Bank N.A | | $ | 209,400 | | | $ | — | | | $ | — | | | $ | — | | | $ | 209,400 | |
Royal Bank of Canada | | | 17,156 | | | | — | | | | — | | | | — | | | | 17,156 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 226,556 | | | $ | — | | | $ | — | | | $ | — | | | $ | 226,556 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | Net amount represents the net amount receivable 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 | | $ | — | | | $ | 111,242,278 | | | $ | — | | | $ | 111,242,278 | |
Corporate Bonds | | | — | | | | 138,336,732 | | | | — | | | | 138,336,732 | |
Foreign Agency Obligations | | | — | | | | 2,426,537 | | | | — | | | | 2,426,537 | |
Foreign Government Obligations | | | — | | | | 1,380,014 | | | | — | | | | 1,380,014 | |
| | |
| 94 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series S Portfolio |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Corporate Bonds (continued) | | $ | — | | | $ | 138,336,732 | | | $ | — | | | $ | 138,336,732 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 89,006,101 | | | | 246,768 | | | | 89,252,869 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 74,921,896 | | | | — | | | | 74,921,896 | |
U.S. Treasury Obligations | | | — | | | | 4,721,250 | | | | — | | | | 4,721,250 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Commercial Paper | | | — | | | | 1,412,712 | | | | — | | | | 1,412,712 | |
Money Market Funds | | | 13,302,803 | | | | — | | | | — | | | | 13,302,803 | |
U.S. Treasury Obligations | | | — | | | | 12,945,796 | | | | — | | | | 12,945,796 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (10,764,133 | ) | | | — | | | | (10,764,133 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 13,302,803 | | | $ | 425,629,183 | | | $ | 246,768 | | | $ | 439,178,754 | |
| | | | | | | | | | | | | | | | |
| Derivative Financial Instruments(a) | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 15,211 | | | $ | — | | | $ | 15,211 | |
Foreign Currency Exchange Contracts | | | — | | | | 226,556 | | | | — | | | | 226,556 | |
Interest Rate Contracts | | | 2,702,036 | | | | 235,686 | | | | — | | | | 2,937,722 | |
Liabilities | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | (2,878,682 | ) | | | (99,929 | ) | | | — | | | | (2,978,611 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (176,646 | ) | | $ | 377,524 | | | $ | — | | | $ | 200,878 | |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 95 |
| | |
Schedule of Investments (unaudited) September 30, 2022 | | BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Municipal Bonds | | | | | | | | | | | | |
| | | |
Alaska — 0.3% | | | | | | | | | | | | |
Alaska Housing Finance Corp., Refunding RB, Series A, VRDN, 2.45%, 10/07/22(a) | | | USD | | | | 100 | | | $ | 100,000 | |
| | | | | | | | | | | | |
| | | |
California — 6.1% | | | | | | | | | | | | |
City of Los Angeles, TRAN, 4.00%, 06/29/23 | | | | | | | 400 | | | | 402,567 | |
East Bay Municipal Utility District, TECP, 1.75%, 11/03/22 | | | | | | | 400 | | | | 399,737 | |
Los Angeles California Wastewater System, TECP, 1.85%, 12/07/22 | | | | | | | 500 | | | | 499,395 | |
Los Angeles County Sanitation Districts Financing Authority, RB, Series A,
5.00%, 10/01/22 | | | | | | | 250 | | | | 250,000 | |
San Diego City Public Facilities Water Revenue, TECP, 1.85%, 12/09/22 | | | | | | | 500 | | | | 499,472 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,051,171 | |
| | | |
Colorado — 1.9% | | | | | | | | | | | | |
City of Colorado Springs Utilities System Revenue, RB, Series C, VRDN, 2.55%, 10/07/22(a) | | | | | | | 150 | | | | 150,000 | |
Lower Colorado River Authority, TECP,
1.70%, 10/20/22 | | | | | | | 500 | | | | 499,821 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 649,821 | |
| | | |
Connecticut — 0.9% | | | | | | | | | | | | |
Connecticut Housing Finance Authority RB, Sub-Series A-3, VRDN, 2.48%, 10/07/22(a) | | | | | | | 200 | | | | 200,000 | |
Refunding RB, Sub-Series C-3, VRDN, 2.48%, 10/07/22(a) | | | | | | | 100 | | | | 100,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 300,000 | |
| | | |
District of Columbia — 2.7% | | | | | | | | | | | | |
District of Columbia Refunding RB, VRDN, 2.45%, 10/07/22(a) | | | | | | | 405 | | | | 405,000 | |
TECP, 2.00%, 11/15/22 | | | | | | | 500 | | | | 499,622 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 904,622 | |
| | | |
Florida — 4.2% | | | | | | | | | | | | |
County of Escambia, RB, VRDN,
2.85%, 10/03/22(a) | | | | | | | 1,000 | | | | 1,000,000 | |
County of St. Lucie, Refunding RB, VRDN, 2.80%, 10/03/22(a) | | | | | | | 100 | | | | 100,000 | |
JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN,
2.52%, 10/07/22(a) | | | | | | | 300 | | | | 300,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,400,000 | |
| | | |
Illinois — 6.5% | | | | | | | | | | | | |
City of Aurora, Refunding RB, VRDN,
2.47%, 10/07/22(a) | | | | | | | 100 | | | | 100,000 | |
County of Cook, GO, Refunding, Series B, 4.00%, 11/15/22 Illinois Finance Authority | | | | | | | 200 | | | | 200,185 | |
RB, VRDN, 2.55%, 10/07/22(a) | | | | | | | 500 | | | | 500,000 | |
Refunding RB, Sub-Series C3A, VRDN, 2.56%, 10/07/22(a) | | | | | | | 900 | | | | 900,000 | |
Refunding RB, VRDN, 2.75%, 10/03/22(a) | | | | | | | 500 | | | | 500,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,200,185 | |
| | | |
Indiana — 1.2% | | | | | | | | | | | | |
Indiana Finance Authority, Refunding RB, VRDN, 2.75%, 10/03/22(a) | | | | | | | 400 | | | | 400,000 | |
| | | | | | | | | | | | |
| | | |
Louisiana — 2.8% | | | | | | | | | | | | |
Louisiana Offshore Terminal Authority, Refunding RB, VRDN, 2.30%, 10/07/22(a) | | | | | | | 715 | | | | 715,000 | |
Louisiana Public Facilities Authority, Refunding RB, VRDN, 2.30%, 10/07/22(a) | | | | | | | 230 | | | | 230,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 945,000 | |
| | | |
Massachusetts — 3.6% | | | | | | | | | | | | |
City of Quincy, GO, Refunding, BAN,
4.00%, 07/07/23 | | | | | | | 400 | | | | 401,696 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Massachusetts (continued) | | | | | | | | | | | | |
Massachusetts Development Finance Agency, RB, VRDN, 2.50%, 10/07/22(a) | | | USD | | | | 700 | | | $ | 700,000 | |
Massachusetts Water Resources Authority, Refunding RB, Series A-3, VRDN,
2.55%, 10/07/22(a) | | | | | | | 100 | | | | 100,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,201,696 | |
| | | |
Michigan — 2.3% | | | | | | | | | | | | |
Michigan State University, RB, Series 2000-A, VRDN, 2.27%, 10/07/22(a) | | | | | | | 400 | | | | 400,000 | |
Oakland University, Refunding RB, VRDN, 2.55%, 10/07/22(a) | | | | | | | 145 | | | | 145,000 | |
University of Michigan, Refunding RB, Series D-2, VRDN, 2.50%, 10/07/22(a) | | | | | | | 230 | | | | 230,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 775,000 | |
| | | |
Minnesota — 3.8% | | | | | | | | | | | | |
County of Hennepin, GO, Refunding, Series B, VRDN, 2.50%, 10/07/22(a) | | | | | | | 785 | | | | 785,000 | |
University of Minnesota, TECP, 1.98%, 10/19/22 | | | | | | | 500 | | | | 499,844 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,284,844 | |
| | | |
Mississippi — 3.6% | | | | | | | | | | | | |
Mississippi Business Finance Corp., RB, Series E, VRDN, 2.75%, 10/03/22(a) | | | | | | | 1,200 | | | | 1,200,000 | |
| | | | | | | | | | | | |
| | | |
Missouri — 2.7% | | | | | | | | | | | | |
City of Kansas City, Refunding RB, Series E, VRDN, 2.56%, 10/07/22(a) | | | | | | | 915 | | | | 915,000 | |
| | | | | | | | | | | | |
| | | |
Nebraska — 1.6% | | | | | | | | | | | | |
Nebraska Investment Finance Authority, RB, Series C, VRDN, (GNMA/FNMA/FHLMC), 2.30%, 10/07/22(a) | | | | | | | 525 | | | | 525,000 | |
| | | | | | | | | | | | |
| | | |
Nevada — 0.3% | | | | | | | | | | | | |
County of Clark Department of Aviation, Refunding RB, Series D-2B, VRDN, 2.53%, 10/07/22(a) | | | | | | | 100 | | | | 100,000 | |
| | | | | | | | | | | | |
| | | |
New York — 18.8% | | | | | | | | | | | | |
Battery Park City Authority, Refunding RB, Series D-1, VRDN, 2.57%, 10/07/22(a) | | | | | | | 300 | | | | 300,000 | |
Build NYC Resource Corp., Refunding RB, VRDN, 2.56%, 10/07/22(a) | | | | | | | 135 | | | | 135,000 | |
City of New York | | | | | | | | | | | | |
GO, Sub-Series I-3, VRDN, 2.61%, 10/07/22(a) | | | | | | | 100 | | | | 100,000 | |
GO, Sub-Series I-4, VRDN, 2.78%, 10/03/22(a) | | | | | | | 900 | | | | 900,000 | |
New York City Housing Development Corp., RB, VRDN, 2.50%, 10/07/22(a) | | | | | | | 300 | | | | 300,000 | |
New York City Municipal Water Finance Authority, RB, Series CC, VRDN, 2.57%, 10/07/22(a) | | | | | | | 785 | | | | 785,000 | |
New York State Energy Research & Development Authority Refunding RB, Sub-Series A-1, VRDN, 2.60%, 10/07/22(a) | | | | | | | 175 | | | | 175,000 | |
Refunding RB, Sub-Series A-3, VRDN,
2.31%, 10/07/22(a) | | | | | | | 255 | | | | 255,000 | |
New York State HFA RB, Series A, VRDN, 2.55%, 10/07/22(a) | | | | | | | 900 | | | | 900,000 | |
RB, VRDN, 2.33%, 10/07/22(a) | | | | | | | 200 | | | | 200,000 | |
RB, VRDN, 2.65%, 10/07/22(a) | | | | | | | 650 | | | | 650,000 | |
New York State Urban Development Corp., Refunding RB, VRDN, 2.50%, 10/07/22(a) | | | | | | | 500 | | | | 500,000 | |
Omaha Public Power District, TECP,
1.50%, 10/04/22 | | | | | | | 200 | | | | 199,976 | |
Port Authority of New York & New Jersey
TECP, 2.15%, 11/09/22 | | | | | | | 100 | | | | 99,945 | |
TECP, 2.15%, 11/16/22 | | | | | | | 400 | | | | 399,690 | |
State of New York Mortgage Agency, Refunding RB, Series 2, VRDN, 2.55%, 10/07/22(a) | | | | | | | 400 | | | | 400,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,299,611 | |
| | |
| 96 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2022 | | BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Ohio — 5.7% | | | | | | | | | |
Akron Bath Copley Joint Township Hospital District, RB, Series A-R, VRDN,
2.48%, 10/07/22(a) | | | USD | | | | 395 | | | $ | 395,000 | |
County of Franklin
RB, VRDN, 2.55%, 10/07/22(a) | | | | | | | 180 | | | | 180,000 | |
Refunding RB, VRDN, 2.55%, 10/07/22(a) | | | | | | | 150 | | | | 150,000 | |
Ohio Higher Educational Facility Commission, Refunding RB, VRDN, 2.55%, 10/07/22(a) | | | | | | | 700 | | | | 700,000 | |
Ohio State University, RB, Series B-1, VRDN, 2.25%, 10/07/22(a) | | | | | | | 500 | | | | 500,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,925,000 | |
| | | |
Pennsylvania — 0.3% | | | | | | | | | | | | |
Emmaus General Authority, RB, VRDN,
2.43%, 10/07/22(a) | | | | | | | 100 | | | | 100,000 | |
| | | | | | | | | | | | |
| | | |
South Dakota — 2.4% | | | | | | | | | | | | |
South Dakota HDA, Refunding RB, Series B, VRDN, 2.45%, 10/07/22(a) | | | | | | | 800 | | | | 800,000 | |
| | | | | | | | | | | | |
| | | |
Tennessee — 2.1% | | | | | | | | | | | | |
Nashville & Davidson Sewer, TECP,
2.27%, 11/08/22 | | | | | | | 500 | | | | 499,760 | |
Public Building Authority of Sevier County, RB, VRDN, (County GTD),
2.49%, 10/07/22(a) | | | | | | | 200 | | | | 200,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 699,760 | |
| | | |
Texas — 16.4% | | | | | | | | | | | | |
Board of Regents University of Texas, TECP, 1.98%, 11/02/22 | | | | | | | 400 | | | | 399,835 | |
City of Austin Water & Wastewater System Revenue, Refunding RB, VRDN, 2.49%, 10/07/22(a) | | | | | | | 900 | | | | 900,000 | |
City of Houston Combined Utility System Revenue Refunding RB, Series C, VRDN, 2.50%, 10/07/22(a) | | | | | | | 300 | | | | 300,000 | |
Refunding RB, VRDN, 2.48%, 10/07/22(a) | | | | | | | 200 | | | | 200,000 | |
Dallas ISD, GO, (GTD-PSF), 5.00%, 02/15/23 | | | | | | | 200 | | | | 201,413 | |
Garland, TECP, 2.00%, 12/01/22 | | | | | | | 500 | | | | 499,448 | |
Harris County Health Facilities Development Corp., Refunding RB, Series A-2, VRDN, 2.95%, 10/03/22(a) | | | | | | | 940 | | | | 940,000 | |
Pasadena ISD, GO, Series B, VRDN,
2.55%, 10/07/22(a) | | | | | | | 115 | | | | 115,000 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Texas (continued) | | | | | | | | | |
Permanent University Fund - University of Texas System RB, Series A, VRDN,
2.44%, 10/07/22(a) | | | USD | | | | 325 | | | $ | 325,000 | |
Refunding RB, Series A, VRDN,
2.44%, 10/07/22(a) | | | | | | | 115 | | | | 115,000 | |
Port of Port Arthur Navigation District, Refunding RB, VRDN, 2.25%, 10/07/22(a) | | | | | | | 200 | | | | 200,000 | |
Red River Education Finance Corp., RB, VRDN, 2.30%, 10/07/22(a) | | | | | | | 500 | | | | 500,000 | |
State of Texas, GO, Series B, VRDN,
2.35%, 10/07/22(a) | | | | | | | 405 | | | | 405,000 | |
University of Texas, TECP, 2.10%, 01/05/23 | | | | | | | 400 | | | | 399,297 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,499,993 | |
| | | |
Virginia — 6.0% | | | | | | | | | | | | |
Fairfax County IDA, Refunding RB, VRDN, 2.60%, 10/07/22(a) | | | | | | | 320 | | | | 320,000 | |
Loudoun County EDA
RB, Series B, VRDN, 2.45%, 10/07/22(a) | | | | | | | 495 | | | | 495,000 | |
RB, Series F, VRDN, 2.50%, 10/07/22(a) | | | | | | | 800 | | | | 800,000 | |
Virginia Polytechnic Institute & State University, TECP, 1.80%, 10/05/22 | | | | | | | 400 | | | | 399,959 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,014,959 | |
| | | |
Wisconsin — 3.7% | | | | | | | | | | | | |
University of Wisconsin Hospitals & Clinics, Refunding RB, VRDN, 2.95%, 10/03/22(a) | | | | | | | 500 | | | | 500,000 | |
Wisconsin Housing & EDA
RB, Series C, VRDN, 2.40%, 10/07/22(a) | | | | | | | 300 | | | | 300,000 | |
| | | | | | | | | | | | |
RB, Series D, VRDN, (FNMA COL),
2.50%, 10/07/22(a) | | | | | | | 450 | | | | 450,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,250,000 | |
| | | |
Total Investments — 99.9% | | | | | | | | | | | | |
(Cost: $33,553,646) | | | | | | | | | | | 33,541,662 | |
Other Assets Less Liabilities — 0.1% | | | | | | | | | | | 23,485 | |
| | | | | | | | | | | | |
Net Assets — 100.0% | | | | | | | | | | $ | 33,565,147 | |
| | | | | | | | | | | | |
| (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 | | $ | — | | | $ | 33,541,662 | | | $ | — | | | $ | 33,541,662 | |
| | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
S C H E D U L E S O F I N V E S T M E N T S | | 97 |
Statements of Assets and Liabilities (unaudited)
September 30, 2022
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS:
Series C Portfolio | | | BATS:
Series E Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments, at value — unaffiliated(a) | | $ | 2,512,543,664 | | | $ | 347,937,269 | | | $ | 333,357,174 | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 490,000 | | | | — | | | | — | |
Futures contracts | | | — | | | | 499,710 | | | | 1,348,000 | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | — | | | | 182,662 | | | | 173,925 | |
TBA sale commitments | | | 47,275,756 | | | | — | | | | — | |
Capital shares sold | | | — | | | | 398,846 | | | | 80,114 | |
Dividends — unaffiliated | | | 338,701 | | | | 10,464 | | | | 9,211 | |
Interest — unaffiliated | | | 7,319,925 | | | | 3,623,895 | | | | 4,621,335 | |
From the Manager | | | 85,669 | | | | 76,240 | | | | 85,405 | |
Variation margin on futures contracts | | | — | | | | 6,125 | | | | 228,665 | |
Swap premiums paid | | | 11,504 | | | | — | | | | — | |
Unrealized appreciation on OTC swaps | | | 37,732 | | | | — | | | | — | |
Prepaid expenses | | | 35,653 | | | | 29,551 | | | | 24,213 | |
| | | | | | | | | | | | |
Total assets | | | 2,568,138,604 | | | | 352,764,762 | | | | 339,928,042 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Bank overdraft | | | 3,523 | | | | — | | | | — | |
Cash received as collateral for TBA commitments | | | 535,691 | | | | — | | | | — | |
TBA sale commitments at value(f) | | | 44,504,406 | | | | — | | | | — | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | 24,150,937 | | | | 189,295 | | | | 1,155,322 | |
Accounting services fees | | | 55,469 | | | | 19,645 | | | | 18,163 | |
Capital shares redeemed | | | 1,937 | | | | 869,269 | | | | 35,553 | |
Income dividend distributions | | | 9,922,927 | | | | 1,227,520 | | | | 1,368,928 | |
Interest expense and fees | | | — | | | | — | | | | 66,910 | |
Trustees’ and Officer’s fees | | | 5,640 | | | | 3,200 | | | | 2,380 | |
Other accrued expenses | | | 86,766 | | | | 182,258 | | | | 36,111 | |
Professional fees | | | 41,009 | | | | 45,675 | | | | 34,577 | |
Variation margin on futures contracts | | | — | | | | 11,039 | | | | — | |
Swap premiums received | | | 456,294 | | | | — | | | | — | |
Unrealized depreciation on: | | | | | | | | | | | | |
OTC swaps | | | 476,220 | | | | — | | | | — | |
Unfunded floating rate loan interests | | | 9,041 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total accrued liabilities | | | 80,249,860 | | | | 2,547,901 | | | | 2,717,944 | |
| | | | | | | | | | | | |
| | | |
Other Liabilities | | | | | | | | | | | | |
TOB Trust Certificates | | | — | | | | — | | | | 15,744,000 | |
| | | | | | | | | | | | |
Total other liabilities | | | — | | | | — | | | | 15,744,000 | |
| | | | | | | | | | | | |
Total liabilities | | | 80,251,090 | | | | 2,547,901 | | | | 18,461,944 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 2,487,888,744 | | | $ | 350,216,861 | | | $ | 321,466,098 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in capital | | $ | 2,724,840,923 | | | $ | 436,540,642 | | | $ | 361,453,545 | |
Accumulated loss | | | (236,952,179 | ) | | | (86,323,781 | ) | | | (39,987,447 | ) |
| | | | | | | | | | | | |
NET ASSETS | | $ | 2,487,888,744 | | | $ | 350,216,861 | | | $ | 321,466,098 | |
| | | | | | | | | | | | |
| | |
| 98 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2022
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | | | BATS: Series E Portfolio | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding | | | 270,976,076 | | | | 40,903,005 | | | | 33,009,106 | |
| | | | | | | | | | | | |
Net asset value | | $ | 9.18 | | | $ | 8.56 | | | $ | 9.74 | |
| | | | | | | | | | | | |
Shares authorized | | | Unlimited | | | | Unlimited | | | | Unlimited | |
| | | | | | | | | | | | |
Par value | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | |
| | | | | | | | | | | | |
| | | |
(a) Investments, at cost — unaffiliated | | $ | 2,733,228,256 | | | $ | 413,166,409 | | | $ | 379,332,084 | |
(f)Proceeds from TBA sale commitments | | $ | 47,275,756 | | | $ | — | | | $ | — | |
See notes to financial statements.
| | |
F I N A N C I A L S T A T E M E N T S | | 99 |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2022
| | | | | | | | | | | | |
| | | BATS: Series M Portfolio | | | BATS:
Series P Portfolio | | | BATS: Series S Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments, at value — unaffiliated(a) | | $ | 1,619,643,929 | | | $ | — | | | $ | 449,942,887 | |
Investments, at value — affiliated(b) | | | — | | | | 12,279,706 | | | | — | |
Cash | | | 145,052 | | | | 39,677,595 | | | | 1,355,309 | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 2,930,000 | | | | — | | | | — | |
Futures contracts | | | 2,119,000 | | | | 1,218,190 | | | | 1,824,925 | |
Centrally cleared swaps | | | — | | | | — | | | | 57,000 | |
Foreign currency, at value(c) | | | — | | | | — | | | | 179,642 | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | 9,341,782 | | | | — | | | | 659,670 | |
TBA sale commitments | | | 357,956,590 | | | | — | | | | 10,808,156 | |
Capital shares sold | | | 1,450,732 | | | | 65,718 | | | | 456,538 | |
Dividends — unaffiliated | | | 11,392 | | | | — | | | | 51,257 | |
Dividends — affiliated | | | — | | | | 33,926 | | | | — | |
Interest — unaffiliated | | | 3,259,016 | | | | — | | | | 1,617,446 | |
From the Manager | | | 96,768 | | | | 26,025 | | | | 72,550 | |
Principal paydowns | | | — | | | | — | | | | 41,352 | |
Variation margin on futures contracts | | | 47,332 | | | | 233,228 | | | | 40,819 | |
Variation margin on centrally cleared swaps | | | — | | | | 330 | | | | 4,999 | |
Swap premiums paid | | | 374,649 | | | | — | | | | — | |
Unrealized appreciation on: | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 226,556 | |
OTC swaps | | | 1,136,806 | | | | — | | | | — | |
Prepaid expenses | | | 54,227 | | | | 20,532 | | | | 38,908 | |
| | | | | | | | | | | | |
Total assets | | | 1,998,567,275 | | | | 53,555,250 | | | | 467,378,014 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Foreign bank overdraft(d) | | | 5,069 | | | | — | | | | — | |
Cash received: | | | | | | | | | | | | |
Collateral — TBA commitments | | | 1,172,000 | | | | — | | | | — | |
Centrally cleared swaps | | | 40 | | | | — | | | | — | |
Options written at value(e) | | | 635,594 | | | | — | | | | — | |
TBA sale commitments at value(f) | | | 346,205,585 | | | | — | | | | 10,764,133 | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | 604,136,093 | | | | — | | | | 30,418,619 | |
Accounting services fees | | | 30,203 | | | | 12,273 | | | | 19,606 | |
Capital shares redeemed | | | 1,439,739 | | | | 48,109 | | | | 800,668 | |
Income dividend distributions | | | 2,891,530 | | | | — | | | | 1,130,086 | |
Trustees’ and Officer’s fees | | | 6,228 | | | | 609 | | | | 1,480 | |
Other accrued expenses | | | 314,074 | | | | 25,694 | | | | 182,649 | |
Professional fees | | | 42,525 | | | | 35,978 | | | | 45,504 | |
Variation margin on futures contracts | | | 4,281 | | | | 15,375 | | | | 101,703 | |
Variation margin on centrally cleared swaps | | | 16 | | | | — | | | | — | |
Swap premiums received | | | 1,896,126 | | | | — | | | | — | |
Unrealized depreciation on: | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps | | | 3,193,944 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total liabilities | | | 961,973,047 | | | | 138,038 | | | | 43,464,448 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 1,036,594,228 | | | $ | 53,417,212 | | | $ | 423,913,566 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in capital | | $ | 1,238,221,133 | | | $ | 78,913,391 | | | $ | 460,639,184 | |
Accumulated loss | | | (201,626,905 | ) | | | (25,496,179 | ) | | | (36,725,618 | ) |
| | | | | | | | | | | | |
NET ASSETS | | $ | 1,036,594,228 | | | $ | 53,417,212 | | | $ | 423,913,566 | |
| | | | | | | | | | | | |
| | |
| 100 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2022
| | | | | | | | | | | | |
| | | BATS:
Series M Portfolio | | | BATS:
Series P Portfolio | | | BATS:
Series S Portfolio | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding | | | 126,327,766 | | | | 5,359,373 | | | | 47,446,737 | |
| | | | | | | | | | | | |
Net asset value | | $ | 8.21 | | | $ | 9.97 | | | $ | 8.93 | |
| | | | | | | | | | | | |
Shares authorized | | | Unlimited | | | | Unlimited | | | | Unlimited | |
| | | | | | | | | | | | |
Par value | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | |
| | | | | | | | | | | | |
(a) Investments, at cost — unaffiliated | | $ | 1,754,348,311 | | | $ | — | | | $ | 477,698,146 | |
(b) Investments, at cost — affiliated | | $ | — | | | $ | 13,149,299 | | | $ | — | |
(c) Foreign currency, at cost | | $ | — | | | $ | — | | | $ | 185,283 | |
(d) Foreign bank overdraft, at cost | | | 4,968 | | | | — | | | | — | |
(e) Premiums received | | $ | 105,706 | | | $ | — | | | $ | — | |
(f) Proceeds from TBA sale commitments | | $ | 357,956,590 | | | $ | — | �� | | $ | 10,808,156 | |
See notes to financial statements.
| | |
F I N A N C I A L S T A T E M E N T S | | 101 |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2022
| | | | |
| | | BATS: Series V Portfolio | |
| |
ASSETS | | | | |
Investments, at value — unaffiliated(a) | | $ | 33,541,662 | |
Cash | | | 489,619 | |
Receivables: | | | | |
Capital shares sold | | | 29,987 | |
Interest — unaffiliated | | | 69,621 | |
From the Manager | | | 29,360 | |
Prepaid expenses | | | 18,191 | |
| | | | |
| |
Total assets | | | 34,178,440 | |
| | | | |
| |
LIABILITIES | | | | |
Payables: | | | | |
Investments purchased | | | 400,210 | |
Accounting services fees | | | 12,903 | |
Capital shares redeemed | | | 110,210 | |
Income dividend distributions | | | 47,781 | |
Trustees’ and Officer’s fees | | | 176 | |
Other accrued expenses | | | 14,800 | |
Professional fees | | | 27,213 | |
| | | | |
Total liabilities | | | 613,293 | |
| | | | |
NET ASSETS | | $ | 33,565,147 | |
| | | | |
| |
NET ASSETS CONSIST OF: | | | | |
Paid-in capital | | $ | 33,576,970 | |
Accumulated loss | | | (11,823 | ) |
| | | | |
NET ASSETS | | $ | 33,565,147 | |
| | | | |
| |
NET ASSET VALUE | | | | |
Shares outstanding | | $ | 3,360,091 | |
| | | | |
Net asset value | | $ | 9.99 | |
| | | | |
Shares authorized | | | Unlimited | |
| | | | |
Par value | | $ | 0.001 | |
| | | | |
| |
(a) Investments, at cost — unaffiliated | | $ | 33,553,646 | |
See notes to financial statements.
| | |
| 102 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Operations (unaudited)
Six Months Ended September 30, 2022
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | | | BATS: Series E Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Dividends — unaffiliated | | $ | 992,045 | | | $ | 33,034 | | | $ | 32,598 | |
Interest — unaffiliated | | | 49,891,618 | | | | 7,135,804 | | | | 6,956,207 | |
Other income | | | — | | | | 2,379 | | | | 4,121 | |
| | | | | | | | | | | | |
Total investment income | | | 50,883,663 | | | | 7,171,217 | | | | 6,992,926 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Accounting services | | | 83,731 | | | | 30,027 | | | | 27,915 | |
Professional | | | 39,141 | | | | 33,506 | | | | 51,700 | |
Pricing | | | 36,016 | | | | 36,898 | | | | 38,522 | |
Custodian | | | 20,171 | | | | 5,108 | | | | 3,365 | |
Trustees and Officer | | | 19,375 | | | | 4,125 | | | | 3,525 | |
Registration | | | 17,199 | | | | 48,724 | | | | 23,098 | |
Transfer agent | | | 8,280 | | | | 58,444 | | | | 9,991 | |
Miscellaneous | | | 24,485 | | | | 15,519 | | | | 49,715 | |
| | | | | | | | | | | | |
Total expenses excluding interest expense | | | 248,398 | | | | 232,351 | | | | 207,831 | |
Interest expense and fees(a) | | | — | | | | — | | | | 144,081 | |
| | | | | | | | | | | | |
Total expenses | | | 248,398 | | | | 232,351 | | | | 351,912 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (245,888 | ) | | | (229,767 | ) | | | (207,773 | ) |
| | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 2,510 | | | | 2,584 | | | | 144,139 | |
| | | | | | | | | | | | |
Net investment income | | | 50,881,153 | | | | 7,168,633 | | | | 6,848,787 | |
| | | | | | | | | | | | |
| | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | (17,621,377 | ) | | | (14,932,914 | ) | | | (3,954,373 | ) |
Futures contracts | | | — | | | | (2,884,176 | ) | | | 3,519,780 | |
Swaps | | | 270,881 | | | | 122,697 | | | | — | |
| | | | | | | | | | | | |
| | | (17,350,496 | ) | | | (17,694,393 | ) | | | (434,593 | ) |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | (117,543,628 | ) | | | (41,529,849 | ) | | | (48,478,630 | ) |
Futures contracts | | | — | | | | (307,748 | ) | | | 2,041,192 | |
Swaps | | | (632,882 | ) | | | — | | | | — | |
Unfunded floating rate loan interests | | | (936 | ) | | | — | | | | — | |
| | | | | | | | | | | | |
| | | (118,177,446 | ) | | | (41,837,597 | ) | | | (46,437,438 | ) |
| | | | | | | | | | | | |
Net realized and unrealized loss | | | (135,527,942 | ) | | | (59,531,990 | ) | | | (46,872,031 | ) |
| | | | | | | | | | | | |
| | | |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (84,646,789 | ) | | $ | (52,363,357 | ) | | $ | (40,023,244 | ) |
| | | | | | | | | | | | |
| (a) | Related to TOB Trusts. |
See notes to financial statements.
| | |
F I N A N C I A L S T A T E M E N T S | | 103 |
Statements of Operations (unaudited) (continued)
Six Months Ended September 30, 2022
| | | | | | | | | | | | |
| | | BATS:
Series M Portfolio | | | BATS:
Series P Portfolio | | | BATS:
Series S Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Dividends — unaffiliated | | $ | 39,303 | | | $ | — | | | $ | 89,173 | |
Dividends — affiliated | | | — | | | | 162,535 | | | | — | |
Interest — unaffiliated | | | 13,043,768 | | | | — | | | | 5,256,660 | |
Other income | | | 3,635 | | | | 61,997 | | | | 4,589 | |
| | | | | | | | | | | | |
| | | |
Total investment income | | | 13,086,706 | | | | 224,532 | | | | 5,350,422 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Registration | | | 108,875 | | | | 17,182 | | | | 62,697 | |
Transfer agent | | | 56,363 | | | | 8,597 | | | | 52,503 | |
Accounting services | | | 45,820 | | | | 18,898 | | | | 29,810 | |
Professional | | | 33,818 | | | | 24,602 | | | | 31,177 | |
Pricing | | | 26,278 | | | | 14 | | | | 9,201 | |
Custodian | | | 12,536 | | | | 911 | | | | 7,720 | |
Trustees and Officer | | | 8,917 | | | | 1,178 | | | | 3,389 | |
Miscellaneous | | | 16,184 | | | | 5,975 | | | | 8,808 | |
| | | | | | | | | | | | |
Total expenses | | | 308,791 | | | | 77,357 | | | | 205,305 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (306,199 | ) | | | (77,187 | ) | | | (204,169 | ) |
| | | | | | | | | | | | |
| | | |
Total expenses after fees waived and/or reimbursed | | | 2,592 | | | | 170 | | | | 1,136 | |
| | | | | | | | | | | | |
| | | |
Net investment income | | | 13,084,114 | | | | 224,362 | | | | 5,349,286 | |
| | | | | | | | | | | | |
| | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | (51,039,238 | ) | | | — | | | | (5,504,221 | ) |
Options written | | | — | | | | — | | | | (1,383,722 | ) |
Futures contracts | | | 8,269,380 | | | | 4,593,580 | | | | 3,563,556 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 810,991 | |
Foreign currency transactions | | | — | | | | — | | | | 53,682 | |
Swaps | | | 862,235 | | | | 4,519 | | | | 641,945 | |
| | | | | | | | | | | | |
| | | (41,907,623 | ) | | | 4,598,099 | | | | (1,817,769 | ) |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | (66,422,605 | ) | | | — | | | | (14,208,795 | ) |
Investments — affiliated | | | — | | | | (458,214 | ) | | | — | |
Options written | | | (529,888 | ) | | | — | | | | 1,986,055 | |
Futures contracts | | | (5,909 | ) | | | 1,328,089 | | | | (884,030 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 233,514 | |
Foreign currency translations | | | (101 | ) | | | (38 | ) | | | 3,534 | |
Swaps | | | (1,848,987 | ) | | | 1,310 | | | | (1,188,711 | ) |
| | | | | | | | | | | | |
| | | (68,807,490 | ) | | | 871,147 | | | | (14,058,433 | ) |
| | | | | | | | | | | | |
Net realized and unrealized gain (loss) | | | (110,715,113 | ) | | | 5,469,246 | | | | (15,876,202 | ) |
| | | | | | | | | | | | |
| | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (97,630,999 | ) | | $ | 5,693,608 | | | $ | (10,526,916 | ) |
| | | | | | | | | | | | |
See notes to financial statements.
| | |
| 104 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Operations (unaudited) (continued)
Six Months Ended September 30, 2022
| | | | |
| | | BATS:
Series V Portfolio | |
| |
INVESTMENT INCOME | | | | |
Interest — unaffiliated | | $ | 136,474 | |
| | | | |
| |
Total investment income | | | 136,474 | |
| | | | |
| |
EXPENSES | | | | |
Professional | | | 29,229 | |
Accounting services | | | 19,109 | |
Registration | | | 13,604 | |
Transfer agent | | | 7,982 | |
Offering | | | 5,589 | |
Pricing | | | 1,435 | |
Custodian | | | 992 | |
Trustees and Officer | | | 948 | |
Miscellaneous | | | 5,727 | |
| | | | |
Total expenses | | | 84,615 | |
| |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (84,557 | ) |
| | | | |
| |
Total expenses after fees waived and/or reimbursed | | | 58 | |
| | | | |
| |
Net investment income | | | 136,416 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from investments | | | — | |
Net change in unrealized appreciation (depreciation) on investments | | | (5,572 | ) |
| | | | |
| |
Net realized and unrealized loss | | | (5,572 | ) |
| | | | |
| |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 130,844 | |
| | | | |
See notes to financial statements.
| | |
F I N A N C I A L S T A T E M E N T S | | 105 |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | |
| | | Six Months Ended
09/30/22
(unaudited) | | | Year Ended
03/31/22 | | | Six Months Ended
09/30/22
(unaudited) | | | Year Ended
03/31/22 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 50,881,153 | | | $ | 57,531,279 | | | $ | 7,168,633 | | | $ | 14,053,216 | |
Net realized gain (loss) | | | (17,350,496 | ) | | | 1,049,388 | | | | (17,694,393 | ) | | | 2,952,779 | |
Net change in unrealized appreciation (depreciation) | | | (118,177,446 | ) | | | (92,055,985 | ) | | | (41,837,597 | ) | | | (35,291,315 | ) |
| | | | | | | | | | | | | | | | |
Net decrease in net assets resulting from operations | | | (84,646,789 | ) | | | (33,475,318 | ) | | | (52,363,357 | ) | | | (18,285,320 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | (47,292,193 | ) | | | (58,245,586 | ) | | | (7,166,453 | ) | | | (23,188,564 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (15,181,342 | ) | | | 1,185,576,541 | | | | (66,731,573 | ) | | | (16,974,059 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (147,120,324 | ) | | | 1,093,855,637 | | | | (126,261,383 | ) | | | (58,447,943 | ) |
Beginning of period | | | 2,635,009,068 | | | | 1,541,153,431 | | | | 476,478,244 | | | | 534,926,187 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 2,487,888,744 | | | $ | 2,635,009,068 | | | $ | 350,216,861 | | | $ | 476,478,244 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 106 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | BATS: Series E Portfolio | | | BATS: Series M Portfolio | |
| | | Six Months Ended
09/30/22
(unaudited) | | | Year Ended
03/31/22 | | | Six Months Ended
09/30/22
(unaudited) | | | Year Ended
03/31/22 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 6,848,787 | | | $ | 16,018,305 | | | $ | 13,084,114 | | | $ | 13,823,484 | |
Net realized gain (loss) | | | (434,593 | ) | | | 9,606,963 | | | | (41,907,623 | ) | | | (22,756,968 | ) |
Net change in unrealized appreciation (depreciation) | | | (46,437,438 | ) | | | (29,394,785 | ) | | | (68,807,490 | ) | | | (53,051,571 | ) |
| | | | | | | | | | | | | | | | |
Net decrease in net assets resulting from operations | | | (40,023,244 | ) | | | (3,769,517 | ) | | | (97,630,999 | ) | | | (61,985,055 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | (7,785,726 | ) | | | (17,907,969 | ) | | | (14,165,367 | ) | | | (23,422,463 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (13,243,600 | ) | | | 3,581,504 | | | | 22,195,221 | | | | 14,436,016 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total decrease in net assets | | | (61,052,570 | ) | | | (18,095,982 | ) | | | (89,601,145 | ) | | | (70,971,502 | ) |
Beginning of period | | | 382,518,668 | | | | 400,614,650 | | | | 1,126,195,373 | | | | 1,197,166,875 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 321,466,098 | | | $ | 382,518,668 | | | $ | 1,036,594,228 | | | $ | 1,126,195,373 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
F I N A N C I A L S T A T E M E N T S | | 107 |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | BATS: Series P Portfolio | | | BATS: Series S Portfolio | |
| | | Six Months Ended
09/30/22
(unaudited) | | | Year Ended
03/31/22 | | | Six Months Ended
09/30/22
(unaudited) | | | Year Ended
03/31/22 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 224,362 | | | $ | 235,036 | | | $ | 5,349,286 | | | $ | 5,482,785 | |
Net realized gain (loss) | | | 4,598,099 | | | | (3,566,992 | ) | | | (1,817,769 | ) | | | 28,547 | |
Net change in unrealized appreciation (depreciation) | | | 871,147 | | | | 4,953,370 | | | | (14,058,433 | ) | | | (16,438,449 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 5,693,608 | | | | 1,621,414 | | | | (10,526,916 | ) | | | (10,927,117 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | — | | | | (5,567,307 | ) | | | (6,382,365 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (6,847,873 | ) | | | (224,900 | ) | | | 31,735,224 | | | | 26,676,083 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (1,154,265 | ) | | | 1,396,514 | | | | 15,641,001 | | | | 9,366,601 | |
Beginning of period | | | 54,571,477 | | | | 53,174,963 | | | | 408,272,565 | | | | 398,905,964 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 53,417,212 | | | $ | 54,571,477 | | | $ | 423,913,566 | | | $ | 408,272,565 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 108 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | | BATS: Series V Portfolio | |
| | | Six Months Ended
09/30/22
(unaudited) | | | Period from
05/05/21(a)
to 03/31/22 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 136,416 | | | $ | 6,058 | |
Net change in unrealized appreciation (depreciation) | | | (5,572 | ) | | | (6,412 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 130,844 | | | | (354 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS(b) | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (136,255 | ) | | | (6,058 | ) |
| | | | | | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net increase in net assets derived from capital share transactions | | | 23,369,397 | | | | 10,207,573 | |
| | | | | | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase in net assets | | | 23,363,986 | | | | 10,201,161 | |
Beginning of period | | | 10,201,161 | | | | — | |
| | | | | | | | |
End of period | | | $ 33,565,147 | | | $ | 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 N A N C I A L S T A T E M E N T S | | 109 |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | BATS: Series A Portfolio | |
| | | Six Months Ended
09/30/22 (unaudited) | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | | | Year Ended 03/31/18 | |
Net asset value, beginning of period | | $ | 9.67 | | | $ | 9.99 | | | $ | 9.05 | | | $ | 9.99 | | | $ | 10.14 | | | $ | 10.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.19 | | | | 0.26 | | | | 0.31 | | | | 0.45 | | | | 0.53 | | | | 0.58 | |
Net realized and unrealized gain (loss) | | | (0.51 | ) | | | (0.31 | ) | | | 0.94 | | | | (0.94 | ) | | | (0.11 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.32 | ) | | | (0.05 | ) | | | 1.25 | | | | (0.49 | ) | | | 0.42 | | | | 0.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.27 | ) | | | (0.31 | ) | | | (0.45 | ) | | | (0.52 | ) | | | (0.49 | ) |
From net realized gain | | | — | | | | — | | | | — | | | | — | | | | (0.05 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.17 | ) | | | (0.27 | ) | | | (0.31 | ) | | | (0.45 | ) | | | (0.57 | ) | | | (0.55 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 9.18 | | | $ | 9.67 | | | $ | 9.99 | | | $ | 9.05 | | | $ | 9.99 | | | $ | 10.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (3.31 | )%(d) | | | (0.59 | )% | | | 13.95 | % | | | (5.22 | )% | | | 4.31 | % | | | 5.55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.02 | %(f) | | | 0.02 | % | | | 0.04 | % | | | 0.05 | % | | | 0.04 | % | | | 0.12 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(f)(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.97 | %(f) | | | 2.64 | % | | | 3.20 | % | | | 4.45 | % | | | 5.26 | % | | | 5.65 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 2,487,889 | | | $ | 2,635,009 | | | $ | 1,541,153 | | | $ | 1,035,675 | | | $ | 977,286 | | | $ | 571,583 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(h) | | | 23 | % | | | 45 | % | | | 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. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) | Amount is less than 0.005%. |
| (h) | Includes MDRs. Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Six Months Ended
09/30/22 (unaudited) | | | Year Ended
03/31/22 | | | Year Ended
03/31/21 | | | Year Ended
03/31/20 | | | Year Ended
03/31/19 | | | Year Ended
03/31/18 | |
| | Portfolio turnover rate (excluding MDRs) | | | 16 | % | | | 34 | % | | | 26 | % | | | 48 | % | | | 43 | % | | | 45 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 110 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | BATS: Series C Portfolio | |
| | | Six Months Ended
09/30/22 (unaudited) | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | | | Year Ended 03/31/18 | |
Net asset value, beginning of period | | $ | 9.84 | | | $ | 10.69 | | | $ | 10.49 | | | $ | 10.28 | | | $ | 10.18 | | | $ | 10.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.15 | | | | 0.28 | | | | 0.33 | | | | 0.38 | | | | 0.39 | | | | 0.37 | |
Net realized and unrealized gain (loss) | | | (1.28 | ) | | | (0.66 | ) | | | 0.60 | | | | 0.27 | | | | 0.10 | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (1.13 | ) | | | (0.38 | ) | | | 0.93 | | | | 0.65 | | | | 0.49 | | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (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 | | | (0.15 | ) | | | (0.47 | ) | | | (0.73 | ) | | | (0.44 | ) | | | (0.39 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 8.56 | | | $ | 9.84 | | | $ | 10.69 | | | $ | 10.49 | | | $ | 10.28 | | | $ | 10.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (11.57 | )%(e) | | | (3.88 | )% | | | 8.70 | % | | | 6.31 | % | | | 5.05 | % | | | 2.82 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.11 | %(g) | | | 0.10 | % | | | 0.09 | % | | | 0.09 | % | | | 0.09 | % | | | 0.11 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g)(h) | | | 0.01 | % | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.28 | %(g) | | | 2.59 | % | | | 2.96 | % | | | 3.55 | % | | | 3.91 | % | | | 3.55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 350,217 | | | $ | 476,478 | | | $ | 534,926 | | | $ | 464,267 | | | $ | 372,928 | | | $ | 388,674 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 16 | % | | | 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. |
| (f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) | Amount is less than 0.005%. |
See notes to financial statements.
| | |
F I N A N C I A L H I G H L I G H T S | | 111 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | BATS: Series E Portfolio | |
| | | Six Months Ended
09/30/22 (unaudited) | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | | | Year Ended 03/31/18 | |
Net asset value, beginning of period | | $ | 11.14 | | | $ | 11.75 | | | $ | 10.53 | | | $ | 10.91 | | | $ | 10.78 | | | $ | 10.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.21 | | | | 0.46 | | | | 0.45 | | | | 0.43 | | | | 0.47 | | | | 0.45 | |
Net realized and unrealized gain (loss) | | | (1.37 | ) | | | (0.56 | ) | | | 1.22 | | | | (0.37 | ) | | | 0.21 | | | | 0.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (1.16 | ) | | | (0.10 | ) | | | 1.67 | | | | 0.06 | | | | 0.68 | | | | 0.75 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.45 | ) | | | (0.45 | ) | | | (0.44 | ) | | | (0.47 | ) | | | (0.45 | ) |
From net realized gain | | | — | | | | (0.06 | ) | | | — | | | | — | | | | (0.08 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.24 | ) | | | (0.51 | ) | | | (0.45 | ) | | | (0.44 | ) | | | (0.55 | ) | | | (0.46 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 9.74 | | | $ | 11.14 | | | $ | 11.75 | | | $ | 10.53 | | | $ | 10.91 | | | $ | 10.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (10.60 | )%(d) | | | (1.07 | )% | | | 16.16 | % | | | 0.33 | % | | | 6.44 | % | | | 7.22 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.20 | %(f) | | | 0.11 | % | | | 0.15 | % | | | 0.18 | % | | | 0.21 | % | | | 0.27 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.08 | %(f) | | | 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 | %(f)(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 3.89 | %(f) | | | 3.80 | % | | | 4.06 | % | | | 3.78 | % | | | 4.35 | % | | | 4.17 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 321,466 | | | $ | 382,519 | | | $ | 400,615 | | | $ | 313,282 | | | $ | 234,886 | | | $ | 180,142 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 15,744 | | | $ | 22,111 | | | $ | 18,987 | | | $ | 10,713 | | | $ | 8,085 | | | $ | 6,625 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 15 | % | | | 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. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) | Amount is less than 0.005%. |
See notes to financial statements.
| | |
| 112 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | BATS: Series M Portfolio | |
| | | Six Months Ended
09/30/22
(unaudited) | | | | | | Year Ended
03/31/22 | | | Year Ended
03/31/21 | | | Year Ended
03/31/20 | | | Year Ended
03/31/19 | | | Year Ended
03/31/18 | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 9.11 | | | | | | | $ | 9.77 | | | $ | 9.81 | | | $ | 9.59 | | | $ | 9.47 | | | $ | 9.69 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.11 | | | | | | | | 0.11 | | | | 0.21 | | | | 0.30 | | | | 0.31 | | | | 0.25 | |
Net realized and unrealized gain (loss) | | | (0.89 | ) | | | | | | | (0.59 | ) | | | 0.05 | | | | 0.25 | | | | 0.15 | | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.78 | ) | | | | | | | (0.48 | ) | | | 0.26 | | | | 0.55 | | | | 0.46 | | | | 0.09 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income(b) | | | (0.12 | ) | | | | | | | (0.18 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.34 | ) | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net asset value, end of period | | $ | 8.21 | | | | | | | $ | 9.11 | | | $ | 9.77 | | | $ | 9.81 | | | $ | 9.59 | | | $ | 9.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (8.68 | )%(d) | | | | | | | (4.98 | )% | | | 2.68 | % | | | 5.86 | % | | | 4.94 | % | | | 0.91 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.06 | %(f) | | | | | | | 0.06 | % | | | 0.05 | % | | | 0.06 | % | | | 0.08 | % | | | 0.08 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(f)(g) | | | | | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | %(g) | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 2.46 | %(f) | | | | | | | 1.11 | % | | | 2.12 | % | | | 3.03 | % | | | 3.30 | % | | | 2.59 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,036,594 | | | | | | | $ | 1,126,195 | | | $ | 1,197,167 | | | $ | 1,006,778 | | | $ | 799,774 | | | $ | 810,031 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(h) | | | 451 | % | | | | | | | 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. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) | Amount is less than 0.005%. |
| (h) | Includes MDRs. Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months Ended
09/30/22
(unaudited) | | | | | | Year Ended
03/31/22 | | | Year Ended
03/31/21 | | | Year Ended
03/31/20 | | | Year Ended
03/31/19 | | | Year Ended
03/31/18 | |
Portfolio turnover rate (excluding MDRs) | | | 270 | % | | | | | | | 665 | % | | | 896 | % | | | 813 | % | | | 683 | % | | | 833 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
F I N A N C I A L H I G H L I G H T S | | 113 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | BATS: Series P Portfolio | |
| | | | | | |
| | | Six Months Ended
09/30/22
(unaudited) | | | Year Ended
03/31/22 | | | Year Ended
03/31/21 | | | Year Ended
03/31/20 | | | Year Ended
03/31/19 | | | Year Ended
03/31/18 | |
Net asset value, beginning of period | | $ | 8.95 | | | $ | 8.69 | | | $ | 7.92 | | | $ | 9.25 | | | $ | 9.56 | | | $ | 9.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.04 | | | | 0.04 | | | | 0.06 | | | | 0.12 | | | | 0.12 | | | | 0.08 | |
Net realized and unrealized gain (loss) | | | 0.98 | | | | 0.22 | | | | 0.71 | | | | (1.33 | ) | | | (0.34 | ) | | | 0.15 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 1.02 | | | | 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 period | | $ | 9.97 | | | $ | 8.95 | | | $ | 8.69 | | | $ | 7.92 | | | $ | 9.25 | | | $ | 9.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 11.40 | %(e) | | | 2.99 | % | | | 9.72 | % | | | (13.25 | )% | | | (2.32 | )% | | | 2.49 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.29 | %(g) | | | 0.28 | % | | | 0.46 | % | | | 0.31 | % | | | 0.20 | % | | | 0.19 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g)(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.85 | %(g) | | | 0.45 | % | | | 0.71 | % | | | 1.33 | % | | | 1.24 | % | | | 0.89 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 53,417 | | | $ | 54,571 | | | $ | 53,175 | | | $ | 41,305 | | | $ | 51,654 | | | $ | 84,080 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 0 | % | | | 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. |
| (f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) | Amount is less than 0.005%. |
See notes to financial statements.
| | |
| 114 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | BATS: Series S Portfolio | |
| | | Six Months Ended 09/30/22
(unaudited) | | | Year Ended
03/31/22 | | | Year Ended
03/31/21 | | | Year Ended
03/31/20 | | | Year Ended
03/31/19 | | | Year Ended
03/31/18 | |
Net asset value, beginning of period | | $ | 9.28 | | | $ | 9.73 | | | $ | 9.23 | | | $ | 9.50 | | | $ | 9.38 | | | $ | 9.53 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.12 | | | | 0.14 | | | | 0.18 | | | | 0.27 | | | | 0.25 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | (0.35 | ) | | | (0.43 | ) | | | 0.54 | | | | (0.23 | ) | | | 0.13 | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.23 | ) | | | (0.29 | ) | | | 0.72 | | | | 0.04 | | | | 0.38 | | | | 0.11 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income(b) | | | (0.12 | ) | | | (0.16 | ) | | | (0.22 | ) | | | (0.31 | ) | | | (0.26 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 8.93 | | | $ | 9.28 | | | $ | 9.73 | | | $ | 9.23 | | | $ | 9.50 | | | $ | 9.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.51 | )%(d) | | | (3.02 | )% | | | 7.80 | %(e) | | | 0.34 | % | | | 4.11 | % | | | 1.15 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.10 | %(g) | | | 0.12 | % | | | 0.13 | % | | | 1.14 | % | | | 0.69 | % | | | 0.76 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g)(h) | | | 0.01 | % | | | 0.02 | % | | | 0.99 | % | | | 0.56 | % | | | 0.59 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.00 | %(g)(h) | | | 0.01 | % | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 2.52 | %(g) | | | 1.42 | % | | | 1.89 | % | | | 2.84 | % | | | 2.62 | % | | | 2.11 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 423,914 | | | $ | 408,273 | | | $ | 398,906 | | | $ | 146,302 | | | $ | 163,176 | | | $ | 175,939 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 56 | %(i) | | | 68 | %(i) | | | 124 | %(i) | | | 144 | %(i) | | | 184 | %(i) | | | 263 | %(i) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (e) | Includes a payment received from an affiliate, which had no impact on the Fund’s total return. |
| (f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) | Amount is less than 0.005%. |
| (i) | Includes MDRs. Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Six Months Ended 09/30/22
(unaudited) | | | Year Ended
03/31/22 | | | Year Ended
03/31/21 | | | Year Ended
03/31/20 | | | Year Ended
03/31/19 | | | Year Ended
03/31/18 | |
| | Portfolio turnover rate (excluding MDRs) | | | 47 | % | | | 67 | % | | | 122 | % | | | 101 | % | | | 112 | % | | | 148 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
F I N A N C I A L�� H I G H L I G H T S | | 115 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | |
| |
| | | BATS: Series V Portfolio | |
| | |
| | |
| Six Months Ended
09/30/22(unaudited |
) | |
| Period from
05/05/21to 03/31/22 |
(a) |
Net asset value, beginning of period | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | | | |
Net investment income(b) | | | 0.06 | | | | 0.01 | |
Net realized and unrealized loss | | | (0.01 | ) | | | (0.01 | ) |
| | | | | | | | |
Net increase from investment operations | | | 0.05 | | | | 0.00 | |
| | | | | | | | |
Distributions from net investment income(c) | | | (0.05 | ) | | | (0.01 | ) |
| | | | | | | | |
Net asset value, end of period | | $ | 9.99 | | | $ | 9.99 | |
| | | | | | | | |
| | |
Total Return(d) | | | | | | | | |
Based on net asset value | | | 0.50 | %(e) | | | 0.01 | %(e) |
| | | | | | | | |
| | |
Ratios to Average Net Assets(f) | | | | | | | | |
Total expenses | | | 0.56 | %(g)(h) | | | 4.06 | %(g)(i) |
| | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g)(j) | | | 0.00 | %(g) |
| | | | | | | | |
Net investment income | | | 1.14 | %(g) | | | 0.13 | %(g) |
| | | | | | | | |
| | |
Supplemental Data | | | | | | | | |
Net assets, end of period (000) | | $ | 33,565 | | | $ | 10,201 | |
| | | | | | | | |
Portfolio turnover rate | | | 162 | % | | | 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. |
| (f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) | Audit, offering and printing costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 0.71%. |
| (i) | 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%. |
| (j) | Amount is less than 0.005%. |
See notes to financial statements.
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Notes to Financial Statements (unaudited)
BlackRock Allocation Target Shares (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. 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.
Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
Distributions: Distributions 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.
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. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the
| | |
N O T E S T O F I N A N C I A L S T A T E M E N T S | | 117 |
Notes to Financial Statements (unaudited) (continued)
BlackRock Fixed Income Complex and reflected as Trustee and Officer expense on the Statements of Operations. The Trustee and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
Offering Costs: 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 its 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 Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of each Fund has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
| | • | | 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
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Notes to Financial Statements (unaudited) (continued)
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.
| | | | |
| Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
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 Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
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.
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
| | |
N O T E S T O F I N A N C I A L S T A T E M E N T S | | 119 |
Notes to Financial Statements (unaudited) (continued)
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.
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
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Notes to Financial Statements (unaudited) (continued)
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 Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a 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 | | | MUPR 3 Assets LLC, Facility | | | $ | 3,267,342 | | | $ | 3,267,342 | | | $ | 3,259,173 | | | $ | (8,168 | ) |
Series A | | | Project Pearl Pasco Holdings LLC, Advance | | | | 125,810 | | | | 125,588 | | | | 124,716 | | | | (873 | ) |
| |
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 Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and 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.
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N O T E S T O F I N A N C I A L S T A T E M E N T S | | 121 |
Notes to Financial Statements (unaudited) (continued)
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 TOB Trusts: 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 | | $ | 106,555 | | | $ | 29,653 | | | $ | 7,873 | | | $ | 144,081 | |
| |
For the six months ended September 30, 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
Average Rate of Interest and
Other Expenses
on TOB Trusts | |
| |
Series E | | $ | 27,141,669 | | | $ | 15,744,000 | | | | 4.98% - 9.69% | | | $ | 19,792,303 | | | | 1.41 | % |
| |
| | (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. | |
| | (b) | TOB Trusts may be structured on a non-recourse or recourse basis. When a Fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a Fund invests in a TOB Trust on a recourse basis, a Fund enters into a reimbursement agreement with the Liquidity Provider where a Fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a Fund invests in a recourse TOB Trust, a Fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Fund at September 30, 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 September 30, 2022. | |
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| 122 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
| 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: The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
| | • | | 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. |
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”).
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N O T E S T O F I N A N C I A L S T A T E M E N T S | | 123 |
Notes to Financial Statements (unaudited) (continued)
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 Funds’ 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 risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help 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 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.
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| 124 | | 2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
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 | | $ | 245,888 | |
Series C | | | 229,767 | |
Series E | | | 207,773 | |
Series M | | | 306,199 | |
Series P | | | 77,187 | |
Series S | | | 204,169 | |
Series V | | | 84,557 | |
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 six months ended September 30, 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.
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 six months ended September 30, 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 (Loss) | |
Series V | | $ | 715,080 | | | $ | — | | | $ | — | |
| | |
N O T E S T O F I N A N C I A L S T A T E M E N T S | | 125 |
Notes to Financial Statements (unaudited) (continued)
For the six months ended September 30, 2022, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:
| | | | | | | | |
| Fund Name/Asset Type | | Purchases | | | Sales | |
Series A | | | | | | | | |
Non-U.S. Government Securities | | $ | 564,970,370 | | | $ | 603,347,153 | |
Series C | | | | | | | | |
Non-U.S. Government Securities | | | 62,409,046 | | | | 134,095,120 | |
U.S. Government Securities | | | 6,059,106 | | | | 5,031,960 | |
Series E | | | | | | | | |
Non-U.S. Government Securities | | | 52,213,354 | | | | 68,097,720 | |
Series M | | | | | | | | |
Non-U.S. Government Securities | | | 5,580,288,388 | | | | 5,628,244,265 | |
Series P | | | | | | | | |
Non-U.S. Government Securities | | | 1,012,000 | | | | — | |
Series S | | | | | | | | |
Non-U.S. Government Securities | | | 250,449,012 | | | | 169,811,014 | |
U.S. Government Securities | | | 19,409,054 | | | | 55,820,385 | |
Series V | | | | | | | | |
Non-U.S. Government Securities | | | 48,631,208 | | | | 28,530,000 | |
For the six months ended September 30, 2022, purchases and sales related to mortgage dollar rolls were as follows:
| | | | | | | | |
| Fund Name | | Purchases | | | Sales | |
Series A | | $ | 169,143,134 | | | $ | 168,951,279 | |
Series M | | | 2,236,286,118 | | | | 2,238,876,856 | |
Series S | | | 34,380,293 | | | | 34,436,640 | |
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of September 30, 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.
As of March 31, 2022, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Series A | | Series C | | | Series E | | | Series M | | | Series P | | | Series S | | | Series V | |
| $ 4,798,710 | | | $ — | | | | $ — | | | | $ 33,840,374 | | | | $ 30,700,542 | | | | $ 6,225,143 | | | | $ — | |
As of September 30, 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 | | $ | 2,733,249,355 | | | $ | 413,504,032 | | | $ | 363,817,445 | | | $ | 1,754,375,856 | | | $ | 13,228,919 | | | $ | 477,889,432 | | | $ | 33,553,646 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross unrealized appreciation | | $ | 7,874,981 | | | $ | 630,607 | | | $ | 3,943,286 | | | $ | 15,767,399 | | | $ | 3,763,542 | | | $ | 3,271,579 | | | $ | — | |
Gross unrealized depreciation | | | (226,247,810 | ) | | | (66,848,112 | ) | | | (50,147,557 | ) | | | (139,212,886 | ) | | | (1,510,309 | ) | | | (30,973,223 | ) | | | (11,984 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | $ | (218,372,829 | ) | | $ | (66,217,505 | ) | | $ | (46,204,271 | ) | | $ | (123,445,487 | ) | | $ | 2,253,233 | | | $ | (27,701,644 | ) | | $ | (11,984 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
The Trust, on behalf of the Funds, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds
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Notes to Financial Statements (unaudited) (continued)
rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple Secured Overnight Financing Rate (“SOFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2023 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 six months ended September 30, 2022, the Funds did not borrow under the credit agreement.
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
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.
As 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 Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
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N O T E S T O F I N A N C I A L S T A T E M E N T S | | 127 |
Notes to Financial Statements (unaudited) (continued)
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 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 decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact certain Funds’ performance.
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:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 09/30/22 | | | Year Ended 03/31/22 | |
| Fund Name | | Shares | | | Amount | | | Shares | | | Amount | |
Series A | | | | | | | | | | | | | | | | |
Shares sold | | | 2,930,994 | | | $ | 27,659,473 | | | | 132,680,891 | | | $ | 1,328,660,314 | |
Shares redeemed | | | (4,553,220 | ) | | | (42,840,815 | ) | | | (14,382,169 | ) | | | (143,083,773 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (1,622,226 | ) | | $ | (15,181,342 | ) | | | 118,298,722 | | | $ | 1,185,576,541 | |
| | | | | | | | | | | | | | | | |
Series C | | | | | | | | | | | | | | | | |
Shares sold | | | 5,225,108 | | | $ | 48,037,708 | | | | 10,950,876 | | | $ | 117,403,754 | |
Shares redeemed | | | (12,740,177 | ) | | | (114,769,281 | ) | | | (12,573,491 | ) | | | (134,377,813 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (7,515,069 | ) | | $ | (66,731,573 | ) | | | (1,622,615 | ) | | $ | (16,974,059 | ) |
| | | | | | | | | | | | | | | | |
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Notes to Financial Statements (unaudited) (continued)
| | | | | | | | | | | | | | | | |
| | | Six Months Ended 09/30/22 | | | Year Ended 03/31/22 | |
| Fund Name | | Shares | | | Amount | | | Shares | | | Amount | |
Series E | | | | | | | | | | | | | | | | |
Shares sold | | | 7,615,378 | | | $ | 80,406,598 | | | | 12,688,652 | | | $ | 151,830,799 | |
Shares redeemed | | | (8,949,623 | ) | | | (93,650,198 | ) | | | (12,435,072 | ) | | | (148,249,295 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (1,334,245 | ) | | $ | (13,243,600 | ) | | | 253,580 | | | $ | 3,581,504 | |
| | | | | | | | | | | | | | | | |
Series M | | | | | | | | | | | | | | | | |
Shares sold | | | 18,892,918 | | | $ | 162,755,315 | | | | 32,197,355 | | | $ | 311,588,070 | |
Shares redeemed | | | (16,152,144 | ) | | | (140,560,094 | ) | | | (31,160,094 | ) | | | (297,152,054 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 2,740,774 | | | $ | 22,195,221 | | | | 1,037,261 | | | $ | 14,436,016 | |
| | | | | | | | | | | | | | | | |
Series P | | | | | | | | | | | | | | | | |
Shares sold | | | 1,253,500 | | | $ | 11,623,098 | | | | 3,709,976 | | | $ | 31,649,680 | |
Shares redeemed | | | (1,992,816 | ) | | | (18,470,971 | ) | | | (3,733,889 | ) | | | (31,874,580 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (739,316 | ) | | $ | (6,847,873 | ) | | | (23,913 | ) | | $ | (224,900 | ) |
| | | | | | | | | | | | | | | | |
Series S | | | | | | | | | | | | | | | | |
Shares sold | | | 11,694,674 | | | $ | 107,108,867 | | | | 19,121,099 | | | $ | 181,995,461 | |
Shares redeemed | | | (8,248,977 | ) | | | (75,373,643 | ) | | | (16,121,324 | ) | | | (155,319,378 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 3,445,697 | | | $ | 31,735,224 | | | | 2,999,775 | | | $ | 26,676,083 | |
| | | | | | | | | | | | | | | | |
Series V | | | | | | | | | | | | | | | | |
Shares sold | | | 4,502,985 | | | $ | 44,985,051 | | | | 1,423,582 | | | $ | 14,235,811 | (a) |
Shares redeemed | | | (2,163,652 | ) | | | (21,615,654 | ) | | | (402,824 | ) | | | (4,028,238 | )(a) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 2,339,333 | | | $ | 23,369,397 | | | | 1,020,758 | | | $ | 10,207,573 | |
| | | | | | | | | | | | | | | | |
| | (a) | For the period from May 5, 2021 (commencement of operations) to March 31, 2022. |
As of September 30, 2022, BlackRock Financial Management, Inc., an affiliate of the Funds, owned 250,000 Shares of Series V.
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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N O T E S T O F I N A N C I A L S T A T E M E N T S | | 129 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Allocation Target Shares (the “Trust”) met on April 14, 2022 (the “April Meeting”) and May 19-20, 2022 (the “May Meeting”) to consider the approval to continue the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf 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 (collectively, the “Funds” and each, a “Fund,”), and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager and BlackRock International Limited (the “Sub-Advisor”), with respect to BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of the Trust, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information surrounding the renewal of the Agreements. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to each Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as applicable; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the April Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) a discussion of fall-out benefits to BlackRock and its affiliates; (b) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (c) a review of non-management fees; (d) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (e) a summary of aggregate amounts paid by each Fund to BlackRock; and (f) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board Members evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing each Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing COVID-19 pandemic.
B. The Investment Performance of each Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the April meeting. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2021, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers. The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that the Funds are investments that are available solely to separately managed accounts or institutional clients, primarily to complement their existing BlackRock fixed-income portfolios. Given the resulting comparability issues to peer funds, rather than a comparison to peers, the Board reviewed other performance criteria for the Funds.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund
The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board noted that BlackRock does not charge each Fund an advisory fee. The Board reviewed BlackRock’s estimated profitability with respect to other funds the Board currently oversees for the year ended December 31, 2021 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
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D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T A N D S U B - A D V I S O R Y A G R E E M E N T S | | 131 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that BlackRock does not charge the Funds an advisory fee, although investors in the Funds will pay a fee to an affiliate of BlackRock or their managed account program sponsor. The Board also noted that BlackRock and the Board have contractually agreed to waive all fees and pay or reimburse all direct expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense and acquired fund fees and expenses.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
Conclusion
At the May Meeting, as a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, approved, by unanimous vote of those present, the continuation of the Advisory Agreement between the Manager and the Trust, on behalf of each Fund, for a one-year term ending June 30, 2023, and the Sub-Advisory Agreements between the Manager and the Sub-Advisor, with respect to each Fund, for a one-year term ending June 30, 2023. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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Additional Information
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed 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.
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.
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A D D I T I O N A L I N F O R M A T I O N | | 133 |
Additional Information (continued)
Fund and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Adviser(a)
BlackRock International Limited
Edinburgh EH3 8BL, United Kingdom
Accounting Agent, Administrator and Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
The Bank of New York Mellon
New York, NY 10286
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Trust
100 Bellevue Parkway
Wilmington, DE 19809
| (a) | Excludes BATS: Series E Portfolio and BATS: Series V Portfolio |
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Glossary of Terms Used in this Report
Currency Abbreviation
| | |
| |
| CAD | | Canadian Dollar |
| |
| EUR | | Euro |
| |
| USD | | United States Dollar |
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| Portfolio Abbreviation |
| |
| ABS | | Asset-Backed Security |
| |
| AGM | | Assured Guaranty Municipal Corp. |
| |
| AMT | | Alternative Minimum Tax |
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| BAN | | Bond Anticipation Notes |
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| CLN | | Credit-Linked-Note |
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| CLO | | Collateralized Loan Obligation |
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| COL | | Collateralized |
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| DAC | | Designated Activity Co. |
| |
| EDA | | Economic Development Authority |
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| EDC | | Economic Development Corp. |
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| FHLMC | | Federal Home Loan Mortgage Corp. |
| |
| FNMA | | Federal National Mortgage Association |
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| GNMA | | Government National Mortgage Association |
| |
| GO | | General Obligation Bonds |
| |
| GTD | | Guaranteed |
| |
| HDA | | Housing Development Authority |
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| HFA | | Housing Finance Agency |
| |
| IDA | | Industrial Development Authority |
| |
| IDB | | Industrial Development Board |
| |
| IDC | | Industrial Development Corp. |
| |
| IO | | Interest Only |
| |
| ISD | | Independent School District |
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| LIBOR | | London Interbank Offered Rate |
| |
| LP | | Limited Partnership |
| |
| OTC | | Over-the-Counter |
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| RB | | Revenue Bonds |
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| REMIC | | Real Estate Mortgage Investment Conduit |
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| S&P | | Standard & Poor’s |
| |
| SOFR | | Secured Overnight Financing Rate |
| |
| TA | | Tax Allocation |
| |
| TBA | | To-be-Announced |
| |
| TECP | | Tax-Exempt Commercial Paper |
| |
| TRAN | | Tax and Revenue Anticipation Note |
| |
| VRDN | | Variable Rate Demand Note |
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G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T | | 135 |
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-9/22-SAR
(b) Not Applicable
| Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
| Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
| Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
| Item 5 – | Audit Committee of Listed Registrant – Not Applicable |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
| Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
| 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 – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
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: November 22, 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: November 22, 2022
| | | | |
| | By: | | /s/ Trent Walker |
| | | | Trent Walker |
| | | | Chief Financial Officer (principal financial officer) of |
| | | | BlackRock Allocation Target Shares |
Date: November 22, 2022
