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,
50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 03/31/2024
Date of reporting period: 09/30/2023
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
| | |
| | SEPTEMBER 30, 2023 |
| | |
| |
| | 2023 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 combination of continued economic growth and moderating inflation provided a supportive backdrop for investors during the 12-month reporting period ended September 30, 2023. Significantly tighter monetary policy helped to rein in inflation while the economy proved more resilient than many investors anticipated. A moderating labor market also helped ease inflationary pressure, although wages continued to grow and unemployment rates touched the lowest levels in decades. This robust labor market powered further growth in consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war will have a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.
Equity returns were substantial, as the durability of consumer sentiment and spending mitigated investors’ concerns about the economy’s trajectory. The U.S. economy resumed growth in the third quarter of 2022 and continued to expand thereafter. All major classes of equities rose, although large-capitalization U.S. stocks posted significantly higher returns than small-capitalization U.S. stocks due primarily to the performance of large technology companies. International developed market equities also advanced strongly, and emerging market equities posted solid gains.
The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates six times during the 12-month period. Furthermore, the Fed wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity. However, the Fed declined to raise interest rates at two of its meetings late in the period.
Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has decelerated the pace of interest rate hikes and recently opted for two pauses, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period to keep inflation under control. Furthermore, ongoing structural changes may mean that the Fed will be hesitant to cut interest rates in the event of faltering economic activity lest inflation accelerate again. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt.
While we favor an overweight position in developed market equities in the long term, we prefer an underweight stance in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with macroeconomic constraints. Nevertheless, we are overweight on Japanese stocks in the near term as shareholder-friendly policies generate increased investor interest. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tightening credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. inflation-linked bonds, euro area government bonds and gilts, U.S. mortgage-backed securities, and hard-currency emerging market bonds.
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, 2023 | |
| | | |
| | | 6-Month | | | 12-Month | |
| | | |
U.S. large cap equities
(S&P 500® Index) | | | 5.18% | | | | 21.62% | |
| | | |
U.S. small cap equities
(Russell 2000® Index) | | | (0.19) | | | | 8.93 | |
| | | |
International equities
(MSCI Europe, Australasia, Far East Index) | | | (1.28) | | | | 25.65 | |
| | | |
Emerging market
equities (MSCI Emerging Markets Index) | | | (2.05) | | | | 11.70 | |
| | | |
3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index) | | | 2.50 | | | | 4.47 | |
| | | |
U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index) | | | (6.98) | | | | (2.90) | |
| | | |
U.S. investment grade
bonds
(Bloomberg U.S. Aggregate Bond Index) | | | (4.05) | | | | 0.64 | |
| | | |
Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index) | | | (4.05) | | | | 2.66 | |
| | | |
U.S. high yield bonds
(Bloomberg U.S.
Corporate High Yield 2% Issuer Capped Index) | | | 2.22 | | | | 10.28 | |
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 | | THIS PAGE IS NOT PART OF YOUR FUND REPORT |
Table of Contents
| | |
| Fund Summary as of September 30, 2023 | | 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, 2023, the Fund outperformed both its broad-based benchmark, the Bloomberg U.S. Universal Index, and 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 may be purchased and held only by or on behalf of (i) retail and institutional separately managed account clients who have retained BIM LLC to manage their accounts, or who have requested that their investment adviser consider investment recommendations provided by BIM LLC in connection with the management of their accounts, (ii) collective trust funds managed by BTC and (iii) mutual funds advised by BlackRock 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 relative to the benchmark over the period were led by out-of-benchmark allocations, most notably to collateralized loan obligations (“CLOs”) followed by non-agency residential mortgage-backed securities (“RMBS”). Within non-agency RMBS, contributions were highlighted by near-prime RMBS followed by legacy (pre-2008 financial crisis) subprime issues.
The largest detractor from relative performance was the Fund’s underweight exposure to asset-backed securities (“ABS”), most notably securities backed by auto loans and credit card receivables.
Describe recent portfolio activity.
The Fund rotated opportunistically among securitized assets subsectors during the reporting period, taking advantage of spread widening and market volatility. The Fund decreased its allocations to ABS, particularly to issues backed by consumer and credit card loans. The Fund increased its exposure to RMBS and commercial mortgage-backed securities (“CMBS”). The Fund also reduced its cash-equivalent exposure.
The Fund’s cash position averaged 9.2% during the period and was 7.2% at the end of the period as the Fund used cash and cash equivalents to tactically reduce risk. The Fund’s cash position did not have a material impact on performance during the period.
Describe portfolio positioning at period end.
The Fund ended the reporting period underweight duration (and corresponding interest rate sensitivity) relative to the benchmark. The Fund was positioned underweight ABS and CMBS relative to the benchmark and had out-of-benchmark exposures to non-agency RMBS and CLOs.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
| | |
| 4 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of September 30, 2023 (continued) | | 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 | | | | | | | 3.14 | % | | | 6.22 | % | | | 2.39 | % | | | 3.91 | % |
| | | | | |
Bloomberg U.S. Universal Index(d) | | | | | | | (3.45 | ) | | | 1.61 | | | | 0.34 | | | | 0.98 | |
Reference Benchmark(e) | | | | | | | (0.33 | ) | | | 1.86 | | | | 1.25 | | | | 1.44 | |
| (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, 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 (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Beginning
Account Value (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Annualized
Expense Ratio |
|
| $ | 1,000.00 | | | $ | 1,031.40 | | | $ | 0.01 | | | $ | 1,000.00 | | | $ | 1,024.99 | | | $ | 0.00 | | | | 0.00 | % |
| (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect 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) |
| |
Asset-Backed Securities | | | 51.2 | % |
Non-Agency Mortgage-Backed Securities | | | 47.4 | |
Floating Rate Loan Interests | | | 1.1 | |
U.S. Government Sponsored Agency Securities | | | 0.3 | |
Corporate Bonds | | | —(b | ) |
| | | | |
CREDIT QUALITY ALLOCATION | |
| | |
| Credit Rating(c) | |
| Percent of
Total Investments |
(a) |
| |
AAA/Aaa(d) | | | 36.2 | % |
AA/Aa | | | 5.4 | |
A | | | 4.2 | |
BBB/Baa | | | 3.2 | |
BB/Ba | | | 4.9 | |
B | | | 1.6 | |
CCC/Caa | | | 2.7 | |
CC/Ca | | | 2.4 | |
C | | | 0.5 | |
N/R | | | 38.9 | |
| (a) | Total investments exclude short-term securities and TBA sale commitments. | |
| (b) | Amount is less than 1%. | |
| (c) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (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, 2023 | | 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, 2023, the Fund outperformed its benchmark, the Bloomberg U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
Duration and yield curve positioning was the leading contributor to performance. (Duration is a measure of interest rate sensitivity). An overweight position in the midstream energy sector also contributed, as did security selection in the banking and information technology industries. On the other hand, the Fund’s underweights in life insurance and healthcare detracted.
Describe recent portfolio activity.
The investment adviser maintained the view that tight monetary policy, high interest rates and restrictive financial conditions are likely to lead to slower economic growth. Additionally, the investment adviser believed these risks were not adequately reflected in the market given that credit spreads were on the low end of their historical range. (Credit spreads are the yield advantage offered by corporate bonds over Treasuries.)
With this as the backdrop, the investment adviser’s trading activity was focused on reducing credit risk. It accomplished this by rotating out of banking, technology and consumer cyclical issues—including the lodging, food and beverage, home construction and media/entertainment industries—and redeploying the proceeds into utilities and non-cyclical sectors. It also increased the Fund’s weighting in the automotive industry based on its positive fundamental view on this area, and it added to favored issuers in the energy sector. The investment adviser maintained an underweight in life insurance given the sector’s balance sheet exposure to commercial real estate investment trusts.
Later in the reporting period, the investment adviser used the primary market to add back some risk on the belief that high yields and muted supply could drive credit spreads tighter in the near term despite slowing economic growth. It also sought to take advantage of some idiosyncratic opportunities in the emerging markets.
The investment adviser actively shifted the portfolio’s duration over the course of the period in an effort to capitalize on elevated market volatility. In addition, it positioned the Fund for a steeper yield curve on the belief that the Fed was nearing the end of its tightening cycle. (The yield curve steepens when shorter-term bonds outperform longer-term issues.)
Describe portfolio positioning at period end.
The Fund’s largest overweights were in midstream energy, the emerging markets, and banking, while its largest underweights were in sovereign, media/entertainment, and healthcare issuers.
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.
| | |
| 6 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of September 30, 2023 (continued) | | 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 | | | | | | | (3.14 | )% | | | 4.14 | % | | | 1.38 | % | | | 2.57 | % |
Bloomberg U.S. Credit Index(c) | | | | | | | (3.31 | ) | | | 3.47 | | | | 0.86 | | | | 2.12 | |
| (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, 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 (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Beginning
Account Value (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Annualized
Expense Ratio |
|
| $ | 1,000.00 | | | $ | 968.60 | | | $ | 0.02 | | | $ | 1,000.00 | | | $ | 1,024.98 | | | $ | 0.00 | | | | 0.00 | % |
| (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect 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) |
| |
Corporate Bonds | | | 87.0 | % |
U.S. Treasury Obligations | | | 6.5 | |
Municipal Bonds | | | 2.1 | |
Preferred Securities | | | 1.8 | |
Foreign Government Obligations | | | 1.5 | |
Foreign Agency Obligations | | | 1.1 | |
CREDIT QUALITY ALLOCATION
| | | | |
| | |
Credit Rating(b) | |
| Percent of
Total Investments |
(a) |
| |
AAA/Aaa(c) | | | 7.6 | % |
AA/Aa | | | 5.4 | |
A | | | 32.8 | |
BBB/Baa | | | 53.6 | |
BB/Ba | | | 0.5 | |
N/R | | | 0.1 | |
| (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, 2023 | | 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, 2023, the Fund underperformed its broad-based benchmark, the Bloomberg Municipal High Yield Bond Index, as well as the 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 duration was above that of the primary benchmark, which detracted from performance in the rising-rate environment. (Duration is a measure of interest-rate sensitivity.) An overweight in lower-coupon bonds detracted, as did an overweight in investment-grade issues. On a sector basis, the Fund’s positioning in utilities hurt results due largely to a position in the bonds of the Puerto Rico Electric Power Authority. Holdings in the transportation and education sectors detracted, as well.
The Fund’s cash position, which provided attractive income and preserved capital in the falling market, contributed to performance. Holdings in high-yield bonds also helped results, as did an underweight in intermediate-term securities. Underweights in zero coupon and premium coupon bonds further aided performance. The Fund used U.S. Treasury futures in an effort to mitigate interest rate risk, which was an additional contributor at a time of market weakness.
Describe recent portfolio activity.
The investment adviser focused on total return and positioning the Fund in low dollar price, positively convex bonds. (Positive convexity means a bond’s interest-rate sensitivity declines as yields rise.) This strategy did not serve the Fund well given that rates continued to climb, but the investment adviser believed it would help augment total returns on a longer-term basis. The investment adviser maintained a positive fundamental view on lower-rated issues based on their total return characteristics.
Describe portfolio positioning at period end.
The Fund continued to have an overweight duration positioning, mainly through its holdings in low coupon, low dollar price, positively convex bonds. It was also overweight in bonds with maturities of 25 years and longer, and it was overweight in investment-grade issues (due to the primary benchmark being 100% invested in high yield). At the sector level, it was underweight in school districts, state and local tax-backed issues, tobacco, and healthcare, and it was overweight in education, transportation, and utilities.
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.
| | |
| 8 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of September 30, 2023 (continued) | | 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 | | | | | | | (4.86 | )% | | | 1.93 | % | | | 1.90 | % | | | 3.92 | % |
| | | | | |
Bloomberg Municipal High Yield Bond Index(d) | | | | | | | (2.66 | ) | | | 3.48 | | | | 1.75 | | | | 3.56 | |
Customized Reference Benchmark(e) | | | | | | | (3.56 | ) | | | 2.96 | | | | 1.32 | | | | 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 (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Expenses
Paid During the Period |
(b) | |
| Beginning
Account Value (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(b) | |
|
|
|
| $ | 1,000.00 | | | $ | 951.40 | | | $ | 0.51 | | | $ | 0.00 | | | $ | 1,000.00 | | | $ | 1,024.48 | | | $ | 0.51 | | | $ | 1,025.00 | | | $ | 0.00 | | | | | |
| (a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.10%, multiplied by the average account value over the period, multiplied by 183/366 (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 183/366 (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 | | | 30.4 | % |
Education | | | 17.2 | |
Utilities | | | 14.4 | |
Health Care | | | 13.9 | |
Transportation | | | 12.4 | |
Tobacco | | | 6.6 | |
Housing | | | 5.1 | |
CREDIT QUALITY ALLOCATION
| | | | | | | | |
| | | |
Credit Rating(b) | | | | | |
| Percent of
Total Investments |
(a) |
| | |
AAA/Aaa | | | | | | | 2.5 | % |
AA/Aa | | | | | | | 10.2 | |
A | | | | | | | 19.1 | |
BBB/Baa | | | | | | | 7.9 | |
BB/Ba | | | | | | | 8.4 | |
B | | | | | | | 1.6 | |
N/R | | | | | | | 50.3 | |
| (a) | Total investments exclude money market funds. |
| (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, 2023 | | 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, 2023, 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 Fund’s active benchmark strategy, which implements relative value decisions between specified pools and to-be-announced securities (“TBAs”), as well as pool selection contributed positively.
The detractors from the Fund’s relative performance were out-of-benchmark allocations, such as those to commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”).
Describe recent portfolio activity.
The Fund’s allocation to CMBS was modestly decreased over the period, while continuing to favor single-asset/single-borrower (“SASB”) issues. Exposure to fixed rate collateral mortgage obligations (“CMOs”) was modestly increased over the reporting period.
Describe portfolio positioning at period end.
The Fund maintained allocations to securitized sectors such as CMBS and residential mortgage-backed securities (“RMBS”). Within CMBS, positions were focused predominantly in the SASB subsector. The Fund continued to prefer lower coupon pools within agency RMBS. The Fund ended the period slightly overweight duration relative to its 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.
| | |
| 10 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of September 30, 2023 (continued) | | 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 | | | | | | | (4.21 | )% | | | (0.10 | )% | | | (0.31 | )% | | | 1.01 | % |
Bloomberg MBS Index(c) | | | | | | | (4.67 | ) | | | (0.17 | ) | | | (0.77 | ) | | | 0.61 | |
| (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 investments, when-issued and delayed delivery securities, derivatives and dollar rolls. | |
| (c) | Bloomberg MBS Index, an unmanaged 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 (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | | | | | |
| Beginning
Account Value (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Annualized
Expense Ratio |
|
| | | | | | | |
| | $ 1,000.00 | | | | $ 957.90 | | | | $ 0.01 | | | | | | | | $ 1,000.00 | | | | $ 1,024.99 | | | | $ 0.00 | | | | 0.00 | % |
| (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect 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 | | | 90.6 | % |
Non-Agency Mortgage-Backed Securities | | | 7.7 | |
Asset-Backed Securities | | | 1.7 | |
| | | | |
CREDIT QUALITY ALLOCATION | |
| | |
| Credit Rating(b) | |
| Percent of
Total Investments |
(a) |
| |
AAA/Aaa(c) | | | 96.5 | % |
AA/Aa | | | 1.1 | |
A | | | 0.4 | |
BBB/Baa | | | 0.1 | |
N/R | | | 1.9 | |
| (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. |
| | |
| Fund Summary as of September 30, 2023 | | 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, 2023, the Fund outperformed its benchmark, 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 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 made a small contribution to 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.
| | |
| 12 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of September 30, 2023 (continued) | | BATS: Series P Portfolio |
Performance
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Average Annual Total Returns(a)(b) | |
| | | | | | 6-Month Total Returns | | | 1 Year | | | 5 Years | | | 10 Years | |
| | | | | |
BATS: Series P Portfolio | | | | | | | 10.97 | % | | | 9.72 | % | | | 2.60 | % | | | 0.93 | % |
| | | | | |
Bloomberg U.S. Treasury 7-10 Year Bond Index(c) | | | | | | | (6.18 | ) | | | (1.93 | ) | | | (0.16 | ) | | | 0.83 | |
Bloomberg U.S. Bellwether 10 Year Swap Index(d) | | | | | | | (7.04 | ) | | | (2.67 | ) | | | (0.38 | ) | | | 0.89 | |
| (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) | Bloomberg 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. | |
| (d) | Bloomberg U.S. Bellwether 10 Year Swap Index, an index that 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 (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | | | | | |
| Beginning
Account Value (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Annualized
Expense Ratio |
|
| | | | | | | |
| | $ 1,000.00 | | | | $ 1,109.70 | | | | $ 0.06 | | | | | | | | $ 1,000.00 | | | | $ 1,024.94 | | | | $ 0.05 | | | | 0.01 | % |
| (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (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, 2023 | | 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, 2023, the Fund outperformed 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?
The Fund’s out-of-benchmark allocations to asset-backed securities (“ABS”), investment-grade corporate bonds, and commercial mortgage-backed securities (“CMBS”) were the main contributors to performance. The Fund used derivatives such as futures and swaps. The use of derivatives contributed to performance.
The Fund’s duration and yield curve positioning—which it achieved in part through the use of derivatives—was the largest detractor, followed by its allocation to U.S. Treasuries. (Duration is a measure of interest rate sensitivity). The Fund’s cash position had no material impact on performance.
Describe recent portfolio activity.
The investment adviser increased the Fund’s allocations to ABS, U.S. Treasuries, U.S. agency mortgage-backed securities (“MBS”), and non-agency MBS. The investment adviser significantly reduced the Fund’s allocation to CMBS due to the unique headwinds the sector faced.
Describe portfolio positioning at period end.
The Fund’s duration was longer than that of the benchmark, based on the view that the extent of the Fed’s interest rate hikes was close to being fully priced in by the markets following the sell-off late in the reporting period. Given that the benchmark is comprised solely of U.S. Treasuries, the Fund was underweight in Treasuries and overweight in all other segments of the market.
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 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of September 30, 2023 (continued) | | 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 | | | | | | | 0.93 | % | | | 4.06 | % | | | 1.87 | % | | | 1.93 | % |
ICE BofA 1-3 Year U.S. Treasury Index(c) | | | | | | | 0.17 | | | | 2.47 | | | | 1.06 | | | | 0.81 | |
| (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 (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | | | | | |
| Beginning
Account Value (04/01/23) |
| |
| Ending
Account Value (09/30/23) |
| |
| Expenses
Paid During the Period |
(a) | |
| Annualized
Expense Ratio |
|
| | | | | | | |
| | $ 1,000.00 | | | | $ 1,009.30 | | | | $ 0.02 | | | | | | | | $ 1,000.00 | | | | $ 1,024.98 | | | | $ 0.00 | | | | 0.00 | % |
| (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect 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) |
| |
Asset-Backed Securities | | | 33.3 | % |
Corporate Bonds | | | 28.6 | |
U.S. Government Sponsored Agency Securities | | | 19.7 | |
Non-Agency Mortgage-Backed Securities | | | 10.8 | |
U.S. Treasury Obligations | | | 6.9 | |
Foreign Agency Obligations | | | 0.4 | |
Foreign Government Obligations | | | 0.2 | |
Preferred Securities | | | 0.1 | |
| | | | |
CREDIT QUALITY ALLOCATION | |
| | |
Credit Rating(b) | |
| Percent of
Total Investments |
(a) |
| |
AAA/Aaa(c) | | | 65.3 | % |
AA/Aa | | | 3.3 | |
A | | | 11.3 | |
BBB/Baa | | | 17.0 | |
BB/Ba | | | 0.1 | |
N/R | | | 3.0 | |
| (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. |
| | |
| Fund Summary as of September 30, 2023 | | 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, 2023, 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 aggressive 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) driven by fixed rate exposure to tax-backed local and school district issues. 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 reduced both municipal note and commercial paper holdings while increasing exposure to VRDNs in order to prioritize maintaining a high level of liquidity.
Describe portfolio positioning at period end.
The Fund’s duration positioning at period end remained slightly longer than the benchmark. The Fund maintained a bias for daily and weekly reset VRDNs over longer-dated commercial paper and municipal note holdings. While the Fund’s weighted average maturity at 13 days remained slightly longer than the benchmark’s 7 days, the Fund maintained its overall defensive bias amid the continued hawkish interest rate backdrop.
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 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Fund Summary as of September 30, 2023 (continued) | | BATS: Series V Portfolio |
Performance
| | | | | | | | | | | | |
| | | | | | Average Annual Total Returns(a)(b) | |
| | |
| 6-Month
Total Returns |
| | | 1 Year | | |
| Since
Inception |
(c) |
BATS: Series V Portfolio | | | 1.69 | % | | | 3.04 | % | | | 1.47 | % |
SIFMA Municipal Swap Index(d) | | | 1.67 | | | | 3.03 | | | | 1.50 | |
| (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 (04/01/23) |
| | | | | |
| Ending
Account Value (09/30/23) |
| | | | | |
| Expenses
Paid During the Period |
(a) | | | | | |
| Beginning
Account Value (04/01/23) |
| | | | | |
| Ending
Account Value (09/30/23) |
| | | | | |
| Expenses
Paid During the Period |
(a) | | | | | |
| Annualized
Expense Ratio |
|
| $ | 1,000.00 | | | | | | | $ | 1,016.90 | | | | | | | $ | 0.01 | | | | | | | $ | 1,000.00 | | | | | | | $ | 1,024.99 | | | | | | | $ | 0.00 | | | | | | | | 0.00 | % |
| (a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect 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 | |
| |
County/City/Special District/School District | | | 20.6 | % |
Health Care | | | 19.2 | |
Housing | | | 18.7 | |
Education | | | 18.1 | |
Utilities | | | 17.1 | |
Transportation | | | 6.3 | |
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.
| | |
| 18 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
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.
| | |
DERIVATIVE FINANCIAL INSTRUMENTS | | 19 |
| | |
Schedule of Investments (unaudited) September 30, 2023 | | 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 | | | | 531 | | | $ | 521,104 | |
522 Funding CLO Ltd. | | | | | | | | | | | | |
Series 2018-3A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.64%, 10/20/31(a)(c) | | | | | | | 500 | | | | 492,055 | |
Series 2019-5A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.64%, 04/15/35(a)(c) | | | | | | | 430 | | | | 424,625 | |
ABFC Trust, Series 2007-WMC1, Class A2B, (1- mo. CME Term SOFR + 1.11%), 6.43%, 06/25/37(c) | | | | | | | 2,841 | | | | 2,140,229 | |
AccessLex Institute, Series 2007-A, Class A3, (3- mo. LIBOR US + 0.30%), 5.95%, 05/25/36(c) | | | | | | | 2,557 | | | | 2,488,535 | |
AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.75%, 07/20/34(a)(c) | | | | | | | 4,000 | | | | 3,972,542 | |
AGL CLO 14 Ltd., Series 2021-14A, Class A, (3- mo. CME Term SOFR + 1.41%), 6.75%, 12/02/34(a)(c) | | | | | | | 15,870 | | | | 15,728,395 | |
AGL CLO 3 Ltd. | | | | | | | | | | | | |
Series 2020-3A, Class A, (3-mo. CME Term SOFR + 1.56%), 6.87%, 01/15/33(a)(c) | | | | | | | 250 | | | | 248,608 | |
Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.87%, 01/15/33(a)(c) | | | | | | | 1,250 | | | | 1,201,995 | |
AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.66%, 04/20/33(a)(c) | | | | | | | 4,350 | | | | 4,326,022 | |
AGL Static CLO 18 Ltd., Series 2022-18A, Class B, (3-mo. CME Term SOFR + 2.00%), 7.33%, 04/21/31(a)(c) | | | | | | | 1,840 | | | | 1,829,079 | |
AIG CLO Ltd., Series 2018-1A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 6.71%, 04/20/32(a)(c) | | | | | | | 1,740 | | | | 1,735,650 | |
AIMCO CLO | | | | | | | | | | | | |
Series 2017-AA, Class AR, (3-mo. CME Term SOFR + 1.31%), 6.64%, 04/20/34(a)(c) | | | | | | | 2,500 | | | | 2,475,368 | |
Series 2018-BA, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.67%, 01/15/32(a)(c) | | | | | | | 1,000 | | | | 996,589 | |
Ajax Mortgage Loan Trust | | | | | | | | | | | | |
Series 2021-G, Class A, 1.88%, 06/25/61(a)(c) | | | | | | | 8,327 | | | | 7,794,014 | |
Series 2021-G, Class B, 3.75%, 06/25/61(a)(c) | | | | | | | 1,283 | | | | 1,140,972 | |
Series 2021-G, Class C, 0.00%, 06/25/61(a)(d) | | | | | | | 2,310 | | | | 2,183,996 | |
Series 2023-B, Class A, 4.25%, 10/25/62(a)(b) | | | | | | | 9,013 | | | | 8,388,881 | |
Series 2023-B, Class B, 4.25%, 10/25/62(a)(b) | | | | | | | 881 | | | | 704,132 | |
Series 2023-B, Class C, 0.00%, 10/25/62(a)(d) | | | | | | | 2,248 | | | | 825,678 | |
Series 2023-B, Class SA, 0.00%, 10/25/62(a)(d) | | | | | | | 663 | | | | 483,819 | |
Allegro CLO II-S Ltd. | | | | | | | | | | | | |
Series 2014-1RA, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.68%, 10/21/28(a)(c) | | | | | | | 1,064 | | | | 1,062,428 | |
Series 2014-1RA, Class B, (3-mo. CME Term SOFR + 2.41%), 7.75%, 10/21/28(a)(c) | | | | | | | 300 | | | | 298,563 | |
Series 2014-1RA, Class C, (3-mo. CME Term SOFR + 3.26%), 8.60%, 10/21/28(a)(c) | | | | | | | 750 | | | | 749,226 | |
Allegro CLO IV Ltd., Series 2016-1A, Class BR2, (3-mo. CME Term SOFR + 1.81%), 7.12%, 01/15/30(a)(c) | | | | | | | 350 | | | | 344,680 | |
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3- mo. CME Term SOFR + 1.39%), 6.70%, 01/17/31(a)(c) | | | | | | | 918 | | | | 916,672 | |
Allegro CLO XI Ltd. | | | | | | | | | | | | |
Series 2019-2A, Class A2A, (3-mo. CME Term SOFR + 2.11%), 7.43%, 01/19/33(a)(c) | | | | | | | 250 | | | | 247,333 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Allegro CLO XI Ltd. | | | | | | | | | | | | |
Series 2019-2A, Class C, (3-mo. CME Term SOFR + 3.26%), 8.58%, 01/19/33(a)(c) | | | USD | | | | 250 | | | $ | 249,381 | |
ALM Ltd. | | | | | | | | | | | | |
Series 2020-1A, Class A2, (3-mo. CME Term SOFR + 2.11%), 7.42%, 10/15/29(a)(c) | | | | | | | 250 | | | | 249,775 | |
Series 2020-1A, Class B, (3-mo. CME Term SOFR + 2.26%), 7.57%, 10/15/29(a)(c) | | | | | | | 350 | | | | 346,991 | |
AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2, (3-mo. CME Term SOFR + 1.31%), 6.66%, 07/24/29(a)(c) | | | | | | | 311 | | | | 310,987 | |
AMSR Trust | | | | | | | | | | | | |
Series 2020-SFR4, Class F, 2.86%, 11/17/37(a) | | | | | | | 4,000 | | | | 3,637,080 | |
Series 2020-SFR4, Class G2, 4.87%, 11/17/37(a) | | | | | | | 2,537 | | | | 2,339,192 | |
Series 2021-SFR1, Class F, 3.60%, 06/17/38(a) . | | | | | | | 2,872 | | | | 2,309,631 | |
Series 2021-SFR2, Class F1, 3.28%, 08/17/38(a) | | | | | | | 3,756 | | | | 3,259,717 | |
Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3-mo. CME Term SOFR + 1.46%),
6.78%, 01/19/35(a)(c) | | | | | | | 380 | | | | 376,571 | |
Anchorage Capital CLO 3-R Ltd. | | | | | | | | | | | | |
Series 2014-3RA, Class A, (3-mo. CME Term SOFR + 1.31%), 6.68%, 01/28/31(a)(c) | | | | | | | 1,063 | | | | 1,058,989 | |
Series 2014-3RA, Class B, (3-mo. CME Term SOFR + 1.76%), 7.13%, 01/28/31(a)(c) | | | | | | | 1,250 | | | | 1,230,000 | |
Series 2014-3RA, Class C, (3-mo. CME Term SOFR + 2.11%), 7.48%, 01/28/31(a)(c) | | | | | | | 500 | | | | 490,086 | |
Anchorage Capital CLO 4-R Ltd. | | | | | | | | | | | | |
Series 2014-4RA, Class A, (3-mo. CME Term SOFR + 1.31%), 6.68%, 01/28/31(a)(c) | | | | | | | 2,117 | | | | 2,109,046 | |
Series 2014-4RA, Class D, (3-mo. CME Term SOFR + 2.86%), 8.23%, 01/28/31(a)(c) | | | | | | | 750 | | | | 725,377 | |
Anchorage Capital CLO 7 Ltd. | | | | | | | | | | | | |
Series 2015-7A, Class AR2, (3-mo. CME Term SOFR + 1.35%), 6.72%, 01/28/31(a)(c) | | | | | | | 700 | | | | 695,741 | |
Series 2015-7A, Class BR2, (3-mo. CME Term SOFR + 2.01%), 7.38%, 01/28/31(a)(c) | | | | | | | 1,500 | | | | 1,489,800 | |
Series 2015-7A, Class CR2, (3-mo. CME Term SOFR + 2.46%), 7.83%, 01/28/31(a)(c) | | | | | | | 625 | | | | 621,753 | |
Series 2015-7A, Class D1R2, (3-mo. CME Term SOFR + 3.76%), 9.13%, 01/28/31(a)(c) | | | | | | | 1,000 | | | | 941,453 | |
Anchorage Capital CLO 8 Ltd. | | | | | | | | | | | | |
Series 2016-8A, Class AR2A, (3-mo. CME Term SOFR + 1.46%), 6.82%, 10/27/34(a)(c) | | | | | | | 5,000 | | | | 4,947,862 | |
Series 2016-8A, Class BR2, (3-mo. CME Term SOFR + 2.06%), 7.42%, 10/27/34(a)(c) | | | | | | | 1,000 | | | | 993,500 | |
Series 2016-8A, Class CR2, (3-mo. CME Term SOFR + 2.66%), 8.02%, 10/27/34(a)(c) | | | | | | | 1,000 | | | | 986,987 | |
Anchorage Capital CLO Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.51%), 6.81%, 10/13/30(a)(c) | | | | | | | 273 | | | | 272,368 | |
Series 2013-1A, Class BR, (3-mo. CME Term SOFR + 2.41%), 7.71%, 10/13/30(a)(c) | | | | | | | 500 | | | | 495,490 | |
Series 2013-1A, Class DR, (3-mo. CME Term SOFR + 7.06%), 12.36%, 10/13/30(a)(c) | | | | | | | 1,000 | | | | 936,238 | |
Series 2018-10A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.07%, 10/15/31(a)(c) | | | | | | | 450 | | | | 444,975 | |
Apidos CLO XII, Series 2013-12A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.65%, 04/15/31(a)(c) | | | | | | | 1,383 | | | | 1,379,475 | |
| | |
| 20 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Apidos CLO XV, Series 2013-15A,
Class A1RR, (3-mo. CME Term SOFR + 1.27%), 6.60%, 04/20/31(a)(c) | | | USD | | | | 997 | | | $ | 993,309 | |
Apidos CLO XX, Series 2015-20A,
Class A1RA, (3-mo. CME Term SOFR + 1.36%), 6.67%, 07/16/31(a)(c) | | | | | | | 360 | | | | 359,073 | |
Apidos CLO XXVI, Series 2017-26A,
Class BR, (3-mo. CME Term SOFR + 2.21%), 7.52%, 07/18/29(a)(c) | | | | | | | 2,830 | | | | 2,799,932 | |
Apidos CLO XXX, Series XXXA, Class A1A, (3-mo. CME Term SOFR + 1.40%), 6.71%, 10/18/31(a)(c) | | | | | | | 400 | | | | 398,593 | |
Apidos CLO XXXIX, Series 2022-39A,
Class A1, (3-mo. CME Term SOFR + 1.30%), 6.63%, 04/21/35(a)(c) | | | | | | | 5,000 | | | | 4,947,538 | |
Apidos CLO XXXVI, Series 2021-36A,
Class B, (3-mo. CME Term SOFR + 1.86%), 7.19%, 07/20/34(a)(c) | | | | | | | 250 | | | | 247,925 | |
Apidos CLO XXXVII, Series 2021-37A,
Class A, (3-mo. CME Term SOFR + 1.39%), 6.74%, 10/22/34(a)(c) | | | | | | | 1,780 | | | | 1,767,196 | |
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46(a) | | | | | | | 238 | | | | 208,877 | |
Arbor Realty Commercial Real Estate Notes Ltd. | | | | | | | | | | | | |
Series 2021-FL1, Class A, (1-mo. CME Term SOFR + 1.08%), 6.42%, 12/15/35(a)(c) | | | | | | | 481 | | | | 473,817 | |
Series 2021-FL4, Class A, (1-mo. CME Term SOFR + 1.46%), 6.80%, 11/15/36(a)(c) | | | | | | | 421 | | | | 415,211 | |
Series 2022-FL1, Class A, (SOFR (30-day) + 1.45%), 6.76%, 01/15/37(a)(c) | | | | | | | 594 | | | | 586,204 | |
Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 1.85%), 7.18%, 05/15/37(a)(c) | | | | | | | 5,328 | | | | 5,283,393 | |
Ares L CLO Ltd., Series 2018-50A, Class BR, (3- mo. CME Term SOFR + 1.86%), 7.17%, 01/15/32(a)(c) | | | | | | | 1,000 | | | | 989,200 | |
Ares LIX CLO Ltd., Series 2021-59A, Class A, (3-mo. CME Term SOFR + 1.29%), 6.64%, 04/25/34(a)(c) | | | | | | | 250 | | | | 248,062 | |
Ares LVI CLO Ltd. | | | | | | | | | | | | |
Series 2020-56A, Class AR, (3-mo. CME Term SOFR + 1.42%), 6.77%, 10/25/34(a)(c) | | | | | | | 2,130 | | | | 2,121,965 | |
Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%),
12.11%, 10/25/34(a)(c) | | | | | | | 250 | | | | 237,792 | |
Ares XLI CLO Ltd., Series 2016-41A,
Class BR, (3-mo. CME Term SOFR + 1.71%), 7.02%, 04/15/34(a)(c) | | | | | | | 2,500 | | | | 2,436,250 | |
Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3-mo. CME Term SOFR + 1.84%), 7.17%, 07/20/30(a)(c) | | | | | | | 680 | | | | 673,676 | |
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A1A, (3-mo. CME Term SOFR + 1.20%), 6.57%, 05/15/30(a)(c) | | | | | | | 722 | | | | 719,036 | |
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3-mo. CME Term SOFR + 1.43%), 6.74%, 10/15/30(a)(c) | | | | | | | 567 | | | | 565,512 | |
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1-mo. CME Term SOFR + 0.59%), 5.91%, 05/25/35(c) | | | | | | | 41 | | | | 35,788 | |
ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27(a) | | | | | | | 138 | | | | 129,989 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Asset Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6,
Class M6, (1- mo. CME Term SOFR + 1.22%), 6.54%, 07/25/35(c) | | | USD | | | | 914 | | | $ | 758,791 | |
Assurant CLO I Ltd., Series 2017-1A,
Class BR, (3-mo. CME Term SOFR + 1.96%), 7.29%, 10/20/34(a)(c) | | | | | | | 1,400 | | | | 1,372,980 | |
Assurant CLO Ltd., Series 2018-2A, Class A, (3- mo. CME Term SOFR + 1.30%), 6.63%, 04/20/31(a)(c) | | | | | | | 490 | | | | 488,437 | |
Atrium IX, Series 9A, Class AR2, (3-mo. CME Term SOFR + 1.25%), 6.64%, 05/28/30(a)(c) | | | | | | | 1,782 | | | | 1,777,023 | |
Atrium XIII | | | | | | | | | | | | |
Series 13A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.79%, 11/21/30(a)(c) | | | | | | | 491 | | | | 489,518 | |
Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.11%, 11/21/30(a)(c) | | | | | | | 1,250 | | | | 1,236,625 | |
Series 13A, Class C, (3-mo. CME Term SOFR + 2.06%), 7.41%, 11/21/30(a)(c) | | | | | | | 1,610 | | | | 1,579,012 | |
Bain Capital Credit CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.23%),
6.56%, 07/20/30(a)(c) | | | | | | | 1,046 | | | | 1,042,001 | |
Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.22%),
6.57%, 04/23/31(a)(c) | | | | | | | 248 | | | | 247,401 | |
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.34%),
6.66%, 07/19/31(a)(c) | | | | | | | 1,000 | | | | 996,000 | |
Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.43%),
6.76%, 10/20/34(a)(c) | | | | | | | 350 | | | | 348,078 | |
Ballyrock CLO Ltd., Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.86%), 7.19%, 04/20/31(a)(c) | | | | | | | 250 | | | | 247,475 | |
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22(c) | | | | | | | 5,740 | | | | 1,351,078 | |
Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31(a) | | | | | | | 1,940 | | | | 1,820,992 | |
Barings CLO Ltd. | | | | | | | | | | | | |
Series 2015-2A, Class AR, (3-mo. CME Term SOFR + 1.45%),
6.78%, 10/20/30(a)(c) | | | | | | | 933 | | | | 930,874 | |
Series 2018-3A, Class A1, (3-mo. CME Term SOFR + 1.21%),
6.54%, 07/20/29(a)(c) | | | | | | | 374 | | | | 372,273 | |
Series 2019-3A, Class A1R, (3-mo. CME Term SOFR + 1.33%),
6.66%, 04/20/31(a)(c) | | | | | | | 1,170 | | | | 1,164,365 | |
Battalion CLO 18 Ltd. | | | | | | | | | | | | |
Series 2020-18A, Class AR, (3-mo. CME Term SOFR + 1.46%),
6.77%, 10/15/36(a)(c) | | | | | | | 500 | | | | 496,762 | |
Series 2020-18A, Class BR, (3-mo. CME Term SOFR + 2.01%),
7.32%, 10/15/36(a)(c) | | | | | | | 1,000 | | | | 975,500 | |
Battalion CLO VIII Ltd., Series 2015-8A,
Class A1R2, (3-mo. CME Term SOFR + 1.33%), 6.64%, 07/18/30(a)(c) | | | | | | | 1,140 | | | | 1,134,895 | |
Battalion CLO XII Ltd., Series 2018-12A, Class B2R, (3-mo. CME Term SOFR + 2.34%),
7.72%, 05/17/31(a)(c) | | | | | | | 250 | | | | 246,787 | |
Battalion CLO XX Ltd., Series 2021-20A, Class A, (3-mo. CME Term SOFR + 1.44%),
6.75%, 07/15/34(a)(c) | | | | | | | 3,000 | | | | 2,982,000 | |
Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class B2, (1-mo. CME Term SOFR + 2.59%), 7.91%, 02/28/41(c) | | | | | | | 5,459 | | | | 5,340,828 | |
| | |
SCHEDULES OF INVESTMENTS | | 21 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Bayview Financial Revolving Asset Trust | | | | | | | | | | | | |
Series 2005-A, Class A1, (1-mo. CME Term SOFR + 1.11%), 6.43%, 02/28/40(a)(c) | | | USD | | | | 3,510 | | | $ | 3,068,710 | |
Series 2005-E, Class A1, (1-mo. CME Term SOFR + 1.11%), 6.43%, 12/28/40(a)(c) | | | | | | | 1,346 | | | | 1,357,656 | |
Series 2005-E, Class A2A, (1-mo. CME Term SOFR + 1.04%), 6.36%, 12/28/40(a)(c) | | | | | | | 1,103 | | | | 1,080,004 | |
BDS Ltd. | | | | | | | | | | | | |
Series 2021-FL7, Class A, (1-mo. CME Term SOFR + 1.18%), 6.52%, 06/16/36(a)(c) | | | | | | | 2,063 | | | | 2,031,775 | |
Series 2021-FL9, Class A, (1-mo. CME Term SOFR + 1.18%), 6.52%, 11/16/38(a)(c) | | | | | | | 1,870 | | | | 1,832,600 | |
Series 2022-FL11, Class ATS, (1-mo. CME Term SOFR + 1.80%), 7.13%, 03/19/39(a)(c) | | | | | | | 5,453 | | | | 5,378,021 | |
Bear Stearns Asset-Backed Securities I Trust | | | | | | | | | | | | |
Series 2005-HE8, Class M3, (1-mo. CME Term SOFR + 2.06%), 7.38%, 08/25/35(c) | | | | | | | 3,832 | | | | 3,726,350 | |
Series 2006-HE7, Class 1A2, (1-mo. CME Term SOFR + 0.45%), 5.77%, 09/25/36(c) | | | | | | | 104 | | | | 101,767 | |
Series 2007-HE2, Class 1A4, (1-mo. CME Term SOFR + 0.43%), 5.75%, 03/25/37(c) | | | | | | | 918 | | | | 790,179 | |
Series 2007-HE2, Class 23A, (1-mo. CME Term SOFR + 0.25%), 5.57%, 03/25/37(c) | | | | | | | 39 | | | | 34,779 | |
Series 2007-HE3, Class 1A4, (1-mo. CME Term SOFR + 0.46%), 5.78%, 04/25/37(c) | | | | | | | 309 | | | | 309,125 | |
Benefit Street Partners CLO II Ltd., Series 2013- IIA, Class A2R2, (3-mo. CME Term SOFR + 1.71%),
7.02%, 07/15/29(a)(c) | | | | | | | 1,680 | | | | 1,674,456 | |
Benefit Street Partners CLO Ltd. | | | | | | | | | | | | |
Series 2015-6BR, Class A, (3-mo. CME Term SOFR + 1.45%), 6.78%, 07/20/34(a)(c) | | | | | | | 1,460 | | | | 1,449,789 | |
Series 2015-6BR, Class B, (3-mo. CME Term SOFR + 2.06%), 7.39%, 07/20/34(a)(c) | | | | | | | 250 | | | | 248,325 | |
Benefit Street Partners CLO V-B Ltd., Series 2018- 5BA, Class A1A, (3-mo. CME Term SOFR + 1.35%),
6.68%, 04/20/31(a)(c) | | | | | | | 1,000 | | | | 998,618 | |
Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%),
6.69%, 01/20/31(a)(c) | | | | | | | 1,789 | | | | 1,786,337 | |
Benefit Street Partners CLO XIX Ltd., Series 2019- 19A, Class B, (3-mo. CME Term SOFR + 2.26%),
7.57%, 01/15/33(a)(c) | | | | | | | 250 | | | | 249,100 | |
Benefit Street Partners CLO XXIV Ltd., | | | | | | | | | | | | |
Series 2021-24A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.94%, 10/20/34(a)(c) | | | | | | | 500 | | | | 493,933 | |
Betony CLO 2 Ltd., Series 2018-1A,
Class A1, (3-mo. CME Term SOFR + 1.34%), 6.71%, 04/30/31(a)(c) | | | | | | | 246 | | | | 244,985 | |
BHG Securitization Trust | | | | | | | | | | | | |
Series 2021-A, Class A, 1.42%, 11/17/33(a) | | | | | | | 133 | | | | 124,384 | |
Series 2021-A, Class B, 2.79%, 11/17/33(a) | | | | | | | 3,714 | | | | 3,276,126 | |
Series 2022-A, Class E, 4.30%, 02/20/35(a) | | | | | | | 700 | | | | 489,867 | |
Series 2022-C, Class B, 5.93%, 10/17/35(a) | | | | | | | 880 | | | | 857,011 | |
Birch Grove CLO 2 Ltd. | | | | | | | | | | | | |
Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.52%), 6.84%, 10/19/34(a)(c) | | | | | | | 320 | | | | 316,541 | |
Series 2021-2A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/19/34(a)(c) | | | | | | | 250 | | | | 246,250 | |
Birch Grove CLO Ltd. | | | | | | | | | | | | |
Series 19A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.42%, 06/15/31(a)(c) | | | | | | | 1,000 | | | | 979,500 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Birch Grove CLO Ltd. | | | | | | | | | | | | |
Series 19A, Class DR, (3-mo. CME Term SOFR + 3.61%), 9.02%, 06/15/31(a)(c) | | | USD | | | | 500 | | | $ | 497,096 | |
Series 2021-3A, Class D1, (3-mo. CME Term SOFR + 3.46%),
8.78%, 01/19/35(a)(c) | | | | | | | 750 | | | | 723,579 | |
BlueMountain CLO Ltd. | | | | | | | | | | | | |
Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%),
6.79%, 10/22/30(a)(c) | | | | | | | 2,046 | | | | 2,038,524 | |
Series 2013-2A, Class BR, (3-mo. CME Term SOFR + 1.86%),
7.21%, 10/22/30(a)(c) | | | | | | | 1,250 | | | | 1,225,000 | |
Series 2018-2A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.33%, 08/15/31(a)(c) | | | | | | | 700 | | | | 688,800 | |
BlueMountain CLO XXIII Ltd. | | | | | | | | | | | | |
Series 2018-23A, Class A1, (3-mo. CME Term SOFR + 1.41%),
6.74%, 10/20/31(a)(c) | | | | | | | 250 | | | | 249,109 | |
Series 2018-23A, Class B, (3-mo. CME Term SOFR + 1.96%),
7.29%, 10/20/31(a)(c) | | | | | | | 750 | | | | 739,125 | |
Series 2018-23A, Class C, (3-mo. CME Term SOFR + 2.41%),
7.74%, 10/20/31(a)(c) | | | | | | | 950 | | | | 936,803 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.36%, 07/25/34(a)(c) | | | | | | | 420 | | | | 411,726 | |
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3-mo. CME Term SOFR + 1.52%), 6.83%, 04/15/34(a)(c) | | | | | | | 250 | | | | 248,808 | |
BlueMountain Fuji U.S. CLO III Ltd., Series 2017- 3A, Class B, (3-mo. CME Term SOFR + 1.64%), 6.95%, 01/15/30(a)(c) | | | | | | | 550 | | | | 538,405 | |
BPCRE Ltd., Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 2.40%), 7.73%, 01/16/37(a)(c) | | | | | | | 2,763 | | | | 2,740,683 | |
Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.49%), 6.82%, 07/20/34(a)(c) | | | | | | | 250 | | | | 247,788 | |
Bristol Park CLO Ltd. | | | | | | | | | | | | |
Series 2016-1A, Class BR, (3-mo. CME Term SOFR + 1.71%),
7.02%, 04/15/29(a)(c) | | | | | | | 350 | | | | 345,835 | |
Series 2016-1A, Class DR, (3-mo. CME Term SOFR + 3.21%),
8.52%, 04/15/29(a)(c) | | | | | | | 250 | | | | 244,343 | |
Burnham Park CLO Ltd. | | | | | | | | | | | | |
Series 2016-1A, Class AR, (3-mo. CME Term SOFR + 1.41%),
6.74%, 10/20/29(a)(c) | | | | | | | 2,367 | | | | 2,363,500 | |
Series 2016-1A, Class BR, (3-mo. CME Term SOFR + 1.76%),
7.09%, 10/20/29(a)(c) | | | | | | | 500 | | | | 497,350 | |
Series 2016-1A, Class DR, (3-mo. CME Term SOFR + 3.11%),
8.44%, 10/20/29(a)(c) | | | | | | | 250 | | | | 244,432 | |
Carbone CLO Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.73%, 01/20/31(a)(c) | | | | | | | 230 | | | | 229,730 | |
Carlyle C17 CLO Ltd., Series C17A,
Class A1AR, (3-mo. CME Term SOFR + 1.29%), 6.66%, 04/30/31(a)(c) | | | | | | | 2,347 | | | | 2,335,729 | |
Carlyle Global Market Strategies CLO Ltd. | | | | | | | | | | | | |
Series 2013-4A, Class A1RR, (3-mo. CME Term SOFR + 1.26%),
6.57%, 01/15/31(a)(c) | | | | | | | 238 | | | | 237,638 | |
Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.23%),
6.54%, 04/17/31(a)(c) | | | | | | | 3,740 | | | | 3,725,320 | |
Series 2014-3RA, Class A1A, (3-mo. CME Term SOFR + 1.31%),
6.67%, 07/27/31(a)(c) | | | | | | | 298 | | | | 296,523 | |
Series 2014-3RA, Class A1B, (3-mo. CME Term SOFR + 1.56%),
6.92%, 07/27/31(a)(c) | | | | | | | 1,000 | | | | 977,094 | |
| | |
| 22 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Carlyle U.S. CLO Ltd. | | | | | | | | | | | | |
Series 2018-4A, Class B, (3-mo. CME Term SOFR + 2.33%), 7.66%, 01/20/31(a)(c) | | | USD | | | | 2,430 | | | $ | 2,407,603 | |
Series 2019-1A, Class A1AR, (3-mo. CME Term SOFR + 1.34%), 6.67%, 04/20/31(a)(c) | | | | | | | 360 | | | | 358,955 | |
Series 2019-2A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 6.69%, 07/15/32(a)(c) | | | | | | | 250 | | | | 248,944 | |
Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.74%, 10/20/34(a)(c) | | | | | | | 4,360 | | | | 4,324,006 | |
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.71%, 04/15/34(a)(c) | | | | | | | 250 | | | | 248,365 | |
Carrington Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-FRE2, Class A4, (1-mo. CME Term SOFR + 0.36%), 5.68%, 10/25/36(c) | | | | | | | 1,415 | | | | 1,079,880 | |
Series 2006-NC4, Class A3, (1-mo. CME Term SOFR + 0.27%), 5.59%, 10/25/36(c) | | | | | | | 27 | | | | 26,239 | |
Series 2007-FRE1, Class A3, (1-mo. CME Term SOFR + 0.37%), 5.69%, 02/25/37(c) | | | | | | | 4,635 | | | | 4,186,789 | |
CarVal CLO VC Ltd. | | | | | | | | | | | | |
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.82%, 10/15/34(a)(c) | | | | | | | 1,000 | | | | 975,126 | |
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.32%, 10/15/34(a)(c) | | | | | | | 1,250 | | | | 1,187,796 | |
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44(a)(c) | | | | | | | 5,178 | | | | 4,904,881 | |
CBAM Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.51%), 6.84%, 07/20/30(a)(c) | | | | | | | 1,306 | | | | 1,305,044 | |
Series 2018-6A, Class B1R, (3-mo. CME Term SOFR + 2.36%), 7.67%, 01/15/31(a)(c) | | | | | | | 1,000 | | | | 989,187 | |
Series 2018-7A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.19%, 07/20/31(a)(c) | | | | | | | 500 | | | | 490,050 | |
Cedar Funding II CLO Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class ARR, (3-mo. CME Term SOFR + 1.34%), 6.67%, 04/20/34(a)(c) | | | | | | | 750 | | | | 740,877 | |
Series 2013-1A, Class BRR, (3-mo. CME Term SOFR + 1.61%), 6.94%, 04/20/34(a)(c) | | | | | | | 500 | | | | 485,590 | |
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3-mo. CME Term SOFR + 1.24%), 6.57%, 04/20/31(a)(c) | | | | | | | 1,400 | | | | 1,396,500 | |
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.67%, 07/17/31(a)(c) | | | | | | | 2,000 | | | | 1,996,000 | |
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3-mo. CME Term SOFR + 1.31%), 6.64%, 04/20/34(a)(c) | | | | | | | 500 | | | | 494,627 | |
Cedar Funding VII CLO Ltd. | | | | | | | | | | | | |
Series 2018-7A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.59%, 01/20/31(a)(c) | | | | | | | 345 | | | | 343,726 | |
Series 2018-7A, Class A2, (3-mo. CME Term SOFR + 1.39%), 6.72%, 01/20/31(a)(c) | | | | | | | 250 | | | | 242,980 | |
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.72%, 10/17/34(a)(c) | | | | | | | 2,750 | | | | 2,737,359 | |
Cedar Funding XI CLO Ltd. | | | | | | | | | | | | |
Series 2019-11A, Class A1R, (3-mo. CME Term SOFR + 1.31%), 6.72%, 05/29/32(a)(c) | | | | | | | 1,000 | | | | 994,516 | |
Series 2019-11A, Class A2R, (3-mo. CME Term SOFR + 1.61%), 7.02%, 05/29/32(a)(c) | | | | | | | 250 | | | | 246,320 | |
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.17%, 07/15/33(a)(c) | | | | | | | 1,000 | | | | 979,100 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
CIFC Funding Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 2.01%),
7.32%, 07/16/30(a)(c) | | | USD | | | | 250 | | | $ | 248,350 | |
Series 2013-2A, Class A1L2, (3-mo. CME Term SOFR + 1.26%),
6.57%, 10/18/30(a)(c) | | | | | | | 1,546 | | | | 1,540,152 | |
Series 2014-2RA, Class A1, (3-mo. CME Term SOFR + 1.31%),
6.66%, 04/24/30(a)(c) | | | | | | | 226 | | | | 226,050 | |
Series 2014-3A, Class A1R2, (3-mo. CME Term SOFR + 1.46%),
6.81%, 10/22/31(a)(c) | | | | | | | 3,500 | | | | 3,491,830 | |
Series 2014-5A, Class A1R2, (3-mo. CME Term SOFR + 1.46%),
6.77%, 10/17/31(a)(c) | | | | | | | 5,250 | | | | 5,242,171 | |
Series 2015-1A, Class ARR, (3-mo. CME Term SOFR + 1.37%),
6.72%, 01/22/31(a)(c) | | | | | | | 247 | | | | 246,304 | |
Series 2017-5A, Class A1, (3-mo. CME Term SOFR + 1.44%),
6.75%, 11/16/30(a)(c) | | | | | | | 233 | | | | 232,432 | |
Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.26%), 6.57%, 04/18/31(a)(c) | | | | | | | 3,455 | | | | 3,444,916 | |
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.30%),
6.63%, 04/20/31(a)(c) | | | | | | | 250 | | | | 248,894 | |
Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 1.96%),
7.27%, 10/17/31(a)(c) | | | | | | | 250 | | | | 247,900 | |
Series 2019-5A, Class A1R1, (3-mo. CME Term SOFR + 1.40%),
6.71%, 01/15/35(a)(c) | | | | | | | 250 | | | | 248,063 | |
Series 2020-3A, Class A1R, (3-mo. CME Term SOFR + 1.39%),
6.72%, 10/20/34(a)(c) | | | | | | | 7,000 | | | | 6,956,536 | |
Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.31%), 6.62%, 07/15/33(a)(c) | | | | | | | 3,000 | | | | 2,992,383 | |
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.84%), 7.15%, 07/15/33(a)(c) | | | | | | | 2,500 | | | | 2,482,000 | |
Series 2021-4A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.42%, 07/15/33(a)(c) | | | | | | | 1,000 | | | | 981,923 | |
Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.71%, 07/15/34(a)(c) | | | | | | | 1,700 | | | | 1,687,906 | |
Citigroup Mortgage Loan Trust | | | | | | | | | | | | |
Series 2007-AHL2, Class A3B, (1-mo. CME Term SOFR + 0.31%), 5.63%, 05/25/37(c) | | | | | | | 972 | | | | 624,029 | |
Series 2007-AHL2, Class A3C, (1-mo. CME Term SOFR + 0.38%), 5.70%, 05/25/37(c) | | | | | | | 453 | | | | 290,532 | |
Series 2007-WFH2, Class M3, (1-mo. CME Term SOFR + 0.82%), 6.14%, 03/25/37(c) | | | | | | | 5,000 | | | | 4,580,019 | |
Series 2007-WFH4, Class M3A, (1-mo. CME Term SOFR + 2.61%), 7.93%, 07/25/37(c) | | | | | | | 1,000 | | | | 918,281 | |
Clear Creek CLO | | | | | | | | | | | | |
Series 2015-1A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.79%, 10/20/30(a)(c) | | | | | | | 178 | | | | 177,755 | |
Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 3.21%),
8.54%, 10/20/30(a)(c) | | | | | | | 330 | | | | 325,452 | |
Series 2015-1A, Class ER, (3-mo. CME Term SOFR + 6.56%), 11.89%, 10/20/30(a)(c) | | | | | | | 1,000 | | | | 933,937 | |
College Ave Student Loans LLC | | | | | | | | | | | | |
Series 2021-B, Class B, 2.42%, 06/25/52(a) | | | | | | | 526 | | | | 451,168 | |
Series 2021-B, Class C, 2.72%, 06/25/52(a) | | | | | | | 2,670 | | | | 2,346,842 | |
Series 2021-B, Class D, 3.78%, 06/25/52(a) | | | | | | | 500 | | | | 438,883 | |
Series 2021-C, Class B, 2.72%, 07/26/55(a) | | | | | | | 406 | | | | 349,224 | |
Series 2021-C, Class C, 3.06%, 07/26/55(a) | | | | | | | 3,764 | | | | 3,194,413 | |
Series 2021-C, Class D, 4.11%, 07/26/55(a) | | | | | | | 270 | | | | 231,061 | |
Conseco Finance Corp. | | | | | | | | | | | | |
Series 1996-10, Class B1, 7.24%, 11/15/28(c) | | | | | | | 39 | | | | 37,526 | |
Series 1998-4, Class M1, 6.83%, 04/01/30(c) | | | | | | | 761 | | | | 699,375 | |
Series 1998-8, Class M1, 6.98%, 09/01/30(c) | | | | | | | 846 | | | | 785,966 | |
Conseco Finance Securitizations Corp. | | | | | | | | | | | | |
Series 2000-1, Class A5, 8.06%, 09/01/29(c) | | | | | | | 2,165 | | | | 414,891 | |
| | |
SCHEDULES OF INVESTMENTS | | 23 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Conseco Finance Securitizations Corp. Series 2000-4, Class A6, 8.31%, 05/01/32(c) | | | USD | | | | 2,157 | | | $ | 401,631 | |
Cook Park CLO Ltd., Series 2018-1A,
Class B, (3-mo. CME Term SOFR + 1.66%), 6.97%, 04/17/30(a)(c) | | | | | | | 250 | | | | 246,575 | |
Countrywide Asset-Backed Certificates | | | | | | | | | | | | |
Series 2005-16, Class 1AF, 4.52%, 04/25/36(c) | | | | | | | 1,416 | | | | 1,183,911 | |
Series 2006-11, Class 3AV2, (1-mo. CME Term SOFR + 0.43%), 5.75%, 09/25/46(c) | | | | | | | 0 | | | | 442 | |
Series 2006-12, Class 1A, (1-mo. CME Term SOFR + 0.37%), 5.69%, 12/25/36(c) | | | | | | | 183 | | | | 162,720 | |
Series 2006-22, Class M1, (1-mo. CME Term SOFR + 0.34%), 5.66%, 05/25/47(c) | | | | | | | 449 | | | | 345,975 | |
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1-mo. CME Term SOFR + 0.38%), 5.72%, 03/15/34(c) | | | | | | | 11 | | | | 10,396 | |
Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 2.47%, 09/27/66(a)(c) | | | | | | | 4,440 | | | | 4,295,922 | |
Credit-Based Asset Servicing & Securitization LLC | | | | | | | | | | | | |
Series 2006-CB2, Class AF4, 3.05%, 12/25/36(b) | | | | | | | 16 | | | | 12,619 | |
Series 2006-MH1, Class B1, 6.75%, 10/25/36(a)(b) | | | | | | | 1,721 | | | | 1,645,611 | |
Series 2006-SL1, Class A3, (1-mo. CME Term SOFR + 0.55%), 5.87%, 09/25/36(a)(c) | | | | | | | 5,608 | | | | 317,756 | |
CWHEQ Revolving Home Equity Loan | | | | | | | | | | | | |
Resuritization Trust | | | | | | | | | | | | |
Series 2006-RES, Class 4Q1B, (1-mo. CME Term SOFR + 0.41%), 5.75%, 12/15/33(a)(c) | | | | | | | 3 | | | | 2,775 | |
Series 2006-RES, Class 5B1B, (1-mo. CME Term SOFR + 0.30%), 5.64%, 05/15/35(a)(c) | | | | | | | 2 | | | | 1,834 | |
CWHEQ Revolving Home Equity Loan Trust | | | | | | | | | | | | |
Series 2006-C, Class 2A, (1-mo. CME Term SOFR + 0.29%), 5.63%, 05/15/36(c) | | | | | | | 607 | | | | 583,816 | |
Series 2006-I, Class 1A, (1-mo. CME Term SOFR + 0.25%), 5.59%, 01/15/37(c) | | | | | | | 159 | | | | 142,335 | |
Deer Creek CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.77%, 10/20/30(a)(c) | | | | | | | 726 | | | | 724,870 | |
Series 2017-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.24%, 10/20/30(a)(c) | | | | | | | 750 | | | | 736,725 | |
Dewolf Park CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.49%, 10/15/30(a)(c) | | | | | | | 7,984 | | | | 7,949,713 | |
Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.42%, 10/15/30(a)(c) | | | | | | | 500 | | | | 491,632 | |
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.50%), 6.81%, 07/15/36(a)(c) | | | | | | | 1,030 | | | | 1,023,281 | |
Diameter Capital CLO 2 Ltd. | | | | | | | | | | | | |
Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.79%, 10/15/36(a)(c) | | | | | | | 250 | | | | 246,691 | |
Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%), 7.32%, 10/15/36(a)(c) | | | | | | | 500 | | | | 500,250 | |
Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3-mo. CME Term SOFR + 1.39%), 6.70%, 04/15/37(a)(c) | | | | | | | 470 | | | | 463,722 | |
Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.67%, 01/15/31(a)(c) | | | | | | | 1,209 | | | | 1,207,514 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Dryden 40 Senior Loan Fund, Series 2015-40A, Class CR, (3-mo. CME Term SOFR + 2.36%), 7.73%, 08/15/31(a)(c) | | | USD | | | | 1,200 | | | $ | 1,187,537 | |
Dryden 42 Senior Loan Fund, Series 2016-42A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.62%, 07/15/30(a)(c) | | | | | | | 250 | | | | 244,702 | |
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3-mo. CME Term SOFR + 1.30%), 6.63%, 04/20/34(a)(c) | | | | | | | 1,620 | | | | 1,607,316 | |
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.27%, 10/15/30(a)(c) | | | | | | | 7,240 | | | | 7,142,984 | |
Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, (3-mo. CME Term SOFR + 1.21%), 6.52%, 07/18/30(a)(c) | | | | | | | 931 | | | | 927,888 | |
Dryden 53 CLO Ltd., Series 2017-53A,
Class A, (3-mo. CME Term SOFR + 1.38%), 6.69%, 01/15/31(a)(c) | | | | | | | 1,926 | | | | 1,923,331 | |
Dryden 58 CLO Ltd., Series 2018-58A,
Class B, (3-mo. CME Term SOFR + 1.76%), 7.07%, 07/17/31(a)(c) | | | | | | | 250 | | | | 246,175 | |
Dryden 60 CLO Ltd., Series 2018-60A,
Class A, (3-mo. CME Term SOFR + 1.31%), 6.62%, 07/15/31(a)(c) | | | | | | | 250 | | | | 249,461 | |
Dryden 65 CLO Ltd., Series 2018-65A,
Class B, (3-mo. CME Term SOFR + 1.86%), 7.17%, 07/18/30(a)(c) | | | | | | | 500 | | | | 494,400 | |
Dryden 77 CLO Ltd. | | | | | | | | | | | | |
Series 2020-77A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.76%, 05/20/34(a)(c) | | | | | | | 2,000 | | | | 1,984,000 | |
Series 2020-77A, Class XR, (3-mo. CME Term SOFR + 1.26%), 6.64%, 05/20/34(a)(c) | | | | | | | 172 | | | | 171,684 | |
Dryden 78 CLO Ltd., Series 2020-78A,
Class B, (3-mo. CME Term SOFR + 1.76%), 7.07%, 04/17/33(a)(c) | | | | | | | 250 | | | | 246,950 | |
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3-mo. CME Term SOFR + 1.46%), 6.83%, 08/15/30(a)(c) | | | | | | | 1,160 | | | | 1,158,322 | |
Eaton Vance CLO Ltd. | | | | | | | | | | | | |
Series 2014-1RA, Class A2, (3-mo. CME Term SOFR + 1.75%), 7.06%, 07/15/30(a)(c) | | | | | | | 250 | | | | 247,282 | |
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.71%), 7.02%, 10/15/30(a)(c) | | | | | | | 250 | | | | 244,378 | |
EDvestinU Private Education Loan Issue
No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38(a) | | | | | | | 742 | | | | 690,731 | |
EDvestinU Private Education Loan Issue No. 3 LLC | | | | | | | | | | | | |
Series 2021-A, Class A, 1.80%, 11/25/45(a) | | | | | | | 252 | | | | 217,871 | |
Series 2021-A, Class B, 3.50%, 11/25/50(a) | | | | | | | 1,200 | | | | 920,954 | |
EDvestinU Private Education Loan Issue
No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40(a) | | | | | | | 1,098 | | | | 1,066,978 | |
Elmwood CLO 15 Ltd. | | | | | | | | | | | | |
Series 2022-2A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.69%, 04/22/35(a)(c) | | | | | | | 10,590 | | | | 10,505,388 | |
Series 2022-2A, Class D, (3-mo. CME Term SOFR + 3.67%), 9.02%, 04/22/35(a)(c) | | | | | | | 1,625 | | | | 1,542,356 | |
Elmwood CLO I Ltd., Series 2019-1A,
Class AR, (3-mo. CME Term SOFR + 1.71%), 7.04%, 10/20/33(a)(c) | | | | | | | 250 | | | | 249,922 | |
| | |
| 24 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Elmwood CLO II Ltd., Series 2019-2A,
Class AR, (3-mo. CME Term SOFR + 1.41%), 6.74%, 04/20/34(a)(c) | | | USD | | | | 2,250 | | | $ | 2,241,153 | |
Elmwood CLO IV Ltd. | | | | | | | | | | | | |
Series 2020-1A, Class A, (3-mo. CME Term SOFR + 1.50%), 6.81%, 04/15/33(a)(c) | | | | | | | 500 | | | | 498,500 | |
Series 2020-1A, Class D, (3-mo. CME Term SOFR + 3.41%), 8.72%, 04/15/33(a)(c) | | | | | | | 1,000 | | | | 984,001 | |
Elmwood CLO X Ltd., Series 2021-3A,
Class C, (3-mo. CME Term SOFR + 2.21%), 7.54%, 10/20/34(a)(c) | | | | | | | 6,300 | | | | 6,210,171 | |
Elmwood CLO XII Ltd., Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.74%, 01/20/35(a)(c) | | | | | | | 960 | | | | 954,548 | |
FBR Securitization Trust, Series 2005-5, Class M2, (1-mo. CME Term SOFR + 0.82%), 6.14%, 11/25/35(c) | | | | | | | 2,189 | | | | 2,117,181 | |
Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.60%), 6.91%, 07/15/30(a)(c) | | | | | | | 250 | | | | 245,104 | |
First Franklin Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-FF16, Class 2A3, (1-mo. CME Term SOFR + 0.39%), 5.71%, 12/25/36(c) | | | | | | | 476 | | | | 195,403 | |
Series 2006-FF17, Class A5, (1-mo. CME Term SOFR + 0.26%), 5.58%, 12/25/36(c) | | | | | | | 1,567 | | | | 1,351,778 | |
FirstKey Homes Trust | | | | | | | | | | | | |
Series 2020-SFR1, Class G, 4.78%, 08/17/37(a) | | | | | | | 3,650 | | | | 3,391,884 | |
Series 2021-SFR1, Class F1, 3.24%, 08/17/38(a) | | | | | | | 4,464 | | | | 3,856,573 | |
Series 2021-SFR2, Class F1, 2.91%, 09/17/38(a) | | | | | | | 5,500 | | | | 4,677,304 | |
Series 2022-SFR1, Class E1, 5.00%, 05/17/39(a) | | | | | | | 4,000 | | | | 3,623,109 | |
Series 2022-SFR2, Class E1, 4.50%, 07/17/39(a) | | | | | | | 2,681 | | | | 2,389,683 | |
Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 6.52%, 04/17/31(a)(c) | | | | | | | 1,164 | | | | 1,163,030 | |
Flatiron CLO 19 Ltd. | | | | | | | | | | | | |
Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.71%, 11/16/34(a)(c) | | | | | | | 500 | | | | 498,579 | |
Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.63%, 11/16/34(a)(c) | | | | | | | 900 | | | | 884,816 | |
Foundation Finance Trust, Series 2021-2A, Class A, 2.19%, 01/15/42(a) | | | | | | | 1,822 | | | | 1,622,441 | |
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1-mo. CME Term SOFR + 0.39%), 5.71%, 02/25/37(c) | | | | | | | 1,974 | | | | 1,496,137 | |
FS Rialto Issuer Ltd. | | | | | | | | | | | | |
Series 2021-FL3, Class A, (1-mo. CME Term SOFR + 1.36%), 6.70%, 11/16/36(a)(c) | | | | | | | 2,205 | | | | 2,159,467 | |
Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 7.21%, 01/19/39(a)(c) | | | | | | | 9,467 | | | | 9,363,434 | |
Series 2022-FL5, Class A, (1-mo. CME Term SOFR + 2.30%), 7.63%, 06/19/37(a)(c) | | | | | | | 2,721 | | | | 2,694,752 | |
Series 2022-FL6, Class A, (1-mo. CME Term SOFR + 2.58%), 7.91%, 08/17/37(a)(c) | | | | | | | 6,015 | | | | 5,999,962 | |
Galaxy XIX CLO Ltd., Series 2015-19A, Class A1RR, (3-mo. CME Term SOFR + 1.21%), 6.56%, 07/24/30(a)(c) | | | | | | | 476 | | | | 473,723 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Galaxy XX CLO Ltd., Series 2015-20A,
Class AR, (3-mo. CME Term SOFR + 1.26%), 6.59%, 04/20/31(a)(c) | | | USD | | | | 2,956 | | | $ | 2,949,245 | |
Galaxy XXII CLO Ltd., Series 2016-22A,
Class ARR, (3-mo. CME Term SOFR + 1.46%), 6.77%, 04/16/34(a)(c) | | | | | | | 1,000 | | | | 990,029 | |
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3-mo. CME Term SOFR + 1.28%), 6.65%, 05/16/31(a)(c) | | | | | | | 2,270 | | | | 2,264,256 | |
Generate CLO 2 Ltd. | | | | | | | | | | | | |
Series 2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.76%, 01/22/31(a)(c) | | | | | | | 1,198 | | | | 1,195,677 | |
Series 2A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.06%, 01/22/31(a)(c) | | | | | | | 250 | | | | 244,350 | |
Series 2A, Class ER, (3-mo. CME Term SOFR + 5.91%), 11.26%, 01/22/31(a)(c) | | | | | | | 1,000 | | | | 913,214 | |
Generate CLO 3 Ltd., Series 3A, Class AR,
(3-mo. CME Term SOFR + 1.51%), 6.84%, 10/20/29(a)(c) | | | | | | | 669 | | | | 666,438 | |
Generate CLO 6 Ltd. | | | | | | | | | | | | |
Series 6A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.81%, 01/22/35(a)(c) | | | | | | | 250 | | | | 249,342 | |
Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.11%, 01/22/35(a)(c) | | | | | | | 4,500 | | | | 4,323,407 | |
Generate CLO 7 Ltd., Series 7A, Class A1,
(3-mo. CME Term SOFR + 1.63%), 6.98%, 01/22/33(a)(c) | | | | | | | 250 | | | | 249,467 | |
Gilbert Park CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.76%, 10/15/30(a)(c) | | | | | | | 240 | | | | 239,443 | |
GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.35%, 05/25/53(a)(b) | | | | | | | 7,753 | | | | 7,770,509 | |
GoldenTree Loan Management U.S. CLO 1 Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class A1R2, (3-mo. CME Term SOFR + 1.28%),
6.61%, 04/20/34(a)(c) | | | | | | | 250 | | | | 248,055 | |
Series 2021-11A, Class A, (3-mo. CME Term SOFR + 1.39%),
6.72%, 10/20/34(a)(c) | | | | | | | 5,530 | | | | 5,514,851 | |
Series 2021-11A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.94%, 10/20/34(a)(c) | | | | | | | 1,750 | | | | 1,624,908 | |
Series 2021-9A, Class E, (3-mo. CME Term SOFR + 5.01%), 10.34%, 01/20/33(a)(c) | | | | | | | 1,000 | | | | 912,088 | |
GoldenTree Loan Management U.S. CLO 10 Ltd., | | | | | | | | | | | | |
Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.36%),
6.69%, 07/20/34(a)(c) | | | | | | | 250 | | | | 248,303 | |
GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class AJ, (3-mo. CME Term SOFR + 1.56%),
6.89%, 04/20/30(a)(c) | | | | | | | 850 | | | | 837,548 | |
GoldenTree Loan Opportunities IX Ltd. | | | | | | | | | | | | |
Series 2014-9A, Class AR2, (3-mo. CME Term SOFR + 1.37%),
6.74%, 10/29/29(a)(c) | | | | | | | 438 | | | | 437,616 | |
Series 2014-9A, Class BR2, (3-mo. CME Term SOFR + 1.86%),
7.23%, 10/29/29(a)(c) | | | | | | | 250 | | | | 249,008 | |
Series 2014-9A, Class ER2, (3-mo. CME Term SOFR + 5.92%), 11.29%, 10/29/29(a)(c) | | | | | | | 750 | | | | 737,262 | |
GoldenTree Loan Opportunities XI Ltd., | | | | | | | | | | | | |
Series 2015-11A, Class AR2, (3-mo. CME Term SOFR + 1.33%),
6.64%, 01/18/31(a)(c) | | | | | | | 465 | | | | 464,096 | |
Goldman Home Improvement Trust | | | | | | | | | | | | |
Series 2021-GRN2, Class B, 1.97%, 06/25/51(a) | | | | | | | 2,476 | | | | 2,202,847 | |
Series 2022-GRN2, Class A, 6.80%, 10/25/52(a) | | | | | | | 1,562 | | | | 1,548,210 | |
| | |
SCHEDULES OF INVESTMENTS | | 25 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Golub Capital Partners CLO Ltd. | | | | | | | | | | | | |
Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 07/20/34(a)(c) | | | USD | | | | 250 | | | $ | 247,238 | |
Series 2021-55A, Class A, (3-mo. CME Term SOFR + 1.46%), 6.79%, 07/20/34(a)(c) | | | | | | | 330 | | | | 326,800 | |
Series 2021-58A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.79%, 01/25/35(a)(c) | | | | | | | 1,780 | | | | 1,759,795 | |
GoodLeap Sustainable Home Solutions Trust | | | | | | | | | | | | |
Series 2021-5CS, Class A, 2.31%, 10/20/48(a) | | | | | | | 3,501 | | | | 2,633,142 | |
Series 2022-3CS, Class A, 4.95%, 07/20/49(a) | | | | | | | 2,726 | | | | 2,432,000 | |
Series 2023-1GS, Class A, 5.52%, 02/22/55(a) | | | | | | | 2,509 | | | | 2,323,621 | |
Series 2023-3C, Class A, 6.50%, 07/20/55(a) | | | | | | | 716 | | | | 704,146 | |
Gracie Point International Funding | | | | | | | | | | | | |
Series 2022-2A, Class A, (SOFR (30-day) + 2.75%), 8.07%, 07/01/24(a)(c) | | | | | | | 3,866 | | | | 3,884,537 | |
Series 2022-2A, Class B, (SOFR (30-day) + 3.35%), 8.67%, 07/01/24(a)(c) | | | | | | | 2,032 | | | | 2,046,865 | |
Series 2022-3A, Class A, (SOFR (30-day) + 3.25%), 8.56%, 11/01/24(a)(c) | | | | | | | 2,351 | | | | 2,355,244 | |
Greystone CRE Notes Ltd., Series 2021-FL3, Class A, (1-mo. CME Term SOFR + 1.13%), 6.47%, 07/15/39(a)(c) | | | | | | | 849 | | | | 834,208 | |
Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.90%, 04/15/33(a)(c) | | | | | | | 500 | | | | 495,309 | |
GSAA Home Equity Trust | | | | | | | | | | | | |
Series 2005-14, Class 1A2, (1-mo. CME Term SOFR + 0.81%), 6.13%, 12/25/35(c) | | | | | | | 283 | | | | 121,105 | |
Series 2006-4, Class 1A1, 3.66%, 03/25/36(c) | | | | | | | 710 | | | | 483,946 | |
Series 2007-2, Class AF3, 5.92%, 03/25/37(c) | | | | | | | 25 | | | | 4,679 | |
GSAMP Trust | | | | | | | | | | | | |
Series 2007-H1, Class A1B, (1-mo. CME Term SOFR + 0.51%), 5.83%, 01/25/47(c) | | | | | | | 10 | | | | 5,202 | |
Series 2007-HS1, Class M5, (1-mo. CME Term SOFR + 3.49%), 8.81%, 02/25/47(c) | | | | | | | 3,566 | | | | 3,446,083 | |
Series 2007-HS1, Class M7, (1-mo. CME Term SOFR + 3.49%), 8.81%, 02/25/47(c) | | | | | | | 3,000 | | | | 2,629,873 | |
Gulf Stream Meridian 1 Ltd. | | | | | | | | | | | | |
Series 2020-IA, Class A1, (3-mo. CME Term SOFR + 1.63%), 6.94%, 04/15/33(a)(c) | | | | | | | 250 | | | | 251,931 | |
Series 2020-IA, Class B, (3-mo. CME Term SOFR + 2.26%), 7.57%, 04/15/33(a)(c) | | | | | | | 250 | | | | 248,475 | |
Gulf Stream Meridian 3 Ltd.,
Series 2021-IIIA, Class A1, (3-mo. CME Term SOFR + 1.58%),
6.89%, 04/15/34(a)(c) | | | | | | | 250 | | | | 247,500 | |
Gulf Stream Meridian 4 Ltd. | | | | | | | | | | | | |
Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.46%), 6.77%, 07/15/34(a)(c) | | | | | | | 9,250 | | | | 9,189,981 | |
Series 2021-4A, Class A2, (3-mo. CME Term SOFR + 2.11%), 7.42%, 07/15/34(a)(c) | | | | | | | 1,000 | | | | 998,500 | |
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.37%, 07/15/34(a)(c) | | | | | | | 650 | | | | 648,440 | |
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.67%, 07/15/35(a)(c) | | | | | | | 2,420 | | | | 2,392,316 | |
Highbridge Loan Management Ltd., Series 3A-2014, Class A1R, (3-mo. CME Term SOFR + 1.44%),
6.75%, 07/18/29(a)(c) | | | | | | | 246 | | | | 245,606 | |
Hipgnosis Music Assets LP, Series 2022-1, Class A, 5.00%, 05/16/62(a) | | | | | | | 3,919 | | | | 3,677,631 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Home Equity Asset Trust, Series 2006-3, Class M2, (1-mo. CME Term SOFR + 0.71%), 6.03%, 07/25/36(c) | | | USD | | | | 280 | | | $ | 247,282 | |
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1-mo. CME Term SOFR + 2.14%), 3.73%, 07/25/34(c) | | | | | | | 15 | | | | 14,031 | |
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) | | | | | | | 5,776 | | | | 4,921,970 | |
HPS Loan Management Ltd. | | | | | | | | | | | | |
Series 10A-16, Class A1RR, (3-mo. CME Term SOFR + 1.40%), 6.73%, 04/20/34(a)(c) | | | | | | | 7,260 | | | | 7,211,533 | |
Series 6A-2015, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.63%, 02/05/31(a)(c) | | | | | | | 677 | | | | 671,976 | |
ICG U.S. CLO Ltd., Series 2014-3A, Class A1RR, (3-mo. CME Term SOFR + 1.29%), 6.64%, 04/25/31(a)(c) | | | | | | | 221 | | | | 220,210 | |
Jamestown CLO XII Ltd., Series 2019-1A, Class A2, (3-mo. CME Term SOFR + 2.41%), 7.74%, 04/20/32(a)(c) | | | | | | | 250 | | | | 249,568 | |
Jamestown CLO XV Ltd., Series 2020-15A, Class A, (3-mo. CME Term SOFR + 1.60%), 6.91%, 04/15/33(a)(c) | | | | | | | 1,750 | | | | 1,739,682 | |
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (1-mo. CME Term SOFR + 0.91%), 6.23%, 07/25/36(c) | | | | | | | 3,498 | | | | 2,879,167 | |
Kapitus Asset Securitization LLC, Series 2022-1A, Class A, 3.38%, 07/10/28(a) | | | | | | | 3,913 | | | | 3,687,404 | |
KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3-mo. LIBOR US + 1.25%), 6.87%, 07/28/42(c) | | | | | | | 3,063 | | | | 2,864,755 | |
KKR CLO 10 Ltd., Series 10, Class BR,
(3-mo. CME Term SOFR + 1.96%), 7.37%, 09/15/29(a)(c) | | | | | | | 640 | | | | 638,400 | |
KKR CLO 17 Ltd., Series 17, Class AR,
(3-mo. CME Term SOFR + 1.34%), 6.65%, 04/15/34(a)(c) | | | | | | | 500 | | | | 494,651 | |
LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME Term SOFR + 1.33%), 6.66%, 01/20/31(a)(c) | | | | | | | 1,720 | | | | 1,712,569 | |
LCM XVIII LP, Series 18A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.61%, 04/20/31(a)(c) | | | | | | | 232 | | | | 230,520 | |
LCM XX LP, Series 20A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.14%, 10/20/27(a)(c) | | | | | | | 640 | | | | 639,808 | |
LCM XXI LP, Series 21A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.99%, 04/20/28(a)(c) | | | | | | | 161 | | | | 160,572 | |
Legacy Mortgage Asset Trust | | | | | | | | | | | | |
Series 2019-SL2, Class A, 3.38%, 02/25/59(a)(c) | | | | | | | 3,607 | | | | 3,374,359 | |
Series 2019-SL2, Class B, 0.00%, 02/25/59(a)(d) | | | | | | | 516 | | | | 84,351 | |
Series 2019-SL2, Class M, 4.25%, 02/25/59(a)(c) | | | | | | | 633 | | | | 502,609 | |
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C,
0.00%, 06/15/33(d) | | | | | | | 489 | | | | 449,914 | |
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1-mo. CME Term SOFR + 0.20%),
5.52%, 06/25/37(a)(c) | | | | | | | 76 | | | | 47,739 | |
Lendmark Funding Trust | | | | | | | | | | | | |
Series 2021-2A, Class B, 2.37%, 04/20/32(a) | | | | | | | 4,630 | | | | 3,838,870 | |
Series 2021-2A, Class D, 4.46%, 04/20/32(a) | | | | | | | 3,500 | | | | 2,679,568 | |
Series 2022-1A, Class A, 5.12%, 07/20/32(a) | | | | | | | 4,589 | | | | 4,472,187 | |
LoanCore Issuer Ltd., Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 6.86%, 01/17/37(a)(c) | | | | | | | 13,120 | | | | 12,859,685 | |
Loanpal Solar Loan Ltd.
Series 2020-2GF, Class A, 2.75%, 07/20/47(a) | | | | | | | 885 | | | | 670,690 | |
| | |
| 26 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Loanpal Solar Loan Ltd.
Series 2021-2GS, Class A, 2.22%, 03/20/48(a) | | | USD | | | | 3,395 | | | $ | 2,446,084 | |
Logan CLO I Ltd., Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.42%), 6.75%, 07/20/34(a)(c) | | | | | | | 4,000 | | | | 3,982,367 | |
Long Beach Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-2, Class 1A, (1-mo. CME Term SOFR + 0.47%), 5.79%, 03/25/46(c) | | | | | | | 628 | | | | 495,980 | |
Series 2006-5, Class 2A3, (1-mo. CME Term SOFR + 0.41%), 5.73%, 06/25/36(c) | | | | | | | 3,064 | | | | 1,421,905 | |
Series 2006-7, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.75%, 08/25/36(c) | | | | | | | 5,611 | | | | 2,132,369 | |
Series 2006-7, Class 2A4, (1-mo. CME Term SOFR + 0.59%), 5.91%, 08/25/36(c) | | | | | | | 1,295 | | | | 492,084 | |
Series 2006-9, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.75%, 10/25/36(c) | | | | | | | 1,989 | | | | 584,428 | |
Series 2006-WL3, Class 2A4, (1-mo. CME Term SOFR + 0.71%), 6.03%, 01/25/36(c) | | | | | | | 3,239 | | | | 2,736,817 | |
Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3-mo. CME Term SOFR + 1.64%), 6.95%, 01/17/30(a)(c) | | | | | | | 820 | | | | 809,750 | |
Madison Park Funding XI Ltd.,
Series 2013-11A, Class AR2, (3-mo. CME Term SOFR + 1.16%),
6.51%, 07/23/29(a)(c) | | | | | | | 1,999 | | | | 1,989,537 | |
Madison Park Funding XIII Ltd. | | | | | | | | | | | | |
Series 2014-13A, Class AR2, (3-mo. CME Term SOFR + 1.21%), 6.53%, 04/19/30(a)(c) | | | | | | | 746 | | | | 743,614 | |
Series 2014-13A, Class BR2, (3-mo. CME Term SOFR + 1.76%), 7.08%, 04/19/30(a)(c) | | | | | | | 600 | | | | 596,880 | |
Madison Park Funding XIX Ltd.,
Series 2015-19A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 6.53%, 01/22/28(a)(c) | | | | | | | 259 | | | | 258,376 | |
Madison Park Funding XLI Ltd., Series 12A, Class AR, (3-mo. CME Term SOFR + 1.09%), 6.44%, 04/22/27(a)(c) | | | | | | | 541 | | | | 539,686 | |
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%),
11.83%, 10/19/34(a)(c) | | | | | | | 750 | | | | 735,100 | |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3-mo. CME Term SOFR + 1.20%),
6.54%, 10/21/30(a)(c) | | | | | | | 3,407 | | | | 3,390,745 | |
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3-mo. CME Term SOFR + 1.23%),
6.59%, 07/27/31(a)(c) | | | | | | | 977 | | | | 973,824 | |
Madison Park Funding XXIV Ltd., Series 2016- 24A, Class BR, (3-mo. CME Term SOFR + 2.01%),
7.34%, 10/20/29(a)(c) | | | | | | | 490 | | | | 487,403 | |
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3-mo. CME Term SOFR + 1.46%),
6.83%, 07/29/30(a)(c) | | | | | | | 2,747 | | | | 2,744,263 | |
Madison Park Funding XXX Ltd. | | | | | | | | | | | | |
Series 2018-30A, Class E, (3-mo. CME Term SOFR + 5.21%), 10.52%, 04/15/29(a)(c) | | | | | | | 1,000 | | | | 928,408 | |
Series 2018-30X, Class E, (3-mo. CME Term SOFR + 5.21%), 10.52%, 04/15/29(c)(e) | | | | | | | 250 | | | | 232,102 | |
Madison Park Funding XXXI Ltd., Series 2018- 31A, Class B, (3-mo. CME Term SOFR + 1.96%),
7.31%, 01/23/31(a)(c) | | | | | | | 250 | | | | 248,500 | |
Madison Park Funding XXXIII Ltd., Series 2019- 33A, Class AR, (3-mo. CME Term SOFR + 1.29%),
6.60%, 10/15/32(a)(c) | | | | | | | 1,790 | | | | 1,774,832 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.64%, 07/15/33(a)(c) | | | USD | | | | 2,130 | | | $ | 2,121,480 | |
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.69%, 07/17/34(a)(c) | | | | | | | 1,250 | | | | 1,242,250 | |
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. LIBOR US + 3.65%), 9.26%, 01/22/35(a)(c) | | | | | | | 750 | | | | 720,722 | |
Mariner CLO LLC, Series 2016-3A, Class AR2, (3-mo. CME Term SOFR + 1.25%), 6.60%, 07/23/29(a)(c) | | | | | | | 126 | | | | 125,279 | |
Mariner Finance Issuance Trust | | | | | | | | | | | | |
Series 2019-AA, Class A, 2.96%, 07/20/32(a) | | | | | | | 168 | | | | 168,031 | |
Series 2019-AA, Class C, 4.01%, 07/20/32(a) | | | | | | | 2,060 | | | | 2,018,529 | |
Series 2021-AA, Class A, 1.86%, 03/20/36(a) | | | | | | | 700 | | | | 618,979 | |
Series 2021-AA, Class B, 2.33%, 03/20/36(a) | | | | | | | 1,620 | | | | 1,395,695 | |
Series 2021-AA, Class C, 2.96%, 03/20/36(a) | | | | | | | 2,850 | | | | 2,412,109 | |
Series 2021-BA, Class C, 2.66%, 11/20/36(a) | | | | | | | 4,403 | | | | 3,588,252 | |
Series 2021-BA, Class E, 4.68%, 11/20/36(a) | | | | | | | 3,620 | | | | 2,805,486 | |
MASTR Asset-Backed Securities Trust | | | | | | | | | | | | |
Series 2005-WF1, Class M8, (1-mo. CME Term SOFR + 1.97%), 7.29%, 06/25/35(c) | | | | | | | 1,119 | | | | 1,114,896 | |
Series 2006-AM2, Class A4, (1-mo. CME Term SOFR + 0.63%),
5.95%, 06/25/36(a)(c) | | | | | | | 248 | | | | 212,550 | |
Series 2006-WMC2, Class A4, (1-mo. CME Term SOFR + 0.41%), 5.73%, 04/25/36(c) | | | | | | | 3,307 | | | | 762,949 | |
Series 2007-HE1, Class A4, (1-mo. CME Term SOFR + 0.39%), 5.71%, 05/25/37(c) | | | | | | | 83 | | | | 63,264 | |
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1-mo. CME Term SOFR + 0.63%), 5.95%, 06/25/46(a)(c) | | | | | | | 13 | | | | 11,927 | |
MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33(b) | | | | | | | 941 | | | | 775,231 | |
Merrill Lynch First Franklin Mortgage Loan Trust | | | | | | | | | | | | |
Series 2007-2, Class A2C, (1-mo. CME Term SOFR + 0.59%), 5.91%, 05/25/37(c) | | | | | | | 1,743 | | | | 1,245,556 | |
Series 2007-H1, Class 1A2, (1-mo. CME Term SOFR + 3.61%), 8.93%, 10/25/37(c) | | | | | | | 2,486 | | | | 2,220,878 | |
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1-mo. CME Term SOFR + 0.50%), 5.82%, 08/25/37(c) | | | | | | | 1,751 | | | | 1,354,931 | |
MF1 LLC | | | | | | | | | | | | |
Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.64%),
7.96%, 09/17/37(a)(c) | | | | | | | 1,428 | | | | 1,430,228 | |
Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.15%),
7.48%, 06/19/37(a)(c) | | | | | | | 2,844 | | | | 2,835,113 | |
Series 2023-FL12, Class A, (1-mo. CME Term SOFR + 2.07%),
7.37%, 10/19/38(a)(c) | | | | | | | 1,306 | | | | 1,299,470 | |
MF1 Ltd., Series 2021-FL7, Class A, (1-mo. CME Term SOFR + 1.19%), 6.53%, 10/16/36(a)(c) | | | | | | | 517 | | | | 507,953 | |
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3-mo. CME Term SOFR + 1.23%), 6.57%, 04/21/31(a)(c) | | | | | | | 1,103 | | | | 1,097,425 | |
Mill City Solar Loan Ltd. | | | | | | | | | | | | |
Series 2019-1A, Class A, 4.34%, 03/20/43(a) | | | | | | | 1,106 | | | | 963,021 | |
Series 2019-2GS, Class A, 3.69%, 07/20/43(a) | | | | | | | 1,878 | | | | 1,565,785 | |
Morgan Stanley ABS Capital I, Inc. Trust | | | | | | | | | | | | |
Series 2007-NC1, Class A2D, (1-mo. CME Term SOFR + 0.33%), 5.65%, 11/25/36(c) | | | | | | | 5,095 | | | | 2,336,776 | |
Series 2007-SEA1, Class 2A1, (1-mo. CME Term SOFR + 3.91%),
9.23%, 02/25/47(a)(c) | | | | | | | 63 | | | | 57,235 | |
| | |
SCHEDULES OF INVESTMENTS | | 27 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Mosaic Solar Loan Trust | | | | | | | | | | | | |
Series 2018-2GS, Class A, 4.20%, 02/22/44(a) | | | USD | | | | 1,052 | | | $ | 935,344 | |
Series 2019-1A, Class A, 4.37%, 12/21/43(a) | | | | | | | 1,628 | | | | 1,470,826 | |
Series 2019-2A, Class A, 2.88%, 09/20/40(a) | | | | | | | 253 | | | | 215,765 | |
Series 2020-2A, Class B, 2.21%, 08/20/46(a) | | | | | | | 1,397 | | | | 1,084,475 | |
Series 2021-1A, Class B, 2.05%, 12/20/46(a) | | | | | | | 390 | | | | 294,792 | |
Series 2021-2A, Class B, 2.09%, 04/22/47(a) | | | | | | | 3,515 | | | | 2,518,640 | |
Series 2022-2A, Class A, 4.38%, 01/21/53(a) | | | | | | | 953 | | | | 866,470 | |
Series 2022-3A, Class A, 6.10%, 06/20/53(a) | | | | | | | 841 | | | | 826,686 | |
Series 2023-1A, Class A, 5.32%, 06/20/53(a) | | | | | | | 2,841 | | | | 2,686,959 | |
Myers Park CLO Ltd., Series 2018-1A,
Class B1, (3-mo. CME Term SOFR + 1.86%), 7.19%, 10/20/30(a)(c) | | | | | | | 250 | | | | 247,925 | |
Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1-mo. CME Term SOFR + 0.52%), 5.84%, 04/25/37(c) | | | | | | | 380 | | | | 335,294 | |
Navient Private Education Loan Trust, Series 2020- IA, Class B, 2.95%, 04/15/69(a) | | | | | | | 1,880 | | | | 1,480,493 | |
Navient Private Education Refi Loan Trust | | | | | | | | | | | | |
Series 2018-DA, Class A2A, 4.00%, 12/15/59(a) | | | | | | | 872 | | | | 834,245 | |
Series 2019-D, Class A2A, 3.01%, 12/15/59(a) | | | | | | | 2,731 | | | | 2,513,007 | |
Series 2020-CA, Class A2B, (1-mo. CME Term SOFR + 1.71%), 7.05%, 11/15/68(a)(c) | | | | | | | 2,979 | | | | 2,986,649 | |
Series 2021-DA, Class A, (Prime Rate + (1.99)%), 6.51%, 04/15/60(a)(c) | | | | | | | 1,194 | | | | 1,145,705 | |
Series 2021-DA, Class B, 2.61%, 04/15/60(a) | | | | | | | 1,110 | | | | 983,965 | |
Series 2021-DA, Class C, 3.48%, 04/15/60(a) | | | | | | | 5,000 | | | | 4,381,756 | |
Series 2021-DA, Class D, 4.00%, 04/15/60(a) | | | | | | | 5,000 | | | | 4,478,437 | |
Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59(a) | | | | | | | 1,280 | | | | 1,209,808 | |
Nelnet Student Loan Trust | | | | | | | | | | | | |
Series 2021-A, Class A1, (1-mo. CME Term SOFR + 0.91%), 6.24%, 04/20/62(a)(c) | | | | | | | 1,489 | | | | 1,476,088 | |
Series 2021-A, Class A2, (1-mo. CME Term SOFR + 1.14%), 6.47%, 04/20/62(a)(c) | | | | | | | 2,680 | | | | 2,642,140 | |
Series 2021-A, Class APT2, 1.36%, 04/20/62(a) . | | | | | | | 2,053 | | | | 1,829,634 | |
Series 2021-A, Class B2, 2.85%, 04/20/62(a) | | | | | | | 1,640 | | | | 1,309,275 | |
Series 2021-A, Class C, 3.75%, 04/20/62(a) | | | | | | | 124 | | | | 99,753 | |
Series 2021-A, Class D, 4.93%, 04/20/62(a) | | | | | | | 735 | | | | 598,885 | |
Series 2021-BA, Class B, 2.68%, 04/20/62(a) | | | | | | | 8,450 | | | | 6,645,203 | |
Series 2021-BA, Class C, 3.57%, 04/20/62(a) | | | | | | | 386 | | | | 306,634 | |
Series 2021-BA, Class D, 4.75%, 04/20/62(a) | | | | | | | 8,380 | | | | 6,655,887 | |
Series 2021-CA, Class B, 2.53%, 04/20/62(a) | | | | | | | 5,370 | | | | 4,193,411 | |
Series 2021-CA, Class C, 3.36%, 04/20/62(a) | | | | | | | 2,770 | | | | 2,171,291 | |
Series 2021-CA, Class D, 4.44%, 04/20/62(a) | | | | | | | 5,590 | | | | 4,383,381 | |
Series 2021-DA, Class B, 2.90%, 04/20/62(a) | | | | | | | 4,800 | | | | 3,830,499 | |
Series 2021-DA, Class C, 3.50%, 04/20/62(a) | | | | | | | 2,700 | | | | 2,103,545 | |
Series 2021-DA, Class D, 4.38%, 04/20/62(a) | | | | | | | 680 | | | | 524,315 | |
Neuberger Berman CLO XIV Ltd., Series 2013- 14A, Class AR2, (3-mo. CME Term SOFR + 1.29%),
6.66%, 01/28/30(a)(c) | | | | | | | 760 | | | | 758,128 | |
Neuberger Berman CLO XVII Ltd., Series 2014- 17A, Class AR2, (3-mo. CME Term SOFR + 1.29%),
6.64%, 04/22/29(a)(c) | | | | | | | 1,187 | | | | 1,184,689 | |
Neuberger Berman CLO XX Ltd. | | | | | | | | | | | | |
Series 2015-20A, Class ARR, (3-mo. CME Term SOFR + 1.42%), 6.73%, 07/15/34(a)(c) | | | | | | | 525 | | | | 521,974 | |
Series 2015-20A, Class DRR, (3-mo. CME Term SOFR + 3.21%), 8.52%, 07/15/34(a)(c) | | | | | | | 1,000 | | | | 970,282 | |
Series 2015-20A, Class ERR, (3-mo. CME Term SOFR + 6.76%), 12.07%, 07/15/34(a)(c) | | | | | | | 750 | | | | 701,655 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Neuberger Berman CLO XXII Ltd., Series 2016- 22A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.22%, 10/17/30(a)(c) | | | USD | | | | 250 | | | $ | 248,150 | |
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.49%, 10/18/30(a)(c) | | | | | | | 3,945 | | | | 3,925,408 | |
Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class A2, (3-mo. CME Term SOFR + 1.66%), 6.98%, 10/19/31(a)(c) | | | | | | | 250 | | | | 243,904 | |
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR, (3-mo. CME Term SOFR + 1.75%), 7.08%, 01/20/35(a)(c) | | | | | | | 1,000 | | | | 988,800 | |
Neuberger Berman Loan Advisers CLO 35 Ltd., Series 2019-35A, Class C, (3-mo. CME Term SOFR + 2.86%), 8.18%, 01/19/33(a)(c) | | | | | | | 250 | | | | 250,718 | |
Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.67%, 07/16/35(a)(c) | | | | | | | 3,000 | | | | 2,976,969 | |
Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.70%, 10/14/35(a)(c) | | | | | | | 5,000 | | | | 4,967,554 | |
Neuberger Berman Loan Advisers CLO 46 Ltd., Series 2021-46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.24%, 01/20/36(a)(c) | | | | | | | 250 | | | | 248,075 | |
New Residential Mortgage Loan Trust, Series 2022-SFR2, Class F, 4.00%, 09/04/39(a) | | | | | | | 3,692 | | | | 2,998,287 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1,
(1-mo. CME Term SOFR + 0.51%), 5.83%, 10/25/36(a)(c) | | | | | | | 134 | | | | 152,075 | |
NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1-mo. CME Term SOFR + 0.59%), 5.91%, 11/25/36(c) | | | | | | | 3,839 | | | | 1,150,588 | |
Oakwood Mortgage Investors, Inc. | | | | | | | | | | | | |
Series 1999-C, Class A2, 7.48%, 08/15/27 | | | | | | | 2,007 | | | | 1,598,113 | |
Series 2001-D, Class A2, 5.26%, 01/15/19(c) | | | | | | | 26 | | | | 11,298 | |
Series 2002-A, Class M1, 7.76%, 03/15/32(c) | | | | | | | 2,147 | | | | 1,895,931 | |
Series 2002-C, Class M1, 6.89%, 11/15/32(c) | | | | | | | 2,255 | | | | 2,140,874 | |
Ocean Trails CLO V, Series 2014-5A,
Class BRR, (3-mo. CME Term SOFR + 2.21%), 7.51%, 10/13/31(a)(c) | | | | | | | 500 | | | | 492,400 | |
OCP CLO Ltd. | | | | | | | | | | | | |
Series 2016-12A, Class BR2, (3-mo. CME Term SOFR + 1.81%),
7.12%, 04/18/33(a)(c) | | | | | | | 3,000 | | | | 2,949,000 | |
Series 2017-13A, Class A1AR, (3-mo. CME Term SOFR + 1.22%),
6.53%, 07/15/30(a)(c) | | | | | | | 1,231 | | | | 1,226,590 | |
Series 2017-13A, Class A2R, (3-mo. CME Term SOFR + 1.81%),
7.12%, 07/15/30(a)(c) | | | | | | | 250 | | | | 246,757 | |
Series 2019-16A, Class AR, (3-mo. CME Term SOFR + 1.26%),
6.54%, 04/10/33(a)(c) | | | | | | | 1,490 | | | | 1,481,076 | |
Series 2020-18A, Class AR, (3-mo. CME Term SOFR + 1.35%),
6.68%, 07/20/32(a)(c) | | | | | | | 1,100 | | | | 1,095,441 | |
Series 2021-22A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.77%, 12/02/34(a)(c) | | | | | | | 2,020 | | | | 2,004,316 | |
Octagon 56 Ltd., Series 2021-1A, Class B,
(3-mo. CME Term SOFR + 1.91%), 7.22%, 10/15/34(a)(c) | | | | | | | 250 | | | | 246,125 | |
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3-mo. CME Term SOFR + 1.22%), 6.53%, 04/16/31(a)(c) | | | | | | | 3,000 | | | | 2,991,979 | |
Octagon Investment Partners 29 Ltd., Series 2016- 1A, Class AR, (3-mo. CME Term SOFR + 1.44%), 6.79%, 01/24/33(a)(c) | | | | | | | 250 | | | | 248,414 | |
| | |
| 28 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.45%),
6.78%, 01/20/31(a)(c) | | | USD | | | | 1,069 | | | $ | 1,066,921 | |
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.23%),
6.54%, 04/15/31(a)(c) | | | | | | | 249 | | | | 248,000 | |
Octagon Investment Partners 37 Ltd., Series 2018-2A, Class A2, (3-mo. CME Term SOFR + 1.84%),
7.19%, 07/25/30(a)(c) | | | | | | | 650 | | | | 640,835 | |
Octagon Investment Partners 51 Ltd., Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.41%),
6.74%, 07/20/34(a)(c) | | | | | | | 1,250 | | | | 1,237,877 | |
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 1.61%),
6.93%, 07/19/30(a)(c) | | | | | | | 350 | | | | 349,967 | |
Octagon Investment Partners XVII Ltd. | | | | | | | | | | | | |
Series 2013-1A, Class A1R2, (3-mo. CME Term SOFR + 1.26%), 6.61%, 01/25/31(a)(c) | | | | | | | 967 | | | | 964,423 | |
Series 2013-1A, Class A2R2, (3-mo. CME Term SOFR + 1.36%), 6.71%, 01/25/31(a)(c) | | | | | | | 500 | | | | 489,536 | |
OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3-mo. LIBOR US + 1.15%), 6.75%, 04/21/34(a)(c) | | | | | | | 1,500 | | | | 1,493,598 | |
OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.73%, 07/02/35(a)(c) | | | | | | | 250 | | | | 248,375 | |
OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.76%, 10/22/36(a)(c) | | | | | | | 1,000 | | | | 992,845 | |
OHA Credit Funding 5 Ltd., Series 2020-5A, Class A2A, (3-mo. CME Term SOFR + 1.71%), 7.02%, 04/18/33(a)(c) | | | | | | | 300 | | | | 297,882 | |
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.73%, 07/20/34(a)(c) | | | | | | | 670 | | | | 666,993 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.62%, 02/24/37(a)(c) | | | | | | | 770 | | | | 762,012 | |
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.68%, 05/23/31(a)(c) | | | | | | | 764 | | | | 762,113 | |
OneMain Financial Issuance Trust | | | | | | | | | | | | |
Series 2019-2A, Class A, 3.14%, 10/14/36(a) | | | | | | | 1,736 | | | | 1,571,082 | |
Series 2021-1A, Class A2, (SOFR (30-day) + 0.76%), 6.07%, 06/16/36(a)(c) | | | | | | | 1,201 | | | | 1,175,111 | |
Series 2021-1A, Class B, 1.95%, 06/16/36(a) | | | | | | | 4,700 | | | | 3,903,991 | |
Series 2021-1A, Class C, 2.22%, 06/16/36(a) | | | | | | | 4,680 | | | | 3,875,717 | |
Series 2023-2A, Class D, 7.52%, 09/15/36(a) | | | | | | | 1,720 | | | | 1,712,388 | |
Oportun Issuance Trust | | | | | | | | | | | | |
Series 2021-B, Class A, 1.47%, 05/08/31(a) | | | | | | | 1,970 | | | | 1,798,995 | |
Series 2021-C, Class C, 3.61%, 10/08/31(a) | | | | | | | 1,641 | | | | 1,460,118 | |
Option One Mortgage Loan Trust | | | | | | | | | | | | |
Series 2005-4, Class M3, (1-mo. CME Term SOFR + 0.85%), 6.17%, 11/25/35(c) | | | | | | | 460 | | | | 371,207 | |
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(b) | | | | | | | 4,236 | | | | 3,263,364 | |
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(b) | | | | | | | 2,559 | | | | 2,029,529 | |
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1-mo. LIBOR US + 1.20%),
6.65%, 10/15/37(a)(c) | | | | | | | 958 | | | | 925,192 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
OSD CLO Ltd., Series 2021-23A, Class E,
(3-mo. CME Term SOFR + 6.26%), 11.57%, 04/17/31(a)(c) | | | USD | | | | 1,000 | | | $ | 932,489 | |
OZLM Funding IV Ltd. | | | | | | | | | | | | |
Series 2013-4A, Class A1R, (3-mo. CME Term SOFR + 1.51%),
6.86%, 10/22/30(a)(c) | | | | | | | 555 | | | | 553,465 | |
Series 2013-4A, Class A2R, (3-mo. CME Term SOFR + 1.96%),
7.31%, 10/22/30(a)(c) | | | | | | | 500 | | | | 492,550 | |
OZLM VI Ltd., Series 2014-6A, Class A2AS, (3-mo. CME Term SOFR + 2.01%), 7.32%, 04/17/31(a)(c) | | | | | | | 2,570 | | | | 2,552,010 | |
OZLM VIII Ltd. | | | | | | | | | | | | |
Series 2014-8A, Class A2R3, (3-mo. CME Term SOFR + 1.91%),
7.22%, 10/17/29(a)(c) | | | | | | | 1,185 | | | | 1,178,074 | |
Series 2014-8A, Class BR3, (3-mo. CME Term SOFR + 2.36%),
7.67%, 10/17/29(a)(c) | | | | | | | 1,750 | | | | 1,751,228 | |
OZLM XIV Ltd., Series 2015-14A, Class A1SR, (3-mo. CME Term SOFR + 1.51%), 6.82%, 07/15/34(a)(c) | | | | | | | 1,500 | | | | 1,488,088 | |
OZLM XXII Ltd. | | | | | | | | | | | | |
Series 2018-22A, Class A1, (3-mo. CME Term SOFR + 1.33%),
6.64%, 01/17/31(a)(c) | | | | | | | 928 | | | | 925,461 | |
Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%),
7.07%, 01/17/31(a)(c) | | | | | | | 500 | | | | 490,100 | |
Pagaya AI Debt Selection Trust,
Series 2021-2, Class NOTE, 3.00%, 01/25/29(a) | | | | | | | 873 | | | | 843,578 | |
Pagaya AI Technology in Housing Trust,
Series 2023-1, Class F, 3.60%, 09/01/28(a) | | | | | | | 1,000 | | | | 628,089 | |
Palmer Square CLO Ltd. | | | | | | | | | | | | |
Series 2013-2A, Class A1A3, (3-mo. CME Term SOFR + 1.26%),
6.57%, 10/17/31(a)(c) | | | | | | | 3,400 | | | | 3,384,240 | |
Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%),
6.70%, 01/17/31(a)(c) | | | | | | | 795 | | | | 793,903 | |
Series 2014-1A, Class CR2, (3-mo. CME Term SOFR + 2.91%),
8.22%, 01/17/31(a)(c) | | | | | | | 400 | | | | 390,043 | |
Series 2015-1A, Class A1A4, (3-mo. CME Term SOFR + 1.39%),
6.77%, 05/21/34(a)(c) | | | | | | | 660 | | | | 656,140 | |
Series 2015-1A, Class A2R4, (3-mo. CME Term SOFR + 1.96%),
7.34%, 05/21/34(a)(c) | | | | | | | 1,000 | | | | 990,000 | |
Series 2015-2A, Class CR2, (3-mo. CME Term SOFR + 3.01%),
8.34%, 07/20/30(a)(c) | | | | | | | 1,000 | | | | 978,483 | |
Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.29%), 6.60%, 04/18/31(a)(c) | | | | | | | 472 | | | | 471,747 | |
Series 2018-2A, Class D, (3-mo. CME Term SOFR + 5.86%), 11.17%, 07/16/31(a)(c) | | | | | | | 500 | | | | 470,337 | |
Series 2020-3A, Class A1AR, (3-mo. CME Term SOFR + 1.34%),
6.71%, 11/15/31(a)(c) | | | | | | | 960 | | | | 957,989 | |
Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.72%, 01/15/35(a)(c) | | | | | | | 390 | | | | 387,830 | |
Palmer Square Loan Funding Ltd. | | | | | | | | | | | | |
Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 1.51%), 6.89%, 05/20/29(a)(c) | | | | | | | 3,560 | | | | 3,516,823 | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.59%, 07/20/29(a)(c) | | | | | | | 250 | | | | 236,049 | |
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.32%, 10/15/29(a)(c) | | | | | | | 250 | | | | 245,259 | |
Series 2021-4A, Class C, (3-mo. CME Term SOFR + 2.86%), 8.17%, 10/15/29(a)(c) | | | | | | | 250 | | | | 243,378 | |
Series 2022-2A, Class A2, (3-mo. CME Term SOFR + 1.90%), 7.21%, 10/15/30(a)(c) | | | | | | | 2,350 | | | | 2,341,852 | |
Series 2022-2A, Class B, (3-mo. CME Term SOFR + 2.20%), 7.51%, 10/15/30(a)(c) | | | | | | | 1,360 | | | | 1,328,246 | |
| | |
SCHEDULES OF INVESTMENTS | | 29 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Palmer Square Loan Funding Ltd.
Series 2022-2A, Class C, (3-mo. CME Term SOFR + 3.10%),
8.41%, 10/15/30(a)(c) | | | USD | | | | 250 | | | $ | 244,420 | |
Parallel Ltd., Series 2015-1A, Class C1R,
(3-mo. CME Term SOFR + 2.01%), 7.34%, 07/20/27(a)(c) | | | | | | | 441 | | | | 440,385 | |
Park Avenue Institutional Advisers CLO Ltd. | | | | | | | | | | | | |
Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.84%, 08/23/31(a)(c) | | | | | | | 350 | | | | 349,314 | |
Series 2017-1A, Class DR, (3-mo. CME Term SOFR + 7.07%), 12.44%, 02/14/34(a)(c) | | | | | | | 900 | | | | 805,488 | |
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.97%, 07/15/34(a)(c) | | | | | | | 1,900 | | | | 1,852,593 | |
Pikes Peak CLO 1, Series 2018-1A, Class A, (3- mo. CME Term SOFR + 1.44%), 6.79%, 07/24/31(a)(c) | | | | | | | 764 | | | | 759,659 | |
Pikes Peak CLO 11, Series 2022-11A,
Class A1, (3-mo. CME Term SOFR + 1.95%), 7.30%, 07/25/34(a)(c) | | | | | | | 3,000 | | | | 3,030,586 | |
Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class M1, (1-mo. CME Term SOFR + 0.65%), 5.79%, 05/25/36(c) | | | | | | | 3,859 | | | | 3,566,655 | |
PRET LLC | | | | | | | | | | | | |
Series 2021-NPL6, Class A1, 2.49%, 07/25/51(a)(b) | | | | | | | 8,248 | | | | 7,835,163 | |
Series 2021-RN4, Class A1, 2.49%, 10/25/51(a)(c) | | | | | | | 5,733 | | | | 5,198,225 | |
Prodigy Finance DAC | | | | | | | | | | | | |
Series 2021-1A, Class B, (1-mo. CME Term SOFR + 2.61%), 7.93%, 07/25/51(a)(c) | | | | | | | 1,186 | | | | 1,179,722 | |
Series 2021-1A, Class C, (1-mo. CME Term SOFR + 3.86%), 9.18%, 07/25/51(a)(c) | | | | | | | 1,186 | | | | 1,186,052 | |
Series 2021-1A, Class D, (1-mo. CME Term SOFR + 6.01%), 11.33%, 07/25/51(a)(c) | | | | | | | 1,900 | | | | 1,893,885 | |
Progress Residential Trust | | | | | | | | | | | | |
Series 2019-SFR3, Class E, 3.37%, 09/17/36(a) | | | | | | | 3,000 | | | | 2,896,766 | |
Series 2019-SFR3, Class F, 3.87%, 09/17/36(a) | | | | | | | 1,000 | | | | 963,384 | |
Series 2019-SFR4, Class E, 3.44%, 10/17/36(a) | | | | | | | 3,000 | | | | 2,891,099 | |
Series 2019-SFR4, Class F, 3.68%, 10/17/36(a) | | | | | | | 2,500 | | | | 2,407,016 | |
Series 2021-SFR10, Class E2, 3.67%, 12/17/40(a) | | | | | | | 985 | | | | 821,920 | |
Series 2021-SFR10, Class F, 4.61%, 12/17/40(a) | | | | | | | 3,981 | | | | 3,312,744 | |
Series 2021-SFR5, Class F, 3.16%, 07/17/38(a) | | | | | | | 1,808 | | | | 1,551,110 | |
Series 2021-SFR6, Class F, 3.42%, 07/17/38(a) | | | | | | | 3,577 | | | | 3,088,502 | |
Series 2021-SFR8, Class F, 3.18%, 10/17/38(a) | | | | | | | 4,500 | | | | 3,804,365 | |
Series 2021-SFR9, Class F, 4.05%, 11/17/40(a) | | | | | | | 2,400 | | | | 1,931,813 | |
Series 2022-SFR1, Class F, 4.88%, 02/17/41(a) | | | | | | | 5,000 | | | | 4,141,337 | |
Series 2022-SFR5, Class E1, 6.62%, 06/17/39(a) | | | | | | | 2,180 | | | | 2,090,176 | |
Race Point VIII CLO Ltd., Series 2013-8A, Class AR2, (3-mo. CME Term SOFR + 1.30%), 6.68%, 02/20/30(a)(c) | | | | | | | 892 | | | | 889,258 | |
Rad CLO 15 Ltd. | | | | | | | | | | | | |
Series 2021-15A, Class A, (3-mo. CME Term SOFR + 1.35%), 6.68%, 01/20/34(a)(c) | | | | | | | 390 | | | | 387,514 | |
Series 2021-15A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.24%, 01/20/34(a)(c) | | | | | | | 820 | | | | 806,306 | |
Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34(a)(c) | | | | | | | 4,500 | | | | 4,234,128 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Rad CLO 2 Ltd., Series 2018-2A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.65%, 10/15/31(a)(c) | | | USD | | | | 1,250 | | | $ | 1,245,227 | |
Rad CLO 3 Ltd. | | | | | | | | | | | | |
Series 2019-3A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.12%, 04/15/32(a)(c) | | | | | | | 325 | | | | 319,248 | |
Series 2019-3A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.42%, 04/15/32(a)(c) | | | | | | | 250 | | | | 244,706 | |
Series 2019-3A, Class DR, (3-mo. CME Term SOFR + 3.01%), 8.32%, 04/15/32(a)(c) | | | | | | | 250 | | | | 245,467 | |
Rad CLO 4 Ltd., Series 2019-4A, Class D,
(3-mo. CME Term SOFR + 4.11%), 9.46%, 04/25/32(a)(c) | | | | | | | 500 | | | | 494,058 | |
Rad CLO 7 Ltd., Series 2020-7A, Class A1, (3-mo. CME Term SOFR + 1.46%), 6.77%, 04/17/33(a)(c) | | | | | | | 250 | | | | 248,458 | |
Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3-mo. CME Term SOFR + 2.16%), 7.47%, 01/15/34(a)(c) | | | | | | | 500 | | | | 497,250 | |
Regatta IX Funding Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class C, (3-mo. CME Term SOFR + 2.71%), 8.02%, 04/17/30(a)(c) | | | | | | | 250 | | | | 250,968 | |
Series 2017-1A, Class D, (3-mo. CME Term SOFR + 4.16%), 9.47%, 04/17/30(a)(c) | | | | | | | 250 | | | | 248,796 | |
Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3-mo. CME Term SOFR + 1.42%), 6.75%, 04/20/34(a)(c) | | | | | | | 3,000 | | | | 2,982,000 | |
Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3-mo. CME Term SOFR + 1.86%), 7.26%, 06/20/34(a)(c) | | | | | | | 250 | | | | 247,575 | |
Regatta VIII Funding Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.27%, 10/17/30(a)(c) | | | | | | | 1,255 | | | | 1,252,992 | |
Series 2017-1A, Class D, (3-mo. CME Term SOFR + 3.46%), 8.77%, 10/17/30(a)(c) | | | | | | | 250 | | | | 245,245 | |
Regatta XVI Funding Ltd. | | | | | | | | | | | | |
Series 2019-2A, Class B, (3-mo. CME Term SOFR + 2.31%), 7.62%, 01/15/33(a)(c) | | | | | | | 750 | | | | 749,475 | |
Series 2019-2A, Class D, (3-mo. CME Term SOFR + 4.16%), 9.47%, 01/15/33(a)(c) | | | | | | | 500 | | | | 498,387 | |
Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.18%, 10/15/33(a)(c) | | | | | | | 500 | | | | 497,845 | |
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.39%, 01/20/35(a)(c) | | | | | | | 1,500 | | | | 1,448,352 | |
Regional Management Issuance Trust | | | | | | | | | | | | |
Series 2020-1, Class A, 2.34%, 10/15/30(a) | | | | | | | 1,220 | | | | 1,188,718 | |
Series 2020-1, Class B, 3.23%, 10/15/30(a) | | | | | | | 320 | | | | 297,943 | |
Series 2021-1, Class A, 1.68%, 03/17/31(a) | | | | | | | 138 | | | | 129,863 | |
Series 2021-2, Class B, 2.35%, 08/15/33(a) | | | | | | | 1,098 | | | | 897,425 | |
Series 2021-2, Class C, 3.23%, 08/15/33(a) | | | | | | | 820 | | | | 639,747 | |
Series 2021-3, Class A, 3.88%, 10/08/26(f) | | | | | | | 10,210 | | | | 8,882,700 | |
Series 2022-1, Class A, 3.07%, 03/15/32(a) | | | | | | | 2,527 | | | | 2,355,798 | |
Series 2022-1, Class B, 3.71%, 03/15/32(a) | | | | | | | 5,452 | | | | 4,884,165 | |
Series 2022-1, Class C, 4.46%, 03/15/32(a) | | | | | | | 1,111 | | | | 962,580 | |
Series 2022-1, Class D, 6.72%, 03/15/32(a) | | | | | | | 2,072 | | | | 1,804,321 | |
Series 2022-2B, Class A, 7.10%, 11/17/32(a) | | | | | | | 6,193 | | | | 6,188,149 | |
Renaissance Home Equity Loan Trust, Series 2005-3, Class AF4, 5.14%, 11/25/35(b) | | | | | | | 753 | | | | 734,995 | |
Republic Finance Issuance Trust, Series 2021-A, Class D, 5.23%, 12/22/31(a) | | | | | | | 3,550 | | | | 2,945,576 | |
| | |
| 30 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Riserva CLO Ltd., Series 2016-3A, Class ARR, (3-mo. CME Term SOFR + 1.32%), 6.63%, 01/18/34(a)(c) | | | USD | | | | 1,100 | | | $ | 1,088,450 | |
Rockford Tower CLO Ltd. | | | | | | | | | | | | |
Series 2017-1A, Class AR2, (3-mo. CME Term SOFR + 1.36%), 6.69%, 04/20/34(a)(c) | | | | | | | 500 | | | | 492,247 | |
Series 2017-2A, Class BR, (3-mo. CME Term SOFR + 1.76%), 7.07%, 10/15/29(a)(c) | | | | | | | 1,250 | | | | 1,237,125 | |
Series 2017-2A, Class CR, (3-mo. CME Term SOFR + 2.16%), 7.47%, 10/15/29(a)(c) | | | | | | | 1,000 | | | | 988,350 | |
Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.42%, 10/15/29(a)(c) | | | | | | | 1,000 | | | | 979,129 | |
Series 2017-3A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.78%, 10/20/30(a)(c) | | | | | | | 2,753 | | | | 2,744,946 | |
Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.74%, 05/20/31(a)(c) | | | | | | | 726 | | | | 723,495 | |
Series 2020-1A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.39%, 01/20/32(a)(c) | | | | | | | 1,570 | | | | 1,562,778 | |
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.76%, 07/20/34(a)(c) | | | | | | | 3,500 | | | | 3,469,939 | |
Romark CLO II Ltd., Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.79%, 07/25/31(a)(c) | | | | | | | 250 | | | | 248,725 | |
Romark WM-R Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.29%), 6.62%, 04/20/31(a)(c) | | | | | | | 1,224 | | | | 1,216,208 | |
RR 19 Ltd., Series 2021-19A, Class A2, (3-mo. CME Term SOFR + 1.91%), 7.22%, 10/15/35(a)(c) | | | | | | | 500 | | | | 497,300 | |
RR 3 Ltd., Series 2018-3A, Class A1R2, (3-mo. CME Term SOFR + 1.35%), 6.66%, 01/15/30(a)(c) | | | | | | | 3,896 | | | | 3,886,319 | |
Securitized Asset-Backed Receivables LLC Trust | | | | | | | | | | | | |
Series 2007-BR1, Class A2A, (1-mo. CME Term SOFR + 0.33%), 5.65%, 02/25/37(c) | | | | | | | 399 | | | | 165,401 | |
Series 2007-BR1, Class A2B, (1-mo. CME Term SOFR + 0.65%), 5.97%, 02/25/37(c) | | | | | | | 2,126 | | | | 881,458 | |
Service Experts Issuer LLC, Series 2021-1A, Class A, 2.67%, 02/02/32(a) | | | | | | | 2,361 | | | | 2,146,498 | |
SESAC Finance LLC, Series 2019-1, Class A2, 5.22%, 07/25/49(a) | | | | | | | 2,504 | | | | 2,355,690 | |
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1-mo. CME Term SOFR + 0.43%), 5.75%, 07/25/36(c) | | | | | | | 187 | | | | 38,310 | |
Shackleton CLO Ltd., Series 2013-3A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.69%, 07/15/30(a)(c) | | | | | | | 758 | | | | 751,879 | |
Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, (3-mo. CME Term SOFR + 1.42%), 6.73%, 04/17/34(a)(c) | | | | | | | 2,750 | | | | 2,734,486 | |
Signal Peak CLO 2 LLC, Series 2015-1A, Class AR2, (3-mo. CME Term SOFR + 1.24%), 6.57%, 04/20/29(a)(c) | | | | | | | 885 | | | | 881,675 | |
Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, (3-mo. CME Term SOFR + 1.37%), 6.72%, 04/25/31(a)(c) | | | | | | | 284 | | | | 283,695 | |
Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3-mo. CME Term SOFR + 1.53%), 6.86%, 04/20/33(a)(c) | | | | | | | 500 | | | | 496,950 | |
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3-mo. CME Term SOFR + 1.50%), 6.83%, 07/20/30(a)(c) | | | | | | | 776 | | | | 776,254 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A, (3-mo. CME Term SOFR + 1.58%), 6.91%, 10/20/32(a)(c) | | | USD | | | | 730 | | | $ | 729,275 | |
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34(a)(c) | | | | | | | 500 | | | | 483,613 | |
SLM Private Credit Student Loan Trust | | | | | | | | | | | | |
Series 2005-A, Class A4, (3-mo. CME Term SOFR + 0.57%), 5.98%, 12/15/38(c) | | | | | | | 1,161 | | | | 1,123,879 | |
Series 2005-B, Class A4, (3-mo. CME Term SOFR + 0.59%), 6.00%, 06/15/39(c) | | | | | | | 851 | | | | 817,435 | |
Series 2006-BW, Class A5, (3-mo. CME Term SOFR + 0.46%), 5.87%, 12/15/39(c) | | | | | | | 1,584 | | | | 1,516,976 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1-mo. CME Term SOFR + 4.86%), 10.20%, 10/15/41(a)(c) | | | | | | | 2,824 | | | | 2,983,364 | |
SMB Private Education Loan Trust | | | | | | | | | | | | |
Series 2015-C, Class B, 3.50%, 09/15/43(a) | | | | | | | 2,266 | | | | 2,171,977 | |
Series 2016-B, Class A2A, 2.43%, 02/17/32(a) | | | | | | | 619 | | | | 599,394 | |
Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.35%, 09/15/34(a)(c) | | | | | | | 974 | | | | 969,547 | |
Series 2017-B, Class A2A, 2.82%, 10/15/35(a) | | | | | | | 595 | | | | 567,629 | |
Series 2017-B, Class A2B, (1-mo. CME Term SOFR + 0.86%), 6.20%, 10/15/35(a)(c) | | | | | | | 976 | | | | 968,436 | |
Series 2018-A, Class A2B, (1-mo. CME Term SOFR + 0.91%), 6.25%, 02/15/36(a)(c) | | | | | | | 1,940 | | | | 1,923,419 | |
Series 2019-B, Class A2A, 2.84%, 06/15/37(a) | | | | | | | 2,375 | | | | 2,219,423 | |
Series 2021-A, Class C, 2.99%, 01/15/53(a) | | | | | | | 2,568 | | | | 2,149,120 | |
Series 2021-A, Class D1, 3.86%, 01/15/53(a) | | | | | | | 867 | | | | 776,927 | |
Series 2021-A, Class D2, 3.86%, 01/15/53(a) | | | | | | | 590 | | | | 528,972 | |
Series 2021-B, Class A, 1.31%, 07/17/51(a) | | | | | | | 2,433 | | | | 2,147,360 | |
Series 2021-C, Class A2, (1-mo. CME Term SOFR + 0.91%), 6.25%, 01/15/53(a)(c) | | | | | | | 1,397 | | | | 1,368,879 | |
Series 2021-C, Class APT1, 1.39%, 01/15/53(a) | | | | | | | 1,260 | | | | 1,087,477 | |
Series 2021-C, Class B, 2.30%, 01/15/53(a) | | | | | | | 840 | | | | 755,897 | |
SoFi Professional Loan Program LLC | | | | | | | | | | | | |
Series 2018-A, Class B, 3.61%, 02/25/42(a) | | | | | | | 290 | | | | 255,183 | |
Series 2019-B, Class A2FX, 3.09%, 08/17/48(a) | | | | | | | 366 | | | | 343,301 | |
SoFi Professional Loan Program Trust | | | | | | | | | | | | |
Series 2018-B, Class BFX, 3.83%, 08/25/47(a) | | | | | | | 156 | | | | 139,097 | |
Series 2018-D, Class BFX, 4.14%, 02/25/48(a) | | | | | | | 100 | | | | 87,674 | |
Series 2020-A, Class BFX, 3.12%, 05/15/46(a) | | | | | | | 226 | | | | 173,985 | |
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.68%, 01/26/31(a)(c) | | | | | | | 245 | | | | 243,175 | |
Sound Point CLO XV Ltd., Series 2017-1A, Class ARR, (3-mo. CME Term SOFR + 1.16%), 6.51%, 01/23/29(a)(c) | | | | | | | 1,250 | | | | 1,247,443 | |
Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3-mo. CME Term SOFR + 1.54%), 6.89%, 01/25/32(a)(c) | | | | | | | 1,000 | | | | 993,852 | |
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1-mo. CME Term SOFR + 0.91%), 6.23%, 01/25/35(c) | | | | | | | 93 | | | | 84,025 | |
SpringCastle America Funding LLC, Series 2020- AA, Class A, 1.97%, 09/25/37(a) | | | | | | | 1,239 | | | | 1,124,465 | |
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.51%), 6.82%, 10/15/30(a)(c) | | | | | | | 234 | | | | 233,516 | |
Stratus CLO Ltd. | | | | | | | | | | | | |
Series 2021-1A, Class E, (3-mo. CME Term SOFR + 5.26%), 10.59%, 12/29/29(a)(c) | | | | | | | 1,250 | | | | 1,171,143 | |
| | |
SCHEDULES�� OF INVESTMENTS | | 31 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Stratus CLO Ltd. | | | | | | | | | | | | |
Series 2021-1A, Class SUB, 0.00%, 12/29/29(a)(c)(d) | | | USD | | | | 1,000 | | | $ | 503,170 | |
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 6.01%), 11.34%, 12/28/29(a)(c) | | | | | | | 1,550 | | | | 1,531,701 | |
Structured Asset Investment Loan Trust, Series 2004-10, Class A11, (1-mo. CME Term SOFR + 1.61%), 6.93%, 11/25/34(c) | | | | | | | 135 | | | | 135,067 | |
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL1, Class A3, (1-mo. CME Term SOFR + 0.71%), 6.03%, 01/25/37(a)(c) | | | | | | | 1,587 | | | | 1,251,490 | |
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54(a) | | | | | | | 1,682 | | | | 1,470,908 | |
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3-mo. CME Term SOFR + 1.22%), 6.53%, 04/16/31(a)(c) | | | | | | | 497 | | | | 495,612 | |
Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.72%, 10/15/31(a)(c) | | | | | | | 300 | | | | 298,696 | |
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3-mo. CME Term SOFR + 1.14%), 6.45%, 04/15/28(a)(c) | | | | | | | 152 | | | | 151,833 | |
Symphony CLO XXII Ltd., Series 2020-22A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.27%, 04/18/33(a)(c) | | | | | | | 250 | | | | 248,025 | |
Symphony CLO XXIII Ltd. | | | | | | | | | | | | |
Series 2020-23A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.17%, 01/15/34(a)(c) | | | | | | | 1,150 | | | | 1,135,437 | |
Series 2020-23A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.57%, 01/15/34(a)(c) | | | | | | | 1,500 | | | | 1,482,838 | |
Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.72%, 01/15/34(a)(c) | | | | | | | 1,250 | | | | 1,197,447 | |
Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.67%, 04/20/33(a)(c) | | | | | | | 689 | | | | 684,390 | |
Symphony Static CLO I Ltd., Series 2021-1A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.46%, 10/25/29(a)(c) | | | | | | | 500 | | | | 487,772 | |
TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.22%), 6.60%, 11/18/30(a)(c) | | | | | | | 784 | | | | 781,870 | |
TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.12%, 07/15/30(a)(c) | | | | | | | 1,000 | | | | 985,951 | |
TCW CLO AMR Ltd., Series 2019-1A, Class ASNR, (3-mo. CME Term SOFR + 1.48%), 6.85%, 08/16/34(a)(c) | | | | | | | 250 | | | | 246,895 | |
TICP CLO IX Ltd., Series 2017-9A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.19%, 01/20/31(a)(c) | | | | | | | 250 | | | | 248,475 | |
TICP CLO V Ltd., Series 2016-5A, Class DR, (3- mo. CME Term SOFR + 3.41%), 8.72%, 07/17/31(a)(c) | | | | | | | 250 | | | | 246,274 | |
TICP CLO VI Ltd. | | | | | | | | | | | | |
Series 2016-6A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 6.69%, 01/15/34(a)(c) | | | | | | | 4,250 | | | | 4,232,558 | |
Series 2016-6A, Class BR2, (3-mo. CME Term SOFR + 1.76%), 7.07%, 01/15/34(a)(c) | | | | | | | 320 | | | | 316,288 | |
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3-mo. CME Term SOFR + 7.31%), 12.62%, 04/15/33(a)(c) | | | | | | | 600 | | | | 561,340 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
TICP CLO XI Ltd., Series 2018-11A, Class B, (3- mo. CME Term SOFR + 1.99%), 7.32%, 10/20/31(a)(c) | | | USD | | | | 450 | | | $ | 445,860 | |
TICP CLO XII Ltd., Series 2018-12A, Class AR, (3-mo. CME Term SOFR + 1.43%), 6.74%, 07/15/34(a)(c) | | | | | | | 250 | | | | 249,149 | |
TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3-mo. CME Term SOFR + 6.96%), 12.29%, 10/20/32(a)(c) | | | | | | | 1,250 | | | | 1,218,828 | |
TICP CLO XV Ltd., Series 2020-15A, Class A, (3-mo. CME Term SOFR + 1.54%), 6.87%, 04/20/33(a)(c) | | | | | | | 750 | | | | 748,796 | |
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1-mo. CME Term SOFR + 1.11%), 6.43%, 05/25/58(a)(c) | | | | | | | 1,030 | | | | 1,037,883 | |
Trestles CLO Ltd., Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.25%), 6.60%, 04/25/32(a)(c) | | | | | | | 650 | | | | 642,380 | |
Trestles CLO V Ltd. | | | | | | | | | | | | |
Series 2021-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.76%, 10/20/34(a)(c) | | | | | | | 7,230 | | | | 7,180,211 | |
Series 2021-5A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.94%, 10/20/34(a)(c) | | | | | | | 1,000 | | | | 969,802 | |
Tricon American Homes Trust | | | | | | | | | | | | |
Series 2018-SFR1, Class E, 4.56%, 05/17/37(a) | | | | | | | 2,000 | | | | 1,925,241 | |
Series 2019-SFR1, Class E, 3.40%, 03/17/38(a) | | | | | | | 2,000 | | | | 1,833,632 | |
Series 2020-SFR1, Class F, 4.88%, 07/17/38(a) | | | | | | | 7,351 | | | | 6,847,666 | |
Tricon Residential Trust | | | | | | | | | | | | |
Series 2021-SFR1, Class F, 3.69%, 07/17/38(a) | | | | | | | 3,250 | | | | 2,827,449 | |
Series 2021-SFR1, Class G, 4.13%, 07/17/38(a) | | | | | | | 2,099 | | | | 1,837,157 | |
Trimaran Cavu Ltd. | | | | | | | | | | | | |
Series 2019-1A, Class A2, (3-mo. CME Term SOFR + 2.16%), 7.49%, 07/20/32(a)(c) | | | | | | | 250 | | | | 248,750 | |
Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.86%, 10/25/34(a)(c) | | | | | | | 300 | | | | 294,919 | |
Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3-mo. CME Term SOFR + 1.66%), 6.97%, 10/18/31(a)(c) | | | | | | | 250 | | | | 245,347 | |
Venture 39 CLO Ltd., Series 2020-39A, Class A1, (3-mo. CME Term SOFR + 1.54%), 6.85%, 04/15/33(a)(c) | | | | | | | 340 | | | | 337,340 | |
VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51(a)(b) | | | | | | | 11,225 | | | | 10,112,007 | |
Voya CLO Ltd. | | | | | | | | | | | | |
Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 6.58%, 04/25/31(a)(c) | | | | | | | 954 | | | | 951,696 | |
Series 2013-3A, Class A1RR, (3-mo. CME Term SOFR + 1.41%), 6.72%, 10/18/31(a)(c) | | | | | | | 498 | | | | 496,447 | |
Series 2015-3A, Class A1R, (3-mo. CME Term SOFR + 1.45%), 6.78%, 10/20/31(a)(c) | | | | | | | 500 | | | | 498,044 | |
Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 6.52%, 04/17/30(a)(c) | | | | | | | 185 | | | | 184,868 | |
Series 2017-3A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.63%, 04/20/34(a)(c) | | | | | | | 1,000 | | | | 994,261 | |
Series 2017-4A, Class A1, (3-mo. CME Term SOFR + 1.39%), 6.70%, 10/15/30(a)(c) | | | | | | | 1,045 | | | | 1,040,754 | |
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.56%), 6.88%, 04/19/31(a)(c) | | | | | | | 250 | | | | 245,000 | |
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.57%, 07/15/31(a)(c) | | | | | | | 250 | | | | 249,381 | |
Series 2018-3A, Class A1A, (3-mo. CME Term SOFR + 1.41%), 6.72%, 10/15/31(a)(c) | | | | | | | 250 | | | | 249,071 | |
| | |
| 32 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Washington Mutual Asset-Backed Certificates Trust | | | | | | | | | | | | |
Series 2006-HE3, Class 1A, (1-mo. CME Term SOFR + 0.42%), 5.74%, 08/25/36(c) | | | USD | | | | 6,614 | | | $ | 6,151,071 | |
Series 2006-HE4, Class 2A2, (1-mo. CME Term SOFR + 0.47%), 5.79%, 09/25/36(c) | | | | | | | 207 | | | | 55,806 | |
Series 2006-HE5, Class 1A, (1-mo. CME Term SOFR + 0.42%), 4.19%, 10/25/36(c) | | | | | | | 2,484 | | | | 1,816,791 | |
Series 2007-HE3, Class 2A3, (1-mo. CME Term SOFR + 0.35%), 5.67%, 05/25/37(c) | | | | | | | 109 | | | | 91,617 | |
Wellfleet CLO Ltd., Series 2017-3A, Class A1, (3- mo. CME Term SOFR + 1.41%), 6.72%, 01/17/31(a)(c) | | | | | | | 1,483 | | | | 1,475,103 | |
Whitebox CLO II Ltd. | | | | | | | | | | | | |
Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.96%, 10/24/34(a)(c) | | | | | | | 250 | | | | 244,149 | |
Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.71%, 10/24/34(a)(c) | | | | | | | 500 | | | | 475,008 | |
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.79%, 10/15/34(a)(c) | | | | | | | 4,000 | | | | 3,966,000 | |
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1-mo. CME Term SOFR + 0.51%), 5.83%, 06/25/37(a)(c) | | | | | | | 429 | | | | 135,693 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities — 47.8%
(Cost: $1,104,782,708) | | | | 1,030,008,232 | |
| | | | | | | | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
| Banks — 0.0% | | | | | | | | | |
Washington Mutual Escrow Bonds | | | | | | | | | | | | |
0.00% (d)(f)(g)(h)(i) | | | | | | | 500 | | | | — | |
0.00% (d)(f)(g)(h)(i) | | | | | | | 250 | | | | — | |
| | | | | | | | |
| | | | | | | | | | | — | |
| | | |
| Insurance — 0.0% | | | | | | | | | |
Ambac Assurance Corp., 5.10% (a)(i) | | | | | | | 58 | | | | 82,572 | |
| | | | | | | | |
| | | |
Total Corporate Bonds — 0.0%
(Cost: $75,213) | | | | | | | | | | | 82,572 | |
| | | | | | | | |
| | | |
Floating Rate Loan Interests(f) | | | | | | | | | | | | |
| | | |
| Financial Services — 0.6% | | | | | | | | | |
Caliber Home Loans, Inc., Advances, (1-mo. SOFR at 0.00% Floor + 3.25%), 8.66%, 07/15/26 | | | | | | | 3,358 | | | | 3,365,207 | |
Project Pearl Pasco Holdings LLC, Advance, (1- mo. CME Term SOFR at 0.00% Floor + 2.86%), 8.20%, 09/15/24 | | | | | | | 2,892 | | | | 2,882,000 | |
Sirocco Lux S.A., Facility A, (3-mo. EURIBOR at 0.00% Floor + 3.90%), 7.56%, 02/28/26 | | | EUR | | | | 7,048 | | | | 7,451,387 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 13,698,594 | |
| | | |
| Oil, Gas & Consumable Fuels — 0.4% | | | | | | | | | |
Promontoria Beech DAC, Senior Loan, (1-mo. EURIBOR at 0.00% Floor + 3.75%), 7.51%, 05/17/27 | | | | | | | 7,526 | | | | 7,927,209 | |
| | | | | | | | |
| |
Total Floating Rate Loan Interests — 1.0%
(Cost: $22,146,753) | | | | 21,625,803 | |
| | | | | | | | |
|
Non-Agency Mortgage-Backed Securities | |
|
| Collateralized Mortgage Obligations — 17.4% | |
Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 4.03%, 05/25/36(c) | | | USD | | | | 4,584 | | | | 3,102,502 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Agate Bay Mortgage Trust | | | | | | | | | | | | |
Series 2015-1, Class B5, 3.66%, 01/25/45(a)(c) | | | USD | | | | 723 | | | $ | 433,550 | |
Series 2015-3, Class B5, 3.54%, 04/25/45(a)(c) | | | | | | | 832 | | | | 502,330 | |
Series 2015-4, Class B5, 3.50%, 06/25/45(a)(c) | | | | | | | 580 | | | | 326,040 | |
Ajax Mortgage Loan Trust | | | | | | | | | | | | |
Series 2017-D, Class B, 0.00%, 12/25/57(a)(c)(d) | | | | | | | 143 | | | | 69,259 | |
Series 2019-E, Class C, 0.00%, 09/25/59(a)(d) | | | | | | | 21 | | | | 34,768 | |
Series 2020-C, Class A, 2.25%, 09/27/60(a)(b) | | | | | | | 66 | | | | 64,953 | |
Series 2020-C, Class B, 5.00%, 09/27/60(a)(b) | | | | | | | 250 | | | | 240,650 | |
Series 2020-C, Class C, 0.00%, 09/27/60(a)(d) | | | | | | | 784 | | | | 708,325 | |
Series 2020-D, Class A, 2.25%, 06/25/60(a)(b) | | | | | | | 460 | | | | 443,768 | |
Series 2020-D, Class B, 5.00%, 06/25/60(a)(b) | | | | | | | 350 | | | | 336,910 | |
Series 2020-D, Class C, 0.00%, 06/25/60(a)(d) | | | | | | | 826 | | | | 767,385 | |
Series 2021-C, Class A, 2.12%, 01/25/61(a)(b) | | | | | | | 2,715 | | | | 2,548,348 | |
Series 2021-C, Class B, 3.72%, 01/25/61(a)(b) | | | | | | | 817 | | | | 760,731 | |
Series 2021-C, Class C, 0.00%, 01/25/61(a)(d) | | | | | | | 2,050 | | | | 2,275,617 | |
Series 2021-D, Class A, 2.00%, 03/25/60(a)(b) | | | | | | | 6,861 | | | | 6,297,476 | |
Series 2021-D, Class B, 4.00%, 03/25/60(a)(c) | | | | | | | 1,634 | | | | 1,520,198 | |
Series 2021-D, Class C, 0.00%, 03/25/60(a)(c)(d) | | | | | | | 2,391 | | | | 2,657,785 | |
Series 2021-E, Class A1, 1.74%, 12/25/60(a)(c) | | | | | | | 11,651 | | | | 9,801,658 | |
Series 2021-E, Class A2, 2.69%, 12/25/60(a)(c) | | | | | | | 1,770 | | | | 1,408,385 | |
Series 2021-E, Class B1, 3.73%, 12/25/60(a)(c) | | | | | | | 1,068 | | | | 839,705 | |
Series 2021-E, Class B3, 4.08%, 12/25/60(a)(c) | | | | | | | 636 | | | | 265,986 | |
Series 2021-E, Class M1, 2.94%, 12/25/60(a)(c) | | | | | | | 698 | | | | 541,588 | |
Series 2021-E, Class SA, 0.00%, 12/25/60(a)(c)(d) | | | | | | | 8 | | | | 3,615 | |
Series 2021-F, Class A,
1.88%, 06/25/61(a)(b) | | | | | | | 17,444 | | | | 15,612,188 | |
Series 2021-F, Class B, 3.75%, 06/25/61(a)(b) | | | | | | | 1,945 | | | | 1,807,208 | |
Series 2021-F, Class C, 0.00%, 06/25/61(a)(d) | | | | | | | 3,609 | | | | 3,277,103 | |
Series 2022-A, Class A2, 3.00%, 10/25/61(a)(c) | | | | | | | 478 | | | | 394,040 | |
Series 2022-A, Class A3, 3.00%, 10/25/61(a)(c) | | | | | | | 255 | | | | 206,129 | |
Series 2022-A, Class B, 3.00%, 10/25/61(a) | | | | | | | 1,912 | | | | 1,298,167 | |
Series 2022-A, Class C, 3.00%, 10/25/61(a) | | | | | | | 950 | | | | 1,397,233 | |
Series 2022-A, Class M1, 3.00%, 10/25/61(a) | | | | | | | 279 | | | | 219,723 | |
Series 2022-A, Class M2, 3.00%, 10/25/61(a) | | | | | | | 1,251 | | | | 947,724 | |
Series 2022-A, Class M3, 3.00%, 10/25/61(a) | | | | | | | 80 | | | | 58,221 | |
Series 2022-B, Class A2, 3.00%, 03/27/62(a)(c) | | | | | | | 376 | | | | 282,483 | |
Series 2022-B, Class A3, 3.00%, 03/27/62(a)(c) | | | | | | | 322 | | | | 237,462 | |
Series 2022-B, Class B, 3.00%, 03/27/62(a) | | | | | | | 1,789 | | | | 1,080,892 | |
Series 2022-B, Class C, 3.00%, 03/27/62(a)(f) | | | | | | | 1,212 | | | | 1,052,433 | |
Series 2022-B, Class M1, 3.00%, 03/27/62(a) | | | | | | | 242 | | | | 173,546 | |
Series 2022-B, Class M2, 3.00%, 03/27/62(a) | | | | | | | 1,199 | | | | 825,282 | |
Series 2023-A, Class A1, 3.50%, 07/25/62(a)(b) | | | | | | | 11,923 | | | | 10,893,535 | |
Series 2023-A, Class A2, 3.00%, 07/25/62(a)(c) | | | | | | | 515 | | | | 415,379 | |
Series 2023-A, Class A3, 2.50%, 07/25/62(a)(c) | | | | | | | 292 | | | | 220,159 | |
Series 2023-A, Class B, 2.50%, 07/25/62(a)(c) | | | | | | | 1,717 | | | | 1,117,079 | |
Series 2023-A, Class C, 2.50%, 07/25/62(a)(c) | | | | | | | 942 | | | | 921,510 | |
Series 2023-A, Class M1, 2.50%, 07/25/62(a)(c) | | | | | | | 884 | | | | 646,554 | |
Series 2023-C, Class A1, 3.50%, 05/25/63(a)(b) | | | | | | | 13,508 | | | | 12,388,503 | |
Series 2023-C, Class A2, 3.00%, 05/25/63(a)(c) | | | | | | | 789 | | | | 617,513 | |
Series 2023-C, Class A3, 2.50%, 05/25/63(a)(c) | | | | | | | 421 | | | | 308,623 | |
Series 2023-C, Class C, 2.50%, 05/25/63(a)(c) | | | | | | | 3,326 | | | | 2,617,029 | |
Series 2023-C, Class M1, 2.50%, 05/25/63(a)(c) | | | | | | | 368 | | | | 262,243 | |
Series 2023-C, Class M2, 2.50%, 05/25/63(a)(c) | | | | | | | 2,284 | | | | 1,488,746 | |
American Home Mortgage Assets Trust | | | | | | | | | | | | |
Series 2006-4, Class 1A12, (1-mo. CME Term SOFR + 0.32%), 5.64%, 10/25/46(c) | | | | | | | 86 | | | | 45,406 | |
Series 2006-6, Class A1A, (1-mo. CME Term SOFR + 0.30%), 5.62%, 12/25/46(c) | | | | | | | 4,734 | | | | 3,900,272 | |
Series 2007-1, Class A1, (12-mo. Federal Reserve Cumulative Average US + 0.70%), 5.33%, 02/25/47(c) | | | | | | | 31 | | | | 12,090 | |
| | |
SCHEDULES OF INVESTMENTS | | 33 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
American Home Mortgage Investment Trust, Series 2007-1, Class GA1C, (1-mo. CME Term SOFR + 0.30%), 5.62%, 05/25/47(c) | | | USD | | | | 1,312 | | | $ | 693,247 | |
Angel Oak Mortgage Trust, Series 2019-5, Class B1, 3.96%, 10/25/49(a)(c) | | | | | | | 405 | | | | 342,458 | |
APS Resecuritization Trust, Series 2016-3, Class 3A, (1-mo. CME Term SOFR + 2.96%), 8.28%, 09/27/46(a)(c) | | | | | | | 55 | | | | 54,512 | |
Banc of America Alternative Loan Trust, Series 2006-4, Class 3CB1, (1-mo. CME Term SOFR + 0.91%), 6.00%, 05/25/46(c) | | | | | | | 494 | | | | 386,519 | |
Banc of America Funding Trust | | | | | | | | | | | | |
Series 2014-R2, Class 1C, 0.00%, 11/26/36(a)(c)(d) | | | | | | | 303 | | | | 86,674 | |
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(a)(c) | | | | | | | 299 | | | | 289,384 | |
Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37 | | | | | | | 867 | | | | 674,809 | |
Barclays Mortgage Loan Trust | | | | | | | | | | | | |
Series 2021-NPL1, Class A, 2.00%, 11/25/51(a)(b) | | | | | | | 10,333 | | | | 9,275,220 | |
Series 2021-NPL1, Class B, 4.63%, 11/25/51(a)(b) | | | | | | | 1,060 | | | | 922,142 | |
Series 2021-NPL1, Class C, 0.00%, 11/25/51(a)(d)(f) | | | | | | | 2,344 | | | | 2,286,896 | |
Series 2022-NQM1, Class A1, 4.55%, 07/25/52(a)(b) | | | | | | | 3,601 | | | | 3,386,411 | |
Series 2022-RPL1, Class A, 4.25%, 02/25/28(a)(b) | | | | | | | 7,380 | | | | 7,032,327 | |
Series 2022-RPL1, Class B, 4.25%, 02/25/28(a)(b) | | | | | | | 1,242 | | | | 1,145,541 | |
Series 2022-RPL1, Class C, 0.00%, 02/25/28(a)(d) | | | | | | | 2,206 | | | | 1,217,135 | |
Series 2022-RPL1, Class SA, 0.00%, 02/25/28(a)(d) | | | | | | | 29 | | | | 15,511 | |
BCAP LLC Trust | | | | | | | | | | | | |
Series 2011-RR4, Class 3A6, 4.14%, 07/26/36(a)(c) | | | | | | | 1,189 | | | | 1,114,098 | |
Series 2011-RR5, Class 11A5, (1-mo. CME Term SOFR + 0.26%), 3.97%, 05/28/36(a)(c) | | | | | | | 271 | | | | 256,378 | |
Bear Stearns Asset Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 02/25/36(b) | | | | | | | 126 | | | | 87,344 | |
Bear Stearns Mortgage Funding Trust | | | | | | | | | | | | |
Series 2006-SL1, Class A1, (1-mo. CME Term SOFR + 0.39%), 5.71%, 08/25/36(c) | | | | | | | 332 | | | | 319,743 | |
Series 2007-AR2, Class A1, (1-mo. CME Term SOFR + 0.45%), 5.77%, 03/25/37(c) | | | | | | | 181 | | | | 165,016 | |
Series 2007-AR4, Class 2A1, (1-mo. CME Term SOFR + 0.32%), 5.64%, 06/25/37(c) | | | | | | | 16 | | | | 15,008 | |
Chase Mortgage Finance Corp., Series 2016-SH1, Class M4, 3.75%, 04/25/45(a)(c) | | | | | | | 542 | | | | 450,791 | |
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | | | | | | | 9,043 | | | | 3,844,679 | |
CHNGE Mortgage Trust | | | | | | | | | | | | |
Series 2022-1, Class A1, 3.01%, 01/25/67(a)(c) | | | | | | | 2,452 | | | | 2,160,281 | |
Series 2022-2, Class A1, 3.76%, 03/25/67(a)(c) | | | | | | | 8,172 | | | | 7,503,053 | |
Series 2022-4, Class A1, 6.00%, 10/25/57(a)(b) | | | | | | | 593 | | | | 577,218 | |
CIM Trust | | | | | | | | | | | | |
Series 2019-J2, Class B4, 3.77%, 10/25/49(a)(c) | | | | | | | 881 | | | | 607,074 | |
Series 2023-I2, Class A2, 6.85%, 12/25/67(a)(b) | | | | | | | 962 | | | | 957,232 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Citicorp Mortgage Securities Trust | | | | | | | | | | | | |
Series 2007-9, Class 1A1, 6.25%, 12/25/37 | | | USD | | | | 1,858 | | | $ | 1,506,541 | |
Series 2008-2, Class 1A1, 6.50%, 06/25/38 | | | | | | | 282 | | | | 214,207 | |
Citigroup Mortgage Loan Trust | | | | | | | | | | | | |
Series 2014-C, Class B2, 4.25%, 02/25/54(a) | | | | | | | 317 | | | | 269,155 | |
Series 2019-RP1, Class A1, 3.50%, 01/25/66(a)(c) | | | | | | | 1,431 | | | | 1,340,246 | |
Series 2022-A, Class A1, 6.17%, 09/25/62(a)(b) | | | | | | | 6,789 | | | | 6,728,923 | |
CitiMortgage Alternative Loan Trust, Series 2007- A3, Class 1A5, 6.00%, 03/25/37 | | | | | | | 1,634 | | | | 1,461,795 | |
COLT Mortgage Loan Trust, Series 2020-2, Class M1, 5.25%, 03/25/65(a)(c) | | | | | | | 761 | | | | 717,998 | |
Countrywide Alternative Loan Trust | | | | | | | | | | | | |
Series 2005-22T1, Class A1, (1-mo. CME Term SOFR + 0.46%), 5.42%, 06/25/35(c) | | | | | | | 1,000 | | | | 811,647 | |
Series 2005-51, Class 3A3A, (1-mo. CME Term SOFR + 0.75%), 6.08%, 11/20/35(c) | | | | | | | 403 | | | | 338,619 | |
Series 2005-76, Class 2A1, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 5.63%, 02/25/36(c) | | | | | | | 378 | | | | 337,176 | |
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | | | | | | | 1,000 | | | | 493,944 | |
Series 2006-J7, Class 1A2, 6.25%, 11/25/36 | | | | | | | 2,795 | | | | 1,290,717 | |
Series 2006-OC10, Class 2A3, (1-mo. CME Term SOFR + 0.57%), 5.89%, 11/25/36(c) | | | | | | | 468 | | | | 397,803 | |
Series 2006-OC7, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 5.93%, 07/25/46(c) | | | | | | | 3,032 | | | | 2,684,697 | |
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 | | | | | | | 1,124 | | | | 518,867 | |
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 | | | | | | | 166 | | | | 82,462 | |
Series 2007-OA2, Class 1A1, (12-mo. Federal Reserve Cumulative Average US + 0.84%), 5.47%, 03/25/47(c) | | | | | | | 161 | | | | 133,356 | |
Countrywide Home Loan Mortgage Pass-Through Trust | | | | | | | | | | | | |
Series 2005-J2, Class 3A9, (1-mo. CME Term SOFR + 1.51%), 6.00%, 08/25/35(c) | | | | | | | 2,465 | | | | 1,629,352 | |
Series 2007-15, Class 2A2, 6.50%, 09/25/37 | | | | | | | 629 | | | | 228,767 | |
Series 2007-HYB1, Class 3A1, 4.22%, 03/25/37(c) | | | | | | | 1,337 | | | | 1,169,590 | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | | | | | |
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(a) | | | | | | | 39 | | | | 14,999 | |
Series 2020-SPT1, Class B2, 3.39%, 04/25/65(a)(c) | | | | | | | 8,400 | | | | 6,242,318 | |
Series 2021-RPL9, Class A1, 2.44%, 02/25/61(a)(c) | | | | | | | 4,129 | | | | 3,760,183 | |
Credit Suisse Mortgage Trust | | | | | | | | | | | | |
Series 2006-4, Class 1A3, 6.00%, 05/25/36 | | | | | | | 378 | | | | 209,028 | |
Series 2007-5, Class 1A11, 7.00%, 08/25/37(c) | | | | | | | 1,872 | | | | 1,109,624 | |
Series 2014-9R, Class 9A1, (1-mo. CME Term SOFR + 0.23%), 5.67%, 08/27/36(a)(c) | | | | | | | 85 | | | | 62,864 | |
Series 2014-SAF1, Class B5, 3.85%, 03/25/44(a)(c) | | | | | | | 1,578 | | | | 1,088,205 | |
Series 2020-RPL2, Class A12, 3.51%, 02/25/60(a)(c) | | | | | | | 2,693 | | | | 2,679,232 | |
Series 2021-NQM1, Class M1, 2.13%, 05/25/65(a)(c) | | | | | | | 3,299 | | | | 2,037,089 | |
Series 2022-NQM1, Class A1, 2.27%, 11/25/66(a)(c) | | | | | | | 5,016 | | | | 4,114,755 | |
Deephaven Residential Mortgage Trust | | | | | | | | | | | | |
Series 2021-1, Class B2, 3.96%, 05/25/65(a)(c) | | | | | | | 150 | | | | 116,253 | |
Series 2021-1, Class M1, 2.09%, 05/25/65(a)(c) | | | | | | | 1,620 | | | | 1,332,024 | |
Series 2021-3, Class B1, 3.27%, 08/25/66(a)(c) | | | | | | | 3,671 | | | | 2,163,155 | |
| | |
| 34 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36(c) | | | USD | | | | 16 | | | $ | 12,669 | |
FWD Securitization Trust | | | | | | | | | | | | |
Series 2020-INV1, Class A2, 2.34%, 01/25/50(a)(c) | | | | | | | 1,293 | | | | 1,163,145 | |
Series 2020-INV1, Class A3, 2.44%, 01/25/50(a)(c) | | | | | | | 27 | | | | 24,170 | |
GCAT Trust | | | | | | | | | | | | |
Series 2020-NQM2, Class B1, 4.85%, 04/25/65(a)(c) | | | | | | | 2,533 | | | | 2,071,561 | |
Series 2022-NQM4, Class A1, 5.27%, 08/25/67(a)(b) | | | | | | | 3,624 | | | | 3,534,249 | |
GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12-mo. Federal Reserve Cumulative Average US + 2.00%), 6.63%, 03/25/36(c) | | | | | | | 15 | | | | 12,756 | |
GS Mortgage-Backed Securities Corp. Trust | | | | | | | | | | | | |
Series 2019-PJ2, Class A4, 4.00%, 11/25/49(a)(c) | | | | | | | 250 | | | | 226,786 | |
Series 2020-PJ2, Class B4, 3.53%, 07/25/50(a)(c) | | | | | | | 1,065 | | | | 803,884 | |
GSMPS Mortgage Loan Trust | | | | | | | | | | | | |
Series 2004-4, Class 1AF, (1-mo. LIBOR US + 0.40%), 5.83%, 06/25/34(a)(c) | | | | | | | 3,053 | | | | 2,662,853 | |
Series 2005-RP2, Class 1AF, (1-mo. CME Term SOFR + 0.46%), 5.78%, 03/25/35(a)(c) | | | | | | | 52 | | | | 45,136 | |
Series 2005-RP3, Class 2A1, 3.82%, 09/25/35(a)(c) | | | | | | | 2,991 | | | | 2,488,099 | |
Series 2006-RP1, Class 1AF1, (1-mo. CME Term SOFR + 0.46%), 5.78%, 01/25/36(a)(c) | | | | | | | 43 | | | | 34,826 | |
Series 2006-RP2, Class 2A1, 4.08%, 04/25/36(a)(c) | | | | | | | 2,287 | | | | 1,686,357 | |
GSMSC Resecuritization Trust, Series 2015-5R, Class 1D, (1-mo. CME Term SOFR + 0.25%), 3.60%, 04/26/37(a)(c) | | | | | | | 4,100 | | | | 2,372,055 | |
GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 4.74%, 04/25/36(c) | | | | | | | 1,715 | | | | 1,091,516 | |
Homeward Opportunities Fund I Trust | | | | | | | | | | | | |
Series 2020-2, Class B1, 5.45%, 05/25/65(a)(c) | | | | | | | 3,640 | | | | 3,171,224 | |
Series 2022-1, Class A1, 5.08%, 07/25/67(a)(b) | | | | | | | 3,592 | | | | 3,474,832 | |
Impac Secured Assets Trust, Series 2006-2, Class 1A2B, (1-mo. CME Term SOFR + 0.45%), 5.77%, 08/25/36(c) | | | | | | | 1,773 | | | | 1,721,959 | |
IndyMac Index Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-AR27, Class 2A2, (1-mo. CME Term SOFR + 0.51%), 5.83%, 10/25/36(c) | | | | | | | 195 | | | | 172,123 | |
Series 2007-AR19, Class 3A1, 3.69%, 09/25/37(c) | | | | | | | 629 | | | | 420,834 | |
Series 2007-FLX5, Class 2A2, (1-mo. CME Term SOFR + 0.35%), 5.67%, 08/25/37(c) | | | | | | | 2,594 | | | | 2,248,023 | |
JPMorgan Alternative Loan Trust, Series 2006-S2, Class A5, 6.88%, 05/25/36(b) | | | | | | | 4,187 | | | | 3,407,615 | |
JPMorgan Mortgage Trust | | | | | | | | | | | | |
Series 2005-A4, Class B1, 4.80%, 07/25/35(c) | | | | | | | 318 | | | | 288,707 | |
Series 2020-5, Class B3, 3.58%, 12/25/50(a)(c) | | | | | | | 3,718 | | | | 2,846,064 | |
Series 2021-INV7, Class A3A, 2.50%, 02/25/52(a)(c) | | | | | | | 15,381 | | | | 13,001,334 | |
Series 2021-INV7, Class A4A, 2.50%, 02/25/52(a)(c) | | | | | | | 6,218 | | | | 3,748,266 | |
Series 2021-INV7, Class B1, 3.27%, 02/25/52(a)(c) | | | | | | | 3,771 | | | | 2,860,246 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
JPMorgan Mortgage Trust | | | | | | | | | | | | |
Series 2021-INV7, Class B2, 3.27%, 02/25/52(a)(c) | | | USD | | | | 885 | | | $ | 647,236 | |
Series 2021-INV7, Class B3, 3.27%, 02/25/52(a)(c) | | | | | | | 1,231 | | | | 839,975 | |
Series 2021-INV7, Class B4, 3.27%, 02/25/52(a)(c) | | | | | | | 654 | | | | 423,409 | |
Series 2021-INV7, Class B5, 3.27%, 02/25/52(a)(c) | | | | | | | 269 | | | | 164,243 | |
Series 2021-INV7, Class B6, 3.01%, 02/25/52(a)(c) | | | | | | | 885 | | | | 330,139 | |
Legacy Mortgage Asset Trust, Series 2020-SL1, Class A, 5.73%, 01/25/60(a)(b) | | | | | | | 73 | | | | 73,028 | |
Lehman XS Trust, Series 2007-20N, Class A1, (1-mo. CME Term SOFR + 2.41%), 7.73%, 12/25/37(c) | | | | | | | 24 | | | | 24,374 | |
MASTR Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37(a)(c) | | | | | | | 890 | | | | 764,979 | |
MCM Trust | | | | | | | | | | | | |
Series 2021-VFN1, Class Cert, 3.00%, 08/25/28(f) | | | | | | | 1,424 | | | | 939,201 | |
Series 2021-VFN1, Class Note, 2.50%, 09/25/31(f) | | | | | | | 2,253 | | | | 2,165,662 | |
MFA Trust, Series 2021-INV1, Class M1, 2.29%, 01/25/56(a)(c) | | | | | | | 700 | | | | 510,801 | |
MFRA Trust, Series 2022-CHM1, Class A1, 3.88%, 09/25/56(a)(b) | | | | | | | 6,326 | | | | 5,828,721 | |
Mill City Mortgage Loan Trust, Series 2023-NQM1, Class A1, 6.05%, 10/25/67(a)(b) | | | | | | | 4,751 | | | | 4,671,941 | |
Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3, 6.82%, 06/25/44(a)(c) | | | | | | | 198 | | | | 192,625 | |
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1-mo. LIBOR US + 0.34%), 5.78%, 04/16/36(a)(c) | | | | | | | 185 | | | | 176,696 | |
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1, 4.25%, 12/25/57(a)(c) | | | | | | | 1,240 | | | | 1,160,313 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust | | | | | | | | | | | | |
Series 2005-AP1, Class 2A4, 6.05%, 02/25/35(b) | | | | | | | 326 | | | | 304,726 | |
Series 2007-2, Class A4, (1-mo. CME Term SOFR + 0.53%), 5.85%, 06/25/37(c) | | | | | | | 593 | | | | 512,575 | |
NYMT Loan Trust, Series 2020-SP2, Class A1, 2.94%, 10/25/60(a)(c) | | | | | | | 5,649 | | | | 5,622,611 | |
OBX Trust, Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59(a)(c) | | | | | | | 156 | | | | 148,089 | |
Preston Ridge Partners Mortgage LLC | | | | | | | | | | | | |
Series 2021-4, Class A1, 1.87%, 04/25/26(a)(b) | | | | | | | 3,256 | | | | 2,992,255 | |
Series 2022-1, Class A1, 3.72%, 02/25/27(a)(b) | | | | | | | 4,423 | | | | 4,233,630 | |
Series 2023-1, Class A1, 6.88%, 02/25/28(a)(c) | | | | | | | 4,870 | | | | 4,855,959 | |
PRKCM Trust | | | | | | | | | | | | |
Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(c) | | | | | | | 1,172 | | | | 952,436 | |
Series 2022-AFC1, Class A1A, 4.10%, 04/25/57(a)(c) | | | | | | | 499 | | | | 459,078 | |
Series 2022-AFC2, Class A1, 5.34%, 08/25/57(a)(c) | | | | | | | 7,392 | | | | 7,188,353 | |
RALI Trust | | | | | | | | | | | | |
Series 2005-QA10, Class A21, 4.51%, 09/25/35(c) | | | | | | | 5,225 | | | | 2,253,359 | |
Series 2006-QO1, Class 3A1, (1-mo. CME Term SOFR + 0.65%), 5.97%, 02/25/46(c) | | | | | | | 1,849 | | | | 827,216 | |
| | |
SCHEDULES OF INVESTMENTS | | 35 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
RALI Trust | | | | | | | | | | | | |
Series 2006-QO10, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.75%, 01/25/37(c) | | | USD | | | | 1,762 | | | $ | 1,490,471 | |
Series 2007-QH3, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.75%, 04/25/37(c) | | | | | | | 4,929 | | | | 4,294,576 | |
RCKT Mortgage Trust, Series 2020-1, Class B4, 3.47%, 02/25/50(a)(c) | | | | | | | 929 | | | | 714,904 | |
RCO VI Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/27(a)(b) | | | | | | | 10,773 | | | | 10,221,807 | |
Reperforming Loan REMIC Trust | | | | | | | | | | | | |
Series 2005-R1, Class 1AF1, (1-mo. CME Term SOFR + 0.47%), 5.79%, 03/25/35(a)(c) | | | | | | | 1,478 | | | | 1,314,026 | |
Series 2005-R2, Class 1AF1, (1-mo. CME Term SOFR + 0.45%), 5.77%, 06/25/35(a)(c) | | | | | | | 283 | | | | 258,948 | |
Series 2005-R3, Class AF, (1-mo. CME Term SOFR + 0.51%), 5.83%, 09/25/35(a)(c) | | | | | | | 442 | | | | 376,626 | |
Residential Mortgage Loan Trust, Series 2019-3, Class B2, 5.66%, 09/25/59(a)(c) | | | | | | | 2,900 | | | | 2,341,260 | |
RFMSI Series Trust | | | | | | | | | | | | |
Series 2005-SA4, Class 2A1, 5.13%, 09/25/35(c) | | | | | | | 1,942 | | | | 1,234,592 | |
Series 2006-SA2, Class 2A1, 5.34%, 08/25/36(c) | | | | | | | 440 | | | | 306,353 | |
RMF Buyout Issuance Trust | | | | | | | | | | | | |
Series 2021-HB1, Class M3, 3.69%, 11/25/31(a)(c) | | | | | | | 3,379 | | | | 2,895,621 | |
Series 2021-HB1, Class M6, 6.00%, 11/25/31(a)(c)(f) | | | | | | | 1,150 | | | | 692,774 | |
Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1, 4.75%, 04/26/60(a)(c) | | | | | | | 1,016 | | | | 984,048 | |
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62(a)(b) | | | | | | | 751 | | | | 725,295 | |
Starwood Mortgage Residential Trust | | | | | | | | | | | | |
Series 2020-3, Class B1, 4.75%, 04/25/65(a)(c) | | | | | | | 2,820 | | | | 2,277,433 | |
Series 2020-INV1, Class B1, 3.26%, 11/25/55(a) . | | | | | | | 260 | | | | 195,179 | |
Series 2020-INV1, Class M1, 2.50%, 11/25/55(a) | | | | | | | 2,688 | | | | 2,147,196 | |
Series 2021-1, Class B1, 3.52%, 05/25/65(a)(c) | | | | | | | 648 | | | | 455,460 | |
Structured Asset Mortgage Investments II Trust, | | | | | | | | | | | | |
Series 2006-AR5, Class 2A1, (1-mo. CME Term SOFR + 0.53%), 5.85%, 05/25/46(c) | | | | | | | 29 | | | | 19,037 | |
Structured Asset Securities Corp. | | | | | | | | | | | | |
Series 2005-RF3, Class 1A, (1-mo. CME Term SOFR + 0.46%), 5.78%, 06/25/35(a)(c) | | | | | | | 729 | | | | 661,967 | |
Series 2005-RF5, Class 2A, 3.91%, 07/25/35(a)(c) | | | | | | | 1,843 | | | | 1,687,803 | |
Structured Asset Securities Corp. Mortgage Loan Trust | | | | | | | | | | | | |
Series 2006-RF3, Class 1A2, 6.00%, 10/25/36(a) | | | | | | | 4,313 | | | | 2,393,968 | |
Series 2006-RF4, Class 2A1, 6.00%, 10/25/36(a) | | | | | | | 1,269 | | | | 677,257 | |
Thornburg Mortgage Securities Trust, | | | | | | | | | | | | |
Series 2006-3, Class A1, 3.68%, 06/25/46(c) | | | | | | | 1,034 | | | | 680,586 | |
Toorak Mortgage Corp., Series 2021-INV2, Class B1, 4.10%, 11/25/56(a)(c) | | | | | | | 3,755 | | | | 2,485,688 | |
TVC Mortgage Trust, Series 2023-RTL1, Class A1, 8.25%, 11/25/27(a) | | | | | | | 4,107 | | | | 4,093,206 | |
Verus Securitization Trust | | | | | | | | | | | | |
Series 2019-4, Class B1, 3.86%, 11/25/59(a)(c) | | | | | | | 800 | | | | 650,158 | |
Series 2020-4, Class B1, 5.05%, 05/25/65(a)(c) | | | | | | | 2,600 | | | | 2,295,266 | |
Series 2021-1, Class M1, 1.97%, 01/25/66(a)(c) | | | | | | | 3,000 | | | | 1,904,614 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Verus Securitization Trust | | | | | | | | | | | | |
Series 2021-R1, Class M1, 2.34%, 10/25/63(a) | | | USD | | | | 3,250 | | | $ | 2,567,905 | |
Series 2021-R2, Class B1, 3.25%, 02/25/64(a)(c) | | | | | | | 265 | | | | 174,760 | |
Series 2022-1, Class B1,
4.01%, 01/25/67(a)(c) | | | | | | | 1,507 | | | | 927,933 | |
Visio Trust, Series 2019-2, Class B1, 3.91%, 11/25/54(a)(c) | | | | | | | 100 | | | | 67,685 | |
Vista Point Securitization Trust | | | | | | | | | | | | |
Series 2020-2, Class A3,
2.50%, 04/25/65(a)(c) | | | | | | | 133 | | | | 118,994 | |
Series 2020-2, Class M1,
3.40%, 04/25/65(a)(c) | | | | | | | 176 | | | | 144,974 | |
Washington Mutual Mortgage Pass-Through Certificates Trust | | | | | | | | | | | | |
Series 2005-11, Class A1, 5.75%, 01/25/36 | | | | | | | 1,182 | | | | 965,895 | |
Series 2005-11, Class A7, 5.75%, 01/25/36 | | | | | | | 2,402 | | | | 1,961,913 | |
Series 2005-9, Class 5A6, (1-mo. CME Term SOFR + 0.66%), 5.50%, 11/25/35(c) | | | | | | | 381 | | | | 258,902 | |
Series 2005-9, Class 5A9, 5.50%, 11/25/35 | | | | | | | 157 | | | | 115,547 | |
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | | | | | | | 145 | | | | 126,053 | |
Series 2006-4, Class 3A1, 6.50%, 05/25/36(b) | | | | | | | 94 | | | | 76,453 | |
Series 2006-6, Class 3CB1, 7.00%, 08/25/36 | | | | | | | 4,248 | | | | 1,719,242 | |
Series 2006-AR1, Class A1A, (1-mo. CME Term SOFR + 0.61%), 5.93%, 02/25/36(c) | | | | | | | 1,188 | | | | 964,639 | |
Series 2006-AR5, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.99%), 5.62%, 06/25/46(c) | | | | | | | 151 | | | | 128,691 | |
Series 2007-HY1, Class A2A, (1-mo. CME Term SOFR + 0.43%), 5.59%, 02/25/37(c) | | | | | | | 519 | | | | 388,084 | |
Series 2007-OA1, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.71%), 5.34%, 12/25/46(c) | | | | | | | 2,410 | | | | 1,958,947 | |
Series 2007-OA3, Class 5A, (12-mo. Federal Reserve Cumulative Average US + 1.25%), 5.88%, 04/25/47(c) | | | | | | | 613 | | | | 508,827 | |
Series 2007-OA4, Class 2A, (Cost of Funds for the 11th District of San Francisco + 0.80%), 5.42%, 05/25/47(c) | | | | | | | 2,040 | | | | 1,717,088 | |
Series 2007-OA5, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.75%), 5.38%, 06/25/47(c) | | | | | | | 482 | | | | 381,941 | |
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR15, Class A1, 6.41%, 10/25/36(c) | | | | | | | 903 | | | | 830,605 | |
Western Mortgage Reference Notes | | | | | | | | | | | | |
Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 8.47%, 07/25/59(a)(c) | | | | | | | 4,103 | | | | 4,105,362 | |
Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 9.02%, 07/25/59(a)(c) | | | | | | | 5,867 | | | | 5,885,256 | |
WinWater Mortgage Loan Trust, Series 2014-3, Class B5, 3.98%, 11/20/44(a)(c) | | | | | | | 923 | | | | 656,129 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 375,911,162 | |
|
Commercial Mortgage-Backed Securities — 25.8% | |
245 Park Avenue Trust | | | | | | | | | | | | |
Series 2017-245P, Class A, 3.51%, 06/05/37(a) | | | | | | | 5,000 | | | | 4,412,645 | |
Series 2017-245P, Class C, 3.78%, 06/05/37(a)(c) | | | | | | | 3,000 | | | | 2,476,934 | |
Series 2017-245P, Class E, 3.78%, 06/05/37(a)(c) | | | | | | | 1,151 | | | | 912,176 | |
280 Park Avenue Mortgage Trust | | | | | | | | | | | | |
Series 2017-280P, Class A, (1-mo. CME Term SOFR + 0.93%),
6.51%, 09/15/34(a)(c) | | | | | | | 5,000 | | | | 4,862,501 | |
Series 2017-280P, Class E, (1-mo. CME Term SOFR + 2.17%),
7.75%, 09/15/34(a)(c) | | | | | | | 1,432 | | | | 1,235,100 | |
| | |
| 36 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
ACREC LLC, Series 2023-FL2, Class A, (1-mo. CME Term SOFR + 2.23%), 7.56%, 02/19/38(a)(c) | | | USD | | | | 3,250 | | | $ | 3,243,071 | |
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 6.60%, 04/15/34(a)(c) | | | | | | | 644 | | | | 583,747 | |
Angel Oak SB Commercial Mortgage Trust, Series 2020-SBC1, Class A1, 2.07%, 05/25/50(a)(c) | | | | | | | 6,407 | | | | 5,853,050 | |
Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5, 2.58%, 10/15/54(a) | | | | | | | 3,394 | | | | 2,669,475 | |
AREIT LLC | | | | | | | | | | | | |
Series 2022-CRE7, Class A, (1-mo. CME Term SOFR + 2.24%), 7.57%, 06/17/39(a)(c) | | | | | | | 3,080 | | | | 3,056,903 | |
Series 2023-CRE8, Class A, (1-mo. CME Term SOFR + 2.11%), 7.44%, 02/17/28(a)(c) | | | | | | | 1,703 | | | | 1,693,529 | |
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1-mo. CME Term SOFR + 2.27%), 7.61%, 04/15/35(a)(c) | | | | | | | 1,128 | | | | 1,084,418 | |
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, (1-mo. CME Term SOFR + 1.10%), 6.43%, 09/15/32(a)(c) | | | | | | | 2,000 | | | | 1,990,127 | |
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class B, 4.49%, 09/15/48(c) . | | | | | | | 314 | | | | 273,875 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-200P, Class F, 3.72%, 04/14/33(a)(c) | | | | | | | 1,114 | | | | 935,662 | |
Series 2017-SCH, Class AL, (1-mo. CME Term SOFR + 0.95%), 6.28%, 11/15/32(a)(c) | | | | | | | 2,470 | | | | 2,146,943 | |
Series 2017-SCH, Class DL, (1-mo. CME Term SOFR + 2.05%), 7.38%, 11/15/32(a)(c) | | | | | | | 1,090 | | | | 984,279 | |
Series 2018-DSNY, Class B, (1-mo. CME Term SOFR + 1.20%), 6.78%, 09/15/34(a)(c) | | | | | | | 162 | | | | 161,232 | |
Series 2018-DSNY, Class D, (1-mo. CME Term SOFR + 1.75%), 7.33%, 09/15/34(a)(c) | | | | | | | 227 | | | | 225,015 | |
BANK | | | | | | | | | | | | |
Series 2019-BN22, Class A4, 2.98%, 11/15/62 | | | | | | | 3,000 | | | | 2,531,526 | |
Series 2020-BN28, Class A4, 1.84%, 03/15/63 | | | | | | | 4,200 | | | | 3,222,619 | |
Series 2021-BN35, Class A5, 2.29%, 06/15/64 | | | | | | | 744 | | | | 574,398 | |
Bayview Commercial Asset Trust | | | | | | | | | | | | |
Series 2006-1A, Class A1, (1-mo. CME Term SOFR + 0.52%), 5.84%, 04/25/36(a)(c) | | | | | | | 6,134 | | | | 5,498,925 | |
Series 2006-1A, Class A2, (1-mo. CME Term SOFR + 0.65%), 5.97%, 04/25/36(a)(c) | | | | | | | 14 | | | | 12,338 | |
Series 2006-4A, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.84%, 12/25/36(a)(c) | | | | | | | 1,296 | | | | 1,185,343 | |
Series 2006-SP2, Class A, (1-mo. CME Term SOFR + 0.53%), 5.85%, 01/25/37(a)(c) | | | | | | | 1,321 | | | | 1,207,277 | |
Series 2007-1, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.84%, 03/25/37(a)(c) | | | | | | | 6,053 | | | | 5,430,205 | |
Series 2007-2A, Class A1, (1-mo. CME Term SOFR + 0.38%), 5.70%, 07/25/37(a)(c) | | | | | | | 30 | | | | 26,396 | |
Series 2007-4A, Class A1, (1-mo. CME Term SOFR + 0.79%), 6.11%, 09/25/37(a)(c) | | | | | | | 5,300 | | | | 4,775,605 | |
Series 2007-6A, Class A4A, (1-mo. CME Term SOFR + 1.61%), 6.93%, 12/25/37(a)(c) | | | | | | | 3,539 | | | | 2,993,905 | |
BBCMS Mortgage Trust | | | | | | | | | | | | |
Series 2015-SRCH, Class A1, 3.31%, 08/10/35(a) | | | | | | | 299 | | | | 271,077 | |
Series 2018-CHRS, Class E, 4.41%, 08/05/38(a)(c) | | | | | | | 1,000 | | | | 645,999 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
BBCMS Mortgage Trust | | | | | | | | | | | | |
Series 2018-TALL, Class A, (1-mo. CME Term SOFR + 0.92%), 6.25%, 03/15/37(a)(c) | | | USD | | | | 5,127 | | | $ | 4,742,924 | |
Series 2018-TALL, Class B, (1-mo. CME Term SOFR + 1.17%), 6.50%, 03/15/37(a)(c) | | | | | | | 466 | | | | 398,430 | |
BDS LLC, Series 2022-FL12, Class A, (1-mo. CME Term SOFR + 2.14%), 7.46%, 08/19/38(a)(c) | | | | | | | 1,870 | | | | 1,860,650 | |
Beast Mortgage Trust | | | | | | | | | | | | |
Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 6.20%, 04/15/36(a)(c) | | | | | | | 1,815 | | | | 1,771,682 | |
Series 2021-SSCP, Class B, (1-mo. CME Term SOFR + 1.21%), 6.55%, 04/15/36(a)(c) | | | | | | | 278 | | | | 266,277 | |
Series 2021-SSCP, Class C, (1-mo. CME Term SOFR + 1.46%), 6.80%, 04/15/36(a)(c) | | | | | | | 337 | | | | 322,462 | |
Series 2021-SSCP, Class D, (1-mo. CME Term SOFR + 1.71%), 7.05%, 04/15/36(a)(c) | | | | | | | 324 | | | | 307,194 | |
Series 2021-SSCP, Class E, (1-mo. CME Term SOFR + 2.21%), 7.55%, 04/15/36(a)(c) | | | | | | | 278 | | | | 259,653 | |
Series 2021-SSCP, Class F, (1-mo. CME Term SOFR + 3.01%), 8.35%, 04/15/36(a)(c) | | | | | | | 262 | | | | 245,338 | |
Series 2021-SSCP, Class G, (1-mo. CME Term SOFR + 3.91%), 9.25%, 04/15/36(a)(c) | | | | | | | 293 | | | | 273,015 | |
Series 2021-SSCP, Class H, (1-mo. CME Term SOFR + 5.02%), 10.35%, 04/15/36(a)(c) | | | | | | | 216 | | | | 201,252 | |
Benchmark Mortgage Trust, Series 2021-B29, Class A5, 2.39%, 09/15/54 | | | | | | | 652 | | | | 506,224 | |
BFLD Trust, Series 2020-EYP, Class E, (1-mo. CME Term SOFR + 3.81%), 9.15%, 10/15/35(a)(c) | | | | | | | 1,353 | | | | 460,396 | |
BHMS | | | | | | | | | | | | |
Series 2018-ATLS, Class A, (1-mo. CME Term SOFR + 1.55%), 6.88%, 07/15/35(a)(c) | | | | | | | 2,850 | | | | 2,813,526 | |
Series 2018-ATLS, Class C, (1-mo. CME Term SOFR + 2.20%), 7.53%, 07/15/35(a)(c) | | | | | | | 2,600 | | | | 2,491,780 | |
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%),
7.02%, 03/15/40(a)(c) | | | | | | | 2,114 | | | | 2,103,414 | |
BOCA Commercial Mortgage Trust, Series 2022- BOCA, Class A, (1-mo. CME Term SOFR + 1.77%),
7.10%, 05/15/39(a)(c) | | | | | | | 1,540 | | | | 1,533,247 | |
BPR Trust | | | | | | | | | | | | |
Series 2021-TY, Class E, (1-mo. CME Term SOFR + 3.71%), 9.05%, 09/15/38(a)(c) | | | | | | | 3,138 | | | | 2,918,117 | |
Series 2022-SSP, Class A, (1-mo. CME Term SOFR + 3.00%), 8.33%, 05/15/39(a)(c) | | | | | | | 770 | | | | 768,076 | |
BWAY Mortgage Trust | | | | | | | | | | | | |
Series 2013-1515, Class A2, 3.45%, 03/10/33(a) . | | | | | | | 1,108 | | | | 1,040,539 | |
Series 2013-1515, Class C, 3.45%, 03/10/33(a) | | | | | | | 250 | | | | 227,592 | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-XL, Class A, (1-mo. CME Term SOFR + 1.03%), 6.37%, 10/15/36(a)(c) | | | | | | | 3,037 | | | | 3,028,127 | |
Series 2019-XL, Class D, (1-mo. CME Term SOFR + 1.56%), 6.90%, 10/15/36(a)(c) | | | | | | | 2,550 | | | | 2,527,402 | |
Series 2019-XL, Class G, (1-mo. CME Term SOFR + 2.41%), 7.75%, 10/15/36(a)(c) | | | | | | | 4,250 | | | | 4,180,063 | |
Series 2019-XL, Class J, (1-mo. CME Term SOFR + 2.76%), 8.10%, 10/15/36(a)(c) | | | | | | | 4,978 | | | | 4,876,122 | |
Series 2020-VIV2, Class C, 3.66%, 03/09/44(a)(c) | | | | | | | 2,204 | | | | 1,797,430 | |
Series 2020-VIV3, Class B, 3.66%, 03/09/44(a)(c) | | | | | | | 3,576 | | | | 2,973,129 | |
Series 2020-VIV4, Class A, 2.84%, 03/09/44(a) | | | | | | | 1,051 | | | | 854,244 | |
| | |
SCHEDULES OF INVESTMENTS | | 37 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2020-VIVA, Class D, 3.67%, 03/11/44(a)(c) | | | USD | | | | 3,000 | | | $ | 2,368,744 | |
Series 2020-VKNG, Class F, (1-mo. CME Term SOFR + 2.86%), 8.20%, 10/15/37(a)(c) | | | | | | | 1,400 | | | | 1,350,703 | |
Series 2021-CIP, Class A, (1-mo. CME Term SOFR + 1.04%), 6.37%, 12/15/38(a)(c) | | | | | | | 326 | | | | 319,046 | |
Series 2021-NWM, Class A, (1-mo. CME Term SOFR + 1.02%), 6.36%, 02/15/33(a)(c) | | | | | | | 1,061 | | | | 1,033,464 | |
Series 2021-NWM, Class B, (1-mo. CME Term SOFR + 2.26%), 7.60%, 02/15/33(a)(c) | | | | | | | 622 | | | | 610,418 | |
Series 2021-NWM, Class C, (1-mo. CME Term SOFR + 4.36%), 9.70%, 02/15/33(a)(c) | | | | | | | 411 | | | | 401,910 | |
Series 2021-SOAR, Class A, (1-mo. CME Term SOFR + 0.78%), 6.12%, 06/15/38(a)(c) | | | | | | | 3,249 | | | | 3,190,724 | |
Series 2021-SOAR, Class G, (1-mo. CME Term SOFR + 2.91%), 8.25%, 06/15/38(a)(c) | | | | | | | 2,694 | | | | 2,566,823 | |
Series 2021-VINO, Class A, (1-mo. CME Term SOFR + 0.77%), 6.10%, 05/15/38(a)(c) | | | | | | | 3,916 | | | | 3,842,172 | |
Series 2021-VINO, Class F, (1-mo. CME Term SOFR + 2.92%), 8.25%, 05/15/38(a)(c) | | | | | | | 905 | | | | 850,198 | |
Series 2021-VIV5, Class A, 2.84%, 03/09/44(a)(c) | | | | | | | 1,522 | | | | 1,233,586 | |
Series 2021-XL2, Class F, (1-mo. CME Term SOFR + 2.36%), 7.69%, 10/15/38(a)(c) | | | | | | | 3,959 | | | | 3,767,596 | |
Series 2022-CSMO, Class C, (1-mo. CME Term SOFR + 3.89%), 9.22%, 06/15/27(a)(c) | | | | | | | 1,080 | | | | 1,079,322 | |
BX Trust | | | | | | | | | | | | |
Series 2019-CALM, Class E, (1-mo. CME Term SOFR + 2.11%), 7.45%, 11/15/32(a)(c) | | | | | | | 2,100 | | | | 2,064,149 | |
Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | | | | | | | 4,757 | | | | 4,009,579 | |
Series 2021-ARIA, Class A, (1-mo. CME Term SOFR + 1.01%), 6.35%, 10/15/36(a)(c) | | | | | | | 3,062 | | | | 2,986,082 | |
Series 2021-ARIA, Class C, (1-mo. CME Term SOFR + 1.76%), 7.09%, 10/15/36(a)(c) | | | | | | | 150 | | | | 144,492 | |
Series 2021-ARIA, Class D, (1-mo. CME Term SOFR + 2.01%), 7.34%, 10/15/36(a)(c) | | | | | | | 1,249 | | | | 1,191,775 | |
Series 2021-ARIA, Class G, (1-mo. CME Term SOFR + 3.26%), 8.59%, 10/15/36(a)(c) | | | | | | | 829 | | | | 774,977 | |
Series 2021-LBA, Class AJV, (1-mo. CME Term SOFR + 0.91%), 6.25%, 02/15/36(a)(c) | | | | | | | 3,536 | | | | 3,471,662 | |
Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 6.25%, 02/15/36(a)(c) | | | | | | | 594 | | | | 583,092 | |
Series 2021-MFM1, Class A, (1-mo. CME Term SOFR + 0.81%), 6.15%, 01/15/34(a)(c) | | | | | | | 669 | | | | 659,049 | |
Series 2021-MFM1, Class G, (1-mo. CME Term SOFR + 4.01%), 9.35%, 01/15/34(a)(c) | | | | | | | 678 | | | | 641,200 | |
Series 2021-SDMF, Class A, (1-mo. CME Term SOFR + 0.70%), 6.04%, 09/15/34(a)(c) | | | | | | | 547 | | | | 533,785 | |
Series 2021-VIEW, Class E, (1-mo. CME Term SOFR + 3.71%), 9.05%, 06/15/36(a)(c) | | | | | | | 3,716 | | | | 3,335,682 | |
Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%), 7.50%, 08/15/39(a)(c) | | | | | | | 12,240 | | | | 12,263,011 | |
Series 2022-GPA, Class B, (1-mo. CME Term SOFR + 2.66%), 8.00%, 08/15/41(a)(c) | | | | | | | 358 | | | | 358,000 | |
Series 2022-GPA, Class D, (1-mo. CME Term SOFR + 4.06%), 9.39%, 08/15/43(a)(c) | | | | | | | 1,200 | | | | 1,200,000 | |
Series 2022-LBA6, Class A, (1-mo. CME Term SOFR + 1.00%), 6.33%, 01/15/39(a)(c) | | | | | | | 1,862 | | | | 1,819,951 | |
Series 2022-VAMF, Class A, (1-mo. CME Term SOFR + 0.85%), 6.18%, 01/15/39(a)(c) | | | | | | | 961 | | | | 940,503 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
BX Trust | | | | | | | | | | | | |
Series 2022-VAMF, Class B, (1-mo. CME Term SOFR + 1.28%), 6.61%, 01/15/39(a)(c) | | | USD | | | | 397 | | | $ | 387,537 | |
Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 05/15/38(a)(c) | | | | | | | 4,700 | | | | 4,705,885 | |
BXP Trust | | | | | | | | | | | | |
Series 2017-GM, Class B, 3.54%, 06/13/39(a)(c) | | | | | | | 265 | | | | 233,229 | |
Series 2021-601L, Class D, 2.87%, 01/15/44(a)(c) | | | | | | | 1,120 | | | | 649,243 | |
CAMB Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-LIFE, Class D, (1-mo. CME Term SOFR + 1.80%), 7.13%, 12/15/37(a)(c) | | | | | | | 1,000 | | | | 988,026 | |
Series 2019-LIFE, Class E, (1-mo. CME Term SOFR + 2.20%), 7.53%, 12/15/37(a)(c) | | | | | | | 1,437 | | | | 1,419,085 | |
CD Mortgage Trust | | | | | | | | | | | | |
Series 2016-CD1, Class A3, 2.46%, 08/10/49 | | | | | | | 4,339 | | | | 3,972,905 | |
Series 2017-CD6, Class B, 3.91%, 11/13/50(c) | | | | | | | 336 | | | | 268,797 | |
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.95%, 09/15/28(a)(c) | | | | | | | 5,474 | | | | 5,471,700 | |
CFCRE Commercial Mortgage Trust, Series 2016- C4, Class C, 5.00%, 05/10/58(c) | | | | | | | 130 | | | | 115,026 | |
CFK Trust | | | | | | | | | | | | |
Series 2019-FAX, Class D, 4.79%, 01/15/39(a)(c) | | | | | | | 2,500 | | | | 2,113,792 | |
Series 2019-FAX, Class E, 4.79%, 01/15/39(a)(c) | | | | | | | 2,600 | | | | 2,117,926 | |
Citigroup Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-375P, Class C, 3.64%, 05/10/35(a)(c) | | | | | | | 100 | | | | 88,780 | |
Series 2016-P3, Class A4, 3.33%, 04/15/49 | | | | | | | 2,635 | | | | 2,453,480 | |
Series 2017-P7, Class A4, 3.71%, 04/14/50 | | | | | | | 6,000 | | | | 5,462,953 | |
Series 2019-PRM, Class E, 4.89%, 05/10/36(a)(c) | | | | | | | 3,000 | | | | 2,989,628 | |
COAST Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2023-2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.92%, 08/15/36(a)(c) | | | | | | | 1,482 | | | | 1,477,461 | |
Series 2023-2HTL, Class D, (1-mo. CME Term SOFR + 4.44%), 9.77%, 08/15/36(a)(c) | | | | | | | 2,600 | | | | 2,591,592 | |
Cold Storage Trust | | | | | | | | | | | | |
Series 2020-ICE5, Class A, (1-mo. CME Term SOFR + 1.01%), 6.35%, 11/15/37(a)(c) | | | | | | | 10,506 | | | | 10,400,507 | |
Series 2020-ICE5, Class E, (1-mo. CME Term SOFR + 2.88%), 8.21%, 11/15/37(a)(c) | | | | | | | 1,966 | | | | 1,948,676 | |
Series 2020-ICE5, Class F, (1-mo. CME Term SOFR + 3.61%), 8.94%, 11/15/37(a)(c) | | | | | | | 1,729 | | | | 1,701,597 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | | | | | | | 238 | | | | 236,194 | |
Series 2015-CR23, Class A4, 3.50%, 05/10/48 | | | | | | | 2,000 | | | | 1,913,380 | |
Series 2015-CR26, Class A4, 3.63%, 10/10/48 | | | | | | | 3,535 | | | | 3,352,986 | |
Series 2015-LC19, Class B, 3.83%, 02/10/48(c) | | | | | | | 296 | | | | 269,625 | |
Series 2015-PC1, Class B, 4.42%, 07/10/50(c) | | | | | | | 3,175 | | | | 2,896,708 | |
Series 2016-667M, Class D, 3.29%, 10/10/36(a)(c) | | | | | | | 500 | | | | 384,130 | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | | | | | |
Series 2019-ICE4, Class A, (1-mo. CME Term SOFR + 1.03%), 6.36%, 05/15/36(a)(c) | | | | | | | 10,139 | | | | 10,127,807 | |
Series 2019-ICE4, Class B, (1-mo. CME Term SOFR + 1.28%), 6.61%, 05/15/36(a)(c) | | | | | | | 3,008 | | | | 2,994,130 | |
Series 2019-ICE4, Class E, (1-mo. CME Term SOFR + 2.20%), 7.53%, 05/15/36(a)(c) | | | | | | | 6,315 | | | | 6,271,098 | |
Series 2019-ICE4, Class F, (1-mo. CME Term SOFR + 2.70%), 8.03%, 05/15/36(a)(c) | | | | | | | 8,875 | | | | 8,742,316 | |
| | |
| 38 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
Credit Suisse Mortgage Trust | | | | | | | | | | | | |
Series 2017-PFHP, Class A, (1-mo. CME Term SOFR + 1.00%), 6.33%, 12/15/30(a)(c) | | | USD | | | | 240 | | | $ | 228,589 | |
Series 2020-FACT, Class E, (1-mo. CME Term SOFR + 4.98%), 10.31%, 10/15/37(a)(c) | | | | | | | 1,564 | | | | 1,414,989 | |
Series 2021-980M, Class D, 3.65%, 07/15/31(a)(c) | | | | | | | 3,364 | | | | 2,842,663 | |
Series 2021-980M, Class E, 3.65%, 07/15/31(a)(c) | | | | | | | 2,195 | | | | 1,810,984 | |
Series 2021-BHAR, Class A, (1-mo. CME Term SOFR + 1.26%), 6.60%, 11/15/38(a)(c) | | | | | | | 4,487 | | | | 4,436,323 | |
Series 2021-BHAR, Class B, (1-mo. CME Term SOFR + 1.61%), 6.95%, 11/15/38(a)(c) | | | | | | | 649 | | | | 638,206 | |
Series 2021-BHAR, Class C, (1-mo. CME Term SOFR + 2.11%), 7.45%, 11/15/38(a)(c) | | | | | | | 1,095 | | | | 1,078,506 | |
Series 2021-BHAR, Class E, (1-mo. CME Term SOFR + 3.61%), 8.95%, 11/15/38(a)(c) | | | | | | | 633 | | | | 620,292 | |
Series 2022-NWPT, Class A, (1-mo. CME Term SOFR + 3.14%), 8.48%, 09/09/24(a)(c) | | | | | | | 3,759 | | | | 3,787,010 | |
CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40(a) | | | | | | | 1,289 | | | | 1,279,921 | |
CSAIL Commercial Mortgage Trust, Series 2019- C16, Class C, 4.24%, 06/15/52(c) | | | | | | | 802 | | | | 610,127 | |
DBGS Mortgage Trust | | | | | | | | | | | | |
Series 2018-5BP, Class A, (1-mo. CME Term SOFR + 0.89%), 6.23%, 06/15/33(a)(c) | | | | | | | 5,000 | | | | 4,685,194 | |
Series 2018-BIOD, Class D, (1-mo. CME Term SOFR + 1.60%), 6.93%, 05/15/35(a)(c) | | | | | | | 3,198 | | | | 3,133,698 | |
Series 2018-BIOD, Class F, (1-mo. CME Term SOFR + 2.30%), 7.63%, 05/15/35(a)(c) | | | | | | | 3,052 | | | | 2,945,226 | |
Deutsche Bank UBS Mortgage Trust | | | | | | | | | | | | |
Series 2017-BRBK, Class D, 3.65%, 10/10/34(a)(c) | | | | | | | 990 | | | | 796,922 | |
Series 2017-BRBK, Class F, 3.65%, 10/10/34(a)(c) | | | | | | | 1,094 | | | | 761,008 | |
ELP Commercial Mortgage Trust, Series 2021-ELP, Class G, (1-mo. CME Term SOFR + 3.23%), 8.56%, 11/15/38(a)(c) | | | | | | | 1,031 | | | | 971,713 | |
Extended Stay America Trust | | | | | | | | | | | | |
Series 2021-ESH, Class D, (1-mo. CME Term SOFR + 2.36%), 7.70%, 07/15/38(a)(c) | | | | | | | 4,746 | | | | 4,668,328 | |
Series 2021-ESH, Class E, (1-mo. CME Term SOFR + 2.96%), 8.30%, 07/15/38(a)(c) | | | | | | | 3,317 | | | | 3,250,570 | |
Series 2021-ESH, Class F, (1-mo. CME Term SOFR + 3.81%), 9.15%, 07/15/38(a)(c) | | | | | | | 2,660 | | | | 2,587,273 | |
FREMF Mortgage Trust | | | | | | | | | | | | |
Series 2018-K74, Class B, 4.23%, 02/25/51(a)(c) | | | | | | | 2,150 | | | | 1,983,413 | |
Series 2018-W5FX, Class CFX, 3.79%, 04/25/28(a)(c) | | | | | | | 4,100 | | | | 3,369,255 | |
Series 2020-K105, Class B, 3.53%, 03/25/53(a)(c) | | | | | | | 2,905 | | | | 2,477,903 | |
FS Rialto Issuer Ltd., Series 2022-FL7, Class A, (1-mo. CME Term SOFR + 2.90%), 8.23%, 10/19/39(a)(c) | | | | | | | 2,976 | | | | 2,977,654 | |
GS Mortgage Securities Corp. II, Series 2018- GS10, Class A5, 4.16%, 07/10/51(c) | | | | | | | 4,100 | | | | 3,714,323 | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-GC32, Class C, 4.55%, 07/10/48(c) | | | | | | | 881 | | | | 789,130 | |
Series 2017-GS6, Class A3, 3.43%, 05/10/50 | | | | | | | 2,000 | | | | 1,815,138 | |
Series 2019-GSA1, Class A4, 3.05%, 11/10/52 | | | | | | | 2,587 | | | | 2,211,329 | |
Series 2019-GSA1, Class C, 3.93%, 11/10/52(c) | | | | | | | 2,530 | | | | 1,862,978 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2021-DM, Class A, (1-mo. CME Term SOFR + 1.00%), 6.33%, 11/15/36(a)(c) | | | USD | | | | 2,421 | | | $ | 2,375,167 | |
Series 2022-AGSS, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 11/15/27(a)(c) | | | | | | | 3,480 | | | | 3,467,538 | |
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.53%, 08/15/39(a)(c) | | | | | | | 3,170 | | | | 3,173,771 | |
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.42%, 03/15/28(a)(c) | | | | | | | 2,080 | | | | 2,059,146 | |
Series 2023-SHIP, Class E, 7.68%, 09/10/38(a)(c) | | | | | | | 9,607 | | | | 9,266,644 | |
Harvest Commercial Capital Loan Trust, Series 2020-1, Class M4, 5.96%, 04/25/52(a)(c) | | | | | | | 669 | | | | 587,449 | |
HIT Trust, Series 2022-HI32, Class A, (1-mo. CME Term SOFR + 2.39%), 7.72%, 07/15/24(a)(c) | | | | | | | 688 | | | | 687,282 | |
HONO Mortgage Trust | | | | | | | | | | | | |
Series 2021-LULU, Class E, (1-mo. CME Term SOFR + 3.46%), 8.80%, 10/15/36(a)(c) | | | | | | | 1,382 | | | | 1,257,109 | |
Series 2021-LULU, Class F, (1-mo. CME Term SOFR + 4.51%), 9.85%, 10/15/36(a)(c) | | | | | | | 1,629 | | | | 1,471,749 | |
Houston Galleria Mall Trust, Series 2015-HGLR, Class D, 3.98%, 03/05/37(a) | | | | | | | 578 | | | | 524,687 | |
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 3.04%, 12/10/41(a)(c) | | | | | | | 712 | | | | 486,365 | |
ILPT Commercial Mortgage Trust, Series 2022- LPF2, Class A, (1-mo. CME Term SOFR + 2.25%),
7.58%, 10/15/39(a)(c) | | | | | | | 6,059 | | | | 6,043,948 | |
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1-mo. CME Term SOFR + 2.49%), 7.82%, 08/15/39(a)(c) | | | | | | | 3,483 | | | | 3,487,365 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.29%, 12/15/48(a)(c) | | | | | | | 1,007 | | | | 795,888 | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2018-C8, Class AS, 4.42%, 06/15/51 | | | | | | | 111 | | | | 97,578 | |
Series 2019-COR6, Class A4, 3.06%, 11/13/52 | | | | | | | 1,968 | | | | 1,619,472 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-JP1, Class C, 4.88%, 01/15/49(c) | | | | | | | 315 | | | | 259,399 | |
Series 2016-JP2, Class A4, 2.82%, 08/15/49 | | | | | | | 3,655 | | | | 3,308,992 | |
Series 2016-NINE, Class B, 2.95%, 09/06/38(a)(c) | | | | | | | 2,073 | | | | 1,742,135 | |
Series 2018-PHH, Class A, (1-mo. CME Term SOFR + 1.26%), 6.59%, 06/15/35(a)(c) | | | | | | | 2,907 | | | | 2,638,086 | |
Series 2020-609M, Class D, (1-mo. CME Term SOFR + 2.88%), 8.22%, 10/15/33(a)(c) | | | | | | | 700 | | | | 568,435 | |
Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.91%), 6.25%, 04/15/38(a)(c) | | | | | | | 277 | | | | 273,689 | |
Series 2021-MHC, Class E, (1-mo. CME Term SOFR + 2.56%), 7.90%, 04/15/38(a)(c) | | | | | | | 2,528 | | | | 2,437,444 | |
Series 2021-NYAH, Class A, (1-mo. CME Term SOFR + 0.87%), 6.21%, 06/15/38(a)(c) | | | | | | | 1,760 | | | | 1,715,755 | |
Series 2022-CGSS, Class A, (1-mo. CME Term SOFR + 2.47%), 7.80%, 12/15/36(a)(c) | | | | | | | 5,619 | | | | 5,624,064 | |
Series 2022-NLP, Class F, (1-mo. CME Term SOFR + 3.54%), 8.87%, 04/15/37(a)(c) | | | | | | | 3,360 | | | | 2,909,747 | |
Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.51%, 09/15/39(a)(c) | | | | | | | 5,605 | | | | 5,615,473 | |
Series 2022-OPO, Class D, 3.57%, 01/05/39(a)(c) | | | | | | | 2,481 | | | | 1,617,054 | |
| | |
SCHEDULES OF INVESTMENTS | | 39 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, (1-mo. CME Term SOFR + 2.00%), 7.33%, 05/15/36(a)(c) | | | USD | | | | 366 | | | $ | 361,462 | |
Lehman Brothers Small Balance Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2007-1A, Class 1A, (1-mo. CME Term SOFR + 0.36%), 5.68%, 03/25/37(a)(c) | | | | | | | 7 | | | | 7,218 | |
Series 2007-2A, Class M1, (1-mo. CME Term SOFR + 0.51%), 5.83%, 06/25/37(a)(c) | | | | | | | 365 | | | | 360,257 | |
Series 2007-3A, Class M2, (1-mo. CME Term SOFR + 2.11%), 7.43%, 10/25/37(a)(c) | | | | | | | 3,340 | | | | 2,801,390 | |
Life Mortgage Trust, Series 2021-BMR, Class A, (1-mo. CME Term SOFR + 0.81%), 6.15%, 03/15/38(a)(c) | | | | | | | 1,946 | | | | 1,907,156 | |
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 08/15/28(a)(c) | | | | | | | 1,281 | | | | 1,285,366 | |
LUXE Trust, Series 2021-TRIP, Class E, (1-mo. CME Term SOFR + 2.86%), 8.20%, 10/15/38(a)(c) | | | | | | | 654 | | | | 628,818 | |
Med Trust | | | | | | | | | | | | |
Series 2021-MDLN, Class E, (1-mo. CME Term SOFR + 3.26%), 8.60%, 11/15/38(a)(c) | | | | | | | 436 | | | | 415,255 | |
Series 2021-MDLN, Class F, (1-mo. CME Term SOFR + 4.11%), 9.45%, 11/15/38(a)(c) | | | | | | | 2,190 | | | | 2,078,893 | |
Series 2021-MDLN, Class G, (1-mo. CME Term SOFR + 5.36%), 10.70%, 11/15/38(a)(c) | | | | | | | 12,028 | | | | 11,367,042 | |
MF1, Series 2021-W10, Class G, (1-mo. CME Term SOFR + 4.22%), 9.55%, 12/15/34(a)(c) | | | | | | | 560 | | | | 520,527 | |
MHC Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.92%), 6.25%, 04/15/38(a)(c) | | | | | | | 2,122 | | | | 2,092,455 | |
Series 2021-MHC, Class F, (1-mo. CME Term SOFR + 2.72%), 8.05%, 04/15/38(a)(c) | | | | | | | 418 | | | | 405,311 | |
Series 2021-MHC2, Class A, (1-mo. CME Term SOFR + 0.96%), 6.30%, 05/15/38(a)(c) | | | | | | | 3,050 | | | | 3,000,694 | |
MHP | | | | | | | | | | | | |
Series 2021-STOR, Class G, (1-mo. CME Term SOFR + 2.86%), 8.20%, 07/15/38(a)(c) | | | | | | | 2,146 | | | | 2,033,793 | |
Series 2021-STOR, Class J, (1-mo. CME Term SOFR + 4.06%), 9.40%, 07/15/38(a)(c) | | | | | | | 1,917 | | | | 1,811,547 | |
MIRA Trust, Series 2023-MILE, Class A, 6.76%, 06/10/38(a) | | | | | | | 1,978 | | | | 1,937,274 | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | | | | | |
Series 2015-C25, Class A5, 3.64%, 10/15/48 | | | | | | | 1,455 | | | | 1,374,320 | |
Series 2016-C32, Class A4, 3.72%, 12/15/49 | | | | | | | 1,060 | | | | 977,920 | |
Morgan Stanley Capital I Trust | | | | | | | | | | | | |
Series 2015-MS1, Class A4, 3.78%, 05/15/48(c) | | | | | | | 2,000 | | | | 1,903,802 | |
Series 2017-ASHF, Class G, (1-mo. CME Term SOFR + 7.07%), 12.41%, 11/15/34(a)(c) | | | | | | | 746 | | | | 652,782 | |
Series 2017-H1, Class B, 4.08%, 06/15/50 | | | | | | | 2,400 | | | | 2,085,133 | |
Series 2018-MP, Class E, 4.42%, 07/11/40(a)(c) | | | | | | | 2,184 | | | | 1,422,468 | |
Series 2018-SUN, Class D, (1-mo. CME Term SOFR + 2.01%), 7.34%, 07/15/35(a)(c) | | | | | | | 1,000 | | | | 974,822 | |
Series 2018-SUN, Class F, (1-mo. CME Term SOFR + 2.91%), 8.24%, 07/15/35(a)(c) | | | | | | | 22 | | | | 21,169 | |
Series 2019-H7, Class AS, 3.52%, 07/15/52 | | | | | | | 1,900 | | | | 1,607,386 | |
Series 2019-H7, Class C, 4.13%, 07/15/52 | | | | | | | 5,000 | | | | 3,766,851 | |
Series 2019-H7, Class D, 3.00%, 07/15/52(a) | | | | | | | 3,000 | | | | 1,798,978 | |
MSCG Trust, Series 2018-SELF, Class E, (1-mo. CME Term SOFR + 2.20%), 7.53%, 10/15/37(a)(c) | | | | | | | 4,365 | | | | 4,273,956 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
MTN Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2022-LPFL, Class A, (1-mo. CME Term SOFR + 1.40%), 6.74%, 03/15/39(a)(c) | | | USD | | | | 3,720 | | | $ | 3,672,189 | |
Series 2022-LPFL, Class F, (1-mo. CME Term SOFR + 5.29%), 10.63%, 03/15/39(a)(c) | | | | | | | 829 | | | | 763,033 | |
Natixis Commercial Mortgage Securities Trust, Series 2017-75B, Class A, 3.86%, 04/10/37(a) | | | | | | | 1,850 | | | | 1,547,991 | |
Olympic Tower Mortgage Trust | | | | | | | | | | | | |
Series 2017-OT, Class A, 3.57%, 05/10/39(a) | | | | | | | 2,920 | | | | 2,488,641 | |
Series 2017-OT, Class D, 4.08%, 05/10/39(a)(c) | | | | | | | 1,080 | | | | 674,151 | |
Series 2017-OT, Class E, 4.08%, 05/10/39(a)(c) | | | | | | | 498 | | | | 292,846 | |
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54(a) | | | | | | | 1,408 | | | | 1,118,328 | |
PKHL Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2021-MF, Class F, (1-mo. CME Term SOFR + 3.46%), 8.80%, 07/15/38(a)(c) | | | | | | | 1,824 | | | | 1,420,119 | |
Series 2021-MF, Class G, (1-mo. CME Term SOFR + 4.46%), 9.80%, 07/15/38(a)(c) | | | | | | | 1,967 | | | | 1,499,413 | |
Ready Capital Mortgage Financing LLC | | | | | | | | | | | | |
Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.55%), 7.87%, 10/25/39(a)(c) | | | | | | | 5,718 | | | | 5,723,131 | |
Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.47%), 7.79%, 06/25/37(a)(c) | | | | | | | 1,128 | | | | 1,126,021 | |
Series 2023-FL11, Class A, (1-mo. CME Term SOFR + 2.37%), 7.69%, 10/25/39(a)(c) | | | | | | | 3,210 | | | | 3,204,024 | |
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. CME Term SOFR + 2.25%), 7.58%, 01/19/37(a)(c) | | | | | | | 6,154 | | | | 6,030,612 | |
SG Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2016-C5, Class B, 3.93%, 10/10/48 | | | | | | | 1,000 | | | | 842,345 | |
Series 2019-PREZ, Class E, 3.59%, 09/15/39(a)(c) | | | | | | | 2,000 | | | | 1,480,042 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 07/15/41(a) | | | | | | | 3,500 | | | | 2,729,413 | |
SMRT | | | | | | | | | | | | |
Series 2022-MINI, Class A, (1-mo. CME Term SOFR + 1.00%), 6.33%, 01/15/39(a)(c) | | | | | | | 972 | | | | 946,391 | |
Series 2022-MINI, Class E, (1-mo. CME Term SOFR + 2.70%), 8.03%, 01/15/39(a)(c) | | | | | | | 847 | | | | 801,860 | |
SREIT Trust | | | | | | | | | | | | |
Series 2021-MFP, Class F, (1-mo. CME Term SOFR + 2.74%), 8.07%, 11/15/38(a)(c) | | | | | | | 2,960 | | | | 2,861,197 | |
Series 2021-MFP2, Class A, (1-mo. CME Term SOFR + 0.94%), 6.27%, 11/15/36(a)(c) | | | | | | | 1,079 | | | | 1,060,382 | |
Series 2021-MFP2, Class F, (1-mo. CME Term SOFR + 2.73%), 8.07%, 11/15/36(a)(c) | | | | | | | 2,226 | | | | 2,125,456 | |
STWD Trust | | | | | | | | | | | | |
Series 2021-FLWR, Class B, (1-mo. CME Term SOFR + 1.04%), 6.37%, 07/15/36(a)(c) | | | | | | | 7,000 | | | | 6,828,620 | |
Series 2021-FLWR, Class E, (1-mo. CME Term SOFR + 2.04%), 7.37%, 07/15/36(a)(c) | | | | | | | 1,738 | | | | 1,646,364 | |
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.52%, 05/15/37(a)(c) | | | | | | | 5,962 | | | | 5,846,087 | |
TPGI Trust, Series 2021-DGWD, Class A, (1-mo. CME Term SOFR + 0.81%), 6.15%, 06/15/26(a)(c) | | | | | | | 306 | | | | 300,652 | |
TTAN, Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.96%), 6.30%, 03/15/38(a)(c) | | | | | | | 1,718 | | | | 1,693,399 | |
Velocity Commercial Capital Loan Trust | | | | | | | | | | | | |
Series 2018-2, Class M6, 7.05%, 10/26/48(a)(c) | | | | | | | 974 | | | | 716,039 | |
Series 2019-1, Class M2, 4.01%, 03/25/49(a)(c) | | | | | | | 172 | | | | 143,261 | |
| | |
| 40 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
Velocity Commercial Capital Loan Trust | | | | | | | | | | | | |
Series 2019-2, Class M2, 3.39%, 07/25/49(a)(c) | | | USD | | | | 1,365 | | | $ | 1,174,680 | |
Series 2019-2, Class M3, 3.48%, 07/25/49(a)(c) | | | | | | | 622 | | | | 528,800 | |
Series 2019-2, Class M4, 3.99%, 07/25/49(a)(c) | | | | | | | 1,534 | | | | 1,276,212 | |
Series 2021-1, Class M4, 2.85%, 05/25/51(a)(c) | | | | | | | 2,092 | | | | 1,476,977 | |
Series 2021-3, Class M4, 3.48%, 10/25/51(a)(c) | | | | | | | 2,586 | | | | 2,076,077 | |
Series 2021-4, Class A, 2.52%, 12/26/51(a)(c) | | | | | | | 7,457 | | | | 5,871,782 | |
Series 2021-4, Class M4, 4.48%, 12/26/51(a)(c) | | | | | | | 1,250 | | | | 894,191 | |
Series 2022-1, Class M4, 5.20%, 02/25/52(a)(c) | | | | | | | 5,466 | | | | 3,986,392 | |
Series 2022-4, Class M2, 6.97%, 08/25/52(a)(c) | | | | | | | 1,087 | | | | 1,003,309 | |
Series 2022-4, Class M3, 7.54%, 08/25/52(a)(c) | | | | | | | 1,087 | | | | 921,971 | |
Series 2023-2, Class A, 6.22%, 05/25/53(a)(c) | | | | | | | 976 | | | | 935,662 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2017-C39, Class B, 4.03%, 09/15/50 | | | | | | | 1,000 | | | | 859,575 | |
Series 2018-1745, Class A, 3.87%, 06/15/36(a)(c) | | | | | | | 3,155 | | | | 2,613,413 | |
Series 2018-C46, Class A4, 4.15%, 08/15/51 | | | | | | | 3,740 | | | | 3,417,680 | |
Series 2019-C49, Class A5, 4.02%, 03/15/52 | | | | | | | 2,796 | | | | 2,531,756 | |
Series 2019-C50, Class B, 4.19%, 05/15/52 | | | | | | | 3,121 | | | | 2,645,628 | |
Series 2019-C53, Class A3, 2.79%, 10/15/52 | | | | | | | 1,000 | | | | 839,149 | |
Series 2020-SDAL, Class D, (1-mo. CME Term SOFR + 2.20%), 7.54%, 02/15/37(a)(c) | | | | | | | 1,612 | | | | 1,567,671 | |
Series 2020-SDAL, Class E, (1-mo. CME Term SOFR + 2.85%), 8.19%, 02/15/37(a)(c) | | | | | | | 1,600 | | | | 1,468,901 | |
Series 2021-C59, Class A4, 2.34%, 04/15/54 | | | | | | | 5,000 | | | | 3,949,618 | |
Series 2021-C60, Class A4, 2.34%, 08/15/54 | | | | | | | 3,000 | | | | 2,311,509 | |
Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.65%, 05/15/31(a)(c) | | | | | | | 4,660 | | | | 4,465,953 | |
WMRK Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2022-WMRK, Class A, (1-mo. CME Term SOFR + 2.79%), 8.12%, 11/15/27(a)(c) | | | | | | | 3,829 | | | | 3,828,969 | |
Series 2022-WMRK, Class B, (1-mo. CME Term SOFR + 3.44%), 8.77%, 11/15/27(a)(c) | | | | | | | 1,435 | | | | 1,433,190 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 556,657,707 | |
|
| Interest Only Collateralized Mortgage Obligations — 0.3% | |
Ajax Mortgage Loan Trust, Series 2021-E, Class XS, 0.00%, 12/25/60(a)(c)(d) | | | | | | | 8,932 | | | | 368,217 | |
JPMorgan Mortgage Trust | | | | | | | | | | | | |
Series 2021-INV7, Class A2X, 0.50%, 02/25/52(a)(c) | | | | | | | 32,132 | | | | 1,203,385 | |
Series 2021-INV7, Class A3X, 0.50%, 02/25/52(a)(c) | | | | | | | 19,475 | | | | 421,428 | |
Series 2021-INV7, Class A4X, 0.50%, 02/25/52(a)(c) | | | | | | | 7,873 | | | | 313,444 | |
Series 2021-INV7, Class A5X, 0.50%, 02/25/52(a)(c) | | | | | | | 3,499 | | | | 131,037 | |
Series 2021-INV7, Class AX1, 0.27%, 02/25/52(a)(c) | | | | | | | 62,979 | | | | 806,756 | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 2.07%, 02/25/38(a)(c) | | | | | | | 9,733 | | | | 2,250,307 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,494,574 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.7% | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2017-SCH, Class XFCP, 0.00%, 11/15/19(a)(c)(d) | | | | | | | 95,950 | | | | 432 | |
Series 2017-SCH, Class XLCP, 0.00%, 11/15/19(a)(c)(d) | | | | | | | 56,050 | | | | 73 | |
BANK | | | | | | | | | | | | |
Series 2019-BN22, Class XA, 0.71%, 11/15/62(c) | | | | | | | 38,561 | | | | 1,106,911 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
BANK | | | | | | | | | | | | |
Series 2019-BN22, Class XB, 0.24%, 11/15/62(c) | | | USD | | | | 85,561 | | | $ | 749,232 | |
Series 2020-BN28, Class XB, 1.09%, 03/15/63(c) | | | | | | | 29,819 | | | | 1,629,606 | |
Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XD, 1.39%, 02/15/50(a)(c) | | | | | | | 10,000 | | | | 355,579 | |
BBCMS Trust, Series 2015-SRCH, Class XB, 0.30%, 08/10/35(a)(c) | | | | | | | 12,500 | | | | 90,525 | |
Benchmark Mortgage Trust | | | | | | | | | | | | |
Series 2019-B12, Class XA, 1.16%, 08/15/52(c) | | | | | | | 36,889 | | | | 1,312,654 | |
Series 2019-B9, Class XA, 1.18%, 03/15/52(c) | | | | | | | 15,251 | | | | 634,716 | |
Series 2020-B17, Class XB, 0.65%, 03/15/53(c) | | | | | | | 17,599 | | | | 434,533 | |
Series 2020-B19, Class XA, 1.88%, 09/15/53(c) | | | | | | | 23,821 | | | | 1,625,570 | |
Series 2021-B23, Class XA, 1.38%, 02/15/54(c) | | | | | | | 18,302 | | | | 1,126,088 | |
BMO Mortgage Trust, Series 2023-C5, Class XA, 0.95%, 06/15/56(c) | | | | | | | 8,121 | | | | 411,595 | |
BX Trust, Series 2022-GPA, Class XCP, 0.00%, 08/15/23(a)(c)(d) | | | | | | | 65,811 | | | | 1,928 | |
CFK Trust, Series 2019-FAX, Class XA, 0.35%, 01/15/39(a)(c) | | | | | | | 62,648 | | | | 754,417 | |
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class X, 0.67%, 01/10/36(a)(c) | | | | | | | 80,300 | | | | 2,216 | |
Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.75%, 08/15/57(c) | | | | | | | 40,318 | | | | 1,017,380 | |
CSAIL Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-C16, Class XA, 1.71%, 06/15/52(c) | | | | | | | 9,658 | | | | 616,941 | |
Series 2019-C17, Class XA, 1.49%, 09/15/52(c) | | | | | | | 3,927 | | | | 203,893 | |
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(c) | | | | | | | 11,214 | | | | 330,899 | |
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class X1, 0.40%, 05/03/32(a)(c) | | | | | | | 144,016 | | | | 529,691 | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2016-C4, Class XC, 0.75%, 12/15/49(a)(c) | | | | | | | 8,570 | | | | 162,108 | |
Series 2017-C5, Class XB, 0.42%, 03/15/50(c) | | | | | | | 30,000 | | | | 313,782 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49(a)(c) | | | | | | | 17,400 | | | | 310,004 | |
LSTAR Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2017-5, Class X, 0.96%, 03/10/50(a)(c) | | | | | | | 8,912 | | | | 151,696 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.33%, 12/15/47(a)(c) | | | | | | | 220 | | | | 3,010 | |
Morgan Stanley Capital I Trust | | | | | | | | | | | | |
Series 2017-H1, Class XD, 2.31%, 06/15/50(a)(c) | | | | | | | 8,625 | | | | 550,566 | |
Series 2019-L2, Class XA, 1.17%, 03/15/52(c) | | | | | | | 10,992 | | | | 449,342 | |
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.51%, 05/10/39(a)(c) | | | | | | | 28,100 | | | | 345,197 | |
One Market Plaza Trust | | | | | | | | | | | | |
Series 2017-1MKT, Class XCP, 0.00%, 02/10/32(a)(c)(d) | | | | | | | 110,000 | | | | 3,146 | |
Series 2017-1MKT, Class XNCP, 0.22%, 02/10/32(a)(c) | | | | | | | 22,000 | | | | 57,086 | |
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.60%, 10/15/52(c) | | | | | | | 8,918 | | | | 560,073 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-LC20, Class XB, 0.63%, 04/15/50(c) | | | | | | | 7,000 | | | | 48,162 | |
| | |
SCHEDULES ��OF INVESTMENTS | | 41 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | |
Series 2016-BNK1, Class XD, 1.39%, 08/15/49(a)(c) | | | USD | | | | 1,000 | | | $ | 29,134 | |
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 1.15%, 08/15/47(c) | | | | | | | 6,810 | | | | 46,228 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,964,413 | |
| | | | | | | | | | | | |
| |
Total Non-Agency Mortgage-Backed
Securities — 44.2%
(Cost: $1,050,218,308) | | | | 954,027,856 | |
| | | | | | | | | | | | |
|
U.S. Government Sponsored Agency Securities | |
|
| Collateralized Mortgage Obligations — 0.1% | |
Fannie Mae, Series 2017-C07, Class 1B1, (SOFR (30-day) + 4.11%), 9.43%, 05/25/30(c) | | | | | | | 2,000 | | | | 2,145,797 | |
| | | | | | | | | | | | |
|
| Commercial Mortgage-Backed Securities — 0.1% | |
Ginnie Mae, Series 2023-118, Class BA, 3.75%, 05/16/65(c) | | | | | | | 813 | | | | 702,076 | |
| | | | | | | | | | | | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.1% | |
Freddie Mac | | | | | | | | | | | | |
Series K116, Class X1, 1.53%, 07/25/30(c) | | | | | | | 23,843 | | | | 1,722,595 | |
Series KL05, Class X1P, 1.02%, 06/25/29(c) | | | | | | | 12,845 | | | | 554,286 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2016-36, Class IO, 0.68%, 08/16/57(c) | | | | 2,892 | | | | 81,081 | |
Series 2017-24, Class IO, 0.75%, 12/16/56(c) | | | | 11,828 | | | | 376,454 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,734,416 | |
| | | | | | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 0.3%
(Cost: $6,892,932) | | | | 5,582,289 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 93.3%
(Cost: $2,184,115,914) | | | | 2,011,326,752 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Short-Term Securities | | | | | | | | | | | | |
| | | |
| Money Market Funds — 7.2% | | | | | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 5.24%(j) | | | | | | | 156,222,321 | | | | 156,222,321 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 7.2%
(Cost: $156,222,321) | | | | 156,222,321 | |
| | | | | | | | | | | | |
| |
Total Investments Before TBA Sale
Commitments — 100.5%
(Cost: $2,340,338,235) | | | | 2,167,549,073 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
| | | |
TBA Sale Commitments(k) | | | | | | | | | | | | |
|
Mortgage-Backed Securities — (1.0)% | |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
2.00%, 10/01/53 | | | USD | | | | (4,579 | ) | | $ | (3,482,419 | ) |
2.50%, 10/01/53 | | | | | | | (22,139 | ) | | | (17,570,067 | ) |
| | | | | | | | | | | | |
| |
Total TBA Sale Commitments — (1.0)%
(Proceeds: $(21,697,982)) | | | | (21,052,486 | ) |
| | | | | | | | | | | | |
| |
Total Investments Net of TBA Sale
Commitments — 99.5%
(Cost: $2,318,640,253) | | | | 2,146,496,587 | |
| |
Other Assets Less Liabilities — 0.5% | | | | 10,059,283 | |
| | | | | | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 2,156,555,870 | |
| | | | | | | | | | | | |
| (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. |
| (e) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (f) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (g) | Issuer filed for bankruptcy and/or is in default. |
| (h) | Non-income producing security. |
| (i) | Perpetual security with no stated maturity date. |
| (j) | Annualized 7-day yield as of period end. |
| (k) | Represents or includes a TBA transaction. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | |
| | | | | |
| Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
| | | | |
| USD | 15,360,371 | | | EUR | 14,338,000 | | | UBS AG | | | 12/20/23 | | | $ | 140,986 | |
| | | | | | | | | | | | | | | | |
| | |
| 42 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio |
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 | | | $ | 30,205 | | | $ | 4,384 | | | $ | 25,821 | |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co.
International PLC | | | 09/17/58 | | | | USD | | | | 53 | | | | 11,435 | | | | 3,803 | | | | 7,632 | |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co.
International PLC | | | 09/17/58 | | | | USD | | | | 27 | | | | 5,825 | | | | 1,384 | | | | 4,441 | |
CMBX.NA.6.AAA | | | 0.50 | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | | USD | | | | — | | | | — | | | | — | | | | — | |
CMBX.NA.6.AAA | | | 0.50 | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | | USD | | | | 1 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 47,465 | | | $ | 9,571 | | | $ | 37,894 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 Bank USA | | | 09/17/58 | | | | Not Rated | | | | USD | | | | 5,000 | | | $ | (457,629 | ) | | $ | (90,219 | ) | | $ | (367,410 | ) | | | | |
| | CMBX.NA.9.A | | | 2.00 | | | | Monthly | | | Morgan Stanley & Co.
International PLC | | | 09/17/58 | | | | Not Rated | | | | USD | | | | 1,457 | | | | (133,353 | ) | | | (3,363 | ) | | | (129,990 | ) | | | | |
| | CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Deutsche Bank AG | | | 09/17/58 | | | | Not Rated | | | | USD | | | | 220 | | | | (47,465 | ) | | | (24,342 | ) | | | (23,123 | ) | | | | |
| | CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Deutsche Bank AG | | | 11/17/59 | | | | BBB- | | | | USD | | | | 1,000 | | | | (275,750 | ) | | | (77,526 | ) | | | (198,224 | ) | | | | |
| | CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Deutsche Bank AG | | | 11/17/59 | | | | BBB- | | | | USD | | | | 500 | | | | (137,875 | ) | | | (46,758 | ) | | | (91,117 | ) | | | | |
| | CMBX.NA.15.BBB- | | | 3.00 | | | | Monthly | | | Citigroup Global Markets, Inc. | | | 11/15/64 | | | | Not Rated | | | | USD | | | | 1,493 | | | | (355,707 | ) | | | (282,225 | ) | | | (73,482 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,407,779 | ) | | $ | (524,433 | ) | | $ | (883,346 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. | |
| | (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. | |
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps
| | | | | | | | | | | | | | | | |
| | | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized Appreciation | | | Unrealized Depreciation | |
| | | | |
OTC Swaps | | $ | 9,571 | | | $ | (524,433 | ) | | $ | 37,894 | | | $ | (883,346 | ) |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 140,986 | | | $ | — | | | $ | — | | | $ | 140,986 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps;
Swap premiums paid | | | — | | | | 47,465 | | | | — | | | | — | | | | — | | | | — | | | | 47,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 47,465 | | | $ | — | | | $ | 140,986 | | | $ | — | | | $ | — | | | $ | 188,451 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps;
Swap premiums received | | $ | — | | | $ | 1,407,779 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,407,779 | |
| | |
SCHEDULES OF INVESTMENTS | | 43 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio |
For the period ended September 30, 2023, 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 425,715 | | | $ | — | | | $ | — | | | $ | 425,715 | |
Swaps | | | — | | | | 117,769 | | | | — | | | | — | | | | — | | | | — | | | | 117,769 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 117,769 | | | $ | — | | | $ | 425,715 | | | $ | — | | | $ | — | | | $ | 543,484 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | |
Forward foreign currency exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 145,637 | | | $ | — | | | $ | — | | | $ | 145,637 | |
Swaps | | | — | | | | 25,552 | | | | — | | | | — | | | | — | | | | — | | | | 25,552 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 25,552 | | | $ | — | | | $ | 145,637 | | | $ | — | | | $ | — | | | $ | 171,189 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Forward foreign currency exchange contracts | | | | |
Average amounts purchased — in USD | | $ | 11,547,346 | |
Credit default swaps | | | | |
Average notional value — buy protection | | $ | 220,988 | |
Average notional value — sell protection | | $ | 9,670,000 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments – Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Counterparty | | Derivative Assets Subject to an MNA by Counterparty
| | | Derivatives Available for Offset(a)
| | | Non- Cash Collateral Received(b) | | | Cash Collateral Received(b) | | | Net Amount of Derivative Assets(c)(d) | |
| | | | | |
Citigroup Global Markets, Inc. | | $ | 30,205 | | | $ | (30,205 | ) | | $ | — | | | $ | — | | | $ | — | |
Morgan Stanley & Co. International PLC | | | 17,260 | | | | (17,260 | ) | | | — | | | | — | | | | — | |
UBS AG | | | 140,986 | | | | — | | | | — | | | | — | | | | 140,986 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 188,451 | | | $ | (47,465 | ) | | $ | — | | | $ | — | | | $ | 140,986 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Counterparty | | Derivative Liabilities Subject to an MNA by Counterparty | | | Derivatives Available for Offset(a) | | | Non- Cash Collateral Pledged(b) | | | Cash Collateral Pledged(b) | | | Net Amount of Derivative Liabilities(e) | |
| | | | | |
Citigroup Global Markets, Inc. | | $ | 355,707 | | | $ | (30,205 | ) | | $ | — | | | $ | (260,000 | ) | | $ | 65,502 | |
Deutsche Bank AG | | | 461,090 | | | | — | | | | — | | | | (461,090 | ) | | | — | |
Goldman Sachs Bank USA | | | 457,629 | | | | — | | | | — | | | | (410,000 | ) | | | 47,629 | |
Morgan Stanley & Co. International PLC | | | 133,353 | | | | (17,260 | ) | | | — | | | | — | | | | 116,093 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 1,407,779 | | | $ | (47,465 | ) | | $ | — | | | $ | (1,131,090 | ) | | $ | 229,224 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. | |
| | (c) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (d) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
| | (e) | Net amount represents the net amount payable due to the counterparty in the event of default. | |
| | |
| 44 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | 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 | | $ | — | | | $ | 1,021,125,532 | | | $ | 8,882,700 | | | $ | 1,030,008,232 | |
Corporate Bonds | | | — | | | | 82,572 | | | | — | | | | 82,572 | |
Floating Rate Loan Interests | | | — | | | | — | | | | 21,625,803 | | | | 21,625,803 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 946,890,890 | | | | 7,136,966 | | | | 954,027,856 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 5,582,289 | | | | — | | | | 5,582,289 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 156,222,321 | | | | — | | | | — | | | | 156,222,321 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (21,052,486 | ) | | | — | | | | (21,052,486 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 156,222,321 | | | $ | 1,952,628,797 | | | $ | 37,645,469 | | | $ | 2,146,496,587 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 37,894 | | | $ | — | | | $ | 37,894 | |
Foreign Currency Exchange Contracts | | | — | | | | 140,986 | | | | — | | | | 140,986 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (883,346 | ) | | | — | | | | (883,346 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | — | | | $ | (704,466 | ) | | $ | — | | | $ | (704,466 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Asset-Backed Securities | | | Corporate Bonds | | | Floating-Rate Loan Interest | | | Non-Agency Mortgage-Backed Securities | | | Unfunded Floating Rate Loan Interests | | | Total | |
| | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Opening Balance, as of March 31, 2023 | | $ | 16,155,741 | | | $ | —(a | ) | | $ | 10,673,297 | | | $ | 29,337,894 | | | $ | 17,129 | | | $ | 56,184,061 | |
Transfers into Level 3(b) | | | — | | | | — | | | | 7,643,442 | | | | — | | | | — | | | | 7,643,442 | |
Transfers out of Level 3(c) | | | (7,285,293 | ) | | | — | | | | — | | | | (23,073,213 | ) | | | — | | | | (30,358,506 | ) |
Accrued discounts/premiums | | | — | | | | — | | | | 71,503 | | | | 17,694 | | | | — | | | | 89,197 | |
Net realized gain (loss) | | | — | | | | — | | | | (17,245 | ) | | | (36,642 | ) | | | — | | | | (53,887 | ) |
Net change in unrealized appreciation (depreciation)(d)(e) | | | 12,252 | | | | — | | | | (517,684 | ) | | | (58,576 | ) | | | (17,129 | ) | | | (581,137 | ) |
Purchases | | | — | | | | — | | | | 8,670,193 | | | | 1,766,433 | | | | — | | | | 10,436,626 | |
Sales | | | — | | | | — | | | | (4,897,703 | ) | | | (816,624 | ) | | | — | | | | (5,714,327 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Closing Balance, as of September 30, 2023 | | $ | 8,882,700 | | | $ | —(a | ) | | $ | 21,625,803 | | | $ | 7,136,966 | | | $ | — | | | $ | 37,645,469 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2023(e) | | $ | 12,252 | | | $ | — | | | $ | (479,997 | ) | | $ | (58,576 | ) | | $ | — | | | $ | (526,321 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Rounds to less than $1. | |
| | (b) | As of March 31, 2023, the Fund used observable inputs in determining the value of certain investments. As of September 30, 2023, 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, 2023, the Fund used significant unobservable inputs in determining the value of certain investments. As of September 30, 2023, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. | |
| | (d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. | |
| | (e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023 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.
| | |
SCHEDULES OF INVESTMENTS | | 45 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series A Portfolio |
The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Valuation Committee (the “Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $6,444,192. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Value | | | Valuation Approach | | | Unobservable Inputs | | | Range of
Unobservable Inputs
Utilized(a) | | | Weighted Average of
Unobservable Inputs
Based on Fair Value | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 8,882,700 | | | | Income | | | | Discount Rate | | | | 9% | | | | — | |
Floating Rate Loan Interests | | | 21,625,803 | | | | Income | | | | Discount Rate | | | | 3%-8% | | | | 7% | |
| | | | | | | | | | | Credit Spread | | | | 321 | | | | — | |
Non-Agency Mortgage-Backed Securities | | | 692,774 | | | | Income | | | | Discount Rate | | | | 14% | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 31,201,277 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. | |
See notes to financial statements.
| | |
| 46 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
Aerospace & Defense — 3.0% | | | | | | | | | | | | |
Boeing Co. (The)
2.70%, 02/01/27 | | | USD | | | | 200 | | | $ | 181,097 | |
2.95%, 02/01/30 | | | | | | | 200 | | | | 168,262 | |
3.25%, 02/01/35 | | | | | | | 194 | | | | 149,147 | |
3.38%, 06/15/46 | | | | | | | 140 | | | | 89,209 | |
3.85%, 11/01/48 | | | | | | | 135 | | | | 92,196 | |
3.75%, 02/01/50 | | | | | | | 331 | | | | 224,873 | |
5.81%, 05/01/50 | | | | | | | 1,787 | | | | 1,618,159 | |
5.93%, 05/01/60 | | | | | | | 295 | | | | 264,886 | |
General Dynamics Corp., 4.25%, 04/01/40 | | | | | | | 22 | | | | 18,682 | |
L3Harris Technologies, Inc.
4.40%, 06/15/28 | | | | | | | 473 | | | | 447,579 | |
4.40%, 06/15/28 | | | | | | | 1,718 | | | | 1,625,667 | |
2.90%, 12/15/29 | | | | | | | 441 | | | | 375,514 | |
5.40%, 07/31/33 | | | | | | | 320 | | | | 307,607 | |
5.60%, 07/31/53 | | | | | | | 46 | | | | 43,017 | |
Lockheed Martin Corp.
4.50%, 05/15/36 | | | | | | | 102 | | | | 92,959 | |
3.80%, 03/01/45 | | | | | | | 109 | | | | 83,544 | |
5.70%, 11/15/54 | | | | | | | 115 | | | | 114,713 | |
5.20%, 02/15/55 | | | | | | | 339 | | | | 314,730 | |
Northrop Grumman Corp.
7.88%, 03/01/26 | | | | | | | 1,000 | | | | 1,053,924 | |
4.03%, 10/15/47 | | | | | | | 172 | | | | 131,653 | |
5.25%, 05/01/50 | | | | | | | 43 | | | | 39,651 | |
4.95%, 03/15/53 | | | | | | | 23 | | | | 20,195 | |
RTX Corp.
3.20%, 03/15/24 | | | | | | | 1,894 | | | | 1,867,728 | |
4.13%, 11/16/28 | | | | | | | 820 | | | | 764,614 | |
4.50%, 06/01/42 | | | | | | | 202 | | | | 165,247 | |
4.15%, 05/15/45 | | | | | | | 414 | | | | 313,454 | |
4.35%, 04/15/47 | | | | | | | 252 | | | | 196,122 | |
3.13%, 07/01/50 | | | | | | | 95 | | | | 59,065 | |
2.82%, 09/01/51 | | | | | | | 282 | | | | 161,453 | |
3.03%, 03/15/52 | | | | | | | 95 | | | | 57,145 | |
5.38%, 02/27/53 | | | | | | | 620 | | | | 561,091 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,603,183 | |
| | | |
| Air Freight & Logistics — 0.0% | | | | | | | | | |
FedEx Corp., 4.55%, 04/01/46 | | | | | | | 161 | | | | 127,452 | |
| | | | | | | | | | | | |
| | | |
| Automobile Components — 0.2% | | | | | | | | | |
Aptiv PLC, 3.10%, 12/01/51 | | | | | | | 283 | | | | 161,778 | |
Aptiv PLC/Aptiv Corp.
3.25%, 03/01/32 | | | | | | | 231 | | | | 189,382 | |
4.15%, 05/01/52 | | | | | | | 332 | | | | 230,958 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 582,118 | |
| | | |
| Automobiles — 2.1% | | | | | | | | | |
Daimler Truck Finance North America LLC
5.60%, 08/08/25(a) | | | | | | | 410 | | | | 407,404 | |
5.15%, 01/16/26(a) | | | | | | | 306 | | | | 301,974 | |
2.00%, 12/14/26(a) | | | | | | | 234 | | | | 209,052 | |
Ford Motor Co., 5.29%, 12/08/46 | | | | | | | 82 | | | | 62,348 | |
General Motors Co.
5.60%, 10/15/32 | | | | | | | 385 | | | | 359,457 | |
5.00%, 04/01/35 | | | | | | | 250 | | | | 215,811 | |
6.60%, 04/01/36 | | | | | | | 156 | | | | 151,601 | |
6.25%, 10/02/43 | | | | | | | 168 | | | | 150,518 | |
Mercedes-Benz Finance North America LLC, 5.50%, 11/27/24(a) | | | | | | | 845 | | | | 843,642 | |
Nissan Motor Acceptance Co. LLC 1.85%, 09/16/26(a) | | | | | | | 3,090 | | | | 2,688,336 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
Automobiles (continued) | | | | | | | | | | | | |
Nissan Motor Acceptance Co. LLC 7.05%, 09/15/28(a) | | | USD | | | | 1,255 | | | $ | 1,254,783 | |
Nissan Motor Co. Ltd.
3.52%, 09/17/25(a) | | | | | | | 531 | | | | 501,507 | |
4.35%, 09/17/27(a) | | | | | | | 200 | | | | 182,560 | |
Volkswagen Group of America Finance LLC 3.35%, 05/13/25(a) | | | | | | | 350 | | | | 335,402 | |
1.25%, 11/24/25(a) | | | | | | | 655 | | | | 594,614 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,259,009 | |
| | | |
| Banks — 12.2% | | | | | | | | | |
AIB Group PLC, 4.26%, 04/10/25(a) | | | | | | | 1,650 | | | | 1,626,508 | |
Bank of America Corp.
3.37%, 01/23/26 | | | | | | | 930 | | | | 894,046 | |
1.32%, 06/19/26 | | | | | | | 1,836 | | | | 1,683,749 | |
3.42%, 12/20/28 | | | | | | | 817 | | | | 732,889 | |
3.97%, 03/05/29 | | | | | | | 212 | | | | 194,197 | |
3.97%, 02/07/30 | | | | | | | 900 | | | | 808,288 | |
2.69%, 04/22/32 | | | | | | | 2,375 | | | | 1,866,610 | |
2.97%, 02/04/33 | | | | | | | 2,187 | | | | 1,724,570 | |
5.29%, 04/25/34 | | | | | | | 450 | | | | 418,730 | |
4.08%, 04/23/40 | | | | | | | 185 | | | | 146,718 | |
2.68%, 06/19/41 | | | | | | | 565 | | | | 361,814 | |
2.83%, 10/24/51 | | | | | | | 35 | | | | 20,573 | |
Series L, 4.75%, 04/21/45 | | | | | | | 140 | | | | 117,157 | |
Series N, 1.66%, 03/11/27 | | | | | | | 654 | | | | 586,764 | |
Bank of Ireland Group PLC, 6.25%, 09/16/26(a) | | | | | | | 630 | | | | 626,051 | |
Barclays PLC
3.93%, 05/07/25 | | | | | | | 1,760 | | | | 1,733,109 | |
5.20%, 05/12/26 | | | | | | | 800 | | | | 770,712 | |
5.83%, 05/09/27 | | | | | | | 837 | | | | 822,001 | |
6.49%, 09/13/29 | | | | | | | 1,620 | | | | 1,606,753 | |
5.09%, 06/20/30 | | | | | | | 1,100 | | | | 983,057 | |
5.75%, 08/09/33 | | | | | | | 325 | | | | 299,931 | |
Citigroup, Inc.
3.89%, 01/10/28 | | | | | | | 632 | | | | 589,143 | |
2.57%, 06/03/31 | | | | | | | 1,916 | | | | 1,527,833 | |
6.17%, 05/25/34 | | | | | | | 1,416 | | | | 1,353,162 | |
Discover Bank, 5.97%, 08/09/28 | | | | | | | 300 | | | | 274,509 | |
Fifth Third Bancorp, 6.34%, 07/27/29 | | | | | | | 303 | | | | 299,323 | |
HSBC Holdings PLC
5.89%, 08/14/27 | | | | | | | 499 | | | | 492,912 | |
7.39%, 11/03/28 | | | | | | | 755 | | | | 781,079 | |
2.87%, 11/22/32 | | | | | | | 200 | | | | 153,719 | |
5.40%, 08/11/33 | | | | | | | 200 | | | | 184,303 | |
8.11%, 11/03/33 | | | | | | | 1,015 | | | | 1,067,407 | |
6.25%, 03/09/34 | | | | | | | 1,000 | | | | 977,349 | |
Intesa Sanpaolo SpA, 5.02%, 06/26/24(a) | | | | | | | 416 | | | | 406,122 | |
JPMorgan Chase & Co.
2.95%, 02/24/28 | | | | | | | 313 | | | | 283,939 | |
4.01%, 04/23/29 | | | | | | | 50 | | | | 46,079 | |
5.30%, 07/24/29 | | | | | | | 3,476 | | | | 3,382,088 | |
2.96%, 01/25/33 | | | | | | | 824 | | | | 656,009 | |
3.88%, 07/24/38 | | | | | | | 390 | | | | 311,397 | |
3.11%, 04/22/41 | | | | | | | 330 | | | | 229,348 | |
2.53%, 11/19/41 | | | | | | | 910 | | | | 571,580 | |
3.16%, 04/22/42 | | | | | | | 450 | | | | 309,196 | |
4.95%, 06/01/45 | | | | | | | 165 | | | | 141,060 | |
Lloyds Banking Group PLC
4.58%, 12/10/25 | | | | | | | 1,075 | | | | 1,028,060 | |
5.99%, 08/07/27 | | | | | | | 214 | | | | 212,073 | |
Mitsubishi UFJ Financial Group, Inc. 0.95%, 07/19/25 | | | | | | | 200 | | | | 191,698 | |
| | |
SCHEDULES OF INVESTMENTS | | 47 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
Banks (continued) | | | | | | | | | | | | |
Mitsubishi UFJ Financial Group, Inc. 2.05%, 07/17/30 | | | USD | | | | 850 | | | $ | 662,214 | |
Santander UK PLC, 5.00%, 11/07/23(a) | | | | | | | 617 | | | | 615,464 | |
Sumitomo Mitsui Financial Group, Inc.
0.95%, 01/12/26 | | | | | | | 400 | | | | 358,210 | |
5.46%, 01/13/26 | | | | | | | 1,040 | | | | 1,029,650 | |
2.17%, 01/14/27 | | | | | | | 802 | | | | 713,324 | |
Toronto-Dominion Bank (The), 5.52%, 07/17/28 | | | | | | | 503 | | | | 496,481 | |
Wells Fargo & Co.
3.91%, 04/25/26 | | | | | | | 1,235 | | | | 1,189,988 | |
3.58%, 05/22/28 | | | | | | | 1,260 | | | | 1,153,521 | |
5.57%, 07/25/29 | | | | | | | 2,070 | | | | 2,019,475 | |
2.88%, 10/30/30 | | | | | | | 160 | | | | 133,193 | |
4.90%, 07/25/33 | | | | | | | 1,360 | | | | 1,230,800 | |
5.39%, 04/24/34 | | | | | | | 1,254 | | | | 1,172,374 | |
5.61%, 01/15/44 | | | | | | | 525 | | | | 465,549 | |
4.40%, 06/14/46 | | | | | | | 192 | | | | 142,091 | |
5.01%, 04/04/51 | | | | | | | 630 | | | | 529,347 | |
Wells Fargo Bank N.A., 5.55%, 08/01/25 | | | | | | | 1,433 | | | | 1,428,283 | |
Westpac Banking Corp.
2.67%, 11/15/35 | | | | | | | 284 | | | | 212,767 | |
3.13%, 11/18/41 | | | | | | | 141 | | | | 86,649 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 47,132,995 | |
| | | |
| Beverages — 0.9% | | | | | | | | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 | | | | | | | 780 | | | | 679,804 | |
Anheuser-Busch InBev Finance, Inc., 4.90%, 02/01/46 | | | | | | | 310 | | | | 270,179 | |
Anheuser-Busch InBev Worldwide, Inc.
4.00%, 04/13/28 | | | | | | | 530 | | | | 501,533 | |
4.75%, 01/23/29 | | | | | | | 501 | | | | 485,752 | |
4.95%, 01/15/42 | | | | | | | 95 | | | | 86,293 | |
4.60%, 04/15/48 | | | | | | | 120 | | | | 101,425 | |
4.44%, 10/06/48 | | | | | | | 535 | | | | 440,529 | |
5.55%, 01/23/49 | | | | | | | 624 | | | | 597,662 | |
5.80%, 01/23/59 | | | | | | | 228 | | | | 223,039 | |
Keurig Dr Pepper, Inc., 4.50%, 04/15/52 | | | | | | | 114 | | | | 89,975 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,476,191 | |
| | | |
| Biotechnology — 2.1% | | | | | | | | | |
AbbVie, Inc.
3.60%, 05/14/25 | | | | | | | 1,706 | | | | 1,648,768 | |
2.95%, 11/21/26 | | | | | | | 233 | | | | 216,226 | |
4.63%, 10/01/42 | | | | | | | 216 | | | | 181,921 | |
4.40%, 11/06/42 | | | | | | | 693 | | | | 576,203 | |
4.75%, 03/15/45 | | | | | | | 212 | | | | 181,972 | |
4.45%, 05/14/46 | | | | | | | 680 | | | | 555,524 | |
4.88%, 11/14/48 | | | | | | | 230 | | | | 200,994 | |
Amgen, Inc.
5.25%, 03/02/33 | | | | | | | 849 | | | | 811,609 | |
3.00%, 01/15/52 | | | | | | | 106 | | | | 64,035 | |
4.20%, 02/22/52 | | | | | | | 435 | | | | 325,796 | |
4.88%, 03/01/53 | | | | | | | 898 | | | | 746,855 | |
5.65%, 03/02/53 | | | | | | | 64 | | | | 59,899 | |
2.77%, 09/01/53 | | | | | | | 1,249 | | | | 696,019 | |
Gilead Sciences, Inc.
4.50%, 02/01/45 | | | | | | | 126 | | | | 104,963 | |
4.75%, 03/01/46 | | | | | | | 171 | | | | 146,426 | |
4.15%, 03/01/47 | | | | | | | 544 | | | | 429,776 | |
2.80%, 10/01/50 | | | | | | | 856 | | | | 517,026 | |
5.55%, 10/15/53 | | | | | | | 475 | | | | 456,687 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,920,699 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
Broadline Retail — 0.7% | | | | | | | | | | | | |
Alibaba Group Holding Ltd.
4.20%, 12/06/47 | | | USD | | | | 200 | | | $ | 139,294 | |
3.15%, 02/09/51 | | | | | | | 500 | | | | 282,270 | |
Amazon.com, Inc.
3.15%, 08/22/27 | | | | | | | 1,370 | | | | 1,274,319 | |
4.05%, 08/22/47 | | | | | | | 295 | | | | 237,059 | |
3.10%, 05/12/51 | | | | | | | 197 | | | | 130,004 | |
3.95%, 04/13/52 | | | | | | | 115 | | | | 88,889 | |
2.70%, 06/03/60 | | | | | | | 362 | | | | 204,830 | |
3.25%, 05/12/61 | | | | | | | 400 | | | | 256,436 | |
4.10%, 04/13/62 | | | | | | | 185 | | | | 140,833 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,753,934 | |
| | | |
| Capital Markets — 5.3% | | | | | | | | | |
Charles Schwab Corp. (The)
5.88%, 08/24/26 | | | | | | | 780 | | | | 777,431 | |
6.14%, 08/24/34 | | | | | | | 320 | | | | 311,282 | |
Credit Suisse AG
4.75%, 08/09/24 | | | | | | | 734 | | | | 723,569 | |
7.95%, 01/09/25 | | | | | | | 545 | | | | 554,637 | |
3.70%, 02/21/25 | | | | | | | 800 | | | | 771,172 | |
2.95%, 04/09/25 | | | | | | | 757 | | | | 719,297 | |
Deutsche Bank AG
1.45%, 04/01/25 | | | | | | | 190 | | | | 184,699 | |
6.72%, 01/18/29 | | | | | | | 985 | | | | 979,146 | |
7.08%, 02/10/34 | | | | | | | 515 | | | | 465,427 | |
Goldman Sachs Group, Inc. (The)
2.60%, 02/07/30 | | | | | | | 500 | | | | 409,500 | |
1.99%, 01/27/32 | | | | | | | 717 | | | | 537,479 | |
2.62%, 04/22/32 | | | | | | | 830 | | | | 648,294 | |
2.38%, 07/21/32 | | | | | | | 268 | | | | 204,106 | |
2.65%, 10/21/32 | | | | | | | 725 | | | | 559,604 | |
6.45%, 05/01/36 | | | | | | | 21 | | | | 20,881 | |
Series VAR, 1.09%, 12/09/26 | | | | | | | 37 | | | | 33,105 | |
Intercontinental Exchange, Inc.
1.85%, 09/15/32 | | | | | | | 113 | | | | 82,650 | |
4.60%, 03/15/33 | | | | | | | 345 | | | | 316,383 | |
4.25%, 09/21/48 | | | | | | | 151 | | | | 118,016 | |
Morgan Stanley
3.62%, 04/17/25 | | | | | | | 855 | | | | 841,539 | |
2.19%, 04/28/26 | | | | | | | 70 | | | | 65,757 | |
4.68%, 07/17/26 | | | | | | | 1,520 | | | | 1,480,739 | |
1.59%, 05/04/27 | | | | | | | 1,390 | | | | 1,237,211 | |
1.51%, 07/20/27 | | | | | | | 735 | | | | 649,439 | |
3.77%, 01/24/29 | | | | | | | 300 | | | | 273,556 | |
5.12%, 02/01/29 | | | | | | | 725 | | | | 698,186 | |
5.16%, 04/20/29 | | | | | | | 714 | | | | 686,907 | |
5.45%, 07/20/29 | | | | | | | 425 | | | | 414,149 | |
2.70%, 01/22/31 | | | | | | | 470 | | | | 384,277 | |
2.94%, 01/21/33 | | | | | | | 230 | | | | 181,127 | |
4.46%, 04/22/39 | | | | | | | 156 | | | | 130,261 | |
3.22%, 04/22/42 | | | | | | | 815 | | | | 561,532 | |
4.30%, 01/27/45 | | | | | | | 260 | | | | 205,428 | |
Northern Trust Corp.,
3.95%, 10/30/25 | | | | | | | 69 | | | | 66,495 | |
UBS Group AG
3.09%, 05/14/32(a) | | | | | | | 735 | | | | 580,539 | |
9.02%, 11/15/33(a) | | | | | | | 2,000 | | | | 2,309,629 | |
6.30%, 09/22/34(a) | | | | | | | 1,275 | | | | 1,245,240 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 20,428,689 | |
| | | |
| Chemicals — 0.8% | | | | | | | | | |
DuPont de Nemours, Inc., 5.32%, 11/15/38 | | | | | | | 297 | | | | 277,813 | |
Eastman Chemical Co.
5.75%, 03/08/33 | | | | | | | 921 | | | | 880,004 | |
| | |
| 48 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
Chemicals (continued) | | | | | | | | | | | | |
Eastman Chemical Co.
4.80%, 09/01/42 | | | USD | | | | 36 | | | $ | 28,967 | |
4.65%, 10/15/44 | | | | | | | 177 | | | | 136,040 | |
Ecolab, Inc., 2.70%, 12/15/51 | | | | | | | 427 | | | | 249,474 | |
Nutrien Ltd. 5.90%, 11/07/24 | | | | | | | 246 | | | | 245,312 | |
4.90%, 03/27/28 | | | | | | | 555 | | | | 536,028 | |
5.80%, 03/27/53 | | | | | | | 33 | | | | 30,313 | |
Sherwin-Williams Co. (The)
3.45%, 08/01/25 | | | | | | | 135 | | | | 129,584 | |
4.25%, 08/08/25 | | | | | | | 169 | | | | 164,341 | |
2.95%, 08/15/29 | | | | | | | 133 | | | | 114,917 | |
2.30%, 05/15/30 | | | | | | | 203 | | | | 165,174 | |
4.50%, 06/01/47 | | | | | | | 49 | | | | 39,184 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,997,151 | |
| | | |
| Commercial Services & Supplies — 0.2% | | | | | | | | | |
GATX Corp., 4.35%, 02/15/24 | | | | | | | 510 | | | | 506,225 | |
Republic Services, Inc.
0.88%, 11/15/25 | | | | | | | 40 | | | | 36,188 | |
4.88%, 04/01/29 | | | | | | | 180 | | | | 174,935 | |
2.30%, 03/01/30 | | | | | | | 131 | | | | 107,728 | |
1.45%, 02/15/31 | | | | | | | 133 | | | | 99,942 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 925,018 | |
| | | |
| Communications Equipment — 0.1% | | | | | | | | | |
Motorola Solutions, Inc., 2.75%, 05/24/31 | | | | | | | 567 | | | | 447,845 | |
| | | | | | | | | | | | |
| | | |
| Consumer Finance — 3.1% | | | | | | | | | |
Ally Financial, Inc., 5.75%, 11/20/25 | | | | | | | 1,023 | | | | 993,699 | |
American Express Co., 4.90%, 02/13/26 | | | | | | | 59 | | | | 57,884 | |
Capital One Financial Corp.
2.64%, 03/03/26 | | | | | | | 1,295 | | | | 1,222,180 | |
3.75%, 07/28/26 | | | | | | | 122 | | | | 113,115 | |
3.80%, 01/31/28 | | | | | | | 425 | | | | 383,314 | |
2.36%, 07/29/32 | | | | | | | 410 | | | | 280,955 | |
2.62%, 11/02/32 | | | | | | | 275 | | | | 201,514 | |
5.82%, 02/01/34 | | | | | | | 940 | | | | 847,127 | |
6.38%, 06/08/34 | | | | | | | 520 | | | | 490,732 | |
General Motors Financial Co., Inc.
5.10%, 01/17/24 | | | | | | | 81 | | | | 80,742 | |
2.90%, 02/26/25 | | | | | | | 542 | | | | 517,103 | |
4.35%, 04/09/25 | | | | | | | 284 | | | | 276,131 | |
5.80%, 06/23/28 | | | | | | | 596 | | | | 582,245 | |
Hyundai Capital America
1.00%, 09/17/24(a) | | | | | | | 3,846 | | | | 3,663,843 | |
5.80%, 06/26/25(a) | | | | | | | 965 | | | | 960,928 | |
1.80%, 10/15/25(a) | | | | | | | 114 | | | | 104,824 | |
6.10%, 09/21/28(a) | | | | | | | 79 | | | | 78,436 | |
Toyota Motor Credit Corp.
4.55%, 09/20/27 | | | | | | | 613 | | | | 596,328 | |
2.15%, 02/13/30 | | | | | | | 469 | | | | 386,772 | |
4.55%, 05/17/30 | | | | | | | 129 | | | | 122,257 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,960,129 | |
| |
| Consumer Staples Distribution & Retail — 0.6% | | | | |
7-Eleven, Inc.
0.80%, 02/10/24(a) | | | | | | | 525 | | | | 515,023 | |
0.95%, 02/10/26(a) | | | | | | | 755 | | | | 675,495 | |
CVS Health Corp.
5.00%, 02/20/26 | | | | | | | 659 | | | | 648,770 | |
5.13%, 07/20/45 | | | | | | | 296 | | | | 249,086 | |
4.25%, 04/01/50 | | | | | | | 215 | | | | 159,068 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,247,442 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
Containers & Packaging — 0.9% | | | | | | | | | | | | |
Berry Global, Inc., 1.57%, 01/15/26 | | | USD | | | | 1,938 | | | $ | 1,751,824 | |
WRKCo, Inc., 3.90%, 06/01/28 | | | | | | | 1,802 | | | | 1,647,895 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,399,719 | |
| | | |
| Diversified Consumer Services — 0.4% | | | | | | | | | |
Johns Hopkins University, Series A, 4.71%, 07/01/32 | | | | | | | 1,050 | | | | 1,008,889 | |
Northwestern University, 4.64%, 12/01/44 | | | | | | | 255 | | | | 228,492 | |
University of Miami, Series 2022, 4.06%, 04/01/52 | | | | | | | 170 | | | | 129,876 | |
University of Southern California, Series 2017, 3.84%, 10/01/47 | | | | | | | 205 | | | | 158,712 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,525,969 | |
| | | |
| Diversified REITs — 1.9% | | | | | | | | | |
American Tower Corp.
3.95%, 03/15/29 | | | | | | | 215 | | | | 194,476 | |
3.80%, 08/15/29 | | | | | | | 450 | | | | 400,280 | |
2.90%, 01/15/30 | | | | | | | 281 | | | | 233,460 | |
2.10%, 06/15/30 | | | | | | | 380 | | | | 295,744 | |
2.70%, 04/15/31 | | | | | | | 1,071 | | | | 849,375 | |
2.30%, 09/15/31 | | | | | | | 196 | | | | 148,744 | |
5.65%, 03/15/33 | | | | | | | 494 | | | | 474,866 | |
Crown Castle, Inc.
3.65%, 09/01/27 | | | | | | | 230 | | | | 211,139 | |
3.80%, 02/15/28 | | | | | | | 250 | | | | 229,224 | |
4.30%, 02/15/29 | | | | | | | 55 | | | | 50,785 | |
3.10%, 11/15/29 | | | | | | | 260 | | | | 221,176 | |
2.25%, 01/15/31 | | | | | | | 350 | | | | 271,624 | |
2.10%, 04/01/31 | | | | | | | 100 | | | | 76,286 | |
2.50%, 07/15/31 | | | | | | | 445 | | | | 347,047 | |
5.10%, 05/01/33 | | | | | | | 160 | | | | 147,927 | |
2.90%, 04/01/41 | | | | | | | 280 | | | | 179,743 | |
4.15%, 07/01/50 | | | | | | | 30 | | | | 21,322 | |
3.25%, 01/15/51 | | | | | | | 60 | | | | 36,454 | |
Equinix, Inc.
2.90%, 11/18/26 | | | | | | | 207 | | | | 190,015 | |
3.20%, 11/18/29 | | | | | | | 123 | | | | 105,329 | |
2.50%, 05/15/31 | | | | | | | 411 | | | | 320,827 | |
3.00%, 07/15/50 | | | | | | | 213 | | | | 125,514 | |
2.95%, 09/15/51 | | | | | | | 345 | | | | 198,084 | |
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/30 | | | | | | | 176 | | | | 149,258 | |
VICI Properties LP
5.13%, 05/15/32 | | | | | | | 1,069 | | | | 956,833 | |
5.63%, 05/15/52 | | | | | | | 220 | | | | 182,181 | |
VICI Properties LP/VICI Note Co., Inc., 4.13%, 08/15/30(a) | | | | | | | 760 | | | | 646,289 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,264,002 | |
| |
| Diversified Telecommunication Services — 2.7% | | | | |
AT&T Inc.
4.35%, 03/01/29 | | | | | | | 21 | | | | 19,543 | |
4.50%, 05/15/35 | | | | | | | 2,380 | | | | 2,030,076 | |
4.90%, 08/15/37 | | | | | | | 250 | | | | 216,571 | |
3.50%, 06/01/41 | | | | | | | 387 | | | | 268,861 | |
3.65%, 06/01/51 | | | | | | | 220 | | | | 141,855 | |
NTT Finance Corp., 1.16%, 04/03/26(a) | | | | | | | 1,395 | | | | 1,252,131 | |
Sprint Capital Corp., 6.88%, 11/15/28 | | | | | | | 1,580 | | | | 1,631,344 | |
Telefonica Emisiones SAU
4.10%, 03/08/27 | | | | | | | 450 | | | | 424,031 | |
4.90%, 03/06/48 | | | | | | | 360 | | | | 272,680 | |
Verizon Communications, Inc.
3.88%, 02/08/29 | | | | | | | 250 | | | | 228,937 | |
1.50%, 09/18/30 | | | | | | | 810 | | | | 614,462 | |
2.36%, 03/15/32 | | | | | | | 2,227 | | | | 1,699,108 | |
| | |
SCHEDULES OF INVESTMENTS | | 49 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| |
Diversified Telecommunication Services (continued) | | | | | |
Verizon Communications, Inc.
5.05%, 05/09/33 | | | USD | | | | 205 | | | $ | 191,510 | |
5.85%, 09/15/35 | | | | | | | 690 | | | | 670,825 | |
4.81%, 03/15/39 | | | | | | | 43 | | | | 37,055 | |
2.65%, 11/20/40 | | | | | | | 340 | | | | 215,226 | |
3.40%, 03/22/41 | | | | | | | 136 | | | | 96,416 | |
2.85%, 09/03/41 | | | | | | | 350 | | | | 226,270 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,236,901 | |
| | | |
| Electric Utilities — 8.8% | | | | | | | | | |
AES Corp. (The)
1.38%, 01/15/26 | | | | | | | 1,007 | | | | 896,748 | |
3.95%, 07/15/30(a) | | | | | | | 158 | | | | 136,183 | |
2.45%, 01/15/31 | | | | | | | 659 | | | | 506,814 | |
Alabama Power Co., 3.94%, 09/01/32 | | | | | | | 551 | | | | 485,688 | |
Baltimore Gas & Electric Co.
3.50%, 08/15/46 | | | | | | | 305 | | | | 207,900 | |
3.20%, 09/15/49 | | | | | | | 283 | | | | 182,259 | |
2.90%, 06/15/50 | | | | | | | 20 | | | | 11,915 | |
Colbun SA, 3.15%, 01/19/32(a) | | | | | | | 615 | | | | 493,614 | |
Duke Energy Carolinas LLC
3.95%, 11/15/28 | | | | | | | 379 | | | | 355,638 | |
3.95%, 03/15/48 | | | | | | | 378 | | | | 277,884 | |
3.20%, 08/15/49 | | | | | | | 976 | | | | 625,493 | |
Duke Energy Corp.
5.00%, 12/08/25 | | | | | | | 280 | | | | 276,067 | |
2.65%, 09/01/26 | | | | | | | 199 | | | | 183,044 | |
2.45%, 06/01/30 | | | | | | | 24 | | | | 19,487 | |
Duke Energy Florida LLC
2.50%, 12/01/29 | | | | | | | 1,261 | | | | 1,068,873 | |
3.85%, 11/15/42 | | | | | | | 273 | | | | 202,902 | |
Duke Energy Progress LLC
3.45%, 03/15/29 | | | | | | | 583 | | | | 528,623 | |
6.30%, 04/01/38 | | | | | | | 48 | | | | 48,606 | |
4.10%, 03/15/43 | | | | | | | 185 | | | | 142,630 | |
3.70%, 10/15/46 | | | | | | | 25 | | | | 17,346 | |
3.60%, 09/15/47 | | | | | | | 345 | | | | 240,216 | |
5.35%, 03/15/53 | | | | | | | 526 | | | | 478,087 | |
Edison International
5.75%, 06/15/27 | | | | | | | 274 | | | | 271,465 | |
4.13%, 03/15/28 | | | | | | | 119 | | | | 109,611 | |
5.25%, 11/15/28 | | | | | | | 657 | | | | 632,127 | |
6.95%, 11/15/29 | | | | | | | 397 | | | | 409,430 | |
Emera U.S. Finance LP, 0.83%, 06/15/24 | | | | | | | 420 | | | | 403,448 | |
Enel Finance International NV, 1.38%, 07/12/26(a) | | | | | | | 1,145 | | | | 1,011,146 | |
Eversource Energy
2.90%, 03/01/27 | | | | | | | 54 | | | | 49,310 | |
4.60%, 07/01/27 | | | | | | | 188 | | | | 180,819 | |
5.45%, 03/01/28 | | | | | | | 287 | | | | 283,675 | |
Exelon Corp.
4.05%, 04/15/30 | | | | | | | 63 | | | | 56,701 | |
4.70%, 04/15/50 | | | | | | | 135 | | | | 107,894 | |
FirstEnergy Corp., Series B, 4.15%, 07/15/27 | | | | | | | 150 | | | | 139,421 | |
FirstEnergy Transmission LLC
4.35%, 01/15/25(a) | | | | | | | 965 | | | | 941,943 | |
4.55%, 04/01/49(a) | | | | | | | 55 | | | | 43,058 | |
Florida Power & Light Co.
5.95%, 02/01/38 | | | | | | | 427 | | | | 432,003 | |
3.15%, 10/01/49 | | | | | | | 140 | | | | 91,127 | |
2.88%, 12/04/51 | | | | | | | 167 | | | | 101,103 | |
Georgia Power Co.
4.70%, 05/15/32 | | | | | | | 964 | | | | 893,157 | |
4.95%, 05/17/33 | | | | | | | 272 | | | | 254,956 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
Electric Utilities (continued) | | | | | | | | | | | | |
Interstate Power & Light Co.
3.25%, 12/01/24 | | | USD | | | | 350 | | | $ | 339,041 | |
3.40%, 08/15/25 | | | | | | | 134 | | | | 127,771 | |
MidAmerican Energy Co.
3.65%, 04/15/29 | | | | | | | 674 | | | | 615,798 | |
4.25%, 07/15/49 | | | | | | | 21 | | | | 16,397 | |
NextEra Energy Capital Holdings, Inc.
6.05%, 03/01/25 | | | | | | | 303 | | | | 303,458 | |
5.75%, 09/01/25 | | | | | | | 647 | | | | 645,183 | |
4.90%, 02/28/28 | | | | | | | 415 | | | | 401,649 | |
2.25%, 06/01/30 | | | | | | | 287 | | | | 229,763 | |
Northern States Power Co.
2.60%, 06/01/51 | | | | | | | 298 | | | | 168,501 | |
4.50%, 06/01/52 | | | | | | | 325 | | | | 264,029 | |
NRG Energy, Inc., 2.45%, 12/02/27(a) | | | | | | | 558 | | | | 472,998 | |
Ohio Power Co.
4.00%, 06/01/49 | | | | | | | 469 | | | | 341,817 | |
Series D, 6.60%, 03/01/33 | | | | | | | 612 | | | | 634,676 | |
Series R, 2.90%, 10/01/51 | | | | | | | 141 | | | | 83,577 | |
Oncor Electric Delivery Co. LLC
3.70%, 11/15/28 | | | | | | | 315 | | | | 291,845 | |
3.75%, 04/01/45 | | | | | | | 334 | | | | 246,904 | |
3.80%, 06/01/49 | | | | | | | 98 | | | | 71,036 | |
2.70%, 11/15/51 | | | | | | | 324 | | | | 184,614 | |
Pacific Gas & Electric Co.
3.45%, 07/01/25 | | | | | | | 975 | | | | 924,915 | |
3.30%, 12/01/27 | | | | | | | 565 | | | | 499,200 | |
2.50%, 02/01/31 | | | | | | | 315 | | | | 239,646 | |
4.45%, 04/15/42 | | | | | | | 45 | | | | 32,147 | |
4.00%, 12/01/46 | | | | | | | 136 | | | | 86,194 | |
4.95%, 07/01/50 | | | | | | | 678 | | | | 505,360 | |
3.50%, 08/01/50 | | | | | | | 525 | | | | 312,537 | |
5.25%, 03/01/52 | | | | | | | 470 | | | | 362,227 | |
6.70%, 04/01/53 | | | | | | | 280 | | | | 262,964 | |
PacifiCorp
2.90%, 06/15/52 | | | | | | | 330 | | | | 181,634 | |
5.35%, 12/01/53 | | | | | | | 560 | | | | 464,785 | |
5.50%, 05/15/54 | | | | | | | 35 | | | | 29,684 | |
PECO Energy Co.
4.90%, 06/15/33 | | | | | | | 739 | | | | 703,012 | |
3.70%, 09/15/47 | | | | | | | 114 | | | | 82,322 | |
4.38%, 08/15/52 | | | | | | | 329 | | | | 263,069 | |
Public Service Co. of Colorado, Series 36, 2.70%, 01/15/51 | | | | | | | 341 | | | | 190,743 | |
Public Service Electric & Gas Co.
4.90%, 12/15/32 | | | | | | | 895 | | | | 858,297 | |
4.65%, 03/15/33 | | | | | | | 294 | | | | 276,352 | |
3.20%, 08/01/49 | | | | | | | 200 | | | | 131,710 | |
2.05%, 08/01/50 | | | | | | | 79 | | | | 40,343 | |
3.00%, 03/01/51 | | | | | | | 311 | | | | 194,378 | |
San Diego Gas & Electric Co.
4.95%, 08/15/28 | | | | | | | 895 | | | | 871,284 | |
3.70%, 03/15/52 | | | | | | | 285 | | | | 197,426 | |
5.35%, 04/01/53 | | | | | | | 408 | | | | 370,534 | |
Series TTT, 4.10%, 06/15/49 | | | | | | | 177 | | | | 131,182 | |
Series WWW, 2.95%, 08/15/51 | | | | | | | 36 | | | | 21,799 | |
Southern California Edison Co.
1.10%, 04/01/24 | | | | | | | 1,135 | | | | 1,108,556 | |
4.00%, 04/01/47 | | | | | | | 413 | | | | 298,624 | |
3.45%, 02/01/52 | | | | | | | 152 | | | | 96,910 | |
5.70%, 03/01/53 | | | | | | | 345 | | | | 316,970 | |
Series 20A, 2.95%, 02/01/51 | | | | | | | 210 | | | | 124,114 | |
| | |
| 50 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Electric Utilities (continued) | |
Southern California Edison Co. | | | | | | | | | | | | |
Series B, 4.88%, 03/01/49 | | | USD | | | | 69 | | | $ | 56,374 | |
Series E, 3.70%, 08/01/25 | | | | | | | 355 | | | | 341,444 | |
Series E, 5.45%, 06/01/52 | | | | | | | 471 | | | | 415,567 | |
Series H, 3.65%, 06/01/51 | | | | | | | 230 | | | | 152,636 | |
Tampa Electric Co.
4.30%, 06/15/48 | | | | | | | 240 | | | | 182,661 | |
4.45%, 06/15/49 | | | | | | | 39 | | | | 30,359 | |
3.45%, 03/15/51 | | | | | | | 170 | | | | 109,359 | |
Vistra Operations Co. LLC
3.55%, 07/15/24(a) | | | | | | | 1,315 | | | | 1,282,478 | |
5.13%, 05/13/25(a) | | | | | | | 1,793 | | | | 1,747,139 | |
Wisconsin Electric Power Co., 2.05%, 12/15/24 | | | | | | | 291 | | | | 277,948 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 34,012,351 | |
|
| Electrical Equipment — 0.1% | |
Otis Worldwide Corp., 5.25%, 08/16/28 | | | | | | | 339 | | | | 333,227 | |
| | | | | | | | |
|
| Energy Equipment & Services — 0.1% | |
Halliburton Co.
3.80%, 11/15/25 | | | | | | | 109 | | | | 105,389 | |
2.92%, 03/01/30 | | | | | | | 371 | | | | 315,972 | |
5.00%, 11/15/45 | | | | | | | 138 | | | | 116,981 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 538,342 | |
|
| Financial Services — 1.7% | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | | | | | | | | |
6.10%, 01/15/27 | | | | | | | 1,065 | | | | 1,059,786 | |
5.75%, 06/06/28 | | | | | | | 1,195 | | | | 1,167,479 | |
3.00%, 10/29/28 | | | | | | | 150 | | | | 128,622 | |
Aviation Capital Group LLC
1.95%, 01/30/26(a) | | | | | | | 344 | | | | 309,271 | |
1.95%, 09/20/26(a) | | | | | | | 1,214 | | | | 1,059,879 | |
Fidelity National Information Services, Inc.
1.15%, 03/01/26 | | | | | | | 729 | | | | 653,119 | |
4.70%, 07/15/27 | | | | | | | 407 | | | | 394,498 | |
Glencore Funding LLC
5.70%, 05/08/33(a) | | | | | | | 801 | | | | 759,532 | |
6.50%, 10/06/33(a) | | | | | | | 813 | | | | 811,566 | |
Nasdaq, Inc., 5.55%, 02/15/34 | | | | | | | 407 | | | | 388,462 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 6,732,214 | |
|
| Food Products — 0.4% | |
General Mills, Inc.
2.25%, 10/14/31 | | | | | | | 119 | | | | 92,858 | |
4.95%, 03/29/33 | | | | | | | 363 | | | | 340,122 | |
3.00%, 02/01/51 | | | | | | | 82 | | | | 50,767 | |
Kraft Heinz Foods Co.
3.00%, 06/01/26 | | | | | | | 248 | | | | 232,481 | |
4.88%, 10/01/49 | | | | | | | 838 | | | | 699,509 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 1,415,737 | |
|
| Ground Transportation — 2.0% | |
Burlington Northern Santa Fe LLC
5.75%, 05/01/40 | | | | | | | 350 | | | | 347,454 | |
4.40%, 03/15/42 | | | | | | | 235 | | | | 195,417 | |
4.90%, 04/01/44 | | | | | | | 385 | | | | 340,686 | |
3.55%, 02/15/50 | | | | | | | 177 | | | | 125,782 | |
2.88%, 06/15/52 | | | | | | | 235 | | | | 144,551 | |
Canadian National Railway Co., 3.85%, 08/05/32 | | | | | | | 436 | | | | 388,352 | |
Canadian Pacific Railway Co., 2.05%, 03/05/30 | | | | | | | 45 | | | | 36,346 | |
CSX Corp.
4.25%, 03/15/29 | | | | | | | 150 | | | | 142,077 | |
4.75%, 11/15/48 | | | | | | | 71 | | | | 60,035 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Ground Transportation (continued) | |
CSX Corp.
2.50%, 05/15/51 | | | USD | | | | 254 | | | $ | 141,368 | |
Norfolk Southern Corp.
3.80%, 08/01/28 | | | | | | | 378 | | | | 352,084 | |
5.05%, 08/01/30 | | | | | | | 295 | | | | 284,233 | |
4.45%, 03/01/33 | | | | | | | 597 | | | | 545,163 | |
4.45%, 06/15/45 | | | | | | | 40 | | | | 31,961 | |
3.94%, 11/01/47 | | | | | | | 170 | | | | 126,452 | |
4.15%, 02/28/48 | | | | | | | 5 | | | | 3,829 | |
3.40%, 11/01/49 | | | | | | | 100 | | | | 66,008 | |
3.05%, 05/15/50 | | | | | | | 463 | | | | 287,212 | |
3.70%, 03/15/53 | | | | | | | 355 | | | | 244,093 | |
5.35%, 08/01/54 | | | | | | | 185 | | | | 169,007 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.
3.45%, 07/01/24(a) | | | | | | | 60 | | | | 58,850 | |
4.00%, 07/15/25(a) | | | | | | | 2,045 | | | | 1,964,155 | |
6.05%, 08/01/28(a) | | | | | | | 540 | | | | 533,226 | |
Ryder System, Inc., 5.25%, 06/01/28 | | | | | | | 607 | | | | 590,758 | |
Union Pacific Corp.
4.05%, 03/01/46 | | | | | | | 105 | | | | 79,915 | |
4.50%, 09/10/48 | | | | | | | 182 | | | | 150,339 | |
3.50%, 02/14/53 | | | | | | | 113 | | | | 78,385 | |
3.95%, 08/15/59 | | | | | | | 104 | | | | 74,670 | |
3.84%, 03/20/60 | | | | | | | 422 | | | | 295,757 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 7,858,165 | |
|
| Health Care Equipment & Supplies — 1.2% | |
Abbott Laboratories
3.75%, 11/30/26 | | | | | | | 135 | | | | 129,558 | |
4.75%, 11/30/36 | | | | | | | 71 | | | | 67,453 | |
5.30%, 05/27/40 | | | | | | | 167 | | | | 163,858 | |
4.75%, 04/15/43 | | | | | | | 170 | | | | 154,039 | |
Baxter International, Inc., 2.54%, 02/01/32 | | | | | | | 695 | | | | 538,196 | |
Becton Dickinson & Co.
3.73%, 12/15/24 | | | | | | | 48 | | | | 46,815 | |
3.70%, 06/06/27 | | | | | | | 796 | | | | 745,962 | |
4.69%, 02/13/28 | | | | | | | 103 | | | | 99,856 | |
GE HealthCare Technologies, Inc., 5.55%, 11/15/24 | | | | | | | 775 | | | | 771,115 | |
Medtronic Global Holdings SCA
4.25%, 03/30/28 | | | | | | | 440 | | | | 421,154 | |
4.50%, 03/30/33 | | | | | | | 183 | | | | 170,475 | |
Medtronic, Inc., 4.38%, 03/15/35 | | | | | | | 407 | | | | 368,658 | |
Thermo Fisher Scientific, Inc.
2.00%, 10/15/31 | | | | | | | 194 | | | | 150,465 | |
4.95%, 11/21/32 | | | | | | | 426 | | | | 409,477 | |
5.09%, 08/10/33 | | | | | | | 414 | | | | 400,316 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 4,637,397 | |
|
| Health Care Providers & Services — 2.4% | |
Aetna, Inc.
3.50%, 11/15/24 | | | | | | | 656 | | | | 638,770 | |
3.88%, 08/15/47 | | | | | | | 313 | | | | 219,337 | |
Banner Health, 2.91%, 01/01/42 | | | | | | | 183 | | | | 123,848 | |
Centene Corp.
4.63%, 12/15/29 | | | | | | | 1,307 | | | | 1,177,123 | |
3.38%, 02/15/30 | | | | | | | 58 | | | | 48,376 | |
2.50%, 03/01/31 | | | | | | | 297 | | | | 228,161 | |
CommonSpirit Health
3.35%, 10/01/29 | | | | | | | 450 | | | | 392,853 | |
2.78%, 10/01/30 | | | | | | | 139 | | | | 114,412 | |
3.91%, 10/01/50 | | | | | | | 340 | | | | 241,133 | |
Elevance Health, Inc.
2.38%, 01/15/25 | | | | | | | 35 | | | | 33,421 | |
5.50%, 10/15/32 | | | | | | | 428 | | | | 421,253 | |
| | |
SCHEDULES OF INVESTMENTS | | 51 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Elevance Health, Inc. | | | | | | | | | | | | |
4.65%, 01/15/43 | | | USD | | | | 47 | | | $ | 39,448 | |
5.10%, 01/15/44 | | | | | | | 298 | | | | 261,436 | |
4.65%, 08/15/44 | | | | | | | 222 | | | | 183,675 | |
3.13%, 05/15/50 | | | | | | | 28 | | | | 17,612 | |
HCA, Inc. | | | | | | | | | | | | |
3.63%, 03/15/32 | | | | | | | 625 | | | | 518,055 | |
5.50%, 06/01/33 | | | | | | | 441 | | | | 417,064 | |
5.25%, 06/15/49 | | | | | | | 410 | | | | 336,810 | |
3.50%, 07/15/51 | | | | | | | 305 | | | | 190,469 | |
4.63%, 03/15/52 | | | | | | | 520 | | | | 390,414 | |
Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52 | | | | | | | 251 | | | | 184,226 | |
Memorial Health Services, 3.45%, 11/01/49 | | | | | | | 265 | | | | 181,713 | |
Mount Nittany Medical Center Obligated Group, Series 2022, 3.80%, 11/15/52 | | | | | | | 140 | | | | 99,398 | |
Nationwide Children’s Hospital, Inc., 4.56%, 11/01/52 | | | | | | | 105 | | | | 88,961 | |
RWJ Barnabas Health, Inc., 3.48%, 07/01/49 | | | | | | | 310 | | | | 212,786 | |
Sutter Health | | | | | | | | | | | | |
Series 20A, 2.29%, 08/15/30 | | | | | | | 388 | | | | 313,014 | |
Series 20A, 3.36%, 08/15/50 | | | | | | | 177 | | | | 115,690 | |
UnitedHealth Group, Inc. | | | | | | | | | | | | |
3.50%, 08/15/39 | | | | | | | 433 | | | | 333,408 | |
2.75%, 05/15/40 | | | | | | | 215 | | | | 146,078 | |
5.70%, 10/15/40 | | | | | | | 382 | | | | 375,107 | |
4.63%, 11/15/41 | | | | | | | 370 | | | | 319,446 | |
4.25%, 06/15/48 | | | | | | | 40 | | | | 31,935 | |
3.70%, 08/15/49 | | | | | | | 150 | | | | 107,971 | |
3.25%, 05/15/51 | | | | | | | 48 | | | | 31,544 | |
4.75%, 05/15/52 | | | | | | | 60 | | | | 51,159 | |
5.88%, 02/15/53 | | | | | | | 385 | | | | 386,370 | |
3.88%, 08/15/59 | | | | | | | 41 | | | | 29,167 | |
6.05%, 02/15/63 | | | | | | | 200 | | | | 202,360 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 9,204,003 | |
|
| Health Care REITs — 0.6% | |
Healthpeak OP LLC | | | | | | | | | | | | |
3.00%, 01/15/30 | | | | | | | 202 | | | | 170,664 | |
5.25%, 12/15/32 | | | | | | | 312 | | | | 290,181 | |
Ventas Realty LP, 3.00%, 01/15/30 | | | | | | | 355 | | | | 294,607 | |
Welltower OP LLC | | | | | | | | | | | | |
4.13%, 03/15/29 | | | | | | | 171 | | | | 156,156 | |
3.10%, 01/15/30 | | | | | | | 457 | | | | 386,878 | |
3.85%, 06/15/32 | | | | | | | 1,281 | | | | 1,092,651 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,391,137 | |
|
| Industrial Conglomerates — 0.1% | |
Siemens Financieringsmaatschappij NV, 2.88%, 03/11/41(a) | | | | | | | 795 | | | | 556,376 | |
| | | | | | | | |
|
| Industrial REITs — 0.4% | |
Prologis LP | | | | | | | | | | | | |
3.88%, 09/15/28 | | | | | | | 109 | | | | 100,969 | |
2.88%, 11/15/29 | | | | | | | 155 | | | | 132,941 | |
2.25%, 04/15/30 | | | | | | | 134 | | | | 109,356 | |
4.75%, 06/15/33 | | | | | | | 37 | | | | 34,087 | |
5.13%, 01/15/34 | | | | | | | 1,249 | | | | 1,179,512 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 1,556,865 | |
|
| Insurance — 1.1% | |
Allstate Corp. (The), Series B, (3-mo. CME Term SOFR + 3.20%), 8.56%, 08/15/53(b) | | | | | | | 788 | | | | 777,589 | |
Aon Corp./Aon Global Holdings PLC | | | | | | | | | | | | |
2.05%, 08/23/31 | | | | | | | 148 | | | | 112,889 | |
2.60%, 12/02/31 | | | | | | | 216 | | | | 170,587 | |
5.00%, 09/12/32 | | | | | | | 32 | | | | 29,997 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Insurance (continued) | |
Aon Corp./Aon Global Holdings PLC 5.35%, 02/28/33 | | | USD | | | | 845 | | | $ | 810,064 | |
Aon Global Ltd., 4.00%, 11/27/23 | | | | | | | 1,760 | | | | 1,752,336 | |
Marsh & McLennan Cos., Inc. | | | | | | | | | | | | |
3.75%, 03/14/26 | | | | | | | 200 | | | | 191,681 | |
2.25%, 11/15/30 | | | | | | | 265 | | | | 212,059 | |
Progressive Corp. (The) | | | | | | | | | | | | |
3.00%, 03/15/32 | | | | | | | 77 | | | | 64,507 | |
3.70%, 03/15/52 | | | | | | | 74 | | | | 52,665 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 4,174,374 | |
|
| Interactive Media & Services — 0.5% | |
Alphabet, Inc., 1.90%, 08/15/40 | | | | | | | 45 | | | | 28,141 | |
Meta Platforms, Inc., 4.95%, 05/15/33 | | | | | | | 502 | | | | 481,091 | |
Netflix, Inc. | | | | | | | | | | | | |
5.38%, 11/15/29(a) | | | | | | | 27 | | | | 26,345 | |
4.88%, 06/15/30(a) | | | | | | | 1,303 | | | | 1,233,561 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 1,769,138 | |
| | | |
| IT Services — 1.3% | | | | | | | | | |
Fiserv, Inc. | | | | | | | | | | | | |
2.75%, 07/01/24 | | | | | | | 170 | | | | 165,907 | |
3.85%, 06/01/25 | | | | | | | 417 | | | | 403,070 | |
4.40%, 07/01/49 | | | | | | | 109 | | | | 83,498 | |
Global Payments, Inc. | | | | | | | | | | | | |
1.20%, 03/01/26 | | | | | | | 1,688 | | | | 1,505,494 | |
3.20%, 08/15/29 | | | | | | | 1,502 | | | | 1,277,326 | |
2.90%, 05/15/30 | | | | | | | 474 | | | | 388,598 | |
GTCR W-2 Merger Sub LLC, 7.50%, 01/15/31(a) | | | | | | | 655 | | | | 655,917 | |
Mastercard, Inc., 3.35%, 03/26/30 | | | | | | | 32 | | | | 28,608 | |
PayPal Holdings, Inc. | | | | | | | | | | | | |
1.65%, 06/01/25 | | | | | | | 138 | | | | 129,134 | |
4.40%, 06/01/32 | | | | | | | 82 | | | | 75,806 | |
3.25%, 06/01/50 | | | | | | | 15 | | | | 9,827 | |
S&P Global, Inc. | | | | | | | | | | | | |
5.25%, 09/15/33(a) | | | | | | | 282 | | | | 274,874 | |
3.25%, 12/01/49 | | | | | | | 108 | | | | 71,388 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 5,069,447 | |
| | | |
| Media — 1.3% | | | | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | | | | |
6.38%, 10/23/35 | | | | | | | 370 | | | | 344,745 | |
6.48%, 10/23/45 | | | | | | | 34 | | | | 29,687 | |
5.38%, 05/01/47 | | | | | | | 324 | | | | 246,896 | |
5.75%, 04/01/48 | | | | | | | 122 | | | | 97,412 | |
5.13%, 07/01/49 | | | | | | | 633 | | | | 461,436 | |
4.80%, 03/01/50 | | | | | | | 389 | | | | 272,014 | |
3.70%, 04/01/51 | | | | | | | 424 | | | | 246,723 | |
3.90%, 06/01/52 | | | | | | | 516 | | | | 308,505 | |
Comcast Corp. | | | | | | | | | | | | |
3.25%, 11/01/39 | | | | | | | 161 | | | | 117,615 | |
3.75%, 04/01/40 | | | | | | | 582 | | | | 450,843 | |
4.60%, 08/15/45 | | | | | | | 231 | | | | 190,656 | |
3.40%, 07/15/46 | | | | | | | 490 | | | | 333,779 | |
4.00%, 03/01/48 | | | | | | | 40 | | | | 29,981 | |
4.00%, 11/01/49 | | | | | | | 102 | | | | 75,689 | |
2.80%, 01/15/51 | | | | | | | 116 | | | | 67,899 | |
2.89%, 11/01/51 | | | | | | | 260 | | | | 153,228 | |
2.45%, 08/15/52 | | | | | | | 144 | | | | 78,091 | |
2.94%, 11/01/56 | | | | | | | 1,425 | | | | 809,865 | |
Interpublic Group of Cos., Inc. (The), 3.38%, 03/01/41 | | | | | | | 130 | | | | 85,979 | |
Meta Platforms, Inc., 5.60%, 05/15/53 | | | | | | | 320 | | | | 302,867 | |
Time Warner Cable LLC, 4.50%, 09/15/42 | | | | | | | 137 | | | | 94,916 | |
| | |
| 52 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Media (continued) | |
Walt Disney Co. (The) | | | | | | | | | | | | |
3.50%, 05/13/40 | | | USD | | | | 216 | | | $ | 161,784 | |
3.60%, 01/13/51 | | | | | | | 79 | | | | 54,795 | |
Warnermedia Holdings, Inc., 3.79%, 03/15/25 | | | | | | | 160 | | | | 154,505 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 5,169,910 | |
| | | |
| Metals & Mining — 0.7% | | | | | | | | | |
BHP Billiton Finance U.S.A. Ltd., 5.50%, 09/08/53 | | | | | | | 85 | | | | 81,314 | |
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | | | | | | | 230 | | | | 210,505 | |
Newmont Corp., 2.25%, 10/01/30 | | | | | | | 40 | | | | 31,846 | |
Rio Tinto Finance U.S.A. PLC, 5.00%, 03/09/33 | | | | | | | 797 | | | | 764,976 | |
Steel Dynamics, Inc. | | | | | | | | | | | | |
2.40%, 06/15/25 | | | | | | | 372 | | | | 349,507 | |
1.65%, 10/15/27 | | | | | | | 612 | | | | 519,681 | |
3.25%, 10/15/50 | | | | | | | 180 | | | | 109,325 | |
Teck Resources Ltd. | | | | | | | | | | | | |
6.00%, 08/15/40 | | | | | | | 45 | | | | 40,236 | |
6.25%, 07/15/41 | | | | | | | 80 | | | | 74,368 | |
5.20%, 03/01/42 | | | | | | | 557 | | | | 454,981 | |
5.40%, 02/01/43 | | | | | | | 23 | | | | 19,226 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,655,965 | |
| | | |
| Multi-Utilities — 2.6% | | | | | | | | | |
CenterPoint Energy Houston Electric LLC | | | | | | | | | | | | |
4.95%, 04/01/33 | | | | | | | 213 | | | | 202,193 | |
Series AG, 3.00%, 03/01/32 | | | | | | | 318 | | | | 263,190 | |
CMS Energy Corp. | | | | | | | | | | | | |
3.00%, 05/15/26 | | | | | | | 359 | | | | 335,242 | |
2.95%, 02/15/27 | | | | | | | 115 | | | | 104,438 | |
3.45%, 08/15/27 | | | | | | | 126 | | | | 116,393 | |
4.88%, 03/01/44 | | | | | | | 46 | | | | 39,167 | |
Consumers Energy Co. | | | | | | | | | | | | |
4.90%, 02/15/29 | | | | | | | 1,420 | | | | 1,388,335 | |
3.60%, 08/15/32 | | | | | | | 280 | | | | 242,665 | |
4.63%, 05/15/33 | | | | | | | 459 | | | | 427,281 | |
2.50%, 05/01/60 | | | | | | | 131 | | | | 68,535 | |
Dominion Energy, Inc. | | | | | | | | | | | | |
3.90%, 10/01/25 | | | | | | | 650 | | | | 626,444 | |
Series A, 3.30%, 03/15/25 | | | | | | | 100 | | | | 96,362 | |
Series A, 1.45%, 04/15/26 | | | | | | | 533 | | | | 479,534 | |
Series C, 3.38%, 04/01/30 | | | | | | | 274 | | | | 235,706 | |
Series C, 2.25%, 08/15/31 | | | | | | | 119 | | | | 92,038 | |
NiSource, Inc. | | | | | | | | | | | | |
0.95%, 08/15/25 | | | | | | | 250 | | | | 228,001 | |
5.25%, 03/30/28 | | | | | | | 394 | | | | 386,135 | |
5.40%, 06/30/33 | | | | | | | 575 | | | | 551,109 | |
5.25%, 02/15/43 | | | | | | | 55 | | | | 48,518 | |
4.80%, 02/15/44 | | | | | | | 304 | | | | 250,356 | |
Sempra | | | | | | | | | | | | |
5.40%, 08/01/26 | | | | | | | 1,174 | | | | 1,161,549 | |
3.25%, 06/15/27 | | | | | | | 118 | | | | 107,858 | |
3.40%, 02/01/28 | | | | | | | 1,173 | | | | 1,067,639 | |
Virginia Electric & Power Co. | | | | | | | | | | | | |
6.35%, 11/30/37 | | | | | | | 313 | | | | 315,210 | |
4.00%, 01/15/43 | | | | | | | 112 | | | | 85,545 | |
Series B, 3.80%, 09/15/47 | | | | | | | 278 | | | | 196,946 | |
WEC Energy Group, Inc., 5.60%, 09/12/26 | | | | | | | 985 | | | | 984,838 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 10,101,227 | |
| | | |
| Office REITs — 0.5% | | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | | | | | | | | |
4.70%, 07/01/30 | | | | | | | 292 | | | | 268,811 | |
4.90%, 12/15/30 | | | | | | | 820 | | | | 764,249 | |
2.00%, 05/18/32 | | | | | | | 45 | | | | 32,716 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Office REITs (continued) | |
Alexandria Real Estate Equities, Inc. | | | | | | | | | | | | |
1.88%, 02/01/33 | | | USD | | | | 355 | | | $ | 251,319 | |
2.95%, 03/15/34 | | | | | | | 341 | | | | 258,940 | |
4.85%, 04/15/49 | | | | | | | 65 | | | | 50,770 | |
3.55%, 03/15/52 | | | | | | | 103 | | | | 65,394 | |
5.15%, 04/15/53 | | | | | | | 182 | | | | 151,822 | |
Kilroy Realty LP, 3.05%, 02/15/30 | | | | | | | 220 | | | | 172,846 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,016,867 | |
|
| Oil, Gas & Consumable Fuels — 10.2% | |
Atmos Energy Corp. | | | | | | | | | | | | |
3.38%, 09/15/49 | | | | | | | 211 | | | | 140,852 | |
2.85%, 02/15/52 | | | | | | | 70 | | | | 41,899 | |
BP Capital Markets America, Inc. | | | | | | | | | | | | |
3.59%, 04/14/27 | | | | | | | 216 | | | | 203,584 | |
4.23%, 11/06/28 | | | | | | | 248 | | | | 235,814 | |
3.06%, 06/17/41 | | | | | | | 1,103 | | | | 761,470 | |
Cameron LNG LLC, 3.30%, 01/15/35(a) | | | | | | | 505 | | | | 401,989 | |
Cenovus Energy, Inc. | | | | | | | | | | | | |
5.40%, 06/15/47 | | | | | | | 90 | | | | 77,300 | |
3.75%, 02/15/52 | | | | | | | 78 | | | | 51,606 | |
Cheniere Corpus Christi Holdings LLC,
5.88%, 03/31/25 | | | | | | | 2,246 | | | | 2,229,290 | |
Cheniere Energy Partners LP | | | | | | | | | | | | |
3.25%, 01/31/32 | | | | | | | 1,509 | | | | 1,199,350 | |
5.95%, 06/30/33(a) | | | | | | | 656 | | | | 632,692 | |
Columbia Pipelines Holding Co. LLC, 6.06%, 08/15/26(a) | | | | | | | 240 | | | | 240,753 | |
ConocoPhillips Co. | | | | | | | | | | | | |
3.80%, 03/15/52 | | | | | | | 225 | | | | 163,131 | |
5.55%, 03/15/54 | | | | | | | 360 | | | | 342,154 | |
DCP Midstream Operating LP, 3.25%, 02/15/32 | | | | | | | 2,058 | | | | 1,660,418 | |
Devon Energy Corp. | | | | | | | | | | | | |
4.50%, 01/15/30 | | | | | | | 270 | | | | 245,362 | |
4.75%, 05/15/42 | | | | | | | 318 | | | | 252,643 | |
Diamondback Energy, Inc. | | | | | | | | | | | | |
3.25%, 12/01/26 | | | | | | | 446 | | | | 416,992 | |
3.50%, 12/01/29 | | | | | | | 1,819 | | | | 1,614,109 | |
3.13%, 03/24/31 | | | | | | | 1,254 | | | | 1,044,559 | |
4.25%, 03/15/52 | | | | | | | 418 | | | | 296,827 | |
Enbridge, Inc. | | | | | | | | | | | | |
4.00%, 10/01/23 | | | | | | | 2,070 | | | | 2,070,000 | |
0.55%, 10/04/23 | | | | | | | 575 | | | | 574,906 | |
2.50%, 01/15/25 | | | | | | | 615 | | | | 587,715 | |
3.70%, 07/15/27 | | | | | | | 297 | | | | 276,100 | |
5.70%, 03/08/33 | | | | | | | 1,299 | | | | 1,244,440 | |
2.50%, 08/01/33 | | | | | | | 582 | | | | 431,704 | |
6.25%, 03/01/78 | | | | | | | 780 | | | | 696,050 | |
Energy Transfer LP | | | | | | | | | | | | |
4.90%, 02/01/24 | | | | | | | 730 | | | | 727,244 | |
4.50%, 04/15/24 | | | | | | | 550 | | | | 545,285 | |
4.00%, 10/01/27 | | | | | | | 115 | | | | 106,783 | |
5.95%, 10/01/43 | | | | | | | 160 | | | | 140,660 | |
5.35%, 05/15/45 | | | | | | | 837 | | | | 686,338 | |
6.13%, 12/15/45 | | | | | | | 415 | | | | 369,143 | |
5.30%, 04/15/47 | | | | | | | 84 | | | | 68,231 | |
5.40%, 10/01/47 | | | | | | | 705 | | | | 581,448 | |
6.00%, 06/15/48 | | | | | | | 82 | | | | 72,778 | |
6.25%, 04/15/49 | | | | | | | 250 | | | | 229,380 | |
5.00%, 05/15/50 | | | | | | | 328 | | | | 257,299 | |
Enterprise Products Operating LLC | | | | | | | | | | | | |
3.95%, 02/15/27 | | | | | | | 213 | | | | 202,514 | |
5.95%, 02/01/41 | | | | | | | 196 | | | | 192,990 | |
| | |
SCHEDULES OF INVESTMENTS | | 53 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Enterprise Products Operating LLC | | | | | | | | | | | | |
5.70%, 02/15/42 | | | USD | | | | 139 | | | $ | 132,967 | |
4.45%, 02/15/43 | | | | | | | 377 | | | | 308,505 | |
4.80%, 02/01/49 | | | | | | | 406 | | | | 343,905 | |
4.20%, 01/31/50 | | | | | | | 626 | | | | 482,900 | |
3.20%, 02/15/52 | | | | | | | 182 | | | | 116,203 | |
EOG Resources, Inc., 4.95%, 04/15/50 | | | | | | | 80 | | | | 70,781 | |
EQT Corp. | | | | | | | | | | | | |
5.70%, 04/01/28 | | | | | | | 308 | | | | 301,866 | |
5.00%, 01/15/29 | | | | | | | 103 | | | | 96,821 | |
Hess Corp. | | | | | | | | | | | | |
4.30%, 04/01/27 | | | | | | | 416 | | | | 395,149 | |
5.60%, 02/15/41 | | | | | | | 650 | | | | 586,930 | |
5.80%, 04/01/47 | | | | | | | 330 | | | | 300,923 | |
HF Sinclair Corp., 2.63%, 10/01/23 | | | | | | | 640 | | | | 640,000 | |
Kinder Morgan Energy Partners LP | | | | | | | | | | | | |
7.30%, 08/15/33 | | | | | | | 290 | | | | 304,774 | |
6.95%, 01/15/38 | | | | | | | 100 | | | | 102,926 | |
6.50%, 09/01/39 | | | | | | | 150 | | | | 144,754 | |
4.70%, 11/01/42 | | | | | | | 253 | | | | 196,283 | |
5.00%, 03/01/43 | | | | | | | 52 | | | | 42,085 | |
Kinder Morgan, Inc. | | | | | | | | | | | | |
5.55%, 06/01/45 | | | | | | | 250 | | | | 214,839 | |
5.05%, 02/15/46 | | | | | | | 349 | | | | 279,134 | |
Marathon Oil Corp., 4.40%, 07/15/27 | | | | | | | 315 | | | | 296,283 | |
Marathon Petroleum Corp., 4.75%, 09/15/44 | | | | | | | 193 | | | | 152,913 | |
MPLX LP | | | | | | | | | | | | |
1.75%, 03/01/26 | | | | | | | 714 | | | | 647,420 | |
4.95%, 03/14/52 | | | | | | | 780 | | | | 610,231 | |
5.65%, 03/01/53 | | | | | | | 64 | | | | 54,995 | |
Occidental Petroleum Corp. | | | | | | | | | | | | |
7.50%, 05/01/31 | | | | | | | 713 | | | | 756,666 | |
6.45%, 09/15/36 | | | | | | | 415 | | | | 407,503 | |
4.20%, 03/15/48 | | | | | | | 190 | | | | 131,284 | |
ONEOK, Inc. | | | | | | | | | | | | |
5.20%, 07/15/48 | | | | | | | 105 | | | | 85,944 | |
4.45%, 09/01/49 | | | | | | | 46 | | | | 33,084 | |
6.63%, 09/01/53 | | | | | | | 405 | | | | 396,578 | |
Ovintiv, Inc. | | | | | | | | | | | | |
5.65%, 05/15/25 | | | | | | | 1,298 | | | | 1,290,572 | |
5.65%, 05/15/28 | | | | | | | 1,356 | | | | 1,326,358 | |
Phillips 66, 3.30%, 03/15/52 | | | | | | | 356 | | | | 223,672 | |
Pioneer Natural Resources Co. | | | | | | | | | | | | |
1.13%, 01/15/26 | | | | | | | 255 | | | | 230,453 | |
5.10%, 03/29/26 | | | | | | | 247 | | | | 243,825 | |
1.90%, 08/15/30 | | | | | | | 589 | | | | 462,101 | |
2.15%, 01/15/31 | | | | | | | 292 | | | | 230,417 | |
Plains All American Pipeline LP/PAA Finance Corp., 4.30%, 01/31/43 | | | | | | | 223 | | | | 158,450 | |
Sabine Pass Liquefaction LLC | | | | | | | | | | | | |
5.75%, 05/15/24 | | | | | | | 158 | | | | 157,666 | |
5.00%, 03/15/27 | | | | | | | 375 | | | | 363,794 | |
4.20%, 03/15/28 | | | | | | | 254 | | | | 236,647 | |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 | | | | | | | 287 | | | | 267,280 | |
Valero Energy Corp., 4.00%, 06/01/52 | | | | | | | 28 | | | | 19,259 | |
Western Midstream Operating LP | | | | | | | | | | | | |
3.95%, 06/01/25 | | | | | | | 505 | | | | 484,661 | |
6.35%, 01/15/29 | | | | | | | 80 | | | | 80,165 | |
Williams Cos., Inc. (The) | | | | | | | | | | | | |
4.00%, 09/15/25 | | | | | | | 270 | | | | 260,147 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Williams Cos., Inc. (The) | | | | | | | | | | | | |
3.75%, 06/15/27 | | | USD | | | | 555 | | | $ | 516,028 | |
5.30%, 08/15/28 | | | | | | | 1,870 | | | | 1,829,120 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 39,329,063 | |
|
| Passenger Airlines — 0.3% | |
Air Canada Pass-Through Trust,
Series 2017-1, Class AA, 3.30%, 01/15/30(a) | | | | | | | 94 | | | | 82,664 | |
American Airlines Pass-Through Trust, Series 2019-1, Class B, 3.85%, 02/15/28 | | | | | | | 280 | | | | 247,174 | |
British Airways Pass Through Trust, Series 2019-1, Class A, 3.35%, 06/15/29(a) | | | | | | | 219 | | | | 194,511 | |
U.S. Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 11/15/25 | | | | | | | 380 | | | | 361,053 | |
United Airlines Pass-Through Trust, Series 2019-2, Class AA, 2.70%, 05/01/32 | | | | | | | 189 | | | | 155,869 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 1,041,271 | |
| | | |
| Pharmaceuticals — 2.0% | | | | | | | | | |
Bayer U.S. Finance II LLC | | | | | | | | | | | | |
3.88%, 12/15/23(a) | | | | | | | 782 | | | | 778,714 | |
4.25%, 12/15/25(a) | | | | | | | 215 | | | | 207,011 | |
4.38%, 12/15/28(a) | | | | | | | 1,060 | | | | 985,296 | |
Merck & Co., Inc. | | | | | | | | | | | | |
2.75%, 02/10/25 | | | | | | | 546 | | | | 527,333 | |
2.15%, 12/10/31 | | | | | | | 248 | | | | 196,115 | |
4.50%, 05/17/33 | | | | | | | 679 | | | | 635,426 | |
2.75%, 12/10/51 | | | | | | | 265 | | | | 160,047 | |
5.00%, 05/17/53 | | | | | | | 215 | | | | 195,535 | |
Pfizer Investment Enterprises Pte Ltd. | | | | | | | | | | | | |
4.65%, 05/19/30 | | | | | | | 1,060 | | | | 1,015,803 | |
4.75%, 05/19/33 | | | | | | | 1,048 | | | | 990,651 | |
5.30%, 05/19/53 | | | | | | | 943 | | | | 876,191 | |
Pfizer, Inc., 4.30%, 06/15/43 | | | | | | | 552 | | | | 465,276 | |
Roche Holdings, Inc., 2.61%, 12/13/51(a) | | | | | | | 570 | | | | 340,943 | |
Takeda Pharmaceutical Co. Ltd., 3.18%, 07/09/50 | | | | | | | 307 | | | | 194,269 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 7,568,610 | |
| | | |
| Residential REITs — 0.3% | | | | | | | | | |
AvalonBay Communities, Inc., 5.00%, 02/15/33 | | | | | | | 233 | | | | 221,899 | |
Camden Property Trust, 2.80%, 05/15/30 | | | | | | | 97 | | | | 82,159 | |
Invitation Homes Operating Partnership LP, 5.50%, 08/15/33 | | | | | | | 910 | | | | 849,378 | |
Mid-America Apartments LP | | | | | | | | | | | | |
3.60%, 06/01/27 | | | | | | | 23 | | | | 21,516 | |
1.70%, 02/15/31 | | | | | | | 42 | | | | 32,106 | |
UDR, Inc. | | | | | | | | | | | | |
3.00%, 08/15/31 | | | | | | | 40 | | | | 32,485 | |
2.10%, 08/01/32 | | | | | | | 107 | | | | 77,163 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 1,316,706 | |
| | | |
| Retail REITs — 1.1% | | | | | | | | | |
Kimco Realty OP LLC | | | | | | | | | | | | |
3.20%, 04/01/32 | | | | | | | 138 | | | | 111,075 | |
4.60%, 02/01/33 | | | | | | | 418 | | | | 370,584 | |
Realty Income Corp. | | | | | | | | | | | | |
3.95%, 08/15/27 | | | | | | | 496 | | | | 465,052 | |
2.20%, 06/15/28 | | | | | | | 164 | | | | 140,159 | |
4.70%, 12/15/28 | | | | | | | 178 | | | | 169,729 | |
5.63%, 10/13/32 | | | | | | | 792 | | | | 765,672 | |
2.85%, 12/15/32 | | | | | | | 168 | | | | 131,238 | |
4.90%, 07/15/33 | | | | | | | 86 | | | | 78,583 | |
Regency Centers LP | | | | | | | | | | | | |
4.13%, 03/15/28 | | | | | | | 220 | | | | 203,583 | |
3.70%, 06/15/30 | | | | | | | 1,439 | | | | 1,251,940 | |
| | |
| 54 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Retail REITs (continued) | |
Simon Property Group LP | | | | | | | | | | | | |
2.25%, 01/15/32 | | | USD | | | | 33 | | | $ | 24,763 | |
5.50%, 03/08/33 | | | | | | | 641 | | | | 608,154 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 4,320,532 | |
|
| Semiconductors & Semiconductor Equipment — 2.0% | |
Analog Devices, Inc., 2.80%, 10/01/41 | | | | | | | 217 | | | | 144,853 | |
Applied Materials, Inc., 3.30%, 04/01/27 | | | | | | | 605 | | | | 567,122 | |
Broadcom, Inc. | | | | | | | | | | | | |
4.15%, 11/15/30 | | | | | | | 269 | | | | 238,262 | |
4.15%, 04/15/32(a) | | | | | | | 250 | | | | 216,954 | |
3.42%, 04/15/33(a) | | | | | | | 268 | | | | 214,362 | |
4.93%, 05/15/37(a) | | | | | | | 1,489 | | | | 1,283,409 | |
3.50%, 02/15/41(a) | | | | | | | 356 | | | | 247,435 | |
Intel Corp. | | | | | | | | | | | | |
5.70%, 02/10/53 | | | | | | | 585 | | | | 548,585 | |
5.90%, 02/10/63 | | | | | | | 447 | | | | 423,750 | |
KLA Corp. | | | | | | | | | | | | |
4.10%, 03/15/29 | | | | | | | 614 | | | | 581,081 | |
5.00%, 03/15/49 | | | | | | | 263 | | | | 230,781 | |
3.30%, 03/01/50 | | | | | | | 354 | | | | 235,249 | |
Lam Research Corp. | | | | | | | | | | | | |
3.75%, 03/15/26 | | | | | | | 566 | | | | 544,596 | |
2.88%, 06/15/50 | | | | | | | 168 | | | | 104,233 | |
NVIDIA Corp., 3.50%, 04/01/40 | | | | | | | 340 | | | | 267,690 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. | | | | | | | | | | | | |
4.30%, 06/18/29 | | | | | | | 672 | | | | 614,665 | |
3.40%, 05/01/30 | | | | | | | 185 | | | | 158,346 | |
2.50%, 05/11/31 | | | | | | | 734 | | | | 571,441 | |
2.65%, 02/15/32 | | | | | | | 412 | | | | 316,939 | |
QUALCOMM, Inc., 4.30%, 05/20/47 | | | | | | | 339 | | | | 274,275 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 7,784,028 | |
| | | |
| Software — 1.7% | | | | | | | | | |
Autodesk, Inc., 2.40%, 12/15/31 | | | | | | | 1,057 | | | | 833,222 | |
Microsoft Corp. | | | | | | | | | | | | |
2.53%, 06/01/50 | | | | | | | 1,289 | | | | 784,865 | |
2.92%, 03/17/52 | | | | | | | 359 | | | | 235,471 | |
Oracle Corp. | | | | | | | | | | | | |
3.85%, 07/15/36 | | | | | | | 114 | | | | 90,135 | |
3.60%, 04/01/40 | | | | | | | 150 | | | | 108,381 | |
5.38%, 07/15/40 | | | | | | | 800 | | | | 709,618 | |
3.65%, 03/25/41 | | | | | | | 125 | | | | 89,198 | |
4.50%, 07/08/44 | | | | | | | 300 | | | | 232,114 | |
4.13%, 05/15/45 | | | | | | | 245 | | | | 177,604 | |
4.00%, 07/15/46 | | | | | | | 172 | | | | 121,370 | |
4.00%, 11/15/47 | | | | | | | 1,006 | | | | 707,014 | |
3.60%, 04/01/50 | | | | | | | 1,317 | | | | 851,905 | |
5.55%, 02/06/53 | | | | | | | 50 | | | | 43,808 | |
Salesforce, Inc. | | | | | | | | | | | | |
2.70%, 07/15/41 | | | | | | | 357 | | | | 241,757 | |
2.90%, 07/15/51 | | | | | | | 200 | | | | 124,889 | |
VMware, Inc., 2.20%, 08/15/31 | | | | | | | 1,618 | | | | 1,220,993 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 6,572,344 | |
| | | |
| Specialty Retail — 0.5% | | | | | | | | | |
Home Depot, Inc. (The) | | | | | | | | | | | | |
4.25%, 04/01/46 | | | | | | | 200 | | | | 160,501 | |
3.90%, 06/15/47 | | | | | | | 120 | | | | 91,616 | |
3.13%, 12/15/49 | | | | | | | 202 | | | | 131,645 | |
Lowe’s Cos., Inc. | | | | | | | | | | | | |
3.70%, 04/15/46 | | | | | | | 485 | | | | 336,238 | |
4.55%, 04/05/49 | | | | | | | 199 | | | | 156,132 | |
5.13%, 04/15/50 | | | | | | | 484 | | | | 411,766 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Specialty Retail (continued) | |
Lowe’s Cos., Inc. | | | | | | | | | | | | |
3.00%, 10/15/50 | | | USD | | | | 504 | | | $ | 297,640 | |
4.25%, 04/01/52 | | | | | | | 349 | | | | 257,453 | |
5.63%, 04/15/53 | | | | | | | 202 | | | | 183,601 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,026,592 | |
|
| Technology Hardware, Storage & Peripherals — 1.1% | |
Apple Inc. | | | | | | | | | | | | |
3.85%, 05/04/43 | | | | | | | 26 | | | | 21,034 | |
4.38%, 05/13/45 | | | | | | | 581 | | | | 502,184 | |
4.65%, 02/23/46 | | | | | | | 400 | | | | 356,414 | |
3.85%, 08/04/46 | | | | | | | 210 | | | | 166,168 | |
3.75%, 09/12/47 | | | | | | | 200 | | | | 154,592 | |
2.65%, 02/08/51 | | | | | | | 515 | | | | 312,367 | |
2.70%, 08/05/51 | | | | | | | 368 | | | | 224,083 | |
3.95%, 08/08/52 | | | | | | | 260 | | | | 203,901 | |
Dell International LLC/EMC Corp., 6.02%, 06/15/26 | | | | | | | 131 | | | | 131,511 | |
Hewlett Packard Enterprise Co., 5.90%, 10/01/24 | | | | | | | 810 | | | | 809,342 | |
HP, Inc. | | | | | | | | | | | | |
2.20%, 06/17/25 | | | | | | | 1,200 | | | | 1,128,209 | |
4.75%, 01/15/28 | | | | | | | 109 | | | | 104,551 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 4,114,356 | |
| | | |
| Tobacco — 1.0% | | | | | | | | | |
Altria Group, Inc. | | | | | | | | | | | | |
4.80%, 02/14/29 | | | | | | | 190 | | | | 180,707 | |
2.45%, 02/04/32 | | | | | | | 88 | | | | 66,385 | |
4.50%, 05/02/43 | | | | | | | 75 | | | | 55,749 | |
5.95%, 02/14/49 | | | | | | | 473 | | | | 424,778 | |
3.70%, 02/04/51 | | | | | | | 96 | | | | 59,690 | |
BAT Capital Corp. | | | | | | | | | | | | |
4.70%, 04/02/27 | | | | | | | 1,015 | | | | 971,811 | |
2.26%, 03/25/28 | | | | | | | 300 | | | | 253,719 | |
6.42%, 08/02/33 | | | | | | | 710 | | | | 690,048 | |
3.73%, 09/25/40 | | | | | | | 324 | | | | 217,276 | |
7.08%, 08/02/53 | | | | | | | 440 | | | | 415,649 | |
Reynolds American, Inc. | | | | | | | | | | | | |
5.70%, 08/15/35 | | | | | | | 401 | | | | 358,773 | |
7.00%, 08/04/41 | | | | | | | 26 | | | | 24,334 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 3,718,919 | |
|
| Trading Companies & Distributors — 0.6% | |
Air Lease Corp. | | | | | | | | | | | | |
3.38%, 07/01/25 | | | | | | | 844 | | | | 801,795 | |
1.88%, 08/15/26 | | | | | | | 1,841 | | | | 1,635,638 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,437,433 | |
|
| Wireless Telecommunication Services — 1.5% | |
America Movil SAB de CV | | | | | | | | | | | | |
3.63%, 04/22/29 | | | | | | | 250 | | | | 224,705 | |
4.38%, 04/22/49 | | | | | | | 525 | | | | 411,810 | |
Rogers Communications, Inc. | | | | | | | | | | | | |
3.80%, 03/15/32 | | | | | | | 1,024 | | | | 850,971 | |
4.30%, 02/15/48 | | | | | | | 298 | | | | 208,488 | |
4.35%, 05/01/49 | | | | | | | 87 | | | | 61,980 | |
4.55%, 03/15/52 | | | | | | | 1,535 | | | | 1,119,661 | |
T-Mobile U.S.A., Inc. | | | | | | | | | | | | |
2.05%, 02/15/28 | | | | | | | 765 | | | | 657,808 | |
2.55%, 02/15/31 | | | | | | | 100 | | | | 79,571 | |
3.50%, 04/15/31 | | | | | | | 633 | | | | 535,245 | |
2.70%, 03/15/32 | | | | | | | 631 | | | | 493,591 | |
4.38%, 04/15/40 | | | | | | | 350 | | | | 281,235 | |
3.00%, 02/15/41 | | | | | | | 165 | | | | 109,337 | |
4.50%, 04/15/50 | | | | | | | 150 | | | | 115,024 | |
| | |
SCHEDULES OF INVESTMENTS | | 55 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
| Wireless Telecommunication Services (continued) | | | | |
T-Mobile U.S.A., Inc. | | | | | | | | | | | | |
3.30%, 02/15/51 | | | USD | | | | 265 | | | $ | 165,811 | |
3.40%, 10/15/52 | | | | | | | 780 | | | | 487,223 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,802,460 | |
| | | | | | | | | | | | |
| | | |
Total Corporate Bonds — 85.3%
(Cost: $366,452,430) | | | | | | | | | | | 329,513,502 | |
| | | | | | | | | | | | |
| | | |
Foreign Agency Obligations | | | | | | | | | | | | |
| | | |
| Mexico — 1.0% | | | | | | | | | |
Petroleos Mexicanos | | | | | | | | | | | | |
6.88%, 08/04/26 | | | | | | | 2,135 | | | | 1,955,532 | |
6.70%, 02/16/32 | | | | | | | 1,280 | | | | 947,840 | |
7.69%, 01/23/50 | | | | | | | 1,215 | | | | 776,555 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,679,927 | |
| | | |
| Panama — 0.1% | | | | | | | | | |
Banco Nacional de Panama, 2.50%, 08/11/30(a) | | | | | | | 560 | | | | 433,670 | |
| | | | | | | | | | | | |
Total Foreign Agency Obligations — 1.1% (Cost: $4,375,775) | | | | | | | | | | | 4,113,597 | |
| | | | | | | | | | | | |
| | | |
Foreign Government Obligations | | | | | | | | | | | | |
| | | |
| Chile — 0.2% | | | | | | | | | |
Republic of Chile, 3.50%, 01/25/50 | | | | | | | 955 | | | | 635,380 | |
| | | | | | | | | | | | |
| | | |
| Indonesia — 0.3% | | | | | | | | | |
Republic of Indonesia | | | | | | | | | | | | |
4.13%, 01/15/25(a) | | | | | | | 350 | | | | 343,682 | |
3.50%, 01/11/28 | | | | | | | 725 | | | | 669,494 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,013,176 | |
| | | |
| Israel — 0.0% | | | | | | | | | |
State of Israel, 3.88%, 07/03/50 | | | | | | | 250 | | | | 181,355 | |
| | | | | | | | | | | | |
| | | |
| Italy — 0.3% | | | | | | | | | |
Republic of Italy, 0.88%, 05/06/24 | | | | | | | 1,332 | | | | 1,291,321 | |
| | | | | | | | | | | | |
| | | |
| Panama — 0.2% | | | | | | | | | |
Republic of Panama | | | | | | | | | | | | |
3.16%, 01/23/30 | | | | | | | 600 | | | | 502,884 | |
4.50%, 04/01/56 | | | | | | | 200 | | | | 131,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 633,884 | |
| | | |
| Peru — 0.1% | | | | | | | | | |
Republic of Peru | | | | | | | | | | | | |
3.30%, 03/11/41 | | | | | | | 410 | | | | 283,273 | |
2.78%, 12/01/60 | | | | | | | 285 | | | | 150,489 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 433,762 | |
| | | |
| Philippines — 0.1% | | | | | | | | | |
Republic of Philippines, 5.50%, 01/17/48 | | | | | | | 460 | | | | 432,046 | |
| | | | | | | | | | | | |
| | | |
| Poland — 0.0% | | | | | | | | | |
Republic of Poland, 3.25%, 04/06/26 | | | | | | | 190 | | | | 180,274 | |
| | | | | | | | | | | | |
| | | |
| Saudi Arabia — 0.2% | | | | | | | | | |
Kingdom of Saudi Arabia, 5.00%, 01/18/53(a) | | | | | | | 900 | | | | 745,893 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations — 1.4%
(Cost: $6,316,821) | | | | 5,547,091 | |
| | | | | | | | | | | | |
| | | |
Municipal Bonds | | | | | | | | | | | | |
| | | |
| California — 1.1% | | | | | | | | | |
City of San Francisco Public Utilities Commission Water Revenue RB, Series A, 3.30%, 11/01/39 | | | | | | | 495 | | | | 379,116 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
California (continued) | | | | | | | | | | | | |
Los Angeles Community College District, GO, Refunding, 1.61%, 08/01/28 | | | USD | | | 1,170 $ | | | | | 1,017,348 | |
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45 | | | | | | | 1,075 | | | | 1,181,960 | |
State of California, GO, 7.63%, 03/01/40 | | | | | | | 950 | | | | 1,116,006 | |
University of California, RB, Series BD, 3.35%, 07/01/29 | | | | | | | 550 | | | | 499,641 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,194,071 | |
| | | |
| Illinois — 0.3% | | | | | | | | | |
Chicago O’Hare International Airport RB, Series B, 6.40%, 01/01/40 | | | | | | | 1,000 | | | | 1,059,771 | |
| | | | | | | | | | | | |
| | | |
| NewYork — 0.6% | | | | | | | | | |
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39 | | | | | | | 1,125 | | | | 1,288,384 | |
New York State Dormitory Authority RB, Series F, 3.11%, 02/15/39 | | | | | | | 590 | | | | 449,938 | |
Port Authority of New York & New Jersey, RB, 4.46%, 10/01/62 | | | | | | | 940 | | | | 774,599 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,512,921 | |
| | | |
| Texas — 0.0% | | | | | | | | | |
Texas Transportation Commission RB, 2.56%, 04/01/42 | | | | | | | 210 | | | | 146,419 | |
| | | | | | | | | | | | |
Total Municipal Bonds — 2.0%
(Cost: $8,539,743) | | | | | | | | | | | 7,913,182 | |
| | | | | | | | | | | | |
| | | |
Preferred Securities | | | | | | | | | | | | |
| | | |
| Capital Trusts — 1.7% | | | | | | | | | |
| | | |
| Banks — 0.7% | | | | | | | | | |
BNP Paribas SA, 8.50%(a)(c) | | | | | | | 610 | | | | 596,777 | |
ING Groep NV, 3.88%(c) | | | | | | | 640 | | | | 461,748 | |
NatWest Group PLC, 6.00%(c) | | | | | | | 810 | | | | 743,305 | |
U.S. Bancorp | | | | | | | | | | | | |
3.70%(c) | | | | | | | 820 | | | | 601,748 | |
Series J, 5.30%(c) | | | | | | | 170 | | | | 142,086 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,545,664 | |
| | | |
| Capital Markets — 0.5% | | | | | | | | | |
Charles Schwab Corp. (The) | | | | | | | | | | | | |
Series H, 4.00%(c) | | | | | | | 345 | | | | 243,422 | |
Series I, 4.00%(c) | | | | | | | 1,063 | | | | 887,825 | |
State Street Corp., Series F, (3-mo. CME Term SOFR + 3.86%), 9.27%(b)(c) | | | | | | | 95 | | | | 95,205 | |
UBS Group AG | | | | | | | | | | | | |
4.88%(a)(c) | | | | | | | 770 | | | | 644,654 | |
7.00%(c)(d) | | | | | | | 273 | | | | 264,469 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,135,575 | |
| | | |
| Electric Utilities — 0.5% | | | | | | | | | |
American Electric Power Co., Inc., 5.70%, 08/15/25 | | | | | | | 1,255 | | | | 1,248,568 | |
Southern Co. (The), 4.48%, 08/01/24(e) | | | | | | | 662 | | | | 652,394 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,900,962 | |
| |
| Oil, Gas & Consumable Fuels — 0.0% | | | | |
TransCanada Trust, Series 16-A,
5.88%, 08/15/76 | | | | | | | 120 | | | | 109,414 | |
| | | | | | | | | | | | |
Total Preferred Securities — 1.7%
(Cost: $7,525,780) | | | | 6,691,615 | |
| | | | | | | | | | | | |
| |
U.S. Treasury Obligations | | | | | |
U.S. Treasury Bonds | | | | | | | | | | | | |
1.13%, 08/15/40 | | | | | | | 1,155 | | | | 656,545 | |
2.25%, 05/15/41 | | | | | | | 1,000 | | | | 686,094 | |
| | |
| 56 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
U.S. Treasury Obligations (continued) | | | | | |
U.S. Treasury Bonds | | | | | | | | | | | | |
3.75%, 08/15/41 | | | USD | | | | 2,650 | | | $ | 2,293,596 | |
3.88%, 02/15/43 - 05/15/43 | | | | | | | 2,675 | | | | 2,327,617 | |
3.00%, 05/15/45 - 08/15/52 | | | | | | | 325 | | | | 240,304 | |
2.75%, 08/15/47 | | | | | | | 4,610 | | | | 3,218,176 | |
1.88%, 02/15/51 | | | | | | | 350 | | | | 196,164 | |
2.88%, 05/15/52 | | | | | | | 750 | | | | 531,768 | |
4.00%, 11/15/52 | | | | | | | 2,050 | | | | 1,816,973 | |
U.S. Treasury Notes | | | | | | | | | | | | |
3.88%, 03/31/25 | | | | | | | 1,415 | | | | 1,386,866 | |
3.50%, 04/15/26 | | | | | | | 4,900 | | | | 4,766,016 | |
4.13%, 06/15/26 | | | | | | | 6,700 | | | | 6,575,945 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations — 6.4%
(Cost: $27,222,477) | | | | | | | | | | | 24,696,064 | |
| | | | | | | | | | | | |
Total Long-Term Investments — 97.9%
(Cost: $420,433,026) | | | | | | | | | | | 378,475,051 | |
| | | | | | | | | | | | |
| | | | | | Shares | | | | |
| | | |
Short-Term Securities | | | | | | | | | | | | |
| | | |
| Money Market Funds — 0.7% | | | | | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 5.24%(f) | | | | | | | 2,580,224 | | | | 2,580,224 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
U.S. Treasury Obligations(g) — 0.9% | | | | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | | | |
5.30%, 10/12/23 | | | USD | | | | 2,985 | | | $ | 2,980,624 | |
5.47%, 12/26/23 | | | | | | | 675 | | | | 666,533 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,647,157 | |
| | | | | | | | | | | | |
| | | |
Total Short-Term Securities — 1.6%
(Cost: $6,226,869) | | | | | | | | | | | 6,227,381 | |
| | | | | | | | | | | | |
| | | |
Total Investments — 99.5%
(Cost: $426,659,895) | | | | | | | | | | | 384,702,432 | |
Other Assets Less Liabilities — 0.5% | | | | | | | | | | | 1,799,767 | |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 386,502,199 | |
| | | | | | | | | | | | |
| (a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (b) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (c) | Perpetual security with no stated maturity date. |
| (d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (e) | 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. |
| (f) | Annualized 7-day yield as of period end. |
| (g) | Rates are discount rates or a range of discount rates 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) | | | 56 | | | | 12/19/23 | | | $ | 6,372 | | | $ | (288,544 | ) |
U.S. Treasury Notes (10 Year) | | | 60 | | | | 12/19/23 | | | | 6,484 | | | | (166,951 | ) |
U.S. Treasury Notes (2 Year) | | | 67 | | | | 12/29/23 | | | | 13,582 | | | | (5,150 | ) |
U.S. Treasury Notes (5 Year) | | | 88 | | | | 12/29/23 | | | | 9,272 | | | | (67,391 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | (528,036 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Ultra Treasury Bonds | | | 22 | | | | 12/19/23 | | | | 2,611 | | | | 153,159 | |
U.S. Ultra Treasury Notes (10 Year) | | | 48 | | | | 12/19/23 | | | | 5,355 | | | | 109,235 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | 262,394 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | $ | (265,642 | ) |
| | | | | | | | | | | | | | | | |
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.41.V1 | | | 1.00 | % | | | Quarterly | | | | 12/20/28 | | | | USD | | | | 25,217 | | | $ | (309,760 | ) | | $ | (346,563 | ) | | $ | 36,803 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 57 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| Reference Obligation/Index | | Financing Rate Received by the Fund | | | Payment Frequency | | | Counterparty | | Termination Date | | | Credit Rating(a) | | Notional Amount (000)(b) | | | Value | | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| | | | | | | | | |
Bank of America Corp. | | | 1.00 | % | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/28 | | | A- | | USD | 2,180 | | | $ | 3,764 | | | $ | 12,950 | | | $ | (9,186 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. | |
| | (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
| | | | | | | | | | | | | | | | |
| | | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized Appreciation | | | Unrealized Depreciation | |
| | | | |
Centrally Cleared Swaps(a) | | $ | — | | | $ | (346,563 | ) | | $ | 36,803 | | | $ | — | |
OTC Swaps | | | 12,950 | | | | — | | | | — | | | | (9,186 | ) |
| | (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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 262,394 | | | $ | — | | | $ | 262,394 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | 36,803 | | | | — | | | | — | | | | — | | | | — | | | | 36,803 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap premiums paid | | | — | | | | 12,950 | | | | — | | | | — | | | | — | | | | — | | | | 12,950 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 49,753 | | | $ | — | | | $ | — | | | $ | 262,394 | | | $ | — | | | $ | 312,147 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 528,036 | | | $ | — | | | $ | 528,036 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap premiums received | | | — | | | | 9,186 | | | | — | | | | — | | | | — | | | | — | | | | 9,186 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 9,186 | | | $ | — | | | $ | — | | | $ | 528,036 | | | $ | — | | | $ | 537,222 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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). | |
| | |
| 58 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series C Portfolio |
For the period ended September 30, 2023, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (332,179 | ) | | $ | — | | | $ | (332,179 | ) |
Swaps | | | — | | | | (90,319 | ) | | | — | | | | — | | | | — | | | | — | | | | (90,319 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (90,319 | ) | | $ | — | | | $ | — | | | $ | (332,179 | ) | | $ | — | | | $ | (422,498 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (808,949 | ) | | $ | — | | | $ | (808,949 | ) |
Swaps | | | — | | | | (3,006 | ) | | | — | | | | — | | | | — | | | | — | | | | (3,006 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (3,006 | ) | | $ | — | | | $ | — | | | $ | (808,949 | ) | | $ | — | | | $ | (811,955 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| |
Futures contracts | | | | |
Average notional value of contracts — long | | | $52,323,492 | |
Average notional value of contracts — short | | | $17,082,844 | |
Credit default swaps | | | | |
Average notional value — buy protection | | | $25,898,562 | |
Average notional value — sell protection | | | $3,225,000 | |
| |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments – Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
| | | | | | | | |
| |
| | |
| | | Assets | | | Liabilities | |
| |
| | |
Derivative Financial Instruments | | | | | | | | |
Futures contracts | | $ | 46,653 | | | $ | 24,778 | |
Swaps — centrally cleared | | | 5,017 | | | | — | |
Swaps — OTC(a) | | | 12,950 | | | | 9,186 | |
| | | | | | | | |
| | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 64,620 | | | $ | 33,964 | |
| | | | | | | | |
| | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (51,670 | ) | | | (24,778 | ) |
| | | | | | | | |
| | |
Total derivative assets and liabilities subject to an MNA | | $ | 12,950 | | | $ | 9,186 | |
| | | | | | | | |
| | (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(b) | | | Cash
Collateral
Received(b) | | | Net
Amount of
Derivative
Assets(c) | |
| |
JPMorgan Chase Bank N.A. | | $ | 12,950 | | | $ | (9,186 | ) | | $ | — | | | $ | — | | | $ | 3,764 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Counterparty | | Derivative Liabilities Subject to an MNA by Counterparty | | | Derivatives Available for Offset(a) | | | Non- Cash Collateral Pledged(b) | | | Cash Collateral Pledged(b) | | | Net Amount of Derivative Liabilities(d) | |
| |
JPMorgan Chase Bank N.A. | | $ | 9,186 | | | $ | (9,186 | ) | | $ | — | | | $ | — | | | $ | — | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. | |
| | (c) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (d) | Net amount represents the net amount payable due to the counterparty in the event of default. | |
| | |
SCHEDULES OF INVESTMENTS | | 59 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | 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 | | $ | — | | | $ | 329,513,502 | | | $ | — | | | $ | 329,513,502 | |
Foreign Agency Obligations | | | — | | | | 4,113,597 | | | | — | | | | 4,113,597 | |
Foreign Government Obligations | | | — | | | | 5,547,091 | | | | — | | | | 5,547,091 | |
Municipal Bonds | | | — | | | | 7,913,182 | | | | — | | | | 7,913,182 | |
Preferred Securities | | | — | | | | 6,691,615 | | | | — | | | | 6,691,615 | |
U.S. Treasury Obligations | | | — | | | | 24,696,064 | | | | — | | | | 24,696,064 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 2,580,224 | | | | — | | | | — | | | | 2,580,224 | |
U.S. Treasury Obligations | | | — | | | | 3,647,157 | | | | — | | | | 3,647,157 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 2,580,224 | | | $ | 382,122,208 | | | $ | — | | | $ | 384,702,432 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 36,803 | | | $ | — | | | $ | 36,803 | |
Interest Rate Contracts | | | 262,394 | | | | — | | | | — | | | | 262,394 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (9,186 | ) | | | — | | | | (9,186 | ) |
Interest Rate Contracts | | | (528,036 | ) | | | — | | | | — | | | | (528,036 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | (265,642 | ) | | $ | 27,617 | | | $ | — | | | $ | (238,025 | ) |
| | | | | | | | | | | | | | | | |
| | (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.
| | |
| 60 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) September 30, 2023 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Municipal Bonds | | | | | | | | | | | | |
| | | |
Alabama — 1.8% | | | | | | | | | | | | |
Black Belt Energy Gas District, Refunding RB, 4.00%, 06/01/51(a) | | | USD | | | | 1,715 | | | $ | 1,606,085 | |
Hoover IDB, RB, AMT, 6.38%, 11/01/50(a) | | | | | | | 1,295 | | | | 1,367,305 | |
Southeast Energy Authority Cooperative District | | | | | | | | | | | | |
RB, Series A, 4.00%, 11/01/51(a) | | | | | | | 1,785 | | | | 1,699,483 | |
RB, Series A-1, 5.50%, 01/01/53(a) | | | | | | | 655 | | | | 668,789 | |
Sumter County IDA, RB, AMT, 6.00%, 07/15/52(a) | | | | | | | 830 | | | | 575,323 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,916,985 | |
| | | |
| Arizona — 2.2% | | | | | | | | | |
Arizona IDA | | | | | | | | | | | | |
RB, 5.00%, 07/01/45(b) | | | | | | | 265 | | | | 222,249 | |
RB, 5.00%, 12/15/49(b) | | | | | | | 105 | | | | 86,980 | |
RB, 7.10%, 01/01/55(b) | | | | | | | 920 | | | | 918,823 | |
RB, 5.00%, 07/01/55(b) | | | | | | | 285 | | | | 230,564 | |
RB, Series B, 5.13%, 07/01/47(b) | | | | | | | 195 | | | | 170,669 | |
Refunding RB, 5.50%, 07/01/52(b) | | | | | | | 610 | | | | 520,282 | |
Refunding RB, Series A, 5.00%, 07/01/26(b) | | | | | | | 175 | | | | 172,477 | |
Refunding RB, Series A, 5.13%, 07/01/37(b) | | | | | | | 605 | | | | 560,453 | |
Refunding RB, Series G, 5.00%, 07/01/47(b) | | | | | | | 185 | | | | 158,272 | |
City of Phoenix Arizona IDA (The), RB, 5.00%, 07/01/46(b) | | | | | | | 570 | | | | 491,113 | |
County of Pima IDA (The) | | | | | | | | | | | | |
RB, 5.13%, 07/01/39 | | | | | | | 145 | | | | 123,674 | |
RB, 5.25%, 07/01/49 | | | | | | | 180 | | | | 145,520 | |
Refunding RB, 4.00%, 06/15/51(b) | | | | | | | 625 | | | | 436,395 | |
Refunding RB, 5.00%, 07/01/56(b) | | | | | | | 295 | | | | 237,492 | |
La Paz County IDA, RB, 5.88%, 06/15/48(b) | | | | | | | 285 | | | | 248,509 | |
Maricopa County IDA | | | | | | | | | | | | |
RB, 5.25%, 10/01/40(b) | | | | | | | 280 | | | | 267,080 | |
RB, 5.50%, 10/01/51(b) | | | | | | | 280 | | | | 260,367 | |
RB, AMT, 4.00%, 10/15/47(b) | | | | | | | 1,470 | | | | 1,179,695 | |
Refunding RB, Series A, 4.13%, 09/01/38 | | | | | | | 230 | | | | 205,998 | |
Salt Verde Financial Corp., RB, 5.00%, 12/01/37 | | | | | | | 500 | | | | 488,444 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,125,056 | |
| | | |
| Arkansas — 1.9% | | | | | | | | | |
Arkansas Development Finance Authority | | | | | | | | | | | | |
RB, AMT, 4.50%, 09/01/49(b) | | | | | | | 2,230 | | | | 2,028,908 | |
RB, AMT, 4.75%, 09/01/49(b) | | | | | | | 4,165 | | | | 3,855,041 | |
RB, AMT, 5.70%, 05/01/53 | | | | | | | 350 | | | | 334,820 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,218,769 | |
| | | |
| California — 3.2% | | | | | | | | | |
California HFA, RB, Series 2021-3, Class A, 3.25%, 08/20/36 | | | | | | | 952 | | | | 833,772 | |
California Municipal Finance Authority, RB, 5.63%, 07/01/44(b) | | | | | | | 150 | | | | 138,030 | |
California School Finance Authority | | | | | | | | | | | | |
RB, Series A, 6.75%, 11/01/45(b) | | | | | | | 250 | | | | 250,365 | |
Refunding RB, 5.00%, 07/01/51(b) | | | | | | | 300 | | | | 275,492 | |
California Statewide Communities Development Authority, Refunding RB, Series A, 5.25%, 11/01/44(b) | | | | | | | 250 | | | | 193,144 | |
California Statewide Financing Authority | | | | | | | | | | | | |
RB, 6.00%, 05/01/43 | | | | | | | 315 | | | | 315,006 | |
RB, 6.00%, 05/01/43 | | | | | | | 85 | | | | 85,002 | |
City of Los Angeles Department of Airports, RB, AMT, 5.25%, 05/15/47 | | | | | | | 1,500 | | | | 1,547,737 | |
City of Roseville, Special Tax Bonds, 5.00%, 09/01/44 | | | | | | | 500 | | | | 482,876 | |
CMFA Special Finance Agency I, RB, Series A-2, 4.00%, 04/01/56(b) | | | | | | | 2,250 | | | | 1,437,916 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
California (continued) | | | | | | | | | | | | |
CMFA Special Finance Agency VIII, RB, Series A-1, 3.00%, 08/01/56(b) | | | USD | | | | 545 | | | $ | 324,809 | |
CSCDA Community Improvement Authority | | | | | | | | | | | | |
RB, 4.00%, 10/01/46(b) | | | | | | | 1,055 | | | | 776,193 | |
RB, 2.80%, 03/01/47(b) | | | | | | | 315 | | | | 213,880 | |
RB, 3.13%, 07/01/56(b) | | | | | | | 695 | | | | 413,351 | |
RB, 4.00%, 07/01/56(b) | | | | | | | 205 | | | | 132,283 | |
RB, 3.13%, 08/01/56(b) | | | | | | | 100 | | | | 62,974 | |
RB, 4.00%, 10/01/56(b) | | | | | | | 155 | | | | 117,840 | |
RB, 4.00%, 03/01/57(b) | | | | | | | 505 | | | | 329,087 | |
RB, 4.00%, 07/01/58(b) | | | | | | | 300 | | | | 192,862 | |
RB, 4.00%, 07/01/58(b) | | | | | | | 265 | | | | 167,154 | |
RB, 4.00%, 12/01/59(b) | | | | | | | 435 | | | | 263,898 | |
RB, 4.00%, 12/01/59(b) | | | | | | | 1,080 | | | | 633,549 | |
RB, Series A, 3.00%, 09/01/56(b) | | | | | | | 1,090 | | | | 657,435 | |
Golden State Tobacco Securitization Corp., Refunding RB, Series B-2, 0.00%, 06/01/66(c) | | | | | | | 310 | | | | 26,890 | |
Hastings Campus Housing Finance Authority, RB, Series A, 0.00%, 07/01/61(b)(c) | | | | | | | 1,045 | | | | 392,886 | |
San Francisco City & County Redevelopment Agency Successor Agency, TA, 0.00%, 08/01/31(b)(c) | | | | | | | 580 | | | | 398,972 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,663,403 | |
| | | |
| Colorado — 3.6% | | | | | | | | | |
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47 | | | | | | | 1,000 | | | | 815,060 | |
Arista Metropolitan District, GO, Refunding, 5.00%, 12/01/38 | | | | | | | 500 | | | | 438,090 | |
Aurora Crossroads Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/50 | | | | | | | 500 | | | | 397,434 | |
Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48 | | | | | | | 500 | | | | 409,460 | |
Banning Lewis Ranch Metropolitan District No. 8, GO, 4.88%, 12/01/51(b) | | | | | | | 500 | | | | 355,717 | |
Centerra Metropolitan District No. 1, TA, 5.00%, 12/01/47(b) | | | | | | | 155 | | | | 127,857 | |
City & County of Denver Airport System Revenue, Refunding RB, AMT, Series A, 4.13%, 11/15/53 | | | | | | | 455 | | | | 379,843 | |
Colorado Educational & Cultural Facilities Authority, Refunding RB, 5.00%, 12/15/45(b) | | | | | | | 500 | | | | 450,799 | |
Colorado Health Facilities Authority | | | | | | | | | | | | |
RB, 5.25%, 11/01/39 | | | | | | | 195 | | | | 198,235 | |
RB, 5.50%, 11/01/47 | | | | | | | 120 | | | | 121,831 | |
RB, 5.25%, 11/01/52 | | | | | | | 305 | | | | 298,097 | |
RB, Series A, 5.00%, 05/15/35 | | | | | | | 250 | | | | 200,189 | |
RB, Series A, 5.00%, 05/15/44 | | | | | | | 270 | | | | 186,835 | |
RB, Series A, 5.00%, 05/15/49 | | | | | | | 420 | | | | 276,780 | |
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40 | | | | | | | 950 | | | | 884,577 | |
First Creek Village Metropolitan District | | | | | | | | | | | | |
GO, Series A, 5.00%, 12/01/39 | | | | | | | 600 | | | | 532,930 | |
GO, Series A, 5.00%, 08/01/49 | | | | | | | 540 | | | | 448,436 | |
Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51 | | | | | | | 575 | | | | 418,405 | |
Lanterns Metropolitan District No. 2, GO, Series A, 4.50%, 12/01/50 | | | | | | | 500 | | | | 339,842 | |
Loretto Heights Community Authority, RB, 4.88%, 12/01/51 | | | | | | | 570 | | | | 414,444 | |
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48 | | | | | | | 500 | | | | 436,114 | |
North Range Metropolitan District No. 3, GO, Series A, 5.25%, 12/01/50 | | | | | | | 500 | | | | 416,881 | |
| | |
SCHEDULES OF INVESTMENTS | | 61 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Colorado (continued) | | | | | | | | | | | | |
Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49 | | | USD | | | | 675 | | | $ | 586,778 | |
Pueblo Urban Renewal Authority, TA, 4.75%, 12/01/45(b) | | | | | | | 725 | | | | 487,896 | |
Southlands Metropolitan District No. 1, GO, Refunding, Series A-1, 5.00%, 12/01/37 | | | | | | | 250 | | | | 230,597 | |
Thompson Crossing Metropolitan District No. 4, GO, Refunding, 5.00%, 12/01/49 | | | | | | | 645 | | | | 533,735 | |
Village at Dry Creek Metropolitan District No. 2 (The), GO, 4.38%, 12/01/44 | | | | | | | 813 | | | | 634,194 | |
Waters’ Edge Metropolitan District No. 2, GO, 5.00%, 12/01/51 | | | | | | | 560 | | | | 435,501 | |
Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48 | | | | | | | 500 | | | | 428,452 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,885,009 | |
| | | |
| Connecticut — 0.3% | | | | | | | | | |
Connecticut State Health & Educational Facilities Authority, RB, Series A, 5.00%, 01/01/45(b) | | | | | | | 470 | | | | 376,677 | |
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45(b) | | | | | | | 675 | | | | 658,106 | |
Mohegan Tribe of Indians of Connecticut (The), RB, Series A, 6.75%, 02/01/45(b) | | | | | | | 96 | | | | 89,184 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,123,967 | |
| | | |
| Delaware — 0.2% | | | | | | | | | |
Affordable Housing Opportunities Trust, RB, Series AH-01, Class B, 6.88%,
05/01/39(b)(d) | | | | | | | 667 | | | | 584,699 | |
| | | | | | | | | | | | |
| | | |
| District of Columbia — 1.6% | | | | | | | | | |
District of Columbia Tobacco Settlement Financing Corp. | | | | | | | | | | | | |
RB, 0.00%, 06/15/46(c) | | | | | | | 8,970 | | | | 1,832,748 | |
RB, 0.00%, 06/15/46(c) | | | | | | | 10,325 | | | | 1,890,862 | |
RB, 0.00%, 06/15/55(c) | | | | | | | 19,300 | | | | 1,582,326 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,305,936 | |
| | | |
| Florida — 7.8% | | | | | | | | | |
Avenir Community Development District, Special Assessment RB, 5.63%, 05/01/54 | | | | | | | 330 | | | | 306,481 | |
Brevard County Health Facilities Authority | | | | | | | | | | | | |
Refunding RB, 4.00%, 11/15/23(b) | | | | | | | 200 | | | | 199,528 | |
Refunding RB, 4.00%, 11/15/26(b) | | | | | | | 475 | | | | 456,417 | |
Refunding RB, 4.00%, 11/15/28(b) | | | | | | | 510 | | | | 480,078 | |
Refunding RB, 4.00%, 11/15/30(b) | | | | | | | 555 | | | | 506,788 | |
Refunding RB, 4.00%, 11/15/34(b) | | | | | | | 650 | | | | 557,335 | |
Refunding RB, 5.00%, 04/01/47 | | | | | | | 505 | | | | 493,673 | |
Refunding RB, 5.00%, 04/01/52 | | | | | | | 715 | | | | 694,819 | |
Buckhead Trails Community Development District, Special Assessment RB, Series 2022, 5.75%, 05/01/52 | | | | | | | 210 | | | | 201,975 | |
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31 | | | | | | | 475 | | | | 455,343 | |
Capital Trust Agency, Inc. | | | | | | | | | | | | |
RB, 5.00%, 06/15/49(b) | | | | | | | 100 | | | | 78,123 | |
RB, 5.75%, 06/01/54(b) | | | | | | | 420 | | | | 323,567 | |
RB, 5.00%, 01/01/55(b) | | | | | | | 1,570 | | | | 1,138,837 | |
RB, 4.88%, 06/15/56(b) | | | | | | | 1,335 | | | | 957,282 | |
RB, 0.00%, 07/01/61(b)(c) | | | | | | | 23,740 | | | | 1,347,606 | |
Celebration Pointe Community Development District No. 1, Special Assessment RB, 5.13%, 05/01/45 | | | | | | | 235 | | | | 208,169 | |
Charlotte County IDA, RB, 5.00%, 10/01/49(b) | | | | | | | 615 | | | | 541,095 | |
County of Miami-Dade Seaport Department, | | | | | | | | | | | | |
Refunding RB, AMT, Series A, 5.25%, 10/01/52 | | | | | | | 460 | | | | 454,681 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Florida (continued) | | | | | | | | | | | | |
County of Osceola Transportation Revenue | | | | | | | | | | | | |
Refunding RB, Series A-2, 0.00%, 10/01/46(c) | | | USD | | | | 935 | | | $ | 252,115 | |
Refunding RB, Series A-2, 0.00%, 10/01/47(c) | | | | | | | 900 | | | | 228,982 | |
Refunding RB, Series A-2, 0.00%, 10/01/48(c) | | | | | | | 635 | | | | 139,665 | |
Refunding RB, Series A-2, 0.00%, 10/01/49(c) | | | | | | | 525 | | | | 117,360 | |
Escambia County Health Facilities Authority, Refunding RB, (AGM), 3.00%, 08/15/50 | | | | | | | 2,500 | | | | 1,645,822 | |
Florida Development Finance Corp. | | | | | | | | | | | | |
RB, 5.00%, 06/15/51(b) | | | | | | | 840 | | | | 622,443 | |
RB, 5.25%, 06/01/55(b) | | | | | | | 645 | | | | 485,950 | |
RB, 5.13%, 06/15/55(b) | | | | | | | 2,490 | | | | 1,855,723 | |
RB, 6.50%, 06/30/57(b) | | | | | | | 265 | | | | 234,990 | |
RB, Series A, 6.13%, 06/15/44(b) | | | | | | | 45 | | | | 42,075 | |
RB, Series C, 5.75%, 12/15/56(b) | | | | | | | 370 | | | | 277,952 | |
RB, AMT, 6.13%, 07/01/32(a)(b) | | | | | | | 1,375 | | | | 1,362,641 | |
Refunding RB, 4.00%, 06/01/46(b) | | | | | | | 300 | | | | 191,372 | |
Refunding RB, Series A, 4.50%, 12/15/56(b) | | | | | | | 1,085 | | | | 724,733 | |
Grand Oaks Community Development District | | | | | | | | | | | | |
Special Assessment RB, 4.25%, 05/01/40 | | | | | | | 210 | | | | 180,367 | |
Special Assessment RB, 4.50%, 05/01/52 | | | | | | | 235 | | | | 189,766 | |
Harbor Bay Community Development District, Special Assessment Refunding RB,
Series A-2, 3.70%, 05/01/33 | | | | | | | 370 | | | | 317,468 | |
Lakewood Ranch Stewardship District | | | | | | | | | | | | |
Special Assessment RB, 3.13%, 05/01/25 | | | | | | | 140 | | | | 136,880 | |
Special Assessment RB, 3.25%, 05/01/29 | | | | | | | 225 | | | | 210,056 | |
Special Assessment RB, 4.75%, 05/01/29 | | | | | | | 180 | | | | 176,872 | |
Special Assessment RB, 4.88%, 05/01/35 | | | | | | | 150 | | | | 139,762 | |
Special Assessment RB, 4.40%, 05/01/39 | | | | | | | 525 | | | | 449,349 | |
Special Assessment RB, 5.30%, 05/01/39 | | | | | | | 205 | | | | 194,191 | |
Special Assessment RB, 5.50%, 05/01/39(b) | | | | | | | 25 | | | | 24,189 | |
Special Assessment RB, 5.45%, 05/01/48 | | | | | | | 365 | | | | 332,048 | |
Special Assessment RB, 5.65%, 05/01/48(b) | | | | | | | 115 | | | | 107,509 | |
Special Assessment RB, 4.00%, 05/01/49(b) | | | | | | | 200 | | | | 147,500 | |
Special Assessment RB, 3.90%, 05/01/50 | | | | | | | 240 | | | | 167,292 | |
Orange County Health Facilities Authority, RB, 5.00%, 08/01/35 | | | | | | | 250 | | | | 246,483 | |
Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25 | | | | | | | 150 | | | | 147,106 | |
Parker Road Community Development District | | | | | | | | | | | | |
Special Assessment Refunding RB, 3.10%, 05/01/25 | | | | | | | 100 | | | | 98,057 | |
Special Assessment Refunding RB, 3.38%, 05/01/30 | | | | | | | 335 | | | | 309,614 | |
Poitras East Community Development District, Special Assessment RB, 5.00%, 05/01/43 | | | | | | | 355 | | | | 314,450 | |
Portico Community Development District | | | | | | | | | | | | |
Special Assessment RB, Series 2, 3.25%, 05/01/31 | | | | | | | 100 | | | | 88,060 | |
Special Assessment RB, Series 2, 4.00%, 05/01/50 | | | | | | | 425 | | | | 303,062 | |
Preserve at South Branch Community Development District | | | | | | | | | | | | |
Special Assessment RB, 3.25%, 11/01/24 | | | | | | | 50 | | | | 49,469 | |
Special Assessment RB, 3.50%, 11/01/30 | | | | | | | 200 | | | | 180,623 | |
Sandridge Community Development District | | | | | | | | | | | | |
Special Assessment RB, Series A1, 3.88%, 05/01/41 | | | | | | | 135 | | | | 105,137 | |
Special Assessment RB, Series A1, 4.00%, 05/01/51 | | | | | | | 130 | | | | 92,291 | |
Sawyers Landing Community Development District, Special Assessment RB, 4.25%, 05/01/53 | | | | | | | 815 | | | | 571,179 | |
| | |
| 62 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Florida (continued) | | | | | | | | | | | | |
Seminole County IDA, Refunding RB, 5.75%, 11/15/54 | | | USD | | | | 595 | | | $ | 429,713 | |
Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34 | | | | | | | 365 | | | | 304,636 | |
Tolomato Community Development District, Special Assessment Refunding RB, Sub-Series A-2, 4.25%, 05/01/37 | | | | | | | 185 | | | | 159,068 | |
Trout Creek Community Development District | | | | | | | | | | | | |
Special Assessment RB, 5.00%, 05/01/28 | | | | | | | 240 | | | | 239,102 | |
Special Assessment RB, 5.63%, 05/01/45 | | | | | | | 200 | | | | 191,918 | |
West Villages Improvement District | | | | | | | | | | | | |
Special Assessment RB, 4.25%, 05/01/29 | | | | | | | 100 | | | | 96,664 | |
Special Assessment RB, 4.75%, 05/01/39 | | | | | | | 190 | | | | 171,053 | |
Special Assessment RB, 5.00%, 05/01/50 | | | | | | | 290 | | | | 248,680 | |
Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29(b) | | | | | | | 805 | | | | 770,261 | |
Windward at Lakewood Ranch Community Development District | | | | | | | | | | | | |
Special Assessment RB, 4.00%, 05/01/42 | | | | | | | 140 | | | | 109,530 | |
Special Assessment RB, 4.25%, 05/01/52 | | | | | | | 170 | | | | 124,841 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 25,707,866 | |
| | | |
| Georgia — 1.0% | | | | | | | | | |
East Point Business & IDA, RB, Series A, 5.25%, 06/15/62(b) | | | | | | | 150 | | | | 123,884 | |
Main Street Natural Gas, Inc. | | | | | | | | | | | | |
RB, Series A, 5.00%, 05/15/49 | | | | | | | 905 | | | | 859,424 | |
RB, Series B, 5.00%, 12/01/52(a) | | | | | | | 1,635 | | | | 1,624,553 | |
Municipal Electric Authority of Georgia, RB, 5.00%, 07/01/52 | | | | | | | 645 | | | | 616,493 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,224,354 | |
| | | |
| Idaho — 0.1% | | | | | | | | | |
Idaho Health Facilities Authority, RB, 4.00%, 12/01/43 | | | | | | | 330 | | | | 289,442 | |
| | | | | | | | | | | | |
| | | |
| Illinois — 3.9% | | | | | | | | | |
Chicago Board of Education | | | | | | | | | | | | |
GO, Series D, 5.00%, 12/01/46 | | | | | | | 485 | | | | 435,559 | |
GO, Refunding, Series A, 5.00%, 12/01/30 | | | | | | | 505 | | | | 508,320 | |
GO, Refunding, Series B, 4.00%, 12/01/35 | | | | | | | 230 | | | | 207,065 | |
GO, Refunding, Series B, 4.00%, 12/01/41 | | | | | | | 930 | | | | 759,422 | |
GO, Refunding, Series C, 5.00%, 12/01/34 | | | | | | | 625 | | | | 625,604 | |
GO, Refunding, Series D, 5.00%, 12/01/25 | | | | | | | 290 | | | | 290,198 | |
Chicago O’Hare International Airport, Refunding RB, Series D, 5.00%, 01/01/46 | | | | | | | 1,000 | | | | 1,003,410 | |
Chicago Transit Authority Sales Tax Receipts Fund, Refunding RB, Series A, 4.00%, 12/01/49 | | | | | | | 810 | | | | 677,393 | |
City of Chicago Wastewater Transmission Revenue, Refunding RB, Series C, 5.00%, 01/01/39 | | | | | | | 500 | | | | 489,581 | |
Cook County Community College District No. 508, GO, 5.25%, 12/01/30 | | | | | | | 920 | | | | 921,114 | |
Illinois Finance Authority | | | | | | | | | | | | |
Refunding RB, 6.13%, 02/01/45 | | | | | | | 150 | | | | 142,053 | |
Refunding RB, Series C, 5.00%, 02/15/41 | | | | | | | 650 | | | | 659,750 | |
Illinois State Toll Highway Authority, RB, Series A, 4.00%, 01/01/46 | | | | | | | 2,000 | | | | 1,731,341 | |
Metropolitan Pier & Exposition Authority | | | | | | | | | | | | |
RB, 5.50%, 06/15/53 | | | | | | | 390 | | | | 391,074 | |
RB, 5.00%, 06/15/57 | | | | | | | 660 | | | | 638,263 | |
Refunding RB, 4.00%, 06/15/50 | | | | | | | 1,895 | | | | 1,549,751 | |
State of Illinois | | | | | | | | | | | | |
GO, 5.00%, 04/01/31 | | | | | | | 1,000 | | | | 1,001,801 | |
GO, 5.00%, 05/01/39 | | | | | | | 275 | | | | 263,280 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Illinois (continued) | | | | | | | | | | | | |
State of Illinois | | | | | | | | | | | | |
GO, Series D, 5.00%, 11/01/28 | | | USD | | | | 295 | | | $ | 304,593 | |
GO, Refunding, Series B, 5.00%, 10/01/27 | | | | | | | 105 | | | | 108,508 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,708,080 | |
| | | |
| Indiana — 0.3% | | | | | | | | | |
City of Vincennes, Refunding RB, 6.25%, 01/01/29(b)(e)(f) | | | | | | | 325 | | | | 268,807 | |
Indiana Finance Authority, RB, AMT, 6.75%, 05/01/39 | | | | | | | 640 | | | | 681,388 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 950,195 | |
| | | |
| Iowa — 0.8% | | | | | | | | | |
Iowa Finance Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 05/15/48 | | | | | | | 940 | | | | 673,684 | |
Refunding RB, Series E, 4.00%, 08/15/46 | | | | | | | 570 | | | | 471,031 | |
Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44 | | | | | | | 2,000 | | | | 1,497,846 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,642,561 | |
| | | |
| Kentucky — 0.7% | | | | | | | | | |
City of Henderson, RB, AMT, 4.70%, 01/01/52(b) | | | | | | | 130 | | | | 115,780 | |
Kentucky Public Energy Authority, RB, Series C, 4.00%, 02/01/50(a) | | | | | | | 2,310 | | | | 2,225,402 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,341,182 | |
| | | |
| Louisiana — 0.9% | | | | | | | | | |
Lafayette Parish School Board Sale Tax Revenue | | | | | | | | | | | | |
RB, 4.00%, 04/01/48 | | | | | | | 175 | | | | 153,063 | |
RB, 4.00%, 04/01/53 | | | | | | | 110 | | | | 94,464 | |
Louisiana Local Government Environmental Facilities & Community Development Authority, RB, 5.00%, 07/01/54(b) | | | | | | | 400 | | | | 295,080 | |
Louisiana Public Facilities Authority | | | | | | | | | | | | |
RB, 5.00%, 06/01/41(b) | | | | | | | 310 | | | | 244,479 | |
RB, 5.25%, 06/01/51(b) | | | | | | | 455 | | | | 344,678 | |
RB, 5.25%, 06/01/60(b) | | | | | | | 840 | | | | 612,173 | |
RB, Series A, 6.50%, 06/01/62(b) | | | | | | | 150 | | | | 132,434 | |
Parish of St. James, RB, Series 2, 6.35%, 07/01/40(b) | | | | | | | 950 | | | | 989,626 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,865,997 | |
| | | |
| Maine — 0.1% | | | | | | | | | |
Finance Authority of Maine, RB, AMT, 8.00%, 12/01/51(b) | | | | | | | 670 | | | | 406,639 | |
| | | | | | | | | | | | |
| | | |
| Maryland — 1.7% | | | | | | | | | |
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, 5.25%, 07/01/44 | | | | | | | 250 | | | | 238,705 | |
City of Baltimore | | | | | | | | | | | | |
RB, 4.88%, 06/01/42 | | | | | | | 170 | | | | 149,716 | |
Refunding RB, 4.00%, 09/01/27 | | | | | | | 100 | | | | 95,840 | |
Refunding TA, 3.20%, 06/01/30(b) | | | | | | | 200 | | | | 175,214 | |
Refunding TA, 3.25%, 06/01/31(b) | | | | | | | 225 | | | | 194,148 | |
Refunding TA, 3.30%, 06/01/32(b) | | | | | | | 500 | | | | 425,796 | |
Refunding TA, 3.35%, 06/01/33(b) | | | | | | | 540 | | | | 455,178 | |
Refunding TA, 3.40%, 06/01/34(b) | | | | | | | 570 | | | | 476,239 | |
Refunding TA, 3.45%, 06/01/35(b) | | | | | | | 610 | | | | 505,491 | |
Maryland EDC, RB, AMT, 5.25%, 06/30/47 | | | | | | | 570 | | | | 545,858 | |
Maryland Health & Higher Educational Facilities Authority | | | | | | | | | | | | |
RB, 7.00%, 03/01/55(b) | | | | | | | 1,940 | | | | 1,956,885 | |
Refunding RB, 5.00%, 07/01/40 | | | | | | | 500 | | | | 500,007 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,719,077 | |
| | | |
| Massachusetts — 1.0% | | | | | | | | | |
Massachusetts Development Finance Agency RB, 5.00%, 01/01/48 | | | | | | | 1,000 | | | | 928,618 | |
| | |
SCHEDULES OF INVESTMENTS | | 63 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Massachusetts (continued) | | | | | | | | | | | | |
Massachusetts Development Finance Agency | | | | | | | | | | | | |
RB, 5.00%, 10/01/54 | | | USD | | | | 710 | | | $ | 585,344 | |
RB, Series A, 5.00%, 01/01/47 | | | | | | | 500 | | | | 465,340 | |
RB, Series N, 5.00%, 07/01/44 | | | | | | | 500 | | | | 500,161 | |
Massachusetts HFA | | | | | | | | | | | | |
Refunding RB, AMT, Series A, 4.45%, 12/01/42 | | | | | | | 325 | | | | 284,356 | |
Refunding RB, AMT, Series A, 4.50%, 12/01/47 | | | | | | | 515 | | | | 455,716 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,219,535 | |
| | | |
| Michigan — 0.4% | | | | | | | | | |
Michigan Strategic Fund, RB, 5.00%, 11/15/42 | | | | | | | 210 | | | | 181,692 | |
Wayne County Airport Authority | | | | | | | | | | | | |
RB, Series B, 5.00%, 12/01/44 | | | | | | | 500 | | | | 500,291 | |
RB, Series D, 5.00%, 12/01/40 | | | | | | | 500 | | | | 502,077 | |
RB, AMT, 5.00%, 12/01/39 | | | | | | | 250 | | | | 241,520 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,425,580 | |
| | | |
| Minnesota — 1.5% | | | | | | | | | |
City of Deephaven, Refunding RB, 5.25%, 07/01/37 | | | | 605 | | | | 569,241 | |
City of Forest Lake, Refunding RB, 5.00%, 07/01/56 | | | | 2,140 | | | | 1,735,728 | |
City of Minneapolis | | | | | | | | | | | | |
RB, 5.00%, 07/01/40 | | | | | | | 435 | | | | 350,173 | |
RB, Series A, 5.75%, 07/01/55 | | | | | | | 850 | | | | 770,370 | |
Duluth EDA, Refunding RB, 5.25%, 02/15/58 | | | | | | | 425 | | | | 417,822 | |
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB, Series A, 5.50%, 07/01/38(b) | | | | | | | 240 | | | | 222,239 | |
Minnesota HFA, RB, (GNMA/FNMA/FHLMC), Series M, 6.00%, 01/01/53 | | | | | | | 700 | | | | 729,599 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,795,172 | |
| | | |
| Missouri — 1.0% | | | | | | | | | |
City of St. Louis Missouri IDA (The) | | | | | | | | | | | | |
Refunding RB, 4.38%, 11/15/35 | | | | | | | 215 | | | | 160,394 | |
Refunding RB, 4.75%, 11/15/47 | | | | | | | 240 | | | | 163,803 | |
Kansas City IDA | | | | | | | | | | | | |
RB, Series C, 7.50%, 11/15/46 | | | | | | | 64 | | | | 47,751 | |
RB, AMT, 5.00%, 03/01/54 | | | | | | | 1,275 | | | | 1,244,052 | |
Refunding RB, 2.00%, 11/15/46 | | | | | | | 52 | | | | 2,252 | |
Refunding RB, 5.00%, 11/15/46 | | | | | | | 116 | | | | 82,764 | |
Kansas City Land Clearance Redevelopment Authority | | | | | | | | | | | | |
TA, 4.38%, 02/01/31(b) | | | | | | | 720 | | | | 609,128 | |
TA, 5.00%, 02/01/40(b) | | | | | | | 260 | | | | 202,177 | |
Plaza at Noah’s Ark Community Improvement District, Refunding RB, 3.00%, 05/01/25 | | | | | | | 100 | | | | 96,585 | |
St. Louis County IDA, Refunding RB, 5.00%, 09/01/37 | | | | | | | 695 | | | | 623,237 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,232,143 | |
| | | |
| Nebraska — 0.2% | | | | | | | | | |
Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45 | | | | | | | 500 | | | | 494,956 | |
| | | | | | | | | | | | |
| | | |
| Nevada — 0.2% | | | | | | | | | |
City of Las Vegas Special Improvement District No. 815, Special Assessment RB, 5.00%, 12/01/49 | | | | | | | 190 | | | | 168,057 | |
Tahoe-Douglas Visitors Authority | | | | | | | | | | | | |
RB, 5.00%, 07/01/40 | | | | | | | 405 | | | | 390,829 | |
RB, 5.00%, 07/01/45 | | | | | | | 280 | | | | 260,184 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 819,070 | |
| | | |
| New Hampshire — 0.5% | | | | | | | | | |
New Hampshire Business Finance Authority | | | | | | | | | | | | |
RB, Series A, 4.13%, 08/15/40 | | | | | | | 320 | | | | 251,363 | |
RB, Series A, 4.25%, 08/15/46 | | | | | | | 365 | | | | 270,561 | |
RB, Series A, 4.50%, 08/15/55 | | | | | | | 755 | | | | 551,497 | |
Refunding RB, 4.63%, 11/01/42(b) | | | | | | | 320 | | | | 261,776 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
New Hampshire (continued) | | | | | | | | | | | | |
New Hampshire Business Finance Authority | | | | | | | | | | | | |
Refunding RB, Series A,
3.63%, 07/01/43(a)(b) | | | USD | | | | 190 | | | $ | 136,908 | |
Refunding RB, AMT, 4.88%, 11/01/42(b) | | | | | | | 130 | | | | 109,600 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,581,705 | |
| | | |
| New Jersey — 3.5% | | | | | | | | | |
Casino Reinvestment Development Authority, Inc., Refunding RB, 5.25%, 11/01/39 | | | | | | | 250 | | | | 249,509 | |
New Jersey EDA | | | | | | | | | | | | |
RB, 5.00%, 07/01/32 | | | | | | | 200 | | | | 192,450 | |
RB, 5.25%, 11/01/54(b) | | | | | | | 945 | | | | 744,516 | |
RB, Series WW, 5.25%, 06/15/40 | | | | | | | 55 | | | | 56,307 | |
RB, Series WW, 5.25%, 06/15/40 | | | | | | | 945 | | | | 967,457 | |
RB, AMT, 6.50%, 04/01/31 | | | | | | | 75 | | | | 74,871 | |
Refunding RB, Series A, 6.00%, 08/01/49(b) | | | | | | | 250 | | | | 237,728 | |
New Jersey Health Care Facilities Financing Authority | | | | | | | | | | | | |
RB, 4.00%, 07/01/51 | | | | | | | 1,865 | | | | 1,621,074 | |
Refunding RB, 4.25%, 07/01/44 | | | | | | | 395 | | | | 364,936 | |
Refunding RB, 5.00%, 07/01/44 | | | | | | | 220 | | | | 220,245 | |
New Jersey Higher Education Student Assistance Authority | | | | | | | | | | | | |
Refunding RB, AMT, Series C, 4.25%, 12/01/50 | | | | | | | 1,540 | | | | 1,262,844 | |
Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49 | | | | | | | 820 | | | | 593,249 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | | | | | |
RB, Series AA, 5.25%, 06/15/41 | | | | | | | 205 | | | | 206,833 | |
RB, Series AA, 4.00%, 06/15/45 | | | | | | | 3,000 | | | | 2,632,171 | |
Tobacco Settlement Financing Corp. | | | | | | | | | | | | |
Refunding RB, Series A, 5.00%, 06/01/35 | | | | | | | 375 | | | | 387,963 | |
Refunding RB, Sub-Series B, 5.00%, 06/01/46 | | | | | | | 1,675 | | | | 1,555,151 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,367,304 | |
| | | |
| NewYork — 4.9% | | | | | | | | | |
Build NYC Resource Corp., Refunding RB, AMT, 5.00%, 01/01/35(b) | | | | | | | 285 | | | | 286,700 | |
County of Cattaraugus, RB, 5.00%, 05/01/44 | | | | | | | 195 | | | | 183,649 | |
Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44 | | | | | | | 500 | | | | 469,213 | |
Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56 | | | | | | | 125 | | | | 89,942 | |
Metropolitan Transportation Authority, RB, Series B, 3.00%, 11/15/25 | | | | | | | 165 | | | | 159,135 | |
New York City Housing Development Corp., RB, Series C-1, 4.20%, 11/01/44 | | | | | | | 1,000 | | | | 892,204 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Sub-Series E-1, 4.00%, 02/01/49 | | | | | | | 2,845 | | | | 2,475,990 | |
New York Counties Tobacco Trust IV, Refunding RB, Series A, 5.00%, 06/01/42 | | | | | | | 915 | | | | 819,517 | |
New York Counties Tobacco Trust VI, Refunding RB, Series 2B, 5.00%, 06/01/51 | | | | | | | 835 | | | | 729,450 | |
New York State Dormitory Authority, Refunding RB, Series A, 3.00%, 03/15/51 | | | | | | | 800 | | | | 520,711 | |
New York State Thruway Authority | | | | | | | | | | | | |
Refunding RB, Series A, 4.00%, 03/15/49 | | | | | | | 3,690 | | | | 3,192,102 | |
Refunding RB, Series B, 4.00%, 01/01/45 | | | | | | | 1,190 | | | | 1,022,991 | |
New York Transportation Development Corp. | | | | | | | | | | | | |
RB, AMT, 5.00%, 07/01/34 | | | | | | | 500 | | | | 477,393 | |
RB, AMT, 5.00%, 10/01/35 | | | | | | | 710 | | | | 703,152 | |
RB, AMT, 5.00%, 12/01/40 | | | | | | | 830 | | | | 807,193 | |
RB, AMT, 4.00%, 04/30/53 | | | | | | | 640 | | | | 494,973 | |
Refunding RB, AMT, 5.38%, 08/01/36 | | | | | | | 865 | | | | 847,197 | |
Westchester County Local Development Corp. | | | | | | | | | | | | |
Refunding RB, 5.00%, 07/01/41(b) | | | | | | | 510 | | | | 419,095 | |
| | |
| 64 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
NewYork (continued) | | | | | | | | | | | | |
Westchester County Local Development Corp. | | | | | | | | | | | | |
Refunding RB, 5.00%, 07/01/56(b) | | | USD | | | | 560 | | | $ | 408,916 | |
Westchester Tobacco Asset Securitization Corp. | | | | | | | | | | | | |
Refunding RB, Sub-Series C, 4.00%, 06/01/42 | | | | | | | 685 | | | | 618,742 | |
Refunding RB, Sub-Series C, 5.13%, 06/01/51 | | | | | | | 500 | | | | 464,283 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,082,548 | |
| | | |
| North Carolina — 0.4% | | | | | | | | | |
North Carolina HFA, RB, (GNMA/FNMA/FHLMC), 6.00%, 07/01/53 | | | | | | | 815 | | | | 849,400 | |
North Carolina Medical Care Commission | | | | | | | | | | | | |
Refunding RB, Series A, 5.25%, 01/01/41 | | | | | | | 20 | | | | 20,054 | |
Refunding RB, Series A, 5.25%, 01/01/41 | | | | | | | 230 | | | | 202,900 | |
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40(b) | | | | | | | 250 | | | | 238,797 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,311,151 | |
| | | |
| North Dakota — 0.4% | | | | | | | | | |
City of Grand Forks, RB, (AGM), Series A, 5.00%, 12/01/53 | | | | | | | 350 | | | | 344,577 | |
County of Cass, Refunding RB, 5.25%, 02/15/58 | | | | | | | 855 | | | | 847,342 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,191,919 | |
| | | |
| Ohio — 3.8% | | | | | | | | | |
Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, 5.00%, 06/01/55 | | | | | | | 8,825 | | | | 7,600,264 | |
Cleveland-Cuyahoga County Port Authority | | | | | | | | | | | | |
Refunding TA, 4.00%, 12/01/55(b) | | | | | | | 185 | | | | 140,873 | |
Refunding TA, 4.50%, 12/01/55(b) | | | | | | | 155 | | | | 116,806 | |
County of Hamilton | | | | | | | | | | | | |
Refunding RB, 5.00%, 01/01/46 | | | | | | | 190 | | | | 161,075 | |
Refunding RB, 4.00%, 08/15/50 | | | | | | | 915 | | | | 767,342 | |
County of Hardin | | | | | | | | | | | | |
Refunding RB, 5.00%, 05/01/30 | | | | | | | 140 | | | | 128,681 | |
Refunding RB, 5.25%, 05/01/40 | | | | | | | 145 | | | | 121,099 | |
Refunding RB, 5.50%, 05/01/50 | | | | | | | 670 | | | | 526,135 | |
Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40(b) | | | | | | | 815 | | | | 687,775 | |
Ohio Air Quality Development Authority, RB, AMT, 5.00%, 07/01/49(b) | | | | | | | 780 | | | | 653,881 | |
Port of Greater Cincinnati Development Authority, RB, 4.25%, 12/01/50(b) | | | | | | | 265 | | | | 203,560 | |
Southern Ohio Port Authority, RB, AMT, Series A, 7.00%, 12/01/42(b) | | | | | | | 1,380 | | | | 938,960 | |
State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53 | | | | | | | 370 | | | | 339,427 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,385,878 | |
| | | |
| Oklahoma — 1.7% | | | | | | | | | |
Oklahoma Development Finance Authority | | | | | | | | | | | | |
RB, 7.25%, 09/01/51(b) | | | | | | | 3,290 | | | | 3,246,893 | |
RB, Series B, 5.00%, 08/15/38 | | | | | | | 975 | | | | 890,620 | |
RB, Series B, 5.50%, 08/15/52 | | | | | | | 580 | | | | 518,942 | |
Tulsa Authority for Economic Opportunity, TA, 4.38%, 12/01/41(b) | | | | | | | 235 | | | | 199,270 | |
Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45 | | | | | | | 965 | | | | 891,684 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,747,409 | |
| | | |
| Oregon — 1.5% | | | | | | | | | |
Clackamas County School District No. 12 North Clackamas, GO, (School Bond Guaranty), Series A, 0.00%, 06/15/38(c) | | | | | | | 275 | | | | 126,035 | |
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, 5.50%, 10/01/49 | | | | | | | 150 | | | | 152,240 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Oregon (continued) | | | | | | | | | | | | |
Oregon State Facilities Authority, RB, 5.25%, 06/15/55(b) | | | USD | | | | 305 | | | $ | 246,729 | |
Salem Hospital Facility Authority, Refunding RB, 4.00%, 05/15/49 | | | | | | | 5,000 | | | | 4,089,459 | |
Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36 | | | | | | | 300 | | | | 247,852 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,862,315 | |
| | | |
| Pennsylvania — 1.7% | | | | | | | | | |
Bucks County IDA, RB, 4.00%, 07/01/46 | | | | | | | 200 | | | | 141,835 | |
Montgomery County Higher Education & Health Authority, Refunding RB, 4.00%, 09/01/49 | | | | | | | 1,255 | | | | 1,008,914 | |
Montgomery County IDA, RB, 5.00%, 11/15/45 | | | | | | | 375 | | | | 342,531 | |
Pennsylvania Economic Development Financing Authority | | | | | | | | | | | | |
RB, AMT, 5.75%, 06/30/48 | | | | | | | 490 | | | | 507,503 | |
RB, AMT, 5.25%, 06/30/53 | | | | | | | 770 | | | | 747,016 | |
Refunding RB, AMT, 5.50%, 11/01/44 | | | | | | | 500 | | | | 481,094 | |
Pennsylvania Higher Education Assistance Agency, RB, AMT, Series B, 3.00%, 06/01/47 | | | | | | | 1,010 | | | | 679,712 | |
Pennsylvania Higher Educational Facilities Authority, RB, 4.00%, 08/15/44 | | | | | | | 1,045 | | | | 919,380 | |
Philadelphia Authority for Industrial Development | | | | | | | | | | | | |
RB, 5.25%, 11/01/52 | | | | | | | 235 | | | | 230,580 | |
Refunding RB, Series 2015, 5.00%, 04/01/45 | | | | | | | 500 | | | | 502,327 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,560,892 | |
| | | |
| Puerto Rico — 10.0% | | | | | | | | | |
Children’s Trust Fund, RB, Series A, 0.00%, 05/15/57(c) | | | | | | | 30,030 | | | | 1,622,925 | |
Commonwealth of Puerto Rico | | | | | | | | | | | | |
GO, Series A, 0.00%, 07/01/33(c) | | | | | | | 537 | | | | 312,426 | |
GO, Series A1, 5.63%, 07/01/29 | | | | | | | 1,049 | | | | 1,082,782 | |
GO, Series A1, 5.75%, 07/01/31 | | | | | | | 440 | | | | 459,663 | |
GO, Series A1, 4.00%, 07/01/33 | | | | | | | 418 | | | | 373,850 | |
GO, Series A1, 4.00%, 07/01/35 | | | | | | | 375 | | | | 325,825 | |
GO, Series A1, 4.00%, 07/01/37 | | | | | | | 322 | | | | 271,552 | |
GO, Series A1, 4.00%, 07/01/41 | | | | | | | 438 | | | | 352,584 | |
GO, Series A1, 4.00%, 07/01/46 | | | | | | | 455 | | | | 350,346 | |
GO, Sub-Series CW, 0.00%, 11/01/43(a)(c) | | | | | | | 3,096 | | | | 1,602,571 | |
GO, Sub-Series CW/CONV, 0.00%, 11/01/51(a)(c) | | | | | | | 136 | | | | 47,501 | |
GO, Sub-Series CW/HTA-98, 0.00%, 11/01/51(a)(c) | | | | | | | 7,284 | | | | 3,737,075 | |
GO, Sub-Series CW/HTA-98, 0.00%, 11/01/51(a)(c) | | | | | | | 5,106 | | | | 778,713 | |
GO, Sub-Series CW/PRIFA, 0.00%, 11/01/51(a)(c) | | | | | | | 3,780 | | | | 1,530,917 | |
Puerto Rico Electric Power Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 07/01/29(e)(f) | | | | | | | 385 | | | | 96,711 | |
RB, Series A, 7.00%, 07/01/33(e)(f) | | | | | | | 1,795 | | | | 450,898 | |
RB, Series A, 6.75%, 07/01/36(e)(f) | | | | | | | 775 | | | | 194,677 | |
RB, Series A, 5.00%, 07/01/42(e)(f) | | | | | | | 325 | | | | 81,639 | |
RB, Series A, 7.00%, 07/01/43(e)(f) | | | | | | | 175 | | | | 43,959 | |
RB, Series A-1, 10.00%, 07/01/19(e)(f) | | | | | | | 42 | | | | 10,553 | |
RB, Series A-2, 10.00%, 07/01/19(e)(f) | | | | | | | 212 | | | | 53,239 | |
RB, Series A-3, 10.00%, 07/01/19(e)(f) | | | | | | | 177 | | | | 44,466 | |
RB, Series B-3, 10.00%, 07/01/19(e)(f) | | | | | | | 177 | | | | 44,466 | |
RB, Series C-1, 5.40%, 01/01/18(e)(f) | | | | | | | 486 | | | | 122,169 | |
RB, Series C-2, 5.40%, 07/01/18(e)(f) | | | | | | | 486 | | | | 122,188 | |
RB, Series C-3, 5.40%, 01/01/20(e)(f) | | | | | | | 49 | | | | 12,351 | |
RB, Series C-4, 5.40%, 07/01/20(e)(f) | | | | | | | 49 | | | | 12,351 | |
RB, Series CCC, 5.25%, 07/01/26(e)(f) | | | | | | | 125 | | | | 31,400 | |
RB, Series CCC, 5.00%, 07/01/27(e)(f) | | | | | | | 545 | | | | 136,902 | |
RB, Series CCC, 5.25%, 07/01/28(e)(f) | | | | | | | 70 | | | | 17,584 | |
RB, Series D-1, 7.50%, 01/01/20(e)(f) | | | | | | | 426 | | | | 106,908 | |
RB, Series D-2, 7.50%, 01/01/20(e)(f) | | | | | | | 840 | | | | 211,092 | |
RB, Series D-4, 7.50%, 07/01/20(e)(f) | | | | | | | 145 | | | | 36,422 | |
| | |
SCHEDULES OF INVESTMENTS | | 65 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Puerto Rico (continued) | | | | | | | | | | | | |
Puerto Rico Electric Power Authority | | | | | | | | | | | | |
RB, Series TT, 5.00%, 07/01/18(e)(f) | | | USD | | | | 160 | | | $ | 40,191 | |
RB, Series TT, 5.00%, 07/01/25(e)(f) | | | | | | | 45 | | | | 11,304 | |
RB, Series TT, 5.00%, 07/01/26(e)(f) | | | | | | | 190 | | | | 47,727 | |
RB, Series TT, 5.00%, 07/01/32(e)(f) | | | | | | | 395 | | | | 99,223 | |
RB, Series WW, 5.50%, 07/01/17(e)(f) | | | | | | | 110 | | | | 27,632 | |
RB, Series WW, 5.50%, 07/01/18(e)(f) | | | | | | | 95 | | | | 23,864 | |
RB, Series WW, 5.50%, 07/01/19(e)(f) | | | | | | | 70 | | | | 17,584 | |
RB, Series WW, 5.38%, 07/01/22(e)(f) | | | | | | | 940 | | | | 236,125 | |
RB, Series WW, 5.38%, 07/01/24(e)(f) | | | | | | | 65 | | | | 16,328 | |
RB, Series WW, 5.00%, 07/01/28(e)(f) | | | | | | | 165 | | | | 41,447 | |
RB, Series WW, 5.25%, 07/01/33(e)(f) | | | | | | | 75 | | | | 18,840 | |
RB, Series WW, 5.50%, 07/01/38(e)(f) | | | | | | | 220 | | | | 55,263 | |
RB, Series XX, 5.25%, 07/01/27(e)(f) | | | | | | | 50 | | | | 12,560 | |
RB, Series XX, 5.25%, 07/01/35(e)(f) | | | | | | | 30 | | | | 7,536 | |
RB, Series XX, 5.75%, 07/01/36(e)(f) | | | | | | | 600 | | | | 150,718 | |
RB, Series XX, 5.25%, 07/01/40(e)(f) | | | | | | | 2,320 | | | | 582,776 | |
Refunding RB, Series AAA, 5.25%, 07/01/22(e)(f) | | | | | | | 160 | | | | 40,191 | |
Refunding RB, Series AAA, 5.25%, 07/01/28(e)(f) | | | | | | | 265 | | | | 66,567 | |
Refunding RB, Series AAA, 5.25%, 07/01/29(e)(f) | | | | | | | 40 | | | | 10,048 | |
Refunding RB, Series DDD, 5.00%, 07/01/19(e)(f) | | | | | | | 895 | | | | 224,821 | |
Refunding RB, Series UU, 0.00%, 07/01/17(a)(c)(e)(f) | | | | | | | 30 | | | | 7,536 | |
Refunding RB, Series UU, 0.00%, 07/01/18(a)(c)(e)(f) | | | | | | | 30 | | | | 7,536 | |
Refunding RB, Series UU, 0.00%, 07/01/20(a)(c)(e)(f) | | | | | | | 250 | | | | 62,799 | |
Refunding RB, Series UU, 4.41%, 07/01/31(a)(e)(f) | | | | | | | 300 | | | | 75,359 | |
Refunding RB, Series ZZ, 5.00%, 07/01/17(e)(f) | | | | | | | 70 | | | | 17,584 | |
Refunding RB, Series ZZ, 5.25%, 07/01/19(e)(f) | | | | | | | 235 | | | | 59,031 | |
Refunding RB, Series ZZ, 5.25%, 07/01/23(e)(f) | | | | | | | 930 | | | | 233,613 | |
Refunding RB, Series ZZ, 5.25%, 07/01/24(e)(f) | | | | | | | 150 | | | | 37,679 | |
Refunding RB, Series ZZ, 5.00%, 07/01/28(e)(f) | | | | | | | 75 | | | | 18,840 | |
Puerto Rico Highway & Transportation Authority, RB, Series B, 0.00%, 07/01/32(c) | | | | | | | 1,217 | | | | 783,413 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | | | | | | | | | | | | |
RB, Series A-1, 0.00%, 07/01/29(c) | | | | | | | 613 | | | | 472,317 | |
RB, Series A-1, 0.00%, 07/01/33(c) | | | | | | | 496 | | | | 313,905 | |
RB, Series A-1, 0.00%, 07/01/46(c) | | | | | | | 6,971 | | | | 1,801,376 | |
RB, Series A-1, 4.75%, 07/01/53 | | | | | | | 3,377 | | | | 2,965,339 | |
RB, Series A-1, 5.00%, 07/01/58 | | | | | | | 4,171 | | | | 3,757,754 | |
RB, Series A-2, 4.33%, 07/01/40 | | | | | | | 3,825 | | | | 3,413,199 | |
RB, Series A-2, 4.33%, 07/01/40 | | | | | | | 34 | | | | 30,301 | |
RB, Series A-2, 4.54%, 07/01/53 | | | | | | | 317 | | | | 265,785 | |
RB, Series A-2, 4.78%, 07/01/58 | | | | | | | 2,226 | | | | 1,930,947 | |
RB, Series B-1, 0.00%, 07/01/46(c) | | | | | | | 477 | | | | 119,085 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 32,782,848 | |
| | | |
| Rhode Island — 0.1% | | | | | | | | | |
Rhode Island Student Loan Authority, RB, AMT, Series A, 3.63%, 12/01/37 | | | | | | | 460 | | | | 399,156 | |
| | | | | | | | | | | | |
| | | |
| South Carolina — 1.0% | | | | | | | | | |
Patriots Energy Group Financing Agency, RB, Series A1, 5.25%, 10/01/54(a) | | | | | | | 1,880 | | | | 1,889,386 | |
South Carolina Jobs EDA
RB, 7.50%, 08/15/62(b) | | | | | | | 325 | | | | 276,473 | |
Refunding RB, 4.00%, 11/15/27 | | | | | | | 135 | | | | 125,758 | |
Refunding RB, 5.00%, 02/01/38 | | | | | | | 1,000 | | | | 1,007,236 | |
South Carolina Public Service Authority, Refunding RB, Series B, 4.00%, 12/01/56 | | | | | | | 200 | | | | 153,462 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,452,315 | |
| | | |
| Tennessee — 2.2% | | | | | | | | | |
Chattanooga-Hamilton County Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44 | | | | | | | 250 | | | | 235,474 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Tennessee (continued) | | | | | | | | | | | | |
Franklin Health & Educational Facilities Board, Refunding RB, 7.50%, 06/01/47(b)(e)(f) | | | USD | | | | 1,205 | | | $ | 289,200 | |
Knox County Health Educational & Housing Facility Board, Refunding RB, 5.00%, 04/01/36 | | | | | | | 690 | | | | 680,756 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, 4.00%, 10/01/49 | | | | | | | 220 | | | | 154,967 | |
Metropolitan Government Nashville & Davidson County IDB, Special Assessment RB, 0.00%, 06/01/43(b)(c) | | | | | | | 685 | | | | 227,505 | |
Metropolitan Government Nashville & Davidson County Sports Authority, RB, (AGM), Series A, 5.25%, 07/01/48 | | | | | | | 935 | | | | 964,894 | |
Metropolitan Nashville Airport Authority (The) | | | | | | | | | | | | |
RB, AMT, Series B, 5.25%, 07/01/35 | | | | | | | 320 | | | | 334,640 | |
RB, AMT, Series B, 5.50%, 07/01/36 | | | | | | | 265 | | | | 280,868 | |
Tennergy Corp., RB, Series A, 5.50%, 10/01/53(a) | | | | | | | 2,320 | | | | 2,391,316 | |
Tennessee Energy Acquisition Corp., RB, Series A, 5.00%, 05/01/52(a) | | | | | | | 1,750 | | | | 1,746,253 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,305,873 | |
| | | |
| Texas — 6.9% | | | | | | | | | |
Angelina & Neches River Authority, RB, AMT, 7.50%, 12/01/45(b) | | | | | | | 510 | | | | 317,920 | |
Arlington Higher Education Finance Corp. | | | | | | | | | | | | |
RB, 5.00%, 08/15/41 | | | | | | | 225 | | | | 184,584 | |
RB, 5.00%, 06/15/51 | | | | | | | 490 | | | | 386,872 | |
RB, 5.63%, 08/15/54(b) | | | | | | | 1,305 | | | | 1,102,051 | |
RB, 7.88%, 11/01/62(b) | | | | | | | 280 | | | | 270,708 | |
Brazoria County IDC, RB, AMT, 7.00%, 03/01/39 | | | | | | | 390 | | | | 327,874 | |
Central Texas Turnpike System | | | | | | | | | | | | |
Refunding RB, Series C, 5.00%, 08/15/37 | | | | | | | 200 | | | | 196,145 | |
Refunding RB, Series C, 5.00%, 08/15/42 | | | | | | | 250 | | | | 250,309 | |
City of Crandall, Special Assessment RB, 4.25%, 09/15/41(b) | | | | | | | 230 | | | | 180,784 | |
City of Houston Airport System Revenue RB, AMT, 4.00%, 07/01/41 | | | | | | | 700 | | | | 589,181 | |
Refunding RB, AMT, 5.00%, 07/15/27 | | | | | | | 140 | | | | 138,661 | |
Refunding RB, AMT, 5.00%, 07/01/29 | | | | | | | 500 | | | | 491,581 | |
Refunding RB, AMT, Series C, 5.00%, 07/15/27 | | | | | | | 910 | | | | 902,395 | |
Refunding RB, AMT, Sub-Series A, 4.00%, 07/01/41 | | | | | | | 3,590 | | | | 3,077,673 | |
Refunding RB, AMT, (AGM), Series A, 5.25%, 07/01/48 | | | | | | | 485 | | | | 491,878 | |
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45 | | | | | | | 500 | | | | 492,067 | |
County of Hays, Special Assessment RB, 7.00%, 09/15/45 | | | | | | | 200 | | | | 201,747 | |
Dallas ISD, GO (Permanent School Fund Guaranteed), 5.00%, 02/15/48 | | | | | | | 1,375 | | | | 1,415,342 | |
Del Valle ISD, GO (Permanent School Fund Guaranteed), 4.00%, 06/15/47 | | | | | | | 1,335 | | | | 1,180,052 | |
Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42 | | | | | | | 465 | | | | 426,216 | |
Fort Worth ISD, GO (Permanent School Fund Guaranteed), 4.00%, 02/15/48 | | | | | | | 230 | | | | 206,248 | |
Mission EDC, Refunding RB, AMT, 4.63%, 10/01/31(b) | | | | | | | 285 | | | | 270,640 | |
New Hope Cultural Education Facilities Finance Corp. | | | | | | | | | | | | |
RB, 6.75%, 10/01/52 | | | | | | | 800 | | | | 664,533 | |
RB, Series A, 5.00%, 08/15/51(b) | | | | | | | 250 | | | | 207,869 | |
New Hope Higher Education Finance Corp., RB, Series A, 5.75%, 06/15/51(b) | | | | | | | 1,175 | | | | 955,342 | |
Newark Higher Education Finance Corp., RB, Series A, 5.50%, 08/15/35(b) | | | | | | | 300 | | | | 288,069 | |
| | |
| 66 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Texas (continued) | | | | | | | | | | | | |
Port Beaumont Navigation District | | | | | | | | | | | | |
RB, AMT, 2.75%, 01/01/36(b) | | | USD | | | | 1,105 | | | $ | 746,338 | |
RB, AMT, 2.88%, 01/01/41(b) | | | | | | | 350 | | | | 209,701 | |
RB, AMT, 3.00%, 01/01/50(b) | | | | | | | 1,495 | | | | 792,391 | |
Refunding RB, AMT, 3.63%, 01/01/35(b) | | | | | | | 635 | | | | 483,004 | |
Refunding RB, AMT, 4.00%, 01/01/50(b) | | | | | | | 1,975 | | | | 1,295,363 | |
Tarrant County Cultural Education Facilities Finance Corp. | | | | | | | | | | | | |
RB, 5.50%, 11/15/47 | | | | | | | 595 | | | | 627,951 | |
Refunding RB, 5.00%, 10/01/49 | | | | | | | 250 | | | | 217,869 | |
Texas Private Activity Bond Surface Transportation Corp. | | | | | | | | | | | | |
RB, AMT, 5.00%, 06/30/58 | | | | | | | 315 | | | | 301,074 | |
RB, AMT, 5.50%, 12/31/58 | | | | | | | 1,050 | | | | 1,072,722 | |
Texas Transportation Commission State Highway 249 System | | | | | | | | | | | | |
RB, 0.00%, 08/01/40(c) | | | | | | | 1,000 | | | | 410,894 | |
RB, 0.00%, 08/01/42(c) | | | | | | | 655 | | | | 218,508 | |
Texas Water Development Board, RB, 4.00%, 10/15/45 | | | | | | | 1,295 | | | | 1,173,357 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,765,913 | |
| | | |
| Utah — 0.1% | | | | | | | | | |
Utah Charter School Finance Authority | | | | | | | | | | | | |
RB, Series A, 5.00%, 06/15/52(b) | | | | | | | 285 | | | | 221,086 | |
Refunding RB, 5.00%, 06/15/55(b) | | | | | | | 230 | | | | 185,851 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 406,937 | |
| | | |
| Vermont — 0.3% | | | | | | | | | |
East Central Vermont Telecommunications District | | | | | | | | | | | | |
RB, Series A, 4.75%, 12/01/40(b) | | | | | | | 695 | | | | 577,279 | |
RB, Series A, 4.50%, 12/01/44(b) | | | | | | | 705 | | | | 539,618 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,116,897 | |
| | | |
| Virginia — 0.4% | | | | | | | | | |
Ballston Quarter Community Development Authority, TA, Series A, 5.13%, 03/01/31 | | | | | | | 230 | | | | 189,005 | |
Hampton Roads Transportation Accountability Commission, RB, Series A, 4.00%, 07/01/55 | | | | | | | 285 | | | | 242,421 | |
Lower Magnolia Green Community Development Authority | | | | | | | | | | | | |
Special Assessment RB, 5.00%, 03/01/35(b) | | | | | | | 230 | | | | 217,943 | |
Special Assessment RB, 5.00%, 03/01/45(b) | | | | | | | 85 | | | | 74,473 | |
Norfolk Redevelopment & Housing Authority | | | | | | | | | | | | |
RB, 4.00%, 01/01/29 | | | | | | | 250 | | | | 221,332 | |
RB, 5.00%, 01/01/34 | | | | | | | 190 | | | | 165,792 | |
RB, 5.00%, 01/01/49 | | | | | | | 365 | | | | 271,687 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,382,653 | |
| | | |
| Washington — 0.8% | | | | | | | | | |
King County Public Hospital District No. 4, GO, Refunding, 5.00%, 12/01/30 | | | | | | | 200 | | | | 196,857 | |
Port of Seattle, RB, AMT, Series C, 5.00%, 04/01/40 | | | | | | | 250 | | | | 240,942 | |
Washington State Housing Finance Commission | | | | | | | | | | | | |
RB, Series A, 5.00%, 07/01/50(b) | | | | | | | 310 | | | | 260,839 | |
Refunding RB, 5.00%, 01/01/43(b) | | | | | | | 1,935 | | | | 1,495,802 | |
Refunding RB, 6.00%, 01/01/45(b) | | | | | | | 210 | | | | 177,662 | |
Refunding RB, Series A, 5.00%, 07/01/43 | | | | | | | 200 | | | | 189,444 | |
Refunding RB, Series A, 5.00%, 07/01/48 | | | | | | | 190 | | | | 175,062 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,736,608 | |
| | | |
| West Virginia — 0.1% | | | | | | | | | |
City of Martinsburg, RB, Series A-1, 4.63%, 12/01/43 | | | | | | | 430 | | | | 368,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Wisconsin — 4.9% | | | | | | | | | | | | |
Public Finance Authority | | | | | | | | | | | | |
RB, 6.25%, 10/01/31(b)(e)(f) | | | USD | | | | 195 | | | $ | 140,400 | |
RB, 0.00%, 01/01/35(b)(c) | | | | | | | 1,155 | | | | 512,872 | |
RB, 4.50%, 01/01/35(b) | | | | | | | 725 | | | | 619,854 | |
RB, 5.00%, 06/15/41(b) | | | | | | | 210 | | | | 179,625 | |
RB, 5.00%, 01/01/42(b) | | | | | | | 360 | | | | 308,270 | |
RB, 6.85%, 11/01/46(b)(e)(f) | | | | | | | 275 | | | | 178,750 | |
RB, 7.00%, 11/01/46(b)(e)(f) | | | | | | | 155 | | | | 100,750 | |
RB, 5.38%, 07/15/47(b) | | | | | | | 335 | | | | 295,722 | |
RB, 7.00%, 10/01/47(b)(e)(f) | | | | | | | 195 | | | | 140,400 | |
RB, 5.50%, 12/01/48(b)(e)(f) | | | | | | | 8 | | | | 1,808 | |
RB, 5.63%, 06/15/49(b) | | | | | | | 1,430 | | | | 1,123,060 | |
RB, 5.00%, 06/15/51(b) | | | | | | | 195 | | | | 143,819 | |
RB, 5.25%, 12/01/51(b) | | | | | | | 1,060 | | | | 736,608 | |
RB, 5.00%, 06/15/55(b) | | | | | | | 550 | | | | 436,937 | |
RB, 5.00%, 06/15/55(b) | | | | | | | 2,750 | | | | 1,922,597 | |
RB, 5.00%, 07/01/55(b) | | | | | | | 880 | | | | 651,945 | |
RB, 5.00%, 01/01/56(b) | | | | | | | 875 | | | | 692,729 | |
RB, 4.75%, 06/15/56(b) | | | | | | | 440 | | | | 289,255 | |
RB, 5.00%, 06/15/56(b) | | | | | | | 145 | | | | 104,396 | |
RB, 0.00%, 01/01/60(b)(c) | | | | | | | 19,530 | | | | 1,084,045 | |
RB, Series A, 7.75%, 07/01/43(b) | | | | | | | 1,920 | | | | 1,822,499 | |
RB, Series A, 5.63%, 06/15/49(b) | | | | | | | 865 | | | | 721,941 | |
RB, AMT, 4.00%, 09/30/51 | | | | | | | 2,025 | | | | 1,492,556 | |
RB, AMT, 4.25%, 07/01/54 | | | | | | | 1,160 | | | | 751,190 | |
RB, AMT, 4.00%, 03/31/56 | | | | | | | 680 | | | | 489,451 | |
Refunding RB, 5.00%, 10/01/34(b) | | | | | | | 100 | | | | 95,599 | |
Refunding RB, 5.25%, 05/15/52(b) | | | | | | | 245 | | | | 203,411 | |
Refunding RB, AMT, Series B, 5.00%, 07/01/42 | | | | | | | 750 | | | | 699,532 | |
Wisconsin Housing & EDA, RB, Series A, 4.55%, 07/01/37 | | | | | | | 165 | | | | 155,701 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,095,722 | |
| | | |
| Wyoming — 0.2% | | | | | | | | | |
University of Wyoming, RB, (AGM), Series C, 4.00%, 06/01/51 | | | | | | | 775 | | | | 642,898 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds — 81.8%
(Cost: $314,261,199) | | | | 269,213,119 | |
| | | | | | | | | | | | |
|
Municipal Bonds Transferred to Tender Option Bond Trusts(g) | |
| | | |
| Alabama — 0.7% | | | | | | | | | |
Black Belt Energy Gas District, RB, Series C-1, 5.25%, 02/01/53 | | | | | | | 2,340 | | | | 2,366,869 | |
| | | | | | | | | | | | |
| | | |
Florida — 0.7% | | | | | | | | | | | | |
Escambia County Health Facilities Authority, Refunding RB, Series A, 4.00%, 08/15/45 | | | | | | | 3,060 | | | | 2,450,751 | |
| | | | | | | | | | | | |
| | | |
Nebraska — 0.9% | | | | | | | | | | | | |
Central Plains Energy Gas Revenue, RB, Series 1, 5.00%, 05/01/53 | | | | | | | 2,860 | | | | 2,846,812 | |
| | | | | | | | | | | | |
| | | |
NewYork — 1.9% | | | | | | | | | | | | |
New York City Housing Development Corp. | | | | | | | | | | | | |
RB, Series D-1-B, 4.25%, 11/01/45 | | | | | | | 1,000 | | | | 849,561 | |
Refunding RB, Series A-1, 4.15%, 11/01/38 | | | | | | | 1,414 | | | | 1,267,677 | |
Port Authority of New York & New Jersey, RB, AMT, Series 221, 4.00%, 07/15/55 | | | | | | | 5,015 | | | | 4,016,611 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,133,849 | |
| | |
SCHEDULES OF INVESTMENTS | | 67 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | 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 | | | USD | | | | 1,215 | | | $ | 998,887 | |
| | | | | | | | |
| |
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 4.5%
(Cost: $17,019,273) | | | | 14,797,168 | |
| | | | | | | | |
| |
Total Long-Term Investments — 86.3%
(Cost: $331,280,472) | | | | 284,010,287 | |
| | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Short-Term Securities | |
|
| Money Market Funds — 16.2% | |
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 3.96%(h) | | | | | | | 53,416,047 | | | | 53,405,364 | |
| | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
|
Municipal Bonds | |
| | | |
| Florida — 1.5% | | | | | | | | | |
City of Gainesville Utilities System Revenue, Refunding RB, Series B, VRDN, (Barclays Bank plc SBPA), 4.60%, 10/02/23(i) | | | USD | | | | 2,500 | | | | 2,500,000 | |
JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.93%, 10/09/23(i) | | | | | | | 2,500 | | | | 2,500,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 5,000,000 | |
| | | |
| NewYork — 0.8% | | | | | | | | | |
City of New York, GO,
Sub-Series A-2, VRDN, (Mizuho Bank Ltd. LOC), 4.70%, 10/02/23(i) | | | | | | | 2,500 | | | | 2,500,000 | |
| | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Virginia — 0.7% | | | | | | | | | |
Loudoun County EDA, RB, Series F, VRDN, 4.06%, 10/09/23(i) | | | USD | | | | 2,500 | | | $ | 2,500,000 | |
| | | | | | | | |
| |
Total Municipal Bonds — 3.0%
(Cost: $10,000,000) | | | | 10,000,000 | |
| | | | | | | | |
| |
Total Short-Term Securities — 19.2%
(Cost: $63,409,648) | | | | 63,405,364 | |
| | | | | | | | |
| |
Total Investments — 105.5%
(Cost: $394,690,120) | | | | 347,415,651 | |
| |
Liabilities in Excess of Other Assets — (2.8)% | | | | (9,371,511 | ) |
| |
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (2.7)% | | | | (8,949,495 | ) |
| | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 329,094,645 | |
| | | | | | | | |
| (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) | Issuer filed for bankruptcy and/or is in default. |
| (f) | Non-income producing security. |
| (g) | 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. |
| (h) | Annualized 7-day yield as of period end. |
| (i) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Derivative Financial Instruments Categorized by Risk Exposure
For the period ended September 30, 2023, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (266,242 | ) | | $ | — | | | $ | (266,242) | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 266,330 | | | $ | — | | | $ | 266,330 | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| |
| |
Futures contracts | | | | |
Average notional value of contracts — short | | $ | —(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.
| | |
| 68 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series E Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| | | | | | | | | | | | | | | | |
| |
| | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
| | | | |
Assets | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | |
Long-Term Investments | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | — | | | $ | 268,628,420 | | | $ | 584,699 | | | $ | 269,213,119 | |
Municipal Bonds Transferred to Tender Option Bond Trusts | | | — | | | | 14,797,168 | | | | — | | | | 14,797,168 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | — | | | | 53,405,364 | | | | — | | | | 53,405,364 | |
Municipal Bonds | | | — | | | | 10,000,000 | | | | — | | | | 10,000,000 | |
Unfunded Commitments(a) | | | — | | | | — | | | | 1,751,705 | | | | 1,751,705 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | — | | | $ | 346,830,952 | | | $ | 2,336,404 | | | $ | 349,167,356 | |
| | | | | | | | | | | | | | | | |
| | (a) | Unfunded commitments are valued at the unrealized appreciation (depreciation) on the commitment. | |
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 $8,837,000 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 69 |
| | |
Schedule of Investments (unaudited) September 30, 2023 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities | |
Chesapeake Funding II LLC | | | | | | | | | | | | |
Series 2023-1A, Class A1, 5.65%, 05/15/35(a) | | | USD | | | | 2,191 | | | $ | 2,176,367 | |
Series 2023-2A, Class A1, 6.16%, 10/15/35(a) | | | | | | | 1,390 | | | | 1,389,253 | |
Enterprise Fleet Financing LLC | | | | | | | | | | | | |
Series 2022-3, Class A2, 4.38%, 07/20/29(a) | | | | | | | 2,634 | | | | 2,578,861 | |
Series 2023-2, Class A2, 5.56%, 04/22/30(a) | | | | | | | 2,316 | | | | 2,298,133 | |
Ford Credit Auto Owner Trust,
Series 2023-2, Class A, 5.28%, 02/15/36(a) | | | | | | | 2,362 | | | | 2,326,224 | |
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class A1, 4.92%, 05/15/28(a) | | | | | | | 3,331 | | | | 3,268,676 | |
GMF Floorplan Owner Revolving Trust | | | | | | | | | | | | |
Series 2023-1, Class A1, 5.34%, 06/15/28(a) | | | | | | | 1,805 | | | | 1,788,950 | |
Series 2023-2, Class A, 5.34%, 06/15/30(a) | | | | | | | 617 | | | | 608,659 | |
Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 09/20/40(a) | | | | | | | 118 | | | | 100,065 | |
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28(a) | | | | | | | 794 | | | | 793,501 | |
PFS Financing Corp. | | | | | | | | | | | | |
Series 2023-A, Class A, 5.80%, 03/15/28(a) | | | | | | | 2,658 | | | | 2,653,233 | |
Series 2023-B, Class A, 5.27%, 05/15/28(a) | | | | | | | 3,792 | | | | 3,739,667 | |
Series 2023-C, Class A, 5.52%, 10/15/28(a) | | | | | | | 873 | | | | 865,613 | |
| | | | | | | | | | | | |
| | | |
Total Asset-Backed Securities — 2.2%
(Cost: $24,836,276) | | | | | | | | | | | 24,587,202 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed Securities | |
|
| Commercial Mortgage-Backed Securities — 9.3% | |
1211 Avenue of the Americas Trust, Series 2015- 1211, Class A1A2, 3.90%, 08/10/35(a) | | | | | | | 945 | | | | 884,505 | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 0.93%),
6.51%, 09/15/34(a)(b) | | | | | | | 3,928 | | | | 3,819,981 | |
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C, 3.72%, 05/15/53(a)(b) | | | | | | | 400 | | | | 296,970 | |
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-200P, Class B, 3.49%, 04/14/33(a) | | | | | | | 2,164 | | | | 1,984,975 | |
Series 2018-DSNY, Class A, (1-mo. CME Term SOFR + 0.9%), 6.48%, 09/15/34(a)(b) | | | | | | | 2,558 | | | | 2,546,097 | |
BANK | | | | | | | | | | | | |
Series 2018-BN11, Class B, 4.49%, 03/15/61(b) | | | | | | | 1,769 | | | | 1,528,740 | |
Series 2021-BN38, Class A5, 2.52%, 12/15/64 | | | | | | | 5,090 | | | | 3,955,752 | |
BBCMS Mortgage Trust, Series 2023-C19, Class A5, 5.45%, 04/15/56 | | | | | | | 1,430 | | | | 1,383,832 | |
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 6.20%, 04/15/36(a)(b) | | | | | | | 1,140 | | | | 1,112,792 | |
Benchmark Mortgage Trust,
Series 2018-B2, Class A5, 3.88%, 02/15/51(b) | | | | | | | 1,000 | | | | 903,846 | |
BFLD, Series 2019-DPLO, Class A, (1-mo. CME Term SOFR + 1.2%), 6.54%, 10/15/34(a)(b) | | | | | | | 70 | | | | 69,601 | |
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%),
7.02%, 03/15/40(a)(b) | | | | | | | 2,000 | | | | 1,989,985 | |
BPR Trust, Series 2021-TY, Class A, (1-mo. CME Term SOFR + 1.16%), 6.50%, 09/15/38(a)(b) | | | | | | | 2,863 | | | | 2,755,173 | |
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33(a) | | | | | | | 3,920 | | | | 3,681,256 | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-XL, Class D, (1-mo. CME Term SOFR + 1.56%), 6.90%, 10/15/36(a)(b) | | | | | | | 3,570 | | | | 3,538,363 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
| Commercial Mortgage-Backed Securities (continued) | | | | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2021-VINO, Class B, (1-mo. CME Term SOFR + 0.97%),
6.30%, 05/15/38(a)(b) | | | USD | | | | 688 | | | $ | 670,743 | |
Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.35%, 02/15/39(a)(b) | | | | | | | 5,090 | | | | 4,966,697 | |
BX Trust | | | | | | | | | | | | |
Series 2019-OC11, Class A, 3.20%, 12/09/41(a) | | | | | | | 975 | | | | 821,808 | |
Series 2019-OC11, Class D, 4.08%, 12/09/41(a)(b) | | | . | | | | 1,489 | | | | 1,224,012 | |
Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%),
6.25%, 02/15/36(a)(b) | | | | | | | 217 | | | | 213,516 | |
Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%),
7.50%, 08/15/39(a)(b) | | | | | | | 1,053 | | | | 1,054,980 | |
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.95%, 09/15/28(a)(b) | | | | | | | 2,995 | | | | 2,993,226 | |
CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39(a) | | | | | | | 1,254 | | | | 1,056,574 | |
Citigroup Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2020-420K, Class B, 2.86%, 11/10/42(a) | | | | | | | 130 | | | | 97,619 | |
Series 2023-SMRT, Class A, 6.02%, 10/12/40(a)(b) | | | . | | | | 1,370 | | | | 1,333,994 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | | | | | | | 2,025 | | | | 2,006,421 | |
Series 2015-CR27, Class B, 4.49%, 10/10/48(b) | | | | | | | 2,917 | | | | 2,644,146 | |
Series 2015-LC23, Class ASB, 3.60%, 10/10/48 | | | | | | | 1,548 | | | | 1,499,981 | |
Series 2017-COR2, Class AM, 3.80%, 09/10/50 | | | | | | | 404 | | | | 353,122 | |
Series 2019-521F, Class B, (1-mo. CME Term SOFR + 1.25%),
6.58%, 06/15/34(a)(b) | | | | | | | 1,304 | | | | 1,101,880 | |
Credit Suisse Mortgage Capital Trust | | | | | | | | | | | | |
Series 2020-NET, Class C, 3.53%, 08/15/37(a) | | | | | | | 266 | | | | 234,275 | |
Series 2021-980M, Class A, 2.39%, 07/15/31(a) | | | | | | | 1,090 | | | | 949,243 | |
CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40(a) | | | . | | | | 763 | | | | 757,170 | |
Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40(a) | | | | | | | 900 | | | | 679,658 | |
GS Mortgage Securities Corp. II | | | | | | | | | | | | |
Series 2005-ROCK, Class A, 5.37%, 05/03/32(a) | | | | | | | 910 | | | | 879,877 | |
Series 2005-ROCK, Class F, 5.52%, 05/03/32(a) | | | | | | | 706 | | | | 652,580 | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2014-GC24, Class A5, 3.93%, 09/10/47 | | | | | | | 4,000 | | | | 3,876,933 | |
Series 2021-ROSS, Class A, (1-mo. CME Term SOFR + 1.26%),
6.60%, 05/15/26(a)(b) | | | | | | | 730 | | | | 643,372 | |
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.53%, 08/15/39(a)(b) | | | | | | | 3,060 | | | | 3,063,640 | |
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%),
7.42%, 03/15/28(a)(b) | | | | | | | 1,100 | | | | 1,088,972 | |
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.56%, 07/10/39(a)(b) | | | | | | | 669 | | | | 514,273 | |
IMT Trust, Series 2017-APTS, Class BFX, 3.61%, 06/15/34(a)(b) | | | | | | | 2,425 | | | | 2,348,490 | |
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a) | | | | | | | 349 | | | | 327,585 | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2014-C23, Class ASB, 3.66%, 09/15/47 | | | | | | | 1,090 | | | | 1,074,625 | |
Series 2015-C28, Class A4, 3.23%, 10/15/48 | | | | | | | 4,058 | | | | 3,848,541 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2016-NINE, Class A, 2.95%, 09/06/38(a)(b) | | | | | | | 1,790 | | | | 1,581,208 | |
Series 2020-609M, Class A, (1-mo. CME Term SOFR + 1.48%),
6.82%, 10/15/33(a)(b) | | | | | | | 2,000 | | | | 1,869,238 | |
Series 2020-609M, Class D, (1-mo. CME Term SOFR + 2.88%),
8.22%, 10/15/33(a)(b) | | | | | | | 600 | | | | 487,230 | |
Series 2021-2NU, Class A, 1.97%, 01/05/40(a) | | | | | | | 1,210 | | | | 913,049 | |
Series 2022-CGSS, Class A, (1-mo. CME Term SOFR + 2.47%),
7.80%, 12/15/36(a)(b) | | | | | | | 420 | | | | 420,379 | |
| | |
| 70 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | 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 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.51%, 09/15/39(a)(b) | | | USD | | | | 210 | | | $ | 210,392 | |
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49(a) | | | | | | | 534 | | | | 518,978 | |
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 08/15/28(a)(b) | | | | | | | 880 | | | | 882,692 | |
MF1 | | | | | | | | | | | | |
Series 2021-W10, Class A, (1-mo. CME Term SOFR + 1.07%), 6.40%, 12/15/34(a)(b) | | | | | | | 480 | | | | 469,060 | |
Series 2021-W10, Class B, (1-mo. CME Term SOFR + 1.37%), 6.70%, 12/15/34(a)(b) | | | | | | | 640 | | | | 612,418 | |
MIRA Trust, Series 2023-MILE, Class A, 6.76%, 06/10/38(a) | | | | | | | 2,355 | | | | 2,306,511 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A4, 4.04%, 11/15/46 | | | | | | | 672 | | | | 669,858 | |
Morgan Stanley Capital I Trust | | | | | | | | | | | | |
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 | | | | | | | 1,903 | | | | 1,822,278 | |
Series 2018-H3, Class B, 4.62%, 07/15/51(b) | | | | | | | 740 | | | | 622,424 | |
Series 2018-MP, Class A, 4.42%, 07/11/40(a)(b) | | | | | | | 1,000 | | | | 805,195 | |
MSCG Trust, Series 2018-SELF, Class C, (1-mo. CME Term SOFR + 1.23%), 6.56%, 10/15/37(a)(b) | | | | | | | 1,841 | | | | 1,819,397 | |
Seasoned Credit Risk Transfer Trust | | | | | | | | | | | | |
Series 2018-3, Class MA, 3.50%, 08/25/57(b) | | | | | | | 1,347 | | | | 1,241,193 | |
Series 2018-4, Class MA, 3.50%, 03/25/58 | | | | | | | 1,469 | | | | 1,348,068 | |
Taubman Centers Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.52%, 05/15/37(a)(b) | | | | | | | 1,250 | | | | 1,225,698 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-LC22, Class ASB, 3.57%, 09/15/58 | | | | | | | 1,426 | | | | 1,384,560 | |
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 | | | | | | | 1,687 | | | | 1,626,839 | |
Series 2015-P2, Class AS, 4.01%, 12/15/48 | | | | | | | 1,605 | | | | 1,496,639 | |
Series 2017-C41, Class B, 4.19%, 11/15/50(b) | | | | | | | 1,304 | | | | 1,066,249 | |
Series 2018-AUS, Class A, 4.19%, 08/17/36(a)(b) | | | | | | | 2,417 | | | | 2,147,024 | |
Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.65%, 05/15/31(a)(b) | | | | | | | 3,516 | | | | 3,369,387 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 104,345,785 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.5% | |
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class XA, 1.08%, 05/15/53(a)(b) | | | | | | | 1,572 | | | | 71,344 | |
BANK | | | | | | | | | | | | |
Series 2020-BN29, Class XA, 1.44%, 11/15/53(b) | | | | | | | 4,246 | | | | 287,063 | |
Series 2021-BN33, Class XA, 1.17%, 05/15/64(b) | | | | | | | 15,794 | | | | 835,257 | |
Benchmark Mortgage Trust | | | | | | | | | | | | |
Series 2020-B20, Class XA, 1.73%, 10/15/53(b) | | | | | | | 15,417 | | | | 1,050,347 | |
Series 2020-B21, Class XA, 1.56%, 12/17/53(b) | | | | | | | 3,843 | | | | 269,272 | |
BMO Mortgage Trust, Series 2023-C5, Class XA, 0.95%, 06/15/56(b) | | | | | | | 8,830 | | | | 447,540 | |
Commercial Mortgage Trust, Series 2014-LC17, Class XA, 0.81%, 10/10/47(b) | | | | | | | 37,689 | | | | 153,355 | |
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA, 1.71%, 06/15/52(b) | | | | | | | 12,835 | | | | 819,910 | |
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.60%, 10/15/52(b) | | | | | | | 10,034 | | | | 630,158 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2018-C44, Class XA, 0.87%, 05/15/51(b) | | | | | | | 8,159 | | | | 207,322 | |
Series 2020-C58, Class XA, 1.92%, 07/15/53(b) | | | | | | | 4,487 | | | | 406,096 | |
Series 2021-C59, Class XA, 1.66%, 04/15/54(b) | | | | | | | 3,944 | | | | 299,911 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,477,575 | |
| | | | | | | | | | | | |
| |
Total Non-Agency Mortgage-Backed
Securities — 9.8%
(Cost: $119,501,356) | | | | 109,823,360 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
U.S. Government Sponsored Agency Securities | |
|
| Collateralized Mortgage Obligations — 2.1% | |
Fannie Mae | | | | | | | | | | | | |
Series 2010-134, Class KZ, 4.50%, 12/25/40 | | | USD | | | | 196 | | | $ | 162,050 | |
Series 2010-141, Class LZ, 4.50%, 12/25/40 | | | | | | | 401 | | | | 362,498 | |
Series 2011-131, Class LZ, 4.50%, 12/25/41 | | | | | | | 263 | | | | 223,565 | |
Series 2011-8, Class ZA, 4.00%, 02/25/41 | | | | | | | 602 | | | | 544,179 | |
Series 2013-81, Class YK, 4.00%, 08/25/43 | | | | | | | 200 | | | | 174,460 | |
Series 2017-100, Class ZJ, 3.50%, 12/25/47 | | | | | | | 2,979 | | | | 2,421,067 | |
Series 2017-76, Class PB, 3.00%, 10/25/57 | | | | | | | 900 | | | | 598,397 | |
Series 2018-32, Class PS, (SOFR (30-day) + 7.1%), 0.90%, 05/25/48(b) | | | | | | | 1,959 | | | | 1,533,762 | |
Series 2018-76, Class ZL, 4.00%, 10/25/58 | | | | | | | 4,518 | | | | 3,809,968 | |
Series 2022-25, Class KL, 4.00%, 05/25/52 | | | | | | | 1,500 | | | | 1,252,646 | |
Freddie Mac | | | | | | | | | | | | |
Series 3745, Class ZA, 4.00%, 10/15/40 | | | | | | | 328 | | | | 297,612 | |
Series 3780, Class ZA, 4.00%, 12/15/40 | | | | | | | 1,353 | | | | 1,242,463 | |
Series 3960, Class PL, 4.00%, 11/15/41 | | | | | | | 900 | | | | 835,769 | |
Series 4161, Class BW, 2.50%, 02/15/43 | | | | | | | 1,400 | | | | 1,139,928 | |
Series 4355, Class ZL, 4.00%, 06/15/44 | | | | | | | 2,329 | | | | 2,031,847 | |
Series 4384, Class LB, 3.50%, 08/15/43 | | | | | | | 1,057 | | | | 987,132 | |
Series 4758, Class Z, 4.00%, 02/15/48 | | | | | | | 1,655 | | | | 1,463,434 | |
Series 4988, Class AK, 1.00%, 07/25/50 | | | | | | | 2,143 | | | | 1,591,729 | |
Series 5002, Class TJ, 2.00%, 07/25/50 | | | | | | | 2,107 | | | | 1,686,545 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2014-107, Class WX, 6.70%, 07/20/39(b) | | | | | | | 317 | | | | 321,114 | |
Series 2016-123, Class LM, 3.00%, 09/20/46 | | | | | | | 600 | | | | 470,715 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 23,150,880 | |
|
| Commercial Mortgage-Backed Securities — 1.4% | |
Freddie Mac | | | | | | | | | | | | |
Series K082, Class A2, 3.92%, 09/25/28(b) | | | | | | | 2,400 | | | | 2,271,452 | |
Series K139, Class A2, 2.59%, 01/25/32(b) | | | | | | | 12,000 | | | | 9,865,495 | |
Series K154, Class A2, 3.42%, 04/25/32 | | | | | | | 3,500 | | | | 3,182,726 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,319,673 | |
|
| Interest Only Collateralized Mortgage Obligations — 1.0% | |
Fannie Mae | | | | | | | | | | | | |
Series 2013-10, Class PI, 3.00%, 02/25/43 | | | | | | | 982 | | | | 116,616 | |
Series 2014-68, Class YI, 4.50%, 11/25/44 | | | | | | | 446 | | | | 91,133 | |
Series 2015-66, Class AS, (SOFR (30-day) + 6.14%), 0.82%, 09/25/45(b) | | | | | | | 2,608 | | | | 141,230 | |
Series 2016-60, Class SD, (SOFR (30-day) + 5.99%), 0.67%, 09/25/46(b) | | | | | | | 1,151 | | | | 65,348 | |
Series 2016-78, Class CS, (SOFR (30-day) + 5.99%), 0.67%, 05/25/39(b) | | | | | | | 1,491 | | | | 81,958 | |
Series 2017-38, Class S, (SOFR (30-day) + 5.99%), 0.67%, 05/25/47(b) | | | | | | | 1,942 | | | | 156,817 | |
Series 2017-68, Class IE, 4.50%, 09/25/47 | | | | | | | 1,705 | | | | 308,466 | |
Series 2017-70, Class SA, (SOFR (30-day) + 6.04%), 0.72%, 09/25/47(b) | | | | | | | 1,214 | | | | 108,755 | |
Series 2019-5, Class SA, (SOFR (30-day) + 5.99%), 0.67%, 03/25/49(b) | | | | | | | 7,999 | | | | 609,932 | |
Series 2020-32, Class IO, 4.00%, 05/25/50 | | | | | | | 1,828 | | | | 379,089 | |
Series 2020-32, Class PI, 4.00%, 05/25/50 | | | | | | | 1,898 | | | | 393,464 | |
Series 2021-23, Class CI, 3.50%, 07/25/46 | | | | | | | 2,513 | | | | 422,144 | |
Series 2021-41, Class IO, 3.50%, 07/25/51 | | | | | | | 4,793 | | | | 840,633 | |
Series 2021-88, Class IO, 2.50%, 12/25/51 | | | | | | | 2,193 | | | | 307,057 | |
Series 427, Class C71, 3.00%, 10/25/49 | | | | | | | 2,295 | | | | 377,117 | |
Freddie Mac | | | | | | | | | | | | |
Series 4062, Class GI, 4.00%, 02/15/41 | | | | | | | 185 | | | | 8,990 | |
Series 4119, Class SC, (SOFR (30-day) + 6.04%), 0.72%, 10/15/42(b) | | | | | | | 1,517 | | | | 125,523 | |
| | |
SCHEDULES OF INVESTMENTS | | 71 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Interest Only Collateralized Mortgage Obligations (continued) | |
Freddie Mac | | | | | | | | | | | | |
Series 4901, Class CS, (SOFR (30-day) + 5.99%), 0.67%, 07/25/49(b) | | | USD | | | | 1,852 | | | $ | 142,262 | |
Series 4941, Class SH, (SOFR (30-day) + 5.84%), 0.52%, 12/25/49(b) | | | | | | | 3,849 | | | | 265,465 | |
Series 5081, Class PI, 3.00%, 03/25/51 | | | | | | | 842 | | | | 137,867 | |
Series 5109, Class ID, 2.50%, 05/25/51 | | | | | | | 1,949 | | | | 296,809 | |
Series 5112, Class KI, 3.50%, 06/25/51 | | | | | | | 1,523 | | | | 277,637 | |
Series 5127, Class AI, 3.00%, 06/25/51 | | | | | | | 800 | | | | 126,821 | |
Series 5152, Class EI, 3.50%, 10/25/51 | | | | | | | 702 | | | | 128,180 | |
Series 5159, Class KI, 3.00%, 11/25/51 | | | | | | | 2,430 | | | | 324,335 | |
Series 5159, Class PI, 3.00%, 11/25/51 | | | | | | | 4,230 | | | | 628,800 | |
Series 5176, Class QI, 3.00%, 12/25/51 | | | | | | | 2,450 | | | | 376,434 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2017-101, Class SL, (1-mo. CME Term SOFR + 6.09%), 0.76%, 07/20/47(b) | | | | | | | 1,550 | | | | 129,402 | |
Series 2020-115, Class IM, 3.50%, 08/20/50 | | | | | | | 2,321 | | | | 385,233 | |
Series 2020-146, Class DI, 2.50%, 10/20/50 | | | | | | | 3,147 | | | | 418,798 | |
Series 2020-175, Class DI, 2.50%, 11/20/50 | | | | | | | 1,079 | | | | 140,535 | |
Series 2020-185, Class MI, 2.50%, 12/20/50 | | | | | | | 3,907 | | | | 519,803 | |
Series 2021-104, Class IH, 3.00%, 06/20/51 | | | | | | | 4,526 | | | | 688,834 | |
Series 2021-149, Class KI, 3.00%, 08/20/51 | | | | | | | 8,766 | | | | 1,378,449 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,899,936 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.1% | |
Freddie Mac | | | | | | | | | | | | |
Series K110, Class X1, 1.81%, 04/25/30(b) | | | | | | | 1,197 | | | | 98,943 | |
Series K116, Class X1, 1.53%, 07/25/30(b) | | | | | | | 2,080 | | | | 150,296 | |
Series K119, Class X1, 1.02%, 09/25/30(b) | | | | | | | 3,301 | | | | 162,397 | |
Series K120, Class X1, 1.13%, 10/25/30(b) | | | | | | | 2,920 | | | | 156,874 | |
Series K122, Class X1, 0.97%, 11/25/30(b) | | | | | | | 5,051 | | | | 238,084 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2016-151, Class IO, 0.81%, 06/16/58(b) | | | | | | | 20,925 | | | | 796,849 | |
Series 2017-61, Class IO, 0.75%, 05/16/59(b) | | | | | | | 1,466 | | | | 53,173 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,656,616 | |
|
| Mortgage-Backed Securities — 110.1% | |
Fannie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 12/01/35 - 03/01/51 | | | | | | | 45,342 | | | | 35,241,128 | |
2.00%, 10/01/31 - 03/01/52 | | | | | | | 147,280 | | | | 115,270,078 | |
2.50%, 09/01/27 - 02/01/52 | | | | | | | 108,994 | | | | 89,229,326 | |
3.00%, 04/01/28 - 06/01/52 | | | | | | | 47,023 | | | | 40,313,193 | |
3.50%, 03/01/29 - 04/01/52 | | | | | | | 36,130 | | | | 31,943,706 | |
4.00%, 02/01/31 - 05/01/53 | | | | | | | 61,777 | | | | 55,736,513 | |
4.50%, 05/01/24 - 06/01/53 | | | | | | | 43,579 | | | | 40,290,043 | |
5.00%, 02/01/35 - 09/01/53 | | | | | | | 17,998 | | | | 17,143,423 | |
5.50%, 05/01/34 - 06/01/53 | | | | | | | 14,487 | | | | 14,091,294 | |
6.00%, 02/01/38 - 08/01/53 | | | | | | | 20,437 | | | | 20,242,537 | |
6.50%, 07/01/37 - 01/01/38 | | | | | | | 24 | | | | 24,867 | |
Freddie Mac Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 04/01/36 - 04/01/51 | | | | | | | 9,084 | | | | 7,113,482 | |
2.00%, 01/01/36 - 02/01/52 | | | | | | | 81,243 | | | | 63,936,128 | |
2.50%, 02/01/30 - 04/01/52 | | | | | | | 84,728 | | | | 68,308,558 | |
3.00%, 09/01/27 - 08/01/52(c) | | | | | | | 68,317 | | | | 57,678,535 | |
3.50%, 02/01/31 - 06/01/50 | | | | | | | 22,381 | | | | 19,764,101 | |
4.00%, 08/01/40 - 03/01/53 | | | | | | | 41,472 | | | | 37,446,899 | |
4.50%, 05/01/24 - 06/01/53 | | | | | | | 9,955 | | | | 9,186,145 | |
5.00%, 05/01/28 - 09/01/53 | | | | | | | 19,604 | | | | 18,565,969 | |
5.50%, 01/01/28 - 08/01/53 | | | | | | | 13,052 | | | | 12,645,042 | |
6.00%, 08/01/28 - 08/01/53 | | | | | | | 13,617 | | | | 13,462,304 | |
Ginnie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
2.00%, 08/20/50 - 10/15/53(d) | | | | | | | 44,812 | | | | 35,506,539 | |
2.50%, 04/20/51 - 10/15/53(d) | | | | | | | 55,975 | | | | 45,780,813 | |
3.00%, 12/20/44 - 10/15/53(d) | | | | | | | 39,768 | | | | 33,782,823 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Mortgage-Backed Securities (continued) | |
Ginnie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
3.50%, 01/15/42 -10/15/53(d) | | | USD | | | | 33,073 | | | $ | 29,046,028 | |
4.00%, 04/20/39 -10/15/53(d) | | | | | | | 30,760 | | | | 27,839,399 | |
4.50%, 09/20/39 -10/15/53(d) | | | | | | | 27,661 | | | | 25,667,151 | |
5.00%, 07/15/33 -10/15/53(d) | | | | | | | 15,399 | | | | 14,611,973 | |
5.50%, 07/15/38 -10/15/53(d) | | | | | | | 11,171 | | | | 10,851,293 | |
6.00%, 03/20/53 -10/15/53(d) | | | | | | | 10,396 | | | | 10,298,619 | |
6.50%, 10/15/53(d) | | | | | | | 5,715 | | | | 5,745,741 | |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 10/01/38 -10/01/53(d) | | | | | | | 8,474 | | | | 6,347,488 | |
2.00%, 10/01/38 -10/01/53(d) | | | | | | | 60,493 | | | | 46,694,362 | |
2.50%, 10/01/38 -10/01/53(d) | | | | | | | 1,034 | | | | 823,239 | |
3.00%, 10/01/38 -10/01/53(d) | | | | | | | 38,544 | | | | 31,991,151 | |
3.50%, 10/01/38 -10/01/53(d) | | | | | | | 27,324 | | | | 23,530,938 | |
4.00%, 10/01/38 -10/01/53(d) | | | | | | | 2,509 | | | | 2,289,430 | |
4.50%, 10/01/38 -10/01/53(d) | | | | | | | 3,191 | | | | 3,040,461 | |
5.00%, 10/01/53(d) | | | | | | | 11,804 | | | | 11,136,720 | |
5.50%, 10/01/53(d) | | | | | | | 89,426 | | | | 86,418,351 | |
6.00%, 10/01/53(d) | | | | | | | 2,725 | | | | 2,689,234 | |
6.50%, 10/01/53(d) | | | | | | | 10,232 | | | | 10,278,364 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,232,003,388 | |
|
| Principal Only Collateralized Mortgage Obligations — 1.0% | |
Fannie Mae, Series 2023-36, Class AO, 0.00%, 08/25/50(e) | | | | | | | 4,089 | | | | 2,739,319 | |
Freddie Mac | | | | | | | | | | | | |
Series 5319, Class PO, 0.00%, 08/25/50(e) | | | | | | | 7,555 | | | | 4,967,982 | |
Series 5341, Class AO, 0.00%, 06/25/50(e) | | | | | | | 4,600 | | | | 3,237,250 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,944,551 | |
| | | | | | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 115.7%
(Cost: $1,430,640,418) | | | | 1,293,975,044 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 127.7%
(Cost: $1,574,978,050) | | | | 1,428,385,606 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Short-Term Securities | |
| | | |
| Money Market Funds — 0.5% | | | | | | | | | |
Dreyfus Treasury Securities Cash Management, Institutional Class, 5.24%(f) | | | | | | | 5,875,479 | | | | 5,875,479 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
|
| U.S. Treasury Obligations(g) — 3.0% | |
U.S. Treasury Bills, 5.37%, 12/14/23 | | | USD | | | | 33,802 | | | | 33,438,723 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 3.5%
(Cost: $39,309,166) | | | | 39,314,202 | |
| | | | | | | | | | | | |
| |
Total Investments Before TBA Sale
Commitments — 131.2%
(Cost: $1,614,287,216) | | | | 1,467,699,808 | |
| | | | | | | | | | | | |
| | | |
TBA Sale Commitments(d) | | | | | | | | | | | | |
| |
| Mortgage-Backed Securities — (16.4)% | | | | |
Ginnie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
3.50%, 10/15/53 | | | | | | | (55 | ) | | | (48,172 | ) |
4.50%, 10/15/53 | | | | | | | (10,181 | ) | | | (9,405,096 | ) |
6.00%, 10/15/53 | | | | | | | (3,978 | ) | | | (3,941,639 | ) |
6.50%, 10/15/53 | | | | | | | (2,249 | ) | | | (2,261,651 | ) |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
2.00%, 10/01/53 | | | | | | | (3,194 | ) | | | (2,429,187 | ) |
2.50%, 10/01/38 -10/01/53 | | | | | | | (26,770 | ) | | | (22,762,520 | ) |
| | |
| 72 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
|
| Mortgage-Backed Securities (continued) | |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
3.00%, 10/01/53 | | | USD | | | | (20,140 | ) | | $ | (16,650,902 | ) |
4.00%, 10/01/53 | | | | | | | (60,777 | ) | | | (54,105,596 | ) |
4.50%, 10/01/53 | | | | | | | (15,526 | ) | | | (14,255,360 | ) |
5.00%, 10/01/53 | | | | | | | (13,900 | ) | | | (13,113,781 | ) |
5.50%, 10/01/53 | | | | | | | (23,100 | ) | | | (22,323,082 | ) |
6.00%, 10/01/53 | | | | | | | (20,282 | ) | | | (20,015,503 | ) |
6.50%, 10/01/53 | | | | | | | (2,263 | ) | | | (2,273,254 | ) |
| | | | | | | | | | | | |
| |
Total TBA Sale Commitments — (16.4)%
(Proceeds: $(186,616,538)) | | | | (183,585,743 | ) |
| | | | | | | | | | | | |
| |
Total Investments Net of TBA Sale
Commitments — 114.8%
(Cost: $1,427,670,678) | | | | 1,284,114,065 | |
| |
Liabilities in Excess of Other Assets — (14.8)% | | | | (165,220,336 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 1,118,893,729 | |
| | | | | | | | | | | | |
| (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) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
| (d) | 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 Notes (10 Year) | | | 26 | | | | 12/19/23 | | | $ | 2,810 | | | $ | (2,881 | ) |
U.S. Treasury Notes (5 Year) | | | 29 | | | | 12/29/23 | | | | 3,055 | | | | (2,990 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | (5,871 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
3-month SOFR | | | 9 | | | | 12/19/23 | | | | 2,129 | | | | 17,760 | |
U.S. Treasury Bonds (30 Year) | | | 158 | | | | 12/19/23 | | | | 17,977 | | | | 962,427 | |
U.S. Ultra Treasury Notes (10 Year) | | | 15 | | | | 12/19/23 | | | | 1,673 | | | | (11,974 | ) |
U.S. Treasury Notes (2 Year) | | | 209 | | | | 12/29/23 | | | | 42,367 | | | | 119,636 | |
3-month SOFR | | | 9 | | | | 03/19/24 | | | | 2,127 | | | | 37,833 | |
3-month SOFR | | | 9 | | | | 06/18/24 | | | | 2,129 | | | | 3,698 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | 1,129,380 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | $ | 1,123,509 | |
| | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | Upfront | | | | |
| | | | | | | | | | | | Notional | | | | | | Premium | | | Unrealized | |
| Paid by the Fund | | Received by the Fund | | Termination | | | Amount | | | | | | Paid | | | Appreciation | |
| | | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | Frequency | | Date | | | (000) | | | Value | | | (Received) | | | (Depreciation) | |
| | | | | | | | |
0.18% | | Quarterly | | 1-day Overnight Fed Funds Effective Rate, 5.33% | | Quarterly | | | 10/21/25 | | | USD | 232 | | | $ | 23,699 | | | $ | — | | | $ | 23,699 | |
1-day SOFR, 5.31% | | Quarterly | | 0.17% | | Quarterly | | | 10/21/25 | | | USD | 232 | | | | (23,755 | ) | | | — | | | | (23,755 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 73 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series M Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | Upfront | | | | |
| | | | | | | | | | | | | | Notional | | | | | | Premium | | | Unrealized | |
| Paid by the Fund | | | Received by the Fund | | | Termination | | | Amount | | | | | | Paid | | | Appreciation | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | | Rate | | Frequency | | | Date | | | (000) | | | Value | | | (Received) | | | (Depreciation) | |
| | | | | | | | |
0.56% | | | Quarterly | | | 1-day Overnight Fed Funds Effective Rate, 5.33% | | | Quarterly | | | | 10/21/30 | | | USD | 83 | | | $ | 19,303 | | | $ | — | | | $ | 19,303 | |
1-day SOFR, 5.31% | | | Quarterly | | | 0.53% | | | Quarterly | | | | 10/21/30 | | | USD | 83 | | | | (19,687 | ) | | | — | | | | (19,687 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (440 | ) | | $ | — | | | $ | (440 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | $ | 1,096,274 | | | $ | 173,510 | | | $ | 922,764 | |
CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Goldman Sachs International | | | 11/17/59 | | | USD | 4,174 | | | | 1,151,088 | | | | 191,109 | | | | 959,979 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 2,247,362 | | | $ | 364,619 | | | $ | 1,882,743 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | Goldman Sachs International | | | 09/17/58 | | | Not Rated | | USD | 1,734 | | | $ | (374,210 | ) | | $ | (71,648 | ) | | $ | (302,562 | ) | | |
| | CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | Goldman Sachs International | | | 11/17/59 | | | BBB- | | USD | 4,398 | | | | (1,212,611 | ) | | | (291,769 | ) | | | (920,842 | ) | | |
| | CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | J.P. Morgan Securities LLC | | | 11/17/59 | | | BBB- | | USD | 3,753 | | | | (1,034,752 | ) | | | (250,906 | ) | | | (783,846 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (2,621,573 | ) | | $ | (614,323 | ) | | $ | (2,007,250 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. | |
| | (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
| | | | | | | | | | | | | | | | |
| | | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized Appreciation | | | Unrealized Depreciation | |
| | | | |
Centrally Cleared Swaps(a) | | $ | — | | | $ | — | | | $ | 43,002 | | | $ | (43,442 | ) |
OTC Swaps | | | 364,619 | | | | (614,323 | ) | | | 1,882,743 | | | | (2,007,250 | ) |
| | (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. | |
| | |
| 74 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | 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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,141,354 | | | $ | — | | | $ | 1,141,354 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 43,002 | | | | — | | | | 43,002 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 2,247,362 | | | | — | | | | — | | | | — | | | | — | | | | 2,247,362 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 2,247,362 | | | $ | — | | | $ | — | | | $ | 1,184,356 | | | $ | — | | | $ | 3,431,718 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 17,845 | | | $ | — | | | $ | 17,845 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 43,442 | | | | — | | | | 43,442 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 2,621,573 | | | | — | | | | — | | | | — | | | | — | | | | 2,621,573 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 2,621,573 | | | $ | — | | | $ | — | | | $ | 61,287 | | | $ | — | | | $ | 2,682,860 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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, 2023, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 372,002 | | | $ | — | | | $ | 372,002 | |
Swaps | | | — | | | | 29,316 | | | | — | | | | — | | | | (109 | ) | | | — | | | | 29,207 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 29,316 | | | $ | — | | | $ | — | | | $ | 371,893 | | | $ | — | | | $ | 401,209 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,645,196 | | | $ | — | | | $ | 1,645,196 | |
Swaps | | | — | | | | 49,766 | | | | — | | | | — | | | | (140 | ) | | | — | | | | 49,626 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 49,766 | | | $ | — | | | $ | — | | | $ | 1,645,056 | | | $ | — | | | $ | 1,694,822 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| | |
Futures contracts | | | | |
Average notional value of contracts — long | | | $23,455,946 | |
Average notional value of contracts — short | | | $55,141,818 | |
Credit default swaps | | | | |
Average notional value — buy protection | | | $8,150,000 | |
Average notional value — sell protection | | | $9,884,461 | |
Interest rate swaps | | | | |
Average notional value — pays fixed rate | | | $315,014 | |
Average notional value — received fixed rate | | | $315,014 | |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
SCHEDULES OF INVESTMENTS | | 75 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series M Portfolio |
Derivative Financial Instruments – Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | | Derivatives Available for Offset(a) | | | Non- Cash Collateral Received(b) | | | Cash Collateral Received(b) | | | Net Amount of Derivative Assets(c) | |
| | | | | |
Goldman Sachs International | | $ | 2,247,362 | | | $ | (1,586,821 | ) | | $ | — | | | | $ (410,000 | ) | | $ | 250,541 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Counterparty | | Derivative Liabilities Subject to an MNA by Counterparty | | | Derivatives Available for Offset(a) | | | Non- Cash Collateral Pledged(b) | | | Cash Collateral Pledged(b) | | | Net Amount of Derivative Liabilities(d) | |
| | | | | |
Goldman Sachs International | | $ | 1,586,821 | | | $ | (1,586,821 | ) | | $ | — | | | $ | — | | | $ | — | |
J.P. Morgan Securities LLC | | | 1,034,752 | | | | — | | | | — | | | | (1,034,752 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 2,621,573 | | | $ | (1,586,821 | ) | | $ | — | | | $ | (1,034,752 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. | |
| | (c) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (d) | Net amount represents the net amount payable due to the counterparty in the event of default. | |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of 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 | | $ | — | | | $ | 24,587,202 | | | $ | — | | | $ | 24,587,202 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 109,823,360 | | | | — | | | | 109,823,360 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 1,293,975,044 | | | | — | | | | 1,293,975,044 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 5,875,479 | | | | — | | | | — | | | | 5,875,479 | |
U.S. Treasury Obligations | | | — | | | | 33,438,723 | | | | — | | | | 33,438,723 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (183,585,743 | ) | | | — | | | | (183,585,743 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 5,875,479 | | | $ | 1,278,238,586 | | | $ | — | | | $ | 1,284,114,065 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 1,882,743 | | | $ | — | | | $ | 1,882,743 | |
Interest Rate Contracts | | | 1,141,354 | | | | 43,002 | | | | — | | | | 1,184,356 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (2,007,250 | ) | | | — | | | | (2,007,250 | ) |
Interest Rate Contracts | | | (17,845 | ) | | | (43,442 | ) | | | — | | | | (61,287 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 1,123,509 | | | $ | (124,947 | ) | | $ | — | | | $ | 998,562 | |
| | | | | | | | | | | | | | | | |
| | (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.
| | |
| 76 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) September 30, 2023 | | BATS: Series P Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| |
| | |
Investment Companies | | | | | | | | |
| | |
| Fixed-Income Funds — 28.9% | | | | | | |
BATS: Series S Portfolio(a) | | | 567,480 | | | $ | 5,073,272 | |
| | | | | | | | |
| | |
Total Investments — 28.9%
(Cost: $5,360,240) | | | | | | | 5,073,272 | |
| | |
Other Assets Less Liabilities — 71.1% | | | | | | | 12,477,820 | |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 17,551,092 | |
| | | | | | | | |
| (a) | Affiliate of the Fund. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| Affiliated Issuer | | Value at 03/31/23 | | | Purchases at Cost | | | Proceeds from Sale | | | Net Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value at 09/30/23 | | | Shares Held at 09/30/23 | | | Income | | | Capital Gain Distributions from Underlying Funds | |
| | | | | | | | | |
BATS: Series S Portfolio | | $ | 7,902,401 | | | $ | — | | | $ | (2,771,500 | ) | | $ | (160,545 | ) | | $ | 102,916 | | | $ | 5,073,272 | | | | 567,480 | | | $ | 121,263 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | | 12/19/23 | | | $ | 119 | | | $ | (8,420 | ) |
U.S. Treasury Notes (5 Year) | | | 9 | | | | 12/29/23 | | | | 948 | | | | (5,991 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | (14,411 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds (30 Year) | | | 2 | | | | 12/19/23 | | | | 228 | | | | 13,028 | |
U.S. Treasury Notes (10 Year) | | | 96 | | | | 12/19/23 | | | | 10,374 | | | | 212,282 | |
U.S. Ultra Treasury Notes (10 Year) | | | 84 | | | | 12/19/23 | | | | 9,371 | | | | 279,649 | |
U.S. Treasury Notes (2 Year) | | | 17 | | | | 12/29/23 | | | | 3,446 | | | | 11,156 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | 516,115 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | $ | 501,704 | |
| | | | | | | | | | | | | | | | |
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 |
| | | | | | | | | |
0.18% | | Quarterly | | 1-day Overnight Fed Funds Effective Rate, 5.33% | | Quarterly | | | 10/21/25 | | | | USD | | | | 3,167 | | | $ | 324,097 | | | $ | — | | | $ | 324,097 | |
1-day SOFR, 5.31% | | Quarterly | | 0.17% | | Quarterly | | | 10/21/25 | | | | USD | | | | 3,167 | | | | (324,866 | ) | | | — | | | | (324,866 | ) |
0.56% | | Quarterly | | 1-day Overnight Fed Funds Effective Rate, 5.33% | | Quarterly | | | 10/21/30 | | | | USD | | | | 336 | | | | 77,851 | | | | — | | | | 77,851 | |
1-day SOFR, 5.31% | | Quarterly | | 0.53% | | Quarterly | | | 10/21/30 | | | | USD | | | | 336 | | | | (79,399 | ) | | | — | | | | (79,399 | ) |
0.75% | | Quarterly | | 1-day SOFR, 5.31% | | Quarterly | | | 10/21/35 | | | | USD | | | | 22 | | | | 7,404 | | | | — | | | | 7,404 | |
1-day Overnight Fed Funds Effective Rate, 5.33% | | Quarterly | | 0.79% | | Quarterly | | | 10/21/35 | | | | USD | | | | 22 | | | | (7,196 | ) | | | — | | | | (7,196 | ) |
0.84% | | Quarterly | | 1-day SOFR, 5.31% | | Quarterly | | | 10/21/40 | | | | USD | | | | 39 | | | | 16,385 | | | | — | | | | 16,385 | |
1-day Overnight Fed Funds Effective Rate, 5.33% | | Quarterly | | 0.91% | | Quarterly | | | 10/21/40 | | | | USD | | | | 39 | | | | (15,836 | ) | | | — | | | | (15,836 | ) |
| | |
SCHEDULES OF INVESTMENTS | | 77 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | 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 | |
| | | | | | | | | |
0.91% | | | Quarterly | | | 1-day SOFR, 5.31% | | | Quarterly | | | | 10/21/50 | | | | USD | | | | 22 | | | $ | 11,311 | | | $ | — | | | $ | 11,311 | |
1-day Overnight Fed Funds Effective Rate, 5.33% | | | Quarterly | | | 0.99% | | | Quarterly | | | | 10/21/50 | | | | USD | | | | 22 | | | | (10,831 | ) | | | — | | | | (10,831 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (1,080 | ) | | $ | — | | | $ | (1,080 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
| | | | | | | | | | | | | | | | |
| | | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized Appreciation | | | Unrealized Depreciation | |
| | | | |
Centrally Cleared Swaps(a) | | $ | — | | | $ | — | | | $ | 437,048 | | | $ | (438,128 | ) |
| | (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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 516,115 | | | $ | — | | | $ | 516,115 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 437,048 | | | | — | | | | 437,048 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 953,163 | | | $ | — | | | $ | 953,163 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 14,411 | | | $ | — | | | $ | 14,411 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 438,128 | | | | — | | | | 438,128 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 452,539 | | | $ | — | | | $ | 452,539 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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, 2023, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 334,564 | | | $ | — | | | $ | 334,564 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | 239 | | | | — | | | | 239 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 334,803 | | | $ | — | | | $ | 334,803 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,462,026 | | | $ | — | | | $ | 1,462,026 | |
Swaps | | | — | | | | — | | | | — | | | | — | | | | 308 | | | | — | | | | 308 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,462,334 | | | $ | — | | | $ | 1,462,334 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 78 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series P Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| | |
Futures contracts | | | | |
Average notional value of contracts — long | | $ | 1,672,508 | |
Average notional value of contracts — short | | $ | 25,731,192 | |
Interest rate swaps | | | | |
Average notional value — pays fixed rate | | $ | 3,586,099 | |
Average notional value — received fixed rate | | $ | 3,586,099 | |
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 | | $ | 5,073,272 | | | $ | — | | | $ | — | | | $ | 5,073,272 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | $ | 516,115 | | | $ | 437,048 | | | $ | — | | | $ | 953,163 | |
Liabilities | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | (14,411 | ) | | | (438,128 | ) | | | — | | | | (452,539 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 501,704 | | | $ | (1,080 | ) | | $ | — | | | $ | 500,624 | |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 79 |
| | |
Schedule of Investments (unaudited) September 30, 2023 | | 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. CME Term SOFR + 1.56%), 6.87%, 01/15/33(a)(b) | | | USD | | | | 250 | | | $ | 248,607 | |
American Express Credit Account Master Trust | | | | | | | | | | | | |
Series 2021-1, Class A, 0.90%, 11/15/26 | | | | | | | 1,385 | | | | 1,311,936 | |
Series 2022-1, Class A, 2.21%, 03/15/27 | | | | | | | 1,711 | | | | 1,628,452 | |
Series 2022-2, Class A, 3.39%, 05/15/27 | | | | | | | 3,560 | | | | 3,435,647 | |
Series 2022-3, Class A, 3.75%, 08/15/27 | | | | | | | 4,341 | | | | 4,201,890 | |
Series 2023-1, Class A, 4.87%, 05/15/28 | | | | | | | 1,677 | | | | 1,656,078 | |
Series 2023-3, Class A, 5.23%, 09/15/28 | | | | | | | 2,000 | | | | 1,996,053 | |
AmeriCredit Automobile Receivables Trust | | | | | | | | | | | | |
Series 2021-1, Class A3, 0.37%, 08/18/25 | | | | | | | 102 | | | | 102,139 | |
Series 2021-3, Class A3, 0.76%, 08/18/26 | | | | | | | 1,038 | | | | 1,006,475 | |
Series 2022-1, Class A3, 2.45%, 11/18/26 | | | | | | | 797 | | | | 775,443 | |
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, (3-mo. CME Term SOFR + 1.35%), 6.72%, 01/28/31(a)(b) | | | | | | | 438 | | | | 435,998 | |
Atrium XIII, Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.11%, 11/21/30(a)(b) | | | | | | | 800 | | | | 791,440 | |
BA Credit Card Trust | | | | | | | | | | | | |
Series 2022-A1, Class A1, 3.53%, 11/15/27 | | | | | | | 4,763 | | | | 4,602,767 | |
Series 2022-A2, Class A2, 5.00%, 04/15/28 | | | | | | | 822 | | | | 813,445 | |
Series 2023-A1, Class A1, 4.79%, 05/15/28 | | | | | | | 2,758 | | | | 2,718,165 | |
Bain Capital Credit CLO Ltd., Series 2021-5A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.26%, 10/23/34(a)(b) | | | | | | | 500 | | | | 487,750 | |
Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A1R2, (3-mo. CME Term SOFR + 1.26%), 6.59%, 07/20/29(a)(b) | | | | | | | 278 | | | | 277,171 | |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 6.69%, 01/20/31(a)(b) | | | | | | | 471 | | | | 470,089 | |
Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.71%, 04/30/31(a)(b) | | | | | | | 472 | | | | 470,371 | |
BHG Securitization Trust, Series 2022-B, Class A, 3.75%, 06/18/35(a) | | | | | | | 44 | | | | 43,546 | |
Birch Grove CLO 2 Ltd., Series 2021-2A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/19/34(a)(b) | | | | | | | 250 | | | | 246,250 | |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.36%, 07/25/34(a)(b) | | | | | | | 250 | | | | 245,075 | |
BMW Vehicle Owner Trust | | | | | | | | | | | | |
Series 2022-A, Class A3, 3.21%, 08/25/26 | | | | | | | 2,722 | | | | 2,655,449 | |
Series 2023-A, Class A3, 5.47%, 02/25/28 | | | | | | | 629 | | | | 627,346 | |
Canyon CLO Ltd., Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.27%, 10/15/34(a)(b) | | | | | | | 250 | | | | 244,850 | |
Capital One Multi-Asset Execution Trust | | | | | | | | | | | | |
Series 2022-A1, Class A1, 2.80%, 03/15/27 | | | | | | | 3,331 | | | | 3,195,224 | |
Series 2022-A2, Class A, 3.49%, 05/15/27 | | | | | | | 4,940 | | | | 4,772,446 | |
Series 2022-A3, Class A, 4.95%, 10/15/27 | | | | | | | 566 | | | | 559,507 | |
Series 2023-A1, Class A, 4.42%, 05/15/28 | | | | | | | 782 | | | | 762,746 | |
Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.66%, 05/17/27 | | | | | | | 2,053 | | | | 1,992,394 | |
Carmax Auto Owner Trust, Series 2023-3, Class A3, 5.28%, 05/15/28 | | | | | | | 413 | | | | 409,838 | |
CarMax Auto Owner Trust | | | | | | | | | | | | |
Series 2021-1, Class A3, 0.34%, 12/15/25 | | | | | | | 458 | | | | 446,689 | |
Series 2021-2, Class A3, 0.52%, 02/17/26 | | | | | | | 477 | | | | 463,758 | |
Series 2022-2, Class A3, 3.49%, 02/16/27 | | | | | | | 3,234 | | | | 3,150,727 | |
Series 2022-3, Class A3, 3.97%, 04/15/27 | | | | | | | 1,390 | | | | 1,356,521 | |
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.67%, 07/17/31(a)(b) | | | | | | | 500 | | | | 499,000 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Asset-Backed Securities (continued) | | | | | | | | | |
Cedar Funding VII CLO Ltd. | | | | | | | | | | | | |
Series 2018-7A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.59%, 01/20/31(a)(b) | | | USD | | | | 1,479 | | | $ | 1,473,109 | |
Series 2018-7A, Class A2, (3-mo. CME Term SOFR + 1.39%), 6.72%, 01/20/31(a)(b) | | | | | | | 875 | | | | 850,429 | |
Chase Issuance Trust, Series 2023-A1, Class A, 5.16%, 09/15/28 | | | | | | | 2,790 | | | | 2,779,727 | |
Chesapeake Funding II LLC, Series 2023-2A, Class A1, 6.16%, 10/15/35(a) | | | | | | | 418 | | | | 417,775 | |
CIFC Funding Ltd. | | | | | | | | | | | | |
Series 2014-3A, Class A1R2, (3-mo. CME Term SOFR + 1.46%),
6.81%, 10/22/31(a)(b) | | | | | | | 1,000 | | | | 997,666 | |
Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.27%),
6.61%, 04/23/29(a)(b) | | | | | | | 373 | | | | 372,195 | |
CNH Equipment Trust, Series 2022-B, Class A3, 3.89%, 08/16/27 | | | | | | | 614 | | | | 598,045 | |
College Ave Student Loans LLC | | | | | | | | | | | | |
Series 2021-B, Class A1, (1-mo. CME Term SOFR + 0.91%), 6.23%, 06/25/52(a)(b) | | | | | | | 199 | | | | 190,964 | |
Series 2021-C, Class B, 2.72%, 07/26/55(a) | | | | | | | 100 | | | | 86,016 | |
Series 2023-A, Class A1, (1-mo. CME Term SOFR + 1.90%), 7.22%, 05/25/55(a)(b) | | | | | | | 506 | | | | 506,942 | |
Credit Acceptance Auto Loan Trust | | | | | | | | | | | | |
Series 2021-2A, Class A, 0.96%, 02/15/30(a) | | | | | | | 338 | | | | 334,104 | |
Series 2022-1A, Class A, 4.60%, 06/15/32(a) | | | | | | | 780 | | | | 762,495 | |
Series 2022-3A, Class A, 6.57%, 10/15/32(a) | | | | | | | 452 | | | | 452,659 | |
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.50%), 6.81%, 07/15/36(a)(b) | | | | | | | 250 | | | | 248,369 | |
Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%), 7.32%, 10/15/36(a)(b) | | | | | | | 250 | | | | 250,125 | |
Discover Card Execution Notes Trust | | | | | | | | | | | | |
Series 2017-A5, Class A5, (1-mo. CME Term SOFR + 0.71%), 6.05%, 12/15/26(b) | | | | | | | 925 | | | | 925,717 | |
Series 2022-A3, Class A3, 3.56%, 07/15/27 | | | | | | | 1,205 | | | | 1,163,108 | |
Series 2023-A1, Class A, 4.31%, 03/15/28 | | | | | | | 740 | | | | 720,299 | |
Series 2023-A2, Class A, 4.93%, 06/15/28 | | | | | | | 1,666 | | | | 1,645,624 | |
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34(a) | | | | | | | 287 | | | | 280,498 | |
Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, (3-mo. CME Term SOFR + 1.28%), 6.59%, 04/15/29(a)(b) | | | | | | | 186 | | | | 185,390 | |
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.27%, 10/15/30(a)(b) | | | | | | | 700 | | | | 690,620 | |
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45(a) | | | | | | | 74 | | | | 63,767 | |
ELFI Graduate Loan Program LLC, Series 2022-A, Class A, 4.51%, 08/26/47(a) | | | | | | | 492 | | | | 460,689 | |
Enterprise Fleet Financing LLC | | | | | | | | | | | | |
Series 2023-2, Class A2, 5.56%, 04/22/30(a) | | | | | | | 972 | | | | 964,501 | |
Series 2023-2, Class A3, 5.50%, 04/22/30(a) | | | | | | | 196 | | | | 192,356 | |
Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26(a) | | | | | | | 231 | | | | 227,247 | |
Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39(a) | | | CAD | | | | 510 | | | | 361,696 | |
Ford Credit Auto Owner Trust | | | | | | | | | | | | |
Series 2021-A, Class A3, 0.30%, 08/15/25 | | | USD | | | | 193 | | | | 188,786 | |
Series 2022-B, Class A4, 3.93%, 08/15/27 | | | | | | | 417 | | | | 403,788 | |
Series 2023-1, Class A, 4.85%, 08/15/35(a) | | | | | | | 1,380 | | | | 1,336,596 | |
Series 2023-2, Class A, 5.28%, 02/15/36(a) | | | | | | | 1,125 | | | | 1,107,960 | |
| | |
| 80 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Ford Credit Auto Owner Trust | | | | | | | | | | | | |
Series 2023-A, Class A3, 4.65%, 02/15/28 | | | USD | | | | 201 | | | $ | 197,233 | |
Series 2023-B, Class A3, 5.23%, 05/15/28 | | | | | | | 224 | | | | 222,344 | |
Ford Credit Floorplan Master Owner Trust | | | | | | | | | | | | |
Series 2018-4, Class A, 4.06%, 11/15/30 | | | | | | | 397 | | | | 368,733 | |
Series 2023-1, Class A1, 4.92%, 05/15/28(a) | | | | | | | 1,696 | | | | 1,664,267 | |
Series 2023-1, Class A2, (SOFR (30-day) + 1.25%), 6.56%, 05/15/28(a)(b) | | | | | | | 260 | | | | 261,715 | |
Series 2023-1, Class B, 5.31%, 05/15/28(a) | | | | | | | 280 | | | | 274,781 | |
FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1-mo. CME Term SOFR + 1.33%), 6.67%, 05/16/38(a)(b) | | | | | | | 305 | | | | 299,510 | |
Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3- mo. CME Term SOFR + 1.66%), 7.01%, 07/24/30(a)(b) | | | | | | | 250 | | | | 244,827 | |
Generate CLO 2 Ltd., Series 2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.76%, 01/22/31(a)(b) | | | | | | | 1,473 | | | | 1,470,095 | |
GM Financial Consumer Automobile Receivables Trust | | | | | | | | | | | | |
Series 2022-1, Class A4, 1.51%, 04/17/28 | | | | | | | 277 | | | | 254,707 | |
Series 2022-2, Class A3, 3.10%, 02/16/27 | | | | | | | 931 | | | | 904,995 | |
Series 2022-2, Class A4, 3.25%, 04/17/28 | | | | | | | 629 | | | | 597,505 | |
Series 2022-3, Class A4, 3.71%, 12/16/27 | | | | | | | 887 | | | | 851,207 | |
Series 2023-3, Class A3, 5.45%, 06/16/28 | | | | | | | 1,282 | | | | 1,279,909 | |
GMF Floorplan Owner Revolving Trust, Series 2023-1, Class A1, 5.34%, 06/15/28(a) | | | | | | | 1,369 | | | | 1,356,827 | |
GoodLeap Sustainable Home Solutions Trust | | | | | | | | | | | | |
Series 2021-4GS, Class A, 1.93%, 07/20/48(a) | | | | | | | 139 | | | | 101,852 | |
Series 2021-5CS, Class A, 2.31%, 10/20/48(a) | | | | | | | 124 | | | | 93,524 | |
Series 2022-1GS, Class A, 2.70%, 01/20/49(a) | | | | | | | 105 | | | | 81,624 | |
Series 2022-2CS, Class A, 4.00%, 04/20/49(a) | | | | | | | 76 | | | | 65,487 | |
Series 2022-3CS, Class A, 4.95%, 07/20/49(a) | | | | | | | 802 | | | | 715,246 | |
Series 2023-1GS, Class A, 5.52%, 02/22/55(a) | | | | | | | 340 | | | | 315,172 | |
Series 2023-3C, Class A, 6.50%, 07/20/55(a) | | | | | | | 323 | | | | 317,348 | |
Honda Auto Receivables Owner Trust | | | | | | | | | | | | |
Series 2021-1, Class A3, 0.27%, 04/21/25 | | | | | | | 287 | | | | 281,566 | |
Series 2023-1, Class A3, 5.04%, 04/21/27 | | | | | | | 1,050 | | | | 1,039,348 | |
Series 2023-2, Class A3, 4.93%, 11/15/27 | | | | | | | 1,483 | | | | 1,463,262 | |
Hyundai Auto Receivables Trust | | | | | | | | | | | | |
Series 2021-C, Class A3, 0.74%, 05/15/26 | | | | | | | 600 | | | | 579,659 | |
Series 2022-B, Class A3, 3.72%, 11/16/26 | | | | | | | 507 | | | | 494,921 | |
Series 2023-A, Class A3, 4.58%, 04/15/27 | | | | | | | 998 | | | | 981,524 | |
Series 2023-B, Class A3, 5.48%, 04/17/28 | | | | | | | 1,424 | | | | 1,421,905 | |
Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3- mo. CME Term SOFR + 2.06%), 7.41%, 07/25/34(a)(b) | | | | | | | 250 | | | | 248,800 | |
John Deere Owner Trust, Series 2023-B, Class A3, 5.18%, 03/15/28 | | | | | | | 529 | | | | 524,361 | |
KKR CLO 13 Ltd., Series 13, Class A1R,
(3-mo. CME Term SOFR + 1.06%), 6.37%, 01/16/28(a)(b) | | | | | | | 31 | | | | 31,371 | |
Lendmark Funding Trust, Series 2021-1A, Class A, 1.90%, 11/20/31(a) | | | | | | | 330 | | | | 284,929 | |
LoanCore Issuer Ltd., Series 2021-CRE5, Class A, (1-mo. LIBOR US + 1.30%), 6.75%, 07/15/36(a)(b) | | | | | | | 220 | | | | 215,640 | |
Mariner Finance Issuance Trust | | | | | | | | | | | | |
Series 2020-AA, Class A, 2.19%, 08/21/34(a) | | | | | | | 252 | | | | 244,516 | |
Series 2021-AA, Class A, 1.86%, 03/20/36(a) | | | | | | | 140 | | | | 123,796 | |
Mosaic Solar Loan Trust | | | | | | | | | | | | |
Series 2022-2A, Class A, 4.38%, 01/21/53(a) | | | | | | | 158 | | | | 143,507 | |
Series 2022-3A, Class A, 6.10%, 06/20/53(a) | | | | | | | 203 | | | | 199,116 | |
Navient Private Education Loan Trust, Series 2020-A, Class A2B, (1-mo. CME Term SOFR + 1.01%),
6.35%, 11/15/68(a)(b) | | | | | | | 1,252 | | | | 1,239,519 | |
Navient Private Education Refi Loan Trust | | | | | | | | | | | | |
Series 2019-CA, Class A2, 3.13%, 02/15/68(a) | | | | | | | 243 | | | | 230,188 | |
Series 2019-GA, Class A, 2.40%, 10/15/68(a) | | | | | | | 95 | | | | 87,118 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Navient Private Education Refi Loan Trust | | | | | | | | | | | | |
Series 2020-BA, Class A2, 2.12%, 01/15/69(a) | | | USD | | | | 342 | | | $ | 310,006 | |
Series 2020-DA, Class A, 1.69%, 05/15/69(a) | | | | | | | 426 | | | | 382,233 | |
Series 2020-FA, Class A, 1.22%, 07/15/69(a) | | | | | | | 603 | | | | 536,403 | |
Series 2020-IA, Class A1A, 1.33%, 04/15/69(a) | | | | | | | 832 | | | | 730,710 | |
Series 2021-A, Class A, 0.84%, 05/15/69(a) | | | | | | | 71 | | | | 61,602 | |
Series 2021-BA, Class A, 0.94%, 07/15/69(a) | | | | | | | 438 | | | | 377,545 | |
Series 2022-BA, Class A, 4.16%, 10/15/70(a) | | | | | | | 978 | | | | 912,718 | |
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28(a) | | | | | | | 167 | | | | 166,895 | |
Nelnet Student Loan Trust | | | | | | | | | | | | |
Series 2021-A, Class APT2, 1.36%, 04/20/62(a) | | | | | | | 615 | | | | 548,405 | |
Series 2021-CA, Class AFL, (1-mo. CME Term SOFR + 0.85%),
6.18%, 04/20/62(a)(b) | | | | | | | 450 | | | | 442,852 | |
Neuberger Berman CLO XV, Series 2013-15A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 6.49%, 10/15/29(a)(b) | | | | | | | 389 | | | | 387,057 | |
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A3, 4.91%, 11/15/27 | | | | | | | 2,002 | | | | 1,977,320 | |
OCP CLO Ltd., Series 2020-19A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.29%, 10/20/34(a)(b) | | | | | | | 250 | | | | 245,175 | |
Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.22%, 10/15/34(a)(b) | | | | | | | 300 | | | | 295,350 | |
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.23%), 6.54%, 04/15/31(a)(b) | | | | | | | 433 | | | | 431,519 | |
OneMain Direct Auto Receivables Trust, Series 2021-1A, Class A, 0.87%, 07/14/28(a) | | | | | | | 1,990 | | | | 1,895,314 | |
OneMain Financial Issuance Trust | | | | | | | | | | | | |
Series 2019-2A, Class A, 3.14%, 10/14/36(a) | | | | | | | 572 | | | | 517,661 | |
Series 2022-S1, Class A, 4.13%, 05/14/35(a) | | | | | | | 689 | | | | 661,088 | |
Series 2023-1A, Class A, 5.50%, 06/14/38(a) | | | | | | | 875 | | | | 854,436 | |
Series 2023-2A, Class A2, (SOFR (30-day) + 1.50%), 6.81%, 09/15/36(a)(b) | | | | | | | 857 | | | | 855,658 | |
OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.07%, 01/17/31(a)(b) | | | | | | | 250 | | | | 245,050 | |
Pagaya AI Technology in Housing Trust, Series 2023-1, Class A, 3.60%, 09/25/28(a) | | | | | | | 495 | | | | 432,938 | |
Palmer Square CLO Ltd. | | | | | | | | | | | | |
Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%),
6.70%, 01/17/31(a)(b) | | | | | | | 994 | | | | 992,379 | |
Series 2018-2A, Class A1A, (3-mo. CME Term SOFR + 1.36%),
6.67%, 07/16/31(a)(b) | | | | | | | 250 | | | | 249,610 | |
Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.39%, 07/20/29(a)(b) | | | | | | | 617 | | | | 614,172 | |
Park Avenue Institutional Advisers CLO Ltd., Series 2018- 1A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 6.59%, 10/20/31(a)(b) | | | | | | | 750 | | | | 745,696 | |
PFS Financing Corp. | | | | | | | | | | | | |
Series 2020-G, Class A, 0.97%, 02/15/26(a) | | | | | | | 370 | | | | 363,200 | |
Series 2021-A, Class A, 0.71%, 04/15/26(a) | | | | | | | 230 | | | | 223,341 | |
Series 2022-D, Class A, 4.27%, 08/15/27(a) | | | | | | | 706 | | | | 684,092 | |
Series 2023-A, Class A, 5.80%, 03/15/28(a) | | | | | | | 1,030 | | | | 1,028,153 | |
Series 2023-C, Class A, 5.52%, 10/15/28(a) | | | | | | | 432 | | | | 428,345 | |
Pikes Peak CLO 8, Series 2021-8A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.34%, 07/20/34(a)(b) | | | | | | | 250 | | | | 249,025 | |
Porsche Financial Auto Securitization Trust, Series 2023- 1A, Class A3, 4.81%, 09/22/28(a) | | | | | | | 1,080 | | | | 1,064,718 | |
Prodigy Finance DAC, Series 2021-1A, Class A, (1-mo. CME Term SOFR + 1.36%), 6.68%, 07/25/51(a)(b) | | | | | | | 71 | | | | 70,449 | |
| | |
SCHEDULES OF INVESTMENTS | | 81 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40(a) | | | USD | | | | 522 | | | $ | 437,612 | |
RAD CLO 1 Ltd., Series 2018-1A, Class AR, (3-mo. CME Term SOFR + 1.24%), 6.55%, 07/15/31(a)(b) | | | | | | | 500 | | | | 497,697 | |
Regional Management Issuance Trust | | | | | | | | | | | | |
Series 2021-1, Class A, 1.68%, 03/17/31(a) | | | | | | | 113 | | | | 106,337 | |
Series 2021-2, Class A, 1.90%, 08/15/33(a) | | | | | | | 421 | | | | 359,842 | |
Series 2022-2B, Class A, 7.10%, 11/17/32(a) | | | | | | | 140 | | | | 139,890 | |
Santander Drive Auto Receivables Trust, Series 2022-3, Class A3, 3.40%, 12/15/26 | | | | | | | 752 | | | | 744,658 | |
SLM Student Loan Trust, Series 2013-4, Class A, (SOFR (30-day) + 0.66%), 5.98%, 06/25/27(b) | | | | | | | 163 | | | | 161,841 | |
SMB Private Education Loan Trust | | | | | | | | | | | | |
Series 2016-A, Class A2B, (1-mo. CME Term SOFR + 1.61%), 6.95%, 05/15/31(a)(b) | | | | | | | 211 | | | | 211,367 | |
Series 2016-B, Class A2B, (1-mo. CME Term SOFR + 1.56%), 6.90%, 02/17/32(a)(b) | | | | | | | 251 | | | | 250,716 | |
Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.35%, 09/15/34(a)(b) | | | | | | | 682 | | | | 678,683 | |
Series 2019-B, Class A2B, (1-mo. CME Term SOFR + 1.11%), 6.45%, 06/15/37(a)(b) | | | | | | | 713 | | | | 707,360 | |
Series 2021-A, Class A2A1, (1-mo. CME Term SOFR + 0.84%), 6.18%, 01/15/53(a)(b) | | | | | | | 862 | | | | 848,539 | |
Series 2021-A, Class APL, (1-mo. CME Term SOFR + 0.84%), 6.18%, 01/15/53(a)(b) | | | | | | | 1,013 | | | | 990,508 | |
Series 2022-A, Class APT, 2.85%, 11/16/54(a) | | | | | | | 693 | | | | 618,089 | |
Series 2022-B, Class A1A, 3.94%, 02/16/55(a) | | | | | | | 743 | | | | 689,206 | |
Series 2023-B, Class A1B, (SOFR (30-day) + 1.80%), 7.11%, 10/16/56(a)(b) | | | | | | | 771 | | | | 776,270 | |
Series 2023-C, Class A1A, 5.67%, 11/15/52(a) | | | | | | | 177 | | | | 174,360 | |
SoFi Professional Loan Program Trust | | | | | | | | | | | | |
Series 2020-A, Class A2FX, 2.54%, 05/15/46(a) | | | | | | | 213 | | | | 195,283 | |
Series 2020-C, Class AFX, 1.95%, 02/15/46(a) | | | | | | | 286 | | | | 255,401 | |
Toyota Auto Loan Extended Note Trust, Series 2023-1A, Class A, 4.93%, 06/25/36(a) | | | | | | | 1,589 | | | | 1,551,691 | |
Toyota Auto Receivables Owner Trust | | | | | | | | | | | | |
Series 2020-C, Class A4, 0.57%, 10/15/25 | | | | | | | 2,500 | | | | 2,447,610 | |
Series 2022-B, Class A3, 2.93%, 09/15/26 | | | | | | | 1,241 | | | | 1,208,142 | |
Series 2022-B, Class A4, 3.11%, 08/16/27 | | | | | | | 573 | | | | 543,128 | |
Series 2023-B, Class A3, 4.71%, 02/15/28 | | | | | | | 999 | | | | 979,204 | |
Series 2023-C, Class A3, 5.16%, 04/17/28 | | | | | | | 340 | | | | 337,155 | |
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/26 | | | | | | | 1,006 | | | | 970,532 | |
Voya CLO Ltd., Series 2018-3A, Class A1A, (3-mo. CME Term SOFR + 1.41%), 6.72%, 10/15/31(a)(b) | | | | | | | 1,000 | | | | 996,285 | |
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3-mo. CME Term SOFR + 1.48%), 6.83%, 10/24/34(a)(b) | | | | | | | 400 | | | | 396,768 | |
| | | | | | | | | | | | |
| | | |
Total Asset-Backed Securities — 33.2%
(Cost: $133,839,671) | | | | | | | | | | | 130,369,787 | |
| | | | | | | | | | | | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
| Aerospace & Defense — 0.9% | | | | | | | | | |
Boeing Co. (The), 2.20%, 02/04/26 | | | | | | | 1,470 | | | | 1,349,730 | |
L3Harris Technologies, Inc. | | | | | | | | | | | | |
5.40%, 01/15/27 | | | | | | | 942 | | | | 933,801 | |
4.40%, 06/15/28 | | | | | | | 218 | | | | 206,284 | |
Lockheed Martin Corp., 5.10%, 11/15/27 | | | | | | | 299 | | | | 297,266 | |
RTX Corp. | | | | | | | | | | | | |
2.65%, 11/01/26 | | | | | | | 286 | | | | 262,902 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Aerospace & Defense (continued) | | | | | | | | | |
RTX Corp. | | | | | | | | | | | | |
3.50%, 03/15/27 | | | USD | | | | 245 | | | $ | 227,906 | |
4.13%, 11/16/28 | | | | | | | 139 | | | | 129,611 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,407,500 | |
| | | |
| Automobiles — 0.5% | | | | | | | | | |
Daimler Truck Finance North America LLC, 2.00%, 12/14/26(a) | | | | | | | 150 | | | | 134,008 | |
Nissan Motor Acceptance Co. LLC, 7.05%, 09/15/28(a) | | | | | | | 149 | | | | 148,974 | |
Nissan Motor Co. Ltd. | | | | | | | | | | | | |
2.65%, 03/17/26(c) | | | EUR | | | | 371 | | | | 373,706 | |
4.35%, 09/17/27(a) | | | USD | | | | 300 | | | | 273,840 | |
Traton Finance Luxembourg SA | | | | | | | | | | | | |
0.00%, 06/14/24(c)(d) | | | EUR | | | | 500 | | | | 512,670 | |
4.13%, 11/22/25(c) | | | | | | | 100 | | | | 104,659 | |
Volkswagen Bank GmbH, 4.25%, 01/07/26(c) | | | | | | | 300 | | | | 314,782 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,862,639 | |
| | | |
| Banks — 6.1% | | | | | | | | | |
Bank of America Corp. | | | | | | | | | | | | |
0.98%, 09/25/25 | | | USD | | | | 1,530 | | | | 1,449,124 | |
1.53%, 12/06/25 | | | | | | | 1,188 | | | | 1,121,753 | |
1.32%, 06/19/26 | | | | | | | 917 | | | | 840,957 | |
1.20%, 10/24/26 | | | | | | | 163 | | | | 147,400 | |
5.08%, 01/20/27 | | | | | | | 700 | | | | 684,217 | |
4.38%, 04/27/28 | | | | | | | 500 | | | | 472,128 | |
6.20%, 11/10/28 | | | | | | | 50 | | | | 50,226 | |
5.20%, 04/25/29 | | | | | | | 760 | | | | 732,111 | |
Barclays PLC | | | | | | | | | | | | |
1.01%, 12/10/24 | | | | | | | 1,200 | | | | 1,186,934 | |
3.93%, 05/07/25 | | | | | | | 800 | | | | 787,777 | |
6.49%, 09/13/29 | | | | | | | 200 | | | | 198,365 | |
BNP Paribas SA, 5.13%, 01/13/29(a) | | | | | | | 200 | | | | 193,096 | |
Citigroup, Inc. | | | | | | | | | | | | |
3.70%, 01/12/26 | | | | | | | 239 | | | | 227,387 | |
3.11%, 04/08/26 | | | | | | | 507 | | | | 483,838 | |
3.40%, 05/01/26 | | | | | | | 1,109 | | | | 1,041,629 | |
5.61%, 09/29/26 | | | | | | | 233 | | | | 230,631 | |
1.12%, 01/28/27 | | | | | | | 100 | | | | 89,112 | |
1.46%, 06/09/27 | | | | | | | 490 | | | | 433,128 | |
3.89%, 01/10/28 | | | | | | | 245 | | | | 228,386 | |
Fifth Third Bank N.A., 5.85%, 10/27/25 | | | | | | | 280 | | | | 275,455 | |
HSBC Holdings PLC | | | | | | | | | | | | |
2.25%, 11/22/27 | | | | | | | 865 | | | | 763,555 | |
4.58%, 06/19/29 | | | | | | | 200 | | | | 184,907 | |
HSBC U.S.A., Inc., 5.63%, 03/17/25 | | | | | | | 1,400 | | | | 1,391,711 | |
ING Groep NV | | | | | | | | | | | | |
0.10%, 09/03/25(c) | | | EUR | | | | 100 | | | | 101,721 | |
1.73%, 04/01/27 | | | USD | | | | 280 | | | | 250,513 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
1.05%, 11/19/26 | | | | | | | 725 | | | | 651,564 | |
3.96%, 01/29/27 | | | | | | | 230 | | | | 219,843 | |
1.58%, 04/22/27 | | | | | | | 238 | | | | 212,399 | |
3.78%, 02/01/28 | | | | | | | 391 | | | | 364,164 | |
4.85%, 07/25/28 | | | | | | | 20 | | | | 19,279 | |
5.30%, 07/24/29 | | | | | | | 1,820 | | | | 1,770,829 | |
National Australia Bank Ltd., 4.90%, 06/13/28 | | | | | | | 250 | | | | 242,836 | |
NatWest Group PLC, 7.47%, 11/10/26 | | | | | | | 433 | | | | 441,708 | |
PNC Financial Services Group, Inc. (The), 5.58%, 06/12/29 | | | | | | | 326 | | | | 316,257 | |
Royal Bank of Canada, 6.00%, 11/01/27 | | | | | | | 211 | | | | 212,522 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | | | | | |
0.95%, 01/12/26 | | | | | | | 825 | | | | 738,808 | |
5.46%, 01/13/26 | | | | | | | 325 | | | | 321,766 | |
| | |
| 82 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Toronto-Dominion Bank (The), 5.52%, 07/17/28 | | | USD | | | | 422 | | | $ | 416,530 | |
Truist Financial Corp., 6.05%, 06/08/27 | | | | | | | 1,032 | | | | 1,020,774 | |
U.S. Bancorp, 5.78%, 06/12/29 | | | | | | | 250 | | | | 243,345 | |
Wells Fargo & Co. | | | | | | | | | | | | |
3.53%, 03/24/28 | | | | | | | 337 | | | | 309,492 | |
4.81%, 07/25/28 | | | | | | | 79 | | | | 75,387 | |
5.57%, 07/25/29 | | | | | | | 1,594 | | | | 1,555,093 | |
Westpac Banking Corp., 4.18%, 05/22/28(a) | | | | | | | 1,205 | | | | 1,150,086 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 23,848,743 | |
| | | |
| Beverages — 0.2% | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc., 4.00%, 04/13/28 | | | | | | | 897 | | | | 848,820 | |
| | | | | | | | | | | | |
| | | |
| Biotechnology — 0.3% | | | | | | | | | |
Amgen, Inc., 5.15%, 03/02/28 | | | | | | | 1,374 | | | | 1,351,323 | |
| | | | | | | | | | | | |
| | | |
| Capital Markets — 2.7% | | | | | | | | | |
Charles Schwab Corp. (The), 5.88%, 08/24/26 | | | | | | | 1,605 | | | | 1,599,714 | |
Credit Suisse AG | | | | | | | | | | | | |
0.50%, 02/02/24 | | | | | | | 1,200 | | | | 1,176,669 | |
5.00%, 07/09/27 | | | | | | | 491 | | | | 471,643 | |
7.50%, 02/15/28 | | | | | | | 500 | | | | 523,013 | |
Deutsche Bank AG | | | | | | | | | | | | |
1.45%, 04/01/25 | | | | | | | 518 | | | | 503,549 | |
2.13%, 11/24/26 | | | | | | | 150 | | | | 135,653 | |
5.37%, 09/09/27 | | | | | | | 150 | | | | 146,479 | |
Goldman Sachs Group, Inc. (The) (SOFR + 0.51%), 0.66%, 09/10/24(b) | | | | | | | 620 | | | | 618,524 | |
3.85%, 01/26/27 | | | | | | | 121 | | | | 113,487 | |
2.64%, 02/24/28 | | | | | | | 6 | | | | 5,350 | |
4.00%, 09/21/29(c) | | | EUR | | | | 148 | | | | 152,364 | |
Morgan Stanley | | | | | | | | | | | | |
2.48%, 01/21/28 | | | USD | | | | 871 | | | | 776,600 | |
4.21%, 04/20/28 | | | | | | | 160 | | | | 150,445 | |
6.30%, 10/18/28 | | | | | | | 1,900 | | | | 1,914,574 | |
5.16%, 04/20/29 | | | | | | | 435 | | | | 418,494 | |
UBS Group AG | | | | | | | | | | | | |
1.25%, 09/01/26(c) | | | EUR | | | | 200 | | | | 192,817 | |
4.70%, 08/05/27(a) | | | USD | | | | 1,100 | | | | 1,054,803 | |
6.25%, 09/22/29(a) | | | | | | | 470 | | | | 465,069 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,419,247 | |
| | | |
| Chemicals — 0.1% | | | | | | | | | |
LYB International Finance III LLC, 1.25%, 10/01/25 | | | | | | | 203 | | | | 184,971 | |
| | | | | | | | | | | | |
| | | |
| Consumer Finance — 1.8% | | | | | | | | | |
American Express Co. | | | | | | | | | | | | |
3.63%, 12/05/24 | | | | | | | 20 | | | | 19,465 | |
2.55%, 03/04/27 | | | | | | | 1,182 | | | | 1,065,714 | |
5.39%, 07/28/27 | | | | | | | 171 | | | | 168,607 | |
BMW U.S. Capital LLC, 5.05%, 08/11/28(a) | | | | | | | 705 | | | | 689,439 | |
Capital One Financial Corp. | | | | | | | | | | | | |
3.30%, 10/30/24 | | | | | | | 258 | | | | 249,775 | |
4.17%, 05/09/25 | | | | | | | 700 | | | | 687,133 | |
4.99%, 07/24/26 | | | | | | | 300 | | | | 291,076 | |
5.47%, 02/01/29 | | | | | | | 947 | | | | 901,450 | |
6.31%, 06/08/29 | | | | | | | 863 | | | | 843,407 | |
Ford Motor Credit Co. LLC, 5.58%, 03/18/24 | | | | | | | 500 | | | | 496,819 | |
General Motors Financial Co., Inc. | | | | | | | | | | | | |
6.05%, 10/10/25 | | | | | | | 500 | | | | 497,787 | |
2.35%, 02/26/27 | | | | | | | 340 | | | | 299,650 | |
Hyundai Capital America | | | | | | | | | | | | |
5.50%, 03/30/26(a) | | | | | | | 268 | | | | 264,483 | |
1.65%, 09/17/26(a) | | | | | | | 415 | | | | 366,223 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Consumer Finance (continued) | | | | | | | | | |
Synchrony Financial, 4.38%, 03/19/24 | | | USD | | | | 293 | | | $ | 289,410 | |
Volkswagen Leasing GmbH, 1.63%, 08/15/25(c) | | | EUR | | | | 105 | | | | 105,960 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,236,398 | |
| | |
| Consumer Staples Distribution & Retail — 0.0% | | | | | | | |
7-Eleven, Inc., 0.95%, 02/10/26(a) | | | USD | | | | 125 | | | | 111,837 | |
| | | | | | | | | | | | |
| | | |
| Containers & Packaging — 0.1% | | | | | | | | | |
Sonoco Products Co., 2.25%, 02/01/27 | | | | | | | 325 | | | | 288,382 | |
| | | | | | | | | | | | |
| | | |
| Diversified REITs — 1.5% | | | | | | | | | |
American Tower Corp. | | | | | | | | | | | | |
2.40%, 03/15/25 | | | | | | | 1,405 | | | | 1,332,097 | |
0.45%, 01/15/27 | | | EUR | | | | 290 | | | | 269,348 | |
Crown Castle, Inc., 1.05%, 07/15/26 | | | USD | | | | 820 | | | | 719,531 | |
Equinix, Inc. | | | | | | | | | | | | |
1.25%, 07/15/25 | | | | | | | 150 | | | | 137,965 | |
1.80%, 07/15/27 | | | | | | | 600 | | | | 517,977 | |
VICI Properties LP, 4.38%, 05/15/25 | | | | | | | 2,479 | | | | 2,396,008 | |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(a) | | | | | | | 538 | | | | 519,541 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,892,467 | |
| | |
| Diversified Telecommunication Services — 0.3% | | | | | | | |
AT&T Inc., 3.55%, 11/18/25 | | | EUR | | | | 440 | | | | 459,933 | |
British Telecommunications PLC, 4.25%, 01/06/33(c) | | | | | | | 100 | | | | 103,092 | |
NTT Finance Corp. | | | | | | | | | | | | |
4.37%, 07/27/27(a) | | | USD | | | | 275 | | | | 264,898 | |
1.59%, 04/03/28(a) | | | | | | | 200 | | | | 169,519 | |
Verizon Communications, Inc., 4.33%, 09/21/28 | | | | | | | 351 | | | | 329,811 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,327,253 | |
| | | |
| Electric Utilities — 1.4% | | | | | | | | | |
Duke Energy Corp., 2.65%, 09/01/26 | | | | | | | 222 | | | | 204,199 | |
Edison International | | | | | | | | | | | | |
3.55%, 11/15/24 | | | | | | | 123 | | | | 119,523 | |
4.70%, 08/15/25 | | | | | | | 860 | | | | 836,867 | |
Eversource Energy | | | | | | | | | | | | |
4.75%, 05/15/26 | | | | | | | 285 | | | | 278,596 | |
2.90%, 03/01/27 | | | | | | | 353 | | | | 322,341 | |
5.45%, 03/01/28 | | | | | | | 245 | | | | 242,161 | |
Exelon Corp. | | | | | | | | | | | | |
2.75%, 03/15/27 | | | | | | | 387 | | | | 351,430 | |
5.15%, 03/15/28 | | | | | | | 169 | | | | 165,851 | |
Florida Power & Light Co. | | | | | | | | | | | | |
5.05%, 04/01/28 | | | | | | | 395 | | | | 389,979 | |
4.40%, 05/15/28 | | | | | | | 188 | | | | 181,279 | |
National Grid Electricity Transmission PLC, 0.19%, 01/20/25(c) | | | EUR | | | | 295 | | | | 296,313 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | | | | | |
1.88%, 01/15/27 | | | USD | | | | 550 | | | | 487,015 | |
1.90%, 06/15/28 | | | | | | | 112 | | | | 94,769 | |
Pacific Gas & Electric Co., 3.45%, 07/01/25 | | | | | | | 255 | | | | 241,901 | |
San Diego Gas & Electric Co., 4.95%, 08/15/28 | | | | | | | 758 | | | | 737,914 | |
Southern California Edison Co., 5.65%, 10/01/28 | | | | | | | 110 | | | | 109,803 | |
Texas Electric Market Stabilization Funding N LLC, Series A-1, 4.27%, 08/01/34(a) | | | | | | | 320 | | | | 299,344 | |
Virginia Electric & Power Co., Series A, 3.80%, 04/01/28 | | | | | | | 293 | | | | 273,153 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,632,438 | |
| | | |
| Electrical Equipment — 0.1% | | | | | | | | | |
Otis Worldwide Corp., 5.25%, 08/16/28 | | | | | | | 203 | | | | 199,543 | |
| | | | | | | | | | | | |
| | | |
| Energy Equipment & Services — 0.0% | | | | | | | | | |
Schlumberger Finance Canada Ltd., 1.40%, 09/17/25 | | | | | | | 198 | | | | 182,583 | |
| | | | | | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 83 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Financial Services — 0.7% | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | | | | | | | | |
2.45%, 10/29/26 | | | USD | | | | 210 | | | $ | 188,096 | |
5.75%, 06/06/28 | | | | | | | 150 | | | | 146,546 | |
Aviation Capital Group LLC, 1.95%, 09/20/26(a) | | | | | | | 40 | | | | 34,922 | |
Fidelity National Information Services, Inc. | | | | | | | | | | | | |
4.50%, 07/15/25 | | | | | | | 734 | | | | 716,080 | |
1.15%, 03/01/26 | | | | | | | 992 | | | | 888,744 | |
4.70%, 07/15/27 | | | | | | | 203 | | | | 196,764 | |
Nasdaq, Inc., 5.35%, 06/28/28 | | | | | | | 355 | | | | 348,514 | |
National Rural Utilities Cooperative Finance Corp., 5.05%, 09/15/28 | | | | | | | 364 | | | | 357,592 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,877,258 | |
| | | |
| Food Products — 0.0% | | | | | | | | | |
General Mills, Inc., 5.24%, 11/18/25 | | | | | | | 109 | | | | 108,018 | |
| | | | | | | | | | | | |
| | | |
| Ground Transportation — 1.1% | | | | | | | | | |
Canadian Pacific Railway Co. | | | | | | | | | | | | |
1.35%, 12/02/24 | | | | | | | 1,398 | | | | 1,325,338 | |
4.00%, 06/01/28 | | | | | | | 114 | | | | 107,035 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. | | | | | | | | | | | | |
1.20%, 11/15/25(a) | | | | | | | 632 | | | | 568,505 | |
5.75%, 05/24/26(a) | | | | | | | 241 | | | | 237,453 | |
Ryder System, Inc. | | | | | | | | | | | | |
3.65%, 03/18/24 | | | | | | | 1,300 | | | | 1,285,709 | |
2.85%, 03/01/27 | | | | | | | 370 | | | | 336,675 | |
SMBC Aviation Capital Finance DAC | | | | | | | | | | | | |
1.90%, 10/15/26(a) | | | | | | | 200 | | | | 176,341 | |
2.30%, 06/15/28(a) | | | | | | | 200 | | | | 168,237 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,205,293 | |
| | |
| Health Care Equipment & Supplies — 0.1% | | | | | | | |
Sartorius Finance BV, 4.25%, 09/14/26(c) | | | EUR | | | | 300 | | | | 317,342 | |
| | | | | | | | | | | | |
| | |
| Health Care Providers & Services — 0.9% | | | | | | | |
Elevance Health, Inc. | | | | | | | | | | | | |
5.35%, 10/15/25 | | | USD | | | | 681 | | | | 676,704 | |
3.65%, 12/01/27 | | | | | | | 700 | | | | 648,832 | |
HCA, Inc. | | | | | | | | | | | | |
5.25%, 04/15/25 | | | | | | | 831 | | | | 820,721 | |
5.38%, 09/01/26 | | | | | | | 1,022 | | | | 1,002,990 | |
3.13%, 03/15/27 | | | | | | | 123 | | | | 111,757 | |
PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25 | | | | | | | 114 | | | | 103,487 | |
UnitedHealth Group, Inc., 4.25%, 01/15/29 | | | | | | | 222 | | | | 211,352 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,575,843 | |
| | | |
| Health Care REITs — 0.0% | | | | | | | | | |
Healthpeak OP LLC, 1.35%, 02/01/27 | | | | | | | 100 | | | | 86,957 | |
| | | | | | | | | | | | |
| | | |
| Household Durables — 0.1% | | | | | | | | | |
DR Horton, Inc., 1.30%, 10/15/26 | | | | | | | 245 | | | | 214,831 | |
| | | | | | | | | | | | |
| | | |
| Household Products — 0.1% | | | | | | | | | |
Procter & Gamble Co. (The), 3.25%, 08/02/26 | | | EUR | | | | 253 | | | | 264,186 | |
Reckitt Benckiser Treasury Services PLC, 3.63%, 09/14/28(c) | | | | | | | 200 | | | | 209,198 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 473,384 | |
| | | |
| Industrial Conglomerates — 0.3% | | | | | | | | | |
Honeywell International, Inc. | | | | | | | | | | | | |
1.35%, 06/01/25 | | | USD | | | | 123 | | | | 115,118 | |
Series 4Y, 3.50%, 05/17/27 | | | EUR | | | | 150 | | | | 156,610 | |
John Deere Capital Corp. | | | | | | | | | | | | |
4.75%, 06/08/26 | | | USD | | | | 470 | | | | 463,687 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Industrial Conglomerates (continued) | | | | | | | | | |
John Deere Capital Corp. | | | | | | | | | | | | |
5.15%, 09/08/26 | | | USD | | | | 212 | | | $ | 211,332 | |
4.95%, 07/14/28 | | | | | | | 290 | | | | 285,995 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,232,742 | |
| | | |
| Insurance — 0.0% | | | | | | | | | |
Aon Corp./Aon Global Holdings PLC, 2.85%, 05/28/27 | | | | | | | 194 | | | | 176,162 | |
| | | | | | | | | | | | |
| | | |
| IT Services — 0.5% | | | | | | | | | |
Fiserv, Inc., 5.45%, 03/02/28 | | | | | | | 600 | | | | 594,725 | |
Global Payments, Inc. | | | | | | | | | | | | |
1.20%, 03/01/26 | | | | | | | 282 | | | | 251,510 | |
4.80%, 04/01/26 | | | | | | | 644 | | | | 624,427 | |
2.15%, 01/15/27 | | | | | | | 580 | | | | 511,342 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,982,004 | |
| | | |
| Media — 0.4% | | | | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | | | | |
4.20%, 03/15/28 | | | | | | | 813 | | | | 746,203 | |
2.25%, 01/15/29 | | | | | | | 332 | | | | 270,772 | |
Informa PLC, 2.13%, 10/06/25(c) | | | EUR | | | | 437 | | | | 442,447 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,459,422 | |
| | | |
| Metals & Mining — 0.3% | | | | | | | | | |
Glencore Funding LLC, 6.13%, 10/06/28(a) | | | USD | | | | 1,353 | | | | 1,350,678 | |
| | | | | | | | | | | | |
| | | |
| Multi-Utilities — 0.7% | | | | | | | | | |
National Grid North America, Inc., 4.15%, 09/12/27(c) | | | EUR | | | | 290 | | | | 304,977 | |
NiSource, Inc., 5.25%, 03/30/28 | | | USD | | | | 719 | | | | 704,648 | |
ONE Gas, Inc., 1.10%, 03/11/24 | | | | | | | 702 | | | | 687,316 | |
Sempra, 3.30%, 04/01/25 | | | | | | | 293 | | | | 281,644 | |
WEC Energy Group, Inc., 4.75%, 01/09/26 | | | | | | | 787 | | | | 770,935 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,749,520 | |
| | | |
| Oil, Gas & Consumable Fuels — 2.8% | | | | | | | | | |
Enbridge, Inc., 2.50%, 02/14/25 | | | | | | | 1,177 | | | | 1,121,500 | |
Energy Transfer LP | | | | | | | | | | | | |
4.50%, 04/15/24 | | | | | | | 500 | | | | 495,714 | |
2.90%, 05/15/25 | | | | | | | 910 | | | | 864,523 | |
Eni SpA, 3.63%, 05/19/27(c) | | | EUR | | | | 240 | | | | 249,429 | |
Enterprise Products Operating LLC, 4.15%, 10/16/28 | | | USD | | | | 700 | | | | 656,272 | |
Hess Corp., 4.30%, 04/01/27 | | | | | | | 571 | | | | 542,380 | |
Kinder Morgan, Inc., 4.30%, 06/01/25 | | | | | | | 657 | | | | 640,176 | |
Marathon Petroleum Corp., 4.70%, 05/01/25 | | | | | | | 235 | | | | 230,155 | |
MPLX LP, 1.75%, 03/01/26 | | | | | | | 886 | | | | 803,381 | |
Occidental Petroleum Corp. | | | | | | | | | | | | |
5.55%, 03/15/26 | | | | | | | 403 | | | | 397,688 | |
8.50%, 07/15/27 | | | | | | | 300 | | | | 321,246 | |
ONEOK, Inc. | | | | | | | | | | | | |
5.55%, 11/01/26 | | | | | | | 490 | | | | 486,806 | |
5.65%, 11/01/28 | | | | | | | 412 | | | | 406,664 | |
Pioneer Natural Resources Co. | | | | | | | | | | | | |
1.13%, 01/15/26 | | | | | | | 310 | | | | 280,159 | |
5.10%, 03/29/26 | | | | | | | 402 | | | | 396,833 | |
Sabine Pass Liquefaction LLC | | | | | | | | | | | | |
5.75%, 05/15/24 | | | | | | | 100 | | | | 99,789 | |
5.63%, 03/01/25 | | | | | | | 941 | | | | 935,070 | |
Western Midstream Operating LP, 6.35%, 01/15/29 | | | | | | | 195 | | | | 195,402 | |
Williams Cos., Inc. (The) | | | | | | | | | | | | |
5.40%, 03/02/26 | | | | | | | 1,389 | | | | 1,378,219 | |
5.30%, 08/15/28 | | | | | | | 485 | | | | 474,397 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,975,803 | |
| | |
| 84 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Pharmaceuticals — 0.2% | | | | | | | | | |
Bayer AG | | | | | | | | | | | | |
4.00%, 08/26/26(c) | | | EUR | | | | 280 | | | $ | 296,693 | |
0.75%, 01/06/27(c) | | | | | | | 200 | | | | 189,926 | |
Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/28 | | | USD | | | | 479 | | | | 461,811 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 948,430 | |
| | | |
| Residential REITs — 0.1% | | | | | | | | | |
Invitation Homes Operating Partnership LP, 5.45%, 08/15/30 | | | | | | | 375 | | | | 357,129 | |
| | | | | | | | | | | | |
| |
| Semiconductors & Semiconductor Equipment — 0.9% | | | | |
Broadcom Corp./Broadcom Cayman Finance Ltd. | | | | | | | | | | | | |
3.88%, 01/15/27 | | | | | | | 749 | | | | 703,765 | |
3.50%, 01/15/28 | | | | | | | 123 | | | | 111,828 | |
Intel Corp., 4.88%, 02/10/28 | | | | | | | 290 | | | | 284,480 | |
NXP BV/NXP Funding LLC, 4.88%, 03/01/24 | | | | | | | 1,800 | | | | 1,787,580 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.70%, 05/01/25 | | | | | | | 655 | | | | 621,372 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,509,025 | |
| | | |
| Software — 1.0% | | | | | | | | | |
Oracle Corp. | | | | | | | | | | | | |
1.65%, 03/25/26 | | | | | | | 1,563 | | | | 1,415,746 | |
2.65%, 07/15/26 | | | | | | | 983 | | | | 906,322 | |
VMware, Inc., 1.40%, 08/15/26 | | | | | | | 1,585 | | | | 1,398,139 | |
Workday, Inc., 3.50%, 04/01/27 | | | | | | | 278 | | | | 259,384 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,979,591 | |
| | | |
| Specialized REITs — 0.4% | | | | | | | | | |
American Tower Corp. | | | | | | | | | | | | |
3.38%, 10/15/26 | | | | | | | 502 | | | | 467,346 | |
3.55%, 07/15/27 | | | | | | | 6 | | | | 5,511 | |
5.25%, 07/15/28 | | | | | | | 545 | | | | 526,276 | |
Crown Castle, Inc., 4.80%, 09/01/28 | | | | | | | 590 | | | | 560,006 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,559,139 | |
| | | |
| Specialty Retail — 0.2% | | | | | | | | | |
Lowe’s Cos., Inc., 1.70%, 09/15/28 | | | | | | | 711 | | | | 593,623 | |
| | | | | | | | | | | | |
| | | |
| Tobacco — 0.8% | | | | | | | | | |
Altria Group, Inc., 2.35%, 05/06/25 | | | | | | | 237 | | | | 224,173 | |
BAT Capital Corp. | | | | | | | | | | | | |
3.22%, 08/15/24 | | | | | | | 260 | | | | 253,523 | |
2.79%, 09/06/24 | | | | | | | 700 | | | | 679,229 | |
3.56%, 08/15/27 | | | | | | | 199 | | | | 182,064 | |
BAT International Finance PLC, 5.93%, 02/02/29 | | | | | | | 1,022 | | | | 1,003,347 | |
Philip Morris International, Inc. | | | | | | | | | | | | |
5.13%, 11/15/24 | | | | | | | 474 | | | | 470,613 | |
4.88%, 02/13/26 | | | | | | | 241 | | | | 237,043 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,049,992 | |
| | | |
| Trading Companies & Distributors — 0.1% | | | | | | | | | |
Air Lease Corp., 1.88%, 08/15/26 | | | | | | | 285 | | | | 253,208 | |
| | | | | | | | | | | | |
| |
| Wireless Telecommunication Services — 0.8% | | | | |
Rogers Communications, Inc., 3.20%, 03/15/27 | | | | | | | 825 | | | | 754,592 | |
Sprint LLC, 7.13%, 06/15/24 | | | | | | | 460 | | | | 462,798 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 4.74%, 03/20/25(a) | | | | | | | 150 | | | | 148,409 | |
T-Mobile U.S.A., Inc. | | | | | | | | | | | | |
1.50%, 02/15/26 | | | | | | | 224 | | | | 203,110 | |
2.25%, 02/15/26 | | | | | | | 769 | | | | 707,914 | |
2.63%, 04/15/26 | | | | | | | 305 | | | | 282,074 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
| Wireless Telecommunication Services (continued) | | | | |
T-Mobile U.S.A., Inc. | | | | | | | | | | | | |
3.75%, 04/15/27 | | | USD | | | | 343 | | | $ | 320,506 | |
2.05%, 02/15/28 | | | | | | | 290 | | | | 249,365 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,128,768 | |
| | | | | | | | | | | | |
| |
Total Corporate Bonds — 28.5%
(Cost: $114,852,855) | | | | 111,958,306 | |
| | | | | | | | | | | | |
| | | |
Foreign Agency Obligations | | | | | | | | | | | | |
| | | |
| Canada — 0.4% | | | | | | | | | |
CPPIB Capital, Inc., 0.50%, 09/16/24(a) | | | | | | | 1,480 | | | | 1,407,706 | |
| | | | | | | | | | | | |
| | | |
| Saudi Arabia — 0.0% | | | | | | | | | |
Saudi Arabian Oil Co., 2.88%, 04/16/24(a) | | | | | | | 220 | | | | 215,569 | |
| | | | | | | | | | | | |
| |
Total Foreign Agency Obligations — 0.4%
(Cost: $1,698,552) | | | | 1,623,275 | |
| | | | | | | | | | | | |
| |
Foreign Government Obligations | | | | | |
| | | |
| Canada — 0.2% | | | | | | | | | |
Ontario Teachers’ Finance Trust, 4.25%, 04/25/28(a) | | | | | | | 965 | | | | 931,676 | |
| | | | | | | | | | | | |
| | | |
| Uruguay — 0.0% | | | | | | | | | |
Republic of Uruguay, 4.38%, 01/23/31 | | | | | | | 0 | (e) | | | 3 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations — 0.2%
(Cost: $964,016) | | | | 931,679 | |
| | | | | | | | | | | | |
| |
Non-Agency Mortgage-Backed Securities | | | | | |
| |
| Collateralized Mortgage Obligations — 3.3% | | | | |
Angel Oak Mortgage Trust | | | | | | | | | | | | |
Series 2020-2, Class A1A, 2.53%, 01/26/65(a)(b) | | | | | | | 142 | | | | 128,422 | |
Series 2022-2, Class A1, 3.35%, 01/25/67(a)(b) | | | | | | | 297 | | | | 259,598 | |
Series 2023-6, Class A1, 6.50%, 12/25/67(a)(f) | | | | | | | 208 | | | | 206,261 | |
Arroyo Mortgage Trust, Series 2022-2, Class A1, 4.95%, 07/25/57(a)(f) | | | | | | | 261 | | | | 252,255 | |
BRAVO Residential Funding Trust, Series 2023-NQM6, Class A1, 6.60%, 09/25/63(a)(f) | | | | | | | 439 | | | | 438,914 | |
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3, 3.50%, 07/25/49(a)(b) | | | | | | | 152 | | | | 130,150 | |
COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 02/25/67(a)(b) | | | | | | | 130 | | | | 116,574 | |
Credit Suisse Mortgage Capital Trust, Series 2022-ATH1, Class A1A, 2.87%, 01/25/67(a)(b) | | | | | | | 284 | | | | 258,229 | |
Flagstar Mortgage Trust | | | | | | | | | | | | |
Series 2020-1INV, Class A11, (1-mo. CME Term SOFR + 0.96%), 6.00%, 03/25/50(a)(b) | | | | | | | 427 | | | | 394,829 | |
Series 2021-12, Class A19, 5.00%, 11/25/51(a)(b) | | | | | | | 646 | | | | 599,195 | |
GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/66(a)(b) | | | | | | | 238 | | | | 201,586 | |
GS Mortgage-Backed Securities Corp. Trust, Series 2022- PJ2, Class A4, 2.50%, 06/25/52(a)(b) | | | | | | | 526 | | | | 397,753 | |
Homeward Opportunities Fund I Trust, Series 2022-1, Class A1, 5.08%, 07/25/67(a)(f) | | | | | | | 187 | | | | 180,976 | |
JPMorgan Mortgage Trust | | | | | | | | | | | | |
Series 2014-2, Class 1A1, 3.00%, 06/25/29(a)(b) | | | | | | | 230 | | | | 217,938 | |
Series 2016-2, Class A1, 6.96%, 06/25/46(a)(b) | | | | | | | 62 | | | | 56,525 | |
Series 2021-7, Class A3, 2.50%, 11/25/51(a)(b) | | | | | | | 1,017 | | | | 767,671 | |
Series 2022-INV3, Class A3B, 3.00%, 09/25/52(a)(b) | | | | | | | 375 | | | | 296,074 | |
Series 2023-DSC1, Class A1, 4.63%, 07/25/63(a)(b) | | | | | | | 394 | | | | 360,275 | |
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52(a)(b) | | | | | | | 436 | | | | 343,552 | |
| | |
SCHEDULES OF INVESTMENTS | | 85 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
MFA Trust | | | | | | | | | | | | |
Series 2021-INV2, Class A1, 1.91%, 11/25/56(a)(b) | | | USD | | | | 289 | | | $ | 238,418 | |
Series 2023-INV2, Class A1, 6.78%, 10/25/58(a)(f) | | | | | | | 160 | | | | 159,625 | |
Series 2023-NQM3, Class A1, 6.62%, 07/25/68(a)(f) | | | | | | | 502 | | | | 499,981 | |
Mill City Mortgage Loan Trust, Series 2017-3, Class A1, 2.75%, 01/25/61(a)(b) | | | | | | | 213 | | | | 206,349 | |
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B, 3.50%, 10/25/59(a)(b) | | | | | | | 334 | | | | 303,797 | |
OBX Trust | | | | | | | | | | | | |
Series 2020-EXP3, Class 2A1B, (1-mo. CME Term SOFR + 1.01%), 6.33%, 01/25/60(a)(b) | | | | | | | 1,000 | | | | 972,380 | |
Series 2022-INV3, Class A1, 3.00%, 02/25/52(a)(b) | | | | | | | 195 | | | | 153,353 | |
Series 2023-NQM6, Class A1, 6.52%, 07/25/63(a)(f) | | | | | | | 592 | | | | 592,388 | |
PRKCM Trust | | | | | | | | | | | | |
Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(b) | | | | | | | 333 | | | | 271,078 | |
Series 2023-AFC3, Class A1, 6.58%, 09/25/58(a) | | | | | | | 518 | | | | 516,447 | |
RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52(a)(b) | | | | | | | 450 | | | | 353,981 | |
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62(a)(f) | | | | | | | 150 | | | | 145,409 | |
Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/65(a)(b) | | | | | | | 177 | | | | 163,271 | |
Towd Point Mortgage Trust | | | | | | | | | | | | |
Series 2015-1, Class A5, 4.31%, 10/25/53(a)(b) | | | | | | | 680 | | | | 665,654 | |
Series 2018-1, Class A1, 3.00%, 01/25/58(a)(b) | | | | | | | 294 | | | | 282,513 | |
Series 2018-2, Class A1, 3.25%, 03/25/58(a)(b) | | | | | | | 774 | | | | 739,507 | |
Series 2018-6, Class A1A, 3.75%, 03/25/58(a)(b) | | | | | | | 774 | | | | 748,474 | |
Verus Securitization Trust | | | | | | | | | | | | |
Series 2022-1, Class A1, 2.72%, 01/25/67(a)(f) | | | | | | | 154 | | | | 132,077 | |
Series 2022-3, Class A1, 4.13%, 02/25/67(a)(f) | | | | | | | 376 | | | | 338,708 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,090,187 | |
|
| Commercial Mortgage-Backed Securities — 7.4% | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 0.93%),
6.51%, 09/15/34(a)(b) | | | | | | | 600 | | | | 583,500 | |
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 6.60%, 04/15/34(a)(b) | | | | | | | 420 | | | | 380,704 | |
Arbor Multifamily Mortgage Securities Trust, Series 2020- MF1, Class ASB, 2.58%, 05/15/53(a) | | | | | | | 500 | | | | 440,903 | |
BANK, Series 2022-BNK42, Class A5, 4.49%, 06/15/55(b) | | | | | | | 350 | | | | 315,259 | |
BANK5, Series 2023-5YR3, Class A3, 6.72%, 09/15/56(b) | | | | | | | 550 | | | | 563,280 | |
Barclays Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-C3, Class B, 4.10%, 05/15/52 | | | | | | | 400 | | | | 330,532 | |
Series 2019-C5, Class ASB, 2.99%, 11/15/52 | | | | | | | 250 | | | | 228,828 | |
BBCMS Mortgage Trust, Series 2023-C19, Class A2B, 5.75%, 04/15/56 | | | | | | | 420 | | | | 409,690 | |
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 6.20%, 04/15/36(a)(b) | | | | | | | 1,000 | | | | 976,133 | |
Benchmark Mortgage Trust, Series 2022-B34, Class AM, 3.96%, 04/15/55(b) | | | | | | | 265 | | | | 208,365 | |
BX Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2019-XL, Class A, (1-mo. CME Term SOFR + 1.03%), 6.37%, 10/15/36(a)(b) | | | | | | | 490 | | | | 489,107 | |
Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.35%, 02/15/39(a)(b) | | | | | | | 243 | | | | 237,149 | |
BX Trust | | | | | | | | | | | | |
Series 2018-BILT, Class D, (1-mo. CME Term SOFR + 2.07%), 7.40%, 05/15/30(a)(b) | | | | | | | 270 | | | | 265,238 | |
Series 2022-IND, Class A, (1-mo. CME Term SOFR + 1.49%), 6.82%, 04/15/37(a)(b) | | | | | | | 722 | | | | 716,400 | |
Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 05/15/38(a)(b) | | | | | | | 460 | | | | 460,576 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
| Commercial Mortgage-Backed Securities (continued) | | | | |
CD Mortgage Trust | | | | | | | | | | | | |
Series 2016-CD2, Class A4, 3.53%, 11/10/49(b) | | | USD | | | | 520 | | | $ | 472,613 | |
Series 2017-CD5, Class A4, 3.43%, 08/15/50 | | | | | | | 525 | | | | 474,573 | |
CENT Trust, Series 2023-CITY, Class A,
(1-mo. CME Term SOFR + 2.62%),
7.95%, 09/15/28(a)(b) | | | | | | | 450 | | | | 449,806 | |
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3, 3.22%, 11/10/49(b) | | | | | | | 820 | | | | 750,647 | |
Citigroup Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2014-GC21, Class A5, 3.86%, 05/10/47 | | | | | | | 761 | | | | 751,740 | |
Series 2018-B2, Class A4, 4.01%, 03/10/51 | | | | | | | 535 | | | | 485,381 | |
COAST Commercial Mortgage Trust, Series 2023-2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.92%, 08/15/36(a)(b) | | | | | | | 300 | | | | 299,014 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-CR8, Class B, 3.74%, 06/10/46(a)(b) | | | | | | | 286 | | | | 264,260 | |
Series 2014-CR14, Class ASB, 3.74%, 02/10/47 | | | | | | | 17 | | | | 17,433 | |
Series 2014-CR16, Class A4, 4.05%, 04/10/47 | | | | | | | 1,000 | | | | 984,528 | |
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | | | | | | | 1,250 | | | | 1,238,532 | |
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | | | | | | | 1,000 | | | | 992,410 | |
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47 | | | | | | | 237 | | | | 231,944 | |
Series 2015-CR24, Class B, 4.49%, 08/10/48(b) | | | | | | | 500 | | | | 458,428 | |
Series 2015-LC23, Class A4, 3.77%, 10/10/48 | | | | | | | 550 | | | | 521,399 | |
Credit Suisse Mortgage Capital Trust, Series 2021-980M, Class C, 3.20%, 07/15/31(a) | | | | | | | 170 | | | | 148,578 | |
Credit Suisse Mortgage Trust, Series 2022-NWPT, Class A, (1-mo. CME Term SOFR + 3.14%), 8.48%, 09/09/24(a)(b) | | | | | | | 280 | | | | 282,086 | |
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.76%, 09/15/52 | | | | | | | 1,000 | | | | 831,246 | |
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.73%, 04/25/48(a)(b) | | | | | | | 290 | | | | 278,491 | |
GS Mortgage Securities Trust | | | | | | | | | | | | |
Series 2015-GC30, Class AAB, 3.12%, 05/10/50 | | | | | | | 275 | | | | 269,863 | |
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.53%, 08/15/39(a)(b) | | | | | | | 760 | | | | 760,904 | |
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%),
7.42%, 03/15/28(a)(b) | | | | | | | 410 | | | | 405,889 | |
Series 2023-FUN, Class B, (1-mo. CME Term SOFR + 2.79%),
8.12%, 03/15/28(a)(b) | | | | | | | 615 | | | | 606,522 | |
ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 7.58%, 10/15/39(a)(b) | | | | | | | 500 | | | | 498,758 | |
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a) | | | | | | | 440 | | | | 413,001 | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2014-C21, Class A5, 3.78%, 08/15/47 | | | | | | | 500 | | | | 489,656 | |
Series 2014-C25, Class A4A1, 3.41%, 11/15/47 | | | | | | | 366 | | | | 354,610 | |
Series 2015-C28, Class ASB, 3.04%, 10/15/48 | | | | | | | 425 | | | | 413,489 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | | | | | |
Series 2017-JP6, Class A3, 3.11%, 07/15/50 | | | | | | | 414 | | | | 374,591 | |
Series 2019-BKWD, Class A, (1-mo. CME Term SOFR + 1.36%),
6.95%, 09/15/29(a)(b) | | | | | | | 164 | | | | 151,082 | |
Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.91%),
6.25%, 04/15/38(a)(b) | | | | | | | 142 | | | | 140,114 | |
Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%),
7.51%, 09/15/39(a)(b) | | | | | | | 180 | | | | 180,336 | |
Series 2022-OPO, Class D, 3.57%, 01/05/39(a)(b) | | | | | | | 100 | | | | 65,178 | |
Life Mortgage Trust, Series 2021-BMR, Class A, (1-mo. CME Term SOFR + 0.81%), 6.15%, 03/15/38(a)(b) | | | | | | | 531 | | | | 520,133 | |
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 08/15/28(a)(b) | | | | | | | 183 | | | | 183,553 | |
| | |
| 86 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
| Commercial Mortgage-Backed Securities (continued) | | | | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | | | | | |
Series 2014-C15, Class A4, 4.05%, 04/15/47 | | | USD | | | | 1,396 | | | $ | 1,385,796 | |
Series 2015-C25, Class A4, 3.37%, 10/15/48 | | | | | | | 330 | | | | 313,293 | |
Series 2016-C30, Class ASB, 2.73%, 09/15/49 | | | | | | | 139 | | | | 132,878 | |
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, 08/25/57(b) | | | | | | | 1,163 | | | | 1,070,933 | |
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.52%, 05/15/37(a)(b) | | | | | | | 270 | | | | 264,751 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2014-LC18, Class ASB, 3.24%, 12/15/47 | | | | | | | 451 | | | | 442,375 | |
Series 2015-C26, Class B, 3.78%, 02/15/48 | | | | | | | 515 | | | | 475,469 | |
Series 2015-C27, Class A5, 3.45%, 02/15/48 | | | | | | | 495 | | | | 472,300 | |
Series 2016-LC24, Class A3, 2.68%, 10/15/49 | | | | | | | 809 | | | | 739,962 | |
Series 2021-C60, Class ASB, 2.13%, 08/15/54 | | | | | | | 834 | | | | 693,559 | |
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5, 4.05%, 03/15/47 | | | | | | | 721 | | | | 716,714 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 29,074,482 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.1% | |
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.85%, 09/15/48(b) | | | | | | | 4,252 | | | | 46,922 | |
Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2015-CR23, Class XA, 1.00%, 05/10/48(b) | | | | | | | 1,833 | | | | 18,828 | |
Series 2015-LC21, Class XA, 0.78%, 07/10/48(b) | | | | | | | 4,338 | | | | 36,306 | |
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 2.02%, 01/15/49(b) | | | | | | | 600 | | | | 20,986 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 123,042 | |
| | | | | | | | | | | | |
| |
Total Non-Agency Mortgage-Backed Securities — 10.8%
(Cost: $45,042,520) | | | | 42,287,711 | |
| | | | | | | | | | | | |
| | | |
Preferred Securities | | | | | | | | | | | | |
| | | |
| Capital Trusts — 0.1% | | | | | | | | | |
| | | |
| Electric Utilities — 0.1% | | | | | | | | | |
Southern Co. (The), 4.48%, 08/01/24(f) | | | | | | | 571 | | | | 562,715 | |
| | | | | | | | | | | | |
|
U.S. Government Sponsored Agency Securities | |
| | | |
| Agency Obligations — 4.9% | | | | | | | | | |
Fannie Mae | | | | | | | | | | | | |
0.54%, 10/27/25 | | | | | | | 4,500 | | | | 4,088,061 | |
0.74%, 08/25/27 | | | | | | | 1,000 | | | | 847,768 | |
0.81%, 09/25/28 | | | | | | | 1,000 | | | | 812,492 | |
Federal Farm Credit Banks Funding Corp. | | | | | | | | | | | | |
2.25%, 08/15/29 | | | | | | | 1,000 | | | | 849,146 | |
2.17%, 10/29/29 | | | | | | | 700 | | | | 588,461 | |
1.30%, 02/03/31 | | | | | | | 770 | | | | 585,837 | |
1.68%, 09/17/35 | | | | | | | 2,080 | | | | 1,398,976 | |
Federal Home Loan Banks | | | | | | | | | | | | |
0.60%, 12/30/26 | | | | | | | 1,000 | | | | 866,996 | |
2.06%, 09/27/29 | | | | | | | 1,000 | | | | 837,275 | |
2.18%, 11/06/29 | | | | | | | 700 | | | | 588,257 | |
Freddie Mac | | | | | | | | | | | | |
5.68%, 04/03/25 | | | | | | | 1,160 | | | | 1,154,013 | |
4.20%, 08/28/25 | | | | | | | 1,300 | | | | 1,270,308 | |
0.60%, 09/30/25 | | | | | | | 3,000 | | | | 2,738,213 | |
0.65%, 05/28/26 | | | | | | | 1,000 | | | | 889,318 | |
0.90%, 10/13/27 | | | | | | | 2,000 | | | | 1,699,786 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,214,907 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
| Collateralized Mortgage Obligations — 1.4% | | | | |
Fannie Mae | | | | | | | | | | | | |
Series 2018-21, Class CA, 3.50%, 04/25/45 | | | USD | | | | 112 | | | $ | 108,478 | |
Series 2019-73, Class P, 3.00%, 03/25/48 | | | | | | | 510 | | | | 467,111 | |
Series 2020-79, Class JA, 1.50%, 11/25/50 | | | | | | | 475 | | | | 397,282 | |
Freddie Mac | | | | | | | | | | | | |
Series 3959, Class MA, 4.50%, 11/15/41 | | | | | | | 52 | | | | 50,240 | |
Series 3986, Class M, 4.50%, 09/15/41 | | | | | | | 12 | | | | 12,335 | |
Series 4274, Class PN, 3.50%, 10/15/35 | | | | | | | 73 | | | | 69,101 | |
Series 4390, Class CA, 3.50%, 06/15/50 | | | | | | | 54 | | | | 51,952 | |
Series 4459, Class BN, 3.00%, 08/15/43 | | | | | | | 276 | | | | 243,131 | |
Series 4482, Class DH, 3.00%, 06/15/42 | | | | | | | 34 | | | | 33,673 | |
Series 4494, Class KA, 3.75%, 10/15/42 | | | | | | | 87 | | | | 84,381 | |
Series 4752, Class PL, 3.00%, 09/15/46 | | | | | | | 334 | | | | 304,699 | |
Series 4777, Class CB, 3.50%, 10/15/45 | | | | | | | 279 | | | | 264,249 | |
Series 4941, Class MB, 3.00%, 07/25/49 | | | | | | | 288 | | | | 244,131 | |
Series 5000, Class MA, 2.00%, 06/25/44 | | | | | | | 232 | | | | 204,683 | |
Series 5006, Class KA, 2.00%, 06/25/45 | | | | | | | 661 | | | | 573,801 | |
Series 5105, Class LA, 1.50%, 04/15/44 | | | | | | | 1,947 | | | | 1,817,274 | |
Ginnie Mae | | | | | | | | | | | | |
Series 2017-136, Class GB, 3.00%, 03/20/47 | | | | | | | 419 | | | | 375,594 | |
Series 2020-127, Class LP, 1.50%, 06/20/50 | | | | | | | 408 | | | | 310,119 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,612,234 | |
| |
| Commercial Mortgage-Backed Securities — 0.3% | | | | |
Fannie Mae, Series 2014-M9, Class A2, 3.10%, 07/25/24(b) | | | | | | | 1,236 | | | | 1,209,769 | |
| | | | | | | | | | | | |
| | | |
| Mortgage-Backed Securities — 13.1% | | | | | | | | | |
Fannie Mae, Series 2022-65, Class FB, (SOFR (30-day) + 0.80%), 6.00%, 09/25/52(b) | | | | | | | 3,727 | | | | 3,573,638 | |
Fannie Mae Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 07/01/31 | | | | | | | 1,390 | | | | 1,245,377 | |
2.50%, 12/01/27 - 04/01/32 | | | | | | | 985 | | | | 895,961 | |
3.00%, 09/01/30 - 09/01/35 | | | | | | | 7,733 | | | | 7,137,483 | |
3.50%, 05/01/37 | | | | | | | 681 | | | | 639,688 | |
4.00%, 03/01/32 - 08/01/49 | | | | | | | 9,862 | | | | 9,055,930 | |
4.50%, 09/01/26 - 01/01/48 | | | | | | | 2,366 | | | | 2,234,304 | |
5.00%, 07/01/25 - 06/01/39 | | | | | | | 1,258 | | | | 1,230,919 | |
5.50%, 05/01/38 | | | | | | | 208 | | | | 208,727 | |
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.59%), 2.95%, 06/01/45(b) | | | | | | | 127 | | | | 124,116 | |
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.60%), 5.17%, 07/01/44(b) | | | | | | | 124 | | | | 124,576 | |
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.70%), 5.48%, 07/01/43(b) | | | | | | | 211 | | | | 212,801 | |
Freddie Mac Mortgage-Backed Securities | | | | | | | | | | | | |
2.50%, 11/01/27 | | | | | | | 145 | | | | 138,651 | |
3.00%, 12/01/31 - 02/01/36 | | | | | | | 910 | | | | 833,055 | |
4.00%, 09/01/33 - 06/01/37 | | | | | | | 1,354 | | | | 1,280,555 | |
4.50%, 03/01/49 - 01/01/50 | | | | | | | 2,917 | | | | 2,740,953 | |
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 3.34%, 05/01/45(b) | | | | | | | 316 | | | | 305,802 | |
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 4.18%, 03/01/45(b) | | | | | | | 135 | | | | 134,073 | |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
4.00%, 10/01/53(g) | | | | | | | 12,725 | | | | 11,328,232 | |
4.50%, 10/01/53(g) | | | | | | | 4,190 | | | | 3,846,944 | |
5.00%, 10/01/53(g) | | | | | | | 4,175 | | | | 3,938,852 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 51,230,637 | |
| | | | | | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 19.7%
(Cost: $82,166,662) | | | | 77,267,547 | |
| | | | | | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 87 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
U.S. Treasury Obligations | | | | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
1.50%, 02/29/24 | | | USD | | | | 8,000 | | | $ | 7,871,250 | |
5.00%, 08/31/25 | | | | | | | 8,000 | | | | 7,983,750 | |
4.00%, 02/15/26 | | | | | | | 11,250 | | | | 11,012,256 | |
| | | | | | | | |
| | | |
Total U.S. Treasury Obligations — 6.8%
(Cost: $27,012,594) | | | | | | | | | | | 26,867,256 | |
| | | | | | | | |
| | | |
Total Long-Term Investments — 99.7%
(Cost: $406,148,866) | | | | | | | | | | | 391,868,276 | |
| | | | | | | | |
| | | |
Short-Term Securities | | | | | | | | | | | | |
| | | |
| Commercial Paper — 1.5% | | | | | | | | | |
General Motor Financial Co., Inc., 5.66%, 10/16/23(h) | | | | | | | 1,500 | | | | 1,496,004 | |
Harley-Davidson Financial Services, 6.14%, 11/14/23(h) | | | | | | | 1,750 | | | | 1,737,174 | |
HSBC U.S.A., Inc., 6.46%, 08/22/24(h) | | | | | | | 1,500 | | | | 1,416,920 | |
Societe Generale SA, 5.71%, 03/06/24(h) | | | | | | | 1,200 | | | | 1,169,995 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 5,820,093 | |
| | | | | | | | |
| | | |
| U.S. Treasury Obligations(h) — 3.3% | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | | | |
4.90%, 10/19/23 | | | | | | | 4,300 | | | | 4,289,259 | |
5.17%, 03/21/24 | | | | | | | 9,000 | | | | 8,772,527 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 13,061,786 | |
| | | | | | | | |
| |
Total Short-Term Securities — 4.8%
(Cost: $18,899,630) | | | | 18,881,879 | |
| | | | | | | | |
| |
Total Investments Before TBA Sale Commitments — 104.5%
(Cost: $425,048,496) | | | | 410,750,155 | |
| | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
| | | |
TBA Sale Commitments(g) | | | | | | | | | | | | |
| |
| Mortgage-Backed Securities — (1.0)% | | | | |
Uniform Mortgage-Backed Securities, 4.00%, 10/01/53 | | | USD | | | | (4,345 | ) | | $ | (3,868,068 | ) |
| | | | | | | | |
| |
Total TBA Sale Commitments — (1.0)%
(Proceeds: $(3,983,822)) | | | | (3,868,068 | ) |
| | | | | | | | |
| |
Total Investments Net of TBA Sale Commitments — 103.5%
(Cost: $421,064,674) | | | | 406,882,087 | |
| |
Liabilities in Excess of Other Assets — (3.5)% | | | | (13,877,004 | ) |
| | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 393,005,083 | |
| | | | | | | | |
| (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. |
| (e) | Rounds to less than 1,000. |
| (f) | 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. |
| (g) | Represents or includes a TBA transaction. |
| (h) | Rates are discount rates or a range of discount rates 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 Notes (10 Year) | | | 3 | | | | 12/19/23 | | | $ | 324 | | | $ | 512 | |
U.S. Treasury Notes (2 Year) | | | 717 | | | | 12/29/23 | | | | 145,344 | | | | (497,664 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | (497,152 | ) |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
Euro-Bobl | | | 17 | | | | 12/07/23 | | | | 2,080 | | | | 20,919 | |
Euro-Bund | | | 1 | | | | 12/07/23 | | | | 136 | | | | 3,827 | |
Euro-Schatz | | | 11 | | | | 12/07/23 | | | | 1,221 | | | | 3,141 | |
Japanese Government Bonds (10 Year) | | | 2 | | | | 12/13/23 | | | | 1,940 | | | | 17,233 | |
U.S. Treasury Bonds (30 Year) | | | 41 | | | | 12/19/23 | | | | 4,665 | | | | 267,065 | |
U.S. Ultra Treasury Bonds | | | 3 | | | | 12/19/23 | | | | 356 | | | | 25,263 | |
U.S. Ultra Treasury Notes (10 Year) | | | 170 | | | | 12/19/23 | | | | 18,966 | | | | 440,321 | |
U.S. Treasury Notes (5 Year) | | | 382 | | | | 12/29/23 | | | | 40,247 | | | | 228,763 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | 1,006,532 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | $ | 509,380 | |
| | | | | | | | | | | | | | | | |
| | |
| 88 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| |
| | | | |
| Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | |
EUR | | | 530,000 | | | | USD | | | | 558,835 | | | NatWest Markets PLC | | | 12/20/23 | | | $ | 3,745 | |
USD | | | 379,298 | | | | CAD | | | | 511,000 | | | NatWest Markets PLC | | | 12/20/23 | | | | 2,569 | |
USD | | | 641,255 | | | | EUR | | | | 594,000 | | | UBS AG | | | 12/20/23 | | | | 10,741 | |
USD | | | 5,249,395 | | | | EUR | | | | 4,900,000 | | | UBS AG | | | 12/20/23 | | | | 48,182 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 65,237 | |
| | | | | | | | | | | | | | | | | | | | | | |
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.41.V1 | | | 1.00 | % | | Quarterly | | | 12/20/28 | | | | USD 9,240 | | | $ | (113,503 | ) | | $ | (132,654 | ) | | $ | 19,151 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
| | | | | | | | | | | | | | | | |
| |
| | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized Appreciation | | | Unrealized Depreciation | |
| |
| | | | |
Centrally Cleared Swaps(a) | | $ | — | | | $ | (132,654 | ) | | $ | 19,151 | | | $ | — | |
| |
| | (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. | |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| | | | | | | | | | | | | | | | | | | �� | | | | | | | | | |
| |
| | | | | | | |
| | | Commodity Contracts | | | Credit Contracts | | | Equity Contracts | | | Foreign Currency Exchange Contracts | | | Interest Rate Contracts | | | Other Contracts | | | Total | |
| |
| | | | | | | |
Assets — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,007,044 | | | $ | — | | | $ | 1,007,044 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 65,237 | | | | — | | | | — | | | | 65,237 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | 19,151 | | | | — | | | | — | | | | — | | | | — | | | | 19,151 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 19,151 | | | $ | — | | | $ | 65,237 | | | $ | 1,007,044 | | | $ | — | | | $ | 1,091,432 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 497,664 | | | $ | — | | | $ | 497,664 | |
| | (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). | |
| | |
SCHEDULES OF INVESTMENTS | | 89 |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio |
For the period ended September 30, 2023, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 639,966 | | | $ | — | | | $ | 639,966 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 49,396 | | | | — | | | | — | | | | 49,396 | |
Swaps | | | — | | | | (115,610 | ) | | | — | | | | — | | | | (60,595 | ) | | | — | | | | (176,205 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | (115,610 | ) | | $ | — | | | $ | 49,396 | | | $ | 579,371 | | | $ | — | | | $ | 513,157 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 151,966 | | | $ | — | | | $ | 151,966 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 170,876 | | | | — | | | | — | | | | 170,876 | |
Swaps | | | — | | | | 56,564 | | | | — | | | | — | | | | 29,558 | | | | — | | | | 86,122 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 56,564 | | | $ | — | | | $ | 170,876 | | | $ | 181,524 | | | $ | — | | | $ | 408,964 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| |
| |
Futures contracts | | | | |
Average notional value of contracts — long | | | $157,723,943 | |
Average notional value of contracts — short | | | $70,084,406 | |
Forward foreign currency exchange contracts | | | | |
Average amounts purchased — in USD | | | $8,076,112 | |
Average amounts sold — in USD | | | $1,326,623 | |
Credit default swaps | | | | |
Average notional value — buy protection | | | $11,255,000 | |
Interest rate swaps | | | | |
Average notional value — pays fixed rate | | | $—(a | ) |
Average notional value — received fixed rate | | | $—(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.
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 | | $ | 80,572 | | | $ | 139,668 | |
Forward foreign currency exchange contracts | | | 65,237 | | | | — | |
Swaps — centrally cleared | | | — | | | | 1,193 | |
| | | | | | | | |
| | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 145,809 | | | $ | 140,861 | |
| | | | | | | | |
| | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (80,572 | ) | | | (140,861 | ) |
| | | | | | | | |
| | |
Total derivative assets and liabilities subject to an MNA | | $ | 65,237 | | | $ | — | |
| | | | | | | | |
| | |
| 90 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series S Portfolio |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | | Derivatives Available for Offset(a) | | | Non- Cash Collateral Received(b) | | | Cash Collateral Received(b) | | | Net Amount of Derivative Assets(c)(d) | |
| | | | | |
NatWest Markets PLC | | $ | 6,314 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,314 | |
UBS AG | | | 58,923 | | | | — | | | | — | | | | — | | | | 58,923 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 65,237 | | | $ | — | | | $ | — | | | $ | — | | | $ | 65,237 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. | |
| | (b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. | |
| | (c) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (d) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
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 | | $ | — | | | $ | 130,369,787 | | | $ | — | | | $ | 130,369,787 | |
Corporate Bonds | | | — | | | | 111,958,306 | | | | — | | | | 111,958,306 | |
Foreign Agency Obligations | | | — | | | | 1,623,275 | | | | — | | | | 1,623,275 | |
Foreign Government Obligations | | | — | | | | 931,679 | | | | — | | | | 931,679 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 42,287,711 | | | | — | | | | 42,287,711 | |
Preferred Securities | | | — | | | | 562,715 | | | | — | | | | 562,715 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 77,267,547 | | | | — | | | | 77,267,547 | |
U.S. Treasury Obligations | | | — | | | | 26,867,256 | | | | — | | | | 26,867,256 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Commercial Paper | | | — | | | | 5,820,093 | | | | — | | | | 5,820,093 | |
U.S. Treasury Obligations | | | — | | | | 13,061,786 | | | | — | | | | 13,061,786 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (3,868,068 | ) | | | — | | | | (3,868,068 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | — | | | $ | 406,882,087 | | | $ | — | | | $ | 406,882,087 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 19,151 | | | $ | — | | | $ | 19,151 | |
Foreign Currency Exchange Contracts | | | — | | | | 65,237 | | | | — | | | | 65,237 | |
Interest Rate Contracts | | | 1,007,044 | | | | — | | | | — | | | | 1,007,044 | |
Liabilities | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | (497,664 | ) | | | — | | | | — | | | | (497,664 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 509,380 | | | $ | 84,388 | | | $ | — | | | $ | 593,768 | |
| | | | | | | | | | | | | | | | |
| | (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.
| | |
SCHEDULES OF INVESTMENTS | | 91 |
| | |
Schedule of Investments (unaudited) September 30, 2023 | | BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Municipal Bonds | | | | | | | | | | | | |
| | | |
| Alaska — 1.8% | | | | | | | | | |
Alaska Housing Finance Corp. | | | | | | | | | | | | |
Refunding RB, Series A, VRDN, (Wells Fargo Bank NA SBPA), 3.85%, 10/09/23(a) | | | USD | | | | 200 | | | $ | 200,000 | |
Refunding RB, Series D, VRDN, (Federal Home Loan Bank SBPA), 3.85%, 10/09/23(a) | | | | | | | 1,300 | | | | 1,300,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,500,000 | |
| | | |
| Colorado — 1.5% | | | | | | | | | |
City of Colorado Springs Utilities System Revenue, Refunding RB, Series C, VRDN, (Sumitomo Mitsui Banking Corp. SBPA), 3.85%, 10/09/23(a) | | | | | | | 1,300 | | | | 1,300,000 | |
| | | | | | | | | | | | |
| | | |
| Connecticut — 3.3% | | | | | | | | | |
Connecticut Housing Finance Authority | | | | | | | | | | | | |
Refunding RB, Sub-Series A-3, VRDN, (UBS AG SBPA), 3.90%, 10/09/23(a) | | | | | | | 2,100 | | | | 2,100,000 | |
Refunding RB, Sub-Series C-3, VRDN, (Royal Bank of Canada SBPA), 3.93%, 10/09/23(a) | | | | | | | 725 | | | | 725,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,825,000 | |
| | | |
| Florida — 8.8% | | | | | | | | | |
County of Escambia, RB, VRDN, 4.65%, 10/02/23(a) | | | | | | | 500 | | | | 500,000 | |
County of St. Lucie Florida Power & Light Co., Refunding RB, VRDN, 4.70%, 10/02/23(a) | | | | | | | 400 | | | | 400,000 | |
Highlands County Health Facilities Development Corp., Refunding RB, VRDN, 3.85%, 10/09/23(a) | | | | | | | 1,300 | | | | 1,300,000 | |
Hillsborough County, RB, TECP, (Wells Fargo Bank NA SBPA), 3.70%, 10/05/23 | | | | | | | 1,000 | | | | 999,949 | |
JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.93%, 10/09/23(a) | | | | | | | 2,750 | | | | 2,750,000 | |
Orlando Utilities Commission, Refunding RB, Series B, VRDN, (TD Bank NA SBPA), 3.92%, 10/09/23(a) | | | | | | | 500 | | | | 500,000 | |
Pinellas County Housing Finance Authority, RB, VRDN, (FHLMC LOC), 3.95%, 10/09/23(a) | | | | | | | 1,000 | | | | 1,000,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,449,949 | |
| | | |
| Illinois — 7.8% | | | | | | | | | |
Illinois Finance Authority Northwestern University, RB, Sub- Series D, VRDN, 4.20%, 10/09/23(a) | | | | | | | 3,300 | | | | 3,300,000 | |
Illinois Finance Authority University of Chicago, Refunding RB, VRDN, 3.97%, 10/09/23(a) | | | | | | | 3,300 | | | | 3,300,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,600,000 | |
| | | |
| Indiana — 0.7% | | | | | | | | | |
Indiana Finance Authority, RB, VRDN, (Barclays Bank plc LOC), 4.07%, 10/09/23(a) | | | | | | | 550 | | | | 550,000 | |
| | | | | | | | | | | | |
| | | |
| Iowa — 1.3% | | | | | | | | | |
Iowa Finance Authority, RB, Series E, VRDN, (GNMA/FNMA/FHLMC COL), (Fannie Mae LIQ), (Federal Home Loan Bank SBPA), 3.95%, 10/09/23(a) | | | | | | | 1,100 | | | | 1,100,000 | |
| | | | | | | | | | | | |
| | | |
| Louisiana — 5.0% | | | | | | | | | |
Louisiana Gasoline & Fuels Tax Revenue, Refunding RB, Series A-1, VRDN, (Toronto-Dominion Bank LOC), 4.55%, 10/02/23(a) | | | | | | | 1,300 | | | | 1,300,000 | |
Louisiana Offshore Terminal Authority, Refunding RB, VRDN, (JPMorgan Chase Bank NA LOC), 4.05%, 10/09/23(a) | | | | | | | 1,415 | | | | 1,415,000 | |
Louisiana Public Facilities Authority, Refunding RB, VRDN, (Bank of New York Mellon Corp. LOC), 4.05%, 10/09/23(a) | | | | | | | 1,480 | | | | 1,480,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 4,195,000 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Maryland — 2.1% | | | | | | | | | |
Maryland EDC, RB, Series A, VRDN, 4.06%, 10/09/23(a) | | | USD | | | | 1,750 | | | $ | 1,750,000 | |
| | | | | | | | |
| | | |
| Massachusetts — 4.3% | | | | | | | | | |
City of Somerville, GO, Refunding, BAN, 5.00%, 05/30/24 | | | | | | | 1,000 | | | | 1,006,344 | |
Massachusetts Bay Transportation Authority, RB, TECP, (Barclays Bank plc SBPA), 3.70%, 12/04/23 | | | | | | | 1,000 | | | | 999,715 | |
Massachusetts Development Finance Agency, RB, VRDN, (Wells Fargo Bank NA SBPA), 3.80%, 10/09/23(a) | | | | | | | 1,150 | | | | 1,150,000 | |
Town of Plymouth, GO, Refunding, BAN, 5.00%, 06/28/24 | | | | | | | 500 | | | | 503,563 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 3,659,622 | |
| | | |
| Minnesota — 2.8% | | | | | | | | | |
City of Minneapolis, Refunding RB, Series C, VRDN, (Wells Fargo Bank NA LOC), 4.45%, 10/02/23(a) | | | | | | | 1,200 | | | | 1,200,000 | |
County of Hennepin, GO, Refunding, Series B, VRDN, (TD Bank NA SBPA), 3.93%, 10/09/23(a) | | | | | | | 1,185 | | | | 1,185,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,385,000 | |
| | | |
| Mississippi — 3.5% | | | | | | | | | |
Mississippi Business Finance Corp. | | | | | | | | | | | | |
RB, Series A, VRDN, 4.45%, 10/02/23(a) | | | | | | | 300 | | | | 300,000 | |
RB, Series G, VRDN, 4.65%, 10/02/23(a) | | | | | | | 2,200 | | | | 2,200,000 | |
RB, Series L, VRDN, 4.65%, 10/02/23(a) | | | | | | | 500 | | | | 500,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 3,000,000 | |
| | | |
| Missouri — 1.3% | | | | | | | | | |
City of Kansas City, Refunding RB, Series E, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 4.20%, 10/09/23(a) | | | | | | | 1,115 | | | | 1,115,000 | |
| | | | | | | | |
| | | |
| Nebraska — 1.8% | | | | | | | | | |
Nebraska Investment Finance Authority, RB, Series C, VRDN, (GNMA/FNMA/FHLMC), (Federal Home Loan Bank SBPA), 3.95%, 10/09/23(a) | | | | | | | 525 | | | | 525,000 | |
Omaha Public Power District | | | | | | | | | | | | |
GO, TECP, (Bank of America NA SBPA), 3.60%, 11/02/23 | | | | | | | 500 | | | | 499,920 | |
GO, TECP, (Bank of America NA SBPA), 3.65%, 12/04/23 | | | | | | | 500 | | | | 499,858 | |
| | | | | | | | |
| | | |
| | | | | | | | | 1,524,778 | |
| | | |
| Nevada — 3.2% | | | | | | | | | |
County of Clark Department of Aviation, Refunding RB, Series D-2B, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 3.95%, 10/09/23(a) | | | | | | | 2,730 | | | | 2,730,000 | |
| | | | | | | | |
| | | |
| NewYork — 5.6% | | | | | | | | | |
City of New York, GO, Sub-Series A-3, VRDN, (Mizuho Bank Ltd. LOC), 4.70%, 10/02/23(a) | | | | | | | 675 | | | | 675,000 | |
New York City Housing Development Corp., RB, VRDN, (Royal Bank of Canada SBPA), 3.95%, 10/09/23(a) | | | | | | | 300 | | | | 300,000 | |
New York City Municipal Water Finance Authority RB, Series 2, VRDN, (Barclays Bank plc SBPA), 4.80%, 10/02/23(a) | | | | | | | 2,100 | | | | 2,100,000 | |
Refunding RB, Series 5, VRDN, (Bank of America NA SBPA), 4.50%, 10/02/23(a) | | | | | | | 800 | | | | 800,000 | |
New York State HFA, RB, Series A, VRDN, (Fannie Mae LIQ), 4.05%, 10/09/23(a) | | | | | | | 900 | | | | 900,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 4,775,000 | |
| | | |
| North Carolina — 4.0% | | | | | | | | | |
Charlotte-Mecklenburg Hospital Authority (The), RB, Series H, VRDN, (JPMorgan Chase Bank NA SBPA), 4.65%, 10/02/23(a) | | | | | | | 1,000 | | | | 1,000,000 | |
City of Charlotte, Refunding RB, VRDN, (Wells Fargo Bank NA SBPA), 3.85%, 10/09/23(a) | | | | | | | 2,365 | | | | 2,365,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 3,365,000 | |
| | |
| 92 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) September 30, 2023 | | BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Ohio — 6.6% | | | | | | | | | |
Akron Bath Copley Joint Township Hospital District, RB, Series A-R, VRDN, (BMO Harris Bank NA LOC), 3.98%, 10/09/23(a) | | | USD | | | | 3,160 | | | $ | 3,160,000 | |
Ohio Higher Educational Facility Commission, Refunding RB, VRDN, (Ohio State Treasurer SBPA), 4.05%, 10/09/23(a) | | | | | | | 1,400 | | | | 1,400,000 | |
Ohio Water Development Authority, RB, TECP, (TD Bank NA SBPA), 3.75%, 01/04/24 | | | | | | | 1,000 | | | | 999,713 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 5,559,713 | |
| | | |
| Pennsylvania — 1.0% | | | | | | | | | |
Pennsylvania Turnpike Commission, Refunding RB, VRDN, (TD Bank NA LOC), 3.85%, 10/09/23(a) | | | | | | | 850 | | | | 850,000 | |
| | | | | | | | |
| | | |
| Rhode Island — 2.2% | | | | | | | | | |
Rhode Island Health & Educational Building Corp., RB, Series A, VRDN, (TD Bank NA SBPA), 4.00%, 10/09/23(a) | | | | | | | 1,900 | | | | 1,900,000 | |
| | | | | | | | |
| | | |
| South Dakota — 2.9% | | | | | | | | | |
South Dakota HDA | | | | | | | | | | | | |
Refunding RB, Series A, VRDN, (Federal Home Loan Bank SBPA), 4.13%, 10/09/23(a) | | | | | | | 1,445 | | | | 1,445,000 | |
Refunding RB, Series B, VRDN, (South Dakota HDA SBPA), 3.85%, 10/09/23(a) | | | | | | | 1,025 | | | | 1,025,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,470,000 | |
| | | |
| Tennessee — 1.4% | | | | | | | | | |
Metropolitan Government Nashville & Davidson County, RB, TECP, (TD Bank NA LOC), 3.57%, 11/16/23 | | | | | | | 1,000 | | | | 999,585 | |
Public Building Authority of Sevier County (The), RB, VRDN, (County GTD), (Bank of America NA LOC), 4.00%, 10/09/23(a) | | | | | | | 200 | | | | 200,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 1,199,585 | |
| | | |
| Texas — 10.6% | | | | | | | | | |
Bowie County IDC, RB, VRDN, (JPMorgan Chase Bank NA LOC), 4.73%, 10/02/23(a) | | | | | | | 500 | | | | 500,000 | |
City of Houston Combined Utility System Revenue, Refunding RB, Series C, VRDN, (Barclays Bank plc LOC), 4.04%, 10/09/23(a) | | | | | | | 2,500 | | | | 2,500,000 | |
Permanent University Fund, RB, Series A, VRDN, (University of Texas Investment Management Co. LIQ), 3.92%, 10/09/23(a) | | | | | | | 3,000 | | | | 3,000,000 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Texas (continued) | | | | | | | | | |
Port of Port Arthur Navigation District, Refunding RB, VRDN, 4.05%, 10/09/23(a) | | | USD | | | | 1,500 | | | $ | 1,500,000 | |
Red River Education Finance Corp., RB, VRDN, (TD Bank NA SBPA), 4.05%, 10/09/23(a) | | | | | | | 1,000 | | | | 1,000,000 | |
State of Texas, GO, Series B, VRDN, (Federal Home Loan Bank SBPA), 4.00%, 10/09/23(a) | | | | | | | 505 | | | | 505,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 9,005,000 | |
| | | |
| Utah — 2.1% | | | | | | | | | |
City of Murray, RB, Series A, VRDN, 4.15%, 10/09/23(a) | | | | | | | 1,800 | | | | 1,800,000 | |
| | | | | | | | |
| | | |
| Virginia — 2.5% | | | | | | | | | |
Fairfax County IDA, Refunding RB, VRDN, 4.09%, 10/09/23(a) | | | | | | | 840 | | | | 840,000 | |
Loudoun County EDA, RB, Series B, VRDN, 3.84%, 10/09/23(a) | | | | | | | 1,295 | | | | 1,295,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,135,000 | |
| | | |
| Washington — 1.8% | | | | | | | | | |
Washington Housing Finance Commission, Refunding RB, Series VR, VRDN, (Royal Bank of Canada SBPA), 3.95%, 10/09/23(a) | | | | | | | 1,500 | | | | 1,500,000 | |
| | | | | | | | |
| | | |
| Wisconsin — 3.1% | | | | | | | | | |
Wisconsin Housing & EDA | | | | | | | | | | | | |
RB, Series C, VRDN, (Federal Home Loan Bank SBPA), 4.10%, 10/09/23(a) | | | | | | | 800 | | | | 800,000 | |
RB, Series C, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 3.95%, 10/09/23(a) | | | | | | | 1,390 | | | | 1,390,000 | |
RB, Series D, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 3.95%, 10/09/23(a) | | | | | | | 450 | | | | 450,000 | |
| | | | | | | | |
| | | |
| | | | | | | | | | | 2,640,000 | |
| | | | | | | | |
| | | |
Total Investments — 93.0%
(Cost: $78,888,780) | | | | | | | | | | | 78,883,647 | |
| | | |
Other Assets Less Liabilities — 7.0% | | | | | | | | | | | 5,911,223 | |
| | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 84,794,870 | |
| | | | | | | | |
| (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 | | $ | — | | | $ | 78,883,647 | | | $ | — | | | $ | 78,883,647 | |
| | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 93 |
Statements of Assets and Liabilities (unaudited)
September 30, 2023
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | | | BATS: Series E Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments, at value — unaffiliated(a) | | $ | 2,167,549,073 | | | $ | 384,702,432 | | | $ | 347,415,651 | |
Cash | | | 13,929 | | | | 48,908 | | | | 57,899 | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 1,160,000 | | | | — | | | | — | |
Futures contracts | | | — | | | | 724,000 | | | | — | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | 7,469,858 | | | | — | | | | 117,075 | |
TBA sale commitments | | | 21,697,982 | | | | — | | | | — | |
Capital shares sold | | | — | | | | 1,029,529 | | | | 69,290 | |
Dividends — unaffiliated | | | 558,309 | | | | 10,284 | | | | 164,438 | |
Interest — unaffiliated | | | 12,354,248 | | | | 4,389,138 | | | | 4,340,308 | |
From the Manager | | | 48,271 | | | | 34,192 | | | | 32,932 | |
Variation margin on futures contracts | | | — | | | | 46,653 | | | | — | |
Variation margin on centrally cleared swaps | | | — | | | | 5,017 | | | | — | |
Swap premiums paid | | | 9,571 | | | | 12,950 | | | | — | |
Unrealized appreciation on: | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | 140,986 | | | | — | | | | — | |
OTC swaps | | | 37,894 | | | | — | | | | — | |
Unfunded commitments | | | — | | | | — | | | | 1,751,705 | |
Prepaid expenses | | | 51,107 | | | | 31,489 | | | | 25,846 | |
| | | | | | | | | | | | |
| | | |
Total assets | | | 2,211,091,228 | | | | 391,034,592 | | | | 353,975,144 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Cash received: | | | | | | | | | | | | |
Collateral — TBA commitments | | | 583,000 | | | | — | | | | — | |
TBA sale commitments at value(d) | | | 21,052,486 | | | | — | | | | — | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | 8,047,888 | | | | 2,005,202 | | | | 4,555,521 | |
Accounting services fees | | | 38,525 | | | | 14,283 | | | | 13,761 | |
Capital shares redeemed | | | 11,517,388 | | | | 752,677 | | | | 9,921,674 | |
Income dividend distributions | | | 11,820,037 | | | | 1,548,769 | | | | 1,378,839 | |
Interest expense and fees | | | — | | | | — | | | | 112,495 | |
Trustees’ and Officer’s fees | | | 5,797 | | | | 1,379 | | | | 850 | |
Other accrued expenses | | | 22,192 | | | | 12,143 | | | | 22,015 | |
Printing and postage fees | | | 11,964 | | | | 8,710 | | | | 9,009 | |
Professional fees | | | 28,302 | | | | 24,458 | | | | 27,236 | |
Registration fees | | | — | | | | 130,808 | | | | 2,099 | |
Variation margin on futures contracts | | | — | | | | 24,778 | | | | — | |
Swap premiums received | | | 524,433 | | | | — | | | | — | |
Unrealized depreciation on OTC swaps | | | 883,346 | | | | 9,186 | | | | — | |
| | | | | | | | | | | | |
| | | |
Total accrued liabilities | | | 54,535,358 | | | | 4,532,393 | | | | 16,043,499 | |
| | | | | | | | | | | | |
| | | |
Other Liabilities | | | | | | | | | | | | |
TOB Trust Certificates | | | — | | | | — | | | | 8,837,000 | |
| | | | | | | | | | | | |
| | | |
Total other liabilities | | | — | | | | — | | | | 8,837,000 | |
| | | | | | | | | | | | |
| | | |
Total liabilities | | | 54,535,358 | | | | 4,532,393 | | | | 24,880,499 | |
| | | | | | | | | | | | |
Commitments and contingent liabilities | | | | | | | | | | | | |
| | | |
NET ASSETS | | $ | 2,156,555,870 | | | $ | 386,502,199 | | | $ | 329,094,645 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in capital | | $ | 2,388,726,821 | | | $ | 474,941,108 | | | $ | 386,617,442 | |
Accumulated loss | | | (232,170,951 | ) | | | (88,438,909 | ) | | | (57,522,797 | ) |
| | | | | | | | | | | | |
| | | |
NET ASSETS | | $ | 2,156,555,870 | | | $ | 386,502,199 | | | $ | 329,094,645 | |
| | | | | | | | | | | | |
| | |
| 94 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2023
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | | | BATS: Series E Portfolio | |
| | | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding | | | 234,433,037 | | | | 45,153,470 | | | | 35,357,126 | |
| | | | | | | | | | | | |
| | | |
Net asset value | | $ | 9.20 | | | $ | 8.56 | | | $ | 9.31 | |
| | | | | | | | | | | | |
| | | |
Shares authorized | | | Unlimited | | | | Unlimited | | | | Unlimited | |
| | | | | | | | | | | | |
| | | |
Par value | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | |
| | | | | | | | | | | | |
| | | |
(a) Investments, at cost — unaffiliated | | $ | 2,340,338,235 | | | $ | 426,659,895 | | | $ | 394,690,120 | |
(d) Proceeds from TBA sale commitments | | $ | 21,697,982 | | | $ | — | | | $ | — | |
See notes to financial statements.
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2023
| | | | | | | | | | | | |
| | | BATS: Series M Portfolio | | | BATS: Series P Portfolio | | | BATS: Series S Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments, at value — unaffiliated(a) | | $ | 1,467,699,808 | | | $ | — | | | $ | 410,750,155 | |
Investments, at value — affiliated(b) | | | — | | | | 5,073,272 | | | | — | |
Cash | | | 9,913 | | | | 12,089,705 | | | | 1,046,394 | |
Cash pledged: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 1,160,000 | | | | — | | | | — | |
Futures contracts | | | 953,000 | | | | 451,190 | | | | 1,547,000 | |
Centrally cleared swaps | | | — | | | | — | | | | 138,000 | |
Foreign currency, at value(c) | | | — | | | | — | | | | 60,682 | |
Receivables: | | | | | | | | | | | | |
Investments sold | | | 48,245 | | | | — | | | | — | |
TBA sale commitments | | | 186,616,538 | | | | — | | | | 3,983,822 | |
Capital shares sold | | | 1,744,750 | | | | 659 | | | | 628,821 | |
Dividends — unaffiliated | | | 31,441 | | | | — | | | | 8,880 | |
Dividends — affiliated | | | — | | | | 31,501 | | | | — | |
Interest — unaffiliated | | | 4,035,292 | | | | — | | | | 1,879,488 | |
From the Manager | | | 55,927 | | | | 11,756 | | | | 40,027 | |
Principal paydowns | | | — | | | | — | | | | 106,042 | |
Variation margin on futures contracts | | | 5,281 | | | | 1,781 | | | | 80,572 | |
Variation margin on centrally cleared swaps | | | — | | | | 238 | | | | — | |
Swap premiums paid | | | 364,619 | | | | — | | | | — | |
Unrealized appreciation on: | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 65,237 | |
OTC swaps | | | 1,882,743 | | | | — | | | | — | |
Prepaid expenses | | | 67,814 | | | | 18,013 | | | | 46,007 | |
| | | | | | | | | | | | |
| | | |
Total assets | | | 1,664,675,371 | | | | 17,678,115 | | | | 420,381,127 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Cash received: | | | | | | | | | | | | |
Collateral — OTC derivatives | | | 410,000 | | | | — | | | | — | |
Collateral — TBA commitments | | | 235,000 | | | | — | | | | — | |
TBA sale commitments at value(d) | | | 183,585,743 | | | | — | | | | 3,868,068 | |
Payables: | | | | | | | | | | | | |
Investments purchased | | | 352,960,155 | | | | — | | | | 21,331,818 | |
Accounting services fees | | | 23,817 | | | | 8,761 | | | | 14,370 | |
Capital shares redeemed | | | 1,744,704 | | | | 30,675 | | | | 346,510 | |
Income dividend distributions | | | 3,731,672 | | | | — | | | | 1,452,559 | |
Trustees’ and Officer’s fees | | | 2,371 | | | | 389 | | | | 1,013 | |
Other accrued expenses | | | — | | | | 10,458 | | | | — | |
Printing and postage fees | | | 9,477 | | | | 8,927 | | | | 10,105 | |
Professional fees | | | 27,380 | | | | 19,330 | | | | 24,672 | |
Registration fees | | | 333,689 | | | | 7,007 | | | | 186,068 | |
Variation margin on futures contracts | | | 96,024 | | | | 41,476 | | | | 139,668 | |
Variation margin on centrally cleared swaps | | | 37 | | | | — | | | | 1,193 | |
Swap premiums received | | | 614,323 | | | | — | | | | — | |
Unrealized depreciation on OTC swaps | | | 2,007,250 | | | | — | | | | — | |
| | | | | | | | | | | | |
| | | |
Total liabilities | | | 545,781,642 | | | | 127,023 | | | | 27,376,044 | |
| | | | | | | | | | | | |
| | | |
Commitments and contingent liabilities | | | | | | | | | | | | |
| | | |
NET ASSETS | | $ | 1,118,893,729 | | | $ | 17,551,092 | | | $ | 393,005,083 | |
| | | | | | | | | | | | |
| | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in capital | | $ | 1,362,768,222 | | | $ | 42,094,064 | | | $ | 429,434,166 | |
Accumulated loss | | | (243,874,493 | ) | | | (24,542,972 | ) | | | (36,429,083 | ) |
| | | | | | | | | | | | |
| | | |
NET ASSETS | | $ | 1,118,893,729 | | | $ | 17,551,092 | | | $ | 393,005,083 | |
| | | | | | | | | | | | |
| | |
| 96 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2023
| | | | | | | | | | | | |
| | | BATS: Series M Portfolio | | | BATS: Series P Portfolio | | | BATS: Series S Portfolio | |
| | | |
NET ASSET VALUE | | | | | | | | | | | | |
Shares outstanding | | | 141,233,099 | | | | 1,622,666 | | | | 43,977,635 | |
| | | | | | | | | | | | |
| | | |
Net asset value | | $ | 7.92 | | | $ | 10.82 | | | $ | 8.94 | |
| | | | | | | | | | | | |
| | | |
Shares authorized | | | Unlimited | | | | Unlimited | | | | Unlimited | |
| | | | | | | | | | | | |
| | | |
Par value | | $ | 0.001 | | | $ | 0.001 | | | $ | 0.001 | |
| | | | | | | | | | | | |
| | | |
(a) Investments, at cost — unaffiliated | | $ | 1,614,287,216 | | | $ | — | | | $ | 425,048,496 | |
(b) Investments, at cost — affiliated | | $ | — | | | $ | 5,360,240 | | | $ | — | |
(c) Foreign currency, at cost | | $ | — | | | $ | — | | | $ | 61,233 | |
(d) Proceeds from TBA sale commitments | | $ | 186,616,538 | | | $ | — | | | $ | 3,983,822 | |
See notes to financial statements.
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2023
| | | | |
| | | BATS: Series V Portfolio | |
| |
ASSETS | | | | |
Investments, at value — unaffiliated(a) | | $ | 78,883,647 | |
Cash | | | 27,428 | |
Receivables: | | | | |
Capital shares sold | | | 5,790,060 | |
Interest — unaffiliated | | | 377,511 | |
From the Manager | | | 15,790 | |
Prepaid expenses | | | 25,980 | |
| | | | |
| |
Total assets | | | 85,120,416 | |
| | | | |
| |
LIABILITIES | | | | |
Payables: | | | | |
Accounting services fees | | | 10,205 | |
Capital shares redeemed | | | 32,418 | |
Income dividend distributions | | | 249,186 | |
Printing and postage fees | | | 8,965 | |
Professional fees | | | 24,772 | |
| | | | |
| |
Total liabilities | | | 325,546 | |
| | | | |
| |
Commitments and contingent liabilities | | | | |
| |
NET ASSETS | | $ | 84,794,870 | |
| | | | |
| |
NET ASSETS CONSIST OF: | | | | |
Paid-in capital | | $ | 84,808,864 | |
Accumulated loss | | | (13,994 | ) |
| | | | |
| |
NET ASSETS | | $ | 84,794,870 | |
| | | | |
| |
NET ASSET VALUE | | | | |
| |
Shares outstanding | | $ | 8,488,408 | |
| | | | |
| |
Net asset value | | $ | 9.99 | |
| | | | |
| |
Shares authorized | | | Unlimited | |
| | | | |
| |
Par value | | $ | 0.001 | |
| | | | |
| |
(a) Investments, at cost — unaffiliated | | $ | 78,888,780 | |
See notes to financial statements.
| | |
| 98 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Operations (unaudited)
Six Months Ended September 30, 2023
| | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | | | BATS: Series E Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Dividends — unaffiliated | | $ | 5,541,233 | | | $ | 127,634 | | | $ | 810,328 | |
Interest — unaffiliated | | | 64,382,558 | | | | 8,276,049 | | | | 7,514,755 | |
Other income | | | — | | | | 17,494 | | | | 2,013 | |
| | | | | | | | | | | | |
| | | |
Total investment income | | | 69,923,791 | | | | 8,421,177 | | | | 8,327,096 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Accounting services | | | 76,930 | | | | 28,054 | | | | 27,061 | |
Professional | | | 44,177 | | | | 36,457 | | | | 65,325 | |
Pricing | | | 41,930 | | | | 36,192 | | | | 40,901 | |
Custodian | | | 20,674 | | | | 3,184 | | | | 2,824 | |
Trustees and Officer | | | 18,951 | | | | 3,038 | | | | 3,016 | |
Registration | | | 18,034 | | | | 50,341 | | | | 20,834 | |
Transfer agent | | | 7,987 | | | | 50,178 | | | | 9,393 | |
Printing and postage | | | 2,927 | | | | 4,143 | | | | 4,562 | |
Miscellaneous | | | 38,683 | | | | 12,062 | | | | 16,189 | |
| | | | | | | | | | | | |
| | | |
Total expenses excluding interest expense and interest expense | | | 270,293 | | | | 223,649 | | | | 190,105 | |
Interest expense | | | 8,572 | | | | — | | | | — | |
Interest expense and fees(a) | | | — | | | | — | | | | 180,683 | |
| | | | | | | | | | | | |
| | | |
Total expenses | | | 278,865 | | | | 223,649 | | | | 370,788 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (263,226 | ) | | | (217,252 | ) | | | (188,682 | ) |
| | | | | | | | | | | | |
| | | |
Total expenses after fees waived and/or reimbursed | | | 15,639 | | | | 6,397 | | | | 182,106 | |
| | | | | | | | | | | | |
| | | |
Net investment income | | | 69,908,152 | | | | 8,414,780 | | | | 8,144,990 | |
| | | | | | | | | | | | |
| | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | (18,107,272 | ) | | | (12,144,217 | ) | | | (1,606,933 | ) |
Futures contracts | | | — | | | | (332,179 | ) | | | (266,242 | ) |
Forward foreign currency exchange contracts | | | 465,715 | | | | — | | | | — | |
Foreign currency transactions | | | (14,780 | ) | | | (39 | ) | | | — | |
Swaps | | | 117,769 | | | | (90,319 | ) | | | — | |
| | | | | | | | | | | | |
| | | |
| | | (17,538,568 | ) | | | (12,566,754 | ) | | | (1,873,175 | ) |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | 20,356,608 | | | | (7,555,746 | ) | | | (25,826,995 | ) |
Futures contracts | | | — | | | | (808,949 | ) | | | 266,330 | |
Forward foreign currency exchange contracts | | | 145,637 | | | | — | | | | — | |
Foreign currency translations | | | (6 | ) | | | — | | | | — | |
Swaps | | | 25,552 | | | | (3,006 | ) | | | — | |
Unfunded floating rate loan interests | | | (17,129 | ) | | | — | | | | — | |
Unfunded commitments | | | — | | | | — | | | | 1,751,705 | |
| | | | | | | | | | | | |
| | | |
| | | 20,510,662 | | | | (8,367,701 | ) | | | (23,808,960 | ) |
| | | | | | | | | | | | |
| | | |
Net realized and unrealized gain (loss) | | | 2,972,094 | | | | (20,934,455 | ) | | | (25,682,135 | ) |
| | | | | | | | | | | | |
| | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 72,880,246 | | | $ | (12,519,675 | ) | | $ | (17,537,145 | ) |
| | | | | | | | | | | | |
| (a) | Related to TOB Trusts. |
See notes to financial statements.
Statements of Operations (unaudited) (continued)
Six Months Ended September 30, 2023
| | | | | | | | | | | | |
| | | BATS: Series M Portfolio | | | BATS: Series P Portfolio | | | BATS: Series S Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Dividends — unaffiliated | | $ | 185,775 | | | $ | 156,311 | | | $ | 82,903 | |
Dividends — affiliated | | | — | | | | 121,263 | | | | — | |
Interest — unaffiliated | | | 21,590,433 | | | | — | | | | 7,772,110 | |
Other income | | | 14,731 | | | | 14,854 | | | | 37,951 | |
| | | | | | | | | | | | |
| | | |
Total investment income | | | 21,790,939 | | | | 292,428 | | | | 7,892,964 | |
| | | | | | | | | | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Registration | | | 108,533 | | | | 14,520 | | | | 68,290 | |
Transfer agent | | | 53,805 | | | | 7,391 | | | | 60,926 | |
Accounting services | | | 46,843 | | | | 17,306 | | | | 28,340 | |
Professional | | | 33,877 | | | | 26,499 | | | | 33,936 | |
Pricing | | | 29,011 | | | | 13 | | | | 21,750 | |
Custodian | | | 28,958 | | | | 993 | | | | 11,581 | |
Trustees and Officer | | | 8,649 | | | | 890 | | | | 3,856 | |
Printing and postage | | | 3,807 | | | | 3,697 | | | | 3,341 | |
Miscellaneous | | | 20,871 | | | | 1,537 | | | | 9,957 | |
| | | | | | | | | | | | |
| | | |
Total expenses excluding interest expense | | | 334,354 | | | | 72,846 | | | | 241,977 | |
Interest expense | | | — | | | | — | | | | 4 | |
| | | | | | | | | | | | |
| | | |
Total expenses | | | 334,354 | | | | 72,846 | | | | 241,981 | |
Less: | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (326,917 | ) | | | (71,665 | ) | | | (235,221 | ) |
| | | | | | | | | | | | |
| | | |
Total expenses after fees waived and/or reimbursed | | | 7,437 | | | | 1,181 | | | | 6,760 | |
| | | | | | | | | | | | |
| | | |
Net investment income | | | 21,783,502 | | | | 291,247 | | | | 7,886,204 | |
| | | | | | | | | | | | |
| | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | | (10,834,300 | ) | | | — | | | | (3,122,738 | ) |
Investments — affiliated | | | — | | | | (160,545 | ) | | | — | |
Futures contracts | | | 372,002 | | | | 334,564 | | | | 639,966 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 49,396 | |
Foreign currency transactions | | | — | | | | — | | | | 69,107 | |
Swaps | | | 29,207 | | | | 239 | | | | (176,205 | ) |
| | | | | | | | | | | | |
| | | |
| | | (10,433,091 | ) | | | 174,258 | | | | (2,540,474 | ) |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | (61,871,993 | ) | | | — | | | | (2,056,198 | ) |
Investments — affiliated | | | — | | | | 102,916 | | | | — | |
Futures contracts | | | 1,645,196 | | | | 1,462,026 | | | | 151,966 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 170,876 | |
Foreign currency translations | | | — | | | | (24 | ) | | | (5,262 | ) |
Swaps | | | 49,626 | | | | 308 | | | | 86,122 | |
| | | | | | | | | | | | |
| | | |
| | | (60,177,171 | ) | | | 1,565,226 | | | | (1,652,496 | ) |
| | | | | | | | | | | | |
| | | |
Net realized and unrealized gain (loss) | | | (70,610,262 | ) | | | 1,739,484 | | | | (4,192,970 | ) |
| | | | | | | | | | | | |
| | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (48,826,760 | ) | | $ | 2,030,731 | | | $ | 3,693,234 | |
| | | | | | | | | | | | |
See notes to financial statements.
| | |
| 100 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Operations (unaudited) (continued)
Six Months Ended September 30, 2023
| | | | |
| | | BATS: Series V Portfolio | |
| |
INVESTMENT INCOME | | | | |
Interest — unaffiliated | | $ | 1,297,221 | |
| | | | |
| |
Total investment income | | | 1,297,221 | |
| | | | |
| |
EXPENSES | | | | |
Professional | | | 33,633 | |
Accounting services | | | 20,225 | |
Registration | | | 16,859 | |
Transfer agent | | | 6,756 | |
Printing and postage | | | 3,833 | |
Trustees and Officer | | | 1,205 | |
Custodian | | | 870 | |
Miscellaneous | | | 4,025 | |
| | | | |
| |
Total expenses | | | 87,406 | |
Less: | | | | |
Fees waived and/or reimbursed by the Manager | | | (86,464 | ) |
| | | | |
| |
Total expenses after fees waived and/or reimbursed | | | 942 | |
| | | | |
| |
Net investment income | | | 1,296,279 | |
| | | | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
Net realized gain (loss) from investments | | | — | |
Net change in unrealized appreciation (depreciation) on investments | | | (1,810 | ) |
| | | | |
| |
Net realized and unrealized loss | | | (1,810 | ) |
| | | | |
| |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 1,294,469 | |
| | | | |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | BATS: Series A Portfolio | | | BATS: Series C Portfolio | |
| | | | | | | | |
| | | | |
| | | Six Months Ended
09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 69,908,152 | | | $ | 116,315,564 | | | $ | 8,414,780 | | | $ | 13,898,073 | |
Net realized loss | | | (17,538,568 | ) | | | (36,526,036 | ) | | | (12,566,754 | ) | | | (30,835,501 | ) |
Net change in unrealized appreciation (depreciation) | | | 20,510,662 | | | | (93,175,475 | ) | | | (8,367,701 | ) | | | (9,785,502 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | 72,880,246 | | | | (13,385,947 | ) | | | (12,519,675 | ) | | | (26,722,930 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (70,352,875 | ) | | | (116,299,178 | ) | | | (8,473,563 | ) | | | (13,928,770 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (269,545,842 | ) | | | (81,749,602 | ) | | | 28,576,084 | | | | (56,907,191 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (267,018,471 | ) | | | (211,434,727 | ) | | | 7,582,846 | | | | (97,558,891 | ) |
| | | | |
Beginning of period | | | 2,423,574,341 | | | | 2,635,009,068 | | | | 378,919,353 | | | | 476,478,244 | |
| | | | | | | | | | | | | | | | |
| | | | |
End of period | | $ | 2,156,555,870 | | | $ | 2,423,574,341 | | | $ | 386,502,199 | | | $ | 378,919,353 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 102 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | BATS: Series E Portfolio | | | BATS: Series M Portfolio | |
| | | | | | | | |
| | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 8,144,990 | | | $ | 13,768,461 | | | $ | 21,783,502 | | | $ | 31,605,143 | |
Net realized loss | | | (1,873,175 | ) | | | (8,168,616 | ) | | | (10,433,091 | ) | | | (56,374,807 | ) |
Net change in unrealized appreciation (depreciation) | | | (23,808,960 | ) | | | (24,924,479 | ) | | | (60,177,171 | ) | | | (27,770,327 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net decrease in net assets resulting from operations | | | (17,537,145 | ) | | | (19,324,634 | ) | | | (48,826,760 | ) | | | (52,539,991 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (7,942,678 | ) | | | (20,539,863 | ) | | | (20,824,554 | ) | | | (31,852,649 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | 12,202,885 | | | | (282,588 | ) | | | 82,647,159 | | | | 64,095,151 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (13,276,938 | ) | | | (40,147,085 | ) | | | 12,995,845 | | | | (20,297,489 | ) |
| | | | |
Beginning of period | | | 342,371,583 | | | | 382,518,668 | | | | 1,105,897,884 | | | | 1,126,195,373 | |
| | | | | | | | | | | | | | | | |
| | | | |
End of period | | $ | 329,094,645 | | | $ | 342,371,583 | | | $ | 1,118,893,729 | | | $ | 1,105,897,884 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | BATS: Series P Portfolio | | | BATS: Series S Portfolio | |
| | | | | | | | |
| | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 291,247 | | | $ | 729,736 | | | $ | 7,886,204 | | | $ | 12,462,833 | |
Net realized gain (loss) | | | 174,258 | | | | 7,184,652 | | | | (2,540,474 | ) | | | (11,552,187 | ) |
Net change in unrealized appreciation (depreciation) | | | 1,565,226 | | | | (2,813,282 | ) | | | (1,652,496 | ) | | | 1,523,646 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase in net assets resulting from operations | | | 2,030,731 | | | | 5,101,106 | | | | 3,693,234 | | | | 2,434,292 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (485,022 | ) | | | (8,252,609 | ) | | | (13,672,605 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (11,065,326 | ) | | | (32,601,874 | ) | | | (3,306,599 | ) | | | 3,836,805 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total decrease in net assets | | | (9,034,595 | ) | | | (27,985,790 | ) | | | (7,865,974 | ) | | | (7,401,508 | ) |
| | | | |
Beginning of period | | | 26,585,687 | | | | 54,571,477 | | | | 400,871,057 | | | | 408,272,565 | |
| | | | | | | | | | | | | | | | |
| | | | |
End of period | | $ | 17,551,092 | | | $ | 26,585,687 | | | $ | 393,005,083 | | | $ | 400,871,057 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 104 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | | BATS: Series V Portfolio | |
| | | | |
| | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 1,296,279 | | | $ | 824,129 | |
Net change in unrealized appreciation (depreciation) | | | (1,810 | ) | | | 3,089 | |
| | | | | | | | |
| | |
Net increase in net assets resulting from operations | | | 1,294,469 | | | | 827,218 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (1,307,284 | ) | | | (821,985 | ) |
| | | | | | | | |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (631,263 | ) | | | 75,232,554 | |
| | | | | | | | |
| | |
NET ASSETS | | | | | | | | |
Total increase (decrease) in net assets | | | (644,078 | ) | | | 75,237,787 | |
| | |
Beginning of period | | | 85,438,948 | | | | 10,201,161 | |
| | | | | | | | |
| | |
End of period | | $ | 84,794,870 | | | $ | 85,438,948 | |
| | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series A Portfolio | |
| | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | |
| | | | | | |
Net asset value, beginning of period | | $ | 9.19 | | | $ | 9.67 | | | $ | 9.99 | | | $ | 9.05 | | | $ | 9.99 | | | $ | 10.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.27 | | | | 0.43 | | | | 0.26 | | | | 0.31 | | | | 0.45 | | | | 0.53 | |
Net realized and unrealized gain (loss) | | | 0.02 | | | | (0.48 | ) | | | (0.31 | ) | | | 0.94 | | | | (0.94 | ) | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net increase (decrease) from investment operations | | | 0.29 | | | | (0.05 | ) | | | (0.05 | ) | | | 1.25 | | | | (0.49 | ) | | | 0.42 | |
| | | | | | | | | | | | �� | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.28 | ) | | | (0.42 | ) | | | (0.27 | ) | | | (0.31 | ) | | | (0.45 | ) | | | (0.52 | ) |
From net realized gain | | | — | | | | (0.01 | ) | | | — | | | | — | | | | — | | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total distributions | | | (0.28 | ) | | | (0.43 | ) | | | (0.27 | ) | | | (0.31 | ) | | | (0.45 | ) | | | (0.57 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 9.20 | | | $ | 9.19 | | | $ | 9.67 | | | $ | 9.99 | | | $ | 9.05 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 3.14 | %(d) | | | (0.42 | )% | | | (0.59 | )% | | | 13.95 | % | | | (5.22 | )% | | | 4.31 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.02 | %(f) | | | 0.02 | % | | | 0.02 | % | | | 0.04 | % | | | 0.05 | % | | | 0.04 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
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 | %(g) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net investment income | | | 5.96 | %(f) | | | 4.65 | % | | | 2.64 | % | | | 3.20 | % | | | 4.45 | % | | | 5.26 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 2,156,556 | | | $ | 2,423,574 | | | $ | 2,635,009 | | | $ | 1,541,153 | | | $ | 1,035,675 | | | $ | 977,286 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Portfolio turnover rate(h) | | | 18 | % | | | 43 | % | | | 45 | % | | | 26 | % | | | 48 | % | | | 43 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
(a) Based on average shares outstanding. (b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. (c) Where applicable, assumes the reinvestment of distributions. (d) Not annualized. (e) Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. (f) Annualized. (g) Amount is less than 0.005%. (h) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | |
| | | | | | |
Portfolio turnover rate (excluding MDRs) | | | 13 | % | | | 30 | % | | | 34 | % | | | 26 | % | | | 48 | % | | | 43 | % |
See notes to financial statements.
| | |
| 106 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series C Portfolio | |
| | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | |
| | | | | | |
Net asset value, beginning of period | | $ | 9.03 | | | $ | 9.84 | | | $ | 10.69 | | | $ | 10.49 | | | $ | 10.28 | | | $ | 10.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.19 | | | | 0.32 | | | | 0.28 | | | | 0.33 | | | | 0.38 | | | | 0.39 | |
Net realized and unrealized gain (loss) | | | (0.47 | ) | | | (0.81 | ) | | | (0.66 | ) | | | 0.60 | | | | 0.27 | | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net increase (decrease) from investment operations | | | (0.28 | ) | | | (0.49 | ) | | | (0.38 | ) | | | 0.93 | | | | 0.65 | | | | 0.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.19 | ) | | | (0.32 | ) | | | (0.29 | ) | | | (0.33 | ) | | | (0.38 | ) | | | (0.39 | ) |
From net realized gain | | | — | | | | — | | | | (0.18 | ) | | | (0.40 | ) | | | (0.06 | ) | | | (0.00 | )(c) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total distributions | | | (0.19 | ) | | | (0.32 | ) | | | (0.47 | ) | | | (0.73 | ) | | | (0.44 | ) | | | (0.39 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 8.56 | | | $ | 9.03 | | | $ | 9.84 | | | $ | 10.69 | | | $ | 10.49 | | | $ | 10.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (3.14 | )%(e) | | | (4.92 | )% | | | (3.88 | )% | | | 8.70 | % | | | 6.31 | % | | | 5.05 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.11 | %(g) | | | 0.12 | % | | | 0.10 | % | | | 0.09 | % | | | 0.09 | % | | | 0.09 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g)(h) | | | 0.00 | %(h) | | | 0.01 | % | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net investment income | | | 4.31 | %(g) | | | 3.50 | % | | | 2.59 | % | | | 2.96 | % | | | 3.55 | % | | | 3.91 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 386,502 | | | $ | 378,919 | | | $ | 476,478 | | | $ | 534,926 | | | $ | 464,267 | | | $ | 372,928 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Portfolio turnover rate | | | 45 | % | | | 47 | % | | | 42 | % | | | 85 | % | | | 83 | % | | | 55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series E Portfolio | |
| | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended
03/31/19 | |
| | | | | | |
Net asset value, beginning of period | | $ | 10.01 | | | $ | 11.14 | | | $ | 11.75 | | | $ | 10.53 | | | $ | 10.91 | | | $ | 10.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.23 | | | | 0.43 | | | | 0.46 | | | | 0.45 | | | | 0.43 | | | | 0.47 | |
Net realized and unrealized gain (loss) | | | (0.71 | ) | | | (0.92 | ) | | | (0.56 | ) | | | 1.22 | | | | (0.37 | ) | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.48 | ) | | | (0.49 | ) | | | (0.10 | ) | | | 1.67 | | | | 0.06 | | | | 0.68 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.46 | ) | | | (0.45 | ) | | | (0.45 | ) | | | (0.44 | ) | | | (0.47 | ) |
From net realized gain | | | — | | | | (0.18 | ) | | | (0.06 | ) | | | — | | | | — | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total distributions | | | (0.22 | ) | | | (0.64 | ) | | | (0.51 | ) | | | (0.45 | ) | | | (0.44 | ) | | | (0.55 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 9.31 | | | $ | 10.01 | | | $ | 11.14 | | | $ | 11.75 | | | $ | 10.53 | | | $ | 10.91 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (4.86 | )%(d) | | | (4.21 | )% | | | (1.07 | )% | | | 16.16 | % | | | 0.33 | % | | | 6.44 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.21 | %(f) | | | 0.26 | % | | | 0.11 | % | | | 0.15 | % | | | 0.18 | % | | | 0.21 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.10 | %(f) | | | 0.11 | % | | | 0.03 | % | | | 0.04 | % | | | 0.06 | % | | | 0.08 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | %(g) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.65 | %(f) | | | 4.16 | % | | | 3.80 | % | | | 4.06 | % | | | 3.78 | % | | | 4.35 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 329,095 | | | $ | 342,372 | | | $ | 382,519 | | | $ | 400,615 | | | $ | 313,282 | | | $ | 234,886 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 8,837 | | | $ | 8,889 | | | $ | 22,111 | | | $ | 18,987 | | | $ | 10,713 | | | $ | 8,085 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 10 | % | | | 37 | % | | | 26 | % | | | 31 | % | | | 54 | % | | | 53 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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.
| | |
| 108 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series M Portfolio | |
| | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended
03/31/19 | |
| | | | | | |
Net asset value, beginning of period | | $ | 8.42 | | | $ | 9.11 | | | $ | 9.77 | | | $ | 9.81 | | | $ | 9.59 | | | $ | 9.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.16 | | | | 0.25 | | | | 0.11 | | | | 0.21 | | | | 0.30 | | | | 0.31 | |
Net realized and unrealized gain (loss) | | | (0.51 | ) | | | (0.68 | ) | | | (0.59 | ) | | | 0.05 | | | | 0.25 | | | | 0.15 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.35 | ) | | | (0.43 | ) | | | (0.48 | ) | | | 0.26 | | | | 0.55 | | | | 0.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income(b) | | | (0.15 | ) | | | (0.26 | ) | | | (0.18 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 7.92 | | | $ | 8.42 | | | $ | 9.11 | | | $ | 9.77 | | | $ | 9.81 | | | $ | 9.59 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (4.21 | )%(d) | | | (4.76 | )% | | | (4.98 | )% | | | 2.68 | % | | | 5.86 | % | | | 4.94 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.06 | %(f) | | | 0.06 | % | | | 0.06 | % | | | 0.05 | % | | | 0.06 | % | | | 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 | %(g) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net investment income | | | 3.82 | %(f) | | | 2.97 | % | | | 1.11 | % | | | 2.12 | % | | | 3.03 | % | | | 3.30 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,118,894 | | | $ | 1,105,898 | | | $ | 1,126,195 | | | $ | 1,197,167 | | | $ | 1,006,778 | | | $ | 799,774 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Portfolio turnover rate(h) | | | 375 | % | | | 873 | % | | | 1,473 | % | | | 1,500 | % | | | 1,316 | % | | | 1,209 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
(a) Based on average shares outstanding. (b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. (c) Where applicable, assumes the reinvestment of distributions. (d) Not annualized. (e) Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. (f) Annualized. (g) Amount is less than 0.005%. (h) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | |
| | | | | | |
Portfolio turnover rate (excluding MDRs) | | | 222 | % | | | 521 | % | | | 665 | % | | | 896 | % | | | 813 | % | | | 683 | % |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series P Portfolio | |
| | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | |
| | | | | | |
Net asset value, beginning of period | | $ | 9.75 | | | $ | 8.95 | | | $ | 8.69 | | | $ | 7.92 | | | $ | 9.25 | | | $ | 9.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.14 | | | | 0.15 | | | | 0.04 | | | | 0.06 | | | | 0.12 | | | | 0.12 | |
Net realized and unrealized gain (loss) | | | 0.93 | | | | 0.76 | | | | 0.22 | | | | 0.71 | | | | (1.33 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net increase (decrease) from investment operations | | | 1.07 | | | | 0.91 | | | | 0.26 | | | | 0.77 | | | | (1.21 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.11 | ) | | | — | | | | — | | | | (0.12 | ) | | | (0.09 | ) |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )(c) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total distributions | | | — | | | | (0.11 | ) | | | — | | | | — | | | | (0.12 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 10.82 | | | $ | 9.75 | | | $ | 8.95 | | | $ | 8.69 | | | $ | 7.92 | | | $ | 9.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 10.97 | %(e) | | | 10.14 | % | | | 2.99 | % | | | 9.72 | % | | | (13.25 | )% | | | (2.32 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.71 | %(g) | | | 0.33 | % | | | 0.28 | % | | | 0.46 | % | | | 0.31 | % | | | 0.20 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.01 | %(g)(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net investment income | | | 2.86 | %(g) | | | 1.55 | % | | | 0.45 | % | | | 0.71 | % | | | 1.33 | % | | | 1.24 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 17,551 | | | $ | 26,586 | | | $ | 54,571 | | | $ | 53,175 | | | $ | 41,305 | | | $ | 51,654 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Portfolio turnover rate | | | 0 | % | | | 9 | % | | | 0 | % | | | 36 | % | | | 15 | % | | | 0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Amount is greater than $(0.005) per share. |
| (d) | Where applicable, assumes the reinvestment of distributions. |
| (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.
| | |
| 110 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BATS: Series S Portfolio | |
| | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | |
| | | | | | |
Net asset value, beginning of period | | $ | 9.04 | | | $ | 9.28 | | | $ | 9.73 | | | $ | 9.23 | | | $ | 9.50 | | | $ | 9.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.18 | | | | 0.27 | | | | 0.14 | | | | 0.18 | | | | 0.27 | | | | 0.25 | |
Net realized and unrealized gain (loss) | | | (0.10 | ) | | | (0.21 | ) | | | (0.43 | ) | | | 0.54 | | | | (0.23 | ) | | | 0.13 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 0.08 | | | | 0.06 | | | | (0.29 | ) | | | 0.72 | | | | 0.04 | | | | 0.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.18 | ) | | | (0.28 | ) | | | (0.16 | ) | | | (0.22 | ) | | | (0.31 | ) | | | (0.26 | ) |
From net realized gain | | | — | | | | (0.02 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total distributions | | | (0.18 | ) | | | (0.30 | ) | | | (0.16 | ) | | | (0.22 | ) | | | (0.31 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 8.94 | | | $ | 9.04 | | | $ | 9.28 | | | $ | 9.73 | | | $ | 9.23 | | | $ | 9.50 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.93 | %(d) | | | 0.62 | % | | | (3.02 | )% | | | 7.80 | %(e) | | | 0.34 | % | | | 4.11 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.12 | %(g) | | | 0.10 | % | | | 0.12 | % | | | 0.13 | % | | | 1.14 | % | | | 0.69 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g)(h) | | | 0.00 | %(h) | | | 0.01 | % | | | 0.02 | % | | | 0.99 | % | | | 0.56 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.00 | %(g)(h) | | | 0.00 | %(h) | | | 0.01 | % | | | 0.00 | %(h) | | | 0.00 | %(h) | | | 0.00 | %(h) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net investment income | | | 3.93 | %(g) | | | 2.96 | % | | | 1.42 | % | | | 1.89 | % | | | 2.84 | % | | | 2.62 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | �� | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 393,005 | | | $ | 400,871 | | | $ | 408,273 | | | $ | 398,906 | | | $ | 146,302 | | | $ | 163,176 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Portfolio turnover rate(i) | | | 93 | % | | | 127 | % | | | 68 | % | | | 124 | % | | | 144 | % | | | 184 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
(a) Based on average shares outstanding. (b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. (c) Where applicable, assumes the reinvestment of distributions. (d) Not annualized. (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. (g) Annualized. (h) Amount is less than 0.005%. (i) Includes MDRs. Additional information regarding portfolio turnover rate is as follows: | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Six Months Ended 09/30/23 (unaudited) | | | Year Ended 03/31/23 | | | Year Ended 03/31/22 | | | Year Ended 03/31/21 | | | Year Ended 03/31/20 | | | Year Ended 03/31/19 | |
| | | | | | |
Portfolio turnover rate (excluding MDRs) | | | 77 | % | | | 106 | % | | | 67 | % | | | 122 | % | | | 101 | % | | | 112 | % |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | |
| | | BATS: Series V Portfolio | |
| | | |
| | |
| Six Months Ended
09/30/23 (unaudited |
) | |
| Year Ended
03/31/23 |
| |
| Period From
05/05/21 to 03/31/22 |
(a) |
| | | |
Net asset value, beginning of period | | $ | 9.99 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | | | | | | | |
Net investment income(b) | | | 0.17 | | | | 0.22 | | | | 0.01 | |
Net realized and unrealized loss | | | — | | | | (0.04 | ) | | | (0.01 | ) |
| | | | | | | | | | | | |
| | | |
Net increase from investment operations | | | 0.17 | | | | 0.18 | | | | 0.00 | |
| | | | | | | | | | | | |
| | | |
Distributions from net investment income(c) | | | (0.17 | ) | | | (0.18 | ) | | | (0.01 | ) |
| | | | | | | | | | | | |
| | | |
Net asset value, end of period | | $ | 9.99 | | | $ | 9.99 | | | $ | 9.99 | |
| | | | | | | | | | | | |
| | | |
Total Return(d) | | | | | | | | | | | | |
Based on net asset value | | | 1.69 | %(e) | | | 1.83 | % | | | 0.01 | %(e) |
| | | | | | | | | | | | |
| | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | |
Total expenses | | | 0.23 | %(g) | | | 0.52 | % | | | 4.06 | %(g)(h) |
| | | | | | | | | | | | |
| | | |
Total expenses after fees waived and/or reimbursed | | | 0.00 | %(g)(i) | | | 0.00 | %(i) | | | 0.00 | %(g)(i) |
| | | | | | | | | | | | |
| | | |
Net investment income | | | 3.37 | %(g) | | | 2.21 | % | | | 0.13 | %(g) |
| | | | | | | | | | | | |
| | | |
Supplemental Data | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 84,795 | | | $ | 85,439 | | | $ | 10,201 | |
| | | | | | | | | | | | |
| | | |
Portfolio turnover rate | | | 117 | % | | | 189 | % | | | 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, 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%. |
| (i) | Amount is less than 0.005%. |
See notes to financial statements.
| | |
| 112 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
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 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
| | |
NOTES TO FINANCIAL STATEMENTS | | 113 |
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. |
| | • | | 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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| 114 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
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
| | |
NOTES TO FINANCIAL STATEMENTS | | 115 |
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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| 116 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
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 Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
Forward Commitments, When-Issued and Delayed Delivery Securities: 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. These types of securities may be considered unfunded and may obligate the Funds to make future cash payments. An unfunded commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded commitments:
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| |
| | | | |
| Fund Name | | Investment Name | | Commitment Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | |
Series E | | Puerto Rico Electric Power Authority, Series B-1 | | $ | 2,020,642 | | | $ | 2,192,397 | | | $ | 171,755 | |
Series E | | Puerto Rico Electric Power Authority, Series B-2 | | | 9,813,357 | | | | 11,393,307 | | | | 1,579,950 | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | $1,751,705 | |
| | | | | | | | | | | | | | |
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.
| | |
NOTES TO FINANCIAL STATEMENTS | | 117 |
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:
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| |
| | | | |
| Fund Name | | Interest Expense | | | Liquidity Fees | | | Other Expenses | | | Total | |
| |
| | | | |
Series E | | $ | 161,245 | | | $ | 14,566 | | | $ | 4,872 | | | $ | 180,683 | |
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For the six months ended September 30, 2023, the following table is a summary of each Fund’s TOB Trusts:
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| | | | | |
| 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 | |
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| | | | | |
Series E | | $ | 14,797,168 | | | $ | 8,837,000 | | | | 4.01% - 4.28% | | | $ | 8,856,217 | | | | 3.99 | % |
| |
| | (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, 2023, 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, 2023. | |
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| 118 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
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.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the 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
| | |
NOTES TO FINANCIAL STATEMENTS | | 119 |
Notes to Financial Statements (unaudited) (continued)
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 it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract 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 Funds 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.
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.
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| 120 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Although the Funds do not compensate the Manager directly for its services under the Investment Advisory Agreement, because each Fund is an investment option for 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 | | $ | 263,226 | |
Series C | | | 217,252 | |
Series E | | | 188,682 | |
Series M | | | 326,917 | |
Series P | | | 71,665 | |
Series S | | | 235,221 | |
Series V | | | 86,464 | |
| |
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, 2023, 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, 2023, 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 | | $ | 400,457 | | | $ | 12,908,545 | | | $ | — | |
For the six months ended September 30, 2023, 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 | | $ | 392,658,930 | | | $ | 600,003,036 | |
Series C | | | | | | | | |
Non-U.S. Government Securities | | | 165,974,221 | | | | 154,528,581 | |
U.S. Government Securities | | | 35,412,090 | | | | 16,618,194 | |
Series E | | | | | | | | |
Non-U.S. Government Securities | | | 47,906,666 | | | | 29,236,507 | |
Series M | | | | | | | | |
Non-U.S. Government Securities | | | 4,779,673,979 | | | | 4,630,611,616 | |
Series P | | | | | | | | |
Non-U.S. Government Securities | | | — | | | | 2,771,500 | |
Series S | | | | | | | | |
Non-U.S. Government Securities | | | 355,407,910 | | | | 323,797,031 | |
U.S. Government Securities | | | 24,391,084 | | | | 21,271,731 | |
Series V | | | | | | | | |
Non-U.S. Government Securities | | | 83,339,950 | | | | 86,195,000 | |
| |
| | |
NOTES TO FINANCIAL STATEMENTS | | 121 |
Notes to Financial Statements (unaudited) (continued)
For the six months ended September 30, 2023, purchases and sales related to mortgage dollar rolls were as follows:
| | | | | | | | |
| |
| | |
| Fund Name | | Purchases | | | Sales | |
| |
| | |
Series A | | $ | 111,538,307 | | | $ | 111,697,875 | |
Series M | | | 1,886,285,722 | | | | 1,885,732,938 | |
Series S | | | 59,747,177 | | | | 59,706,357 | |
| |
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, 2023, 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, 2023, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| | | | |
| |
| |
| Fund Name | | Non-Expiring Capital Loss Carryforwards | |
| |
| |
Series A | | $ | 41,565,654 | |
Series C | | | 32,387,307 | |
Series E | | | 10,755,672 | |
Series M | | | 93,472,851 | |
Series P | | | 26,355,320 | |
Series S | | | 18,827,955 | |
| |
As of September 30, 2023, 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:
| | | | | | | | | | | | | | | | |
| |
| | | | |
| Fund Name | | Tax Cost | | | Gross Unrealized
Appreciation | | | Gross Unrealized Depreciation | | | Net Unrealized Appreciation (Depreciation) | |
| |
| | | | |
Series A | | $ | 2,340,370,900 | | | $ | 6,921,486 | | | $ | (179,802,283 | ) | | $ | (172,880,797 | ) |
Series C | | | 427,118,431 | | | | 846,626 | | | | (43,500,650 | ) | | | (42,654,024 | ) |
Series E | | | 386,017,221 | | | | 2,673,755 | | | | (48,360,620 | ) | | | (45,686,865 | ) |
Series M | | | 1,614,309,037 | | | | 6,853,742 | | | | (149,433,614 | ) | | | (142,579,872 | ) |
Series P | | | 5,437,130 | | | | 876,273 | | | | (739,507 | ) | | | 136,766 | |
Series S | | | 425,139,114 | | | | 1,318,390 | | | | (14,997,827 | ) | | | (13,679,437 | ) |
Series V | | | 78,888,780 | | | | — | | | | (5,133 | ) | | | (5,133 | ) |
| |
The Trust, on behalf of each Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is 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 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 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 2024 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, 2023, 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.
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| 122 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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.
Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.
Valuation Risk: The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
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.
With 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.
Geographic/Asset Class 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.
| | |
NOTES TO FINANCIAL STATEMENTS | | 123 |
Notes to Financial Statements (unaudited) (continued)
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 period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising 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.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.
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 Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate ("LIBOR") to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. The SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. 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 09/30/23 | | | Year Ended 03/31/23 | |
| | | | | | | | |
| | | | |
| Fund Name | | Shares | | | Amount | | | Shares | | | Amount | |
| | | | |
Series A | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 914,461 | | | $ | 8,427,769 | | | | 7,065,891 | | | $ | 65,608,620 | |
Shares redeemed | | | (30,166,241 | ) | | | (277,973,611 | ) | | | (15,979,376 | ) | | | (147,358,222 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (29,251,780 | ) | | $ | (269,545,842 | ) | | | (8,913,485 | ) | | $ | (81,749,602 | ) |
| | | | | | | | | | | | | | | | |
Series C | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 7,731,648 | | | $ | 68,686,045 | | | | 12,713,591 | | | $ | 114,532,902 | |
Shares redeemed | | | (4,526,670 | ) | | | (40,109,961 | ) | | | (19,183,173 | ) | | | (171,440,093 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 3,204,978 | | | $ | 28,576,084 | | | | (6,469,582 | ) | | $ | (56,907,191 | ) |
| | | | | | | | | | | | | | | | |
Series E | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 9,029,369 | | | $ | 89,135,834 | | | | 19,966,034 | | | $ | 204,068,120 | |
Shares redeemed | | | (7,870,443 | ) | | | (76,932,949 | ) | | | (20,111,185 | ) | | | (204,350,708 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 1,158,926 | | | $ | 12,202,885 | | | | (145,151 | ) | | $ | (282,588 | ) |
| | | | | | | | | | | | | | | | |
| | |
| 124 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| | | | | | | | | | | | | | | | |
| | | |
| | | Six Months Ended 09/30/23 | | | Year Ended 03/31/23 | |
| | | | | | | | |
| | | | |
| Fund Name | | Shares | | | Amount | | | Shares | | | Amount | |
| | | | |
Series M | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 24,685,093 | | | $ | 204,856,446 | | | | 39,412,723 | | | $ | 334,004,244 | |
Shares redeemed | | | (14,750,769 | ) | | | (122,209,287 | ) | | | (31,700,940 | ) | | | (269,909,093 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 9,934,324 | | | $ | 82,647,159 | | | | 7,711,783 | | | $ | 64,095,151 | |
| | | | | | | | | | | | | | | | |
Series P | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 186,130 | | | $ | 1,877,055 | | | | 2,007,424 | | | $ | 19,091,730 | |
Shares redeemed | | | (1,290,622 | ) | | | (12,942,381 | ) | | | (5,378,955 | ) | | | (51,693,604 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (1,104,492 | ) | | $ | (11,065,326 | ) | | | (3,371,531 | ) | | $ | (32,601,874 | ) |
| | | | | | | | | | | | | | | | |
Series S | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 6,039,828 | | | $ | 54,327,449 | | | | 20,222,887 | | | $ | 183,515,986 | |
Shares redeemed | | | (6,412,966 | ) | | | (57,634,048 | ) | | | (19,873,154 | ) | | | (179,679,181 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (373,138 | ) | | $ | (3,306,599 | ) | | | 349,733 | | | $ | 3,836,805 | |
| | | | | | | | | | | | | | | | |
Series V | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 6,818,118 | | | $ | 68,113,004 | | | | 12,533,297 | | | $ | 125,207,867 | |
Shares redeemed | | | (6,881,308 | ) | | | (68,744,267 | ) | | | (5,002,457 | ) | | | (49,975,313 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (63,190 | ) | | $ | (631,263 | ) | | | 7,530,840 | | | $ | 75,232,554 | |
| | | | | | | | | | | | | | | | |
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.
| | |
NOTES TO FINANCIAL STATEMENTS | | 125 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements
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 May 4, 2023 (the “May Meeting”) and June 1-2, 2023 (the “June 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 of which extended over a two-day period, 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 regarding the renewal of the Agreements. In considering the renewal of the Agreements, 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 May Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members are 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 May 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 May 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 June Meeting.
At the June 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 them 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.
| | |
| 126 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
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 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.
The Board noted that the engagement of 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 facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio and their shareholders.
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 May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2022, 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. 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 each of the Funds is an investment that is 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 each Fund.
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, 2022 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
| | |
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB - ADVISORY AGREEMENTS | | 127 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
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.
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 and resources, 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 each Fund 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. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. 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 June Meeting, in a continuation of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Trust, on behalf of each Fund, for a one-year term ending June 30, 2024, and the Sub-Advisory Agreements between the Manager and the Sub-Advisors, with respect to BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio, for a one-year term ending June 30, 2024. 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 advised by independent legal counsel throughout the deliberative process.
| | |
| 128 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Additional Information
Tailored Shareholder Reports for Open-End Mutual Funds and ETFs
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
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.
| | |
ADDITIONAL INFORMATION | | 129 |
Additional Information (continued)
Fund and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor(a)
BlackRock International Limited
Edinburgh EH3 8BL, United Kingdom
Accounting Agent, Administrator and Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
The Bank of New York Mellon
New York, NY 10286
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Distributor
BlackRock Investments, LLC
New York, NY 10001
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 |
| | |
| 130 | | 2 0 2 3 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Currency Abbreviation |
| |
| CAD | | Canadian Dollar |
| |
| EUR | | Euro |
| |
| USD | | United States Dollar |
|
| Portfolio Abbreviation |
| |
| ABS | | Asset-Backed Security |
| |
| AGM | | Assured Guaranty Municipal Corp. |
| |
| AMT | | Alternative Minimum Tax |
| |
| BAN | | Bond Anticipation Notes |
| |
| CLO | | Collateralized Loan Obligation |
| |
| COL | | Collateralized |
| |
| DAC | | Designated Activity Co. |
| |
| EDA | | Economic Development Authority |
| |
| EDC | | Economic Development Corp. |
| |
| EURIBOR | | Euro Interbank Offered Rate |
| |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| |
| FNMA | | Federal National Mortgage Association |
| |
| GNMA | | Government National Mortgage Association |
| |
| GO | | General Obligation Bonds |
| |
| GTD | | Guaranteed |
| |
| HDA | | Housing Development Authority |
| |
| HFA | | Housing Finance Agency |
| |
| IDA | | Industrial Development Authority |
| |
| IDB | | Industrial Development Board |
| |
| IDC | | Industrial Development Corp. |
| |
| IO | | Interest Only |
| |
| ISD | | Independent School District |
| |
| LIBOR | | London Interbank Offered Rate |
| |
| LIQ | | Liquidity Agreement |
| |
| LOC | | Letter of Credit |
| |
| LP | | Limited Partnership |
| |
| OTC | | Over-the-Counter |
| |
| RB | | Revenue Bonds |
| |
| REMIC | | Real Estate Mortgage Investment Conduit |
| |
| S&P | | Standard & Poor’s |
| |
| SBPA | | Stand-By Bond Purchase Agreements |
| |
| SOFR | | Secured Overnight Financing Rate |
| |
| TA | | Tax Allocation |
| |
| TBA | | To-be-Announced |
| |
| TECP | | Tax-Exempt Commercial Paper |
| |
| VRDN | | Variable Rate Demand Note |
| | |
GLOSSARY OF TERMS USED IN THIS REPORT | | 131 |
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-09/23-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 20, 2023
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 20, 2023
| | | | |
| | By: | | /s/ Trent Walker |
| | | | Trent Walker |
| | | | Chief Financial Officer (principal financial officer) of |
| | | | BlackRock Allocation Target Shares |
Date: November 20, 2023
