Blackrock Allocation Target Shares NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:

811-21457

Name of Fund:

BlackRock Allocation Target Shares

BATS: Series A Portfolio

BATS: Series C Portfolio

BATS: Series E Portfolio

BATS: Series M Portfolio

BATS: Series P Portfolio

BATS: Series S Portfolio

BATS: Series V Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Allocation Target Shares, 50 Hudson Yards, New York, NY 10001

Registrant's telephone number, including area code:

(800) 441-7762

Date of fiscal year end:

03/31/2025

Date of reporting period:

09/30/2024

Item 1 — Reports to Stockholders

(a) The Reports to Shareholders are attached herewith

BATS: Series A Portfolio

BATAX

Semi-Annual Shareholder Report — September 30, 2024

This semi-annual shareholder report contains important information about BATS: Series A Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
BATS: Series A Portfolio	$0(a)	0.01%(b)

^(a)	Rounds to less than $1.
^(b)	Annualized.

Fund performance

Average annual total returns

	6-Month Total Returns		1 Year		5 Years		Since Fund Inception
BATS: Series A Portfolio	5.03	%	10.65	%	3.30	%	4.63	%
Bloomberg U.S. Universal Index	5.40		12.08		0.70		2.15
Reference Benchmark	4.91		10.89		1.80		2.44

Key Fund statistics

Net Assets	$2,919,758,150
Number of Portfolio Holdings	1,641
Portfolio Turnover Rate	26%

The Fund commenced operations on September 21, 2015.

Reference Benchmark is 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%).

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. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.

What did the Fund invest in?

(as of September 30, 2024)

Portfolio composition

Investment Type	Percent of Total Investments^(a)
Asset-Backed Securities	52.8	%
Non-Agency Mortgage-Backed Securities	46.4	%
Floating Rate Loan Interests	0.4	%
U.S. Government Sponsored Agency Securities	0.4	%
Corporate Bonds	—	% ^(b)

Credit quality allocation

Credit Rating^(c)	Percent of Total Investments^(a)
AAA/Aaa^(d)	38.4	%
AA/Aa	6.9	%
A	3.1	%
BBB/Baa	3.7	%
BB/Ba	3.6	%
B	1.0	%
CCC/Caa	1.9	%
CC/Ca	2.0	%
C	0.7	%
D	0.1	%
N/R	38.6	%

^(a)	Excludes short-term securities, short investments and options, if any.
^(b)	Rounds to less than 0.1%.
^(c)	For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. 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.

Additional information

If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.

The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.

BATS: Series A Portfolio

Semi-Annual Shareholder Report — September 30, 2024

BATAX-09/24-SAR

BATS: Series C Portfolio

BRACX

Semi-Annual Shareholder Report — September 30, 2024

This semi-annual shareholder report contains important information about BATS: Series C Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
BATS: Series C Portfolio	$0(a)	0.00%^(b)(c)

^(a)	Rounds to less than $1.
^(b)	Annualized.
^(c)	Rounds to less than 0.01%.

Fund performance

Average annual total returns

	6-Month Total Returns		1 Year		5 Years		10 Years
BATS: Series C Portfolio	5.62	%	14.46	%	1.72	%	3.17	%
Bloomberg U.S. Aggregate Bond Index	5.26		11.57		0.33		1.84
Bloomberg U.S. Credit Index	5.66		13.81		1.07		2.79

Key Fund statistics

Net Assets	$456,840,337
Number of Portfolio Holdings	873
Portfolio Turnover Rate	211%

The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.

What did the Fund invest in?

(as of September 30, 2024)

Portfolio composition

Investment Type	Percent of Total Investments^(a)
Corporate Bonds	82.6	%
U.S. Treasury Obligations	10.3	%
Foreign Government Obligations	3.7	%
Preferred Securities	1.5	%
Municipal Bonds	1.3	%
Foreign Agency Obligations	0.6	%

Credit quality allocation

Credit Rating^(b)	Percent of Total Investments^(a)
AAA/Aaa^(c)	10.3	%
AA/Aa	5.7	%
A	31.8	%
BBB/Baa	50.7	%
BB/Ba	0.8	%
N/R	0.7	%

^(a)	Excludes short-term securities, short investments and options, if any.
^(b)	For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. 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.

Additional information

BATS: Series C Portfolio

Semi-Annual Shareholder Report — September 30, 2024

BRACX-09/24-SAR

BATS: Series E Portfolio

BATEX

Semi-Annual Shareholder Report — September 30, 2024

This semi-annual shareholder report contains important information about BATS: Series E Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
BATS: Series E Portfolio	$0(a)	0.06%(b)

^(a)	Rounds to less than $1.
^(b)	Annualized.

Fund performance

Average annual total returns

	6-Month Total Returns		1 Year		5 Years		10 Years
BATS: Series E Portfolio	5.39	%	17.61	%	3.15	%	5.05	%
Bloomberg Municipal Bond Index	2.69		10.37		1.39		2.52
Bloomberg Municipal High Yield Bond Index	5.88		17.38		3.07		4.52
Customized Reference Benchmark	4.77		15.20		2.56		N/A
Customized Reference Benchmark (prior)	3.80		12.78		2.00		N/A

Key Fund statistics

Net Assets	$491,888,736
Number of Portfolio Holdings	623
Portfolio Turnover Rate	8%

The Fund has added the Bloomberg Municipal Bond Index in response to new regulatory requirements.

Beginning July 29, 2024, the Fund started to compare its performance to that of the Customized Reference Benchmark comprised of 60% Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index, 20% Bloomberg Municipal Bond Rated Baa Index, and 20% Bloomberg Municipal Investment Grade ex BBB. Fund management believes that the new benchmark is more representative of the types of investments held within the Fund. The Customized Reference Benchmark commenced on September 30, 2016.

Prior to July 29, 2024, the Fund compared its performance to that of the prior Customized Reference Benchmark, which 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 prior Customized Reference Benchmark commenced on September 30, 2016.

What did the Fund invest in?

(as of September 30, 2024)

Sector allocation

Sector	Percent of Total Investments
County/City/Special District/School District	31.9	%
Transportation	16.9	%
Utilities	15.9	%
Education	14.5	%
Health Care	11.5	%
Tobacco	4.8	%
Housing	4.5	%

Credit quality allocation

Credit Rating^(a)	Percent of Total Investments
AAA/Aaa	1.7	%
AA/Aa	18.1	%
A	15.5	%
BBB/Baa	11.0	%
BB/Ba	8.2	%
B	1.2	%
CCC/Caa	0.3	%
N/R	44.0	%

^(a)

For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. 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.

Additional information

BATS: Series E Portfolio

Semi-Annual Shareholder Report — September 30, 2024

BATEX-09/24-SAR

BATS: Series M Portfolio

BRAMX

Semi-Annual Shareholder Report — September 30, 2024

This semi-annual shareholder report contains important information about BATS: Series M Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
BATS: Series M Portfolio	$0(a)	0.00%^(b)(c)

^(a)	Rounds to less than $1.
^(b)	Annualized.
^(c)	Rounds to less than 0.01%.

Fund performance

Average annual total returns

	6-Month Total Returns		1 Year		5 Years		10 Years
BATS: Series M Portfolio	5.97	%	13.06	%	0.55	%	1.82	%
Bloomberg U.S. Aggregate Bond Index	5.26		11.57		0.33		1.84
Bloomberg MBS Index	5.60		12.32		0.04		1.41

Key Fund statistics

Net Assets	$1,233,967,780
Number of Portfolio Holdings	1,154
Portfolio Turnover Rate	396%

The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.

What did the Fund invest in?

(as of September 30, 2024)

Portfolio composition

Investment Type	Percent of Total Investments^(a)
U.S. Government Sponsored Agency Securities	91.8	%
Non-Agency Mortgage-Backed Securities	6.1	%
Asset-Backed Securities	2.1	%

Credit quality allocation

Credit Rating^(b)	Percent of Total Investments^(a)
AAA/Aaa^(c)	97.3	%
AA/Aa	0.5	%
A	0.2	%
BBB/Baa	0.1	%
N/R	1.9	%

^(a)	Excludes short-term securities, short investments and options, if any.
^(b)	For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. 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.

Additional information

BATS: Series M Portfolio

Semi-Annual Shareholder Report — September 30, 2024

BRAMX-09/24-SAR

BATS: Series P Portfolio

BATPX

Semi-Annual Shareholder Report — September 30, 2024

This semi-annual shareholder report contains important information about BATS: Series P Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
BATS: Series P Portfolio	$0(a)	0.00%^(b)(c)

^(a)	Rounds to less than $1.
^(b)	Annualized.
^(c)	Rounds to less than 0.01%.

Fund performance

Average annual total returns

	6-Month Total Returns		1 Year		5 Years		10 Years
BATS: Series P Portfolio	0.10	%	0.52	%	5.07	%	1.29	%
Bloomberg U.S. Aggregate Bond Index	5.26		11.57		0.33		1.84
Bloomberg U.S. Treasury 7-10 Year Bond Index	5.57		10.98		(0.69	)	1.52
Bloomberg U.S. Bellwether 10 Year Swap Index	6.23		12.12		(1.29	)	1.57

Key Fund statistics

Net Assets	$4,156,032
Number of Portfolio Holdings	15
Portfolio Turnover Rate	0%

The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.

What did the Fund invest in?

(as of September 30, 2024)

Portfolio composition

Investment Type	Percent of Total Investments
Fixed-Income Funds	100.0	%

Additional information

BATS: Series P Portfolio

Semi-Annual Shareholder Report — September 30, 2024

BATPX-09/24-SAR

BATS: Series S Portfolio

BRASX

Semi-Annual Shareholder Report — September 30, 2024

This semi-annual shareholder report contains important information about BATS: Series S Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
BATS: Series S Portfolio	$0(a)	0.00%^(b)(c)

^(a)	Rounds to less than $1.
^(b)	Annualized.
^(c)	Rounds to less than 0.01%.

Fund performance

Average annual total returns

	6-Month Total Returns		1 Year		5 Years		10 Years
BATS: Series S Portfolio	4.38	%	8.56	%	2.33	%	2.52	%
Bloomberg U.S. Aggregate Bond Index	5.26		11.57		0.33		1.84
ICE BofA 1-3 Year U.S. Treasury Index	3.84		6.74		1.52		1.42

Key Fund statistics

Net Assets	$391,181,350
Number of Portfolio Holdings	613
Portfolio Turnover Rate	55%

The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.

An index that is a subset of ICE BofA US Treasury Index including all securities with a remaining term to final maturity less than 3 years. On December 1, 2023, the Fund began to compare its performance to the standard pricing time of the ICE BofA 1-3 Year U.S. Treasury Index (the “Index”). Index data prior to March 1, 2021 is for the Index’s standard pricing time of 3pm. Index data from March 1, 2021 through November 30, 2023 is for a custom 4pm pricing variant of the Index. Index returns beginning on December 1, 2023 reflect the Index’s new standard pricing time of 4pm. The change of the Index’s standard pricing time from 3pm to 4pm resulted in the discontinuation of the custom 4pm pricing variant used from March 1, 2021 through November 30, 2023.

What did the Fund invest in?

(as of September 30, 2024)

Portfolio composition

Investment Type	Percent of Total Investments^(a)
Corporate Bonds	33.2	%
Asset-Backed Securities	27.2	%
U.S. Treasury Obligations	16.9	%
U.S. Government Sponsored Agency Securities	13.0	%
Non-Agency Mortgage-Backed Securities	9.4	%
Foreign Government Obligations	0.3	%

Credit quality allocation

Credit Rating^(b)	Percent of Total Investments^(a)
AAA/Aaa^(c)	62.4	%
AA/Aa	2.2	%
A	12.9	%
BBB/Baa	17.8	%
N/R	4.7	%

^(a)	Excludes short-term securities, short investments and options, if any.
^(b)	For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. 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.

Additional information

The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited, ICE Data Indices, LLC, and their respective affiliates, nor do these companies make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the companies listed above.

BATS: Series S Portfolio

Semi-Annual Shareholder Report — September 30, 2024

BRASX-09/24-SAR

BATS: Series V Portfolio

BATVX

Semi-Annual Shareholder Report — September 30, 2024

This semi-annual shareholder report contains important information about BATS: Series V Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
BATS: Series V Portfolio	$0(a)	0.01%(b)

^(a)	Rounds to less than $1.
^(b)	Annualized.

Fund performance

Average annual total returns

	6-Month Total Returns		1 Year		Since Fund Inception
BATS: Series V Portfolio	1.83	%	3.58	%	2.08	%
Bloomberg Municipal Bond Index	2.69		10.37		0.15
SIFMA Municipal Swap Index	1.74		3.49		2.08

Key Fund statistics

Net Assets	$128,807,392
Number of Portfolio Holdings	85
Portfolio Turnover Rate	145%

The Fund commenced operations on May 5, 2021.

The Fund has added the Bloomberg Municipal Bond Index in response to new regulatory requirements.

What did the Fund invest in?

(as of September 30, 2024)

Sector allocation

Sector	Percent of Total Investments
County/City/Special District/School District	31.1	%
Housing	24.0	%
Health Care	18.2	%
Education	12.1	%
Utilities	11.3	%
Transportation	3.3	%

Additional information

BATS: Series V Portfolio

Semi-Annual Shareholder Report — September 30, 2024

BATVX-09/24-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

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Financial Statement and Financial Highlights for Open-End Management Investment Companies filed under Item 7 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 –

Financial Statements and Financial Highlights for Open-End Management Investment Companies

(a) The registrant’s Financial Statements are attached herewith.

(b) The registrant’s Financial Highlights are attached herewith.


		SEPTEMBER 30, 2024

2024 Semi-Annual Financial Statements and Additional Information (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

Table of Contents


		Page

The Benefits and Risks of Leveraging		3
Derivative Financial Instruments		3
Schedules of Investments		4
Statements of Assets and Liabilities		88
Statements of Operations		93
Statements of Changes in Net Assets		96
Financial Highlights		100
Notes to Financial Statements		107
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements		120
Additional Information		123
Glossary of Terms Used in this Report		124


2

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.

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.


T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G / D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S		3

Schedule of Investments (unaudited)

September 30, 2024

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, 8.11%, 09/25/60^(a)(b)	USD		450	$	446,662
522 Funding CLO Ltd.
Series 2018-3A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.59%, 10/20/31^(a)(c)			500		500,964
Series 2019-5A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.63%, 04/15/35^(a)(c)			430		430,292
Series 2020-6A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.70%, 10/23/34^(a)(c)			1,600		1,600,974
AB BSL CLO 4 Ltd., Series 2023-4A, Class A, (3-mo. CME Term SOFR + 2.00%), 7.28%, 04/20/36^(a)(c)			1,060		1,066,894
ABFC Trust, Series 2007-WMC1, Class A2B, (1-mo. CME Term SOFR + 1.11%), 5.97%, 06/25/37^(c)			2,699		2,218,673
AccessLex Institute, Series 2007-A, Class A3, (3-mo. CME Term SOFR + 0.56%), 5.63%, 05/25/36^(c)			1,707		1,672,370
ACE Securities Corp. Home Equity Loan Trust, Series 2005-AG1, Class M2, (1-mo. CME Term SOFR + 0.80%), 5.66%, 08/25/35^(c)			350		284,541
Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.61%, 02/15/29^(a)			1,973		1,998,743
AGL CLO 1 Ltd., Series 2019-1A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.19%, 10/20/34^(a)(c)			400		400,565
AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.70%, 07/20/34^(a)(c)			4,000		4,005,948
AGL CLO 13 Ltd.
Series 2021-13A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.70%, 10/20/34^(a)(c)			450		450,664
Series 2021-13A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 10/20/34^(a)(c)			250		250,526
AGL CLO 14 Ltd., Series 2021-14A, Class B1, (3-mo. CME Term SOFR + 1.91%), 7.19%, 12/02/34^(a)(c)			1,050		1,052,106
AGL CLO 23 Ltd., Series 2022-23A, Class A, (3-mo. CME Term SOFR + 2.20%), 7.48%, 01/20/36^(a)(c)			3,210		3,225,225
AGL CLO 3 Ltd.
Series 2020-3A, Class A, (3-mo. CME Term SOFR + 1.56%), 6.86%, 01/15/33^(a)(c)			250		250,160
Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.86%, 01/15/33^(a)(c)			1,250		1,253,766
AGL CLO 32 Ltd., Series 2024-32A, Class A1, (3-mo. CME Term SOFR + 1.38%), 6.65%, 07/21/37^(a)(c)			1,020		1,024,080
AGL CLO 5 Ltd., Series 2020-5A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 6.70%, 07/20/34^(a)(c)			590		590,880
AGL Core CLO 2 Ltd., Series 2019-2A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.79%, 07/20/37^(a)(c)			3,770		3,780,242
AGL Core CLO 27 Ltd., Series 2023-27A, Class A, (3-mo. CME Term SOFR + 1.73%), 7.01%, 10/21/36^(a)(c)			4,000		4,017,259
AGL Core CLO 4 Ltd., Series 2020-4A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 6.15%, 10/20/37^(a)(c)			4,350		4,351,427
AIMCO CLO, Series 2017-AA, Class AR, (3-mo. CME Term SOFR + 1.31%), 6.59%, 04/20/34^(a)(c)			2,500		2,500,190
AIMCO CLO 11 Ltd., Series 2020-11A, Class BR2, (3-mo. CME Term SOFR + 1.65%), 6.89%, 07/17/37^(a)(c)			2,180		2,186,570
AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, (3-mo. CME Term SOFR + 1.17%), 6.46%, 01/17/32^(a)(c)			6,725		6,731,199
Ajax Mortgage Loan Trust
Series 2021-G, Class A, 1.88%, 06/25/61^(a)(c)			7,012		6,811,923
Series 2021-G, Class B, 3.75%, 06/25/61^(a)(c)			1,283		1,368,291


Security		Par (000)		Value

Asset-Backed Securities (continued)
Ajax Mortgage Loan Trust
Series 2021-G, Class C, 0.00%, 06/25/61^(a)(d)	USD		2,301	$	2,113,702
Series 2023-B, Class A, 4.25%, 10/25/62^(a)(b)			7,146		6,967,006
Series 2023-B, Class B, 4.25%, 10/25/62^(a)(b)			881		837,947
Series 2023-B, Class C, 0.00%, 10/25/62^(a)(d)			2,011		948,810
Series 2023-B, Class SA, 0.00%, 10/25/62^(a)(d)			346		264,013
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.68%, 01/17/31^(a)(c)			415		415,611
AMMC CLO 18 Ltd., Series 2016-18A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.43%, 05/26/31^(a)(c)			1,161		1,163,728
AMSR Trust
Series 2020-SFR4, Class F, 2.86%, 11/17/37^(a)			4,000		3,881,171
Series 2020-SFR4, Class G2, 4.87%, 11/17/37^(a)			2,537		2,506,618
Series 2021-SFR1, Class F, 3.60%, 06/17/38^(a)			2,872		2,626,120
Series 2021-SFR2, Class F1, 3.28%, 08/17/38^(a)			3,756		3,551,840
Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.74%, 01/19/35^(a)(c)			380		380,385
Anchorage Capital CLO 29 Ltd., Series 2024-29A, Class A1, (3-mo. CME Term SOFR + 1.60%), 6.92%, 07/20/37^(a)(c)			4,430		4,448,655
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class BR3, (3-mo. CME Term SOFR + 2.10%), 7.43%, 04/22/34^(a)(c)			3,720		3,742,878
Anchorage Capital CLO 7 Ltd.
Series 2015-7A, Class BR3, (3-mo. CME Term SOFR + 2.05%), 7.38%, 04/28/37^(a)(c)			800		806,365
Series 2015-7A, Class CR3, (3-mo. CME Term SOFR + 2.45%), 7.78%, 04/28/37^(a)(c)			1,625		1,649,529
Anchorage Capital CLO 8 Ltd.
Series 2016-8A, Class AR2A, (3-mo. CME Term SOFR + 1.46%), 6.73%, 10/27/34^(a)(c)			6,670		6,676,655
Series 2016-8A, Class BR2, (3-mo. CME Term SOFR + 2.06%), 7.33%, 10/27/34^(a)(c)			1,000		1,003,989
Series 2016-8A, Class CR2, (3-mo. CME Term SOFR + 2.66%), 7.93%, 10/27/34^(a)(c)			1,000		1,000,802
Apidos CLO XV, Series 2013-15A, Class A1RR, (3-mo. CME Term SOFR + 1.27%), 6.55%, 04/20/31^(a)(c)			506		507,010
Apidos CLO XX, Series 2015-20A, Class A1RA, (3-mo. CME Term SOFR + 1.36%), 6.65%, 07/16/31^(a)(c)			384		384,603
Apidos CLO XXIV, Series 2016-24A, Class A2LX, (3-mo. CME Term SOFR + 1.61%), 6.89%, 10/20/30^(a)(c)			340		340,401
Apidos CLO XXV
Series 2016-25A, Class A1R2, (3-mo. CME Term SOFR + 1.15%), 6.43%, 10/20/31^(a)(c)			8,268		8,273,594
Series 2016-25A, Class A2R2, (3-mo. CME Term SOFR + 1.80%), 7.08%, 10/20/31^(a)(c)			4,500		4,509,187
Series 2016-25A, Class AJR2, (3-mo. CME Term SOFR + 1.50%), 6.78%, 10/20/31^(a)(c)			5,000		5,001,590
Apidos CLO XXVI, Series 2017-26A, Class BR, (3-mo. CME Term SOFR + 2.21%), 7.49%, 07/18/29^(a)(c)			2,830		2,838,360
Apidos CLO XXXII, Series 2019-32A, Class A1R, (3-mo. CME Term SOFR + 1.10%), 6.38%, 01/20/33^(a)(c)			590		590,930
Apidos CLO XXXIV, Series 2020-34A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.69%, 01/20/35^(a)(c)			1,450		1,451,323


4		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Apidos CLO XXXIX, Series 2022-39A, Class A1, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/21/35^(a)(c)	USD		5,000	$	5,013,958
Apidos CLO XXXVI, Series 2021-36A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 07/20/34^(a)(c)			740		742,976
Apidos CLO XXXVII, Series 2021-37A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.67%, 10/22/34^(a)(c)			1,780		1,780,899
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46^(a)			175		161,070
Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, (SOFR (30-day) + 1.45%), 6.79%, 01/15/37^(a)(c)			150		149,627
Ares L CLO Ltd., Series 2018-50A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.16%, 01/15/32^(a)(c)			1,000		1,000,506
Ares LII CLO Ltd., Series 2019-52A, Class A1R, (3-mo. CME Term SOFR + 1.31%), 6.59%, 04/22/31^(a)(c)			1,831		1,832,866
Ares LIX CLO Ltd., Series 2021-59A, Class A, (3-mo. CME Term SOFR + 1.29%), 6.58%, 04/25/34^(a)(c)			250		250,326
Ares Loan Funding IV Ltd., Series 2023-ALF4A, Class A1, (3-mo. CME Term SOFR + 1.75%), 7.05%, 10/15/36^(a)(c)			810		815,670
Ares LVI CLO Ltd.
Series 2020-56A, Class AR, (3-mo. CME Term SOFR + 1.42%), 6.71%, 10/25/34^(a)(c)			2,130		2,133,116
Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.05%, 10/25/34^(a)(c)			250		250,052
Ares XLI CLO Ltd., Series 2016-41A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.01%, 04/15/34^(a)(c)			2,500		2,501,271
Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3-mo. CME Term SOFR + 1.84%), 7.12%, 07/20/30^(a)(c)			680		682,143
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A1A, (3-mo. CME Term SOFR + 1.20%), 6.32%, 05/15/30^(a)(c)			317		317,327
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1RR, (3-mo. CME Term SOFR + 1.08%), 6.38%, 10/15/30^(a)(c)			632		632,619
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1-mo. CME Term SOFR + 0.59%), 5.45%, 05/25/35^(c)			38		30,623
Argent Securities Trust
Series 2006-M1, Class A2C, (1-mo. CME Term SOFR + 0.41%), 5.27%, 07/25/36^(c)			2,109		568,907
Series 2006-W2, Class A2C, (1-mo. CME Term SOFR + 0.69%), 5.55%, 03/25/36^(c)			551		304,524
ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27^(a)			125		123,244
Asset-Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6, Class M6, (1-mo. CME Term SOFR + 1.22%), 6.08%, 07/25/35^(c)			914		809,321
Assurant CLO I Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.24%, 10/20/34^(a)(c)			1,400		1,400,682
Assurant CLO II Ltd., Series 2018-2A, Class A, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/31^(a)(c)			210		209,829


Security		Par (000)		Value

Asset-Backed Securities (continued)
Bain Capital Credit CLO Ltd.
Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.08%), 6.36%, 07/19/31^(a)(c)	USD		1,000	$	1,000,068
Series 2018-2A, Class BR, (3-mo. CME Term SOFR + 1.55%), 6.83%, 07/19/31^(a)(c)			250		250,240
Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 10/20/34^(a)(c)			350		350,208
Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 6.60%, 04/18/35^(a)(c)			1,200		1,201,264
Series 2024-2A, Class A1, (3-mo. CME Term SOFR + 1.52%), 6.85%, 07/15/37^(a)(c)			5,090		5,101,845
Ballyrock CLO Ltd.
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.86%), 7.14%, 04/20/31^(a)(c)			250		250,001
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 6.62%, 04/15/34^(a)(c)			4,600		4,601,095
Series 2023-25A, Class C, (3-mo. CME Term SOFR + 4.70%), 9.99%, 01/25/36^(a)(c)			250		252,251
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22^(c)			5,740		900,615
Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31^(a)			1,940		1,923,408
Barings CLO Ltd.
Series 2015-2A, Class AR, (3-mo. CME Term SOFR + 1.45%), 6.73%, 10/20/30^(a)(c)			474		473,825
Series 2015-IA, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.94%, 01/20/31^(a)(c)			250		250,315
Series 2018-2A, Class B1AR, (3-mo. CME Term SOFR + 1.65%), 6.89%, 07/15/36^(a)(c)			2,560		2,555,628
Series 2019-3A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.61%, 04/20/31^(a)(c)			1,397		1,402,763
Series 2020-1A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.71%, 10/15/36^(a)(c)			2,280		2,283,365
Battalion CLO 18 Ltd.
Series 2020-18A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.76%, 10/15/36^(a)(c)			500		500,535
Series 2020-18A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.31%, 10/15/36^(a)(c)			1,000		999,113
Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3-mo. CME Term SOFR + 1.33%), 6.61%, 07/18/30^(a)(c)			629		629,650
Battalion CLO XII Ltd., Series 2018-12A, Class B2R, (3-mo. CME Term SOFR + 2.34%), 7.44%, 05/17/31^(a)(c)			250		251,330
Battalion CLO XX Ltd., Series 2021-20A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.74%, 07/15/34^(a)(c)			3,000		3,001,812
Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class B2, (1-mo. CME Term SOFR + 2.59%), 7.44%, 02/28/41^(c)			5,459		5,491,900
Bayview Financial Revolving Asset Trust
Series 2005-A, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.96%, 02/28/40^(a)(c)			3,110		2,912,020
Series 2005-E, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.96%, 12/28/40^(a)(c)			1,031		1,022,316
Series 2005-E, Class A2A, (1-mo. CME Term SOFR + 1.04%), 5.89%, 12/28/40^(a)(c)			844		810,919
BDS Ltd.
Series 2021-FL7, Class A, (1-mo. CME Term SOFR + 1.18%), 6.20%, 06/16/36^(a)(c)			1,049		1,044,018
Series 2022-FL11, Class ATS, (1-mo. CME Term SOFR + 1.80%), 6.77%, 03/19/39^(a)(c)			1,233		1,233,379


S C H E D U L E S O F I N V E S T M E N T S		5

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
BDS Ltd.
Series 2024-FL13, Class A, (1-mo. CME Term SOFR + 1.58%), 6.78%, 09/19/39^(a)(c)	USD		1,946	$	1,941,109
Bean Creek CLO Ltd., Series 2015-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 6.99%, 04/20/31^(a)(c)			450		450,991
Bear Stearns Asset-Backed Securities I Trust
Series 2005-HE8, Class M3, (1-mo. CME Term SOFR + 2.06%), 6.92%, 08/25/35^(c)			3,474		3,374,613
Series 2006-HE7, Class 1A2, (1-mo. CME Term SOFR + 0.45%), 5.31%, 09/25/36^(c)			87		87,006
Series 2007-HE2, Class 1A4, (1-mo. CME Term SOFR + 0.43%), 5.29%, 03/25/37^(c)			837		758,876
Series 2007-HE2, Class 23A, (1-mo. CME Term SOFR + 0.39%), 5.25%, 03/25/37^(c)			33		31,194
Series 2007-HE3, Class 1A4, (1-mo. CME Term SOFR + 0.46%), 5.32%, 04/25/37^(c)			365		333,781
Benefit Street Partners CLO Ltd.
Series 2015-6BR, Class A, (3-mo. CME Term SOFR + 1.45%), 6.73%, 07/20/34^(a)(c)			1,460		1,461,800
Series 2015-6BR, Class B, (3-mo. CME Term SOFR + 2.06%), 7.34%, 07/20/34^(a)(c)			250		250,961
Benefit Street Partners CLO V-B Ltd., Series 2018- 5BA, Class A1R, (3-mo. CME Term SOFR + 1.53%), 6.83%, 07/20/37^(a)(c)			2,366		2,383,099
Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 6.64%, 01/20/31^(a)(c)			971		972,241
Benefit Street Partners CLO X Ltd., Series 2016-10A, Class A2AR, (3-mo. CME Term SOFR + 1.81%), 7.09%, 04/20/34^(a)(c)			500		500,636
Benefit Street Partners CLO XII-B Ltd., Series 2017- 12BRA, Class B, (3-mo. CME Term SOFR + 1.70%), 6.94%, 10/15/37^(a)(c)			1,700		1,702,165
Benefit Street Partners CLO XIX Ltd.
Series 2019-19A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.48%, 01/15/33^(a)(c)			1,000		1,000,766
Series 2019-19A, Class BR, (3-mo. CME Term SOFR + 1.60%), 6.90%, 01/15/33^(a)(c)			250		250,509
Benefit Street Partners CLO XVII Ltd., Series 2019- 17A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.64%, 07/15/32^(a)(c)			1,270		1,270,747
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class AR, (3-mo. CME Term SOFR + 1.43%), 6.73%, 07/15/34^(a)(c)			1,360		1,360,789
Benefit Street Partners CLO XXI Ltd., Series 2020- 21A, Class A1R, (3-mo. CME Term SOFR + 1.43%), 6.73%, 10/15/34^(a)(c)			250		250,127
Benefit Street Partners CLO XXIV Ltd.
Series 2021-24A, Class A, (3-mo. CME Term SOFR + 1.43%), 6.71%, 10/20/34^(a)(c)			1,000		1,000,505
Series 2021-24A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.89%, 10/20/34^(a)(c)			500		501,678
Benefit Street Partners CLO XXV Ltd., Series 2021- 25A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.26%, 01/15/35^(a)(c)			250		250,761
Benefit Street Partners CLO XXVI Ltd., Series 2022- 26A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.66%, 07/20/37^(a)(c)			1,920		1,921,449
Benefit Street Partners CLO XXVII Ltd., Series 2022- 27A, Class AR, (3-mo. CME Term SOFR + 1.37%), 6.56%, 10/20/37^(a)(c)			7,630		7,630,078


Security		Par (000)		Value

Asset-Backed Securities (continued)
Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.60%, 04/30/31^(a)(c)	USD		169	$	168,984
BHG Securitization Trust
Series 2021-A, Class A, 1.42%, 11/17/33^(a)			81		78,848
Series 2021-A, Class B, 2.79%, 11/17/33^(a)			3,714		3,541,699
Series 2022-C, Class B, 5.93%, 10/17/35^(a)			880		884,312
Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1R, (3-mo. CME Term SOFR + 1.40%), 6.55%, 10/19/37^(a)(c)			630		630,209
Birch Grove CLO 3 Ltd.
Series 2021-3A, Class B1, (3-mo. CME Term SOFR + 2.06%), 7.34%, 01/19/35^(a)(c)			730		732,178
Series 2021-3A, Class B2, (3-mo. CME Term SOFR + 2.06%), 7.34%, 01/19/35^(a)(c)			1,000		1,002,984
BlueMountain CLO Ltd.
Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.72%, 10/22/30^(a)(c)			713		713,353
Series 2013-2A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.14%, 10/22/30^(a)(c)			1,250		1,253,983
Series 2015-3A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.54%, 04/20/31^(a)(c)			1,373		1,373,567
Series 2016-3A, Class A1R2, (3-mo. CME Term SOFR + 1.20%), 6.32%, 11/15/30^(a)(c)			8,949		8,965,058
Series 2016-3A, Class A2R2, (3-mo. CME Term SOFR + 1.70%), 6.82%, 11/15/30^(a)(c)			1,000		1,003,602
Series 2018-2A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.08%, 08/15/31^(a)(c)			1,320		1,325,351
Series 2018-3A, Class A1R, (3-mo. CME Term SOFR + 1.19%), 6.48%, 10/25/30^(a)(c)			1,742		1,742,618
Series 2018-3A, Class BR, (3-mo. CME Term SOFR + 1.85%), 7.14%, 10/25/30^(a)(c)			6,350		6,362,447
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.30%, 07/25/34^(a)(c)			420		420,505
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3-mo. CME Term SOFR + 1.52%), 6.82%, 04/15/34^(a)(c)			650		650,600
BlueMountain Fuji U.S. CLO II Ltd., Series 2017-2A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 6.54%, 10/20/30^(a)(c)			298		298,288
BlueMountain Fuji U.S. CLO III Ltd., Series 2017-3A, Class B, (3-mo. CME Term SOFR + 1.64%), 6.94%, 01/15/30^(a)(c)			550		550,569
BPCRE Ltd., Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 2.40%), 7.41%, 01/16/37^(a)(c)			1,087		1,083,768
Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1, 6.05%, 07/15/27^(a)			2,027		2,059,457
Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.49%), 6.77%, 07/20/34^(a)(c)			250		250,069
Bristol Park CLO Ltd.
Series 2016-1A, Class AR, (3-mo. CME Term SOFR + 1.25%), 6.55%, 04/15/29^(a)(c)			3,318		3,319,553
Series 2016-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.01%, 04/15/29^(a)(c)			350		350,806
Series 2016-1A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.51%, 04/15/29^(a)(c)			250		251,546
Buckhorn Park CLO Ltd., Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.66%, 07/18/34^(a)(c)			1,010		1,010,536


6		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Canyon Capital CLO Ltd., Series 2016-1A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.63%, 07/15/31^(a)(c)	USD		950	$	950,599
Canyon CLO Ltd.
Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.33%), 6.63%, 07/15/31^(a)(c)			437		437,468
Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.95%), 7.19%, 10/15/37^(a)(c)			250		251,288
Carbone CLO Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.68%, 01/20/31^(a)(c)			350		350,473
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3-mo. CME Term SOFR + 1.29%), 6.55%, 04/30/31^(a)(c)			1,483		1,484,171
Carlyle Global Market Strategies CLO Ltd.
Series 2013-4A, Class A1RR, (3-mo. CME Term SOFR + 1.26%), 6.56%, 01/15/31^(a)(c)			116		115,755
Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.23%), 6.52%, 04/17/31^(a)(c)			2,240		2,243,887
Series 2014-2RA, Class A1, (3-mo. CME Term SOFR + 1.31%), 6.43%, 05/15/31^(a)(c)			1,132		1,133,221
Series 2014-3RA, Class A1A, (3-mo. CME Term SOFR + 1.31%), 6.58%, 07/27/31^(a)(c)			304		304,778
Series 2014-3RA, Class A1B, (3-mo. CME Term SOFR + 1.56%), 6.83%, 07/27/31^(a)(c)			1,000		996,961
Series 2014-5A, Class A1RR, (3-mo. CME Term SOFR + 1.40%), 6.70%, 07/15/31^(a)(c)			534		534,346
Series 2014-5A, Class A2RR, (3-mo. CME Term SOFR + 1.71%), 7.01%, 07/15/31^(a)(c)			590		590,337
Series 2015-4A, Class A1RR, (3-mo. CME Term SOFR + 1.22%), 6.50%, 07/20/32^(a)(c)			860		860,688
Carlyle U.S. CLO Ltd.
Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.54%, 04/20/31^(a)(c)			281		280,986
Series 2017-3A, Class A1R2, (3-mo. CME Term SOFR + 1.40%), 6.54%, 10/21/37^(a)(c)			4,610		4,610,475
Series 2017-3A, Class BR2, (3-mo. CME Term SOFR + 1.78%), 6.92%, 10/21/37^(a)(c)			2,810		2,814,027
Series 2019-1A, Class A1AR, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/20/31^(a)(c)			333		333,277
Series 2019-2A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 6.68%, 07/15/32^(a)(c)			250		250,385
Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.69%, 10/20/34^(a)(c)			4,610		4,616,717
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.70%, 04/15/34^(a)(c)			250		250,192
Series 2021-7A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.72%, 10/15/35^(a)(c)			1,000		1,002,566
Series 2021-8A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34^(a)(c)			3,000		3,009,187
Carrington Mortgage Loan Trust
Series 2006-FRE2, Class A4, (1-mo. CME Term SOFR + 0.36%), 5.22%, 10/25/36^(c)			1,325		1,068,283
Series 2006-NC4, Class A3, (1-mo. CME Term SOFR + 0.27%), 5.13%, 10/25/36^(c)			21		20,835
Series 2007-FRE1, Class A3, (1-mo. CME Term SOFR + 0.37%), 5.23%, 02/25/37^(c)			3,904		3,689,444
CarVal CLO VC Ltd.
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.81%, 10/15/34^(a)(c)			1,000		1,002,850
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.31%, 10/15/34^(a)(c)			1,250		1,247,471


Security		Par (000)		Value

Asset-Backed Securities (continued)
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44^(a)(c)	USD		4,629	$	4,385,791
Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.67%, 07/17/34^(a)(c)			3,390		3,397,797
CBAM Ltd.
Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.51%), 6.79%, 07/20/30^(a)(c)			498		499,001
Series 2018-5A, Class B1, (3-mo. CME Term SOFR + 1.66%), 6.95%, 04/17/31^(a)(c)			540		540,525
Series 2018-6A, Class B1R, (3-mo. CME Term SOFR + 2.36%), 7.66%, 01/15/31^(a)(c)			1,000		1,002,513
Series 2018-7A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.14%, 07/20/31^(a)(c)			500		501,709
Series 2019-10A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 6.66%, 04/20/32^(a)(c)			5,540		5,542,271
Series 2020-12A, Class AR, (3-mo. CME Term SOFR + 1.44%), 6.72%, 07/20/34^(a)(c)			810		810,569
C-BASS Trust, Series 2006-CB9, Class A4, (1-mo. CME Term SOFR + 0.57%), 5.43%, 11/25/36^(c)			176		79,599
Cedar Funding II CLO Ltd.
Series 2013-1A, Class ARR, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/20/34^(a)(c)			750		750,481
Series 2013-1A, Class BRR, (3-mo. CME Term SOFR + 1.61%), 6.89%, 04/20/34^(a)(c)			500		500,167
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.65%, 07/17/31^(a)(c)			1,594		1,594,517
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3-mo. CME Term SOFR + 1.31%), 6.59%, 04/20/34^(a)(c)			500		500,398
Cedar Funding VII CLO Ltd., Series 2018-7A, Class AR, (3-mo. CME Term SOFR + 1.08%), 6.18%, 01/20/31^(a)(c)			270		270,270
Cedar Funding VIII CLO Ltd.
Series 2017-8A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.70%, 10/17/34^(a)(c)			2,750		2,751,392
Series 2017-8A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.20%, 10/17/34^(a)(c)			2,500		2,501,114
Cedar Funding XI CLO Ltd.
Series 2019-11A, Class A1R, (3-mo. CME Term SOFR + 1.31%), 6.37%, 05/29/32^(a)(c)			1,000		1,003,852
Series 2019-11A, Class A2R, (3-mo. CME Term SOFR + 1.61%), 6.67%, 05/29/32^(a)(c)			250		249,999
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.16%, 07/15/33^(a)(c)			1,480		1,479,395
CIFC Funding Ltd.
Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 2.01%), 7.30%, 07/16/30^(a)(c)			250		250,669
Series 2013-2A, Class A1L2, (3-mo. CME Term SOFR + 1.26%), 6.54%, 10/18/30^(a)(c)			1,371		1,374,215
Series 2013-2A, Class A2L2, (3-mo. CME Term SOFR + 1.76%), 7.04%, 10/18/30^(a)(c)			250		250,256
Series 2014-1A, Class BR2, (3-mo. CME Term SOFR + 1.66%), 6.94%, 01/18/31^(a)(c)			2,100		2,101,862
Series 2014-3A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.74%, 10/22/31^(a)(c)			3,971		3,975,128
Series 2014-4RA, Class A1AR, (3-mo. CME Term SOFR + 1.43%), 6.72%, 01/17/35^(a)(c)			1,000		1,000,314
Series 2015-1A, Class ARR, (3-mo. CME Term SOFR + 1.37%), 6.65%, 01/22/31^(a)(c)			299		299,326


S C H E D U L E S O F I N V E S T M E N T S		7

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
CIFC Funding Ltd.
Series 2016-1A, Class D1RR, (3-mo. CME Term SOFR + 3.16%), 8.44%, 10/21/31^(a)(c)	USD		450	$	452,271
Series 2017-5A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.74%, 07/17/37^(a)(c)			1,080		1,081,080
Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.26%), 6.54%, 04/18/31^(a)(c)			2,352		2,351,626
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/31^(a)(c)			194		194,547
Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.37%), 10/20/37^(a)(c)(e)			640		640,000
Series 2018-2A, Class BR, (3-mo. CME Term SOFR + 1.75%), 10/20/37^(a)(c)(e)			1,500		1,500,000
Series 2018-3A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.64%, 07/18/31^(a)(c)			860		860,584
Series 2018-3A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 07/18/31^(a)(c)			256		256,543
Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 1.96%), 7.25%, 10/17/31^(a)(c)			250		250,736
Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.64%, 04/20/32^(a)(c)			910		910,000
Series 2019-3A, Class A2R, (3-mo. CME Term SOFR + 1.91%), 7.20%, 10/16/34^(a)(c)			370		371,480
Series 2019-5A, Class A1R1, (3-mo. CME Term SOFR + 1.40%), 6.70%, 01/15/35^(a)(c)			2,250		2,250,969
Series 2019-6A, Class A1R, (3-mo. CME Term SOFR + 1.45%), 6.78%, 07/16/37^(a)(c)			4,080		4,091,508
Series 2020-3A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 6.67%, 10/20/34^(a)(c)			7,680		7,682,970
Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.19%, 10/20/34^(a)(c)			970		973,787
Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 6.76%, 07/25/37^(a)(c)			250		250,950
Series 2021-1A, Class BR, (3-mo. CME Term SOFR + 1.75%), 7.09%, 07/25/37^(a)(c)			690		690,673
Series 2021-3A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.26%, 07/15/36^(a)(c)			510		512,129
Series 2021-4A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.53%, 07/23/37^(a)(c)			4,210		4,210,812
Series 2021-4A, Class BR, (3-mo. CME Term SOFR + 1.65%), 6.82%, 07/23/37^(a)(c)			2,500		2,499,551
Series 2021-4A, Class CR, (3-mo. CME Term SOFR + 1.90%), 7.07%, 07/23/37^(a)(c)			1,000		1,002,089
Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.70%, 07/15/34^(a)(c)			1,700		1,700,958
Series 2021-6A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.70%, 10/15/34^(a)(c)			580		581,450
Series 2021-6A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34^(a)(c)			550		551,682
Series 2023-3A, Class A, (3-mo. CME Term SOFR + 1.60%), 6.88%, 01/20/37^(a)(c)			1,700		1,710,254
CIT Mortgage Loan Trust, Series 2007-1, Class 1M2, (1-mo. CME Term SOFR + 1.86%), 6.72%, 10/25/37^(a)(c)			2,144		2,080,487
Citigroup Mortgage Loan Trust
Series 2007-AHL2, Class A3B, (1-mo. CME Term SOFR + 0.31%), 5.17%, 05/25/37^(c)			915		609,362
Series 2007-AHL2, Class A3C, (1-mo. CME Term SOFR + 0.38%), 5.24%, 05/25/37^(c)			426		283,681
Series 2007-WFH2, Class M3, (1-mo. CME Term SOFR + 0.82%), 5.67%, 03/25/37^(c)			5,000		4,775,074


Security		Par (000)		Value

Asset-Backed Securities (continued)
Citigroup Mortgage Loan Trust
Series 2007-WFH4, Class M3A, (1-mo. CME Term SOFR + 3.86%), 8.72%, 07/25/37^(c)	USD		1,000	$	969,662
Clear Creek CLO
Series 2015-1A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.74%, 10/20/30^(a)(c)			56		55,591
Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.49%, 10/20/30^(a)(c)			330		327,857
Series 2015-1A, Class ER, (3-mo. CME Term SOFR + 6.56%), 11.84%, 10/20/30^(a)(c)			1,000		998,377
Clover CLO LLC, Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.64%, 04/22/34^(a)(c)			7,900		7,907,015
College Ave Student Loans LLC
Series 2021-B, Class B, 2.42%, 06/25/52^(a)			457		412,263
Series 2021-B, Class C, 2.72%, 06/25/52^(a)			1,947		1,773,892
Series 2021-B, Class D, 3.78%, 06/25/52^(a)			356		323,464
Series 2021-C, Class B, 2.72%, 07/26/55^(a)			318		288,778
Series 2021-C, Class C, 3.06%, 07/26/55^(a)			3,436		3,158,629
Series 2021-C, Class D, 4.11%, 07/26/55^(a)			270		250,022
College Ave Student Loans Trust, Series 2024-A, Class A1B, (SOFR (30-day) + 1.75%), 7.03%, 06/25/54^(a)(c)			6,216		6,274,737
Conseco Finance Corp.
Series 1996-10, Class B1, 7.24%, 11/15/28^(c)			27		26,775
Series 1998-4, Class M1, 6.83%, 04/01/30^(c)			579		557,273
Conseco Finance Securitizations Corp.
Series 2000-1, Class A5, 8.06%, 09/01/29^(c)			2,165		351,657
Series 2000-4, Class A6, 8.31%, 05/01/32^(c)			2,157		357,925
Cook Park CLO Ltd., Series 2018-1A, Class B, (3-mo. CME Term SOFR + 1.66%), 6.95%, 04/17/30^(a)(c)			250		250,512
Countrywide Asset-Backed Certificates
Series 2005-16, Class 1AF, 4.51%, 04/25/36^(c)			1,284		1,143,992
Series 2006-22, Class M1, (1-mo. CME Term SOFR + 0.46%), 5.31%, 05/25/47^(c)			460		402,920
Series 2006-26, Class M1, (1-mo. CME Term SOFR + 0.36%), 5.22%, 06/25/37^(c)			4,203		3,720,999
Series 2007-SEA2, Class 2A1, (1-mo. CME Term SOFR + 1.61%), 6.47%, 06/25/47^(a)(c)			1,014		798,766
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1-mo. CME Term SOFR + 0.38%), 5.48%, 03/15/34^(c)			9		8,734
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-CF2, Class 1B, 6.00%, 01/25/43^(a)(b)			214		167,530
Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 5.47%, 09/27/66^(a)(c)			3,202		3,190,631
Credit-Based Asset Servicing & Securitization LLC
Series 2006-CB2, Class AF4, 3.03%, 12/25/36^(b)			15		12,727
Series 2006-MH1, Class B1, 6.75%, 10/25/36^(a)(b)			1,251		1,245,020
Series 2006-MH1, Class B2, 6.75%, 10/25/36^(a)(b)			1,793		1,469,073
Series 2006-SL1, Class A3, (1-mo. CME Term SOFR + 0.55%), 5.41%, 09/25/36^(a)(c)			5,512		212,455
Crown Point CLO 10 Ltd., Series 2021-10A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.24%, 07/20/34^(a)(c)			510		511,514
CWHEQ Revolving Home Equity Loan Trust Series 2006-C, Class 2A, (1-mo. CME Term SOFR + 0.29%), 5.39%, 05/15/36^(c)			396		390,481
Series 2006-I, Class 1A, (1-mo. CME Term SOFR + 0.25%), 5.35%, 01/15/37^(c)			131		121,852


8		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Dewolf Park CLO Ltd.
Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.48%, 10/15/30^(a)(c)	USD		5,127	$	5,131,863
Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.41%, 10/15/30^(a)(c)			500		501,199
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.50%), 6.80%, 07/15/36^(a)(c)			1,530		1,532,095
Diameter Capital CLO 2 Ltd.
Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.78%, 10/15/36^(a)(c)			250		250,373
Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%), 7.31%, 10/15/36^(a)(c)			500		500,805
Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3-mo. CME Term SOFR + 1.39%), 6.69%, 04/15/37^(a)(c)			1,890		1,893,238
Diameter Capital CLO 5 Ltd., Series 2023-5A, Class A2, (3-mo. CME Term SOFR + 2.40%), 7.70%, 10/15/36^(a)(c)			1,000		1,005,633
Dryden 104 CLO Ltd., Series 2022-104A, Class A1R, (3-mo. CME Term SOFR + 1.29%), 6.29%, 08/20/34^(a)(c)			3,370		3,383,315
Dryden 119 CLO Ltd., Series 2024-119A, Class C1, (3-mo. CME Term SOFR + 2.35%), 7.67%, 04/15/36^(a)(c)			1,000		1,010,546
Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.66%, 01/15/31^(a)(c)			2,202		2,203,139
Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR, (3-mo. CME Term SOFR + 1.23%), 6.53%, 04/15/31^(a)(c)			2,041		2,044,358
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/34^(a)(c)			1,620		1,620,810
Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, (3-mo. CME Term SOFR + 1.21%), 6.49%, 07/18/30^(a)(c)			785		784,679
Dryden 50 Senior Loan Fund, Series 2017-50A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.56%, 07/15/30^(a)(c)			642		642,875
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.68%, 01/15/31^(a)(c)			1,696		1,697,282
Dryden 54 Senior Loan Fund, Series 2017-54A, Class AR, (3-mo. CME Term SOFR + 1.15%), 6.43%, 10/19/29^(a)(c)			1,917		1,920,709
Dryden 55 CLO Ltd., Series 2018-55A, Class A1, (3-mo. CME Term SOFR + 1.28%), 6.58%, 04/15/31^(a)(c)			3,133		3,133,304
Dryden 57 CLO Ltd., Series 2018-57A, Class A, (3-mo. CME Term SOFR + 1.27%), 6.39%, 05/15/31^(a)(c)			768		768,010
Dryden 58 CLO Ltd.
Series 2018-58A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.55%, 07/17/31^(a)(c)			447		447,101
Series 2018-58A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.05%, 07/17/31^(a)(c)			250		250,344
Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3-mo. CME Term SOFR + 1.31%), 6.61%, 07/15/31^(a)(c)			222		221,973


Security		Par (000)		Value

Asset-Backed Securities (continued)
Dryden 64 CLO Ltd., Series 2018-64A, Class A, (3- mo. CME Term SOFR + 1.23%), 6.51%, 04/18/31^(a)(c)	USD		383	$	382,893
Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3- mo. CME Term SOFR + 1.86%), 7.14%, 07/18/30^(a)(c)			500		500,580
Dryden 68 CLO Ltd., Series 2019-68A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.26%, 07/15/35^(a)(c)			810		810,736
Dryden 77 CLO Ltd.
Series 2020-77A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.51%, 05/20/34^(a)(c)			2,000		2,002,991
Series 2020-77A, Class XR, (3-mo. CME Term SOFR + 1.26%), 6.39%, 05/20/34^(a)(c)			109		108,926
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3-mo. CME Term SOFR + 1.16%), 6.46%, 04/15/29^(a)(c)			842		842,647
Eaton Vance CLO Ltd.
Series 2014-1RA, Class A2, (3-mo. CME Term SOFR + 1.75%), 7.05%, 07/15/30^(a)(c)			250		250,176
Series 2020-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.71%, 01/15/35^(a)(c)			1,420		1,420,089
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38^(a)			533		520,104
EDvestinU Private Education Loan Issue No. 3 LLC
Series 2021-A, Class A, 1.80%, 11/25/45^(a)			207		190,423
Series 2021-A, Class B, 3.50%, 11/25/50^(a)			1,200		1,004,783
EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40^(a)			918		922,853
Elmwood CLO 15 Ltd.
Series 2022-2A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/22/35^(a)(c)			10,590		10,590,167
Series 2022-2A, Class D, (3-mo. CME Term SOFR + 3.67%), 8.95%, 04/22/35^(a)(c)			1,625		1,631,757
Elmwood CLO 23 Ltd., Series 2023-2A, Class A, (3-mo. CME Term SOFR + 1.80%), 7.09%, 04/16/36^(a)(c)			720		724,143
Elmwood CLO 27 Ltd.
Series 2024-3A, Class B, (3-mo. CME Term SOFR + 1.95%), 7.23%, 04/18/37^(a)(c)			1,210		1,221,765
Series 2024-3A, Class D, (3-mo. CME Term SOFR + 3.45%), 8.73%, 04/18/37^(a)(c)			250		252,371
Elmwood CLO 29 Ltd., Series 2024-5A, Class AR1, (3-mo. CME Term SOFR + 1.52%), 6.84%, 04/20/37^(a)(c)			4,000		4,008,034
Elmwood CLO 30 Ltd., Series 2024-6A, Class A, (3-mo. CME Term SOFR + 1.43%), 6.73%, 07/17/37^(a)(c)			1,700		1,706,744
Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.52%), 6.80%, 04/20/37^(a)(c)			250		250,625
Elmwood CLO II Ltd.
Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.69%, 04/20/34^(a)(c)			4,670		4,680,249
Series 2019-2A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.19%, 04/20/34^(a)(c)			900		903,365
Series 2019-2A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.54%, 04/20/34^(a)(c)			250		250,138
Elmwood CLO III Ltd., Series 2019-3A, Class BRR, (3-mo. CME Term SOFR + 1.70%), 7.02%, 07/18/37^(a)(c)			1,080		1,082,280


S C H E D U L E S O F I N V E S T M E N T S			9

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Elmwood CLO IV Ltd., Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.35%), 8.67%, 04/18/37^(a)(c)		USD 1,000	$	1,016,385
Elmwood CLO VI Ltd., Series 2020-3A, Class ARR, (3-mo. CME Term SOFR + 1.38%), 6.72%, 07/18/37^(a)(c)		3,690		3,708,450
Elmwood CLO VII Ltd., Series 2020-4A, Class A1RR, (3-mo. CME Term SOFR + 1.36%), 10/17/37^(a)(c)(e)		1,210		1,210,000
Elmwood CLO XII Ltd.
Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.69%, 01/20/35^(a)(c)		960		962,080
Series 2021-5A, Class AR, (3-mo. CME Term SOFR + 1.36%), 10/15/37^(a)(c)(e)		5,880		5,880,000
FBR Securitization Trust, Series 2005-5, Class M2, (1-mo. CME Term SOFR + 0.82%), 5.67%, 11/25/35^(c)		1,815		1,794,533
Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.60%), 6.90%, 07/15/30^(a)(c)		250		249,187
First Franklin Mortgage Loan Trust
Series 2006-FF16, Class 2A3, (1-mo. CME Term SOFR + 0.39%), 5.25%, 12/25/36^(c)		453		186,677
Series 2006-FF17, Class A5, (1-mo. CME Term SOFR + 0.26%), 5.12%, 12/25/36^(c)		1,402		1,189,467
FirstKey Homes Trust
Series 2020-SFR1, Class G, 4.78%, 08/17/37^(a)		3,650		3,573,756
Series 2021-SFR1, Class F1, 3.24%, 08/17/38^(a)		4,464		4,204,113
Series 2021-SFR2, Class F1, 2.91%, 09/17/38^(a)		5,500		5,104,019
Series 2022-SFR1, Class E1, 5.00%, 05/19/39^(a)		4,000		3,916,116
Series 2022-SFR1, Class E2, 5.00%, 05/19/39^(a)		2,990		2,909,574
Series 2022-SFR2, Class E1, 4.50%, 07/17/39^(a)		2,681		2,582,238
Series 2022-SFR3, Class E2, 3.50%, 07/17/38^(a)		6,928		6,595,414
Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 6.50%, 04/17/31^(a)(c)		564		564,500
Flatiron CLO 19 Ltd.
Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.44%, 11/16/34^(a)(c)		1,150		1,150,641
Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.36%, 11/16/34^(a)(c)		900		904,816
Flatiron CLO 20 Ltd.
Series 2020-1A, Class BR, (3-mo. CME Term SOFR + 1.92%), 7.05%, 05/20/36^(a)(c)		1,330		1,335,831
Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.45%), 8.58%, 05/20/36^(a)(c)		1,000		1,017,384
Flatiron CLO 21 Ltd.
Series 2021-1A, Class A2R, (3-mo. CME Term SOFR + 1.58%), 6.67%, 10/19/37^(a)(c)		2,060		2,060,303
Series 2021-1A, Class BR, (3-mo. CME Term SOFR + 1.70%), 6.79%, 10/19/37^(a)(c)		1,200		1,205,345
Flatiron CLO 25 Ltd.
Series 2024-2A, Class A, (3-mo. CME Term SOFR + 1.35%), 5.62%, 10/17/37^(a)(c)		1,060		1,060,000
Series 2024-2A, Class B, (3-mo. CME Term SOFR + 1.60%), 5.87%, 10/17/37^(a)(c)		860		860,000
Foundation Finance Trust
Series 2021-2A, Class A, 2.19%, 01/15/42^(a)		1,272		1,196,319
Series 2024-1A, Class B, 5.95%, 12/15/49^(a)		706		726,229
Series 2024-2A, Class B, 4.93%, 03/15/50^(a)		1,122		1,124,010
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1-mo. CME Term SOFR + 0.39%), 5.25%, 02/25/37^(c)		1,832		1,370,266


Security	Par (000)		Value

Asset-Backed Securities (continued)
FS Rialto Issuer Ltd.
Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 7.24%, 01/19/39^(a)(c)		USD 4,317	$	4,322,655
Series 2022-FL5, Class A, (1-mo. CME Term SOFR + 2.30%), 7.27%, 06/19/37^(a)(c)		1,883		1,888,335
Series 2022-FL6, Class A, (1-mo. CME Term SOFR + 2.58%), 7.55%, 08/17/37^(a)(c)		5,947		5,969,263
Galaxy 33 CLO Ltd., Series 2024-33A, Class D1, (3-mo. CME Term SOFR + 3.55%), 8.88%, 04/20/37^(a)(c)		1,900		1,929,685
Galaxy XIX CLO Ltd.
Series 2015-19A, Class A1RR, (3-mo. CME Term SOFR + 1.21%), 6.50%, 07/24/30^(a)(c)		661		662,104
Series 2015-19A, Class A2RR, (3-mo. CME Term SOFR + 1.66%), 6.95%, 07/24/30^(a)(c)		250		250,557
Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.66%, 07/15/31^(a)(c)		239		239,705
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, (3-mo. CME Term SOFR + 1.26%), 6.54%, 04/20/31^(a)(c)		3,429		3,434,440
Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3-mo. CME Term SOFR + 1.46%), 6.75%, 04/16/34^(a)(c)		1,000		1,001,247
Galaxy XXVI CLO Ltd., Series 2018-26A, Class AR, (3-mo. CME Term SOFR + 1.17%), 6.29%, 11/22/31^(a)(c)		1,009		1,009,919
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3-mo. CME Term SOFR + 1.28%), 6.38%, 05/16/31^(a)(c)		1,123		1,124,776
Galaxy XXVIII CLO Ltd., Series 2018-28A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.16%, 07/15/31^(a)(c)		510		512,065
Generate CLO 2 Ltd.
Series 2A, Class AR2, (3-mo. CME Term SOFR + 1.41%), 6.61%, 10/22/37^(a)(c)		2,020		2,020,185
Series 2A, Class BR2, (3-mo. CME Term SOFR + 1.80%), 7.00%, 10/22/37^(a)(c)		1,990		1,995,339
Generate CLO 6 Ltd.
Series 6A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.74%, 01/22/35^(a)(c)		250		250,026
Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.04%, 01/22/35^(a)(c)		4,500		4,524,543
Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. CME Term SOFR + 1.62%), 6.90%, 04/22/37^(a)(c)		8,525		8,558,155
Generate CLO 8 Ltd., Series 8A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.29%, 10/20/34^(a)(c)		390		391,904
GoldenTree Loan Management U.S. CLO 1 Ltd., Series 2017-1A, Class A1R2, (3-mo. CME Term SOFR + 1.28%), 6.56%, 04/20/34^(a)(c)		250		251,705
GoldenTree Loan Management U.S. CLO 11 Ltd.
Series 2021-11A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.67%, 10/20/34^(a)(c)		7,920		7,923,691
Series 2021-11A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.89%, 10/20/34^(a)(c)		1,750		1,753,455
GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class AJ, (3-mo. CME Term SOFR + 1.56%), 6.84%, 04/20/30^(a)(c)		850		851,196
GoldenTree Loan Management U.S. CLO 9 Ltd., Series 2021-9R, Class DR, (3-mo. CME Term SOFR + 3.35%), 8.63%, 04/20/37^(a)(c)		750		760,761


10		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Goldman Home Improvement Trust
Series 2021-GRN2, Class B, 1.97%, 06/25/51^(a)		USD 2,169	$	2,076,453
Series 2022-GRN2, Class A, 6.80%, 10/25/52^(a)		887		912,596
Golub Capital Partners CLO Ltd.
Series 2019-41A, Class AR, (3-mo. CME Term SOFR + 1.58%), 6.86%, 01/20/34^(a)(c)		1,700		1,702,356
Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.24%, 07/20/34^(a)(c)		250		250,808
Series 2021-55A, Class A, (3-mo. CME Term SOFR + 1.46%), 6.74%, 07/20/34^(a)(c)		580		580,656
Series 2021-58A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.73%, 01/25/35^(a)(c)		1,780		1,782,009
Series 2024-71A, Class A, (3-mo. CME Term SOFR + 1.95%), 7.05%, 02/09/37^(a)(c)		6,000		6,026,470
Series 2024-76A, Class A1, (3-mo. CME Term SOFR + 1.37%), 6.11%, 10/25/37^(a)(c)		790		790,816
Series 2024-76A, Class B, (3-mo. CME Term SOFR + 1.67%), 6.41%, 10/25/37^(a)(c)		560		560,442
Series 2024-76A, Class D1, (3-mo. CME Term SOFR + 2.90%), 7.64%, 10/25/37^(a)(c)		490		495,040
GoodLeap Sustainable Home Solutions Trust
Series 2021-5CS, Class A, 2.31%, 10/20/48^(a)		1,273		1,051,915
Series 2022-3CS, Class A, 4.95%, 07/20/49^(a)		896		858,079
Series 2023-1GS, Class A, 5.52%, 02/22/55^(a)		1,422		1,412,518
Series 2023-3C, Class A, 6.50%, 07/20/55^(a)		653		677,915
Gracie Point International Funding LLC
Series 2023-1A, Class A, (SOFR (90-day) + 1.95%), 7.32%, 09/01/26^(a)(c)		1,459		1,467,220
Series 2024-1A, Class A, (SOFR (90-day) + 1.70%), 7.07%, 03/01/28^(a)(c)		4,053		4,066,566
GreenSky Home Improvement Trust Series 2024-1, Class A4, 5.67%, 06/25/59^(a)		9,842		9,989,509
Series 2024-1, Class B, 5.87%, 06/25/59^(a)		764		779,573
Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.83%, 04/15/33^(a)(c)		500		500,551
GSAA Home Equity Trust
Series 2005-14, Class 1A2, (1-mo. CME Term SOFR + 0.81%), 5.67%, 12/25/35^(c)		282		125,867
Series 2006-14, Class A3A, (1-mo. CME Term SOFR + 0.61%), 5.47%, 09/25/36^(c)		4,599		1,420,591
Series 2006-18, Class AF3A, 5.77%, 11/25/36^(c)		1,350		403,508
Series 2006-4, Class 1A1, 4.14%, 03/25/36^(c)		668		453,556
Series 2007-2, Class AF3, 5.92%, 03/25/37^(c)		24		4,625
GSAMP Trust
Series 2007-H1, Class A1B, (1-mo. CME Term SOFR + 0.51%), 5.37%, 01/25/47^(c)		9		4,836
Series 2007-HS1, Class M5, (1-mo. CME Term SOFR + 3.49%), 8.34%, 02/25/47^(c)		3,566		3,551,021
Series 2007-HS1, Class M7, (1-mo. CME Term SOFR + 3.49%), 8.34%, 02/25/47^(c)		3,000		2,796,447
Gulf Stream Meridian 4 Ltd.
Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.46%), 6.76%, 07/15/34^(a)(c)		10,000		10,025,958
Series 2021-4A, Class A2, (3-mo. CME Term SOFR + 2.11%), 7.41%, 07/15/34^(a)(c)		1,000		1,007,271
Gulf Stream Meridian 5 Ltd.
Series 2021-5A, Class A1, (3-mo. CME Term SOFR + 1.46%), 6.76%, 07/15/34^(a)(c)		1,210		1,213,051
Series 2021-5A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.36%, 07/15/34^(a)(c)		650		654,313


Security	Par (000)		Value

Asset-Backed Securities (continued)
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.66%, 07/15/35^(a)(c)		USD 2,420	$	2,426,561
Halseypoint CLO 4 Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.48%), 6.76%, 04/20/34^(a)(c)		920		922,760
Halseypoint CLO 6 Ltd., Series 2022-6A, Class A1, (3-mo. CME Term SOFR + 2.45%), 7.73%, 10/20/34^(a)(c)		1,230		1,234,551
Highbridge Loan Management Ltd., Series 3A-2014, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.72%, 07/18/29^(a)(c)		33		33,284
Hipgnosis Music Assets LP, Series 2022-1, Class A, 5.00%, 05/16/62^(a)		2,000		1,975,880
Home Equity Asset Trust, Series 2006-3, Class M2, (1-mo. CME Term SOFR + 0.71%), 5.57%, 07/25/36^(c)		280		264,954
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1-mo. CME Term SOFR + 2.14%), 3.75%, 07/25/34^(c)		13		12,645
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26^(a)		5,765		5,395,086
HPS Loan Management Ltd.
Series 10A-16, Class A1RR, (3-mo. CME Term SOFR + 1.40%), 6.68%, 04/20/34^(a)(c)		7,260		7,271,551
Series 6A-2015, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.50%, 02/05/31^(a)(c)		229		229,687
Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2, (SOFR (30-day) + 1.40%), 6.75%, 05/20/32^(a)(c)		10,375		10,389,512
ICG U.S. CLO Ltd., Series 2014-3A, Class A1RR, (3-mo. CME Term SOFR + 1.29%), 6.58%, 04/25/31^(a)(c)		93		92,687
Invesco CLO Ltd., Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.08%, 04/20/35^(a)(c)		510		510,745
JPMorgan Mortgage Acquisition Trust
Series 2006-CH1, Class M7, (1-mo. CME Term SOFR + 1.31%), 6.17%, 07/25/36^(c)		3,498		3,116,107
Series 2007-CH1, Class MF1, 4.54%, 11/25/36^(b)		100		103,053
Juniper Valley Park CLO Ltd., Series 2023-1R, Class BR, (3-mo. CME Term SOFR + 1.55%), 6.83%, 07/20/36^(a)(c)		1,800		1,801,354
KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3-mo. LIBOR US + 1.25%), 6.78%, 07/28/42^(c)		2,344		2,200,594
Kings Park CLO Ltd., Series 2021-1A, Class A, (3- mo. CME Term SOFR + 1.39%), 6.67%, 01/21/35^(a)(c)		810		810,822
KKR CLO 10 Ltd., Series 10, Class BR, (3-mo. CME Term SOFR + 1.96%), 6.91%, 09/15/29^(a)(c)		640		640,817
KKR CLO 17 Ltd., Series 17, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.64%, 04/15/34^(a)(c)		500		500,409
LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME Term SOFR + 1.33%), 6.61%, 01/20/31^(a)(c)		1,681		1,682,501
LCM XVIII LP, Series 18A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.56%, 04/20/31^(a)(c)		96		96,246
Legacy Mortgage Asset Trust
Series 2019-SL2, Class A, 3.38%, 02/25/59^(a)(c)		2,828		2,705,601
Series 2019-SL2, Class B, 0.00%, 02/25/59^(a)(d)		529		99,761
Series 2019-SL2, Class M, 4.25%, 02/25/59^(a)(c)		660		614,035
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33^(d)		410		405,891


S C H E D U L E S O F I N V E S T M E N T S		11

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1-mo. CME Term SOFR + 0.20%), 5.06%, 06/25/37^(a)(c)		USD 74	$	49,661
Lendmark Funding Trust
Series 2021-1A, Class B, 2.47%, 11/20/31^(a)		1,525		1,405,690
Series 2021-2A, Class B, 2.37%, 04/20/32^(a)		4,630		4,232,543
Series 2021-2A, Class D, 4.46%, 04/20/32^(a)		3,500		3,106,172
Series 2023-1A, Class D, 8.69%, 05/20/33^(a)		1,310		1,327,944
Series 2024-1A, Class B, 5.88%, 06/21/32^(a)		1,205		1,235,251
Series 2024-1A, Class C, 6.40%, 06/21/32^(a)		2,447		2,510,545
Series 2024-1A, Class D, 7.21%, 06/21/32^(a)		5,550		5,684,894
LoanCore Issuer Ltd., Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 6.89%, 01/17/37^(a)(c)		3,626		3,618,901
Loanpal Solar Loan Ltd.
Series 2020-2GF, Class A, 2.75%, 07/20/47^(a)		807		676,453
Series 2021-2GS, Class A, 2.22%, 03/20/48^(a)		3,127		2,488,309
Long Beach Mortgage Loan Trust
Series 2006-2, Class 1A, (1-mo. CME Term SOFR + 0.47%), 5.33%, 03/25/46^(c)		573		459,338
Series 2006-5, Class 2A3, (1-mo. CME Term SOFR + 0.41%), 5.27%, 06/25/36^(c)		2,988		1,421,450
Series 2006-7, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.29%, 08/25/36^(c)		5,425		2,165,476
Series 2006-7, Class 2A4, (1-mo. CME Term SOFR + 0.59%), 5.45%, 08/25/36^(c)		1,252		500,141
Series 2006-9, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.29%, 10/25/36^(c)		1,942		632,458
Series 2006-WL3, Class 2A4, (1-mo. CME Term SOFR + 0.71%), 5.57%, 01/25/36^(c)		2,992		2,740,966
Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3-mo. CME Term SOFR + 1.64%), 6.92%, 01/17/30^(a)(c)		820		819,792
Madison Park Funding LVII Ltd., Series 2022-57A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.38%, 07/27/34^(a)(c)		250		250,000
Madison Park Funding LXII Ltd., Series 2022-62A, Class AR, (3-mo. CME Term SOFR + 1.85%), 7.14%, 07/17/36^(a)(c)		1,800		1,808,613
Madison Park Funding LXVII Ltd., Series 2024-67A, Class B, (3-mo. CME Term SOFR + 2.05%), 7.34%, 04/25/37^(a)(c)		4,230		4,276,601
Madison Park Funding XIV Ltd., Series 2014-14A, Class AR3, (3-mo. CME Term SOFR + 1.20%), 6.48%, 10/22/30^(a)(c)		1,181		1,182,212
Madison Park Funding XIX Ltd., Series 2015-19A, Class AR3, (3-mo. CME Term SOFR + 1.60%), 6.88%, 01/22/37^(a)(c)		330		331,010
Madison Park Funding XL Ltd., Series 9A, Class AR2, (3-mo. CME Term SOFR + 1.25%), 6.31%, 05/28/30^(a)(c)		1,579		1,579,497
Madison Park Funding XLII Ltd.
Series 13A, Class AR, (3-mo. CME Term SOFR + 1.15%), 6.43%, 11/21/30^(a)(c)		416		416,386
Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.05%, 11/21/30^(a)(c)		1,250		1,250,954
Series 13A, Class C, (3-mo. CME Term SOFR + 2.06%), 7.35%, 11/21/30^(a)(c)		1,610		1,613,861
Madison Park Funding XLVI Ltd., Series 2020-46A, Class B1R, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34^(a)(c)		5,200		5,217,590


Security	Par (000)		Value

Asset-Backed Securities (continued)
Madison Park Funding XLVIII Ltd., Series 2021-48A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.79%, 04/19/33^(a)(c)		USD 500	$	501,863
Madison Park Funding XVIII Ltd.
Series 2015-18A, Class ARR, (3-mo. CME Term SOFR + 1.20%), 6.48%, 10/21/30^(a)(c)		3,580		3,586,864
Series 2015-18A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.14%, 10/21/30^(a)(c)		390		390,651
Madison Park Funding XXI Ltd., Series 2016-21A, Class AARR, (3-mo. CME Term SOFR + 1.34%), 6.64%, 10/15/32^(a)(c)		500		500,176
Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.16%, 01/15/33^(a)(c)		1,500		1,501,791
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3-mo. CME Term SOFR + 1.23%), 6.50%, 07/27/31^(a)(c)		1,299		1,299,722
Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR2, (3-mo. CME Term SOFR + 1.55%), 6.83%, 10/20/29^(a)(c)		740		741,225
Madison Park Funding XXIX Ltd., Series 2018-29A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.46%, 10/18/30^(a)(c)		755		755,561
Madison Park Funding XXVIII Ltd., Series 2018-28A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.41%, 07/15/30^(a)(c)		500		501,220
Madison Park Funding XXX Ltd., Series 2018-30A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.56%, 07/16/37^(a)(c)		2,500		2,507,500
Madison Park Funding XXXI Ltd., Series 2018-31A, Class B1R, (3-mo. CME Term SOFR + 1.80%), 7.14%, 07/23/37^(a)(c)		510		511,004
Madison Park Funding XXXIII Ltd., Series 2019-33A, Class AR, (3-mo. CME Term SOFR + 1.29%), 6.59%, 10/15/32^(a)(c)		2,290		2,292,018
Madison Park Funding XXXV Ltd., Series 2019-35A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.94%, 04/20/32^(a)(c)		720		720,612
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.67%, 07/17/34^(a)(c)		1,250		1,250,068
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 9.19%, 01/22/35^(a)(c)		750		755,219
Mariner CLO LLC, Series 2016-3A, Class AR3, (3-mo. CME Term SOFR + 1.59%), 6.87%, 01/23/37^(a)(c)		890		892,590
Mariner Finance Issuance Trust
Series 2021-AA, Class A, 1.86%, 03/20/36^(a)		700		666,322
Series 2021-AA, Class B, 2.33%, 03/20/36^(a)		1,620		1,519,211
Series 2021-AA, Class C, 2.96%, 03/20/36^(a)		2,850		2,667,266
Series 2021-BA, Class C, 2.66%, 11/20/36^(a)		4,403		4,042,090
Series 2021-BA, Class E, 4.68%, 11/20/36^(a)		3,620		3,251,779
Series 2024-AA, Class A, 5.13%, 09/22/36^(a)		4,126		4,194,691
Series 2024-AA, Class D, 6.77%, 09/22/36^(a)		1,969		2,012,749
Series 2024-AA, Class E, 9.02%, 09/22/36^(a)		2,800		2,864,674
MASTR Asset-Backed Securities Trust
Series 2005-WF1, Class M8, (1-mo. CME Term SOFR + 1.97%), 6.83%, 06/25/35^(c)		1,119		1,124,307
Series 2006-AM2, Class A4, (1-mo. CME Term SOFR + 0.63%), 5.49%, 06/25/36^(a)(c)		226		208,936


12		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
MASTR Asset-Backed Securities Trust
Series 2006-WMC2, Class A4, (1-mo. CME Term SOFR + 0.41%), 5.27%, 04/25/36^(c)		USD 3,197	$	679,547
Series 2007-HE1, Class A4, (1-mo. CME Term SOFR + 0.39%), 5.25%, 05/25/37^(c)		83		69,934
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1-mo. CME Term SOFR + 0.63%), 5.49%, 06/25/46^(a)(c)		11		10,476
Meacham Park CLO Ltd., Series 2024-1A, Class B, (3-mo. CME Term SOFR + 1.60%), 6.39%, 10/20/37^(a)(c)		2,270		2,263,438
MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33^(b)		861		803,873
Merrill Lynch First Franklin Mortgage Loan Trust
Series 2007-2, Class A2C, (1-mo. CME Term SOFR + 0.59%), 5.45%, 05/25/37^(c)		1,638		1,175,892
Series 2007-H1, Class 1A2, (1-mo. CME Term SOFR + 3.61%), 8.47%, 10/25/37^(c)		2,260		2,130,149
Merrill Lynch Mortgage Investors Trust, Series 2006- OPT1, Class M1, (1-mo. CME Term SOFR + 0.50%), 5.36%, 08/25/37^(c)		1,754		1,547,043
MF1 LLC
Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.64%), 7.60%, 09/17/37^(a)(c)		1,428		1,431,127
Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.15%), 7.12%, 06/19/37^(a)(c)		2,820		2,823,443
Series 2023-FL12, Class A, (1-mo. CME Term SOFR + 2.07%), 7.03%, 10/19/38^(a)(c)		1,306		1,309,265
MidOcean Credit CLO III Ltd., Series 2014-3A, Class A3A2, (3-mo. CME Term SOFR + 1.23%), 6.51%, 04/21/31^(a)(c)		122		122,479
MidOcean Credit CLO VIII, Series 2018-8A, Class A1R, (3-mo. CME Term SOFR + 1.31%), 6.44%, 02/20/31^(a)(c)		1,101		1,101,760
MidOcean Credit CLO XII Ltd., Series 2023-12A, Class A1R, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/18/36^(a)(c)		12,690		12,703,486
Mill City Solar Loan Ltd.
Series 2019-1A, Class A, 4.34%, 03/20/43^(a)		980		927,266
Series 2019-2GS, Class A, 3.69%, 07/20/43^(a)		1,679		1,535,252
Milos CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.61%, 10/20/30^(a)(c)		431		431,814
Morgan Stanley ABS Capital I, Inc. Trust
Series 2007-NC1, Class A2D, (1-mo. CME Term SOFR + 0.33%), 5.19%, 11/25/36^(c)		4,881		2,319,058
Series 2007-SEA1, Class 2A1, (1-mo. CME Term SOFR + 3.91%), 8.77%, 02/25/47^(a)(c)		47		44,003
Morgan Stanley Mortgage Loan Trust
Series 2006-12XS, Class A4, 6.51%, 10/25/36^(b)		2,326		540,377
Series 2006-12XS, Class A6A, 6.23%, 10/25/36^(b).		574		163,835
Series 2006-16AX, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 5.47%, 11/25/36^(c)		600		167,545
Mosaic Solar Loan Trust
Series 2018-2GS, Class A, 4.20%, 02/22/44^(a)		908		856,033
Series 2019-1A, Class A, 4.37%, 12/21/43^(a)		1,381		1,316,132
Series 2019-2A, Class A, 2.88%, 09/20/40^(a)		226		204,112
Series 2020-2A, Class B, 2.21%, 08/20/46^(a)		1,203		996,274
Series 2021-1A, Class B, 2.05%, 12/20/46^(a)		340		265,376
Series 2021-2A, Class B, 2.09%, 04/22/47^(a)		3,133		2,343,850
Series 2022-3A, Class A, 6.10%, 06/20/53^(a)		761		777,433
Series 2023-1A, Class A, 5.32%, 06/20/53^(a)		2,557		2,561,058


Security	Par (000)		Value

Asset-Backed Securities (continued)
Myers Park CLO Ltd.
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.66%), 6.94%, 10/20/30^(a)(c)		USD 540	$	540,440
Series 2018-1A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.14%, 10/20/30^(a)(c)		760		761,468
Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1-mo. CME Term SOFR + 0.52%), 5.38%, 04/25/37^(c)		380		362,089
Navient Private Education Loan Trust, Series 2020- IA, Class B, 2.95%, 04/15/69^(a)		1,880		1,612,520
Navient Private Education Refi Loan Trust
Series 2018-DA, Class A2A, 4.00%, 12/15/59^(a)		621		614,074
Series 2019-D, Class A2A, 3.01%, 12/15/59^(a)		2,137		2,077,345
Series 2020-CA, Class A2B, (1-mo. CME Term SOFR + 1.71%), 6.81%, 11/15/68^(a)(c)		2,330		2,348,238
Series 2021-DA, Class A, (Prime Rate + (1.99)%), 6.51%, 04/15/60^(a)(c)		560		553,909
Series 2021-DA, Class B, 2.61%, 04/15/60^(a)		622		553,806
Series 2021-DA, Class C, 3.48%, 04/15/60^(a)		5,000		4,585,165
Series 2021-DA, Class D, 4.00%, 04/15/60^(a)		5,000		4,586,958
Series 2024-A, Class A, 5.66%, 10/15/72^(a)		10,528		10,818,974
Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59^(a)		913		892,725
Nelnet Student Loan Trust
Series 2021-A, Class A1, (1-mo. CME Term SOFR + 0.91%), 5.88%, 04/20/62^(a)(c)		1,129		1,122,495
Series 2021-A, Class A2, (1-mo. CME Term SOFR + 1.14%), 6.11%, 04/20/62^(a)(c)		2,680		2,654,651
Series 2021-A, Class APT2, 1.36%, 04/20/62^(a)		1,595		1,479,249
Series 2021-A, Class B1, 2.85%, 04/20/62^(a)		1,979		1,730,288
Series 2021-A, Class B2, 2.85%, 04/20/62^(a)		1,640		1,433,884
Series 2021-A, Class C, 3.75%, 04/20/62^(a)		124		108,745
Series 2021-A, Class D, 4.93%, 04/20/62^(a)		735		642,391
Series 2021-BA, Class B, 2.68%, 04/20/62^(a)		8,450		7,313,632
Series 2021-BA, Class C, 3.57%, 04/20/62^(a)		386		326,674
Series 2021-BA, Class D, 4.75%, 04/20/62^(a)		8,380		7,152,676
Series 2021-CA, Class B, 2.53%, 04/20/62^(a)		5,370		4,588,194
Series 2021-CA, Class C, 3.36%, 04/20/62^(a)		2,770		2,346,007
Series 2021-CA, Class D, 4.44%, 04/20/62^(a)		5,590		4,713,702
Series 2021-DA, Class B, 2.90%, 04/20/62^(a)		4,800		4,205,127
Series 2021-DA, Class C, 3.50%, 04/20/62^(a)		2,700		2,287,517
Series 2021-DA, Class D, 4.38%, 04/20/62^(a)		680		566,858
Series 2023-PL1A, Class A1A, (SOFR (30-day) + 2.25%), 7.53%, 11/25/53^(a)(c)		2,430		2,423,363
Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.56%, 01/28/30^(a)(c)		356		355,781
Neuberger Berman CLO XV Ltd., Series 2013-15A, Class BR2, (3-mo. CME Term SOFR + 1.61%), 6.91%, 10/15/29^(a)(c)		250		250,185
Neuberger Berman CLO XX Ltd.
Series 2015-20A, Class ARR, (3-mo. CME Term SOFR + 1.42%), 6.72%, 07/15/34^(a)(c)		525		525,202
Series 2015-20A, Class DRR, (3-mo. CME Term SOFR + 3.21%), 8.51%, 07/15/34^(a)(c)		1,000		1,000,068
Series 2015-20A, Class ERR, (3-mo. CME Term SOFR + 6.76%), 12.06%, 07/15/34^(a)(c)		750		752,721
Neuberger Berman Loan Advisers CLO 26 Ltd.,
Series 2017-26A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.46%, 10/18/30^(a)(c)		3,726		3,726,132


S C H E D U L E S O F I N V E S T M E N T S		13

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Neuberger Berman Loan Advisers CLO 31 Ltd., Series 2019-31A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/31^(a)(c)		USD 356	$	356,707
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.94%, 01/20/32^(a)(c)		910		910,136
Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.63%, 10/16/33^(a)(c)		1,970		1,971,271
Neuberger Berman Loan Advisers CLO 34 Ltd.
Series 2019-34A, Class A1R, (3-mo. CME Term SOFR + 1.24%), 6.52%, 01/20/35^(a)(c)		890		890,602
Series 2019-34A, Class BR, (3-mo. CME Term SOFR + 1.75%), 7.03%, 01/20/35^(a)(c)		1,000		1,000,395
Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class A, (3-mo. CME Term SOFR + 1.32%), 6.61%, 04/16/33^(a)(c)		3,772		3,780,084
Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.65%, 07/16/35^(a)(c)		3,250		3,254,908
Neuberger Berman Loan Advisers CLO 43 Ltd., Series 2021-43A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.68%, 07/17/35^(a)(c)		1,000		1,000,346
Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.69%, 10/14/35^(a)(c)		7,840		7,844,519
Neuberger Berman Loan Advisers CLO 46 Ltd., Series 2021-46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 01/20/36^(a)(c)		1,220		1,224,552
Neuberger Berman Loan Advisers CLO 47 Ltd., Series 2022-47A, Class A, (3-mo. CME Term SOFR + 1.30%), 6.60%, 04/14/35^(a)(c)		750		750,266
Neuberger Berman Loan Advisers CLO 54 Ltd., Series 2024-54A, Class B, (3-mo. CME Term SOFR + 1.95%), 7.26%, 04/23/38^(a)(c)		970		976,674
Neuberger Berman Loan Advisers CLO 55 Ltd., Series 2024-55A, Class C, (3-mo. CME Term SOFR + 2.35%), 7.67%, 04/22/38^(a)(c)		1,000		1,011,531
New Mountain CLO 1 Ltd., Series CLO-1A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.76%, 10/15/34^(a)(c)		1,340		1,340,627
New Mountain CLO 6 Ltd., Series CLO-6A, Class A, (3-mo. CME Term SOFR + 1.40%), 10/15/37^(a)(c)(e).		4,840		4,843,388
New Residential Mortgage Loan Trust
Series 2022-SFR1, Class F, 4.44%, 02/17/39^(a)		502		456,762
Series 2022-SFR2, Class F, 4.00%, 09/04/39^(a)		3,692		3,289,829
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1-mo. CME Term SOFR + 0.51%), 5.37%, 10/25/36^(a)(c)		102		123,632
NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1-mo. CME Term SOFR + 0.59%), 5.45%, 11/25/36^(c)		3,719		1,137,510
Oaktree CLO Ltd.
Series 2020-1A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.21%, 07/15/34^(a)(c)		2,000		2,007,549
Series 2024-27A, Class A2, (3-mo. CME Term SOFR + 1.57%), 6.35%, 10/22/37^(a)(c)		610		608,939
Series 2024-27A, Class D1, (3-mo. CME Term SOFR + 3.00%), 7.78%, 10/22/37^(a)(c)		320		323,503
Oakwood Mortgage Investors, Inc.
Series 1999-C, Class A2, 7.48%, 08/15/27		1,619		1,276,329
Series 2001-D, Class A2, 5.26%, 01/15/19^(c)		24		9,816


Security	Par (000)		Value

Asset-Backed Securities (continued)
Oakwood Mortgage Investors, Inc.
Series 2002-A, Class M1, 7.76%, 03/15/32^(c)		USD 1,763	$	1,693,434
Series 2002-C, Class M1, 6.89%, 11/15/32^(c)		1,841		1,795,968
Ocean Trails CLO V, Series 2014-5A, Class BRR, (3-mo. CME Term SOFR + 2.21%), 7.51%, 10/13/31^(a)(c)		500		502,050
OCP CLO Ltd.
Series 2015-9A, Class A1R2, (3-mo. CME Term SOFR + 1.25%), 6.55%, 01/15/33^(a)(c)		1,400		1,401,107
Series 2016-11A, Class A1R2, (3-mo. CME Term SOFR + 1.42%), 6.70%, 04/26/36^(a)(c)		2,060		2,060,534
Series 2016-12A, Class A1R3, (3-mo. CME Term SOFR + 1.37%), 10/18/37^(a)(c)(e)		2,500		2,500,000
Series 2016-12A, Class BAR3, (3-mo. CME Term SOFR + 1.68%), 10/18/37^(a)(c)(e)		5,360		5,360,000
Series 2016-12A, Class BR2, (3-mo. CME Term SOFR + 1.81%), 7.09%, 04/18/33^(a)(c)		3,000		3,005,707
Series 2017-13A, Class A1AR, (3-mo. CME Term SOFR + 1.22%), 6.52%, 07/15/30^(a)(c)		2,496		2,497,361
Series 2017-13A, Class A2R, (3-mo. CME Term SOFR + 1.81%), 7.11%, 07/15/30^(a)(c)		250		250,057
Series 2017-14A, Class D1R, (3-mo. CME Term SOFR + 3.10%), 7.84%, 07/20/37^(a)(c)		1,130		1,142,819
Series 2019-16A, Class AR, (3-mo. CME Term SOFR + 1.26%), 6.57%, 04/10/33^(a)(c)		1,456		1,456,091
Series 2019-17A, Class AR2, (3-mo. CME Term SOFR + 1.40%), 6.70%, 07/20/37^(a)(c)		1,680		1,684,163
Series 2020-18A, Class A1R2, (3-mo. CME Term SOFR + 1.37%), 6.60%, 07/20/37^(a)(c)		1,100		1,100,557
Series 2020-18A, Class D1R2, (3-mo. CME Term SOFR + 3.10%), 8.33%, 07/20/37^(a)(c)		360		364,217
Series 2020-20A, Class B1R, (3-mo. CME Term SOFR + 1.95%), 7.23%, 04/18/37^(a)(c)		370		372,384
Series 2020-8RA, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.77%, 01/17/32^(a)(c)		1,382		1,383,919
Series 2021-22A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.72%, 12/02/34^(a)(c)		2,020		2,022,275
Series 2021-22A, Class B1, (3-mo. CME Term SOFR + 1.96%), 7.24%, 12/02/34^(a)(c)		340		341,484
Series 2024-37A, Class A1, (3-mo. CME Term SOFR + 1.36%), 10/15/37^(a)(c)(e)		2,180		2,180,000
Series 2024-37A, Class B1, (3-mo. CME Term SOFR + 1.68%), 10/15/37^(a)(c)(e)		2,180		2,180,000
Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34^(a)(c)		250		250,356
Octagon 57 Ltd., Series 2021-1A, Class B1, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34^(a)(c)		870		872,605
Octagon 66 Ltd., Series 2022-1A, Class A1R, (3-mo. CME Term SOFR + 1.75%), 6.85%, 11/16/36^(a)(c)		6,100		6,141,977
Octagon Investment Partners 18-R Ltd., Series 2018- 18A, Class A1A, (3-mo. CME Term SOFR + 1.22%), 6.51%, 04/16/31^(a)(c)		1,891		1,893,652
Octagon Investment Partners 36 Ltd., Series 2018- 1A, Class A1, (3-mo. CME Term SOFR + 1.23%), 6.53%, 04/15/31^(a)(c)		1,035		1,036,117
Octagon Investment Partners 37 Ltd., Series 2018- 2A, Class A2, (3-mo. CME Term SOFR + 1.84%), 7.13%, 07/25/30^(a)(c)		650		650,597
Octagon Investment Partners 39 Ltd.
Series 2018-3A, Class AR, (3-mo. CME Term SOFR + 1.15%), 6.43%, 10/20/30^(a)(c)		1,534		1,534,510


14		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Octagon Investment Partners 39 Ltd. Series 2018-3A, Class BR, (3-mo. CME Term SOFR + 1.80%), 7.08%, 10/20/30^(a)(c)		USD 5,640	$	5,645,904
Octagon Investment Partners 51 Ltd., Series 2021- 1A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.69%, 07/20/34^(a)(c)		1,250		1,250,129
Octagon Investment Partners XIV Ltd., Series 2012- 1A, Class AARR, (3-mo. CME Term SOFR + 1.21%), 6.51%, 07/15/29^(a)(c)		31		30,770
Octagon Investment Partners XV Ltd., Series 2013- 1A, Class A2R, (3-mo. CME Term SOFR + 1.61%), 6.89%, 07/19/30^(a)(c)		350		350,811
Octagon Investment Partners XVI Ltd., Series 2013- 1A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.57%, 07/17/30^(a)(c)		371		371,688
Octagon Investment Partners XVII Ltd.
Series 2013-1A, Class A1R2, (3-mo. CME Term SOFR + 1.26%), 6.55%, 01/25/31^(a)(c)		481		481,259
Series 2013-1A, Class A2R2, (3-mo. CME Term SOFR + 1.36%), 6.65%, 01/25/31^(a)(c)		500		500,004
OHA Credit Funding 17 Ltd., Series 2024-17A, Class A, (3-mo. CME Term SOFR + 1.48%), 6.79%, 04/20/37^(a)(c)		2,140		2,140,837
OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.69%, 04/21/34^(a)(c)		1,800		1,800,595
OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.68%, 07/02/35^(a)(c)		250		250,082
OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.69%, 10/22/36^(a)(c)		1,000		1,000,309
Oha Credit Funding 5 Ltd.
Series 2020-5A, Class AR, (3-mo. CME Term SOFR + 1.35%), 0.00%, 10/18/37^(a)(d)		12,790		12,790,000
Series 2020-5A, Class B1R, (3-mo. CME Term SOFR + 1.70%), 0.00%, 10/18/37^(a)(d)		2,600		2,600,000
OHA Credit Funding 5 Ltd.
Series 2020-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 04/18/33^(a)(c)		295		295,132
Series 2020-5A, Class A2A, (3-mo. CME Term SOFR + 1.71%), 6.99%, 04/18/33^(a)(c)		300		300,111
Series 2020-5A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 04/18/33^(a)(c)		2,080		2,086,847
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.68%, 07/20/34^(a)(c)		670		670,153
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.58%, 02/24/37^(a)(c)		3,520		3,522,908
OHA Credit Funding 9 Ltd.
Series 2021-9A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 10/19/37^(a)(c)(e)		3,890		3,890,000
Series 2021-9A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.24%, 07/19/35^(a)(c)		1,890		1,899,727
Series 2021-9A, Class B1R, (3-mo. CME Term SOFR + 1.70%), 10/19/37^(a)(c)(e)		1,890		1,890,000
OHA Credit Partners XI Ltd., Series 2015-11A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.74%, 04/20/37^(a)(c)		3,345		3,353,441


Security	Par (000)		Value

Asset-Backed Securities (continued)
OHA Credit Partners XII Ltd., Series 2015-12A, Class B1R2, (3-mo. CME Term SOFR + 1.95%), 7.23%, 04/23/37^(a)(c)		USD 1,700	$	1,716,170
OHA Credit Partners XVI, Series 2021-16A, Class AR, (3-mo. CME Term SOFR + 1.35%), 6.20%, 10/18/37^(a)(c)		5,340		5,340,259
OHA Loan Funding Ltd.
Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.40%, 05/23/31^(a)(c)		843		844,000
Series 2015-1A, Class AR3, (3-mo. CME Term SOFR + 1.41%), 6.69%, 01/19/37^(a)(c)		1,360		1,361,375
Series 2016-1A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.80%, 07/20/37^(a)(c)		2,640		2,642,881
OneMain Financial Issuance Trust
Series 2021-1A, Class B, 1.95%, 06/16/36^(a)		4,700		4,312,710
Series 2021-1A, Class C, 2.22%, 06/16/36^(a)		4,680		4,269,527
Series 2023-2A, Class D, 7.52%, 09/15/36^(a)		1,720		1,813,046
Series 2024-1A, Class A, 5.79%, 05/14/41^(a)		10,618		11,228,280
Option One Mortgage Loan Trust
Series 2005-4, Class M3, (1-mo. CME Term SOFR + 0.85%), 5.70%, 11/25/35^(c)		460		389,840
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37^(b).		4,040		3,505,932
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37^(b).		2,440		2,128,219
Orchard Park CLO Ltd.
Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 10/20/37^(a)(c)(e)		14,850		14,850,000
Series 2024-1A, Class B1, (3-mo. CME Term SOFR + 1.70%), 10/20/37^(a)(c)(e)		1,340		1,340,000
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1-mo. LIBOR US + 1.20%), 6.41%, 10/15/37^(a)(c)		540		533,982
OSD CLO Ltd., Series 2021-23A, Class E, (3-mo. CME Term SOFR + 6.26%), 11.55%, 04/17/31^(a)(c).		1,000		1,000,078
Owl Rock CLO V Ltd., Series 2020-5A, Class A1R, (3-mo. CME Term SOFR + 1.78%), 7.06%, 04/20/34^(a)(c)		1,350		1,351,701
Owl Rock CLO XVIII LLC, Series 2024-18A, Class A, (3-mo. CME Term SOFR + 1.70%), 7.00%, 07/24/36^(a)(c)		2,990		2,986,049
OZLM VIII Ltd.
Series 2014-8A, Class A2R3, (3-mo. CME Term SOFR + 1.91%), 7.20%, 10/17/29^(a)(c)		1,185		1,185,283
Series 2014-8A, Class BR3, (3-mo. CME Term SOFR + 2.36%), 7.65%, 10/17/29^(a)(c)		1,750		1,752,791
OZLM XIV Ltd., Series 2015-14A, Class A1SR, (3- mo. CME Term SOFR + 1.51%), 6.81%, 07/15/34^(a)(c)		1,500		1,501,116
OZLM XVIII Ltd., Series 2018-18A, Class B, (3-mo. CME Term SOFR + 1.81%), 7.11%, 04/15/31^(a)(c)		550		551,595
OZLM XXII Ltd.
Series 2018-22A, Class A1, (3-mo. CME Term SOFR + 1.33%), 6.62%, 01/17/31^(a)(c)		522		522,692
Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.05%, 01/17/31^(a)(c)		500		501,452
Pagaya AI Debt Selection Trust, Series 2021-2, Class NOTE, 3.00%, 01/25/29^(a)		285		280,310
Pagaya AI Technology in Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40^(a)		1,000		794,213
Palmer Square CLO Ltd. Series 2013-2A, Class A1A3, (3-mo. CME Term SOFR + 1.26%), 6.55%, 10/17/31^(a)(c)		1,853		1,854,137


S C H E D U L E S O F I N V E S T M E N T S		15

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Palmer Square CLO Ltd.
Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.68%, 01/17/31^(a)(c)		USD 245	$	246,416
Series 2014-1A, Class CR2, (3-mo. CME Term SOFR + 2.91%), 8.20%, 01/17/31^(a)(c)		400		400,933
Series 2015-1A, Class A1A4, (3-mo. CME Term SOFR + 1.39%), 6.52%, 05/21/34^(a)(c)		660		661,108
Series 2015-1A, Class A2R4, (3-mo. CME Term SOFR + 1.96%), 7.09%, 05/21/34^(a)(c)		1,330		1,333,227
Series 2015-2A, Class CR2, (3-mo. CME Term SOFR + 3.01%), 8.29%, 07/20/30^(a)(c)		1,250		1,253,414
Series 2019-1A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.53%, 11/14/34^(a)(c)		2,380		2,383,808
Series 2020-3A, Class A1R2, (3-mo. CME Term SOFR + 1.65%), 6.77%, 11/15/36^(a)(c)		960		963,279
Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.71%, 01/15/35^(a)(c)		390		390,410
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34^(a)(c)		250		250,908
Series 2022-3A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 6.54%, 07/20/37^(a)(c)		720		720,007
Series 2022-3A, Class B1R, (3-mo. CME Term SOFR + 1.60%), 6.79%, 07/20/37^(a)(c)		250		250,617
Series 2022-3A, Class D1R, (3-mo. CME Term SOFR + 2.95%), 8.14%, 07/20/37^(a)(c)		450		451,922
Series 2024-2A, Class B, (3-mo. CME Term SOFR + 1.65%), 6.94%, 07/20/37^(a)(c)		2,300		2,301,974
Palmer Square Loan Funding Ltd.
Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 1.51%), 6.64%, 05/20/29^(a)(c)		3,560		3,565,291
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.54%, 07/20/29^(a)(c)		250		250,386
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.31%, 10/15/29^(a)(c)		250		250,555
Series 2021-4A, Class C, (3-mo. CME Term SOFR + 2.86%), 8.16%, 10/15/29^(a)(c)		250		249,503
Series 2022-2A, Class A2, (3-mo. CME Term SOFR + 1.90%), 7.20%, 10/15/30^(a)(c)		2,350		2,353,713
Series 2022-2A, Class B, (3-mo. CME Term SOFR + 2.20%), 7.50%, 10/15/30^(a)(c)		1,360		1,363,624
Series 2022-2A, Class C, (3-mo. CME Term SOFR + 3.10%), 8.40%, 10/15/30^(a)(c)		250		251,500
Series 2022-3A, Class A2R, (3-mo. CME Term SOFR + 1.60%), 6.90%, 04/15/31^(a)(c)		10,380		10,362,056
Series 2024-1A, Class A2, (3-mo. CME Term SOFR + 1.45%), 6.56%, 10/15/32^(a)(c)		1,150		1,155,668
Park Avenue Institutional Advisers CLO Ltd.
Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.56%, 08/23/31^(a)(c)		158		157,816
Series 2017-1A, Class DR, (3-mo. CME Term SOFR + 7.07%), 12.19%, 02/14/34^(a)(c)		900		856,723
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.96%, 07/15/34^(a)(c)		1,900		1,905,176
Pikes Peak CLO 1, Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.73%, 07/24/31^(a)(c)		548		548,384
Pikes Peak CLO 4, Series 2019-4A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.76%, 07/15/34^(a)(c)		250		250,000
Pikes Peak CLO 6, Series 2020-6A, Class AR2, (3- mo. CME Term SOFR + 1.43%), 6.53%, 05/18/34^(a)(c)		1,406		1,406,555


Security	Par (000)		Value

Asset-Backed Securities (continued)
Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class M1, (1-mo. CME Term SOFR + 0.65%), 5.51%, 05/25/36^(c)		USD 3,259	$	3,099,700
PRET LLC
Series 2021-NPL6, Class A1, 2.49%, 07/25/51^(a)(b)		4,443		4,415,451
Series 2021-RN4, Class A1, 2.49%, 10/25/51^(a)(c)		4,950		4,944,397
Series 2023-RN2, Class A1, 8.11%, 11/25/53^(a)(b)		4,331		4,393,891
Series 2024-NPL4, Class A1, 7.00%, 07/25/54^(a)(b)		4,829		4,886,250
Series 2024-NPL5, Class A1, 5.96%, 09/25/54^(a)(b)		3,767		3,766,970
Prodigy Finance DAC
Series 2021-1A, Class B, (1-mo. CME Term SOFR + 2.61%), 7.47%, 07/25/51^(a)(c)		760		760,980
Series 2021-1A, Class C, (1-mo. CME Term SOFR + 3.86%), 8.72%, 07/25/51^(a)(c)		760		765,262
Series 2021-1A, Class D, (1-mo. CME Term SOFR + 6.01%), 10.87%, 07/25/51^(a)(c)		567		574,893
Progress Residential Trust
Series 2021-SFR10, Class E2, 3.67%, 12/17/40^(a)		937		869,482
Series 2021-SFR10, Class F, 4.61%, 12/17/40^(a)		3,786		3,552,706
Series 2021-SFR5, Class F, 3.16%, 07/17/38^(a)		1,808		1,711,865
Series 2021-SFR6, Class F, 3.42%, 07/17/38^(a)		3,577		3,392,052
Series 2021-SFR8, Class F, 3.18%, 10/17/38^(a)		4,500		4,220,020
Series 2021-SFR9, Class F, 4.05%, 11/17/40^(a)		2,400		2,201,735
Series 2022-SFR1, Class F, 4.88%, 02/17/41^(a)		5,000		4,618,494
Series 2022-SFR5, Class E1, 6.62%, 06/17/39^(a)		3,130		3,177,284
Series 2023-SFR2, Class E1, 4.75%, 10/17/40^(a)		1,041		987,333
Series 2024-SFR2, Class E1, 3.40%, 04/17/41^(a)(c)		2,000		1,802,358
Series 2024-SFR2, Class E2, 3.65%, 04/17/41^(a)(c)		2,000		1,796,365
Series 2024-SFR4, Class E1, 3.33%, 07/17/41^(a)		5,640		5,027,987
Series 2024-SFR4, Class E2, 3.40%, 07/17/41^(a)		5,000		4,415,821
RAAC Trust, Series 2006-SP3, Class M3, (1-mo. CME Term SOFR + 1.46%), 6.32%, 08/25/36^(c)		1,613		1,563,742
Race Point IX CLO Ltd., Series 2015-9A, Class A1A2, (3-mo. CME Term SOFR + 1.20%), 6.50%, 10/15/30^(a)(c)		246		246,271
Rad CLO 15 Ltd.
Series 2021-15A, Class A, (3-mo. CME Term SOFR + 1.35%), 6.63%, 01/20/34^(a)(c)		1,540		1,541,404
Series 2021-15A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 01/20/34^(a)(c)		820		821,105
Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.74%, 01/20/34^(a)(c)		4,500		4,468,824
RAD CLO 23 Ltd., Series 2024-23A, Class B1, (3-mo. CME Term SOFR + 2.05%), 7.34%, 04/20/37^(a)(c)		1,090		1,098,531
Rad CLO 7 Ltd.
Series 2020-7A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 6.64%, 04/17/36^(a)(c)		700		700,014
Series 2020-7A, Class B1R, (3-mo. CME Term SOFR + 1.90%), 7.19%, 04/17/36^(a)(c)		2,500		2,502,547
Series 2020-7A, Class CR, (3-mo. CME Term SOFR + 2.60%), 7.89%, 04/17/36^(a)(c)		1,340		1,352,362
Series 2020-7A, Class D1R, (3-mo. CME Term SOFR + 4.15%), 9.44%, 04/17/36^(a)(c)		480		489,143
Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3-mo. CME Term SOFR + 2.16%), 7.46%, 01/15/34^(a)(c)		500		501,062
Redwood Funding Trust, Series 2023-1, Class A, 7.50%, 07/25/59^(a)(b)		568		567,905
Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3-mo. CME Term SOFR + 1.42%), 6.70%, 04/20/34^(a)(c)		3,000		3,003,924


16		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3-mo. CME Term SOFR + 1.86%), 6.68%, 06/20/34^(a)(c)		USD 250	$	251,014
Regatta VIII Funding Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 2.05%), 7.38%, 04/17/37^(a)(c)		1,255		1,263,659
Regatta XI Funding Ltd.
Series 2018-1A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.70%, 07/17/37^(a)(c)		250		250,195
Series 2018-1A, Class BR, (3-mo. CME Term SOFR + 1.75%), 7.05%, 07/17/37^(a)(c)		4,650		4,655,918
Regatta XII Funding Ltd., Series 2019-1A, Class ARR, (3-mo. CME Term SOFR + 1.39%), 10/15/37^(a)(c)(e)		4,670		4,670,000
Regatta XIX Funding Ltd.
Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 6.60%, 04/20/35^(a)(c)		250		250,376
Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.85%), 7.13%, 04/20/35^(a)(c)		420		421,928
Regatta XV Funding Ltd., Series 2018-4A, Class A1R, (3-mo. CME Term SOFR + 1.20%), 6.49%, 10/25/31^(a)(c)		462		462,531
Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.17%, 10/15/33^(a)(c)		500		500,569
Regatta XVIII Funding Ltd., Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.66%, 01/15/34^(a)(c)		250		250,300
Regatta XXIII Funding Ltd., Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.69%, 01/20/35^(a)(c)		840		841,254
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.34%, 01/20/35^(a)(c)		1,500		1,502,869
Regatta XXVII Funding Ltd., Series 2024-1A, Class A1, (3-mo. CME Term SOFR + 1.53%), 6.83%, 04/26/37^(a)(c)		2,040		2,053,647
Regional Management Issuance Trust
Series 2020-1, Class A, 2.34%, 10/15/30^(a)		155		153,954
Series 2020-1, Class B, 3.23%, 10/15/30^(a)		320		315,643
Series 2021-1, Class A, 1.68%, 03/17/31^(a)		61		59,806
Series 2021-2, Class B, 2.35%, 08/15/33^(a)		1,098		1,001,479
Series 2021-2, Class C, 3.23%, 08/15/33^(a)		820		753,704
Series 2021-3, Class A, 3.88%, 10/17/33^(a)(f)		10,210		9,534,098
Series 2022-1, Class A, 3.07%, 03/15/32^(a)		2,527		2,484,056
Series 2022-1, Class B, 3.71%, 03/15/32^(a)		5,452		5,294,889
Series 2022-1, Class C, 4.46%, 03/15/32^(a)		1,111		1,082,614
Series 2022-1, Class D, 6.72%, 03/15/32^(a)		2,072		2,031,000
Series 2022-2B, Class A, 7.10%, 11/17/32^(a)		6,193		6,212,597
Series 2024-1, Class D, 7.46%, 07/15/36^(a)		1,034		1,075,306
Renaissance Home Equity Loan Trust, Series 2005-3, Class AF4, 5.14%, 11/25/35^(b)		540		537,806
Republic Finance Issuance Trust
Series 2021-A, Class D, 5.23%, 12/22/31^(a)		3,550		3,416,416
Series 2024-A, Class B, 6.47%, 08/20/32^(a)		4,430		4,508,933
Series 2024-A, Class C, 7.28%, 08/20/32^(a)		1,794		1,829,705
Series 2024-A, Class D, 9.49%, 08/20/32^(a)		4,072		4,159,279
Riserva CLO Ltd., Series 2016-3A, Class ARR, (3- mo. CME Term SOFR + 1.32%), 6.60%, 01/18/34^(a)(c)		1,100		1,100,384


Security	Par (000)		Value

Asset-Backed Securities (continued)
Rockford Tower CLO Ltd.
Series 2017-1A, Class AR2, (3-mo. CME Term SOFR + 1.36%), 6.64%, 04/20/34^(a)(c)		USD 500	$	500,161
Series 2017-2A, Class BR, (3-mo. CME Term SOFR + 1.76%), 7.06%, 10/15/29^(a)(c)		1,250		1,250,697
Series 2017-2A, Class CR, (3-mo. CME Term SOFR + 2.16%), 7.46%, 10/15/29^(a)(c)		1,000		1,000,907
Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.41%, 10/15/29^(a)(c)		1,000		1,000,189
Series 2017-3A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.73%, 10/20/30^(a)(c)		1,405		1,406,953
Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.49%, 05/20/31^(a)(c)		1,028		1,028,870
Series 2018-2A, Class A, (3-mo. CME Term SOFR + 1.42%), 6.70%, 10/20/31^(a)(c)		177		177,281
Series 2018-2A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.34%, 10/20/31^(a)(c)		620		621,375
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 07/20/34^(a)(c)		3,500		3,503,818
Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.70%, 07/20/34^(a)(c)		1,510		1,510,364
Romark CLO II Ltd., Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.14%), 6.43%, 07/25/31^(a)(c)		206		206,466
Romark CLO Ltd., Series 2017-1A, Class A1R, (3- mo. CME Term SOFR + 1.29%), 6.58%, 10/23/30^(a)(c)		443		444,004
Romark WM-R Ltd., Series 2018-1A, Class A1, (3- mo. CME Term SOFR + 1.29%), 6.57%, 04/20/31^(a)(c)		840		840,146
RR 12 Ltd., Series 2020-12A, Class A2R3, (3-mo. CME Term SOFR + 1.60%), 6.90%, 01/15/36^(a)(c)		1,210		1,209,949
RR 18 Ltd., Series 2021-18A, Class A2, (3-mo. CME Term SOFR + 1.86%), 7.16%, 10/15/34^(a)(c)		650		652,199
RR 19 Ltd., Series 2021-19A, Class A2, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/35^(a)(c)		500		502,721
RR 26 Ltd., Series 2023-26A, Class A1, (3-mo. CME Term SOFR + 1.78%), 7.08%, 04/15/38^(a)(c)		720		722,892
RR 28 Ltd., Series 2024-28RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.85%, 04/15/37^(a)(c)		250		250,656
RR 29 Ltd., Series 2024-29RA, Class A1R, (3-mo. CME Term SOFR + 1.39%), 6.69%, 07/15/39^(a)(c)		250		251,284
RR 3 Ltd., Series 2018-3A, Class A1R2, (3-mo. CME Term SOFR + 1.35%), 6.65%, 01/15/30^(a)(c)		1,757		1,757,689
RR 32 Ltd.
Series 2024-32RA, Class A1R, (3-mo. CME Term SOFR + 1.36%), 10/15/39^(a)(c)(e)		11,850		11,850,000
Series 2024-32RA, Class A2R, (3-mo. CME Term SOFR + 1.70%), 10/15/39^(a)(c)(e)		2,690		2,690,000
Sandstone Peak Ltd.
Series 2021-1A, Class A2R, (3-mo. CME Term SOFR + 1.68%), 6.53%, 10/15/34^(a)(c)		3,360		3,360,000
Series 2021-1A, Class B1R, (3-mo. CME Term SOFR + 1.83%), 6.68%, 10/15/34^(a)(c)		1,290		1,290,000
Saxon Asset Securities Trust, Series 2004-2, Class MF5, 3.01%, 08/25/35^(b)		397		301,153
Securitized Asset-Backed Receivables LLC Trust
Series 2007-BR1, Class A2A, (1-mo. CME Term SOFR + 0.33%), 5.19%, 02/25/37^(c)		385		168,548
Series 2007-BR1, Class A2B, (1-mo. CME Term SOFR + 0.65%), 5.51%, 02/25/37^(c)		2,054		897,829


S C H E D U L E S O F I N V E S T M E N T S		17

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities (continued)
Securitized Asset-Backed Receivables LLC Trust Series 2007-NC2, Class A2C, (1-mo. CME Term SOFR + 0.55%), 5.41%, 01/25/37^(c)		USD 446	$	322,426
Service Experts Issuer LLC
Series 2021-1A, Class A, 2.67%, 02/02/32^(a)		1,662		1,610,114
Series 2024-1A, Class A, 6.39%, 11/20/35^(a)		2,605		2,685,292
SESAC Finance LLC
Series 2019-1, Class A2, 5.22%, 07/25/49^(a)		2,478		2,466,418
Series 2024-1, Class A2, 6.42%, 01/25/54^(a)		671		687,172
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1-mo. CME Term SOFR + 0.43%), 5.29%, 07/25/36^(c)		184		39,701
Shackleton CLO Ltd., Series 2013-3A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.68%, 07/15/30^(a)(c)		277		277,007
Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, (3-mo. CME Term SOFR + 1.42%), 6.71%, 04/17/34^(a)(c)		2,750		2,753,495
Signal Peak CLO 5 Ltd.
Series 2018-5A, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.84%, 04/25/37^(a)(c)		1,810		1,814,786
Series 2018-5A, Class BR, (3-mo. CME Term SOFR + 2.20%), 7.49%, 04/25/37^(a)(c)		390		394,395
Signal Peak CLO 7 Ltd.
Series 2019-1A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 5.98%, 10/20/37^(a)(c)		600		600,000
Series 2019-1A, Class BR, (3-mo. CME Term SOFR + 1.80%), 6.36%, 10/20/37^(a)(c)		480		480,000
Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3-mo. CME Term SOFR + 1.53%), 6.81%, 04/20/33^(a)(c)		500		501,083
Silver Point CLO 5 Ltd., Series 2024-5A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.13%, 10/20/37^(a)(c)		970		970,474
Sixth Street CLO IX Ltd., Series 2017-9A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.66%, 07/21/37^(a)(c)		1,290		1,291,935
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.74%, 01/20/34^(a)(c)		500		498,575
Sixth Street CLO XX Ltd., Series 2021-20A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 10/20/34^(a)(c)		970		973,599
SLM Private Credit Student Loan Trust
Series 2005-A, Class A4, (3-mo. CME Term SOFR + 0.57%), 5.52%, 12/15/38^(c)		873		860,762
Series 2005-B, Class A4, (3-mo. CME Term SOFR + 0.59%), 5.54%, 06/15/39^(c)		679		665,875
Series 2006-BW, Class A5, (3-mo. CME Term SOFR + 0.46%), 5.41%, 12/15/39^(c)		1,292		1,246,896
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1-mo. CME Term SOFR + 4.86%), 9.96%, 10/15/41^(a)(c)		2,379		2,490,253
SMB Private Education Loan Trust
Series 2015-C, Class B, 3.50%, 09/15/43^(a)		1,110		1,097,700
Series 2016-B, Class A2A, 2.43%, 02/17/32^(a)		172		170,218
Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.11%, 09/15/34^(a)(c)		422		422,627
Series 2017-B, Class A2A, 2.82%, 10/15/35^(a)		324		318,041
Series 2017-B, Class A2B, (1-mo. CME Term SOFR + 0.86%), 5.96%, 10/15/35^(a)(c)		532		531,120


Security	Par (000)		Value

Asset-Backed Securities (continued)
SMB Private Education Loan Trust
Series 2018-A, Class A2B, (1-mo. CME Term SOFR + 0.91%), 6.01%, 02/15/36^(a)(c)		USD 1,209	$	1,206,153
Series 2019-B, Class A2A, 2.84%, 06/15/37^(a)		1,717		1,667,328
Series 2021-A, Class C, 2.99%, 01/15/53^(a)		2,274		1,966,220
Series 2021-A, Class D1, 3.86%, 01/15/53^(a)		484		434,248
Series 2021-A, Class D2, 3.86%, 01/15/53^(a)		330		295,659
Series 2021-B, Class A, 1.31%, 07/17/51^(a)		1,958		1,816,560
Series 2021-C, Class A2, (1-mo. CME Term SOFR + 0.91%), 6.01%, 01/15/53^(a)(c)		1,158		1,145,679
Series 2021-C, Class APT1, 1.39%, 01/15/53^(a)		1,045		950,078
Series 2021-C, Class B, 2.30%, 01/15/53^(a)		748		713,392
Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 6.79%, 03/15/56^(a)(c)		6,503		6,542,996
Series 2024-A, Class B, 5.88%, 03/15/56^(a)		6,500		6,684,023
Series 2024-C, Class A1B, (SOFR (30-day) + 1.10%), 6.44%, 06/17/52^(a)(c)		2,544		2,523,412
SoFi Personal Loan Trust
Series 2023-1A, Class A, 6.00%, 11/12/30^(a)		5,128		5,220,526
Series 2024-1A, Class A, 6.06%, 02/12/31^(a)		6,946		7,071,580
SoFi Professional Loan Program LLC
Series 2018-A, Class B, 3.61%, 02/25/42^(a)		290		274,119
Series 2019-B, Class A2FX, 3.09%, 08/17/48^(a)		265		258,845
SoFi Professional Loan Program Trust
Series 2018-B, Class BFX, 3.83%, 08/25/47^(a)		156		147,903
Series 2018-D, Class BFX, 4.14%, 02/25/48^(a)		100		94,863
Series 2020-A, Class BFX, 3.12%, 05/15/46^(a)		226		194,557
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.61%, 01/26/31^(a)(c)		136		136,290
Soundview Home Loan Trust
Series 2004-WMC1, Class M2, (1-mo. CME Term SOFR + 0.91%), 5.76%, 01/25/35^(c)		92		77,691
Series 2005-OPT3, Class M4, (1-mo. CME Term SOFR + 1.13%), 5.99%, 11/25/35^(c)		313		243,839
Series 2007-NS1, Class M1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 01/25/37^(c)		445		425,413
Southwick Park CLO LLC
Series 2019-4A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 6.60%, 07/20/32^(a)(c)		450		450,274
Series 2019-4A, Class B1R, (3-mo. CME Term SOFR + 1.76%), 7.04%, 07/20/32^(a)(c)		380		380,330
SPLT
Series 23-1, Class R1, 0.00%, 10/15/30^(a)(d)		43		2,132,602
Series 24-1, Class R1, 0.00%, 02/12/31^(a)(d)		135		5,202,759
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 09/25/37^(a)		920		853,288
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.51%), 6.81%, 10/15/30^(a)(c)		110		110,413
Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 12/29/29^(a)(c)(d)		1,000		2,130
Structured Asset Investment Loan Trust, Series 2004- 10, Class A11, (1-mo. CME Term SOFR + 1.61%), 6.47%, 11/25/34^(c)		110		115,653
Structured Asset Securities Corp. Mortgage Loan Trust
Series 2007-GEL1, Class A3, (1-mo. CME Term SOFR + 0.71%), 5.57%, 01/25/37^(a)(c)		1,494		1,217,749
Series 2007-GEL2, Class M1, (1-mo. CME Term SOFR + 1.16%), 6.02%, 05/25/37^(a)(c)		1,641		1,290,778


18		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Subway Funding LLC, Series 2024-1A, Class A2II, 6.27%, 07/30/54^(a)	USD		3,606	$	3,723,994
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54^(a)			898		852,265
Sycamore Tree CLO Ltd., Series 2024-5A, Class B, (3-mo. CME Term SOFR + 2.25%), 7.57%, 04/20/36^(a)(c)			2,150		2,158,868
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3-mo. CME Term SOFR + 1.22%), 6.51%, 04/16/31^(a)(c)			767		767,301
Symphony CLO XVI Ltd., Series 2015-16A,
Class ARR, (3-mo. CME Term SOFR + 1.20%), 6.50%, 10/15/31^(a)(c)			1,575		1,576,037
Symphony CLO XX Ltd., Series 2018-20A,
Class BR2, (3-mo. CME Term SOFR + 1.55%), 6.84%, 01/16/32^(a)(c)			640		639,046
Symphony CLO XXI Ltd., Series 2019-21A, Class AR, (3-mo. CME Term SOFR + 1.32%), 6.62%, 07/15/32^(a)(c)			410		410,468
Symphony CLO XXIII Ltd.
Series 2020-23A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.16%, 01/15/34^(a)(c)			1,150		1,151,835
Series 2020-23A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.56%, 01/15/34^(a)(c)			1,500		1,504,276
Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.71%, 01/15/34^(a)(c)			1,250		1,254,092
Symphony CLO XXIV Ltd., Series 2020-24A, Class AR, (3-mo. CME Term SOFR + 1.20%), 6.48%, 01/23/32^(a)(c)			236		236,007
Symphony CLO XXVI Ltd., Series 2021-26A,
Class AR, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/20/33^(a)(c)			646		647,006
Symphony Static CLO I Ltd., Series 2021-1A,
Class C, (3-mo. CME Term SOFR + 2.11%), 7.40%, 10/25/29^(a)(c)			500		501,321
TCI-Flatiron CLO Ltd.
Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.22%), 6.32%, 11/18/30^(a)(c)			302		302,090
Series 2018-1A, Class ANR, (3-mo. CME Term SOFR + 1.32%), 6.59%, 01/29/32^(a)(c)			309		309,372
TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.11%, 07/15/30^(a)(c)			1,000		1,001,359
Terwin Mortgage Trust, Series 2005-10HE, Class M5, (1-mo. CME Term SOFR + 1.13%), 5.99%, 06/25/36^(c)			256		230,242
Thayer Park CLO Ltd., Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/34^(a)(c)			950		950,069
TICP CLO VI Ltd.
Series 2016-6A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 6.68%, 01/15/34^(a)(c)			4,250		4,252,635
Series 2016-6A, Class BR2, (3-mo. CME Term SOFR + 1.76%), 7.06%, 01/15/34^(a)(c)			320		320,866
TICP CLO VII Ltd.
Series 2017-7A, Class BR2, (3-mo. CME Term SOFR + 1.90%), 7.20%, 04/15/33^(a)(c)			2,740		2,747,161
Series 2017-7A, Class ER, (3-mo. CME Term SOFR + 7.31%), 12.61%, 04/15/33^(a)(c)			600		594,140
TICP CLO VIII Ltd., Series 2017-8A, Class A2R, (3- mo. CME Term SOFR + 1.96%), 7.24%, 10/20/34^(a)(c)			1,780		1,784,602


Security		Par (000)		Value

Asset-Backed Securities (continued)
TICP CLO X Ltd., Series 2018-10A, Class B, (3-mo. CME Term SOFR + 1.73%), 7.01%, 04/20/31^(a)(c)	USD		570	$	570,423
TICP CLO XI Ltd.
Series 2018-11A, Class AR, (3-mo. CME Term SOFR + 1.53%), 6.82%, 04/25/37^(a)(c)			250		250,549
Series 2018-11A, Class BR, (3-mo. CME Term SOFR + 2.05%), 7.34%, 04/25/37^(a)(c)			2,760		2,781,486
TICP CLO XII Ltd., Series 2018-12A, Class AR, (3-mo. CME Term SOFR + 1.43%), 6.73%, 07/15/34^(a)(c)			250		250,091
TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3-mo. CME Term SOFR + 6.96%), 12.24%, 10/20/32^(a)(c)			1,250		1,264,835
TICP CLO XV Ltd.
Series 2020-15A, Class A, (3-mo. CME Term SOFR + 1.54%), 6.82%, 04/20/33^(a)(c)			1,250		1,251,127
Series 2020-15A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.24%, 04/20/33^(a)(c)			250		250,877
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.97%, 05/25/58^(a)(c)			796		820,352
Trestles CLO IV Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.43%), 6.71%, 07/21/34^(a)(c)			2,060		2,062,303
Trestles CLO V Ltd., Series 2021-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 10/20/34^(a)(c)			12,895		12,900,812
Tricon American Homes Trust
Series 2018-SFR1, Class E, 4.56%, 05/17/37^(a)			2,000		1,985,677
Series 2019-SFR1, Class E, 3.40%, 03/17/38^(a)			2,000		1,943,883
Series 2020-SFR1, Class F, 4.88%, 07/17/38^(a)			7,351		7,309,326
Tricon Residential Trust
Series 2021-SFR1, Class F, 3.69%, 07/17/38^(a)			3,250		3,063,723
Series 2021-SFR1, Class G, 4.13%, 07/17/38^(a)			2,099		1,963,617
Trimaran Cavu Ltd.
Series 2019-1A, Class A2, (3-mo. CME Term SOFR + 2.16%), 7.44%, 07/20/32^(a)(c)			250		250,089
Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.80%, 10/25/34^(a)(c)			300		300,712
Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3-mo. CME Term SOFR + 1.66%), 6.94%, 10/18/31^(a)(c)			250		250,251
Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 01/20/35^(a)(c)			250		250,159
Trinitas CLO XXVIII Ltd., Series 2024-28A, Class A1, (3-mo. CME Term SOFR + 1.55%), 6.88%, 04/25/37^(a)(c)			620		621,605
Verdelite Static CLO Ltd.
Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.13%), 6.42%, 07/20/32^(a)(c)			1,700		1,703,380
Series 2024-1A, Class B, (3-mo. CME Term SOFR + 1.65%), 6.94%, 07/20/32^(a)(c)			290		290,236
VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51^(a)(b)			8,626		8,590,401
Voya CLO Ltd.
Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 6.52%, 04/25/31^(a)(c)			483		485,605
Series 2013-3A, Class A1RR, (3-mo. CME Term SOFR + 1.41%), 6.69%, 10/18/31^(a)(c)			331		331,322
Series 2015-3A, Class A1R3, (3-mo. CME Term SOFR + 1.15%), 6.43%, 10/20/31^(a)(c)			431		432,757


S C H E D U L E S O F I N V E S T M E N T S		19

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Voya CLO Ltd.
Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.61%, 01/20/31^(a)(c)	USD		792	$	795,571
Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 6.50%, 04/17/30^(a)(c)			78		78,486
Series 2017-3A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/34^(a)(c)			1,250		1,252,936
Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.21%), 6.49%, 04/19/31^(a)(c)			448		450,119
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.56%), 6.84%, 04/19/31^(a)(c)			250		250,430
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.56%, 07/15/31^(a)(c)			154		154,617
Series 2018-3A, Class A1R2, (3-mo. CME Term SOFR + 1.20%), 6.50%, 10/15/31^(a)(c)			221		221,182
Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.20%), 6.48%, 07/20/32^(a)(c)			4,000		4,017,266
Series 2020-2A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.24%, 07/19/34^(a)(c)			450		451,800
Series 2021-2A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 10/20/34^(a)(c)			810		812,493
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE3, Class 1A, (1-mo. CME Term SOFR + 0.42%), 5.28%, 08/25/36^(c)			5,908		5,688,882
Series 2006-HE4, Class 2A2, (1-mo. CME Term SOFR + 0.47%), 5.33%, 09/25/36^(c)			203		54,727
Series 2006-HE5, Class 1A, (1-mo. CME Term SOFR + 0.42%), 4.37%, 10/25/36^(c)			2,377		1,794,321
Series 2007-HE3, Class 2A3, (1-mo. CME Term SOFR + 0.35%), 5.21%, 05/25/37^(c)			103		92,808
Wellfleet CLO Ltd., Series 2017-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.70%, 01/17/31^(a)(c)			615		614,977
Wellington Management CLO 1 Ltd., Series 2023-1A, Class A, (3-mo. CME Term SOFR + 1.80%), 7.08%, 10/20/36^(a)(c)			550		553,749
Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.32%), 6.66%, 07/24/36^(a)(c)			7,716		7,728,907
Whitebox CLO II Ltd.
Series 2020-2A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.30%, 10/24/34^(a)(c)			410		411,344
Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.90%, 10/24/34^(a)(c)			250		246,953
Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.65%, 10/24/34^(a)(c)			500		500,172
Whitebox CLO III Ltd.
Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.78%, 10/15/34^(a)(c)			4,580		4,580,795
Series 2021-3A, Class A1R, (3-mo. CME Term SOFR + 1.27%), 10/15/35^(a)(c)(e)			11,410		11,410,000
Whitebox CLO IV Ltd., Series 2023-4A, Class B, (3- mo. CME Term SOFR + 2.60%), 7.88%, 04/20/36^(a)(c)			1,000		1,010,844
Wildwood Park CLO Ltd.
Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 10/20/37^(a)(c)(e)			2,390		2,387,019


Security		Par (000)		Value

Asset-Backed Securities (continued)
Wildwood Park CLO Ltd.
Series 2024-1A, Class E, (3-mo. CME Term SOFR + 5.75%), 10/20/37^(a)(c)(e)	USD		250	$	248,754
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1-mo. CME Term SOFR + 0.51%), 5.37%, 06/25/37^(a)(c)			412		129,767


Total Asset-Backed Securities — 52.9% (Cost: $1,581,209,700)					1,544,989,450


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		80,262


Total Corporate Bonds — 0.0% (Cost: $75,212)					80,262


Floating Rate Loan Interests^(c)(f)

Financial Services — 0.4%
Promontoria Beech DAC, 1st Lien Term Loan, (1-mo. EURIBOR at 0.00% Floor + 3.75%), 7.19%, 05/17/27	EUR		4,436		4,932,280
Sirocco Lux S.A., Facility A, (3-mo. EURIBOR at 0.00% Floor + 3.90%), 7.57%, 02/28/26			6,480		7,213,037

					12,145,317


Total Floating Rate Loan Interests — 0.4% (Cost: $11,899,448)					12,145,317


Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 19.4%
A&D Mortgage Trust, Series 2023-NQM5, Class A1, 7.05%, 11/25/68^(a)(b)	USD		5,718		5,841,540
Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 4.42%, 05/25/36^(c)			4,321		3,371,833
Agate Bay Mortgage Trust
Series 2015-1, Class B5, 3.63%, 01/25/45^(a)(c)			723		483,550
Series 2015-3, Class B5, 3.48%, 04/25/45^(a)(c)			832		559,591
Series 2015-4, Class B5, 3.50%, 06/25/45^(a)(c)			580		365,553
Ajax Mortgage Loan Trust
Series 2017-D, Class B, 0.00%, 12/25/57^(a)(c)(d)			6		1,917
Series 2020-C, Class C, 0.00%, 09/27/60^(a)(d)			6		479
Series 2020-C, Class RW, 0.00%, 09/25/60^(a)(d)			9		8,747
Series 2020-D, Class RW, 0.00%, 06/25/60^(a)(d)			13		12,879
Series 2021-C, Class A, 5.12%, 01/25/61^(a)(b)			2,057		2,056,942
Series 2021-C, Class B, 3.72%, 01/25/61^(a)(b)			817		795,876
Series 2021-C, Class C, 0.00%, 01/25/61^(a)(d)			2,020		2,191,127
Series 2021-D, Class A, 2.00%, 03/25/60^(a)(b)			5,511		5,427,965
Series 2021-D, Class B, 4.00%, 03/25/60^(a)(c)			1,634		1,717,179
Series 2021-D, Class C, 0.00%, 03/25/60^(a)(c)(d)			2,382		2,489,683
Series 2021-E, Class A1, 1.74%, 12/25/60^(a)(c)			10,658		9,400,509
Series 2021-E, Class A2, 2.69%, 12/25/60^(a)(c)			1,770		1,376,761
Series 2021-E, Class B1, 3.73%, 12/25/60^(a)(c)			1,068		751,969
Series 2021-E, Class B3, 4.15%, 12/25/60^(a)(c)			633		222,814
Series 2021-E, Class M1, 2.94%, 12/25/60^(a)(c)			698		500,392
Series 2021-E, Class SA, 0.00%, 12/25/60^(a)(c)(d)			4		1,864


20		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Ajax Mortgage Loan Trust
Series 2021-F, Class A, 1.88%, 06/25/61^(a)(b)	USD		18,585	$	18,317,019
Series 2021-F, Class B, 3.75%, 06/25/61^(a)(b)			4,468		4,399,437
Series 2021-F, Class C, 0.00%, 06/25/61^(a)(d)			6,792		6,474,315
Series 2021-F, Class RW1, 0.00%, 06/27/61^(a)(d)(f).			13		13,108
Series 2022-A, Class A2, 3.00%, 10/25/61^(a)(c)			478		420,303
Series 2022-A, Class A3, 3.00%, 10/25/61^(a)(c)			255		215,151
Series 2022-A, Class B, 3.00%, 10/25/61^(a)			1,912		1,420,905
Series 2022-A, Class C, 3.00%, 10/25/61^(a)			938		885,517
Series 2022-A, Class M1, 3.00%, 10/25/61^(a)			279		227,214
Series 2022-A, Class M2, 3.00%, 10/25/61^(a)			1,250		972,234
Series 2022-A, Class M3, 3.00%, 10/25/61^(a)			80		61,711
Series 2022-B, Class A2, 3.00%, 03/27/62^(a)(c)			376		323,271
Series 2022-B, Class A3, 3.00%, 03/27/62^(a)(c)			322		267,337
Series 2022-B, Class B, 3.00%, 03/27/62^(a)			1,789		1,270,335
Series 2022-B, Class C, 3.00%, 03/27/62^(a)			1,525		1,156,257
Series 2022-B, Class M1, 3.00%, 03/27/62^(a)			241		199,009
Series 2022-B, Class M2, 3.00%, 03/27/62^(a)			1,198		955,364
Series 2023-A, Class A1, 3.50%, 07/25/62^(a)(b)			10,297		9,781,337
Series 2023-A, Class A2, 3.00%, 07/25/62^(a)(c)			515		451,976
Series 2023-A, Class A3, 2.50%, 07/25/62^(a)(c)			292		244,476
Series 2023-A, Class B, 2.50%, 07/25/62^(a)(c)			1,717		1,243,690
Series 2023-A, Class C, 2.50%, 07/25/62^(a)(c)			1,152		613,696
Series 2023-A, Class M1, 2.50%, 07/25/62^(a)(c)			884		715,706
Series 2023-C, Class A1, 3.50%, 05/25/63^(a)(b)			12,269		11,610,697
Series 2023-C, Class A2, 3.00%, 05/25/63^(a)(c)			789		685,280
Series 2023-C, Class A3, 2.50%, 05/25/63^(a)(c)			421		347,685
Series 2023-C, Class C, 2.50%, 05/25/63^(a)(c)			3,499		2,470,545
Series 2023-C, Class M1, 2.50%, 05/25/63^(a)(c)			368		292,689
Series 2023-C, Class M2, 2.50%, 05/25/63^(a)(c)			2,284		1,620,544
American Home Mortgage Assets Trust
Series 2006-4, Class 1A12, (1-mo. CME Term SOFR + 0.32%), 5.18%, 10/25/46^(c)			82		44,214
Series 2006-6, Class A1A, (1-mo. CME Term SOFR + 0.30%), 5.16%, 12/25/46^(c)			4,370		3,696,537
Series 2007-1, Class A1, (12-mo. Federal Reserve Cumulative Average US + 0.70%), 5.82%, 02/25/47^(c)			31		10,928
American Home Mortgage Investment Trust
Series 2006-2, Class 2A2, (1-mo. CME Term SOFR + 1.74%), 6.94%, 05/25/36^(c)			15,106		1,573,374
Series 2007-1, Class GA1C, (1-mo. CME Term SOFR + 0.30%), 5.16%, 05/25/47^(c)			799		455,267
Angel Oak Mortgage Trust
Series 2019-5, Class B1, 3.96%, 10/25/49^(a)(c)			405		377,324
Series 2021-4, Class B1, 3.20%, 01/20/65^(a)(c)			200		146,959
Series 2022-2, Class A1, 3.35%, 01/25/67^(a)(c)			238		226,185
Series 2023-7, Class A1, 4.80%, 11/25/67^(a)(b)			7,042		6,997,066
Series 2024-1, Class A1, 5.21%, 08/25/68^(a)(b)			1,039		1,044,671
APS Resecuritization Trust, Series 2016-1,
Class 1MZ, 2.14%, 07/31/57^(a)(c)			2,278		889,052
Banc of America Alternative Loan Trust
Series 2006-4, Class 3CB1, (1-mo. CME Term SOFR + 0.91%), 5.77%, 05/25/46^(c)			432		345,285
Series 2006-7, Class A4, 6.50%, 10/25/36^(b)			2,313		692,311
Banc of America Funding Trust
Series 2007-1, Class 1A6, 5.75%, 01/25/37			14		11,839
Series 2014-R2, Class 1C, 0.00%, 11/26/36^(a)(c)(d).			7,142		2,387,769
Series 2016-R2, Class 1A1, 4.70%, 05/01/33^(a)(c)			244		242,978
Banc of America Mortgage Trust, Series 2007-4,
Class 1A1, 6.25%, 12/28/37			846		638,369


Security		Par (000)			Value

Collateralized Mortgage Obligations (continued)
Barclays Mortgage Loan Trust
Series 2021-NPL1, Class A, 2.00%, 11/25/51^(a)(b)	USD		6,488		$	6,377,185
Series 2021-NPL1, Class B, 4.63%, 11/25/51^(a)(b)			1,060			1,030,362
Series 2021-NPL1, Class C, 0.00%, 11/25/51^(a)(d)			2,198			2,581,207
Series 2021-NPL1, Class RW1, 0.00%, 11/27/51^(a)(d)(f)			5			4,545
Series 2022-NQM1, Class A1, 4.55%, 07/25/52^(a)(b)			3,186			3,159,767
Series 2022-RPL1, Class A, 4.25%, 02/25/28^(a)(b)			6,245			6,157,057
Series 2022-RPL1, Class B, 4.25%, 02/25/28^(a)(b)			1,242			1,186,140
Series 2022-RPL1, Class C, 0.00%, 02/25/28^(a)(d)			2,110			415,325
Series 2022-RPL1, Class RW1, 0.00%, 02/25/28^(a)(d)(f)			3			2,670
Series 2022-RPL1, Class SA, 0.00%, 02/25/28^(a)(d)			26			17,981
Series 2023-NQM3, Class A1, 6.90%, 10/25/63^(a)(b)			12,804			13,094,762
Series 2023-NQM3, Class A2, 7.36%, 10/25/63^(a)(b)			2,036			2,081,480
Series 2023-NQM3, Class A3, 7.69%, 10/25/63^(a)(b)			1,229			1,256,065
Series 2023-NQM3, Class B1, 8.03%, 10/25/63^(a)(c)			681			690,554
Series 2023-NQM3, Class B2, 8.03%, 10/25/63^(a)(c)			573			567,648
Series 2023-NQM3, Class B3, 8.03%, 10/25/63^(a)(c)			1,567			1,442,667
Series 2023-NQM3, Class M1, 8.03%, 10/25/63^(a)(c)			1,134			1,182,544
Series 2023-NQM3, Class SA, 0.00%, 10/25/63^(a)(c)(d)			0	^(j)		232
Series 2024-NQM1, Class A1, 5.90%, 01/25/64^(a)(b)			1,952			1,970,714
Series 2024-NQM1, Class A2, 6.11%, 01/25/64^(a)(b)			1,330			1,339,583
Series 2024-NQM1, Class A3, 6.31%, 01/25/64^(a)(b)			1,016			1,024,497
Series 2024-NQM1, Class B1, 8.09%, 01/25/64^(a)(c)			512			519,262
Series 2024-NQM1, Class B2, 8.69%, 01/25/64^(a)(c)			469			474,613
Series 2024-NQM1, Class B3, 8.69%, 01/25/64^(a)(c)			1,007			915,322
Series 2024-NQM1, Class M1, 6.80%, 01/25/64^(a)(c)			879			893,183
Series 2024-NQM1, Class SA, 0.00%, 01/25/64^(a)(c)(d)			2			2,087
Series 2024-NQM3, Class A1, 6.04%, 06/25/64^(a)(b)			16,116			16,336,073
Series 2024-NQM3, Class A2, 6.30%, 06/25/64^(a)(b)			1,271			1,287,362
Series 2024-NQM3, Class A3, 6.50%, 06/25/64^(a)(b)			2,217			2,244,654
Series 2024-NQM3, Class B1, 7.50%, 06/25/64^(a)(c)			1,109			1,117,961
Series 2024-NQM3, Class B2, 8.07%, 06/25/64^(a)(c)			1,016			1,008,243
Series 2024-NQM3, Class B3, 8.07%, 06/25/64^(a)(c)			2,779			2,342,222
Series 2024-NQM3, Class M1, 6.41%, 06/25/64^(a)(c)			1,617			1,642,422


S C H E D U L E S O F I N V E S T M E N T S		21

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Barclays Mortgage Loan Trust
Series 2024-NQM3, Class SA, 0.00%, 06/25/64^(a)(c)(d)	USD		3	$	3,049
BCAP LLC Trust
Series 2011-RR4, Class 3A6, 4.97%, 07/26/36^(a)(c)			1,096		1,083,968
Series 2011-RR5, Class 11A5, (1-mo. CME Term SOFR + 0.26%), 7.34%, 05/28/36^(a)(c)			227		215,894
Bear Stearns ALT-A Trust
Series 2005-7, Class 26A1, 5.02%, 09/25/35^(c)			1,306		445,862
Series 2007-1, Class 21A1, 4.63%, 01/25/47^(c)			2,737		1,353,343
Bear Stearns Asset-Backed Securities I Trust
Series 2006-AC1, Class 1A2, 6.25%, 02/25/36^(b)			116		119,367
Series 2006-AC2, Class 1A1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 03/25/36^(c)			1,885		498,571
Bear Stearns Mortgage Funding Trust
Series 2006-SL1, Class A1, (1-mo. CME Term SOFR + 0.39%), 5.25%, 08/25/36^(c)			288		284,911
Series 2007-AR2, Class A1, (1-mo. CME Term SOFR + 0.45%), 5.31%, 03/25/37^(c)			169		158,761
Series 2007-AR4, Class 2A1, (1-mo. CME Term SOFR + 0.32%), 5.18%, 06/25/37^(c)			15		14,271
BRAVO Residential Funding Trust,
Series 2021- NQM1, Class B1, 3.17%, 02/25/49^(a)(c)			1,427		1,196,798
CFMT LLC
Series 2024-HB14, Class M2, 3.00%, 06/25/34^(a)(c)			192		174,070
Series 2024-HB14, Class M3, 3.00%, 06/25/34^(a)(c)			473		416,548
Series 2024-HB15, Class M2, 4.00%, 08/25/34^(a)(c)			358		336,406
Chase Mortgage Finance Corp.,
Series 2016-SH1, Class M4, 3.75%, 04/25/45^(a)(c)			480		431,654
Chase Mortgage Finance Trust
Series 2006-S2, Class 1A16, 6.25%, 10/25/36			2,742		1,107,848
Series 2007-S6, Class 1A1, 6.00%, 12/25/37			9,034		3,832,394
CHNGE Mortgage Trust
Series 2022-1, Class A1, 3.01%, 01/25/67^(a)(c)			2,128		2,015,423
Series 2022-2, Class A1, 3.76%, 03/25/67^(a)(c)			7,302		7,013,356
Series 2022-4, Class A1, 6.00%, 10/25/57^(a)(b)			481		478,530
CIM Trust
Series 2019-J2, Class B4, 3.76%, 10/25/49^(a)(c)			856		674,281
Series 2023-I2, Class A2, 6.85%, 12/25/67^(a)(b)			825		835,332
Citicorp Mortgage Securities Trust
Series 2007-4, Class 1A14, 6.00%, 05/25/37			354		320,920
Series 2007-9, Class 1A1, 6.25%, 12/25/37			1,630		1,509,641
Series 2008-2, Class 1A1, 6.50%, 06/25/38			256		206,129
Citigroup Mortgage Loan Trust
Series 2007-6, Class 1A2A, 4.32%, 03/25/37^(c)			3,466		2,612,784
Series 2007-6, Class 2A1, (1-mo. CME Term SOFR + 0.61%), 5.47%, 05/25/37^(c)			1,060		953,652
Series 2009-12, Class 5A2, 4.46%, 07/25/37^(a)(c)			5,146		2,319,747
Series 2014-C, Class B2, 4.25%, 02/25/54^(a)			317		310,027
Series 2019-RP1, Class A1, 3.50%, 01/25/66^(a)(c)			1,147		1,116,743
Series 2022-A, Class A1, 6.17%, 09/25/62^(a)(b)			6,123		6,122,278
CitiMortgage Alternative Loan Trust
Series 2007-A3, Class 1A5, 6.00%, 03/25/37			1,523		1,412,651
Series 2007-A6, Class 1A21, 5.50%, 06/25/37			867		728,404
COLT Mortgage Loan Trust
Series 2020-2, Class M1, 5.25%, 03/25/65^(a)(c)			761		757,839
Series 2021-HX1, Class B1, 3.11%, 10/25/66^(a)(c)			1,471		1,137,212
Series 2022-1, Class B2, 4.06%, 12/27/66^(a)(c)			227		185,437
Series 2022-3, Class B1, 4.22%, 02/25/67^(a)(c)			3,500		2,960,158


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
COLT Mortgage Loan Trust
Series 2022-5, Class B1, 4.64%, 03/25/67^(a)(c)	USD		1,707	$	1,603,173
Countrywide Alternative Loan Trust
Series 2005-11CB, Class 2A1, 5.50%, 06/25/35			72		59,081
Series 2005-11CB, Class 2A6, 5.50%, 06/25/25			621		506,641
Series 2005-22T1, Class A1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 06/25/35^(c)			999		843,187
Series 2005-29CB, Class A6, 5.50%, 07/01/35			237		139,640
Series 2005-51, Class 3A3A, (1-mo. CME Term SOFR + 0.75%), 5.72%, 11/20/35^(c)			373		324,698
Series 2005-55CW, Class 2A3, (1-mo. CME Term SOFR + 0.46%), 5.74%, 11/25/35^(c)			424		294,002
Series 2005-59, Class 1A1, (1-mo. CME Term SOFR + 0.77%), 5.74%, 11/20/35^(c)			904		854,356
Series 2005-76, Class 2A1, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 6.12%, 02/25/36^(c)			365		326,738
Series 2005-9CB, Class 1A1, (1-mo. CME Term SOFR + 0.61%), 5.47%, 05/25/35^(c)			1,102		951,759
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36			987		478,416
Series 2006-13T1, Class A3, 6.00%, 05/25/36			1,766		894,258
Series 2006-28CB, Class A14, 6.25%, 10/25/36			646		334,996
Series 2006-29T1, Class 2A6, 6.50%, 10/25/36			2,215		1,378,886
Series 2006-6CB, Class 2A10, 6.00%, 05/25/36			172		69,250
Series 2006-J4, Class 2A1, 6.00%, 07/25/36			3,350		2,005,617
Series 2006-J7, Class 1A2, 6.25%, 11/25/36			2,794		1,343,532
Series 2006-OA11, Class A4, (1-mo. CME Term SOFR + 0.49%), 5.35%, 09/25/46^(c)			204		186,728
Series 2006-OC1, Class 1A1, (1-mo. CME Term SOFR + 0.57%), 5.43%, 03/25/36^(c)			619		596,496
Series 2006-OC10, Class 2A3, (1-mo. CME Term SOFR + 0.57%), 5.43%, 11/25/36^(c)			468		397,156
Series 2006-OC7, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 5.47%, 07/25/46^(c)			2,823		2,413,238
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37			1,116		521,216
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37			163		80,129
Series 2007-OA2, Class 1A1, (12-mo. Federal Reserve Cumulative Average US + 0.84%), 5.96%, 03/25/47^(c)			140		117,668
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)			2,339		1,526,055
Series 2007-1, Class A2, 6.00%, 03/25/37			205		92,005
Series 2007-14, Class A18, 6.00%, 09/25/37			6,260		3,385,134
Series 2007-15, Class 2A2, 6.50%, 09/25/37			621		233,873
Series 2007-16, Class A1, 6.50%, 10/25/37			4,205		1,805,591
Series 2007-9, Class A1, 5.75%, 07/25/37			745		366,082
Series 2007-9, Class A11, 5.75%, 07/25/37			407		200,064
Series 2007-HYB1, Class 3A1, 4.46%, 03/25/37^(c).			1,221		1,048,315
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1, 6.50%, 12/25/35			2,925		1,407,310
Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1, 6.50%, 10/27/37^(a)			39		15,650
Credit Suisse Mortgage Trust
Series 2006-4, Class 1A3, 6.00%, 05/25/36			373		206,181
Series 2006-4, Class 4A1, 7.00%, 05/25/36			5,027		1,325,912
Series 2007-5, Class 1A11, 7.00%, 08/25/37^(c)			1,858		939,719
Series 2014-9R, Class 9A1, (1-mo. CME Term SOFR + 0.23%), 5.63%, 08/27/36^(a)(c)			67		54,703
Series 2014-SAF1, Class B5, 3.86%, 03/25/44^(a)(c)			1,578		1,204,104


22		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Credit Suisse Mortgage Trust
Series 2015-6R, Class 5A2, (1-mo. CME Term SOFR + 0.29%), 3.66%, 03/27/36^(a)(c)	USD		1,210	$	943,771
Series 2020-SPT1, Class B2, 3.39%, 04/25/65^(a)(c)			8,400		6,988,044
Series 2021-NQM1, Class M1, 2.13%, 05/25/65^(a)(c)			3,299		2,445,688
Series 2021-NQM8, Class M1, 3.26%, 10/25/66^(a)(c)			590		461,782
Series 2021-RPL9, Class A1, 2.44%, 02/25/61^(a)(c)			3,692		3,670,297
Series 2022-NQM1, Class A1, 2.27%, 11/25/66^(a)(c)			4,637		4,214,496
Series 2022-NQM3, Class A1B, 4.27%, 03/25/67^(a)(c)			2,291		2,226,899
Series 2022-NQM6, Class PT, 8.92%, 12/25/67^(a)(c)			7,348		7,350,005
Cross Mortgage Trust,
Series 2023-H2, Class A1A, 7.14%, 11/25/68^(a)(b)			1,688		1,729,996
Deephaven Residential Mortgage Trust
Series 2021-1, Class B2, 3.96%, 05/25/65^(a)(c)			150		136,350
Series 2021-1, Class M1, 2.09%, 05/25/65^(a)(c)			1,620		1,475,458
Series 2021-3, Class B1, 3.27%, 08/25/66^(a)(c)			3,671		2,774,738
Series 2022-2, Class M1, 4.30%, 03/25/67^(a)(c)			884		775,325
Series 2022-3, Class B1, 5.24%, 07/25/67^(a)(c)			1,349		1,265,623
Series 2022-3, Class M1, 5.24%, 07/25/67^(a)(c)			2,742		2,665,109
Deutsche Alt-B Securities Mortgage Loan Trust,
Series 2006-AB3, Class A8, 6.36%, 07/25/36^(c)			15		12,765
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust,
Series 2006-PR1, Class CWA1, 6.00%, 06/25/35^(a)(c)			1,064		590,145
Ellington Financial Mortgage Trust,
Series 2022-4, Class B2, 5.96%, 09/25/67^(a)(c)			1,629		1,437,800
First Horizon Alternative Mortgage Securities Trust
Series 2005-AA12, Class 2A1, 5.62%, 02/25/36^(c)			15		9,480
Series 2006-AA7, Class A1, 5.44%, 01/25/37^(c)			2,676		2,142,261
GCAT Trust
Series 2020-NQM2, Class B1, 4.85%, 04/25/65^(a)(c)			2,533		2,403,355
Series 2021-NQM3, Class B1, 3.47%, 05/25/66^(a)(c)			1,151		888,243
Series 2022-HX1, Class A1, 2.89%, 12/27/66^(a)(c)			282		262,869
Series 2022-NQM4, Class A1, 5.27%, 08/25/67^(a)(b)			3,258		3,241,115
Series 2023-NQM4, Class A1, 4.25%, 05/25/67^(a)(c)			3,764		3,669,083
GreenPoint Mortgage Funding Trust,
Series 2006-AR2, Class 4A1, (12-mo. Federal Reserve Cumulative Average US + 2.00%), 7.12%, 03/25/36^(c)			14		12,539
GS Mortgage-Backed Securities Corp. Trust
Series 2019-PJ2, Class A4, 4.00%, 11/25/49^(a)(c)			211		201,828
Series 2020-PJ2, Class B4, 3.55%, 07/25/50^(a)(c)			1,059		880,404
GS Mortgage-Backed Securities Trust,
Series 2022-NQM1, Class A4, 4.00%, 05/25/62^(a)(c)			332		311,237
GSMPS Mortgage Loan Trust
Series 2004-4, Class 1AF, (1-mo. CME Term SOFR + 0.51%), 5.37%, 06/25/34^(a)(c)			2,727		2,402,896
Series 2005-RP2, Class 1AF, (1-mo. CME Term SOFR + 0.46%), 5.32%, 03/25/35^(a)(c)			47		42,806
Series 2005-RP3, Class 2A1, 4.06%, 09/25/35^(a)(c)			2,543		2,158,878
Series 2006-RP1, Class 1AF1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 01/25/36^(a)(c)			39		31,241
Series 2006-RP2, Class 2A1, 4.34%, 04/25/36^(a)(c)			2,057		1,701,204


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
GSMSC Resecuritization Trust,
Series 2015-5R, Class 1D, (1-mo. CME Term SOFR + 0.25%), 3.80%, 04/26/37^(a)(c)	USD		3,896	$	2,284,963
GSR Mortgage Loan Trust,
Series 2006-AR2, Class 3A1, 5.95%, 04/25/36^(c)			1,598		963,186
HarborView Mortgage Loan Trust,
Series 2007-3, Class 1A1A, (1-mo. CME Term SOFR + 0.51%), 5.48%, 05/19/37^(c)			1,059		829,813
Homeward Opportunities Fund I Trust
Series 2020-2, Class B1, 5.45%, 05/25/65^(a)(c)			3,640		3,620,106
Series 2022-1, Class A1, 5.08%, 07/25/67^(a)(b)			5,853		5,831,104
Series 2022-1, Class M1, 5.06%, 07/25/67^(a)(c)			3,077		3,003,381
IndyMac Index Mortgage Loan Trust
Series 2006-AR27, Class 2A2, (1-mo. CME Term SOFR + 0.51%), 5.37%, 10/25/36^(c)			178		161,539
Series 2006-AR35, Class 2A1A, (1-mo. CME Term SOFR + 0.45%), 5.31%, 01/25/37^(c)			328		289,773
Series 2007-AR19, Class 3A1, 4.02%, 09/25/37^(c)	.		595		390,353
Series 2007-FLX2, Class A1A, (1-mo. CME Term SOFR + 0.43%), 5.29%, 04/25/37^(c)			4,258		3,678,672
Series 2007-FLX5, Class 2A2, (1-mo. CME Term SOFR + 0.59%), 5.45%, 08/25/37^(c)			2,426		2,183,218
JPMorgan Alternative Loan Trust,
Series 2006-S2, Class A5, 6.88%, 05/25/36^(b)			4,086		3,619,434
JPMorgan Mortgage Trust
Series 2005-A4, Class B1, 6.12%, 07/25/35^(c)			201		191,758
Series 2020-5, Class B3, 3.57%, 12/25/50^(a)(c)			3,619		3,170,956
Series 2021-INV7, Class A3A, 2.50%, 02/25/52^(a)(c)			13,872		12,476,162
Series 2021-INV7, Class A4A, 2.50%, 02/25/52^(a)(c)			6,218		4,327,938
Series 2021-INV7, Class B1, 3.27%, 02/25/52^(a)(c)			3,673		3,142,949
Series 2021-INV7, Class B2, 3.27%, 02/25/52^(a)(c)			862		729,801
Series 2021-INV7, Class B3, 3.27%, 02/25/52^(a)(c)			1,199		1,003,493
Series 2021-INV7, Class B4, 3.27%, 02/25/52^(a)(c)			637		517,262
Series 2021-INV7, Class B5, 3.27%, 02/25/52^(a)(c)			262		198,930
Series 2021-INV7, Class B6, 3.27%, 02/25/52^(a)(c)			858		422,854
Lehman XS Trust,
Series 2007-20N, Class A1, (1-mo. CME Term SOFR + 2.41%), 7.27%, 12/25/37^(c)			22		20,677
MASTR Reperforming Loan Trust,
Series 2005-1, Class 1A3, 7.00%, 08/25/34^(a)			1,905		1,348,179
MASTR Resecuritization Trust,
Series 2008-1, Class A1, 6.00%, 09/27/37^(a)(c)			856		605,346
MCM Trust
Series 2021-VFN1, Class Cert, 3.00%, 09/25/31^(a)(f)			1,424		928,623
Series 2021-VFN1, Class Note, 2.50%, 09/25/31^(a)(f)			1,264		1,217,067
Merrill Lynch Mortgage Investors Trust,
Series 2006-AF2, Class AV1, (1-mo. CME Term SOFR + 0.27%), 5.29%, 09/25/37^(c)			546		299,916
MFA Trust
Series 2021-INV1, Class M1, 2.29%, 01/25/56^(a)(c)			700		651,335
Series 2022-CHM1, Class A1, 3.88%, 09/25/56^(a)(b)			5,634		5,525,648
Series 2022-NQM1, Class M1, 4.26%, 12/25/66^(a)(c)			2,112		1,890,560
Series 2024-RTL1, Class A1, 7.09%, 02/25/29^(a)(b)			3,231		3,274,838
Mill City Mortgage Loan Trust,
Series 2023-NQM1, Class A1, 6.05%, 10/25/67^(a)(b)			4,172		4,185,718
Morgan Stanley Mortgage Loan Trust,
Series 2006-11, Class 1A3, 6.92%, 08/25/36^(b)			4,289		770,304


S C H E D U L E S O F I N V E S T M E N T S		23

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Morgan Stanley Residential Mortgage Loan Trust,
Series 2014-1A, Class B3, 6.95%, 06/25/44^(a)(c)	USD		198	$	197,587
Mortgage Loan Resecuritization Trust,
Series 2009-RS1, Class A85, (1-mo. LIBOR US + 0.34%), 5.66%, 04/16/36^(a)(c)			146		140,734
New Residential Mortgage Loan Trust,
Series 2019-2A, Class A1, 4.25%, 12/25/57^(a)(c)			1,051		1,031,236
New York Mortgage Trust,
Series 2024-RR1, Class A, 7.38%, 05/25/64^(a)(b)			5,149		5,113,196
NMLT Trust,
Series 2021-INV1, Class B1, 3.61%, 05/25/56^(a)(c)			922		696,679
Nomura Asset Acceptance Corp. Alternative Loan Trust
Series 2005-AP1, Class 2A4, 6.05%, 02/25/35^(b)			304		302,883
Series 2007-2, Class A4, (1-mo. CME Term SOFR + 0.95%), 5.81%, 06/25/37^(c)			535		431,052
OBX Trust, Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59^(a)(c)			90		88,959
PRET LLC
Series 2024-NPL1, Class A1, 7.14%, 01/25/54^(a)(b)			5,994		6,001,677
Series 2024-NPL2, Class A1, 7.02%, 02/25/54^(a)(b)			5,805		5,850,778
Series 2024-RN2, Class A1, 7.13%, 04/25/54^(a)(b)			1,497		1,510,838
PRKCM Trust
Series 2021-AFC2, Class A1, 2.07%, 11/25/56^(a)(c)			1,086		958,076
Series 2022-AFC1, Class A1A, 4.10%, 04/25/57^(a)(c)			439		431,100
Series 2022-AFC2, Class A1, 5.34%, 08/25/57^(a)(c)			6,486		6,478,570
PRP Advisors LLC
Series 2021-4, Class A1, 4.87%, 04/25/26^(a)(b)			2,843		2,838,191
Series 2022-1, Class A1, 3.72%, 02/25/27^(a)(b)			3,923		3,889,298
Series 2022-NQM1, Class B1, 5.43%, 08/25/67^(a)(c)			335		320,762
RALI Trust
Series 2005-QA10, Class A21, 4.87%, 09/25/35^(c)			5,073		2,131,289
Series 2005-QO2, Class A1, (12-mo. Federal Reserve Cumulative Average US + 1.36%), 6.48%, 09/25/45^(c)			692		588,291
Series 2005-QS15, Class 3A, 6.00%, 10/25/35			4,292		3,787,784
Series 2006-QA10, Class A2, (1-mo. CME Term SOFR + 0.47%), 5.33%, 12/25/36^(c)			1,401		1,199,986
Series 2006-QO1, Class 3A1, (1-mo. CME Term SOFR + 0.65%), 5.51%, 02/25/46^(c)			1,715		715,203
Series 2006-QO10, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.29%, 01/25/37^(c)			1,621		1,439,658
Series 2007-QH3, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.29%, 04/25/37^(c)			4,580		4,250,076
Series 2007-QO2, Class A1, (1-mo. CME Term SOFR + 0.26%), 5.12%, 02/25/47^(c)			2,704		925,655
RCKT Mortgage Trust,
Series 2020-1, Class B4, 3.47%, 02/25/50^(a)(c)			904		780,947
RCO VI Mortgage LLC,
Series 2022-1, Class A1, 3.00%, 01/25/27^(a)(b)			1,573		1,558,210
RCO VII Mortgage LLC,
Series 2024-1, Class A1, 7.02%, 01/25/29^(a)(b)			3,515		3,540,533
Reperforming Loan REMIC Trust
Series 2005-R1, Class 1AF1, (1-mo. CME Term SOFR + 0.47%), 5.33%, 03/25/35^(a)(c)			1,185		1,124,288
Series 2005-R2, Class 1AF1, (1-mo. CME Term SOFR + 0.45%), 5.31%, 06/25/35^(a)(c)			227		214,317
Series 2005-R3, Class AF, (1-mo. CME Term SOFR + 0.51%), 5.37%, 09/25/35^(a)(c)			372		309,338


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Residential Mortgage Loan Trust
Series 2019-2, Class B2, 6.04%, 05/25/59^(a)(c)	USD		656	$	650,360
Series 2019-3, Class B2, 5.66%, 09/25/59^(a)(c)			3,102		3,035,895
Series 2020-1, Class B2, 4.67%, 01/26/60^(a)(c)			622		583,116
RFMSI Series Trust
Series 2005-SA4, Class 2A1, 5.64%, 09/25/35^(c)			1,789		1,086,313
Series 2006-SA2, Class 2A1, 5.69%, 08/25/36^(c)			415		296,148
RMF Buyout Issuance Trust
Series 2021-HB1, Class M3, 3.69%, 11/25/31^(a)(c)			3,379		3,172,704
Series 2021-HB1, Class M6, 6.00%, 11/25/31^(a)(c)			1,221		1,055,074
Saluda Grade Alternative Mortgage Trust
Series 2024-RTL4, Class A1, 7.50%, 02/25/30^(a)(b)			5,668		5,736,982
Series 2024-RTL5, Class A1, 7.76%, 04/25/30^(a)(b)			4,013		4,076,028
Seasoned Loans Structured Transaction Trust,
Series 2020-3, Class M1, 4.75%, 04/26/60^(a)(c)			669		660,427
SG Residential Mortgage Trust
Series 2022-2, Class A1, 5.35%, 08/25/62^(a)(b)			688		688,070
Series 2022-2, Class B1, 5.28%, 08/25/62^(a)(c)			3,715		3,489,894
Series 2022-2, Class M1, 5.28%, 08/25/62^(a)(c)			3,313		3,240,200
Spruce Hill Mortgage Loan Trust
Series 2020-SH2, Class B1, 5.00%, 06/25/55^(a)(c)			1,850		1,817,020
Series 2022-SH1, Class A3, 4.10%, 07/25/57^(a)(b)			719		663,065
Starwood Mortgage Residential Trust
Series 2020-3, Class B1, 4.75%, 04/25/65^(a)(c)			2,820		2,632,234
Series 2020-INV1, Class B1, 3.26%, 11/25/55^(a)			260		229,836
Series 2020-INV1, Class M1, 2.50%, 11/25/55^(a)			2,688		2,439,999
Series 2021-1, Class B1, 3.52%, 05/25/65^(a)(c)			648		551,835
Structured Asset Mortgage Investments II Trust,
Series 2006-AR5, Class 2A1, (1-mo. CME Term SOFR + 0.53%), 5.39%, 05/25/46^(c)			25		16,747
Structured Asset Securities Corp.
Series 2005-RF3, Class 1A, (1-mo. CME Term SOFR + 0.46%), 5.32%, 06/25/35^(a)(c)			658		565,564
Series 2005-RF5, Class 2A, 4.22%, 07/25/35^(a)(c)			1,605		1,514,271
Structured Asset Securities Corp. Mortgage Loan Trust
Series 2006-RF3, Class 1A2, 6.00%, 10/25/36^(a)			4,313		2,441,892
Series 2006-RF4, Class 2A1, 6.00%, 10/25/36^(a)			1,258		678,216
Thornburg Mortgage Securities Trust,
Series 2006-3, Class A1, 4.29%, 06/25/46^(c)			958		585,917
Toorak Mortgage Corp.
Series 2021-INV1, Class B1, 3.29%, 07/25/56^(a)(c)			657		525,709
Series 2021-INV2, Class B1, 4.10%, 11/25/56^(a)(c)			5,929		4,941,452
TVC Mortgage Trust,
Series 2023-RTL1, Class A1, 8.25%, 11/25/27^(a)(b)			4,107		4,166,852
Verus Securitization Trust
Series 2019-4, Class B1, 3.86%, 11/25/59^(a)(c)			800		761,056
Series 2020-4, Class B1, 5.05%, 05/25/65^(a)(c)			2,600		2,608,186
Series 2021-1, Class M1, 1.97%, 01/25/66^(a)(c)			3,000		2,361,059
Series 2021-6, Class B1, 4.05%, 10/25/66^(a)(c)			169		141,723
Series 2021-6, Class M1, 2.94%, 10/25/66^(a)(c)			462		372,169
Series 2021-R1, Class M1, 2.34%, 10/25/63^(a)			3,250		2,925,047
Series 2021-R2, Class B1, 3.25%, 02/25/64^(a)(c)			265		207,711
Series 2022-1, Class B1, 4.01%, 01/25/67^(a)(c)			1,507		1,185,087
Series 2022-3, Class B1, 4.07%, 02/25/67^(a)(c)			2,188		1,765,081
Series 2022-4, Class B1, 4.78%, 04/25/67^(a)(c)			443		413,354
Series 2024-7, Class B1, 6.50%, 09/25/69^(a)(c)			448		447,180
Visio Trust
Series 2019-2, Class B1, 3.91%, 11/25/54^(a)(c)			100		80,663
Series 2022-1, Class B1, 5.95%, 08/25/57^(a)(c)			1,718		1,577,674
Vista Point Securitization Trust
Series 2020-2, Class A3, 2.50%, 04/25/65^(a)(c)			103		98,227


24		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Vista Point Securitization Trust
Series 2020-2, Class M1, 3.40%, 04/25/65^(a)(c)	USD		170	$	159,888
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2005-11, Class A1, 5.75%, 01/25/36			1,146		968,255
Series 2005-11, Class A7, 5.75%, 01/25/36			2,329		1,966,937
Series 2005-9, Class 5A6, (1-mo. CME Term SOFR + 0.66%), 5.50%, 11/25/35^(c)			351		243,886
Series 2005-9, Class 5A9, 5.50%, 11/25/35			144		114,922
Series 2006-4, Class 1A1, 6.00%, 04/25/36			129		119,120
Series 2006-4, Class 3A1, 7.00%, 05/25/36^(b)			85		74,282
Series 2006-6, Class 3CB1, 7.00%, 08/25/36			4,171		1,726,528
Series 2006-AR1, Class A1A, (1-mo. CME Term SOFR + 0.61%), 5.47%, 02/25/36^(c)			1,108		918,336
Series 2006-AR3, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.97%), 6.09%, 05/25/46^(c)			2,761		2,370,781
Series 2006-AR5, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.99%), 6.11%, 06/25/46^(c)			148		133,814
Series 2006-AR9, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 6.12%, 08/25/46^(c)			2,415		2,202,043
Series 2007-HY1, Class A2A, (1-mo. CME Term SOFR + 0.43%), 5.29%, 02/25/37^(c)			462		353,737
Series 2007-HY3, Class 4A1, 5.19%, 03/25/37^(c)			19		17,827
Series 2007-OA1, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.71%), 5.83%, 12/25/46^(c)			2,271		1,913,063
Series 2007-OA1, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.72%), 5.84%, 12/25/46^(c)			136		107,515
Series 2007-OA3, Class 5A, (12-mo. Federal Reserve Cumulative Average US + 1.25%), 6.37%, 04/25/47^(c)			563		481,845
Series 2007-OA4, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.92%, 05/25/47^(c)			1,984		1,608,333
Series 2007-OA5, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.75%), 5.87%, 06/25/47^(c)			458		379,637
Series 2007-OA5, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.92%, 06/25/47^(c)			1,622		1,312,227
Series 2007-OC2, Class A3, (1-mo. CME Term SOFR + 0.73%), 5.59%, 06/25/37^(c)			690		630,438
Wells Fargo Mortgage Backed Securities Trust,
Series 2006-AR15, Class A1, 7.58%, 10/25/36^(c)			802		764,665
Western Alliance Bank
Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 8.43%, 07/25/59^(a)(c)			3,855		3,991,087
Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 8.98%, 07/25/59^(a)(c)			5,512		5,717,471
WinWater Mortgage Loan Trust, Series 2014-3, Class B5, 3.98%, 11/20/44^(a)(c)			923		722,335

					564,870,099

Commercial Mortgage-Backed Securities — 26.2%
245 Park Avenue Trust
Series 2017-245P, Class A, 3.51%, 06/05/37^(a)			5,000		4,777,423
Series 2017-245P, Class C, 3.78%, 06/05/37^(a)(c)			3,000		2,769,346
Series 2017-245P, Class E, 3.78%, 06/05/37^(a)(c)			1,151		1,010,443


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
280 Park Avenue Mortgage Trust
Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.30%, 09/15/34^(a)(c)	USD		5,000	$	4,875,390
Series 2017-280P, Class B, (1-mo. CME Term SOFR + 1.38%), 6.50%, 09/15/34^(a)(c)			585		561,672
Series 2017-280P, Class E, (1-mo. CME Term SOFR + 2.42%), 7.54%, 09/15/34^(a)(c)			2,159		1,996,959
3650R Commercial Mortgage Trust, Series 2022- PF2, Class A5, 5.47%, 11/15/55^(c)			600		623,710
ACREC LLC, Series 2023-FL2, Class A, (1-mo. CME Term SOFR + 2.23%), 7.33%, 02/19/38^(a)(c)			2,339		2,345,836
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 6.36%, 04/15/34^(a)(c)			644		582,820
Angel Oak SB Commercial Mortgage Trust, Series 2020-SBC1, Class A1, 2.07%, 05/25/50^(a)(c)			5,378		4,998,496
Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5, 2.58%, 10/15/54^(a)			3,394		3,004,706
AREIT LLC
Series 2022-CRE7, Class A, (1-mo. CME Term SOFR + 2.24%), 7.33%, 06/17/39^(a)(c)			1,570		1,574,349
Series 2023-CRE8, Class A, (1-mo. CME Term SOFR + 2.11%), 7.20%, 08/17/41^(a)(c)			1,679		1,683,296
AREIT Ltd., Series 2024-CRE9, Class A, (1-mo. CME Term SOFR + 1.69%), 6.77%, 05/17/41^(a)(c)			14,720		14,724,563
ARES Commercial Mortgage Trust
Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 07/15/41^(a)(c)			5,730		5,737,162
Series 2024-IND2, Class A, (1-mo. CME Term SOFR + 1.44%), 10/15/34^(a)(c)(e)			9,250		9,226,875
ARZ Trust, Series 2024-BILT, Class A, 5.77%, 06/11/29^(a)			2,710		2,814,419
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1-mo. CME Term SOFR + 2.27%), 7.37%, 04/15/35^(a)(c)			1,128		1,107,910
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class F, 3.72%, 04/14/33^(a)(c)			794		762,385
Series 2017-SCH, Class AL, (1-mo. CME Term SOFR + 0.95%), 6.04%, 11/15/32^(a)(c)			2,470		2,466,651
Series 2017-SCH, Class BF, (1-mo. CME Term SOFR + 1.45%), 6.54%, 11/15/33^(a)(c)			500		499,328
Series 2017-SCH, Class DL, (1-mo. CME Term SOFR + 2.05%), 7.14%, 11/15/32^(a)(c)			1,090		1,087,731
Series 2024-BHP, Class A, (1-mo. CME Term SOFR + 2.35%), 7.45%, 08/15/39^(a)(c)			820		822,827
BANK
Series 2019-BN22, Class A4, 2.98%, 11/15/62			3,000		2,771,517
Series 2021-BN35, Class A5, 2.29%, 06/15/64			744		646,620
BANK5 Trust, Series 2024-5YR6, Class A3, 6.23%, 05/15/57			3,180		3,384,982
Bayview Commercial Asset Trust
Series 2006-1A, Class A1, (1-mo. CME Term SOFR + 0.52%), 5.37%, 04/25/36^(a)(c)			5,221		4,950,780
Series 2006-1A, Class A2, (1-mo. CME Term SOFR + 0.65%), 5.51%, 04/25/36^(a)(c)			12		11,128
Series 2006-4A, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.37%, 12/25/36^(a)(c)			1,034		981,854
Series 2006-SP2, Class A, (1-mo. CME Term SOFR + 0.53%), 5.39%, 01/25/37^(a)(c)			1,105		1,058,750


S C H E D U L E S O F I N V E S T M E N T S		25

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Bayview Commercial Asset Trust
Series 2007-1, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.37%, 03/25/37^(a)(c)	USD		4,764	$	4,552,225
Series 2007-2A, Class A1, (1-mo. CME Term SOFR + 0.52%), 5.37%, 07/25/37^(a)(c)			25		23,575
Series 2007-4A, Class A1, (1-mo. CME Term SOFR + 0.79%), 5.64%, 09/25/37^(a)(c)			4,539		4,337,865
Series 2007-5A, Class A4, (1-mo. CME Term SOFR + 1.61%), 6.47%, 10/25/37^(a)(c)			2,181		1,272,242
Series 2007-6A, Class A4A, (1-mo. CME Term SOFR + 1.61%), 6.47%, 12/25/37^(a)(c)			2,966		2,616,978
BBCMS Mortgage Trust
Series 2015-SRCH, Class A1, 3.31%, 08/10/35^(a)			229		220,441
Series 2018-CHRS, Class E, 4.41%, 08/05/38^(a)(c).			650		529,992
Series 2018-TALL, Class A, (1-mo. CME Term SOFR + 0.92%), 6.02%, 03/15/37^(a)(c)			3,997		3,777,165
Series 2018-TALL, Class B, (1-mo. CME Term SOFR + 1.17%), 6.27%, 03/15/37^(a)(c)			781		714,615
Series 2023-5C23, Class D, 7.70%, 12/15/56^(a)(c)			332		331,917
BDS LLC, Series 2022-FL12, Class A, (1-mo. CME Term SOFR + 2.14%), 7.10%, 08/19/38^(a)(c)			1,870		1,874,657
BFLD Trust
Series 2020-EYP, Class E, (1-mo. CME Term SOFR + 3.81%), 8.91%, 10/15/35^(a)(c)			1,353		71,313
Series 2024-VICT, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 07/15/41^(a)(c)			2,970		2,970,000
BHMS
Series 2018-ATLS, Class A, (1-mo. CME Term SOFR + 1.55%), 6.64%, 07/15/35^(a)(c)			3,988		3,986,960
Series 2018-ATLS, Class C, (1-mo. CME Term SOFR + 2.20%), 7.29%, 07/15/35^(a)(c)			2,600		2,586,598
BLP Commercial Mortgage Trust
Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 03/15/40^(a)(c)			2,114		2,108,725
Series 2024-IND2, Class A, (1-mo. CME Term SOFR + 1.34%), 6.44%, 03/15/41^(a)(c)			1,980		1,973,812
BMO Mortgage Trust
Series 2024-5C5, Class A3, 5.86%, 02/15/57			1,045		1,100,401
Series 2024-5C6, Class A3, 5.32%, 09/15/57			400		411,805
BMP, Series 2024-MF23, Class E, (1-mo. CME Term SOFR + 3.39%), 8.49%, 06/15/41^(a)(c)			1,719		1,693,211
BPR Trust
Series 2021-TY, Class A, (1-mo. CME Term SOFR + 1.16%), 6.26%, 09/15/38^(a)(c)			5,500		5,451,875
Series 2021-TY, Class E, (1-mo. CME Term SOFR + 3.71%), 8.81%, 09/15/38^(a)(c)			3,138		3,094,852
Series 2022-SSP, Class A, (1-mo. CME Term SOFR + 3.00%), 8.10%, 05/15/39^(a)(c)			770		770,963
Series 2023-STON, Class A, 7.50%, 12/05/39^(a)			823		867,892
BSST Mortgage Trust
Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 5.96%, 04/15/36^(a)(c)			3,001		2,973,327
Series 2021-SSCP, Class B, (1-mo. CME Term SOFR + 1.21%), 6.31%, 04/15/36^(a)(c)			268		263,025
Series 2021-SSCP, Class C, (1-mo. CME Term SOFR + 1.46%), 6.56%, 04/15/36^(a)(c)			325		318,860
Series 2021-SSCP, Class D, (1-mo. CME Term SOFR + 1.71%), 6.81%, 04/15/36^(a)(c)			312		304,840
Series 2021-SSCP, Class E, (1-mo. CME Term SOFR + 2.21%), 7.31%, 04/15/36^(a)(c)			268		258,966
Series 2021-SSCP, Class F, (1-mo. CME Term SOFR + 3.01%), 8.11%, 04/15/36^(a)(c)			253		244,393


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BSST Mortgage Trust
Series 2021-SSCP, Class G, (1-mo. CME Term SOFR + 3.91%), 9.01%, 04/15/36^(a)(c)	USD		283	$	270,358
Series 2021-SSCP, Class H, (1-mo. CME Term SOFR + 5.02%), 10.11%, 04/15/36^(a)(c)			208		198,966
BWAY Mortgage Trust
Series 2013-1515, Class A2, 3.45%, 03/10/33^(a)			1,108		1,078,190
Series 2013-1515, Class C, 3.45%, 03/10/33^(a)			250		230,632
BX Commercial Mortgage Trust
Series 2020-VIV2, Class C, 3.66%, 03/09/44^(a)(c)			2,204		2,007,507
Series 2020-VIV3, Class B, 3.66%, 03/09/44^(a)(c)			2,788		2,570,686
Series 2020-VIV4, Class A, 2.84%, 03/09/44^(a)			781		707,582
Series 2020-VKNG, Class F, (1-mo. CME Term SOFR + 2.86%), 7.96%, 10/15/37^(a)(c)			1,400		1,379,968
Series 2021-NWM, Class A, (1-mo. CME Term SOFR + 1.02%), 6.12%, 02/15/33^(a)(c)			1,061		1,047,694
Series 2021-NWM, Class B, (1-mo. CME Term SOFR + 2.26%), 7.36%, 02/15/33^(a)(c)			622		616,606
Series 2021-NWM, Class C, (1-mo. CME Term SOFR + 4.36%), 9.46%, 02/15/33^(a)(c)			411		410,035
Series 2021-SOAR, Class G, (1-mo. CME Term SOFR + 2.91%), 8.01%, 06/15/38^(a)(c)			2,544		2,506,188
Series 2021-VINO, Class A, (1-mo. CME Term SOFR + 0.77%), 5.86%, 05/15/38^(a)(c)			4,456		4,431,130
Series 2021-VINO, Class F, (1-mo. CME Term SOFR + 2.92%), 8.01%, 05/15/38^(a)(c)			863		852,191
Series 2021-VIV5, Class A, 2.84%, 03/09/44^(a)(c)			1,522		1,366,056
Series 2021-XL2, Class F, (1-mo. CME Term SOFR + 2.36%), 7.46%, 10/15/38^(a)(c)			3,544		3,502,014
Series 2022-CSMO, Class B, (1-mo. CME Term SOFR + 3.14%), 8.24%, 06/15/27^(a)(c)			2,475		2,485,828
Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 7.04%, 11/15/28^(a)(c)			1,010		1,004,951
Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 12/09/40^(a)(c)			4,528		4,541,634
Series 2023-XL3, Class D, (1-mo. CME Term SOFR + 3.59%), 8.69%, 12/09/40^(a)(c)			3,548		3,550,953
Series 2024-AIR2, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 10/15/41^(a)(c)			3,160		3,160,000
Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 08/15/39^(a)(c)			5,620		5,627,025
Series 2024-KING, Class A, (1-mo. CME Term SOFR + 1.54%), 6.64%, 05/15/34^(a)(c)			3,690		3,688,847
Series 2024-MDHS, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 05/15/41^(a)(c)			10,189		10,201,627
Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39^(a)(c)			779		778,470
Series 2024-MF, Class E, (1-mo. CME Term SOFR + 3.74%), 8.84%, 02/15/39^(a)(c)			1,931		1,925,929
Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39^(a)(c)			3,762		3,761,676
Series 2024-XL4, Class D, (1-mo. CME Term SOFR + 3.14%), 8.24%, 02/15/39^(a)(c)			3,178		3,182,444
Series 2024-XL4, Class E, (1-mo. CME Term SOFR + 4.19%), 9.29%, 02/15/39^(a)(c)			1,720		1,682,499
Series 2024-XL5, Class A, (1-mo. CME Term SOFR + 1.39%), 6.49%, 03/15/41^(a)(c)			3,451		3,451,617
BX Trust
Series 2019-CALM, Class E, (1-mo. CME Term SOFR + 2.11%), 7.21%, 11/15/32^(a)(c)			2,100		2,097,375
Series 2019-OC11, Class A, 3.20%, 12/09/41^(a)			2,786		2,588,733


26		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Trust
Series 2021-ARIA, Class A, (1-mo. CME Term SOFR + 1.01%), 6.11%, 10/15/36^(a)(c)	USD		566	$	562,816
Series 2021-ARIA, Class C, (1-mo. CME Term SOFR + 1.76%), 6.86%, 10/15/36^(a)(c)			150		148,734
Series 2021-LBA, Class AJV, (1-mo. CME Term SOFR + 0.91%), 6.01%, 02/15/36^(a)(c)			1,700		1,691,756
Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 6.01%, 02/15/36^(a)(c)			594		588,887
Series 2021-MFM1, Class A, (1-mo. CME Term SOFR + 0.81%), 5.91%, 01/15/34^(a)(c)			1,878		1,870,096
Series 2021-MFM1, Class G, (1-mo. CME Term SOFR + 4.01%), 9.11%, 01/15/34^(a)(c)			525		511,936
Series 2021-VIEW, Class E, (1-mo. CME Term SOFR + 3.71%), 8.81%, 06/15/36^(a)(c)			2,542		2,414,345
Series 2021-VIEW, Class F, (1-mo. CME Term SOFR + 4.04%), 9.14%, 06/15/36^(a)(c)			856		781,525
Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%), 7.26%, 08/15/39^(a)(c)			12,013		12,013,170
Series 2022-GPA, Class B, (1-mo. CME Term SOFR + 2.66%), 7.76%, 08/15/41^(a)(c)			351		351,366
Series 2022-GPA, Class D, (1-mo. CME Term SOFR + 4.06%), 9.16%, 08/15/43^(a)(c)			1,839		1,834,098
Series 2022-LBA6, Class A, (1-mo. CME Term SOFR + 1.00%), 6.10%, 01/15/39^(a)(c)			1,065		1,058,344
Series 2022-VAMF, Class A, (1-mo. CME Term SOFR + 0.85%), 5.95%, 01/15/39^(a)(c)			5,000		4,959,375
Series 2022-VAMF, Class B, (1-mo. CME Term SOFR + 1.28%), 6.38%, 01/15/39^(a)(c)			397		393,278
Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 05/15/38^(a)(c)			5,023		5,041,836
Series 2023-DELC, Class D, (1-mo. CME Term SOFR + 4.39%), 9.48%, 05/15/38^(a)(c)			270		272,363
Series 2024-CNYN, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 04/15/41^(a)(c)			4,482		4,477,390
Series 2024-CNYN, Class D, (1-mo. CME Term SOFR + 2.69%), 7.79%, 04/15/41^(a)(c)			1,929		1,929,457
Series 2024-CNYN, Class E, (1-mo. CME Term SOFR + 3.69%), 8.79%, 04/15/41^(a)(c)			2,932		2,907,319
Series 2024-PALM, Class A, (1-mo. CME Term SOFR + 1.54%), 6.64%, 06/15/37^(a)(c)			10,560		10,556,700
Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/41^(a)(c)			2,210		2,216,906
Series 2024-PAT, Class C, (1-mo. CME Term SOFR + 4.44%), 9.54%, 03/15/41^(a)(c)			4,722		4,704,813
Series 2024-PAT, Class D, (1-mo. CME Term SOFR + 5.39%), 10.49%, 03/15/41^(a)(c)			2,263		2,261,244
BXP Trust
Series 2017-GM, Class B, 3.54%, 06/13/39^(a)(c)			265		252,994
Series 2021-601L, Class D, 2.87%, 01/15/44^(a)(c)			1,120		822,200
CALI Mortgage Trust, Series 2024-SUN, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 07/15/41^(a)(c)			2,390		2,391,494
CAMB Commercial Mortgage Trust
Series 2019-LIFE, Class D, (1-mo. CME Term SOFR + 2.05%), 7.14%, 12/15/37^(a)(c)			1,000		998,750
Series 2019-LIFE, Class E, (1-mo. CME Term SOFR + 2.45%), 7.54%, 12/15/37^(a)(c)			1,437		1,435,204
CD Mortgage Trust
Series 2016-CD1, Class A3, 2.46%, 08/10/49			4,116		3,947,345
Series 2017-CD6, Class B, 3.91%, 11/13/50^(c)			336		313,419


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.72%, 09/15/38^(a)(c)	USD		5,474	$	5,484,330
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class C, 5.00%, 05/10/58^(c)			130		124,595
CFK Trust
Series 2019-FAX, Class D, 4.79%, 01/15/39^(a)(c)			2,500		2,291,056
Series 2019-FAX, Class E, 4.79%, 01/15/39^(a)(c)			2,600		2,300,473
Citigroup Commercial Mortgage Trust
Series 2013-375P, Class C, 3.64%, 05/10/35^(a)(c)			100		95,750
Series 2015-P1, Class D, 3.23%, 09/15/48^(a)			694		590,902
Series 2016-P3, Class A4, 3.33%, 04/15/49			2,635		2,571,772
Series 2017-P7, Class A4, 3.71%, 04/14/50			6,000		5,801,527
COAST Commercial Mortgage Trust
Series 2023-2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.69%, 08/15/36^(a)(c)			1,482		1,480,481
Series 2023-2HTL, Class D, (1-mo. CME Term SOFR + 4.44%), 9.54%, 08/15/36^(a)(c)			2,600		2,582,131
Commercial Mortgage Trust
Series 2015-CR23, Class A4, 3.50%, 05/10/48			2,000		1,980,940
Series 2015-CR26, Class A4, 3.63%, 10/10/48			3,535		3,483,285
Series 2015-LC19, Class B, 3.83%, 02/10/48^(c)			296		286,012
Series 2015-PC1, Class B, 4.41%, 07/10/50^(c)			3,175		3,034,174
Series 2016-667M, Class D, 3.29%, 10/10/36^(a)(c)			500		402,376
Series 2024-WCL1, Class A, (1-mo. CME Term SOFR + 1.84%), 6.92%, 06/15/41^(a)(c)			5,270		5,248,591
Series 2024-WCL1, Class B, (1-mo. CME Term SOFR + 2.59%), 7.67%, 06/15/41^(a)(c)			1,757		1,747,666
Series 2024-WCL1, Class E, (1-mo. CME Term SOFR + 4.49%), 9.57%, 06/15/41^(a)(c)			2,319		2,307,602
CONE Trust, Series 2024-DFW1, Class E, (1-mo. CME Term SOFR + 3.89%), 8.99%, 08/15/41^(a)(c)			2,330		2,326,107
Credit Suisse Mortgage Trust
Series 2017-PFHP, Class A, (1-mo. CME Term SOFR + 1.00%), 6.09%, 12/15/30^(a)(c)			240		231,346
Series 2020-FACT, Class E, (1-mo. CME Term SOFR + 5.23%), 10.32%, 10/15/37^(a)(c)			1,134		1,040,468
Series 2021-BHAR, Class A, (1-mo. CME Term SOFR + 1.26%), 6.36%, 11/15/38^(a)(c)			1,020		1,010,756
Series 2021-BHAR, Class B, (1-mo. CME Term SOFR + 1.61%), 6.71%, 11/15/38^(a)(c)			649		642,713
CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40^(a).			1,289		1,370,034
DBGS Mortgage Trust
Series 2018-5BP, Class A, (1-mo. CME Term SOFR + 0.89%), 5.99%, 06/15/33^(a)(c)			5,000		4,587,500
Series 2018-BIOD, Class D, (1-mo. CME Term SOFR + 1.60%), 6.69%, 05/15/35^(a)(c)			2,625		2,595,469
Series 2018-BIOD, Class F, (1-mo. CME Term SOFR + 2.30%), 7.39%, 05/15/35^(a)(c)			2,505		2,463,474
Series 2024-SBL, Class A, (1-mo. CME Term SOFR + 1.88%), 6.98%, 08/15/34^(a)(c)			570		569,054
DBSG Mortgage Trust, Series 2024-ALTA, Class A, 6.14%, 06/10/37^(a)(c)			1,613		1,644,533
DBWF Mortgage Trust, Series 2024-LCRS, Class A, (1-mo. CME Term SOFR + 1.74%), 6.84%, 04/15/37^(a)(c)			2,423		2,401,042
DC Trust
Series 2024-HLTN, Class A, 5.93%, 04/13/40^(a)(c)			1,110		1,131,885
Series 2024-HLTN, Class F, 10.66%, 04/13/40^(a)(c)			2,932		3,017,029
Deutsche Bank UBS Mortgage Trust
Series 2017-BRBK, Class D, 3.65%, 10/10/34^(a)(c)			990		971,403
Series 2017-BRBK, Class F, 3.65%, 10/10/34^(a)(c)			1,094		1,062,510


S C H E D U L E S O F I N V E S T M E N T S		27

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
DK Trust
Series 2024-SPBX, Class A, (1-mo. CME Term SOFR + 1.50%), 6.60%, 03/15/34^(a)(c)		USD 2,860	$	2,858,212
Series 2024-SPBX, Class E, (1-mo. CME Term SOFR + 4.00%), 9.10%, 03/15/34^(a)(c)		8,186		8,192,180
ELM Trust
Series 2024-ELM, Class A10, 5.99%, 06/10/39^(a)(c)		3,350		3,425,746
Series 2024-ELM, Class A15, 5.99%, 06/10/39^(a)(c)		3,350		3,425,746
Series 2024-ELM, Class E10, 8.05%, 06/10/39^(a)(c)		4,157		4,241,432
ELP Commercial Mortgage Trust, Series 2021-ELP, Class G, (1-mo. CME Term SOFR + 3.23%), 8.33%, 11/15/38^(a)(c)		660		642,437
EQT Trust, Series 2024-EXTR, Class A, 5.33%, 07/05/41^(a)(c)		1,222		1,251,033
Extended Stay America Trust
Series 2021-ESH, Class D, (1-mo. CME Term SOFR + 2.36%), 7.46%, 07/15/38^(a)(c)		3,425		3,431,758
Series 2021-ESH, Class E, (1-mo. CME Term SOFR + 2.96%), 8.06%, 07/15/38^(a)(c)		2,731		2,731,023
Series 2021-ESH, Class F, (1-mo. CME Term SOFR + 3.81%), 8.91%, 07/15/38^(a)(c)		9,141		9,135,419
Fashion Show Mall LLC, Series 2024-SHOW, Class A, 10/10/29^(a)(c)(e)		2,291		2,284,827
FREMF Mortgage Trust
Series 2018-K74, Class B, 4.23%, 02/25/51^(a)(c)		2,150		2,116,060
Series 2018-W5FX, Class CFX, 3.79%, 04/25/28^(a)(c)		4,100		3,708,550
Series 2020-K105, Class B, 3.53%, 03/25/53^(a)(c)		2,905		2,725,289
FS Rialto Issuer Ltd., Series 2022-FL7, Class A, (1- mo. CME Term SOFR + 2.90%), 7.99%, 10/19/39^(a)(c)		2,976		2,988,083
Great Wolf Trust, Series 2024-WOLF, Class A, (1-mo. CME Term SOFR + 1.54%), 6.64%, 03/15/39^(a)(c)		1,914		1,909,813
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51^(c)		4,100		3,999,226
GS Mortgage Securities Trust
Series 2015-GC32, Class C, 4.55%, 07/10/48^(c)		881		851,085
Series 2017-GS6, Class A3, 3.43%, 05/10/50		2,000		1,925,049
Series 2017-SLP, Class C, 3.92%, 10/10/32^(a)		161		160,155
Series 2019-GSA1, Class A4, 3.05%, 11/10/52		2,587		2,425,077
Series 2019-GSA1, Class C, 3.93%, 11/10/52^(c)		2,530		2,180,834
Series 2021-DM, Class A, (1-mo. CME Term SOFR + 1.00%), 6.10%, 11/15/36^(a)(c)		1,970		1,953,378
Series 2022-AGSS, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 11/15/27^(a)(c)		3,226		3,230,925
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.29%, 08/15/39^(a)(c)		3,415		3,416,067
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/28^(a)(c)		5,707		5,717,701
Series 2023-SHIP, Class C, 5.69%, 09/10/38^(a)(c)		1,000		993,838
Series 2023-SHIP, Class E, 7.68%, 09/10/38^(a)(c)		9,607		9,705,474
Series 2024-RVR, Class E, 7.72%, 08/10/29^(a)(c)		1,263		1,261,935
GWT, Series 2024-WLF2, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 05/15/41^(a)(c)		11,768		11,768,000
Harvest Commercial Capital Loan Trust Series 2019-1, Class M5, 5.73%, 09/25/46^(a)(c)		1,536		1,435,997
Series 2020-1, Class M4, 5.96%, 04/25/52^(a)(c)		669		621,582
HIG RCP LLC, Series 2023-FL1, Class A, (1-mo. CME Term SOFR + 2.27%), 7.37%, 09/19/38^(a)(c)		1,971		1,974,661


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
HIH Trust
Series 2024-61P, Class A, (1-mo. CME Term SOFR + 1.84%), 10/15/41^(a)(c)(e)		USD 2,400	$	2,393,798
Series 2024-61P, Class D, (1-mo. CME Term SOFR + 3.64%), 10/15/41^(a)(c)(e)		900		897,698
HILT Commercial Mortgage Trust
Series 2024-ORL, Class A, (1-mo. CME Term SOFR + 1.54%), 6.64%, 05/15/37^(a)(c)		3,695		3,688,072
Series 2024-ORL, Class D, (1-mo. CME Term SOFR + 3.19%), 8.29%, 05/15/37^(a)(c)		4,173		4,115,621
HIT Trust, Series 2022-HI32, Class A, (1-mo. CME Term SOFR + 2.39%), 7.49%, 07/09/25^(a)(c)		688		689,809
HLTN Commercial Mortgage Trust, Series 2024- DPLO, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 06/15/41^(a)(c)		2,096		2,092,070
HONO Mortgage Trust, Series 2021-LULU, Class A, (1-mo. CME Term SOFR + 1.26%), 6.36%, 10/15/36^(a)(c)		4,812		4,663,595
Houston Galleria Mall Trust, Series 2015-HGLR, Class D, 3.98%, 03/05/37^(a)		578		561,181
HTL Commercial Mortgage Trust
Series 2024-T53, Class A, 6.07%, 05/10/39^(a)(c)		1,280		1,308,189
Series 2024-T53, Class E, 10.60%, 05/10/39^(a)(c)		3,538		3,665,972
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 3.04%, 12/10/41^(a)(c)		712		535,328
ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 7.34%, 10/15/39^(a)(c)		6,218		6,212,171
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1-mo. CME Term SOFR + 2.49%), 7.59%, 08/15/39^(a)(c)		3,483		3,491,707
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.29%, 12/15/48^(a)(c)		507		448,659
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class AS, 4.42%, 06/15/51		111		106,199
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2016-JP2, Class A4, 2.82%, 08/15/49		3,655		3,532,907
Series 2016-NINE, Class B, 2.95%, 09/06/38^(a)(c)		2,073		1,957,294
Series 2018-PHH, Class A, (1-mo. CME Term SOFR + 1.26%), 6.35%, 06/15/35^(a)(c)		1,036		902,980
Series 2020-609M, Class D, (1-mo. CME Term SOFR + 3.13%), 8.23%, 10/15/33^(a)(c)		700		556,290
Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 1.16%), 6.26%, 04/15/38^(a)(c)		277		276,249
Series 2021-MHC, Class E, (1-mo. CME Term SOFR + 2.81%), 7.91%, 04/15/38^(a)(c)		3,330		3,313,350
Series 2022-NLP, Class F, (1-mo. CME Term SOFR + 3.54%), 8.64%, 04/15/37^(a)(c)		2,978		2,540,891
Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.28%, 09/15/39^(a)(c)		6,051		6,051,111
Series 2022-OPO, Class D, 3.57%, 01/05/39^(a)(c)		2,061		1,576,665
Series 2024-OMNI, Class A, 5.80%, 10/05/39^(a)(c)		1,660		1,700,744
JW Commercial Mortgage Trust
Series 2024-MRCO, Class A, (1-mo. CME Term SOFR + 1.62%), 6.70%, 06/15/39^(a)(c)		2,617		2,612,100
Series 2024-MRCO, Class D, (1-mo. CME Term SOFR + 3.19%), 8.27%, 06/15/39^(a)(c)		1,506		1,506,572
KSL Commercial Mortgage Trust
Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.39%, 12/15/36^(a)(c)		3,906		3,915,765


28		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
KSL Commercial Mortgage Trust
Series 2023-HT, Class D, (1-mo. CME Term SOFR + 4.29%), 9.38%, 12/15/36^(a)(c)		USD 11,220	$	11,248,050
LBA Trust
Series 2024-7IND, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 10/15/41^(a)(c)		2,340		2,338,537
Series 2024-7IND, Class D, (1-mo. CME Term SOFR + 2.64%), 7.74%, 10/15/41^(a)(c)		592		592,000
Series 2024-BOLT, Class A, (1-mo. CME Term SOFR + 1.59%), 6.69%, 06/15/26^(a)(c)		8,030		8,030,000
Series 2024-BOLT, Class F, (1-mo. CME Term SOFR + 4.44%), 9.53%, 06/15/26^(a)(c)		690		688,056
Lehman Brothers Small Balance Commercial Mortgage Trust
Series 2007-2A, Class M1, (1-mo. CME Term SOFR + 0.51%), 5.37%, 06/25/37^(a)(c)		166		164,913
Series 2007-3A, Class M2, (1-mo. CME Term SOFR + 2.11%), 6.97%, 10/25/37^(a)(c)		3,340		2,838,475
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 08/15/40^(a)(c)		1,281		1,286,950
LUXE Trust, Series 2021-TRIP, Class E, (1-mo. CME Term SOFR + 2.86%), 7.96%, 10/15/38^(a)(c)		654		653,727
MCR Mortgage Trust
Series 2024-HTL, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 02/15/37^(a)(c)		205		203,506
Series 2024-HTL, Class E, (1-mo. CME Term SOFR + 4.65%), 9.75%, 02/15/37^(a)(c)		1,476		1,473,871
Series 2024-TWA, Class A, 5.92%, 06/12/39^(a)		2,250		2,302,206
Series 2024-TWA, Class E, 8.73%, 06/12/39^(a)		2,080		2,120,374
MF1, Series 2021-W10, Class G, (1-mo. CME Term SOFR + 4.22%), 9.32%, 12/15/34^(a)(c)		560		530,141
MF1 LLC, Series 2024-FL14, Class A, (1-mo. CME Term SOFR + 1.74%), 6.70%, 03/19/39^(a)(c)		1,010		1,010,313
MHC Commercial Mortgage Trust
Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.92%), 6.01%, 04/15/38^(a)(c)		4,197		4,178,539
Series 2021-MHC, Class F, (1-mo. CME Term SOFR + 2.72%), 7.81%, 04/15/38^(a)(c)		191		190,068
Series 2021-MHC2, Class A, (1-mo. CME Term SOFR + 0.96%), 6.06%, 05/15/38^(a)(c)		2,268		2,257,715
MHP
Series 2021-STOR, Class A, (1-mo. CME Term SOFR + 0.81%), 5.91%, 07/15/38^(a)(c)		1,105		1,096,713
Series 2021-STOR, Class G, (1-mo. CME Term SOFR + 2.86%), 7.96%, 07/15/38^(a)(c)		3,426		3,398,164
Series 2021-STOR, Class J, (1-mo. CME Term SOFR + 4.06%), 9.16%, 07/15/38^(a)(c)		1,917		1,895,033
MIC Trust (The), Series 2023-MIC, Class A, 8.73%, 12/05/38^(a)(c)		1,670		1,840,296
MIRA Trust, Series 2023-MILE, Class A, 6.76%, 06/10/38^(a)		1,978		2,091,003
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C25, Class A5, 3.64%, 10/15/48		1,455		1,434,023
Series 2016-C32, Class A4, 3.72%, 12/15/49		1,060		1,037,528
Morgan Stanley Capital I Trust
Series 2015-MS1, Class A4, 3.78%, 05/15/48^(c)		2,000		1,977,241
Series 2017-ASHF, Class G, (1-mo. CME Term SOFR + 7.20%), 12.29%, 11/15/34^(a)(c)		939		932,123
Series 2017-H1, Class B, 4.08%, 06/15/50		2,400		2,270,901
Series 2018-MP, Class E, 4.42%, 07/11/40^(a)(c)		2,184		1,385,900
Series 2019-H6, Class D, 3.00%, 06/15/52^(a)		470		357,526
Series 2019-H7, Class AS, 3.52%, 07/15/52		1,900		1,774,781


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Morgan Stanley Capital I Trust
Series 2019-H7, Class C, 4.13%, 07/15/52		USD 5,000	$	4,528,317
Series 2019-H7, Class D, 3.00%, 07/15/52^(a)		3,000		2,361,654
Series 2024-NSTB, Class A, 3.90%, 09/24/57^(a)(c)		2,320		2,250,667
MSWF Commercial Mortgage Trust, Series 2023-2, Class A5, 6.01%, 12/15/56^(c)		1,364		1,502,888
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (1-mo. CME Term SOFR + 1.40%), 6.50%, 03/15/39^(a)(c)		910		903,744
Natixis Commercial Mortgage Securities Trust,
Series 2017-75B, Class A, 3.86%, 04/10/37^(a)		1,850		1,556,278
NJ Trust, Series 2023-GSP, Class A, 6.70%, 01/06/29^(a)(c)		1,470		1,559,000
NYC Trust
Series 2024-3ELV, Class A, (1-mo. CME Term SOFR + 1.99%), 7.09%, 08/15/29^(a)(c)		599		601,631
Series 2024-3ELV, Class C, (1-mo. CME Term SOFR + 2.84%), 7.94%, 08/15/29^(a)(c)		405		407,559
Series 2024-3ELV, Class D, (1-mo. CME Term SOFR + 3.84%), 8.94%, 08/15/29^(a)(c)		1,564		1,571,820
Olympic Tower Mortgage Trust
Series 2017-OT, Class A, 3.57%, 05/10/39^(a)		2,920		2,685,941
Series 2017-OT, Class D, 4.08%, 05/10/39^(a)(c)		1,080		831,712
Series 2017-OT, Class E, 4.08%, 05/10/39^(a)(c)		498		359,857
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54^(a)		1,930		1,716,997
One Market Plaza Trust, Series 2017-1MKT, Class D, 4.15%, 02/10/32^(a)		1,127		962,496
One New York Plaza Trust
Series 2020-1NYP, Class A, (1-mo. CME Term SOFR + 1.06%), 6.16%, 01/15/36^(a)(c)		1,035		988,425
Series 2020-1NYP, Class AJ, (1-mo. CME Term SOFR + 1.36%), 6.46%, 01/15/36^(a)(c)		2,142		1,997,415
Series 2020-1NYP, Class B, (1-mo. CME Term SOFR + 1.61%), 6.71%, 01/15/36^(a)(c)		1,338		1,244,340
OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.19%, 10/15/28^(a)(c)		3,190		3,219,881
PGA Trust, Series 2024-RSR2, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 06/15/39^(a)(c)		1,754		1,746,874
PKHL Commercial Mortgage Trust
Series 2021-MF, Class F, (1-mo. CME Term SOFR + 3.46%), 8.56%, 07/15/38^(a)(c)		900		585,937
Series 2021-MF, Class G, (1-mo. CME Term SOFR + 4.46%), 9.56%, 07/15/38^(a)(c)		1,967		512,076
Ready Capital Mortgage Financing LLC
Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.55%), 7.41%, 10/25/39^(a)(c)		4,282		4,299,330
Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.47%), 7.32%, 06/25/37^(a)(c)		557		558,648
Series 2023-FL11, Class A, (1-mo. CME Term SOFR + 2.37%), 7.23%, 10/25/39^(a)(c)		1,897		1,904,470
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. CME Term SOFR + 2.25%), 7.35%, 01/19/37^(a)(c)		5,654		5,650,466
SCG Mortgage Trust, Series 2024-MSP, Class A, (1-mo. CME Term SOFR + 1.74%), 6.84%, 04/15/41^(a)(c)		2,750		2,731,953
SG Commercial Mortgage Securities Trust
Series 2016-C5, Class B, 3.93%, 10/10/48		1,000		928,397
Series 2019-PREZ, Class E, 3.59%, 09/15/39^(a)(c).		3,391		2,775,601
SHER Trust, Series 2024-DAL, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 04/15/37^(a)(c)		1,935		1,922,906


S C H E D U L E S O F I N V E S T M E N T S		29

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
SHR Trust
Series 2024-LXRY, Class A, (1-mo. CME Term SOFR + 1.95%), 10/15/41^(a)(c)(e)		USD 6,747	$	6,747,000
Series 2024-LXRY, Class D, (1-mo. CME Term SOFR + 3.60%), 10/15/41^(a)(c)(e)		2,720		2,720,000
Series 2024-LXRY, Class E, (1-mo. CME Term SOFR + 4.45%), 10/15/41^(a)(c)(e)		1,836		1,836,000
SLG Office Trust,
Series 2021-OVA, Class A, 2.59%, 07/15/41^(a)		3,500		3,039,184
SREIT Trust
Series 2021-MFP, Class F, (1-mo. CME Term SOFR + 2.74%), 7.84%, 11/15/38^(a)(c)		2,832		2,812,944
Series 2021-MFP2, Class A, (1-mo. CME Term SOFR + 0.94%), 6.03%, 11/15/36^(a)(c)		5,000		4,968,750
Series 2021-MFP2, Class F, (1-mo. CME Term SOFR + 2.73%), 7.83%, 11/15/36^(a)(c)		2,226		2,206,522
STWD Trust
Series 2021-FLWR, Class A, (1-mo. CME Term SOFR + 0.69%), 5.79%, 07/15/36^(a)(c)		1,446		1,438,770
Series 2021-FLWR, Class B, (1-mo. CME Term SOFR + 1.04%), 6.14%, 07/15/36^(a)(c)		2,000		1,983,750
Series 2021-FLWR, Class E, (1-mo. CME Term SOFR + 2.04%), 7.14%, 07/15/36^(a)(c)		1,738		1,720,620
Taubman Centers Commercial Mortgage Trust,
Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.28%, 05/15/37^(a)(c)		8,604		8,625,510
THPT Mortgage Trust,
Series 2023-THL, Class A, 7.23%, 12/10/34^(a)(c)		1,259		1,306,813
TPGI Trust,
Series 2021-DGWD, Class E, (1-mo. CME Term SOFR + 2.46%), 7.56%, 06/15/26^(a)(c)		2,879		2,860,478
TTAN,
Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.96%), 6.06%, 03/15/38^(a)(c)		4,217		4,203,488
TYSN Mortgage Trust,
Series 2023-CRNR, Class A, 6.80%, 12/10/33^(a)(c)		1,340		1,416,951
UBS Commercial Mortgage Trust,
Series 2017-C4, Class AS, 3.84%, 10/15/50^(c)		765		728,038
Velocity Commercial Capital Loan Trust
Series 2018-2, Class M6, 7.05%, 10/26/48^(a)(c)		1,632		1,334,261
Series 2019-1, Class M2, 4.01%, 03/25/49^(a)(c)		160		144,643
Series 2019-2, Class M2, 3.39%, 07/25/49^(a)(c)		1,112		972,100
Series 2019-2, Class M3, 3.48%, 07/25/49^(a)(c)		1,215		1,027,592
Series 2019-2, Class M4, 3.99%, 07/25/49^(a)(c)		1,249		1,025,112
Series 2019-3, Class M6, 6.03%, 10/25/49^(a)(c)		561		459,374
Series 2020-1, Class AFX, 2.61%, 02/25/50^(a)(c)		2,333		2,151,038
Series 2021-1, Class M4, 2.85%, 05/25/51^(a)(c)		1,841		1,399,908
Series 2021-3, Class M4, 3.48%, 10/25/51^(a)(c)		2,427		2,055,635
Series 2021-4, Class A, 2.52%, 12/26/51^(a)(c)		6,594		5,895,747
Series 2021-4, Class M4, 4.48%, 12/26/51^(a)(c)		1,081		844,239
Series 2022-1, Class M4, 5.20%, 02/25/52^(a)(c)		5,456		4,279,402
Series 2022-4, Class M2, 6.97%, 08/25/52^(a)(c)		1,082		1,080,345
Series 2022-4, Class M3, 7.53%, 08/25/52^(a)(c)		920		893,811
Series 2023-2, Class A, 6.22%, 05/25/53^(a)(c)		687		693,385
Series 2024-1, Class A, 6.55%, 01/25/54^(a)(c)		3,959		4,032,211
Series 2024-1, Class M2, 7.23%, 01/25/54^(a)(c)		356		363,893
Series 2024-1, Class M3, 8.44%, 01/25/54^(a)(c)		414		426,813
Series 2024-2, Class M3, 8.02%, 04/25/54^(a)(c)		1,733		1,774,289
Series 2024-2, Class M4, 10.72%, 04/25/54^(a)(c)		3,280		3,364,210
Series 2024-3, Class M2, 7.23%, 06/25/54^(a)(c)		1,688		1,732,993
Wells Fargo Commercial Mortgage Trust
Series 2017-C39, Class B, 4.03%, 09/15/50		1,000		939,917
Series 2018-1745, Class A, 3.87%, 06/15/36^(a)(c)		3,155		2,844,611
Series 2018-C46, Class A4, 4.15%, 08/15/51		3,740		3,653,338


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust
Series 2019-C49, Class D, 3.00%, 03/15/52^(a)		USD 354	$	291,174
Series 2019-C50, Class B, 4.19%, 05/15/52		3,121		2,942,681
Series 2019-C53, Class A3, 2.79%, 10/15/52		1,000		928,121
Series 2021-C59, Class A4, 2.34%, 04/15/54		5,000		4,374,198
Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.41%, 05/15/31^(a)(c)		4,660		4,555,150
Series 2024-1CHI, Class A, 5.48%, 07/15/35^(a)(c)		395		397,816
Series 2024-BPRC, Class B, 6.22%, 07/15/43^(a)		3,055		3,154,466
Series 2024-BPRC, Class C, 6.43%, 07/15/43^(a)		1,945		1,983,131
Series 2024-BPRC, Class D, 7.08%, 07/15/43^(a)		2,628		2,689,982
WMRK Commercial Mortgage Trust
Series 2022-WMRK, Class A, (1-mo. CME Term SOFR + 2.79%), 7.89%, 11/15/27^(a)(c)		3,829		3,840,966
Series 2022-WMRK, Class B, (1-mo. CME Term SOFR + 3.44%), 8.53%, 11/15/27^(a)(c)		1,435		1,439,036

				766,124,913

Interest Only Collateralized Mortgage Obligations — 0.3%
Ajax Mortgage Loan Trust,
Series 2021-E, Class XS, 0.00%, 12/25/60^(a)(c)(d)		8,387		313,040
Barclays Mortgage Loan Trust
Series 2023-NQM3, Class XS, 0.82%, 10/25/63^(a)(c)		20,023		290,745
Series 2024-NQM1, Class XS, 2.45%, 01/25/64^(a)(c)		15,025		768,855
Series 2024-NQM3, Class XS, 0.00%, 06/25/64^(a)(c)(d)		26,125		1,153,273
JPMorgan Mortgage Trust
Series 2021-INV7, Class A2X, 0.50%, 02/25/52^(a)(c)		29,887		851,583
Series 2021-INV7, Class A3X, 0.50%, 02/25/52^(a)(c)		17,565		339,193
Series 2021-INV7, Class A4X, 0.50%, 02/25/52^(a)(c)		7,873		352,164
Series 2021-INV7, Class A5X, 0.50%, 02/25/52^(a)(c)		3,254		92,729
Series 2021-INV7, Class AX1, 0.27%, 02/25/52^(a)(c)		58,579		863,417
JPMorgan Resecuritization Trust,
Series 2014-5, Class 5C, 0.00%, 05/27/36^(a)(c)(d)		9,443		1,677,415
Voyager OPTONE Delaware Trust,
Series 2009-1, Class SAA7, 5.18%, 02/25/38^(a)(c)		9,398		2,114,674

				8,817,088

Interest Only Commercial Mortgage-Backed Securities — 0.6%
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, 0.70%, 11/15/62^(c)		38,374		986,222
Series 2019-BN22, Class XB, 0.24%, 11/15/62^(c)		85,561		651,145
Series 2020-BN28, Class XB, 1.09%, 03/15/63^(c)		29,820		1,506,156
BBCMS Trust,
Series 2015-SRCH, Class XB, 0.30%, 08/10/35^(a)(c)		12,500		66,175
Benchmark Mortgage Trust
Series 2019-B12, Class XA, 1.21%, 08/15/52^(c)		35,267		1,205,907
Series 2019-B9, Class XA, 1.18%, 03/15/52^(c)		15,082		545,856
Series 2020-B17, Class XB, 0.65%, 03/15/53^(c)		17,599		372,455
Series 2020-B19, Class XA, 1.87%, 09/15/53^(c)		23,442		1,323,816
Series 2021-B23, Class XA, 1.37%, 02/15/54^(c)		18,211		1,003,161


30		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Interest Only Commercial Mortgage-Backed Securities (continued)
BMO Mortgage Trust, Series 2023-C5, Class XA, 0.95%, 06/15/56^(c)		USD 8,074	$	401,751
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		630,481
Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.74%, 08/15/57^(c)		40,021		843,463
CSAIL Commercial Mortgage Trust
Series 2019-C16, Class XA, 1.70%, 06/15/52^(c)		9,511		536,130
Series 2019-C17, Class XA, 1.46%, 09/15/52^(c)		3,681		185,205
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50^(a)(c)		11,214		253,054
ELM Trust
Series 2024-ELM, Class XP10, 0.24%, 06/10/39^(a)(c)		33,570		126,596
Series 2024-ELM, Class XP15, 1.61%, 06/10/39^(a)(c)		30,405		760,085
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class X1, 0.40%, 05/03/32^(a)(c)		144,016		119,159
JPMDB Commercial Mortgage Securities Trust
Series 2016-C4, Class XC, 0.75%, 12/15/49^(a)(c)		8,570		111,381
Series 2017-C5, Class XB, 0.41%, 03/15/50^(c)		30,000		224,685
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49^(a)(c)		17,400		205,276
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.99%, 03/10/50^(a)(c)		8,386		122,167
MCR Mortgage Trust, Series 2024-TWA, Class XA, 0.92%, 06/12/39^(a)		11,446		213,705
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.40%, 12/15/47^(a)(c)		220		2,490
Morgan Stanley Capital I Trust
Series 2017-H1, Class XD, 2.30%, 06/15/50^(a)(c)		8,625		426,755
Series 2019-L2, Class XA, 1.17%, 03/15/52^(c)		10,598		384,465
MSWF Commercial Mortgage Trust, Series 2023-2, Class XA, 1.14%, 12/15/56^(c)		34,038		2,183,432
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.51%, 05/10/39^(a)(c)		28,100		241,837
One Market Plaza Trust
Series 2017-1MKT, Class XCP, 0.00%, 02/10/32^(a)(c)(d)		91,391		285,779
Series 2017-1MKT, Class XNCP, 0.22%, 02/10/32^(a)(c)		18,278		47,907
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.58%, 10/15/52^(c)		8,638		489,628
Wells Fargo Commercial Mortgage Trust
Series 2015-LC20, Class XB, 0.64%, 04/15/50^(c)		7,000		17,441
Series 2016-BNK1, Class XD, 1.38%, 08/15/49^(a)(c)		1,000		19,079
Series 2024-BPRC, Class X, 0.31%, 07/15/43^(a)(c).		24,115		238,442
WFRBS Commercial Mortgage Trust, Series 2014- C21, Class XA, 0.70%, 08/15/47^(c)		294		4

				16,733,723


Total Non-Agency Mortgage-Backed Securities — 46.5% (Cost: $1,402,428,354)				1,356,545,823


U.S. Government Sponsored Agency Securities

Commercial Mortgage-Backed Securities — 0.2%
Freddie Mac, Series KJ48, Class A2, 5.03%, 10/25/31		1,413		1,466,002


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
Ginnie Mae
Series 2023-118, Class BA, 3.75%, 05/16/65^(c)		USD 808		$	788,774
Series 2023-119, Class AD, 2.25%, 04/16/65		1,436			1,188,254
Series 2023-50, Class AC, 3.25%, 09/16/63^(c)		800			736,866

					4,179,896

Interest Only Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac
Series K116, Class X1, 1.52%, 07/25/30^(c)		23,703			1,536,207
Series KL05, Class X1P, 1.02%, 06/25/29^(c)		12,845			485,583
Ginnie Mae
Series 2016-36, Class IO, 0.66%, 08/16/57^(c)		2,604			74,030
Series 2017-24, Class IO, 0.74%, 12/16/56^(c)		9,876			316,416

					2,412,236

Mortgage-Backed Securities — 0.1%
Fannie Mae Mortgage-Backed Securities, 5.81%, 06/01/31		3,533			3,723,318

Total U.S. Government Sponsored Agency Securities — 0.4% (Cost: $10,790,702)					10,315,450

Total Long-Term Investments — 100.2% (Cost: $3,006,403,416)					2,924,076,302


	Shares

Short-Term Securities

Money Market Funds — 0.2%
Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%^(k)		7,105,724			7,105,724

Total Short-Term Securities — 0.2% (Cost: $7,105,724)					7,105,724

Total Investments Before TBA Sale Commitments — 100.4% (Cost: $3,013,509,140)					2,931,182,026


	Par (000)

TBA Sale Commitments^(l)

Mortgage-Backed Securities — (0.8)%
Uniform Mortgage-Backed Securities 2.00%, 10/01/54		USD (4,579	)		(3,784,688	)
2.50%, 10/01/54		(22,139	)		(19,107,729	)

Total TBA Sale Commitments — (0.8)% (Proceeds: $(23,153,504))					(22,892,417	)

Total Investments Net of TBA Sale Commitments — 99.6% (Cost: $2,990,355,636)					2,908,289,609
Other Assets Less Liabilities — 0.4%					11,468,541

Net Assets — 100.0%				$	2,919,758,150

^(a)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

^(b)	Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

^(c)	Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

^(d)	Zero-coupon bond.

^(e)	When-issued security.

^(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.


S C H E D U L E S O F I N V E S T M E N T S		31

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

^(h)	Non-income producing security.

⁽ⁱ⁾ Perpetual security with no stated maturity date.

^(j) Rounds to less than 1,000.

^(k) Annualized 7-day yield as of period end.

^(l) Represents or includes a TBA transaction.

For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased	Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR 248,000	USD	278,388	JPMorgan Chase Bank N.A.		12/18/24	$	(1,441	)
USD 12,197,507	EUR	10,925,000	UBS AG		12/18/24		(2,654	)

						$	(4,095	)

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	$	22,155	$	4,258	$	17,897
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	53		8,387		3,694		4,693
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	27		4,273		1,345		2,928
CMBX.NA.6.AAA		0.50			Monthly	Deutsche Bank AG		05/11/63	USD	1		—		—		—

											$	34,815	$	9,297	$	25,518

OTC Credit Default Swaps — Sell Protection



Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Counterparty	Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)

CMBX.NA.9.BBB-		3.00	%		Monthly	Deutsche Bank AG		09/17/58	Not Rated	USD	220	$	(34,815	)	$	(23,644	)	$	(11,171	)
CMBX.NA.10.BBB-		3.00			Monthly	Deutsche Bank AG		11/17/59	BBB-	USD	1,000		(172,553	)		(75,376	)		(97,177	)
CMBX.NA.10.BBB-		3.00			Monthly	Deutsche Bank AG		11/17/59	BBB-	USD	500		(86,277	)		(45,461	)		(40,816	)

												$	(293,645	)	$	(144,481	)	$	(149,164	)

^(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	$	9,297	$	(144,481	)	$	25,518	$	(149,164	)


32		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:



	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total

Assets — Derivative Financial Instruments
Swaps — OTC
Unrealized appreciation on OTC swaps;
Swap premiums paid	$	—	$	34,815	$	—	$	—	$	—	$	—	$	34,815


Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts	$	—	$	—	$	—	$	4,095	$	—	$	—	$	4,095
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received		—		293,645		—		—		—		—		293,645

	$	—	$	293,645	$	—	$	4,095	$	—	$	—	$	297,740

For the period ended September 30, 2024, 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	$	—	$	—		$	—	$	(171,327	)	$	—	$	—	$	(171,327	)
Swaps		—		(125,636	)		—		—			—		—		(125,636	)

	$	—	$	(125,636	)	$	—	$	(171,327	)	$	—	$	—	$	(296,963	)

Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	$	—	$	—		$	—	$	(137,800	)	$	—	$	—	$	(137,800	)
Swaps		—		139,614			—		—			—		—		139,614

	$	—	$	139,614		$	—	$	(137,800	)	$	—	$	—	$	1,814

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts
Average amounts purchased — in USD			$12,755,854
Average amounts sold — in USD			$139,194
Credit default swaps
Average notional value — buy protection			$220,593
Average notional value — sell protection			$1,720,000

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
Forward foreign currency exchange contracts	$	—	$	4,095
Swaps — OTC^(a)		34,815		293,645

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	34,815	$	297,740

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—

Total derivative assets and liabilities subject to an MNA	$	34,815	$	297,740

^(a)

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities.


S C H E D U L E S O F I N V E S T M E N T S		33

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)		Non- Cash Collateral Received^(b)		Cash Collateral Received^(b)			Net Amount of Derivative Assets^(c)
Citigroup Global Markets, Inc.	$	22,155	$	—	$	—	$	—		$	22,155
Morgan Stanley & Co. International PLC		12,660		—		—		—			12,660

	$	34,815	$	—	$	—	$	—		$	34,815


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)(e)
Deutsche Bank AG	$	293,645	$	—	$	—	$	(293,645	)	$	—
JPMorgan Chase Bank N.A.		1,441		—		—		—			1,441
UBS AG		2,654		—		—		—			2,654

	$	297,740	$	—	$	—	$	(293,645	)	$	4,095

^(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.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments at the measurement date. 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	$	—	$	1,535,455,352		$	9,534,098	$	1,544,989,450
Corporate Bonds		—		80,262			—		80,262
Floating Rate Loan Interests		—		—			12,145,317		12,145,317
Non-Agency Mortgage-Backed Securities		—		1,354,379,810			2,166,013		1,356,545,823
U.S. Government Sponsored Agency Securities		—		10,315,450			—		10,315,450
Short-Term Securities
Money Market Funds		7,105,724		—			—		7,105,724
Liabilities
TBA Sale Commitments		—		(22,892,417	)		—		(22,892,417	)

	$	7,105,724	$	2,877,338,457		$	23,845,428	$	2,908,289,609

Derivative Financial Instruments^(a)
Assets
Credit Contracts	$	—	$	25,518		$	—	$	25,518
Liabilities
Credit Contracts		—		(149,164	)		—		(149,164	)
Foreign Currency Exchange Contracts		—		(4,095	)		—		(4,095	)

	$	—	$	(127,741	)	$	—	$	(127,741	)

^(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.


34		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series A Portfolio

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


	Asset-Backed Securities		Corporate Bonds			Floating Rate Loan Interest			Non-Agency Mortgage-Backed Securities			Total

Assets
Opening Balance, as of March 31, 2024	$	9,304,373	$	—	^(a)	$	14,990,234		$	3,559,253		$	27,853,860
Transfers into Level 3		—		—			—			—			—
Transfers out of Level 3		—		—			—			(857,540	)		(857,540	)
Accrued discounts/premiums		—		—			2,923			30,235			33,158
Net realized gain (loss)		—		—			(18,214	)		—			(18,214	)
Net change in unrealized appreciation (depreciation)^(b)(c)		229,725		—			412,944			(10,105	)		632,564
Purchases		—		—			—			20,952			20,952
Sales		—		—			(3,242,570	)		(576,782	)		(3,819,352	)

Closing Balance, as of September 30, 2024	$	9,534,098	$	—	^(a)	$	12,145,317		$	2,166,013		$	23,845,428

Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2024^(c)	$	229,725	$	—		$	413,429		$	(10,105	)	$	633,049

^(a)

Rounds to less than $1.

^(b)

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

^(c)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end.

The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.

See notes to financial statements.


S C H E D U L E S O F I N V E S T M E N T S		35

Schedule of Investments (unaudited)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Corporate Bonds

Aerospace & Defense — 3.2%
Boeing Co. (The) 2.85%, 10/30/24	USD	716	$	714,488
3.63%, 03/01/48		1,843		1,270,476
3.85%, 11/01/48		1,086		771,218
3.90%, 05/01/49		435		315,131
5.81%, 05/01/50		1,141		1,102,341
6.86%, 05/01/54^(a)		192		210,741
3.83%, 03/01/59		158		107,106
3.95%, 08/01/59		509		348,095
5.93%, 05/01/60		925		886,028
7.01%, 05/01/64^(a)		483		532,159
L3Harris Technologies, Inc. 4.40%, 06/15/28		818		821,426
4.40%, 06/15/28		2,070		2,078,671
2.90%, 12/15/29		96		89,467
5.40%, 07/31/33		149		155,638
5.35%, 06/01/34		614		638,757
4.85%, 04/27/35		619		620,234
Lockheed Martin Corp. 5.72%, 06/01/40		629		686,371
3.80%, 03/01/45		121		104,222
Northrop Grumman Corp. 7.88%, 03/01/26		533		557,823
4.03%, 10/15/47		380		326,926
4.95%, 03/15/53		100		97,820
RTX Corp. 4.70%, 12/15/41		138		130,865
4.80%, 12/15/43		350		333,228
4.15%, 05/15/45		470		410,798
3.75%, 11/01/46		142		116,001
4.35%, 04/15/47		249		221,079
4.05%, 05/04/47		454		385,769
4.63%, 11/16/48		126		116,532
3.13%, 07/01/50		158		113,183
2.82%, 09/01/51		164		109,708
3.03%, 03/15/52		203		141,861
5.38%, 02/27/53		113		116,129
6.40%, 03/15/54		99		116,890

				14,747,181

Automobiles — 1.2%
Daimler Truck Finance North America LLC, 2.00%, 12/14/26^(a)		931		886,429
Ford Holdings LLC, 9.30%, 03/01/30		77		90,607
Nissan Motor Acceptance Co. LLC 1.85%, 09/16/26^(a)		1,492		1,398,295
2.75%, 03/09/28^(a)		255		233,495
2.45%, 09/15/28^(a)		615		548,947
7.05%, 09/15/28^(a)		590		625,044
Toyota Motor Corp., 2.76%, 07/02/29		130		123,215
Volkswagen Group of America Finance LLC 3.35%, 05/13/25^(a)		358		354,567
5.40%, 03/20/26^(a)		1,134		1,146,581

				5,407,180

Banks — 11.0%
Associated Banc-Corp, 6.46%, 08/29/30		1,520		1,562,640
Bank of America Corp. 2.55%, 02/04/28		1,287		1,236,528
3.42%, 12/20/28		7,478		7,274,617
3.97%, 03/05/29		1,759		1,738,275
3.97%, 02/07/30		172		169,005


Security	Par (000)		Value

Banks (continued)
Bank of America Corp. 1.92%, 10/24/31	USD	983	$	846,992
2.69%, 04/22/32		3,756		3,349,860
2.97%, 02/04/33		320		286,574
Series N, 2.65%, 03/11/32		1,019		909,529
Bank of Ireland Group PLC, 6.25%, 09/16/26^(a)		1,487		1,507,063
Barclays PLC, 4.84%, 09/10/28		1,335		1,346,229
Citigroup, Inc., 5.83%, 02/13/35		3,001		3,134,084
Goldman Sachs Bank U.S.A., 5.28%, 03/18/27		248		251,204
JPMorgan Chase & Co. 5.29%, 07/22/35		6,160		6,424,472
3.88%, 07/24/38		192		175,408
5.50%, 10/15/40		147		157,365
3.11%, 04/22/41		125		100,666
5.60%, 07/15/41		392		425,970
2.53%, 11/19/41		194		143,144
5.40%, 01/06/42		213		226,226
3.16%, 04/22/42		207		166,058
4.85%, 02/01/44		1,048		1,043,745
KeyBank N.A., 4.90%, 08/08/32		795		773,880
KeyCorp, 6.40%, 03/06/35		3,510		3,816,277
Lloyds Banking Group PLC, 4.58%, 12/10/25		1,446		1,440,894
PNC Financial Services Group, Inc. (The) 6.88%, 10/20/34		788		902,243
5.68%, 01/22/35		361		382,702
5.40%, 07/23/35		685		714,319
Sumitomo Mitsui Financial Group, Inc. 1.47%, 07/08/25		547		534,371
5.46%, 01/13/26		394		399,578
2.17%, 01/14/27		400		382,184
5.56%, 07/09/34		835		886,186
U.S. Bancorp 4.84%, 02/01/34		211		210,852
5.84%, 06/12/34		2,426		2,590,303
Wells Fargo & Co. 5.57%, 07/25/29		786		817,758
5.50%, 01/23/35		1,565		1,640,573
5.61%, 01/15/44		87		89,901
4.65%, 11/04/44		98		89,537
4.40%, 06/14/46		103		90,171
4.75%, 12/07/46		393		360,311
Wells Fargo Bank N.A. 5.45%, 08/07/26		700		716,715
5.25%, 12/11/26		733		751,365

				50,065,774

Beverages — 0.7%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46		144		141,818
Anheuser-Busch InBev Worldwide, Inc. 4.38%, 04/15/38		186		179,398
5.45%, 01/23/39		481		514,906
4.35%, 06/01/40		360		339,984
4.95%, 01/15/42		262		261,959
3.75%, 07/15/42		173		151,282
4.75%, 04/15/58		254		243,913
5.80%, 01/23/59		344		387,580
Coca-Cola Co. (The) 4.20%, 03/25/50		100		91,318
2.60%, 06/01/50		306		207,279
2.50%, 03/15/51		153		100,198
5.20%, 01/14/55		93		97,575
2.75%, 06/01/60		314		206,465


36		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Beverages (continued)
Keurig Dr Pepper, Inc., 5.09%, 05/25/48	USD	168	$	164,869
Keurig Dr. Pepper, Inc. 3.80%, 05/01/50		111		89,747
4.50%, 04/15/52		99		89,764

				3,268,055

Biotechnology — 2.0%
AbbVie, Inc. 3.60%, 05/14/25		311		309,017
4.05%, 11/21/39		101		93,295
4.63%, 10/01/42		567		544,785
4.40%, 11/06/42		359		338,569
4.85%, 06/15/44		104		102,782
4.75%, 03/15/45		144		140,079
4.45%, 05/14/46		450		420,222
4.88%, 11/14/48		352		346,446
4.25%, 11/21/49		183		163,917
5.40%, 03/15/54		1,255		1,330,748
Amgen, Inc. 5.25%, 03/02/33		470		489,305
4.56%, 06/15/48		140		126,862
4.66%, 06/15/51		161		147,459
3.00%, 01/15/52		1,387		979,994
4.20%, 02/22/52		564		480,119
4.88%, 03/01/53		210		197,459
5.65%, 03/02/53		207		217,749
2.77%, 09/01/53		603		391,827
Gilead Sciences, Inc. 2.60%, 10/01/40		289		216,303
5.65%, 12/01/41		100		107,336
4.80%, 04/01/44		223		215,417
4.50%, 02/01/45		190		175,938
4.75%, 03/01/46		161		154,080
4.15%, 03/01/47		1,362		1,193,340
2.80%, 10/01/50		310		210,831
5.55%, 10/15/53		93		99,830

				9,193,709

Broadline Retail — 0.3%
Alibaba Group Holding Ltd. 4.20%, 12/06/47		200		174,580
3.15%, 02/09/51		500		356,958
Amazon.com, Inc. 2.70%, 06/03/60		519		333,659
3.25%, 05/12/61		944		684,205

				1,549,402

Building Products — 0.0%
Carrier Global Corp., 3.58%, 04/05/50		63		49,665


Capital Markets — 6.6%
Blackstone Private Credit Fund, 4.95%, 09/26/27^(a)		1,140		1,129,793
Blue Owl Credit Income Corp., 6.60%, 09/15/29^(a)		626		642,195
Deutsche Bank AG 4.88%, 12/01/32		239		235,783
7.08%, 02/10/34		391		421,137
Goldman Sachs Group, Inc. (The) 4.25%, 10/21/25		304		302,869
1.95%, 10/21/27		6,210		5,920,076
1.99%, 01/27/32		1,024		875,948
2.62%, 04/22/32		941		831,575
2.38%, 07/21/32		123		106,672
2.65%, 10/21/32		736		646,628
3.10%, 02/24/33		755		679,298


Security	Par (000)		Value

Capital Markets (continued)
Intercontinental Exchange, Inc. 2.10%, 06/15/30	USD	163	$	145,034
5.25%, 06/15/31		228		239,195
1.85%, 09/15/32		263		217,255
3.00%, 06/15/50		303		216,191
Morgan Stanley 3.77%, 01/24/29		5,608		5,515,640
5.16%, 04/20/29		3,711		3,814,391
4.43%, 01/23/30		421		421,921
5.66%, 04/18/30		2,595		2,729,721
5.04%, 07/19/30		2,591		2,662,580
UBS AG 7.95%, 01/09/25		795		801,154
3.70%, 02/21/25		250		248,835
UBS Group AG 2.75%, 02/11/33^(a)		539		467,136
9.02%, 11/15/33^(a)		269		339,925
5.96%, 01/12/34^(a)		227		242,740
5.38%, 09/06/45^(a)		290		296,673

				30,150,365

Chemicals — 2.1%
DuPont de Nemours, Inc. 4.73%, 11/15/28		3,110		3,169,377
5.32%, 11/15/38		692		753,559
5.42%, 11/15/48		81		89,585
Eastman Chemical Co. 5.75%, 03/08/33		118		124,721
5.63%, 02/20/34		260		271,472
4.80%, 09/01/42		274		254,993
4.65%, 10/15/44		400		362,323
LYB International Finance III LLC 5.63%, 05/15/33		258		273,998
5.50%, 03/01/34		415		431,642
Nutrien Ltd. 5.20%, 06/21/27		87		89,221
4.20%, 04/01/29		110		109,625
3.95%, 05/13/50		262		210,701
Olin Corp. 5.63%, 08/01/29		2,606		2,612,148
5.00%, 02/01/30		808		789,169
Sherwin-Williams Co. (The), 3.80%, 08/15/49		238		191,600

				9,734,134

Commercial Services & Supplies — 0.2%
Republic Services, Inc. 3.95%, 05/15/28		90		89,516
4.88%, 04/01/29		619		636,300

				725,816

Communications Equipment — 0.5%
Motorola Solutions, Inc. 2.30%, 11/15/30		465		410,258
5.60%, 06/01/32		92		97,271
5.40%, 04/15/34		1,538		1,605,082

				2,112,611

Consumer Finance — 2.2%
Ally Financial, Inc. 4.63%, 03/30/25		19		18,934
5.75%, 11/20/25		1,023		1,027,419
American Express Co. 5.04%, 07/26/28		276		281,997
5.28%, 07/26/35		809		842,336


S C H E D U L E S O F I N V E S T M E N T S		37

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Consumer Finance (continued)
Ford Motor Credit Co. LLC
5.85%, 05/17/27	USD	2,910	$	2,962,520
6.80%, 05/12/28		873		914,605
General Motors Financial Co., Inc., 1.20%, 10/15/24		540		539,120
Hyundai Capital America
5.80%, 06/26/25^(a)		859		865,185
6.38%, 04/08/30^(a)		81		87,339
5.70%, 06/26/30^(a)		1,234		1,296,564
6.20%, 09/21/30^(a)		125		134,812
5.40%, 06/24/31^(a)		137		142,077
Toyota Motor Credit Corp.
4.55%, 08/09/29		471		478,565
3.38%, 04/01/30		411		394,184
5.55%, 11/20/30		97		103,641
2.40%, 01/13/32		103		90,288

				10,179,586

Consumer Staples Distribution & Retail — 0.5%
7-Eleven, Inc., 0.95%, 02/10/26^(a)		755		720,547
CVS Health Corp.
2.88%, 06/01/26		231		225,409
5.13%, 07/20/45		137		127,642
5.05%, 03/25/48		245		223,619
4.25%, 04/01/50		110		88,787
5.63%, 02/21/53		111		109,536
Kroger Co. (The)
4.70%, 08/15/26		340		342,201
4.60%, 08/15/27		425		428,654

				2,266,395

Containers & Packaging — 1.3%
Berry Global, Inc.
1.57%, 01/15/26		2,494		2,399,899
5.80%, 06/15/31^(a)		1,672		1,739,733
WRKCo, Inc.
4.65%, 03/15/26		600		600,360
3.38%, 09/15/27		751		730,575
3.00%, 06/15/33		733		643,750

				6,114,317

Diversified Consumer Services — 0.3%
Northwestern University, 4.64%, 12/01/44		255		252,710
United Rentals North America, Inc., 6.00%, 12/15/29^(a)		819		845,419
University of Miami, Series 2022, 4.06%, 04/01/52		170		146,548
University of Southern California, Series 2017, 3.84%, 10/01/47		149		129,505

				1,374,182

Diversified REITs — 2.2%
American Tower Corp.
1.60%, 04/15/26		384		367,918
3.38%, 10/15/26		200		196,532
5.50%, 03/15/28		679		703,193
2.10%, 06/15/30		555		488,810
Crown Castle, Inc.
4.45%, 02/15/26		523		522,667
3.70%, 06/15/26		1,438		1,420,493
1.05%, 07/15/26		1,516		1,429,960
Equinix, Inc.
2.95%, 09/15/51		225		149,113
3.40%, 02/15/52		607		442,225
GLP Capital LP/GLP Financing II, Inc.
5.30%, 01/15/29		784		797,318
6.25%, 09/15/54		375		396,267


Security	Par (000)		Value

Diversified REITs (continued)
VICI Properties LP 5.13%, 05/15/32	USD	138	$	138,561
5.63%, 05/15/52		285		278,860
VICI Properties LP/VICI Note Co., Inc., 4.13%, 08/15/30^(a)		2,714		2,577,300

				9,909,217

Diversified Telecommunication Services — 1.6%
AT&T Inc. 6.38%, 03/01/41		131		145,401
4.85%, 07/15/45		97		91,500
5.45%, 03/01/47		259		263,035
4.50%, 03/09/48		245		217,235
5.15%, 02/15/50		237		230,535
3.65%, 06/01/51		199		152,599
3.50%, 09/15/53		292		214,525
3.55%, 09/15/55		433		316,711
3.80%, 12/01/57		627		474,723
3.65%, 09/15/59		786		570,287
3.85%, 06/01/60		1,583		1,198,574
3.50%, 02/01/61		125		89,231
Sprint Capital Corp., 6.88%, 11/15/28		2,019		2,204,379
Verizon Communications, Inc. 4.78%, 02/15/35^(a)		200		199,713
5.85%, 09/15/35		150		161,880
4.81%, 03/15/39		192		189,035
2.65%, 11/20/40		329		242,411
3.85%, 11/01/42		117		99,963
4.13%, 08/15/46		105		90,463

				7,152,200

Electric Utilities — 9.4%
AEP Transmission Co. LLC, 5.40%, 03/15/53		227		235,177
AES Corp. (The) 3.30%, 07/15/25^(a)		867		854,371
1.38%, 01/15/26		542		520,121
3.95%, 07/15/30^(a)		287		273,702
2.45%, 01/15/31		905		783,783
Alabama Power Co. 3.94%, 09/01/32		373		361,304
5.70%, 02/15/33		93		98,696
3.45%, 10/01/49		117		90,016
Baltimore Gas & Electric Co., 4.25%, 09/15/48		196		171,974
Berkshire Hathaway Energy Co., 2.85%, 05/15/51		520		351,867
Colbun SA, 3.15%, 01/19/32^(a)		615		541,008
Constellation Energy Generation LLC 6.50%, 10/01/53		77		88,997
5.75%, 03/15/54		147		155,529
DTE Electric Co. 2.95%, 03/01/50		259		182,639
5.40%, 04/01/53		170		178,500
Series A, 4.00%, 04/01/43		260		228,341
Series B, 3.25%, 04/01/51		120		89,241
Series B, 3.65%, 03/01/52		115		91,643
Duke Energy Carolinas LLC 3.95%, 11/15/28		907		904,139
2.45%, 08/15/29		999		926,401
3.20%, 08/15/49		557		404,235
Duke Energy Corp. 4.80%, 12/15/45		299		277,040
5.80%, 06/15/54		86		90,784
Duke Energy Florida LLC 4.20%, 07/15/48		196		168,307
5.95%, 11/15/52		363		401,365


38		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Electric Utilities (continued)
Duke Energy Progress LLC 3.70%, 09/01/28	USD	197	$	194,375
3.45%, 03/15/29		2,269		2,209,252
3.70%, 10/15/46		25		20,117
3.60%, 09/15/47		333		262,450
Edison International 5.75%, 06/15/27		96		99,070
4.13%, 03/15/28		324		321,141
5.25%, 11/15/28		118		121,238
5.45%, 06/15/29		1,199		1,245,237
6.95%, 11/15/29		88		96,996
Enel Americas SA, 4.00%, 10/25/26		22		21,787
Enel Finance International NV 6.80%, 10/14/25^(a)		550		563,275
1.63%, 07/12/26^(a)		560		532,879
3.63%, 05/25/27^(a)		229		224,736
Eversource Energy 4.75%, 05/15/26		342		343,930
3.45%, 01/15/50		174		129,727
Series U, 1.40%, 08/15/26		112		106,054
Exelon Corp. 5.45%, 03/15/34		113		118,532
4.95%, 06/15/35		692		692,469
5.63%, 06/15/35		34		36,093
4.10%, 03/15/52		225		185,797
FirstEnergy Corp.
Series B, 3.90%, 07/15/27		226		223,652
Series C, 4.85%, 07/15/47		205		187,872
Series C, 3.40%, 03/01/50		814		596,515
FirstEnergy Transmission LLC 4.35%, 01/15/25^(a)		963		961,530
5.00%, 01/15/35^(a)		480		487,359
4.55%, 04/01/49^(a)		175		157,404
4.55%, 04/01/49^(b)		158		142,113
Florida Power & Light Co. 5.25%, 02/01/41		101		103,665
5.13%, 06/01/41		101		101,949
4.13%, 02/01/42		302		272,521
3.99%, 03/01/49		137		116,907
2.88%, 12/04/51		809		559,993
5.60%, 06/15/54		114		124,321
Georgia Power Co. 4.70%, 05/15/32		1,136		1,157,300
4.95%, 05/17/33		150		154,199
5.25%, 03/15/34		1,143		1,198,303
Interstate Power & Light Co., 5.45%, 09/30/54		70		72,382
MidAmerican Energy Co. 4.25%, 05/01/46		136		120,093
3.95%, 08/01/47		166		140,640
3.15%, 04/15/50		247		180,881
5.30%, 02/01/55		348		359,696
NextEra Energy Capital Holdings, Inc. 6.05%, 03/01/25		399		400,678
5.75%, 09/01/25		443		447,484
1.90%, 06/15/28		136		125,407
2.25%, 06/01/30		363		324,454
Northern States Power Co. 2.90%, 03/01/50		131		91,606
3.20%, 04/01/52		186		135,564
4.50%, 06/01/52		98		90,035
5.10%, 05/15/53		89		89,792
5.40%, 03/15/54		86		90,817


Security	Par (000)		Value

Electric Utilities (continued)
NRG Energy, Inc. 2.45%, 12/02/27^(a)	USD	533	$	499,355
4.45%, 06/15/29^(a)		162		158,307
Ohio Power Co. 4.00%, 06/01/49		497		407,210
Series D, 6.60%, 03/01/33		612		679,889
Series R, 2.90%, 10/01/51		106		69,670
Pacific Gas & Electric Co. 3.45%, 07/01/25		535		528,834
3.95%, 12/01/47		148		116,509
4.95%, 07/01/50		128		116,399
3.50%, 08/01/50		152		110,076
5.25%, 03/01/52		1,532		1,451,916
6.75%, 01/15/53		289		329,510
6.70%, 04/01/53		104		119,028
5.90%, 10/01/54		104		107,718
PECO Energy Co. 3.70%, 09/15/47		193		155,593
2.85%, 09/15/51		116		78,580
4.60%, 05/15/52		135		125,557
5.25%, 09/15/54		110		113,684
PPL Capital Funding, Inc., 5.25%, 09/01/34		644		663,081
Public Service Electric & Gas Co. 4.85%, 08/01/34		276		282,159
5.70%, 12/01/36		92		98,572
2.70%, 05/01/50		290		195,157
2.05%, 08/01/50		229		133,814
San Diego Gas & Electric Co. 4.95%, 08/15/28		282		289,766
4.15%, 05/15/48		232		198,515
5.35%, 04/01/53		140		143,703
Series TTT, 4.10%, 06/15/49		212		179,315
Series WWW, 2.95%, 08/15/51		127		89,144
Southern California Edison Co. 4.40%, 09/06/26		800		806,106
2.75%, 02/01/32		667		593,370
Series 20A, 2.95%, 02/01/51		363		248,165
Series E, 3.70%, 08/01/25		87		86,332
Series E, 5.45%, 06/01/52		742		757,901
Series G, 2.50%, 06/01/31		262		231,677
Series H, 3.65%, 06/01/51		254		194,905
Southern Co. (The) 5.70%, 10/15/32		680		728,717
5.20%, 06/15/33		164		169,943
4.85%, 03/15/35		1,561		1,573,583
4.25%, 07/01/36		372		352,908
Series A, 3.70%, 04/30/30		256		247,426
Tampa Electric Co. 4.30%, 06/15/48		414		359,791
4.45%, 06/15/49		64		57,731
Union Electric Co., 03/15/55^(c)		410		408,681
Vistra Operations Co. LLC 5.13%, 05/13/25^(a)		2,442		2,436,817
6.95%, 10/15/33^(a)		427		481,398
6.00%, 04/15/34^(a)		239		255,410
Wisconsin Electric Power Co., 5.05%, 10/01/54		175		173,790

				42,815,179

Electrical Equipment — 0.1%
Otis Worldwide Corp. 5.25%, 08/16/28		195		202,063
2.57%, 02/15/30		124		113,614

				315,677


S C H E D U L E S O F I N V E S T M E N T S		39

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Financial Services — 1.4%
Aviation Capital Group LLC, 1.95%, 09/20/26^(a)	USD	1,088	$	1,030,479
Fidelity National Information Services, Inc., 3.10%, 03/01/41		600		462,134
Glencore Funding LLC 6.50%, 10/06/33^(a)		242		266,971
5.63%, 04/04/34^(a)		2,068		2,158,200
Nasdaq, Inc., 5.55%, 02/15/34		366		386,108
TER Finance Jersey Ltd., Series 22, 0.00%, 10/02/25^(a)(d)		2,226		2,098,332

				6,402,224

Food Products — 0.1%
Kraft Heinz Foods Co. 4.88%, 10/01/49		472		444,876
5.50%, 06/01/50		91		93,571

				538,447

Ground Transportation — 1.8%
Burlington Northern Santa Fe LLC 5.75%, 05/01/40		122		133,325
5.05%, 03/01/41		130		131,964
5.40%, 06/01/41		85		89,158
4.95%, 09/15/41		221		221,057
4.40%, 03/15/42		112		104,949
4.38%, 09/01/42		136		126,880
4.45%, 03/15/43		137		128,754
5.15%, 09/01/43		88		90,961
4.90%, 04/01/44		90		89,341
4.55%, 09/01/44		97		91,586
4.15%, 04/01/45		138		123,231
3.90%, 08/01/46		121		103,073
Canadian National Railway Co. 3.85%, 08/05/32		397		383,465
3.65%, 02/03/48		267		220,307
CSX Corp. 4.10%, 11/15/32		91		89,523
5.20%, 11/15/33		92		97,004
6.00%, 10/01/36		102		113,694
4.30%, 03/01/48		77		69,111
4.50%, 03/15/49		91		84,219
4.90%, 03/15/55		144		141,505
Norfolk Southern Corp. 4.10%, 05/15/49		153		129,893
3.05%, 05/15/50		156		109,890
2.90%, 08/25/51		182		122,598
4.05%, 08/15/52		108		90,132
4.55%, 06/01/53		114		103,491
5.35%, 08/01/54		87		89,383
3.16%, 05/15/55		129		89,375
Penske Truck Leasing Co. LP/PTL Finance Corp. 5.88%, 11/15/27^(a)		1,166		1,214,476
5.70%, 02/01/28^(a)		88		91,130
6.05%, 08/01/28^(a)		808		850,475
Ryder System, Inc. 2.85%, 03/01/27		368		355,830
5.30%, 03/15/27		569		582,223
4.30%, 06/15/27		90		90,007
5.50%, 06/01/29		217		226,300
Uber Technologies, Inc. 4.80%, 09/15/34		234		233,676
5.35%, 09/15/54		789		782,530
Union Pacific Corp. 4.50%, 09/10/48		182		167,963
3.25%, 02/05/50		193		145,663


Security	Par (000)		Value

Ground Transportation (continued)
Union Pacific Corp. 3.80%, 10/01/51		USD 142	$	117,060
3.95%, 08/15/59		255		208,418

				8,433,620

Health Care Equipment & Supplies — 1.9%
Baxter International, Inc. 3.95%, 04/01/30		383		374,342
1.73%, 04/01/31		529		445,103
Becton Dickinson & Co. 3.73%, 12/15/24		48		47,848
3.70%, 06/06/27		1,200		1,184,954
4.87%, 02/08/29		1,014		1,036,011
5.08%, 06/07/29		232		239,782
GE HealthCare Technologies, Inc., 5.55%, 11/15/24		375		375,142
Medtronic Global Holdings SCA, 4.50%, 03/30/33		316		317,761
Solventum Corp. 5.60%, 03/23/34^(a)		2,403		2,488,514
5.90%, 04/30/54^(a)		1,659		1,718,539
Thermo Fisher Scientific, Inc. 4.98%, 08/10/30		288		300,148
5.09%, 08/10/33		180		188,299
5.30%, 02/01/44		88		91,162

				8,807,605

Health Care Providers & Services — 3.7%
Aetna, Inc. 3.50%, 11/15/24		495		493,851
3.88%, 08/15/47		299		233,504
Banner Health, 2.91%, 01/01/42		212		163,146
Centene Corp. 2.45%, 07/15/28		396		364,686
3.38%, 02/15/30		289		266,318
3.00%, 10/15/30		1,043		933,722
CommonSpirit Health 3.35%, 10/01/29		210		200,073
2.78%, 10/01/30		263		239,265
3.91%, 10/01/50		506		407,055
Elevance Health, Inc. 2.38%, 01/15/25		35		34,731
4.75%, 02/15/33		137		138,574
5.38%, 06/15/34		230		241,778
5.95%, 12/15/34		782		854,612
5.85%, 01/15/36		407		440,408
4.65%, 08/15/44		1,357		1,269,435
HCA, Inc. 3.50%, 09/01/30		1,018		959,338
5.50%, 06/15/47		92		91,439
5.25%, 06/15/49		249		236,427
3.50%, 07/15/51		288		207,519
4.63%, 03/15/52		79		68,566
5.90%, 06/01/53		88		91,798
6.00%, 04/01/54		85		89,811
5.95%, 09/15/54		88		92,445
Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52		251		206,963
Humana, Inc. 5.88%, 03/01/33		413		438,440
5.95%, 03/15/34		150		160,529
4.80%, 03/15/47		273		246,307
3.95%, 08/15/49		235		185,844
5.75%, 04/15/54		216		221,092
Memorial Health Services, 3.45%, 11/01/49		191		151,692
Mount Nittany Medical Center Obligated Group, Series 2022, 3.80%, 11/15/52		140		111,758


40		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Health Care Providers & Services (continued)
Nationwide Children’s Hospital, Inc., 4.56%, 11/01/52	USD	151	$	147,220
Sutter Health
Series 2018, 4.09%, 08/15/48		33		28,642
Series 20A, 2.29%, 08/15/30		388		347,469
Series 20A, 3.36%, 08/15/50		177		134,998
UnitedHealth Group, Inc. 6.88%, 02/15/38		87		105,368
3.50%, 08/15/39		1,015		874,908
2.75%, 05/15/40		132		101,037
5.70%, 10/15/40		302		324,372
5.95%, 02/15/41		94		103,993
3.05%, 05/15/41		1,091		861,254
4.63%, 11/15/41		142		137,073
4.38%, 03/15/42		335		313,487
3.95%, 10/15/42		131		114,878
5.50%, 07/15/44		125		132,286
4.25%, 06/15/48		101		89,403
4.45%, 12/15/48		406		369,183
3.70%, 08/15/49		448		360,805
2.90%, 05/15/50		4		2,802
3.25%, 05/15/51		1,563		1,157,796
4.75%, 05/15/52		105		100,128
5.88%, 02/15/53		90		99,625
5.05%, 04/15/53		147		145,923
5.38%, 04/15/54		132		137,222
5.63%, 07/15/54		114		122,299
3.88%, 08/15/59		1,115		889,299

				17,042,596

Health Care REITs — 0.9%
Healthpeak OP LLC 3.50%, 07/15/29		269		258,034
3.00%, 01/15/30		300		279,591
5.25%, 12/15/32		158		162,760
Ventas Realty LP, 5.63%, 07/01/34		1,444		1,519,602
Welltower OP LLC 3.10%, 01/15/30		504		473,400
2.80%, 06/01/31		663		598,417
3.85%, 06/15/32		777		739,465

				4,031,269

Hotels, Restaurants & Leisure — 0.2%
Darden Restaurants, Inc. 10/15/27^(c)		457		456,904
10/15/29^(c)		457		456,136

				913,040

Independent Power and Renewable Electricity Producers — 0.3%
Algonquin Power & Utilities Corp., 5.37%, 06/15/26^(e)		1,272		1,287,373


Industrial Conglomerates — 0.4%
3M Co. 2.88%, 10/15/27		458		442,015
3.88%, 06/15/44		118		99,635
3.13%, 09/19/46		64		47,776
3.25%, 08/26/49		723		540,793
John Deere Capital Corp., 4.20%, 07/15/27		560		564,607

				1,694,826

Industrial REITs — 0.1%
Prologis LP 1.75%, 07/01/30		28		24,422
5.13%, 01/15/34		95		98,222


Security	Par (000)		Value

Industrial REITs (continued)
Prologis LP 5.00%, 03/15/34		USD 100	$	102,544
5.00%, 01/31/35		88		90,119

				315,307

Insurance — 1.2%
AEGON Funding Co. LLC, 5.50%, 04/16/27^(a)		1,786		1,825,422
Aon Corp./Aon Global Holdings PLC 5.00%, 09/12/32		693		710,750
5.35%, 02/28/33		1,053		1,100,080
2.90%, 08/23/51		135		89,682
3.90%, 02/28/52		819		655,034
Aon North America, Inc.
5.45%, 03/01/34		493		517,611
5.75%, 03/01/54		192		203,393
Marsh & McLennan Cos., Inc., 2.25%, 11/15/30		201		179,844

				5,281,816

Interactive Media & Services — 0.6%
Meta Platforms, Inc. 4.45%, 08/15/52		236		217,615
5.60%, 05/15/53		456		494,392
5.40%, 08/15/54		733		767,931
4.65%, 08/15/62		365		339,827
5.75%, 05/15/63		256		280,607
5.55%, 08/15/64		659		703,858

				2,804,230

IT Services — 0.8%
Fiserv, Inc. 3.85%, 06/01/25		219		217,466
4.40%, 07/01/49		543		479,995
Global Payments, Inc.
1.20%, 03/01/26		95		90,792
4.80%, 04/01/26		673		674,431
2.15%, 01/15/27		680		648,116
Mastercard, Inc., 4.10%, 01/15/28		945		952,063
S&P Global, Inc. 1.25%, 08/15/30		175		149,304
2.90%, 03/01/32		475		432,002

				3,644,169

Life Sciences Tools & Services — 0.3%
Agilent Technologies, Inc., 4.20%, 09/09/27		1,340		1,343,736


Machinery — 0.4%
Cummins, Inc. 1.50%, 09/01/30		140		91,003
5.45%, 02/20/54		130		137,523
Ingersoll Rand, Inc. 5.70%, 08/14/33		360		385,710
5.45%, 06/15/34		989		1,040,707

				1,654,943

Media — 0.9%
Charter Communications Operating LLC/Charter Communications Operating Capital 4.80%, 03/01/50		299		228,906
3.70%, 04/01/51		337		215,137
3.90%, 06/01/52		520		340,935
3.85%, 04/01/61		339		207,921
Comcast Corp. 3.75%, 04/01/40		458		396,481
4.00%, 08/15/47		160		134,607
3.97%, 11/01/47		218		182,152
4.00%, 03/01/48		40		33,517


S C H E D U L E S O F I N V E S T M E N T S		41

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Media (continued)
Comcast Corp.
4.00%, 11/01/49	USD	322	$	268,939
3.45%, 02/01/50		154		116,519
2.80%, 01/15/51		176		116,778
2.89%, 11/01/51		375		251,988
2.45%, 08/15/52		408		248,864
5.35%, 05/15/53		133		136,036
2.94%, 11/01/56		378		247,043
4.95%, 10/15/58		255		245,148
2.99%, 11/01/63		448		284,176
Interpublic Group of Cos., Inc. (The), 3.38%, 03/01/41 103				80,120
Paramount Global
5.85%, 09/01/43		328		286,054
4.90%, 08/15/44		78		59,946
4.60%, 01/15/45		115		84,875

				4,166,142

Metals & Mining — 0.8%
Freeport-McMoRan, Inc., 5.40%, 11/14/34		120		124,453
Glencore Canada Corp., 6.20%, 06/15/35		244		264,787
Steel Dynamics, Inc., 3.25%, 10/15/50		1,318		926,754
Vale Overseas Ltd.
3.75%, 07/08/30		909		864,459
6.13%, 06/12/33		475		501,125
8.25%, 01/17/34		230		280,147
6.40%, 06/28/54		530		556,606

				3,518,331

Multi-Utilities — 1.9%
CenterPoint Energy Resources Corp., 5.40%, 07/01/34		86		89,439
CMS Energy Corp.
3.45%, 08/15/27		28		27,443
4.70%, 03/31/43		101		92,785
4.88%, 03/01/44		91		87,379
Consumers Energy Co.
3.80%, 11/15/28		153		151,020
4.70%, 01/15/30		719		736,850
3.95%, 07/15/47		130		110,990
3.75%, 02/15/50		28		23,000
2.65%, 08/15/52		145		96,784
4.20%, 09/01/52		240		211,164
Dominion Energy, Inc.
3.90%, 10/01/25		2,783		2,766,307
Series C, 3.38%, 04/01/30		250		236,944
Series D, 2.85%, 08/15/26		93		90,536
NiSource, Inc.
5.40%, 06/30/33		377		392,291
5.25%, 02/15/43		415		412,644
4.80%, 02/15/44		285		267,275
Sempra
5.40%, 08/01/26		1,887		1,922,161
4.00%, 02/01/48		255		206,857
Virginia Electric & Power Co.
6.35%, 11/30/37		70		78,585
4.00%, 01/15/43		155		133,096
2.45%, 12/15/50		207		127,937
Series A, 6.00%, 05/15/37		123		134,629
Series B, 3.80%, 09/15/47		256		207,936
Series D, 4.65%, 08/15/43		95		89,495

				8,693,547

Office REITs — 0.3%
Alexandria Real Estate Equities, Inc.
2.75%, 12/15/29		98		89,953


Security	Par (000)		Value

Office REITs (continued)
Alexandria Real Estate Equities, Inc. 4.70%, 07/01/30		USD 517	$	520,727
4.90%, 12/15/30		88		89,811
1.88%, 02/01/33		190		152,679
5.25%, 05/15/36		314		319,274
4.85%, 04/15/49		32		29,245
3.00%, 05/18/51		136		90,777
3.55%, 03/15/52		221		162,060

				1,454,526

Oil, Gas & Consumable Fuels — 5.0%
Atmos Energy Corp. 6.20%, 11/15/53		112		129,105
12/15/54^(c)		297		290,084
Cameron LNG LLC 3.30%, 01/15/35^(a)		479		413,378
3.40%, 01/15/38^(a)		85		72,681
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29		591		568,191
Cheniere Energy Partners LP 3.25%, 01/31/32		523		467,675
5.95%, 06/30/33		164		173,536
5.75%, 08/15/34^(a)		876		912,573
Cheniere Energy, Inc., 5.65%, 04/15/34^(a)		1,240		1,282,916
Chevron U.S.A., Inc., 5.25%, 11/15/43		168		175,978
ConocoPhillips, 4.88%, 10/01/47		105		102,002
ConocoPhillips Co. 6.95%, 04/15/29		1,287		1,431,211
3.80%, 03/15/52		364		291,881
5.30%, 05/15/53		147		148,561
5.55%, 03/15/54		96		100,367
DCP Midstream Operating LP 8.13%, 08/16/30		77		90,514
3.25%, 02/15/32		1,207		1,069,667
Diamondback Energy, Inc. 3.50%, 12/01/29		807		767,543
3.13%, 03/24/31		791		721,129
4.40%, 03/24/51		110		91,275
4.25%, 03/15/52		111		89,981
6.25%, 03/15/53		695		744,542
5.75%, 04/18/54		214		215,642
5.90%, 04/18/64		173		174,374
Enbridge, Inc. 2.50%, 01/15/25		609		604,445
5.70%, 03/08/33		128		134,906
2.50%, 08/01/33		686		576,084
5.63%, 04/05/34		330		346,109
Series 20-A, 5.75%, 07/15/80		202		198,331
Energy Transfer LP 5.15%, 03/15/45		225		209,673
5.30%, 04/15/47		110		103,654
5.40%, 10/01/47		120		114,270
6.00%, 06/15/48		127		130,025
6.25%, 04/15/49		101		106,202
5.00%, 05/15/50		291		262,895
Enterprise Products Operating LLC 4.20%, 01/31/50		359		306,278
Series H, 6.65%, 10/15/34		77		87,640
EQT Corp. 3.13%, 05/15/26^(a)		90		87,627
5.75%, 02/01/34		86		88,373
Exxon Mobil Corp. 4.23%, 03/19/40		136		127,323


42		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Exxon Mobil Corp. 3.57%, 03/06/45		USD 124	$	102,775
4.11%, 03/01/46		108		96,247
3.10%, 08/16/49		299		219,540
4.33%, 03/19/50		102		92,385
3.45%, 04/15/51		115		89,112
Hess Corp. 7.30%, 08/15/31		1,290		1,477,226
5.80%, 04/01/47		345		363,747
Kinder Morgan, Inc. 4.30%, 06/01/25		75		74,659
5.05%, 02/15/46		97		89,644
Marathon Oil Corp., 4.40%, 07/15/27		521		521,631
Ovintiv, Inc., 5.65%, 05/15/25		1,537		1,542,975
Pioneer Natural Resources Co. 5.10%, 03/29/26		259		262,653
1.90%, 08/15/30		785		688,232
2.15%, 01/15/31		171		150,224
Sabine Pass Liquefaction LLC 5.88%, 06/30/26		363		368,930
5.00%, 03/15/27		126		127,635
Saudi Arabian Oil Co. 5.75%, 07/17/54^(a)		390		394,680
5.88%, 07/17/64^(a)		505		509,444
South Bow U.S.A. Infrastructure Holdings LLC, 5.03%, 10/01/29^(a)		291		291,760
Targa Resources Corp. 4.20%, 02/01/33		157		148,662
6.13%, 03/15/33		230		246,822
5.50%, 02/15/35		162		166,841
Western Midstream Operating LP 3.10%, 02/01/25		325		322,281
3.95%, 06/01/25		604		599,200

				22,955,946

Passenger Airlines — 0.3%
United Airlines Pass-Through Trust, Series 2024-1, A, 5.88%, 02/15/37		1,283		1,321,771


Pharmaceuticals — 2.1%
Bayer U.S. Finance II LLC 4.25%, 12/15/25^(a)		215		213,445
4.38%, 12/15/28^(a)		200		197,384
4.20%, 07/15/34^(a)		723		670,107
Bayer U.S. Finance LLC 6.25%, 01/21/29^(a)		1,301		1,375,298
6.50%, 11/21/33^(a)		220		238,116
Eli Lilly & Co. 4.60%, 08/14/34		452		459,090
2.25%, 05/15/50		142		89,434
4.88%, 02/27/53		203		203,230
5.05%, 08/14/54		88		90,170
4.15%, 03/15/59		227		199,164
Pfizer Investment Enterprises Pte Ltd., 5.11%, 05/19/43		113		115,051
Pfizer, Inc. 4.10%, 09/15/38		313		293,930
3.90%, 03/15/39		199		181,562
2.55%, 05/28/40		219		164,130
4.30%, 06/15/43		641		593,575
4.40%, 05/15/44		1,818		1,728,775
Takeda Pharmaceutical Co. Ltd. 5.30%, 07/05/34		1,655		1,727,200


Security	Par (000)		Value

Pharmaceuticals (continued)
Takeda Pharmaceutical Co. Ltd.
3.18%, 07/09/50		USD 877	$	629,627
5.65%, 07/05/54		332		348,675

				9,517,963

Professional Services — 0.4%
Equifax, Inc., 4.80%, 09/15/29		1,995		2,017,581


Residential REITs — 0.4%
American Homes 4 Rent LP
5.50%, 02/01/34		569		587,544
5.50%, 07/15/34		188		194,422
AvalonBay Communities, Inc., 5.00%, 02/15/33		101		103,279
Camden Property Trust, 2.80%, 05/15/30		109		100,851
Invitation Homes Operating Partnership LP
2.00%, 08/15/31		187		156,949
5.50%, 08/15/33		196		201,794
2.70%, 01/15/34		256		214,147
4.88%, 02/01/35		152		150,047

				1,709,033

Retail REITs — 0.6%
Brixmor Operating Partnership LP, 2.25%, 04/01/28		220		202,850
Realty Income Corp.
4.70%, 12/15/28		173		175,539
3.25%, 01/15/31		645		601,711
3.20%, 02/15/31		254		235,350
5.38%, 09/01/54		100		101,791
Regency Centers LP, 5.10%, 01/15/35		1,166		1,186,661

				2,503,902

Semiconductors & Semiconductor Equipment — 2.4%
Analog Devices, Inc.
2.80%, 10/01/41		219		165,940
5.30%, 12/15/45		114		117,574
AP Grange Holdings LLC, 6.50%, 03/20/45 (Acquired 06/21/24, cost $746,207)^(f)(g)		746		751,803
Applied Materials, Inc.
3.30%, 04/01/27		406		399,789
1.75%, 06/01/30		299		262,548
Broadcom, Inc.
02/15/28^(c)		810		809,148
4.30%, 11/15/32		134		131,620
2.60%, 02/15/33^(a)		1,028		881,247
3.47%, 04/15/34^(a)		480		432,238
3.14%, 11/15/35^(a)		1,598		1,366,506
3.19%, 11/15/36^(a)		1,077		912,798
4.93%, 05/15/37^(a)		1,158		1,156,998
Intel Corp., 3.10%, 02/15/60		649		394,731
KLA Corp.
5.00%, 03/15/49		94		93,436
3.30%, 03/01/50		1,194		903,208
Lam Research Corp., 4.88%, 03/15/49		291		284,641
Micron Technology, Inc.
5.88%, 02/09/33		164		175,129
5.88%, 09/15/33		171		182,890
NVIDIA Corp., 3.50%, 04/01/40		316		279,295
NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.65%, 02/15/32		1,303		1,130,587
QUALCOMM, Inc., 6.00%, 05/20/53		140		158,659

				10,990,785

Software — 2.0%
Cadence Design Systems, Inc., 4.20%, 09/10/27		870		874,274


S C H E D U L E S O F I N V E S T M E N T S		43

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Software (continued)
Oracle Corp.
4.20%, 09/27/29		USD 1,331	$	1,328,308
3.60%, 04/01/40		171		142,269
5.38%, 07/15/40		762		777,248
4.50%, 07/08/44		718		647,796
4.13%, 05/15/45		240		203,599
4.00%, 07/15/46		225		186,646
4.00%, 11/15/47		359		294,755
3.60%, 04/01/50		1,682		1,280,511
3.95%, 03/25/51		554		445,861
6.90%, 11/09/52		97		116,922
5.55%, 02/06/53		315		322,355
5.38%, 09/27/54		240		239,853
5.50%, 09/27/64		578		575,779
VMware LLC
4.70%, 05/15/30		1,042		1,049,800
2.20%, 08/15/31		905		777,345

				9,263,321

Specialized REITs — 0.4%
Extra Space Storage LP
5.40%, 02/01/34		183		188,998
5.35%, 01/15/35		1,392		1,422,383

				1,611,381

Specialty Retail — 0.8%
Home Depot, Inc. (The)
4.85%, 06/25/31		1,441		1,493,723
3.25%, 04/15/32		234		218,969
3.90%, 06/15/47		120		102,492
4.50%, 12/06/48		110		102,871
3.35%, 04/15/50		222		170,635
2.38%, 03/15/51		159		99,809
2.75%, 09/15/51		151		102,081
3.63%, 04/15/52		145		116,671
4.95%, 09/15/52		104		103,757
5.30%, 06/25/54		107		112,453
3.50%, 09/15/56		118		90,785
Lowe’s Cos., Inc.
4.55%, 04/05/49		161		143,327
5.13%, 04/15/50		214		208,595
3.00%, 10/15/50		189		128,481
3.50%, 04/01/51		441		325,976
5.63%, 04/15/53		151		157,171
5.75%, 07/01/53		110		116,068

				3,793,864

Technology Hardware, Storage & Peripherals — 0.1%
Dell International LLC/EMC Corp.
5.85%, 07/15/25		235		236,792
5.75%, 02/01/33		84		90,150
8.10%, 07/15/36		72		89,682
3.38%, 12/15/41		149		117,029
8.35%, 07/15/46		78		105,477

				639,130

Tobacco — 0.8%
Altria Group, Inc.
3.88%, 09/16/46		390		304,562
4.45%, 05/06/50		245		205,286
6.20%, 02/14/59		81		85,838
BAT Capital Corp.
6.34%, 08/02/30		1,993		2,157,169
4.54%, 08/15/47		547		462,032


Security	Par (000)		Value

Tobacco (continued)
BAT Capital Corp.
5.28%, 04/02/50		USD 408	$	382,056
7.08%, 08/02/53		193		223,977

				3,820,920

Trading Companies & Distributors — 0.5%
Air Lease Corp.
2.88%, 01/15/26		154		150,838
1.88%, 08/15/26		2,230		2,129,260

				2,280,098

Wireless Telecommunication Services — 1.4%
America Movil SAB de CV, 4.38%, 04/22/49	421		375,216
Rogers Communications, Inc.
3.80%, 03/15/32		1,803		1,672,867
4.30%, 02/15/48		266		223,286
3.70%, 11/15/49		601		452,716
4.55%, 03/15/52		170		147,209
T-Mobile U.S.A., Inc.
3.88%, 04/15/30		1,256		1,221,423
4.38%, 04/15/40		827		762,595
4.50%, 04/15/50		150		133,418
3.30%, 02/15/51		290		210,524
3.40%, 10/15/52		186		136,149
5.75%, 01/15/54		345		366,722
6.00%, 06/15/54		453		499,109
5.50%, 01/15/55		310		321,126

				6,522,360


Total Corporate Bonds — 80.6%
(Cost: $363,167,801)				368,106,447


Foreign Agency Obligations

Mexico — 0.5%
Petroleos Mexicanos, 6.70%, 02/16/32	2,470		2,208,551


Panama — 0.1%
Banco Nacional de Panama, 2.50%, 08/11/30^(a)560			462,526


Total Foreign Agency Obligations — 0.6%
(Cost: $2,550,627)				2,671,077


Foreign Government Obligations

Chile — 0.4%
Republic of Chile
3.50%, 01/25/50		794		608,998
5.33%, 01/05/54		618		625,725
3.10%, 01/22/61		752		499,328

				1,734,051

Indonesia — 0.4%
Republic of Indonesia
5.45%, 09/20/52		700		741,125
5.65%, 01/11/53		1,125		1,221,328

				1,962,453

Israel — 0.2%
State of Israel, 5.75%, 03/12/54	768		730,800


Mexico — 1.4%
United Mexican States
4.40%, 02/12/52		501		385,144
6.34%, 05/04/53		1,764		1,753,526
6.40%, 05/07/54		4,324		4,334,810

				6,473,480


44		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Panama — 0.2%
Republic of Panama
8.00%, 03/01/38		USD 600	$	675,900
4.50%, 04/16/50		244		179,325

				855,225

Peru — 0.5%
Republic of Peru
3.30%, 03/11/41		675		532,940
5.88%, 08/08/54		1,199		1,256,432
2.78%, 12/01/60		1,097		661,809

				2,451,181

Philippines — 0.2%
Republic of the Philippines, 4.75%, 03/05/35		745		752,450


Romania — 0.1%
Romania, 5.75%, 03/24/35^(a)		702		696,735


Uruguay — 0.2%
Oriental Republic of Uruguay
5.10%, 06/18/50		868		864,962
5.25%, 09/10/60		136		136,000

				1,000,962


Total Foreign Government Obligations — 3.6%
(Cost: $16,565,526)				16,657,337


Municipal Bonds

California — 0.5%
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45		1,075		1,255,637
State of California, GO, 7.63%, 03/01/40		950		1,189,438

				2,445,075

Illinois — 0.2%
Chicago O’Hare International Airport RB, Series B, 6.40%, 01/01/40		1,000		1,137,562


New York — 0.5%
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39		985		1,195,463
New York State Dormitory Authority RB, Series F, 3.11%, 02/15/39		590		511,302
Port Authority of New York & New Jersey RB, 4.46%, 10/01/62		385		357,534

				2,064,299


Total Municipal Bonds — 1.2%
(Cost: $5,400,424)				5,646,936


Preferred Securities

Capital Trusts — 1.4%

Automobile Components — 0.2%
Aptiv PLC/Aptiv Global Financing DAC, 6.88%, 12/15/54		1,105		1,116,611


Capital Markets — 0.1%
Goldman Sachs Group, Inc. (The), NVS, Series U, 3.65%^(h)		135		127,971
UBS Group AG, 7.00%^(b)(h)		273		273,650

				401,621

Electric Utilities — 0.9%
American Electric Power Co., Inc. 3.88%, 02/15/62		697		657,341


Security	Par (000)		Value

Electric Utilities (continued)
American Electric Power Co., Inc. 5.70%, 08/15/25		USD 1,472	$	1,483,659
NextEra Energy Capital Holdings, Inc., 6.75%, 06/15/54		1,815		1,958,552

				4,099,552

Multi-Utilities — 0.2%
Dominion Energy, Inc., Series B, 7.00%, 06/01/54		361		394,149
Sempra, 6.88%, 10/01/54		619		641,624

				1,035,773


Total Preferred Securities — 1.4%
(Cost: $6,405,511)				6,653,557


U.S. Treasury Obligations
U.S. Treasury Bonds
4.75%, 11/15/43		225		242,710
4.63%, 05/15/44⁽ⁱ⁾		4,325		4,583,824
3.00%, 05/15/45 - 02/15/49		2,000		1,624,590
2.75%, 08/15/47		510		398,019
U.S. Treasury Notes
3.75%, 08/15/27		11,900		11,956,711
4.13%, 03/31/29		12,000		12,272,344
2.88%, 04/30/29		2,500		2,425,879
4.25%, 06/30/29		7,000		7,204,531
1.63%, 05/15/31		5,000		4,408,008
4.38%, 05/15/34		800		837,875


Total U.S. Treasury Obligations — 10.1%
(Cost: $45,562,775)				45,954,491


Total Long-Term Investments — 97.5%
(Cost: $439,652,664)				445,689,845


	Shares

Short-Term Securities

Money Market Funds — 2.2%
Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%^(j)		9,893,762		9,893,762


Total Short-Term Securities — 2.2%
(Cost: $9,893,762)				9,893,762


Options Purchased — 0.1%
(Cost: $287,028)				302,830


Total Investments Before Options Written — 99.8%
(Cost: $449,833,454)				455,886,437


Options Written — (0.3)%
(Premiums Received: $(1,487,417))				(1,492,050	)


Total Investments Net of Options Written — 99.5%
(Cost: $448,346,037)				454,394,387

Other Assets Less Liabilities — 0.5%			2,445,950


Net Assets — 100.0%			$456,840,337

^(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)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

^(c)	When-issued security.

^(d)	Zero-coupon bond.

^(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.


S C H E D U L E S O F I N V E S T M E N T S		45

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

^(f)	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

^(g)	Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $751,803, representing 0.2% of its net assets as of period end, and an original cost of $746,207.

^(h)	Perpetual security with no stated maturity date.

⁽ⁱ⁾	All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

^(j)	Annualized 7-day yield as of period end.

For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.

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)		84		12/19/24	$	10,432	$	(121,351	)
U.S. Treasury Notes (10 Year)		41		12/19/24		4,686		(7,390	)
U.S. Treasury Notes (5 Year)		229		12/31/24		25,163		(108,694	)

								(237,435	)

Short Contracts
U.S. Ultra Treasury Bonds		102		12/19/24		13,576		170,388
U.S. Ultra Treasury Notes (10 Year)		155		12/19/24		18,336		136,702
U.S. Treasury Notes (2 Year)		28		12/31/24		5,831		3,753

								310,843

							$	73,408

OTC Interest Rate Swaptions Purchased

Paid by the Fund

Received by the Fund

Expiration

Exercise

Notional
Amount

Description

Rate

Frequency

Rate

Frequency

Counterparty

Date

Rate

(000)

Value

Put

30-Year Interest Rate Swap, 09/25/55

3.48%

Annual

1-day SOFR, 4.96%

Annual

Goldman Sachs Bank USA

09/23/25

3.48

USD 6,500

302,830

OTC Interest Rate Swaptions Written

Paid by the Fund

Received by the Fund

Expiration

Exercise

Notional
Amount

Description

Rate

Frequency

Rate

Frequency

Counterparty

Date

Rate

(000)

Value

Call

2-Year Interest Rate Swap, 09/18/27

2.42%

Annual

1-day SOFR, 4.96%

Annual

Goldman Sachs Bank USA

09/16/25

2.42

USD 133,260

(501,823

)

Put

2-Year Interest Rate Swap, 09/18/27

1-day SOFR, 4.96%

Annual

3.42%

Annual

Goldman Sachs Bank USA

09/16/25

3.42

USD 133,260

(658,944

)

2-Year Interest Rate Swap, 09/25/27

1-day SOFR, 4.96%

Annual

3.44%

Annual

Goldman Sachs Bank USA

09/23/25

3.44

USD 68,170

(331,283

)

(990,227

)

(1,492,050

)


46		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

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.43.V1

1.00

Quarterly

12/20/29

USD 35,974

(815,274

)

(811,863

)

(3,411

)

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)

DR Horton, Inc.

1.00

Quarterly

Barclays Bank PLC

12/20/29

USD 1,330

(33,303

)

(29,579

)

(3,724

)

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)
Verizon Communications, Inc.		1.00	%	Quarterly	Deutsche Bank AG		12/20/24	BBB+		USD	2,211	$	4,769		$	1,322		$	3,447
AT&T Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB		USD	655		12,523			8,983			3,540
AT&T Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB		USD	139		2,658			2,111			547
AT&T Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB		USD	139		2,658			2,107			551
AT&T Inc.		1.00		Quarterly	Deutsche Bank AG		06/20/29	BBB		USD	177		3,384			2,427			957
Broadcom, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB		USD	659		16,212			13,789			2,423
Broadcom, Inc.		1.00		Quarterly	Citibank N.A.		06/20/29	BBB		USD	368		9,053			7,720			1,333
Broadcom, Inc.		1.00		Quarterly	Citibank N.A.		06/20/29	BBB		USD	368		9,053			7,720			1,333
Energy Transfer LP		1.00		Quarterly	Barclays Bank PLC		06/20/29	BBB		USD	1,390		19,422			22,558			(3,136	)
Ford Motor Co.		5.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	328		46,917			47,484			(567	)
Ford Motor Co.		5.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	292		41,767			42,498			(731	)
Ford Motor Co.		5.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	125		17,880			17,798			82
Ford Motor Co.		5.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	139		19,882			20,230			(348	)
Ford Motor Co.		5.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	208		29,724			29,716			8
Ford Motor Co.		5.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	125		17,880			17,703			177
Ford Motor Co.		5.00		Quarterly	Deutsche Bank AG		06/20/29	BBB-		USD	118		16,819			16,968			(149	)
Freeport-McMoRan, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	655		6,667			5,962			705
Freeport-McMoRan, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	207		2,107			1,540			567
Freeport-McMoRan, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	138		1,405			1,201			204
Freeport-McMoRan, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	207		2,107			2,172			(65	)
Freeport-McMoRan, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	137		1,394			1,320			74
Freeport-McMoRan, Inc.		1.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/29	BBB-		USD	219		2,229			2,110			119
Freeport-McMoRan, Inc.		1.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/29	BBB-		USD	148		1,506			992			514
Goldman Sachs Group, Inc. (The)		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB+		USD	238		4,586			4,563			23
Goldman Sachs Group, Inc. (The)		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB+		USD	119		2,292			2,230			62
Goldman Sachs Group, Inc. (The)		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB+		USD	241		4,643			4,940			(297	)
Goldman Sachs Group, Inc. (The)		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB+		USD	48		925			863			62
Kinder Morgan, Inc.		1.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/29	BBB		USD	396		6,163			7,272			(1,109	)
Kinder Morgan, Inc.		1.00		Quarterly	JPMorgan Chase Bank N.A.		06/20/29	BBB		USD	284		4,420			5,007			(587	)
Morgan Stanley		1.00		Quarterly	Bank of America N.A.		06/20/29	A-		USD	245		4,906			4,905			1
Morgan Stanley		1.00		Quarterly	Bank of America N.A.		06/20/29	A-		USD	123		2,463			2,462			1
Morgan Stanley		1.00		Quarterly	Bank of America N.A.		06/20/29	A-		USD	239		4,786			5,007			(221	)
Morgan Stanley		1.00		Quarterly	Bank of America N.A.		06/20/29	A-		USD	75		1,502			1,476			26
Petroleos Mexicanos		1.00		Quarterly	Bank of America N.A.		06/20/29	BBB		USD	1,724		(228,387	)		(225,507	)		(2,880	)
Teck Resources Ltd.		5.00		Quarterly	Bank of America N.A.		06/20/29	BBB-		USD	790		146,712			125,947			20,765
Verizon Communications, Inc.		1.00		Quarterly	Barclays Bank PLC		06/20/29	BBB+		USD	2,767		57,767			49,584			8,183
Verizon Communications, Inc.		1.00		Quarterly	Barclays Bank PLC		06/20/29	BBB+		USD	320		6,680			5,604			1,076
Verizon Communications, Inc.		1.00		Quarterly	Barclays Bank PLC		06/20/29	BBB+		USD	415		8,664			8,077			587
Verizon Communications, Inc.		1.00		Quarterly	Barclays Bank PLC		06/20/29	BBB+		USD	377		7,871			7,182			689
Verizon Communications, Inc.		1.00		Quarterly	Barclays Bank PLC		06/20/29	BBB+		USD	503		10,501			9,582			919


S C H E D U L E S O F I N V E S T M E N T S		47

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

OTC Credit Default Swaps — Sell Protection (continued)



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)
Verizon Communications, Inc.	1.00	%	Quarterly	Barclays Bank PLC	06/20/29	BBB+		USD 1,475	$	30,794	$	28,050	$	2,744
Williams Cos., Inc. (The)	1.00		Quarterly	JPMorgan Chase Bank N.A.	06/20/29	BBB		USD 722		11,311		12,343		(1,032	)
Williams Cos., Inc. (The)	1.00		Quarterly	JPMorgan Chase Bank N.A.	06/20/29	BBB		USD 396		6,204		6,936		(732	)
Williams Cos., Inc. (The)	1.00		Quarterly	JPMorgan Chase Bank N.A.	06/20/29	BBB		USD 283		4,433		4,386		47

									$	387,252	$	347,340	$	39,912

^(a)

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

^(b)

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written



	Swap/Options Premiums Paid		Swap/Options Premiums Received		Unrealized Appreciation		Unrealized Depreciation			Value
Centrally Cleared Swaps^(a)	$	—	$	(811,863)	$	—	$	(3,411	)	$ —
OTC Swaps		572,847		(255,086)		51,766		(15,578	)	—
Options Written		N/A		(1,487,417)		117,266		(121,899	)	(1,492,050)

^(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)	$	—	$	—	$	—	$	—	$	310,843	$	—	$	310,843
Options purchased
Investments at value — unaffiliated^(b)		—		—		—		—		302,830		—		302,830
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		624,613		—		—		—		—		624,613

	$	—	$	624,613	$	—	$	—	$	613,673	$	—	$	1,238,286

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	237,435	$	—	$	237,435
Options written
Options written at value		—		—		—		—		1,492,050		—		1,492,050
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		3,411		—		—		—		—		3,411
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		270,664		—		—		—		—		270,664

	$	—	$	274,075	$	—	$	—	$	1,729,485	$	—	$	2,003,560

^(a)

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

^(b)

Includes options purchased at value as reported in the Schedule of Investments.


48		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total

Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—		$	—	$	—	$	(1,622,073	)	$	—	$	(1,622,073	)
Options purchased^(a)		—		—			—		—		362,845			—		362,845
Options written		—		—			—		—		535,486			—		535,486
Swaps		—		(99,369	)		—		—		(564,583	)		—		(663,952	)

	$	—	$	(99,369	)	$	—	$	—	$	(1,288,325	)	$	—	$	(1,387,694	)


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	—	$	90,340		$	—	$	90,340
Options purchased^(b)		—		—			—		—		(76,117	)		—		(76,117	)
Options written		—		—			—		—		(4,633	)		—		(4,633	)
Swaps		—		24,199			—		—		196,361			—		220,560

	$	—	$	24,199		$	—	$	—	$	205,951		$	—	$	230,150

^(a)

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

^(b)

Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long		$37,167,973
Average notional value of contracts — short		$31,300,102
Options:
Average notional value of swaption contracts purchased		$3,250,000
Average notional value of swaption contracts written		$263,170,000
Credit default swaps
Average notional value — buy protection		$22,348,841
Average notional value — sell protection		$33,523,254
Interest rate swaps
Average notional value — pays fixed rate		$21,541,500
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	$	159,310		$	142,426
Options^(a)		302,830			1,492,050
Swaps — centrally cleared		38,915			—
Swaps — OTC^(b)		624,613			270,664

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,125,668		$	1,905,140

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(198,225	)		(142,426	)

Total derivative assets and liabilities subject to an MNA	$	927,443		$	1,762,714

^(a)

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

^(b)

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities.


S C H E D U L E S O F I N V E S T M E N T S		49

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio



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)
Bank of America N.A.	$	396,825	$	(230,616	)	$	(166,209	)	$	—		$	—
Barclays Bank PLC		144,835		(36,439	)		—			—			108,396
Citibank N.A.		18,106		—			—			—			18,106
Deutsche Bank AG		25,121		(149	)		—			(24,972	)		—
Goldman Sachs Bank USA		302,830		(302,830	)		—			—			—
JPMorgan Chase Bank N.A.		39,726		(3,460	)		—			(36,266	)		—

	$	927,443	$	(573,494	)	$	(166,209	)	$	(61,238	)	$	126,502


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)
Bank of America N.A.	$	230,616	$	(230,616	)	$	—		$	—		$	—
Barclays Bank PLC		36,439		(36,439	)		—			—			—
Deutsche Bank AG		149		(149	)		—			—			—
Goldman Sachs Bank USA		1,492,050		(302,830	)		(1,183,845	)		—			5,375
JPMorgan Chase Bank N.A.		3,460		(3,460	)		—			—			—

	$	1,762,714	$	(573,494	)	$	(1,183,845	)	$	—		$	5,375

^(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



	Level 1		Level 2		Level 3		Total
Assets
Investments
Long-Term Investments
Corporate Bonds	$	—	$	367,354,644	$	751,803	$	368,106,447
Foreign Agency Obligations		—		2,671,077		—		2,671,077
Foreign Government Obligations		—		16,657,337		—		16,657,337
Municipal Bonds		—		5,646,936		—		5,646,936
Preferred Securities		—		6,653,557		—		6,653,557
U.S. Treasury Obligations		—		45,954,491		—		45,954,491
Short-Term Securities
Money Market Funds		9,893,762		—		—		9,893,762
Options Purchased
Interest Rate Contracts		—		302,830		—		302,830

	$	9,893,762	$	445,240,872	$	751,803	$	455,886,437

Derivative Financial Instruments^(a)
Assets
Credit Contracts	$	—	$	51,766	$	—	$	51,766
Interest Rate Contracts		310,843		—		—		310,843


50		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series C Portfolio

Fair Value Hierarchy as of Period End (continued)



	Level 1			Level 2			Level 3		Total
Liabilities
Credit Contracts	$	—		$	(18,989	)	$	—	$	(18,989	)
Interest Rate Contracts		(237,435	)		(1,492,050	)		—		(1,729,485	)

	$	73,408		$	(1,459,273	)	$	—	$	(1,385,865	)

^(a)

Derivative financial instruments are swaps, futures contracts and options written. Swaps, futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

See notes to financial statements.


S C H E D U L E S O F I N V E S T M E N T S		51

Schedule of Investments (unaudited)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Municipal Bonds

Alabama — 4.8%
Black Belt Energy Gas District
RB, Series A, 5.25%, 05/01/55^(a)	USD	535	$	590,003
Refunding RB, 4.00%, 06/01/51^(a)		1,100		1,136,064
County of Jefferson Sewer Revenue, Refunding RB, 5.25%, 10/01/49		3,020		3,284,154
Energy Southeast A Cooperative District, RB, Series B, 5.25%, 07/01/54^(a)		545		602,840
Hoover IDB, RB, AMT, 6.38%, 11/01/50^(a)		1,295		1,457,308
Mobile County IDA, RB, AMT, Series A, 5.00%, 06/01/54		3,180		3,299,162
Southeast Alabama Gas Supply District (The) Refunding RB, 5.00%, 06/01/49^(a)		6,000		6,524,340
Refunding RB, Series A, 5.00%, 08/01/54^(a)		4,000		4,361,040
Southeast Energy Authority A Cooperative District
RB, Series A, 4.00%, 11/01/51^(a)		1,785		1,822,690
RB, Series A-1, 5.50%, 01/01/53^(a)		655		713,308

				23,790,909

Arizona — 1.8%
Arizona IDA
RB, 5.00%, 07/01/45^(b)		265		259,423
RB, 7.10%, 01/01/55^(b)		910		939,864
RB, 5.00%, 07/01/55^(b)		285		272,602
RB, Series B, 5.13%, 07/01/47^(b)		195		196,383
Refunding RB, 5.50%, 07/01/52^(b)		610		613,143
Refunding RB, Series A, 5.00%, 07/01/26^(b)		125		125,757
Refunding RB, Series A, 5.13%, 07/01/37^(b)		605		610,128
Refunding RB, Series G, 5.00%, 07/01/47^(b)		185		185,057
City of Phoenix Arizona IDA (The), RB, 5.00%, 07/01/46^(b).		570		573,851
County of Pima IDA (The)
RB, 5.13%, 07/01/39		145		141,934
RB, 5.25%, 07/01/49		180		169,889
Refunding RB, 4.00%, 06/15/51^(b)		625		542,795
Refunding RB, 5.00%, 07/01/56^(b)		295		293,038
Glendale IDA, RB, 5.00%, 05/15/56		305		295,758
La Paz County IDA, RB, 5.88%, 06/15/48^(b)		285		287,118
Maricopa County IDA
RB, 5.25%, 10/01/40^(b)		280		272,122
RB, 5.50%, 10/01/51^(b)		280		261,933
RB, AMT, 4.00%, 10/15/47^(b)		970		882,544
Refunding RB, Series A, 4.13%, 09/01/38		230		233,703
Salt Verde Financial Corp., RB, 5.00%, 12/01/37		500		555,476
Sierra Vista IDA
RB, 06/15/34^(b)(c)		45		47,015
RB, 06/15/44^(b)(c)		395		399,087
RB, 06/15/54^(b)(c)		440		443,110
RB, 6.38%, 06/15/64^(b)		445		457,044

				9,058,774

Arkansas — 2.1%
Arkansas Development Finance Authority
RB, AMT, 4.50%, 09/01/49^(b)		2,600		2,580,346
RB, AMT, 4.75%, 09/01/49^(b)		4,165		4,160,663
RB, AMT, 5.45%, 09/01/52		2,000		2,091,671
RB, AMT, 5.70%, 05/01/53		350		370,685
RB, AMT, Series A, 6.88%, 07/01/48^(b)		900		992,760

				10,196,125

California — 5.1%
California HFA, RB, Series 2021-3, Class A, 3.25%, 08/20/36		937		895,055
California Infrastructure & Economic Development Bank, RB, AMT, Series 4, 8.00%, 01/01/50^(a)(b)		8,330		8,475,328


Security	Par (000)		Value

California (continued)
California Municipal Finance Authority
RB, 5.63%, 07/01/44^(b)		USD 150	$	150,065
RB, AMT, 4.00%, 07/15/29		2,500		2,510,703
Special Tax Bonds, Series A, 5.00%, 09/01/54		355		363,578
California School Finance Authority
RB, Series A, 6.75%, 11/01/45^(b)		250		250,204
Refunding RB, 5.00%, 07/01/51^(b)		300		301,481
California Statewide Communities Development Authority,
Refunding RB, Series A, 5.25%, 11/01/44^(b)		250		243,569
California Statewide Financing Authority
RB, 6.00%, 05/01/43		315		315,211
RB, 6.00%, 05/01/43		85		85,057
City of Los Angeles Department of Airports, RB, AMT, 5.25%, 05/15/47		1,500		1,630,846
CSCDA Community Improvement Authority
RB, 4.00%, 10/01/46^(b)		1,055		859,114
RB, 4.00%, 07/01/56^(b)		205		166,406
RB, 4.00%, 03/01/57^(b)		505		397,559
RB, 4.00%, 07/01/58^(b)		300		210,224
RB, 4.00%, 07/01/58^(b)		265		194,350
RB, 4.00%, 12/01/59^(b)		435		298,370
RB, 4.00%, 12/01/59^(b)		1,080		710,083
RB, Series A, 3.00%, 09/01/56^(b)		1,090		803,885
Golden State Tobacco Securitization Corp., Refunding RB, Series B-2, 0.00%, 06/01/66^(d)		29,390		3,486,471
Hastings Campus Housing Finance Authority, RB, Series A, 0.00%, 07/01/61^(b)(d)		1,045		495,640
Inland Empire Tobacco Securitization Corp., RB, Series C-1, 0.00%, 06/01/36^(d)		3,040		1,401,785
Rancho Mirage Community Facilities District, Special Tax Bonds, Series A, 5.00%, 09/01/54		330		341,764
San Francisco City & County Redevelopment Agency Successor Agency, TA, 0.00%, 08/01/31^(b)(d)		580		417,646

				25,004,394

Colorado — 2.9%
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47		1,000		960,852
Aurora Crossroads Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/50		500		491,188
Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48		500		485,884
Banning Lewis Ranch Metropolitan District No. 8, GO, 4.88%, 12/01/51^(b)		500		417,430
Baseline Metropolitan District No. 1, GO, Series B, 12/15/54^(c)		530		540,446
Centerra Metropolitan District No. 1, TA, 5.00%, 12/01/47^(b)		155		152,719
City & County of Denver Airport System Revenue, Refunding RB, AMT, Series A, 4.13%, 11/15/53		455		435,928
Colorado Educational & Cultural Facilities Authority
Refunding RB, 4.00%, 12/01/30^(b)		200		191,727
Refunding RB, 5.00%, 12/15/45^(b)		500		500,645
Colorado Health Facilities Authority
RB, 5.25%, 11/01/39		195		220,522
RB, 5.50%, 11/01/47		120		134,850
RB, 5.25%, 11/01/52		305		331,296
RB, Series A, 5.00%, 05/15/35		250		213,323
RB, Series A, 5.00%, 05/15/44		270		200,801
RB, Series A, 5.00%, 05/15/49		420		294,821
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40		950		964,371


52		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Colorado (continued)
First Creek Village Metropolitan District
GO, Series A, 5.00%, 12/01/39		USD 600	$	618,373
GO, Series A, 5.00%, 08/01/49		540		548,352
Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51		575		514,821
Lanterns Metropolitan District No. 2, GO, Series A, 4.50%, 12/01/50		500		407,413
Loretto Heights Community Authority, RB, 4.88%, 12/01/51		570		476,522
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48		500		501,226
North Range Metropolitan District No. 3, GO, Series A, 5.25%, 12/01/50		500		500,020
Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49 .		675		658,245
Pueblo Urban Renewal Authority, TA, 4.75%, 12/01/45^(b)		725		491,187
Riverpark Metropolitan District/Arapahoe County, GO, 6.00%, 12/01/42		500		516,261
Southlands Metropolitan District No. 1, GO, Refunding, Series A-1, 5.00%, 12/01/37		250		253,277
St. Vrain Lakes Metropolitan District No. 4, GO, Series A, 0.00%, 09/20/54^(b)(d)		765		553,337
Thompson Crossing Metropolitan District No. 4, GO, Refunding, 5.00%, 12/01/49		645		635,068
Waters’ Edge Metropolitan District No. 2, GO, 5.00%, 12/01/51		560		529,291
Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48		500		502,990

				14,243,186

Connecticut — 0.8%
Connecticut State Health & Educational Facilities Authority
RB, 5.38%, 07/01/54		775		800,261
RB, Series A, 5.00%, 01/01/55^(b)		570		506,296
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45^(b).		2,430		2,430,313

				3,736,870

Delaware — 0.3%
Affordable Housing Opportunities Trust, RB, Series AH-01, Class B, 6.88%, 05/01/39^(b)		664		657,916
Town of Bridgeville
Special Tax Bonds, 5.25%, 07/01/44^(b)		100		107,691
Special Tax Bonds, 5.63%, 07/01/53^(b)		100		108,751
Town of Milton
Special Tax Bonds, 5.70%, 09/01/44^(b)		150		155,492
Special Tax Bonds, 5.95%, 09/01/53^(b)		300		313,184

				1,343,034

District of Columbia — 1.3%
District of Columbia, Refunding RB, 5.00%, 06/01/46		580		583,717
District of Columbia Tobacco Settlement Financing Corp.
RB, 0.00%, 06/15/46^(d)		8,970		2,046,155
RB, 0.00%, 06/15/46^(d)		10,325		2,306,445
RB, 0.00%, 06/15/55^(d)		17,300		1,676,129

				6,612,446

Florida — 10.5%
Antillia Community Development District, Special Assessment RB, 5.88%, 05/01/54		220		233,050
Bella Collina Community Development District, Special Assessment RB, 5.30%, 05/01/55		155		155,456
Berry Bay II Community Development District, Special Assessment RB, 5.45%, 05/01/54		225		226,394
Brevard County Health Facilities Authority
Refunding RB, 4.00%, 11/15/26^(b)		475		471,318
Refunding RB, 4.00%, 11/15/28^(b)		510		503,347


Security	Par (000)		Value

Florida (continued)
Brevard County Health Facilities Authority
Refunding RB, 4.00%, 11/15/30^(b)		USD 555	$	534,601
Refunding RB, 4.00%, 11/15/34^(b)		650		606,958
Refunding RB, 5.00%, 04/01/47		505		541,341
Buckhead Trails Community Development District Special Assessment RB, 5.60%, 05/01/44		350		357,841
Special Assessment RB, Series 2022, 5.75%, 05/01/52 .		210		220,500
Cabot Citrus Farms Community Development District, Special Assessment RB, 5.25%, 03/01/29		675		686,466
Capital Projects Finance Authority, RB, 6.63%, 06/15/59^(b).		145		151,168
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31		465		465,902
Capital Trust Agency, Inc.
RB, 5.00%, 01/01/55^(b)		1,570		1,559,559
RB, 4.88%, 06/15/56^(b)		1,335		1,047,734
RB, 0.00%, 07/01/61^(b)(d)		10,070		774,994
RB, Series A, 5.00%, 06/15/49^(b)		100		96,225
RB, Series A, 5.00%, 12/15/49		265		265,249
RB, Series A, 5.75%, 06/01/54^(b)		420		362,768
RB, Series A, 5.00%, 12/15/54		285		285,041
Capital Trust Authority
RB, Series A, 07/01/44^(b)(c)		200		201,673
RB, Series A, 07/01/54^(b)(c)		350		351,148
Celebration Pointe Community Development District No. 1, Special Assessment RB, 5.13%, 05/01/45		235		235,026
Charlotte County IDA, RB, 5.00%, 10/01/49(b)		615		616,834
Coral Creek Community Development District, Special Assessment RB, 5.75%, 05/01/54		140		146,992
County of Lee Airport Revenue, RB, AMT, 10/01/54^(c)		3,000		3,254,795
County of Miami-Dade Seaport Department, Refunding RB, AMT, Series A, 5.25%, 10/01/52		460		488,352
County of Osceola Transportation Revenue
Refunding RB, Series A-2, 0.00%, 10/01/46^(d)		935		340,707
Refunding RB, Series A-2, 0.00%, 10/01/47^(d)		900		308,413
Refunding RB, Series A-2, 0.00%, 10/01/48^(d)		635		208,016
Refunding RB, Series A-2, 0.00%, 10/01/49^(d)		525		163,043
Crossings Community Development District, Special Assessment RB, 5.60%, 05/01/54		145		148,159
Crosswinds East Community Development District, Special Assessment RB, 5.75%, 05/01/54		105		110,244
Darby Community Development District, Special Assessment RB, Series 2, 5.88%, 05/01/35		1,025		1,065,933
Escambia County Health Facilities Authority Refunding RB, 4.00%, 08/15/45		3,060		2,811,700
Refunding RB, (AGM), 3.00%, 08/15/50		2,500		1,914,433
Florida Development Finance Corp.
RB, 5.25%, 06/01/55^(b)		645		624,220
RB, 5.13%, 06/15/55^(b)		2,490		2,323,995
RB, 6.50%, 06/30/57^(b)(e)(f)		175		123,744
RB, Series A, 6.13%, 06/15/44^(b)		45		45,027
RB, Series C, 5.75%, 12/15/56^(b)		370		309,122
RB, AMT, 6.13%, 07/01/32^(a)(b)		1,375		1,412,283
RB, AMT, Series A, 8.25%, 07/01/57^(a)(b)		1,000		1,015,187
Refunding RB, 4.00%, 06/01/46^(b)		300		246,522
Refunding RB, Series A, 4.50%, 12/15/56^(b)		1,085		817,388
Refunding RB, AMT, 12.00%, 07/15/32^(a)(b)		2,800		2,976,198
Refunding RB, AMT, (AGM), 5.25%, 07/01/53		2,460		2,573,478
Gardens at Hammock Beach Community Development District, Special Assessment RB, Series 2, 5.88%, 05/01/55		710		751,253


S C H E D U L E S O F I N V E S T M E N T S		53

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Florida (continued)
Golden Gem Community Development District, Special Assessment RB, 6.00%, 05/01/55	USD	1,185	$	1,264,995
Grand Oaks Community Development District
Special Assessment RB, 4.25%, 05/01/40		210		196,396
Special Assessment RB, 4.50%, 05/01/52		235		210,939
Hammock Oaks Community Development District, Special
Assessment RB, 5.85%, 05/01/44		265		285,089
Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33		370		346,941
Hobe-St. Lucie Conservancy District, Special Assessment RB, 5.88%, 05/01/55		165		174,594
Lakewood Ranch Stewardship District
Special Assessment RB, 3.13%, 05/01/25		70		69,580
Special Assessment RB, 3.25%, 05/01/29		225		219,027
Special Assessment RB, 4.75%, 05/01/29		180		181,940
Special Assessment RB, 4.88%, 05/01/35		150		150,224
Special Assessment RB, 4.40%, 05/01/39		525		510,178
Special Assessment RB, 5.30%, 05/01/39		205		210,276
Special Assessment RB, 5.30%, 05/01/44		100		102,732
Special Assessment RB, 5.45%, 05/01/48		365		372,159
Special Assessment RB, 5.55%, 05/01/54		105		107,383
Lee County IDA, RB, Series B-1, 4.75%, 11/15/29		260		262,581
LT Ranch Community Development District
Special Assessment RB, 5.50%, 05/01/44		205		215,094
Special Assessment RB, 5.85%, 05/01/54		150		158,618
LTC Ranch West Residential Community Development District, Special Assessment RB, 5.70%, 05/01/44		115		118,461
Malabar Springs Community Development District
Special Assessment RB, 5.20%, 05/01/44		165		166,526
Special Assessment RB, 5.50%, 05/01/54		250		253,037
Marion Ranch Community Development District, Special Assessment RB, 5.95%, 05/01/54		285		303,509
Normandy Community Development District, Special Assessment RB, 5.55%, 05/01/54^(b)		415		417,821
North AR-1 Pasco Community Development District
Special Assessment RB, Series A, 5.75%, 05/01/44		100		106,822
Special Assessment RB, Series A, 6.00%, 05/01/54		110		117,559
Orange County Health Facilities Authority, RB, 5.00%, 08/01/35		250		253,401
Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25		125		124,272
Parker Road Community Development District
Special Assessment Refunding RB, 3.10%, 05/01/25		100		98,990
Special Assessment Refunding RB, 3.38%, 05/01/30		335		317,439
Parrish Lakes Community Development District, Special Assessment RB, 5.80%, 05/01/54		490		506,669
Parrish Plantation Community Development District
Special Assessment RB, 5.80%, 05/01/44		120		128,641
Special Assessment RB, 6.05%, 05/01/54		230		246,670
Poitras East Community Development District, Special Assessment RB, 5.00%, 05/01/43		355		359,631
Portico Community Development District
Special Assessment RB, Series 2, 3.25%, 05/01/31		100		94,384
Special Assessment RB, Series 2, 4.00%, 05/01/50		425		363,773
Preserve at South Branch Community Development District
Special Assessment RB, 3.25%, 11/01/24		25		24,978
Special Assessment RB, 3.50%, 11/01/30		200		192,199
Sandridge Community Development District
Special Assessment RB, Series A1, 3.88%, 05/01/41		135		122,156
Special Assessment RB, Series A1, 4.00%, 05/01/51		130		110,244


Security	Par (000)		Value

Florida (continued)
Sawyers Landing Community Development District, Special Assessment RB, 4.25%, 05/01/53	USD	815	$	681,864
Seminole County IDA, Refunding RB, 5.75%, 11/15/54		595		601,784
Seminole Palms Community Development District, Special Assessment RB, 5.50%, 05/01/55^(b)		270		272,489
Shadowlawn Community Development District, Special Assessment RB, 5.85%, 05/01/54		920		972,861
Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34		365		336,976
Tolomato Community Development District, Special Assessment Refunding RB, Sub-Series A-2, 4.25%, 05/01/37		185		178,425
Trout Creek Community Development District
Special Assessment RB, 5.00%, 05/01/28		140		142,282
Special Assessment RB, 5.63%, 05/01/45		200		200,849
Village Community Development District No. 15, Special Assessment RB, 05/01/55^(b)(c)		680		687,028
Volusia County Educational Facility Authority, RB, 5.25%, 06/01/49		705		748,254
West Villages Improvement District
Special Assessment RB, 4.25%, 05/01/29		100		100,077
Special Assessment RB, 4.75%, 05/01/39		190		190,975
Special Assessment RB, 5.00%, 05/01/50		290		289,183
Special Assessment RB, 5.63%, 05/01/54		220		228,923
Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29^(b)		805		793,619
Westside Haines City Community Development District, Special Assessment RB, 6.00%, 05/01/54		210		224,432
Windward at Lakewood Ranch Community Development District, Special Assessment RB, 4.25%, 05/01/52		165		145,445

				51,391,191

Georgia — 1.0%
Atlanta Development Authority (The)
TA, Series A-1, 5.00%, 04/01/34^(b)		470		484,551
TA, Series A-2, 5.50%, 04/01/39^(b)		720		741,816
Development Authority of Cobb County (The), RB, Series A, 6.38%, 06/15/58^(b)		145		151,346
East Point Business & IDA, RB, Series A, 5.25%, 06/15/62^(b)		150		150,465
Main Street Natural Gas, Inc.
RB, Series A, 5.00%, 05/15/49		905		1,008,366
RB, Series B, 5.00%, 12/01/52^(a)		1,635		1,738,479
Municipal Electric Authority of Georgia, RB, 5.00%, 07/01/52		645		680,384

				4,955,407

Idaho — 0.1%
Idaho Health Facilities Authority, RB, 4.00%, 12/01/43		330		326,312


Illinois — 3.3%
Chicago Board of Education
GO, Series A, 5.00%, 12/01/42		1,500		1,500,443
GO, Series A, 7.00%, 12/01/46^(b)		250		269,061
GO, Series D, 5.00%, 12/01/46		1,620		1,635,352
GO, Series D, 5.00%, 12/01/46		685		685,143
GO, Refunding, Series A, 5.00%, 12/01/30		505		530,674
GO, Refunding, Series B, 4.00%, 12/01/35		230		228,405
GO, Refunding, Series B, 4.00%, 12/01/41		930		878,887
GO, Refunding, Series C, 5.00%, 12/01/34		625		642,815
Chicago O’Hare International Airport, Refunding RB, Series D, 5.00%, 01/01/46		1,000		1,001,809
Chicago Transit Authority Sales Tax Receipts Fund, Refunding RB, Series A, 4.00%, 12/01/49		810		781,712


54		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Illinois (continued)
City of Chicago Wastewater Transmission Revenue, Refunding RB, Series C, 5.00%, 01/01/39	USD	500	$	501,221
Illinois Finance Authority, Refunding RB, 6.13%, 02/01/45		150		150,059
Illinois State Toll Highway Authority, RB, Series A, 4.00%, 01/01/46		2,000		2,001,355
Metropolitan Pier & Exposition Authority
RB, 5.50%, 06/15/53		390		396,582
RB, 5.00%, 06/15/57		660		677,185
Refunding RB, 4.00%, 06/15/50		1,895		1,804,862
State of Illinois
GO, 5.00%, 04/01/31		1,000		1,005,438
GO, 5.00%, 05/01/39		1,275		1,282,741
GO, Series D, 5.00%, 11/01/28		295		312,524
GO, Refunding, Series B, 5.00%, 10/01/27		105		111,621

				16,397,889

Indiana — 0.4%
City of Valparaiso, Refunding RB, AMT, 4.50%, 01/01/34^(b). 175				182,291
City of Vincennes, Refunding RB, 6.25%, 01/01/29^(b)(e)(f)325				225,875
Indiana Finance Authority
RB, AMT, 6.75%, 05/01/39		640		717,682
Refunding RB, Series A, 5.50%, 09/15/44		390		425,194
Indianapolis Local Public Improvement Bond Bank, RB,
Series E, 6.00%, 03/01/53		400		447,794

				1,998,836

Iowa — 0.5%
Iowa Finance Authority, Refunding RB, Series E, 4.00%, 08/15/46		570		564,684
Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44		2,000		1,687,883

				2,252,567

Kentucky — 0.5%
City of Henderson, RB, AMT, 4.70%, 01/01/52^(b)		130		130,106
Kentucky Public Energy Authority, RB, Series C, 4.00%, 02/01/50^(a)		2,310		2,352,014

				2,482,120

Louisiana — 0.9%
Louisiana Public Facilities Authority
RB, Series A, 5.25%, 06/01/51^(b)		455		410,979
RB, Series A, 5.25%, 06/01/60^(b)		840		749,192
RB, Series A, 6.50%, 06/01/62^(b)		150		154,072
RB, AMT, 5.50%, 09/01/59		1,335		1,461,803
RB, AMT, Series R2, 6.50%, 10/01/53^(a)(b)		505		539,989
Parish of St. James, RB, Series 2, 6.35%, 07/01/40^(b)		950		1,044,604

				4,360,639

Maine — 0.4%
Finance Authority of Maine, RB, AMT, 8.00%, 12/01/51^(b)670				264,303
Maine Health & Higher Educational Facilities Authority, Refunding RB, 4.00%, 07/01/37^(b)		2,100		1,925,561

				2,189,864

Maryland — 1.2%
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, 5.25%, 07/01/44		250		250,159
City of Baltimore
RB, 4.88%, 06/01/42		170		172,424
Refunding TA, 3.20%, 06/01/30^(b)		200		189,087
Refunding TA, 3.25%, 06/01/31^(b)		225		210,932
Refunding TA, 3.30%, 06/01/32^(b)		500		465,425
Refunding TA, 3.35%, 06/01/33^(b)		540		499,589
Refunding TA, 3.40%, 06/01/34^(b)		570		524,842
Refunding TA, 3.45%, 06/01/35^(b)		610		559,725


Security	Par (000)		Value

Maryland (continued)
Maryland EDC, RB, AMT, 5.25%, 06/30/47	USD	570	$	602,037
Maryland Health & Higher Educational Facilities Authority
RB, 7.00%, 03/01/55^(b)		1,940		2,034,328
Refunding RB, 5.00%, 07/01/40		500		502,474

				6,011,022

Massachusetts — 0.8%
Massachusetts Development Finance Agency
RB, 5.00%, 01/01/48		1,000		1,011,267
RB, 5.00%, 10/01/54		710		712,644
RB, Series A, 5.00%, 01/01/47		500		503,932
RB, Series N, 5.00%, 07/01/44		500		500,580
Refunding RB, 5.00%, 10/01/57^(b)		500		500,481
Massachusetts HFA
Refunding RB, AMT, Series A, 4.45%, 12/01/42		310		309,985
Refunding RB, AMT, Series A, 4.50%, 12/01/47		490		490,012

				4,028,901

Michigan — 0.5%
Michigan Strategic Fund
RB, 5.00%, 11/15/42		210		211,030
RB, AMT, 4.00%, 10/01/61^(a)		1,200		1,202,965
Wayne County Airport Authority
RB, Series B, 5.00%, 12/01/44		500		501,386
RB, Series D, 5.00%, 12/01/40		500		510,374
RB, AMT, 5.00%, 12/01/39		250		250,391

				2,676,146

Minnesota — 0.8%
City of Deephaven, Refunding RB, 5.25%, 07/01/37		605		608,314
City of Forest Lake, Refunding RB, 5.00%, 07/01/56		2,140		1,892,146
Duluth EDA, Refunding RB, 5.25%, 02/15/58		425		436,538
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB, Series A, 5.50%, 07/01/38^(b)		240		244,300
Minnesota HFA, RB, (GNMA/FNMA/FHLMC COL), Series M, 6.00%, 01/01/53		660		711,507

				3,892,805

Missouri — 0.8%
City of St. Louis Missouri IDA (The)
Refunding RB, Series A, 4.38%, 11/15/35		215		189,725
Refunding RB, Series A, 5.75%, 06/15/54		585		610,728
Kansas City IDA
RB, Series A-1, 5.00%, 06/01/46^(b)		290		293,447
RB, Series A-1, 5.00%, 06/01/54^(b)		185		185,596
RB, Series C, 7.50%, 11/15/46		64		53,978
RB, AMT, 5.00%, 03/01/54		1,275		1,313,194
Refunding RB, 2.00%, 11/15/46		52		2,311
Refunding RB, 5.00%, 11/15/46		116		93,696
Kansas City Land Clearance Redevelopment Authority, TA, 5.00%, 02/01/40^(b)		260		261,000
St. Louis County IDA, Refunding RB, 5.00%, 09/01/37		695		704,132

				3,707,807

Nebraska — 0.1%
Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45		500		506,047


Nevada — 0.4%
City of Las Vegas Special Improvement District No. 613
Special Assessment RB, 5.00%, 12/01/39		100		103,593
Special Assessment RB, 5.25%, 12/01/47		110		112,936
Special Assessment RB, 5.50%, 12/01/53		100		103,451
City of Las Vegas Special Improvement District No. 815,
Special Assessment RB, 5.00%, 12/01/49		185		184,740


S C H E D U L E S O F I N V E S T M E N T S		55

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Nevada (continued)
State of Nevada Department of Business & Industry, RB, AMT, 8.13%, 01/01/50^(a)		USD 765	$	778,511
Tahoe-Douglas Visitors Authority
RB, 5.00%, 07/01/40		405		425,357
RB, 5.00%, 07/01/45		280		290,771

				1,999,359

New Hampshire — 1.1%
New Hampshire Business Finance Authority
RB, 5.25%, 12/01/35^(b)		1,750		1,752,801
RB, 5.38%, 12/15/35^(b)		1,710		1,714,289
RB, Series 2024-1, Class A, 4.25%, 07/01/51		622		634,037
RB, Series A, 4.13%, 08/15/40		320		295,772
RB, Series A, 4.25%, 08/15/46		365		322,906
RB, Series A, 4.50%, 08/15/55		755		661,952

				5,381,757

New Jersey — 2.5%
Casino Reinvestment Development Authority, Inc., Refunding RB, 5.25%, 11/01/39		250		250,365
New Jersey EDA
RB, 5.25%, 11/01/54^(b)		945		886,883
RB, Series WW, 5.25%, 06/15/40		55		55,942
RB, Series WW, 5.25%, 06/15/40		945		961,193
RB, AMT, 6.50%, 04/01/31		70		72,873
Refunding RB, Series A, 6.00%, 08/01/49^(b)		250		250,124
New Jersey Health Care Facilities Financing Authority, RB, 4.00%, 07/01/51		1,065		1,055,221
New Jersey Higher Education Student Assistance Authority
RB, AMT, Series B, 4.25%, 12/01/45		275		285,476
Refunding RB, AMT, Series C, 4.25%, 12/01/50		1,540		1,447,383
Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49		820		679,024
New Jersey Transportation Trust Fund Authority
RB, Series AA, 5.25%, 06/15/41		205		207,788
RB, Series AA, 4.00%, 06/15/45		3,000		2,993,034
Tobacco Settlement Financing Corp.
Refunding RB, Series A, 5.00%, 06/01/35		375		395,933
Refunding RB, Sub-Series B, 5.00%, 06/01/46		2,565		2,582,773

				12,124,012

New York — 7.6%
Build NYC Resource Corp.
RB, Series A, 6.13%, 07/01/43		385		417,673
RB, Series A, 6.38%, 07/01/53		705		748,288
Refunding RB, AMT, 5.00%, 01/01/35^(b)		485		485,428
County of Cattaraugus, RB, 5.00%, 05/01/44		195		195,077
Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44		500		500,408
Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56		125		111,076
Metropolitan Transportation Authority, RB, Series B, 3.00%, 11/15/25		165		164,379
New York City Housing Development Corp., RB, Series C-1, 4.20%, 11/01/44		1,000		1,000,040
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Sub-Series E-1, 4.00%, 02/01/49		2,845		2,779,225
New York Counties Tobacco Trust IV, Refunding RB, Series A, 5.00%, 06/01/42		915		863,959
New York Counties Tobacco Trust VI, Refunding RB, Series 2B, 5.00%, 06/01/51		835		778,982
New York State Dormitory Authority, Refunding RB, Series A, 3.00%, 03/15/51		800		640,000


Security	Par (000)		Value

New York (continued)
New York State Thruway Authority
Refunding RB, Series A, 4.00%, 03/15/49		USD 3,690	$	3,697,778
Refunding RB, Series B, 4.00%, 01/01/45		1,190		1,207,074
New York Transportation Development Corp.
RB, AMT, 5.00%, 07/01/34		500		500,543
RB, AMT, 5.00%, 10/01/35		3,710		3,907,584
RB, AMT, 5.63%, 04/01/40		500		543,605
RB, AMT, 5.00%, 12/01/40		830		877,081
RB, AMT, 4.00%, 04/30/53		640		562,404
RB, AMT, 6.00%, 06/30/54		6,000		6,557,880
RB, AMT, 5.50%, 06/30/60		5,000		5,343,594
Refunding RB, AMT, 5.38%, 08/01/36		865		930,971
Oneida Indian Nation of New York, RB, Series B, 6.00%, 09/01/43^(b)		270		298,595
Suffolk Regional Off-Track Betting Co.
RB, 5.00%, 12/01/34		405		415,949
RB, 5.75%, 12/01/44		700		725,890
RB, 6.00%, 12/01/53		1,000		1,044,618
Westchester County Local Development Corp.
Refunding RB, 5.00%, 07/01/41^(b)		510		524,796
Refunding RB, 5.00%, 07/01/56^(b)		560		563,402
Westchester Tobacco Asset Securitization Corp.
Refunding RB, Sub-Series C, 4.00%, 06/01/42		670		625,036
Refunding RB, Sub-Series C, 5.13%, 06/01/51		500		488,568

				37,499,903

North Carolina — 0.3%
North Carolina HFA, RB, (GNMA/FNMA/FHLMC), 6.00%, 07/01/53		775		834,778
North Carolina Medical Care Commission RB, Series A, 4.00%, 10/01/35		100		101,624
Refunding RB, Series A, 5.25%, 01/01/41		230		229,996
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40^(b)		250		250,549

				1,416,947

North Dakota — 0.3%
City of Grand Forks, RB, (AGM), Series A, 5.00%, 12/01/53		350		377,193
County of Cass, Refunding RB, 5.25%, 02/15/58		855		882,067

				1,259,260

Ohio — 1.8%
Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, 5.00%, 06/01/55		5,905		5,545,878
County of Hamilton
Refunding RB, 5.00%, 01/01/46		190		190,868
Refunding RB, 4.00%, 08/15/50		915		874,330
County of Hardin
Refunding RB, 5.00%, 05/01/30		140		140,624
Refunding RB, 5.25%, 05/01/40		145		145,031
Refunding RB, 5.50%, 05/01/50		670		661,576
Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40^(b)		790		768,760
Port of Greater Cincinnati Development Authority, RB, 4.25%, 12/01/50^(b)		265		251,118
State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53		370		371,290

				8,949,475

Oklahoma — 1.1%
Oklahoma Development Finance Authority
RB, 7.25%, 09/01/51^(b)		3,290		3,369,382
RB, Series B, 5.50%, 08/15/52		580		599,967


56		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Oklahoma (continued)
Tulsa Authority for Economic Opportunity, TA, 4.38%, 12/01/41^(b)		USD 235	$	231,517
Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45		965		986,697

				5,187,563

Oregon — 1.2%
Clackamas County Hospital Facility Authority, Refunding RB, Series A, 5.25%, 11/15/50		200		200,236
Clackamas County School District No. 12 North Clackamas, GO, (School Bond Guaranty), Series A, 0.00%, 06/15/38^(d)		275		150,746
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, 5.50%, 10/01/49		150		150,000
Oregon State Facilities Authority, RB, 5.25%, 06/15/55^(b)		305		288,994
Salem Hospital Facility Authority, Refunding RB, 4.00%, 05/15/49		5,000		4,841,154
Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36		300		288,057

				5,919,187

Pennsylvania — 2.5%
Allentown Neighborhood Improvement Zone Development Authority
RB, 5.00%, 05/01/42^(b)		2,125		2,231,973
RB, Series A, 5.25%, 05/01/32^(b)		100		107,072
RB, Series A, 5.25%, 05/01/42^(b)		100		103,286
Beaver County IDA, Refunding RB, Series B, 3.75%, 10/01/47		1,085		969,173
Bucks County IDA, RB, 4.00%, 07/01/46		200		172,001
Doylestown Hospital Authority
Refunding RB, 5.00%, 07/01/31^(b)		125		132,412
Refunding RB, 5.38%, 07/01/39^(b)		290		321,509
Lancaster Municipal Authority, RB, Series B, 5.00%, 05/01/54		100		103,280
Montgomery County Higher Education & Health Authority, Refunding RB, 4.00%, 09/01/49		1,255		1,185,071
Montgomery County IDA, RB, 5.00%, 11/15/45		875		906,825
Pennsylvania Economic Development Financing Authority RB, AMT, 5.75%, 06/30/48		490		540,913
RB, AMT, 5.25%, 06/30/53		770		812,381
Refunding RB, Series B, 5.25%, 12/01/38^(a)		455		463,216
Refunding RB, Series C, 5.25%, 12/01/37^(a)		795		809,387
Refunding RB, AMT, 5.50%, 11/01/44		500		500,261
Pennsylvania Higher Education Assistance Agency
RB, AMT, Series B, 3.00%, 06/01/47		1,010		772,807
RB, AMT, Sub-Series 1C, 5.00%, 06/01/51		165		166,889
Pennsylvania Higher Educational Facilities Authority, RB, 4.00%, 08/15/44		1,045		1,040,330
Philadelphia Authority for Industrial Development
RB, 5.25%, 11/01/52		235		251,742
Refunding RB, Series 2015, 5.00%, 04/01/45		500		501,795
School District of Philadelphia (The), GO, Series A, 5.50%, 09/01/48		265		296,449

				12,388,772

Puerto Rico — 10.6%
Children’s Trust Fund, RB, Series A, 0.00%, 05/15/57^(d)		17,040		1,167,740
Commonwealth of Puerto Rico
GO, Series A, 0.00%, 07/01/33^(d)		537		363,721
GO, Series A1, 5.63%, 07/01/29		1,049		1,137,827
GO, Series A1, 5.75%, 07/01/31		440		491,798
GO, Series A1, 4.00%, 07/01/33		418		419,918
GO, Series A1, 4.00%, 07/01/35		375		372,584


Security	Par (000)		Value

Puerto Rico (continued)
Commonwealth of Puerto Rico
GO, Series A1, 4.00%, 07/01/37		USD 322	$	319,670
GO, Series A1, 4.00%, 07/01/41		438		421,283
GO, Series A1, 4.00%, 07/01/46		455		429,271
GO, Sub-Series CW, 0.00%, 11/01/43^(a)(d)(f)		2,306		1,481,826
GO, Sub-Series CW/CONV, 0.00%, 11/01/51^(a)(d)(f)		131		60,231
GO, Sub-Series CW/HTA-98, 0.00%, 11/01/51^(a)(d)(f)		7,043		4,604,661
GO, Sub-Series CW/HTA-98, 0.00%, 11/01/51^(a)(d)(f)		9,432		3,041,980
GO, Sub-Series CW/PRIFA, 0.00%, 11/01/51^(a)(d)(f)		15,275		8,344,131
Puerto Rico Electric Power Authority
RB, Series A, 5.00%, 07/01/29^(e)(f)		385		163,625
RB, Series A, 7.00%, 07/01/33^(e)(f)		1,795		762,875
RB, Series A, 6.75%, 07/01/36^(e)(f)		775		329,375
RB, Series A, 5.00%, 07/01/42^(e)(f)		325		138,125
RB, Series A, 7.00%, 07/01/43^(e)(f)		175		74,375
RB, Series A-1, 10.00%, 07/01/19^(e)(f)		42		17,854
RB, Series A-2, 10.00%, 07/01/19^(e)(f)		212		90,076
RB, Series A-3, 10.00%, 07/01/19^(e)(f)		177		75,233
RB, Series B-3, 10.00%, 07/01/19^(e)(f)		177		75,233
RB, Series C-1, 5.40%, 01/01/18^(e)(f)		486		206,697
RB, Series C-2, 5.40%, 07/01/18^(e)(f)		486		206,731
RB, Series C-3, 5.40%, 01/01/20^(e)(f)		49		20,897
RB, Series C-4, 5.40%, 07/01/20^(e)(f)		49		20,897
RB, Series CCC, 5.25%, 07/01/26^(e)(f)		125		53,125
RB, Series CCC, 5.00%, 07/01/27^(e)(f)		545		231,625
RB, Series CCC, 5.25%, 07/01/28^(e)(f)		70		29,750
RB, Series D-1, 7.50%, 01/01/20^(e)(f)		426		180,879
RB, Series D-2, 7.50%, 01/01/20^(e)(f)		840		357,147
RB, Series D-4, 7.50%, 07/01/20^(e)(f)		145		61,623
RB, Series TT, 5.00%, 07/01/18^(e)(f)		160		68,000
RB, Series TT, 5.00%, 07/01/25^(e)(f)		45		19,125
RB, Series TT, 5.00%, 07/01/26^(e)(f)		190		80,750
RB, Series TT, 5.00%, 07/01/32^(e)(f)		395		167,875
RB, Series WW, 5.50%, 07/01/17^(e)(f)		110		46,750
RB, Series WW, 5.50%, 07/01/18^(e)(f)		95		40,375
RB, Series WW, 5.50%, 07/01/19^(e)(f)		70		29,750
RB, Series WW, 5.38%, 07/01/22^(e)(f)		940		399,500
RB, Series WW, 5.38%, 07/01/24^(e)(f)		65		27,625
RB, Series WW, 5.00%, 07/01/28^(e)(f)		165		70,125
RB, Series WW, 5.25%, 07/01/33^(e)(f)		75		31,875
RB, Series WW, 5.50%, 07/01/38^(e)(f)		220		93,500
RB, Series XX, 5.25%, 07/01/27^(e)(f)		50		21,250
RB, Series XX, 5.25%, 07/01/35^(e)(f)		30		12,750
RB, Series XX, 5.75%, 07/01/36^(e)(f)		600		255,000
RB, Series XX, 5.25%, 07/01/40^(e)(f)		2,320		986,000
Refunding RB, Series AAA, 5.25%, 07/01/22^(e)(f)		160		68,000
Refunding RB, Series AAA, 5.25%, 07/01/28^(e)(f)		265		112,625
Refunding RB, Series AAA, 5.25%, 07/01/29^(e)(f)		40		17,000
Refunding RB, Series DDD, 5.00%, 07/01/19^(e)(f)		895		380,375
Refunding RB, Series UU, 0.00%, 07/01/17^(a)(d)(e)(f)		30		12,750
Refunding RB, Series UU, 0.00%, 07/01/18^(a)(d)(e)(f)		30		12,750
Refunding RB, Series UU, 0.00%, 07/01/20^(a)(d)(e)(f)		250		106,250
Refunding RB, Series UU, 4.45%, 07/01/31^(a)(e)(f)		300		127,500
Refunding RB, Series ZZ, 5.00%, 07/01/17^(e)(f)		70		29,750
Refunding RB, Series ZZ, 5.25%, 07/01/19^(e)(f)		235		99,875
Refunding RB, Series ZZ, 5.25%, 07/01/23^(e)(f)		930		395,250
Refunding RB, Series ZZ, 5.25%, 07/01/24^(e)(f)		150		63,750
Refunding RB, Series ZZ, 5.00%, 07/01/28^(e)(f)		75		31,875
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority
RB, AMT, Series A-1, 6.75%, 01/01/45		165		197,266
RB, AMT, Series A-2, 6.50%, 01/01/42		110		131,138


S C H E D U L E S O F I N V E S T M E N T S		57

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Puerto Rico (continued)
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority RB, AMT, Series A-2, 6.75%, 01/01/45		USD 165	$	197,265
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue
RB, Series A-1, 0.00%, 07/01/33^(d)		496		352,305
RB, Series A-1, 0.00%, 07/01/46^(d)		1,971		663,719
RB, Series A-1, 4.75%, 07/01/53		3,377		3,380,125
RB, Series A-1, 5.00%, 07/01/58		2,375		2,397,485
RB, Series A-2, 4.33%, 07/01/40		3,825		3,809,192
RB, Series A-2, 4.54%, 07/01/53		317		309,504
RB, Series A-2, 4.78%, 07/01/58		11,146		11,147,489
RB, Series B-1, 0.00%, 07/01/46^(d)		477		160,461

				52,306,732

Rhode Island — 0.1%
Rhode Island Student Loan Authority, RB, AMT, Series A, 3.63%, 12/01/37		460		437,826


South Carolina — 1.0%
Patriots Energy Group Financing Agency, RB, Series A1, 5.25%, 10/01/54^(a)		1,880		2,045,464
South Carolina Jobs EDA
RB, 7.50%, 08/15/62^(b)		325		325,651
RB, Series A, 5.50%, 11/01/54		1,100		1,230,900
Refunding RB, 4.00%, 11/15/27		105		104,310
Refunding RB, 5.00%, 02/01/38		200		206,102
Refunding RB, 5.00%, 02/01/38		800		817,674
South Carolina Public Service Authority, Refunding RB, Series B, 4.00%, 12/01/56		200		188,054

				4,918,155

Tennessee — 1.4%
Chattanooga-Hamilton County Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44		250		250,593
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, 4.00%, 10/01/49		220		186,848
Metropolitan Government Nashville & Davidson County IDB, Special Assessment RB, 0.00%, 06/01/43^(b)(d)		685		280,496
Metropolitan Government Nashville & Davidson County Sports Authority, RB, (AGM), Series A, 5.25%, 07/01/48.		935		1,037,537
Metropolitan Nashville Airport Authority (The)
RB, AMT, Series B, 5.25%, 07/01/35		320		355,977
RB, AMT, Series B, 5.50%, 07/01/36		265		299,705
Tennergy Corp., RB, Series A, 5.50%, 10/01/53^(a)		2,320		2,544,189
Tennessee Energy Acquisition Corp., RB, Series A, 5.00%, 05/01/52^(a)		1,750		1,903,410

				6,858,755

Texas — 6.2%
Angelina & Neches River Authority, RB, AMT, 7.50%, 12/01/45^(b)		510		365,211
Arlington Higher Education Finance Corp.
RB, 5.63%, 08/15/54^(b)		1,305		1,085,224
RB, 7.88%, 11/01/62^(b)		280		294,905
Central Texas Turnpike System
Refunding RB, Series C, 5.00%, 08/15/37		200		200,363
Refunding RB, Series C, 5.00%, 08/15/42		250		250,453
City of Anna, Special Assessment RB, 5.75%, 09/15/54^(b)		315		322,163
City of Crandall, Special Assessment RB, 4.25%, 09/15/41^(b)		230		220,628
City of Fate, Special Assessment RB, 5.75%, 08/15/54^(b)		100		104,708
City of Houston Airport System Revenue
RB, AMT, 4.00%, 07/01/41		700		681,222
RB, AMT, Series B-1, 5.00%, 07/15/30		395		398,095


Security	Par (000)		Value

Texas (continued)
City of Houston Airport System Revenue
Refunding RB, AMT, 5.00%, 07/15/27		USD 140	$	144,562
Refunding RB, AMT, 5.00%, 07/01/29		1,500		1,501,229
Refunding RB, AMT, Series C, 5.00%, 07/15/27		1,410		1,455,338
Refunding RB, AMT, Sub-Series A, 4.00%, 07/01/41		3,590		3,573,083
Refunding RB, AMT, (AGM), Series A, 5.25%, 07/01/48		485		524,101
City of Oak Point, Special Assessment RB, 09/15/54^(b)(c)		305		301,615
City of Princeton
Special Assessment RB, 4.25%, 09/01/31^(b)		50		50,138
Special Assessment RB, 4.38%, 09/01/31^(b)		50		50,200
Special Assessment RB, 5.00%, 09/01/44^(b)		100		100,518
Special Assessment RB, 5.13%, 09/01/44^(b)		100		100,612
Special Assessment RB, 5.25%, 09/01/54^(b)		150		150,596
Special Assessment RB, 5.38%, 09/01/54^(b)		172		172,917
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45		500		503,006
Clifton Higher Education Finance Corp., RB, Series A, 6.00%, 06/15/54^(b)		100		100,847
County of Hays, Special Assessment RB, 7.00%, 09/15/45		200		203,748
Dallas ISD, GO (Permanent School Fund GTD), 5.00%, 02/15/48		1,375		1,499,512
Del Valle ISD, GO (Permanent School Fund GTD), 4.00%, 06/15/47		1,335		1,336,729
Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42		1,465		1,465,346
Fort Worth ISD, GO (Permanent School Fund GTD), 4.00%, 02/15/48		230		228,756
New Hope Cultural Education Facilities Finance Corp.
RB, Series A, 5.00%, 08/15/51^(b)		250		250,819
RB, Series A, 6.75%, 10/01/52		800		794,864
RB, Series A, 5.00%, 01/01/55		200		165,475
New Hope Higher Education Finance Corp., RB, Series A, 5.75%, 06/15/51^(b)		1,175		1,103,404
Newark Higher Education Finance Corp., RB, Series A, 5.50%, 08/15/35^(b)		300		303,239
Port of Beaumont Navigation District
RB, AMT, 2.88%, 01/01/41^(b)		175		144,210
RB, AMT, Series A, 5.00%, 01/01/39^(b)		2,330		2,436,674
RB, AMT, Series A, 5.13%, 01/01/44^(b)		1,040		1,073,764
Refunding RB, AMT, 3.63%, 01/01/35^(b)		690		653,425
Refunding RB, AMT, 4.00%, 01/01/50^(b)		1,975		1,779,522
Tarrant County Cultural Education Facilities Finance Corp. RB, 5.50%, 11/15/47		595		666,010
Refunding RB, 5.00%, 10/01/49		250		250,000
Texas Private Activity Bond Surface Transportation Corp.
RB, AMT, 5.00%, 06/30/58		315		321,990
RB, AMT, 5.50%, 12/31/58		1,050		1,143,073
Texas Transportation Commission State Highway 249 System
RB, 0.00%, 08/01/40^(d)		1,000		489,182
RB, 0.00%, 08/01/42^(d)		655		286,338
Texas Water Development Board, RB, 4.00%, 10/15/45		1,295		1,309,758

				30,557,572

Utah — 0.5%
Black Desert Public Infrastructure District, Special Assessment RB, 5.63%, 12/01/53^(b)		390		404,470
Utah Charter School Finance Authority
RB, Series A, 5.00%, 06/15/52^(b)		285		255,743
Refunding RB, 5.00%, 10/15/44		1,615		1,615,871


58		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Utah (continued)
Utah Charter School Finance Authority Refunding RB, 5.00%, 06/15/55^(b)		USD 230	$	220,540
Wood Ranch Public Infrastructure District, Special Assessment RB, 5.63%, 12/01/53^(b)		130		135,643

				2,632,267

Vermont — 0.4%
East Central Vermont Telecommunications District
RB, Series A, 4.75%, 12/01/40^(b)		695		644,928
RB, Series A, 4.50%, 12/01/44^(b)		705		608,029
RB, Series A, 6.88%, 12/01/46^(b)		785		857,019

				2,109,976

Virginia — 0.6%
Ballston Quarter Community Development Authority
TA, Series A, 5.50%, 03/01/46		92		89,523
TA, Series A, 0.00%, 03/01/59^(d)		220		161,039
Hampton Roads Transportation Accountability Commission, RB, Series A, 4.00%, 07/01/55		285		277,783
James City County EDA
RB, Series A, 6.88%, 12/01/58		345		382,331
RB, Series C3, 5.25%, 12/01/27		250		250,485
Lower Magnolia Green Community Development Authority
Special Assessment RB, 5.00%, 03/01/35^(b)		230		231,859
Special Assessment RB, 5.00%, 03/01/45^(b)		85		84,427
Norfolk Redevelopment & Housing Authority
RB, 4.00%, 01/01/29		250		245,906
RB, 5.00%, 01/01/34		190		192,098
RB, 5.00%, 01/01/49		365		346,286
Virginia Beach Development Authority
RB, Series A, 7.00%, 09/01/53		360		416,022
RB, Series B3, 5.38%, 09/01/29		235		241,775

				2,919,534

Washington — 0.9%
King County Public Hospital District No. 4, GO, Refunding, 5.00%, 12/01/30		200		201,282
Washington State Housing Finance Commission
RB, 6.00%, 07/01/59		100		102,653
RB, Series A, 5.00%, 07/01/50^(b)		310		308,060
RB, Series A, 5.75%, 01/01/53^(b)		200		198,881
RB, Series A, 5.88%, 01/01/59^(b)		160		160,126
RB, Series B2, 3.95%, 07/01/29^(b)		775		743,186
Refunding RB, 5.00%, 01/01/26^(b)		190		190,151
Refunding RB, 5.00%, 01/01/43^(b)		1,935		1,833,829
Refunding RB, 6.00%, 01/01/45^(b)		210		210,265
Refunding RB, Series A, 5.00%, 07/01/43		200		212,918
Refunding RB, Series A, 5.00%, 07/01/48		190		199,011

				4,360,362

West Virginia — 0.3%
City of Martinsburg, RB, Series A-1, 4.63%, 12/01/43		430		384,141
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48		1,215		1,179,295

				1,563,436

Wisconsin — 6.0%
Public Finance Authority
RB, 6.25%, 10/01/31^(b)(e)(f)		195		16,575
RB, 5.50%, 12/15/32^(b)		1,885		1,925,094
RB, 5.75%, 12/15/33^(b)		3,305		3,306,974
RB, 0.00%, 01/01/35^(b)(d)		1,055		577,905
RB, 4.50%, 01/01/35^(b)		675		681,622
RB, 5.00%, 06/15/41^(b)		210		211,720
RB, 6.85%, 11/01/46^(b)(e)(f)		275		133,031


Security	Par (000)		Value

Wisconsin (continued)
Public Finance Authority
RB, 7.00%, 11/01/46^(b)(e)(f)		USD 155	$	74,981
RB, 5.38%, 07/15/47^(b)		335		339,556
RB, 7.00%, 10/01/47^(b)(e)(f)		195		16,575
RB, 5.63%, 06/15/49^(b)		1,420		1,307,584
RB, 5.00%, 06/15/51^(b)		195		193,888
RB, 5.25%, 12/01/51^(b)		1,060		758,548
RB, 5.00%, 06/15/55^(b)		550		546,217
RB, 5.00%, 06/15/55^(b)		2,750		2,367,235
RB, 5.00%, 07/01/55^(b)		880		841,719
RB, 5.00%, 01/01/56^(b)		875		800,201
RB, 4.75%, 06/15/56^(b)		440		326,032
RB, 5.00%, 06/15/56^(b)		145		144,034
RB, 0.00%, 01/01/60^(b)(d)		19,530		1,623,197
RB, Series A, 7.75%, 07/01/43^(b)		1,920		2,027,131
RB, Series A, 12/15/44^(b)(c)		120		122,518
RB, Series A, 5.63%, 06/15/49^(b)		855		837,610
RB, Series A, 12/15/54^(b)(c)		350		355,621
RB, Series A, 7.50%, 07/01/59^(b)		2,020		2,249,999
RB, Series A-4, 5.50%, 11/15/32^(b)		1,750		1,790,772
RB, AMT, 4.00%, 09/30/51		2,025		1,777,640
RB, AMT, 4.25%, 07/01/54		1,160		993,553
RB, AMT, 4.00%, 03/31/56		680		590,507
Refunding RB, AMT, Series B, 5.00%, 07/01/42		750		750,787
Wisconsin Health & Educational Facilities Authority
RB, Series A, 5.50%, 08/15/44		1,305		1,409,563
RB, Series A, 5.75%, 08/15/54		350		375,678
Wisconsin Housing & EDA, RB, Series A, 4.55%, 07/01/37		165		166,550

				29,640,617

Wyoming — 0.2%
University of Wyoming, RB, (AGM), Series C, 4.00%, 06/01/51		775		757,281


Total Municipal Bonds — 87.9% (Cost: $433,960,488)				432,352,039


Municipal Bonds Transferred to Tender Option Bond Trusts^(g)

Alabama — 1.1%
Black Belt Energy Gas District, RB, Series C-1, 5.25%, 02/01/53		5,095		5,485,595


New York — 1.5%
New York City Housing Development Corp.
RB, Series D-1-B, 4.25%, 11/01/45		1,000		964,253
Refunding RB, Series A-1, 4.15%, 11/01/38		1,414		1,419,339
Port Authority of New York & New Jersey, RB, AMT, Series 221, 4.00%, 07/15/55		5,015		4,784,078

				7,167,670


Total Municipal Bonds Transferred to Tender Option Bond Trusts — 2.6% (Cost: $12,501,931)				12,653,265


Total Long-Term Investments — 90.5% (Cost: $446,462,419)				445,005,304


S C H E D U L E S O F I N V E S T M E N T S		59

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Short-Term Securities

Municipal Bonds

Florida — 2.0%
City of Gainesville Utilities System Revenue, Refunding RB, Series B, VRDN, (Barclays Bank plc SBPA), 4.05%, 10/01/24^(h)		USD 2,200	$	2,200,000
County of Miami-Dade, RB, Series E, VRDN, (TD Bank NA LOC), 3.15%, 10/07/24^(h)		5,200		5,200,000
JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(h)		2,500		2,500,000

				9,900,000

Maryland — 0.2%
Montgomery County Housing Opportunities Commission, Refunding RB, (FHA 542(C) FNMA COL), VRDN, (TD Bank NA LOC), 3.80%, 10/01/24^(h)		800		800,000


Minnesota — 0.8%
Minnesota HFA, Refunding RB, AMT, (GNMA/FNMA/FHLMC), Series F, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(h)		4,000		4,000,000


Mississippi — 0.6%
Mississippi Business Finance Corp.
RB, Series C, VRDN, 3.90%, 10/01/24^(h)		2,600		2,600,000
RB, Series L, VRDN, 3.75%, 10/01/24^(h)		400		400,000

				3,000,000

Nevada — 0.8%
County of Clark Department of Aviation, Refunding RB, Series D-2B, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 3.15%, 10/07/24^(h)		3,800		3,800,000


New York — 1.7%
City of New York
GO, Sub-Series A-2, VRDN, (Mizuho Bank Ltd. LOC), 4.00%, 10/01/24^(h)		2,500		2,500,000
GO, Sub-Series F6, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24^(h)		1,000		1,000,000
GO, Sub-Series I-2, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24^(h)		1,100		1,100,000
Metropolitan Transportation Authority RB, Sub-Series E-1, VRDN, (Barclays Bank plc LOC), 4.15%, 10/01/24^(h)		800		800,000
Refunding RB, Sub-Series 2012 G-1, VRDN, (Barclays Bank plc LOC), 4.15%, 10/01/24^(h)		3,260		3,260,000

				8,660,000

Rhode Island — 0.8%
Rhode Island Health & Educational Building Corp., RB, Series A, VRDN, (TD Bank NA SBPA), 3.23%, 10/07/24^(h)		3,790		3,790,000


Security	Par (000)		Value

South Carolina — 0.5%
South Carolina State Housing Finance & Development Authority, RB, VRDN, (Federal Home Loan Bank LOC), 3.29%, 10/07/24^(h)		USD 2,480	$	2,480,000


Texas — 2.0%
Red River Education Finance Corp., RB, VRDN, (TD Bank NA SBPA), 3.20%, 10/07/24^(h)		4,700		4,700,000
State of Texas, GO, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24^(h)		5,000		5,000,000

				9,700,000

Utah — 0.8%
County of Utah, RB, Series C, VRDN, (TD Bank NA SBPA), 3.75%, 10/01/24^(h)		3,905		3,905,000


Virginia — 0.5%
Loudoun County EDA, RB, Series F, VRDN, 3.20%, 10/07/24^(h)		2,500		2,500,000


Wisconsin — 0.2%
University of Wisconsin Hospitals & Clinics, Refunding RB, Series C, VRDN, 4.10%, 10/01/24^(h)		1,000		1,000,000


Total Short-Term Securities — 10.9%
(Cost: $53,535,000)				53,535,000


Total Investments — 101.4%
(Cost: $499,997,419)				498,540,304

Other Assets Less Liabilities — 0.0%			79,577

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (1.4)%				(6,731,145	)


Net Assets — 100.0%			$ 491,888,736

^(a)	Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

^(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

^(c)	When-issued security.

^(d)	Zero-coupon bond.

^(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)	Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.


60		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series E Portfolio

Fair Value Hierarchy as of Period End



	Level 1		Level 2		Level 3		Total
Assets
Investments
Long-Term Investments
Municipal Bonds	$	—	$	432,352,039	$	—	$	432,352,039
Municipal Bonds Transferred to Tender Option Bond Trusts		—		12,653,265		—		12,653,265
Short-Term Securities
Municipal Bonds		—		53,535,000		—		53,535,000
Unfunded Commitments^(a)		—		—		1,375,579		1,375,579

	$	—	$	498,540,304	$	1,375,579	$	499,915,883

^(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 $6,647,000 are categorized as Level 2 within the fair value hierarchy.

See notes to financial statements.


S C H E D U L E S O F I N V E S T M E N T S		61

Schedule of Investments (unaudited)

September 30, 2024

BATS: Series M Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities
ARI Fleet Lease Trust, Series 2024-A, Class A2, 5.30%, 11/15/32^(a)		USD 1,454	$	1,464,390
Chesapeake Funding II LLC, Series 2023-2A, Class A1, 6.16%, 10/15/35^(a)		1,061		1,078,411
Enterprise Fleet Financing LLC
Series 2023-2, Class A2, 5.56%, 04/22/30^(a)		1,765		1,782,107
Series 2024-1, Class A3, 5.16%, 09/20/30^(a)		294		301,976
Series 2024-2, Class A3, 5.61%, 04/20/28^(a)		8,007		8,242,003
Series 2024-3, Class A4, 5.06%, 03/20/31^(a)		378		386,802
Ford Credit Floorplan Master Owner Trust A
Series 2023-1, Class A1, 4.92%, 05/15/28^(a)		3,331		3,364,200
Series 2024-2, Class A, 5.24%, 04/15/31^(a)		5,015		5,215,882
GMF Floorplan Owner Revolving Trust
Series 2023-1, Class A1, 5.34%, 06/15/28^(a)		1,805		1,836,237
Series 2023-2, Class A, 5.34%, 06/15/30^(a)		617		640,863
Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 09/20/40^(a)		105		94,660
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28^(a)		794		804,872
PFS Financing Corp., Series 2024-D, Class A, 5.34%, 04/15/29^(a)		4,901		5,029,563
Toyota Auto Loan Extended Note Trust, Series 2024- 1A, Class A, 5.16%, 11/25/36^(a)		3,917		4,072,557


Total Asset-Backed Securities — 2.8% (Cost: $33,440,341)				34,314,523


Non-Agency Mortgage-Backed Securities

Commercial Mortgage-Backed Securities — 7.8%
1211 Avenue of the Americas Trust, Series 2015- 1211, Class A1A2, 3.90%, 08/10/35^(a)		945		927,856
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.30%, 09/15/34^(a)(b)		3,928		3,830,106
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C, 3.72%, 05/15/53^(a)(b)		400		358,685
ARES Commercial Mortgage Trust, Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 07/15/41^(a)(b)		2,220		2,222,775
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class B, 3.49%, 04/14/33^(a)		2,164		2,123,328
Series 2024-BHP, Class A, (1-mo. CME Term SOFR + 2.35%), 7.45%, 08/15/39^(a)(b)		600		602,068
BANK
Series 2018-BN11, Class B, 4.49%, 03/15/61^(b)		1,769		1,694,066
Series 2021-BN38, Class A5, 2.52%, 12/15/64		5,090		4,423,524
Benchmark Mortgage Trust, Series 2018-B2, Class A5, 3.88%, 02/15/51^(b)		1,000		970,464
BFLD Mortgage Trust, Series 2024-WRHS, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 08/15/26^(a)(b)		2,170		2,168,644
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 03/15/40^(a)(b)		2,000		1,995,010
BSST Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 5.96%, 04/15/36^(a)(b)		1,099		1,088,851
BX Commercial Mortgage Trust Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.11%, 02/15/39^(a)(b)		4,770		4,743,444


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Commercial Mortgage Trust
Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 7.04%, 11/15/28^(a)(b)		USD 1,060	$	1,054,701
Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 12/09/40^(a)(b)		2,380		2,386,980
Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 08/15/39^(a)(b)		3,780		3,784,725
Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39^(a)(b)		2,364		2,361,947
Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39^(a)(b)		2,430		2,430,024
BX Trust
Series 2019-OC11, Class D, 4.08%, 12/09/41^(a)(b)		1,489		1,370,724
Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 6.01%, 02/15/36^(a)(b)		217		215,638
Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%), 7.26%, 08/15/39^(a)(b)		1,033		1,033,486
Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/41^(a)(b)		1,530		1,534,781
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.72%, 09/15/38^(a)(b)		2,995		3,000,135
CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39^(a)		1,254		1,120,813
Citigroup Commercial Mortgage Trust, Series 2023- SMRT, Class A, 6.02%, 10/12/40^(a)(b)		1,370		1,416,203
Commercial Mortgage Trust
Series 2015-CR27, Class B, 4.49%, 10/10/48^(b)		2,917		2,751,880
Series 2015-LC23, Class ASB, 3.60%, 10/10/48		820		815,885
Series 2024-WCL1, Class A, (1-mo. CME Term SOFR + 1.84%), 6.92%, 06/15/41^(a)(b)		1,750		1,742,891
CONE Trust, Series 2024-DFW1, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 08/15/41^(a)(b)		930		930,000
Credit Suisse Mortgage Capital Trust, Series 2020- NET, Class C, 3.53%, 08/15/37^(a)		266		256,079
CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40^(a)		763		810,479
Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40^(a)		900		770,898
GS Mortgage Securities Corp. II
Series 2005-ROCK, Class A, 5.37%, 05/03/32^(a)		910		900,730
Series 2005-ROCK, Class F, 5.52%, 05/03/32^(a)		706		684,791
GS Mortgage Securities Trust
Series 2014-GC24, Class A5, 3.93%, 09/10/47		354		353,230
Series 2021-ROSS, Class A, (1-mo. CME Term SOFR + 1.41%), 6.51%, 05/15/26^(a)(b)		730		674,005
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.29%, 08/15/39^(a)(b)		3,060		3,060,956
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/28^(a)(b)		1,100		1,102,063
GWT, Series 2024-WLF2, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 05/15/41^(a)(b)		1,570		1,570,000
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.56%, 07/10/39^(a)(b)		669		576,690
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A4, 3.23%, 10/15/48		4,058		4,024,279
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2016-NINE, Class A, 2.95%, 09/06/38^(a)(b)		1,790		1,724,174
Series 2020-609M, Class A, (1-mo. CME Term SOFR + 1.73%), 6.83%, 10/15/33^(a)(b)		2,000		1,940,000
Series 2020-609M, Class D, (1-mo. CME Term SOFR + 3.13%), 8.23%, 10/15/33^(a)(b)		600		476,820
Series 2021-2NU, Class A, 1.97%, 01/05/40^(a)		1,210		1,064,590


62		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

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%), 7.28%, 09/15/39^(a)(b)		USD 210	$	210,004
KSL Commercial Mortgage Trust, Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.39%, 12/15/36^(a)(b)		1,920		1,924,800
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49^(a)		438		430,393
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 08/15/40^(a)(b)		880		883,780
MF1, Series 2021-W10, Class B, (1-mo. CME Term SOFR + 1.37%), 6.47%, 12/15/34^(a)(b)		640		627,248
Morgan Stanley Capital I Trust
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49		1,154		1,141,083
Series 2018-H3, Class B, 4.62%, 07/15/51^(b)		740		702,516
Series 2018-MP, Class A, 4.42%, 07/11/40^(a)(b)		1,000		912,749
Series 2024-NSTB, Class A, 3.90%, 09/24/57^(a)(b)		670		649,977
OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.19%, 10/15/28^(a)(b)		487		492,063
ORL Trust, Series 2023-GLKS, Class A, (1-mo. CME Term SOFR + 2.35%), 7.45%, 10/19/36^(a)(b)		1,963		1,967,142
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.28%, 05/15/37^(a)(b)		1,250		1,253,125
Wells Fargo Commercial Mortgage Trust
Series 2015-LC22, Class ASB, 3.57%, 09/15/58		600		596,347
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57		955		948,042
Series 2015-P2, Class AS, 4.01%, 12/15/48		1,605		1,581,341
Series 2018-AUS, Class A, 4.19%, 08/17/36^(a)(b)		2,417		2,348,254
Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.41%, 05/15/31^(a)(b)		3,516		3,436,683
Series 2024-1CHI, Class A, 5.48%, 07/15/35^(a)(b)		1,090		1,097,771


				96,292,736

Interest Only Commercial Mortgage-Backed Securities — 0.3%
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class XA, 1.06%, 05/15/53^(a)(b)		1,553		63,491
BANK
Series 2020-BN29, Class XA, 1.42%, 11/15/53^(b)		4,202		262,300
Series 2021-BN33, Class XA, 1.16%, 05/15/64^(b)		15,742		749,570
Benchmark Mortgage Trust
Series 2020-B20, Class XA, 1.72%, 10/15/53^(b)		15,333		905,609
Series 2020-B21, Class XA, 1.55%, 12/17/53^(a)(b)		3,826		241,748
BMO Mortgage Trust, Series 2023-C5, Class XA, 0.95%, 06/15/56^(b)		8,780		436,836
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.58%, 10/15/52^(b)		9,719		550,898
Wells Fargo Commercial Mortgage Trust
Series 2018-C44, Class XA, 0.87%, 05/15/51^(b)		8,033		166,871
Series 2020-C58, Class XA, 1.92%, 07/15/53^(b)		4,430		359,860


				3,737,183


Total Non-Agency Mortgage-Backed Securities — 8.1%
(Cost: $103,603,147)				100,029,919


U.S. Government Sponsored Agency Securities

Collateralized Mortgage Obligations — 3.9%
Fannie Mae
Series 2011-8, Class ZA, 4.00%, 02/25/41		544		530,574
Series 2013-81, Class YK, 4.00%, 08/25/43		200		188,427
Series 2017-100, Class ZJ, 3.50%, 12/25/47		3,085		2,800,559
Series 2017-76, Class PB, 3.00%, 10/25/57		900		698,005


Security	Par (000)		Value

Collateralized Mortgage Obligations (continued)
Fannie Mae
Series 2018-32, Class PS, (SOFR (30-day) + 7.10%), 0.94%, 05/25/48^(b)		USD 1,883	$	1,723,435
Series 2018-76, Class ZL, 4.00%, 10/25/58		4,702		4,370,357
Series 2022-25, Class KL, 4.00%, 05/25/52		1,500		1,374,837
Series 2023-46, Class FA, (SOFR (30-day) + 1.30%), 6.58%, 10/25/53^(b)		5,280		5,320,763
Series 2023-56, Class FA, (SOFR (30-day) + 1.40%), 6.68%, 11/25/53^(b)		1,080		1,091,961
Series 2024-48, Class FC, (SOFR (30-day) + 1.10%), 6.38%, 07/25/54^(b)		3,096		3,107,052
Series 2024-54, Class FD, (SOFR (30-day) + 1.25%), 6.53%, 08/25/54^(b)		3,101		3,123,903
Freddie Mac
Series 3745, Class ZA, 4.00%, 10/15/40		328		318,206
Series 3780, Class ZA, 4.00%, 12/15/40		1,276		1,253,254
Series 4161, Class BW, 2.50%, 02/15/43		1,400		1,236,488
Series 4355, Class ZL, 4.00%, 06/15/44		2,424		2,291,888
Series 4384, Class LB, 3.50%, 08/15/43		887		871,342
Series 4758, Class Z, 4.00%, 02/15/48		1,723		1,646,329
Series 4988, Class AK, 1.00%, 07/25/50		1,927		1,542,256
Series 5002, Class TJ, 2.00%, 07/25/50		1,900		1,608,368
Series 5443, Class FA, (SOFR (30-day) + 1.20%), 6.48%, 08/25/54^(b)		4,245		4,271,201
Series 5444, Class FC, (SOFR (30-day) + 1.12%), 6.40%, 08/25/54^(b)		5,524		5,545,480
Freddie Mac Seasoned Credit Risk Transfer Trust
Series 2018-3, Class MA, 3.50%, 08/25/57^(b)		1,149		1,117,353
Series 2018-4, Class MA, 3.50%, 03/25/58		1,273		1,236,779
Ginnie Mae
Series 2014-107, Class WX, 6.61%, 07/20/39^(b)		252		262,860
Series 2016-123, Class LM, 3.00%, 09/20/46		600		508,204


				48,039,881

Commercial Mortgage-Backed Securities — 1.4%
Freddie Mac
Series K082, Class A2, 3.92%, 09/25/28^(b)		2,400		2,395,547
Series K139, Class A2, 2.59%, 01/25/32^(b)		12,000		10,886,789
Series K154, Class A2, 3.42%, 04/25/32		3,500		3,410,573


				16,692,909

Interest Only Collateralized Mortgage Obligations — 1.1%
Fannie Mae
Series 2013-10, Class PI, 3.00%, 02/25/43		902		102,178
Series 2014-68, Class YI, 4.50%, 11/25/44		414		80,964
Series 2015-66, Class AS, (SOFR (30-day) + 6.14%), 0.86%, 09/25/45^(b)		2,060		200,789
Series 2016-60, Class SD, (SOFR (30-day) + 5.99%), 0.71%, 09/25/46^(b)		976		82,806
Series 2016-78, Class CS, (SOFR (30-day) + 5.99%), 0.71%, 05/25/39^(b)		1,228		107,663
Series 2017-68, Class IE, 4.50%, 09/25/47		1,504		261,388
Series 2020-32, Class IO, 4.00%, 05/25/50		1,655		341,374
Series 2020-32, Class PI, 4.00%, 05/25/50		1,718		362,705
Series 2021-23, Class CI, 3.50%, 07/25/46		2,260		416,744
Series 2021-41, Class IO, 3.50%, 07/25/51		4,310		773,665
Series 2021-88, Class IO, 2.50%, 12/25/51		1,990		275,543
Series 2024-7, Class IA, 3.50%, 11/25/49		5,359		645,676
Series 427, Class C71, 3.00%, 10/25/49		2,091		346,672
Series 435, Class C24, 2.00%, 04/25/52		21,160		2,561,673
Freddie Mac
Series 4062, Class GI, 4.00%, 02/15/41		135		3,940
Series 4119, Class SC, (SOFR (30-day) + 6.04%), 0.69%, 10/15/42^(b)		2,032		267,908


S C H E D U L E S O F I N V E S T M E N T S		63

Schedule of Investments (unaudited) (continued)

September 30, 2024

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%), 0.71%, 07/25/49^(b)		USD 1,652	$	194,429
Series 4941, Class SH, (SOFR (30-day) + 5.84%), 0.56%, 12/25/49^(b)		3,565		434,715
Series 5109, Class ID, 2.50%, 05/25/51		1,817		268,788
Series 5112, Class KI, 3.50%, 06/25/51		1,379		259,630
Series 5127, Class AI, 3.00%, 06/25/51		723		122,198
Series 5159, Class PI, 3.00%, 11/25/51		3,814		541,780
Ginnie Mae
Series 2017-101, Class SL, (1-mo. CME Term SOFR + 6.09%), 1.13%, 07/20/47^(b)		1,375		197,642
Series 2020-115, Class IM, 3.50%, 08/20/50		2,126		400,073
Series 2020-146, Class DI, 2.50%, 10/20/50		2,879		380,400
Series 2020-175, Class DI, 2.50%, 11/20/50		1,004		139,579
Series 2020-185, Class MI, 2.50%, 12/20/50		3,597		519,532
Series 2021-104, Class IH, 3.00%, 06/20/51		4,269		685,429
Series 2021-149, Class KI, 3.00%, 08/20/51		8,182		1,316,635
Series 2022-5, Class LI, 3.50%, 01/20/52		10,712		1,841,279


				14,133,797

Interest Only Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac
Series K110, Class X1, 1.81%, 04/25/30^(b)		1,191		87,679
Series K116, Class X1, 1.52%, 07/25/30^(b)		2,068		134,034
Series K119, Class X1, 1.02%, 09/25/30^(b)		3,284		145,878
Series K122, Class X1, 0.97%, 11/25/30^(b)		5,018		214,020
Ginnie Mae
Series 2016-151, Class IO, 0.89%, 06/16/58^(b)		16,654		717,457
Series 2017-61, Class IO, 0.70%, 05/16/59^(b)		964		35,392


				1,334,460

Mortgage-Backed Securities — 113.5%
Fannie Mae Mortgage-Backed Securities
1.50%, 12/01/35 - 04/01/52		41,352		34,440,115
2.00%, 10/01/31 - 03/01/52		139,424		118,449,726
2.50%, 09/01/27 - 02/01/52		89,730		79,840,517
3.00%, 04/01/28 - 06/01/52		41,637		38,468,903
3.50%, 03/01/29 - 04/01/52		33,200		31,670,167
4.00%, 02/01/31 - 05/01/52		29,467		28,614,711
4.50%, 07/01/25 - 10/01/52		33,441		33,158,728
5.00%, 02/01/35 - 04/01/53		19,356		19,550,356
5.50%, 05/01/34 - 10/01/54		34,946		35,441,011
5.81%, 06/01/31		3,574		3,766,526
6.00%, 02/01/38 - 09/01/54		22,212		22,832,905
6.50%, 07/01/37 - 09/01/54		33,951		35,101,514
7.50%, 12/01/53 - 01/01/54		505		537,180
Freddie Mac Mortgage-Backed Securities
1.50%, 04/01/36 - 04/01/52		12,461		10,312,819
2.00%, 01/01/36 - 02/01/52		116,049		98,266,689
2.50%, 02/01/30 - 04/01/52		71,749		63,025,808
3.00%, 09/01/27 - 08/01/52		46,843		42,979,573
3.50%, 02/01/31 - 06/01/50		20,396		19,389,028
4.00%, 08/01/40 - 06/01/52		17,171		16,796,106
4.50%, 07/01/26 - 08/01/52		6,490		6,416,835
5.00%, 05/01/28 - 08/01/53		10,671		10,767,552
5.50%, 01/01/28 - 10/01/54		21,583		21,889,229
6.00%, 08/01/28 - 09/01/54		27,177		27,851,562
6.50%, 10/01/53 - 09/01/54		32,915		33,985,262
7.50%, 12/01/53 - 01/01/54		229		243,742
Ginnie Mae Mortgage-Backed Securities
2.00%, 08/20/50 - 10/15/54^(c)		51,100		43,371,470
2.50%, 04/20/51 - 10/15/54^(c)		51,402		45,301,512
3.00%, 12/20/44 - 10/15/54^(c)		36,005		32,867,725


Security	Par (000)			Value

Mortgage-Backed Securities (continued)
Ginnie Mae Mortgage-Backed Securities
3.50%, 01/15/42 - 10/15/54^(c)		USD 30,204		$	28,426,121
4.00%, 04/20/39 - 10/15/54^(c)		59,874			57,995,471
4.50%, 09/20/39 - 10/15/54^(c)		48,965			48,425,001
5.00%, 07/15/33 - 10/15/54^(c)		19,220			19,266,802
5.50%, 07/15/38 - 10/15/54^(c)		16,345			16,512,895
6.00%, 03/20/53 - 10/15/54^(c)		32,469			33,009,423
6.50%, 10/15/54^(c)		22,024			22,525,426
Uniform Mortgage-Backed Securities
1.50%, 10/01/39^(c)		2,664			2,377,603
2.00%, 10/01/39 - 10/01/54^(c)		10,094			8,890,261
2.50%, 10/01/39 - 10/01/54^(c)		11,467			10,189,307
3.00%, 10/01/39 - 10/01/54^(c)		11,578			10,478,332
3.50%, 10/01/39 - 10/01/54^(c)		49,030			45,668,895
4.00%, 10/01/39 - 10/01/54^(c)		42,727			41,060,894
4.50%, 10/01/39 - 10/01/54^(c)		11,596			11,493,882
5.00%, 10/01/54^(c)		29,941			29,921,117
5.50%, 10/01/54^(c)		3,039			3,074,190
6.00%, 10/01/54^(c)		4,679			4,782,073
6.50%, 10/01/54^(c)		50,084			51,631,043


					1,401,066,007

Principal Only Collateralized Mortgage Obligations — 1.0%
Fannie Mae
Series 2023-36, Class AO, 0.00%, 08/25/50^(d)		3,656			2,683,419
Series 2024-16, Class PO, 0.00%, 03/25/51^(d)		1,615			1,224,578
Freddie Mac
Series 5319, Class PO, 0.00%, 08/25/50^(d)		6,998			4,917,585
Series 5341, Class AO, 0.00%, 06/25/50^(d)		4,121			3,031,556
Ginnie Mae, Series 2022-195, Class PO, 0.00%, 11/20/52^(d)		574			482,819


					12,339,957


Total U.S. Government Sponsored Agency Securities — 121.0% (Cost: $1,538,706,055)					1,493,607,011


Total Long-Term Investments — 131.9% (Cost: $1,675,749,543)					1,627,951,453


	Shares

Short-Term Securities

Money Market Funds — 0.7%
Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%^(e)		7,870,857			7,870,857


	Par (000)

U.S. Treasury Obligations^(f)— 2.7%
U.S. Treasury Bills, 4.63%, 11/12/24		USD 33,566			33,383,532


Total Short-Term Securities — 3.4% (Cost: $41,256,588)					41,254,389


Total Investments Before TBA Sale Commitments — 135.3% (Cost: $1,717,006,131)					1,669,205,842


TBA Sale Commitments^(c)

Mortgage-Backed Securities — (28.3)%
Ginnie Mae Mortgage-Backed Securities
2.00%, 10/15/54		(115	)		(97,489	)
2.50%, 10/15/54		(175	)		(154,212	)
3.00%, 10/15/54		(201	)		(183,271	)
3.50%, 10/15/54		(249	)		(233,923	)


64		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series M Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Mortgage-Backed Securities (continued)
Ginnie Mae Mortgage-Backed Securities
4.00%, 10/15/54		USD (144	)	$	(139,214	)
4.50%, 10/15/54		(103	)		(101,699	)
5.00%, 10/15/54		(153	)		(153,245	)
5.50%, 10/15/54		(157	)		(158,512	)
6.00%, 10/15/54		(15,729	)		(15,995,484	)
6.50%, 10/15/54		(10,947	)		(11,200,260	)
Uniform Mortgage-Backed Securities
2.00%, 10/01/39 - 10/01/54		(596	)		(512,914	)
2.50%, 10/01/39 - 10/01/54		(2,153	)		(1,863,714	)
3.00%, 10/01/39 - 10/01/54		(222	)		(200,770	)
3.50%, 10/01/54		(174	)		(162,023	)
4.00%, 10/01/39 - 10/01/54		(81,810	)		(78,594,865	)
4.50%, 10/01/39 - 10/01/54		(39,088	)		(38,428,706	)
5.00%, 10/01/54		(24,819	)		(24,802,812	)
5.50%, 10/01/54		(67,730	)		(68,514,277	)
6.00%, 10/01/54		(9,180	)		(9,381,919	)
6.50%, 10/01/54		(95,149	)		(98,065,829	)


Total TBA Sale Commitments — (28.3)% (Proceeds: $(349,902,401))					(348,945,138	)


Total Investments Net of TBA Sale Commitments — 107.0%

(Cost: $1,367,103,730)					1,320,260,704

Liabilities in Excess of Other Assets — (7.0)%					(86,292,924	)


Net Assets — 100.0%				$	1,233,967,780

^(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)	Represents or includes a TBA transaction.

^(d)	Zero-coupon bond.

^(e)	Annualized 7-day yield as of period end.

^(f)	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)		55		12/19/24	$	6,285	$	(10,703	)
U.S. Treasury Notes (5 Year)		95		12/31/24		10,439		(28,205	)
U.S. Ultra Treasury Notes (10 Year)		46		12/19/24		5,442		(41,034	)

								(79,942	)

Short Contracts 3-month SOFR		9		12/17/24		2,144		12,083
U.S. Treasury Bonds (30 Year)		53		12/19/24		6,582		20,350
U.S. Ultra Treasury Bonds		16		12/19/24		2,130		4,091
U.S. Treasury Notes (2 Year)		200		12/31/24		41,648		(92,631	)

								(56,107	)

							$	(136,049	)


S C H E D U L E S O F I N V E S T M E N T S		65

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series M Portfolio

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		Termination Date		Notional Amount (000)		Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
			1-day Overnight Fed Funds
0.18%		Quarterly	Effective Rate, 4.83%		Quarterly		10/21/25		USD 232	$	10,886		$	—	$	10,886
1-day SOFR, 4.96%		Quarterly	0.17%		Quarterly		10/21/25		USD 232		(11,006	)		—		(11,006	)
			1-day Overnight Fed Funds
0.56%		Quarterly	Effective Rate, 4.83%		Quarterly		10/21/30		USD 83		12,745			—		12,745
1-day SOFR, 4.96%		Quarterly	0.53%		Quarterly		10/21/30		USD 83		(13,195	)		—		(13,195	)


										$	(570	)	$	—	$	(570	)

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	$	686,005	$	168,697	$	517,308
CMBX.NA.10.BBB-		3.00			Monthly		Goldman Sachs International		11/17/59	USD		4,174		720,306		185,809		534,497


													$	1,406,311	$	354,506	$	1,051,805

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.10.BBB-		3.00	%		Monthly		Goldman Sachs International		11/17/59		BBB-		USD 4,398	$	(758,804	)	$	(283,676	)	$	(475,128	)
CMBX.NA.10.BBB-		3.00			Monthly		J.P. Morgan Securities LLC		11/17/59		BBB-		USD 3,753		(647,507	)		(243,947	)		(403,560	)


														$	(1,406,311	)	$	(527,623	)	$	(878,688	)

^(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)	$	—	$	—		$	23,631	$	(24,201	)
OTC Swaps		354,506		(527,623	)		1,051,805		(878,688	)

^(a)


66		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

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)	$	—	$	—	$	—	$	—	$	36,524	$	—	$	36,524
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—		—		—		—		23,631		—		23,631
Swaps — OTC
Unrealized appreciation on OTC swaps;
Swap premiums paid		—		1,406,311		—		—		—		—		1,406,311

	$	—	$	1,406,311	$	—	$	—	$	60,155	$	—	$	1,466,466

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	172,573	$	—	$	172,573
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		—		—		—		24,201		—		24,201
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received		—		1,406,311		—		—		—		—		1,406,311

	$	—	$	1,406,311	$	—	$	—	$	196,774	$	—	$	1,603,085

^(a)

For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—		$	—	$	—	$	(1,091,421	)	$	—	$	(1,091,421	)
Swaps		—		2,469			—		—		145			—		2,614

	$	—	$	2,469		$	—	$	—	$	(1,091,276	)	$	—	$	(1,088,807	)

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	—	$	82,466		$	—	$	82,466
Swaps		—		(2,470	)		—		—		(225	)		—		(2,695	)

	$	—	$	(2,470	)	$	—	$	—	$	82,241		$	—	$	79,771

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long			$48,971,521
Average notional value of contracts — short			$74,649,117
Credit default swaps
Average notional value — buy protection			$8,150,000
Average notional value — sell protection			$8,150,000
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.


S C H E D U L E S O F I N V E S T M E N T S		67

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series M Portfolio

Derivative Financial Instruments – Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:



	Assets			Liabilities
Derivative Financial Instruments
Futures contracts	$	124,444		$	83,524
Swaps — centrally cleared		—			9
Swaps — OTC^(a)		1,406,311			1,406,311

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,530,755		$	1,489,844

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(124,444	)		(83,533	)

Total derivative assets and liabilities subject to an MNA	$	1,406,311		$	1,406,311

^(a)

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities.


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	$	1,406,311	$	(758,804	)	$	—	$	(647,507	)	$	—


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	$	758,804	$	(758,804	)	$	—	$	—		$	—
J.P. Morgan Securities LLC		647,507		—			—		(647,507	)		—

	$	1,406,311	$	(758,804	)	$	—	$	(647,507	)	$	—

^(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



	Level 1		Level 2			Level 3		Total
Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—	$	34,314,523		$	—	$	34,314,523
Non-Agency Mortgage-Backed Securities		—		100,029,919			—		100,029,919
U.S. Government Sponsored Agency Securities		—		1,493,607,011			—		1,493,607,011
Short-Term Securities
Money Market Funds		7,870,857		—			—		7,870,857
U.S. Treasury Obligations		—		33,383,532			—		33,383,532
Liabilities
TBA Sale Commitments		—		(348,945,138	)		—		(348,945,138	)

	$	7,870,857	$	1,312,389,847		$	—	$	1,320,260,704


68		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series M Portfolio

Fair Value Hierarchy as of Period End (continued)



	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments^(a)
Assets
Credit Contracts	$	—		$	1,051,805		$	—	$	1,051,805
Interest Rate Contracts		36,524			23,631			—		60,155
Liabilities
Credit Contracts		—			(878,688	)		—		(878,688	)
Interest Rate Contracts		(172,573	)		(24,201	)		—		(196,774	)

	$	(136,049	)	$	172,547		$	—	$	36,498

^(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.


S C H E D U L E S O F I N V E S T M E N T S		69

Schedule of Investments (unaudited)

September 30, 2024

BATS: Series P Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value

Investment Companies

Fixed-Income Funds — 28.8%
BATS: Series S Portfolio^(a)		128,923	$	1,195,113


Total Investments — 28.8% (Cost: $1,190,819)				1,195,113

Other Assets Less Liabilities — 71.2%				2,960,919


Net Assets — 100.0%			$	4,156,032

^(a)

Affiliate of the Fund.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:



Affiliated Issuer	Value at 03/31/24		Purchases at Cost		Proceeds from Sales			Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Value at 09/30/24		Shares Held at 09/30/24		Income		Capital Gain Distributions from Underlying Funds
BATS: Series S Portfolio	$	1,348,560	$	—	$	(180,000	)	$	(3,100	)	$	29,653	$	1,195,113		128,923	$	31,395	$	—

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 (5 Year)		4		12/31/24	$	440	$	142

Short Contracts
U.S. Treasury Notes (10 Year)		21		12/19/24		2,400		(8,401	)
U.S. Ultra Treasury Notes (10 Year)		19		12/19/24		2,248		(470	)
U.S. Treasury Notes (2 Year)		5		12/31/24		1,041		(1,535	)

								(10,406	)

							$	(10,264	)

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		Termination Date		Notional Amount (000)		Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
			1-day Overnight Fed Funds
0.18%		Quarterly	Effective Rate, 4.83%		Quarterly		10/21/25		USD 3,167	$	148,871		$	—	$	148,871
1-day SOFR, 4.96%		Quarterly	0.17%		Quarterly		10/21/25		USD 3,167		(150,509	)		—		(150,509	)
			1-day Overnight Fed Funds
0.56%		Quarterly	Effective Rate, 4.83%		Quarterly		10/21/30		USD 336		51,401			—		51,401
1-day SOFR, 4.96%		Quarterly	0.53%		Quarterly		10/21/30		USD 336		(53,216	)		—		(53,216	)
0.75%		Quarterly	1-day SOFR, 4.96%		Quarterly		10/21/35		USD 22		5,429			—		5,429
1-day Overnight Fed Funds Effective Rate, 4.83%		Quarterly	0.79%		Quarterly		10/21/35		USD 22		(5,191	)		—		(5,191	)
0.84%		Quarterly	1-day SOFR, 4.96%		Quarterly		10/21/40		USD 39		12,779			—		12,779
1-day Overnight Fed Funds Effective Rate, 4.83%		Quarterly	0.91%		Quarterly		10/21/40		USD 39		(12,108	)		—		(12,108	)


70		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

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	Termination Date		Notional Amount (000)		Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
0.91%		Quarterly		1-day SOFR, 4.96%	Quarterly		10/21/50		USD 22	$	9,430		$	—	$	9,430
1-day Overnight Fed Funds Effective Rate, 4.83%		Quarterly		0.99%	Quarterly		10/21/50		USD 22		(8,852	)		—		(8,852	)

										$	(1,966	)	$	—	$	(1,966	)

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)	$	—	$	—	$	227,910	$	(229,876	)

^(a)

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)	$	—	$	—	$	—	$	—	$	142	$	—	$	142
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—		—		—		—		227,910		—		227,910

	$	—	$	—	$	—	$	—	$	228,052	$	—	$	228,052

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	10,406	$	—	$	10,406
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps		—		—		—		—		229,876		—		229,876

	$	—	$	—	$	—	$	—	$	240,282	$	—	$	240,282

^(a)

For the period ended September 30, 2024, 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	$	—	$	—	$	—	$	—	$	(271,863	)	$	—	$	(271,863	)
Swaps		—		—		—		—		123			—		123

	$	—	$	—	$	—	$	—	$	(271,740	)	$	—	$	(271,740	)

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	—	$	26,733		$	—	$	26,733
Swaps		—		—		—		—		(1,298	)		—		(1,298	)

	$	—	$	—	$	—	$	—	$	25,435		$	—	$	25,435


S C H E D U L E S O F I N V E S T M E N T S		71

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series P Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long			$326,344
Average notional value of contracts — short			$6,203,863
Interest rate swaps
Average notional value — pays fixed rate			$3,586,320
Average notional value — received fixed rate			$3,586,320

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



	Level 1			Level 2			Level 3		Total

Assets
Investments
Long-Term Investments
Investment Companies	$	1,195,113		$	—		$	—	$	1,195,113


Derivative Financial Instruments^(a)
Assets
Interest Rate Contracts	$	142		$	227,910		$	—	$	228,052
Liabilities
Interest Rate Contracts		(10,406	)		(229,876	)		—		(240,282	)

	$	(10,264	)	$	(1,966	)	$	—	$	(12,230	)

^(a)

Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

See notes to financial statements.


72		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited)

September 30, 2024

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%), 6.86%, 01/15/33^(a)(b)	USD		250	$	250,160
American Express Credit Account Master Trust
Series 2022-1, Class A, 2.21%, 03/15/27			1,211		1,197,575
Series 2022-2, Class A, 3.39%, 05/15/27			3,560		3,534,372
Series 2022-3, Class A, 3.75%, 08/15/27			4,341		4,317,796
AmeriCredit Automobile Receivables Trust
Series 2021-3, Class A3, 0.76%, 08/18/26			197		196,011
Series 2022-1, Class A3, 2.45%, 11/18/26			283		281,212
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR3, (3-mo. CME Term SOFR + 1.56%), 6.89%, 04/28/37^(a)(b)			865		870,637
ARI Fleet Lease Trust
Series 2024-A, Class A2, 5.30%, 11/15/32^(a)			265		266,894
Series 2024-B, Class A2, 5.54%, 04/15/33^(a)			120		121,410
BA Credit Card Trust
Series 2022-A1, Class A1, 3.53%, 11/15/27			4,668		4,635,947
Series 2022-A2, Class A2, 5.00%, 04/15/28			822		828,257
Series 2024-A1, Class A, 4.93%, 05/15/29			1,688		1,727,179
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 6.64%, 01/20/31^(a)(b)			255		255,853
Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.60%, 04/30/31^(a)(b)			324		324,449
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.30%, 07/25/34^(a)(b)			250		250,301
BMW Vehicle Owner Trust
Series 2022-A, Class A3, 3.21%, 08/25/26			1,272		1,263,867
Series 2023-A, Class A3, 5.47%, 02/25/28			629		636,797
Canyon CLO Ltd., Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.26%, 10/15/34^(a)(b)			250		250,838
Capital One Multi-Asset Execution Trust, Series 2022- A1, Class A1, 2.80%, 03/15/27			3,331		3,301,956
Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.66%, 05/17/27			1,739		1,727,499
CarMax Auto Owner Trust
Series 2021-2, Class A3, 0.52%, 02/17/26			58		57,771
Series 2022-2, Class A3, 3.49%, 02/16/27			1,751		1,738,800
Series 2022-3, Class A3, 3.97%, 04/15/27			1,054		1,048,805
Chase Issuance Trust, Series 2023-A1, Class A, 5.16%, 09/15/28			2,680		2,738,168
Chesapeake Funding II LLC
Series 2023-2A, Class A1, 6.16%, 10/15/35^(a)			319		324,299
Series 2024-1A, Class A1, 5.52%, 05/15/36^(a)			547		553,577
CNH Equipment Trust
Series 2022-B, Class A3, 3.89%, 08/16/27			508		504,933
Series 2024-A, Class A3, 4.77%, 06/15/29			452		458,178
College Ave Student Loans LLC
Series 2021-B, Class A1, (1-mo. CME Term SOFR + 0.91%), 5.77%, 06/25/52^(a)(b)			175		172,105
Series 2021-C, Class B, 2.72%, 07/26/55^(a)			78		71,127
Series 2023-A, Class A1, (SOFR (30-day) + 1.90%), 7.18%, 05/25/55^(a)(b)			419		425,745
Credit Acceptance Auto Loan Trust
Series 2022-1A, Class A, 4.60%, 06/15/32^(a)			537		536,397
Series 2022-3A, Class A, 6.57%, 10/15/32^(a)			452		455,170
Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%), 7.31%, 10/15/36^(a)(b)			250		250,402


Security		Par (000)		Value

Asset-Backed Securities (continued)
Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, (3-mo. CME Term SOFR + 1.28%), 6.58%, 04/15/29^(a)(b)	USD		98	$	98,073
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45^(a)			61		55,733
ELFI Graduate Loan Program LLC
Series 2022-A, Class A, 4.51%, 08/26/47^(a)			437		429,094
Series 2023-A, Class A, 6.37%, 02/04/48^(a)			428		443,182
Elmwood CLO III Ltd., Series 2019-3A, Class A2RR, (3-mo. CME Term SOFR + 1.60%), 6.92%, 07/18/37^(a)(b)			1,250		1,242,659
Enterprise Fleet Financing LLC
Series 2023-2, Class A2, 5.56%, 04/22/30^(a)			741		747,931
Series 2024-1, Class A2, 5.23%, 03/20/30^(a)			429		433,095
Series 2024-1, Class A3, 5.16%, 09/20/30^(a)			50		51,356
Series 2024-3, Class A3, 4.98%, 08/21/28^(a)			200		203,558
Series 2024-3, Class A4, 5.06%, 03/20/31^(a)			66		67,537
Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39^(a)	CAD		145		106,485
Flatiron CLO 21 Ltd., Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.45%, 10/19/37^(a)(b)	USD		1,945		1,945,735
Ford Credit Auto Owner Trust
Series 2022-B, Class A4, 3.93%, 08/15/27			417		414,556
Series 2023-1, Class A, 4.85%, 08/15/35^(a)			1,380		1,405,466
Series 2023-2, Class A, 5.28%, 02/15/36^(a)			1,125		1,163,787
Series 2023-A, Class A3, 4.65%, 02/15/28			201		201,495
Series 2024-1, Class A, 4.87%, 08/15/36^(a)(c)			739		754,537
Series 2024-A, Class A3, 5.09%, 12/15/28			1,900		1,934,934
Ford Credit Floorplan Master Owner Trust A
Series 2018-4, Class A, 4.06%, 11/15/30			907		899,046
Series 2023-1, Class A1, 4.92%, 05/15/28^(a)			1,246		1,258,419
Series 2023-1, Class A2, (SOFR (30-day) + 1.25%), 6.59%, 05/15/28^(a)(b)			260		262,678
Series 2023-1, Class B, 5.31%, 05/15/28^(a)			280		283,164
Series 2024-2, Class A, 5.24%, 04/15/31^(a)			545		566,831
Foundation Finance Trust, Series 2024-1A, Class A, 5.50%, 12/15/49^(a)			339		346,353
FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1-mo. CME Term SOFR + 1.33%), 6.43%, 05/16/38^(a)(b)			224		221,744
Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3-mo. CME Term SOFR + 1.66%), 6.95%, 07/24/30^(a)(b)			250		250,557
Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. CME Term SOFR + 1.62%), 6.90%, 04/22/37^(a)(b)			1,170		1,174,550
GM Financial Consumer Automobile Receivables Trust
Series 2022-1, Class A4, 1.51%, 04/17/28			277		267,624
Series 2022-2, Class A3, 3.10%, 02/16/27			560		555,404
Series 2022-2, Class A4, 3.25%, 04/17/28			629		619,498
Series 2022-3, Class A4, 3.71%, 12/16/27			887		879,661
Series 2023-4, Class A3, 5.78%, 08/16/28			668		683,901
GM Financial Revolving Receivables Trust
Series 2023-2, Class A, 5.77%, 08/11/36^(a)			1,031		1,087,978
Series 2024-1, Class A, 4.98%, 12/11/36^(a)			284		291,563
Series 2024-2, Class A, 4.52%, 03/11/37^(a)			824		831,029
GoodLeap Sustainable Home Solutions Trust
Series 2021-4GS, Class A, 1.93%, 07/20/48^(a)			126		101,745
Series 2021-5CS, Class A, 2.31%, 10/20/48^(a)			52		42,800
Series 2022-1GS, Class A, 2.70%, 01/20/49^(a)			95		81,477
Series 2022-2CS, Class A, 4.00%, 04/20/49^(a)			71		64,141


S C H E D U L E S O F I N V E S T M E N T S		73

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
GoodLeap Sustainable Home Solutions Trust
Series 2023-1GS, Class A, 5.52%, 02/22/55^(a)	USD		313	$	311,277
Series 2023-3C, Class A, 6.50%, 07/20/55^(a)			294		305,526
GreatAmerica Leasing Receivables Funding LLC, Series 2024-2, Class A2, 5.28%, 03/15/27^(a)			233		235,474
Honda Auto Receivables Owner Trust, Series 2023-4, Class A3, 5.67%, 06/21/28			937		958,771
Hyundai Auto Receivables Trust
Series 2021-C, Class A3, 0.74%, 05/15/26			165		163,100
Series 2022-B, Class A3, 3.72%, 11/16/26			342		340,879
Series 2023-A, Class A3, 4.58%, 04/15/27			998		999,099
Series 2023-B, Class A3, 5.48%, 04/17/28			1,424		1,445,627
Series 2023-C, Class A3, 5.54%, 10/16/28			1,087		1,110,956
Series 2024-A, Class A3, 4.99%, 02/15/29			1,466		1,490,775
Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.35%, 07/25/34^(a)(b)			250		250,779
John Deere Owner Trust
Series 2023-B, Class A3, 5.18%, 03/15/28			529		535,132
Series 2024-A, Class A3, 4.96%, 11/15/28			981		997,307
Madison Park Funding XLII Ltd., Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.05%, 11/21/30^(a)(b)			800		800,611
Mariner Finance Issuance Trust, Series 2020-AA, Class A, 2.19%, 08/21/34^(a)			15		14,571
Mercedes-Benz Auto Receivables Trust, Series 2023-2, Class A3, 5.95%, 11/15/28			760		780,626
MMAF Equipment Finance LLC, Series 2024-A, Class A3, 4.95%, 07/14/31^(a)			150		151,988
Navient Private Education Loan Trust, Series 2020-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.11%, 11/15/68^(a)(b)			960		956,507
Navient Private Education Refi Loan Trust
Series 2019-CA, Class A2, 3.13%, 02/15/68^(a)			166		162,073
Series 2019-GA, Class A, 2.40%, 10/15/68^(a)			70		66,969
Series 2020-BA, Class A2, 2.12%, 01/15/69^(a)			267		253,924
Series 2020-DA, Class A, 1.69%, 05/15/69^(a)			324		304,540
Series 2020-FA, Class A, 1.22%, 07/15/69^(a)			458		428,197
Series 2020-IA, Class A1A, 1.33%, 04/15/69^(a)			671		611,886
Series 2021-A, Class A, 0.84%, 05/15/69^(a)			57		51,879
Series 2021-BA, Class A, 0.94%, 07/15/69^(a)			358		323,389
Series 2022-BA, Class A, 4.16%, 10/15/70^(a)			831		819,988
Navient Student Loan Trust, Series 2023-BA, Class A1B, (SOFR (30-day) + 1.70%), 7.04%, 03/15/72^(a)(b)			258		259,633
Navistar Financial Dealer Note Master Owner Trust, Series 2024-1, Class A, 5.59%, 04/25/29^(a)			390		396,327
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28^(a)			167		169,287
Nelnet Student Loan Trust
Series 2021-A, Class APT2, 1.36%, 04/20/62^(a)			478		443,382
Series 2021-CA, Class AFL, (1-mo. CME Term SOFR + 0.85%), 5.82%, 04/20/62^(a)(b)			353		350,673
Neuberger Berman CLO XV Ltd., Series 2013-15A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 6.48%, 10/15/29^(a)(b)			307		307,077
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A3, 4.91%, 11/15/27			2,002		2,012,208
OCP CLO Ltd.
Series 2016-12A, Class BAR3, (3-mo. CME Term SOFR + 1.68%), 10/18/37^(a)(b)(d)			260		260,000


Security		Par (000)		Value

Asset-Backed Securities (continued)
OCP CLO Ltd.
Series 2020-19A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.24%, 10/20/34^(a)(b)	USD		250	$	250,992
Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34^(a)(b)			300		300,428
OHA Credit Partners XVI, Series 2021-16A, Class AR, (3-mo. CME Term SOFR + 1.35%), 6.20%, 10/18/37^(a)(b)			420		420,000
OneMain Direct Auto Receivables Trust, Series 2021- 1A, Class A, 0.87%, 07/14/28^(a)			815		799,322
OneMain Financial Issuance Trust
Series 2019-2A, Class A, 3.14%, 10/14/36^(a)			402		388,814
Series 2023-1A, Class A, 5.50%, 06/14/38^(a)			150		155,525
OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.05%, 01/17/31^(a)(b)			250		250,726
Pagaya AI Technology in Housing Trust, Series 2023-1, Class A, 3.60%, 10/25/40^(a)			495		472,536
Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.68%, 01/17/31^(a)(b)			212		213,903
Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.34%, 07/20/29^(a)(b)			212		212,017
Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 6.54%, 10/20/31^(a)(b)			468		468,348
PFS Financing Corp.
Series 2022-D, Class A, 4.27%, 08/15/27^(a)			706		703,767
Series 2023-A, Class A, 5.80%, 03/15/28^(a)			1,030		1,050,101
Series 2023-C, Class A, 5.52%, 10/15/28^(a)			432		442,850
Series 2024-D, Class A, 5.34%, 04/15/29^(a)			115		118,017
Pikes Peak CLO 8, Series 2021-8A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.29%, 07/20/34^(a)(b)			250		251,096
Prodigy Finance DAC, Series 2021-1A, Class A, (1- mo. CME Term SOFR + 1.36%), 6.22%, 07/25/51^(a)(b)			46		45,440
Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40^(a)			496		456,074
Regional Management Issuance Trust
Series 2021-1, Class A, 1.68%, 03/17/31^(a)			50		48,971
Series 2022-2B, Class A, 7.10%, 11/17/32^(a)			140		140,443
Series 2024-1, Class A, 5.83%, 07/15/36^(a)			103		106,601
Santander Drive Auto Receivables Trust, Series 2023-5, Class A3, 6.02%, 09/15/28			896		907,528
SLM Student Loan Trust, Series 2013-4, Class A, (SOFR (30-day) + 0.66%), 5.95%, 06/25/43^(b)			124		122,299
SMB Private Education Loan Trust
Series 2016-A, Class A2B, (1-mo. CME Term SOFR + 1.61%), 6.71%, 05/15/31^(a)(b)			18		18,125
Series 2016-B, Class A2B, (1-mo. CME Term SOFR + 1.56%), 6.66%, 02/17/32^(a)(b)			69		69,608
Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.11%, 09/15/34^(a)(b)			296		295,839
Series 2019-B, Class A2B, (1-mo. CME Term SOFR + 1.11%), 6.21%, 06/15/37^(a)(b)			515		514,746
Series 2021-A, Class A2A1, (1-mo. CME Term SOFR + 0.84%), 5.94%, 01/15/53^(a)(b)			710		701,562
Series 2021-A, Class APL, (1-mo. CME Term SOFR + 0.84%), 5.94%, 01/15/53^(a)(b)			834		824,227
Series 2022-A, Class APT, 2.85%, 11/16/54^(a)			577		539,962
Series 2022-B, Class A1A, 3.94%, 02/16/55^(a)			594		578,468


74		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
SMB Private Education Loan Trust
Series 2023-B, Class A1B, (SOFR (30-day) + 1.80%), 7.14%, 10/16/56^(a)(b)	USD		660	$	669,187
Series 2023-C, Class A1A, 5.67%, 11/15/52^(a)			146		150,788
Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 6.79%, 03/15/56^(a)(b)			733		737,320
Series 2024-C, Class A1A, 5.50%, 06/17/52^(a)			1,157		1,190,709
SoFi Personal Loan Trust
Series 2023-1A, Class A, 6.00%, 11/12/30^(a)			202		206,182
Series 2024-1A, Class A, 6.06%, 02/12/31^(a)			342		348,205
SoFi Professional Loan Program Trust
Series 2020-A, Class A2FX, 2.54%, 05/15/46^(a)			160		152,086
Series 2020-C, Class AFX, 1.95%, 02/15/46^(a)			223		208,666
Toyota Auto Loan Extended Note Trust
Series 2023-1A, Class A, 4.93%, 06/25/36^(a)			1,000		1,025,221
Series 2024-1A, Class A, 5.16%, 11/25/36^(a)			1,617		1,681,216
Toyota Auto Receivables Owner Trust
Series 2022-B, Class A3, 2.93%, 09/15/26			678		672,490
Series 2022-B, Class A4, 3.11%, 08/16/27			573		563,318
Series 2023-C, Class A3, 5.16%, 04/17/28			340		344,142
Verizon Master Trust
Series 2024-1, Class A1A, 5.00%, 12/20/28			3,133		3,156,481
Series 2024-2, Class A, 4.83%, 12/22/31^(a)			266		271,989
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/26			295		291,751
WF Card Issuance Trust, Series 2024-A1, Class A, 4.94%, 02/15/29			1,902		1,941,929
Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.32%), 6.66%, 07/24/36^(a)(b)			410		410,697
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3-mo. CME Term SOFR + 1.48%), 6.77%, 10/24/34^(a)(b)			400		400,671


Total Asset-Backed Securities — 26.4% (Cost: $103,060,581)					103,405,683


Corporate Bonds

Aerospace & Defense — 2.0%
BAE Systems PLC, 5.00%, 03/26/27^(a)			425		431,864
Boeing Co. (The), 2.20%, 02/04/26			1,400		1,348,185
L3Harris Technologies, Inc.
5.40%, 01/15/27			569		584,005
4.40%, 06/15/28			218		218,913
5.05%, 06/01/29			850		875,490
Lockheed Martin Corp., 4.50%, 02/15/29			585		595,670
Northrop Grumman Corp.
3.20%, 02/01/27			275		269,506
3.25%, 01/15/28			810		787,117
RTX Corp.
2.65%, 11/01/26			38		36,894
5.75%, 11/08/26			1,465		1,510,311
3.50%, 03/15/27			470		463,160
3.13%, 05/04/27			770		751,323

					7,872,438
Automobiles — 0.3%
BMW U.S. Capital LLC, 4.65%, 08/13/29^(a)			475		478,496
Nissan Motor Acceptance Co. LLC, 7.05%, 09/15/28^(a)			149		157,850


Security		Par (000)		Value

Automobiles (continued)
Traton Finance Luxembourg SA
4.13%, 11/22/25^(e)	EUR		100	$	112,173
3.75%, 03/27/27^(e)			300		338,014

					1,086,533
Banks — 7.5%
Banco de Sabadell SA, 4.00%, 01/15/30^(e)			100		115,276
Bank of America Corp.
1.53%, 12/06/25	USD		1,188		1,179,648
1.32%, 06/19/26			2,942		2,869,528
2.55%, 02/04/28			415		398,725
3.42%, 12/20/28			1,045		1,016,579
5.82%, 09/15/29			1,336		1,405,985
Barclays PLC, 5.69%, 03/12/30			590		613,746
Citibank N.A., 4.93%, 08/06/26			260		263,831
Citigroup, Inc.
3.11%, 04/08/26			507		502,003
3.40%, 05/01/26			1,109		1,094,422
5.61%, 09/29/26			233		235,020
3.20%, 10/21/26			1,190		1,165,575
5.17%, 02/13/30			370		380,079
4.54%, 09/19/30			525		525,609
Goldman Sachs Bank U.S.A., 5.41%, 05/21/27			108		109,748
JPMorgan Chase & Co.
2.08%, 04/22/26			1,040		1,023,405
3.96%, 01/29/27			97		96,445
1.58%, 04/22/27			238		227,997
3.78%, 02/01/28			149		147,373
5.57%, 04/22/28			585		603,175
4.98%, 07/22/28			2,318		2,363,205
5.30%, 07/24/29			1,213		1,255,095
6.09%, 10/23/29			820		874,146
5.00%, 07/22/30			1,590		1,634,879
KBC Group NV, 4.25%, 11/28/29^(e)	EUR		200		232,126
Morgan Stanley Bank N.A.
4.95%, 01/14/28	USD		1,390		1,410,963
4.97%, 07/14/28			765		780,523
NatWest Group PLC, 7.47%, 11/10/26			433		445,750
Royal Bank of Canada
4.88%, 01/12/26			302		304,902
4.95%, 02/01/29			50		51,562
Sumitomo Mitsui Financial Group, Inc., 1.90%, 09/17/28			464		423,846
Truist Financial Corp. 6.05%, 06/08/27			667		684,437
5.44%, 01/24/30			275		284,642
U.S. Bancorp, 5.38%, 01/23/30			285		295,975
Wells Fargo & Co. 5.71%, 04/22/28			230		237,496
3.58%, 05/22/28			440		431,468
5.57%, 07/25/29			1,807		1,880,011
6.30%, 10/23/29			325		347,735
5.20%, 01/23/30			260		268,038
Westpac Banking Corp., 4.18%, 05/22/28^(a)			1,205		1,215,770

					29,396,738
Biotechnology — 0.4%
AbbVie, Inc., 4.80%, 03/15/29			505		519,724
Amgen, Inc. 2.60%, 08/19/26			815		792,426
4.05%, 08/18/29			435		431,946

					1,744,096


S C H E D U L E S O F I N V E S T M E N T S		75

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Capital Markets — 3.6%
Blue Owl Credit Income Corp., 6.60%, 09/15/29^(a)	USD		150	$	153,881
Charles Schwab Corp. (The), 5.88%, 08/24/26			547		562,819
Goldman Sachs Group, Inc. (The) 3.85%, 01/26/27			1,830		1,814,204
1.95%, 10/21/27			1,748		1,666,392
2.64%, 02/24/28			565		543,071
3.69%, 06/05/28			682		671,204
5.05%, 07/23/30			1,922		1,972,117
Jefferies GmbH, (1-day ESTRON + 0.80%), 4.39%, 07/22/26^(b)(e)	EUR		500		556,005
Morgan Stanley 1.16%, 10/21/25	USD		504		502,976
1.51%, 07/20/27			332		315,721
5.66%, 04/18/30			1,725		1,814,554
5.04%, 07/19/30			1,745		1,793,208
UBS AG, 5.00%, 07/09/27			491		501,769
UBS Group AG 4.70%, 08/05/27^(a)			1,100		1,102,851
0.25%, 11/05/28^(e)	EUR		294		300,158


					14,270,930

Communications Equipment — 0.1%
Motorola Solutions, Inc., 2.30%, 11/15/30	USD		410		361,733


Consumer Finance — 1.6%
American Express Co. 2.55%, 03/04/27			772		745,281
5.04%, 07/26/28			120		122,608
Capital One Financial Corp. 3.30%, 10/30/24			258		258,000
4.99%, 07/24/26			300		300,020
6.31%, 06/08/29			343		361,298
Ford Motor Credit Co. LLC 6.95%, 06/10/26			669		688,685
5.80%, 03/05/27			455		463,315
4.95%, 05/28/27			215		214,473
7.35%, 11/04/27			670		711,419
General Motors Financial Co., Inc. 6.05%, 10/10/25			500		506,138
2.35%, 02/26/27			340		323,663
5.55%, 07/15/29			475		489,822
Toyota Motor Credit Corp. 4.55%, 09/20/27			1,090		1,107,542
4.55%, 08/09/29			80		81,285


					6,373,549

Containers & Packaging — 0.0%
Sonoco Products Co., 2.25%, 02/01/27			121		115,341


Diversified REITs — 2.9%
American Tower Corp. 3.38%, 10/15/26			1,336		1,312,836
3.65%, 03/15/27			531		522,880
3.55%, 07/15/27			516		505,247
Crown Castle, Inc. 1.05%, 07/15/26			618		582,926
5.00%, 01/11/28			153		155,681
Equinix, Inc. 1.45%, 05/15/26			125		119,414
2.90%, 11/18/26			672		654,077
1.80%, 07/15/27			1,027		963,014
1.55%, 03/15/28			513		467,960
GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26			1,440		1,445,833


Security		Par (000)		Value

Diversified REITs (continued)
VICI Properties LP 4.38%, 05/15/25	USD		2,479	$	2,465,292
4.75%, 02/15/28			324		325,251
VICI Properties LP/VICI Note Co., Inc. 4.63%, 06/15/25^(a)			538		534,715
4.25%, 12/01/26^(a)			500		495,137
4.63%, 12/01/29^(a)			730		716,123


					11,266,386

Diversified Telecommunication Services — 0.5%
AT&T Inc., 1.65%, 02/01/28			710		654,517
British Telecommunications PLC, 4.25%, 01/06/33^(e)	EUR		100		118,289
NTT Finance Corp. 4.37%, 07/27/27^(a)	USD		275		276,003
1.59%, 04/03/28^(a)			200		182,620
Verizon Communications, Inc. 4.33%, 09/21/28			565		568,064
4.02%, 12/03/29			100		98,542


					1,898,035

Electric Utilities — 2.0%
AEP Texas, Inc. 3.95%, 06/01/28			110		108,553
5.45%, 05/15/29			630		657,108
Duke Energy Corp. 2.65%, 09/01/26			409		397,702
4.85%, 01/05/29			1,089		1,111,124
Edison International 3.55%, 11/15/24			123		122,701
4.70%, 08/15/25			380		379,065
Eversource Energy 4.75%, 05/15/26			285		286,609
2.90%, 03/01/27			353		341,591
5.45%, 03/01/28			245		254,002
Exelon Corp. 5.15%, 03/15/28			169		173,660
5.15%, 03/15/29			270		279,742
FirstEnergy Corp., Series B, 3.90%, 07/15/27			230		227,611
FirstEnergy Transmission LLC, 4.55%, 01/15/30^(a)			175		176,538
NextEra Energy Capital Holdings, Inc. 1.88%, 01/15/27			550		522,326
1.90%, 06/15/28			112		103,276
Pacific Gas & Electric Co. 3.45%, 07/01/25			255		252,061
(3-mo. SOFR Index + 0.95%), 5.91%, 09/04/25^(b)			720		720,224
San Diego Gas & Electric Co., 4.95%, 08/15/28			138		141,801
Southern California Edison Co., 5.65%, 10/01/28			110		115,592
Southern Co. (The), 5.50%, 03/15/29			810		849,634
Texas Electric Market Stabilization Funding N LLC, Series A-1, 4.27%, 08/01/34^(a)			296		295,617
Virginia Electric & Power Co., Series A, 3.80%, 04/01/28			293		290,228


					7,806,765

Financial Services — 0.6%
Fidelity National Information Services, Inc. 1.15%, 03/01/26			349		333,600
1.65%, 03/01/28			225		205,776
Glencore Funding LLC 6.13%, 10/06/28^(a)			423		448,187
5.37%, 04/04/29^(a)			700		723,606


76		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Financial Services (continued)
TER Finance Jersey Ltd., Series 22, 0.00%, 10/02/25^(a)(f)	USD		580	$	546,735
Worldline SA, 4.13%, 09/12/28^(e)	EUR		200		216,908


					2,474,812

Food Products — 0.0%
General Mills, Inc., 5.24%, 11/18/25	USD		109		109,032


Ground Transportation — 0.9%
Canadian Pacific Railway Co. 1.35%, 12/02/24			1,398		1,388,997
4.00%, 06/01/28			114		113,412
Norfolk Southern Corp., 2.90%, 06/15/26			1,210		1,185,269
Ryder System, Inc., 2.85%, 03/01/27			370		357,763
Uber Technologies, Inc., 4.30%, 01/15/30			410		408,545


					3,453,986

Health Care Equipment & Supplies — 0.2%
Edwards Lifesciences Corp., 4.30%, 06/15/28			340		339,809
Sartorius Finance BV, 4.25%, 09/14/26^(e)	EUR		300		341,475


					681,284

Health Care Providers & Services — 1.0%
Elevance Health, Inc., 5.15%, 06/15/29	USD		475		492,846
HCA, Inc. 5.25%, 06/15/26			590		594,343
5.38%, 09/01/26			1,022		1,033,065
5.63%, 09/01/28			740		768,296
4.13%, 06/15/29			420		413,418
Humana, Inc., 5.75%, 12/01/28			610		641,635
PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25			114		109,732


					4,053,335

Health Care REITs — 0.0%
Healthpeak OP LLC, 1.35%, 02/01/27			100		93,531


Hotels, Restaurants & Leisure — 0.2%
Las Vegas Sands Corp. 2.90%, 06/25/25			159		156,232
5.90%, 06/01/27			280		287,535
6.00%, 08/15/29			185		192,253


					636,020

Household Durables — 0.1%
DR Horton, Inc., 1.30%, 10/15/26			245		231,777


Industrial Conglomerates — 0.1%
John Deere Capital Corp., 2.80%, 09/08/27			473		458,010


Insurance — 0.0%
Aon North America, Inc., 5.15%, 03/01/29			157		162,177


IT Services — 0.1%
Global Payments, Inc., 1.20%, 03/01/26			282		269,508


Media — 0.7%
Charter Communications Operating LLC/Charter Communications Operating Capital 6.15%, 11/10/26			65		66,807
4.20%, 03/15/28			813		790,439
2.25%, 01/15/29			332		295,598
Comcast Corp. 3.15%, 03/01/26			450		443,780
3.15%, 02/15/28			645		626,381
Informa PLC, 2.13%, 10/06/25^(e)	EUR		437		480,802


					2,703,807


Security		Par (000)		Value

Metals & Mining — 0.1%
Anglo American Capital PLC, 3.75%, 06/15/29^(e)	EUR		380	$	428,784


Multi-Utilities — 0.2%
Engie SA, 3.63%, 12/06/26^(e)			300		339,552
National Grid North America, Inc., 4.15%, 09/12/27^(e)			290		333,324
Sempra, 3.30%, 04/01/25	USD		148		146,726


					819,602

Oil, Gas & Consumable Fuels — 3.0%
BP Capital Markets America, Inc., 3.94%, 09/21/28			435		432,395
Cheniere Energy Partners LP, 4.50%, 10/01/29			256		252,500
Diamondback Energy, Inc.
5.20%, 04/18/27			482		491,927
3.50%, 12/01/29			493		468,895
5.15%, 01/30/30			480		492,466
Enbridge, Inc., 5.25%, 04/05/27			330		337,876
Energy Transfer LP
4.20%, 04/15/27			126		125,582
5.50%, 06/01/27			735		753,795
6.10%, 12/01/28			827		879,567
Eni SpA, 3.63%, 05/19/27^(e)	EUR		240		272,416
EQT Corp.
3.90%, 10/01/27	USD		382		375,387
7.00%, 02/01/30			29		31,663
Marathon Petroleum Corp., 4.70%, 05/01/25			235		234,701
MPLX LP, 1.75%, 03/01/26			886		853,235
Occidental Petroleum Corp., 5.00%, 08/01/27			520		527,156
ONEOK, Inc.
5.55%, 11/01/26			490		501,104
5.65%, 11/01/28			412		430,615
Sabine Pass Liquefaction LLC
5.63%, 03/01/25			549		549,505
5.88%, 06/30/26			1,198		1,217,570
5.00%, 03/15/27			101		102,311
4.20%, 03/15/28			517		514,272
Targa Resources Corp., 5.20%, 07/01/27			527		539,075
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.50%, 03/01/30			1,200		1,221,958
Wintershall Dea Finance BV, 10/03/29^(d)(e)	EUR		200		223,462


					11,829,433

Passenger Airlines — 0.3%
Delta Air Lines, Inc., 7.00%, 05/01/25^(a)	USD		970		980,218


Pharmaceuticals — 0.3%
Bayer AG
4.00%, 08/26/26^(e)	EUR		280		318,187
0.75%, 01/06/27^(e)			200		211,476
Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/28	USD		309		313,584
Pfizer, Inc., 3.00%, 12/15/26			313		307,036


					1,150,283

Retail REITs — 0.1%
Realty Income Corp., 3.25%, 06/15/29			258		246,241


Semiconductors & Semiconductor Equipment — 0.4%
Broadcom, Inc., 5.05%, 07/12/27			367		375,091
Microchip Technology, Inc., 5.05%, 03/15/29			445		456,987
NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.70%, 05/01/25			655		645,509


					1,477,587

Software — 0.7%
Oracle Corp.
2.65%, 07/15/26			408		396,529


S C H E D U L E S O F I N V E S T M E N T S		77

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Software (continued)
Oracle Corp.
3.25%, 11/15/27	USD		738	$	718,445
4.20%, 09/27/29			362		361,268
VMware LLC, 1.40%, 08/15/26			1,087		1,029,806
Workday, Inc., 3.50%, 04/01/27			278		273,516


					2,779,564

Specialty Retail — 0.1%
Home Depot, Inc. (The), 4.75%, 06/25/29			75		77,304
Lowe’s Cos., Inc., 2.50%, 04/15/26			275		268,610


					345,914

Technology Hardware, Storage & Peripherals — 0.1%
Dell International LLC/EMC Corp., 5.25%, 02/01/28			210		216,938


Tobacco — 0.8%
Altria Group, Inc.
6.20%, 11/01/28			879		935,773
4.80%, 02/14/29			540		546,705
BAT Capital Corp.
3.56%, 08/15/27			199		194,931
2.26%, 03/25/28			488		454,036
BAT International Finance PLC
4.45%, 03/16/28			277		277,187
5.93%, 02/02/29			692		730,920


					3,139,552

Trading Companies & Distributors — 0.0%
IMCD NV, 3.63%, 04/30/30^(e)	EUR		120		133,887


Wireless Telecommunication Services — 1.3%
Rogers Communications, Inc.
2.90%, 11/15/26	USD		60		58,321
3.20%, 03/15/27			825		803,193
5.00%, 02/15/29			435		443,918
Sprint LLC, 7.63%, 03/01/26			474		489,618
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 4.74%, 03/20/25^(a)			50		49,869
T-Mobile U.S.A., Inc.
1.50%, 02/15/26			260		250,026
2.63%, 04/15/26			981		956,009
3.75%, 04/15/27			147		145,234
4.75%, 02/01/28			750		750,747
2.05%, 02/15/28			1,078		1,004,229


					4,951,164


Total Corporate Bonds — 32.2% (Cost: $123,626,337)					126,018,990


Foreign Government Obligations

Canada — 0.3%
Ontario Teachers’ Finance Trust, 4.25%, 04/25/28^(a)			965		977,535


Uruguay — 0.0%
Oriental Republic of Uruguay, 4.38%, 01/23/31			0^(g)		3


Total Foreign Government Obligations — 0.3% (Cost: $964,217)					977,538


Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 3.0%
Angel Oak Mortgage Trust
Series 2020-2, Class A1A, 2.53%, 01/26/65^(a)(b)			123		115,428
Series 2022-2, Class A1, 3.35%, 01/25/67^(a)(b)			272		258,497


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Angel Oak Mortgage Trust
Series 2023-6, Class A1, 6.50%, 12/25/67^(a)(c)	USD		172	$	174,463
Arroyo Mortgage Trust, Series 2022-2, Class A1, 4.95%, 07/25/57^(a)(c)			235		234,149
Barclays Mortgage Loan Trust, Series 2024-NQM1, Class A1, 5.90%, 01/25/64^(a)(c)			420		423,624
BRAVO Residential Funding Trust, Series 2023- NQM6, Class A1, 6.60%, 09/25/63^(a)(c)			379		384,397
Chase Home Lending Mortgage Trust, Series 2019- ATR2, Class A3, 3.50%, 07/25/49^(a)(b)			135		124,672
COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 02/25/67^(a)(b)			116		113,088
Credit Suisse Mortgage Capital Trust, Series 2022- ATH1, Class A1A, 2.87%, 01/25/67^(a)(b)			250		238,781
Flagstar Mortgage Trust
Series 2020-1INV, Class A11, (1-mo. CME Term SOFR + 0.96%), 5.82%, 03/25/50^(a)(b)			394		372,405
Series 2021-12, Class A19, 5.00%, 11/25/51^(a)(b)			612		612,752
GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/66^(a)(b)			200		184,995
GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2, Class A4, 2.50%, 06/25/52^(a)(b)			490		411,875
Homeward Opportunities Fund I Trust, Series 2022-1, Class A1, 5.08%, 07/25/67^(a)(c)			172		171,284
JPMorgan Mortgage Trust
Series 2014-2, Class 1A1, 3.00%, 06/25/29^(a)(b)			163		159,135
Series 2021-7, Class A3, 2.50%, 11/25/51^(a)(b)			418		352,141
Series 2022-INV3, Class A3B, 3.00%, 09/25/52^(a)(b)			347		303,429
Series 2023-DSC1, Class A1, 4.63%, 07/25/63^(a)(b)			361		354,132
Series 2024-2, Class A3, 6.00%, 08/25/54^(a)(b)			139		140,038
Mello Mortgage Capital Acceptance, Series 2022- INV2, Class A3, 3.00%, 04/25/52^(a)(b)			407		357,497
MFA Trust
Series 2021-INV2, Class A1, 1.91%, 11/25/56^(a)(b)			255		224,642
Series 2023-INV2, Class A1, 6.78%, 10/25/58^(a)(c)			148		151,173
Series 2023-NQM3, Class A1, 6.62%, 07/25/68^(a)(c)			401		406,245
Mill City Mortgage Loan Trust, Series 2017-3, Class A1, 2.75%, 01/25/61^(a)(b)			71		70,342
New Residential Mortgage Loan Trust, Series 2020- 1A, Class A1B, 3.50%, 10/25/59^(a)(b)			288		272,731
OBX Trust
Series 2020-EXP3, Class 2A1B, (1-mo. CME Term SOFR + 1.01%), 5.87%, 01/25/60^(a)(b)			695		697,095
Series 2022-INV3, Class A1, 3.00%, 02/25/52^(a)(b)			183		159,969
Series 2023-NQM6, Class A1, 6.52%, 07/25/63^(a)(c)			472		480,145
Preston Ridge Partners Mortgage LLC, Series 2024- RCF1, Class A1, 4.00%, 01/25/54^(a)(c)			98		96,109
Preston Ridge Partners Mortgage Trust, Series 2024- NQM2, Class A1, 6.33%, 06/25/69^(a)(c)			107		109,045
PRKCM Trust
Series 2021-AFC2, Class A1, 2.07%, 11/25/56^(a)(b)			309		272,684
Series 2023-AFC3, Class A1, 6.58%, 09/25/58^(a)(c)			423		428,933
RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52^(a)(b)			420		367,794
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62^(a)(c)			138		137,946
Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/65^(a)(b)			128		123,753


78		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Towd Point Mortgage Trust
Series 2015-1, Class A5, 4.72%, 10/25/53^(a)(b)	USD		467	$	464,125
Series 2018-1, Class A1, 3.00%, 01/25/58^(a)(b)			186		182,275
Series 2018-2, Class A1, 3.25%, 03/25/58^(a)(b)			519		508,251
Series 2018-6, Class A1A, 3.75%, 03/25/58^(a)(b)			493		486,448
Verus Securitization Trust
Series 2022-1, Class A1, 2.72%, 01/25/67^(a)(c)			141		131,222
Series 2022-2, Class A1, 4.26%, 02/25/67^(a)(c)			227		220,019
Series 2022-3, Class A1, 4.13%, 02/25/67^(a)(c)			334		321,727


					11,799,455

Commercial Mortgage-Backed Securities — 6.2%
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.30%, 09/15/34^(a)(b)			600		585,047
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 6.36%, 04/15/34^(a)(b)			420		380,100
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class ASB, 2.58%, 05/15/53^(a)			500		474,615
BANK, Series 2024-BNK48, Class A5, 09/15/34^(d)			330		339,882
BANK5, Series 2024-5YR8, Class A3, 5.88%, 08/15/57			220		232,193
Barclays Commercial Mortgage Trust
Series 2019-C3, Class B, 4.10%, 05/15/52			400		373,550
Series 2019-C5, Class ASB, 2.99%, 11/15/52			250		243,234
BBCMS Mortgage Trust
Series 2024-5C29, Class A3, 5.21%, 09/15/57			640		657,769
Series 2024-C26, Class A5, 5.83%, 05/15/57			260		283,458
Benchmark Mortgage Trust, Series 2022-B34, Class AM, 3.96%, 04/15/55^(b)			265		240,514
BFLD Mortgage Trust, Series 2024-WRHS, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 08/15/26^(a)(b)			300		299,813
BMO Mortgage Trust, Series 2024-5C6, Class A3, 5.32%, 09/15/57			330		339,739
BSST Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 5.96%, 04/15/36^(a)(b)			964		955,132
BX Commercial Mortgage Trust
Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.11%, 02/15/39^(a)(b)			228		226,489
Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 12/09/40^(a)(b)			372		372,966
Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 08/15/39^(a)(b)			450		450,563
Series 2024-AIRC, Class B, (1-mo. CME Term SOFR + 2.14%), 7.24%, 08/15/39^(a)(b)			330		330,413
Series 2024-MF, Class B, (1-mo. CME Term SOFR + 1.69%), 6.79%, 02/15/39^(a)(b)			124		123,692
BX Trust
Series 2022-IND, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 04/15/37^(a)(b)			651		650,884
Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 05/15/38^(a)(b)			460		461,725
Series 2024-BIO, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 02/15/41^(a)(b)			626		622,870
Series 2024-CNYN, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 04/15/41^(a)(b)			131		130,534
Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/41^(a)(b)			250		250,781
Series 2024-PAT, Class B, (1-mo. CME Term SOFR + 3.04%), 8.14%, 03/15/41^(a)(b)			100		100,188


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Trust
Series 2024-VLT4, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 07/15/29^(a)(b)	USD		495	$	495,000
CALI Mortgage Trust, Series 2024-SUN, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 07/15/41^(a)(b)			260		260,163
CD Mortgage Trust
Series 2016-CD2, Class A4, 3.53%, 11/10/49^(b)			520		499,828
Series 2017-CD5, Class A4, 3.43%, 08/15/50			525		507,895
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.72%, 09/15/38^(a)(b)			450		450,844
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3, 3.22%, 11/10/49^(b)			820		794,633
Citigroup Commercial Mortgage Trust, Series 2018- B2, Class A4, 4.01%, 03/10/51			535		527,047
COAST Commercial Mortgage Trust, Series 2023- 2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.69%, 08/15/36^(a)(b)			300		299,625
Commercial Mortgage Trust
Series 2013-CR8, Class B, 3.64%, 06/10/46^(a)(b)			73		72,841
Series 2015-CR24, Class B, 4.50%, 08/10/48^(b)			500		482,559
Series 2015-LC23, Class A4, 3.77%, 10/10/48			550		542,703
CONE Trust, Series 2024-DFW1, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 08/15/41^(a)(b)			190		190,000
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.76%, 09/15/52			1,000		926,432
ELM Trust
Series 2024-ELM, Class A10, 5.99%, 06/10/39^(a)(b)			730		746,506
Series 2024-ELM, Class A15, 5.99%, 06/10/39^(a)(b)			730		746,506
EQT Trust, Series 2024-EXTR, Class A, 5.33%, 07/05/41^(a)(b)			450		460,691
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.72%, 04/25/48^(a)(b)			290		287,792
GS Mortgage Securities Trust
Series 2015-GC30, Class AAB, 3.12%, 05/10/50			15		14,913
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.29%, 08/15/39^(a)(b)			135		135,042
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/28^(a)(b)			410		410,769
Series 2023-FUN, Class B, (1-mo. CME Term SOFR + 2.79%), 7.89%, 03/15/28^(a)(b)			415		415,778
Series 2024-RVR, Class A, 5.37%, 08/10/29^(a)(b)			120		120,681
ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 7.34%, 10/15/39^(a)(b)			500		499,531
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class ASB, 3.04%, 10/15/48			66		65,586
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2017-JP6, Class A3, 3.11%, 07/15/50			414		402,118
Series 2019-BKWD, Class A, (1-mo. CME Term SOFR + 1.61%), 6.71%, 09/15/29^(a)(b)			93		87,530
Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.28%, 09/15/39^(a)(b)			180		180,003
Series 2022-OPO, Class D, 3.57%, 01/05/39^(a)(b)			100		76,500
KSL Commercial Mortgage Trust, Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.39%, 12/15/36^(a)(b)			200		200,500
LBA Trust, Series 2024-7IND, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 10/15/41^(a)(b)			590		589,631
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 08/15/40^(a)(b)			183		183,779


S C H E D U L E S O F I N V E S T M E N T S		79

Schedule of Investments (unaudited) (continued)

September 30, 2024

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 2016-C30, Class ASB, 2.73%, 09/15/49	USD		77	$	75,971
Morgan Stanley Capital I Trust, Series 2024-NSTB, Class A, 3.90%, 09/24/57^(a)(b)			140		135,816
OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.19%, 10/15/28^(a)(b)			97		98,413
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.28%, 05/15/37^(a)(b)			270		270,675
Wells Fargo Commercial Mortgage Trust
Series 2014-LC18, Class ASB, 3.24%, 12/15/47			0^(g)		23
Series 2015-C26, Class B, 3.78%, 02/15/48			515		507,904
Series 2015-C27, Class A5, 3.45%, 02/15/48			495		491,269
Series 2016-LC24, Class A3, 2.68%, 10/15/49			809		786,333
Series 2021-C60, Class ASB, 2.13%, 08/15/54			834		765,505


					23,931,486

Interest Only Commercial Mortgage-Backed Securities — 0.0%
Citigroup Commercial Mortgage Trust, Series 2015- P1, Class XA, 0.84%, 09/15/48^(b)			4,143		16,101
Commercial Mortgage Trust
Series 2015-CR23, Class XA, 0.95%, 05/10/48^(b)			1,527		3,618
Series 2015-LC21, Class XA, 0.75%, 07/10/48^(b)			4,011		7,259
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 2.02%, 01/15/49^(b)			587		10,694


					37,672


Total Non-Agency Mortgage-Backed Securities — 9.2% (Cost: $36,263,500)					35,768,613


U.S. Government Sponsored Agency Securities

Agency Obligations — 4.4%
Fannie Mae
0.54%, 10/27/25			4,500		4,348,870
0.74%, 08/25/27			1,000		921,048
0.81%, 09/25/28			1,000		889,637
Federal Farm Credit Banks Funding Corp.
2.25%, 08/15/29			1,000		936,398
2.17%, 10/29/29			700		649,734
1.30%, 02/03/31			770		652,647
1.68%, 09/17/35			2,080		1,601,130
Federal Home Loan Banks
0.60%, 12/30/26			1,000		931,500
2.06%, 09/27/29			1,000		923,789
2.18%, 11/06/29			700		646,317
Freddie Mac
0.60%, 09/30/25			3,000		2,900,053
0.90%, 10/13/27			2,000		1,840,889


					17,242,012

Collateralized Mortgage Obligations — 2.8%
Fannie Mae
Series 2018-21, Class CA, 3.50%, 04/25/45			72		71,368
Series 2019-73, Class P, 3.00%, 03/25/48			433		422,141
Series 2020-79, Class JA, 1.50%, 11/25/50			421		382,419
Series 2022-65, Class FB, (SOFR (30-day) + 0.80%), 6.00%, 09/25/52^(b)			3,293		3,285,171
Freddie Mac
Series 3959, Class MA, 4.50%, 11/15/41			39		39,287
Series 3986, Class M, 4.50%, 09/15/41			1		858
Series 4274, Class PN, 3.50%, 10/15/35			50		49,426
Series 4390, Class CA, 3.50%, 06/15/50			25		25,199
Series 4459, Class BN, 3.00%, 08/15/43			247		232,368


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Freddie Mac
Series 4482, Class DH, 3.00%, 06/15/42	USD		10	$	9,543
Series 4494, Class KA, 3.75%, 10/15/42			49		48,909
Series 4752, Class PL, 3.00%, 09/15/46			286		278,712
Series 4777, Class CB, 3.50%, 10/15/45			205		202,584
Series 4941, Class MB, 3.00%, 07/25/49			249		228,829
Series 5000, Class MA, 2.00%, 06/25/44			204		190,802
Series 5006, Class KA, 2.00%, 06/25/45			585		542,853
Series 5105, Class LA, 1.50%, 04/15/44			1,172		1,137,073
Series 5249, Class HA, 4.00%, 09/25/49			2,347		2,327,343
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, 08/25/57^(b)			992		964,080
Ginnie Mae
Series 2017-136, Class GB, 3.00%, 03/20/47			369		344,570
Series 2020-127, Class LP, 1.50%, 06/20/50			390		312,728


					11,096,263

Mortgage-Backed Securities — 5.4%
Fannie Mae Mortgage-Backed Securities
1.50%, 07/01/31			1,143		1,068,982
2.50%, 12/01/27 - 12/01/36			1,316		1,256,371
3.00%, 09/01/30 - 09/01/35			5,569		5,401,234
3.03%, 12/01/27			1,252		1,219,248
3.50%, 05/01/37			561		554,174
4.00%, 03/01/32 - 08/01/49			4,324		4,264,658
4.50%, 09/01/26 - 05/01/38			439		443,680
5.00%, 07/01/25 - 06/01/39			1,127		1,160,730
5.50%, 05/01/38			190		196,097
5.81%, 06/01/31			1,362		1,435,369
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.57%), 7.03%, 07/01/44^(b)			108		111,634
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.59%), 3.50%, 06/01/45^(b)			106		109,116
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.70%), 7.10%, 07/01/43^(b)			155		160,554
Freddie Mac Mortgage-Backed Securities
2.50%, 11/01/27 - 03/01/37			489		463,128
3.00%, 12/01/31 - 02/01/36			772		746,734
3.50%, 04/01/32 - 11/01/38			837		824,226
4.00%, 09/01/33 - 06/01/37			1,138		1,143,157
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 3.34%, 05/01/45^(b)			307		310,868
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 6.16%, 03/01/45^(b)			105		108,521


					20,978,481


Total U.S. Government Sponsored Agency Securities — 12.6%

(Cost: $49,896,121)					49,316,756


U.S. Treasury Obligations
U.S. Treasury Notes
5.00%, 08/31/25			3,250		3,277,168
4.63%, 02/28/26			7,109		7,187,739
4.25%, 03/15/27			26,000		26,401,172
4.50%, 04/15/27 - 05/15/27			10,835		11,072,757
3.75%, 08/15/27			6,500		6,530,976
3.63%, 09/15/27			9,760		9,710,437


Total U.S. Treasury Obligations — 16.4% (Cost: $63,255,574)					64,180,249


Total Long-Term Investments — 97.1% (Cost: $377,066,330)					379,667,829


80		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value

Short-Term Securities

Money Market Funds — 3.7%
Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%^(h)		14,562,393	$	14,562,393

Total Short-Term Securities — 3.7% (Cost: $14,562,393)				14,562,393

Total Investments — 100.8% (Cost: $391,628,723)				394,230,222

Liabilities in Excess of Other Assets — (0.8)%			(3,048,872)


Net Assets — 100.0%			$391,181,350

^(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)	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.

^(d)	When-issued security.

^(e)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

^(f)	Zero-coupon bond.

^(g⁾	Rounds to less than 1,000.

^(h)	Annualized 7-day yield as of period end.

For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.

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
Euro-Schatz		5		12/06/24	$	597	$	2,606
U.S. Treasury Notes (2 Year)		673		12/31/24		140,147		270,972
U.S. Ultra Treasury Notes (10 Year)		1		12/19/24		118		(125	)


								273,453

Short Contracts
Euro-Bobl		22		12/06/24		2,940		(19,411	)
U.S. Treasury Bonds (30 Year)		37		12/19/24		4,595		19,592
U.S. Treasury Notes (10 Year)		34		12/19/24		3,886		(13,602	)
U.S. Ultra Treasury Bonds		5		12/19/24		665		1,279
U.S. Treasury Notes (5 Year)		547		12/31/24		60,106		(41,312	)


								(53,454	)


							$	219,999

Forward Foreign Currency Exchange Contracts



Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)

USD	126,879	CAD	172,000	Royal Bank of Canada		12/18/24	$	(557	)
USD	101,609	EUR	91,000	Deutsche Bank AG		12/18/24		(12	)
USD	4,834,344	EUR	4,330,000	UBS AG		12/18/24		(1,052	)

							$	(1,621	)


S C H E D U L E S O F I N V E S T M E N T S		81

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

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.43.V1		1.00	%		Quarterly	12/20/29	USD	13,925	$ (315,580)	$	(314,809	)	$	(771	)

Centrally Cleared Interest Rate Swaps



Paid by the Fund		Received by the Fund		Effective	Termination		Notional Amount						Upfront Premium Paid		Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Date	Date			(000)		Value			(Received)		(Depreciation)

1-day TONA, 0.23%	Annual	0.37%	Annual	N/A		08/08/26	JPY		1,390,730	$	11,436		$	3,043	$	8,393
1-day TONA, 0.23%	Annual	0.39%	Annual	N/A		08/09/26	JPY		707,160		3,264			307		2,957
1-day SOFR, 4.96%	Annual	3.30%	Annual	12/02/24^(a)		05/15/34	USD		3,726		(7,018	)		—		(7,018	)

										$	7,682		$	3,350	$	4,332

^(a)

Forward Swap.

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)	$	3,350	$	(314,809	)	$	11,350	$	(7,789	)

^(a)

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)	$	—	$	—	$	—	$	—	$	294,449	$	—	$	294,449
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—		—		—		—		11,350		—		11,350

	$	—	$	—	$	—	$	—	$	305,799	$	—	$	305,799

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	74,450	$	—	$	74,450
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		1,621		—		—		1,621
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		771		—		—		7,018		—		7,789

	$	—	$	771	$	—	$	1,621	$	81,468	$	—	$	83,860

^(a)


82		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series S Portfolio

For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts		Total

Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—		$	—	$	—		$	(1,124,191	)	$	—	$	(1,124,191	)
Forward foreign currency exchange contracts		—		—			—		(48,288	)		—			—		(48,288	)
Swaps		—		(2,276	)		—		—			23,959			—		21,683

	$	—	$	(2,276	)	$	—	$	(48,288	)	$	(1,100,232	)	$	—	$	(1,150,796	)

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	—		$	613,324		$	—	$	613,324
Forward foreign currency exchange contracts		—		—			—		(45,412	)		—			—		(45,412	)
Swaps		—		16,127			—		—			7,898			—		24,025

	$	—	$	16,127		$	—	$	(45,412	)	$	621,222		$	—	$	591,937

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long	$160,497,239
Average notional value of contracts — short	$84,624,611
Forward foreign currency exchange contracts
Average amounts purchased — in USD	$4,798,889
Credit default swaps
Average notional value — buy protection	$6,962,500
Average notional value — sell protection	$6,375,000
Interest rate swaps
Average notional value — pays fixed rate	$9,161,278
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	$	293,205		$	254,850
Forward foreign currency exchange contracts		—			1,621
Swaps — centrally cleared		—			6,848

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	293,205		$	263,319

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(293,205	)		(261,698	)

Total derivative assets and liabilities subject to an MNA	$	—		$	1,621


S C H E D U L E S O F I N V E S T M E N T S		83

Schedule of Investments (unaudited) (continued)

September 30, 2024

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 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^(c)(d)

Deutsche Bank AG	$	12	$	—	$	—	$	—	$	12
Royal Bank of Canada		557		—		—		—		557
UBS AG		1,052		—		—		—		1,052

	$	1,621	$	—	$	—	$	—	$	1,621

^(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 may also include forward foreign currency exchange contracts that are not required to be collateralized.

^(d⁾

Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End



	Level 1			Level 2			Level 3		Total

Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—		$	103,405,683		$	—	$	103,405,683
Corporate Bonds		—			126,018,990			—		126,018,990
Foreign Government Obligations		—			977,538			—		977,538
Non-Agency Mortgage-Backed Securities		—			35,768,613			—		35,768,613
U.S. Government Sponsored Agency Securities		—			49,316,756			—		49,316,756
U.S. Treasury Obligations		—			64,180,249			—		64,180,249
Short-Term Securities
Money Market Funds		14,562,393			—			—		14,562,393

	$	14,562,393		$	379,667,829		$	—	$	394,230,222

Derivative Financial Instruments^(a)
Assets
Interest Rate Contracts	$	294,449		$	11,350		$	—	$	305,799
Liabilities
Credit Contracts		—			(771	)		—		(771	)
Foreign Currency Exchange Contracts		—			(1,621	)		—		(1,621	)
Interest Rate Contracts		(74,450	)		(7,018	)		—		(81,468	)

	$	219,999		$	1,940		$	—	$	221,939

^(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.


84		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited)

September 30, 2024

BATS: Series V Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Municipal Bonds

Alaska — 1.0%
Alaska Housing Finance Corp., Refunding RB, Series D, VRDN, (Federal Home Loan Bank SBPA), 3.10%, 10/07/24^(a)	USD		1,300	$	1,300,000


Colorado — 2.3%
Colorado Health Facilities Authority, RB, Series D, VRDN, 4.10%, 10/01/24^(a)			3,000		3,000,000


Connecticut — 0.6%
Connecticut Housing Finance Authority, Refunding RB, Sub- Series C-3, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(a)			725		725,000


Florida — 6.7%
County of St. Lucie Florida Power & Light Co., Refunding RB, VRDN, 3.40%, 10/07/24^(a)			400		400,000
JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(a)			2,750		2,750,000
JEA Water & Sewer System Revenue, Refunding RB, Sub- Series 2, VRDN, (JPMorgan Chase Bank NA SBPA), 3.15%, 10/07/24^(a)			2,550		2,550,000
Monroe County School District, RB, 4.00%, 05/29/25			1,570		1,584,588
Pinellas County Housing Finance Authority, RB, VRDN, (FHLMC LOC), 3.15%, 10/07/24^(a)			1,400		1,400,000


					8,684,588

Georgia — 1.7%
Private Colleges & Universities Authority, RB, Series B, VRDN, 2.90%, 10/07/24^(a)			2,130		2,130,000


Illinois — 1.4%
Illinois Finance Authority, Refunding RB, VRDN, (JPMorgan Chase Bank NA SBPA), 3.45%, 10/01/24^(a)			1,800		1,800,000


Indiana — 1.4%
Indiana Finance Authority
RB, VRDN, (Barclays Bank plc LOC), 3.05%, 10/07/24^(a)			750		750,000
Refunding RB, Series D, VRDN, (TD Bank NA LOC), 3.80%, 10/01/24^(a)			1,000		1,000,000


					1,750,000

Iowa — 0.9%
Iowa Finance Authority, RB, Series E, VRDN, (GNMA/FNMA/FHLMC COL), (Fannie Mae LIQ), (Federal Home Loan Bank SBPA), 3.15%, 10/07/24^(a)			1,100		1,100,000


Louisiana — 4.0%
Louisiana Public Facilities Authority
RB, Series C, VRDN, 4.05%, 10/01/24^(a)			3,000		3,000,000
Refunding RB, Series B-1, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 3.15%, 10/07/24^(a)			2,100		2,100,000


					5,100,000

Maryland — 3.9%
Maryland Health & Higher Educational Facilities Authority, Refunding RB, Series A, VRDN, (TD Bank NA LOC), 2.94%, 10/07/24^(a)			200		200,000
Montgomery County, GO, TECP, Series B, (State Street Bank & Trust Co. SBPA), 3.28%, 11/06/24			1,000		1,000,043
Montgomery County Housing Opportunities Commission, Refunding RB, VRDN, (FNMA COL), (TD Bank NA LOC), 3.80%, 10/01/24^(a)			3,800		3,800,000


					5,000,043


Security		Par (000)		Value

Massachusetts — 4.7%
Massachusetts Bay Transportation A, RB, TECP, (TD Bank NA SBPA), 3.20%, 11/05/24	USD		1,000	$	999,998
Massachusetts Development Finance Agency
RB, Series K2, VRDN, (Sumitomo Mitsui Banking Corp. SBPA), 3.00%, 10/07/24^(a)			900		900,000
RB, VRDN, (Wells Fargo Bank NA SBPA), 3.05%, 10/07/24^(a)			1,150		1,150,000
Massachusetts HFA, Refunding RB, Series 200, VRDN, (TD Bank NA SBPA), 3.10%, 10/07/24^(a)			1,050		1,050,000
Town of Sharon, GO, BAN, 4.50%, 02/27/25			2,000		2,016,506


					6,116,504

Michigan — 0.9%
University of Michigan, Refunding RB, Series D-1, VRDN, 3.80%, 10/01/24^(a)			1,100		1,100,000


Minnesota — 0.8%
County of Hennepin, GO, Refunding, Series B, VRDN, (TD Bank NA SBPA), 3.13%, 10/07/24^(a)			1,080		1,080,000


Mississippi — 2.0%
Mississippi Business Finance Corp.
RB, Series B, VRDN, 3.90%, 10/01/24^(a)			900		900,000
RB, Series K, VRDN, 3.75%, 10/01/24^(a)			1,700		1,700,000


					2,600,000

Nebraska — 3.5%
Lincoln Nebraska Electric, RB, TECP, (JPMorgan Chase Bank NA SBPA), 3.28%, 11/13/24			1,000		999,998
Nebraska Investment Finance Authority, RB, Series C, VRDN, (GNMA/FNMA/FHLMC), (Federal Home Loan Bank SBPA), 3.20%, 10/07/24^(a)			2,525		2,525,000
Omaha Public Power District, GO, TECP, Series A, (Bank of America NA SBPA), 3.25%, 12/16/24			1,000		999,988


					4,524,986

New Jersey — 6.4%
Borough of Pompton Lakes, GO, BAN, 4.50%, 06/06/25			1,430		1,447,911
Essex County Improvement Authority, Refunding RB, (County GTD), 5.00%, 06/18/25			2,315		2,349,175
Jersey City Municipal Utilities Authority, RB, Series B, 5.00%, 05/01/25			400		404,209
Township of Bordentown, GO, BAN, 4.50%, 04/01/25			2,000		2,018,300
Township of Egg Harbor, GO, BAN, 4.00%, 08/07/25			1,000		1,008,651
Township of Maplewood, GO, BAN, 10/07/25^(b)			1,000		1,009,035


					8,237,281

New York — 15.2%
City of New York
GO, Sub-Series 2, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24^(a)			400		400,000
GO, Sub-Series 5, VRDN, (Barclays Bank plc SBPA), 4.15%, 10/01/24^(a)			1,900		1,900,000
Lafayette Central School District, GO, Refunding, 4.50%, 06/20/25			1,000		1,014,806
Metropolitan Transportation Authority, RB, Sub-Series E-1, VRDN, (Barclays Bank plc LOC), 4.15%, 10/01/24^(a)			3,350		3,350,000
New York City Housing Development Corp., RB, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(a)			2,300		2,300,000
New York City Municipal Water Finance Authority
Refunding RB, Series 2, VRDN, (UBS AG SBPA), 3.90%, 10/01/24^(a)			2,600		2,600,000
Refunding RB, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24^(a)			100		100,000


S C H E D U L E S O F I N V E S T M E N T S		85

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series V Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

New York (continued)
New York City Transitional Finance Authority Future Tax Secured Revenue
RB, Sub-Series A-4, VRDN, (Barclays Bank plc SBPA), 4.15%, 10/01/24^(a)	USD		3,000	$	3,000,000
RB, Sub-Series C, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24^(a)			2,000		2,000,000
New York State HFA, RB, Series A, VRDN, (Fannie Mae LIQ), 3.00%, 10/07/24^(a)			900		900,000
Palmyra Macedon Central School District, GO, Refunding, BAN, 4.50%, 06/17/25			1,000		1,010,376
Schodack Central School District, GO, Refunding, BAN, 4.00%, 07/15/25			1,000		1,009,690


					19,584,872

North Carolina — 2.8%
Charlotte-Mecklenburg Hospital Authority (The), Refunding RB, Series E, VRDN, (Royal Bank of Canada LOC), 3.85%, 10/01/24^(a)			2,000		2,000,000
University of North Carolina at Chapel Hill, Refunding RB, Series B, VRDN, (TD Bank NA SBPA), 3.13%, 10/07/24^(a)			1,550		1,550,000


					3,550,000

North Dakota — 1.1%
North Dakota Housing Finance Agency, RB, Series E, VRDN, (TD Bank NA SBPA), 3.15%, 10/07/24^(a)			1,360		1,360,000


Ohio — 5.9%
Akron Bath Copley Joint Township Hospital District, RB, Series A-R, VRDN, (BMO Harris Bank NA LOC), 3.23%, 10/07/24^(a)			3,300		3,300,000
Ohio Water Development Authority, RB, TECP, (TD Bank NA SBPA), 3.18%, 12/11/24			1,000		1,000,084
Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series C, VRDN, (TD Bank NA SBPA), 3.80%, 10/01/24^(a)			3,300		3,300,000


					7,600,084

Pennsylvania — 0.9%
Allegheny County Sanitary Authority, Refunding RB, 12/01/24^(b)			415		416,039
Washington County Authority, Refunding RB, Series RF, VRDN, 3.00%, 10/07/24^(a)			750		750,000


					1,166,039

South Carolina — 2.7%
South Carolina Housing Finance & Development Authority, RB, VRDN, (Federal Home Loan Bank LOC), 3.29%, 10/07/24^(a)			1,405		1,405,000
South Carolina Jobs EDA, RB, VRDN, (Federal Home Loan Bank LOC), 3.39%, 10/07/24^(a)			2,100		2,100,000


					3,505,000

South Dakota — 0.8%
South Dakota HDA, Refunding RB, Series B, VRDN, (South Dakota HDA SBPA), 3.10%, 10/07/24^(a)			1,025		1,025,000


Tennessee — 1.7%
Metropolitan Government Nashville & Davidson County GO, 3.55%, 10/24/24			1,000		1,000,032
RB, TECP, (TD Bank NA LOC), 3.36%, 11/18/24			1,000		1,000,118
Public Building Authority of Sevier County (The), RB, Series B-1, VRDN, (County GTD), (Bank of America NA LOC), 3.17%, 10/07/24^(a)			200		200,000


					2,200,150


Security		Par (000)		Value

Texas — 15.5%
Bexar County Housing Finance Corp., RB, VRDN, (Fannie Mae LIQ), 3.15%, 10/07/24^(a)	USD		1,205	$	1,205,000
City of El Paso, Water & Sewer Revenue
RB, TECP, 3.55%, 12/09/24			900		900,161
RB, TECP, 3.50%, 12/16/24			900		900,181
Harris County Health Facilities Development Corp., Refunding RB, Series A-1, VRDN, 4.05%, 10/01/24^(a)			1,900		1,900,000
Permanent University Fund
RB, TECP, 0.00%, 01/14/25			1,000		1,000,000
RB, TECP, 3.10%, 02/13/25			1,000		1,000,178
Red River Education Finance Corp., RB, VRDN, (TD Bank NA SBPA), 3.20%, 10/07/24^(a)			4,800		4,800,000
State of Texas
GO, Series B, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24^(a)			2,245		2,245,000
GO, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24^(a)			2,315		2,315,000
Texas State University System, Refunding RB, 5.00%, 03/15/25			750		757,375
University of Texas
RB, TECP, 3.15%, 01/04/25			2,500		2,500,701
RB, TECP, Series A, 3.48%, 10/18/24			500		500,097


					20,023,693

Utah — 1.5%
County of Utah, RB, Series E, VRDN, (JPMorgan Chase Bank NA SBPA), 3.20%, 10/07/24^(a)			2,000		2,000,000


Virginia — 1.7%
Fairfax County IDA, Refunding RB, VRDN, 3.20%, 10/07/24^(a)			940		940,000
Loudoun County EDA, RB, Series B, VRDN, 2.90%, 10/07/24^(a)			1,295		1,295,000


					2,235,000

Washington — 2.9%
Washington Housing Finance Commission, Refunding RB, Series VR, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(a)			3,700		3,700,000


Wisconsin — 4.5%
State of Wisconsin, GO, Refunding, Series 2, 5.00%, 05/01/25			1,455		1,475,679
Wisconsin Health & Educational Facilities Authority, Refunding RB, Series B, VRDN, (TD Bank NA LOC), 3.80%, 10/01/24^(a)			1,000		1,000,000
Wisconsin Housing & EDA
RB, Series C, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24^(a)			1,500		1,500,000
RB, Series C, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(a)			1,390		1,390,000
RB, Series D, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 3.15%, 10/07/24^(a)			450		450,000


					5,815,679


86		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Schedule of Investments (unaudited) (continued)

September 30, 2024

BATS: Series V Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value


Wyoming — 1.5%
Wyoming Community Development Authority
RB, Series 4, VRDN, (Bank of America NA SBPA), 3.15%, 10/07/24^(a)	USD		1,800	$	1,800,000
Refunding RB, Series 2, VRDN, (GNMA/FNMA/FHLMC COL), (Barclays Bank plc SBPA), 3.05%, 10/07/24^(a)			100		100,000


					1,900,000

Total Investments — 100.9% (Cost: $129,834,062)					129,913,919
Liabilities in Excess of Other Assets — (0.9)%					(1,106,527	)


Net Assets — 100.0%				$	128,807,392

^(a)	Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

^(b)	When-issued security.

Fair Value Hierarchy as of Period End




	Level 1		Level 2		Level 3		Total


Assets
Investments
Short-Term Securities
Municipal Bonds	$	—	$	129,913,919	$	—	$	129,913,919

See notes to financial statements.


S C H E D U L E S O F I N V E S T M E N T S		87

Statements of Assets and Liabilities (unaudited)

September 30, 2024



	BATS: Series A Portfolio		BATS: Series C Portfolio		BATS: Series E Portfolio

ASSETS
Investments, at value — unaffiliated^(a)	$	2,931,182,026	$	455,886,437	$	498,540,304
Cash		—		—		16,171
Cash pledged:
Collateral — OTC derivatives		490,000		—		—
Futures contracts		—		650,000		—
Centrally cleared swaps		—		497,000		—
Foreign currency, at value^(c)		1,386		—		—
Receivables:
Investments sold		—		7,375,774		—
Swaps		—		277,625		—
TBA sale commitments		23,153,504		—		—
Capital shares sold		110,001,746		1,627,592		1,698,870
Dividends — unaffiliated		274,420		61,158		—
Interest — unaffiliated		18,422,024		4,867,927		6,125,781
From the Manager		49,200		39,443		36,791
Variation margin on futures contracts		—		159,310		—
Variation margin on centrally cleared swaps		—		38,915		—
Swap premiums paid		9,297		572,847		—
Unrealized appreciation on:
OTC swaps		25,518		51,766		—
Unfunded commitments		—		—		1,375,579
Prepaid expenses		37,015		30,919		128,330


Total assets		3,083,646,136		472,136,713		507,921,826


LIABILITIES
Cash received:
Collateral — OTC derivatives		—		460,000		—
Options written, at value^(d)		—		1,492,050		—
TBA sale commitments, at value^(e)		22,892,417		—		—
Payables:
Investments purchased		125,868,660		10,760,131		6,678,693
Accounting services fees		43,771		14,747		14,991
Capital shares redeemed		32,894		129,905		793,632
Income dividend distributions		14,653,607		1,830,551		1,704,406
Interest expense and fees		—		—		84,145
Trustees’ and Officer’s fees		3,423		1,091		297
Other accrued expenses		47,917		52,684		38,682
Printing and postage fees		12,874		9,032		8,525
Professional fees		34,683		35,851		62,719
Registration fees		—		97,244		—
Variation margin on futures contracts		—		142,426		—
Swap premiums received		144,481		255,086		—
Unrealized depreciation on:
Forward foreign currency exchange contracts		4,095		—		—
OTC swaps		149,164		15,578		—


Total accrued liabilities		163,887,986		15,296,376		9,386,090


Other Liabilities
TOB Trust Certificates		—		—		6,647,000


Total other liabilities		—		—		6,647,000


Total liabilities		163,887,986		15,296,376		16,033,090


Commitments and contingent liabilities

NET ASSETS	$	2,919,758,150	$	456,840,337	$	491,888,736


88		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Statements of Assets and Liabilities (unaudited) (continued)

September 30, 2024



	BATS: Series A Portfolio			BATS: Series C Portfolio			BATS: Series E Portfolio

NET ASSETS CONSIST OF:
Paid-in capital	$	3,065,541,363		$	510,794,448		$	507,101,575
Accumulated loss		(145,783,213	)		(53,954,111	)		(15,212,839	)


NET ASSETS	$	2,919,758,150		$	456,840,337		$	491,888,736


NET ASSET VALUE
Shares outstanding		306,173,044			49,061,704			47,012,769


Net asset value	$	9.54		$	9.31		$	10.46


Shares authorized		Unlimited			Unlimited			Unlimited


Par value	$	0.001		$	0.001		$	0.001


^(a)Investments, at cost — unaffiliated	$	3,013,509,140		$	449,833,454		$	499,997,419
^(c)Foreign currency, at cost	$	1,385		$	—		$	—
^(d)Premiums received	$	—		$	1,487,417		$	—
^(e)Proceeds from TBA sale commitments	$	23,153,504		$	—		$	—

See notes to financial statements.


S T A T E M E N T S O F A S S E T S A N D L I A B I L I T I E S		89

Statements of Assets and Liabilities (unaudited) (continued)

September 30, 2024



	BATS: Series M Portfolio			BATS: Series P Portfolio			BATS: Series S Portfolio

ASSETS
Investments, at value — unaffiliated^(a)	$	1,669,205,842		$	—		$	394,230,222
Investments, at value — affiliated^(b)		—			1,195,113			—
Cash		—			2,870,492			—
Cash pledged:
Collateral — OTC derivatives		760,000			—			—
Futures contracts		335,000			102,190			1,062,000
Centrally cleared swaps		1,000			—			391,000
Foreign currency, at value^(c)		—			—			221,337
Receivables:
Investments sold		816,286			—			3,959,236
TBA sale commitments		349,902,401			—			—
Capital shares sold		1,885,672			—			587,391
Dividends — unaffiliated		38,580			—			38,552
Dividends — affiliated		—			5,063			—
Interest — unaffiliated		4,644,726			—			2,249,970
From the Manager		47,935			12,225			34,676
Variation margin on futures contracts		124,444			21,903			293,205
Variation margin on centrally cleared swaps		—			95			—
Swap premiums paid		354,506			—			—
Unrealized appreciation on OTC swaps		1,051,805			—			—
Prepaid expenses		39,026			7,152			27,602


Total assets		2,029,207,223			4,214,233			403,095,191


LIABILITIES
Cash received:
Collateral — OTC derivatives		820,000			—			—
Collateral — TBA commitments		56,000			—			—
TBA sale commitments, at value^(e)		348,945,138			—			—
Payables:
Investments purchased		439,056,586			—			9,520,986
Accounting services fees		24,260			8,553			14,105
Capital shares redeemed		423,196			—			358,500
Income dividend distributions		4,056,900			—			1,473,137
Trustees’ and Officer’s fees		3,375			150			1,359
Other accrued expenses		70,421			6,952			50,762
Printing and postage fees		9,105			8,477			8,987
Professional fees		33,417			27,160			35,919
Registration fees		251,201			5,440			186,767
Variation margin on futures contracts		83,524			1,469			254,850
Variation margin on centrally cleared swaps		9			—			6,848
Swap premiums received		527,623			—			—
Unrealized depreciation on:
Forward foreign currency exchange contracts		—			—			1,621
OTC swaps		878,688			—			—


Total liabilities		795,239,443			58,201			11,913,841


Commitments and contingent liabilities

NET ASSETS	$	1,233,967,780		$	4,156,032		$	391,181,350


NET ASSETS CONSIST OF:
Paid-in capital	$	1,383,027,199		$	29,600,559		$	413,136,372
Accumulated loss		(149,059,419	)		(25,444,527	)		(21,955,022	)


NET ASSETS	$	1,233,967,780		$	4,156,032		$	391,181,350


90		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Statements of Assets and Liabilities (unaudited) (continued)

September 30, 2024


	BATS: Series M Portfolio		BATS: Series P Portfolio		BATS: Series S Portfolio

NET ASSET VALUE
Shares outstanding		143,499,121		399,425		42,179,802


Net asset value	$	8.60	$	10.41	$	9.27


Shares authorized		Unlimited		Unlimited		Unlimited


Par value	$	0.001	$	0.001	$	0.001


^(a)Investments, at cost — unaffiliated	$	1,717,006,131	$	—	$	391,628,723

^(b)Investments, at cost — affiliated	$	—	$	1,190,819	$	—

^(c)Foreign currency, at cost	$	—	$	—	$	221,018

^(e)Proceeds from TBA sale commitments	$	349,902,401	$	—	$	—

See notes to financial statements.


S T A T E M E N T S O F A S S E T S A N D L I A B I L I T I E S		91

Statements of Assets and Liabilities (unaudited) (continued)

September 30, 2024


	BATS: Series V Portfolio

ASSETS
Investments, at value — unaffiliated^(a)	$	129,913,919
Cash		68,533
Receivables:
Capital shares sold		465,660
Interest — unaffiliated		567,668
From the Manager		17,836
Prepaid expenses		23,466


Total assets		131,057,082


LIABILITIES
Payables:
Investments purchased		1,425,634
Accounting services fees		10,919
Capital shares redeemed		402,180
Income dividend distributions		359,707
Other accrued expenses		8,175
Printing and postage fees		7,425
Professional fees		35,650


Total liabilities		2,249,690


Commitments and contingent liabilities

NET ASSETS	$	128,807,392


NET ASSETS CONSIST OF:
Paid-in capital	$	128,726,570
Accumulated earnings		80,822


NET ASSETS	$	128,807,392


NET ASSET VALUE
Shares outstanding		12,885,435


Net asset value	$	10.00


Shares authorized		Unlimited


Par value	$	0.001


^(a)Investments, at cost — unaffiliated	$	129,834,062

See notes to financial statements.


92		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Statements of Operations (unaudited)

Six Months Ended September 30, 2024


	BATS: Series A Portfolio			BATS: Series C Portfolio			BATS: Series E Portfolio

INVESTMENT INCOME
Dividends — unaffiliated	$	2,082,711		$	267,194		$	593,474
Interest — unaffiliated		87,432,533			11,018,472			10,039,458
Other income		95,732			18,058			7,610


Total investment income		89,610,976			11,303,724			10,640,542


EXPENSES
Accounting services		84,776			29,097			29,372
Professional		50,379			34,464			96,780
Pricing		34,387			37,369			30,765
Custodian		24,050			15,092			2,518
Trustees and Officer		22,070			4,681			4,253
Registration		18,411			18,989			23,819
Transfer agent		15,551			77,048			15,329
Printing and postage		6,312			5,215			4,476
Miscellaneous		38,182			8,022			15,502


Total expenses excluding interest expense and interest expense		294,118			229,977			222,814
Interest expense		62,591			651			1
Interest expense and fees^(a)		—			—			137,951


Total expenses		356,709			230,628			360,766
Less:
Fees waived and/or reimbursed by the Manager		(289,483	)		(227,843	)		(222,756	)


Total expenses after fees waived and/or reimbursed		67,226			2,785			138,010


Net investment income		89,543,750			11,300,939			10,502,532


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(2,296,003	)		(3,055,295	)		(1,308,019	)
Options written		—			535,486			—
Futures contracts		—			(1,622,073	)		—
Forward foreign currency exchange contracts		(171,327	)		—			—
Foreign currency transactions		21,646			—			—
Swaps		(125,636	)		(663,952	)		—


	$	(2,571,320	)	$	(4,805,834	)	$	(1,308,019	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		41,785,203			16,923,523			16,412,962
Options written		—			(4,633	)		—
Futures contracts		—			90,340			—
Forward foreign currency exchange contracts		(137,800	)		—			—
Foreign currency translations		1			—			—
Swaps		139,614			220,560			—
Unfunded commitments		—			—			(2,069,652	)


		41,787,018			17,229,790			14,343,310


Net realized and unrealized gain		39,215,698			12,423,956			13,035,291


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	128,759,448		$	23,724,895		$	23,537,823

^(a)	Related to TOB Trusts.

See notes to financial statements.


S T A T E M E N T S O F O P E R A T I O N S		93

Statements of Operations (unaudited) (continued)

Six Months Ended September 30, 2024


	BATS: Series M Portfolio			BATS: Series P Portfolio			BATS: Series S Portfolio

INVESTMENT INCOME
Dividends — unaffiliated	$	225,314		$	—		$	158,949
Dividends — affiliated		—			31,395			—
Interest — unaffiliated		25,512,350			—			8,950,813
Other income		39,570			101,412			39,237


Total investment income		25,777,234			132,807			9,148,999


EXPENSES
Transfer agent		87,468			9,827			86,404
Accounting services		47,548			16,974			28,103
Professional		36,342			28,115			36,923
Pricing		35,595			13			26,229
Custodian		33,083			673			13,388
Registration		25,497			11,047			16,452
Trustees and Officer		11,812			794			4,520
Printing and postage		5,487			4,662			5,191
Miscellaneous		18,195			1,131			10,197


Total expenses excluding interest expense		301,027			73,236			227,407
Interest expense		1,050			—			610


Total expenses		302,077			73,236			228,017
Less:
Fees waived and/or reimbursed by the Manager		(298,892	)		(73,066	)		(224,897	)


Total expenses after fees waived and/or reimbursed		3,185			170			3,120


Net investment income		25,774,049			132,637			9,145,879


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		3,295,210			—			167,527
Investments — affiliated		—			(3,100	)		—
Futures contracts		(1,091,421	)		(271,863	)		(1,124,191	)
Forward foreign currency exchange contracts		—			—			(48,288	)
Foreign currency transactions		—			—			16,850
Swaps		2,614			123			21,683


	$	2,206,403		$	(274,840	)	$	(966,419	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		40,665,322			—			7,956,866
Investments — affiliated		—			29,653			—
Futures contracts		82,466			26,733			613,324
Forward foreign currency exchange contracts		—			—			(45,412	)
Foreign currency translations		—			10			2,660
Swaps		(2,695	)		(1,298	)		24,025


		40,745,093			55,098			8,551,463


Net realized and unrealized gain (loss)		42,951,496			(219,742	)		7,585,044


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	68,725,545		$	(87,105	)	$	16,730,923

See notes to financial statements.


94		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Statements of Operations (unaudited) (continued)

Six Months Ended September 30, 2024


	BATS: Series V Portfolio

INVESTMENT INCOME
Interest — unaffiliated	$	2,436,243
Other income		3,212


Total investment income		2,439,455


EXPENSES
Professional		41,457
Registration		25,506
Accounting services		21,897
Transfer agent		12,026
Printing and postage		5,111
Pricing		4,051
Custodian		1,890
Trustees and Officer		1,890
Miscellaneous		2,929


Total expenses excluding interest expense		116,757
Interest expense		3,858


Total expenses		120,615
Less:
Fees waived and/or reimbursed by the Manager		(116,699	)


Total expenses after fees waived and/or reimbursed		3,916


Net investment income		2,435,539


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments		—
Net change in unrealized appreciation (depreciation) on investments		79,366


Net realized and unrealized gain		79,366


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	2,514,905

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		95

Statements of Changes in Net Assets


	BATS: Series A Portfolio						BATS: Series C Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	89,543,750		$	140,157,224		$	11,300,939		$	18,472,055
Net realized loss		(2,571,320	)		(21,319,143	)		(4,805,834	)		(21,627,833	)
Net change in unrealized appreciation (depreciation)		41,787,018			69,378,015			17,229,790			22,752,532


Net increase in net assets resulting from operations		128,759,448			188,216,096			23,724,895			19,596,754


DISTRIBUTIONS TO SHAREHOLDERS^(a)

Decrease in net assets resulting from distributions to shareholders		(88,258,737	)		(139,801,698	)		(11,347,919	)		(18,482,170	)


CAPITAL SHARE TRANSACTIONS

Net increase in net assets derived from capital share transactions		385,217,211			22,051,489			20,866,321			43,563,103


NET ASSETS
Total increase in net assets		425,717,922			70,465,887			33,243,297			44,677,687
Beginning of period		2,494,040,228			2,423,574,341			423,597,040			378,919,353


End of period	$	2,919,758,150		$	2,494,040,228		$	456,840,337		$	423,597,040

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.


96		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Statements of Changes in Net Assets (continued)


	BATS: Series E Portfolio						BATS: Series M Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	10,502,532		$	16,406,654		$	25,774,049		$	45,671,591
Net realized gain (loss)		(1,308,019	)		(4,294,629	)		2,206,403			(16,480,233	)
Net change in unrealized appreciation (depreciation)		14,343,310			7,288,958			40,745,093			(5,170,741	)


Net increase in net assets resulting from operations		23,537,823			19,400,983			68,725,545			24,020,617


DISTRIBUTIONS TO SHAREHOLDERS^(a)

Decrease in net assets resulting from distributions to shareholders		(9,902,101	)		(16,206,570	)		(23,473,765	)		(44,108,637	)


CAPITAL SHARE TRANSACTIONS

Net increase in net assets derived from capital share transactions		65,774,683			66,912,335			42,332,531			60,573,605


NET ASSETS
Total increase in net assets		79,410,405			70,106,748			87,584,311			40,485,585
Beginning of period		412,478,331			342,371,583			1,146,383,469			1,105,897,884


End of period	$	491,888,736		$	412,478,331		$	1,233,967,780		$	1,146,383,469

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.


S T A T E M E N T S O F C H A N G E S I N N E T A S S E T S		97

Statements of Changes in Net Assets (continued)


	BATS: Series P Portfolio						BATS: Series S Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	132,637		$	506,036		$	9,145,879		$	16,635,824
Net realized gain (loss)		(274,840	)		61,704			(966,419	)		(3,427,889	)
Net change in unrealized appreciation (depreciation)		55,098			1,288,543			8,551,463			6,211,665


Net increase (decrease) in net assets resulting from operations		(87,105	)		1,856,283			16,730,923			19,419,600


DISTRIBUTIONS TO SHAREHOLDERS^(a)

Decrease in net assets resulting from distributions to shareholders		—			(640,002	)		(9,103,523	)		(17,132,314	)


CAPITAL SHARE TRANSACTIONS

Net decrease in net assets derived from capital share transactions		(1,390,688	)		(22,168,143	)		(8,379,179	)		(11,225,214	)


NET ASSETS
Total decrease in net assets		(1,477,793	)		(20,951,862	)		(751,779	)		(8,937,928	)
Beginning of period		5,633,825			26,585,687			391,933,129			400,871,057


End of period	$	4,156,032		$	5,633,825		$	391,181,350		$	391,933,129

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.


98		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Statements of Changes in Net Assets (continued)


	BATS: Series V Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	2,435,539		$	2,959,343
Net change in unrealized appreciation (depreciation)		79,366			3,814


Net increase in net assets resulting from operations		2,514,905			2,963,157


DISTRIBUTIONS TO SHAREHOLDERS^(a)

Decrease in net assets resulting from distributions to shareholders		(2,435,030	)		(2,961,031	)


CAPITAL SHARE TRANSACTIONS

Net increase in net assets derived from capital share transactions		11,210,944			32,075,499


NET ASSETS
Total increase in net assets		11,290,819			32,077,625
Beginning of period		117,516,573			85,438,948


End of period	$	128,807,392		$	117,516,573

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.


S T A T E M E N T S O F C H A N G E S I N N E T A S S E T S		99

Financial Highlights

(For a share outstanding throughout each period)


	BATS: Series A Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of period	$	9.39		$	9.19		$	9.67		$	9.99		$	9.05		$	9.99


Net investment income^(a)		0.32			0.57			0.43			0.26			0.31			0.45
Net realized and unrealized gain (loss)		0.14			0.20			(0.48	)		(0.31	)		0.94			(0.94	)

Net increase (decrease) from investment operations		0.46			0.77			(0.05	)		(0.05	)		1.25			(0.49	)


Distributions^(b)
From net investment income		(0.31	)		(0.57	)		(0.42	)		(0.27	)		(0.31	)		(0.45	)
From net realized gain		—			—			(0.01	)		—			—			—


Total distributions		(0.31	)		(0.57	)		(0.43	)		(0.27	)		(0.31	)		(0.45	)


Net asset value, end of period	$	9.54		$	9.39		$	9.19		$	9.67		$	9.99		$	9.05


Total Return^(c)
Based on net asset value		5.03	%^(d)		8.66	%		(0.42	)%		(0.59	)%		13.95	%		(5.22	)%


Ratios to Average Net Assets^(e)
Total expenses		0.03	%^(f)		0.03	%		0.02	%		0.02	%		0.04	%		0.05	%

Total expenses after fees waived and/or reimbursed		0.01	%^(f)		0.00	%^(g)		0.00	%^(g)		0.00	%^(g)		0.00	%^(g)		0.00	%^(g)

Total expenses after fees waived and/or reimbursed and excluding interest expense		0.00	%^(f)(g)		0.00	%^(g)		0.00	%^(g)		0.00	%^(g)		0.00	%^(g)		0.00	%^(g)


Net investment income		6.74	%^(f)		6.18	%		4.65	%		2.64	%		3.20	%		4.45	%


Supplemental Data
Net assets, end of period (000)	$	2,919,758		$	2,494,040		$	2,423,574		$	2,635,009		$	1,541,153		$	1,035,675


Portfolio turnover rate^(h)		26	%		53	%		43	%		45	%		26	%		48	%

^(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 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Portfolio turnover rate (excluding MDRs)		21	%		42	%		30	%		34	%		26	%		48	%

See notes to financial statements.


100		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series C Portfolio

	Six Months Ended 09/30/24 (unaudited)				Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of period		$	9.05		$	9.03		$	9.84		$	10.69		$	10.49		$	10.28


Net investment income^(a)			0.24			0.41			0.32			0.28			0.33			0.38
Net realized and unrealized gain (loss)			0.26			0.02			(0.81	)		(0.66	)		0.60			0.27

Net increase (decrease) from investment operations			0.50			0.43			(0.49	)		(0.38	)		0.93			0.65


Distributions^(b)
From net investment income			(0.24	)		(0.41	)		(0.32	)		(0.29	)		(0.33	)		(0.38	)

From net realized gain			—			—			—			(0.18	)		(0.40	)		(0.06	)


Total distributions			(0.24	)		(0.41	)		(0.32	)		(0.47	)		(0.73	)		(0.44	)


Net asset value, end of period		$	9.31		$	9.05		$	9.03		$	9.84		$	10.69		$	10.49


Total Return^(c)
Based on net asset value			5.62	%^(d)		4.98	%		(4.92	)%		(3.88	)%		8.70	%		6.31	%


Ratios to Average Net Assets^(e)
Total expenses			0.11	%^(f)		0.12	%		0.12	%		0.10	%		0.09	%		0.09	%


Total expenses after fees waived and/or reimbursed			0.00	%^(f)(g)		0.00	%^(g)		0.00	%^(g)		0.01	%		0.00	%^(g)		0.00	%^(g)


Net investment income			5.23	%^(f)		4.66	%		3.50	%		2.59	%		2.96	%		3.55	%


Supplemental Data
Net assets, end of period (000)		$	456,840		$	423,597		$	378,919		$	476,478		$	534,926		$	464,267


Portfolio turnover rate			211	%		103	%		47	%		42	%		85	%		83	%

^(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%.

See notes to financial statements.


F I N A N C I A L H I G H L I G H T S		101

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series E Portfolio

		Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of period		$	10.15		$	10.01		$	11.14		$	11.75		$	10.53		$	10.91


Net investment income^(a)			0.24			0.46			0.43			0.46			0.45			0.43
Net realized and unrealized gain (loss)			0.30			0.13			(0.92	)		(0.56	)		1.22			(0.37	)

Net increase (decrease) from investment operations			0.54			0.59			(0.49	)		(0.10	)		1.67			0.06


Distributions^(b)
From net investment income			(0.23	)		(0.45	)		(0.46	)		(0.45	)		(0.45	)		(0.44	)
From net realized gain			—			—			(0.18	)		(0.06	)		—			—


Total distributions			(0.23	)		(0.45	)		(0.64	)		(0.51	)		(0.45	)		(0.44	)


Net asset value, end of period		$	10.46		$	10.15		$	10.01		$	11.14		$	11.75		$	10.53


Total Return^(c)
Based on net asset value			5.39	%^(d)		6.18	%		(4.21	)%		(1.07	)%		16.16	%		0.33	%


Ratios to Average Net Assets^(e)
Total expenses			0.16	%^(f)		0.20	%		0.26	%		0.11	%		0.15	%		0.18	%

Total expenses after fees waived and/or reimbursed			0.06	%^(f)		0.09	%		0.11	%		0.03	%		0.04	%		0.06	%

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees			0.00	%^(f)(g)		0.00	%^(g)		0.00	%^(g)		0.00	%^(f)(g)		0.00	%^(g)		0.00	%^(g)


Net investment income			4.74	%^(f)		4.66	%		4.16	%		3.80	%		4.06	%		3.78	%


Supplemental Data
Net assets, end of period (000)		$	491,889		$	412,478		$	342,372		$	382,519		$	400,615		$	313,282


Borrowings outstanding, end of period (000)		$	6,647		$	6,647		$	8,889		$	22,111		$	18,987		$	10,713


Portfolio turnover rate			8	%		19	%		37	%		26	%		31	%		54	%

^(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%.

See notes to financial statements.


102		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series M Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of period	$	8.28		$	8.42		$	9.11		$	9.77		$	9.81		$	9.59


Net investment income^(a)		0.18			0.33			0.25			0.11			0.21			0.30
Net realized and unrealized gain (loss)		0.31			(0.15	)		(0.68	)		(0.59	)		0.05			0.25

Net increase (decrease) from investment operations		0.49			0.18			(0.43	)		(0.48	)		0.26			0.55

Distributions from net investment income^(b)		(0.17	)		(0.32	)		(0.26	)		(0.18	)		(0.30	)		(0.33	)


Net asset value, end of period	$	8.60		$	8.28		$	8.42		$	9.11		$	9.77		$	9.81


Total Return^(c)
Based on net asset value		5.97	%^(d)		2.19	%		(4.76	)%		(4.98	)%		2.68	%		5.86	%


Ratios to Average Net Assets^(e)
Total expenses		0.05	%^(f)		0.06	%		0.06	%		0.06	%		0.05	%		0.06	%

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		4.41	%^(f)		3.99	%		2.97	%		1.11	%		2.12	%		3.03	%


Supplemental Data
Net assets, end of period (000)	$	1,233,968		$	1,146,383		$	1,105,898		$	1,126,195		$	1,197,167		$	1,006,778


Portfolio turnover rate^(h)		396	%		704	%		873	%		1,473	%		1,500	%		1,316	%

^(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 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Portfolio turnover rate (excluding MDRs)		213	%		420	%		521	%		665	%		896	%		813	%

See notes to financial statements.


F I N A N C I A L H I G H L I G H T S		103

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series P Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of period	$	10.40		$	9.75		$	8.95		$	8.69		$	7.92		$	9.25


Net investment income^(a)		0.19			0.31			0.15			0.04			0.06			0.12
Net realized and unrealized gain (loss)		(0.18	)		0.78			0.76			0.22			0.71			(1.33	)


Net increase (decrease) from investment operations		0.01			1.09			0.91			0.26			0.77			(1.21	)


Distributions^(b)
From net investment income		—			(0.44	)		(0.11	)		—			—			(0.12	)
Return of capital		—			—			—			—			—			(0.00	)^(c)


Total distributions		—			(0.44	)		(0.11	)		—			—			(0.12	)


Net asset value, end of period	$	10.41		$	10.40		$	9.75		$	8.95		$	8.69		$	7.92


Total Return^(d)
Based on net asset value		0.10	%^(e)		11.44	%		10.14	%		2.99	%		9.72	%		(13.25	)%


Ratios to Average Net Assets^(f)
Total expenses		2.05	%^(g)		0.88	%		0.33	%		0.28	%		0.46	%		0.31	%


Total expenses after fees waived and/or reimbursed		0.00	%^(g)		0.01	%		0.00	%^(h)		0.00	%^(h)		0.00	%^(h)		0.00	%^(h)


Net investment income		3.71	%^(g)		3.06	%		1.55	%		0.45	%		0.71	%		1.33	%


Supplemental Data
Net assets, end of period (000)	$	4,156		$	5,634		$	26,586		$	54,571		$	53,175		$	41,305


Portfolio turnover rate		0	%		0	%		9	%		0	%		36	%		15	%

^(a)	Based on average shares outstanding.

^(b)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)	Amount is greater than $(0.005) per share.

^(d)	Where applicable, assumes the reinvestment of distributions.

^(e)	Not annualized.

^(f)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(g)	Annualized.

^(h)	Amount is less than 0.005%.

See notes to financial statements.


104		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series S Portfolio

	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of period	$	9.09		$	9.04		$	9.28		$	9.73		$	9.23		$	9.50


Net investment income^(a)		0.21			0.38			0.27			0.14			0.18			0.27
Net realized and unrealized gain (loss)		0.18			0.06			(0.21	)		(0.43	)		0.54			(0.23	)

Net increase (decrease) from investment operations		0.39			0.44			0.06			(0.29	)		0.72			0.04

Distributions^(b)
From net investment income		(0.21	)		(0.39	)		(0.28	)		(0.16	)		(0.22	)		(0.31	)
From net realized gain		—			—			(0.02	)		—			—			—


Total distributions		(0.21	)		(0.39	)		(0.30	)		(0.16	)		(0.22	)		(0.31	)


Net asset value, end of period	$	9.27		$	9.09		$	9.04		$	9.28		$	9.73		$	9.23


Total Return^(c)
Based on net asset value		4.38	%^(d)		4.98	%		0.62	%		(3.02	)%		7.80	%^(e)		0.34	%


Ratios to Average Net Assets^(f)
Total expenses		0.12	%^(g)		0.13	%		0.10	%		0.12	%		0.13	%		1.14	%

Total expenses after fees waived and/or reimbursed		0.00	%^(g)(h)		0.00	%^(h)		0.00	%^(h)		0.01	%		0.02	%		0.99	%

Total expenses after fees waived and/or reimbursed and excluding interest expense		0.00	%^(g)(h)		0.00	%^(h)		0.00	%^(h)		0.01	%^(g)		0.00	%^(h)		0.00	%^(h)


Net investment income		4.66	%^(g)		4.19	%		2.96	%		1.42	%		1.89	%		2.84	%


Supplemental Data
Net assets, end of period (000)	$	391,181		$	391,933		$	400,871		$	408,273		$	398,906		$	146,302


Portfolio turnover rate⁽ⁱ⁾		55	%		166	%		127	%		68	%		124	%		144	%

^(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 mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:



	Six Months Ended 09/30/24 (unaudited)			Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Portfolio turnover rate (excluding MDRs)		53	%		140	%		106	%		67	%		122	%		101	%

See notes to financial statements.


F I N A N C I A L H I G H L I G H T S		105

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series V Portfolio

	Six Months Ended 09/30/24 (unaudited)					Year Ended 03/31/24			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		$	9.99		$	10.00


Net investment income^(b)			0.17			0.34			0.22			0.01
Net realized and unrealized gain (loss)			0.01			(0.00	)^(c)		(0.04	)		(0.01	)


Net increase from investment operations			0.18			0.34			0.18			0.00


Distributions from net investment income^(d)			(0.17	)		(0.34	)		(0.18	)		(0.01	)


Net asset value, end of period		$	10.00		$	9.99		$	9.99		$	9.99


Total Return^(e)
Based on net asset value			1.83	%^(f)		3.44	%		1.83	%		0.01	%^(f)


Ratios to Average Net Assets^(g)
Total expenses			0.17	%^(h)		0.25	%		0.52	%		4.06	%^(h)(i)


Total expenses after fees waived and/or reimbursed			0.01	%^(h)		0.00	%^(j)		0.00	%^(j)		0.00	%^(h)(j)


Total expenses after fees waived and/or reimbursed and excluding interest expense			0.00	%^(h)(j)		0.00	%^(j)		0.00	%^(j)		0.00	%^(h)(j)


Net investment income			3.39	%^(h)		3.39	%		2.21	%		0.13	%^(h)


Supplemental Data
Net assets, end of period (000)		$	128,807		$	117,517		$	85,439		$	10,201


Portfolio turnover rate			145	%		170	%		189	%		283	%

^(a)	Commencement of operations.

^(b)	Based on average shares outstanding.

^(c)	Amount is greater than $(0.005) per share.

^(d)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(e)	Where applicable, assumes the reinvestment of distributions.

^(f)	Not annualized.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

⁽ⁱ⁾	Audit, offering, organization and printing costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.35%.

^(j)	Amount is less than 0.005%.

See notes to financial statements.


106		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Notes to Financial Statements (unaudited)

1. ORGANIZATION

BlackRock Allocation Target Shares (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. The following, each of which is a series of the Trust, are referred to herein collectively as the “Funds” or individually as a “Fund”:


Fund Name	Herein Referred To As	Diversification Classification
BATS: Series A Portfolio	Series A	Diversified
BATS: Series C Portfolio	Series C	Diversified
BATS: Series E Portfolio	Series E	Diversified
BATS: Series M Portfolio	Series M	Diversified
BATS: Series P Portfolio	Series P	Diversified
BATS: Series S Portfolio	Series S	Diversified
BATS: Series V Portfolio	Series V	Diversified

Shares of the Funds are offered to separate account clients of the adviser, BlackRock Advisors, LLC (the “Manager”) or certain of its affiliates. Shares of Series A are also offered to collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the Manager, and mutual funds advised by the Manager or its affiliates. Participants in wrap-fee programs pay a single aggregate fee to the program sponsor for all costs and expenses of the wrap-fee programs including investment advice and portfolio execution.

The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of 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.

Bank Overdraft: Certain Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.

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 dates 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.


N O T E S T O F I N A N C I A L S T A T E M E N T S		107

Notes to Financial Statements (unaudited) (continued)

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the 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.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Funds have an arrangement with their custodian whereby credits are earned on uninvested cash balances. For financial reporting purposes, custodian credits, if any, are included in interest income in the Statements of Operations.

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 net asset value (“NAV”).

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price, is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

Interest rate, credit default, inflation and currency 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 market data and discounted cash flows. Total return swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using models that incorporate market trades and fair value 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 occurs after 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 as of the measurement date.


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Notes to Financial Statements (unaudited) (continued)

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs:

(i) recent market transactions, including secondary market transactions, merger or acquisition activity and subsequent rounds of financing in the underlying investment or comparable issuers

(ii) recapitalizations and other transactions across the capital structure

(iii) market or relevant indices multiples of comparable issuers

(iv) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks

(v) quoted prices for similar investments or assets in active markets

(vi) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates

(vii) audited or unaudited financial statements, investor communications and Private Company financial or operational metrics

(viii) relevant market news and other public sources.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing a market approach to determine 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 involves 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.

Private Companies are not subject to public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Certain information made available 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 at the measurement date. 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 that each Fund has the ability to access for identical assets or liabilities;

Level 2 – Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly or indirectly; and

Level 3 – Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (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


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Notes to Financial Statements (unaudited) (continued)

issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond is included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a Fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result


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Notes to Financial Statements (unaudited) (continued)

in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the 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:




Fund Name	Investment Name	Commitment Amount		Value		Unrealized Appreciation (Depreciation)

Series E	Puerto Rico Electric Power Authority, Series B-1	$	2,323,863	$	2,485,721	$	161,858
Series E	Puerto Rico Electric Power Authority, Series B-2		11,249,141		12,462,862		1,213,721

						$	1,375,579

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar RollTransactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.


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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 TOBTrusts: The municipal bonds deposited into a TOB Trust are presented in a Fund’s Schedules of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a Fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:



Fund Name	Interest Expense		Liquidity Fees		Other Expenses		Total

Series E	$	124,326	$	10,383	$	3,242	$	137,951

For the six months ended September 30, 2024, the following table is a summary of each Fund’s TOB Trusts:




Fund Name	Underlying Municipal Bonds Transferred to TOB Trusts^(a)		Liability for TOB Trust Certificates^(b)		Range of Interest Rates on TOB Trust Certificates at Period End		Average TOB Trust Certificates Outstanding		Daily Weighted Average Rate of Interest and Other Expenses on TOB Trusts

Series E	$	12,653,265	$	6,647,000		3.18% - 3.45%	$	6,647,000		4.08	%

^(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, 2024, 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, 2024.


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Notes to Financial Statements (unaudited) (continued)

5. DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.

Options: The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

Swaptions – The Funds may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).


N O T E S T O F I N A N C I A L S T A T E M E N T S		113

Notes to Financial Statements (unaudited) (continued)

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Funds’ counterparty on the swap. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Forward swaps — The Funds may enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help 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.


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Notes to Financial Statements (unaudited) (continued)

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory services. The Manager receives no advisory fee from the Funds under the Investment Advisory Agreement.

With respect to each Fund, except for Series E and Series V, the Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager.

Service and Distribution Fees: The Trust, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager.

Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive all fees and pay or reimburse all operating expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses. This agreement has no fixed termination date. With respect to Series C, Series E, Series M, Series P, Series S and Series V, the Manager does not charge the Funds a management fee, although investors in the Funds will pay a fee to BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, or their managed account program sponsor. With respect to Series A, the Manager does not charge the Fund a management fee, although investors in the Fund that are (i) retail and institutional separately managed account clients of BIM will pay a fee to BIM or their managed account program sponsor, (ii) participants in the collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of the Manager, that invest in the Fund will pay a fee to BTC, and (iii) mutual funds that are advised by the Manager or its affiliates will pay the Manager or its affiliate a management fee pursuant to a management agreement between each such fund and BlackRock or its affiliate. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations.

Although the Funds do not compensate the Manager directly for its services under the Investment Advisory Agreement, because each Fund is an investment option for certain wrap-fee or other separately managed account program clients, the Manager may benefit from the fees charged to such clients who have retained the Manager’s affiliates to manage their accounts. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The waivers were as follows:


Fund Name	Amounts Waived
Series A	$	289,483
Series C		227,843
Series E		222,756
Series M		298,892
Series P		73,066
Series S		224,897
Series V		116,699

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, 2024, 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, 2024, 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 E	$	10,115,769	$	6,615,165	$	—
Series V		8,905,511		12,909,010		—


N O T E S T O F I N A N C I A L S T A T E M E N T S		115

Notes to Financial Statements (unaudited) (continued)

7. PURCHASES AND SALES

For the six months ended September 30, 2024, 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	$	898,212,800	$	460,342,290
U.S. Government Securities		238,037,330		233,778,543
Series C
Non-U.S. Government Securities		822,724,777		844,826,362
U.S. Government Securities		76,243,186		37,576,674
Series E
Non-U.S. Government Securities		119,140,845		32,629,286
Series M
Non-U.S. Government Securities		60,606,383		53,636,167
U.S. Government Securities		4,864,480,101		4,870,916,412
Series P
Non-U.S. Government Securities		—		180,000
Series S
Non-U.S. Government Securities		105,679,889		105,891,568
U.S. Government Securities		111,688,269		98,453,416
Series V
Non-U.S. Government Securities		181,765,525		186,517,000

For the six months ended September 30, 2024, purchases and sales related to mortgage dollar rolls were as follows:



Fund Name	Purchases		Sales

Series A	$	131,792,153	$	131,949,909
Series M		2,276,430,832		2,276,005,626
Series S		7,801,045		7,795,262

8. INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three 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, 2024, 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. Management’s analysis is based on the tax laws and judicial and administrative interpretations thereof in effect as of date of these financial statements, all of which are subject to change, possibly with retroactive effect which may impact the Funds’ NAV.

As of March 31, 2024, 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	$	63,337,034
Series C		54,102,185
Series E		14,538,216
Series M		109,703,098
Series P		25,432,893
Series S		23,638,429


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Notes to Financial Statements (unaudited) (continued)

As of September 30, 2024, 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	$	3,013,540,950	$	26,195,964	$	(108,421,542	)	$	(82,225,578	)
Series C		450,871,171		7,596,988		(2,480,170	)		5,116,818
Series E		493,481,781		15,304,509		(15,517,407	)		(212,898	)
Series M		1,717,023,345		15,578,666		(62,402,408	)		(46,823,742	)
Series P		1,205,755		232,346		(255,218	)		(22,872	)
Series S		391,712,751		5,619,345		(2,879,935	)		2,739,410
Series V		129,834,062		80,518		(661	)		79,857

9.	BANK BORROWINGS

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, $2.40 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 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. 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, 2024, the Funds did not borrow under the credit agreement.

10.	PRINCIPAL RISKS

In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.

Series E structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

As short-term interest rates rise, Series E’s investments in the TOB Trusts may adversely affect Series E’s net investment income and dividends to shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect Series E’s NAV per share.

The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect Series E’s ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and Series E, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.

Certain obligations held by Series V have a credit enhancement or liquidity feature that may, under certain circumstances, provide for repayment of principal and interest on the obligation when due. These enhancements, which may include letters of credit, stand-by bond purchase agreements and/or third-party insurance, are issued by financial institutions. The value of the obligations may be affected by changes in creditworthiness of the entities that provide the credit enhancements or liquidity features. Series V monitors its exposure by reviewing the creditworthiness of the issuers, as well as the financial institutions issuing the credit enhancements and by limiting the amount of holdings with credit enhancements from one financial institution.

Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities


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Notes to Financial Statements (unaudited) (continued)

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.

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.

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.

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 during a period of historically low interest rates. The Federal Reserve has raised the federal funds rate as part of its efforts to address inflation. Changing interest rates may have unpredictable effects on markets, may result in heightened market volatility, 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


118		2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N

Notes to Financial Statements (unaudited) (continued)

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 09/30/24						Year Ended 03/31/24
Fund Name	Shares			Amount			Shares			Amount
Series A
Shares sold		42,745,993		$	404,509,030			47,562,008		$	445,090,304
Shares redeemed		(2,044,507	)		(19,291,819	)		(45,775,267	)		(423,038,815	)


		40,701,486		$	385,217,211			1,786,741		$	22,051,489


Series C
Shares sold		7,494,634		$	67,949,931			15,783,759		$	140,503,861
Shares redeemed		(5,213,497	)		(47,083,610	)		(10,951,684	)		(96,940,758	)

		2,281,137		$	20,866,321			4,832,075		$	43,563,103


Series E
Shares sold		10,842,567		$	111,803,336			23,301,016		$	230,906,817
Shares redeemed		(4,487,018	)		(46,028,653	)		(16,841,996	)		(163,994,482	)


		6,355,549		$	65,774,683			6,459,020		$	66,912,335


Series M
Shares sold		20,890,196		$	174,200,857			47,160,356		$	389,133,798
Shares redeemed		(15,873,101	)		(131,868,326	)		(39,977,105	)		(328,560,193	)


		5,017,095		$	42,332,531			7,183,251		$	60,573,605


Series P
Shares sold		814,161		$	8,329,533			287,267		$	2,940,745
Shares redeemed		(956,509	)		(9,720,221	)		(2,472,653	)		(25,108,888	)


		(142,348	)	$	(1,390,688	)		(2,185,386	)	$	(22,168,143	)


Series S
Shares sold		4,739,295		$	43,275,420			12,836,280		$	115,922,375
Shares redeemed		(5,659,267	)		(51,654,599	)		(14,087,279	)		(127,147,589	)


		(919,972	)	$	(8,379,179	)		(1,250,999	)	$	(11,225,214	)


Series V
Shares sold		12,946,093		$	129,366,208			14,653,215		$	146,385,613
Shares redeemed		(11,823,017	)		(118,155,264	)		(11,442,454	)		(114,310,114	)


		1,123,076		$	11,210,944			3,210,761		$	32,075,499

12. SUBSEQUENT EVENTS

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.


N O T E S T O F I N A N C I A L S T A T E M E N T S		119

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 3, 2024 (the “May Meeting”) and June 6-7, 2024 (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’ investment performance analyses, and 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 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, and such responses were reviewed by the Board Members.

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 evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.


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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

A. Nature, Extent and Quality of the Services Provided by BlackRock

The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the experience of 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 the pertinent Fund and its shareholders.

B. The Investment Performance of each Fund

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, 2023, 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 the Funds are investments that are available solely to separately managed accounts or institutional clients, primarily to complement their existing BlackRock fixed-income portfolios. Given the resulting comparability issues to peer funds, rather than a comparison to peers, the Board reviewed other performance criteria for the Funds.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund

The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board noted that BlackRock does not charge each Fund an advisory fee. The Board reviewed BlackRock’s estimated profitability with respect to other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.


D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T A N D S U B - A D V I S O R Y A G R E E M E N T S		121

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time 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 the Funds will pay a fee to an affiliate of BlackRock or their managed account program sponsor. The Board also noted that BlackRock and the Board have contractually agreed to waive all fees and pay or reimburse all direct expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense and acquired fund fees and expenses.

D. Economies of Scale

The Board, including the Independent Board Members, considered the extent to which any economies of scale might benefit each Fund in a variety of ways as the assets of each Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, unitary fee structure, fee waivers, and/or expense caps, as applicable. 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, 2025, and the Sub-Advisory Agreements between the Manager and 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, for a one-year term ending June 30, 2025. 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.


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Additional Information

Changes in and Disagreements with Accountants

Not applicable.

Proxy Results

Not applicable.

Remuneration Paid to Trustees, Officers, and Others

Compensation to the independent directors/trustees of the Trust is paid by the Trust, on behalf of 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.

BlackRock’s Mutual Fund Family

BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing. Visit blackrock.com for more information.

Fund and Service Providers

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisor^(a)

BlackRock International Limited

Edinburgh EH3 8BL, United Kingdom

Accounting Agent, Administrator and Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Custodian

The Bank of New York Mellon

New York, NY 10286

^(a)	Excludes BATS: Series E Portfolio and BATS: Series V Portfolio

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02110

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 D D I T I O N A L I N F O R M A T I O N		123

Glossary of Terms Used in this Report


Currency Abbreviation

CAD		Canadian Dollar

EUR		Euro

JPY		Japanese Yen

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.

ESTRON		Euro Short-Term Rate

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

NVS		Non-Voting Shares

OTC		Over-the-Counter

RB		Revenue Bonds

REMIC		Real Estate Mortgage Investment Conduit

SBPA		Stand-By Bond Purchase Agreements

SOFR		Secured Overnight Financing Rate

TA		Tax Allocation

TBA		To-be-Announced

TECP		Tax-Exempt Commercial Paper

TONA		Tokyo Overnight Average Rate

VRDN		Variable Rate Demand Note


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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.

Item 8 –

Changes in and Disagreements with Accountants for Open-End Management Investment Companies – See Item 7

Item 9 –

Proxy Disclosures for Open-End Management Investment Companies – See Item 7

Item 10 –

Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies – See Item 7

Item 11 –

Statement Regarding Basis for Approval of Investment Advisory Contract – See Item 7

Item 12 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 13 –

Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 14 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 15 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 16 –

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 date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 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 17 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 18 –

Recovery of Erroneously Awarded Compensation – Not Applicable

Item 19 –

Exhibits attached hereto

(a)(1) Code of Ethics – Not Applicable to this semi-annual report

(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed – Not Applicable

(a)(3) Section 302 Certifications are attached

(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(5) 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, 2024

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, 2024


		By:		/s/ Trent Walker
				Trent Walker
				Chief Financial Officer (principal financial officer) of
				BlackRock Allocation Target Shares

Date: November 20, 2024

Blackrock Allocation Target Shares N-CSRSCertified semi-annual shareholder report (management investment company)