Blackrock Allocation Target Shares N-CSR Certified 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 I 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: 09/30/2024

Date of reporting period: 09/30/2024

Item 1 – Reports to Stockholders

(a) The Reports to Shareholders are attached herewith.

BlackRock Allocation Target Shares: Series I Portfolio

BATIX

Annual Shareholder Report — September 30, 2024

This annual shareholder report contains important information about BlackRock Allocation Target Shares: Series I Portfolio (the “Fund”) for the period of March 6, 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 period?

(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
BlackRock Allocation Target Shares: Series I Portfolio	$0Footnote Reference(a)	-%Footnote Reference(b)

Footnote	Description
Footnote(a)	The Fund commenced operations during the reporting period. Expenses for a full reporting would be higher than the amount shown.
Footnote(b)	Annualized.

How did the Fund perform last year?

• For the abbreviated reporting period starting March 6, 2024 and ended September 30, 2024, the Fund returned 5.28%.

• For the same period, the Bloomberg U.S. Universal Index returned 5.50%.

What contributed to performance?

Positive contributions to the Fund’s absolute performance were highlighted by allocations to corporate bonds, including European investment grade, U.S. high yield and U.S. investment grade issues. Exposure to securitized sectors including agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities and non-agency mortgage-backed securities also proved additive, along with holdings of floating rate bank loans. Finally, the Fund’s positioning with respect to U.S. duration and corresponding interest rate sensitivity contributed as well. The Fund's cash position had no material impact on performance.

What detracted from performance?

The Fund’s exposure to emerging market bonds was the sole detractor from absolute performance. 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. 

Fund performance

Cumulative performance: March 6, 2024 through September 30, 2024

Initial Investment of $10,000 

	Fund	Bloomberg U.S. Universal Index
Feb 24	$10,000	$10,000
Mar 24	$10,042	$10,009
Apr 24	$9,961	$9,775
May 24	$10,065	$9,938
Jun 24	$10,118	$10,028
Jul 24	$10,295	$10,256
Aug 24	$10,412	$10,407
Sep 24	$10,528	$10,550

See “Average annual total returns” for additional information on fund performance.

Average annual total returns

As of the date of this report, the Fund does not have a full fiscal year of performance information to report. 

Key Fund statistics

Net Assets........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	$55,921,373
Number of Portfolio Holdings........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	676
Net Investment Advisory Fees........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	$0
Portfolio Turnover Rate........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	137%

The Fund commenced operations on March 6, 2024. 

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

Credit quality allocation

Investment Type	Percent of Total InvestmentsFootnote Reference(a)
Corporate Bonds........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	54.5%
Asset-Backed Securities........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	16.8
U.S. Government Sponsored Agency Securities........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	13.8
Non-Agency Mortgage-Backed Securities........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	8.6
Foreign Government Obligations........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	5.4
Foreign Agency Obligations........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	0.9

Credit RatingFootnote Reference(b)	Percent of Total InvestmentsFootnote Reference(a)
AAA/AaaFootnote Reference(c)........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	32.7%
AA/Aa........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	2.2
A........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	7.6
BBB/Baa........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	12.6
BB/Ba........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	26.4
B........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	13.0
CCC/Caa........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	0.7
N/R........................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................	4.8

Footnote	Description
Footnote(a)	Excludes short-term securities, short investments and options, if any.
Footnote(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.
Footnote(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

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.

Householding

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.

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.

© 2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners. 

BlackRock Allocation Target Shares: Series I Portfolio

BATIX

Annual Shareholder Report — September 30, 2024

BATIX-09/24-AR

(b) Not Applicable

Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes.  During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762.

Item 3 –  Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Lorenzo A. Flores
Catherine A. Lynch

Arthur P. Steinmetz

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert.  The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.  The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

	(a) Audit Fees		(b) Audit-Related Fees1		(c) Tax Fees2		(d) All Other Fees
Entity Name	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End		Current Fiscal Year End	Previous Fiscal Year End
BATS: Series I Portfolio	$36,720	$0	$0	$0	$17,600	$0		$0	$0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$0	$0
(c) Tax Fees2	$0	$0
(d) All Other Fees3	$2,149,000	$2,154,000

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

² The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

³ Paid in their entirety by BlackRock, relating to a service organization review ("SSAE 18") and subscription to the Deloitte Accounting Research Tool. These amounts represent the aggregate fees paid by BlackRock and were not specifically allocated on a per Fund basis.

               (e)(1) Audit Committee Pre-Approval Policies and Procedures:

          The Committee has adopted policies and procedures with regard to the pre-approval of services.  Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee.  The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant.  Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”).  The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period.  Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project.  For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

                        Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services).  The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting.  At this meeting, an analysis of such services is presented to the Committee for ratification.  The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2)  None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

Entity Name	Current Fiscal Year End	Previous Fiscal Year End
BATS: Series I Portfolio	$17,600	$0

              Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

Current Fiscal Year End	Previous Fiscal Year End
$2,149,000	$2,154,000

              These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

              (h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

               (i) – Not Applicable

               (j) – Not Applicable

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(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 – 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

Not

FDIC

Insured

-

May

Lose

Value

-

No

Bank

Guarantee

2024

Annual

Financial

Statements

and

Additional

Information

BlackRock

Allocation

Target

Shares

BATS:

Series

I

Portfolio

Table

of

Contents

Page

2

The

Benefits

and

Risks

of

Leveraging

..........................................................................................

3

Derivative

Financial

Instruments

.............................................................................................

3

Schedule

of

Investments

..................................................................................................

4

Statement

of

Assets

and

Liabilities

............................................................................................

24

Statement

of

Operations

..................................................................................................

26

Statement

of

Changes

in

Net

Assets

...........................................................................................

27

Financial

Highlights

.....................................................................................................

28

Notes

to

Financial

Statements

...............................................................................................

29

Report

of

Independent

Registered

Public

Accounting

Firm

..............................................................................

39

Important

Tax

Information

.................................................................................................

40

Additional

Information

....................................................................................................

41

Glossary

of

Terms

Used

in

This

Report

.........................................................................................

43

The

Benefits

and

Risks

of

Leveraging

3

The

Benefits

and

Risks

of

Leveraging

/

Derivative

Financial

Instruments

The

Fund

may

utilize

leverage

to

seek

to

enhance

returns

and

net

asset

value

(“NAV”).

However,

there

is

no

guarantee

that

these

objectives

can

be

achieved

in

all

interest

rate

environments.  

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

the

Fund

on

its

longer-term

portfolio

investments

purchased

with

the

proceeds

from

leverage.

To

the

extent

that

the

total

assets

of

the

Fund

(including

the

assets

obtained

from

leverage)

are

invested

in

higher-yielding

portfolio

investments,

the

Fund’s

shareholders

benefit

from

the

incremental

net

income.

The

interest

earned

on

securities

purchased

with

the

proceeds

from

leverage

is

distributed

to

the

Fund’s

shareholders,

and

the

value

of

these

portfolio

holdings

is

reflected

in

the

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

the

Fund’s

return

on

assets

purchased

with

leverage

proceeds,

income

to

shareholders

is

lower

than

if

the

Fund

had

not

used

leverage.

Furthermore,

the

value

of

the

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

the

Fund’s

NAV

positively

or

negatively

in

addition

to

the

impact

on

the

Fund’s

performance

from

leverage.

Changes

in

the

direction

of

interest

rates

are

difficult

to

predict

accurately,

and

there

is

no

assurance

that

the

Fund’s

leveraging

strategy

will

be

successful.

The

use

of

leverage

also

generally

causes

greater

changes

in

the

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 the

Fund’s

shares

than

if

the

Fund

were

not

leveraged.

In

addition,

the

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

Fund

to

incur

losses.

The

use

of

leverage

may

limit the

Fund’s

ability

to

invest

in

certain

types

of

securities

or

use

certain

types

of

hedging

strategies.

The

Fund

incurs

expenses

in

connection

with

the

use

of

leverage,

all

of

which

are

borne

by

the

Fund’s

shareholders

and

may

reduce

income.

Derivative

Financial

Instruments

The

Fund

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

Fund

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

Fund’s

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 the

Fund

can

realize

on

an

investment

and/or

may

result

in

lower

distributions

paid

to

shareholders.

The

Fund’s

investments

in

these

instruments,

if

any,

are

discussed

in

detail

in

the

Notes

to

Financial

Statements.

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

September

30,

2024

BATS:

Series

I

Portfolio

4

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Pa

r

(

000)

Value

Asset-Backed

Securities

Cayman

Islands

—

11.2%

(a)(b)

Anchorage

Capital

CLO

6

Ltd.,

Series

2015-6A,

Class

AR3,

(3-mo.

CME

Term

SOFR

at

1.44%

Floor

+

1.44%),

6.72%,

04/22/34

.......

USD

250

$

250,070

Apidos

CLO

XXII,

Series

2015-22A,

Class

A1R,

(3-mo.

CME

Term

SOFR

at

0.00%

Floor

+

1.32%),

6.60%,

04/20/31

.................

126

126,242

Apidos

CLO

XXV,

Series

2016-25A,

Class

A1R2,

(3-mo.

CME

Term

SOFR

at

1.15%

Floor

+

1.15%),

6.43%,

10/20/31

............

193

192,948

Barings

CLO

Ltd.,

Series

2019-3A,

Class

A1R,

(3-mo.

CME

Term

SOFR

at

1.07%

Floor

+

1.33%),

6.61%,

04/20/31

.................

246

246,965

Benefit

Street

Partners

CLO

XIX

Ltd.,

Series

2019-19A,

Class

AR,

(3-mo.

CME

Term

SOFR

at

1.18%

Floor

+

1.18%),

6.48%,

01/15/33

.......

250

250,191

Benefit

Street

Partners

CLO

XXI

Ltd.,

Series

2020-21A,

Class

A1R,

(3-mo.

CME

Term

SOFR

at

1.17%

Floor

+

1.43%),

6.73%,

10/15/34

.......

250

250,127

Betony

CLO

2

Ltd.,

Series

2018-1A,

Class

A1,

(3-mo.

CME

Term

SOFR

at

1.08%

Floor

+

1.34%),

6.60%,

04/30/31

.................

169

168,984

BlueMountain

CLO

Ltd.

Series

2013-2A,

Class

A1R,

(3-mo.

CME

Term

SOFR

at

0.00%

Floor

+

1.44%),

6.72%,

10/22/30

...

70

69,896

Series

2018-3A,

Class

A1R,

(3-mo.

CME

Term

SOFR

at

1.19%

Floor

+

1.19%),

6.47%,

10/25/30

...

208

208,447

Series

2018-3A,

Class

BR,

(3-mo.

CME

Term

SOFR

at

1.85%

Floor

+

1.85%),

7.13%,

10/25/30

...

100

100,196

Carlyle

Global

Market

Strategies

CLO

Ltd.,

Series

2014-1A,

Class

A1R2,

(3-mo.

CME

Term

SOFR

at

0.97%

Floor

+

1.23%),

6.52%,

04/17/31

.

130

130,398

CBAM

Ltd.

Series

2019-10A,

Class

A1R,

(3-mo.

CME

Term

SOFR

at

1.12%

Floor

+

1.38%),

6.66%,

04/20/32

...

235

234,842

Series

2020-13A,

Class

A,

(3-mo.

CME

Term

SOFR

at

1.43%

Floor

+

1.69%),

6.97%,

01/20/34

...

250

250,182

Cedar

Funding

XIV

CLO

Ltd.,

Series

2021-14A,

Class

A,

(3-mo.

CME

Term

SOFR

at

1.10%

Floor

+

1.36%),

6.66%,

07/15/33

.......

250

252,116

CIFC

Funding

2013-IV

Ltd.,

Series

2013-4A,

Class

A1RR,

(3-mo.

CME

Term

SOFR

at

1.06%

Floor

+

1.32%),

6.59%,

04/27/31

.......

134

134,332

CIFC

Funding

2018-III

Ltd.,

Series

2018-3A,

Class

A,

(3-mo.

CME

Term

SOFR

at

0.00%

Floor

+

1.36%),

6.64%,

07/18/31

............

209

208,677

CIFC

Funding

Ltd.,

Series

2018-1A,

Class

A,

(3-mo.

CME

Term

SOFR

at

0.00%

Floor

+

1.26%),

6.54%,

04/18/31

.................

170

170,161

Security

Par

(000)

Par

(000)

Value

Cayman

Islands

(continued)

Galaxy

XVIII

CLO

Ltd.,

Series

2018-

28A,

Class

A1,

(3-mo.

CME

Term

SOFR

at

1.10%

Floor

+

1.36%),

6.66%,

07/15/31

............

USD

139

$

139,363

Madison

Park

Funding

XVII

Ltd.,

Series

2015-17A,

Class

AR2,

(3-mo.

CME

Term

SOFR

at

0.00%

Floor

+

1.26%),

6.54%,

07/21/30

.......

175

175,222

Neuberger

Berman

CLO

XIV

Ltd.,

Series

2013-14A,

Class

AR2,

(3-mo.

CME

Term

SOFR

at

1.03%

Floor

+

1.29%),

6.56%,

01/28/30

.......

107

107,163

Neuberger

Berman

Loan

Advisers

CLO

40

Ltd.,

Series

2021-40A,

Class

A,

(3-mo.

CME

Term

SOFR

at

1.06%

Floor

+

1.32%),

6.61%,

04/16/33

.

248

248,690

OCP

CLO

Ltd.

Series

2014-7A,

Class

A1RR,

(3-mo.

CME

Term

SOFR

at

0.00%

Floor

+

1.38%),

6.66%,

07/20/29

...

60

60,309

Series

2016-11A,

Class

A1R2,

(3-

mo.

CME

Term

SOFR

at

1.42%

Floor

+

1.42%),

6.70%,

04/26/36

250

250,065

Series

2019-17A,

Class

AR2,

(3-mo.

CME

Term

SOFR

at

1.40%

Floor

+

1.40%),

6.70%,

07/20/37

...

250

250,619

OHA

Credit

Funding

5

Ltd.

Series

2020-5A,

Class

AR,

(3-mo.

CME

Term

SOFR

at

1.35%

Floor

+

1.35%),

0.00%,

10/18/37

...

250

250,000

Series

2020-5A,

Class

B1R,

(3-mo.

CME

Term

SOFR

at

1.70%

Floor

+

1.70%),

0.00%,

10/18/37

...

250

250,000

OHA

Loan

Funding

Ltd.,

Series

2015-

1A,

Class

AR3,

(3-mo.

CME

Term

SOFR

at

1.15%

Floor

+

1.41%),

6.69%,

01/19/37

............

250

250,253

Palmer

Square

Loan

Funding

Ltd.,

Series

2022-2A,

Class

A1,

(3-mo.

CME

Term

SOFR

at

1.27%

Floor

+

1.27%),

6.57%,

10/15/30

.......

125

125,359

Regatta

XXVIII

Funding

Ltd.,

Series

2024-2A,

Class

A1,

(3-mo.

CME

Term

SOFR

at

1.55%

Floor

+

1.55%),

6.83%,

04/25/37

.......

250

250,630

Trestles

CLO

II

Ltd.,

Series

2018-2A,

Class

A1R,

(3-mo.

CME

Term

SOFR

at

1.57%

Floor

+

1.57%),

6.89%,

07/25/37

.................

250

251,456

Trestles

CLO

III

Ltd.,

Series

2020-3A,

Class

A1,

(3-mo.

CME

Term

SOFR

at

1.33%

Floor

+

1.59%),

6.87%,

01/20/33

.................

250

250,269

Voya

CLO

Ltd.,

Series

2019-1A,

Class

AR,

(3-mo.

CME

Term

SOFR

at

1.06%

Floor

+

1.32%),

6.62%,

04/15/31

.................

138

138,218

6,242,390

Jersey,

Channel

Islands

—

0.5%

Benefit

Street

Partners

CLO

XXXV

Ltd.,

Series

2024-35A,

Class

D,

(3-mo.

CME

Term

SOFR

at

3.30%

Floor

+

3.30%),

8.63%,

04/25/37

(a)

(b)

....

250

253,519

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

5

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

United

States

—

6.2%

(a)

ARI

Fleet

Lease

Trust,

Series

2023-B,

Class

A3,

5.89%,

07/15/32

.....

USD

100

$

103,591

College

Avenue

Student

Loans

LLC

Series

2021-A,

Class

A1,

(1-mo.

CME

Term

SOFR

at

1.10%

Floor

+

1.21%),

6.07%,

07/25/51

(b)

..

44

43,532

Series

2021-C,

Class

A2,

2.32%,

07/26/55

...............

129

116,895

Series

2023-A,

Class

A2,

5.33%,

05/25/55

...............

92

92,912

EDvestinU

Private

Education

Loan

Issue

No.

LLC,

Series

2021-A,

Class

A,

1.80%,

11/25/45

..........

66

60,378

ELFI

Graduate

Loan

Program

LLC,

Series

2023-A,

Class

A,

6.37%,

02/04/48

.................

92

95,624

Enterprise

Fleet

Financing

LLC,

Series

2022-3,

Class

A3,

4.29%,

07/20/29

132

131,922

Lendmark

Funding

Trust,

Series

2024-

1A,

Class

D,

7.21%,

06/21/32

...

110

112,674

Mariner

Finance

Issuance

Trust,

Series

2021-AA,

Class

A,

1.86%,

03/20/36

100

95,189

Navient

Private

Education

Loan

Trust

Series

2014-AA,

Class

A3,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

+

1.71%),

6.81%,

10/15/31

(b)

..

44

44,489

Series

2017-A,

Class

B,

3.91%,

12/16/58

...............

78

77,171

Navient

Private

Education

Refi

Loan

Trust

Series

2021-A,

Class

A,

0.84%,

05/15/69

...............

168

152,755

Series

2021-DA,

Class

A,

(US

Prime

Rate

at

0.00%

Floor

-

1.99%),

6.51%,

04/15/60

(b)

.........

51

49,974

Navient

Student

Loan

Trust,

Series

2023-BA,

Class

A1B,

(SOFR

30

day

Average

at

0.00%

Floor

+

1.70%),

7.04%,

03/15/72

(b)

...........

79

79,332

Nelnet

Student

Loan

Trust

Series

2021-A,

Class

APT2,

1.36%,

04/20/62

...............

43

40,022

Series

2021-BA,

Class

AFL,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

+

0.89%),

5.86%,

04/20/62

(b)

..

86

85,316

Series

2021-CA,

Class

AFL,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

+

0.85%),

5.82%,

04/20/62

(b)

..

87

86,115

NYMT

Trust,

Series

2024-RR1,

Class

A,

7.37%,

05/25/64

(c)

...........

98

96,914

OneMain

Financial

Issuance

Trust

Series

2023-2A,

Class

A2,

(SOFR

30

day

Average

at

0.00%

Floor

+

1.50%),

6.84%,

09/15/36

(b)

...

125

126,897

Series

2023-2A,

Class

B,

6.17%,

09/15/36

...............

125

130,784

PRET

LLC,

Series

2024-NPL4,

Class

A1,

7.00%,

07/25/54

(c)

........

99

100,210

Regional

Management

Issuance

Trust

Series

2021-1,

Class

A,

1.68%,

03/17/31

...............

55

54,172

Series

2021-2,

Class

A,

1.90%,

08/15/33

...............

100

93,427

Series

2024-1,

Class

A,

5.83%,

07/15/36

...............

100

103,496

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

SMB

Private

Education

Loan

Trust

Series

2018-C,

Class

A2A,

3.63%,

11/15/35

...............

USD

54

$

53,038

Series

2021-A,

Class

A2A1,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

+

0.84%),

5.94%,

01/15/53

(b)

..

90

88,865

Series

2021-A,

Class

A2B,

1.59%,

01/15/53

...............

90

82,203

Series

2021-C,

Class

APT1,

1.39%,

01/15/53

...............

52

46,917

Series

2021-C,

Class

B,

2.30%,

01/15/53

...............

142

135,884

Series

2022-A,

Class

APT,

2.85%,

11/16/54

...............

91

84,774

Series

2022-D,

Class

B,

6.15%,

10/15/58

...............

77

79,139

Series

2023-A,

Class

A1B,

(SOFR

30

day

Average

at

1.50%

Floor

+

1.50%),

6.84%,

01/15/53

(b)

...

89

89,589

Series

2023-B,

Class

A1B,

(SOFR

30

day

Average

at

1.80%

Floor

+

1.80%),

7.14%,

10/16/56

(b)

...

102

103,911

Series

2023-C,

Class

A1A,

5.67%,

11/15/52

...............

146

150,788

Series

2024-A,

Class

A1A,

5.24%,

03/15/56

...............

128

131,703

Series

2024-A,

Class

A1B,

(SOFR

30

day

Average

at

1.45%

Floor

+

1.45%),

6.79%,

03/15/56

(b)

...

95

95,756

SoFi

Professional

Loan

Program

LLC,

Series

2017-E,

Class

B,

3.49%,

11/26/40

..................

79

78,044

Tricon

Residential

Trust,

Series

2024-

SFR3,

Class

A,

4.50%,

08/17/41

.

100

99,476

3,493,878

Total

Asset-Backed

Securities

—

17.9%

(Cost:

$

9,906,082

)

..............................

9,989,787

Corporate

Bonds

Australia

—

0.4%

(a)

FMG

Resources

August

2006

Pty.

Ltd.

,

6.13%

,

04/15/32

............

100

102,286

Mineral

Resources

Ltd.

,

8.00%

,

11/01/27

..................

100

102,716

205,002

Austria

—

0.2%

ams-OSRAM

AG

,

10.50%

,

03/30/29

(d)

EUR

100

115,184

Canada

—

1.1%

1011778

BC

ULC

,

4.00%

,

10/15/30

(a)

USD

100

92,214

Air

Canada

,

3.88%

,

08/15/26

(a)

.....

2

1,948

Bombardier,

Inc.

,

8.75%

,

11/15/30

(a)

.

100

109,808

Enbridge,

Inc.

,

6.70%

,

11/15/53

....

10

11,579

Methanex

Corp.

,

5.13%

,

10/15/27

...

100

98,951

NOVA

Chemicals

Corp.

,

4.25%

,

05/15/29

(a)

................

100

92,973

Open

Text

Corp.

,

3.88%

,

02/15/28

(a)

.

100

95,504

Parkland

Corp.

,

4.63%

,

05/01/30

(a)

..

100

94,305

597,282

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

6

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Czech

Republic

—

0.2%

Allwyn

Entertainment

Financing

UK

plc

,

7.25%

,

04/30/30

(d)

...........

EUR

100

$

117,994

Denmark

—

0.2%

Danske

Bank

A/S

,

(3-mo.

EURIBOR

+

0.65%),

4.35%

,

04/10/27

(b)

(d)

....

100

111,543

Finland

—

0.2%

Citycon

Treasury

BV

,

1.63%

,

03/12/28

(d)

100

102,610

France

—

3.4%

(d)

Altice

France

SA

,

5.88%

,

02/01/27

..

100

87,207

Banijay

Entertainment

SAS

,

7.00%

,

05/01/29

.................

100

117,020

Banque

Federative

du

Credit

Mutuel

SA

,

(3-mo.

EURIBOR

+

0.64%),

4.10%

,

03/05/27

(b)

...........

200

223,632

Bertrand

Franchise

Finance

SAS

,

(3-mo.

EURIBOR

at

0.00%

Floor

+

3.75%),

7.49%

,

07/18/30

(b)

.....

100

112,108

BPCE

SA

(b)

(3-mo.

EURIBOR

+

0.39%),

3.84%

,

03/06/26

...............

100

111,395

(3-mo.

EURIBOR

+

0.61%),

4.08%

,

03/08/27

...............

100

111,765

Credit

Agricole

SA

,

3.75%

,

01/22/34

.

100

115,323

Goldstory

SAS

,

(3-mo.

EURIBOR

at

0.00%

Floor

+

4.00%),

7.63%

,

02/01/30

(b)

................

100

111,446

Iliad

Holding

SASU

,

6.88%

,

04/15/31

100

118,272

iliad

SA

,

5.38%

,

02/15/29

........

100

116,324

Lion/Polaris

Lux

4

SA

,

(3-mo.

EURIBOR

at

0.00%

Floor

+

3.63%),

7.33%

,

07/01/29

(b)

...........

100

111,872

RCI

Banque

SA

,

(5-Year

EURIBOR

ICE

Swap

Rate

+

2.75%),

5.50%

,

10/09/34

(b)

................

200

227,394

Societe

Generale

SA

,

(3-mo.

EURIBOR

+

0.50%),

4.18%

,

01/19/26

(b)

....

100

111,649

Worldline

SA

0.00%

,

07/30/26

(e)

(f)

..........

100

101,018

4.13%

,

09/12/28

............

100

108,454

1,884,879

Germany

—

5.6%

(d)

ADLER

Real

Estate

GmbH

,

3.00%

,

04/27/26

.................

100

106,001

Bayer

AG

(b)

(5-Year

EURIBOR

ICE

Swap

Rate

+

3.27%),

5.50%

,

09/13/54

....

100

111,291

(5-Year

EUR

Swap

Annual

+

3.75%),

4.50%

,

03/25/82

....

100

110,004

Cheplapharm

Arzneimittel

GmbH

,

7.50%

,

05/15/30

............

100

117,194

Commerzbank

AG

(b)

(5-Year

EUR

Swap

Annual

+

6.36%),

6.13%

(g)

..........

200

223,260

(3-mo.

EURIBOR

+

0.70%),

4.16%

,

03/12/27

...............

100

111,740

EnBW

International

Finance

BV

,

3.85%

,

05/23/30

.................

23

26,683

Gruenenthal

GmbH

,

6.75%

,

05/15/30

100

119,360

Heidelberg

Materials

Finance

Luxembourg

SA

,

4.88%

,

11/21/33

100

121,392

HT

Troplast

GmbH

,

9.38%

,

07/15/28

.

100

114,787

Security

Par

(000)

Par

(000)

Value

Germany

(continued)

IHO

Verwaltungs

GmbH

(h)

3.75%

,

(

3.75

%

Cash

or

4.50

%

PIK),

09/15/26

...............

EUR

100

$

111,009

8.75%

,

(

8.75

%

Cash

or

9.50

%

PIK),

05/15/28

(b)

..............

100

116,912

Mahle

GmbH

,

2.38%

,

05/14/28

....

100

96,316

Merck

KGaA

,

(5-Year

EURIBOR

ICE

Swap

Rate

+

1.54%),

3.88%

,

08/27/54

(b)

................

100

111,341

Nidda

Healthcare

Holding

GmbH

,

7.00%

,

02/21/30

............

100

116,046

Sartorius

Finance

BV

,

4.88%

,

09/14/35

100

119,468

TK

Elevator

Holdco

GmbH

,

6.63%

,

07/15/28

.................

90

99,933

Traton

Finance

Luxembourg

SA

,

(3-mo.

EURIBOR

at

0.00%

Floor

+

1.00%),

4.69%

,

01/21/26

(b)

...........

100

111,988

TUI

AG

,

5.88%

,

03/15/29

........

100

115,977

TUI

Cruises

GmbH

,

6.50%

,

05/15/26

90

102,115

Volkswagen

International

Finance

NV

(b)

(3-mo.

EURIBOR

+

0.65%),

4.00%

,

03/27/26

...............

100

111,714

(9-Year

EUR

Swap

Annual

+

3.96%),

3.88%

(g)

..........

100

103,547

Volkswagen

Leasing

GmbH

,

4.75%

,

09/25/31

.................

100

117,238

Wintershall

Dea

Finance

BV

1.33%

,

09/25/28

............

200

205,391

4.36%

,

10/03/32

............

100

111,772

ZF

Europe

Finance

BV

4.75%

,

01/31/29

............

100

107,864

6.13%

,

03/13/29

............

100

113,444

3,133,787

Greece

—

0.2%

National

Bank

of

Greece

SA

,

(5-Year

EURIBOR

ICE

Swap

Rate

+

3.15%),

5.88%

,

06/28/35

(b)

(d)

..........

100

115,927

Ireland

—

0.6%

(d)

Bank

of

Ireland

Group

plc

,

(5-Year

EUR

Swap

Annual

+

6.43%),

6.00%

(b)

(g)

200

224,344

Kerry

Group

Financial

Services

Unltd

Co.

,

3.38%

,

03/05/33

.........

100

112,616

336,960

Israel

—

0.5%

Teva

Pharmaceutical

Finance

Netherlands

II

BV

7.38%

,

09/15/29

............

100

124,951

7.88%

,

09/15/31

............

100

131,769

256,720

Italy

—

3.4%

Azzurra

Aeroporti

SpA

,

2.63%

,

05/30/27

(d)

................

100

107,093

Banca

Monte

dei

Paschi

di

Siena

SpA

,

(5-Year

EURIBOR

ICE

Swap

Rate

at

0.00%

Floor

+

5.01%),

7.71%

,

01/18/28

(b)

(d)

...............

100

121,202

Bubbles

Bidco

SpA

,

(3-mo.

EURIBOR

+

4.25%),

7.53%

,

09/30/31

(b)

(d)

....

100

111,037

Cedacri

Mergeco

SpA

,

(3-mo.

EURIBOR

at

0.00%

Floor

+

5.50%),

9.04%

,

05/15/28

(b)

(d)

..........

100

111,565

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

7

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Italy

(continued)

Engineering

-

Ingegneria

Informatica

-

SpA

,

11.13%

,

05/15/28

(d)

.......

EUR

100

$

112,985

Eni

SpA

,

3.88%

,

01/15/34

(d)

.......

100

114,208

FIS

Fabbrica

Italiana

Sintetici

SpA

,

5.63%

,

08/01/27

(d)

...........

100

111,048

Intesa

Sanpaolo

SpA

,

(5-Year

EUR

Swap

Annual

+

5.85%),

5.50%

(b)

(d)

(g)

250

276,896

Lottomatica

SpA

,

5.38%

,

06/01/30

(d)

.

100

115,265

Nexi

SpA

,

0.00%

,

02/24/28

(d)

(e)

(f)

....

200

193,694

Optics

Bidco

SpA

,

7.20%

,

07/18/36

(a)

USD

200

215,234

Pachelbel

Bidco

SpA

,

(3-mo.

EURIBOR

at

0.00%

Floor

+

4.25%),

8.07%

,

05/17/31

(b)

(d)

...............

EUR

100

112,039

Rossini

SARL

,

(3-mo.

EURIBOR

at

0.00%

Floor

+

3.88%),

7.22%

,

12/31/29

(b)

(d)

...............

100

112,264

Snam

SpA

,

(5-Year

EURIBOR

ICE

Swap

Rate

+

2.16%),

4.50%

(b)

(d)

(g)

.

100

112,484

1,927,014

Japan

—

0.4%

SoftBank

Group

Corp.

(d)

4.00%

,

09/19/29

............

100

107,319

3.88%

,

07/06/32

............

100

102,250

209,569

Jersey,

Channel

Islands

—

0.2%

Aston

Martin

Capital

Holdings

Ltd.

,

10.38%

,

03/31/29

(d)

..........

GBP

100

133,087

Luxembourg

—

1.3%

Altice

Financing

SA

,

9.63%

,

07/15/27

(a)

USD

200

194,794

Cidron

Aida

Finco

SARL

,

6.25%

,

04/01/28

(d)

................

GBP

100

126,910

Ephios

Subco

3

SARL

,

7.88%

,

01/31/31

(d)

................

EUR

100

120,007

INEOS

Finance

plc

,

6.38%

,

04/15/29

(d)

100

114,991

Intelsat

Jackson

Holdings

SA

,

6.50%

,

03/15/30

(a)

................

USD

100

95,677

Kleopatra

Finco

SARL

,

4.25%

,

03/01/26

(d)

................

EUR

100

104,408

756,787

Netherlands

—

2.5%

Boels

Topholding

BV

,

5.75%

,

05/15/30

(d)

100

114,399

Cooperatieve

Rabobank

UA

,

(3-mo.

EURIBOR

+

1.15%),

4.23%

,

04/25/29

(b)

(d)

...............

100

115,832

IMCD

NV

,

3.63%

,

04/30/30

(d)

......

100

111,572

ING

Groep

NV

(b)(d)

(3-mo.

EURIBOR

+

1.60%),

4.50%

,

05/23/29

...............

100

116,339

(USISSO05

+

4.36%),

8.00%

(g)

..

USD

200

214,764

Q-Park

Holding

I

BV

,

5.13%

,

02/15/30

(d)

EUR

100

113,541

REWE

International

Finance

BV

,

4.88%

,

09/13/30

(d)

...........

100

119,140

Titan

Holdings

II

BV

,

5.13%

,

07/15/29

(d)

100

112,985

VZ

Secured

Financing

BV

,

5.00%

,

01/15/32

(a)

................

USD

200

184,049

VZ

Vendor

Financing

II

BV

,

2.88%

,

01/15/29

(d)

................

EUR

100

102,837

Ziggo

BV

,

2.88%

,

01/15/30

(d)

......

100

102,856

1,408,314

Security

Par

(000)

Par

(000)

Value

Norway

—

0.2%

Var

Energi

ASA

,

(5-Year

EURIBOR

ICE

Swap

Rate

+

4.77%),

7.86%

,

11/15/83

(b)

(d)

...............

EUR

100

$

122,168

Portugal

—

0.6%

EDP

SA

(b)(d)

(5-Year

EURIBOR

ICE

Swap

Rate

+

2.05%),

4.75%

,

05/29/54

....

100

112,595

(5-Year

EURIBOR

ICE

Swap

Rate

+

2.40%),

4.63%

,

09/16/54

....

100

111,595

(5-Year

EUR

Swap

Annual

+

1.84%),

1.70%

,

07/20/80

....

100

109,315

333,505

Romania

—

0.2%

RCS

&

RDS

SA

,

3.25%

,

02/05/28

(d)

..

100

106,779

Spain

—

1.8%

(d)

Banco

de

Credito

Social

Cooperativo

SA

(b)

(1-Year

EURIBOR

ICE

Swap

Rate

+

4.27%),

7.50%

,

09/14/29

....

100

126,713

(1-Year

EURIBOR

ICE

Swap

Rate

+

1.70%),

4.13%

,

09/03/30

....

100

112,772

Banco

de

Sabadell

SA

,

(1-Year

EUR

Swap

Annual

+

1.60%),

4.00%

,

01/15/30

(b)

................

100

115,276

CaixaBank

SA

,

(5-Year

EUR

Swap

Annual

+

6.35%),

5.88%

(b)

(g)

.....

200

223,743

Cellnex

Telecom

SA

,

0.75%

,

11/20/31

(f)

100

97,993

Kaixo

Bondco

Telecom

SA

,

5.13%

,

09/30/29

.................

100

111,176

Naturgy

Finance

Iberia

SA

,

(5-Year

EUR

Swap

Annual

+

2.44%),

2.37%

(b)

(g)

.................

100

107,474

Telefonica

Europe

BV

,

(7-Year

EUR

Swap

Annual

+

3.35%),

6.14%

(b)

(g)

100

118,887

1,014,034

Sweden

—

0.7%

Fastighets

AB

Balder

,

1.13%

,

01/29/27

(d)

................

100

105,370

Heimstaden

Bostad

Treasury

BV

,

1.38%

,

03/03/27

(d)

...........

100

102,990

Stena

International

SA

,

7.25%

,

01/15/31

(a)

................

USD

200

210,166

418,526

Switzerland

—

1.3%

ABB

Finance

BV

(d)

0.00%

,

01/19/30

............

EUR

100

95,964

3.38%

,

01/15/34

............

100

113,526

Julius

Baer

Group

Ltd.

,

(5-Year

US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

+

4.62%),

4.88%

(b)

(d)

(g)

................

USD

200

192,900

UBS

Group

AG

,

(USISSO05

+

3.63%),

6.85%

(a)

(b)

(g)

................

200

202,381

VistaJet

Malta

Finance

plc

,

9.50%

,

06/01/28

(a)

................

100

97,739

702,510

United

Kingdom

—

6.5%

Ardonagh

Finco

Ltd.

,

6.88%

,

02/15/31

(d)

EUR

100

112,845

Barclays

plc

(b)

(3-mo.

EURIBOR

+

1.00%),

4.58%

,

05/12/26

(d)

..............

100

111,861

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

8

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

United

Kingdom

(continued)

(3-mo.

EURIBOR

+

0.80%),

4.32%

,

05/08/28

(d)

..............

EUR

100

$

111,569

(BPSWS5

+

5.64%),

9.25%

(g)

...

GBP

200

283,666

(1-Year

EUR

Swap

Annual

+

1.75%),

4.92%

,

08/08/30

(d)

...

EUR

100

119,035

BCP

V

Modular

Services

Finance

II

plc

,

6.13%

,

11/30/28

(d)

...........

GBP

100

127,022

Bellis

Acquisition

Co.

plc

,

8.13%

,

05/14/30

(d)

................

116

153,492

British

Telecommunications

plc

(d)

4.25%

,

01/06/33

............

EUR

100

118,290

(5-Year

U.K.

Government

Bonds

Note

Generic

Bid

Yield

+

3.82%),

8.38%

,

12/20/83

(b)

.........

GBP

100

144,147

Centrica

plc

,

(5-Year

U.K.

Government

Bonds

Note

Generic

Bid

Yield

+

2.51%),

6.50%

,

05/21/55

(b)

(d)

....

100

137,071

CK

Hutchison

Group

Telecom

Finance

SA

,

2.63%

,

10/17/34

(d)

........

200

197,368

CPUK

Finance

Ltd.

,

3.59%

,

08/28/25

(d)

100

131,649

Galaxy

Bidco

Ltd.

,

6.50%

,

07/31/26

(d)

100

132,692

Heathrow

Finance

plc

,

4.13%

,

09/01/29

(c)

(d)

...............

100

122,331

HSBC

Holdings

plc

,

(3-mo.

EURIBOR

+

1.00%),

4.44%

,

09/24/26

(b)

(d)

....

EUR

100

112,082

INEOS

Quattro

Finance

2

plc

,

8.50%

,

03/15/29

(d)

................

100

117,841

Kier

Group

plc

,

9.00%

,

02/15/29

(d)

...

GBP

100

143,054

Market

Bidco

Finco

plc

,

5.50%

,

11/04/27

(d)

................

100

126,026

Motability

Operations

Group

plc

,

0.13%

,

07/20/28

(d)

................

EUR

100

100,691

Motion

Finco

SARL

,

7.38%

,

06/15/30

(d)

200

225,268

Pinewood

Finco

plc

,

6.00%

,

03/27/30

(d)

GBP

100

134,068

Pinnacle

Bidco

plc

,

10.00%

,

10/11/28

(d)

100

142,552

Virgin

Media

Secured

Finance

plc

,

5.25%

,

05/15/29

(d)

...........

100

125,673

Vmed

O2

UK

Financing

I

plc

,

4.75%

,

07/15/31

(a)

................

USD

200

178,005

Vodafone

Group

plc

(b)

Series

60NC10

,

(5-Year

EUR

Swap

Annual

+

3.48%),

3.00%

,

08/27/80

(d)

..............

EUR

200

207,443

(5-Year

US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

+

2.77%),

4.13%

,

06/04/81

....

USD

7

6,346

3,622,087

United

States

—

26.3%

AES

Corp.

(The)

,

(5-Year

US

Treasury

Yield

Curve

Rate

T

Note

Constant

Maturity

+

3.20%),

7.60%

,

01/15/55

(b)

................

100

105,204

Albertsons

Cos.,

Inc.

,

6.50%

,

02/15/28

(a)

................

100

101,820

Allied

Universal

Holdco

LLC

4.88%

,

06/01/28

(d)

...........

GBP

100

123,061

7.88%

,

02/15/31

(a)

...........

USD

100

102,149

AMC

Networks,

Inc.

,

4.25%

,

02/15/29

100

72,324

American

Airlines,

Inc.

,

5.75%

,

04/20/29

(a)

................

100

99,834

American

Axle

&

Manufacturing,

Inc.

,

6.88%

,

07/01/28

............

100

99,836

American

Tower

Corp.

,

3.38%

,

10/15/26

73

71,734

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

Antero

Midstream

Partners

LP

,

5.38%

,

06/15/29

(a)

................

USD

100

$

98,949

Ardagh

Packaging

Finance

plc

,

2.13%

,

08/15/26

(d)

................

EUR

100

96,296

Asbury

Automotive

Group,

Inc.

,

5.00%

,

02/15/32

(a)

................

USD

100

94,828

Avantor

Funding,

Inc.

,

4.63%

,

07/15/28

(a)

................

100

97,739

Avis

Budget

Car

Rental

LLC

,

8.00%

,

02/15/31

(a)

................

100

102,272

Bank

of

America

Corp.

(b)

(3-mo.

CME

Term

SOFR

+

1.07%),

3.37%

,

01/23/26

..........

3

2,983

(1-day

SOFR

+

1.33%),

3.38%

,

04/02/26

...............

5

4,960

(1-day

SOFR

+

0.96%),

1.73%

,

07/22/27

...............

57

54,417

(3-mo.

CME

Term

SOFR

+

1.47%),

3.97%

,

02/07/30

..........

47

46,182

(3-mo.

EURIBOR

+

0.79%),

0.69%

,

03/22/31

(d)

..............

EUR

200

194,650

BP

Capital

Markets

plc

,

1.57%

,

02/16/27

(d)

................

100

108,469

Builders

FirstSource,

Inc.

,

6.38%

,

06/15/32

(a)

................

USD

100

103,662

Caesars

Entertainment,

Inc.

,

6.50%

,

02/15/32

(a)

................

100

103,441

Carnival

Corp.

,

7.00%

,

08/15/29

(a)

...

100

106,250

CCO

Holdings

LLC

5.13%

,

05/01/27

(a)

...........

100

98,421

5.00%

,

02/01/28

(a)

...........

100

97,276

4.75%

,

02/01/32

(a)

...........

100

88,128

4.50%

,

05/01/32

............

100

86,465

Charles

River

Laboratories

International,

Inc.

,

4.00%

,

03/15/31

(a)

100

92,186

Charter

Communications

Operating

LLC

,

4.91%

,

07/23/25

.........

2

1,997

Chemours

Co.

(The)

,

5.75%

,

11/15/28

(a)

100

94,991

Churchill

Downs,

Inc.

,

6.75%

,

05/01/31

(a)

................

100

103,266

Citigroup,

Inc.

,

(1-day

SOFR

+

2.84%),

3.11%

,

04/08/26

(b)

...........

8

7,921

Clarios

Global

LP

,

6.75%

,

05/15/28

(a)

.

100

103,075

Clear

Channel

Outdoor

Holdings,

Inc.

,

5.13%

,

08/15/27

(a)

...........

100

98,311

Cleveland-Cliffs,

Inc.

,

7.00%

,

03/15/32

(a)

100

101,099

Cloud

Software

Group,

Inc.

,

8.25%

,

06/30/32

(a)

................

478

499,653

Comcast

Corp.

,

3.25%

,

09/26/32

...

EUR

100

111,898

Comstock

Resources,

Inc.

,

6.75%

,

03/01/29

(a)

................

USD

100

97,630

Constellium

SE

,

5.38%

,

08/15/32

(d)

..

EUR

100

114,543

Consumers

Energy

Co.

,

4.20%

,

09/01/52

.................

USD

26

22,876

Coty,

Inc.

,

5.00%

,

04/15/26

(a)

......

100

99,567

Dana,

Inc.

,

4.25%

,

09/01/30

......

100

89,789

Delta

Air

Lines,

Inc.

7.38%

,

01/15/26

............

100

102,876

3.75%

,

10/28/29

............

100

94,525

Diamondback

Energy,

Inc.

,

3.50%

,

12/01/29

.................

27

25,680

DirecTV

Financing

LLC

,

5.88%

,

08/15/27

(a)

................

100

98,183

DT

Midstream,

Inc.

,

4.13%

,

06/15/29

(a)

100

95,654

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

9

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

Duke

Energy

Corp.

,

3.10%

,

06/15/28

EUR

100

$

111,343

Energizer

Holdings,

Inc.

,

4.38%

,

03/31/29

(a)

................

USD

100

94,700

EnLink

Midstream

LLC

,

5.38%

,

06/01/29

.................

100

102,520

Entegris,

Inc.

,

4.75%

,

04/15/29

(a)

...

100

98,545

Enterprise

Products

Operating

LLC

,

3.95%

,

01/31/60

............

14

10,982

EQT

Corp.

,

3.13%

,

05/15/26

(a)

.....

52

50,629

Equinix,

Inc.

1.80%

,

07/15/27

............

15

14,066

2.00%

,

05/15/28

............

15

13,830

FirstEnergy

Corp.

,

Series

B

,

3.90%

,

07/15/27

(c)

................

78

77,190

Florida

Power

&

Light

Co.

,

5.30%

,

04/01/53

.................

21

21,938

Freedom

Mortgage

Holdings

LLC

,

9.25%

,

02/01/29

(a)

...........

100

103,945

Frontier

Communications

Holdings

LLC

(a)

5.00%

,

05/01/28

............

100

99,098

8.75%

,

05/15/30

............

100

106,566

Gen

Digital,

Inc.

,

6.75%

,

09/30/27

(a)

.

100

102,747

Gilead

Sciences,

Inc.

,

2.60%

,

10/01/40

30

22,454

Goldman

Sachs

Group,

Inc.

(The)

(1-day

SOFR

+

0.79%),

1.09%

,

12/09/26

(b)

..............

109

104,551

(1-day

SOFR

+

1.85%),

3.62%

,

03/15/28

(b)

..............

104

102,319

2.00%

,

03/22/28

(d)

...........

EUR

25

27,117

0.88%

,

05/09/29

(d)

...........

100

101,042

(1-day

SOFR

+

1.27%),

5.73%

,

04/25/30

(b)

..............

USD

59

62,006

Goodyear

Tire

&

Rubber

Co.

(The)

,

5.00%

,

07/15/29

............

100

91,973

Gray

Television,

Inc.

,

7.00%

,

05/15/27

(a)

100

98,290

Hanesbrands,

Inc.

,

9.00%

,

02/15/31

(a)

100

107,940

HCA,

Inc.

,

5.63%

,

09/01/28

.......

74

76,830

Helios

Software

Holdings,

Inc.

,

Series

SEPT

,

7.88%

,

05/01/29

(d)

......

EUR

100

113,244

Hess

Midstream

Operations

LP

,

5.63%

,

02/15/26

(a)

................

USD

100

100,008

Hilcorp

Energy

I

LP

,

8.38%

,

11/01/33

(a)

100

107,810

Hilton

Domestic

Operating

Co.,

Inc.

,

5.75%

,

05/01/28

(a)

...........

100

100,439

Hilton

Grand

Vacations

Borrower

Escrow

LLC

,

5.00%

,

06/01/29

(a)

..

100

95,005

Home

Depot,

Inc.

(The)

,

3.63%

,

04/15/52

.................

28

22,530

Honeywell

International,

Inc.

,

3.75%

,

05/17/32

.................

EUR

100

115,189

Intercontinental

Exchange,

Inc.

,

3.63%

,

09/01/28

.................

USD

11

10,743

Iron

Mountain,

Inc.

(a)

7.00%

,

02/15/29

............

100

104,231

4.50%

,

02/15/31

............

100

94,860

Jefferies

GmbH

,

(ESTRON

at

0.00%

Floor

+

0.80%),

4.24%

,

07/22/26

(b)

(d)

EUR

100

111,201

John

Deere

Capital

Corp.

,

3.45%

,

07/16/32

(d)

................

100

114,090

JPMorgan

Chase

&

Co.

(b)

(1-day

SOFR

+

1.33%),

6.07%

,

10/22/27

...............

USD

19

19,692

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

(1-day

SOFR

+

1.19%),

5.04%

,

01/23/28

...............

USD

9

$

9,151

(3-mo.

CME

Term

SOFR

+

1.52%),

4.20%

,

07/23/29

..........

102

101,620

(3-mo.

EURIBOR

+

1.28%),

4.46%

,

11/13/31

(d)

..............

EUR

100

119,004

KLA

Corp.

,

5.25%

,

07/15/62

......

USD

11

11,319

Kronos

International,

Inc.

,

9.50%

,

03/15/29

(d)

................

EUR

100

121,053

L3Harris

Technologies,

Inc.

4.40%

,

06/15/28

............

USD

25

25,105

5.05%

,

06/01/29

............

50

51,499

Lam

Research

Corp.

,

3.13%

,

06/15/60

16

11,044

Lamar

Media

Corp.

,

4.88%

,

01/15/29

100

98,785

Live

Nation

Entertainment,

Inc.

,

6.50%

,

05/15/27

(a)

................

100

101,999

Lowe's

Cos.,

Inc.

,

4.45%

,

04/01/62

..

27

22,875

Macy's

Retail

Holdings

LLC

,

5.88%

,

03/15/30

(a)

................

100

98,046

Match

Group

Holdings

II

LLC

,

5.00%

,

12/15/27

(a)

................

100

98,849

Medline

Borrower

LP

,

3.88%

,

04/01/29

(a)

................

100

94,676

MGM

Resorts

International

,

5.75%

,

06/15/25

.................

100

100,340

Morgan

Stanley

(b)

Series

I

,

(1-day

SOFR

+

0.75%),

0.86%

,

10/21/25

..........

3

2,992

(1-day

SOFR

+

0.56%),

1.16%

,

10/21/25

...............

24

23,952

(3-mo.

EURIBOR

+

0.65%),

4.13%

,

03/19/27

...............

EUR

200

223,349

(1-day

SOFR

+

0.88%),

1.59%

,

05/04/27

...............

USD

27

25,836

(1-day

SOFR

+

1.01%),

5.65%

,

04/13/28

...............

50

51,617

(3-mo.

EURIBOR

+

1.30%),

4.66%

,

03/02/29

...............

EUR

100

116,972

NCL

Corp.

Ltd.

,

8.38%

,

02/01/28

(a)

..

USD

100

105,015

Nestle

Finance

International

Ltd.

,

1.25%

,

11/02/29

(d)

...........

EUR

100

104,741

Newell

Brands,

Inc.

,

5.70%

,

04/01/26

(c)

USD

100

100,245

Nexstar

Media,

Inc.

,

5.63%

,

07/15/27

(a)

100

99,053

NGL

Energy

Operating

LLC

,

8.13%

,

02/15/29

(a)

................

100

102,535

Novelis

Corp.

,

3.88%

,

08/15/31

(a)

...

100

91,416

NRG

Energy,

Inc.

,

5.25%

,

06/15/29

(a)

100

99,668

NuStar

Logistics

LP

,

6.00%

,

06/01/26

100

100,594

OI

European

Group

BV

,

6.25%

,

05/15/28

(d)

................

EUR

100

115,935

Olympus

Water

US

Holding

Corp.

,

9.63%

,

11/15/28

(d)

...........

100

119,423

Oracle

Corp.

2.30%

,

03/25/28

............

USD

83

77,946

3.85%

,

04/01/60

............

30

22,583

Organon

&

Co.

2.88%

,

04/30/28

(d)

...........

EUR

100

106,796

5.13%

,

04/30/31

(a)

...........

USD

200

188,424

Outfront

Media

Capital

LLC

,

4.25%

,

01/15/29

(a)

................

100

95,215

Pacific

Gas

&

Electric

Co.

,

3.30%

,

12/01/27

.................

100

96,509

Park

Intermediate

Holdings

LLC

,

4.88%

,

05/15/29

(a)

...........

100

97,027

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

10

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

PennyMac

Financial

Services,

Inc.

,

7.88%

,

12/15/29

(a)

...........

USD

100

$

106,632

Performance

Food

Group,

Inc.

,

4.25%

,

08/01/29

(a)

................

100

95,095

Pilgrim's

Pride

Corp.

3.50%

,

03/01/32

............

100

88,790

6.88%

,

05/15/34

............

50

55,490

Post

Holdings,

Inc.

,

4.63%

,

04/15/30

(a)

100

95,686

Prime

Security

Services

Borrower

LLC

,

5.75%

,

04/15/26

(a)

...........

100

100,456

Rocket

Mortgage

LLC

,

3.63%

,

03/01/29

(a)

................

100

94,028

RTX

Corp.

,

2.15%

,

05/18/30

......

EUR

100

104,439

SCIL

IV

LLC

,

9.50%

,

07/15/28

(d)

....

100

120,139

Seagate

HDD

Cayman

,

9.63%

,

12/01/32

.................

USD

100

116,114

Sealed

Air

Corp.

,

6.13%

,

02/01/28

(a)

.

100

101,674

Sensata

Technologies,

Inc.

,

3.75%

,

02/15/31

(a)

................

100

91,555

Service

Properties

Trust

4.75%

,

10/01/26

............

100

96,098

3.95%

,

01/15/28

............

100

86,490

Sirius

XM

Radio,

Inc.

(a)

3.13%

,

09/01/26

............

100

96,616

4.00%

,

07/15/28

............

100

94,344

Solventum

Corp.

,

5.45%

,

02/25/27

(a)

.

40

40,826

Southwestern

Energy

Co.

,

5.38%

,

02/01/29

.................

100

99,663

Sprint

Capital

Corp.

,

6.88%

,

11/15/28

83

90,621

Standard

Industries,

Inc.

,

4.75%

,

01/15/28

(a)

................

100

97,949

Starwood

Property

Trust,

Inc.

,

7.25%

,

04/01/29

(a)

................

100

104,856

Sunoco

LP

,

4.50%

,

04/30/30

......

100

95,820

Tallgrass

Energy

Partners

LP

,

7.38%

,

02/15/29

(a)

................

100

101,128

TEGNA,

Inc.

,

4.63%

,

03/15/28

.....

100

95,420

Tenet

Healthcare

Corp.

,

6.75%

,

05/15/31

.................

100

104,237

T-Mobile

USA,

Inc.

,

2.25%

,

02/15/26

.

5

4,861

TransDigm,

Inc.

4.63%

,

01/15/29

............

100

96,564

6.38%

,

03/01/29

(a)

...........

100

103,172

Travel

+

Leisure

Co.

,

6.63%

,

07/31/26

(a)

100

101,889

United

Airlines

Pass-Through

Trust

,

Series

2013-1

,

Class

A

,

4.30%

,

08/15/25

.................

10

9,963

United

Airlines,

Inc.

,

4.38%

,

04/15/26

(a)

100

98,395

United

Rentals

North

America,

Inc.

,

5.50%

,

05/15/27

............

100

100,162

United

Wholesale

Mortgage

LLC

,

5.50%

,

11/15/25

(a)

...........

100

99,814

UnitedHealth

Group,

Inc.

,

4.95%

,

05/15/62

.................

24

23,214

Univision

Communications,

Inc.

,

8.00%

,

08/15/28

(a)

................

100

102,246

USA

Compression

Partners

LP

,

7.13%

,

03/15/29

(a)

................

100

102,995

Venture

Global

LNG,

Inc.

,

8.38%

,

06/01/31

(a)

................

131

138,326

Verizon

Communications,

Inc.

,

2.99%

,

10/30/56

.................

34

22,301

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

VICI

Properties

LP

4.38%

,

05/15/25

............

USD

4

$

3,978

4.63%

,

06/15/25

(a)

...........

3

2,982

4.50%

,

09/01/26

(a)

...........

3

2,986

5.75%

,

02/01/27

(a)

...........

15

15,258

3.75%

,

02/15/27

(a)

...........

55

53,643

3.88%

,

02/15/29

(a)

...........

54

51,717

Vistra

Operations

Co.

LLC

,

5.63%

,

02/15/27

(a)

................

100

99,848

VMware

LLC

,

3.90%

,

08/21/27

.....

93

92,038

Walgreens

Boots

Alliance,

Inc.

,

3.45%

,

06/01/26

.................

100

96,201

Wells

Fargo

&

Co.

(1-day

SOFR

+

1.32%),

3.91%

,

04/25/26

(b)

..............

4

3,975

(1-day

SOFR

+

2.10%),

2.39%

,

06/02/28

(b)

..............

59

56,098

(1-day

SOFR

+

1.50%),

5.20%

,

01/23/30

(b)

..............

60

61,855

0.63%

,

03/25/30

(d)

...........

EUR

100

97,078

WRKCo,

Inc.

,

4.00%

,

03/15/28

.....

USD

52

51,363

Xerox

Holdings

Corp.

,

5.50%

,

08/15/28

(a)

................

100

85,380

14,714,409

Total

Corporate

Bonds

—

58.0%

(Cost:

$

31,398,495

)

..............................

32,446,677

Foreign

Agency

Obligations

Denmark

—

0.2%

Orsted

A/S

,

(5-Year

U.K.

Government

Bonds

Note

Generic

Bid

Yield

+

2.14%),

2.50%

,

02/18/3021

(b)

(d)

...

GBP

100

98,934

Finland

—

0.2%

Finnair

OYJ

,

4.75%

,

05/24/29

(d)

....

EUR

100

111,674

France

—

0.3%

Electricite

de

France

SA

,

(5-Year

EUR

Swap

Annual

+

3.97%),

3.38%

(b)

(d)

(g)

200

202,838

Italy

—

0.2%

Poste

Italiane

SpA

,

(5-Year

EURIBOR

ICE

Swap

Rate

+

2.68%),

2.63%

(b)

(d)

(g)

................

100

101,725

Total

Foreign

Agency

Obligations

—

0.9%

(Cost:

$

488,552

)

................................

515,171

Foreign

Government

Obligations

Brazil

—

1.6%

Federative

Republic

of

Brazil

10.00%

,

01/01/25

...........

BRL

2

394,042

10.00%

,

01/01/27

...........

3

522,682

916,724

Colombia

—

0.4%

Republic

of

Colombia

5.75%

,

11/03/27

............

COP

311,700

68,219

6.00%

,

04/28/28

............

637,900

137,772

205,991

Czech

Republic

—

0.2%

Czech

Republic

5.00%

,

09/30/30

............

CZK

1,310

62,575

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

11

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Czech

Republic

(continued)

4.50%

,

11/11/32

............

CZK

1,100

$

51,477

114,052

Hungary

—

0.0%

Hungary

Government

Bond

,

7.00%

,

10/24/35

.................

HUF

7,640

22,735

Indonesia

—

0.4%

Republic

of

Indonesia

7.00%

,

05/15/27

............

IDR

724,000

48,712

8.25%

,

05/15/36

............

661,000

49,400

7.13%

,

06/15/38

............

1,604,000

110,145

208,257

Mexico

—

1.8%

United

Mexican

States

10.00%

,

12/05/24

...........

MXN

30

152,166

5.75%

,

03/05/26

............

82

395,549

7.00%

,

09/03/26

............

17

81,327

8.50%

,

03/01/29

............

28

136,568

7.50%

,

05/26/33

............

21

93,766

7.75%

,

11/23/34

............

4

17,645

8.50%

,

11/18/38

............

29

136,892

1,013,913

Peru

—

0.3%

Republic

of

Peru

(a)

6.95%

,

08/12/31

............

PEN

304

87,639

7.60%

,

08/12/39

............

295

86,825

174,464

Poland

—

0.3%

Republic

of

Poland

5.75%

,

04/25/29

............

PLN

365

97,807

4.75%

,

07/25/29

............

107

27,443

5.00%

,

10/25/34

............

118

30,045

2.05%

,

08/25/36

............

151

35,345

190,640

South

Africa

—

0.5%

Republic

of

South

Africa

8.00%

,

01/31/30

............

ZAR

2,141

119,576

7.00%

,

02/28/31

............

959

49,668

9.00%

,

01/31/40

............

757

38,293

8.75%

,

01/31/44

............

1,042

50,435

257,972

Thailand

—

0.2%

Kingdom

of

Thailand

,

2.40%

,

03/17/29

THB

2,856

89,228

Uruguay

—

0.0%

Oriental

Republic

of

Uruguay

,

9.75%

,

07/20/33

.................

UYU

222

5,293

Total

Foreign

Government

Obligations

—

5.7%

(Cost:

$

3,402,208

)

..............................

3,199,269

Non-Agency

Mortgage-Backed

Securities

Collateralized

Mortgage

Obligations

—

2

.9

%

United

States

—

2.9%

(a)

A&D

Mortgage

Trust,

Series

2024-

NQM4,

Class

A1,

5.46%,

08/25/69

USD

100

100,121

Angel

Oak

Mortgage

Trust,

Series

2024-3,

Class

A1,

4.80%,

11/26/68

(c)

89

88,852

BINOM

Securitization

Trust,

Series

2021-INV1,

Class

A1,

2.03%,

06/25/56

(b)

................

58

51,834

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

BRAVO

Residential

Funding

Trust,

Series

2024-NQM3,

Class

A1,

6.19%,

03/25/64

(c)

...........

USD

135

$

136,964

Chase

Home

Lending

Mortgage

Trust,

Series

2024-3,

Class

A4,

6.00%,

02/25/55

(b)

................

92

92,803

COLT

Mortgage

Loan

Trust

Series

2021-3,

Class

A1,

0.96%,

09/27/66

(b)

..............

66

55,099

Series

2023-3,

Class

A2,

7.43%,

09/25/68

(c)

..............

84

86,199

Series

2024-INV1,

Class

A1,

5.90%,

12/25/68

(c)

..............

93

93,976

Cross

Mortgage

Trust,

Series

2024-H5,

Class

A1,

5.85%,

08/26/69

(c)

....

97

97,520

CSMC

Trust,

Series

2021-NQM2,

Class

A1,

1.18%,

02/25/66

(b)

........

36

32,215

GS

Mortgage-Backed

Securities

Trust,

Series

2024-RPL2,

Class

A1,

3.75%,

07/25/61

(b)

................

94

92,239

J.P.

Morgan

Mortgage

Trust,

Series

2017-2,

Class

A7,

3.50%,

05/25/47

(b)

98

90,102

MFA

Trust,

Series

2022-NQM1,

Class

M1,

4.25%,

12/25/66

(b)

........

100

89,510

New

Residential

Mortgage

Loan

Trust,

Series

2015-1A,

Class

A3,

3.75%,

05/28/52

(b)

................

8

7,581

OBX

Trust,

Series

2024-NQM11,

Class

A1,

5.87%,

06/25/64

(c)

........

97

98,109

PRPM

Trust,

Series

2024-NQM1,

Class

A1,

6.27%,

12/25/68

(c)

........

91

92,928

Radian

Mortgage

Capital

Trust

LLC,

Series

2024-J1,

Class

A8,

6.00%,

11/25/54

(b)

................

96

95,787

SAIF

Securitization

Trust,

Series

2024-

CES1,

Class

A1,

5.96%,

07/25/54

(c)

98

98,414

Verus

Securitization

Trust

Series

2020-2,

Class

A1,

3.23%,

05/25/60

(b)

..............

21

20,559

Series

2024-INV1,

Class

A1,

6.12%,

03/25/69

(c)

..............

95

96,479

1,617,291

Commercial

Mortgage-Backed

Securities

—

6

.3

%

United

States

—

6.3%

(a)

BAMLL

Trust,

Series

2024-BHP,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.35%

Floor

+

2.35%),

7.45%,

08/15/39

(b)

90

90,310

BSST

Mortgage

Trust,

Series

2021-

SSCP,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.75%

Floor

+

0.86%),

5.96%,

04/15/36

(b)

...........

96

95,513

BX

Commercial

Mortgage

Trust

(b)

Series

2020-VKNG,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.93%

Floor

+

1.04%),

6.14%,

10/15/37

...

73

72,901

Series

2021-VINO,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.77%

Floor

+

0.77%),

5.86%,

05/15/38

...

90

89,612

Series

2023-XL3,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.76%

Floor

+

1.76%),

6.86%,

12/09/40

...

97

97,126

Series

2024-AIRC,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.69%

Floor

+

1.69%),

6.79%,

08/15/39

...

130

130,162

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

12

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

Series

2024-MF,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.44%

Floor

+

1.44%),

6.54%,

02/15/39

...

USD

111

$

110,578

Series

2024-XL5,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.39%

Floor

+

1.39%),

6.49%,

03/15/41

...

116

115,578

BX

Trust

(b)

Series

2021-LBA,

Class

AV,

(1-mo.

CME

Term

SOFR

at

0.80%

Floor

+

0.91%),

6.01%,

02/15/36

...

79

78,414

Series

2021-MFM1,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.70%

Floor

+

0.81%),

5.91%,

01/15/34

...

48

47,416

Series

2022-GPA,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.17%

Floor

+

2.17%),

7.26%,

08/15/39

...

123

122,684

Series

2022-VAMF,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.85%

Floor

+

0.85%),

5.95%,

01/15/39

...

125

123,984

Series

2023-DELC,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.69%

Floor

+

2.69%),

7.79%,

05/15/38

...

100

100,375

Series

2024-CNYN,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.44%

Floor

+

1.44%),

6.54%,

04/15/41

...

148

148,222

CENT

Trust,

Series

2023-CITY,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.62%

Floor

+

2.62%),

7.72%,

09/15/38

(b)

100

100,187

Citigroup

Commercial

Mortgage

Trust

Series

2020-420K,

Class

A,

2.46%,

11/10/42

...............

100

87,703

Series

2023-SMRT,

Class

A,

6.01%,

10/12/40

(b)

..............

100

103,373

Great

Wolf

Trust,

Series

2024-WOLF,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.54%

Floor

+

1.54%),

6.64%,

03/15/39

(b)

................

100

99,781

GS

Mortgage

Securities

Corp.

Trust

(b)

Series

2022-ECI,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.20%

Floor

+

2.19%),

7.29%,

08/15/39

...

100

100,031

Series

2023-FUN,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.09%

Floor

+

2.09%),

7.19%,

03/15/28

...

100

100,188

Series

2024-RVR,

Class

D,

6.67%,

08/10/29

...............

40

39,965

INTOWN

Mortgage

Trust,

Series

2022-

STAY,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.49%

Floor

+

2.49%),

7.59%,

08/15/39

(b)

...........

125

125,312

J.P.

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2021-MHC,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.80%

Floor

+

1.16%),

6.26%,

04/15/38

(b)

.....

123

122,568

KSL

Commercial

Mortgage

Trust,

Series

2023-HT,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.29%

Floor

+

2.29%),

7.39%,

12/15/36

(b)

.....

100

100,250

LBA

Trust,

Series

2024-BOLT,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.59%

Floor

+

1.59%),

6.69%,

06/15/26

(b)

40

40,000

MCR

Mortgage

Trust,

Series

2024-HTL,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.76%

Floor

+

1.76%),

6.86%,

02/15/37

(b)

................

86

85,868

Security

Par

(000)

Par

(000)

Value

United

States

(continued)

MHP,

Series

2021-STOR,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.70%

Floor

+

0.81%),

5.91%,

07/15/38

(b)

USD

125

$

124,063

MIRA

Trust,

Series

2023-MILE,

Class

A,

6.75%,

06/10/38

............

100

105,713

NYC

Trust,

Series

2024-3ELV,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.99%

Floor

+

1.99%),

7.09%,

08/15/29

(b)

100

100,439

SHER

Trust,

Series

2024-DAL,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.64%

Floor

+

1.64%),

6.74%,

04/15/37

(b)

150

149,063

SREIT

Trust,

Series

2021-MFP2,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.82%

Floor

+

0.94%),

6.03%,

11/15/36

(b)

125

124,219

STWD

Trust,

Series

2021-FLWR,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.58%

Floor

+

0.69%),

5.79%,

07/15/36

(b)

125

124,375

Taubman

Centers

Commercial

Mortgage

Trust,

Series

2022-DPM,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.19%

Floor

+

2.19%),

7.28%,

05/15/37

(b)

................

100

100,250

TTAN

MHC,

Series

2021-MHC,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.85%

Floor

+

0.96%),

6.06%,

03/15/38

(b)

96

96,146

Velocity

Commercial

Capital

Loan

Trust,

Series

2022-3,

Class

A,

5.22%,

06/25/52

(b)

................

76

74,115

3,526,484

Total

Non-Agency

Mortgage-Backed

Securities

—

9.2%

(Cost:

$

5,106,217

)

..............................

5,143,775

U.S.

Government

Sponsored

Agency

Securities

Collateralized

Mortgage

Obligations

—

3.5%

(b)

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

(SOFR

30

day

Average

+

1.10%),

6.36

%

,

11/25/54

........

227

226,965

Series

413

,

Class

F26

,

(SOFR

30

day

Average

at

1.20%

Floor

and

7.00%

Cap

+

1.20%),

6.48

%

,

05/25/54

........

149

149,951

Series

5330

,

Class

FA

,

(SOFR

30

day

Average

at

1.05%

Floor

and

7.00%

Cap

+

1.05%),

6.33

%

,

08/25/53

........

139

139,422

Series

5386

,

Class

FD

,

(SOFR

30

day

Average

at

1.25%

Floor

and

7.00%

Cap

+

1.25%),

6.53

%

,

03/25/54

..

29

28,873

Series

5425

,

Class

FK

,

(SOFR

30

day

Average

at

1.20%

Floor

and

7.00%

Cap

+

1.20%),

6.48

%

,

06/25/54

........

101

101,557

Series

5444

,

Class

FC

,

(SOFR

30

day

Average

at

1.12%

Floor

and

7.00%

Cap

+

1.12%),

6.40

%

,

08/25/54

..

262

262,526

Series

5448

,

Class

CF

,

(SOFR

30

day

Average

at

1.00%

Floor

and

7.00%

Cap

+

1.00%),

6.28

%

,

09/25/54

........

161

160,736

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

13

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

Series

5458

,

Class

DF

,

(SOFR

30

day

Average

at

1.10%

Floor

and

6.50%

Cap

+

1.10%),

6.44

%

,

10/25/54

........

USD

222

$

221,861

Series

5458

,

Class

FB

,

(SOFR

30

day

Average

at

1.15%

Floor

and

6.50%

Cap

+

1.15%),

6.49

%

,

10/25/54

........

146

145,954

Federal

National

Mortgage

Association

Variable

Rate

Notes

Series

2024-38

,

Class

FE

,

(SOFR

30

day

Average

at

1.05%

Floor

and

7.00%

Cap

+

1.05%),

6.33

%

,

06/25/54

..

182

182,821

Series

2024-75

,

Class

FC

,

(SOFR

30

day

Average

at

0.95%

Floor

and

7.00%

Cap

+

0.95%),

6.12

%

,

10/25/54

..

163

162,771

Government

National

Mortgage

Association

Variable

Rate

Notes

Series

2024-125

,

Class

HF

,

(SOFR

30

day

Average

at

1.00%

Floor

and

7.00%

Cap

+

1.00%),

6.35

%

,

08/20/54

..

90

89,606

Series

2024-51

,

Class

TF

,

(SOFR

30

day

Average

at

1.00%

Floor

and

7.00%

Cap

+

1.00%),

6.35

%

,

03/20/54

..

35

35,511

Series

2024-96

,

Class

FL

,

(SOFR

30

day

Average

at

1.15%

Floor

and

6.50%

Cap

+

1.15%),

6.50

%

,

06/20/54

..

45

45,034

1,953,588

Mortgage-Backed

Securities

—

11.2%

Uniform

Mortgage-Backed

Securities

(i)

3.50

%

,

10/25/54

..........

6,498

6,050,717

4.50

%

,

10/25/54

..........

209

205,452

6,256,169

Total

U.S.

Government

Sponsored

Agency

Securities

—

14

.7

%

(Cost:

$

8,258,577

)

..............................

8,209,757

Total

Long-Term

Investments

—

106

.4

%

(Cost:

$

58,560,131

)

..............................

59,504,436

Shares

Shares

Short-Term

Securities

Money

Market

Funds

—

5.3%

Dreyfus

Treasury

Prime

Cash

Management

Institutional

Shares

,

4.88

%

(j)

..................

2,938,316

2,938,316

Total

Short-Term

Securities

—

5

.3

%

(Cost:

$

2,938,316

)

..............................

2,938,316

Security

Shares

Shares

Value

Total

Options

Purchased

—

0

.0

%

(Cost:

$

4,564

)

.................................

$

589

Total

Investments

Before

Options

Written

and

TBA

Sale

Commitments

—

111.7%

(Cost:

$

61,503,011

)

..............................

62,443,341

Total

Options

Written

—

(

0

.1

)

%

(Premiums

Received

—

$

(

16,829

)

)

...................

(

10,165

)

Par

(000)

Pa

r

(

000)

TBA

Sale

Commitments

Uniform

Mortgage-Backed

Securities

,

3.50

%

,

10/25/54

(i)

...........

USD

(

1,204

)

(

1,121,126

)

Total

TBA

Sale

Commitments

—

(

2

.0

)

%

(Proceeds:

$

(

1,124,411

)

)

..........................

(

1,121,126

)

Total

Investments

Net

of

Options

Written

and

TBA

Sale

Commitments

—

109

.6

%

(Cost:

$

60,361,771

)

..............................

61,312,050

Liabilities

in

Excess

of

Other

Assets

—

(

9.6

)

%

............

(

5,390,677

)

Net

Assets

—

100.0%

..............................

$

55,921,373

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

14

(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)

This

security

may

be

resold

to

qualified

foreign

investors

and

foreign

institutional

buyers

under

Regulation

S

of

the

Securities

Act

of

1933.

(e)

Zero-coupon

bond.

(f)

Convertible

security.

(g)

Perpetual

security

with

no

stated

maturity

date.

(h)

Payment-in-kind

security

which

may

pay

interest/dividends

in

additional

par/shares

and/or

in

cash.

Rates

shown

are

the

current

rate

and

possible

payment

rates.

(i)

Represents

or

includes

a

TBA

transaction.

(j)

Annualized

7-day

yield

as

of

period

end.

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

15

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

10-Year

Note

...................................................

35

12/19/24

$

4,003

$

4,008

U.S.

Treasury

10-Year

Ultra

Note

...............................................

1

12/19/24

118

264

Long

Gilt

................................................................

4

12/27/24

526

(

3,793

)

U.S.

Treasury

5-Year

Note

....................................................

163

12/31/24

17,922

(

566

)

3-mo.

SONIA

Index

.........................................................

4

03/17/26

1,291

1,813

1,726

Short

Contracts

Euro-Bobl

...............................................................

13

12/06/24

1,737

(

18,111

)

Euro-Bund

..............................................................

14

12/06/24

2,103

(

25,487

)

U.S.

Treasury

Ultra

Bond

.....................................................

5

12/19/24

666

2,255

U.S.

Treasury

2-Year

Note

....................................................

69

12/31/24

14,371

(

30,429

)

3-mo.

SOFR

.............................................................

6

03/18/25

1,439

(

457

)

(

72,229

)

$

(

70,503

)

Forward

Foreign

Currency

Exchange

Contracts

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

BRL

223,763

USD

40,000

Barclays

Bank

plc

10/02/24

$

1,075

BRL

577,707

USD

101,350

JPMorgan

Chase

Bank

NA

10/02/24

4,696

USD

103,250

BRL

537,935

JPMorgan

Chase

Bank

NA

10/02/24

4,505

USD

55,261

COP

231,635,993

Barclays

Bank

plc

10/23/24

352

AUD

19,000

USD

13,060

JPMorgan

Chase

Bank

NA

10/24/24

80

AUD

16,000

USD

10,833

Standard

Chartered

Bank

10/24/24

233

BRL

1,397,125

USD

253,699

Barclays

Bank

plc

10/24/24

2,069

CLP

10,219,440

USD

11,000

Bank

of

America

NA

10/24/24

362

CLP

46,712,390

USD

50,406

Barclays

Bank

plc

10/24/24

1,527

CNY

586,431

USD

83,039

Bank

of

America

NA

10/24/24

819

CNY

400,628

USD

57,000

HSBC

Bank

plc

10/24/24

288

COP

161,392,473

USD

38,243

HSBC

Bank

plc

10/24/24

10

EUR

3,000

USD

3,340

Bank

of

America

NA

10/24/24

3

EUR

12,000

USD

13,368

HSBC

Bank

plc

10/24/24

3

GBP

10,945

USD

14,459

Barclays

Bank

plc

10/24/24

174

GBP

3,000

USD

3,993

JPMorgan

Chase

Bank

NA

10/24/24

18

IDR

1,408,322,768

USD

91,575

Barclays

Bank

plc

10/24/24

1,028

INR

1,523,761

USD

18,162

JPMorgan

Chase

Bank

NA

10/24/24

4

JPY

3,068,715

USD

21,411

JPMorgan

Chase

Bank

NA

10/24/24

12

KRW

42,219,097

USD

31,828

Barclays

Bank

plc

10/24/24

215

MYR

688,715

USD

162,800

Barclays

Bank

plc

10/24/24

4,116

NOK

201,346

USD

19,000

Barclays

Bank

plc

10/24/24

84

NOK

105,606

USD

10,000

JPMorgan

Chase

Bank

NA

10/24/24

10

PEN

41,432

USD

11,000

Bank

of

America

NA

10/24/24

173

PEN

174,457

USD

46,304

Barclays

Bank

plc

10/24/24

741

RON

17,902

USD

4,000

JPMorgan

Chase

Bank

NA

10/24/24

4

SGD

27,736

USD

21,447

Barclays

Bank

plc

10/24/24

160

SGD

6,447

USD

5,000

JPMorgan

Chase

Bank

NA

10/24/24

23

THB

4,116,340

USD

123,759

Barclays

Bank

plc

10/24/24

4,374

THB

648,700

USD

20,000

JPMorgan

Chase

Bank

NA

10/24/24

193

TWD

191,999

USD

6,000

Bank

of

America

NA

10/24/24

75

TWD

295,312

USD

9,317

Barclays

Bank

plc

10/24/24

26

USD

22,000

BRL

119,944

Barclays

Bank

plc

10/24/24

42

USD

20,000

IDR

303,840,000

Barclays

Bank

plc

10/24/24

21

USD

49,588

MXN

965,371

Barclays

Bank

plc

10/24/24

735

USD

100,691

MXN

1,770,831

HSBC

Bank

plc

10/24/24

11,078

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

16

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

135,687

PLN

520,593

HSBC

Bank

plc

10/24/24

$

501

USD

20,000

ZAR

345,317

Bank

of

America

NA

10/24/24

53

ZAR

1,736,786

USD

98,984

HSBC

Bank

plc

10/24/24

1,341

USD

178,328

COP

748,478,285

Barclays

Bank

plc

11/20/24

1,527

USD

27,305

COP

113,710,967

JPMorgan

Chase

Bank

NA

11/20/24

445

USD

105,576

CZK

2,366,745

JPMorgan

Chase

Bank

NA

11/20/24

980

USD

12,535

CZK

282,496

Standard

Chartered

Bank

11/20/24

50

USD

1,177

HUF

418,418

Bank

of

America

NA

11/20/24

7

USD

22,923

HUF

8,101,021

HSBC

Bank

plc

11/20/24

269

USD

107,480

IDR

1,633,060,764

Barclays

Bank

plc

11/20/24

175

USD

27,880

IDR

424,252,050

HSBC

Bank

plc

11/20/24

3

USD

109,327

MXN

2,132,336

Barclays

Bank

plc

11/20/24

1,875

USD

23,347

MXN

457,018

HSBC

Bank

plc

11/20/24

317

USD

167,511

PLN

642,973

HSBC

Bank

plc

11/20/24

666

USD

13,214

BRL

72,281

Barclays

Bank

plc

11/21/24

24

BRL

995,611

USD

174,000

Bank

of

America

NA

12/18/24

7,088

USD

261,245

CHF

219,000

Barclays

Bank

plc

12/18/24

219

USD

167,869

EUR

150,000

Bank

of

America

NA

12/18/24

364

USD

87,254

EUR

78,000

Barclays

Bank

plc

12/18/24

151

USD

34,709

EUR

31,000

JPMorgan

Chase

Bank

NA

12/18/24

90

USD

570,458

MXN

11,140,784

JPMorgan

Chase

Bank

NA

12/18/24

11,464

66,937

BRL

72,281

USD

13,287

Barclays

Bank

plc

10/02/24

(

19

)

USD

60,000

BRL

327,354

Barclays

Bank

plc

10/02/24

(

90

)

COP

59,839,200

USD

14,780

Barclays

Bank

plc

10/23/24

(

597

)

USD

14,015

COP

59,839,200

Barclays

Bank

plc

10/23/24

(

170

)

CNY

69,814

USD

10,000

JPMorgan

Chase

Bank

NA

10/24/24

(

17

)

COP

41,698,500

USD

10,000

Bank

of

America

NA

10/24/24

(

117

)

CZK

1,174,306

USD

52,360

HSBC

Bank

plc

10/24/24

(

489

)

CZK

248,129

USD

11,000

JPMorgan

Chase

Bank

NA

10/24/24

(

40

)

EUR

16,380

GBP

13,785

Standard

Chartered

Bank

10/24/24

(

178

)

HUF

6,913,566

USD

19,457

Barclays

Bank

plc

10/24/24

(

104

)

HUF

4,974,789

USD

14,000

JPMorgan

Chase

Bank

NA

10/24/24

(

74

)

IDR

532,189,000

USD

35,000

Standard

Chartered

Bank

10/24/24

(

6

)

INR

334,646

USD

4,000

JPMorgan

Chase

Bank

NA

10/24/24

(

10

)

JPY

714,767

USD

5,000

JPMorgan

Chase

Bank

NA

10/24/24

(

10

)

KRW

13,060,240

USD

10,000

JPMorgan

Chase

Bank

NA

10/24/24

(

88

)

MXN

2,526,931

USD

132,778

Barclays

Bank

plc

10/24/24

(

4,903

)

MXN

584,325

USD

30,000

HSBC

Bank

plc

10/24/24

(

430

)

NOK

52,532

USD

5,000

JPMorgan

Chase

Bank

NA

10/24/24

(

21

)

PLN

85,436

EUR

19,955

Barclays

Bank

plc

10/24/24

(

49

)

PLN

53,857

USD

14,000

HSBC

Bank

plc

10/24/24

(

14

)

RON

31,360

USD

7,029

JPMorgan

Chase

Bank

NA

10/24/24

(

15

)

USD

20,000

CLP

18,045,800

Bank

of

America

NA

10/24/24

(

63

)

USD

26,411

JPY

3,793,509

Barclays

Bank

plc

10/24/24

(

72

)

USD

3,000

SEK

30,629

Bank

of

America

NA

10/24/24

(

19

)

USD

13,965

SEK

142,610

JPMorgan

Chase

Bank

NA

10/24/24

(

93

)

USD

15,317

TWD

485,779

HSBC

Bank

plc

10/24/24

(

53

)

USD

67,082

ZAR

1,181,672

HSBC

Bank

plc

10/24/24

(

1,177

)

HUF

16,371,891

USD

46,317

HSBC

Bank

plc

11/20/24

(

532

)

MXN

528,113

USD

27,042

HSBC

Bank

plc

11/20/24

(

430

)

PLN

400,531

USD

104,370

Barclays

Bank

plc

11/20/24

(

436

)

USD

151,694

PEN

570,295

Barclays

Bank

plc

11/20/24

(

2,054

)

USD

4,074

THB

133,779

Bank

of

America

NA

11/20/24

(

97

)

USD

83,237

THB

2,738,489

HSBC

Bank

plc

11/20/24

(

2,153

)

USD

4,385

UYU

185,018

Bank

of

America

NA

11/20/24

(

66

)

USD

1,108

UYU

46,639

HSBC

Bank

plc

11/20/24

(

14

)

USD

41,109

ZAR

715,853

Barclays

Bank

plc

11/20/24

(

148

)

USD

116,168

ZAR

2,042,955

JPMorgan

Chase

Bank

NA

11/20/24

(

1,574

)

USD

262,310

BRL

1,447,424

Barclays

Bank

plc

11/21/24

(

1,822

)

USD

20,232

BRL

113,388

JPMorgan

Chase

Bank

NA

11/21/24

(

459

)

USD

19,832

PEN

75,673

Barclays

Bank

plc

12/11/24

(

567

)

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

17

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

742,067

BRL

4,246,035

Bank

of

America

NA

12/18/24

$

(

30,229

)

USD

110,000

BRL

629,110

Barclays

Bank

plc

12/18/24

(

4,427

)

USD

14,881,436

EUR

13,330,000

Barclays

Bank

plc

12/18/24

(

4,170

)

USD

120,585

EUR

109,000

HSBC

Bank

plc

12/18/24

(

1,135

)

USD

199,859

EUR

179,000

JPMorgan

Chase

Bank

NA

12/18/24

(

30

)

USD

110,215

EUR

99,000

JPMorgan

Chase

Bank

NA

12/18/24

(

338

)

USD

243,415

EUR

218,000

Standard

Chartered

Bank

12/18/24

(

26

)

USD

2,518,590

GBP

1,917,000

Barclays

Bank

plc

12/18/24

(

43,892

)

USD

110,000

MXN

2,240,372

Barclays

Bank

plc

12/18/24

(

2,412

)

COP

160,759,193

USD

40,371

Barclays

Bank

plc

02/21/25

(

2,856

)

COP

70,876,800

USD

17,238

Barclays

Bank

plc

02/24/25

(

706

)

(

109,491

)

$

(

42,554

)

OTC

Credit

Default

Swaptions

Purchased

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate/Reference

Rate/Reference

Frequency

Counterparty

Expiration

Date

Exercise

Price

Notional

Amount

(000)

(a)

Value

Put

Bought

Protection

on

5-Year

Credit

Default

Swap

......

1

.00

%

Markit

CDX

North

American

Investment

Grade

Index

Series

42.V1

Quarterly

Bank

of

America

NA

10/16/24

USD

57.50

USD

2,100

$

292

Bought

Protection

on

5-Year

Credit

Default

Swap

......

5

.00

iTraxx

Europe

Crossover

Index

Series

41.V1

Quarterly

Bank

of

America

NA

10/16/24

EUR

325.00

EUR

329

297

$

589

(a)

The

maximum

potential

amount

the

Fund

may

pay

should

a

negative

credit

event

take

place

as

defined

under

the

terms

of

the

agreement.

OTC

Credit

Default

Swaptions

Written

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate/Reference

Rate/Reference

Frequency

Counterparty

Expiration

Date

Credit

Rating

(a)

Exercise

Price

Notional

Amount

(000)

(b)

Value

Put

Sold

Protection

on

5-Year

Credit

Default

Swap

.........

iTraxx

Europe

Crossover

Index

Series

41.V1

5

.00

%

Quarterly

Bank

of

America

NA

10/16/24

BB-

EUR

400.00

EUR

329

$

(

120

)

(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.

OTC

Interest

Rate

Swaptions

Written

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Call

5-Year

Interest

Rate

Swap

(a)

.

2.90%

Annual

1-day

SOFR

Annual

Bank

of

America

NA

12/03/24

2

.90

%

USD

350

$

(

1,169

)

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

18

OTC

Interest

Rate

Swaptions

Written

(continued)

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

5-Year

Interest

Rate

Swap

(a)

.

2.62%

Annual

1-day

SOFR

Annual

Bank

of

America

NA

02/24/25

2

.62

%

USD

1,400

$

(

5,859

)

(

7,028

)

Put

5-Year

Interest

Rate

Swap

(a)

.

1-day

SOFR

Annual

3.92%

Annual

JPMorgan

Chase

Bank

NA

02/24/25

3

.92

USD

1,400

(

3,017

)

$

(

10,045

)

(a)

Forward

settling

swaption.

Centrally

Cleared

Credit

Defa

ul

t

Swaps

—

Sell

Protection

Reference

Obligation/Index

Financing

Rate

Received

by

the

Fund

Payment

Frequency

Termination

Date

Credit

Rating

(a)

Notional

Amount

(000)

(b)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

Markit

CDX

North

American

High

Yield

Index

Series

42.V1

...........

5

.00

%

Quarterly

06/20/29

B+

USD

1,188

$

93,925

$

73,772

$

20,153

(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.

Centrally

Cleared

Interest

Rate

Swap

s

Paid

by

the

Fund

Received

by

the

Fund

Rate

Frequency

Rate

Frequency

Effective

Date

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

10.47%

Monthly

28-day

MXIBTIIE

Monthly

N/A

08/06/25

MXN

2,409

$

(

541

)

$

—

$

(

541

)

9.71%

Monthly

28-day

MXIBTIIE

Monthly

N/A

09/22/25

MXN

93

3

—

3

8.02%

Quarterly

3-mo.

JIBAR

Quarterly

03/26/25

(a)

03/26/26

ZAR

999

(

566

)

—

(

566

)

8.45%

Quarterly

3-mo.

JIBAR

Quarterly

03/26/25

(a)

03/26/26

ZAR

211

(

167

)

—

(

167

)

4.53%

Annual

1-day

SOFR

Annual

N/A

04/01/26

USD

4,000

(

36,252

)

—

(

36,252

)

8.18%

Quarterly

3-mo.

JIBAR

Quarterly

N/A

04/02/26

ZAR

321

(

237

)

—

(

237

)

8.15%

Quarterly

3-mo.

JIBAR

Quarterly

05/07/25

(a)

05/07/26

ZAR

1,628

(

1,083

)

—

(

1,083

)

7.97%

Quarterly

3-mo.

JIBAR

Quarterly

06/06/25

(a)

06/06/26

ZAR

530

(

298

)

—

(

298

)

6.92%

Quarterly

3-mo.

JIBAR

Quarterly

09/23/25

(a)

09/23/26

ZAR

667

(

14

)

—

(

14

)

4.31%

Annual

1-day

SOFR

Annual

N/A

08/31/28

USD

5,250

(

196,452

)

—

(

196,452

)

1-day

SOFR

Annual

3.86%

Annual

N/A

04/01/31

USD

400

11,034

—

11,034

1-day

MIBOR

Semi-Annual

6.44%

Semi-Annual

N/A

09/18/34

INR

30,000

9,298

—

9,298

$

(

215,275

)

$

—

$

(

215,275

)

(a)

Forward

swap.

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

19

OTC

Interest

Rate

Swaps

Paid

by

the

Fund

Received

by

the

Fund

Rate

Frequency

Rate

Frequency

Counterparty

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

1-day

BZDIOVER

At

Termination

10.98%

At

Termination

Barclays

Bank

plc

01/02/25

BRL

3,758

$

263

$

—

$

263

1-day

BZDIOVER

At

Termination

11.02%

At

Termination

Barclays

Bank

plc

01/02/25

BRL

225

5

—

5

9.80%

At

Termination

1-day

IBR

At

Termination

HSBC

Bank

plc

05/10/25

COP

413,053

(

112

)

—

(

112

)

1-day

BZDIOVER

At

Termination

10.95%

At

Termination

JPMorgan

Chase

Bank

NA

07/01/25

BRL

609

(

594

)

—

(

594

)

1-day

BZDIOVER

At

Termination

11.83%

At

Termination

Barclays

Bank

plc

07/01/25

BRL

63

(

3

)

—

(

3

)

1-day

BZDIOVER

At

Termination

11.52%

At

Termination

HSBC

Bank

plc

01/02/26

BRL

480

(

657

)

—

(

657

)

1-day

BZDIOVER

At

Termination

12.16%

At

Termination

Barclays

Bank

plc

01/02/26

BRL

34

(

8

)

—

(

8

)

7.25%

Quarterly

1-day

IBR

Quarterly

Barclays

Bank

plc

09/25/26

COP

76,495

7

—

7

11.49%

At

Termination

1-day

BZDIOVER

At

Termination

JPMorgan

Chase

Bank

NA

01/04/27

BRL

417

1,211

—

1,211

11.59%

At

Termination

1-day

BZDIOVER

At

Termination

Bank

of

America

NA

01/04/27

BRL

234

521

—

521

1-day

BZDIOVER

At

Termination

10.05%

At

Termination

Barclays

Bank

plc

01/04/27

BRL

147

(

1,367

)

—

(

1,367

)

1-day

BZDIOVER

At

Termination

10.81%

At

Termination

Bank

of

America

NA

01/04/27

BRL

13

(

73

)

—

(

73

)

1-day

BZDIOVER

At

Termination

12.21%

At

Termination

Barclays

Bank

plc

01/04/27

BRL

132

(

51

)

—

(

51

)

4.31%

Semi-Annual

1-day

CLICP

Semi-Annual

Barclays

Bank

plc

09/13/27

CLP

34,385

19

—

19

4.28%

Semi-Annual

1-day

CLICP

Semi-Annual

Barclays

Bank

plc

09/25/27

CLP

6,347

7

—

7

$

(

832

)

$

—

$

(

832

)

OTC

Total

Return

Swaps

Paid

by

the

Fund

Received

by

the

Fund

Rate/Reference

Frequency

Rate/Reference

Frequency

Counterparty

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

1-day

SOFR

.......

Quarterly

Markit

iBoxx

USD

Liquid

Leveraged

Loans

Total

Return

Index

At

Termination

JPMorgan

Chase

Bank

NA

12/20/24

USD

250

$

4,957

$

(

1,043

)

$

6,000

1-day

SOFR

.......

Quarterly

Markit

iBoxx

USD

Liquid

Leveraged

Loans

Total

Return

Index

At

Termination

JPMorgan

Chase

Bank

NA

12/20/24

USD

110

1,081

(

401

)

1,482

1-day

SOFR

.......

Quarterly

Markit

iBoxx

USD

Liquid

Leveraged

Loans

Total

Return

Index

At

Termination

JPMorgan

Chase

Bank

NA

12/20/24

USD

107

1,267

(

361

)

1,628

$

7,305

$

(

1,805

)

$

9,110

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

Reference

Index

Reference

Rate

1-day

BZDIOVER

.....................................

Overnight

Brazil

CETIP

—

Interbank

Rate

0

.04

%

1-day

CLICP

.........................................

Chile

Indice

de

Camara

Promedio

Interbank

Overnight

Index

0

.05

1-day

IBR

...........................................

Colombian

Reference

Banking

Indicator

10

.08

1-day

MIBOR

........................................

Mumbai

Interbank

Offered

Rate

6

.76

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

20

Derivative

Financial

Instruments

Categorized

by

Risk

Exposure

Reference

Index

Reference

Rate

1-day

SOFR

.........................................

Secured

Overnight

Financing

Rate

5

.16

%

28-day

MXIBTIIE

......................................

Mexico

Interbank

TIIE

28-Day

10

.74

3-mo.

JIBAR

.........................................

Johannesburg

Interbank

Average

Rate

8

.05

Balances

Reported

in

the

Statement

of

Assets

and

Liabilities

for

Centrally

Cleared

Swaps,

OTC

Swaps

and

Options

Written

Description

Swap

Premiums

Paid

Swap

Premiums

Received

Unrealized

Appreciation

Unrealized

Depreciation

Value

Centrally

Cleared

Swaps

(a)

............................................

$

73,772

$

—

$

40,488

$

(

235,610

)

$

—

OTC

Swaps

.....................................................

—

(

1,805

)

11,143

(

2,865

)

—

Options

Written

...................................................

N/A

N/A

6,664

—

(

10,165

)

(a)

Includes

cumulative

appreciation

(depreciation)

on

centrally

cleared

swaps,

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statement

of

Assets

and

Liabilities

and

is

net

of

any

previously

paid

(received)

swap

premium

amounts.

As

of

period

end,

the

fair

values

of

derivative

financial

instruments

located

in

the

Statement

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)

......

$

—

$

—

$

—

$

—

$

8,340

$

—

$

8,340

Forward

foreign

currency

exchange

contracts

Unrealized

appreciation

on

forward

foreign

currency

exchange

contracts

......................

—

—

—

66,937

—

—

66,937

Options

purchased

(b)

Investments

at

value

—

unaffiliated

(c)

............

—

589

—

—

—

—

589

Swaps

—

centrally

cleared

Unrealized

appreciation

on

centrally

cleared

swaps

(a)

.

—

20,153

—

—

20,335

—

40,488

Swaps

—

OTC

Unrealized

appreciation

on

OTC

swaps;

Swap

premiums

paid

................................

—

—

—

—

11,143

—

11,143

$

—

$

20,742

$

—

$

66,937

$

39,818

$

—

$

127,497

Liabilities

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

depreciation

on

futures

contracts

(a)

......

$

—

$

—

$

—

$

—

$

78,843

$

—

$

78,843

Forward

foreign

currency

exchange

contracts

Unrealized

depreciation

on

forward

foreign

currency

exchange

contracts

......................

—

—

—

109,491

—

—

109,491

Options

written

(b)

Options

written

at

value

.....................

—

120

—

—

10,045

—

10,165

Swaps

—

centrally

cleared

Unrealized

depreciation

on

centrally

cleared

swaps

(a)

.

—

—

—

—

235,610

—

235,610

Swaps

—

OTC

Unrealized

depreciation

on

OTC

swaps;

Swap

premiums

received

.............................

—

—

—

—

4,670

—

4,670

$

—

$

120

$

—

$

109,491

$

329,168

$

—

$

438,779

(a)

Net

cumulative

unrealized

appreciation

(depreciation)

on

futures

contracts

and

centrally

cleared

swaps,

if

any,

are

reported

in

the

Schedule

of

Investments.

In

the

Statement

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

forward

settling

swaptions.

(c)

Includes

options

purchased

at

value

as

reported

in

the

Schedule

of

Investments.

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

21

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

For

the

period

ended

September

30,

2024,

the

effect

of

derivative

financial

instruments

in

the

Statement

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

c

ontracts

.......................

$

—

$

—

$

—

$

—

$

230,441

$

—

$

230,441

Forward

foreign

currency

exchange

contracts

....

—

—

—

(

64,960

)

—

—

(

64,960

)

Options

purchased

(a)

.....................

—

—

—

(

122

)

—

—

(

122

)

Options

written

........................

—

—

—

46

—

—

46

Swaps

..............................

—

12,893

—

—

6,964

—

19,857

$

—

$

12,893

$

—

$

(65,036)

$

237,405

$

—

$

185,262

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Futures

c

ontracts

.......................

$

—

$

—

$

—

$

—

$

(

70,503

)

$

—

$

(

70,503

)

Forward

foreign

currency

exchange

contracts

....

—

—

—

(

42,554

)

—

—

(

42,554

)

Options

purchased

(b)

.....................

—

(

3,975

)

—

—

—

—

(

3,975

)

Options

written

........................

—

453

—

—

6,211

—

6,664

Swaps

..............................

—

20,153

—

—

(

206,997

)

—

(

186,844

)

$

—

$

16,631

$

—

$

(42,554)

$

(271,289)

$

—

$

(297,212)

(a)

Options

purchased

are

included

in

net

realized

gain

(loss)

from

investments

—

unaffiliated.

(b)

Options

purchased

are

included

in

net

change

in

unrealized

appreciation

(depreciation)

on

investments

—

unaffiliated.

Average

Quarterly

Balances

of

Outstanding

Derivative

Financial

Instruments

Futures

contracts

Average

notional

value

of

contracts

—

long

..................................................................................

$

14,579,283

Average

notional

value

of

contracts

—

short

.................................................................................

$

10,323,683

Forward

foreign

currency

exchange

contracts

Average

amounts

purchased

—

in

USD

....................................................................................

$

20,511,651

Average

amounts

sold

—

in

USD

........................................................................................

$

1,805,211

Options

Average

value

of

option

contracts

purchased

................................................................................

$

34

Average

value

of

option

contracts

written

...................................................................................

$

15

Average

notional

value

of

swaption

contracts

purchased

.........................................................................

$

822,075

Average

notional

value

of

swaption

contracts

written

...........................................................................

$

1,172,075

Credit

default

swaps

Average

notional

value

—

sell

protection

...................................................................................

$

592,000

Interest

rate

swaps

Average

notional

value

—

pays

fixed

rate

...................................................................................

$

8,060,046

Average

notional

value

—

receives

fixed

rate

................................................................................

$

1,223,382

Total

return

swaps

Average

notional

value

...............................................................................................

$

155,667

The

Fund's

derivative

assets

and

liabilities

(by

type)

were

as

follows:

Assets

Liabilities

Derivative

Financial

Instruments

$

—

Futures

contracts

....................................................................................

$

30,767

$

70,638

Forward

f

oreign

currency

exchange

contracts

.................................................................

66,937

109,491

Options

(a)

(b)

........................................................................................

589

10,165

Swaps

—

centrally

cleared

..............................................................................

3,912

—

Swaps

—

OTC

(c)

.....................................................................................

11,143

4,670

Total

derivative

assets

and

liabilities

in

the

Statement

of

Assets

and

Liabilities

.............................................

$

113,348

$

194,964

Derivatives

not

subject

to

a

Master

Netting

Agreement

or

similar

agreement

("MNA")

........................................

(

34,679

)

(

70,638

)

Total

derivative

assets

and

liabilities

subject

to

an

MNA

............................................................

$

78,669

$

124,326

(a)

Includes

options

purchased

at

value

which

is

included

in

Investments

at

value

–

unaffiliated

in

the

Statement

of

Assets

and

Liabilities

and

reported

in

the

Schedule

of

Investments.

(b)

Includes

forward

settling

swaptions.

(c)

Includes

unrealized

appreciation

(depreciation)

on

OTC

swaps

and

swap

premiums

paid/(received)

in

the

Statement

of

Assets

and

Liabilities.

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

22

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.

The

following

tables

present

the

Fund's

derivative

assets

and

liabilities

by

counterparty

net

of

amounts

available

for

offset

under

an

MNA

and

net

of

the

related

collateral

received

and

pledged

by

the

Fund:

Counterparty

Derivative

Assets

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Received

Cash

Collateral

Received

Net

Amount

of

Derivative

Assets

(b)(c)

Bank

of

America

NA

..............................

$

10,054

$

(

10,054

)

$

—

$

—

$

—

Barclays

Bank

plc

................................

21,011

(

21,011

)

—

—

—

HSBC

Bank

plc

..................................

14,476

(

7,196

)

—

—

7,280

JPMorgan

Chase

Bank

NA

..........................

32,845

(

8,185

)

—

—

24,660

Standard

Chartered

Bank

...........................

283

(

210

)

—

—

73

$

78,669

$

(

46,656

)

$

—

$

—

$

32,013

Counterparty

Derivative

Liabilities

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Pledged

Cash

Collateral

Pledged

Net

Amount

of

Derivative

Liabilities

(b)(d)

Bank

of

America

NA

..............................

$

37,812

$

(

10,054

)

$

—

$

—

$

27,758

Barclays

Bank

plc

................................

70,923

(

21,011

)

—

—

49,912

HSBC

Bank

plc

..................................

7,196

(

7,196

)

—

—

—

JPMorgan

Chase

Bank

NA

..........................

8,185

(

8,185

)

—

—

—

Standard

Chartered

Bank

...........................

210

(

210

)

—

—

—

$

124,326

$

(

46,656

)

$

—

$

—

$

77,670

(a)

The

amount

of

derivatives

available

for

offset

is

limited

to

the

amount

of

derivative

assets

and/or

liabilities

that

are

subject

to

an

MNA.

(b)

Net

amount

may

also

include

forward

foreign

currency

exchange

contracts

that

are

not

required

to

be

collateralized.

(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.

Level

1

Level

2

Level

3

Total

Assets

Investments

Long-Term

Investments

Asset-Backed

Securities

...................................

$

—

$

9,989,787

$

—

$

9,989,787

Corporate

Bonds

........................................

—

32,446,677

—

32,446,677

Foreign

Agency

Obligations

.................................

—

515,171

—

515,171

Foreign

Government

Obligations

..............................

—

3,199,269

—

3,199,269

Non-Agency

Mortgage-Backed

Securities

........................

—

5,143,775

—

5,143,775

U.S.

Government

Sponsored

Agency

Securities

....................

—

8,209,757

—

8,209,757

Short-Term

Securities

Money

Market

Funds

......................................

2,938,316

—

—

2,938,316

Options

Purchased

Credit

contracts

..........................................

—

589

—

589

Liabilities

Investments

TBA

Sale

Commitments

....................................

—

(

1,121,126

)

—

(

1,121,126

)

$

2,938,316

$

58,383,899

$

—

$

61,322,215

Derivative

Financial

Instruments

(a)

Assets

Credit

contracts

...........................................

$

—

$

20,153

$

—

$

20,153

Foreign

currency

exchange

contracts

............................

—

66,937

—

66,937

Interest

rate

contracts

.......................................

8,340

31,478

—

39,818

Schedule

of

Investments

(continued)

September

30,

2024

BATS:

Series

I

Portfolio

Schedule

of

Investments

23

See

notes

to

financial

statements.

Level

1

Level

2

Level

3

Total

Liabilities

Credit

contracts

...........................................

$

—

$

(

120

)

$

—

$

(

120

)

Foreign

currency

exchange

contracts

............................

—

(

109,491

)

—

(

109,491

)

Interest

rate

contracts

.......................................

(

78,843

)

(

248,520

)

—

(

327,363

)

$

(

70,503

)

$

(

239,563

)

$

—

$

(

310,066

)

(a)

Derivative

financial

instruments

are

swaps,

futures

contracts,

forward

foreign

currency

exchange

contracts

and

options

written.

Swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrument

and

options

written

are

shown

at

value.

Fair

Value

Hierarchy

as

of Period

End

(continued)

Statement

of

Assets

and

Liabilities

September

30,

2024

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

24

BATS:

Series

I

Portfolio

ASSETS

Investments,

at

value

—

unaffiliated

(a)

........................................................................................

$

62,443,341‌

Cash

.............................................................................................................

13,792‌

Cash

pledged:

–‌

Futures

contracts

....................................................................................................

341,000‌

Centrally

cleared

swaps

................................................................................................

291,970‌

Foreign

currency,

at

value

(b)

...............................................................................................

261,551‌

Receivables:

–‌

TBA

sale

commitments

................................................................................................

1,124,411‌

Interest

—

unaffiliated

.................................................................................................

694,943‌

From

the

Manager

...................................................................................................

5,340‌

Variation

margin

on

futures

contracts

.......................................................................................

30,767‌

Variation

margin

on

centrally

cleared

swaps

..................................................................................

3,912‌

Unrealized

appreciation

on:

–‌

Forward

foreign

currency

exchange

contracts

.................................................................................

66,937‌

OTC

swaps

........................................................................................................

11,143‌

Prepaid

e

xpenses

.....................................................................................................

164‌

Total

a

ssets

.........................................................................................................

65,289,271‌

LIABILITIES

Options

written,

at

value

(c)

................................................................................................

10,165‌

TBA

sale

commitments,

at

value

(d)

..........................................................................................

1,121,126‌

Payables:

–‌

Investments

purchased

................................................................................................

7,728,731‌

Swaps  

..........................................................................................................

42‌

Deferred

foreign

capital

gain

tax

..........................................................................................

297‌

Income

dividend

distributions

............................................................................................

286,653‌

Professional

fees

....................................................................................................

36,085‌

Variation

margin

on

futures

contracts

.......................................................................................

70,638‌

Swap

premiums

received

................................................................................................

1,805‌

Unrealized

depreciation

on:

–‌

Forward

foreign

currency

exchange

contracts

.................................................................................

109,491‌

OTC

swaps

........................................................................................................

2,865‌

Total

li

abilities

........................................................................................................

9,367,898‌

Commitments

and

contingent

liabilities

$

–‌

NET

ASSETS

........................................................................................................

$

55,921,373‌

NET

ASSETS

CONSIST

OF:

Paid-in

capital

........................................................................................................

$

55,056,223‌

Accumulated

earnings

..................................................................................................

865,150‌

NET

ASSETS

........................................................................................................

$

55,921,373‌

(a)

  Investments,

at

cost

—

unaffiliated

.................................................................................

$

61,503,011‌

(b)

  Foreign

currency,

at

cost

.......................................................................................

$

261,907‌

(c)

  Premiums

received

...........................................................................................

$

16,829‌

(d)

  Proceeds

received

from

TBA

sale

commitments

.........................................................................

$

1,124,411‌

See

notes

to

financial

statements.

Statement

of

Assets

and

Liabilities

(continued)

September

30,

2024

25

Statement

of

Assets

and

Liabilities

See

notes

to

financial

statements.

BATS:

Series

I

Portfolio

NET

ASSET

VALUE

Net

assets

.........................................................................................................

$

55,921,373‌

Shares

outstanding

...................................................................................................

5,503,931‌

Net

asset

value

.....................................................................................................

$

10.16‌

Shares

authorized

...................................................................................................

Unlimited

Par

value

.........................................................................................................

$

0.001‌

Statement

of

Operations

Period

Ended

September

30,

2024

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

26

See

notes

to

financial

statements.

BATS:

Series

I

Portfolio

(a)

INVESTMENT

INCOME

Interest

—

unaffiliated

.................................................................................................

$

1,783,652‌

Foreign

taxes

withheld

................................................................................................

(

1,037‌

)

Total

investment

income

.................................................................................................

1,782,615‌

EXPENSES

Professional

.......................................................................................................

36,100‌

Administration

.....................................................................................................

14,634‌

Trustees

and

Officer

..................................................................................................

855‌

Total

expenses

.......................................................................................................

51,589‌

Less:

–‌

Administration

fees

waived

.............................................................................................

(

14,634‌

)

Fees

waived

and/or

reimbursed

by

the

Manager

...............................................................................

(

36,955‌

)

Total

expenses

after

fees

waived

and/or

reimbursed

..............................................................................

—‌

Net

investment

income

..................................................................................................

1,782,615‌

REALIZED

AND

UNREALIZED

GAIN

(LOSS)

$

914,629‌

Net

realized

gain

(loss)

from:

$

–‌

Investments

—

unaffiliated

(b)

..........................................................................................

54,965‌

Forward

foreign

currency

exchange

contracts

...............................................................................

(

64,960‌

)

Foreign

currency

transactions

.........................................................................................

19,358‌

Futures

contracts

..................................................................................................

230,441‌

Options

written

...................................................................................................

46‌

Swaps

.........................................................................................................

19,857‌

A

259,707‌

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investments

—

unaffiliated

(c)

..........................................................................................

943,318‌

Forward

foreign

currency

exchange

contracts

...............................................................................

(

42,554‌

)

Foreign

currency

translations

..........................................................................................

4,841‌

Futures

contracts

..................................................................................................

(

70,503‌

)

Options

written

...................................................................................................

6,664‌

Swaps

.........................................................................................................

(

186,844‌

)

A

654,922‌

Net

realized

and

unrealized

gain

...........................................................................................

914,629‌

NET

INCREASE

IN

NET

ASSETS

RESULTING

FROM

OPERATIONS

..................................................................

$

2,697,244‌

(a)

For

the

period

from

March

06,

2024

(commencement

of

operations)

to

September

30,

2024.

(b)

  Net

of

foreign

capital

gain

tax

and

capital

gain

tax

refund,

if

applicable

of

...............................................................

$

(

289‌

)

(c)

  Net

of

increase

in

deferred

foreign

capital

gain

tax

of

............................................................................

$

(

297‌

)

Statement

of

Changes

in

Net

Assets

27

Statement

of

Changes

in

Net

Assets

See

notes

to

financial

statements.

BATS:

Series

I

Portfolio

Period

from

03/06/24

(a)

to

09/30/24

INCREASE

(DECREASE)

IN

NET

ASSETS

OPERATIONS

Net

investment

income

...............................................................................................

$

1,782,615

‌

Net

realized

gain

...................................................................................................

259,707

‌

Net

change

in

unrealized

appreciation

(depreciation)

...........................................................................

654,922

‌

Net

increase

in

net

assets

resulting

from

operations

..............................................................................

2,697,244

‌

DISTRIBUTIONS

TO

SHAREHOLDERS

(b)

Decrease

in

net

assets

resulting

from

distributions

to

shareholders

....................................................................

(1,832,094

)

CAPITAL

SHARE

TRANSACTIONS

Net

increase

in

net

assets

derived

from

capital

share

transactions

....................................................................

55,056,223

‌

NET

ASSETS

Total

increase

in

net

assets

..............................................................................................

55,921,373

‌

Beginning

of

period

...................................................................................................

—

‌

End

of

period

.......................................................................................................

$

55,921,373

‌

(a)

Commencement

of

operations.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

Financial

Highlights

(For

a

share

outstanding

throughout

the

period)

2024

BlackRock

Annual

Financial

Statements

and

Additional

Information

28

BATS:

Series

I

Portfolio

Period

from

03/06/24

(a)

to

09/30/24

Net

asset

value,

beginning

of

period

......................................................................................

$

10.00

‌

Net

investment

income

(b)

..............................................................................................

0

.35

‌

Net

realized

and

unrealized

gain

.........................................................................................

0.17

‌

Net

increase

from

investment

operations

.....................................................................................

0.52

‌

Distributions

from

net

investment

income

(c)

.................................................................................

(0.36

)

Net

asset

value,

end

of

period

...........................................................................................

$

10.16

‌

Total

Return

(d)

—

Based

on

net

asset

value

...............................................................................................

5.28

%

(e)

Ratios

to

Average

Net

Assets

(f)

Total

expen

ses

......................................................................................................

0.12

%

(g)

(h)

Total

expenses

after

fees

waived

and/or

reimbursed

.............................................................................

0.00

%

(g)

(h)

Net

investment

income

.................................................................................................

6.09

%

(g)

Supplemental

Data

Net

assets,

end

of

period

(000)

...........................................................................................

$

55,921

‌

Portfolio

turnover

rate

..................................................................................................

137

%

(i)

(a)

Commencement

of

operations.

(b)

Based

on

average

shares

outstanding.

(c)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(d)

Where

applicable,

assumes

the

reinvestment

of

distributions.

(e)

Not

annualized.

(f)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

(g)

Annualized.

(h)

Audit

fees

were

not

annualized

in

the

calculation

of

the

expense

ratios.

If

these

expenses

were

annualized,

the

total

expenses

and

total

expenses

after

fees

waived

and/or

reimbursed

would

have

been

0.18%

and

0.00%,

respectively.

(i)

Includes

mortgage

dollar

roll

transactions

("MDRs").

Excluding

MDRs,

the

portfolio

turnover

rate

would

have

been

85%.

See

notes

to

financial

statements.

Notes

to

Financial

Statements

29

Notes

to

Financial

Statements

1.

ORGANIZATION 

BlackRock

Allocation

Target

Shares (the

“Trust”)

is

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”),

as

an

open-end

management

investment

company.

The Trust

is

organized

as

a Delaware

statutory trust. BATS:

Series

I

Portfolio

(the

“Fund”)

is

a

series

of

the

Trust.

The

Fund

is

classified

as

non-

diversified.

Shares

of

the

Fund are

offered

to

separate

account

clients

of

the

adviser,

BlackRock

Advisors,

LLC

(the

“Manager”)

or

certain

of

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

Fund,

together

with

certain

other

registered

investment

companies

advised

by

the

Manager

or

its

affiliates,

is

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.

The

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.

Dividends

from

foreign

securities

where

the

ex-dividend

dates

may

have

passed

are

subsequently

recorded

when

the

Fund

is

informed

of

the

ex-dividend

dates.

Under

the

applicable

foreign

tax

laws,

a

withholding

tax

at

various

rates

may

be

imposed

on

capital

gains,

dividends

and

interest.

Interest

income,

including

amortization

and

accretion

of

premiums

and

discounts

on

debt

securities

and

payment-in-kind

interest,

are

recognized

daily

on

an

accrual

basis. For

convertible

securities,

premiums

attributable

to

the

debt

instrument

are

amortized,

but

premiums

attributable

to

the

conversion

feature

are

not

amortized.

Foreign

Currency

Translation:

The

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. 

The

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

Statement

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.

The

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.

Foreign

Taxes:

The

Fund

may

be

subject

to

foreign

taxes

(a

portion

of

which

may

be

reclaimable)

on

income,

stock

dividends,

capital

gains

on

investments,

or

certain

foreign

currency

transactions.

All

foreign

taxes

are

recorded

in

accordance

with

the

applicable

foreign

tax

regulations

and

rates

that

exist

in

the

foreign

jurisdictions

in

which

the

Fund

invests.

These

foreign

taxes,

if

any,

are

paid

by

the

Fund

and

are

reflected

in

its

Statement

of

Operations

as

follows:

foreign

taxes

withheld

at

source

are

presented

as

a

reduction

of

income,

foreign

taxes

on

securities

lending

income

are

presented

as

a

reduction

of

securities

lending

income,

foreign

taxes

on

stock

dividends

are

presented

as

“Foreign

taxes

withheld”,

and

foreign

taxes

on

capital

gains

from

sales

of

investments

and

foreign

taxes

on

foreign

currency

transactions

are

included

in

their

respective

net

realized

gain

(loss)

categories.

Foreign

taxes

payable

or

deferred

as

of

September

30,

2024

,

if

any,

are

disclosed

in

the Statement

of

Assets

and

Liabilities.

Consistent

with

U.S.

GAAP

accrual

requirements

for

uncertain

tax

positions,

the

Fund

recognizes

tax

reclaims

when

the

Fund

determines

that

it

is

more

likely

than

not

that

the

Fund

will

sustain

its

position

that

it

is

due

the

reclaim. 

The

Fund

files

withholding

tax

reclaims

in

certain

jurisdictions

to

recover

a

portion

of

amounts

previously

withheld.

The

Fund

may

record

a

reclaim

receivable

based

on

collectability,

which

includes

factors

such

as

the

jurisdiction’s

applicable

laws,

payment

history

and

market

convention.

The Statement

of

Operations

includes

tax

reclaims

recorded

as

well

as

professional

and

other

fees,

if

any,

associated

with

recovery

of

foreign

withholding

taxes.  

Collateralization:

If

required

by

an

exchange

or

counterparty

agreement,

the

Fund

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.

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

Fund,

as

defined

in

the

1940

Act

(“Independent

Trustees

”),

may

defer

a

portion

of

their

annual

complex-wide

compensation.

Deferred

amounts

earn

an

approximate

return

as

though

equivalent

dollar

amounts

had

been

invested

in

common

shares

of

certain

funds

in

the

BlackRock

Fixed-Income

Complex

selected

by

the

Independent

Trustees

.

This

has

the

same

economic

effect

for

the

Independent 

Trustees

as

if

the

Independent 

Trustees

had

invested

the

deferred

amounts

directly

in

certain

funds

in

the

BlackRock

Fixed-Income

Complex.  

The

Plan

is

not

funded

and

obligations

thereunder

represent

general

unsecured

claims

against

the

general

assets

of

the

Fund,

as

applicable.

Deferred

compensation

liabilities,

if

any, are

included

in

the Trustees’

and

Officer’s

fees

payable

in

the

Statement

of

Assets

and

Liabilities

and

will

remain

as

a

liability

of

the

Fund

until

such

amounts

Notes

to

Financial

Statements

(continued)

2024

Blackrock

Annual

Financial

Statements

and

Additional

Information

30

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

Statement

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,

the

Fund

enters

into

contracts

that

contain

a

variety

of

representations

that

provide

general

indemnification.

The

Fund’s

maximum

exposure

under

these

arrangements

is

unknown

because

it

involves

future

potential

claims

against

the

Fund,

which

cannot

be

predicted

with

any

certainty.

Other:

Expenses

directly

related

to

the

Fund

are

charged

to

the

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.

3.

INVESTMENT

VALUATION

AND

FAIR

VALUE

MEASUREMENTS 

Investment

Valuation

Policies:

 The

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

has

approved

the

designation

of

the

Fund’s

Manager

as

the

valuation

designee

for

the

Fund.

The

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

the

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. 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

Fund

uses

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

the

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.

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: 

Notes

to

Financial

Statements

(continued)

31

Notes

to

Financial

Statements

Level

1

—

Unadjusted

price

quotations

in

active

markets/exchanges

that

the

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

privately

held

companies

or

funds

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

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. 

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. 

Notes

to

Financial

Statements

(continued)

2024

Blackrock

Annual

Financial

Statements

and

Additional

Information

32

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

Statement

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

Schedule

of

Investments. Typically,

a

fund

is

permitted

to

sell,

re-pledge

or

use

the

collateral

it

receives;

however,

the

counterparty

is

not

permitted

to

do

so.

To

the

extent

amounts

due

to

a

fund

are

not

fully

collateralized,

contractually

or

otherwise,

a

fund

bears

the

risk

of

loss

from

counterparty

non-performance.

Mortgage

Dollar

Roll

Transactions

:

The

Fund

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.

5.

Derivative

Financial

Instruments

The

Fund

engages

in

various

portfolio

investment

strategies

using

derivative

contracts

both

to

increase

the

returns

of

the

Fund

and/or

to

manage

its

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

Schedule

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

Fund

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

Fund

is

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 Statement

of

Assets

and

Liabilities.

Securities

deposited

as

initial

margin

are

designated

in

the

Schedule

of

Investments

and

cash

deposited,

if

any, are

shown

as

cash

pledged

for

futures

contracts

in

the

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

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

Statement

of

Assets

and

Liabilities.

When

the

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Statement

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

Fund

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

Statement

of

Assets

and

Liabilities.

When

a

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Statement

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

 Statement

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

Statement

of

Assets

and

Liabilities. The

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

Fund

may purchase

and

write

call

and

put

options

to

increase

or

decrease

its

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.

Notes

to

Financial

Statements

(continued)

33

Notes

to

Financial

Statements

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

Statement

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

Statement

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

Statement

of

Operations

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

received

or

paid.

When

the

Fund

writes

a

call

option,

such

option

is

typically

“covered,”

meaning

that

it

holds

the

underlying

instrument

subject

to

being

called

by

the

option

counterparty.

When

the

Fund

writes

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

Statement

of

Assets

and

Liabilities.

Swaptions

–

The

Fund

may purchase

and

write

options

on

swaps

(“swaptions”)

primarily

to

preserve

a

return

or

spread

on

a

particular

investment

or

portion

of

the

Fund’s

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

Fund

bears

the

risk

of

an

unfavorable

change

in

the

value

of

the

underlying

instrument

or

the

risk

that

it

may

not

be

able

to

enter

into

a

closing

transaction

due

to

an

illiquid

market.

Exercise

of

a

written

option

could

result

in

the

Fund

purchasing

or

selling

a

security

when

it

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

Fund

and

a

counterparty

to

make

periodic

net

payments

on

a

specified

notional

amount

or

a

net

payment

upon

termination.

Swap

agreements

are

privately

negotiated

in

the

OTC

market

and

may

be

entered

into

as

a

bilateral

contract

(“OTC

swaps”)

or

centrally

cleared

(“centrally

cleared

swaps”).

For

OTC

swaps,

any

upfront

premiums

paid

and

any

upfront

fees

received

are

shown

as

swap

premiums

paid

and

swap

premiums

received,

respectively,

in

the

Statement

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

Statement

of

Assets

and

Liabilities.

Payments

received

or

paid

are

recorded

in

the

Statement

of

Operations

as

realized

gains

or

losses,

respectively.

When

an

OTC

swap

is

terminated,

a

realized

gain

or

loss

is

recorded

in

the

Statement

of

Operations

equal

to

the

difference

between

the

proceeds

from

(or

cost

of)

the

closing

transaction

and

the

Fund’s

basis

in

the

contract,

if

any.

Generally,

the

basis

of

the

contract

is

the

premium

received

or

paid.

In

a

centrally

cleared

swap,

immediately

following

execution

of

the

swap

contract,

the

swap

contract

is

novated

to

a

central

counterparty

(the

“CCP”)

and

the

CCP

becomes

the Fund’s

counterparty

on

the

swap.

The

Fund

is

required

to

interface

with

the

CCP

through

the

broker.

Upon

entering

into

a

centrally

cleared

swap,

the

Fund

is

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

Schedule

of

Investments

and

cash

deposited

is

shown

as

cash

pledged

for

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities. Amounts

pledged,

which

are

considered

restricted

cash,

are

included

in

cash

pledged

for

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

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

Statement

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

Statement

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

Fund

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

Fund

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

Fund

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.

Total

return

swaps

—

Total

return

swaps

are

entered

into

to

obtain

exposure

to

a

security

or

market

without

owning

such

security

or

investing

directly

in

such

market

or

to

exchange

the

risk/return

of

one

security

or market

(e.g.,

fixed-income)

with

another

security

or

market

(e.g.,

equity

or

commodity

prices)

(equity

risk,

commodity

price

risk

and/or

interest

rate

risk).

Total

return

swaps

are

agreements

in

which

there

is

an

exchange

of

cash

flows

whereby

one

party

commits

to

make

payments

based

on

the

total

return

(distributions

plus

capital

gains/losses)

of

an

underlying

instrument,

or

basket

of

underlying

instruments,

in

exchange

for

fixed

or

floating

rate

interest

payments.

If

the

total

return

of

the

instrument(s)

or

index

underlying

the

transaction

exceeds

or

falls

short

of

the

offsetting

fixed

or

floating

interest

rate

obligation,

the

Fund

receives

payment

from

or

makes

a

payment

to

the

counterparty.

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

Fund

may enter

into

forward

interest

rate

swaps

and

forward

total

return

swaps.

In

a

forward

swap,

the

Fund

and

the

counterparty

agree

to

Notes

to

Financial

Statements

(continued)

2024

Blackrock

Annual

Financial

Statements

and

Additional

Information

34

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

Statement

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, the

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 the

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, the

Fund

may,

under

certain

circumstances,

offset

with

the

counterparty

certain

derivative

financial

instruments’

payables

and/or

receivables

with

collateral

held

and/or

posted

and

create

one

single

net

payment.

The

provisions

of

the

ISDA

Master

Agreement

typically

permit

a

single

net

payment

in

the

event

of

default

including

the

bankruptcy

or

insolvency

of

the

counterparty.

However,

bankruptcy

or

insolvency

laws

of

a

particular

jurisdiction

may

impose

restrictions

on

or

prohibitions

against

the

right

of

offset

in

bankruptcy,

insolvency

or

other

events.

Collateral

Requirements:

For

derivatives

traded

under

an

ISDA

Master

Agreement,

the

collateral

requirements

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

any

collateral

currently

pledged

by

the

Fund(s)

and

the

counterparty.

Cash

collateral

that

has

been

pledged

to

cover

obligations

of

the

Fund

and

cash

collateral

received

from

the

counterparty,

if

any,

is

reported

separately

in

the

Statement

of

Assets

and

Liabilities

as

cash

pledged

as

collateral

and

cash

received

as

collateral,

respectively.

Non-cash

collateral

pledged

by

the

Fund,

if

any,

is

noted

in

the

Schedule

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

Fund.

Any

additional

required

collateral

is

delivered

to/pledged

by

the

Fund

on

the

next

business

day.

Typically,

the

counterparty

is

not

permitted

to

sell,

re-pledge

or

use

cash

and

non-cash

collateral

it

receives.

The

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

Fund

from the

counterparties

are

not

fully

collateralized, the

Fund bears

the

risk

of

loss

from

counterparty

non-performance.

Likewise,

to

the

extent

the

Fund

has

delivered

collateral

to

a

counterparty

and

stands

ready

to

perform

under

the

terms

of

its

agreement

with

such

counterparty, the

Fund bears the

risk

of

loss

from

a

counterparty

in

the

amount

of

the

value

of

the

collateral

in

the

event

the

counterparty

fails

to

return

such

collateral.

Based

on

the

terms

of

agreements,

collateral

may

not

be

required

for

all

derivative

contracts.

For

financial

reporting

purposes,

the

Fund

does

not

offset

derivative

assets

and

derivative

liabilities

that

are

subject

to

netting

arrangements,

if

any,

in

the

Statement

of

Assets

and

Liabilities.

6.

INVESTMENT

ADVISORY

AGREEMENT

AND

OTHER

TRANSACTIONS

WITH

AFFILIATES 

Investment

Advisory:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Investment

Advisory

Agreement

with

the

Manager,

the

Fund’s

investment

adviser

and

an

indirect,

wholly-owned

subsidiary

of

BlackRock,

Inc.

(“BlackRock”),

to

provide

investment

advisory

and

administrative

services.

The Manager

receives

no

advisory

fee

from

the

Fund

under

the

Investment

Advisory

Agreement.

With

respect

to

the

Fund,

the

Manager

entered

into

separate

sub-advisory

agreements

with

each

of

BlackRock

International

Limited

(“BIL”)

and

BlackRock

(Singapore)

Limited

("BSL"

and,

together

with

BIL,

the

Sub-Advisers"),

each

an

affiliate

of

the

Manager.

The

Manager

pays

BIL

and

BSL

for

services

they

provide

for

that

portion

of

the

Fund

for

which

BIL

and

BSL,

as

applicable,

acts

as

Sub-Adviser,

a

monthly

fee

that

is

equal

to

a

percentage

of

the

investment

advisory

fees

paid

by

the

Fund

to

the

Manager.

Service

and

Distribution

Fees:

 The

Trust

,

on behalf

of

the

Fund,

entered

into

a

Distribution

Agreement

with

BlackRock

Investments,

LLC

(“BRIL”),

an

affiliate

of

the

Manager.

Administration:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Administration

Agreement

with

the

Manager,

an

indirect,

wholly-owned

subsidiary

of

BlackRock,

to

provide

administrative

services.

For

these

services,

the

Manager

receives

an

administration

fee

computed

daily

and

payable

monthly,

based

on

a

percentage

of

the

average

daily

net

assets

of

the

Fund.

The

administration

fee,

which

is

shown

as

administration

in

the

Statement

of

Operations,

is

paid

at

the

annual

rate

of

0.05%.

Expense

Limitations,

Waivers

and

Reimbursements:

The

Manager

contractually

agreed

to

waive

all

fees

and

pay

or

reimburse

all

operating

expenses

of the

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.

Although

the

Fund

does

not

compensate

the

Manager

directly

for

its

services

under

the

Investment

Advisory

Agreement,

because

the

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

the

Fund

which

are

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Statement

of

Operations.

For

the period

ended

September

30,

2024,

the

amount

waived

was $36,955. 

The

Manager

contractually

agreed

to

reimburse,

or

provide

offsetting

credits

to,

the

Fund

for

the

fees

and

expenses

of

the

trustees

who

are

not

“affiliated

persons”

(as

defined

in

the

Investment

Company

Act)

of

BlackRock,

counsel

to

the

Independent

Trustees

and

the

independent

registered

public

accounting

firm

that

provides

audit

services

in

connection

with

the

Fund

(collectively

referred

to

as

the

“Independent

Expenses”)

are

paid

directly

by

the

Fund

through

June

30,

2034.

On

July

1

of

each

year,

the

reimbursement

agreement

will

renew

automatically

for

an

additional

one

year

so

that

the

agreement

will

have

a

perpetual

ten-year

term.

After

giving

effect

to

such

contractual

arrangements,

Independent

Expenses

will

be

0.00%.

Such

contractual

arrangements

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

Notes

to

Financial

Statements

(continued)

35

Notes

to

Financial

Statements

The

Fund

also

had

a

waiver

of

administration

fees,

which

are

included

in

Administration

fees

waived

in

the

Statement

of

Operations.

For

the

period

ended

September

30,

2024,

the

amount

was $14,634. 

The

Manager

contractually

agreed

to

waive

its

administration

fee

through

June

30,

2034.

On

July

1

of

each

year,

the

waiver

agreement

will

renew

automatically

for

an

additional

one

year

so

that

the

agreement

will

have

a

perpetual

ten-year

term.

The

contractual

agreement

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

Interfund

Lending:

In

accordance

with

an

exemptive

order

(the

“Order”)

from

the

SEC,

the

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

the

Fund’s

investment

policies

and

restrictions.

The

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 period

ended

September

30,

2024,

the

Fund

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

Fund

reimburses

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

Statement

of

Operations. 

7.

PURCHASES

AND

SALES 

For

the

period

ended

September

30,

2024,

purchases

and

sales

of

investments,

including

paydowns/payups

and

mortgage

dollar

rolls

and

excluding

short-term

securities,

were

as

follows:

For

the period ended

September

30,

2024,

purchases

and

sales

related

to

mortgage

dollar

rolls

were

$26,858,465

and

$26,842,435,

respectively. 

8.

INCOME

TAX

INFORMATION 

It

is

the

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. 

The

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

the

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

the

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 Fund

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

Fund’s

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

Fund's

NAV.

The

tax

character

of

distributions

paid

was

as

follows: 

U.S.

Government

Securities

Other

Securities

Fund

Name

Purchases

Sales

Purchases

Sales

BATS:

Series

I

Portfolio

..................................................

$

61,213,826‌

$

54,462,125‌

$

66,145,728‌

$

16,361,438‌

Fund

Name

Period

Ended

09/30/24

BATS:

Series

I

Portfolio

Ordinary

income

........................................................................................................

$

1,832,094‌

Notes

to

Financial

Statements

(continued)

2024

Blackrock

Annual

Financial

Statements

and

Additional

Information

36

As

of

September

30,

2024

,

the

tax

components

of

accumulated earnings

(loss) were

as

follows:  

(a)

The

difference

between

book-basis

and

tax-basis

net

unrealized

gains

(losses)

were

attributable

primarily

to

the

tax

deferral

of

losses

on

wash

sales

and

straddles,

amortization

and

accretion

methods

of

premiums

and

discounts

on

fixed

income

securities,

the

realization

for

tax

purposes

of

unrealized

gains

(losses)

on

certain

futures

and

foreign

currency

exchange

contracts,

the

accounting

for

swap

agreements

and

the

classification

of

investments.

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: 

9.

BANK

BORROWINGS 

The

Trust,

on

behalf

of

the

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

Fund

may

borrow

to

fund

shareholder

redemptions.

Excluding

commitments

designated

for

certain

individual

funds,

the

Participating

Funds,

including

the

Fund,

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

Secured

Overnight

Financing

Rate

(“SOFR”)

(but,

in

any

event,

not

less

than

0.00%)

on

the

date

the

loan

is

made

plus

0.10%

and

(y)

0.80%

per

annum. The

agreement

expires

in

April

2025

unless

extended

or

renewed. These

fees

were

allocated

among

such

funds

based

upon

portions

of

the

aggregate

commitment

available

to

them

and

relative

net

assets

of

Participating

Funds.

During

the period ended

September

30,

2024,

the

Fund

did

not

borrow

under

the

credit

agreement.

10.

 PRINCIPAL

RISKS 

In

the

normal

course

of

business,

the

Fund

invests

in

securities

or

other

instruments

and

may

enter

into

certain

transactions,

and

such

activities

subject

the

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

Fund

and its

investments.

The

Fund’s

prospectus

provides

details

of

the

risks

to

which

the

Fund

is

subject. 

Market Risk:

The

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

the

Fund

to

reinvest

in

lower

yielding

securities. The

Fund

may

also

be

exposed

to

reinvestment

risk,

which

is

the

risk

that

income

from

the

Fund’s

portfolio

will

decline

if

the Fund

invests

the

proceeds

from

matured,

traded

or

called

fixed-income

securities

at

market

interest

rates

that

are

below

the

Fund

portfolio’s

current

earnings

rate.

Counterparty

Credit

Risk:

The

Fund

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

Fund

manages

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

Fund

to

market,

issuer

and

counterparty

credit

risks,

consist

principally

of

financial

instruments

and

receivables

due

from

counterparties.

The

extent

of

the

Fund’s

exposure

to

market,

issuer

and

counterparty

credit

risks

with

respect

to

these

financial

assets

is

approximately

their

value

recorded

in

the

Statement

of

Assets

and

Liabilities,

less

any

collateral

held

by

the

Fund. 

A

derivative

contract

may

suffer

a

mark-to-market

loss

if

the

value

of

the

contract

decreases

due

to

an

unfavorable

change

in

the

market

rates

or

values

of

the

underlying

instrument.

Losses

can

also

occur

if

the

counterparty

does

not

perform

under

the

contract.

For

OTC

options

purchased,

the

Fund

bears

the

risk

of

loss

in

the

amount

of

the

premiums

paid

plus

the

positive

change

in

market

values

net

of

any

collateral

held

by

the

Fund

should

the

counterparty

fail

to

perform

under

the

contracts.

Options

written

by

the

Fund

do

not

typically

give

rise

to

counterparty

credit

risk,

as

options

written

generally

obligate

the

Fund,

and

not

the

counterparty,

to

perform.

The

Fund

may

be

exposed

to

counterparty

credit

risk

with

respect

to

options

written

to

the

extent

the

Fund

deposits

collateral

with

its

counterparty

to

a

written

option. 

With

exchange-traded

futures

and

centrally

cleared

swaps,

there

is

less

counterparty

credit

risk

to

the

Fund

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, the

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

Fund

Name

Undistributed

Ordinary

Income

Undistributed

Long-Term

Capital

Gains

Net

Unrealized

Gains

(Losses)

(a)

Total

BATS:

Series

I

Portfolio

.....................................................

$

709,989‌

$

95,963‌

$

59,198‌

$

865,150‌

Fund

Name

Tax

Cost

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation

Net

Unrealized

Appreciation

(Depreciation)

BATS:

Series

I

Portfolio

.............................................

$

61,497,088‌

$

1,550,283‌

$

(805,779‌)

$

744,504‌

Notes

to

Financial

Statements

(continued)

37

Notes

to

Financial

Statements

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

Fund. 

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

the

Fund’s

portfolio

are

disclosed

in

its Schedule

of

Investments.

The

Fund

invests

a

significant

portion

of

its

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. 

The

Fund

invests

a

significant

portion

of

its

assets

in fixed-income securities and/or uses

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

Fund

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

the

Fund’s

performance.

The

Fund

invests

a

significant

portion

of

its

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

Fund

invests.

The

Fund

invests

a

significant

portion

of

its

assets

in

securities

of

issuers

located

in

Europe

or

with

significant

exposure

to

European

issuers

or

countries.

The

European

financial

markets

have

recently

experienced

volatility

and

adverse

trends

due

to

concerns

about

economic

downturns

in,

or

rising

government

debt

levels

of,

several

European

countries

as

well

as

acts

of

war

in

the

region.

These

events

may

spread

to

other

countries

in

Europe

and

may

affect

the

value

and

liquidity

of

certain

of

the

Fund’s

investments. 

Responses

to

the

financial

problems

by

European

governments,

central

banks

and

others,

including

austerity

measures

and

reforms,

may

not

work,

may

result

in

social

unrest

and

may

limit

future

growth

and

economic

recovery

or

have

other

unintended

consequences.

Further

defaults

or

restructurings

by

governments

and

others

of

their

debt

could

have

additional

adverse

effects

on

economies,

financial

markets

and

asset

valuations

around

the

world.

The

United

Kingdom

has

withdrawn

from

the

European

Union,

and

one

or

more

other

countries

may

withdraw

from

the

European

Union

and/or

abandon

the

Euro,

the

common

currency

of

the

European

Union.

These

events

and

actions

have

adversely

affected,

and

may

in

the

future

adversely

affect,

the

value

and

exchange

rate

of

the

Euro

and

may

continue

to

significantly

affect

the

economies

of

every

country

in

Europe,

including

countries

that

do

not

use

the

Euro

and

non-European

Union

member

states. The

impact

of

these

actions,

especially

if

they

occur

in

a

disorderly

fashion,

is

not

clear

but

could

be

significant

and

far

reaching.

In

addition,

Russia

launched

a

large-scale

invasion

of

Ukraine

on

February

24,

2022.

The

extent

and

duration

of

the

military

action,

resulting

sanctions

and

resulting

future

market

disruptions

in

the

region

are

impossible

to

predict,

but

have

been,

and

may

continue

to

be,

significant

and

have

a

severe

adverse

effect

on

the

region,

including

significant

negative

impacts

on

the

economy

and

the

markets

for

certain

securities

and

commodities,

such

as

oil

and

natural

gas,

as

well

as

other

sectors.

The

Fund

invests

a

significant

portion

of

its

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

Schedule

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.

Notes

to

Financial

Statements

(continued)

2024

Blackrock

Annual

Financial

Statements

and

Additional

Information

38

11.

CAPITAL

SHARE

TRANSACTIONS 

Transactions

in

capital

shares

were

as

follows:

As

of

September

30,

2024,

BlackRock

Financial

Management,

Inc.,

an

affiliate

of

the

Fund,

owned

5,000,000

shares

of

the

Fund.

12.

SUBSEQUENT

EVENTS 

Management

has

evaluated

the

impact

of

all

subsequent

events

on

the

Fund

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.

d

Period

from

03/06/24

(a)

to

09/30/24

Fund

Name/Share

Class

Shares

Amount

BATS:

Series

I

Portfolio

Shares

sold

...........................................................................

5,504,823‌

$

55,065,178‌

Shares

redeemed

.......................................................................

(892‌)

(8,955‌)

5,503,931‌

$

55,056,223‌

(a)

Commencement

of

operations.

Report

of

Independent

Registered

Public

Accounting

Firm

39

Report

of

Independent

Registered

Public

Accounting

Firm

To

the

Shareholders

of

BATS:

Series

I

Portfolio

and

the

Board

of

Trustees

of

BlackRock

Allocation

Target

Shares:

Opinion

on

the

Financial

Statements

and

Financial

Highlights

We

have

audited

the

accompanying

statement

of

assets

and

liabilities

of

BATS:

Series

I

Portfolio

of

BlackRock

Allocation

Target

Shares

(the

“Fund”),

including

the

schedule

of

investments,

as

of

September

30,

2024,

the

related

statement

of

operations,

the

statement

of

changes

in

net

assets

and

the

financial

highlights

for

the

period

from

March

6,

2024

(commencement

of

operations)

through

September

30,

2024,

and

the

related

notes.

In

our

opinion,

the

financial

statements

and

financial

highlights

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

as

of

September

30,

2024,

and

the

results

of

its

operations,

the

changes

in

its

net

assets,

and

the

financial

highlights

for

the

period

from

March

6,

2024

(commencement

of

operations)

through

September

30,

2024,

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinion

These

financial

statements

and

financial

highlights

are

the

responsibility

of

the

Fund’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

financial

statements

and

financial

highlights

based

on

our

audit.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Fund

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audit

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

and

financial

highlights

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

The

Fund

is

not

required

to

have,

nor

were

we

engaged

to

perform,

an

audit

of

its

internal

control

over

financial

reporting.

As

part

of

our

audit

we

are

required

to

obtain

an

understanding

of

internal

control

over

financial

reporting

but

not

for

the

purpose

of

expressing

an

opinion

on

the

effectiveness

of

the

Fund’s

internal

control

over

financial

reporting.

Accordingly,

we

express

no

such

opinion.

Our

audit

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements

and

financial

highlights,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements

and

financial

highlights.

Our

audit

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements

and

financial

highlights.

Our

procedures

included

confirmation

of

securities

owned

as

of

September

30,

2024,

by

correspondence

with

custodians

or

counterparties;

when

replies

were

not

received,

we

performed

other

auditing

procedures.

We

believe

that

our

audit

provides

a

reasonable

basis

for

our

opinion.

Deloitte

&

Touche

LLP

Boston,

Massachusetts

November

21,

2024

We

have

served

as

the

auditor

of

one

or

more

BlackRock

investment

companies

since

1992.

Important

Tax

Information

(unaudited)

2024

Blackrock

Annual

Financial

Statements

and

Additional

Information

40

The

following

amount,

or maximum

amount

allowable

by

law, is

hereby

designated

as

qualified

dividend

income

for

individuals

for

the

fiscal

period

ended

September

30,

2024

:

The

Fund

hereby

designates

the

following

amount,

or

maximum

amount

allowable

by

law,

as

interest

income

eligible

to

be

treated

as

a

Section

163(j)

interest

dividend

for

the

fiscal

period

ended

September

30,

2024:

The

Fund

hereby

designates

the

following

amount,

or

maximum

amount

allowable

by

law,

as

interest-related

dividends

eligible

for

exemption

from

U.S.

withholding

tax

for

nonresident

aliens

and

foreign

corporations

for

the

fiscal

period

ended

September

30,

2024:

Fund

Name

Qualified

Dividend

Income

BATS:

Series

I

Portfolio

...............................................................................................

$

15,663‌

Fund

Name

Interest

Dividends

BATS:

Series

I

Portfolio

...............................................................................................

$

1,769,236‌

Fund

Name

Interest-Related

Dividends

BATS:

Series

I

Portfolio

...............................................................................................

$

884,926‌

Additional

Information

41

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

Fund.

General

Information 

Quarterly

performance,

semi-annual

and

annual

reports,

current

net

asset

value

and

other

information

regarding

the

Fund

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

Fund

and

does

not,

and

is

not

intended

to,

incorporate

BlackRock’s

website

in

this

report.

Electronic

Delivery

Shareholders

can

sign

up

for

e-mail

notifications

of

quarterly

statements,

annual

and

semi-annual

shareholder

reports

and

prospectuses

by

enrolling

in

the

electronic

delivery

program.

To

enroll

in

electronic

delivery:

Shareholders

Who

Hold

Accounts

with

Investment

Advisors,

Banks

or

Brokerages:

Please

contact

your

financial

advisor.

Please

note

that

not

all

investment

advisors,

banks

or

brokerages

may

offer

this

service.

Shareholders

Who

Hold

Accounts

Directly

with

BlackRock:

1.

Access

the

BlackRock

website

at

blackrock.com

2.

Select

"Access

Your

Account"

3.

Next,

select

"eDelivery"

in

the

"Related

Resources"

box

and

follow

the

sign-up

instructions.

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.

Shareholder

Privileges

Account

Information

Call

us

at

(800) 

441-7762

from

8:00

AM

to

6:00

PM

ET

on

any

business

day

to

get

information

about

your

account

balances,

recent

transactions

and

share

prices.

You

can

also

visit

blackrock.com

for

more

information.

Automatic

Investment

Plans

Investor

class

shareholders

who

want

to

invest

regularly

can

arrange

to

have

$50

or

more

automatically

deducted

from

their

checking

or

savings

account

and

invested

in

any

of

the

BlackRock

funds.

Systematic

Withdrawal

Plans

Investor

class

shareholders

can

establish

a

systematic

withdrawal

plan

and

receive

periodic

payments

of

$50

or

more

from

their

BlackRock

funds,

as

long

as

their

account

balance

is

at

least

$10,000.

Retirement

Plans

Shareholders

may

make

investments

in

conjunction

with

Traditional,

Rollover,

Roth,

Coverdell,

Simple

IRAs,

SEP

IRAs

and

403(b)

Plans.

Additional

Information

(continued)

2024

Blackrock

Annual

Financial

Statements

and

Additional

Information

42

Fund

and

Service

Providers

Investment

Adviser

and

Administrator

BlackRock

Advisors,

LLC

Wilmington,

DE

19809

Sub-Advisers

BlackRock

International

Limited

Edinburgh,

EH3

8BL

United

Kingdom

BlackRock

(Singapore)

Limited

079912

Singapore

Accounting

Agent

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Transfer

Agent

BNY

Mellon

Investment

Servicing

(US)

Inc.

Wilmington,

DE

19809

Custodian

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

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

Glossary

of

Terms

Used

in

This

Report

43

Glossary

of

Terms

Used

in

This

Report

Currency

Abbreviation

AUD

Australian

Dollar

BRL

Brazilian

Real

CHF

Swiss

Franc

CLP

Chilean

Peso

CNY

Chinese

Yuan

COP

Colombian

Peso

CZK

Czech

Koruna

EUR

Euro

GBP

British

Pound

HUF

Hungarian

Forint

IDR

Indonesian

Rupiah

INR

Indian

Rupee

JPY

Japanese

Yen

KRW

South

Korean

Won

MXN

Mexican

Peso

MYR

Malaysian

Ringgit

NOK

Norwegian

Krone

PEN

Peruvian

Sol

PLN

Polish

Zloty

RON

Romanian

Leu

SEK

Swedish

Krona

SGD

Singapore

Dollar

THB

Thai

Baht

TWD

Taiwan

New

Dollar

USD

United

States

Dollar

UYU

Uruguayan

Peso

ZAR

South

African

Rand

Portfolio

Abbreviation

BZDIOVER

Overnight

Brazil

CETIP

—

Interbank

Rate

CLICP

Chile

Indice

de

Camara

Promedio

Interbank

Overnight

Index

CLO

Collateralized

Loan

Obligation

CSMC

Credit

Suisse

Mortgage

Capital

EURIBOR

Euro

Interbank

Offered

Rate

IBR

Colombian

Reference

Banking

Indicator

JIBAR

Johannesburg

Interbank

Average

Rate

MIBOR

Mumbai

Interbank

Offered

Rate

MXIBTIIE

Mexico

Interbank

TIIE

28-Day

OTC

Over-the-counter

PIK

Payment-In-Kind

SOFR

Secured

Overnight

Financing

Rate

TBA

To-be-announced

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

Fund’s

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 – See Item 2

              (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

              <<section302>>

(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

<<section906>>

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 21, 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 21, 2024 

By:     /s/ Trent Walker                      

          Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Allocation Target Shares

Date: November 21, 2024