UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21457

Name of Fund: BlackRock Allocation Target Shares

BATS: Series A Portfolio

BATS: Series C Portfolio

BATS: Series E Portfolio

BATS: Series M Portfolio

BATS: Series P Portfolio

BATS: Series S Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Allocation

Target Shares, 55 East 52^nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 441-7762

Date of fiscal year end: 03/31/2019

Date of reporting period: 03/31/2019

Item 1 – Report to Stockholders

MARCH 31, 2019

ANNUAL REPORT

BlackRock Allocation Target Shares

▶ BATS: Series A Portfolio

▶ BATS: Series C Portfolio

▶ BATS: Series E Portfolio

▶ BATS: Series M Portfolio

▶ BATS: Series P Portfolio

▶ BATS: Series S Portfolio

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800)-441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at www.blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

      Not FDIC Insured ∎ May Lose Value ∎ No Bank  Guarantee      

The Markets in Review

Dear Shareholder,

In the 12 months ended March 31, 2019, the U.S. equity and bond markets posted positive returns while weathering significant volatility. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined sharply in late 2018. Thereafter, global equity markets rebounded strongly, as inflation diminished and the U.S. Federal Reserve (the “Fed”) announced a shift to less restrictive monetary policy.

Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities. However, recent economic data indicates that Europe may emerge from its economic soft patch, reinvigorated by a manufacturing rebound and China’s economic stimulus.

Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad-based sell-off in December, leading to the worst December performance on record since 1931.

By comparison, fixed income securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury yields rose the fastest, while longer-term yields declined slightly. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

The Fed increased short-term interest rates three times during the reporting period. For its last two meetings, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates.

Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. We expect profit margins to continue to contract, which tends to happen late in the business cycle.

In addition, trade frictions look more baked into asset prices than a year ago, but markets may be overlooking European political risks. As Brexit moves forward, the United Kingdom and the European Union may face significant obstacles. Most recently, Britain’s Parliament voted to extend the deadline for the separation, as policy makers continue to seek the least disruptive ways to disentangle Europe’s second-largest economy from the European Union. U.S. and emerging market equities remain relatively attractive. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of March 31, 2019
	6-month	12-month
U.S. large cap equities (S&P 500® Index)	(1.72)%	9.50%
U.S. small cap equities (Russell 2000® Index)	(8.56)	2.05
International equities (MSCI Europe, Australasia, Far East Index)	(3.81)	(3.71)
Emerging market equities (MSCI Emerging Markets Index)	1.71	(7.41)
3-month Treasury bills (ICE BofAML 3-Month U.S. Treasury Bill Index)	1.17	2.12
U.S. Treasury securities (ICE BofAML 10-Year U.S. Treasury Index)	7.08	5.59
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)	4.63	4.48
Tax-exempt municipal bonds (S&P Municipal Bond Index)	4.32	5.12
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)	2.39	5.93
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

2 T H I S  P A G E  I S  N O T  P A R T   O F  Y O U R  F U N D  R E P O R T

Table of Contents

	Page
The Markets in Review		2
Annual Report:
Fund Summaries		4
About Fund Performance		16
Disclosure of Expenses		16
The Benefits and Risks of Leveraging		17
Derivative Financial Instruments		17
Financial Statements:
Schedules of Investments		18
Statements of Assets and Liabilities		79
Statements of Operations		81
Statements of Changes in Net Assets		83
Statement of Cash Flows		86
Financial Highlights		87
Notes to Financial Statements		93
Report of Independent Registered Public Accounting Firm		107
Important Tax Information		108
Trustee and Officer Information		109
Additional Information		113
Glossary of Terms Used in this Report		115

3

Fund Summary as of March 31, 2019 BATS: Series A Portfolio

Investment Objective

BATS: Series A Portfolio’s (the “Fund”) investment objective is to seek a high level of current income consistent with capital preservation.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended March 31, 2019, the Fund underperformed both its broad-based benchmark, the Bloomberg Barclays U.S. Universal Index, and its “Reference Benchmark,” consisting of 50% Bloomberg Barclays U.S. Asset-Backed Securities Index and 50% Bloomberg Barclays Non-Agency Investment Grade CMBS Index. Shares of the Fund can be purchased or held only by or on behalf of (i) certain separately managed account clients; (ii) collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser; and (iii) mutual funds advised by BlackRock Advisors, LLC or its affiliates. Comparisons of the Fund’s performance versus its Reference Benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The largest detractors from the Fund’s performance were underweight allocations to asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”), as both sectors outperformed the benchmark. In particular, underweights to credit card and prime and subprime auto loan receivables within ABS weighed on the Fund’s return.

Positive contributions to the Fund’s performance were led by allocations to non-agency residential mortgage-backed securities (“RMBS”), specifically holdings within the sub-prime, option adjustable-rate mortgage and credit risk-transfer subsectors. Holdings of floating rate collateralized loan obligations also contributed to performance. Finally, exposure to corporate bonds was additive.

Describe recent portfolio activity.

The Fund decreased allocations to corporate credit, floating rate loan interests (“bank loans”) and ABS during the period. Within ABS, exposure to foreign issues was decreased, along with exposure to auto and equipment loan receivables, while the allocation to student loans and small business association loans was increased. The allocation to CMBS was increased, most notably to interest-only securities and AAA-rated non-agency multifamily loans. RMBS exposure was also increased during the period, specifically within legacy subprime deals.

Describe portfolio positioning at period end.

The Fund ended the period with an underweight duration (and corresponding interest rate sensitivity) relative to the Reference Benchmark. The Fund had an out-of-benchmark exposure to floating rate bank loans and was overweight in high yield corporates. The Fund was also overweight in ABS. The Fund was underweight in CMBS, largely due to relatively light exposure to non-agency issues within the sector.

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.

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments(a)
Asset-Backed Securities		60%
Non-Agency Mortgage-Backed Securities		35
U.S. Government Sponsored Agency Securities		3
Floating Rate Loan Interests		2

CREDIT QUALITY ALLOCATION ^(b)

Credit Rating	Percent of Total Investments(a)
AAA/Aaa(c)		37%
AA/Aa		4
A		4
BBB/Baa		4
BB/Ba		7
B		2
CCC/Caa		4
CC/Ca		5
C		2
N/R		31

^(a)  Total investments exclude short-term securities.

^(b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(c) The investment adviser evaluates the credit quality of not-rated 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 not-rated U.S.Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

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Fund Summary as of March 31, 2019 (continued) BATS: Series A Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

^(a)  The Fund will primarily invest its assets in fixed-income securities, such as ABS, CMBS and RMBS issued or guaranteed by the U.S. Government, various agencies of the U.S. Government or various instrumentalities that have been established or sponsored by the U.S. Government, CMBS and RMBS issued by banks and other financial institutions, collateralized mortgage obligations, loans backed by commercial or residential real estate, derivatives and repurchase agreements and reverse repurchase agreements.

^(b)  An unmanaged, market value weighted index of fixed-income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, ABS and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt with maturities of at least one year.

^(c)  A customized weighted index comprised of the returns of the Bloomberg Barclays U.S. Asset-Backed Securities Index (50%)/Bloomberg Barclays Non-Agency Investment Grade CMBS Index (50%). The Bloomberg Barclays U.S. Asset-Backed Securities Index is composed of debt securities backed by credit card, auto and home equity loans that are rated investment grade or higher by Moody’s, S&P or Fitch Ratings, Inc. (“Fitch”). Issues must have at least one year to maturity and an outstanding par value of at least $50 million. The Bloomberg Barclays Non-Agency Investment Grade CMBS Index measures the market of conduit and fusion CMBS deals with a minimum current deal size of $300 million that are rated investment grade or higher using the middle rating of Moody’s, S&P, and Fitch after dropping the highest and lowest available ratings. Securities must have a remaining average life of at least one year and must be fixed-rate, weighted average coupon (WAC), or capped WAC securities.

^(d)  Commencement of operations.

Performance Summary for the Period Ended March 31, 2019

		Average Annual Total Returns(a)
	6-Month Total Returns	1 Year	Since Inception(b)
BATS: Series A Portfolio	2.06%	4.31%	6.13%
Bloomberg Barclays U.S. Universal Index	4.53	4.53	3.03
Reference Benchmark	3.79	4.70	2.58

^(a)  See “About Fund Performance” on page 16 for a detailed description of performance related information.

^(b)  The Fund commenced operations on September 21, 2015.

Past performance is not indicative of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

Actual

Hypothetical(b)

Beginning Account Value (10/01/18)

Ending Account Value (03/31/19)

Expenses Paid During the Period(a)

Beginning Account Value (10/01/18)

Ending Account Value (03/31/19)

Expenses Paid During the Period(a)

Annualized Expense Ratio

BATS: Series A

Portfolio

$1,000.00

$1,020.60

$0.00

$1,000.00

$1,024.93

$0.00

0.00%

^(a)  For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(b)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.

F U N D   S U M M A R Y 5

Fund Summary as of March 31, 2019 BATS: Series C Portfolio

Investment Objective

BATS: Series C Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended March 31, 2019 the Fund outperformed its benchmark, the Bloomberg Barclays U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s positioning in the industrials sector made the largest contribution to returns, primarily as a result of overweight allocations to the midstream energy and technology industries. Duration and curve positioning also helped results. (Duration is a measure of interest rate sensitivity).

An underweight in emerging market issuers detracted from results, as did the Fund’s positioning in taxable municipal bonds and its overweight in the auto industry.

Describe recent portfolio activity.

The investment adviser added risk to the portfolio in the early part of the period, as it believed the widening in yield spreads would subside as the supply-and-demand backdrop for corporate bonds improved. (Yield spread refers to the difference in a bond’s yield relative to U.S. Treasuries). However, fears about Fed policy sparked a protracted selloff in risk assets in late 2018, negatively affecting the Fund. The investment adviser retained a steady level of portfolio risk going into 2019 on the belief that the improvement in valuations in the fourth quarter more than accounted for any deterioration in corporate fundamentals. As a result, the Fund was in a position to benefit from the subsequent recovery in higher-risk assets.

The investment adviser increased the Fund’s positions in the automotive, railroad and energy industries. The Fund maintained its tilt toward the short and intermediate segments of the yield curve, where supply and demand factors were more favorable than on the long end.

Describe portfolio positioning at period end.

The Fund was overweight in the banking, cable and satellite, and midstream energy industries. The Fund’s largest underweight positions were in life insurance, electric utilities, and property and casualty insurance. The Fund’s duration was neutral relative to the benchmark.

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

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments(a)
Corporate Bonds		88%
Capital Trusts		4
Taxable Municipal Bonds		3
U.S. Treasury Obligations		2
Foreign Government Obligations		2
Foreign Agency Obligations		1

CREDIT QUALITY ALLOCATION ^(b)

Credit Rating	Percent of Total Investments(a)
AAA/Aaa(c)		3%
AA/Aa		12
A		30
BBB/Baa		54
BB/Ba		1

^(a) Total investments exclude short-term securities and options purchased.

^(b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(c)  The investment adviser evaluates the credit quality of not-rated 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 not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

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Fund Summary as of March 31, 2019 (continued) BATS: Series C Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

^(a)  The Fund will primarily invest its assets in investment grade fixed-income securities, such as corporate bonds, notes and debentures, ABS, CMBS and RMBS, obligations of non-U.S. governments and supranational organizations which are chartered to promote economic development, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements and reverse repurchase agreements.

^(b)  An unmanaged index that includes publicly issued U.S. corporate and non-corporate securities which include foreign agencies, sovereigns, supranationals and local authorities that meet the specified maturity, liquidity, and quality requirements.

Performance Summary for the Period Ended March 31, 2019

		Average Annual Total Returns(a)
	6-Month Total Returns	1 Year	5 Years	10 Years
BATS: Series C Portfolio	4.69%	5.05%	3.76%	6.55%
Bloomberg Barclays U.S. Credit Index	4.89	4.89	3.61	6.22

^(a)  See “About Fund Performance” on page 16 for a detailed description of performance related information.

Past performance is not indicative of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

Actual

Hypothetical(b)

Beginning Account Value (10/01/18)

Ending Account Value (03/31/19)

Expenses Paid During the Period(a)

Beginning Account Value (10/01/18)

Ending Account Value (03/31/19)

Expenses Paid During the Period(a)

Annualized Expense Ratio

BATS: Series C

Portfolio

$1,000.00

$1,046.90

$0.00

$1,000.00

$1,024.93

$0.00

0.00%

^(a) For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(b)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.

F U N D   S U M M A R Y 7

Fund Summary as of March 31, 2019 BATS: Series E Portfolio

Investment Objective

BATS: Series E Portfolio’s (the “Fund”) investment objective is to seek to maximize Federal tax-free yield with a secondary goal of total return.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended March 31, 2019, the Fund outperformed its broad-based benchmark, the S&P^® Municipal Bond Index, but underperformed its customized “Reference Benchmark,” consisting of 50% S&P^® Municipal High-Yield Index, 25% S&P^® Municipal Bond A Rating Band Index (using the returns of only those A rated bonds that have maturities greater than five years) and 25% S&P^® Municipal Bond BBB Rating Band Index (using the returns of only those BBB rated bonds that have maturities greater than five years). Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s performance was hurt by its large underweights in various securities issued by U.S. territories, including Puerto Rico and the Virgin Islands that significantly outperformed the broader market. Puerto Rico’s debt benefited as its economy and revenues proved more resilient than expected following the 2017 hurricane. Underweight positions in non-investment grade bonds and the five-year to 15-year maturity range, both of which outperformed, also detracted from results. The Fund sought to manage interest rate risk in an active fashion using U.S. Treasury futures, which was a further detractor in the period.

On the positive side, positions in bonds with maturities of 20 years and above contributed to performance, as did an overweight in BBB rated securities. At the sector level, overweight positions in transportation, health care and tobacco issues added value. Security selection in the tobacco sector detracted, however, as the Fund favored higher-quality issues that underperformed lower-quality debt.

Describe recent portfolio activity.

The Fund’s most significant activity consisted of investing large cash inflows that mostly occurred during the first quarter of 2019. New investments favored longer-dated maturities in an effort to maximize yields and capture more attractive relative value versus shorter-dated issues. The lack of high-yield supply required the investment adviser to invest in higher-quality securities on a temporary basis as it awaited additional opportunities.

The Fund added to various Puerto Rico issues during the period as the outlook for the territory improved.

Describe portfolio positioning at period end.

The Fund held an above-average cash position as of March 31, 2019 due to large cash inflows just prior to period end. Given the rich valuations and low absolute yields in the market, the investment adviser chose to take a patient approach rather than putting all of the cash to work immediately. The Fund’s cash balance had no material impact on Fund performance.

At period end, the Fund had a slightly long duration relative to the benchmark. (Duration is a measure of interest-rate sensitivity). The Fund remained overweight in longer-term bonds, specifically the 20+ year maturity range, due to the investment adviser’s bias toward a continued flattening of the yield curve (i.e., outperformance for longer-dated issues). The Fund’s largest sector overweights included transportation, tobacco and housing. The Fund’s leading underweights were in the tax-backed and school district sectors, which reflected the investment adviser’s preference for revenue bonds (those secured by a specific revenue source) over general obligation debt.

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.

Portfolio Information

SECTOR ALLOCATION

Sector	Percent of Total Investments(a)
County/City/Special District/School District		23%
Health Care		17
Transportation		16
Education		12
Tobacco		12
Utilities		10
Housing		7
Corporate		3

CREDIT QUALITY ALLOCATION ^(b)

Credit Rating	Percent of Total Investments(a)
AAA/Aaa		2%
AA/Aa		16
A		20
BBB/Baa		26
BB/Ba		6
B		7
CC/Ca		2
N/R		21

^(a)  Total investments exclude short-term securities.

^(b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

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Fund Summary as of March 31, 2019(continued) BATS: Series E Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

^(a)  The Fund will invest in investment grade and non-investment grade municipal bonds. Under normal circumstances, the Fund maintains an average portfolio duration that is within ±25% of the duration of the Reference Benchmark.

^(b)  The S&P^® Municipal Bond Index is composed of bonds held by managed municipal bond fund customers of Standard & Poor’s Securities Pricing, Inc. that are priced daily. Bonds in the S&P^® Municipal Bond Index must have an outstanding par value of at least $2 million and a remaining maturity of not less than one month.

^(c)  A customized weighted index comprised of the returns of the S&P^® Municipal High-Yield Index (50%)/S&P^® Municipal Bond A Rating Band Index (25%) using the returns of only those A rated bonds that have maturities greater than 5 years/S&P^® Municipal Bond BBB Rating Band Index (25%) using the returns of only those BBB rated bonds that have the maturities greater than 5 years. The benchmark value used to calculate since inception return is from the close of July 31, 2014. By using this value the benchmark is using 2 extra days of performance (August 1, 2014 and August 4, 2014) compared to the Fund.

^(d)  Commencement of operations.

Performance Summary for the Period Ended March 31, 2019

			Average Annual Total Returns(a)
	6-Month Total Returns		1 Year	Since Inception(b)
BATS: Series E Portfolio		4.58%	6.44%	6.72%
S&P® Municipal Bond Index		4.32	5.12	3.41
Reference Benchmark		4.09	7.30		5.52(c)

^(a)  See “About Fund Performance” on page 16 for a detailed description of performance related information.

^(b)  The Fund commenced operations on August 4, 2014.

^(c)  The benchmark value used to calculate since inception return is from the close of July 31, 2014. By using this value the benchmark is using 2 extra days of performance (August 1, 2014 and August 4, 2014) compared to the Fund.

Past performance is not indicative of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

	Actual				Hypothetical(c)
			Including Interest Expense and Fees	Excluding Interest Expense and Fees		Including Interest Expense and Fees		Excluding Interest Expense and Fees
	Beginning Account Value (10/01/18)	Ending Account Value (03/31/19)	Expenses Paid During the Period(a)	Expenses Paid During the Period(b)	Beginning Account Value (10/01/18)	Ending Account Value (03/31/19)	Expenses Paid During the Period(a)	Ending Account Value (03/31/19)	Expenses Paid During the Period(b)
BATS: Series E Portfolio	$1,000.00	$1,045.80	$0.41	$0.00	$1,000.00	$1,024.53	$0.40	$1,024.93	$0.00

^(a)  For shares of the Fund, expenses are equal to the annualized expense ratio of 0.08%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(b)  For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(c)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.

F U N D  S U M M A R Y 9

Fund Summary as of March 31, 2019 BATS: Series M Portfolio

Investment Objective

BATS: Series M Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended March 31, 2019, the Fund outperformed its benchmark, the Bloomberg Barclays MBS Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The most significant positive contributor to the Fund’s performance relative to the benchmark was an out-of-benchmark allocation to commercial mortgage-backed securities (“CMBS”). The Fund’s stance with respect to interest rates, including both positioning along the yield curve and with respect to overall portfolio duration (and corresponding sensitivity to interest rate changes) also added to relative performance. An overweight position in both 15-year and 30-year agency mortgage-backed securities (“MBS”) benefited performance. Exposure to agency collateralized mortgage-obligations (“CMOs”) added to return, as did security selection within 15-year agency MBS contributed positively.

The largest detractor from performance was an allocation to Treasury inflation-protected securities (“TIPS”) as inflation expectations declined in late 2018. Selection within 30-year agency MBS also detracted, driven by underperformance of specified pool holdings for which the Fund paid a premium valuation to gain exposure to certain prepayment characteristics.

Describe recent portfolio activity.

During the period, the Fund trimmed its position in pass-through agency MBS issues while adding to agency CMOs. The Fund’s allocation to CMBS was increased during the period. The Fund also added exposures in agency MBS interest-only and inverse interest-only instruments as well as TIPS during the period. With respect to duration, the Fund moved from a neutral to an underweight stance.

Describe portfolio positioning at period end.

The Fund ended the period underweight in agency MBS relative to the benchmark, with exposures favoring higher coupons relative to lower coupons. In addition, the Fund favored specified pools with lower loan balances and more sensitivity to changing interest rate levels. The underweight to agency MBS was used to fund exposures in CMBS, which benefit the income and interest rate sensitivity of the Fund. The Fund also maintained exposure to securitized assets viewed as having the potential to benefit from spread tightening, particularly within CMBS. The Fund maintained exposure to interest-only Ginnie Mae securities backed by multi-family project loans based on attractive spreads. The investment adviser continued to hold a small position in 5-year TIPS, on the view that valuations are attractive relative to the potential for an uptick in inflation fundamentals. Relative to the Bloomberg Barclays MBS Index, the Fund ended the period underweight to overall portfolio duration.

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.

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments(a)
U.S. Government Sponsored Agency Securities		91%
Non-Agency Mortgage-Backed Securities		8
U.S. Treasury Obligations		1

CREDIT QUALITY ALLOCATION ^(b)

Credit Rating	Percent of Total Investments(a)
AAA/Aaa(c)		98%
AA/Aa		1
N/R		1

^(a)  Total investments exclude short-term securities, TBAsale commitments and options written.

^(b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(c)  The investment adviser evaluates the credit quality of not-rated 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 not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

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Fund Summary as of March 31, 2019(continued) BATS: Series M Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

^(a)  The Fund will primarily invest its assets in investment grade CMBS and RMBS, ABS, CMOs, U.S. Treasury and agency securities, cash equivalent instruments, when-issued and delayed delivery securities, derivatives and dollar rolls.

^(b)  An unmanaged index that includes the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac that meet the maturity and liquidity criteria.

Performance Summary for the Period Ended March 31, 2019

		Average Annual Total Returns(a)
	6-Month Total Returns	1 Year	5 Years	10 Years
BATS: Series M Portfolio	4.36%	4.94%	2.92%	5.12%
Bloomberg Barclays MBS Index	4.30	4.42	2.65	3.11

^(a)  See “About Fund Performance” on page 16 for a detailed description of performance related information.

Past performance is not indicative of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

	Actual			Hypothetical(b)
	Beginning Account Value (10/01/18)	Ending Account Value (03/31/19)	Expenses Paid During the Period(a)	Beginning Account Value (10/01/18)	Ending Account Value (03/31/19)	Expenses Paid During the Period(a)	Annualized Expense Ratio
BATS: Series M Portfolio	$1,000.00	$1,043.60	$0.00	$1,000.00	$1,024.93	$0.00	0.00%

^(a)  For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(b)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.

F U N D  S U M M A R Y 11

Fund Summary as of March 31, 2019 BATS: Series P Portfolio

Investment Objective

BATS: Series P Portfolio’s (the “Fund”) investment objective is to seek to provide a duration that is the inverse of its benchmark.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended March 31, 2019, the Fund underperformed the Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index and the Bloomberg Barclays U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund held cash at the end of the period as collateral in conjunction with its investments in U.S. Treasury futures and interest rate swaps. The Fund’s cash exposure had no material impact on performance. The use and cost of derivatives will result in a negative contribution to Fund returns when interest rates fall; however, the Fund’s strategy is designed to offset these costs by holding shares of BATS: Series S Portfolio (“Series S Portfolio”), a short-term proprietary fund. The use of derivatives is necessary to achieve the Fund’s objective and should therefore be evaluated in a portfolio context and not as a standalone strategy. Given that yields fell, the Fund’s use of derivatives to facilitate an inverse exposure to the 7- to 10-year part of the U.S. Treasury and 10 year swap of U.S. Bellwether yield curves detracted from results.

The Fund’s position in the Series S Portfolio, which benefited from its allocations to investment-grade corporate bonds, mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities, was the main contributor to performance. An allocation to U.S. Treasuries was the largest detractor in the Series S Portfolio.

Describe recent portfolio activity.

The Fund actively managed interest rate risk on the 7- to 10-year part of the yield curve by using derivatives as described above. The Fund maintained its allocation to Series S Portfolio in order to offset the cost of the derivatives. Since this is an overlay strategy designed to manage interest-rate risk, the portfolio’s positioning is relatively static.

Describe portfolio positioning at period end.

The Fund held positions in U.S. Treasury futures, interest rate swaps, Series S Portfolio and the Bank of New York Cash Reserve money market fund.

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.

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Net Assets
Fixed Income Funds		30%
Other Assets Less Liabilities		70

PORTFOLIO HOLDINGS

Security	Percent of Affiliated Investment Companies
BlackRock Allocation Target Shares: Series S Portfolio		100%

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Fund Summary as of March 31, 2019  (continued) BATS: Series P Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

^(a)  The Fund may invest in a portfolio of securities and other financial instruments, including derivative instruments, in an attempt to provide returns that are the inverse of its benchmark index.

^(b)  An unmanaged index that includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated Baa3 (or better) by Moody’s or BBB- (or better) by S&P, are fixed rate, and have more than $250 million par outstanding.

^(c)  Provides total returns for swaps with varying maturities. For example, the 10-year swap index measures the total return of investing in 10-year par swaps over time.

^(d)  Commencement of operations.

Performance Summary for the Period Ended March 31, 2019

	6-Month Total Returns			Average Annual Total Returns(a)
				1 Year			5 Years			Since Inception(b)
BATS: Series P Portfolio		(5.10	)%		(2.32	)%		(1.72	)%		(1.04	)%
Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index		6.72			5.77			3.03			2.00
Bloomberg Barclays U.S. Bellwether 10 Year Swap Index		7.78			6.28			3.44			2.27

^(a)  See “About Fund Performance” on page 16 for a detailed description of performance related information.

^(b)  The Fund commenced operations on March 20, 2013.

Past performance is not indicative of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

	Actual						Hypothetical(b)
	Beginning Account Value (10/01/18)		Ending Account Value (03/31/19)		Expenses Paid During the Period(a)		Beginning Account Value (10/01/18)		Ending Account Value (03/31/19)		Expenses Paid During the Period(a)		Annualized Expense Ratio
BATS: Series P
Portfolio		$1,000.00		$949.00		$0.00		$1,000.00		$1,024.93		$0.00		0.00	%

^(a)  For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(b)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.

F U N D  S U M M A R Y 13

Fund Summary as of March 31, 2019 BATS: Series S Portfolio

Investment Objective

BATS: Series S Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended March 31, 2019, the Fund outperformed its benchmark, the ICE BofAML 1-3 Year U.S. Treasury Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s allocations to investment-grade corporate bonds, mortgage-backed securities (“MBS”), commercial mortgage-backed securities (“CMBS”) and asset backed securities (“ABS”) were the main contributors to relative performance. An underweight in U.S. Treasuries was the primary detractor.

At period end, the Fund held a higher than average cash balance, reflecting a short-term strategy to the Fund in order to reduce overall risk. The cash balance had no material impact on the Fund’s performance, and was subsequently reduced after the period end date.

Describe recent portfolio activity.

The investment adviser reduced the amount of credit risk in the portfolio during the course of the period. The Fund’s allocation to ABS was reduced by decreasing its weighting in securities backed by prime auto loans and credit cards. In addition, the Fund decreased its portfolio allocation to corporate bonds, specifically in banking and finance companies. The Fund also increased its allocation to foreign sovereign debt.

Describe portfolio positioning at period end.

The Fund was positioned with a longer duration relative to the benchmark. The Fund was overweight in U.S. investment-grade corporate bonds, ABS and CMBS due to the positive supply-and-demand dynamics in these areas.

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.

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments(a)
Corporate Bonds		55%
U.S. Government Sponsored Agency Securities		18
Asset-Backed Securities		17
Non-Agency Mortgage-Backed Securities		9
Foreign Government Obligations		1

CREDIT QUALITY ALLOCATION ^(b)

Credit Rating	Percent of Total Investments(a)
AAA/Aaa(c)		43%
AA/Aa		5
A		22
BBB/Baa		30

^(a)  Total investments exclude short-term securities and options purchased.

^(b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(c)  The investment adviser evaluates the credit quality of not-rated 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 not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

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Fund Summary as of March 31, 2019  (continued) BATS: Series S Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

^(a)  The Fund will primarily invest its assets in investment grade fixed-income securities, such as CMBS and RMBS, obligations of non-U.S. governments and supranational organizations, which are chartered to promote economic development, obligations of domestic and non-U.S. corporations, ABS, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements, reverse repurchase agreements and dollar rolls.

^(b)  An unmanaged index comprised of Treasury securities with maturities ranging from one to three years.

Performance Summary for the Period Ended March 31, 2019

				Average Annual Total Returns(a)
	6 Months Total Returns			1 Year			5 Years			10 Years
BATS: Series S Portfolio		2.97	%		4.11	%		2.28	%		3.39	%
ICE BofAML 1-3 Year U.S. Treasury Index		2.29			2.72			0.98			1.04

^(a)  See “About Fund Performance” on page 16 for a detailed description of performance related information.

Past performance is not indicative of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Expense Example

	Actual				Hypothetical(c)
			Including Interest Expense	Excluding Interest Expense		Including Interest Expense		Excluding Interest Expense
	Beginning Account Value (10/01/18)	Ending Account Value (03/31/19)	Expenses Paid During the Period(a)	Expenses Paid During the Period(b)	Beginning Account Value (10/01/18)	Ending Account Value (03/31/19)	Expenses Paid During the Period(a)	Ending Account Value (03/31/19)	Expenses Paid During the Period(b)
BATS: Series S Portfolio	$1,000.00	$1,029.70	$2.94	$0.00	$1,000.00	$1,022.04	$2.92	$1,024.93	$0.00

^(a)  For shares of the Fund, expenses are equal to the annualized expense ratio of 0.58%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(b)  For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(c)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated.

F U N D  S U M M A R Y 15

About Fund Performance

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend/payable date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The performance information also reflects fee waivers and reimbursements that subsidize and reduce the total operating expenses of each Fund. The Funds’ returns would have been lower if there were no such waivers and reimbursements.

Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (a) transactional expenses and (b) operating expenses, including administration fees and other fund expenses. The expense examples shown on the previous pages (which are based on a hypothetical investment of $1,000 invested on October 1, 2018 and held through March 31, 2019) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund under the headings entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

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The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance returns and NAV. However, there is no guarantee that these objectives can be achieved in all interest rate environments.

The Funds may utilize leverage by entering into reverse repurchase agreements.

Series E Portfolio may leverage its assets through the use of proceeds received in tender option bond (“TOB”) transactions, as described in the Notes to Financial Statements. In a TOB Trust transaction, the Series E Portfolio transfers municipal bonds or other municipal securities into a special purpose entity (a “TOB Trust”). TOB investments generally provide the Series E Portfolio with economic benefits in periods of declining short-term interest rates, but expose the Series E Portfolio to risks during periods of rising short-term interest rates. Additionally, fluctuations in the market value of municipal bonds deposited into a TOB Trust may adversely affect the Series E Portfolio’s NAV per share.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by each Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is distributed to the Funds’ shareholders, and the value of these portfolio holdings is reflected in the Funds’ per share NAV. However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other ongoing costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage.

Furthermore, the value of each Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can also influence the value of portfolio investments. As a result, changes in interest rates can influence each Fund’s NAV positively or negatively in addition to the impact on each Fund’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that a Fund’s leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Fund’s NAV and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of the leverage instruments, which may cause the Funds to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by each Fund’s shareholders and may reduce income.

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

T H E  B E N E F I T S  A N D  R I S K S   O F  L E V E R A G I N G  A N D  D E R I V A T I V E  F  I N A N C I A L  I N S T R U M E N T S 17

Schedule of Investments   March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities — 58.6%
AIMCO CLO, Series 2014-AA, Class AR, (3 mo. LIBOR US + 1.100%), 3.86%, 07/20/26 (a)(b)	$	606	$	605,662
Ajax Mortgage Loan Trust:
Series 2017-D, Class A, 3.75%, 12/25/57 (b)		2,152		2,208,050
Series 2017-D, Class B, 0.00%, 12/25/57 (b)(c)(d)		1,704		766,946
Series 2018-A, Class A, 3.85%, 04/25/58 (b)(c)		2,224		2,140,464
Series 2018-A, Class B, 0.00%, 04/25/58 (b)(c)		607		333,800
Series 2018-B, Class A, 3.75%, 02/26/57 (b)(c)		2,066		2,061,192
Series 2018-B, Class B, 0.00%, 02/26/57 (b)(c)		955		267,445
Series 2018-D, Class A, 3.75%, 08/25/58 (b)(c)(d)		3,783		3,723,271
Series 2018-D, Class B, 0.00%, 08/25/58 (b)(c)(d)		918		514,242
Series 2018-E, Class A, 4.38%, 06/25/58 (b)(d)		3,913		3,942,927
Series 2018-E, Class B, 5.25%, 06/25/58 (b)(d)		368		360,670
Series 2018-E, Class C, 0.00%, 06/25/58 (b)(c)(d)		931		269,986
Series 2018-F, Class A, 4.38%, 11/25/58 (b)(c)(d)		4,434		4,456,574
Series 2018-F, Class B, 5.25%, 11/25/58 (b)(c)(d)		420		411,765
Series 2018-F, Class C, 0.00%, 11/25/58 (b)(c)		1,030		484,192
Series 2018-G, Class A, 4.38%, 06/25/57 (b)(c)(d)		5,761		5,734,743
Series 2018-G, Class B, 5.25%, 06/25/57 (b)(c)(d)		560		547,400
Series 2018-G, Class C, 0.00%, 06/25/57 (b)		1,435		1,374,148
Series 2019-A, Class A, 3.75%, 08/25/57 (b)(d)		3,751		3,742,699
Series 2019-A, Class B, 5.25%, 08/25/57 (b)(d)		350		342,866
Series 2019-A, Class C, 0.00%, 08/25/57 (b)		900		695,407
Series 2019-B, Class A, 3.75%, 01/25/59 (b)(d)		4,440		4,429,754
Series 2019-B, Class B, 5.25%, 01/25/59 (b)(d)		409		400,670
Series 2019-B, Class C, 0.00%, 01/25/59 (b)		1,050		841,673
Allegro CLO II-S Ltd.:
Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.080%), 3.84%, 10/21/28 (a)(b)		2,000		1,994,710
Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.150%), 4.91%, 10/21/28 (a)(b)		300		297,336
Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.000%), 5.76%, 10/21/28 (a)(b)		750		736,999
Allegro CLO Ltd., Series 2016-1X, Class D, (3 mo. LIBOR US + 3.850%), 6.64%, 01/15/29 (a)		500		500,010
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.130%), 3.90%, 01/17/31 (a)(b)		1,000		993,066

Security	Par (000)		Value
ALM VI Ltd., Series 2012-6A, Class DR3, (3 mo. LIBOR US + 5.050%), 7.84%, 07/15/26 (a)(b)	$	600	$	573,742
ALM VII Ltd., Series 2012-7A, Class A1R, (3 mo. LIBOR US + 1.480%), 4.27%, 10/15/28 (a)(b)		1,000		1,000,843
ALM XVI Ltd./ALM XVI LLC:
Series 2015-16A, Class A2R2, (3 mo. LIBOR US + 1.500%), 4.29%, 07/15/27 (a)(b)		1,000		991,821
Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.700%), 5.49%, 07/15/27 (a)(b)		1,000		980,450
ALM XVII Ltd., Series 2015-17A, Class BR, (3 mo. LIBOR US + 2.100%), 4.89%, 01/15/28 (a)(b)		500		494,884
American Express Credit Account Master Trust:
Series 2014-1, Class A, (1 mo. LIBOR US + 0.370%), 2.85%, 12/15/21 (a)		3,750		3,751,544
Series 2019-1, Class A, 2.87%, 10/15/24		5,060		5,106,347
AMMC CLO Ltd., Series 2017-20A, Class E, (3 mo. LIBOR US + 5.810%), 8.58%, 04/17/29 (a)(b)		500		471,523
AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.250%), 4.02%, 07/25/29 (a)(b)		500		500,667
Anchorage Capital CLO 3-R Ltd.:
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.050%), 3.82%, 01/28/31 (a)(b)		1,000		993,122
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.500%), 4.27%, 01/28/31 (a)(b)		1,000		980,876
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.850%), 4.62%, 01/28/31 (a)(b)		500		481,316
Anchorage Capital CLO 4-R Ltd.:
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.050%), 3.82%, 01/28/31 (a)(b)		1,500		1,489,607
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.850%), 4.62%, 01/28/31 (a)(b)		1,500		1,446,599
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.600%), 5.37%, 01/28/31 (a)(b)		750		714,428
Anchorage Capital CLO 5-R Ltd.:
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%), 4.24%, 01/15/30 (a)(b)		1,700		1,674,148
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%), 4.64%, 01/15/30 (a)(b)		3,000		2,909,165
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.400%), 8.19%, 01/15/30 (a)(b)		1,000		935,300
Anchorage Capital CLO 7 Ltd.:
Series 2015-7A, Class B1R, (3 mo. LIBOR US + 1.300%), 4.09%, 10/15/27 (a)(b)		1,500		1,475,381
Series 2015-7A, Class CR, (3 mo. LIBOR US + 1.700%), 4.49%, 10/15/27 (a)(b)		625		613,808
Series 2015-7A, Class DR, (3 mo. LIBOR US + 2.700%), 5.49%, 10/15/27 (a)(b)		1,000		977,948
Anchorage Capital CLO 8 Ltd.:
Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.000%), 3.77%, 07/28/28 (a)(b)		1,000		995,435
Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.600%), 4.37%, 07/28/28 (a)(b)		1,000		992,325
Series 2016-8A, Class CR, (3 mo. LIBOR US + 2.100%), 4.87%, 07/28/28 (a)(b)		1,000		985,015
Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.000%), 5.77%, 07/28/28 (a)(b)		750		737,378
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.750%), 8.52%, 07/28/28 (a)(b)		2,060		2,019,461

18 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class E, (3 mo. LIBOR US + 7.250%), 10.04%, 01/15/29 (a)(b)	$	600	$	593,594
Anchorage Capital CLO Ltd.:
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%), 4.95%, 10/13/30 (a)(b)		500		490,795
Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.800%), 9.60%, 10/13/30 (a)(b)		1,000		994,967
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.080%), 3.87%, 04/15/31 (a)(b)		1,387		1,370,770
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.010%), 3.77%, 04/20/31 (a)(b)		1,000		985,105
Apidos CLO XXI, Series 2015-21A, Class DR, (3 mo. LIBOR US + 5.200%), 7.98%, 07/18/27 (a)(b)		500		480,193
Apidos CLO XXII, Series 2015-22A, Class D, (3 mo. LIBOR US + 6.000%), 8.76%, 10/20/27 (a)(b)		500		500,118
Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.950%), 8.74%, 01/15/27 (a)(b)		500		495,326
Apidos CLO XXIX, Series 2018-29A, Class D, (3 mo. LIBOR US + 5.250%), 8.02%, 07/25/30 (a)(b)		500		455,805
Arbor Realty Commercial Real Estate Notes Ltd.:
Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 4.18%, 09/15/26 (a)(b)		190		191,473
Series 2017-FL1, Class A, (1 mo. LIBOR US + 1.300%), 3.78%, 04/15/27 (a)(b)		1,920		1,920,954
Series 2017-FL1, Class B, (1 mo. LIBOR US + 2.500%), 4.98%, 04/15/27 (a)(b)		438		438,694
ARES XLIII CLO Ltd., Series 2017-43A, Class E, (3 mo. LIBOR US + 6.470%), 9.26%, 10/15/29 (a)(b)		750		725,965
ARES XXXIII CLO Ltd.:
Series 2015-1A, Class CR, (3 mo. LIBOR US + 4.200%), 6.80%, 12/05/25 (a)(b)		250		249,906
Series 2015-1A, Class D, (3 mo. LIBOR US + 6.230%), 8.83%, 12/05/25 (a)(b)		500		502,266
ARES XXXIV CLO Ltd., Series 2015-2A, Class E2, (3 mo. LIBOR US + 5.200%), 7.95%, 07/29/26 (a)(b)		500		494,203
ARES XXXIX CLO Ltd., Series 2016-39A, Class E, (3 mo. LIBOR US + 7.250%), 10.03%, 07/18/28 (a)(b)		250		249,991
ARES XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.170%), 3.96%, 10/15/30 (a)(b)		600		596,341
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.480%), 2.97%, 05/25/35 (a)		69		60,773
Assurant CLO III Ltd., Series 2018-2A, Class C, (3 mo. LIBOR US + 2.250%), 5.01%, 10/20/31 (a)(b)		500		489,642
Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.240%), 3.87%, 05/28/30 (a)(b)		1,825		1,817,141
Atrium VIII, Series 8A, Class DR, (3 mo. LIBOR US + 4.000%), 6.77%, 10/23/24 (a)(b)		325		324,933
Atrium XII, Series 12A, Class AR, (3 mo. LIBOR US + 0.830%), 3.59%, 04/22/27 (a)(b)		1,000		993,151
Avery Point VI CLO Ltd., Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.050%), 3.78%, 08/05/27 (a)(b)		1,500		1,497,011

Security	Par (000)		Value
BA Credit Card Trust, Series 2017-A1, Class A1, 1.95%, 08/15/22	$	2,168	$	2,154,689
Babson CLO Ltd., Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.190%), 3.95%, 10/20/30 (a)(b)		1,000		994,315
Bain Capital Credit CLO, Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.080%), 3.84%, 07/19/31 (a)(b)		1,000		988,033
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22 (d)		5,740		4,662,170
Barings CLO Ltd., Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.950%), 3.71%, 07/20/29 (a)(b)		1,000		994,284
Battalion CLO VII Ltd.:
Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.040%), 3.81%, 07/17/28 (a)(b)		1,750		1,740,270
Series 2014-7A, Class BRR, (3 mo. LIBOR US + 2.500%), 5.27%, 07/17/28 (a)(b)		750		750,172
Battalion CLO X Ltd., Series 2016-10A, Class D, (3 mo. LIBOR US + 7.000%), 9.78%, 01/24/29 (a)(b)		500		483,758
Battalion CLO XI Ltd., Series 2017-11A, Class E, (3 mo. LIBOR US + 5.980%), 8.76%, 10/24/29 (a)(b)		1,000		952,900
Bayview Financial Revolving Asset Trust:
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.000%), 3.50%, 02/28/40 (a)(b)		6,931		6,685,550
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.000%), 3.50%, 12/28/40 (a)(b)		2,699		2,535,061
Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.930%), 3.43%, 12/28/40 (a)(b)		3,638		3,389,434
BDS Ltd., Series 2019-FL3, Class A, (1 mo. LIBOR US + 1.400%), 3.88%, 12/15/35 (a)(b)		6,205		6,221,541
Bear Stearns Asset-Backed Securities I Trust:
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.320%), 2.81%, 03/25/37 (a)		844		601,397
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.140%), 2.63%, 03/25/37 (a)		135		139,112
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.350%), 2.84%, 04/25/37 (a)		315		264,125
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (1 mo. LIBOR US + 1.200%), 3.69%, 01/25/36 (a)		100		99,501
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1R, (3 mo. LIBOR US + 1.490%), 4.25%, 01/20/29 (a)(b)		500		500,419
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.090%), 3.85%, 04/20/31 (a)(b)		1,000		990,083
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.100%), 3.86%, 01/20/31 (a)(b)		900		890,675
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, (3 mo. LIBOR US + 6.410%), 9.20%, 10/15/30 (a)(b)		1,000		967,566
Black Diamond CLO Ltd., Series 2014-1A, Class A1R, (3 mo. LIBOR US + 1.150%), 3.92%, 10/17/26 (a)(b)		224		223,943
BlueMountain CLO Ltd.:
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%), 3.94%, 10/22/30 (a)(b)		2,200		2,185,680

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Series 2015-1A, Class D, (3 mo. LIBOR US + 5.450%), 8.25%, 04/13/27 (a)(b)	$	250	$	249,563
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.000%), 3.76%, 04/20/31 (a)(b)		1,000		987,248
BSPRT Issuer Ltd., Series 2018-FL3, Class A, (1 mo. LIBOR US + 1.050%), 3.53%, 03/15/28 (a)(b)		1,159		1,156,580
Capital One Multi-Asset Execution Trust:
Series 2015-A3, Class A3, (1 mo. LIBOR US + 0.400%), 2.88%, 03/15/23 (a)		5,700		5,719,906
Series 2016-A1, Class A1, (1 mo. LIBOR US + 0.450%), 2.93%, 02/15/22 (a)		10,000		10,001,410
Series 2016-A3, Class A3, 1.34%, 04/15/22		9,000		8,975,127
Series 2016-A4, Class A4, 1.33%, 06/15/22		1,500		1,492,955
Series 2017-A4, Class A4, 1.99%, 07/17/23		4,000		3,966,612
Carlyle Global Market Strategies CLO Ltd.:
Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 4.21%, 01/20/29 (a)(b)		935		935,535
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.970%), 3.74%, 04/17/31 (a)(b)		1,515		1,493,178
Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.500%), 4.26%, 04/20/27 (a)(b)		1,000		994,218
Series 2015-3A, Class A2R, (3 mo. LIBOR US + 1.600%), 4.37%, 07/28/28 (a)(b)		1,000		995,302
Series 2015-4A, Class D, (3 mo. LIBOR US + 6.100%), 8.86%, 10/20/27 (a)(b)		500		496,241
Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.500%), 11.26%, 10/20/27 (a)(b)		112		107,064
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.200%), 7.96%, 04/20/27 (a)(b)		1,000		958,801
Series 2016-2A, Class D2R, (3 mo. LIBOR US + 5.170%), 7.96%, 07/15/27 (a)(b)		1,000		943,248
Carlyle U.S. CLO Ltd., Series 2016-4A, Class DR, (3 mo. LIBOR US + 5.400%), 8.16%, 10/20/27 (a)(b)		250		239,377
Carrington Mortgage Loan Trust:
Series 2006-FRE2, Class A2, (1 mo. LIBOR US + 0.120%), 2.61%, 10/25/36 (a)		277		208,486
Series 2006-FRE2, Class A3, (1 mo. LIBOR US + 0.160%), 2.65%, 10/25/36 (a)		147		111,095
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.250%), 2.74%, 10/25/36 (a)		2,259		1,726,420
Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%), 2.73%, 08/25/36 (a)		630		475,529
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%), 2.65%, 10/25/36 (a)		85		79,429
Series 2007-FRE1, Class A3, (1 mo. LIBOR US + 0.260%), 2.75%, 02/25/37 (a)		2,200		2,036,094
CBAM Ltd.:
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%), 4.01%, 07/20/30 (a)(b)		1,500		1,493,492
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%), 4.00%, 10/17/29 (a)(b)		2,500		2,490,927
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%), 4.47%, 10/17/29 (a)(b)		500		493,753
Series 2017-3A, Class E1, (3 mo. LIBOR US + 6.500%), 9.27%, 10/17/29 (a)(b)		1,000		984,805

Security	Par (000)		Value
Series 2018-6A, Class A, (3 mo. LIBOR US + 0.940%), 3.73%, 07/15/31 (a)(b)	$	1,000	$	990,767
Series 2018-6A, Class B1, (3 mo. LIBOR US + 1.500%), 4.29%, 07/15/31 (a)(b)		1,000		979,162
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.980%), 3.74%, 04/20/31 (a)(b)		500		490,879
Cedar Funding VI CLO Ltd., Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.090%), 3.85%, 10/20/28 (a)(b)		500		497,555
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.250%), 4.02%, 10/17/30 (a)(b)		1,000		998,056
Cent CLO Ltd.:
Series 2015-24A, Class A1R, (3 mo. LIBOR US + 1.070%), 3.86%, 10/15/26 (a)(b)		2,000		1,996,232
Series C17A, Class A1AR, (3 mo. LIBOR US + 1.030%), 3.78%, 04/30/31 (a)(b)		2,000		1,972,321
Chase Issuance Trust, Series 2012-A4, Class A4, 1.58%, 08/15/21		2,470		2,460,480
CIFC Funding Ltd.:
Series 2013-2A, Class A1LR, (3 mo. LIBOR US + 1.210%), 3.99%, 10/18/30 (a)(b)		1,350		1,344,847
Series 2014-4RA, Class A1A, (3 mo. LIBOR US + 1.130%), 3.90%, 10/17/30 (a)(b)		1,500		1,494,603
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.750%), 9.51%, 10/21/28 (a)(b)		500		498,925
Series 2017-2A, Class A, (3 mo. LIBOR US + 1.240%), 4.00%, 04/20/30 (a)(b)		500		499,433
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.000%), 3.78%, 04/18/31 (a)(b)		710		698,797
Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.75%, 11/19/21		1,700		1,690,573
Citigroup Mortgage Loan Trust:
Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 2.81%, 11/25/36 (a)		290		248,694
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.270%), 2.76%, 05/25/37 (a)		17		12,875
Series 2007-WFH2, Class M3, (1 mo. LIBOR US + 0.470%), 2.96%, 03/25/37 (a)		5,000		4,690,939
Series 2007-WFH4, Class M3A, (1 mo. LIBOR US + 2.500%), 4.99%, 07/25/37 (a)		1,000		1,022,831
Clear Creek CLO Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.300%), 9.06%, 10/20/30 (a)(b)		1,000		962,984
Conseco Finance Corp.:
Series 1996-10, Class B1, 7.24%, 11/15/28 (d)		62		50,808
Series 1998-4, Class M1, 6.83%, 04/01/30 (d)		1,227		1,097,580
Series 1998-8, Class M1, 6.98%, 09/01/30 (d)		1,111		957,153
Conseco Finance Securitizations Corp.:
Series 2000-1, Class A5, 8.06%, 09/01/29 (d)		2,417		1,089,765
Series 2000-4, Class A6, 8.31%, 05/01/32 (d)		2,426		1,072,956
Countrywide Asset-Backed Certificates:

20 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Series 2005-16, Class 1AF, 5.69%, 05/25/36 (d)	$	1,942	$	1,884,935
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%), 2.65%, 09/25/46 (a)		14		13,361
Countrywide Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.270%), 2.75%, 03/15/34 (a)		45		42,808
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A, 3.33%, 02/15/28 (b)		3,950		3,976,086
Credit-Based Asset Servicing & Securitization LLC:
Series 2006-CB2, Class AF4, 3.44%, 12/25/36 (e)		23		20,283
Series 2006-MH1, Class B1, 6.25%, 10/25/36 (b)(e)		2,900		2,903,362
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.440%), 2.93%, 09/25/36 (a)(b)		6,439		900,864
Series 2007-RP1, Class A, (1 mo. LIBOR US + 0.310%), 2.80%, 05/25/46 (a)(b)		82		71,769
CSMC Trust, Series 2018-RPL8, Class A1, 4.13%, 07/25/58 (b)(d)		4,594		4,607,190
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A3, 5.84%, 07/25/27		248		420,989
CWHEQ Revolving Home Equity Loan Resuritization Trust:
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.300%), 2.78%, 12/15/33 (a)(b)		41		38,554
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.190%), 2.67%, 05/15/35 (a)(b)(c)		14		13,219
CWHEQ Revolving Home Equity Loan Trust:
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.180%), 2.66%, 05/15/36 (a)		3,375		3,252,432
Series 2006-G, Class 2A, (1 mo. LIBOR US + 0.150%), 2.63%, 10/15/36 (a)		395		372,117
Deer Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.180%), 3.94%, 10/20/30 (a)(b)		1,000		994,285
Dewolf Park CLO Ltd., Series 2017-1A, Class E, (3 mo. LIBOR US + 6.200%), 8.99%, 10/15/30 (a)(b)		1,000		970,720
Dorchester Park CLO DAC:
Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.450%), 4.21%, 04/20/28 (a)(b)		1,500		1,483,531
Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.750%), 4.51%, 04/20/28 (a)(b)		500		485,927
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.120%), 3.91%, 01/15/31 (a)(b)		2,000		1,981,031
Dryden Senior Loan Fund, Series 2017-47A, Class E, (3 mo. LIBOR US + 6.200%), 8.99%, 04/15/28 (a)(b)		250		243,362
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.900%), 3.69%, 10/15/27 (a)(b)		250		248,877
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, (3 mo. LIBOR US + 1.200%), 3.88%, 08/15/30 (a)(b)		1,247		1,242,084
FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 02/18/31 (b)		3,870		3,869,338
First Franklin Mortgage Loan Trust:
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.140%), 2.63%, 12/25/36 (a)		660		380,706
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.150%), 2.64%, 12/25/36 (a)		3,143		2,727,317

Security	Par (000)		Value
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 2.63%, 02/25/37 (a)	$	2,796	$	2,135,826
Galaxy XXIX CLO Ltd., Series 2018-29A, Class C, (3 mo. LIBOR US + 1.680%), 4.36%, 11/15/26 (a)(b)		2,150		2,117,350
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.250%), 2.74%, 12/25/35 (a)		21		20,869
Gilbert Park CLO Ltd., Series 2017-1A, Class E, (3 mo. LIBOR US + 6.400%), 9.19%, 10/15/30 (a)(b)		1,000		982,646
GMACM Home Equity Loan Trust, Series 2006-HE1, Class A, (1 mo. LIBOR US + 0.315%), 2.80%, 11/25/36 (a)		298		296,267
GoldenTree Loan Opportunities IX Ltd.:
Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.110%), 3.86%, 10/29/29 (a)(b)		500		498,984
Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.660%), 8.41%, 10/29/29 (a)(b)		750		694,546
Greywolf CLO IV Ltd., Series 2014-2A, Class BR, (3 mo. LIBOR US + 2.350%), 5.12%, 01/17/27 (a)(b)		500		500,045
GSAA Home Equity Trust, Series 2007-2, Class AF3, 5.92%, 03/25/37 (d)		29		9,760
GSAMP Trust:
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.200%), 2.69%, 01/25/47 (a)		15		9,094
Series 2007-HS1, Class M7, (1 mo. LIBOR US + 2.250%), 4.74%, 02/25/47 (a)		3,000		2,875,357
Halcyon Loan Advisors Funding Ltd.:
Series 2014-3A, Class B1R, (3 mo. LIBOR US + 1.700%), 4.46%, 10/22/25 (a)(b)		1,600		1,603,685
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.080%), 3.85%, 07/25/27 (a)(b)		250		249,862
Highbridge Loan Management Ltd., Series 12A-18, Class D, (3 mo. LIBOR US + 5.150%), 7.93%, 07/18/31 (a)(b)		1,120		1,005,127
Home Equity Mortgage Loan Asset-Backed Trust:
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.025%), 4.51%, 07/25/34 (a)		32		31,229
Series 2007-B, Class 2A3, (1 mo. LIBOR US + 0.200%), 2.69%, 07/25/37 (a)		296		194,763
HPS Loan Management Ltd., Series 10A-16, Class C, (3 mo. LIBOR US + 3.650%), 6.41%, 01/20/28 (a)(b)		500		494,735
Invitation Homes Trust:
Series 2018-SFR1, Class F, (1 mo. LIBOR US + 2.500%), 4.98%, 03/17/37 (a)(b)		2,000		1,994,750
Series 2018-SFR2, Class E, (1 mo. LIBOR US + 2.000%), 4.48%, 06/17/37 (a)(b)		2,000		1,997,498
Series 2018-SFR2, Class F, (1 mo. LIBOR US + 2.250%), 4.73%, 06/17/37 (a)(b)		2,000		1,978,202
Series 2018-SFR3, Class E, (1 mo. LIBOR US + 2.000%), 4.48%, 07/17/37 (a)(b)		2,545		2,540,563
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (1 mo. LIBOR US + 0.800%), 3.29%, 07/25/36 (a)		3,498		3,258,933
Kayne CLO II Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.240%), 3.89%, 10/15/31 (a)(b)		1,000		993,139
KKR CLO Ltd.:
Series 12, Class ER2, (3 mo. LIBOR US + 6.150%), 8.94%, 10/15/30 (a)(b)		1,000		951,389
Series 22A, Class E, (3 mo. LIBOR US + 6.000%), 8.76%, 07/20/31 (a)(b)		500		472,553

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Series-23, Class E, (3 mo. LIBOR US + 6.000%), 8.49%, 10/20/31 (a)(b)	$	500	$	474,072
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%), 3.83%, 01/20/31 (a)(b)		2,000		1,981,073
LCM XX LP, Series 20A, Class AR, (3 mo. LIBOR US + 1.040%), 3.80%, 10/20/27 (a)(b)		500		498,728
LCM XXI LP:
Series 21A, Class AR, (3 mo. LIBOR US + 0.880%), 3.64%, 04/20/28 (a)(b)		500		496,421
Series 21A, Class ER, (3 mo. LIBOR US + 5.750%), 8.51%, 04/20/28 (a)(b)		500		490,348
Legacy Mortgage Asset Trust, Series 2018-SL1, Class A, 4.00%, 02/25/58 (b)(d)		4,007		3,988,996
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33		1,149		910,453
Lendmark Funding Trust:
Series 2017-1A, Class A, 2.83%, 12/22/25 (b)		4,155		4,119,292
Series 2017-1A, Class B, 3.77%, 12/22/25 (b)		1,570		1,571,494
Series 2017-2A, Class A, 2.80%, 05/20/26 (b)		5,084		5,051,330
Series 2017-2A, Class B, 3.38%, 05/20/26 (b)		2,540		2,526,581
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.130%), 3.61%, 05/15/28 (a)(b)		4,190		4,188,841
Long Beach Mortgage Loan Trust:
Series 2006-10, Class 2A4, (1 mo. LIBOR US + 0.220%), 2.71%, 11/25/36 (a)		3,662		1,647,187
Series 2006-2, Class 1A, (1 mo. LIBOR US + 0.180%), 2.67%, 03/25/46 (a)		1,057		847,471
Series 2006-4, Class 2A4, (1 mo. LIBOR US + 0.260%), 2.75%, 05/25/36 (a)		864		390,798
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.150%), 2.64%, 06/25/36 (a)		4,138		2,265,858
Series 2006-7, Class 1A, (1 mo. LIBOR US + 0.155%), 2.64%, 08/25/36 (a)		5,259		3,207,874
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 08/25/36 (a)		7,471		3,895,330
Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.240%), 2.73%, 08/25/36 (a)		1,724		910,648
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 09/25/36 (a)		5,741		2,195,681
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%), 2.60%, 10/25/36 (a)		7,506		3,185,805
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.65%, 10/25/36 (a)		2,503		1,070,562
Madison Park Funding X Ltd.:
Series 2012-10A, Class CR, (3 mo. LIBOR US + 2.600%), 5.36%, 01/20/29 (a)(b)		1,000		999,377
Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.620%), 10.38%, 01/20/29 (a)(b)		500		498,489
Madison Park Funding XI Ltd., Series 2013-11A, Class ER, (3 mo. LIBOR US + 6.450%), 9.22%, 07/23/29 (a)(b)		500		484,640
Madison Park Funding XIII Ltd.:
Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.950%), 3.71%, 04/19/30 (a)(b)		940		932,627
Series 2014-13A, Class ER, (3 mo. LIBOR US + 5.750%), 8.51%, 04/19/30 (a)(b)		1,000		971,759
Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.450%), 6.22%, 01/27/26 (a)(b)		1,000		999,837

Security	Par (000)		Value
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.190%), 3.95%, 10/21/30 (a)(b)	$	1,750	$	1,742,007
Madison Park Funding XXV Ltd., Series 2017-25A, Class D, (3 mo. LIBOR US + 6.100%), 8.87%, 04/25/29 (a)(b)		1,000		966,247
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.200%), 3.95%, 07/29/30 (a)(b)		1,500		1,494,116
Madison Park Funding XXX Ltd.:
Series 2018-30A, Class E, (3 mo. LIBOR US + 4.950%), 7.74%, 04/15/29 (a)(b)		1,000		941,335
Series 2018-30X, Class E, (3 mo. LIBOR US + 4.950%), 7.74%, 04/15/29 (a)		250		235,334
MASTR Asset-Backed Securities Trust:
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.260%), 2.75%, 06/25/36 (a)(b)		460		410,997
Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.150%), 2.64%, 06/25/36 (a)		1,198		646,937
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.280%), 2.77%, 05/25/37 (a)		83		71,284
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.260%), 2.75%, 06/25/46 (a)(b)		32		29,966
MERIT Securities Corp., Series 13, Class M2, 7.95%, 12/28/33 (e)		1,496		1,202,473
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.240%), 2.73%, 05/25/37 (a)		2,467		1,634,423
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%), 2.75%, 08/25/37 (a)		1,902		890,466
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.970%), 3.73%, 04/21/31 (a)(b)		1,250		1,227,302
Mill City Solar Loan Ltd., Series 2019-1A, Class A, 4.34%, 03/20/43 (b)(c)		2,500		2,499,000
Mosaic Solar Loan Trust:
Series 2018-2GS, Class A, 4.20%, 02/22/44 (b)		2,642		2,676,359
Series 2019-1A, Class A, 4.37%, 12/21/43 (b)		4,389		4,470,667
Mountain Hawk II CLO Ltd., Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.600%), 4.36%, 07/20/24 (a)(b)		1,000		1,000,513
MP CLO VII Ltd., Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.080%), 3.86%, 10/18/28 (a)(b)		1,150		1,142,529
Navient Private Education Loan Trust:
Series 2014-CTA, Class B, (1 mo. LIBOR US + 1.750%), 4.23%, 10/17/44 (a)(b)		3,095		3,128,075
Series 2015-CA, Class B, 3.25%, 05/15/40 (b)		821		820,834
Series 2018-DA, Class A2A, 4.00%, 12/15/59 (b)		2,000		2,075,026
Series 2019-A, Class A2A, 3.42%, 01/15/43 (b)		4,160		4,218,106
Series 2019-BA, Class A2A, 3.39%, 12/15/59 (b)		2,590		2,589,845
Neuberger Berman CLO XX Ltd.:
Series 2015-20A, Class AR, (3 mo. LIBOR US + 0.800%), 3.59%, 01/15/28 (a)(b)		525		520,743
Series 2015-20A, Class DR, (3 mo. LIBOR US + 2.400%), 5.19%, 01/15/28 (a)(b)		1,000		953,324

22 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.000%), 7.79%, 01/15/28 (a)(b)	$	750	$	712,456
Neuberger Berman Loan Advisers CLO Ltd.:
Series 2017-26A, Class A, (3 mo. LIBOR US + 1.170%), 3.95%, 10/18/30 (a)(b)		1,050		1,045,777
Series 2018-28A, Class E, (3 mo. LIBOR US + 5.600%), 8.36%, 04/20/30 (a)(b)		750		693,765
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.400%), 2.89%, 10/25/36 (a)(b)		644		577,845
Oak Hill Credit Partners IX Ltd., Series 2013-9A, Class DR, (3 mo. LIBOR US + 3.300%), 6.06%, 10/20/25 (a)(b)		750		753,570
Oakwood Mortgage Investors, Inc.:
Series 2001-D, Class A2, 5.26%, 01/15/20 (d)		42		30,827
Series 2002-A, Class M1, 7.76%, 03/15/32 (d)		2,171		1,860,666
Series 2002-C, Class M1, 6.89%, 11/15/32 (d)		2,456		2,050,977
OCP CLO Ltd.:
Series 2016-12A, Class A1R, (3 mo. LIBOR US + 1.120%), 3.90%, 10/18/28 (a)(b)		1,265		1,260,023
Series 2016-12A, Class CR, (3 mo. LIBOR US + 3.000%), 5.78%, 10/18/28 (a)(b)		1,000		956,077
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.960%), 3.74%, 04/16/31 (a)(b)		2,000		1,964,380
Octagon Investment Partners 30 Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.200%), 8.96%, 03/17/30 (a)(b)		540		527,875
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.190%), 3.95%, 01/20/31 (a)(b)		1,000		993,813
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.000%), 3.77%, 01/25/31 (a)(b)		750		738,961
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.850%), 4.64%, 07/15/27 (a)(b)		1,000		976,572
OFSI Fund VI Ltd., Series 2014-6A, Class A2R, (3 mo. LIBOR US + 1.130%), 3.92%, 03/20/25 (a)(b)		2,500		2,477,198
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.150%), 9.91%, 01/21/30 (a)(b)		1,000		1,001,836
OHA Loan Funding Ltd.:
Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.040%), 3.69%, 05/23/31 (a)(b)		770		760,135
Series 2016-1A, Class D, (3 mo. LIBOR US + 3.750%), 6.51%, 01/20/28 (a)(b)		2,000		1,996,026
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.500%), 9.26%, 01/20/28 (a)(b)		1,000		979,279
OneMain Financial Issuance Trust:
Series 2015-1A, Class C, 5.12%, 03/18/26 (b)		3,500		3,535,313
Series 2015-2A, Class C, 4.32%, 07/18/25 (b)		1,643		1,645,729
Series 2015-2A, Class D, 5.64%, 07/18/25 (b)		1,000		1,004,730
Series 2016-1A, Class B, 4.57%, 02/20/29 (b)		3,500		3,548,273
Series 2019-1A, Class B, 3.79%, 02/14/31 (b)		2,000		2,019,314

Security	Par (000)		Value
Option One Mortgage Loan Trust:
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37 (e)	$	4,991	$	4,654,940
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37 (e)		4,195		3,921,684
OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.000%), 5.76%, 01/22/29 (a)(b)		500		500,424
OZLM Funding IV Ltd.:
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.250%), 4.01%, 10/22/30 (a)(b)		500		495,825
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%), 4.46%, 10/22/30 (a)(b)		500		494,953
OZLM VIII Ltd., Series 2014-8A, Class BRR, (3 mo. LIBOR US + 2.200%), 4.66%, 10/17/29 (a)(b)		500		488,737
OZLM XIV Ltd.:
Series 2015-14A, Class A2AR, (3 mo. LIBOR US + 1.700%), 4.49%, 01/15/29 (a)(b)		4,000		3,975,819
Series 2015-14A, Class B1R, (3 mo. LIBOR US + 2.100%), 4.89%, 01/15/29 (a)(b)		1,500		1,477,079
Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.000%), 5.79%, 01/15/29 (a)(b)		1,000		971,415
Series 2015-14A, Class DR, (3 mo. LIBOR US + 5.800%), 8.59%, 01/15/29 (a)(b)		1,375		1,357,719
OZLM XV Ltd., Series 2016-15A, Class A1, (3 mo. LIBOR US + 1.490%), 4.25%, 01/20/29 (a)(b)		500		500,401
OZLM XX Ltd., Series 2018-20A, Class D, (3 mo. LIBOR US + 5.800%), 8.56%, 04/20/31 (a)(b)		1,000		941,170
Palmer Square CLO Ltd.:
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%), 3.90%, 01/17/31 (a)(b)		1,000		995,033
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.650%), 5.42%, 01/17/31 (a)(b)		400		380,697
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.600%), 8.38%, 07/16/31 (a)(b)		500		472,758
Palmer Square Loan Funding Ltd.:
Series 2018-4A, Class A1, (3 mo. LIBOR US + 0.900%), 3.58%, 11/15/26 (a)(b)		244		243,433
Series 2018-4A, Class B, (3 mo. LIBOR US + 1.900%), 4.58%, 11/15/26 (a)(b)		1,000		994,726
Parallel Ltd.:
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.850%), 3.61%, 07/20/27 (a)(b)		1,000		994,358
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.750%), 4.51%, 07/20/27 (a)(b)		1,000		967,534
Park Avenue Institutional Advisers CLO Ltd.:
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.850%), 8.50%, 08/23/31 (a)(b)		1,500		1,422,687
Series 2017-1A, Class D, (3 mo. LIBOR US + 6.220%), 8.91%, 11/14/29 (a)(b)		2,250		2,178,389
Preston Ridge Partners Mortgage LLC, Series 2017-1A, Class A1, 4.25%, 01/25/22 (b)(e)		228		229,971
Pretium Mortgage Credit Partners I LLC, Series 2019-NPL1, Class A1, 4.21%, 07/25/60 (b)(e)		4,832		4,847,881
Progress Residential Trust:
Series 2016-SFR2, Class A, (1 mo. LIBOR US + 1.400%), 3.88%, 01/17/34 (a)(b)		3,996		4,004,827

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Series 2016-SFR2, Class E, (1 mo. LIBOR US + 3.550%), 6.03%, 01/17/34 (a)(b)	$	100	$	100,172
Series 2017-SFR1, Class A, 2.77%, 08/17/34 (b)		1,435		1,422,893
Series 2018-SFR2, Class E, 4.66%, 08/17/35 (b)		4,000		4,064,905
Series 2018-SFR3, Class E, 4.87%, 10/17/35 (b)		5,000		5,145,102
RAMP Trust, Series 2007-RS1, Class A3, (1 mo. LIBOR US + 0.170%), 2.66%, 02/25/37 (a)		3,150		1,604,316
Regatta VI Funding Ltd.:
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.080%), 3.84%, 07/20/28 (a)(b)		350		348,384
Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.700%), 5.46%, 07/20/28 (a)(b)		250		234,401
Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.000%), 7.76%, 07/20/28 (a)(b)		500		476,250
Renaissance Home Equity Loan Trust, Series 2005-3, Class AF4, 5.14%, 11/25/35 (e)		2,940		3,033,533
Rockford Tower CLO Ltd.:
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.370%), 4.16%, 04/15/29 (a)(b)		1,500		1,504,080
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.250%), 6.04%, 04/15/29 (a)(b)		1,000		998,322
Series 2017-1A, Class E, (3 mo. LIBOR US + 5.400%), 8.19%, 04/15/29 (a)(b)		2,350		2,175,532
Series 2017-2A, Class B, (3 mo. LIBOR US + 1.750%), 4.54%, 10/15/29 (a)(b)		1,250		1,237,816
Series 2017-2A, Class C, (3 mo. LIBOR US + 2.300%), 5.09%, 10/15/29 (a)(b)		1,000		985,267
Series 2017-2A, Class D, (3 mo. LIBOR US + 3.450%), 6.24%, 10/15/29 (a)(b)		1,000		999,630
Series 2017-2A, Class E, (3 mo. LIBOR US + 6.080%), 8.87%, 10/15/29 (a)(b)		1,500		1,469,771
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.190%), 3.95%, 10/20/30 (a)(b)		2,144		2,126,094
Series 2017-3A, Class E, (3 mo. LIBOR US + 5.750%), 8.51%, 10/20/30 (a)(b)		2,250		2,123,541
Series 2018-1A, Class E, (3 mo. LIBOR US + 5.850%), 8.49%, 05/20/31 (a)(b)		1,000		946,098
Series 2018-2A, Class E, (3 mo. LIBOR US + 6.000%), 8.43%, 10/20/31 (a)(b)		1,000		956,378
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.030%), 3.79%, 04/20/31 (a)(b)		1,250		1,227,694
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.090%), 3.88%, 01/15/30 (a)(b)		1,000		989,528
Seneca Park CLO Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 3.500%), 6.27%, 07/17/26 (a)(b)		250		249,980
Shackleton CLO Ltd.:
Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.120%), 3.91%, 07/15/30 (a)(b)		1,000		994,390
Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.020%), 5.81%, 07/15/30 (a)(b)		500		485,169
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.240%), 4.00%, 07/20/30 (a)(b)		1,500		1,496,761
SLM Private Credit Student Loan Trust:
Series 2004-A, Class B, (3 mo. LIBOR US + 0.580%), 3.19%, 06/15/33 (a)		682		680,126
Series 2005-A, Class A4, (3 mo. LIBOR US + 0.310%), 2.92%, 12/15/38 (a)		2,240		2,167,185

Security	Par (000)		Value
Series 2005-B, Class A4, (3 mo. LIBOR US + 0.330%), 2.94%, 06/15/39 (a)	$	2,146	$	2,094,310
Series 2005-B, Class B, (3 mo. LIBOR US + 0.400%), 3.01%, 06/15/39 (a)		2,595		2,543,000
Series 2005-B, Class C, (3 mo. LIBOR US + 0.700%), 3.31%, 06/15/39 (a)		742		738,598
Series 2006-BW, Class A5, (3 mo. LIBOR US + 0.200%), 2.81%, 12/15/39 (a)		3,605		3,529,645
SLM Private Education Loan Trust:
Series 2013-B, Class B, 3.00%, 05/16/44 (b)		2,500		2,494,641
Series 2013-C, Class B, 3.50%, 06/15/44 (b)		1,000		998,595
Series 2014-A, Class B, 3.50%, 11/15/44 (b)		2,405		2,413,550
SMB Private Education Loan Trust:
Series 2015-C, Class B, 3.50%, 09/15/43 (b)		2,365		2,375,701
Series 2016-B, Class A2A, 2.43%, 02/17/32 (b)		3,717		3,656,569
Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.900%), 3.38%, 09/15/34 (a)(b)		4,858		4,867,072
Series 2017-B, Class A2A, 2.82%, 10/15/35 (b)		2,235		2,210,458
Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.750%), 3.23%, 10/15/35 (a)(b)		3,670		3,670,710
Series 2018-A, Class A2B, (1 mo. LIBOR US + 0.800%), 3.28%, 02/15/36 (a)(b)		5,100		5,092,817
Series 2019-A, Class A2A, 3.44%, 07/15/36 (b)		1,990		2,019,742
SoFi Professional Loan Program LLC:
Series 2019-A, Class A2FX, 3.69%, 06/15/48 (b)		3,115		3,201,142
Series 2019-B, Class A2FX, 3.09%, 08/17/48 (b)		1,160		1,159,935
Sound Point CLO X Ltd., Series 2015-3A, Class ER, (3 mo. LIBOR US + 5.250%), 8.01%, 01/20/28 (a)(b)		750		724,097
Sound Point CLO XIV Ltd., Series 2016-3A, Class E, (3 mo. LIBOR US + 6.650%), 9.42%, 01/23/29 (a)(b)		1,000		995,304
Sound Point CLO XV Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.390%), 4.16%, 01/23/29 (a)(b)		1,500		1,500,842
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.795%), 3.28%, 01/25/35 (a)		165		158,597
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 04/25/29 (b)		1,163		1,161,813
Springleaf Funding Trust:
Series 2015-AA, Class B, 3.62%, 11/15/24 (b)		250		250,084
Series 2016-AA, Class B, 3.80%, 11/15/29 (b)		3,500		3,507,673
Stanwich Mortgage Loan Co. LLC, Series 2017-NPB1, Class A1, 3.60%, 05/17/22 (b)(c)(e)		937		933,954
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.250%), 4.04%, 01/15/30 (a)(b)		250		249,217
Symphony CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.030%), 3.82%, 10/15/25 (a)(b)		658		657,958

24 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3 mo. LIBOR US + 0.960%), 3.74%, 04/16/31 (a)(b)	$	500	$	491,646
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.880%), 3.67%, 04/15/28 (a)(b)		1,000		995,016
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.200%), 3.88%, 11/17/30 (a)(b)		1,000		996,581
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, (3 mo. LIBOR US + 3.400%), 6.16%, 10/20/26 (a)(b)		1,000		998,855
THL Credit Wind River CLO Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.050%), 3.84%, 07/15/28 (a)		2,000		1,993,767
TICP CLO VI Ltd., Series 2016-6A, Class E, (3 mo. LIBOR US + 6.550%), 9.34%, 01/15/29 (a)(b)		500		492,630
TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.510%), 9.30%, 07/15/29 (a)(b)		1,500		1,474,908
Towd Point Mortgage Trust, Series 2019-SJ2, Class A2, 4.25%, 11/25/58 (b)(c)(d)		5,000		5,029,903
Treman Park CLO Ltd., Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.070%), 3.83%, 10/20/28 (a)(b)		1,000		998,317
Tricon American Homes Trust:
Series 2017-SFR2, Class F, 5.10%, 01/17/36 (b)		4,000		4,028,095
Series 2018-SFR1, Class E, 4.56%, 05/17/37 (b)		2,000		2,001,534
Trinitas CLO II Ltd., Series 2014-2A, Class A1R, (3 mo. LIBOR US + 1.180%), 3.97%, 07/15/26 (a)(b)		803		803,401
Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.250%), 7.01%, 01/20/29 (a)(b)		500		499,973
Vericrest Opportunity Loan Trust:
Series 2019-NPL2, Class A1, 3.97%, 02/25/49 (b)(e)		4,958		4,964,519
Series 2019-NPL3, Class A1, 3.97%, 03/25/49 (b)(e)		5,000		5,000,000
Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.500%), 7.26%, 07/20/28 (a)(b)		1,000		1,004,465
Vibrant CLO V Ltd., Series 2016-5A, Class A, (3 mo. LIBOR US + 1.550%), 4.31%, 01/20/29 (a)(b)		500		500,607
Vibrant CLO VII Ltd., Series 2017-7A, Class A1, (3 mo. LIBOR US + 1.270%), 4.03%, 09/15/30 (a)(b)		1,000		996,396
Voya CLO Ltd.:
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 0.970%), 3.74%, 04/25/31 (a)(b)		1,000		982,807
Series 2014-3A, Class A1R, (3 mo. LIBOR US + 0.720%), 3.49%, 07/25/26 (a)(b)		746		744,023
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%), 3.92%, 10/15/30 (a)(b)		1,000		991,496
Washington Mutual Asset-Backed Certificates Trust:
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%), 2.67%, 09/25/36 (a)		273		127,401

Security	Par (000)		Value
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.155%), 2.64%, 10/25/36 (a)	$	107	$	86,542
Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%), 2.74%, 04/25/37 (a)		946		481,273
Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%), 2.85%, 04/25/37 (a)		102		52,619
Wellfleet CLO Ltd.:
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.320%), 4.08%, 04/20/29 (a)(b)		1,500		1,497,835
Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.150%), 3.92%, 01/17/31 (a)(b)		1,525		1,505,742
Westcott Park CLO Ltd.:
Series 2016-1A, Class D, (3 mo. LIBOR US + 4.350%), 7.11%, 07/20/28 (a)(b)		500		500,703
Series 2016-1A, Class E, (3 mo. LIBOR US + 7.200%), 9.96%, 07/20/28 (a)(b)		1,500		1,498,457
York CLO-2 Ltd.:
Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.150%), 3.91%, 01/22/31 (a)(b)		1,220		1,210,628
Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.650%), 8.41%, 01/22/31 (a)(b)		1,000		934,911
York CLO-3 Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.250%), 4.01%, 10/20/29 (a)(b)		1,000		998,017
Total Asset-Backed Securities — 58.6% (Cost: $583,666,816)				572,835,290
Corporate Bonds — 0.0%
Banks — 0.0%
Washington Mutual Escrow Bonds :
0.00% (c)(f)(g)(h)		500		—
0.00% (c)(f)(g)(h)		250		—
			—
Insurance — 0.0%
Ambac Assurance Corp., 5.10%, 06/07/20 (b)		58		81,128
Ambac LSNI LLC, (3 mo. LIBOR US + 5.000%), 7.59%, 02/12/23 (a)(b)		250		251,887
				333,015
Total Corporate Bonds — 0.0% (Cost: $325,789)				333,015
Floating Rate Loan Interests — 2.2%
Banks — 0.3%
Goldman Sachs Bank USA, Term Loan B (MFA), (3 mo. LIBOR US + 0.000%, 0.25% Floor), 4.59%, 09/17/20 (a)(c)		2,573		2,566,292
Capital Markets — 0.5%
LSTAR Securities Investment Ltd., Term Loan, (1 mo. LIBOR US + 2.000%), 4.49%, 04/01/21 (a)(c)		5,163		5,144,543
Diversified Financial Services — 0.1%
Goldman Sachs Lending Partners LLC, Term Loan A (MFA), (3 mo. LIBOR US + 0.000%, 0.25% Floor), 4.59%, 08/26/20 (a)(c)		1,070		1,067,790

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Mortgage Real Estate Investment Trusts (REITs) — 0.5%
Chimera Special Holding LLC, Term Loan, (1 mo. LIBOR US + 2.000%), 4.49%, 10/06/19 (a)(c)	$	4,926	$	4,925,844
Thrifts & Mortgage Finance — 0.8%
Caliber Home Loans, Inc., Term Loan, (3 mo. LIBOR US + 3.250%, 0.00% Floor), 5.74%, 04/24/21 (a)(c)		2,676		2,669,673
Roundpoint Mortgage Servicing Corp., Closing Date Term Loan, (1 mo. LIBOR US + 3.375%), 5.87%, 08/27/20 (a)(c)		4,560		4,516,554
				7,186,227
Total Floating Rate Loan Interests — 2.2% (Cost: $20,955,472)				20,890,696
Non-Agency Mortgage-Backed Securities — 33.6%
Collateralized Mortgage Obligations — 8.7%
American Home Mortgage Assets Trust:
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.210%), 2.70%, 10/25/46 (a)		146		105,247
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.920%), 3.32%, 11/25/46 (a)		1,136		571,981
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.700%), 3.10%, 02/25/47 (a)		43		26,564
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1, 3.63%, 03/25/49 (b)(d)		5,000		4,999,791
APS Resecuritization Trust:
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.850%), 5.34%, 09/27/46 (a)(b)(c)		530		536,784
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.600%), 5.09%, 04/27/47 (a)(b)(c)		123		119,332
ARI Investments LLC, Series 2017-1, Class A, 4.48%, 01/06/25 (c)(d)		649		649,317
Banc of America Alternative Loan Trust,
Series 2006-4, Class 3CB1, (1 mo. LIBOR US + 0.800%), 3.29%, 05/25/46 (a)		1,044		919,283
Banc of America Funding Trust:
Series 2014-R2, Class 1C, 0.00%, 11/26/36 (b)(d)		369		79,990
Series 2016-R2, Class 1A1, 4.70%, 05/01/33 (b)(c)(d)		504		517,519
Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37		2,314		2,187,467
BCAP LLC Trust, Series 2011-RR4, Class 3A6, 4.00%, 07/26/36 (b)(d)		2,700		2,643,209
Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 02/25/36 (e)		240		213,455
Bear Stearns Mortgage Funding Trust:
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.280%), 2.77%, 08/25/36 (a)		1,697		1,691,924
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.170%), 2.66%, 03/25/37 (a)		460		419,574
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.210%), 2.70%, 06/25/37 (a)		42		39,709
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37		13,198		9,699,795
CHL Mortgage Pass-Through Trust, Series 2005-J2, Class 2A4, (1 mo. LIBOR US + 1.400%), 3.89%, 08/25/35 (a)		1,467		1,258,441

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
CIM Trust, Series 2017-6, Class A1, 3.02%, 06/25/57 (b)(d)	$	364	$	355,662
Citicorp Mortgage Securities Trust:
Series 2007-9, Class 1A1, 6.25%, 12/25/37		3,968		3,504,995
Series 2008-2, Class 1A1, 6.50%, 06/25/38		553		471,411
Countrywide Alternative Loan Trust:
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.350%), 2.84%, 06/25/35 (a)		1,825		1,595,389
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.640%), 3.13%, 11/20/35 (a)		838		781,798
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.600%), 3.09%, 01/25/36 (a)		625		534,076
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.000%), 3.40%, 02/25/36 (a)		799		733,712
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36		1,041		811,742
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.230%), 2.72%, 11/25/36 (a)		169		134,428
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.250%), 2.74%, 07/25/46 (a)		2,326		1,852,040
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37		1,849		1,313,257
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37		266		182,919
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.840%), 3.24%, 03/25/47 (a)		361		302,176
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-15, Class 2A2, 6.50%, 09/25/37		939		690,889
Credit Suisse Mortgage Trust:
Series 2007-5, Class 1A11, 7.00%, 08/25/37 (d)		2,359		1,904,518
Series 2009-12R, Class 3A1, 6.50%, 10/27/37 (b)		39		22,218
Series 2009-5R, Class 4A4, 3.92%, 06/25/36 (b)(d)		1,900		1,751,785
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.120%), 2.61%, 08/27/36 (a)(b)(c)		178		156,270
Series 2017-1, Class A, 4.50%, 03/25/21 (b)		444		445,624
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36 (d)		32		28,155
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.000%), 4.40%, 03/25/36 (a)		33		31,635
GSMPS Mortgage Loan Trust:
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.350%), 2.84%, 03/25/35 (a)(b)		94		87,664
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.350%), 2.84%, 01/25/36 (a)(b)		73		63,712
GSR Mortgage Loan Trust:
Series 2006-AR2, Class 3A1, 4.66%, 04/25/36 (d)		2,865		2,533,095

26 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2007-1F, Class 2A4, 5.50%, 01/25/37	$	3,736	$	3,966,803
HarborView Mortgage Loan Trust, Series 2007-3, Class 2A1B, (1 mo. LIBOR US + 0.230%), 2.71%, 05/19/47 (a)		2,063		1,656,588
IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1, 3.74%, 09/25/37 (d)		358		251,384
JP Morgan Mortgage Trust, Series 2005-A4, Class B1, 4.33%, 07/25/35 (d)		501		497,772
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.150%), 3.64%, 12/25/37 (a)		60		55,299
LSTAR Securities Investment Ltd.: Series 2017-8, Class A, (1 mo. LIBOR US + 1.650%), 4.15%, 11/01/22 (a)(b)		1,384		1,395,606
Series 2017-9, Class A, (1 mo. LIBOR US + 1.550%), 4.05%, 12/01/22 (a)(b)		513		513,476
Series 2019-1, Class A1, (1 mo. LIBOR US + 1.700%), 4.19%, 03/01/24 (a)(b)		5,000		5,000,000
MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1, 4.39%, 05/25/36 (b)(d)		1,796		1,720,881
Mastr Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37 (b)(d)		1,664		1,532,207
MCM:
Series 18-NPL1, Class A, 2.08%, 06/25/58 (b)(c)(d)		2,124		2,091,196
Series 18-NPL1, Class B, 2.08%, 06/25/58 (b)(c)(d)		2,730		436,800
Series 18-NPL2, Class A, 4.00%, 10/25/28 (b)(c)		3,555		3,517,289
Series 18-NPL2, Class B, 0.00%, 10/25/28 (b)(c)		3,490		994,546
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.340%), 2.83%, 04/16/36 (a)(b)		402		356,884
New Residential Mortgage Loan Trust, Series 2019-RPL1, Class A1, 4.34%, 02/26/24 (b)(e)		4,982		5,021,714
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4, (1 mo. LIBOR US + 0.420%), 2.91%, 06/25/37 (a)		1,047		865,973
Reperforming Loan REMIC Trust:
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.340%), 2.83%, 06/25/35 (a)(b)		156		149,346
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.400%), 2.89%, 09/25/35 (a)(b)		1,151		1,060,253
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M, 4.75%, 05/25/57 (d)		1,000		974,888
STACR Trust, Series 2018-DNA2, Class M2, (1 mo. LIBOR US + 2.150%), 4.64%, 12/25/30 (a)(b)		1,500		1,489,552
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.210%), 2.70%, 05/25/46 (a)		57		48,701
Structured Asset Securities Corp., Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.350%), 2.84%, 06/25/35 (a)(b)		1,337		1,194,718
SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.320%), 2.81%, 04/25/37 (a)		237		231,706
Washington Mutual Mortgage Pass-Through Certificates Trust:

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2005-AR2, Class B1, (1 mo. LIBOR US + 0.530%), 3.02%, 01/25/45 (a)	$	1,406	$	1,111,037
Series 2006-4, Class 1A1, 6.00%, 04/25/36		391		356,138
Series 2006-4, Class 3A1, 6.50%, 05/25/36 (e)		189		163,344
Series 2007-OA5, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.750%), 3.15%, 06/25/47 (a)		910		853,881
				84,476,534
Commercial Mortgage-Backed Securities — 22.8%
245 Park Avenue Trust:
Series 2017-245P, Class A, 3.51%, 06/05/37 (b)		5,000		5,060,255
Series 2017-245P, Class E, 3.78%, 06/05/37 (b)(d)		369		350,759
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, (1 mo. LIBOR US + 2.119%), 4.60%, 09/15/34 (a)(b)		1,705		1,710,323
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 01/14/29 (b)		500		524,232
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.100%), 4.58%, 04/15/35 (a)(b)		3,000		2,999,981
BAMLL Commercial Mortgage Securities Trust:
Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.900%), 3.38%, 11/15/32 (a)(b)		2,470		2,446,412
Series 2019-AHT, Class C, (1 mo. LIBOR US + 2.000%), 4.50%, 03/15/34 (a)(b)		1,830		1,830,000
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.42%, 01/15/49 (d)		11		11,299
Banc of America Merrill Lynch Commercial
Mortgage Securities Trust:
Series 2015-200P, Class F, 3.60%, 04/14/33 (b)(d)		1,294		1,250,504
Series 2016-ISQ, Class E, 3.61%, 08/14/34 (b)(d)		300		280,004
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.000%), 4.48%, 11/15/32 (a)(b)		1,090		1,090,000
Bancorp Commercial Mortgage Trust:
Series 2018-CR3, Class A, (1 mo. LIBOR US + 0.850%), 3.33%, 01/15/33 (a)(b)		272		269,641
Series 2018-CRE4, Class A, (1 mo. LIBOR US + 0.900%), 3.38%, 09/15/35 (a)(b)		3,929		3,918,789
BANK, Series 2018-BN13, Class A5, 4.22%, 08/15/61 (d)		1,750		1,884,007
Bayview Commercial Asset Trust:
Series 2006-1A, Class A1, (1 mo. LIBOR US + 0.270%), 2.76%, 04/25/36 (a)(b)		5,377		5,156,440
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.360%), 2.85%, 04/25/36 (a)(b)		30		28,894
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.270%), 2.76%, 07/25/37 (a)(b)		63		59,516
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.450%), 2.94%, 09/25/37 (a)(b)		5,347		5,058,354
Series 2007-5A, Class A3, (1 mo. LIBOR US + 1.000%), 3.49%, 10/25/37 (a)(b)		2,449		2,432,208
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.500%), 3.99%, 12/25/37 (a)(b)		4,500		3,788,244
BBCMS Mortgage Trust:
Series 2017-DELC, Class F, (1 mo. LIBOR US + 3.500%), 5.98%, 08/15/36 (a)(b)		547		541,515

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2018-CHRS, Class E, 4.41%, 08/05/38 (b)(d)	$	1,000	$	882,445
Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.449%), 3.93%, 03/15/37 (a)(b)		1,100		1,093,107
BBCMS Trust:
Series 2015-SRCH, Class A1, 3.31%, 08/10/35 (b)		495		501,596
Series 2019-CLP, Class D, (1 mo. LIBOR US + 1.728%), 4.21%, 12/15/31 (a)(b)		316		313,274
Series 2019-CLP, Class E, (1 mo. LIBOR US + 2.114%), 4.60%, 12/15/31 (a)(b)		572		565,817
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class B, 5.61%, 12/11/40 (d)		876		894,651
Benchmark Mortgage Trust:
Series 2018-B5, Class A4, 4.21%, 07/15/51		3,510		3,774,223
Series 2019-B10, Class 3CCA, 3.90%, 03/15/62 (b)(d)		349		344,754
Series 2019-B9, Class A5, 4.02%, 03/15/52		544		577,342
BHMS:
Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.250%), 3.73%, 07/15/35 (a)(b)		4,000		3,993,682
Series 2018-ATLS, Class C, (1 mo. LIBOR US + 1.900%), 4.38%, 07/15/35 (a)(b)		1,000		998,111
BWAY Mortgage Trust, Series 2013-1515, Class C, 3.45%, 03/10/33 (b)		250		247,687
BX Trust, Series 2018-MCSF, Class A, (1 mo. LIBOR US + 0.577%), 3.06%, 04/15/35 (a)(b)		1,050		1,033,556
BXP Trust:
Series 2017-GM, Class A, 3.38%, 06/13/39 (b)		1,480		1,503,107
Series 2017-GM, Class B, 3.43%, 06/13/39 (b)(d)		265		266,420
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.150%), 4.63%, 12/15/37 (a)(b)		1,899		1,907,297
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.49%, 04/10/29 (b)(d)		190		193,525
CD Mortgage Trust, Series 2017-CD4, Class A4, 3.51%, 05/10/50 (d)		5,300		5,430,596
CFCRE Commercial Mortgage Trust:
Series 2011-C1, Class C, 6.07%, 04/15/44 (b)(d)		1,000		1,047,683
Series 2016-C4, Class C, 4.88%, 05/10/58 (d)		130		134,788
Series 2018-TAN, Class C, 5.30%, 02/15/33 (b)		1,050		1,083,272
CFK Trust:
Series 2019-FAX, Class D, 4.64%, 01/15/39 (b)		2,500		2,634,091
Series 2019-FAX, Class E, 4.64%, 01/15/39 (b)		2,500		2,514,631
CGBAM Commercial Mortgage Trust:
Series 2015-SMRT, Class E, 3.79%, 04/10/28 (b)(d)		160		161,394
Series 2015-SMRT, Class F, 3.79%, 04/10/28 (b)(d)		1,000		1,007,807
CGDBB Commercial Mortgage Trust:
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.600%), 4.08%, 07/15/32 (a)(b)		1,060		1,061,331
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.150%), 4.63%, 07/15/32 (a)(b)		1,290		1,289,999

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.930%), 3.41%, 11/15/36 (a)(b)	$	230	$	229,836
Citigroup Commercial Mortgage Trust:
Series 2013-375P, Class C, 3.52%, 05/10/35 (b)(d)		100		100,176
Series 2015-GC27, Class C, 4.43%, 02/10/48 (d)		1,000		1,007,524
Series 2015-SHP2, Class A, (1 mo. LIBOR US + 1.280%), 3.76%, 07/15/27 (a)(b)		1,200		1,199,974
Series 2015-SHP2, Class F, (1 mo. LIBOR US + 5.200%), 7.68%, 07/15/27 (a)(b)		750		750,092
Series 2016-C1, Class C, 4.95%, 05/10/49 (d)		10		10,639
Series 2016-P3, Class A4, 3.33%, 04/15/49		2,320		2,350,845
Series 2016-P3, Class D, 2.80%, 04/15/49 (b)(d)		2,000		1,656,707
Series 2017-P7, Class A4, 3.71%, 04/14/50		6,000		6,231,897
Series 2019-SMRT, Class A, 4.15%, 01/10/24 (b)		2,000		2,098,566
Series 2019-SMRT, Class D, 4.75%, 01/10/24 (b)(d)		1,000		1,038,539
Citigroup/Deutsche Bank Commercial Mortgage Trust:
Series 2006-CD3, Class AM, 5.65%, 10/15/48		1,079		1,115,139
Series 2016-CD1, Class A3, 2.46%, 08/10/49		5,000		4,806,008
CLNS Trust, Series 2017-IKPR, Class E, (1 mo. LIBOR US + 3.500%), 5.99%, 06/11/32 (a)(b)		345		346,294
Commercial Mortgage Trust:
Series 2005-C6, Class F, 5.64%, 06/10/44 (b)(d)		535		542,319
Series 2013-GAM, Class B, 3.42%, 02/10/28 (b)(d)		1,500		1,486,056
Series 2013-WWP, Class D, 3.90%, 03/10/31 (b)		110		114,695
Series 2014-TWC, Class A, (1 mo. LIBOR US + 0.850%), 3.35%, 02/13/32 (a)(b)		1,375		1,375,001
Series 2014-TWC, Class D, (1 mo. LIBOR US + 2.250%), 4.75%, 02/13/32 (a)(b)		750		750,235
Series 2014-UBS4, Class C, 4.63%, 08/10/47 (d)		1,500		1,519,587
Series 2015-CR23, Class CMC, 3.69%, 05/10/48 (b)(d)		2,550		2,546,416
Series 2015-CR23, Class CMD, 3.69%, 05/10/48 (b)(d)		4,200		4,186,600
Series 2015-CR26, Class A4, 3.63%, 10/10/48		3,535		3,643,904
Series 2015-LC19, Class D, 2.87%, 02/10/48 (b)		180		159,097
Series 2016-667M, Class D, 3.18%, 10/10/36 (b)(d)		500		463,854
Core Industrial Trust:
Series 2015-TEXW, Class D, 3.85%, 02/10/34 (b)(d)		100		100,826
Series 2015-TEXW, Class E, 3.85%, 02/10/34 (b)(d)		279		279,062
Series 2015-TEXW, Class F, 3.85%, 02/10/34 (b)(d)		1,530		1,518,972
Credit Suisse First Boston Mortgage Securities Corp.:

28 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2004-C4, Class F, 5.23%, 10/15/39 (b)(d)	$	500	$	500,172
Series 2005-C1, Class F, 4.82%, 02/15/38 (b)		564		563,784
Credit Suisse Mortgage Trust:
Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 4.08%, 11/15/33 (a)(b)		166		167,017
Series 2017-CHOP, Class E, (1 mo. LIBOR US + 3.300%), 5.78%, 07/15/32 (a)(b)		758		759,894
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.950%), 3.43%, 12/15/30 (a)(b)		240		239,165
CSAIL Commercial Mortgage Trust:
Series 2016-C6, Class C, 4.75%, 01/15/49 (d)		10		10,388
Series 2018-CX11, Class A5, 4.03%, 04/15/51 (d)		4,053		4,268,812
Series 2019-C15, Class A4, 4.05%, 03/15/52		2,000		2,114,682
Series 2019-C15, Class D, 3.00%, 03/15/52 (b)		93		75,857
CSWF, Series 2018-TOP, Class A, (1 mo. LIBOR US + 1.000%), 3.48%, 08/15/35 (a)(b)		687		685,103
Deutsche Bank UBS Mortgage Trust:
Series 2017-BRBK, Class A, 3.45%, 10/10/34 (b)		2,670		2,725,647
Series 2017-BRBK, Class D, 3.53%, 10/10/34 (b)(d)		990		980,167
Series 2017-BRBK, Class F, 3.53%, 10/10/34 (b)(c)(d)		600		548,586
FREMF Mortgage Trust:
Series 2017-K64, Class B, 3.98%, 05/25/50 (b)(d)		990		1,004,725
Series 2018-K74, Class B, 4.09%, 02/25/51 (b)(d)		2,150		2,190,119
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class EFX, 3.38%, 12/15/34 (b)(d)		342		338,484
GPMT Ltd., Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.900%), 3.39%, 11/21/35 (a)(b)		2,093		2,088,738
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.59%, 06/10/28 (b)(d)		540		534,501
Great Wolf Trust, Series 2017-WOLF, Class A, (1 mo. LIBOR US + 0.850%), 3.48%, 09/15/34 (a)(b)		3,500		3,491,242
GS Mortgage Securities Corp. II:
Series 2013-KING, Class D, 3.44%, 12/10/27 (b)(d)		1,000		995,389
Series 2013-KING, Class E, 3.44%, 12/10/27 (b)(d)		3,200		3,177,716
GS Mortgage Securities Corp. Trust:
Series 2017-500K, Class A, (1 mo. LIBOR US + 0.700%), 3.18%, 07/15/32 (a)(b)		1,000		998,142
Series 2017-500K, Class F, (1 mo. LIBOR US + 1.800%), 4.28%, 07/15/32 (a)(b)		337		335,656
Series 2017-500K, Class G, (1 mo. LIBOR US + 2.500%), 4.98%, 07/15/32 (a)(b)		70		69,634
Series 2018-HULA, Class D, (1 mo. LIBOR US + 1.800%), 4.28%, 07/15/25 (a)(b)		1,987		1,988,082
GS Mortgage Securities Trust:
Series 2015-GC32, Class C, 4.41%, 07/10/48 (d)		1,970		2,027,646
Series 2015-GC32, Class D, 3.35%, 07/10/48		93		82,558
Series 2017-GS6, Class A3, 3.43%, 05/10/50		2,000		2,026,847

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2017-GS7, Class A4, 3.43%, 08/10/50	$	7,000	$	7,086,747
InTown Hotel Portfolio Trust, Series 2018-STAY, Class A, (1 mo. LIBOR US + 0.700%), 3.18%, 01/15/33 (a)(b)		2,000		1,988,045
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.12%, 12/15/48 (b)(d)		1,190		1,146,534
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class D, 4.57%, 03/15/50 (b)(d)		280		271,582
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2007-CB18, Class AMFL, (1 mo. LIBOR US + 0.165%), 2.67%, 06/12/47 (a)		10		10,032
Series 2014-FL6, Class B, (1 mo. LIBOR US + 2.280%), 4.76%, 11/15/31 (a)(b)		4,439		4,449,631
Series 2015-JP1, Class C, 4.74%, 01/15/49 (d)		315		325,799
Series 2015-UES, Class D, 3.74%, 09/05/32 (b)(d)		1,000		999,352
Series 2015-UES, Class E, 3.74%, 09/05/32 (b)(d)		600		595,513
Series 2017-JP5, Class D, 4.65%, 03/15/50 (b)(d)		1,240		1,208,054
Series 2018-PHH, Class A, (1 mo. LIBOR US + 0.910%), 3.39%, 06/15/35 (a)(b)		5,000		4,988,679
Series 2018-WPT, Class FFX, 5.54%, 07/05/33 (b)		950		956,818
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.250%), 2.74%, 03/25/37 (a)(b)		289		279,999
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), 4.19%, 11/24/31 (a)(b)		814		814,447
Lone Star Portfolio Trust, Series 2015-LSP, Class B, (1 mo. LIBOR US + 2.850%), 5.33%, 09/15/28 (a)(b)		319		319,447
Merrill Lynch Mortgage Trust:
Series 2005-CIP1, Class D, 5.60%, 07/12/38 (d)		2,039		2,069,077
Series 2005-MKB2, Class F, 6.32%, 09/12/42 (b)(d)		1,000		1,017,638
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2015-C23, Class D, 4.13%, 07/15/50 (b)(d)		849		798,092
Series 2015-C26, Class C, 4.41%, 10/15/48 (d)		1,000		1,018,188
Series 2015-C26, Class D, 3.06%, 10/15/48 (b)		578		509,760
Morgan Stanley Capital I Trust:
Series 2014-CPT, Class E, 3.45%, 07/13/29 (b)(d)		500		498,846
Series 2014-CPT, Class F, 3.45%, 07/13/29 (b)(d)		100		99,016
Series 2014-CPT, Class G, 3.45%, 07/13/29 (b)(d)		100		98,164
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.600%), 5.08%, 11/15/34 (a)(b)		843		838,243
Series 2017-H1, Class A5, 3.53%, 06/15/50		3,340		3,413,092

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2017-H1, Class D, 2.55%, 06/15/50 (b)	$	1,010	$	816,504
Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 4.43%, 11/15/34 (a)(b)		860		861,607
Series 2018-H3, Class C, 4.85%, 07/15/51 (d)		1,470		1,538,182
Series 2018-MP, Class E, 4.28%, 07/11/40 (b)(d)		2,000		1,876,181
Series 2018-SUN, Class D, (1 mo. LIBOR US + 1.650%), 4.13%, 07/15/35 (a)(b)		1,000		991,224
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.550%), 5.03%, 07/15/35 (a)(b)		1,800		1,787,588
Series 2019-AGLN, Class D, (1 mo. LIBOR US + 1.750%), 4.25%, 03/15/34 (a)(b)		250		249,952
Series 2019-AGLN, Class F, (1 mo. LIBOR US + 2.600%), 5.10%, 03/15/34 (a)(b)		260		259,951
Series 2019-L2, Class A4, 4.07%, 03/15/52		126		134,027
Morgan Stanley Capital I, Inc.:
Series 2017-HR2, Class D, 2.73%, 12/15/50		160		133,422
Series 2018-H3, Class A5, 4.18%, 07/15/51		3,000		3,212,345
Natixis Commercial Mortgage Securities Trust, Series 2017-75B, Class A, 3.86%, 04/09/37 (b)		1,850		1,897,669
Olympic Tower Mortgage Trust:
Series 2017-OT, Class D, 3.95%, 05/10/39 (b)(d)		1,080		1,055,760
Series 2017-OT, Class E, 3.95%, 05/10/39 (b)(d)		498		468,104
RAIT Trust:
Series 2017-FL7, Class A, (1 mo. LIBOR US + 0.950%), 3.43%, 06/15/37 (a)(b)		766		762,360
Series 2017-FL7, Class C, (1 mo. LIBOR US + 2.500%), 4.98%, 06/15/37 (a)(b)		880		867,797
Resource Capital Corp. Ltd., Series 2017-CRE5, Class B, (1 mo. LIBOR US + 2.000%), 4.48%, 07/15/34 (a)(b)		560		555,240
Shelter Growth CRE Issuer Ltd., Series 2018-FL1, Class A, (1 mo. LIBOR US + 1.000%), 3.48%, 01/15/35 (a)(b)		4,009		4,007,248
VNDO Mortgage Trust, Series 2013-PENN, Class D, 3.95%, 12/13/29 (b)(d)		500		501,428
Wells Fargo Commercial Mortgage Trust:
Series 2015-NXS4, Class D, 3.60%, 12/15/48 (d)		997		939,408
Series 2016-C34, Class C, 5.03%, 06/15/49 (d)		40		41,783
Series 2016-NXS5, Class D, 4.88%, 01/15/59 (d)		750		729,935
Series 2017-C39, Class D, 4.36%, 09/15/50 (b)(d)		750		714,776
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.850%), 3.35%, 12/13/31 (a)(b)		846		843,753
Series 2018-C44, Class C, 4.84%, 05/15/51 (d)		1,484		1,540,446
Series 2018-C44, Class D, 3.00%, 05/15/51 (b)		1,000		803,845
Series 2018-C46, Class A4, 4.15%, 08/15/51		3,740		3,980,481
Series 2019-C49, Class A5, 4.02%, 03/15/52		2,796		2,948,496
				223,085,483

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities — 2.1%
B2R Mortgage Trust, Series 2015-2, Class XA, 2.29%, 11/15/48 (b)(d)	$	6,648	$	199,438
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class XD, 1.29%, 02/15/50 (b)(d)		10,000		848,200
Banc of America Merrill Lynch Commercial Mortgage Securities Trust:
Series 2017-SCH, Class XFCP, 0.15%, 11/15/19 (b)(d)		95,950		96,910
Series 2017-SCH, Class XLCP, 0.02%, 11/15/19 (b)(d)		56,050		8,407
BBCMS Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35 (b)(d)		12,500		195,125
Benchmark Mortgage Trust, Series 2019-B9, Class XA, 1.05%, 03/15/52 (d)		24,993		2,080,083
BX Commercial Mortgage Trust, Series 2018-IND, Class XCP, 0.17%, 11/15/35 (b)(d)		706,230		714,422
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.73%, 05/10/58 (d)		365		33,645
CFK Trust, Series 2019-FAX, Class XA, 0.23%, 01/15/39 (b)(c)		62,648		1,404,680
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class X, 0.51%, 01/10/24 (b)(d)		80,300		1,952,551
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50 (d)		11,214		698,856
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.06%, 04/10/47 (d)		666		24,626
JPMDB Commercial Mortgage Securities Trust:
Series 2016-C4, Class XC, 0.75%, 12/15/49 (b)(d)		8,570		412,076
Series 2017-C5, Class XB, 0.31%, 03/15/50 (d)		30,000		722,100
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49 (b)(d)		17,400		803,880
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.11%, 03/10/50 (b)(d)		12,449		565,547
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.19%, 12/15/47 (b)(d)		220		11,504
Morgan Stanley Capital I Trust:
Series 2017-H1, Class XD, 2.20%, 06/15/50 (b)(d)		8,625		1,295,302
Series 2018-H4, Class XA, 0.87%, 12/15/51 (d)		30,142		2,010,612
Series 2019-L2, Class XA, 1.20%, 03/15/52 (d)		11,324		941,261
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39 (b)(d)		28,100		824,454
One Market Plaza Trust:
Series 2017-1MKT, Class XCP, 0.09%, 02/10/32 (b)(d)		110,000		451,000
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32 (b)(c)(d)		22,000		220
U.S., Series 2018-USDC, Class X, 0.32%, 05/12/38 (b)(d)		103,122		3,005,470
Wells Fargo Commercial Mortgage Trust:
Series 2015-LC20, Class XB, 0.47%, 04/15/50 (d)		7,000		187,881

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Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2016-BNK1, Class XD, 1.26%, 08/15/49 (b)(d)	$	1,000	$	74,380
Series 2018-C44, Class XA, 0.76%, 05/15/51 (d)		10,639		579,487
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 1.07%, 08/15/47 (d)		10,188		413,950
				20,556,067
Total Non-Agency Mortgage-Backed Securities — 33.6% (Cost: $327,135,010)				328,118,084
U.S. Government Sponsored Agency Securities — 3.1%
Collateralized Mortgage Obligations — 0.8%
Fannie Mae:
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.000%), 5.49%, 10/25/29 (a)		106		112,029
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.000%), 6.49%, 05/25/30 (a)		2,000		2,077,948
Freddie Mac:
Series 2016-DNA4, Class M3, (1 mo. LIBOR US +3.800%), 6.29%, 03/25/29 (a)		2,000		2,198,121
Series 2017-DNA2, Class M2, (1 mo. LIBOR US +3.450%), 5.94%, 10/25/29 (a)		250		270,167
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.500%), 4.99%, 03/25/30 (a)		2,494		2,553,533
Series 2018-DNA1, Class M2, (1 mo. LIBOR US + 1.800%), 4.29%, 07/25/30 (a)		224		218,238
				7,430,036
Commercial Mortgage-Backed Securities — 1.4%
Fannie Mae:
Series 2017-M8, Class A2, 3.06%, 05/25/27 (d)		170		171,306
Series 2019-M1, Class A2, 3.56%, 09/25/28 (d)		610		637,607
Freddie Mac:
Series K072, Class A2, 3.44%, 12/25/27		5,000		5,199,104
Series K085, Class A2, 4.06%, 10/25/28 (d)		1,796		1,955,414
Series K087, Class A2, 3.77%, 12/25/28		2,951		3,141,121
Series KL4F, Class A2AS, 3.68%, 10/25/25 (d)		1,789		1,853,487

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series KPLB, Class A, 2.77%, 05/25/25	$	380	$	378,898
				13,336,937
Interest Only Commercial Mortgage-Backed Securities — 0.9%
Freddie Mac, Series KW01, Class X1, 0.98%, 01/25/26 (d)		1,155		61,721
Ginnie Mae:
Series 2016-13, Class IO, 0.92%, 04/16/57 (d)		20,156		1,299,354
Series 2016-36, Class IO, 0.94%, 08/16/57 (d)		51,632		3,439,087
Series 2016-87, Class IO, 1.00%, 08/16/58 (d)		459		34,605
Series 2016-128, Class IO, 0.95%, 09/16/56 (d)		5,820		454,782
Series 2017-7, Class IO, 0.97%, 12/16/58 (d)		19,412		1,524,331
Series 2017-24, Class IO, 0.86%, 12/16/56 (d)		38,257		2,485,244
				9,299,124
Total U.S. Government Sponsored Agency Securities — 3.1% (Cost: $29,396,725)				30,066,097
Total Long-Term Investments — 97.5% (Cost: $961,479,812)				952,243,182
	Shares
Short-Term Securities — 3.5%
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.27% (i)		34,484,803		34,484,803
Total Short-Term Securities — 3.5% (Cost: $34,484,803)				34,484,803
Total Investments — 101.0% (Cost: $995,964,615)				986,727,985
Liabilities in Excess of Other Assets — (1.0)%				(9,441,617	)
Net Assets — 100.0%			$	977,286,368

^(a) Variable rate security. Rate shown is the rate in effect as of period end.

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

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

^(d) Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

^(e) Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

^(f)  Issuer filed for bankruptcy and/or is in default.

^(g) Non-income producing security.

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

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

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio

Derivative Financial Instruments Outstanding as of Period End

OTC Credit Default Swaps — Buy Protection

Reference Index	Financing Rate Paid by the Fund		Payment Frequency	Counterparty	Termination Date	Notional Amount (000)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.9.BBB-		3.00%	Monthly	Morgan Stanley & Co. International PLC	09/17/58	$	27	$	1,610		$	1,562			$	48
CMBX.NA.9.BBB-		3.00%	Monthly	Morgan Stanley & Co. International PLC	09/17/58	$	53		3,160			4,293				(1,133	)
CMBX.NA.6.AAA		0.50%	Monthly	Deutsche Bank AG	05/11/63	$	580		(4,350	)		183				(4,533	)
CMBX.NA.6.AAA		0.50%	Monthly	Deutsche Bank AG	05/11/63	$	513		(3,842	)		(367	)			(3,475	)
CMBX.NA.6.AAA		0.50%	Monthly	Deutsche Bank AG	05/11/63	$	358		(2,682	)		68				(2,750	)
CMBX.NA.6.BBB-		3.00%	Monthly	J.P. Morgan Securities LLC	05/11/63	$	40		5,056			2,511				2,545
								$	(1,048	)	$	8,250			$	(9,298	)

OTC Credit Default Swaps — Sell Protection

Reference Index	Financing Rate Received by the Fund			Payment Frequency	Counterparty	Termination Date	Credit Rating(a)	Notional Amount (000)(b)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.8.A		2.00	%	Monthly	Morgan Stanley & Co. International PLC	10/17/57	Not Rated		$     78		$     111			$    (7,273	)		$    7,384
CMBX.NA.9.BBB-		3.00	%	Monthly	Credit Suisse International	9/17/58	Not Rated		$   171		(10,197	)		(14,994	)		4,797
CMBX.NA.9.BBB-		3.00	%	Monthly	Deutsche Bank AG	9/17/58	Not Rated		$4,620		(275,493	)		(576,991	)		301,498
CMBX.NA.10.BBB-		3.00	%	Monthly	Deutsche Bank AG	11/17/59	BBB-		$1,000		(52,771	)		(87,184	)		34,413
CMBX.NA.10.BBB-		3.00	%	Monthly	Deutsche Bank AG	11/17/59	BBB-		$   500		(26,385	)		(52,583	)		26,198
CMBX.NA.6.BBB-		3.00	%	Monthly	Credit Suisse International	5/11/63	BBB-		$     40		(5,056	)		(3,132	)		(1,924	)
											$(369,791	)		$(742,157	)		$372,366

^(a)  Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

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

Balances Reported in the Statements of Assets and Liabilities for OTC Swaps

	Swap Premiums Paid		Swap Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Swaps		$8,617		$742,524		$376,883		$13,815

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Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio

Derivative Financial Instruments Categorized by Risk Exposure

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

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Swaps — OTC	Unrealized appreciation on OTC swaps; Swap premiums paid	$	—	$	385,500	$	—	$	—	$	—	$	—	$	385,500
Liabilities — Derivative Financial Instruments
Swaps — OTC	Unrealized depreciation on OTC swaps; Swap premiums received	$	—	$	756,339	$	—	$	—	$	—	$	—	$	756,339

For the year ended March 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Realized Gain from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Swaps	$	—	$	390,118	$	—	$	—	$	—	$	—	$	390,118
Net Change in Unrealized Appreciation (Depreciation) on:
Swaps	$	—	$	347,942	$	—	$	—	$	—	$	—	$	347,942

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Credit default swaps:
Average notional value — buy protection	$	3,790,000
Average notional value — sell protection		7,124,750

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

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

		Assets		Liabilities
Derivative Financial Instruments:
Swaps — OTC(a)	$	385,500	$	756,339
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	385,500	$	756,339
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	385,500	$	756,339

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

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series A Portfolio

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

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non-cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets(b)
Credit Suisse International	$	4,797	$	(4,797	)	$	—	$	—		$	—
Deutsche Bank AG		362,360		(362,360	)		—		—			—
J.P. Morgan Securities LLC		5,056		—			—		—			5,056
Morgan Stanley & Co. International PLC		13,287		(8,406	)		—		—			4,881
	$	385,500	$	(375,563	)	$	—	$	—		$	9,937
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non-cash Collateral Pledged		Cash Collateral Pledged(c)			Net Amount of Derivative Liabilities(d)
Credit Suisse International	$	20,050	$	(4,797	)	$	—	$	—		$	15,253
Deutsche Bank AG		727,883		(362,360	)		—		(365,523	)		—
Morgan Stanley & Co. International PLC		8,406		(8,406	)		—		—			—
	$	756,339	$	(375,563	)	$	—	$	(365,523	)	$	15,253

^(a)  The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

^(b)  Net amount represents the net amount receivable from the counterparty in the event of default.

^(c)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

^(d)  Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

		Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities	$	—	$	542,647,194		$	30,188,096	$	572,835,290
Corporate Bonds(a)		—		333,015			—		333,015
Floating Rate Loan Interests(a)		—		—			20,890,696		20,890,696
Non-Agency Mortgage-Backed Securities		—		317,145,545			10,972,539		328,118,084
U.S. Government Sponsored Agency Securities		—		30,066,097			—		30,066,097
Short-Term Securities		34,484,803		—			—		34,484,803
	$	34,484,803	$	890,191,851		$	62,051,331	$	986,727,985
Derivative Financial Instruments(b)
Assets:
Credit contracts	$	—	$	376,883		$	—	$	376,883
Liabilities:
Credit contracts		—		(13,815	)		—		(13,815	)
	$	—	$	363,068		$	—	$	363,068

^(a)  See above Schedule of Investments for values in each industry.

^(b)  Derivative financial instruments are swaps, which are valued at the unrealized appreciation (depreciation) on the instrument.

During the year ended March 31, 2019, there were no transfers between Level 1 and Level 2.

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Schedule of Investments   (continued) March 31, 2019 BATS: Series A Portfolio

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

		Asset-Backed Securities			Floating Rate Loan Interests			Non-Agency Mortgage-Backed Securities			Total
Assets:
Opening Balance, as of March 31, 2018	$	6,206,056		$	3,143,637		$	7,686,343		$	17,036,036
Transfers into Level 3		—			2,337,305			—			2,337,305
Transfers out of Level 3		(2,636,967	)		—			(2,316,462	)		(4,953,429	)
Accrued discounts/premiums		342,494			6,619			12,324			361,437
Net realized gain (loss)		(42,727	)		26,567			93,012			76,852
Net change in unrealized appreciation (depreciation)(a)(b)		(1,043,321	)		(258,306	)		(1,413,594	)		(2,715,221	)
Purchases		32,172,970			23,709,624			9,336,759			65,219,353
Sales		(4,810,409	)		(8,074,750	)		(2,425,843	)		(15,311,002	)
Closing Balance, as of March 31, 2019	$	30,188,096		$	20,890,696		$	10,972,539		$	62,051,331
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2019(b)	$	(1,042,754	)	$	(213,911	)	$	(459,536	)	$	(1,716,201	)

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

^(b)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

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

See notes to financial statements.

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

Schedule of Investments   March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Capital Trusts — 3.8%
Banks — 1.9%
HSBC Holdings PLC, (USD Swap Rate 11:00 am NY 1 + 3.746%), 6.00% (a)(b)	$	520	$	515,580
JPMorgan Chase & Co.:
(3 mo. LIBOR US + 3.330%), 6.10% (a)(b)		208		218,400
(3 mo. LIBOR US + 3.470%), 6.22% (a)(b)		358		359,790
(3 mo. LIBOR US + 3.780%), 6.75% (a)(b)		925		1,014,105
Lloyds Banking Group PLC, (5 yr. Swap Semi 30/360 US + 4.496%), 7.50% (a)(b)		780		791,466
Nordea Bank Abp, (5 yr. US Treasury Yield
Curve Rate T Note Constant Maturity + 4.110%), 6.63% (a)(b)(c)		740		738,150
U.S. Bancorp, Series J, (3 mo. LIBOR US + 2.914%), 5.30% (a)(b)		1,075		1,093,813
Wells Fargo & Co.:
(3 mo. LIBOR US + 3.990%), 5.88% (a)(b)		1,550		1,656,175
(3 mo. LIBOR US + 3.770%), 6.38% (a)(b)		817		822,106
				7,209,585
Capital Markets — 0.3%
State Street Corp.:
(3 mo. LIBOR US + 3.597%), 5.25% (a)(b)		315		321,694
(3 mo. LIBOR US + 2.539%), 5.63% (a)(b)		735		740,513
				1,062,207
Electric Utilities — 0.2%
Exelon Corp., 3.50%, 06/01/22		785		792,993
Insurance — 0.5%
Allstate Corp., (3 mo. LIBOR US + 2.938%), 5.75%, 08/15/53 (a)		835		843,350
MetLife, Inc., (3 mo. LIBOR US + 3.575%), 5.25% (a)(b)		900		907,506
				1,750,856
Media — 0.6%
NBCUniversal Enterprise, Inc., 5.25% (b)(c)		2,200		2,233,000
Oil, Gas & Consumable Fuels — 0.3%
Enbridge, Inc., (3 mo. LIBOR US + 3.641%), 6.25%, 03/01/78 (a)		780		775,730
TransCanada Trust:
(3 mo. LIBOR US + 3.528%), 5.63%, 05/20/75 (a)		359		350,994
(3 mo. LIBOR US + 4.640%), 5.88%, 08/15/76 (a)		120		121,746
				1,248,470
Total Capital Trusts — 3.8% (Cost: $14,284,915)				14,297,111
Corporate Bonds — 86.7%
Aerospace & Defense — 2.3%
Harris Corp., 4.40%, 06/15/28		955		1,004,355
Lockheed Martin Corp.:
3.10%, 01/15/23		95		96,053
3.55%, 01/15/26		145		149,651
4.07%, 12/15/42		575		585,722
4.09%, 09/15/52		124		125,981
Northrop Grumman Corp., 3.25%, 01/15/28		910		894,805
Northrop Grumman Systems Corp., 7.88%, 03/01/26		1,000		1,256,531
Rockwell Collins, Inc.:
1.95%, 07/15/19		180		179,545
3.20%, 03/15/24		550		547,648
3.50%, 03/15/27		520		513,441
4.35%, 04/15/47		240		236,637
United Technologies Corp.:
3.35%, 08/16/21		140		141,873

Security	Par (000)		Value
Aerospace & Defense (continued)
2.30%, 05/04/22	$	105	$	103,411
3.10%, 06/01/22		810		815,226
3.65%, 08/16/23		410		420,850
4.13%, 11/16/28		710		737,631
6.05%, 06/01/36		450		535,110
4.50%, 06/01/42		340		351,429
				8,695,899
Air Freight & Logistics — 0.3%
FedEx Corp.:
3.25%, 04/01/26		120		119,409
4.10%, 02/01/45		475		428,549
4.40%, 01/15/47		597		560,912
				1,108,870
Airlines — 0.8%
Air Canada Pass-Through Trust, Series 2017,
Class 1AA, 3.30%, 07/15/31 (c)		124		120,237
American Airlines Pass-Through Trust:
Series 2014-1, Class B, 4.38%, 04/01/24		99		99,225
Series 2017-1, Class AA, 3.65%, 08/15/30		720		723,346
Delta Air Lines, Inc., 3.80%, 04/19/23		880		889,247
Doric Nimrod Air Alpha Pass-Through Trust,
Series 2013-1, Class A, 5.25%, 05/30/25 (c)		538		547,264
U.S. Airways Pass-Through Trust,
Series 2013-1, Class A, 3.95%, 05/15/27		664		673,667
Virgin Australia Trust, Series 2013-1A, 5.00%, 04/23/25 (c)		74		75,690
				3,128,676
Auto Components — 0.2%
ZF North America Capital, Inc., 4.75%, 04/29/25 (c)		600		582,745
Automobiles — 0.8%
Ford Motor Co.:
4.35%, 12/08/26		366		339,710
4.75%, 01/15/43		186		145,760
5.29%, 12/08/46		128		107,247
General Motors Co.:
5.00%, 10/01/28		435		433,874
5.20%, 04/01/45		535		475,234
Volkswagen Group of America Finance LLC, 3.88%, 11/13/20 (c)		1,275		1,291,373
				2,793,198
Banks — 14.0%
Banco Santander SA:
3.13%, 02/23/23		800		790,607
3.85%, 04/12/23		200		201,703
Bank of America Corp.:
(3 mo. LIBOR US + 0.630%), 3.50%, 05/17/22 (a)		800		809,366
4.20%, 08/26/24		1,610		1,666,306
4.00%, 01/22/25		605		617,000
(3 mo. LIBOR US + 0.970%), 3.46%, 03/15/25 (a)		2,565		2,590,530
3.95%, 04/21/25		790		803,560
4.45%, 03/03/26		2,305		2,402,172
(3 mo. LIBOR US + 1.512%), 3.71%, 04/24/28 (a)		285		286,277
(3 mo. LIBOR US + 1.070%), 3.97%, 03/05/29 (a)		1,475		1,501,837
(3 mo. LIBOR US + 1.190%), 3.95%, 01/23/49 (a)		500		488,474
Barclays Bank PLC, 5.14%, 10/14/20		300		308,016
Barclays PLC:
(3 mo. LIBOR US + 1.400%), 4.61%, 02/15/23 (a)		1,510		1,541,145

36 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Banks (continued)
4.84%, 05/09/28	$	210	$	207,735
(3 mo. LIBOR US + 1.902%), 4.97%, 05/16/29 (a)		200		206,753
BNP Paribas SA:
3.50%, 03/01/23 (c)		900		900,075
(5 yr. Swap Semi 30/360 US + 1.483%), 4.38%, 03/01/33 (a)(c)		645		633,856
Citigroup, Inc.:
(3 mo. LIBOR US + 1.563%), 3.89%, 01/10/28 (a)		425		431,581
(3 mo. LIBOR US + 1.390%), 3.67%, 07/24/28 (a)		160		159,587
(3 mo. LIBOR US + 1.192%), 4.08%, 04/23/29 (a)		820		841,319
(3 mo. LIBOR US + 1.338%), 3.98%, 03/20/30 (a)		610		620,132
4.75%, 05/18/46		550		569,872
4.65%, 07/23/48		225		241,218
Citizens Bank N.A., 2.55%, 05/13/21		330		327,660
Cooperatieve Rabobank UA:
3.13%, 04/26/21		670		673,007
4.63%, 12/01/23		700		731,208
Danske Bank A/S, 5.00%, 01/12/22 (c)		555		569,174
Discover Bank:
3.35%, 02/06/23		300		301,621
(5 yr. Swap Semi 30/360 US + 1.730%), 4.68%, 08/09/28 (a)		600		610,464
HSBC Holdings PLC:
(3 mo. LIBOR US + 1.055%), 3.26%, 03/13/23 (a)		985		987,408
(3 mo. LIBOR US + 1.211%), 3.80%, 03/11/25 (a)		865		876,836
4.25%, 08/18/25		500		510,597
(3 mo. LIBOR US + 1.348%), 4.29%, 09/12/26 (a)		500		515,617
4.38%, 11/23/26		270		276,570
Huntington Bancshares, Inc., 4.00%, 05/15/25		905		941,164
ING Bank NV, 2.50%, 10/01/19 (c)		950		948,697
ING Groep NV, (3 mo. LIBOR US + 1.150%), 3.75%, 03/29/22 (d)		1,040		1,044,411
Intesa Sanpaolo SpA:
3.38%, 01/12/23 (c)		485		473,396
5.02%, 06/26/24 (c)		416		402,101
JPMorgan Chase & Co.:
2.25%, 01/23/20		1,800		1,793,434
2.30%, 08/15/21		665		657,285
(3 mo. LIBOR US + 1.000%), 4.02%, 12/05/24 (a)		900		934,005
(3 mo. LIBOR US + 1.245%), 3.96%, 01/29/27 (a)		1,055		1,089,483
(3 mo. LIBOR US + 1.337%), 3.78%, 02/01/28 (a)		800		814,964
(3 mo. LIBOR US + 1.120%), 4.01%, 04/23/29 (a)		340		349,221
(3 mo. LIBOR US + 1.360%), 3.88%, 07/24/38 (a)		1,000		980,175
4.95%, 06/01/45		320		354,110
(3 mo. LIBOR US + 1.220%), 3.90%, 01/23/49 (a)		915		885,966
Lloyds Bank PLC, 5.80%, 01/13/20 (c)		2,000		2,046,053
Mitsubishi UFJ Financial Group, Inc.:
3.22%, 03/07/22		575		579,586
3.76%, 07/26/23		1,100		1,129,849
Regions Bank, (3 mo. LIBOR US + 0.500%), 3.37%, 08/13/21 (a)		920		924,311

Security	Par (000)		Value
Banks (continued)
Royal Bank of Canada, 3.20%, 04/30/21	$	1,000	$	1,011,174
Royal Bank of Scotland Group PLC:
(3 mo. LIBOR US + 1.470%), 4.15%, 05/15/23 (d)		670		667,357
3.88%, 09/12/23		990		994,103
6.00%, 12/19/23		348		371,473
(3 mo. LIBOR US + 1.762%), 4.27%, 03/22/25 (a)		1,020		1,030,847
Santander UK PLC:
2.13%, 11/03/20		750		741,770
5.00%, 11/07/23 (c)		1,753		1,795,012
SunTrust Banks, Inc., 4.00%, 05/01/25		380		397,580
Svenska Handelsbanken AB, 3.35%, 05/24/21		500		505,659
Wells Fargo & Co.:
4.13%, 08/15/23		350		362,673
3.75%, 01/24/24		385		396,195
4.15%, 01/24/29		575		601,067
5.61%, 01/15/44		200		230,889
4.65%, 11/04/44		980		1,006,621
4.75%, 12/07/46		530		556,149
				52,216,063
Beverages — 1.2%
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc., 4.90%, 02/01/46 (c)		675		677,960
Anheuser-Busch InBev Worldwide, Inc.:
4.15%, 01/23/25		195		203,203
4.75%, 01/23/29		845		900,261
4.44%, 10/06/48		2,145		2,019,228
5.55%, 01/23/49		325		356,703
5.80%, 01/23/59		245		272,423
				4,429,778
Biotechnology — 1.6%
AbbVie, Inc.:
2.50%, 05/14/20		1,200		1,196,459
2.30%, 05/14/21		495		489,457
2.85%, 05/14/23		550		544,011
3.20%, 05/14/26		240		232,607
4.25%, 11/14/28		320		326,836
4.40%, 11/06/42		795		734,859
4.88%, 11/14/48		205		201,625
Amgen, Inc.:
4.40%, 05/01/45		100		98,027
4.66%, 06/15/51		461		463,654
Baxalta, Inc., 4.00%, 06/23/25		283		289,282
Gilead Sciences, Inc.:
3.25%, 09/01/22		135		137,517
4.50%, 02/01/45		323		326,913
4.75%, 03/01/46		391		409,253
4.15%, 03/01/47		640		617,520
				6,068,020
Capital Markets — 6.1%
Bank of New York Mellon Corp.:
3.45%, 08/11/23		265		271,996
2.20%, 08/16/23		1,125		1,094,124
Credit Agricole SA:
2.75%, 06/10/20 (c)		1,000		999,405
3.75%, 04/24/23 (c)		275		278,020
Credit Suisse AG:
3.00%, 10/29/21		665		667,808
3.63%, 09/09/24		575		584,806
Credit Suisse Group AG, (3 mo. LIBOR US + 1.240%), 4.21%, 06/12/24 (a)(c)		820		839,994
Credit Suisse Group Funding Guernsey Ltd.:
3.45%, 04/16/21		1,350		1,364,082

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Capital Markets (continued)
3.80%, 06/09/23	$	547	$	555,520
Deutsche Bank AG:
4.25%, 02/04/21		925		928,546
4.25%, 10/14/21		180		180,808
(USD Swap Rate 11:00 am NY 1 + 2.553%), 4.88%, 12/01/32 (a)		585		515,484
Goldman Sachs Group, Inc.:
2.88%, 02/25/21		975		975,427
3.00%, 04/26/22		850		848,156
4.25%, 10/21/25		310		317,321
(3 mo. LIBOR US + 1.301%), 4.22%, 05/01/29 (a)		1,580		1,614,759
4.80%, 07/08/44		370		391,385
5.15%, 05/22/45		350		370,150
Morgan Stanley:
2.65%, 01/27/20		775		774,133
2.50%, 04/21/21		550		546,423
5.50%, 07/28/21		10		10,581
(3 mo. LIBOR US + 1.400%), 4.18%, 10/24/23 (d)		1,675		1,701,045
(3 mo. LIBOR US + 0.847%), 3.74%, 04/24/24 (a)		925		943,429
3.88%, 04/29/24		1,625		1,671,360
(3 mo. LIBOR US + 1.628%), 4.43%, 01/23/30 (a)		845		889,977
4.30%, 01/27/45		700		711,777
State Street Corp., (3 mo. LIBOR US + 0.770%), 3.78%, 12/03/24 (a)		490		508,876
UBS Group Funding Switzerland AG, 3.00%, 04/15/21 (c)		2,150		2,149,136
				22,704,528
Chemicals — 0.9%
Air Liquide Finance SA:
2.25%, 09/27/23 (c)		520		503,205
2.50%, 09/27/26 (c)		290		275,730
DowDuPont, Inc.:
4.49%, 11/15/25		890		948,012
5.32%, 11/15/38		290		322,387
5.42%, 11/15/48		485		553,236
E.I. du Pont de Nemours & Co., (3 mo. LIBOR
US + 0.530%), 3.27%, 05/01/20 (d)		560		561,588
Sherwin-Williams Co.:
2.75%, 06/01/22		135		134,182
4.50%, 06/01/47		180		177,139
				3,475,479
Commercial Services & Supplies — 0.7%
Aviation Capital Group LLC, 6.75%, 04/06/21 (c)		1,575		1,678,560
GATX Corp., 4.35%, 02/15/24		510		528,667
Republic Services, Inc., 3.95%, 05/15/28		300		314,477
				2,521,704
Communications Equipment — 0.3%
Cisco Systems, Inc., 2.50%, 09/20/26		1,035		1,007,532
Consumer Finance — 2.0%
Capital One Financial Corp., 4.25%, 04/30/25		675		700,611
Capital One N.A.:
2.35%, 01/31/20		825		820,851
2.95%, 07/23/21		735		737,407
Ford Motor Credit Co. LLC:
3.34%, 03/18/21		475		467,765
3.81%, 10/12/21		550		544,870
3.66%, 09/08/24		350		322,548
4.39%, 01/08/26		201		186,671
General Motors Financial Co., Inc.:
3.20%, 07/06/21		565		562,463
4.15%, 06/19/23		615		620,767
4.35%, 04/09/25		1,230		1,224,694

Security	Par (000)		Value
Consumer Finance (continued)
4.35%, 01/17/27	$	1,205	$	1,171,140
Synchrony Financial, 4.38%, 03/19/24		200		202,579
				7,562,366
Containers & Packaging — 0.5%
International Paper Co., 4.35%, 08/15/48 WRKCo, Inc.:		200		186,417
3.75%, 03/15/25		745		751,665
4.65%, 03/15/26		895		948,359
				1,886,441
Diversified Financial Services — 0.7%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 4.50%, 05/15/21		1,140		1,164,643
Charles Schwab Corp., 3.25%, 05/21/21		665		673,341
GE Capital International Funding Co., 4.42%, 11/15/35		811		749,759
				2,587,743
Diversified Telecommunication Services — 3.3%
AT&T Inc.:
3.40%, 05/15/25		1,385		1,370,480
4.30%, 02/15/30		1,438		1,454,506
4.50%, 05/15/35		750		738,910
5.25%, 03/01/37		400		419,086
5.15%, 03/15/42		400		409,171
4.80%, 06/15/44		65		63,815
4.75%, 05/15/46		203		198,369
5.15%, 11/15/46		115		118,028
5.45%, 03/01/47		330		352,557
4.50%, 03/09/48		215		201,733
5.15%, 02/15/50		150		153,235
Telefonica Emisiones SAU:
4.67%, 03/06/38		255		243,387
4.90%, 03/06/48		315		306,950
Verizon Communications, Inc.:
3.38%, 02/15/25		459		464,405
4.50%, 08/10/33		550		581,347
4.27%, 01/15/36		1,125		1,137,876
5.25%, 03/16/37		745		838,076
4.81%, 03/15/39		865		926,594
3.85%, 11/01/42		950		893,123
4.86%, 08/21/46		190		202,434
5.01%, 04/15/49		420		458,552
4.67%, 03/15/55		647		659,176
				12,191,810
Electric Utilities — 5.6%
American Electric Power Co., Inc., 2.15%, 11/13/20		825		817,264
American Transmission Systems, Inc., 5.25%, 01/15/22 (c)		400		423,404
CenterPoint Energy, Inc., 3.85%, 02/01/24		595		606,777
DTE Electric Co., Series A, 4.05%, 05/15/48		186		193,878
Duke Energy Carolinas LLC, 3.75%, 06/01/45		420		415,979
Duke Energy Corp., 2.65%, 09/01/26		390		371,506
Duke Energy Florida LLC, 4.20%, 07/15/48		240		252,349
Duke Energy Progress LLC:
3.70%, 09/01/28		690		719,742
6.30%, 04/01/38		750		982,695
3.60%, 09/15/47		350		334,607
Emera U.S. Finance LP, 2.15%, 06/15/19		185		184,637
Entergy Arkansas LLC, 3.70%, 06/01/24		825		856,142
Entergy Corp., 4.00%, 07/15/22		700		719,180
Evergy Inc., 5.29%, 06/15/22 (e)		745		790,083
Exelon Corp.:
2.45%, 04/15/21		2,000		1,976,794
3.40%, 04/15/26		200		199,955
FirstEnergy Corp., 4.85%, 07/15/47		500		536,196

38 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Electric Utilities (continued)
Florida Power & Light Co., 5.95%, 02/01/38	$	800	$	1,031,785
Georgia Power Co., 2.00%, 09/08/20		635		629,130
Kentucky Utilities Co., 5.13%, 11/01/40		375		440,651
MidAmerican Energy Co., 3.65%, 04/15/29		975		1,014,665
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28 (c)		345		353,835
NextEra Energy Capital Holdings, Inc., 3.55%, 05/01/27		115		115,482
Northern States Power Co., 6.20%, 07/01/37		725		944,592
Ohio Power Co., Series D, 6.60%, 03/01/33		675		865,606
Oncor Electric Delivery Co. LLC, 5.30%, 06/01/42		660		797,430
PacifiCorp, 6.00%, 01/15/39		450		569,107
Progress Energy, Inc.:
4.88%, 12/01/19		1,075		1,089,167
3.15%, 04/01/22		775		780,447
Southern Co.:
2.35%, 07/01/21		785		776,269
2.95%, 07/01/23		740		736,765
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25 (c)		445		454,843
				20,980,962
Energy Equipment & Services — 0.5%
Halliburton Co.:
3.80%, 11/15/25		1,545		1,579,069
5.00%, 11/15/45		310		329,638
				1,908,707
Equity Real Estate Investment Trusts (REITs) — 2.5%
American Tower Corp.:
4.70%, 03/15/22		525		549,261
3.00%, 06/15/23		1,175		1,170,996
5.00%, 02/15/24		430		462,764
AvalonBay Communities, Inc., 3.35%, 05/15/27		550		552,471
Boston Properties LP, 4.50%, 12/01/28		500		530,477
Crown Castle International Corp.:
3.40%, 02/15/21		1,453		1,464,999
2.25%, 09/01/21		1,765		1,739,607
5.25%, 01/15/23		807		866,041
3.65%, 09/01/27		230		226,164
4.30%, 02/15/29		305		314,364
ERP Operating LP, 3.25%, 08/01/27		525		525,045
Host Hotels & Resorts LP, 6.00%, 10/01/21		725		766,882
				9,169,071
Food & Staples Retailing — 2.3%
CVS Health Corp.:
4.10%, 03/25/25		1,530		1,570,766
4.30%, 03/25/28		2,360		2,391,273
4.78%, 03/25/38		320		316,894
5.13%, 07/20/45		360		365,864
Kroger Co., 4.45%, 02/01/47		365		330,887
Walmart, Inc.:
2.65%, 12/15/24		691		689,181
3.55%, 06/26/25		273		283,357
3.70%, 06/26/28		1,875		1,974,966
4.05%, 06/29/48		650		690,331
				8,613,519
Food Products — 1.1%
General Mills, Inc.:
3.20%, 04/16/21		145		146,257
3.70%, 10/17/23		240		245,996
4.20%, 04/17/28		620		644,259
4.70%, 04/17/48		90		89,862
Kraft Heinz Foods Co.:
5.38%, 02/10/20		1,290		1,316,317
3.00%, 06/01/26		710		661,794
4.38%, 06/01/46		365		315,740

Security	Par (000)		Value
Food Products (continued)
Nestle Holdings, Inc., 4.00%, 09/24/48 (c)	$	645	$	675,159
				4,095,384
Gas Utilities — 0.2%
Fortis, Inc., 2.10%, 10/04/21		945		924,357
Health Care Equipment & Supplies — 1.5%
Abbott Laboratories:
3.75%, 11/30/26		566		588,370
4.75%, 11/30/36		385		430,984
4.75%, 04/15/43		117		130,019
4.90%, 11/30/46		260		300,667
Becton Dickinson and Co.:
2.68%, 12/15/19		88		87,716
(3 mo. LIBOR US + 1.030%), 3.64%, 06/06/22 (d)		1,525		1,529,044
3.70%, 06/06/27		1,570		1,563,961
Medtronic, Inc.:
3.15%, 03/15/22		960		975,248
4.63%, 03/15/45		49		56,014
				5,662,023
Health Care Providers & Services — 2.5%
Aetna, Inc.:
2.80%, 06/15/23		350		343,704
3.50%, 11/15/24		395		395,255
Anthem, Inc.:
4.35%, 08/15/20		700		714,175
2.50%, 11/21/20		285		283,546
5.10%, 01/15/44		300		327,668
Cigna Corp., 3.20%, 09/17/20 (c)		1,870		1,880,080
Coventry Health Care, Inc., 5.45%, 06/15/21		850		888,528
HCA, Inc.:
5.25%, 06/15/26		563		603,237
4.50%, 02/15/27		389		399,494
5.50%, 06/15/47		365		388,050
UnitedHealth Group, Inc.:
3.35%, 07/15/22		75		76,614
2.88%, 03/15/23		1,175		1,181,735
3.75%, 07/15/25		770		803,748
4.63%, 11/15/41		645		706,077
4.75%, 07/15/45		120		135,591
4.25%, 06/15/48		100		105,202
				9,232,704
Hotels, Restaurants & Leisure — 0.5%
McDonald’s Corp.:
2.75%, 12/09/20		85		85,149
4.88%, 12/09/45		748		809,092
4.45%, 03/01/47		455		463,780
4.45%, 09/01/48		475		487,523
				1,845,544
Household Durables — 0.2%
Newell Brands, Inc., 3.85%, 04/01/23		850		840,508
Industrial Conglomerates — 0.5%
General Electric Co.:
2.70%, 10/09/22		570		559,759
6.75%, 03/15/32		208		240,213
6.15%, 08/07/37		205		224,082
4.13%, 10/09/42		360		312,415
Tyco Electronics Group SA, 3.50%, 02/03/22		600		606,339
				1,942,808
Insurance — 1.3%
American International Group, Inc.:
6.40%, 12/15/20		485		512,885
3.30%, 03/01/21		220		221,377
Aon PLC, 4.00%, 11/27/23		1,760		1,828,318

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Insurance (continued)
Hartford Financial Services Group, Inc., 4.30%, 04/15/43	$	115	$	114,662
Marsh & McLennan Cos., Inc.:
2.35%, 03/06/20		1,000		996,683
3.75%, 03/14/26		600		617,931
Prudential Financial, Inc., 4.35%, 02/25/50		425		439,360
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (c)		90		123,705
				4,854,921
Internet & Direct Marketing Retail — 1.0%
Amazon.com, Inc.:
2.40%, 02/22/23		550		544,969
2.80%, 08/22/24		1,000		1,001,754
3.15%, 08/22/27		1,975		1,988,304
				3,535,027
IT Services — 0.9%
Fidelity National Information Services, Inc.:
3.63%, 10/15/20		1,590		1,606,712
3.50%, 04/15/23		330		335,477
5.00%, 10/15/25		119		128,216
4.75%, 05/15/48		240		238,194
Visa, Inc.:
2.80%, 12/14/22		510		515,226
3.15%, 12/14/25		620		629,420
				3,453,245
Life Sciences Tools & Services — 0.5%
Life Technologies Corp., 6.00%, 03/01/20		820		842,171
Thermo Fisher Scientific, Inc., 4.50%, 03/01/21		1,000		1,032,575
				1,874,746
Machinery — 0.2%
John Deere Capital Corp.:
2.65%, 06/24/24		215		213,034
3.45%, 03/07/29		455		467,706
				680,740
Media — 4.2%
Charter Communications Operating LLC/Charter Communications Operating Capital:
4.46%, 07/23/22		1,075		1,112,207
4.50%, 02/01/24		925		962,102
6.38%, 10/23/35		325		362,379
6.48%, 10/23/45		2,100		2,354,107
5.75%, 04/01/48		385		402,166
6.83%, 10/23/55		57		64,530
Comcast Corp.:
3.45%, 10/01/21		385		392,593
3.95%, 10/15/25		400		418,328
3.15%, 03/01/26		395		392,999
4.15%, 10/15/28		635		668,362
4.25%, 01/15/33		650		686,045
6.50%, 11/15/35		125		158,225
4.65%, 07/15/42		130		139,549
4.50%, 01/15/43		225		235,128
4.60%, 08/15/45		230		245,147
4.00%, 03/01/48		340		331,402
4.70%, 10/15/48		405		439,063
4.95%, 10/15/58		475		523,925
Cox Communications, Inc.:
3.35%, 09/15/26 (c)		460		448,249
3.50%, 08/15/27 (c)		605		591,936
Discovery Communications LLC:
2.95%, 03/20/23		345		341,722
3.80%, 03/13/24		500		504,061
5.20%, 09/20/47		200		194,372
Grupo Televisa SAB, 6.63%, 01/15/40		205		238,775
Interpublic Group of Cos., Inc.:
3.50%, 10/01/20		115		115,991

Security	Par (000)		Value
Media (continued)
3.75%, 10/01/21	$	85	$	86,477
4.65%, 10/01/28		695		723,541
5.40%, 10/01/48		115		116,345
Sky Ltd., 2.63%, 09/16/19 (c)		200		199,652
Time Warner Cable LLC, 4.50%, 09/15/42		137		119,742
Viacom, Inc.:
4.38%, 03/15/43		199		178,906
5.85%, 09/01/43		274		297,974
Walt Disney Co., 6.40%, 12/15/35 (c)		306		405,985
Warner Media LLC:
3.60%, 07/15/25		305		304,235
3.88%, 01/15/26		592		594,022
3.80%, 02/15/27		315		313,719
				15,663,961
Metals & Mining — 0.3%
Barrick Gold Corp., 5.25%, 04/01/42		200		216,276
Rio Tinto Finance USA Ltd.:
3.75%, 06/15/25		74		77,658
7.13%, 07/15/28		550		713,977
Southern Copper Corp., 5.88%, 04/23/45		225		252,169
				1,260,080
Multi-Utilities — 1.5%
CMS Energy Corp., 5.05%, 03/15/22		1,644		1,736,979
Dominion Energy Gas Holdings LLC, 2.50%, 12/15/19		845		842,637
NiSource, Inc., 5.25%, 02/15/43		440		483,297
Sempra Energy, 2.40%, 02/01/20		520		517,656
Virginia Electric & Power Co.:
6.00%, 01/15/36		900		1,097,759
4.45%, 02/15/44		350		371,433
4.60%, 12/01/48		320		353,217
WEC Energy Group, Inc., 3.38%, 06/15/21		235		237,776
				5,640,754
Oil, Gas & Consumable Fuels — 10.1%
Andeavor Logistics LP/Tesoro Logistics Finance Corp.:
6.25%, 10/15/22		336		345,240
3.50%, 12/01/22		70		70,707
4.25%, 12/01/27		180		180,868
BP Capital Markets America, Inc.:
3.59%, 04/14/27		250		253,970
4.23%, 11/06/28		530		566,911
BP Capital Markets PLC, 3.28%, 09/19/27		117		116,472
Canadian Natural Resources Ltd., 3.85%, 06/01/27		650		651,644
Cenovus Energy, Inc.:
4.25%, 04/15/27		425		417,797
5.40%, 06/15/47		64		63,371
Cimarex Energy Co.:
4.38%, 06/01/24		310		322,016
3.90%, 05/15/27		940		937,068
Concho Resources, Inc., 3.75%, 10/01/27		1,205		1,195,165
ConocoPhillips Co., 4.95%, 03/15/26		600		668,604
Continental Resources, Inc.:
4.50%, 04/15/23		1,330		1,376,792
3.80%, 06/01/24		725		729,742
4.90%, 06/01/44		530		538,714
Devon Energy Corp.:
3.25%, 05/15/22		731		737,960
5.00%, 06/15/45		204		213,648
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22		485		552,209
Encana Corp.:
6.50%, 05/15/19		750		751,833
6.63%, 08/15/37		500		589,929
Energy Transfer Operating LP:
5.20%, 02/01/22		5		5,251

40 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
6.50%, 02/01/42	$	560	$	622,083
5.30%, 04/15/47		36		35,527
6.25%, 04/15/49		320		358,427
Energy Transfer Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22		1,020		1,075,255
Enterprise Products Operating LLC:
5.70%, 02/15/42		435		511,772
4.45%, 02/15/43		854		857,588
4.25%, 02/15/48		155		151,066
4.80%, 02/01/49		220		234,019
Hess Corp., 5.80%, 04/01/47		534		555,798
Kerr-McGee Corp., 7.88%, 09/15/31		450		570,526
Kinder Morgan Energy Partners LP:
6.50%, 04/01/20		1,515		1,568,242
7.30%, 08/15/33		800		992,553
5.00%, 03/01/43		490		490,600
5.50%, 03/01/44		525		562,477
Kinder Morgan, Inc., 6.50%, 09/15/20		925		971,449
Marathon Oil Corp.:
2.80%, 11/01/22		1,200		1,185,026
4.40%, 07/15/27		735		756,217
Marathon Petroleum Corp., 4.75%, 09/15/44		381		379,304
MPLX LP:
4.88%, 06/01/25		1,260		1,341,166
4.70%, 04/15/48		595		568,412
5.50%, 02/15/49		225		239,998
Newfield Exploration Co., 5.75%, 01/30/22		875		933,721
Pioneer Natural Resources Co., 3.45%, 01/15/21		255		257,345
Plains All American Pipeline LP/PAA Finance Corp.:
2.60%, 12/15/19		900		896,832
4.90%, 02/15/45		300		286,413
Sabine Pass Liquefaction LLC:
5.63%, 02/01/21		750		779,004
5.75%, 05/15/24		425		468,363
Schlumberger Norge AS, 4.20%, 01/15/21 (c)		975		995,063
Shell International Finance BV, 3.50%, 11/13/23		1,585		1,638,544
Spectra Energy Partners LP, 3.38%, 10/15/26		880		865,477
Sunoco Logistics Partners Operations LP, 5.35%, 05/15/45		800		782,537
Texas Eastern Transmission LP, 2.80%, 10/15/22 (c)		750		739,029
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28		265		270,411
Western Midstream Operating LP, 5.38%, 06/01/21		1,025		1,062,498
Williams Cos., Inc.:
4.50%, 11/15/23		1,300		1,364,513
4.30%, 03/04/24		1,000		1,039,616
				37,692,782
Pharmaceuticals — 3.0%
Allergan Funding SCS:
3.45%, 03/15/22		2,835		2,860,529
3.80%, 03/15/25		650		658,473
Bayer U.S. Finance II LLC, 3.88%, 12/15/23 (c)		825		831,246
Eli Lilly & Co.:
3.95%, 03/15/49		195		199,553
4.15%, 03/15/59		145		149,161
Johnson & Johnson:
2.45%, 03/01/26		510		498,536
3.55%, 03/01/36		560		562,514
Merck & Co., Inc., 2.35%, 02/10/22		310		309,487
Mylan NV, 2.50%, 06/07/19		150		149,887
Shire Acquisitions Investments Ireland DAC:
2.40%, 09/23/21		1,310		1,293,834

Security	Par (000)		Value
Pharmaceuticals (continued)
2.88%, 09/23/23	$	1,445	$	1,426,051
Takeda Pharmaceutical Co. Ltd.:
3.80%, 11/26/20 (c)		260		263,771
5.00%, 11/26/28 (c)		425		460,724
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		514		502,797
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 07/21/21		415		395,078
Wyeth LLC, 5.95%, 04/01/37		425		540,739
				11,102,380
Road & Rail — 1.9%
Burlington Northern Santa Fe LLC:
5.75%, 05/01/40		500		620,299
4.15%, 12/15/48		385		405,092
CSX Corp.:
3.25%, 06/01/27		195		192,482
3.80%, 03/01/28		480		492,368
4.25%, 03/15/29		135		143,339
4.30%, 03/01/48		105		106,781
Kansas City Southern, 2.35%, 05/15/20		370		367,425
Norfolk Southern Corp.:
3.80%, 08/01/28		875		903,054
3.94%, 11/01/47		210		204,003
4.15%, 02/28/48		140		141,901
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 02/01/22 (c)		1,000		1,003,900
Ryder System, Inc., 2.88%, 09/01/20		1,000		1,000,965
Union Pacific Corp.:
4.05%, 03/01/46		355		350,645
4.50%, 09/10/48		680		721,731
4.80%, 09/10/58		350		382,084
				7,036,069
Semiconductors & Semiconductor Equipment — 1.5%
Analog Devices, Inc., 2.50%, 12/05/21		340		336,867
Applied Materials, Inc., 3.30%, 04/01/27		705		711,987
Broadcom Corp./Broadcom Cayman Finance Ltd.:
3.00%, 01/15/22		10		9,952
3.88%, 01/15/27		645		616,184
KLA-Tencor Corp.:
4.65%, 11/01/24		40		42,728
4.10%, 03/15/29		310		315,501
Lam Research Corp.:
3.75%, 03/15/26		90		91,630
4.00%, 03/15/29		255		260,249
NVIDIA Corp.:
2.20%, 09/16/21		490		483,372
3.20%, 09/16/26		1,185		1,180,136
NXP BV/NXP Funding LLC:
4.63%, 06/01/23 (c)		775		804,838
4.88%, 03/01/24 (c)		305		322,025
QUALCOMM, Inc., 4.30%, 05/20/47		435		415,121
				5,590,590
Software — 2.3%
Microsoft Corp.:
2.88%, 02/06/24		990		1,000,901
2.40%, 08/08/26		1,235		1,197,322
4.10%, 02/06/37		530		576,450
3.75%, 02/12/45		466		477,887
4.45%, 11/03/45		517		586,033
3.70%, 08/08/46		370		377,554
Oracle Corp.:
2.40%, 09/15/23		2,050		2,019,536

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Software (continued)
2.65%, 07/15/26	$	2,125	$	2,055,639
4.00%, 11/15/47		295		296,748
				8,588,070
Specialty Retail — 0.4%
Home Depot, Inc.:
4.40%, 03/15/45		215		231,679
4.25%, 04/01/46		335		354,415
4.50%, 12/06/48		335		370,860
Lowe’s Cos., Inc., 3.70%, 04/15/46		425		376,225
				1,333,179
Technology Hardware, Storage & Peripherals — 1.5%
Apple Inc.:
2.85%, 02/23/23		1,010		1,019,237
3.25%, 02/23/26		855		871,212
2.45%, 08/04/26		1,050		1,014,414
2.90%, 09/12/27		375		369,681
4.38%, 05/13/45		960		1,045,020
3.85%, 08/04/46		730		738,216
Dell International LLC/EMC Corp.:
4.42%, 06/15/21 (c)		45		46,168
8.35%, 07/15/46 (c)		405		488,821
Hewlett Packard Enterprise Co., 3.50%, 10/05/21		125		126,642
				5,719,411
Tobacco — 1.8%
Altria Group, Inc.:
3.80%, 02/14/24		270		274,803
2.63%, 09/16/26		210		193,827
4.80%, 02/14/29		1,835		1,891,710
4.50%, 05/02/43		75		67,420
5.95%, 02/14/49		285		305,821
BAT Capital Corp., 3.22%, 08/15/24		1,235		1,207,534
BAT International Finance PLC, 2.75%, 06/15/20 (c)		1,000		996,160
Reynolds American, Inc.:
4.00%, 06/12/22		730		745,574
4.85%, 09/15/23		220		232,064
5.70%, 08/15/35		550		570,623
7.00%, 08/04/41		350		389,885
				6,875,421
Trading Companies & Distributors — 0.7%
Air Lease Corp.:
2.50%, 03/01/21		905		897,867
3.38%, 06/01/21		540		542,516
Intercontinental Exchange, Inc., 4.25%, 09/21/48		320		335,322
International Lease Finance Corp., 5.88%, 04/01/19		885		885,000
				2,660,705
Wireless Telecommunication Services — 0.5%
America Movil SAB de CV, 5.00%, 03/30/20		468		476,424
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23 (c)		213		212,436
Vodafone Group PLC:
3.75%, 01/16/24		850		857,134
4.38%, 02/19/43		227		203,374
				1,749,368
Total Corporate Bonds — 86.7% (Cost: $316,947,111)				323,487,888

Security	Par (000)		Value
Foreign Agency Obligations — 1.4%
Mexico — 1.4%
Petroleos Mexicanos:
5.50%, 01/21/21	$	1,300	$	1,318,850
6.38%, 02/04/21		633		653,256
5.38%, 03/13/22		155		158,218
4.63%, 09/21/23		825		812,633
5.35%, 02/12/28		1,885		1,749,280
6.38%, 01/23/45		475		419,568
6.35%, 02/12/48		126		111,088
				5,222,893
Total Foreign Agency Obligations — 1.4% (Cost: $5,245,788)				5,222,893
Foreign Government Obligations — 2.0%
Colombia — 0.6%
Republic of Colombia:
4.50%, 03/15/29		1,050		1,110,375
5.63%, 02/26/44		413		465,245
5.00%, 06/15/45		510		534,990
				2,110,610
Indonesia — 0.4%
Republic of Indonesia:
4.13%, 01/15/25 (c)		350		358,517
3.50%, 01/11/28		975		947,202
				1,305,719
Mexico — 0.6%
United Mexican States:
4.15%, 03/28/27		943		958,088
4.75%, 03/08/44		753		740,764
4.60%, 02/10/48		600		580,500
				2,279,352
Peru — 0.1%
Republic of Peru, 5.63%, 11/18/50		290		373,085
Poland — 0.1%
Republic of Poland, 3.25%, 04/06/26		440		447,115
Uruguay — 0.2%
Republic of Uruguay:
4.38%, 10/27/27		315		331,853
5.10%, 06/18/50		375		400,313
				732,166
Total Foreign Government Obligations — 2.0% (Cost: $6,974,525)				7,248,047

42 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Taxable Municipal Bonds — 2.4%
Chicago O’Hare International Airport RB, 6.40%, 01/01/40	$	1,000	$	1,333,500
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45		1,075		1,568,038
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39		1,125		1,681,763
Port Authority of New York & New Jersey RB,
4.46%, 10/01/62		1,300		1,456,429
State of California GO:
7.30%, 10/01/39		510		737,985
7.63%, 03/01/40		1,125		1,704,015
University of California RB, 3.35%, 07/01/29		550		565,290
Total Taxable Municipal Bonds — 2.4% (Cost: $7,412,150)				9,047,020
U.S. Treasury Obligations — 2.0%
U.S. Treasury Bonds, 3.00%, 02/15/49		7,145		7,402,890
Total Long-Term Investments — 98.3% (Cost: $357,996,405)				366,705,849

Security	Shares		Value
Short-Term Securities — 1.1%
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.27% (f)		3,914,586	$	3,914,586
Total Short-Term Securities — 1.1% (Cost: $3,914,586)				3,914,586
Options Purchased — 0.0% (Cost: $173,230)				32,770
Total Investments — 99.4% (Cost: $362,084,221)				370,653,205
Other Assets Less Liabilities — 0.6%				2,275,052
Net Assets — 100.0%			$	372,928,257

^(a)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

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

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

^(d)  Variable rate security. Rate shown is the rate in effect as of period end.

^(e)  Step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate as of period end.

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

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Treasury Bonds (30 Year)		9		06/19/19	$	1,347	$	9,228
U.S. Treasury Notes (10 Year)		5		06/19/19		621		(43	)
U.S. Ultra Treasury Bonds		28		06/19/19		4,704		47,865
U.S. Treasury Notes (2 Year)		84		06/28/19		17,900		58,009
U.S. Treasury Notes (5 Year)		31		06/28/19		3,591		10,273
								125,332
Short Contracts
U.S. Ultra Treasury Notes (10 Year)		11		06/19/19		1,461		(26,798	)
							$	98,534

OTC Interest Rate Swaptions Purchased

Paid by the Fund

Received by the Fund

Notional Amount (000)

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration Date

Exercise Rate

Value

Put

30-Year Interest Rate Swap, 09/10/50

3.50

%

Semi-annual

3-month LIBOR, 2.60%

Quarterly

JPMorgan Chase Bank N.A.

09/08/20

3.50

%

$

4,760

$

32,770

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio

Centrally Cleared Credit Default Swaps — Buy Protection

Index	Financing Rate Paid by the Fund			Payment Frequency		Termination Date		Notional Amount (000)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.IG.31.V1		1.00	%		Quarterly		12/20/23	$	8,075	$	(160,196	)	$	(136,386	)	$	(23,810	)

OTC Credit Default Swaps — Sell Protection

Reference Obligation	Financing Rate Received by the Fund			Payment Frequency		Counterparty	Termination Date		Credit Rating(a)	Notional Amount (000)(b)		Value		Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
American Tower Corp.		1.00	%		Quarterly	Morgan Stanley & Co. International PLC		06/20/21	BBB-	$	1,875	$	1,055	$	(34,210	)	$	35,265
Boeing Co.		1.00	%		Quarterly	BNP Paribas S.A.		12/20/23	A	$	523		12,667		14,772			(2,105	)
												$	13,722	$	(19,438	)	$	33,160

^(a)  Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

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

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

	Swap Premiums Paid		Swap Premiums Received		Unrealized Appreciation		Unrealized Depreciation
Centrally Cleared Swaps(a)	$	—	$	136,386	$	—	$	23,810
OTC Swaps		14,772		34,210		35,265		2,105

^(a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

Derivative Financial Instruments Categorized by Risk Exposure

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

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized appreciation(a)	$	—	$	—	$	—	$	—	$	125,375	$	—	$	125,375
Options purchased	Investments at value — unaffiliated(b)		—		—		—		—		32,770		—		32,770
Swaps — OTC	Unrealized appreciation on OTC swaps; Swap premiums paid		—		50,037		—		—		—		—		50,037
		$	—	$	50,037	$	—	$	—	$	158,145	$	—	$	208,182
Liabilities — Derivative Financial Instruments
Futures contracts	Net unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	26,841	$	—	$	26,841
Swaps — OTC	Unrealized depreciation on OTC swaps; Swaps premiums received		—		36,315		—		—		—		—		36,315
Swaps — centrally cleared	Net unrealized depreciation(a)		—		23,810		—		—		—		—		23,810
		$	—	$	60,125	$	—	$	—	$	26,841	$	—	$	86,966

^(a)  Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

^(b)  Includes options purchased at value as reported in the Schedule of Investments.

44 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio

For the year ended March 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows

Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Futures contracts	$	—	$	—		$	—	$	—	$	1,113,744		$	—	$	1,113,744
Options purchased(a)		—		—			—		—		(77,442	)		—		(77,442	)
Swaps		—		(24,821	)		—		—		(291,357	)		—		(316,178	)
	$	—	$	(24,821	)	$	—	$	—	$	744,945		$	—	$	720,124
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	—	$	(703,859	)	$	—	$	(703,859	)
Options purchased(a)		—		—			—		—		(101,995	)		—		(101,995	)
Swaps		—		(36,731	)		—		—		58,993			—		22,262
	$	—	$	(36,731	)	$	—	$	—	$	(746,861	)	$	—	$	(783,592	)

^(a)  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	$	31,068,118
Average notional value of contracts — short		4,157,721
Options:
Average notional value of swaption contracts purchased		5,725,000
Credit default swaps:
Average notional value — buy protection		3,887,500
Average notional value — sell protection		2,624,500
Interest rate swaps:
Average notional value — pays fixed rate		887,500

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

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

	Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	7,686		$	32,230
Options(a)		32,770			—
Swaps — Centrally cleared		—			10,510
Swaps — OTC(b)		50,037			36,315
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	90,493		$	79,055
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(7,686	)		(42,740	)
Total derivative assets and liabilities subject to an MNA	$	82,807		$	36,315

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

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

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(b)			Net Amount of Derivative Assets(c)
BNP Paribas S.A.	$	14,772	$	(2,105	)	$	—	$	—		$	12,667
JPMorgan Chase Bank N.A.		32,770		—			—		(32,770	)		—
Morgan Stanley & Co., International PLC		35,265		(34,210	)		—		—			1,055
	$	82,807	$	(36,315	)	$	—	$	(32,770	)	$	13,722

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series C Portfolio

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
BNP Paribas S.A.	$	2,105	$	(2,105	)	$	—	$	—	$	—
Morgan Stanley & Co., International PLC		34,210		(34,210	)		—		—		—
	$	36,315	$	(36,315	)	$	—	$	—	$	—

^(a)  The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

^(b)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

^(c)  Net amount represents the net amount receivable from the counterparty in the event of default.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments(a)	$	—		$	366,705,849		$	—	$	366,705,849
Short-Term Securities		3,914,586			—			—		3,914,586
Options Purchased:
Interest rate contracts		—			32,770			—		32,770
	$	3,914,586		$	366,738,619		$	—	$	370,653,205
Derivative Financial Instruments(b)
Assets:
Credit contracts	$	—		$	35,265		$	—	$	35,265
Interest rate contracts		125,375			—			—		125,375
Liabilities:
Credit contracts		—			(25,915	)		—		(25,915	)
Interest rate contracts		(26,841	)		—			—		(26,841	)
	$	98,534		$	9,350		$	—	$	107,884

^(a)  See above Schedule of Investments for values in each security type.

^(b)  Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

During the year ended March 31, 2019, there were no transfers between levels.

See notes to financial statements.

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Schedule of Investments March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Municipal Bonds — 89.6%
Alabama — 1.2%
Alabama Special Care Facilities Financing Authority-Birmingham, Methodist Home for the Aging Project, Series 2015-1, RB, 5.50%, 06/01/30	$	500	$	555,495
County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Warrants, Series D, 6.50%, 10/01/53		1,000		1,183,070
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35		1,000		1,144,720
				2,883,285
Alaska — 0.3%
Northern Tobacco Securitization Corp., Refunding RB, Asset-Backed, Series A:
4.63%, 06/01/23		85		85,020
5.00%, 06/01/46		730		708,713
				793,733
Arizona — 2.2%
Arizona IDA:
RB, Academies Math & Science Project, Series B, 5.13%, 07/01/47 (a)		195		195,831
RB, Great Lakes Senior Living Communities LLC Project, First Tier, Series A, 4.50%, 01/01/49		750		760,230
RB, Great Lakes Senior Living Communities LLC Project, Second Tier, Series B, 5.13%, 01/01/54		280		293,020
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/26 (a)		300		326,166
Refunding RB, Basis Schools Projects, Series A, 5.13%, 07/01/37 (a)		605		638,457
Refunding RB, Odyssey Prepatory Academy Project, 5.50%, 07/01/52 (a)		485		486,872
City of Phoenix IDA:
RB, Legacy Traditional Schools Project, 5.00%, 07/01/46 (a)		570		587,773
Refunding RB, Basis Schools Projects, 5.00%, 07/01/45 (a)		140		144,690
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/35 (a)		45		47,108
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/46 (a)		50		51,647
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/35 (a)		300		310,548
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/45 (a)		100		102,634
La Paz County IDA, RB, Imagine Schools West Middle Project, 5.88%, 06/15/48 (a)		285		288,668
Maricopa County IDA, Refunding RB, HonorHealth Project, Series A, 4.13%, 09/01/38		230		246,247
Salt Verde Financial Corp., RB, 5.00%, 12/01/37		500		625,060
				5,104,951
Arkansas — 0.2%
Pulaski County Public Facilities Board, RB:
5.00%, 12/01/39		230		254,019
5.00%, 12/01/42		250		274,875
				528,894
California — 8.4%
California County Tobacco Securitization Agency:

Security	Par (000)		Value
California (continued)
RB, Asset-Backed, 5.45%, 06/01/28	$	500	$	507,550
RB, Asset-Backed, 5.60%, 06/01/36		425		425,259
RB, Asset-Backed, 5.70%, 06/01/46		760		760,281
Refunding RB, Asset-Backed, Merced County Project, Series A, 5.00%, 06/01/26		20		20,050
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.00%, 06/01/26		275		275,693
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.25%, 06/01/45		330		330,828
Refunding RB, Turbo, Golden Gate Tobacco Project, Series A, 5.00%, 06/01/36		300		300,000
California Educational Facilities Authority, RB, Stanford University Project, Series V-1,
5.00%, 05/01/49		1,175		1,636,011
California Infrastructure & Economic Development Bank, Refunding RB, Academy Motion Picture Art Project, 4.00%, 11/01/45		750		770,933
California Municipal Finance Authority:
RB, Sycamore Academy Project, 5.63%, 07/01/44 (a)		150		153,642
Refunding RB, Community Medical Centers Project, Series A, 5.00%, 02/01/46		650		719,011
Refunding RB, Emerson College Project, Series B, 5.00%, 01/01/37		630		721,709
California School Finance Authority, RB:
Alliance College-Ready Public Schools Project, 5.00%, 07/01/51 (a)		300		323,970
Alta Public Schools Project, Series A, 6.75%, 11/01/45 (a)		250		264,460
California Statewide Communities Development Authority:
RB, Loma Linda University Medical Center Project, Series A, 5.25%, 12/01/56 (a)		100		109,340
Refunding RB, (AGM), 5.00%, 11/15/49		500		559,880
Refunding RB, 899 Charleston Project, Series A, 5.25%, 11/01/44 (a)		250		267,678
California Statewide Financing Authority, RB, Asset-Backed:
Series A, 6.00%, 05/01/43		85		85,465
Series B, 5.63%, 05/01/29		80		80,545
Series B, 6.00%, 05/01/43		315		316,723
City of Irvine, Community Facilities District No. 2013-3, (Great Park) Improvement Area No. 1, Special Tax Bonds, 5.00%, 09/01/44		250		269,613
City of Los Angeles Department of Airports:
RB, AMT, Series C, 5.00%, 05/15/44		1,000		1,156,880
Refunding RB, AMT, Series A, 5.00%, 05/15/39		2,000		2,382,480
City of Roseville, CDF No. 1, Special Tax Bonds, 5.00%, 09/01/44		500		535,410
Golden State Tobacco Securitization Corp., Refunding RB, Series A-1, 5.00%, 06/01/47		955		950,215
Oakland Unified School District, GO, Series A, 5.00%, 08/01/40		350		392,098
Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45		500		583,035
San Francisco City & County Redevelopment Agency, Tax Allocation Bonds, Mission Bay’s Redevelopment Project, Sub-Series D, 0.00%, 08/01/31 (a)(b)		580		322,120
Santa Clara Unified School District, GO, 3.25%, 07/01/44		2,500		2,453,925

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

Schedule of Investments   (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
California (continued)
State of California, GO, 4.00%, 04/01/49	$	145	$	155,544
Tobacco Securitization Authority of Southern California, Refunding RB, Senior, Series A-1:
5.00%, 06/01/37		1,260		1,260,139
5.13%, 06/01/46		585		585,064
				19,675,551
Colorado — 3.6%
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47		1,000		1,008,070
Arista Metropolitan District, GO, Refunding, Improvement, County Unlimited and Special Project, Series A, 5.00%, 12/01/38		500		514,065
Centerra Metropolitan District No. 1, Tax Allocation Bonds, 5.00%, 12/01/47 (a)		155		159,410
Colorado Educational & Cultural Facilities Authority, Refunding RB, Charter School-University Project, 5.00%, 12/15/45		500		524,615
Colorado Health Facilities Authority:
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/40		815		878,065
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/45		610		655,012
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 07/01/39		400		403,260
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 02/01/41		200		207,108
Refunding RB, Catholic Health Initiatives Project, Series B-1, 5.00%, 07/01/38		215		230,084
Refunding RB, Catholic Health Initiatives Project, Series B-1, 4.00%, 07/01/39		640		652,902
Copperleaf Metropolitan District No. 2, GO, Refunding, 5.75%, 12/01/45		500		523,970
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40		950		1,036,450
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48		500		502,130
Serenity Ridge Metropolitan District No. 2, GO, Refunding, Series A, 5.13%, 12/01/37		550		567,721
Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48		500		500,945
				8,363,807
Connecticut — 0.4%
Connecticut Housing Finance Authority, Refunding RB, Sub-Series B-1, 4.00%, 05/15/45		335		346,239
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45 (a)		215		222,458
Mohegan Tribe of Indians of Connecticut:
RB, Series A, 6.75%, 02/01/45 (a)		98		104,958
Refunding RB, Priority District Project, Series C, 6.25%, 02/01/30 (a)		330		364,429
				1,038,084
Delaware — 0.2%
Delaware EDA, RB, Exempt Facility Indian River Power Project, 5.38%, 10/01/45		505		524,392
Florida — 4.1%
Babcock Ranch Community Independent Special District, Special Assessment RB, 4.25%, 11/01/21		325		329,384
Brevard County Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 04/01/39		500		546,950

Security	Par (000)		Value
Florida (continued)
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31	$	485	$	489,244
Capital Trust Agency, Inc., RB, University Bridge LLC Student Housing Project, Series A, 5.25%, 12/01/58 (a)		240		235,625
Celebration Pointe Community Development District, Special Assessment RB:
5.13%, 05/01/45		250		253,615
Alachua County Project, 4.00%, 05/01/22 (a)		100		101,324
Collier County Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45		1,000		1,081,470
Florida Development Finance Corp., RB:
AMT, Waste Pro USA, Inc. Project, 5.00%, 08/01/29 (a)(c)		470		488,358
Renaissance Charter School Project, Series A, 6.13%, 06/15/44		45		47,713
Florida Higher Educational Facilities Financial Authority, RB, Jacksonville University Project, Series A-1, 5.00%, 06/01/48 (a)		355		377,511
Greater Orlando Aviation Authority, Refunding RB, AMT, Special Purpose JetBlue Airway Project, 5.00%, 11/15/36		250		262,393
Hillsborough County Aviation Authority, Refunding RB, AMT, Tampa International Project, Series A, 5.00%, 10/01/44		350		387,055
Lakewood Ranch Stewardship District, Special Assessment RB:
Lakewood Centre & NW Sector Projects, 4.95%, 05/01/29 (a)		135		139,482
Lakewood Centre & NW Sector Projects, 5.50%, 05/01/39 (a)		135		142,051
Lakewood Centre & NW Sector Projects, 5.65%, 05/01/48 (a)		210		220,937
Lakewood Centre North Project, 4.88%, 05/01/35		250		254,930
Northeast Sector Project - Phase 1B, 4.75%, 05/01/29 (a)		180		186,530
Northeast Sector Project - Phase 1B, 5.30%, 05/01/39 (a)		205		213,440
Northeast Sector Project - Phase 1B, 5.45%, 05/01/48 (a)		365		383,918
Village of Lakewood Ranch Project, Series 2016,5.13%, 05/01/46		100		102,378
Miami Health Facilities Authority, Refunding RB, Miami Jewish Health Systems Obligation Project:
5.13%, 07/01/38		500		548,305
5.13%, 07/01/46		390		423,485
Orange County Health Facilities Authority:
RB, Presbyterian Retirement Community Project, 5.00%, 08/01/35		250		273,560
Refunding RB, Presbyterian Retirement Community Project, 5.00%, 08/01/41		695		753,262
Trout Creek Community Development District, Special Assessment RB:
4.50%, 05/01/23		250		252,527
5.00%, 05/01/28		240		246,830
5.63%, 05/01/45		250		259,155
West Villages Improvement District, Unit Development No. 7, Master Infrastructure, Special Assessment RB:
4.25%, 05/01/29 (a)(d)		100		99,996

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Schedule of Investments   (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Florida (continued)
4.75%, 05/01/39 (a)(d)	$	190	$	188,782
5.00%, 05/01/50 (a)(d)		290		289,991
				9,580,201
Georgia — 1.0%
Fulton County Development Authority, RB, Georgia Institute of Technology Project, 4.00%, 06/15/49 (d)		800		855,784
Gainesville & Hall County Hospital Authority, Refunding RB, North East Georgia Health Systems, Inc. Project, 5.50%, 08/15/54		250		289,023
Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49		950		1,155,770
				2,300,577
Idaho — 0.2%
Idaho Health Facilities Authority, RB, Trinity Health Credit Group Project, Series D, 4.00%, 12/01/43		540		574,544
Illinois — 6.7%
City of Chicago Board of Education, GO:
Refunding, Series B, 4.00%, 12/01/35		230		220,517
Refunding, Series C, 5.00%, 12/01/25		225		243,090
Refunding, Series C, 5.00%, 12/01/34		625		671,563
Refunding, Series D, 5.00%, 12/01/25		290		313,316
Refunding, Series F, 5.00%, 12/01/22		215		227,827
Series A, 5.00%, 12/01/41		200		203,988
Series A, 5.00%, 12/01/42		570		584,849
Series D, 5.00%, 12/01/46		675		698,251
Series H, 5.00%, 12/01/46		625		655,256
City of Chicago, GO:
Refunding, Series A, 6.00%, 01/01/38		275		313,720
Series A, 5.00%, 01/01/44		195		206,780
Series A, 5.50%, 01/01/49		70		77,236
City of Chicago, O’Hare International Airport Revenue:
Refunding RB, Senior Lien, Series D, 5.00%, 01/01/39		260		284,970
Refunding RB, Series D, 5.00%, 01/01/46		1,000		1,112,270
City of Chicago, Wastewater Transmission Revenue, Refunding RB, Second Lien, Series C, 5.00%, 01/01/39		500		541,405
Cook County Community College District No. 508, GO, 5.25%, 12/01/30		920		969,238
Illinois Finance Authority, Refunding RB:
Chicago LLC University of Illinois at Chicago Project, 5.00%, 02/15/47		900		981,486
Presence Health Network Project, Series C, 5.00%, 02/15/41		650		739,551
Senior, Rogers Park Montessori School Project, 6.13%, 02/01/45		150		157,608
Metropolitan Pier & Exposition Authority:
RB, McCormick Place Expansion Project, Series 2015A, 5.50%, 06/15/53		390		421,691
Refunding RB, McCormick Place Expansion Project, Series B, 5.00%, 06/15/52		80		81,870
Refunding RB, McCormick Project, Series B-2, 5.00%, 06/15/50		600		606,360
Refunding RB, McCormick Project, Series B-2, 5.20%, 06/15/50		405		410,233
State of Illinois, GO:
5.00%, 01/01/28		1,005		1,093,329
5.00%, 04/01/31		1,000		1,051,880
5.50%, 07/01/33		365		389,090
5.00%, 03/01/37		300		306,618
5.00%, 02/01/39		1,000		1,034,870

Security	Par (000)		Value
Illinois (continued)
5.00%, 05/01/39	$	275	$	284,919
Refunding, Series B, 5.00%, 10/01/27		400		443,460
Series A, 5.00%, 01/01/33		310		317,831
				15,645,072
Indiana — 1.4%
City of Vincennes, Refunding RB, Southwest Industrial Regional Youth Village Factory Project, 6.25%, 01/01/29 (a)		435		444,318
County of Allen RB, StoryPoint Fort Wayne Project:
6.63%, 01/15/34 (a)		100		107,037
6.75%, 01/15/43 (a)		395		420,233
6.88%, 01/15/52 (a)		380		405,015
Indiana Finance Authority:
RB, AMT, Green Bonds, Resource Polyflow Indiana Project, 7.00%, 03/01/39 (a)		220		229,937
RB, AMT, Private Activity Bond, Ohio River Bridges East End Crossing Project, 5.25%, 01/01/51		1,000		1,073,300
Refunding RB, Marquette Project, 4.75%, 03/01/32		270		275,449
Town of Chesterton RB, StoryPoint Chesterton Project, Series A, 6.38%, 01/15/51 (a)		265		274,744
				3,230,033
Iowa — 1.9%
Iowa Finance Authority:
RB, Lifespace Communities Project, Series A, 5.00%, 05/15/48		940		998,271
Refunding RB, Iowa Fertilizer Co. Project, 3.13%, 12/01/22		795		799,865
Refunding RB, Iowa Fertilizer Co. Project, 5.25%, 12/01/25		310		334,112
Refunding RB, Iowa Fertilizer Co. Project, Series A, 5.25%, 12/01/50 (c)		400		421,792
Refunding RB, Iowa Fertilizer Co. Project, Series B, 5.25%, 12/01/50 (c)		750		803,550
Refunding RB, Unitypoint Health Project, Series E, 4.00%, 08/15/46		570		585,196
Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.50%, 06/01/42		485		485,034
				4,427,820
Kentucky — 0.2%
Kentucky Economic Development Finance Authority, Refunding RB, Owensboro Health Project, Series A, 5.25%, 06/01/41		500		555,395
Louisiana — 0.2%
Juban Crossing Economic Development District, Refunding RB, General Infrastructure Projects, Series C, 7.00%, 09/15/44 (a)		475		484,073
Maryland — 1.0%
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, Villages at 2 Rivers Project, 5.25%, 07/01/44		250		253,650
City of Baltimore, Refunding RB, Baltimore Research Park Project, Series A, 4.00%, 09/01/27		100		103,879
County of Frederick, RB, Jefferson Technology Park Project, Series B, 7.13%, 07/01/43 (a)		150		151,038
Maryland Community Development Administration, Refunding RB, Series A, 4.10%, 09/01/38		580		612,184

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Maryland (continued)
Maryland Economic Development Corp:
RB, AMT, Green Bonds, Purple Line Light Rail Project, 5.00%, 03/31/51	$	620	$	670,226
Refunding RB, University of Maryland Project, 5.00%, 07/01/39		100		107,244
Maryland Health & Higher Educational Facilities Authority, Refunding RB, Meritus Medical Center Project, 5.00%, 07/01/40		500		548,985
				2,447,206
Massachusetts — 3.2%
Massachusetts Development Finance Agency:
RB, Baystate Medical Center Project, Series N, 5.00%, 07/01/44		500		546,965
RB, Emerson College Project, 5.00%, 01/01/43		500		561,055
RB, Emerson College Project, 5.00%, 01/01/48		1,000		1,117,820
RB, Emerson College Project, Series A, 5.00%, 01/01/47		500		553,550
RB, Green Bonds, Boston Medical Center Project, 5.00%, 07/01/44		180		195,986
RB, University of Massachusetts Boston Student Housing Project, 5.00%, 10/01/48		1,000		1,080,340
RB, University of Massachusetts Darthmouth Student Housing Project, 5.00%, 10/01/54		710		770,322
Refunding RB, Emmanuel College Project, Series A, 5.00%, 10/01/35		750		841,830
Refunding RB, Series A, 4.00%, 07/01/44		1,250		1,273,338
Massachusetts Housing Finance Agency, Refunding RB, AMT, Series A, 4.45%, 12/01/42		640		662,854
				7,604,060
Michigan — 1.9%
City of Detroit, GO:
5.00%, 04/01/34		90		97,046
5.00%, 04/01/35		90		96,747
5.00%, 04/01/36		65		69,631
5.00%, 04/01/37		100		106,630
5.00%, 04/01/38		45		47,911
Michigan Finance Authority, Refunding RB, AMT, Senior Lien, Detroit Water & Sewerage Department Project, 5.00%, 07/01/44		250		267,200
Michigan Housing Development Authority, RB, Series A, 3.65%, 12/01/39		1,820		1,859,057
Michigan Tobacco Settlement Finance Authority, RB, Turbo, Series A, 6.88%, 06/01/42		500		500,140
Wayne County Airport Authority:
RB, AMT, Detroit Metropolitan Wayne County Airport Project, 5.00%, 12/01/39		250		278,590
RB, Detroit Metropolitan Wayne County Airport Project, Series B, 5.00%, 12/01/44		500		559,680
RB, Series D, 5.00%, 12/01/40		500		569,335
				4,451,967
Minnesota — 1.5%
City of Brooklyn Park, RB, Athlos Leadership Academy Project, 5.25%, 07/01/30		350		363,167
City of Deephaven, Refunding RB, Eagle Ridge Academy Project, Series 2015A, 5.25%, 07/01/37		605		646,055
Duluth EDA, Refunding RB, Essentia Health Obligated Group Project, Series A:

Security	Par (000)		Value
Minnesota (continued)
4.25%, 02/15/48	$	1,265	$	1,326,846
5.25%, 02/15/58		425		481,440
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB:
Great River School Project, Series A, 5.50%, 07/01/38 (a)		240		252,984
Hmong College Prep Academy Project, Series E, 5.50%, 09/01/36		310		335,435
				3,405,927
Missouri — 1.0%
City of St. Louis IDA, Refunding RB, Ballpark Village Development Project, Series A:
4.38%, 11/15/35		215		221,381
4.75%, 11/15/47		240		247,730
Kansas City IDA, Refunding RB, Kansas City United Methodist Church Project, 5.75%, 11/15/36 (a)		220		191,981
Kansas City Land Clearance Redevelopment Authority, Tax Allocation Bonds, Convention Center Hotel Project, Series B:
4.38%, 02/01/31 (a)		170		174,187
5.00%, 02/01/40 (a)		260		271,211
Plaza at Noah’s Ark Community Improvement District, Refunding Tax Allocation Bonds, 5.00%, 05/01/35		400		401,756
Saint Louis County IDA, Refunding RB, Friendship Village St. Louis Project, 5.00%, 09/01/37		695		744,213
				2,252,459
Montana — 1.5%
City of Missoula, Water System Revenue, RB, Series A, 4.00%, 07/01/44		3,400		3,633,308
Nebraska — 0.2%
Douglas County Hospital Authority No. 3, Refunding RB, Health Facilities NE Methodist Hospital Project, 5.00%, 11/01/45		500		545,355
Nevada — 2.2%
City of Reno, Refunding RB, (AGM), Series A-1, 4.00%, 06/01/46		5,000		5,192,000
New Hampshire — 0.2%
New Hampshire Business Finance Authority, Refunding RB:
AMT, Resource Recovery Covanta Project, Series C, 4.88%, 11/01/42 (a)		130		132,562
Resource Recovery Covanta Project, Series B, 4.63%, 11/01/42 (a)		320		323,856
				456,418
New Jersey — 7.3%
Casino Reinvestment Development Authority, Refunding RB:
5.25%, 11/01/39		250		269,238
5.25%, 11/01/44		560		602,218
Essex County Improvement Authority, RB, AMT, 5.25%, 07/01/45 (a)		250		251,718
New Jersey EDA:
RB, AMT, Continental Airlines, Inc. Project, 4.88%, 09/15/19		205		207,239
RB, AMT, Kapkowski Road Landfill Project, Series 1998 B-MB, 6.50%, 04/01/31		100		114,336
RB, AMT, Private Activity - The Goethals Project, 5.38%, 01/01/43		500		551,920
RB, Provident Group-Kean Properties Project, 5.00%, 07/01/32		200		219,340

50 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments   (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
New Jersey (continued)
RB, Series WW, 5.25%, 06/15/40	$	1,000	$	1,083,290
Refunding RB, 5.00%, 06/15/23		200		217,140
Refunding RB, (AGM), Provident Group-Montclair Project, 5.00%, 06/01/37		200		228,180
Refunding RB, Charter, Greater Brunswick Project, Series A, 6.00%, 08/01/49 (a)		250		254,763
New Jersey Health Care Facilities Financing Authority, RB, Inspira Health Obligated Group Project, Series A, 4.00%, 07/01/47		540		565,029
New Jersey Health Care Facilities Financing Authority, Refunding RB:
Barnabas Health Obligated Project, 4.25%, 07/01/44		395		410,824
Barnabas Health Obligated Project, 5.00%, 07/01/44		220		246,440
New Jersey Transportation Trust Fund Authority, RB, Transportation Program:
Series AA, 5.00%, 06/15/38		325		339,034
Series AA, 5.25%, 06/15/41		205		222,366
Series AA, 5.25%, 06/15/43		1,615		1,800,386
Series AA, 5.00%, 06/15/44		30		31,788
Series AA, 5.00%, 06/15/44		30		31,411
Series AA, 5.00%, 06/15/46		450		478,643
Series B, 5.00%, 06/15/42		280		289,643
New Jersey Turnpike Authority, RB, Series A:
5.00%, 01/01/43		370		401,372
4.00%, 01/01/48		2,000		2,122,860
Tobacco Settlement Financing Corp., Refunding RB:
Series A, 5.00%, 06/01/35		375		425,362
Series A, 5.00%, 06/01/46		1,100		1,195,964
Sub-Series B, 5.00%, 06/01/46		4,335		4,572,688
				17,133,192
New Mexico — 0.1%
New Mexico Hospital Equipment Loan Council, Refunding RB, Gerald Champion Regional Medical Center Project, 5.50%, 07/01/42		325		349,229
New York — 7.6%
Build NYC Resource Corp., Refunding RB, AMT, Pratt Paper, Inc. Project, 5.00%, 01/01/35 (a)		285		307,236
Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 5.00%, 06/01/48		1,000		1,010,810
County of Cattaraugus, RB, St. Bonaventure University Project, 5.00%, 05/01/44		195		212,035
Dutchess County Industrial Development Agency, Refunding RB, Bard College Civic Facility Project, Series A-1, 5.00%, 08/01/46		530		530,005
Erie Tobacco Asset Securitization Corp., Refunding RB, Asset Backed, Series A, 5.00%, 06/01/45		495		494,985
Hempstead Town Local Development Corp., RB, Molloy College Project, 5.00%, 07/01/44		500		536,665
MTA Hudson Rail Yards Trust Obligations, RB, Series A, 5.00%, 11/15/56		955		1,039,823
New York Counties Tobacco Trust IV, Refunding RB:
Series A, 5.00%, 06/01/42		915		909,968
Series A, 5.00%, 06/01/45		225		222,716
Turbo, Series A, 6.25%, 06/01/41 (a)		550		565,290
New York Counties Tobacco Trust VI, Refunding RB:
5.00%, 06/01/45		835		879,606

Security	Par (000)		Value
New York (continued)
5.00%, 06/01/51	$	420	$	430,130
New York Liberty Development Corp.:
Refunding RB, Class 1-3 World Trade Center Project, 5.00%, 11/15/44 (a)		1,000		1,065,900
Refunding RB, Class 2-3 World Trade Center Project, 5.38%, 11/15/40 (a)		150		162,162
Refunding RB, Class 3-3 World Trade Center Project, 7.25%, 11/15/44 (a)		100		118,080
New York State Dormitory Authority, Refunding RB, Orange Regional Medical Center Project, 5.00%, 12/01/35 (a)		215		244,234
New York State Housing Finance Agency, RB, Affordable Housing Project:
Series D, 3.25%, 11/01/34		1,000		1,017,980
Series E, 3.25%, 11/01/34		1,100		1,119,778
New York State Urban Development Corp., RB, State Personal Income Tax General Purpose Project, Series A, 4.00%, 03/15/47		1,000		1,075,180
New York Transportation Development Corp.:
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 07/01/34		500		550,290
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 07/01/41		1,470		1,596,905
Tompkins County Development Corp., Refunding RB, Kendal at Ithaca, Inc. Project, 5.00%, 07/01/44		385		411,326
TSASC, Inc., Refunding RB, Turbo, Sub-Series B, 5.00%, 06/01/48		270		270,270
Westchester County Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44		335		363,172
Westchester County Local Development Corp., Refunding RB, Kendal on the Hudson Project, 5.00%, 01/01/34		1,080		1,141,625
Westchester Tobacco Asset Securitization, Refunding RB, Sub-Series C:
4.00%, 06/01/42		970		942,801
5.13%, 06/01/51		500		511,855
				17,730,827
North Carolina — 0.8%
North Carolina Department of Transportation, RB, AMT, Hot Lanes Project, Series 1-77, 5.00%, 06/30/54		115		123,128
North Carolina Housing Finance Agency, RB, 3.63%, 07/01/49		1,165		1,163,567
North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Galloway Ridge Project, Series A, 5.25%, 01/01/41		250		258,890
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40 (a)		250		249,833
				1,795,418
Ohio — 1.6%
Buckeye Tobacco Settlement Financing Authority, RB, Turbo, Asset-Backed, Senior, Series A-2:
5.75%, 06/01/34		200		193,004
5.88%, 06/01/47		1,775		1,730,732
Butler County Port Authority, RB, Storypoint Fairfield Project, 6.38%, 01/15/43 (a)		435		455,436

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Ohio (continued)
County of Franklin, RB, OPRS Communities Obligation Group Project, Series 2013A, 6.13%, 07/01/40	$	585	$	633,894
County of Hamilton, RB, Improvement, Life Enriching Community Project, 5.00%, 01/01/46		190		198,497
Port of Greater Cincinnati Development Authority, RB, Colonial Village/Athens Garden Project, 5.00%, 12/01/40		335		255,317
State of Ohio, RB, AMT, Portsmouth Bypass Project, 5.00%, 06/30/53		370		393,610
				3,860,490
Oklahoma — 2.2%
Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37		1,250		1,409,912
Oklahoma Development Finance Authority, RB, OU Medicine Project, Series B:
5.00%, 08/15/38		975		1,095,393
5.25%, 08/15/43		875		999,180
Tulsa Airports Improvement Trust, Refunding RB, AMT, American Airlines Project, 5.00%, 06/01/35 (c)		615		675,098
Tulsa County Industrial Authority, Refunding RB, Montereau, Inc. Project, 5.25%, 11/15/45		965		1,072,028
				5,251,611
Oregon — 0.3%
Clackamas County School District No. 12 North Clackamas, GO, Series A, 0.00%, 06/15/38 (b)		275		130,430
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, Mirabella at South Waterfront Project, 5.50%, 10/01/49		150		161,388
Polk County Hospital Facility Authority, RB, Dallas Retirement Village Project, Series A, 5.38%, 07/01/45		80		83,460
Yamhill County Hospital Authority, Refunding RB, Friendsview Retirement Community Project, Series 2016A, 5.00%, 11/15/36		300		322,431
				697,709
Pennsylvania — 4.0%
Allentown Neighborhood Improvement Zone Development Authority, RB, City Center Project, 5.00%, 05/01/42 (a)		295		317,296
Lancaster County Hospital Authority, Refunding RB, St. Anne’s Retirement Community Project, 5.00%, 04/01/33		250		255,013
Montgomery County Higher Education & Health Authority, Refunding RB, Thomas Jefferson University Project, Series A, 4.00%, 09/01/49		1,255		1,296,290
Montgomery County IDA:
Refunding RB, Albert Einstein Healthcare Project, 5.25%, 01/15/45		500		544,730
Refunding RB, Whitemarsh Continuing Care Retirement Community Project, 5.38%, 01/01/50		170		172,120
Moon IDA, Refunding RB, Baptist Homes Society Project, 6.00%, 07/01/45		250		265,868
Northampton County IDA, Tax Allocation Bonds, Route 33 Project, 7.00%, 07/01/32		110		123,632
Pennsylvania Economic Development Financing Authority:
RB, AMT, The Pennsylvania Rapid Bridge Replacement Project, 5.00%, 06/30/42		1,625		1,774,987

Security	Par (000)		Value
Pennsylvania (continued)
Refunding RB, AMT, National Gypson Co. Project, 5.50%, 11/01/44	$	500	$	525,170
Pennsylvania Higher Educational Facilities Authority, Refunding RB, Widener University Project, 5.00%, 07/15/38		250		263,705
Pennsylvania Housing Finance Agency, RB, AMT, State Single Family Housing Project, Series 123B, 4.00%, 10/01/42		1,170		1,202,889
Pennsylvania Turnpike Commission:
RB, Series B, 5.25%, 12/01/44		1,000		1,110,610
RB, Sub-Series A, 5.50%, 12/01/42		660		773,507
Philadelphia Authority for Industrial Development, Refunding RB, First Series 2015, 5.00%, 04/01/45		500		557,410
Philadelphia Hospitals & Higher Education Facilities Authority, RB, Temple University Health System Project, Series A, 5.63%, 07/01/42		130		139,256
				9,322,483
Puerto Rico — 3.4%
Children’s Trust Fund, Refunding RB, Asset-Backed:
5.50%, 05/15/39		160		161,669
5.63%, 05/15/43		375		378,986
Commonwealth of Puerto Rico:
GO, Refunding, Series A, 5.50%, 07/01/32 (e)(f)		110		71,225
GO, Refunding, Series A, 8.00%, 07/01/35 (e)(f)		270		140,062
GO, Refunding, Series A, 5.50%, 07/01/39 (e)(f)		115		60,662
GO, Series A, 6.00%, 07/01/38 (e)(f)		160		103,600
GO, Series B, 5.25%, 07/01/17 (e)(f)		30		19,275
Puerto Rico Commonwealth Aqueduct & Sewer Authority:
RB, Senior Lien, Series A, 5.75%, 07/01/37		1,070		1,067,325
RB, Senior Lien, Series A, 5.25%, 07/01/42		360		353,700
Refunding RB, Senior Lien, Series A, 6.00%, 07/01/38		1,505		1,506,881
Refunding RB, Senior Lien, Series A, 6.00%, 07/01/44		485		485,606
Puerto Rico Electric Power Authority:
RB, Series A, 5.00%, 07/01/29 (e)(f)		385		270,944
RB, Series A, 7.00%, 07/01/33 (e)(f)		65		47,450
RB, Series A, 5.00%, 07/01/42 (e)(f)		370		260,387
RB, Series A, 7.00%, 07/01/43 (e)(f)		65		47,450
RB, Series TT, 5.00%, 07/01/25 (e)(f)		45		31,669
RB, Series WW, 5.38%, 07/01/24 (e)(f)		65		46,069
RB, Series XX, 5.25%, 07/01/40 (e)(f)		150		106,125
Refunding RB, Series AAA, 5.25%, 07/01/28 (e)(f)		65		45,987
Refunding RB, Series ZZ, 5.00%, 07/01/28 (e)(f)		75		52,781
Puerto Rico Sales Tax Financing Corp., RB:
Series A-1, 0.00%, 07/01/24 (b)		28		23,510
Series A-1, 0.00%, 07/01/27 (b)		47		35,045
Series A-1, 0.00%, 07/01/29 (b)		46		30,501
Series A-1, 0.00%, 07/01/31 (b)		59		34,903
Series A-1, 0.00%, 07/01/33 (b)		67		35,556
Series A-1, 4.50%, 07/01/34		49		49,540
Series A-1, 4.55%, 07/01/40		25		24,600
Series A-1, 0.00%, 07/01/46 (b)		636		136,804
Series A-1, 0.00%, 07/01/51 (b)		518		81,958
Series A-1, 4.75%, 07/01/53		1,210		1,147,286
Series A-1, 5.00%, 07/01/58		863		852,687

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Schedule of Investments   (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Puerto Rico (continued)
Series A-2, 4.55%, 07/01/40	$	252	$	222,393
Series A-2, 4.75%, 07/01/53		7		6,003
Series A-2, 5.00%, 07/01/58		101		88,376
				8,027,015
Rhode Island — 1.4%
Rhode Island Student Loan Authority, Refunding RB, AMT, Senior, Series A, 3.50%, 12/01/34		415		428,819
Tobacco Settlement Financing Corp., Refunding RB:
Series A, 5.00%, 06/01/35		400		426,588
Series A, 5.00%, 06/01/40		600		630,120
Series B, 4.50%, 06/01/45		750		729,712
Series B, 5.00%, 06/01/50		1,040		1,059,250
				3,274,489
South Carolina — 3.6%
South Carolina Jobs EDA, Refunding RB:
Anmed Health Project, 5.00%, 02/01/36		1,045		1,157,567
Anmed Health Project, 5.00%, 02/01/38		1,000		1,100,270
Prisma Health Obligated Group Project, Series A, 5.00%, 05/01/43		730		830,251
Woodlands at Furman Project, 4.00%, 11/15/27		185		186,793
South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/55		500		553,970
South Carolina Public Service Authority:
RB, Obligations, Series A, 5.50%, 12/01/54		1,240		1,371,614
RB, Series E, 5.25%, 12/01/55		1,930		2,152,182
Refunding RB, Obligations, Series B, 4.00%, 12/01/56		200		204,632
Refunding RB, Obligations, Series C, 5.00%, 12/01/46		140		153,311
Refunding RB, Santee Cooper Project, Series B, 5.13%, 12/01/43		390		423,259
Refunding RB, Series A, 5.00%, 12/01/50		190		208,880
				8,342,729
Tennessee — 1.4%
Chattanooga-Hamilton County Hospital Authority, Refunding RB, 5.00%, 10/01/44		250		270,918
Knox County Health Educational & Housing Facility Board, Refunding RB, Facilities Board-University Health Project, 5.00%, 04/01/36		690		762,809
Memphis-Shelby County Industrial Development Board, Refunding Tax Allocation Bonds, Senior Tax Increment, Graceland Project:
5.50%, 07/01/37		360		386,600
5.63%, 01/01/46		470		500,724
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Authority, Refunding RB, Lipscomb University Project, Series A:
4.00%, 10/01/49		220		224,734
5.25%, 10/01/58		1,095		1,256,907
				3,402,692
Texas — 5.0%
Bexar County Health Facilities Development Corp., Refunding RB, Army Retirement Residence Foundation Project, 5.00%, 07/15/26		410		457,732
Central Texas Regional Mobility Authority, RB, Senior Lien:
6.25%, 01/01/46		175		188,739
Series A, 5.00%, 01/01/45		500		552,790

Security	Par (000)		Value
Texas (continued)
Central Texas Turnpike System, Refunding RB, Series C:
5.00%, 08/15/37	$	200	$	219,630
5.00%, 08/15/42		250		272,465
City of Garland, Electric Utility System Revenue, Refunding RB, 4.00%, 03/01/49		2,400		2,539,896
City of Houston Airport System:
RB, AMT, Series B-1, 5.00%, 07/15/35		100		109,198
Refunding RB, AMT, Series C, 5.00%, 07/15/20		140		144,284
Refunding RB, AMT, United Airlines, Inc. Project, 4.75%, 07/01/24		500		541,045
Refunding RB, AMT, United Airlines, Inc. Project, 5.00%, 07/01/29		500		552,325
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45		500		560,135
County of Hays, Special Assessment RB, La Cima Import District Project, 7.00%, 09/15/45		250		250,500
Fort Bend County Industrial Development Corp., RB, NRG Energy, Inc. Project, Series B, 4.75%, 11/01/42		465		477,295
Mission Economic Development Corp., Refunding RB, AMT, Senior Lien, Natgasoline Project, 4.63%, 10/01/31 (a)		285		296,067
New Hope Cultural Education Facilities Corp, Refunding RB, Jubilee Academic Center Project, Series A, 4.00%, 08/15/26 (a)		775		774,969
Newark Higher Education Finance Corp., RB:
Austin Achieve Public Schools, Inc. Project, 5.00%, 06/15/38		125		127,434
Christian Schools, Inc. Project, Series A, 5.50%, 08/15/35 (a)		300		318,312
North Texas Tollway Authority, Refunding RB: 4.25%, 01/01/49		1,675		1,777,560
Series B, 5.00%, 01/01/40		250		272,515
Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Trinity Terrace Project, 5.00%, 10/01/49		250		264,547
Texas Transportation Commission, RB, First Tier Toll Revenue, State Highway No. 249 System Project, Series A:
0.00%, 08/01/40 (b)		1,000		389,740
0.00%, 08/01/42 (b)		655		227,927
5.00%, 08/01/57		315		352,053
				11,667,158
Utah — 0.5%
Utah Charter School Finance Authority RB:
Early Light Academy Project, 5.13%, 07/15/49 (a)		545		548,564
Spectrum Academy Project, 6.00%, 04/15/45 (a)		500		508,970
				1,057,534
Virginia — 2.2%
Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A:
5.00%, 03/01/26		120		124,183
5.13%, 03/01/31		230		240,877
Cherry Hill Community Development Authority, Special Assessment RB, Potomac Shores Project, 5.40%, 03/01/45 (a)		250		258,413
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51		810		896,905
Fairfax County EDA, RB, Vinson Hall LLC Project, Series A, 5.00%, 12/01/42		400		428,440

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Virginia (continued)
Lexington IDA, RB, Kendal at Lexington Project, Series A, 5.00%, 01/01/48	$	330	$	352,529
Lower Magnolia Green Community Development Authority, Special Assessment RB:
5.00%, 03/01/35 (a)		240		244,291
5.00%, 03/01/45 (a)		100		101,220
Norfolk Redevelopment & Housing Authority, RB, Norfolk Retirement Community Harbors Edge Project, Series A:
4.00%, 01/01/29		250		255,727
5.00%, 01/01/34		190		203,750
4.38%, 01/01/39		280		277,970
5.00%, 01/01/49		365		377,786
Tobacco Settlement Financing Corp., RB, Senior, Series B1, 5.00%, 06/01/47		1,215		1,199,363
Virginia College Building Authority, RB, Green Bonds, Marymount University Project, 5.00%, 07/01/45 (a)		250		260,735
				5,222,189
Washington — 1.5%
Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A, 5.50%, 09/01/42		250		255,280
King County Public Hospital District No. 4, GO, Refunding:
Improvement, Snoqualmie Valley Hospital Project, 7.00%, 12/01/40		200		206,900
Series A, 5.00%, 12/01/30		200		207,094
Port of Seattle RB, AMT, Series C, 5.00%, 04/01/40		250		275,872
Washington Housing Finance Commission, Refunding RB:
Horizon House Project, 5.00%, 01/01/43 (a)		1,100		1,203,521
Horizon House Project, 5.00%, 01/01/48 (a)		1,000		1,091,370
Skyline 1st Hill Project, 6.00%, 01/01/45 (a)		210		213,028
				3,453,065
West Virginia — 0.2%
City of Martinsburg, RB, Kings Daughters Apartments Project, Series A-1, 4.63%, 12/01/43		430		435,495
Wisconsin — 1.6%
Public Finance Authority:
RB, Alabama Proton Theray Center Project, Series A, 6.25%, 10/01/31 (a)		195		209,323
RB, Alabama Proton Theray Center Project, Series A, 7.00%, 10/01/47 (a)		195		210,454
RB, Delray Beach Radiation Therapy Project, 6.85%, 11/01/46 (a)		275		296,477
RB, Delray Beach Radiation Therapy Project, 7.00%, 11/01/46 (a)		155		168,628
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.00%, 12/01/45		340		349,279
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.15%, 12/01/50		210		216,308
RB, Limited American Prep Academy Project, 5.38%, 07/15/47 (a)		335		352,695
RB, Senior Minnesota College of Osteopathic Medicine Project, Series A-1, 5.50%, 12/01/48 (a)		270		279,177
RB, Voyager Foundation, Inc. Project, Series A, 5.13%, 10/01/45		150		154,716

Security	Par (000)		Value
Wisconsin (continued)
Refunding RB, AMT, Senior Obligation Group Project, Series B, 5.00%, 07/01/42	$	750	$	794,302
Refunding RB, Celanese Project, Series D, 4.05%, 11/01/30		100		102,098
Refunding RB, Wingate University Project, Series A, 5.25%, 10/01/48		435		482,711
Wisconsin Housing & EDA, RB, WHPC Madison Pool Project, Series A, 4.55%, 07/01/37		165		176,321
				3,792,489
Total Municipal Bonds — 89.6% (Cost: $202,239,374)				210,514,926
Municipal Bonds Transferred to Tender Option Bond Trusts — 6.5%(g)
Illinois — 0.8%
Illinois Toll Highway Authority, RB:
Series A, 5.00%, 01/01/40		660		742,247
Series C, 5.00%, 01/01/38		1,000		1,122,010
				1,864,257
Massachusetts — 0.5%
Massachusetts Housing Finance Agency, Refunding RB, AMT, Series A, 4.50%, 12/01/47		1,015		1,052,679
New York — 3.3%
City of New York Housing Development Corp., RB, Series D-1-B, 4.25%, 11/01/45		1,000		1,035,972
New York City Housing Development Corp., Refunding RB, Sustainable Neighborhood Project, Series A-1, 4.15%, 11/01/38		1,550		1,634,785
New York State Dormitory Authority Personal Income Tax Revenue, Refunding RB, Series E, 5.00%, 03/15/36		3,330		3,853,043
Port Authority of New York & New Jersey Refunding, RB, 194th Series, 5.25%, 10/15/55		1,000		1,147,378
				7,671,178
North Carolina — 0.8%
North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55		1,000		1,135,350
North Carolina Housing Finance Agency Home Ownership, RB, Series 39-B, 4.00%, 01/01/48		795		819,330
				1,954,680
Washington — 0.6%
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45		1,340		1,513,724
West Virginia — 0.5%
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48 (h)		1,215		1,272,395
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 6.5% (Cost: $14,635,849)				15,328,913
Total Long-Term Investments — 96.1% (Cost: $216,875,223)				225,843,839

54 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Short-Term Securities — 12.4%
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 1.37% (i)		29,079,297	$	29,079,297
Total Short-Term Securities — 12.4% (Cost: $29,079,297)				29,079,297

Security	Value
Total Investments — 108.5% (Cost: $245,954,520)	$	254,923,136
Liabilities in Excess of Other Assets—(5.1)%		(11,898,095	)
Liability for TOB Trust Certificates,
Including Interest Expense and Fees Payable—(3.5)%		(8,138,754	)
Net Assets — 100.0%	$	234,886,287

^(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)  Zero-coupon bond.

^(c)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

^(d)  When-issued security.

^(e)  Issuer filed for bankruptcy and/or is in default. (f) Non-income producing security.

^(g)  Represents bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

^(h)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expires June 1, 2026, is $635,092.

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Short Contracts
U.S. Treasury Bonds (30 Year)		126		06/19/19	$	18,857	$	(365,377	)
U.S. Treasury Notes (10 Year)		34		06/19/19		4,223		(39,530	)
U.S. Treasury Notes (5 Year)		1		06/28/19		116		(400	)
							$	(405,307	)

Derivative Financial Instruments Categorized by Risk Exposure

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

Liabilities — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	405,307	$	—	$	405,307

^(a)  Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series E Portfolio

For the year ended March 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Realized Loss from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Futures contracts	$	—	$	—	$	—	$	—	$	(398,803	)	$	—	$	(398,803	)
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	—	$	(147,446	)	$	—	$	(147,446	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts:
Average notional value of contracts — short	$	12,725,752

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments(a)	$	—		$	225,843,839	$	—	$	225,843,839
Short-Term Securities		29,079,297			—		—		29,079,297
	$	29,079,297		$	225,843,839	$	—	$	254,923,136
Derivative Financial Instruments(b)
Liabilities:
Interest rate contracts	$	(405,307	)	$	—	$	—	$	(405,307	)

^(a)  See above Schedule of Investments for values in each security type.

^(b)  Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, TOB Trust Certificates of $8,085,000 are categorized as Level 2 within the disclosure hierarchy.

During the year ended March 31, 2019, there were no transfers between levels.

See notes to financial statements.

56 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments March 31, 2019 BATS: Series M Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities — 0.4%
Progress Residential Trust:
Series 2015-SFR2, Class A, 2.74%, 06/12/32 (a)	$	1,375	$	1,366,085
Series 2017-SFR1, Class A, 2.77%, 08/17/34 (a)		867		859,665
SMB Private Education Loan Trust, Series 2015-C, Class A3, (1 mo. LIBOR US + 1.950%), 4.43%, 08/16/32 (a)(b)		1,000		1,034,961
Total Asset-Backed Securities — 0.4% (Cost: $3,237,035)				3,260,711
Non-Agency Mortgage-Backed Securities — 13.0%
Commercial Mortgage-Backed Securities — 12.4%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35 (a)		945		988,268
BANK, Series 2019-BN16, Class A4, 4.01%, 02/15/52		2,226		2,362,826
Benchmark Mortgage Trust, Series 2019-B9, Class A5, 4.02%, 03/15/52		2,797		2,968,427
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33 (a)		3,920		3,996,162
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class A, 3.36%, 04/10/29 (a)		1,750		1,751,747
CCUBS Commercial Mortgage Trust, Series 2017-C1, Class A4, 3.54%, 11/15/50		1,408		1,433,153
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48		1,580		1,641,970
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.78%, 11/10/31 (a)(c)		2,005		1,993,428
Commercial Mortgage Trust:
Series 2013-CR6, Class A3FL, (1 mo. LIBOR US + 0.630%), 3.12%, 03/10/46 (a)(b)		695		692,998
Series 2014-LC15, Class A4, 4.01%, 04/10/47		2,025		2,120,723
Series 2014-UBS2, Class A5, 3.96%, 03/10/47		1,215		1,271,641
Series 2015-LC23, Class ASB, 3.60%, 10/10/48		3,730		3,832,665
Series 2017-PANW, Class A, 3.24%, 10/10/29 (a)		3,960		3,990,850
Credit Suisse Mortgage Trust, Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 4.08%, 11/15/33 (a)(b)		395		396,666
CSAIL Commercial Mortgage Trust:
Series 2018-CX11, Class A5, 4.03%, 04/15/51 (c)		1,190		1,253,364
Series 2019-C15, Class A4, 4.05%, 03/15/52		3,135		3,314,763
FRESB Mortgage Trust, Series 2019-SB60, Class A10F, 3.31%, 01/25/29 (c)		3,040		3,099,392
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A, 5.37%, 05/03/32 (a)		910		1,023,402
IMT Trust, Series 2017-APTS, Class BFX, 3.50%, 06/15/34 (a)(c)		2,425		2,426,848
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C23, Class ASB, 3.66%, 09/15/47		5,970		6,119,183
Series 2016-C1 ,Class ASB, 3.32%, 03/15/49		3,500		3,561,663

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class D, 4.57%, 03/15/50 (a)(c)	$	140	$	135,791
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A, 2.85%, 10/06/38 (a)(c)		1,790		1,750,427
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), 4.19%, 11/24/31 (a)(b)		536		536,048
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49 (a)		2,740		2,692,530
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C13, Class A4, 4.04%, 11/15/46		1,170		1,230,040
Series 2015-C23, Class A4, 3.72%, 07/15/50		3,005		3,114,004
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class ASB, 3.34%, 03/15/49		3,730		3,781,993
RAIT Trust, Series 2017-FL7, Class A, (1 mo. LIBOR US + 0.950%), 3.43%, 06/15/37 (a)(b)		624		621,323
Seasoned Credit Risk Transfer Trust:
Series 2018-2, Class MA, 3.50%, 11/25/57		1,616		1,638,484
Series 2018-3, Class MA, 3.50%, 08/25/57		2,221		2,250,633
Series 2018-4, Class MA, 3.50%, 03/25/58		3,759		3,819,079
Wells Fargo Commercial Mortgage Trust:
Series 2015-LC22, Class ASB, 3.57%, 09/15/58		3,845		3,943,826
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57		3,920		3,987,293
Series 2015-P2, Class AS, 4.01%, 12/15/48		1,605		1,637,040
Series 2019-C49, Class A5, 4.02%, 03/15/52		5,471		5,769,226
WFRBS Commercial Mortgage Trust:
Series 2012-C8, Class AFL, (1 mo. LIBOR US
+ 1.000%), 3.48%, 08/15/45 (a)(b)		2,927		2,962,099
Series 2014-C21, Class A4, 3.41%, 08/15/47		2,805		2,865,200
Series 2014-LC14, Class A4, 3.77%, 03/15/47		5,590		5,783,114
				98,758,289
Interest Only Commercial Mortgage-Backed Securities — 0.6%
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.73%, 05/10/58 (c)		5,396		497,900
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class XA, 0.93%, 09/15/50 (c)		6,685		412,927
Commercial Mortgage Trust, Series 2014-LC17, Class XA, 0.89%, 10/10/47 (c)		68,848		1,849,508
Core Industrial Trust:
Series 2015-TEXW, Class XA, 0.77%, 02/10/34 (a)(c)		18,460		344,625
Series 2015-WEST, Class XA, 0.94%, 02/10/37 (a)(c)		9,127		446,050
Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class X1, 0.55%, 09/15/37 (a)(c)		26,000		748,171
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/48 (a)(c)		130,768		287,231
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.06%, 04/10/47 (c)		666		24,626

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series M Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class XA, 0.76%, 05/15/51 (c)	$	8,761	$	477,189
				5,088,227
Total Non-Agency Mortgage-Backed Securities — 13.0% (Cost: $103,963,940)				103,846,516
U.S. Government Sponsored Agency Securities — 155.4%
Collateralized Mortgage Obligations — 4.4%
Fannie Mae:
Series 2010-134, Class KZ, 4.50%, 12/25/40		1,335		1,415,629
Series 2010-141, Class LZ, 4.50%, 12/25/40		1,132		1,200,329
Series 2011-8, Class ZA, 4.00%, 02/25/41		2,489		2,581,347
Series 2011-131, Class LZ, 4.50%, 12/25/41		711		753,471
Series 2013-81, Class YK, 4.00%, 08/25/43		200		215,663
Series 2017-69, Class HA, 3.00%, 06/25/46		5,453		5,482,360
Series 2017-76, Class PB, 3.00%, 10/25/57		900		841,755
Series 2017-87, Class UA, 3.50%, 12/25/44		2,756		2,821,323
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.233%), 4.33%, 05/25/48 (b)		3,822		4,024,955
Series 2019-1, Class AF, (1 mo. LIBOR US + 0.500%), 2.99%, 02/25/49 (b)		2,215		2,209,955
Freddie Mac:
Series 3745, Class ZA, 4.00%, 10/15/40		322		342,788
Series 3780, Class ZA, 4.00%, 12/15/40		608		643,564
Series 3960, Class PL, 4.00%, 11/15/41		900		956,928
Series 4384, Class LB, 3.50%, 08/15/43		1,400		1,437,532
Ginnie Mae:
Series 2014-107, Class WX, 6.81%, 07/20/39 (c)		931		1,045,564
Series 2018-164, Class AF, (1 mo. LIBOR US + 0.400%), 2.89%, 12/20/48 (b)		6,867		6,837,062
Series 2019-5, Class P, 3.50%, 07/20/48		2,013		2,054,292
				34,864,517
Commercial Mortgage-Backed Securities — 2.5%
Fannie Mae:
Series 2017-M15, Class A2, 2.96%, 09/25/27 (c)		3,520		3,531,258
Series 2018-M7, Class A2, 3.05%, 03/25/28 (c)		875		879,170
Series 2019-M1, Class A2, 3.56%, 09/25/28 (c)		2,616		2,734,394
Freddie Mac:
Series K058, Class A2, 2.65%, 08/25/26		1,080		1,068,307
Series K079, Class A2, 3.93%, 06/25/28		3,635		3,917,694
Series K082, Class A2, 3.92%, 09/25/28 (c)		625		673,915
Series K086, Class A2, 3.86%, 11/25/28 (c)		4,375		4,691,874
Series K087, Class A2, 3.77%, 12/25/28		2,266		2,411,989
				19,908,601
Interest Only Collateralized Mortgage Obligations — 1.3%
Fannie Mae:
Series 2011-100, Class S, (1 mo. LIBOR US + 6.450%), 3.97%, 10/25/41 (b)		1,270		184,280
Series 2013-10, Class PI, 3.00%, 02/25/43		2,464		233,574
Series 2014-68, Class YI, 4.50%, 11/25/44		1,265		247,478
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.250%), 3.77%, 09/25/45 (b)		12,001		1,729,643
Series 2016-60, Class SD, (1 mo. LIBOR US + 6.100%), 3.62%, 09/25/46 (b)		2,936		442,212

Security	Par (000)		Value
Interest Only Collateralized Mortgage Obligations (continued)
Series 2016-78, Class CS, (1 mo. LIBOR US + 6.100%), 3.62%, 05/25/39 (b)	$	3,795	$	562,542
Series 2016-81, Class CS, (1 mo. LIBOR US + 6.100%), 3.62%, 11/25/46 (b)		5,476		767,514
Series 2017-14, Class DS, (1 mo. LIBOR US + 6.050%), 3.57%, 03/25/47 (b)		2,374		415,413
Series 2017-38, Class S, (1 mo. LIBOR US + 6.100%), 3.62%, 05/25/47 (b)		4,835		875,223
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.150%), 3.67%, 09/25/47 (b)		3,116		561,196
Series 2018-21, Class IO, 3.00%, 04/25/48		8,158		1,320,471
Series 2018-63, Class IO, 3.01%, 09/25/48		3,278		567,047
Freddie Mac:
Series 4062, Class GI, 4.00%, 02/15/41		816		79,960
Series-4611, Class BS, (1 mo. LIBOR US + 6.100%), 3.62%, 06/15/41 (b)		4,992		730,144
Series 4791, Class LI, 3.00%, 05/15/48		2,851		465,341
Ginnie Mae:
Series 2014-113, Class NI, 5.00%, 07/20/44		933		188,783
Series 2017-139, Class IB, 4.50%, 09/20/47		2,862		493,743
Series 2017-144, Class DI, 4.50%, 09/20/47		2,082		344,140
Series 2018-89, Class CI, 5.00%, 12/20/47		1,758		355,088
				10,563,792
Interest Only Commercial Mortgage-Backed Securities — 3.1%
Ginnie Mae:
Series 2013-63, Class IO, 0.79%, 09/16/51 (c)		22,738		1,196,125
Series 2015-171, Class IO, 0.87%, 11/16/55 (c)		22,677		1,341,229
Series 2016-28, Class IO, 0.91%, 12/16/57 (c)		27,970		1,835,952
Series 2016-45, Class IO, 1.01%, 02/16/58 (c)		43,409		3,312,597
Series 2016-67, Class IO, 1.17%, 07/16/57 (c)		29,024		2,330,243
Series 2016-105, Class IO, 1.06%, 10/16/57 (c)		20,024		1,611,553
Series 2016-119, Class IO, 1.12%, 04/16/58 (c)		39,180		3,256,809
Series 2016-128, Class IO, 0.95%, 09/16/56 (c)		24,243		1,894,299
Series 2016-175, Class IO, 0.92%, 09/16/58 (c)		28,660		2,085,629
Series 2017-53, Class IO, 0.69%, 11/16/56 (c)		17,199		982,959
Series 2017-54, Class IO, 0.65%, 12/16/58 (c)		2,918		173,352
Series 2017-61, Class IO, 0.77%, 05/16/59 (c)		4,228		295,959
Series 2017-64, Class IO, 0.72%, 11/16/57 (c)		39,181		2,538,639
Series 2017-171, Class IO, 0.70%, 09/16/59 (c)		26,489		1,667,438
				24,522,783
Mortgage-Backed Securities — 144.1%
Fannie Mae Mortgage-Backed Securities:
2.00%, 10/01/31-03/01/32		3,182		3,098,503
2.50%, 09/01/27-02/01/33		22,398		22,302,632
3.00%, 04/01/28-04/01/49 (d)		96,410		96,759,594
3.13%, 09/01/27		1,684		1,726,567
3.16%, 03/01/27		2,580		2,640,144
3.50%, 03/01/29-04/01/49 (d)		133,383		136,107,373
4.00%, 02/01/31-04/01/49 (d)		159,608		165,400,255
4.50%, 05/01/24-04/01/49 (d)		165,854		173,817,962
4.99%, 09/01/44		234		251,672

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Schedule of Investments  (continued) March 31, 2019 BATS: Series M Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Mortgage-Backed Securities (continued)
5.00%, 05/01/30-04/01/49 (d)	$	46,851	$	49,661,717
5.50%, 05/01/34-05/01/44		6,498		7,139,809
6.00%, 02/01/38-07/01/41		4,048		4,464,796
6.50%, 05/01/36-01/01/38		61		67,496
Freddie Mac Mortgage-Backed Securities:
2.50%, 02/01/30-04/01/34 (d)		11,698		11,642,381
3.00%, 09/01/27-04/01/49 (d)		59,813		59,882,053
3.50%, 09/01/30-04/01/49 (d)		27,287		27,822,958
4.00%, 04/01/34-04/01/49 (d)		45,003		46,778,794
4.50%, 04/01/20-04/01/49 (d)		23,688		25,032,972
5.00%, 05/01/28-04/01/49 (d)		5,127		5,484,669
5.50%, 01/01/28-06/01/41		1,736		1,899,309
6.00%, 08/01/28-04/01/49 (d)		1,255		1,367,908
Ginnie Mae Mortgage-Backed Securities:
2.50%, 04/01/48 (d)		1,960		1,919,247
3.00%, 12/20/44-04/01/49 (d)		40,625		40,871,703
3.50%, 01/15/42-04/01/49 (d)		82,201		83,992,313
4.00%, 04/20/39-04/01/49 (d)		127,706		131,862,888
4.50%, 09/20/39-04/01/49 (d)		34,395		35,837,517
5.00%, 07/15/33-04/01/49 (d)		12,969		13,602,331
5.50%, 07/15/38-12/20/41		1,017		1,108,481
				1,152,544,044
Total U.S. Government Sponsored Agency Securities — 155.4% (Cost: $1,236,819,620)				1,242,403,737
U.S. Treasury Obligations — 2.2%
U.S. Treasury Inflation Indexed Notes, 0.63%, 04/15/23		17,469		17,591,311
Total U.S. Treasury Obligations — 2.2% (Cost: $17,330,784)				17,591,311
Total Long-Term Investments — 171.0% (Cost: $1,361,351,379)				1,367,102,275
	Shares
Short-Term Securities — 2.0%
Money Market Fund — 0.7%
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.27% (e)		5,672,864		5,672,864

Security	Par (000)			Value
U.S. Treasury Obligations — 1.0%
United States Treasury Bill, 2.41%, 4/16/19	$	7,934		$	7,926,173
Total U.S. Treasury Obligations — 1.0% (Cost: $7,926,052)					7,926,173
Total Short-Term Securities — 1.7% (Cost: $13,598,916)					13,599,037
Total Investments Before TBA Commitments — 172.7% (Cost: $1,374,950,295)					1,380,701,312
TBA Sale Commitments — (61.5)%(d)
Mortgage-Backed Securities — (61.5)%
Fannie Mae Mortgage-Backed Securities:
2.00%, 04/01/34		(2,087	)		(2,032,401	)
2.50%, 04/01/34		(4,143	)		(4,118,282	)
3.00%, 04/01/34-04/01/49		(15,154	)		(15,227,370	)
3.50%, 04/01/34-04/01/49		(110,221	)		(111,763,965	)
4.00%, 04/01/34-04/01/49		(102,684	)		(105,621,005	)
4.50%, 04/01/49		(89,959	)		(93,727,519	)
5.00%, 04/01/49		(7,555	)		(7,984,711	)
5.50%, 04/01/49		(1,637	)		(1,747,761	)
6.00%, 04/01/49		(600	)		(646,559	)
Freddie Mac Mortgage-Backed Securities:
3.00%, 04/01/49		(3,187	)		(3,172,870	)
3.50%, 04/01/34-04/01/49		(14,091	)		(14,314,888	)
4.00%, 04/01/34-04/01/49		(19,496	)		(20,072,382	)
4.50%, 04/01/49		(8,458	)		(8,826,788	)
5.00%, 04/01/49		(2,219	)		(2,349,713	)
6.00%, 04/01/49		(600	)		(648,504	)
Ginnie Mae Mortgage-Backed Securities:
3.00%, 04/15/45		(2,900	)		(2,910,422	)
3.50%, 04/15/49		(10,306	)		(10,528,827	)
4.00%, 04/15/49		(69,371	)		(71,624,203	)
4.50%, 04/15/49		(9,982	)		(10,367,438	)
5.00%, 04/15/49		(3,800	)		(3,969,873	)
Total TBA Sale Commitments — (61.5)% (Proceeds: $489,758,594)					(491,655,481	)
Options Written — 0.0% (Premiums Received: $106,712)					(90,750	)
Total Investments Net of TBA Sale Commitments — 111.2% (Cost: $885,084,989)					888,955,081
Liabilities in Excess of Other Assets—(11.2)%					(89,180,832	)
Net Assets — 100.0%				$	799,774,249

(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. Rate shown is the rate in effect as of period end.

(c) Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(d) Represents or includes a TBA transaction.

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

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series M Portfolio

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Treasury Bonds (30 Year)		17		06/19/19	$	2,544	$	3,548
U.S. Treasury Notes (10 Year)		103		06/19/19		12,795		2,859
U.S. Ultra Treasury Bonds		5		06/19/19		840		6,243
U.S. Treasury Notes (2 Year)		74		06/28/19		15,769		(11,448	)
								1,202
Short Contracts
Euro Dollar		20		06/17/19		4,873		(7,767	)
U.S. Ultra Treasury Notes (10 Year)		24		06/19/19		3,187		(65,236	)
U.S. Treasury Notes (5 Year)		315		06/28/19		36,486		(248,167	)
Euro Dollar		20		09/16/19		4,877		(24,376	)
Euro Dollar		27		12/16/19		6,586		(6,769	)
Euro Dollar		20		03/16/20		4,884		(27,815	)
Euro Dollar		20		06/15/20		4,889		(30,714	)
Euro Dollar		20		09/14/20		4,892		(37,764	)
Euro Dollar		182		12/14/20		44,524		(154,139	)
Euro Dollar		20		03/15/21		4,894		398
								(602,349	)
							$	(601,147	)

Exchange-Traded Options Written

Description	Number of Contracts		Expiration Date		Exercise Price	Notional Amount (000)		Value
Call
Euro Dollar 90-Day		330		03/16/20	$98		$80,590	$(90,750)

Centrally Cleared Interest Rate Swaps

Paid by the Fund			Received by the Fund			Termination	Notional Amount				Upfront Premium Paid		Unrealized Appreciation
Rate	Frequency		Rate		Frequency	Date	(000)	Value			(Recieved)		(Depreciation)
2.50%		Semi-annual		3-month LIBOR, 2.60%	Quarterly	01/29/23	$36,309	$	(256,356	)	$	479	$	(256,835	)
2.71%		Semi-annual		3-month LIBOR, 2.60%	Quarterly	02/06/23	$36,607		(553,685	)		483		(554,168	)
								$	(810,041	)	$	962	$	(811,003	)

OTC Credit Default Swaps — Buy Protection

Reference Index	Financing Rate Paid by the Fund		Payment Frequency		Counterparty	Termination Date	Notional Amount (000)	Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
CMBX.NA.10.BBB-		3.00%		Monthly	Goldman Sachs International	11/17/59	$4,174	$	220,286	$	214,918	$	5,368
CMBX.NA.10.BBB-		3.00%		Monthly	Goldman Sachs International	11/17/59	$3,976		209,796		195,126		14,670
CMBX.NA.12.BBB-		3.00%		Monthly	Credit Suisse International	8/17/61	$4,200		319,345		345,301		(25,956	)
CMBX.NA.12.BBB-		3.00%		Monthly	Goldman Sachs International	8/17/61	$4,250		320,667		332,918		(12,251	)
								$	1,070,094	$	1,088,263	$	(18,169	)

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Schedule of Investments  (continued) March 31, 2019 BATS: Series M Portfolio

OTC Credit Default Swaps — Sell Protection

Reference Index	Financing Rate Received by the Fund		Payment Frequency		Counterparty	Termination Date		Credit Rating(a)		Notional Amount (000)(b)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.9.BBB-		3.00%		Monthly	Deutsche Bank AG		09/17/58		Not Rated		$8,000	$	(477,045	)	$	(984,168	)	$	507,123
CMBX.NA.10.BBB-		3.00%		Monthly	Goldman Sachs International		11/17/59		BBB-		$4,398		(232,060	)		(328,118	)		96,058
CMBX.NA.10.BBB-		3.00%		Monthly	J.P. Morgan Securities LLC		11/17/59		BBB-		$3,753		(198,023	)		(282,165	)		84,142
												$	(907,128	)	$	(1,594,451	)	$	687,323

^(a)  Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

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

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

	Swap Premiums Paid		Swap Premiums Received		Unrealized Appreciation		Unrealized Depreciation
Centrally Cleared Swaps(a)	$	962	$	—	$	—	$	811,003
OTC Swaps		1,088,263		1,594,451		707,361		38,207

^(a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

Derivative Financial Instruments Categorized by Risk Exposure

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

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized appreciation(a)	$	—	$	—	$	—	$	—	$	13,048	$	—	$	13,048
Swaps — OTC	Unrealized appreciation on OTC swaps; Swap premiums paid		—		1,795,624		—		—		—		—		1,795,624
		$	—	$	1,795,624	$	—	$	—	$	13,048	$	—	$	1,808,672
Liabilities — Derivative Financial Instruments
Futures contracts	Net unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	614,195	$	—	$	614,195
Options written	Options written at value		—		—		—		—		90,750		—		90,750
Swaps — centrally cleared	Net unrealized depreciation(a)		—		—		—		—		811,003		—		811,003
Swaps — OTC	Unrealized depreciation on OTC swaps; Swap premiums received		—		1,632,658		—		—		—		—		1,632,658
		$	—	$	1,632,658	$	—	$	—	$	1,515,948	$	—	$	3,148,606

^(a)  Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series M Portfolio

For the year ended March 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Futures contracts	$	—	$	—	$	—	$	—	$	242,868		$	—	$	242,868
Swaps		—		211,828		—		—		(970,783	)		—		(758,955	)
	$	—	$	211,828	$	—	$	—	$	(727,915	)	$	—	$	(516,087	)
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	—	$	(221,130	)	$	—	$	(221,130	)
Options written		—		—		—		—		15,962			—		15,962
Swaps		—		850,486		—		—		(1,242,441	)		—		(391,955	)
	$	—	$	850,486	$	—	$	—	$	(1,447,609	)	$	—	$	(597,123	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts:
Average notional value of contracts — long	$	51,819,022
Average notional value of contracts — short		103,808,451
Options:
Average value of option contracts written		22,688
Credit default swaps:
Average notional value — buy protection		10,337,500
Average notional value — sell protection		12,804,250
Interest rate swaps:
Average notional value — pays fixed rate		102,116,000

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments - Offsetting as of Period End

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

	Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	135,664		$	31,558
Options		—			90,750
Swaps — Centrally cleared		507			—
Swaps — OTC(a)		1,795,624			1,632,658
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,931,795		$	1,754,966
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(136,171	)		(122,308	)
Total derivative assets and liabilities subject to an MNA	$	1,795,624		$	1,632,658

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

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Schedule of Investments  (continued) March 31, 2019 BATS: Series M Portfolio

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

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non-cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets(b)
Credit Suisse International	$	345,301	$	(25,956	)	$	—	$	—		$	319,345
Deutsche Bank AG		507,123		(507,123	)		—		—			—
Goldman Sachs International		859,058		(340,369	)		—		(500,000	)		18,689
J.P. Morgan Securities LLC		84,142		(84,142	)		—		—			—
	$	1,795,624	$	(957,590	)	$	—	$	(500,000	)	$	338,034
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non-cash Collateral Pledged		Cash Collateral Pledged(c)			Net Amount of Derivative Liabilities
Credit Suisse International	$	25,956	$	(25,956	)	$	—	$	—		$	—
Deutsche Bank AG		984,168		(507,123	)		—		(477,045	)		—
Goldman Sachs International		340,369		(340,369	)		—		—			—
J.P. Morgan Securities LLC		282,165		(84,142	)		—		(198,023	)		—
	$	1,632,658	$	(957,590	)	$	—	$	(675,068	)	$	—

^(a)  The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

^(b)  Net amount represents the net amount receivable from the counterparty in the event of default.

^(c)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities	$	—		$	3,260,711		$	—	$	3,260,711
Non-Agency Mortgage-Backed Securities		—			103,846,516			—		103,846,516
U.S. Government Sponsored Agency Securities		—			1,242,403,737			—		1,242,403,737
U.S. Treasury Obligations		—			17,591,311			—		17,591,311
Short-Term Securities		5,672,864			7,926,173			—		13,599,037
Liabilities:
TBA Sale Commitments		—			(491,655,481	)		—		(491,655,481	)
	$	5,672,864		$	883,372,967		$	—	$	889,045,831
Derivative Financial Instruments(a)
Assets:
Credit contracts	$	—		$	707,361		$	—	$	707,361
Interest rate contracts		13,048			—			—		13,048
Liabilities:
Credit contracts		—			(38,207	)		—		(38,207	)
Interest rate contracts		(704,945	)		(811,003	)		—		(1,515,948	)
	$	(691,897	)	$	(141,849	)	$	—	$	(833,746	)

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

During the year ended March 31, 2019, there were no transfers between levels.

See notes to financial statements.

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

Schedule of Investments   March 31, 2019 BATS: Series P Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Affiliated Investment Companies — 30.1%
BlackRock Allocation Target Shares: Series S Portfolio (a)		1,636,625	$	15,547,936

	Value
Total Affiliated Investment Companies — 30.1% (Cost: $15,809,366)	$	15,547,936
Other Assets Less Liabilities — 69.9%		36,106,484
Net Assets — 100.0%	$	51,654,420

^(a)  During the year ended March 31, 2019, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

Affiliate	Shares Held at 03/31/18		Shares Purchased		Shares Sold		Shares Held at 03/31/19		Value at 03/31/19		Income		Net Realized Gain (Loss)			Change in Unrealized Apprecia- tion (Deprecia- tion)
BlackRock Allocation Target Shares: Series S Portfolio		2,660,907		2,469,348		3,493,630		1,636,625	$	15,547,936	$	595,163	$	(398,601	)	$	591,100

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Treasury Notes (10 Year)		144		06/19/19		$17,888	$	190,203
U.S. Treasury Notes (2 Year)		78		06/28/19		16,621		61,165
U.S. Treasury Notes (5 Year)		15		06/28/19		1,737		14,722
								266,090
Short Contracts
U.S. Ultra Treasury Bonds (10 Year)		8		06/19/19		1,062		(23,885	)
							$	242,205

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund		Termination		Notional Amount					Upfront Premium Paid			Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Date		(000)		Value			(Recieved)			(Depreciation)
2.91%	Semi-annual	3-month LIBOR, 2.60%	Quarterly		12/17/20	$	35,000	$	(533,088	)	$	412		$	(533,500	)
3.11%	Semi-annual	3-month LIBOR, 2.60%	Quarterly		05/21/25	$	14,320		(767,619	)		195			(767,814	)
2.23%	Semi-annual	3-month LIBOR, 2.60%	Quarterly		04/24/27	$	26,460		163,289			383			162,906
2.27%	Semi-annual	3-month LIBOR, 2.60%	Quarterly		05/18/27	$	6,500		15,987			94			15,893
2.23%	Semi-annual	3-month LIBOR, 2.60%	Quarterly		08/11/27	$	3,850		48,396			61			48,335
2.90%	Semi-annual	3-month LIBOR, 2.60%	Quarterly		11/15/27	$	11,152		(532,284	)		(691	)		(531,593	)
3.18%	Semi-annual	3-month LIBOR, 2.60%	Quarterly		05/21/28	$	7,500		(542,679	)		111			(542,790	)
								$	(2,147,998	)	$	565		$	(2,148,563	)

64 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments  (continued) March 31, 2019 BATS: Series P Portfolio

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps

	Swap Premiums Paid		Swap Premiums Received		Unrealized Appreciation		Unrealized Depreciation
Centrally Cleared Swaps(a)		$1,256		$691		$227,134		$2,375,697

^(a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

Derivative Financial Instruments Categorized by Risk Exposure

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

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Futures contracts	Net unrealized appreciation(a)	$	—	$	—	$	—	$	—	$	266,090		$	—	$	266,090
Swaps — centrally cleared	Net unrealized appreciation(a)		—		—		—		—		227,134			—		227,134
		$	—	$	—	$	—	$	—	$	493,224		$	—	$	493,224
Liabilities — Derivative Financial Instruments
Futures contracts	Net unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	23,885		$	—	$	23,885
Swaps — centrally cleared	Net unrealized depreciation(a)		—		—		—		—		2,375,697			—		2,375,697
		$	—	$	—	$	—	$	—	$	2,399,582		$	—	$	2,399,582
(a) Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
For the year ended March 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain from:		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Futures contracts		$	—	$	—	$	—	$	—	$	203,087		$	—	$	203,087
Swaps			—		—		—		—		1,536,691			—		1,536,691
		$	—	$	—	$	—	$	—	$	1,739,778		$	—	$	1,739,778
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		$	—	$	—	$	—	$	—	$	360,096		$	—	$	360,096
Swaps			—		—		—		—		(4,112,425	)		—		(4,112,425	)
		$	—	$	—	$	—	$	—	$	(3,752,329	)	$	—	$	(3,752,329	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts:
Average notional value of contracts — long	$	15,793,911
Average notional value of contracts — short		14,305,444
Interest rate swaps:
Average notional value — pays fixed rate		87,282,000

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series P Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Affiliated Investment Companies	$	15,547,936		$	—		$	—	$	15,547,936
Derivative Financial Instruments(a)
Assets:
Interest rate contracts	$	266,090		$	227,134		$	—	$	493,224
Liabilities:
Interest rate contracts		(23,885	)		(2,375,697	)		—		(2,399,582	)
	$	242,205		$	(2,148,563	)	$	—	$	(1,906,358	)

^(a)  Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

During the year ended March 31, 2019, there were no transfers between levels.

See notes to financial statements.

66 2 0 1 9  B L A C K R O C K  A N N U A  L  R E P O R T  T O  S H A R E H O L D E R S

Schedule of Investments March 31, 2019 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities — 18.8%
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A3, 1.46%, 05/10/21	$	411	$	409,939
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 4.18%, 09/15/26 (a)(b)		350		352,714
B2R Mortgage Trust, Series 2015-1, Class A1, 2.52%, 05/15/48 (b)		179		178,022
Capital One Multi-Asset Execution Trust, Series 2016-A4, Class A4, 1.33%, 06/15/22		1,300		1,293,894
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 4.21%, 01/20/29 (a)(b)		1,000		1,000,572
CarMax Auto Owner Trust:
Series 2015-3, Class A4, 1.98%, 02/16/21		2,399		2,391,874
Series 2016-2, Class A3, 1.52%, 02/16/21		133		132,624
Chase Issuance Trust:
Series 2012-A4, Class A4, 1.58%, 08/15/21		2,379		2,369,831
Series 2016-A2, Class A, 1.37%, 06/15/21		3,500		3,490,802
Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 06/15/28 (b)		408		406,456
CNH Equipment Trust:
Series 2016-B, Class A3, 1.63%, 08/15/21		339		337,275
Series 2016-C, Class A3, 1.44%, 12/15/21		1,006		998,791
Credit Acceptance Auto Loan Trust:
Series 2016-2A, Class A, 2.42%, 11/15/23 (b)		105		104,907
Series 2016-3A, Class A, 2.15%, 04/15/24 (b)		1,064		1,061,781
Discover Card Execution Note Trust:
Series 2015-A2, Class A, 1.90%, 10/17/22		1,000		992,831
Series 2016-A4, Class A4, 1.39%, 03/15/22		300		298,246
Enterprise Fleet Financing LLC:
Series 2016-2, Class A2, 1.74%, 02/22/22 (b)		201		200,305
Series 2016-2, Class A3, 2.04%, 02/22/22 (b)		530		526,254
Series 2017-1, Class A2, 2.13%, 07/20/22 (b)		111		110,349
Series 2017-1, Class A3, 2.60%, 07/20/22 (b)		210		209,304
Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 02/15/22		680		670,737
Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, (1 mo. LIBOR US + 1.550%), 4.03%, 03/15/27 (a)(b)		610		607,697
Honda Auto Receivables Owner Trust, Series 2016-4, Class A4, 1.36%, 01/18/23		640		631,980
Mercedes-Benz Receivables Trust, Series 2016-1, Class A4, 1.46%, 12/15/22		2,000		1,974,878
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.50%, 04/25/57 (b)(c)		600		594,615
Nissan Master Owner Trust Receivables, Series 2016-A, Class A2, 1.54%, 06/15/21		1,090		1,087,133
PFS Financing Corp., Series 2016-BA, Class A, 1.87%, 10/15/21 (b)		190		188,943

Security	Par (000)		Value
SLM Private Education Loan Trust, Series 2011-A, Class A3, (1 mo. LIBOR US + 2.500%), 4.98%, 01/15/43 (a)(b)	$	1,581	$	1,596,179
SLM Student Loan Trust, Series 2013-4, Class A, (1 mo. LIBOR US + 0.550%), 3.04%, 06/25/43 (a)		301		299,922
SMB Private Education Loan Trust, Series 2016-B, Class A2A, 2.43%, 02/17/32 (b)		571		561,649
SoFi Professional Loan Program LLC:
Series 2015-A, Class A1, (1 mo. LIBOR US + 1.200%), 3.69%, 03/25/33 (a)(b)		594		596,585
Series 2015-B, Class A2, 2.51%, 09/27/32 (b)		691		686,793
Series 2015-D, Class A2, 2.72%, 10/27/36 (b)		364		362,301
Series 2016-A, Class A2, 2.76%, 12/26/36 (b)		1,206		1,197,490
Series 2016-C, Class A2B, 2.36%, 12/27/32 (b)		137		134,869
Series 2016-D, Class A2B, 2.34%, 04/25/33 (b)		121		118,760
Series 2016-E, Class A2B, 2.49%, 01/25/36 (b)		457		452,298
Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, 11/15/24 (b)		120		119,841
Synchrony Credit Card Master Note Trust, Series 2015-1, Class A, 2.37%, 03/15/23		1,185		1,181,556
Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.25%, 04/25/56 (b)(c)		378		372,049
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59%, 05/20/25 (b)		7		7,321
World Financial Network Credit Card Master Trust, Series 2012-D, Class B, 3.34%, 04/17/23		330		330,088
Total Asset-Backed Securities — 18.8% (Cost: $30,855,871)				30,640,455
Capital Trusts — 0.1%
Multi-Utilities — 0.1%
Dominion Energy, Inc., 2.58%, 07/01/20		110		109,392
Total Capital Trusts — 0.1% (Cost: $110,046)				109,392
Corporate Bonds — 61.2%
Aerospace & Defense — 1.5%
Lockheed Martin Corp., 2.50%, 11/23/20		400		398,772
Northrop Grumman Corp., 3.25%, 01/15/28		485		476,901
United Technologies Corp. :
1.90%, 05/04/20		115		114,094
3.35%, 08/16/21		235		238,144
3.10%, 06/01/22		200		201,290
3.65%, 08/16/23		1,075		1,103,447
				2,532,648
Airlines — 0.6%
Delta Air Lines, Inc. :
2.88%, 03/13/20		133		132,757

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Airlines (continued)
3.63%, 03/15/22	$	625	$	628,532
Virgin Australia Trust, Series 2013-1A, 5.00%, 04/23/25 (b)		137		139,736
				901,025
Automobiles — 1.6%
BMW U.S. Capital LLC, 3.10%, 04/12/21 (b)		205		206,278
Daimler Finance North America LLC :
1.50%, 07/05/19 (b)		1,600		1,594,663
2.70%, 08/03/20 (b)		150		149,461
Volkswagen Group of America Finance LLC :
2.13%, 05/23/19 (b)		350		349,595
2.40%, 05/22/20 (b)		315		312,777
				2,612,774
Banks — 14.3%
ANZ New Zealand International Ltd., 2.88%, 01/25/22 (b)		615		612,918
Bank of America Corp. :
3.30%, 01/11/23		545		551,919
(3 mo. LIBOR US + 1.021%), 2.88%, 04/24/23 (d)(e)		2,440		2,432,536
Bank of Montreal, 2.10%, 12/12/19		325		323,962
Barclays PLC, (3 mo. LIBOR US + 1.400%), 4.61%, 02/15/23 (e)		435		443,972
BB&T Corp., 3.20%, 09/03/21		270		272,985
BNP Paribas SA, 3.80%, 01/10/24 (b)		485		488,825
Canadian Imperial Bank of Commerce, 2.35%, 07/27/22 (b)		800		791,781
Citigroup, Inc. :
2.90%, 12/08/21		755		754,800
2.75%, 04/25/22		30		29,874
(3 mo. LIBOR US + 0.722%), 3.14%, 01/24/23 (e)		35		35,121
(3 mo. LIBOR US + 0.950%), 2.88%, 07/24/23 (e)		100		99,362
Citizens Bank N.A. :
2.45%, 12/04/19		700		698,307
3.25%, 02/14/22		250		252,307
Citizens Financial Group, Inc., 2.38%, 07/28/21		335		330,466
Commonwealth Bank of Australia :
2.25%, 03/10/20 (b)		600		597,353
2.75%, 03/10/22 (b)		400		399,073
Discover Bank, 3.35%, 02/06/23		250		251,351
DNB Boligkreditt AS, 3.25%, 06/28/23 (b)		850		870,819
Fifth Third Bancorp, 2.60%, 06/15/22		400		397,312
HSBC Holdings PLC, (3 mo. LIBOR US + 1.055%), 3.26%, 03/13/23 (e)		465		466,137
Huntington Bancshares, Inc., 2.30%, 01/14/22		700		689,442
ING Groep NV, 4.10%, 10/02/23		325		334,045
JPMorgan Chase & Co. :
2.75%, 06/23/20		1,770		1,770,914
(3 mo. LIBOR US + 0.610%), 3.23%, 06/18/22 (a)		810		809,069
(3 mo. LIBOR US + 0.935%), 2.78%, 04/25/23 (e)		905		899,698
2.70%, 05/18/23		500		495,113
(3 mo. LIBOR US + 0.890%), 3.80%, 07/23/24 (e)		305		313,171
Lloyds Bank PLC, 2.70%, 08/17/20		550		548,616
Lloyds Banking Group PLC, 3.00%, 01/11/22		420		417,926
Mitsubishi UFJ Financial Group, Inc. :
2.95%, 03/01/21		291		291,498
3.54%, 07/26/21		75		76,100
Royal Bank of Scotland Group PLC, 3.88%, 09/12/23		305		306,264
Santander Holdings USA, Inc., 3.70%, 03/28/22		210		212,497
Santander UK PLC, 2.13%, 11/03/20		755		746,715

Security	Par (000)		Value
Banks (continued)
Sumitomo Mitsui Financial Group, Inc. :
2.44%, 10/19/21	$	375	$	370,647
2.85%, 01/11/22		605		605,526
SunTrust Bank, 2.45%, 08/01/22		1,000		986,943
Svenska Handelsbanken AB, 3.35%, 05/24/21		600		606,791
Swedbank AB, 2.20%, 03/04/20 (b)		610		605,127
U.S. Bancorp, 2.63%, 01/24/22		500		500,549
Wells Fargo & Co. :
3.07%, 01/24/23		415		415,550
3.75%, 01/24/24		220		226,397
				23,329,778
Beverages — 0.2%
Anheuser-Busch InBev Worldwide, Inc., 4.75%, 01/23/29		205		218,407
Keurig Dr Pepper, Inc., 4.60%, 05/25/28 (b)		105		109,439
				327,846
Biotechnology — 1.2%
AbbVie, Inc. :
2.50%, 05/14/20		545		543,392
3.75%, 11/14/23		420		431,158
Amgen, Inc., 2.20%, 05/22/19		810		809,663
Gilead Sciences, Inc., 3.70%, 04/01/24		130		134,237
				1,918,450
Capital Markets — 4.0%
Bank of New York Mellon Corp. :
2.15%, 02/24/20		175		174,223
(3 mo. LIBOR US + 0.634%), 2.66%, 05/16/23 (e)		400		397,910
Credit Suisse Group AG, 3.57%, 01/09/23 (b)		625		627,146
Credit Suisse Group Funding Guernsey Ltd., 3.13%, 12/10/20		525		526,335
Deutsche Bank AG, 4.25%, 02/04/21		370		371,418
Goldman Sachs Group, Inc., 3.00%, 04/26/22 (d)		875		873,102
Morgan Stanley :
2.63%, 11/17/21		750		746,568
2.75%, 05/19/22		460		457,220
3.13%, 01/23/23		655		656,998
Siemens Financieringsmaatschappij NV, 2.70%, 03/16/22 (b)		655		654,410
UBS Group Funding Switzerland AG :
2.65%, 02/01/22 (b)		200		198,207
3.49%, 05/23/23 (b)		765		768,652
				6,452,189
Chemicals — 0.9%
Air Liquide Finance SA, 1.75%, 09/27/21 (b)		200		194,927
Dow Chemical Co., 4.25%, 11/15/20		110		112,090
E.I. du Pont de Nemours & Co., 2.20%, 05/01/20		245		244,122
Sherwin-Williams Co., 2.25%, 05/15/20		1,000		994,060
				1,545,199
Commercial Services & Supplies — 0.1%
Aviation Capital Group Corp., 2.88%, 01/20/22 (b)		195		192,033
Communications Equipment — 0.4%
Cisco Systems, Inc., 2.20%, 09/20/23		595		586,686
Consumer Finance — 5.0%
American Express Co., 2.50%, 08/01/22 (d)		425		420,033
Capital One N.A., 2.25%, 09/13/21		500		492,027
ERAC USA Finance LLC, 2.60%, 12/01/21 (b)		350		344,392
Ford Motor Credit Co. LLC :
2.68%, 01/09/20		510		507,824
8.13%, 01/15/20		700		725,497
2.43%, 06/12/20		200		197,375

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Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Consumer Finance (continued)
General Motors Financial Co., Inc. :
4.20%, 03/01/21	$	285	$	289,074
3.20%, 07/06/21 (d)		1,895		1,886,491
3.25%, 01/05/23		405		397,094
Nissan Motor Acceptance Corp. :
2.25%, 01/13/20 (b)		1,135		1,128,458
2.15%, 07/13/20 (b)		340		335,453
3.88%, 09/21/23 (b)		550		554,179
Synchrony Financial, 3.00%, 08/15/19		900		900,185
				8,178,082
Containers & Packaging — 0.0%
WRKCo, Inc., 3.75%, 03/15/25		70		70,626
Diversified Financial Services — 1.3%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust :
3.95%, 02/01/22		900		911,616
3.50%, 05/26/22		170		170,039
CK Hutchison International 16 Ltd., 1.88%, 10/03/21 (b)		295		286,724
GE Capital International Funding Co., 2.34%, 11/15/20		570		562,938
Hyundai Capital America, 2.55%, 04/03/20 (b)		215		213,505
				2,144,822
Diversified Telecommunication Services — 0.9%
AT&T Inc. :
3.20%, 03/01/22		50		50,442
3.80%, 03/15/22		285		292,276
3.60%, 02/17/23		720		733,921
Verizon Communications, Inc. :
3.38%, 02/15/25		167		168,967
3.88%, 02/08/29		195		199,667
				1,445,273
Electric Utilities — 1.6%
American Electric Power Co., Inc. :
2.15%, 11/13/20		305		302,140
3.65%, 12/01/21		275		280,531
2.95%, 12/15/22		130		130,202
Duke Energy Corp., 3.95%, 10/15/23		590		611,585
Emera U.S. Finance LP, 2.15%, 06/15/19		235		234,539
Exelon Corp., 2.45%, 04/15/21		255		252,041
FirstEnergy Corp., 2.85%, 07/15/22		159		157,883
Georgia Power Co., 2.00%, 09/08/20		525		520,147
ITC Holdings Corp., 2.70%, 11/15/22		85		83,465
				2,572,533
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp., 2.20%, 04/01/20		290		288,155
Energy Equipment & Services — 0.1%
Baker Hughes a GE Co. LLC / Baker Hughes
Co-Obligor, Inc., 2.77%, 12/15/22		225		223,533
Equity Real Estate Investment Trusts (REITs) — 0.6%
American Tower Corp. :
2.25%, 01/15/22		140		137,864
3.50%, 01/31/23		150		152,059
Crown Castle International Corp., 3.20%, 09/01/24		385		382,057
Realty Income Corp., 3.25%, 10/15/22		265		269,446
				941,426
Food & Staples Retailing — 1.3%
Alimentation Couche-Tard, Inc., 2.70%, 07/26/22 (b)		350		346,342
CVS Health Corp. :
3.70%, 03/09/23 (d)		775		787,462
4.30%, 03/25/28		300		303,975
Walgreen Co., 3.10%, 09/15/22		200		201,302

Security	Par (000)		Value
Food & Staples Retailing (continued)
Walgreens Boots Alliance, Inc., 3.30%, 11/18/21	$	500	$	505,660
				2,144,741
Food Products — 1.0%
Conagra Brands, Inc., (3 mo. LIBOR US + 0.750%), 3.51%, 10/22/20 (a)		485		484,412
General Mills, Inc., 3.70%, 10/17/23		75		76,874
Tyson Foods, Inc. :
2.25%, 08/23/21		165		162,436
3.90%, 09/28/23		115		118,470
Wm. Wrigley Jr. Co. :
2.90%, 10/21/19 (b)		195		194,737
3.38%, 10/21/20 (b)		595		600,906
				1,637,835
Health Care Equipment & Supplies — 0.5%
Abbott Laboratories:, 2.90%, 11/30/21		490		492,050
Becton Dickinson and Co., 2.40%, 06/05/20		280		277,994
				770,044
Health Care Providers & Services — 0.4%
Anthem, Inc., 2.95%, 12/01/22		50		49,957
UnitedHealth Group, Inc., 2.13%, 03/15/21		590		584,898
				634,855
Hotels, Restaurants & Leisure — 1.0%
Carnival Corp., 3.95%, 10/15/20		600		610,996
Marriott International, Inc., 3.13%, 10/15/21		1,005		1,006,612
				1,617,608
Industrial Conglomerates — 0.1%
Roper Technologies, Inc., 2.80%, 12/15/21		130		129,577
Insurance — 1.3%
Aon PLC, 2.80%, 03/15/21		560		558,819
AXIS Specialty Finance PLC, 2.65%, 04/01/19		736		736,000
Hartford Financial Services Group, Inc., 5.13%, 04/15/22		235		250,736
New York Life Global Funding, 2.00%, 04/13/21 (b)		230		226,859
Pricoa Global Funding I, 2.45%, 09/21/22 (b)		170		168,049
Willis North America, Inc., 3.60%, 05/15/24		135		135,861
				2,076,324
Internet Software & Services — 0.2%
Baidu, Inc., 2.88%, 07/06/22		300		295,955
IT Services — 0.7%
Fidelity National Information Services, Inc., 3.63%, 10/15/20		985		995,353
Total System Services, Inc., 3.75%, 06/01/23		145		147,197
				1,142,550
Machinery — 0.4%
Caterpillar Financial Services Corp., 2.40%, 06/06/22		500		495,756
Xylem, Inc., 4.88%, 10/01/21		220		230,201
				725,957
Media — 2.8%
Charter Communications Operating LLC/Charter
Communications Operating Capital, 4.46%, 07/23/22		135		139,673

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Media (continued)
Comcast Corp. :
3.30%, 10/01/20	$	765	$	772,205
2.75%, 03/01/23		325		324,451
4.15%, 10/15/28		105		110,516
COX Communications, Inc., 3.25%, 12/15/22 (b)		455		458,158
Discovery Communications LLC, 2.95%, 03/20/23		900		891,448
Interpublic Group of Cos., Inc. :
3.50%, 10/01/20		135		136,164
3.75%, 10/01/21		45		45,782
Omnicom Group, Inc. / Omnicom Capital, Inc., 4.45%, 08/15/20		465		475,236
Sky Ltd., 2.63%, 09/16/19 (b)		1,255		1,252,816
				4,606,449
Metals & Mining — 0.2%
Anglo American Capital PLC, 4.13%, 04/15/21 (b)		200		201,920
Newmont Mining Corp., 3.50%, 03/15/22		190		192,628
				394,548
Multi-Utilities — 0.7%
Alliant Energy Finance LLC, 3.75%, 06/15/23 (b)		245		249,862
CenterPoint Energy, Inc. :
3.60%, 11/01/21		130		131,923
2.50%, 09/01/22		270		263,494
DTE Energy Co., 3.70%, 08/01/23		145		148,441
Sempra Energy, (3 mo. LIBOR US + 0.500%), 3.29%, 01/15/21 (a)		220		218,150
WEC Energy Group, Inc., 3.38%, 06/15/21		200		202,363
				1,214,233
Oil, Gas & Consumable Fuels — 6.8%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. :
6.25%, 10/15/22		53		54,457
3.50%, 12/01/22		145		146,464
Apache Corp., 3.25%, 04/15/22		193		193,152
Canadian Natural Resources Ltd., 2.95%, 01/15/23		125		124,072
Continental Resources, Inc., 4.50%, 04/15/23		1,156		1,196,670
Devon Energy Corp., 3.25%, 05/15/22		235		237,238
Enbridge Energy Partners LP, 4.38%, 10/15/20		350		357,616
Enbridge, Inc., 2.90%, 07/15/22		225		224,345
Encana Corp., 3.90%, 11/15/21		725		738,130
Energy Transfer Operating LP :
4.15%, 10/01/20		1,050		1,066,911
3.60%, 02/01/23		150		151,251
Energy Transfer Partners LP/Regency Energy Finance Corp., 5.75%, 09/01/20		455		469,261
Enterprise Products Operating LLC, 2.55%, 10/15/19		285		284,436
EOG Resources, Inc., 2.45%, 04/01/20		345		343,586
Kinder Morgan Energy Partners LP, 5.80%, 03/01/21		1,235		1,298,769
Kinder Morgan, Inc., 4.30%, 03/01/28		320		330,559
Pioneer Natural Resources Co. :
7.50%, 01/15/20		45		46,565
3.45%, 01/15/21		385		388,541
Schlumberger Investment SA, 3.30%, 09/14/21 (b)		500		505,656
Texas Eastern Transmission LP, 2.80%, 10/15/22 (b)		190		187,221
TransCanada PipeLines Ltd., 2.50%, 08/01/22		1,555		1,539,747
Williams Cos., Inc., 3.70%, 01/15/23 (d)		1,190		1,211,460
				11,096,107
Pharmaceuticals — 2.0%
Allergan Finance LLC, 3.25%, 10/01/22 (d)		2,415		2,415,013

Security	Par (000)		Value
Pharmaceuticals (continued)
Allergan Funding SCS, 3.45%, 03/15/22	$	203	$	204,828
Mylan NV, 2.50%, 06/07/19		69		68,948
Shire Acquisitions Investments Ireland DAC, 2.40%, 09/23/21		93		91,852
Takeda Pharmaceutical Co. Ltd., 5.00%, 11/26/28 (b)		475		514,927
				3,295,568
Road & Rail — 3.4%
CSX Corp., 3.70%, 10/30/20		180		182,309
Penske Truck Leasing Co. LP/PTL Finance Corp. :
2.50%, 06/15/19 (b)		320		319,564
3.05%, 01/09/20 (b)		1,545		1,545,093
3.20%, 07/15/20 (b)		1,360		1,362,872
3.38%, 02/01/22 (b)		440		441,716
2.70%, 03/14/23 (b)		505		493,457
Ryder System, Inc. :
2.88%, 09/01/20		948		948,915
3.45%, 11/15/21		225		226,950
				5,520,876
Semiconductors & Semiconductor Equipment — 1.1%
Analog Devices, Inc., 2.85%, 03/12/20		70		70,023
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.00%, 01/15/22		214		212,965
Lam Research Corp., 2.80%, 06/15/21 (d)		1,400		1,400,200
QUALCOMM, Inc., 2.60%, 01/30/23		95		93,887
				1,777,075
Software — 0.2%
CA, Inc., 3.60%, 08/15/22		265		266,871
Technology Hardware, Storage & Peripherals — 0.6%
Hewlett Packard Enterprise Co., 3.60%, 10/15/20		600		605,233
NetApp, Inc., 2.00%, 09/27/19		320		318,660
				923,893
Tobacco — 0.9%
Altria Group, Inc., 3.80%, 02/14/24		185		188,291
BAT Capital Corp., 2.76%, 08/15/22		1,305		1,283,382
				1,471,673
Trading Companies & Distributors — 0.8%
Air Lease Corp. :
3.38%, 06/01/21		155		155,722
2.63%, 07/01/22		650		634,863
International Lease Finance Corp., 4.63%, 04/15/21		468		478,848
				1,269,433
Wireless Telecommunication Services — 0.3%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC :
3.36%, 03/20/23 (b)		125		124,962
4.74%, 09/20/29 (b)		400		404,500
				529,462
Total Corporate Bonds — 61.2% (Cost: $99,409,850)				99,804,712

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Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)			Value
Foreign Agency Obligations — 0.4%
Chile — 0.1%
Empresa Nacional del Petroleo, 5.25%, 8/10/20 (b)	$	200		$	203,989
Mexico — 0.3%
Petroleos Mexicanos, 6.00%, 3/05/20		425			434,329
Total Foreign Agency Obligations — 0.4% (Cost: $636,868)					638,318
Foreign Government Obligations — 0.9%
Canada — 0.9%
Province of Alberta, 3.35%, 11/01/23		183			188,898
Province of Ontario, 3.40%, 10/17/23		1,200			1,241,836
Total Foreign Government Obligations — 0.9% (Cost: $1,413,195)					1,430,734
Non-Agency Mortgage-Backed Securities — 10.0%
Collateralized Mortgage Obligations — 0.8%
Bear Stearns Alt-A Trust, Series 2004-13,
Class A1, (1 mo. LIBOR US + 0.740%), 3.23%, 11/25/34 (a)		0	(f)		482
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB1,
Class 2A, 4.17%, 05/20/34 (c)		50			50,662
JP Morgan Trust:
Series 2015-3, Class A5, 3.50%, 05/25/45 (b)(c)		705			708,086
Series 2016-2, Class A1, 2.80%, 06/25/46 (b)(c)		593			589,839
					1,349,069
Commercial Mortgage-Backed Securities — 8.8%
CGBAM Commercial Mortgage Trust,
Series 2015-SMRT, Class B, 3.21%, 04/10/28 (b)		830			832,008
Commercial Mortgage Trust:
Series 2013-CR12, Class A2, 2.90%, 10/10/46		243			242,464
Series 2013-SFS, Class A1, 1.87%, 04/12/35 (b)		215			210,232
Series 2014-UBS2, Class A2, 2.82%, 03/10/47		370			369,932
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47		1,110			1,127,595
Series 2015-CR23, Class A2, 2.85%, 05/10/48		3,740			3,733,031
GS Mortgage Securities Trust,
Series 2013-GC16, Class AAB, 3.81%, 11/10/46		1,412			1,442,485
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-CBX, Class A4, 3.48%, 06/15/45		3,000			3,042,126
LB-UBS Commercial Mortgage Trust,
Series 2007-C6, Class AM, 6.11%, 07/15/40 (c)		47			46,995
Morgan Stanley Capital I Trust:

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2012-C4, Class A4, 3.24%, 03/15/45	$	1,900	$	1,918,222
Series 2014-CPT, Class A, 3.35%, 07/13/29 (b)		1,300		1,316,423
Waldorf Astoria Boca Raton Trust,
Series 2016-BOCA, Class A, (1 mo. LIBOR US + 1.350%), 3.83%, 06/15/29 (a)(b)		150		149,996
				14,431,509
Interest Only Commercial Mortgage-Backed Securities — 0.4%
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class XA, 0.76%, 09/15/48 (c)		4,958		189,264
Commercial Mortgage Trust:
Series 2015-CR23, Class XA, 0.95%, 05/10/48 (c)		2,529		94,397
Series 2015-LC21, Class XA, 0.77%, 07/10/48 (c)		6,144		200,364
CSAIL Commercial Mortgage Trust,
Series 2016-C6, Class XA, 1.79%, 01/15/49 (c)		982		84,892
				568,917
Total Non-Agency Mortgage-Backed Securities — 10.0% (Cost: $16,869,598)				16,349,495
U.S. Government Sponsored Agency Securities — 19.6%
Collateralized Mortgage Obligations — 2.5%
Freddie Mac:
Series 3959, Class MA, 4.50%, 11/15/41		198		209,923
Series 3986, Class M, 4.50%, 09/15/41		217		227,811
Series 4253, Class PA, 3.50%, 08/15/41		433		438,725
Series 4274, Class PN, 3.50%, 10/15/35		377		388,825
Series 4390, Class CA, 3.50%, 06/15/50		394		400,177
Series 4459, Class BN, 3.00%, 08/15/43		765		769,936
Series 4482, Class DH, 3.00%, 06/15/42		411		412,036
Series 4493, Class PA, 3.00%, 02/15/44		579		583,798
Series 4494, Class KA, 3.75%, 10/15/42		677		696,024
				4,127,255
Commercial Mortgage-Backed Securities — 0.2%
Freddie Mac, Series KP03, Class A2, 1.78%, 07/25/19		348		346,898
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Fannie Mae, Series 2013-M5, Class X2, 2.21%, 01/25/22 (c)		874		25,141
Freddie Mac, Series KW01, Class X1, 0.98%, 01/25/26 (c)		2,062		110,216
				135,357
Mortgage-Backed Securities — 16.8%
Fannie Mae Mortgage-Backed Securities:
2.50%, 12/01/27-04/01/34 (d)(g)		5,113		5,088,193
3.00%, 09/01/30-04/01/34 (d)(g)		5,381		5,440,497
4.00%, 09/01/33-04/01/34 (d)(g)		7,260		7,540,754
4.50%, 09/01/26		76		78,788
5.00%, 07/01/19-07/01/25		51		52,202
(12 mo. LIBOR US + 1.579%), 2.87%, 07/01/44 (a)(d)		879		888,366
(12 mo. LIBOR US + 1.590%), 3.05%, 10/01/45 (a)(d)		1,504		1,516,560

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Mortgage-Backed Securities (continued)
(12 mo. LIBOR US + 1.590%), 3.14%, 06/01/45 (a)(d)	$	1,168	$	1,181,611
(12 mo. LIBOR US + 1.697%), 2.71%, 07/01/43 (a)(d)		1,549		1,560,982
Freddie Mac Mortgage-Backed Securities:
2.50%, 11/01/27 (d)		729		728,764
5.00%, 12/01/19-09/01/21		8		8,575
5.50%, 05/01/22		38		38,381
(12 mo. LIBOR US + 1.620%), 2.60%, 03/01/45 (a)(d)		1,251		1,256,882
(12 mo. LIBOR US + 1.622%), 3.09%, 05/01/45 (a)(d)		2,072		2,090,957
				27,471,512
Total U.S. Government Sponsored Agency Securities — 19.6% (Cost: $32,219,497)				32,081,022
Total Long-Term Investments — 111.0% (Cost: $181,514,925)				181,054,128

Security	Shares		Value
Short-Term Securities — 8.5%
Dreyfus Treasury Securities Cash Management, Institutional Class, 2.27% (h)		13,866,889	$	13,866,889
Total Short-Term Securities — 8.5% (Cost: $13,866,889)				13,866,889
Options Purchased — 0.0% (Cost: $39,038)				9,196
Total Investments — 119.5% (Cost: $195,420,852)				194,930,213
Liabilities in Excess of Other Assets — (19.5)%				(31,754,386	)
Net Assets — 100.0%			$	163,175,827

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Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio

^(a)  Variable rate security. Rate shown is the rate in effect as of period end.

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

^(c)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

^(d)  All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

^(e)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

^(f)  Amount is less than $500.

^(g)  Represents or includes a TBA transaction.

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

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Reverse Repurchase Agreements

Counterparty	Interest Rate			Trade Date		Maturity Date(a)		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements
RBC Capital Markets, LLC		2.79	%		12/06/18		Open	$	910,000	$	917,594	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		2.79	%		12/31/18		Open		1,091,825		1,099,525	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		2.79	%		01/25/19		Open		811,562		815,524	Corporate Bonds	Open/Demand
BNP Paribas		2.70	%		01/28/19		Open		398,969		400,824	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		2.79	%		02/11/19		Open		937,500		940,988	Corporate Bonds	Open/Demand
Barclays Capital, Inc.		2.75	%		03/04/19		Open		1,840,000		1,843,936	Corporate Bonds	Open/Demand
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,488,000		1,489,574	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		2,052,000		2,054,171	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		466,000		466,493	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		434,000		434,459	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		137,000		137,145	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,995,000		1,997,110	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		699,000		699,739	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		308,000		308,326	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		390,000		390,413	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		851,000		851,900	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,469,000		1,470,554	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,275,000		1,276,349	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,137,000		1,138,203	U.S. Government Sponsored Agency Securities	Up to 30 Days

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio

Counterparty	Interest Rate			Trade Date		Maturity Date(a)		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,203,000		1,204,273	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019	$	1,853,000	$	1,854,960	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,505,000		1,506,592	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,373,000		1,374,452	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,308,000		1,309,384	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		425,000		425,450	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		1,548,000		1,549,637	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		187,000		187,198	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		2.72	%		03/14/19		04/15/2019		229,000		229,242	U.S. Government Sponsored Agency Securities	Up to 30 Days
RBC Capital Markets, LLC		2.79	%		03/14/19		Open		1,781,300		1,783,785	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		2.79	%		03/19/19		Open		736,250		736,935	Corporate Bonds	Open/Demand
								$	30,839,406	$	30,894,735

^(a)  Certain agreements have no stated maturity and can be terminated by either party at any time.

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Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	410,000	CAD	546,295	Royal Bank of Canada	06/19/19	$	373
Net Unrealized Appreciation						$	373

Futures Contracts

Description	Number of Contracts	Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Treasury Bonds (30 Year)	2	06/19/19	$	299	$	8,995
U.S. Treasury Notes (2 Year)	422	06/28/19		89,926		300,144
						309,139
Short Contracts
Euro-Bund	12	06/06/19		2,239		(2,276	)
U.S. Treasury Notes (10 Year)	48	06/19/19		5,963		(9,535	)
U.S. Ultra Treasury Notes (10 Year)	23	06/19/19		3,054		(39,628	)
U.S. Treasury Notes (5 Year)	9	06/28/19		1,042		128
						(51,311	)
					$	257,828

OTC Interest Rate Swaptions Purchased

Paid by the Fund

Received by the Fund

Expiration Date

Exercise Rate

Notional Amount (000)

Description

Rate

Frequency

Rate

Frequency

Counterparty

Value

Put

5-Year Interest Rate Swap, 01/20/27

3.35

%

Semi-annual

3-month LIBOR, 2.60%

Quarterly

Deutsche Bank AG

01/18/22

3.35

%

$1,735

$

9,196

Centrally Cleared Interest Rate Swaps

Paid by the Fund			Received by the Fund			Effective Date			Termination Date	Notional Amount (000)		Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency		Rate	Frequency
3-month LIBOR, 2.60%		Quarterly	1.51%		Semi-annual		N/A		04/21/19	$	20,000	$	8,348	$	6	$	8,342
1.22%		Semi-annual	3-month LIBOR, 2.60%		Quarterly		N/A		05/18/21	$	10,000		227,338		103		227,235
1.30%		Semi-annual	3-month LIBOR, 2.60%		Quarterly		N/A		05/20/21	$	10,000		206,807		103		206,704
3-month LIBOR, 2.60%		Quarterly	2.70%		Semi-annual		01/20/22	(a)	01/20/27	$	580		8,068		5		8,063
												$	450,561	$	217	$	450,344

^(a)  Forward swap.

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps

	Swap Premiums Paid		Swap Premiums Received		Unrealized Appreciation		Unrealized Depreciation
Centrally Cleared Swaps(a)		$217		$—		$450,344		$—

^(a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio

Derivative Financial Instruments Categorized by Risk Exposure

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

Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized appreciation(a)	$	—	$	—	$	—	$	—	$	309,267	$	—	$	309,267
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—		373		—		—		373
Options purchased	Investments at value — unaffiliated(b)		—		—		—		—		9,196		—		9,196
Swaps — centrally cleared	Net unrealized appreciation(a)		—		—		—		—		450,344		—		450,344
		$	—	$	—	$	—	$	373	$	768,807	$	—	$	769,180
Liabilities — Derivative Financial Instruments
Futures contracts	Net unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	51,439	$	—	$	51,439

^(a)  Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

^(b)  Includes options purchased at value as reported in the Schedule of Investments.

For the year ended March 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Futures contracts	$	—	$	—	$	—	$	—	$	(175,996	)	$	—	$	(175,996	)
Forward foreign currency exchange contracts		—		—		—		5,571		—			—		5,571
Swaps		—		2,280		—		—		(252,683	)		—		(250,403	)
	$	—	$	2,280	$	—	$	5,571	$	(428,679	)	$	—	$	(420,828	)
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	—	$	530,530		$	—	$	530,530
Forward foreign currency exchange contracts		—		—		—		373		—			—		373
Options purchased(a)		—		—		—		—		(18,433	)		—		(18,433	)
Swaps		—		—		—		—		(31,158	)		—		(31,158	)
	$	—	$	—	$	—	$	373	$	480,939		$	—	$	481,312

^(a)  Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

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Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts:
Average notional value of contracts — long	$	88,976,369
Average notional value of contracts — short		23,131,226
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		102,500
Options:
Average notional value of swaption contracts purchased		1,735,000
Credit default swaps:
Average notional value — buy protection		—	(a)
Interest rate swaps:
Average notional value — pays fixed rate		25,287,500
Average notional value — receives fixed rate		26,080,000

(a) Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

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

	Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	39,879		$	92,294
Forward foreign currency exchange contracts		373			—
Options(a)		9,196			—
Swaps — Centrally cleared		—			5,082
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	49,448		$	97,376
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(39,879	)		(97,376	)
Total derivative assets and liabilities subject to an MNA	$	9,569		$	—

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

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

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets(a)
Deutsche Bank AG	$	9,196	$	—	$	—	$	—	$	9,196
Royal Bank of Canada		373		—		—		—		373
	$	9,569	$	—	$	—	$	—	$	9,569

^(a)  Net amount represents the net amount receivable from the counterparty in the event of default.

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

Schedule of Investments  (continued) March 31, 2019 BATS: Series S Portfolio

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities	$	—		$	30,640,455	$	—	$	30,640,455
Corporate Bonds(a)		—			99,804,712		—		99,804,712
Capital Trusts(a)		—			109,392		—		109,392
Foreign Agency Obligations		—			638,318		—		638,318
Foreign Government Obligations		—			1,430,734		—		1,430,734
Non-Agency Mortgage-Backed Securities		—			16,349,495		—		16,349,495
U.S. Government Sponsored Agency Securities		—			32,081,022		—		32,081,022
Short-Term Securities		13,866,889			—		—		13,866,889
Options Purchased:
Interest rate contracts		—			9,196		—		9,196
	$	13,866,889		$	181,063,324	$	—	$	194,930,213
Derivative Financial Instruments(b)
Assets:
Foreign currency exchange contracts	$	—		$	373	$	—	$	373
Interest rate contracts		309,267			450,344		—		759,611
Liabilities:
Interest rate contracts		(51,439	)		—		—		(51,439	)
	$	257,828		$	450,717	$	—	$	708,545

^(a)  See above Schedule of Investments for values in each industry.

^(b)  Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $30,894,735 are categorized as Level 2 within the disclosure hierarchy.

During the year ended March 31, 2019, there were no transfers between levels.

See notes to financial statements.

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Statements of Assets and Liabilities

March 31, 2019

	BATS: Series A Portfolio			BATS: Series C Portfolio		BATS: Series E Portfolio
ASSETS
Investments at value — unaffiliated(a)	$	986,727,985		$	370,653,205	$	254,923,136
Cash pledged:
Collateral — OTC derivatives		690,000			—		—
Futures contracts		—			138,710		365,650
Centrally cleared swaps		—			75,000		—
Receivables:
Investments sold		—			—		2,539,082
Capital shares sold		858,369			636,905		1,088,572
Dividends — unaffiliated		1,528			14		649
Interest — unaffiliated		4,381,471			3,549,411		2,669,899
From the Manager		39,298			74,515		47,007
Principal paydowns		4,991			—		—
Variation margin on futures contracts		—			7,686		57,039
Swap premiums paid		8,617			14,772		—
Unrealized appreciation on OTC swaps		376,883			35,265		—
Deferred offering costs		—			—		5,860
Prepaid expenses		45,355			22,865		25,038
Total assets		993,134,497			375,208,348		261,721,932
ACCRUED LIABILITIES
Cash received:
Collateral — OTC derivatives		—			260,000		—
Payables:
Investments purchased		10,085,949			—		17,739,194
Board realignment and consolidation		—			3,879		1,126
Capital shares redeemed		581,453			532,935		4,774
Income dividends		4,125,778			1,247,650		791,747
Interest expense and fees		—			—		53,754
Offering costs		85,521			—		27,594
Trustees’ and Officer’s fees		9,826			3,073		1,572
Other accrued expenses		203,263			153,499		130,884
Variation margin on futures contracts		—			32,230		—
Variation margin on centrally cleared swaps		—			10,510		—
Swap premiums received		742,524			34,210		—
Unrealized depreciation on OTC swaps		13,815			2,105		—
Total accrued liabilities		15,848,129			2,280,091		18,750,645
OTHER LIABILITIES
TOB Trust Certificates		—			—		8,085,000
Total other liabilities		—			—		8,085,000
Total liabilities		15,848,129			2,280,091		26,835,645
NET ASSETS	$	977,286,368		$	372,928,257	$	234,886,287
NET ASSETS CONSIST OF
Paid-in capital	$	987,307,708		$	367,996,581	$	226,618,025
Accumulated earnings (loss)		(10,021,340	)		4,931,676		8,268,262
NET ASSETS	$	977,286,368		$	372,928,257	$	234,886,287
NET ASSET VALUE
Shares outstanding(b)		97,809,003			36,278,387		21,538,714
Net asset value	$	9.99		$	10.28	$	10.91
(a) Investments at cost — unaffiliated	$	995,964,615		$	362,084,221	$	245,954,520
(b) Unlimited number of shares authorized, $0.001 par value

See notes to financial statements.

F I N A N C I A L  S T A T E M E N T S 79

Statements of Assets and Liabilities  (continued)

March 31, 2019

	BATS: Series M Portfolio			BATS: Series P Portfolio			BATS: Series S Portfolio
ASSETS
Investments at value — unaffiliated(a)	$	1,380,701,312		$	—		$	194,930,213
Investments at value — affiliated(b)		—			15,547,936			—
Cash		33,816			34,427,226			—
Cash pledged:
Collateral — OTC derivatives		918,000			—			—
Futures contracts		483,000			210,190			189,920
Centrally cleared swaps		871,960			1,854,570			105,930
Foreign currency at value(c)		—			261			47,235
Receivables:
Investments sold		49,215,028			—			807,060
TBA sale commitments		489,758,594			—			—
Capital shares sold		3,568,618			13,489			2,595,274
Dividends — unaffiliated		64			23,563			730
Dividends — affiliated		—			39,265			—
Interest — unaffiliated		3,309,681			—			1,006,579
From the Manager		154,796			30,617			49,484
Principal paydowns		—			—			11,394
Variation margin on futures contracts		135,664			2,250			39,879
Variation margin on centrally cleared swaps		507			221,715			—
Swap premiums paid		1,088,263			—			—
Unrealized appreciation on:
OTC swaps		707,361			—			—
Forward foreign currency exchange contracts		—			—			373
Prepaid expenses		37,135			12,343			20,875
Total assets		1,930,983,799			52,383,425			199,804,946
LIABILITIES
Cash received:
Collateral — Reverse repurchase agreements		—			—			129,000
Collateral — OTC derivatives		500,000			—			—
Collateral — TBA commitments		1,180,000			—			—
Options written at value(d)		90,750			—			—
TBA sale commitments at value(e)		491,655,481			—			—
Reverse repurchase agreements at value		—			—			30,894,735
Payables:
Investments purchased		631,720,205			—			4,853,867
Board realignment and consolidation		3,795			1,118			1,537
Capital shares redeemed		1,494,480			584,259			142,426
Income dividends		2,610,830			—			378,308
Trustees’ and Officer’s fees		3,599			3,171			1,466
Other accrued expenses		286,194			80,056			130,404
Variation margin on futures contracts		31,558			60,401			92,294
Variation margin on centrally cleared swaps		—			—			5,082
Swap premiums received		1,594,451			—			—
Unrealized depreciation on OTC swaps		38,207			—			—
Total liabilities		1,131,209,550			729,005			36,629,119
NET ASSETS	$	799,774,249		$	51,654,420		$	163,175,827
NET ASSETS CONSIST OF
Paid-in capital	$	815,340,829		$	82,198,985		$	172,382,327
Accumulated loss		(15,566,580	)		(30,544,565	)		(9,206,500	)
NET ASSETS	$	799,774,249		$	51,654,420		$	163,175,827
NET ASSET VALUE
Shares outstanding(f)		83,415,801			5,587,225			17,174,294
Net asset value	$	9.59		$	9.25		$	9.50
(a) Investments at cost — unaffiliated	$	1,374,950,295		$	—		$	195,420,852
(b) Investments at cost — affiliated	$	—		$	15,809,366		$	—
(c) Foreign currency at cost	$	—		$	265		$	47,679
(d) Premiums received	$	106,712		$	—		$	—
(e) Proceeds from TBA sale commitments	$	489,758,594		$	—		$	—
(f) Unlimited number of shares authorized, $0.001 par value

See notes to financial statements.

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Statements of Operations

Year Ended March 31, 2019

	BATS: Series A Portfolio			BATS: Series C Portfolio			BATS: Series E Portfolio
INVESTMENT INCOME
Interest — unaffiliated	$	39,693,031		$	14,481,236		$	7,955,623
Dividends — unaffiliated		836,820			58,522			107,645
Other Income		1,800			948			1,349
Total investment income		40,531,651			14,540,706			8,064,617
EXPENSES
Registration		83,768			40,514			40,457
Accounting services		72,525			52,549			43,081
Professional		48,201			69,400			59,944
Transfer agent		46,001			117,462			24,750
Trustees and Officer		14,590			13,039			9,945
Printing		9,777			15,266			7,929
Custodian		8,784			376			960
Board realignment and consilidation		2,224			4,669			1,400
Pricing		5,732			19,652			46,153
Miscellaneous		15,950			9,520			6,050
Total expenses excluding interest expense		307,552			342,447			240,669
Interest expense and fees(a)		—			—			144,982
Total expenses		307,552			342,447			385,651
Less:
Fees waived and/or reimbursed by the Manager		(303,204	)		(335,653	)		(239,212	)
Total expenses after fees waived and/or reimbursed		4,348			6,794			146,439
Net investment income		40,527,303			14,533,912			7,918,178
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(494,172	)		(3,786,708	)		404,001
Futures contracts		—			1,113,744			(398,803	)
Swaps		390,118			(316,178	)		—
		(104,054	)		(2,989,142	)		5,198
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(6,510,452	)		6,837,753			4,271,474
Futures contracts		—			(703,859	)		(147,446	)
Swaps		347,942			22,262			—
		(6,162,510	)		6,156,156			4,124,028
Realized and unrealized gain (loss)		(6,266,564	)		3,167,014			4,129,226
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	34,260,739		$	17,700,926		$	12,047,404
(a) Related to TOB Trusts.

See notes to financial statements.

F I N A N C I A L  S T A T E M E N T S 81

Statements of Operations  (continued)

Year Ended March 31, 2019

	BATS: Series M Portfolio			BATS: Series P Portfolio			BATS: Series S Portfolio
INVESTMENT INCOME
Interest — unaffiliated	$	26,043,874		$	312,094		$	5,243,539
Dividends — unaffiliated		135,484			—			116,244
Dividends — affiliated		—			595,163			—
Other income		1,536			—			1,626
Total investment income		26,180,894			907,257			5,361,409
EXPENSES
Custodian		160,654			2,861			15,135
Transfer agent		133,950			23,146			31,090
Registration		86,937			29,182			31,276
Pricing		85,275			—			12,769
Accounting services		73,710			35,401			42,413
Professional		58,766			27,136			61,849
Trustees and Officer		18,729			10,433			8,513
Printing		17,845			9,115			11,845
Board realignment and consolidation		5,210			1,246			1,866
Miscellaneous		18,365			5,134			5,764
Total expenses excluding interest expense		659,441			143,654			222,520
Interest expense(a)		—			—			939,692
Total expenses		659,441			143,654			1,162,212
Less:
Fees waived and/or reimbursed by the Manager		(652,106	)		(142,351	)		(219,530	)
Total expenses after fees waived and/or reimbursed		7,335			1,303			942,682
Net investment income		26,173,559			905,954			4,418,727
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(3,886,752	)		—			(950,696	)
Investments — affiliated		—			(398,601	)		—
Foreign currency transactions		—			—			2,952
Forward foreign currency exchange contracts		—			—			5,571
Futures contracts		242,868			203,087			(175,996	)
Swaps		(758,955	)		1,536,691			(250,403	)
		(4,402,839	)		1,341,177			(1,368,572	)
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		17,171,478			—			2,951,369
Investments — affiliated		—			591,100			—
Foreign currency translations		—			(11	)		(6,748	)
Forward foreign currency exchange contracts		—			—			373
Futures contracts		(221,130	)		360,096			530,530
Options written		15,962			—			—
Swaps		(391,955	)		(4,112,425	)		(31,158	)
		16,574,355			(3,161,240	)		3,444,366
Net realized and unrealized gain (loss)		12,171,516			(1,820,063	)		2,075,794
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	38,345,075		$	(914,109	)	$	6,494,521

^(a) See Note 4 of the Notes to Financial Statements for details of short-term borrowings.

See notes to financial statements.

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Statements of Changes in Net Assets

	BATS: Series A Portfolio						BATS: Series C Portfolio
	Year Ended March 31,						Year Ended March 31,
	2019			2018			2019			2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	40,527,303		$	24,809,695		$	14,533,912		$	14,195,947
Net realized gain (loss)		(104,054	)		1,023,141			(2,989,142	)		1,858,623
Net change in unrealized appreciation (depreciation)		(6,162,510	)		(3,262,849	)		6,156,156			(4,155,441	)
Net increase in net assets resulting from operations		34,260,739			22,569,987			17,700,926			11,899,129
DISTRIBUTIONS TO SHAREHOLDERS(a)(b)
Decrease in net assets resulting from distributions to shareholders		(43,556,280	)		(24,000,709	)		(14,687,683	)		(16,106,903	)
CAPITAL SHARE TRANSACTIONS
Shares sold		692,348,692			313,859,125			88,295,064			100,852,867
Shares redeemed		(277,349,588	)		(64,629,298	)		(107,054,054	)		(125,221,980	)
Net increase (decrease) in net assets derived from capital share transactions		414,999,104			249,229,827			(18,758,990	)		(24,369,113	)
NET ASSETS(b)
Total increase (decrease) in net assets		405,703,563			247,799,105			(15,745,747	)		(28,576,887	)
Beginning of year		571,582,805			323,783,700			388,674,004			417,250,891
End of year	$	977,286,368		$	571,582,805		$	372,928,257		$	388,674,004

^(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(b)  Prior year distribution character information and undistributed (distributions in excess of) net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

F I N A N C I A L  S T A T E M E N T S 83

Statements of Changes in Net Assets  (continued)

	BATS: Series E Portfolio						BATS: Series M Portfolio
	Year Ended March 31,						Year Ended March 31,
	2019			2018			2019			2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	7,918,178		$	7,157,687		$	26,173,559		$	17,345,884
Net realized gain (loss)		5,198			1,635,414			(4,402,839	)		(449,064	)
Net change in unrealized appreciation (depreciation)		4,124,028			2,621,284			16,574,355			(11,170,177	)
Net increase in net assets resulting from operations		12,047,404			11,414,385			38,345,075			5,726,643
DISTRIBUTIONS TO SHAREHOLDERS(a)(b)
Decrease in net assets resulting from distributions to shareholders		(9,058,546	)		(7,271,362	)		(28,369,325	)		(21,306,246	)
CAPITAL SHARE TRANSACTIONS
Shares sold		107,337,550			60,408,804			232,427,176			412,562,690
Shares redeemed		(55,582,026	)		(30,756,095	)		(252,659,321	)		(185,019,368	)
Net increase (decrease) in net assets derived from capital share transactions		51,755,524			29,652,709			(20,232,145	)		227,543,322
NET ASSETS(b)
Total increase (decrease) in net assets		54,744,382			33,795,732			(10,256,395	)		211,963,719
Beginning of year		180,141,905			146,346,173			810,030,644			598,066,925
End of year	$	234,886,287		$	180,141,905		$	799,774,249		$	810,030,644

^(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(b)  Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

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Statements of Changes in Net Assets  (continued)

	BATS: Series P Portfolio						BATS: Series S Portfolio
	Year Ended March 31,						Year Ended March 31,
	2019			2018			2019			2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	905,954		$	913,172		$	4,418,727		$	3,752,089
Net realized gain (loss)		1,341,177			(990,090	)		(1,368,572	)		373,610
Net change in unrealized appreciation (depreciation)		(3,161,240	)		1,904,562			3,444,366			(1,895,654	)
Net increase in net assets resulting from operations		(914,109	)		1,827,644			6,494,521			2,230,045
DISTRIBUTIONS TO SHAREHOLDERS(a)(b)
Decrease in net assets resulting from distributions to shareholders		(620,004	)		(549,664	)		(4,649,704	)		(4,838,425	)
CAPITAL SHARE TRANSACTIONS
Shares sold		14,053,229			23,549,473			64,260,569			59,181,234
Shares redeemed		(44,944,841	)		(61,801,345	)		(78,868,632	)		(72,536,659	)
Net decrease in net assets derived from capital share transactions		(30,891,612	)		(38,251,872	)		(14,608,063	)		(13,355,425	)
NET ASSETS(b)
Total decrease in net assets		(32,425,725	)		(36,973,892	)		(12,763,246	)		(15,963,805	)
Beginning of year		84,080,145			121,054,037			175,939,073			191,902,878
End of year	$	51,654,420		$	84,080,145		$	163,175,827		$	175,939,073

^(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(b)  Prior year distribution character information and undistributed (distributions in excess of) net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

F I N A N C I A L  S T A T E M E N T S 85

Statement of Cash Flows Year Ended March 31, 2019

			BATS: Series S Portfolio
CASH PROVIDED (USED FOR) OPERATING ACTIVITIES
Net increase in net assets resulting from operations			$	6,494,521
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
Proceeds from sales of long-term investments and principle paydowns				463,814,158
Purchases of long-term investments				(424,102,599	)
Net purchases of short-term securities				(1,990,050	)
Amortization of premium and accretion of discount on investments and other fees				423,468
Net realized loss on investments				950,696
Net unrealized appreciation on investments and foreign currency translations				(2,951,744	)
(Increase) Decrease in Assets:
Receivables:
Interest — unaffiliated				83,282
Dividends — unaffiliated				6,841
From the Manager				(24,145	)
Principal paydowns				(11,394	)
Variation margin on futures contracts				(39,879	)
Prepaid expenses				(5,933	)
Increase (Decrease) in Liabilities:
Cash received:
Collateral — Reverse repurchase agreements				129,000
Payables:
Interest expense				(206,968	)
Trustees’ and Officer’s fees				(5,570	)
Variation margin on futures contracts				92,294
Variation margin on centrally cleared swaps				285
Board realignment and consolidation				1,537
Other accrued expenses				(10,516	)
Net cash provided by operating activities				42,647,284
CASH USED FOR FINANCING ACTIVITIES
Net borrowing of reverse repurchase agreements				(21,359,747	)
Cash dividends paid to shareholders				(4,664,174	)
Payments on redemption of capital shares				(79,403,086	)
Proceeds from issuance of capital shares				61,694,477
Net cash used for financing activities				(43,732,530	)
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS
Cash impact from foreign exchange fluctuations				(6,750	)
CASH AND FOREIGN CURRENCY
Net increase in restricted and unrestricted cash and foreign currency				(1,091,996	)
Restricted and unrestricted cash and foreign currency at beginning of year				1,435,081
Restricted and unrestricted cash and foreign currency at end of year			$	343,085
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid during the year for interest expense			$	1,146,660
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY TO THE STATEMENTS OF ASSETS AND LIABILITIES
	March 31,
	2019		2018
Cash	$	—	$	938,540
Cash pledged:
Futures contracts		189,920		319,920
Centrally cleared swaps		105,930		98,930
Foreign currency at value		47,235		77,691
	$	343,085	$	1,435,081

See notes to financial statements.

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Financial Highlights

(For a share outstanding throughout each period)

	BATS: Series A Portfolio
	Year Ended March 31,									Period from 09/21/2015(a) to
	2019			2018			2017			03/31/2016
Net asset value, beginning of period	$	10.14		$	10.14		$	9.82		$	10.00
Net investment income(b)		0.53			0.58			0.51			0.48
Net realized and unrealized gain (loss)		(0.11	)		(0.03	)		0.43			(0.27	)
Net increase from investment operations		0.42			0.55			0.94			0.21
Distributions(c)
From net investment income		(0.52	)		(0.49	)		(0.62	)		(0.39	)
From net realized gain		(0.05	)		(0.06	)		—			—
Total distributions		(0.57	)		(0.55	)		(0.62	)		(0.39	)
Net asset value, end of period	$	9.99		$	10.14		$	10.14		$	9.82
Total Return(d)
Based on net asset value		4.31	%		5.55	%		9.76	%		2.07	%(e)
Ratios to Average Net Assets(g)
Total expenses		0.04	%		0.12	%		0.26	%		1.23	%(f)(h)
Total expenses after fees waived and/or reimbursed excluding amortization of offering costs		0.00	%(i)		0.00	%		0.00	%		0.01	%(f)
Net investment income		5.26	%		5.65	%		5.01	%		9.03	%(f)
Supplemental Data
Net assets, end of period (000)	$	977,286		$	571,583		$	323,784		$	38,956
Portfolio turnover rate		43	%		45	%		84	%		45	%

^(a)  Commencement of operations.

^(b)  Based on average shares outstanding.

^(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(d)  Where applicable, assumes the reinvestment of distributions.

^(e)  Aggregate total return.

^(f)  Annualized.

^(g)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended March 31,									Period from 09/21/2015(a) to
	2019			2018			2017			03/31/2016
Investments in underlying funds		0.01	%		0.01	%		0.01	%		0.01	%

^(h)  Organization expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.32%.

⁽ⁱ⁾  Amount is less than 0.005%.

See notes to financial statements.

F I N A N C I A L  H I G H L I G H T S 87

Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series C Portfolio
	Year Ended March 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	10.18		$	10.31		$	10.37		$	10.77		$	10.60
Net investment income(a)		0.39			0.37			0.36			0.38			0.41
Net realized and unrealized gain (loss)		0.10			(0.08	)		(0.04	)		(0.31	)		0.33
Net increase from investment operations		0.49			0.29			0.32			0.07			0.74
Distributions(b)
From net investment income		(0.39	)		(0.37	)		(0.36	)		(0.38	)		(0.40	)
From net realized gain		(0.00	)(c)		(0.05	)		(0.02	)		(0.09	)		(0.17	)
Total distributions		(0.39	)		(0.42	)		(0.38	)		(0.47	)		(0.57	)
Net asset value, end of year	$	10.28		$	10.18		$	10.31		$	10.37		$	10.77
Total Return(d)
Based on net asset value		5.05	%		2.82	%		3.12	%		0.70	%		7.22	%
Ratios to Average Net Assets
Total expenses		0.09	%(e)		0.11	%(e)		0.11	%(e)		0.13	%(e)		0.14	%
Total expenses after fees waived and/or reimbursed		0.00	%(e)(f)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.01	%
Total expenses after fees waived and/or reimbursed and excluding interest expense		0.00	%(e)(f)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%
Net investment income		3.91	%(e)		3.55	%(e)		3.45	%(e)		3.68	%(e)		3.81	%
Supplemental Data
Net assets, end of year (000)	$	372,928		$	388,674		$	417,251		$	353,632		$	361,083
Portfolio turnover rate		55	%		31	%		32	%		53	%		44	%

^(a)  Based on average shares outstanding.

^(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)  Amount is greater than $(0.005) per share.

^(d)  Where applicable, assumes the reinvestment of distributions.

^(e)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended March 31,
		2019			2018			2017			2016
Investments in underlying funds			0.00	%		0.00	%		0.01	%		0.01	%

^(f)  Amount is less than 0.005%.

See notes to financial statements.

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Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series E Portfolio
	Year Ended March 31,												Period from 08/04/2014(a) to
	2019			2018			2017			2016			03/31/2015
Net asset value, beginning of period	$	10.78		$	10.49		$	10.75		$	10.47		$	10.00
Net investment income(b)		0.47			0.45			0.45			0.43			0.28
Net realized and unrealized gain (loss)		0.21			0.30			(0.16	)		0.29			0.48
Net increase from investment operations		0.68			0.75			0.29			0.72			0.76
Distributions(c)
From net investment income		(0.47	)		(0.45	)		(0.45	)		(0.43	)		(0.28	)
From net realized gain		(0.08	)		(0.01	)		(0.10	)		(0.01	)		(0.01	)
Total distributions		(0.55	)		(0.46	)		(0.55	)		(0.44	)		(0.29	)
Net asset value, end of period	$	10.91		$	10.78		$	10.49		$	10.75		$	10.47
Total Return(d)
Based on net asset value		6.44	%		7.22	%		2.78	%		7.15	%		7.70	%(e)
Ratios to Average Net Assets
Total expenses		0.21	%(f)		0.27	%(f)		0.23	%(f)		0.34	%(f)		0.94	%(g)(h)
Total expenses after fees waived and/or reimbursed		0.08	%(f)		0.06	%(f)		0.06	%(f)		0.02	%(f)		0.00	%(g)
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees		0.00	%(f)(i)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(g)
Net investment income		4.35	%(f)		4.17	%(f)		4.21	%(f)		4.17	%(f)		4.07	%(g)
Supplemental Data
Net assets, end of period (000)	$	234,886		$	180,142		$	146,346		$	110,186		$	48,461
Borrowings outstanding, end of period (000)	$	8,085		$	6,625		$	6,625		$	4,835		$	—
Portfolio turnover rate		53	%		100	%		87	%		44	%		30	%

^(a)  Commencement of operations.

^(b)  Based on average shares outstanding.

^(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(d)  Where applicable, assumes the reinvestment of distributions.

^(e)  Aggregate total return.

^(f)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended March 31,
		2019			2018			2017			2016
Investments in underlying funds			0.01	%		0.02	%		0.01	%		0.01	%

^(g)  Annualized.

^(h)  Organization expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.02%.

⁽ⁱ⁾  Amount is less than 0.005%.

See notes to financial statements.

F I N A N C I A L  H I G H L I G H T S 89

Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series M Portfolio
	Year Ended March 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	9.47		$	9.69		$	9.93		$	10.03		$	9.70
Net investment income(a)		0.31			0.25			0.21			0.22			0.20
Net realized and unrealized gain (loss)		0.15			(0.16	)		(0.16	)		0.02			0.37
Net increase from investment operations		0.46			0.09			0.05			0.24			0.57
Distributions(b)
From net investment income		(0.34	)		(0.31	)		(0.29	)		(0.27	)		(0.24	)
From net realized gain		—			—			—			(0.07	)		(0.00	)(c)
Total distributions		(0.34	)		(0.31	)		(0.29	)		(0.34	)		(0.24	)
Net asset value, end of year	$	9.59		$	9.47		$	9.69		$	9.93		$	10.03
Total Return(d)
Based on net asset value		4.94	%		0.91	%		0.51	%		2.44	%		5.91	%
Ratios to Average Net Assets(e)
Total expenses		0.08	%		0.08	%		0.09	%		0.11	%		0.13	%
Total expenses after fees waived and/or reimbursed		0.00	%(f)		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses after fees waived and/or reimbursed and excluding interest expense		0.00	%(f)		0.00	%		0.00	%		0.00	%		0.00	%
Net investment income		3.30	%		2.59	%		2.12	%		2.25	%		2.04	%
Supplemental Data
Net assets, end of year (000)	$	799,774		$	810,031		$	598,067		$	552,687		$	520,933
Portfolio turnover rate(g)		1,209	%		1,515	%		1,728	%		1,789	%		2,258	%

^(a)  Based on average shares outstanding.

^(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)  Amount is greater than $(0.005) per share.

^(d)  Where applicable, assumes the reinvestment of distributions.

^(e)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended March 31,
		2019			2018			2017			2016			2015
Investments in underlying funds			0.00	%		0.01	%		0.01	%		0.01	%		0.01	%

^(f)  Amount is less than 0.005%.

^(g)  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	Year Ended March 31,
		2019	2018			2017			2016			2015
Portfolio turnover rate (excluding MDRs)		683%		833	%		1,040	%		1,090	%		1,356	%

See notes to financial statements.

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Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series P Portfolio
	Year Ended March 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	9.56		$	9.38		$	8.95		$	9.38		$	10.24
Net investment income(a)		0.12			0.08			0.09			0.10			0.07
Net realized and unrealized gain (loss)		(0.34	)		0.15			0.34			(0.53	)		(0.93	)
Net increase (decrease) from investment operations		(0.22	)		0.23			0.43			(0.43	)		(0.86	)
Distributions(b)
From net investment income		(0.09	)		(0.05	)		—			—			—
Total distributions		(0.09	)		(0.05	)		—			—			—
Net asset value, end of year	$	9.25		$	9.56		$	9.38		$	8.95		$	9.38
Total Return(c)
Based on net asset value		(2.32	)%		2.49	%		4.80	%		(4.48	)%		(8.40	)%
Ratios to Average Net Assets(d)
Total expenses		0.20	%		0.19	%		0.13	%		0.11	%		0.12	%
Total expenses after fees waived and/or reimbursed		0.00	%(e)		0.00	%		0.00	%		0.00	%		0.00	%
Net investment income		1.24	%		0.89	%		1.00	%		1.04	%		0.67	%
Supplemental Data
Net assets, end of year (000)	$	51,654		$	84,080		$	121,054		$	221,470		$	322,498
Portfolio turnover rate		0	%		6	%		10	%		0	%		0	%

^(a)  Based on average shares outstanding.

^(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)  Where applicable, assumes the reinvestment of distributions.

^(d)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended March 31,
		2019			2018			2017			2016			2015
Investments in underlying funds			0.16	%		0.17	%		0.08	%		0.05	%		0.04	%

^(e)  Amount is less than 0.005%.

See notes to financial statements.

F I N A N C I A L  H I G H L I G H T S 91

Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series S Portfolio
	Year Ended March 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	9.38		$	9.53		$	9.54		$	9.76		$	9.84
Net investment income(a)		0.25			0.20			0.19			0.26			0.23
Net realized and unrealized gain (loss)		0.13			(0.09	)		0.11			(0.15	)		(0.05	)
Net increase from investment operations		0.38			0.11			0.30			0.11			0.18
Distributions(b)
From net investment income		(0.26	)		(0.26	)		(0.31	)		(0.33	)		(0.26	)
From net realized gain		—			—			—			—			—
Total distributions		(0.26	)		(0.26	)		(0.31	)		(0.33	)		(0.26	)
Net asset value, end of year	$	9.50		$	9.38		$	9.53		$	9.54		$	9.76
Total Return(c)
Based on net asset value		4.11	%		1.15	%		3.21	%		1.18	%		1.81	%(d)
Ratios to Average Net Assets
Total expenses		0.69	%(e)		0.76	%(e)		0.48	%		0.31	%		0.16	%
Total expenses after fees waived and/or reimbursed		0.56	%(e)		0.59	%(e)		0.34	%		0.18	%		0.02	%
Total expenses after fees waived and/or reimbursed and excluding interest expense		0.00	%(e)(f)		0.00	%(e)		0.00	%		0.00	%		0.00	%
Net investment income		2.62	%(e)		2.11	%(e)		2.37	%		2.91	%		2.32	%
Supplemental Data
Net assets, end of year (000)	$	163,176		$	175,939		$	191,903		$	238,237		$	266,124
Portfolio turnover rate(g)		184	%		263	%		279	%		270	%		318	%

^(a)  Based on average shares outstanding.

^(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)  Where applicable, assumes the reinvestment of distributions.

^(d)  Includes a payment by an affiliate to compensate for investments erroneously made in violation of the investment guidelines, which impacted the Fund’s total return. Excluding this payment, the Fund’s total return would have been 1.70%.

^(e)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

	Year Ended March 31,
		2019			2018
Investments in underlying funds			0.01	%		0.01	%

^(f)  Amount is less than 0.005%.

^(g)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

	Year Ended March 31,
		2019			2018			2017			2016			2015
Portfolio turnover rate (excluding MDRs)			112	%		148	%		163	%		178	%		239	%

See notes to financial statements.

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Notes to Financial Statements

1. ORGANIZATION

BlackRock Allocation Target Shares (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. The following, each of which is a series of the Trust, are referred to herein collectively as the “Funds” or individually as a “Fund”:

Fund Name	Herein Referred To As	Diversification Classification
BATS: Series A Portfolio	Series A	Diversified(a)
BATS: Series C Portfolio	Series C	Diversified
BATS: Series E Portfolio	Series E	Diversified
BATS: Series M Portfolio	Series M	Diversified
BATS: Series P Portfolio	Series P	Diversified
BATS: Series S Portfolio	Series S	Diversified

^(a)  The Fund’s classification changed from non-diversified to diversified during the reporting period.

Shares of the Funds are offered to separate account clients of the adviser, BlackRock Advisors, LLC (the “Manager”) or certain of its affiliates. Series A is also offered to collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser, and mutual funds advised by the Manager or its affiliates. Participants in wrap-fee programs pay a single aggregate fee to the program sponsor for all costs and expenses of the wrap-fee programs including investment advice and portfolio execution.

The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Defensive Positions: Investment policies may vary for temporary defensive purposes during periods in which the investment adviser believes that conditions in the securities markets or other economic, financial or political conditions warrant. Under such conditions, a Fund may invest up to 100% of its total assets in U.S. Government securities, certificates of deposit, repurchase agreements that involve purchases of debt securities, bankers’ acceptances and other bank obligations, commercial paper, money market funds and/or other debt securities, or may hold its assets in cash. The investment adviser applies this defensive posture as applicable and is consistent with each Fund’s investment policies.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls, to-be-announced (“TBA”) sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions and TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared daily and paid monthly, except for Series P, which declares and pays dividends at least annually. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Trust’s Board effective January 1, 2019, the independent Trustees (“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.

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Notes to Financial Statements  (continued)

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization on Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management continues to evaluate the impact of this guidance to the Funds.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate the impact of this guidance to the Funds.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Funds have an arrangement with their custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Funds may incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

• Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots often 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), 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.

• Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

• Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

• Futures contracts traded on exchanges are valued at their last sale price.

• 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. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

• Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

• Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

• TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the 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

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Notes to Financial Statements  (continued)

price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

	Standard Inputs Generally Considered By Third Party Pricing Services
Market approach	(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii)   market multiples of comparable issuers.
Income approach	(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
Cost approach	(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii)   relevant news and other public sources; and (iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access

• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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Notes to Financial Statements  (continued)

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.

Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless

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Notes to Financial Statements  (continued)

all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of 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.

In order to better define contractual rights and to secure rights that will help a fund mitigate their counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: Certain funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and 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.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or

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broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the year ended March 31, 2019, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate were as follows:

	Average Borrowings		Daily Weighted Average Interest Rate
Series S	$	40,475,372		2.29	%

Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of Series S’ open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

Counterparty	Reverse Repurchase Agreements		Fair Value of Non-cash Collateral Pledged Including Accrued Interest(a)	Net Amount
Barclays Capital Inc.	$	1,843,936	$  (1,843,936)	$—
BNP Paribas		400,824	(400,824)	—
Citigroup Global Markets, Inc.		22,355,622	(22,355,622)	—
RBC Capital Markets, LLC		6,294,353	(6,294,353)	—
	$	30,894,735	$(30,894,735)	$—

^(a)  Collateral with a value of $32,926,997 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

Municipal Bonds Transferred to TOB Trusts: Certain funds leverage their assets through the use of “TOB Trust” transactions. The funds transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a fund provide the fund with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The funds may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a fund has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates are remarketed by a Remarketing Agent. In the event of a failed remarketing, the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on number of days the loan is outstanding.

The TOB Trust may be collapsed without the consent of a fund, upon the occurrence of a termination event as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Funds) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.

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Notes to Financial Statements  (continued)

While a fund’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. Each fund’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a fund. A fund typically invests the cash received in additional municipal bonds.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a fund’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:

	Interest Expense		Liquidity Fees		Other Expenses		Total
Series E	$	130,375	$	11,983	$	2,624	$	144,982

For the year March 31, 2019, the following table is a summary of each Fund’s TOB Trusts:

	Underlying Municipal Bonds Transferred to TOB Trusts(a)		Liability for TOB Trust Certificates(b)		Range of Interest Rates on TOB Trust Certificates at Period End		Average TOB Trust Certificates Outstanding		Daily Weighted Average Rate of Interest and Other Expenses on TOB Trusts
Series E		$15,328,913		$8,085,000		1.52% - 1.55%		$6,604,863		2.09	%

^(a)  The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the funds, as a TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the funds, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.

^(b)  TOB Trusts may be structured on a non-recourse or recourse basis. When a fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a fund invests in a TOB Trust on a recourse basis, a fund enters into a reimbursement agreement with the Liquidity Provider where a fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a fund invests in a recourse TOB Trust, a fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a fund at March 31, 2019, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a fund at March 31, 2019.

5. DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, 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

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currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

• Swaptions — Certain Funds purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is notated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

• Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or

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underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

• Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each 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, each 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. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory services. The Manager receives no advisory fee from the Funds under the Investment Advisory Agreement.

Service and Distribution Fees: The Trust, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager.

Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive all fees and pay or reimburse all operating expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses. This agreement has no fixed termination date. With respect to Series C, Series E, Series M, Series P and Series S, the Manager does not charge the Funds a management fee, although investors in the Funds will pay a fee to BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, or their managed account program sponsor. With respect to Series A, the Manager does not charge the Fund a management fee, although investors in the Fund that are (i) retail and institutional separately managed account clients of BIM will pay a fee to BIM or their managed account program sponsor, (ii) participants in the collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of the Manager, that invest in the Fund will pay a fee to BTC, and (iii) mutual funds that are advised by the Manager or its affiliates will pay the Manager or its affiliate a management fee pursuant to a management agreement between each such fund and BlackRock or its affiliate. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations.

Although the Funds do not compensate the Manager directly for its services under the Investment Advisory Agreement, because each Fund is an investment option for certain wrap-fee or other separately managed account program clients, the Manager may benefit from the fees charged to such clients who have retained the Manager’s affiliates to manage their accounts. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The waivers were as follows:

Series A	$	303,204
Series C		335,653
Series E		239,212

N O T E S  T O  F I N A N C I A L  S T A T  E M E N T S 101

Notes to Financial Statements  (continued)

Series M	652,106
Series P	142,351
Series S	219,530

Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Series A, Series E and Series P are currently permitted to borrow and lend and Series C, Series M and Series S are currently permitted to borrow under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets, to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended March 31, 2019, the Funds did not participate in the Interfund Lending Program.

Trustees and Officers: Certain trustees and/or officers of the Trust are trustees and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

7. PURCHASES AND SALES

For the year ended March 31, 2019, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:

Purchases	Series A		Series C		Series E		Series M		Series P		Series S
Non-U.S. Government Securities		$756,621,949		$165,101,302		$143,576,675		$11,738,159,711		$—		$394,410,405
U.S. Government Securities		—		36,867,505		—		17,339,033		—		2,343,473
Total Purchases		$756,621,949		$201,968,807		$143,576,675		$11,755,498,744		$—		$396,753,878
Sales	Series A		Series C		Series E		Series M		Series P		Series S
Non-U.S. Government Securities (includes paydowns)		$313,212,858		$190,535,330		$97,680,070		$11,869,633,474		$9,603,868		$461,935,805
U.S. Government Securities		—		29,855,228		—		8,382,478		—		2,351,823
Total Sales		$313,212,858		$220,390,558		$97,680,070		$11,878,015,952		$9,603,868		$464,287,628

For the year ended March 31, 2019, purchases and sales related to mortgage dollar rolls were as follows:

	Series M		Series S
Purchases		$5,120,254,447		$153,775,520
Sales		5,122,719,734		153,908,290

8. INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns, except with respect to Series A, generally remains open for each of the four years ended March 31, 2019. The statute of limitations on Series A’s U.S. federal tax returns generally remains open for each of the three years ended March 31, 2019 and the period ended March 31, 2016. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of March 31, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

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Notes to Financial Statements  (continued)

The tax character of distributions paid was as follows:

	Series A		Series C		Series E		Series M		Series P		Series S
Tax-exempt income(a)
3/31/19	$	—	$	—	$	7,876,747	$	—	$	—	$	—
3/31/18	$	—	$	—	$	7,135,621	$	—	$	—	$	—
Ordinary income
3/31/19		42,880,889		14,646,689		227,513		28,369,325		620,004		4,649,704
3/31/18		23,909,987		14,198,725		13,107		21,306,246		549,664		4,838,425
Long-term capital gains(b)
3/31/19		675,391		40,994		954,286		—		—		—
3/31/18		90,722		1,908,178		122,634		—		—		—
Total
3/31/19	$	43,556,280	$	14,687,683	$	9,058,546	$	28,369,325	$	620,004	$	4,649,704
3/31/18	$	24,000,709	$	16,106,903	$	7,271,362	$	21,306,246	$	549,664	$	4,838,425

^(a)  The Funds designate these amounts paid during the fiscal year ended March 31, 2019 as exempt-interest dividends.

^(b)  The Funds designate these amounts paid during the fiscal year ended March 31, 2019 as 20% rate long-term gain dividends.

As of period end, the tax components of accumulated net earnings (losses) were as follows:

	Series A			Series C			Series E			Series M			Series P			Series S
Undistributed tax-exempt income	$	—		$	—		$	20,992		$	—		$	—		$	—
Undistributed ordinary income		—			—			2,670			1,389,885			271,454			—
Non-expiring capital loss carryforwards(a)		—			(2,491,680	)		—			(20,600,892	)		(29,016,387	)		(8,851,845	)
Net unrealized gains (losses)(b)		(9,225,365	)		8,513,822			8,911,596			3,644,427			(1,799,632	)		(354,655	)
Qualified late year losses(c)		(795,975	)		(1,090,466	)		(666,996	)		—			—			—
	$	(10,021,340	)	$	4,931,676		$	8,268,262		$	(15,566,580	)	$	(30,544,565	)	$	(9,206,500	)

^(a)  Amounts available to offset future realized capital gains.

^(b)  The differences between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, amortization methods for discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gain on investments in passive foreign investment companies, the realization for tax purposes of unrealized gains/losses on certain options and futures contracts, the accounting for swap agreements, the treatment of residual interests in tender option bond trusts and the classification of investments.

^(c)  The Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

During the year ended March 31, 2019, Series P utilized $1,381,177 of its capital loss carryforward.

As of March 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Series A			Series C			Series E			Series M			Series P			Series S
Tax cost	$	995,969,934		$	362,173,468		$	237,926,367		$	1,375,006,931		$	15,875,917		$	195,430,299
Gross unrealized appreciation	$	9,499,161		$	10,852,360		$	9,534,951		$	13,843,557		$	861,384		$	1,626,738
Gross unrealized depreciation		(18,381,554	)		(2,263,535	)		(623,182	)		(10,199,130	)		(2,661,012	)		(1,671,626	)
Net unrealized appreciation (depreciation)	$	(8,882,393	)	$	8,588,825		$	8,911,769		$	3,644,427		$	(1,799,628	)	$	(44,888	)

9. BANK BORROWINGS

The Trust, on behalf of the Funds, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2019 unless extended or renewed. Prior to April 19, 2018, the aggregate commitment amount was $2.1 billion and the fee was 0.12% per annum. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statements of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended March 31, 2019, the Funds did not borrow under the credit agreement.

10. PRINCIPAL RISKS

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market

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Notes to Financial Statements  (continued)

making capacity could potentially decrease a Fund’s ability to buy or sell bonds. As a result, a Fund may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Fund needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Each Fund’s prospectus provides details of the risks to which each Fund is subject.

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Series E structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

Should short-term interest rates rise, Series E’s investments in TOB Trusts may adversely affect Series E’s net investment income and dividends to shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect Series E’s NAV per share.

The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect Series E’s ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and Series E, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid than and have more volatile prices than higher quality securities.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. 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.

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Notes to Financial Statements  (continued)

11. CAPITAL SHARE TRANSACTIONS

Transactions in capital shares were as follows:

	Year Ended 03/31/19			Year Ended 03/31/18
Series A
Shares sold		69,144,009			30,751,996
Shares redeemed		(27,690,251	)		(6,319,617	)
Net increase		41,453,758			24,432,379
Series C
Shares sold		8,827,667			9,671,665
Shares redeemed		(10,736,125	)		(11,973,055	)
Net decrease		(1,908,458	)		(2,301,390	)
Series E
Shares sold		10,019,529			5,610,010
Shares redeemed		(5,189,013	)		(2,853,357	)
Net increase		4,830,516			2,756,653
Series M
Shares sold		24,770,907			42,936,693
Shares redeemed		(26,871,015	)		(19,129,335	)
Net increase (decrease)		(2,100,108	)		23,807,358
Series P
Shares sold		1,454,951			2,507,403
Shares redeemed		(4,667,254	)		(6,608,248	)
Net decrease		(3,212,303	)		(4,100,845	)
Series S
Shares sold		6,846,900			6,236,573
Shares redeemed		(8,424,603	)		(7,626,335	)
Net decrease		(1,577,703	)		(1,389,762	)

12. REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Funds have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed (distributions in excess of) net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended March 31, 2018 were classified as follows:

	Net Investment Income		Net Realized Gain
Series A	$	23,435,702	$	565,007
Series C		14,198,725		1,908,178
Series E		7,142,855		128,477
Series M		21,306,246		—
Series P		549,664		—
Series S		4,838,425		—

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Notes to Financial Statements  (continued)

Undistributed (distributions in excess of) net investment income as of March 31, 2018 is as follows:

	Undistributed (Distributions in Excess of) Net Investment Income
Series A		$ 1,868,628
Series C		(45,124)
Series E		56,581
Series M		1,235,791
Series P		114,383
Series S		(317,687)

13. SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date of the financial statements were issued and the following item was noted:

Effective April 18, 2019, the credit agreement was extended until April 2020 under the same terms.

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Report of Independent Registered Public Accounting Firm

To the Shareholders of BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio and the Board of Trustees of the BlackRock Allocation Target Shares:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, and BATS: Series S Portfolio of BlackRock Allocation Target Shares (the “Funds”), including the schedules of investments, as of March 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the periods indicated in the table below, the statement of cash flows for BATS: Series S Portfolio for the year then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of March 31, 2019, and the results of their operations and BATS: Series S Portfolio’s cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

Fund	Financial Highlights
BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, BATS: Series S Portfolio	For each of the three years in the period ended March 31, 2019.
BATS: Series A Portfolio	For each of the three years in the period ended March 31, 2019 and for the period from September 21, 2015 (commencement of operations) through March 31, 2016.
BATS: Series E Portfolio	For each of the four years in the period ended March 31, 2019 and for the period from August 4, 2014 (commencement of operations) through March 31, 2015.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2019, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

May 21, 2019

We have served as the auditor of one or more BlackRock investment companies since 1992.

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Important Tax Information  (unaudited)

The following information is provided with respect to the ordinary income distributions paid by the Funds for the fiscal year ended March 31, 2019.

Interest Related Dividends and Qualified Short-Term Capital Gains for Non-U.S. Residents(a)
	April 2018		May 2018 — December 2018		January 2019 — March 2019
Series A	54.00	%	61.77	%	76.15	%
Series C	72.72		74.48		77.26
Series E	N/A		100.00		N/A
Series M	97.86		93.47		100.00
Series P	N/A		33.49		N/A
Series S	55.39		50.73		100.00
Federal Obligation Interest(b)
					April 2018 — March 2019
Series C					0.48%
Series M					1.28%
Qualified Dividend Income for Individuals (c)
	April 2018		May 2018 — December 2018		January 2019 — March 2019
Series C	4.18%		4.95%		3.55%
Dividends Qualifying for the Dividends Received Deduction for Corporations(c)
					April 2018 — March 2019
Series C					3.88%

^(a)  Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

^(b)  The law varies in each state as to whether and what percentage of ordinary income distributions is eligible for exemption from state income tax. We recommend that you consult your tax advisor to determine if any portion of the distributions you received are exempt from state income tax.

^(c)  The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

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Trustee and Officer Information

Independent Trustees(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Direc- torships Held During Past Five Years
Richard E. Cavanagh 1946	Co-Chair of the Board and Trustee (Since 2019)	Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.	88 RICs consisting of 112 Portfolios	None
Karen P. Robards 1950	Co-Chair of the Board and Trustee (Since 2019)	Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.	88 RICs consisting of 112 Portfolios	Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017
Michael J. Castellano 1946	Trustee (Since 2019)	Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.	88 RICs consisting of 112 Portfolios	None
Cynthia L. Egan 1955	Trustee (Since 2019)	Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.	88 RICs consisting of 112 Portfolios	Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016
Frank J. Fabozzi 1948	Trustee (Since 2019)	Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011.	88 RICs consisting of 112 Portfolios	None

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Trustee and Officer Information  (continued)

Independent Trustees(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Direc- torships Held During Past Five Years
Henry Gabbay 1947	Trustee (Since 2007)	Board Member, BlackRock Equity-Bond Board from 2007 to 2018; Board Member, BlackRock Equity-Liquidity and BlackRock Closed-End Fund Boards from 2007 through 2014; Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly, BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	88 RICs consisting of 112 Portfolios	None
R. Glenn Hubbard 1958	Trustee (Since 2019)	Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.	88 RICs consisting of 112 Portfolios	ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014
W. Carl Kester 1951	Trustee (Since 2019)	George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.	88 RICs consisting of 112 Portfolios	None
Catherine A. Lynch 1961	Trustee (Since 2019)	Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.	88 RICs consisting of 112 Portfolios	None

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Trustee and Officer Information  (continued)

Interested Trustees(a)(d)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Robert Fairbairn 1965	Trustee (Since 2015)	Senior Managing Director of BlackRock, Inc. since 2010; oversees BlackRock’s Strategic Partner Program and Strategic Product Management Group; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.	129 RICs consisting of 297 Portfolios	None
John M. Perlowski 1964	Trustee (Since 2015), President and Chief Executive Officer (Since 2010)	Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.	129 RICs consisting of 297 Portfolios	None

^(a)  The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

^(b)  Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.

^(c)  Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Certain other Independent Trustees became members of the boards of the closed-end funds in the Fixed-Income Complex as follows: Michael J. Castellano, 2011; Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016.

^(d)  Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

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Trustee and Officer Information  (continued)

Officers Who Are Not Trustees(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)	Principal Occupation(s) During Past Five Years
Jennifer McGovern 1977	Vice President (Since 2014)	Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013.
Neal J. Andrews 1966	Chief Financial Officer (Since 2007)	Chief Financial Officer of the iShares® exchange traded funds since 2019; Managing Director of BlackRock, Inc. since 2006.
Jay M. Fife 1970	Treasurer (Since 2007)	Managing Director of BlackRock, Inc. since 2007.
Charles Park 1967	Chief Compliance Officer (Since 2014)	Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
John MacKessy 1972	Anti-Money Laundering Compliance Officer (Since 2018)	Director of BlackRock, Inc. since 2017; Global Head of Anti-Money Laundering at BlackRock, Inc. since 2017; Director of AML Monitoring and Investigations Group of Citibank from 2015 to 2017; Global Anti-Money Laundering and Economic Sanctions Officer for MasterCard from 2011 to 2015.
Benjamin Archibald 1975	Secretary (Since 2012)	Managing Director of BlackRock, Inc. since 2014; Director of BlackRock, Inc. from 2010 to 2013; Secretary of the iShares® exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.
(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Officers of the Trust serve at the pleasure of the Board.

Further information about the Trust’s Trustees and Officers is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

At a special meeting of shareholders held on November 21, 2018, each Fund’s shareholders elected Truetees who took office on January 1, 2019. The newly elected Trustees include three former Trustees and eight individuals who served as directors/trustees of the funds in the BlackRock Closed-End Complex.

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent, Administrator and Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Custodian

The Bank of New York Mellon

New York, NY 10286

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA, 02116

Distributor

BlackRock Investments, LLC

New York, NY 10022

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trust

100 Bellevue Parkway

Wilmington, DE 19809

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Additional Information

Proxy Results

A Special Meeting of Shareholders was held on November 21, 2018 for shareholders of record on September 24, 2018, to elect a Board of Trustees of the Trust. The newly elected Trustees took office effective January 1, 2019.

Shareholders approved the Trustees* of BlackRock Allocation Target Shares with voting results as follows:

	Votes For		Votes Withheld
Michael J. Castellano		236,146,321		0
Richard E. Cavanagh		236,146,321		0
Cynthia L. Egan		236,146,321		0
Frank J. Fabozzi		236,146,321		0
Robert Fairbairn		236,146,321		0
Henry Gabbay		236,146,321		0
R. Glenn Hubbard		236,146,321		0
W. Carl Kester		236,146,321		0
Catherine A. Lynch		236,146,321		0
John M. Perlowski		236,146,321		0
Karen P. Robards		236,146,321		0

* Denotes Trust-wide proposal and voting results.

The above Trustees, referred to as the BlackRock Fixed-Income Board, have also been elected to serve as trustees for other BlackRock-advised non-index fixed-income mutual funds and all of the BlackRock-advised closed-end funds.

General Information

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Householding

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

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

A D D I T I O N A L  I N F O R M A T I O N 113

Additional Information  (continued)

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

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Glossary of Terms Used in this Report

Currency
CAD	Canadian Dollar
USD	US Dollar
Portfolio Abbreviations
ABS	Asset-Backed Security
AGM	Assurance Guaranty Municipal Corp.
AMT	Alternative Minimum Tax (subject to)
CLO	Collateralized Loan Obligation
DAC	Designated Activity Company
EDA	Economic Development Authority
GO	General Obligation Bonds
IDA	Industrial Development Authority
LIBOR	London Interbank Offered Rate
OTC	Over-the-counter
RB	Revenue Bonds
REMIC	Real Estate Mortgage Investment Conduit
S&P	S&P Global Ratings
TBA	To-be-announced

G L O S S A R Y  O F  T E R M S  U S E D   I N  T H I S  R E P O R T 115

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

BATS-3/19-AR

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:

Michael Castellano

Frank J. Fabozzi

Henry Gabbay

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

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

Item 4 – Principal Accountant Fees and Services

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

2

	(a) Audit Fees		(b) Audit-Related Fees1		(c) Tax Fees2		(d) All Other Fees
Entity Name	Current     Fiscal Year     End	Previous     Fiscal Year     End	Current     Fiscal Year     End	Previous     Fiscal Year     End	Current     Fiscal Year     End	Previous     Fiscal Year     End	Current     Fiscal Year     End	Previous     Fiscal Year     End
Series A Portfolio	$40,902	$40,902	$0	$38	$15,400	$16,600	$0	$0
Series C Portfolio	$36,006	$36,006	$0	$38	$15,400	$17,200	$0	$0
Series E Portfolio	$41,922	$41,922	$0	$38	$13,400	$14,600	$0	$0
Series M Portfolio	$32,028	$32,028	$0	$38	$15,400	$16,000	$0	$0
Series P Portfolio	$20,400	$20,400	$0	$38	$15,400	$16,000	$0	$0
Series S Portfolio	$36,006	$36,006	$0	$38	$15,400	$16,000	$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	$2,050,500	$2,274,000

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

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

³ Non-audit fees of $2,050,500 and $2,274,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

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

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides 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.

3

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
Series A Portfolio	$15,400	$16,638
Series C Portfolio	$15,400	$17,238
Series E Portfolio	$13,400	$14,638
Series M Portfolio	$15,400	$16,038
Series P Portfolio	$15,400	$16,038
Series S Portfolio	$15,400	$16,038

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

Current Fiscal Year End	Previous Fiscal Year End
$2,050,500	$2,274,000

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.

Item 5 – Audit Committee of Listed Registrants – Not Applicable

Item 6 – Investments

4

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

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

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 – Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) Certifications – Attached hereto

(a)(3) Not Applicable

(a)(4) Not Applicable

(b) Certifications – Attached hereto

5

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: June 5, 2019

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: June 5, 2019
By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	BlackRock Allocation Target Shares

Date: June 5, 2019

6