BLACKROCK ALLOCATION TARGET SHARES

N-CSR 1 d817369dncsr.htm BLACKROCK ALLOCATION TARGET SHARES BLACKROCK ALLOCATION TARGET SHARES

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21457

Name of Fund:

BlackRock Allocation Target Shares

BATS: Series A Portfolio

BATS: Series C Portfolio

BATS: Series E Portfolio

BATS: Series M Portfolio

BATS: Series P Portfolio

BATS: Series S Portfolio

BATS: Series V Portfolio

Fund Address:

100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 03/31/2024

Date of reporting period: 03/31/2024

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.


		MARCH 31, 2024



		2024 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

· BATS: Series V Portfolio

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended March 31, 2024. Higher interest rates helped to rein in inflation, and the Consumer Price Index decelerated substantially while remaining above pre-pandemic levels. A moderating labor market helped ease inflationary pressure, although wages continued to grow. Wage and job growth powered robust consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war has had a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.

Equity returns were robust during the period, as interest rates stabilized and the economy proved to be more resilient than many investors expected. The U.S. economy continued to show strength, and growth further accelerated in the second half of 2023. Large-capitalization U.S. stocks posted particularly substantial gains, supported by the performance of a few notable technology companies, while small-capitalization U.S. stocks’ advance was slower but still robust. Meanwhile, international developed market equities also gained strongly, while emerging market stocks advanced at a more modest pace.

The 10-year U.S. Treasury yield rose during the reporting period, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. However, higher yields drove positive returns overall for 10-year U.S. Treasuries and solid gains in shorter-duration U.S. Treasuries. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.

The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates twice during the 12-month period, but paused its tightening after its July meeting. The Fed also continued to reduce its balance sheet by not replacing some of the securities that reach maturity.

Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has stopped tightening for now, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period despite the market’s hopes for rapid interest rate cuts, as reflected in the ongoing rally. In this new regime, we anticipate greater volatility and dispersion of returns, creating more opportunities for selective portfolio management.

Looking at developed market stocks, we have an overweight stance on U.S. stocks overall, particularly given the promise of emerging AI technologies. We are also overweight Japanese stocks as shareholder-friendly policies generate increased investor interest, although we maintain an underweight stance on European stocks. In credit, there are selective opportunities in the near term despite tighter credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries and hard-currency emerging market bonds.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC



Total Returns as of March 31, 2024

	6-Month		12-Month

U.S. large cap equities (S&P 500^® Index)		23.48%		29.88%

U.S. small cap equities (Russell 2000^® Index)		19.94		19.71

International equities (MSCI Europe, Australasia, Far East Index)		16.81		15.32

Emerging market equities (MSCI Emerging Markets Index)		10.42		8.15

3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)		2.68		5.24

U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)		4.88		(2.44)

U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index)		5.99		1.70

Tax-exempt municipal bonds (Bloomberg Municipal Bond Index)		7.48		3.13

U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)		8.73		11.15
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.


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 Summary		4

About Fund Performance		23

Disclosure of Expenses		23

The Benefits and Risks of Leveraging		23

Derivative Financial Instruments		24

Financial Statements:

Schedules of Investments		25

Statements of Assets and Liabilities		108

Statements of Operations		113

Statements of Changes in Net Assets		116

Financial Highlights		120

Notes to Financial Statements		127

Report of Independent Registered Public Accounting Firm		141

Important Tax Information		142

Statement Regarding Liquidity Risk Management Program		143

Trustee and Officer Information		144

Additional Information		147

Glossary of Terms Used in this Report		150


		3

Fund Summary as of March 31, 2024

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, 2024, the Fund outperformed its broad-based benchmark, the Bloomberg U.S. Universal Index, and outperformed its customized weighted index comprised of 50% Bloomberg U.S. Asset-Backed Securities Index and 50% Bloomberg Non-Agency Investment Grade CMBS Index (the “Reference Benchmark”). Shares of the Fund can be purchased or held only by or on behalf of (i) certain separately managed account clients; (ii) collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser; and (iii) mutual funds advised by BlackRock Advisors, LLC or its affiliates. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Positive contributions to the Fund’s performance relative to the benchmark over the reporting period were led by out-of-benchmark allocations, most notably AAA-rated collateralized loan obligations (“CLOs”). Exposure to non-agency residential mortgage-backed securities (“RMBS”), specifically to Legacy and 2.0 bonds (non-agency RMBS securities issued prior to the end of the global financial crisis in 2008 and securities issued under post global financial crisis regulatory regimes, respectively) also proved additive.

The largest detractor from relative performance was the Fund’s exposure to conduit structures within asset-backed securities (“ABS”) in auto loans and credit card receivables. Commercial mortgage-backed securities (“CMBS”), both senior and subordinated, also detracted from active performance.

Describe recent portfolio activity.

The Fund rotated opportunistically among securitized asset subsectors during the reporting period, increasing risk exposures as the economy has shown continuous strength. Over the reporting period, the Fund slightly increased exposure to CMBS but had the largest increase in CLOs. Allocations to ABS and non-agency RMBS have remained relatively stable. The Fund also decreased its cash-equivalent exposure significantly.

The Fund’s cash position averaged 7.4% during the period and was 5.7% at the end of the period as the Fund used cash and cash equivalents to tactically reduce risk. The Fund’s cash position did not have a material impact on performance during the period.

Describe portfolio positioning at period end.

The Fund ended the period short duration (and corresponding interest rate sensitivity) relative to the benchmark. The Fund was positioned underweight ABS and CMBS relative to the benchmark and had out-of-benchmark exposures to non-agency RMBS and CLOs.

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


4		2 0 2 4 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

Fund Summary as of March 31, 2024 (continued)

BATS: Series A Portfolio

LOGO

The Fund commenced operations on September 21, 2015.

^(a)

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

^(b)

An index representing the union of the US Aggregate Index, US Corporate High Yield Index, Investment Grade 144A Index, Eurodollar Index, US Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment grade or high-yield.

^(c)

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

Performance


	Average Annual Total Returns^(a)

		1 Year		5 Years		Since Inception	^(b)

BATS: Series A Portfolio		8.66	%	3.05	%	4.31	%

Bloomberg U.S. Universal Index		2.67		0.69		1.65
Reference Benchmark		5.35		1.62		2.01

^(a)

See “About Fund Performance” for a detailed description of performance related information.

^(b)

The Fund commenced operations on September 21, 2015.

Past performance is not an indication of future results.

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

Expense Example


Actual							Hypothetical 5% Return

	Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)		Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	1,053.60	$	0.00		$	1,000.00	$	1,025.00	$	0.00		0.00	%

^(a)

For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

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


F U N D S U M M A R Y		5


Fund Summary as of March 31, 2024 (continued)		BATS: Series A Portfolio

Portfolio Information


PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments	^(a)

Asset-Backed Securities	50.7	%
Non-Agency Mortgage-Backed Securities	48.4
Floating Rate Loan Interests	0.6
U.S. Government Sponsored Agency Securities	0.3
Corporate Bonds	—^(b)


CREDIT QUALITY ALLOCATION

Credit Rating^(c)	Percent of Total Investments	^(a)

AAA/Aaa^(d)	34.0	%
AA/Aa	7.6
A	3.9
BBB/Baa	3.8
BB/Ba	4.3
B	1.7
CCC/Caa	2.3
CC/Ca	2.1
C	0.6
N/R	39.7

^(a)	Total investments exclude short-term securities and TBA sale commitments.

^(b)	Amount is less than 0.1%.

^(c)

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

^(d)

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa.


6		2 0 2 4 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


Fund Summary as of March 31, 2024		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, 2024, the Fund outperformed its benchmark, the Bloomberg U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s duration/yield curve positioning was the largest contributor to relative performance during the reporting period. (Duration is a measure of interest rate sensitivity). An allocation to capital securities and an overweight in midstream energy also contributed. (Capital securities are dividend-paying securities that combine some features of both corporate bonds and preferred stocks, while generally providing higher yields to compensate for being less senior in the issuers’ capital structures). The Fund’s underweight in the life insurance sector was the largest detractor from relative performance, followed by underweights in media/entertainment and property/casualty insurance.

Describe recent portfolio activity.

Early in the reporting period, the investment advisor focused on mitigating risk in anticipation of slowing economic growth and a possible mild recession brought about by stringent monetary policies and tight financial conditions. As part of this process, it increased the Fund’s weightings in defensive non-cyclical sectors such as electric utilities and pharmaceuticals. Additionally, the Fund strategically increased its holdings in certain cyclical sectors it believed would be resilient in a mild recession, including specific midstream energy and metals and mining companies.

In the latter half of 2023, positive economic indicators and favorable dynamics in the investment-grade corporate market—specifically, muted supply and high demand from investors seeking yield—prompted the investment adviser to reassess its stance and shift the Fund towards a more “risk-on” approach. This shift initially involved reducing the portfolio’s weighting in defensive non-cyclical sectors and adding lower-quality industrial issues with 30-year maturities. Later in the reporting period, it exchanged these holdings for 10-year bank issues and capital securities. The Fund also took a larger position in emerging market government bonds, based on the category’s attractive relative value compared to U.S. investment-grade issues.

Describe portfolio positioning at period end.

The Fund’s largest overweights were in the banking, foreign agencies, midstream energy and aerospace/defense sectors, while its largest underweights were in food/beverage, media/entertainment, retailers, and diversified manufacturing issues. The Fund’s duration was longer than that of the benchmark.


F U N D S U M M A R Y		7

Fund Summary as of March 31, 2024 (continued)

BATS: Series C Portfolio

LOGO

^(a)

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

^(b)

Bloomberg U.S. Credit Index, an index that measures the investment grade, US dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.

Performance


	Average Annual Total Returns^(a)

		1 Year		5 Years		10 Years

BATS: Series C Portfolio		4.98	%	2.08	%	2.92	%
Bloomberg U.S. Credit Index		4.15		1.39		2.49

^(a)

See “About Fund Performance” for a detailed description of performance related information.

Past

performance is not an indication of future results.

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

Expense Example


Actual							Hypothetical 5% Return

	Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)		Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	1,083.80	$	0.02		$	1,000.00	$	1,024.98	$	0.00		0.00	%

^(a)

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


8		2 0 2 4 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


Fund Summary as of March 31, 2024 (continued)		BATS: Series C Portfolio

Portfolio Information


PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments	^(a)

Corporate Bonds	87.6	%
Preferred Securities	5.0
Foreign Government Obligations	2.9
U.S. Treasury Obligations	1.6
Foreign Agency Obligations	1.5
Municipal Bonds	1.4


CREDIT QUALITY ALLOCATION

Credit Rating^(b)	Percent of Total Investments	^(a)
AAA/Aaa^(c)	1.6	%
AA/Aa	4.2
A	32.6
BBB/Baa	60.6
BB/Ba	1.0

^(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 Global Ratings or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(c)


F U N D S U M M A R Y		9


Fund Summary as of March 31, 2024		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, 2024, the Fund underperformed its broad-based benchmark, the Bloomberg Municipal High Yield Bond Index, but it outperformed its customized weighted index comprised of 65% Bloomberg Municipal Bond Index Total Return Index Value Unhedged/35% Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (the “Customized Reference Benchmark”). Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s positioning in the tax-backed states, corporate-backed, tobacco, other industries, education, and transportation sectors contributed to relative performance. Bonds with positive convexity, primarily those with low coupons trading at a discount to par, generally outpaced their higher-coupon, premium counterparts. (Positive convexity refers to a bond whose price increases by a greater rate as interest rates fall and decreases by a slower pace as rates rise). In terms of ratings categories, holdings in non-rated, BBB, and A rated securities were the primary drivers of relative performance. Issues with maturities of 20 years and longer made a strong contribution to results, as well.

Positioning in the utilities, tax-backed local, school districts, and housing sectors hurt relative performance. An underweight position in bonds with maturities of 15 years and below also detracted, as did an underweight in those rated AA. The Fund’s cash position had no material impact on performance.

Describe recent portfolio activity.

The investment adviser prioritized convexity early in the reporting period, favoring the asymmetrical risk-reward profile offered by lower coupon bonds at the time. As the new year commenced, the investment adviser’s strategy shifted toward enhancing income and bolstering the portfolio’s allocation to high yield bonds in an effort to capitalize on the favorable supply-demand dynamics in this area of the market.

The investment adviser strategically increased the Fund’s cash position late in the period due to significant inflows. It maintained the elevated cash position intentionally to reduce portfolio duration, as it perceived market valuations to be rich and the yields on cash to be relatively attractive. (Duration is a measure of interest rate sensitivity).

Describe portfolio positioning at period end.

The Fund strategically maintained a long position in convexity and discount bonds, while holding an underweight in premium bonds with 5% coupons. At the sector level, the investment adviser favored corporate and education issues. Conversely, it was underweight in tax-backed securities at both the local and state levels, as well as in utilities, school districts, and transportation. The Fund was overweight in non-rated, BBB, and A rated debt, and it was underweight in AA and AAA rated issues. The investment adviser preferred bonds with maturities of over 20 years, and it maintained an underweight in those with maturities of 15 years and below.


10		2 0 2 4 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

Fund Summary as of March 31, 2024 (continued)

BATS: Series E Portfolio

LOGO

The Fund commenced operations on August 4, 2014.

^(a)

The Fund will invest in investment grade and non-investment grade municipal bonds.

^(b)

An index designed to measure the performance of U.S. dollar-denominated high-yield municipal bonds issued by U.S. states, the District of Columbia, U.S. territories and local governments or agencies.

Performance


	Average Annual Total Returns^(a)

		1 Year		5 Years		Since Inception	^(b)

BATS: Series E Portfolio		6.18	%	3.24	%	4.90	%

Bloomberg Municipal High Yield Bond Index		7.91		3.03		4.48
Customized Reference Benchmark^(c)		4.78		2.12		N/A

^(a)

See “About Fund Performance” for a detailed description of performance related information.

^(b)

The Fund commenced operations on August 4, 2014.

^(c)

The Customized Reference Benchmark is comprised of the Bloomberg Municipal Bond Index Total Return Index Value Unhedged (65%) and the Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (35%). The Customized Reference Benchmark commenced on September 30, 2016.

Past performance is not an indication of future results.

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

Expense Example


Actual										Hypothetical 5% Return

				Including Interest Expense and Fees			Excluding Interest Expense and Fees					Including Interest Expense and Fees					Excluding Interest Expense and Fees

	Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)		Expenses Paid During the Period	^(b)		Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(b)
$	1,000.00	$	1,116.00	$	0.45		$	0.00		$	1,000.00	$	1,024.57	$	0.46		$	1,025.00	$	0.00

^(a)

For shares of the Fund, expenses are equal to the annualized expense ratio of 0.09%, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(b)

For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

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


F U N D S U M M A R Y		11


Fund Summary as of March 31, 2024 (continued)		BATS: Series E Portfolio

Portfolio Information


SECTOR ALLOCATION

Sector	Percent of Total Investments	^(a)
County/City/Special District/School District	29.9	%
Utilities	17.8
Education	14.9
Transportation	14.4
Health Care	12.5
Tobacco	6.2
Housing	4.3


CREDIT QUALITY ALLOCATION

Credit Rating^(b)	Percent of Total Investments	^(a)
AAA/Aaa	2.3	%
AA/Aa	10.2
A	21.9
BBB/Baa	10.9
BB/Ba	10.1
B	0.8
N/R	43.8

^(a)	Total investments exclude money market funds.

^(b)


12		2 0 2 4 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


Fund Summary as of March 31, 2024		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, 2024, the Fund outperformed its benchmark, the Bloomberg MBS Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s active benchmark strategy, which implements relative value decisions between specified pools and to-be-announced securities (“TBAs”), contributed positively to relative performance. Relative value positioning between conventional 30-year agency MBS and similar duration U.S. Treasuries also proved additive. Finally, trades expressing a preference for lower coupon agency MBS pools contributed over the period.

Describe recent portfolio activity.

During the reporting period, exposure to fixed rate collateralized mortgage obligations was increased. Within passthrough MBS, exposure within the coupon stack shifted slightly away from lower coupons and toward middle and higher coupons. The allocation to CMBS was modestly decreased over the period while continuing to favor senior conduit and single-asset/single-borrower issues.

Describe portfolio positioning at period end.

Within agency MBS, the Fund preferred specified pools relative to TBAs, with a tilt toward low loan balance pools that provide incremental income relative to seasoned generic pools. The Fund moved to a slight underweight relative to the benchmark in CMBS following the sector’s strong performance in the first quarter of 2024.


F U N D S U M M A R Y		13


Fund Summary as of March 31, 2024 (continued)		BATS: Series M Portfolio

LOGO

^(a)

The Fund will principally invest its assets in investment grade CMBS and RMBS, ABS, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives and dollar rolls.

^(b)

Bloomberg MBS Index, an unmanaged market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg U.S. Aggregate Bond Index. It is comprised of agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income.

Performance


	Average Annual Total Returns^(a)

		1 Year		5 Years		10 Years
BATS: Series M Portfolio		2.19	%	0.11	%	1.50	%
Bloomberg MBS Index		1.39		(0.39	)	1.12

^(a)

See “About Fund Performance” for a detailed description of performance related information.

Past performance is not an indication of future results.

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

Expense Example



	Actual				Hypothetical 5% Return


Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)	Expenses Paid During the Period	^(a)		Beginning Account Value (10/01/23)	Ending Account Value (03/31/24)	Expenses Paid During the Period	^(a)	Annualized Expense Ratio

$ 1,000.00		$ 1,066.80	$ 0.01			$ 1,000.00	$ 1,024.99	$ 0.00		0.00	%

^(a)

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


14		2 0 2 4 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

Fund Summary as of March 31, 2024 (continued)

BATS: Series M Portfolio

Portfolio Information


PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments	^(a)

U.S. Government Sponsored Agency Securities	90.8	%
Non-Agency Mortgage-Backed Securities	7.8
Asset-Backed Securities	1.4


CREDIT QUALITY ALLOCATION

Credit Rating^(b)	Percent of Total Investments	^(a)

AAA/Aaa^(c)	96.8	%
AA/Aa	0.8
A	0.2
BBB/Baa	0.1
N/R	2.1

^(a)	Total investments exclude short-term securities and TBA sale commitments.

^(b)

^(c)


F U N D S U M M A R Y		15


Fund Summary as of March 31, 2024		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, 2024, the Fund outperformed the Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The use and cost of derivatives will result in a negative contribution to returns when interest rates fall; however, the Fund’s strategy is designed to offset these costs by holding shares of BlackRock Allocation Target Shares: Series S Portfolio (“Series S Portfolio”), a short-term proprietary fund. The use of derivatives is necessary to achieve the Fund’s objective and should therefore be evaluated in a portfolio context and not as a standalone strategy. The Fund’s use of derivatives contributed to results given that bond yields moved higher in the period.

The Fund’s position in the Series S Portfolio detracted from performance.

The Fund held cash as collateral in conjunction with its investments in U.S. Treasury futures and interest rate swaps. The cash position had no material impact on performance.

Describe recent portfolio activity.

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

Describe portfolio positioning at period end.

The Fund held positions in U.S. Treasury futures and interest rate swaps, and it had an out-of-benchmark allocation to Series S Portfolio.


16		2 0 2 4 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

Fund Summary as of March 31, 2024 (continued)

BATS: Series P Portfolio

LOGO

^(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, the Bloomberg U.S. Treasury 7-10 Year Bond Index.

^(b)

Bloomberg U.S. Treasury 7-10 Year Bond Index, an index that measures the performance of the U.S. Government bond market and includes public obligations of the U.S. Treasury with a maturity of between seven and up to (but not including) ten years. Securities must be fixed rate and rated investment grade, as defined by the Index methodology.

^(c)

Bloomberg U.S. Bellwether 10 Year Swap Index, an index that provides total returns for swaps with varying maturities. For example, the 10-year swap index measures the total return of investing in 10-year par swaps over time.

Performance


	Average Annual Total Returns^(a)
		1 Year		5 Years		10 Years
BATS: Series P Portfolio		11.44	%	3.79	%	0.99	%
Bloomberg U.S. Treasury 7-10 Year Bond Index		(1.38	)	(0.46	)	1.27
Bloomberg U.S. Bellwether 10 Year Swap Index		(1.89	)	(0.80	)	1.30

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

Past performance is not an indication of future results.

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

Expense Example


Actual							Hypothetical 5% Return

	Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)		Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	1,004.20	$	0.10		$	1,000.00	$	1,024.90	$	0.10		0.02	%

^(a)

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

Portfolio Information

PORTFOLIO COMPOSITION



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


F U N D S U M M A R Y		17


Fund Summary as of March 31, 2024		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, 2024, the Fund outperformed its benchmark, the ICE BofA 1-3 Year U.S. Treasury Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s out-of-benchmark allocations to investment-grade corporate bonds, asset-backed securities (“ABS”), agency residential mortgage-backed securities, residential mortgage-backed securities (“MBS”), commercial mortgage-backed securities (“CMBS”), collateralized loan obligations (“CLOs”), non-agency mortgage-backed securities (“RMBS”), and U.S. agency notes all made positive contributions to performance. Duration and yield curve positioning contributed, as well. (Duration is a measure of interest rate sensitivity).

The Fund’s use of derivatives—specifically, the use of U.S. Treasury futures and swaps to manage duration—detracted, as did holdings in non-U.S. sovereign debt and cash. The Fund’s cash position had no material impact on performance.

Describe recent portfolio activity.

The investment adviser increased the portfolio’s allocation to ABS. It largely added prime auto securities and CLOs, with a preference for issuers with higher levels of credit enhancement and high-quality collateral. In addition, it views CLOs as an attractive source of yield. On the other hand, the investment adviser reduced the allocation to CMBS due in part to the category’s elevated volatility. In addition, the investment adviser decreased the portfolio’s weighting in investment-grade corporates while tactically adjusting its positioning in the category. It also shifted the Fund’s positioning in agency MBS to capitalize on volatility, increasing the weighting as the sector cheapened and reducing the position when it performed well. The allocation to agency MBS rose over the course of the year.

Describe portfolio positioning at period end.

The Fund was positioned with a neutral duration bias following an increase in duration over the first quarter of 2024. Given that the benchmark is comprised solely of U.S. Treasuries, the Fund was underweight in Treasuries and overweight in all other segments of the market.


18		2 0 2 4 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

Fund Summary as of March 31, 2024 (continued)

BATS: Series S Portfolio

LOGO

^(a)

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

^(b)

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

Performance


	Average Annual Total Returns^(a)

		1 Year		5 Years		10 Years

BATS: Series S Portfolio		4.98	%	2.07	%	2.18	%
ICE BofA 1-3 Year U.S. Treasury Index		2.97		1.16		1.07

^(a)

See “About Fund Performance” for a detailed description of performance related information.

Past performance is not an indication of future results.

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

Expense Example


Actual							Hypothetical 5% Return

	Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)		Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	1,040.10	$	0.02		$	1,000.00	$	1,024.98	$	0.00		0.00	%

^(a)

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


F U N D S U M M A R Y		19

Fund Summary as of March 31, 2024 (continued)

BATS: Series S Portfolio

Portfolio Information

PORTFOLIO COMPOSITION



Asset Type	Percent of Total Investments	^(a)

Asset-Backed Securities	34.9	%
Corporate Bonds	26.9
U.S. Government Sponsored Agency Securities	17.4
U.S. Treasury Obligations	10.3
Non-Agency Mortgage-Backed Securities	9.6
Foreign Agency Obligations	0.5
Foreign Government Obligations	0.3
Preferred Securities	0.1

CREDIT QUALITY ALLOCATION



Credit Rating^(b)	Percent of Total Investments	^(a)

AAA/Aaa^(c)	67.8	%
AA/Aa	2.5
A	9.8
BBB/Baa	16.7
N/R	3.2

^(a)	Total investments exclude short-term securities and TBA sale commitments.

^(b)

^(c)


20		2 0 2 4 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


Fund Summary as of March 31, 2024		BATS: Series V Portfolio

Investment Objective

BATS: Series V Portfolio’s (the “Fund”) investment objective is to seek as high a level of income exempt from federal income tax consistent with preservation of capital while seeking to minimize price volatility.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended March 31, 2024, the Fund performed in line with its benchmark, the SIFMA Municipal Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Positive contributors to the Fund’s performance relative to the benchmark included holdings of variable rate demand notes (“VRDNs”) which quickly and efficiently repriced coupons in line with market levels as the Fed maintained a higher rate environment. In addition, opportunistic exposure to select attractively priced municipal commercial paper instruments benefited the Fund’s yield.

There were no material detractors from the Fund’s performance relative to the benchmark for the period. The Fund’s cash position had no material impact on performance.

Describe recent portfolio activity.

The Fund maintained high levels of liquidity while providing an attractive yield primarily through holdings of VRDNs, while opportunistically laddering attractive municipal commercial paper maturities and select fixed-rate exposures to tax-backed local credits through both municipal note and bond holdings.

Describe portfolio positioning at period end.

The Fund maintained a bias for daily and weekly reset VRDNs while also maintaining select exposure to longer-dated commercial paper and municipal note holdings. The Fund’s weighted average maturity of 14 days was longer than the benchmark’s 7 days, as the Fund remained opportunistic given the volatile rate environment, holding select fixed-rate exposures where yields appeared attractive relative to expected VRDN yields.


F U N D S U M M A R Y		21

Fund Summary as of March 31, 2024 (continued)

BATS: Series V Portfolio

LOGO

The Fund commenced operations on May 5, 2021.

^(a)

The Fund will principally invest in a broad range of short-term obligations issued by or on behalf of states, territories and possessions of the United States, the District of Columbia, and their respective authorities, agencies, instrumentalities and political subdivisions, the interest of which, in the opinion of counsel to the issuer of the obligation, is exempt from regular federal income tax.

^(b)

A 7-day high-grade market index comprised of tax-exempt variable rate demand obligations with certain characteristics. The index is calculated and published by Bloomberg.

Performance


	Average Annual Total Returns^(a)
		1 Year		Since Inception	^(b)

BATS: Series V Portfolio		3.44	%	1.81	%
SIFMA Municipal Swap Index		3.42		1.84

^(a)

See “About Fund Performance” for a detailed description of performance related information.

^(b)

Commencement of operations on May 5, 2021.

Past performance is not an indication of future results.

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

Expense Example



		Actual					Hypothetical 5% Return


	Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)		Beginning Account Value (10/01/23)		Ending Account Value (03/31/24)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio

$	1,000.00	$	1,017.20	$	0.03		$	1,000.00	$	1,024.97	$	0.05		0.01	%

^(a)

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

Portfolio Information

SECTOR ALLOCATION



Sector	Percent of Total Investments

Utilities	23.5	%
Health Care	19.8

County/City/Special District/School District	18.0

Housing	17.6
Education	16.8
Transportation	4.3


22		2 0 2 4 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

About Fund Performance

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Refer to blackrock.com to obtain performance data current to the most recent month-end. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Figures shown in the performance tables assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date or payable date, as applicable. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

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

Disclosure of Expenses

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

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

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

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

The Benefits and Risks of Leveraging

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

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

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

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

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

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


A B O U T F U N D P E R F O R M A N C E / D I S C L O S U R E O F E X P E N S E S / T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G		23

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.


24		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities
510 Loan Acquisition Trust, Series 2020-1, Class A, 8.11%, 09/25/60^(a)(b)	USD		490	$	487,475
522 Funding CLO Ltd.
Series 2018-3A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.63%, 10/20/31^(a)(c)			500		500,050
Series 2019-5A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.64%, 04/15/35^(a)(c)			430		430,218
ABFC Trust, Series 2007-WMC1, Class A2B, (1-mo. CME Term SOFR + 1.11%), 6.44%, 06/25/37^(c)			2,775		2,154,634
AccessLex Institute, Series 2007-A, Class A3, (3-mo. CME Term SOFR + 0.56%), 5.89%, 05/25/36^(c)			2,100		2,061,809
Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.61%, 02/15/29^(a)			1,973		1,968,310
AGL CLO 1 Ltd., Series 2019-1A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/20/34^(a)(c)			400		399,003
AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.74%, 07/20/34^(a)(c)			4,000		4,002,240
AGL CLO 14 Ltd.
Series 2021-14A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.73%, 12/02/34^(a)(c)			15,870		15,878,844
Series 2021-14A, Class B1, (3-mo. CME Term SOFR + 1.91%), 7.23%, 12/02/34^(a)(c)			1,050		1,050,431
AGL CLO 3 Ltd.
Series 2020-3A, Class A, (3-mo. CME Term SOFR + 1.56%), 6.88%, 01/15/33^(a)(c)			250		249,880
Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.88%, 01/15/33^(a)(c)			1,250		1,242,952
AGL Core CLO 27 Ltd., Series 2023-27A, Class A, (3-mo. CME Term SOFR + 1.73%), 7.05%, 10/21/36^(a)(c)			4,000		4,028,328
AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.65%, 04/20/33^(a)(c)			4,350		4,350,964
AIG CLO Ltd., Series 2018-1A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 6.70%, 04/20/32^(a)(c)			1,740		1,742,618
AIMCO CLO, Series 2017-AA, Class AR, (3-mo. CME Term SOFR + 1.31%), 6.63%, 04/20/34^(a)(c)			2,500		2,494,259
AIMCO CLO 11 Ltd., Series 2020-11A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.18%, 10/17/34^(a)(c)			2,180		2,181,837
Ajax Mortgage Loan Trust
Series 2021-G, Class A, 1.88%, 06/25/61^(a)(c)			7,642		7,258,520
Series 2021-G, Class B, 3.75%, 06/25/61^(a)(c)			1,283		1,277,208
Series 2021-G, Class C, 0.00%, 06/25/61^(a)(d)			2,307		2,012,455
Series 2023-B, Class A, 4.25%, 10/25/62^(a)(b)			8,166		7,920,023
Series 2023-B, Class B, 4.25%, 10/25/62^(a)(b)			881		786,646
Series 2023-B, Class C, 0.00%, 10/25/62^(a)(d)			2,082		724,014
Series 2023-B, Class SA, 0.00%, 10/25/62^(a)(d)			361		268,247
Allegro CLO II-S Ltd.
Series 2014-1RA, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.66%, 10/21/28^(a)(c)			552		552,715
Series 2014-1RA, Class B, (3-mo. CME Term SOFR + 2.41%), 7.73%, 10/21/28^(a)(c)			300		300,033
Series 2014-1RA, Class C, (3-mo. CME Term SOFR + 3.26%), 8.58%, 10/21/28^(a)(c)			750		748,655


Security		Par (000)		Value

Asset-Backed Securities (continued)
Allegro CLO V Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.03%, 10/16/30^(a)(c)	USD		730	$	728,992
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.71%, 01/17/31^(a)(c)			731		731,182
Allegro CLO XI Ltd.
Series 2019-2A, Class A2A, (3-mo. CME Term SOFR + 2.11%), 7.42%, 01/19/33^(a)(c)			250		251,482
Series 2019-2A, Class C, (3-mo. CME Term SOFR + 3.26%), 8.57%, 01/19/33^(a)(c)			250		250,604
ALM Ltd.
Series 2020-1A, Class A2, (3-mo. CME Term SOFR + 2.11%), 7.43%, 10/15/29^(a)(c)			250		250,650
Series 2020-1A, Class B, (3-mo. CME Term SOFR + 2.26%), 7.58%, 10/15/29^(a)(c)			350		350,473
AMSR Trust
Series 2020-SFR4, Class F, 2.86%, 11/17/37^(a)			4,000		3,751,413
Series 2020-SFR4, Class G2, 4.87%, 11/17/37^(a)			2,537		2,432,647
Series 2021-SFR1, Class F, 3.60%, 06/17/38^(a)			2,872		2,462,165
Series 2021-SFR2, Class F1, 3.28%, 08/17/38^(a)			3,756		3,394,353
Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.77%, 01/19/35^(a)(c)			380		378,791
Anchorage Capital CLO 3-R Ltd.
Series 2014-3RA, Class A, (3-mo. CME Term SOFR + 1.31%), 6.63%, 01/28/31^(a)(c)			874		874,000
Series 2014-3RA, Class B, (3-mo. CME Term SOFR + 1.76%), 7.08%, 01/28/31^(a)(c)			1,250		1,248,639
Series 2014-3RA, Class C, (3-mo. CME Term SOFR + 2.11%), 7.43%, 01/28/31^(a)(c)			500		496,631
Anchorage Capital CLO 4-R Ltd.
Series 2014-4RA, Class A, (3-mo. CME Term SOFR + 1.31%), 6.63%, 01/28/31^(a)(c)			1,698		1,693,141
Series 2014-4RA, Class D, (3-mo. CME Term SOFR + 2.86%), 8.18%, 01/28/31^(a)(c)			750		746,283
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class BR3, (3-mo. CME Term SOFR + 2.10%), 04/22/34^(a)(c)(e)			3,720		3,720,000
Anchorage Capital CLO 7 Ltd.
Series 2015-7A, Class AR2, (3-mo. CME Term SOFR + 1.35%), 6.67%, 01/28/31^(a)(c)			627		623,171
Series 2015-7A, Class BR2, (3-mo. CME Term SOFR + 2.01%), 7.33%, 01/28/31^(a)(c)			1,500		1,504,487
Series 2015-7A, Class CR2, (3-mo. CME Term SOFR + 2.46%), 7.78%, 01/28/31^(a)(c)			3,125		3,125,027
Series 2015-7A, Class D1R2, (3-mo. CME Term SOFR + 3.76%), 9.08%, 01/28/31^(a)(c)			1,000		997,969
Anchorage Capital CLO 8 Ltd.
Series 2016-8A, Class AR2A, (3-mo. CME Term SOFR + 1.46%), 6.78%, 10/27/34^(a)(c)			5,000		4,986,263
Series 2016-8A, Class BR2, (3-mo. CME Term SOFR + 2.06%), 7.38%, 10/27/34^(a)(c)			1,000		996,009
Series 2016-8A, Class CR2, (3-mo. CME Term SOFR + 2.66%), 7.98%, 10/27/34^(a)(c)			1,000		993,049
Anchorage Capital CLO Ltd.
Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.51%), 6.83%, 10/13/30^(a)(c)			165		165,054
Series 2013-1A, Class BR, (3-mo. CME Term SOFR + 2.41%), 7.73%, 10/13/30^(a)(c)			500		500,517


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Anchorage Capital CLO Ltd.
Series 2013-1A, Class DR, (3-mo. CME Term SOFR + 7.06%), 12.38%, 10/13/30^(a)(c)	USD		1,000	$	1,000,057
Series 2018-10A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.08%, 10/15/31^(a)(c)			450		452,562
Apidos CLO XII, Series 2013-12A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/15/31^(a)(c)			1,285		1,285,831
Apidos CLO XV, Series 2013-15A, Class A1RR, (3-mo. CME Term SOFR + 1.27%), 6.59%, 04/20/31^(a)(c)			899		900,739
Apidos CLO XX, Series 2015-20A, Class A1RA, (3-mo. CME Term SOFR + 1.36%), 6.68%, 07/16/31^(a)(c)			343		343,197
Apidos CLO XXIV, Series 2016-24A, Class A2LX, (3-mo. CME Term SOFR + 1.61%), 6.93%, 10/20/30^(a)(c)			340		340,065
Apidos CLO XXV
Series 2016-25A, Class A1R2, (3-mo. CME Term SOFR + 1.15%), 10/20/31^(a)(c)(e)			10,000		10,000,000
Series 2016-25A, Class A2R2, (3-mo. CME Term SOFR + 1.80%), 10/20/31^(a)(c)(e)			4,500		4,500,000
Series 2016-25A, Class AJR2, (3-mo. CME Term SOFR + 1.50%), 10/20/31^(a)(c)(e)			5,000		5,000,000
Apidos CLO XXVI, Series 2017-26A, Class BR, (3-mo. CME Term SOFR + 2.21%), 7.51%, 07/18/29^(a)(c)			2,830		2,832,487
Apidos CLO XXX, Series XXXA, Class A1A, (3-mo. CME Term SOFR + 1.40%), 6.70%, 10/18/31^(a)(c)			398		398,187
Apidos CLO XXXIX, Series 2022-39A, Class A1, (3-mo. CME Term SOFR + 1.30%), 6.62%, 04/21/35^(a)(c)			5,000		5,007,502
Apidos CLO XXXVI, Series 2021-36A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.18%, 07/20/34^(a)(c)			250		250,203
Apidos CLO XXXVII, Series 2021-37A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.71%, 10/22/34^(a)(c)			1,780		1,780,985
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46^(a)			207		184,811
Arbor Realty Commercial Real Estate Notes Ltd.
Series 2021-FL1, Class A, (1-mo. CME Term SOFR + 1.08%), 6.41%, 12/15/35^(a)(c)			279		277,210
Series 2021-FL4, Class A, (1-mo. CME Term SOFR + 1.46%), 6.79%, 11/15/36^(a)(c)			421		418,895
Series 2022-FL1, Class A, (SOFR (30-day) + 1.45%), 6.77%, 01/15/37^(a)(c)			594		590,473
Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 1.85%), 7.18%, 05/15/37^(a)(c)			5,328		5,314,707
Ares L CLO Ltd., Series 2018-50A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.18%, 01/15/32^(a)(c)			1,000		997,378
Ares LIX CLO Ltd., Series 2021-59A, Class A, (3-mo. CME Term SOFR + 1.29%), 6.62%, 04/25/34^(a)(c)			250		249,698
Ares LVI CLO Ltd.
Series 2020-56A, Class AR, (3-mo. CME Term SOFR + 1.42%), 6.75%, 10/25/34^(a)(c)			2,130		2,131,589
Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.09%, 10/25/34^(a)(c)			250		249,975


Security		Par (000)		Value

Asset-Backed Securities (continued)
Ares XLI CLO Ltd., Series 2016-41A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.03%, 04/15/34^(a)(c)	USD		2,500	$	2,489,260
Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3-mo. CME Term SOFR + 1.84%), 7.16%, 07/20/30^(a)(c)			680		679,647
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A1A, (3-mo. CME Term SOFR + 1.20%), 6.51%, 05/15/30^(a)(c)			571		571,384
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3-mo. CME Term SOFR + 1.43%), 6.75%, 10/15/30^(a)(c)			461		460,828
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1-mo. CME Term SOFR + 0.59%), 5.92%, 05/25/35^(c)			40		31,252
Argent Securities Trust
Series 2006-M1, Class A2C, (1-mo. CME Term SOFR + 0.41%), 5.74%, 07/25/36^(c)			2,137		542,497
Series 2006-W2, Class A2C, (1-mo. CME Term SOFR + 0.69%), 6.02%, 03/25/36^(c)			562		301,122
ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27^(a)			138		132,700
Asset-Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6, Class M6, (1-mo. CME Term SOFR + 1.22%), 6.55%, 07/25/35^(c)			914		782,102
Assurant CLO I Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/20/34^(a)(c)			1,400		1,386,404
Assurant CLO Ltd., Series 2018-2A, Class A, (3-mo. CME Term SOFR + 1.30%), 6.62%, 04/20/31^(a)(c)			387		387,072
Atrium IX, Series 9A, Class AR2, (3-mo. CME Term SOFR + 1.25%), 6.59%, 05/28/30^(a)(c)			1,761		1,761,410
Atrium XIII
Series 13A, Class AR, (3-mo. CME Term SOFR + 1.15%), 11/21/30^(a)(c)(e)			500		499,994
Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.08%, 11/21/30^(a)(c)			1,250		1,251,841
Series 13A, Class C, (3-mo. CME Term SOFR + 2.06%), 7.38%, 11/21/30^(a)(c)			1,610		1,606,181
Bain Capital Credit CLO Ltd.
Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 6.55%, 07/20/30^(a)(c)			899		899,307
Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.22%), 6.54%, 04/23/31^(a)(c)			220		220,371
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.65%, 07/19/31^(a)(c)			920		918,354
Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.75%, 10/20/34^(a)(c)			350		349,944
Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 6.62%, 04/18/35^(a)(c)			1,200		1,200,196
Ballyrock CLO Ltd.
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.86%), 7.18%, 04/20/31^(a)(c)			250		250,765
Series 2023-25A, Class C, (3-mo. CME Term SOFR + 4.70%), 10.02%, 01/25/36^(a)(c)			250		252,951
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22^(c)			5,740		1,113,651


26		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31^(a)	USD		1,940	$	1,880,423
Barings CLO Ltd.
Series 2015-2A, Class AR, (3-mo. CME Term SOFR + 1.45%), 6.77%, 10/20/30^(a)(c)			728		729,110
Series 2015-IA, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.98%, 01/20/31^(a)(c)			250		249,920
Series 2018-3A, Class A1, (3-mo. CME Term SOFR + 1.21%), 6.53%, 07/20/29^(a)(c)			221		220,715
Series 2019-3A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.65%, 04/20/31^(a)(c)			1,170		1,170,768
Battalion CLO 18 Ltd.
Series 2020-18A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.78%, 10/15/36^(a)(c)			500		499,750
Series 2020-18A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/15/36^(a)(c)			1,000		995,023
Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3-mo. CME Term SOFR + 1.33%), 6.63%, 07/18/30^(a)(c)			953		953,211
Battalion CLO XII Ltd., Series 2018-12A, Class B2R, (3-mo. CME Term SOFR + 2.34%), 7.66%, 05/17/31^(a)(c)			250		250,645
Battalion CLO XX Ltd., Series 2021-20A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.76%, 07/15/34^(a)(c)			3,000		2,999,775
Bayview Financial Mortgage Pass-Through Trust,
Series 2006-A, Class B2, (1-mo. CME Term SOFR + 2.59%), 7.92%, 02/28/41^(c)			5,459		5,410,450
Bayview Financial Revolving Asset Trust
Series 2005-A, Class A1, (1-mo. CME Term SOFR + 1.11%), 6.45%, 02/28/40^(a)(c)			3,339		3,048,571
Series 2005-E, Class A1, (1-mo. CME Term SOFR + 1.11%), 6.45%, 12/28/40^(a)(c)			1,151		1,137,830
Series 2005-E, Class A2A, (1-mo. CME Term SOFR + 1.04%), 6.38%, 12/28/40^(a)(c)			943		899,248
BDS Ltd.
Series 2021-FL7, Class A, (1-mo. CME Term SOFR + 1.18%), 6.51%, 06/16/36^(a)(c)			1,777		1,769,743
Series 2021-FL9, Class A, (1-mo. CME Term SOFR + 1.18%), 6.51%, 11/16/38^(a)(c)			1,512		1,497,738
Series 2022-FL11, Class ATS, (1-mo. CME Term SOFR + 1.80%), 7.13%, 03/19/39^(a)(c)			5,453		5,422,517
Bean Creek CLO Ltd., Series 2015-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.03%, 04/20/31^(a)(c)			450		450,138
Bear Stearns Asset-Backed Securities I Trust
Series 2005-HE8, Class M3, (1-mo. CME Term SOFR + 2.06%), 7.39%, 08/25/35^(c)			3,604		3,411,101
Series 2006-HE7, Class 1A2, (1-mo. CME Term SOFR + 0.45%), 5.78%, 09/25/36^(c)			90		88,687
Series 2007-HE2, Class 1A4, (1-mo. CME Term SOFR + 0.43%), 5.76%, 03/25/37^(c)			900		786,530
Series 2007-HE2, Class 23A, (1-mo. CME Term SOFR + 0.25%), 5.58%, 03/25/37^(c)			36		32,926
Series 2007-HE3, Class 1A4, (1-mo. CME Term SOFR + 0.46%), 5.79%, 04/25/37^(c)			309		320,355
Benefit Street Partners CLO Ltd.
Series 2015-6BR, Class A, (3-mo. CME Term SOFR + 1.45%), 6.77%, 07/20/34^(a)(c)			1,460		1,461,076
Series 2015-6BR, Class B, (3-mo. CME Term SOFR + 2.06%), 7.38%, 07/20/34^(a)(c)			250		249,807


Security		Par (000)		Value

Asset-Backed Securities (continued)
Benefit Street Partners CLO V-B Ltd., Series 2018- 5BA, Class A1A, (3-mo. CME Term SOFR + 1.35%), 6.67%, 04/20/31^(a)(c)	USD		906	$	906,512
Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 6.68%, 01/20/31^(a)(c)			1,481		1,481,939
Benefit Street Partners CLO XIX Ltd., Series 2019- 19A, Class B, (3-mo. CME Term SOFR + 2.26%), 7.58%, 01/15/33^(a)(c)			250		250,645
Benefit Street Partners CLO XXIV Ltd.
Series 2021-24A, Class A, (3-mo. CME Term SOFR + 1.43%), 6.75%, 10/20/34^(a)(c)			1,000		1,000,301
Series 2021-24A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.93%, 10/20/34^(a)(c)			500		496,134
Benefit Street Partners CLO XXV Ltd.,
Series 2021-25A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.28%, 01/15/35^(a)(c)			250		249,770
Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/30/31^(a)(c)			215		214,979
BHG Securitization Trust
Series 2021-A, Class A, 1.42%, 11/17/33^(a)			107		102,541
Series 2021-A, Class B, 2.79%, 11/17/33^(a)			3,714		3,373,232
Series 2022-C, Class B, 5.93%, 10/17/35^(a)			880		871,731
Birch Grove CLO 2 Ltd.
Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.52%), 6.83%, 10/19/34^(a)(c)			320		319,543
Series 2021-2A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.32%, 10/19/34^(a)(c)			250		250,627
Birch Grove CLO 3 Ltd.
Series 2021-3A, Class B1, (3-mo. CME Term SOFR + 2.06%), 7.37%, 01/19/35^(a)(c)			730		729,273
Series 2021-3A, Class B2, (3-mo. CME Term SOFR + 2.06%), 7.37%, 01/19/35^(a)(c)			1,000		996,044
Birch Grove CLO Ltd.
Series 19A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.34%, 06/15/31^(a)(c)			1,000		1,001,173
Series 19A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.94%, 06/15/31^(a)(c)			500		499,064
BlueMountain CLO Ltd.
Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.76%, 10/22/30^(a)(c)			1,460		1,461,125
Series 2013-2A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.18%, 10/22/30^(a)(c)			1,250		1,251,237
Series 2015-3A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.58%, 04/20/31^(a)(c)			1,724		1,725,184
Series 2016-3A, Class A1R2, (3-mo. CME Term SOFR + 1.20%), 11/15/30^(a)(c)(e)			10,000		10,000,000
Series 2016-3A, Class A2R2, (3-mo. CME Term SOFR + 1.70%), 11/15/30^(a)(c)(e)			1,000		1,000,000
Series 2018-2A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.27%, 08/15/31^(a)(c)			1,320		1,320,986
Series 2018-3A, Class BR, (3-mo. CME Term SOFR + 1.85%), 10/25/30^(a)(c)(e)			6,350		6,344,733
BlueMountain CLO XXIII Ltd.
Series 2018-23A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.73%, 10/20/31^(a)(c)			250		250,393
Series 2018-23A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/20/31^(a)(c)			750		749,717
Series 2018-23A, Class C, (3-mo. CME Term SOFR + 2.41%), 7.73%, 10/20/31^(a)(c)			950		941,463


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.34%, 07/25/34^(a)(c)	USD		420	$	420,046
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3-mo. CME Term SOFR + 1.52%), 6.84%, 04/15/34^(a)(c)			250		250,106
BlueMountain Fuji U.S. CLO III Ltd., Series 2017- 3A, Class B, (3-mo. CME Term SOFR + 1.64%), 6.95%, 01/15/30^(a)(c)			550		549,022
BPCRE Ltd., Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 2.40%), 7.73%, 01/16/37^(a)(c)			1,721		1,717,486
Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1, 07/15/27^(a)(e)			2,027		2,028,188
Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.49%), 6.81%, 07/20/34^(a)(c)			250		250,188
Bristol Park CLO Ltd.
Series 2016-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.03%, 04/15/29^(a)(c)			350		350,454
Series 2016-1A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.53%, 04/15/29^(a)(c)			250		248,407
Capital One Multi-Asset Execution Trust, Series 2005-B3, Class B3, (3-mo. CME Term SOFR + 0.81%), 6.13%, 05/15/28^(c)			2,048		2,045,595
Carbone CLO Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.72%, 01/20/31^(a)(c)			456		456,307
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3-mo. CME Term SOFR + 1.29%), 6.61%, 04/30/31^(a)(c)			2,135		2,122,117
Carlyle Global Market Strategies CLO Ltd.
Series 2013-4A, Class A1RR, (3-mo. CME Term SOFR + 1.26%), 6.58%, 01/15/31^(a)(c)			194		193,620
Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.23%), 6.55%, 04/17/31^(a)(c)			3,406		3,406,833
Series 2014-3RA, Class A1A, (3-mo. CME Term SOFR + 1.31%), 6.63%, 07/27/31^(a)(c)			256		256,333
Series 2014-3RA, Class A1B, (3-mo. CME Term SOFR + 1.56%), 6.88%, 07/27/31^(a)(c)			1,000		1,002,098
Carlyle U.S. CLO Ltd.
Series 2017-3A, Class A2R, (3-mo. CME Term SOFR + 1.69%), 7.01%, 07/20/29^(a)(c)			2,810		2,814,405
Series 2018-4A, Class B, (3-mo. CME Term SOFR + 2.33%), 7.65%, 01/20/31^(a)(c)			2,430		2,430,198
Series 2019-1A, Class A1AR, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/20/31^(a)(c)			360		360,180
Series 2019-2A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 6.70%, 07/15/32^(a)(c)			250		250,291
Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.73%, 10/20/34^(a)(c)			4,360		4,362,616
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.72%, 04/15/34^(a)(c)			250		250,198
Series 2021-7A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.74%, 10/15/35^(a)(c)			1,000		999,812
Carrington Mortgage Loan Trust
Series 2006-FRE2, Class A4, (1-mo. CME Term SOFR + 0.36%), 5.69%, 10/25/36^(c)			1,366		1,066,830
Series 2006-NC4, Class A3, (1-mo. CME Term SOFR + 0.27%), 5.60%, 10/25/36^(c)			24		23,390
Series 2007-FRE1, Class A3, (1-mo. CME Term SOFR + 0.37%), 5.70%, 02/25/37^(c)			4,356		4,002,957


Security		Par (000)		Value

Asset-Backed Securities (continued)
CarVal CLO VC Ltd.
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.83%, 10/15/34^(a)(c)	USD		1,000	$	995,743
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.33%, 10/15/34^(a)(c)			1,250		1,240,133
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44^(a)(c)			4,928		4,727,146
CBAM Ltd.
Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.51%), 6.83%, 07/20/30^(a)(c)			937		938,373
Series 2018-5A, Class B1, (3-mo. CME Term SOFR + 1.66%), 6.98%, 04/17/31^(a)(c)			540		538,598
Series 2018-6A, Class B1R, (3-mo. CME Term SOFR + 2.36%), 7.68%, 01/15/31^(a)(c)			1,000		1,001,523
Series 2018-7A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.18%, 07/20/31^(a)(c)			500		499,500
C-BASS Trust, Series 2006-CB9, Class A4, (1-mo. CME Term SOFR + 0.57%), 5.90%, 11/25/36^(c)			179		79,691
Cedar Funding II CLO Ltd.
Series 2013-1A, Class ARR, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/20/34^(a)(c)			750		749,225
Series 2013-1A, Class BRR, (3-mo. CME Term SOFR + 1.61%), 6.93%, 04/20/34^(a)(c)			500		496,463
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3-mo. CME Term SOFR + 1.24%), 6.56%, 04/20/31^(a)(c)			1,221		1,222,225
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.68%, 07/17/31^(a)(c)			1,848		1,849,190
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3-mo. CME Term SOFR + 1.31%), 6.63%, 04/20/34^(a)(c)			500		500,000
Cedar Funding VII CLO Ltd.
Series 2018-7A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.58%, 01/20/31^(a)(c)			299		299,053
Series 2018-7A, Class A2, (3-mo. CME Term SOFR + 1.39%), 6.71%, 01/20/31^(a)(c)			250		250,405
Cedar Funding VIII CLO Ltd.
Series 2017-8A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.73%, 10/17/34^(a)(c)			2,750		2,754,602
Series 2017-8A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/17/34^(a)(c)			2,500		2,487,287
Cedar Funding XI CLO Ltd.
Series 2019-11A, Class A1R, (3-mo. CME Term SOFR + 1.31%), 6.66%, 05/29/32^(a)(c)			1,000		997,755
Series 2019-11A, Class A2R, (3-mo. CME Term SOFR + 1.61%), 6.96%, 05/29/32^(a)(c)			250		249,665
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.18%, 07/15/33^(a)(c)			1,480		1,473,236
CIFC Funding Ltd.
Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 2.01%), 7.33%, 07/16/30^(a)(c)			250		250,625
Series 2013-2A, Class A1L2, (3-mo. CME Term SOFR + 1.26%), 6.56%, 10/18/30^(a)(c)			1,408		1,407,813
Series 2014-1A, Class BR2, (3-mo. CME Term SOFR + 1.66%), 6.96%, 01/18/31^(a)(c)			2,100		2,100,327
Series 2014-2RA, Class A1, (3-mo. CME Term SOFR + 1.31%), 6.63%, 04/24/30^(a)(c)			169		169,408
Series 2014-3A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.78%, 10/22/31^(a)(c)			3,446		3,449,154


28		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
CIFC Funding Ltd.
Series 2014-4RA, Class A1AR, (3-mo. CME Term SOFR + 1.43%), 6.75%, 01/17/35^(a)(c)	USD		1,000	$	999,713
Series 2014-5A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.78%, 10/17/31^(a)(c)			5,250		5,251,479
Series 2014-5A, Class BR2, (3-mo. CME Term SOFR + 2.06%), 7.38%, 10/17/31^(a)(c)			1,800		1,804,369
Series 2015-1A, Class ARR, (3-mo. CME Term SOFR + 1.37%), 6.69%, 01/22/31^(a)(c)			214		213,613
Series 2017-5A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.76%, 11/16/30^(a)(c)			203		203,675
Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.26%), 6.56%, 04/18/31^(a)(c)			3,175		3,176,186
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.30%), 6.62%, 04/20/31^(a)(c)			238		237,991
Series 2018-3A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.16%, 07/18/31^(a)(c)			256		255,975
Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/17/31^(a)(c)			250		249,933
Series 2019-5A, Class A1R1, (3-mo. CME Term SOFR + 1.40%), 6.72%, 01/15/35^(a)(c)			2,250		2,250,102
Series 2020-3A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 6.71%, 10/20/34^(a)(c)			7,000		7,003,738
Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/20/34^(a)(c)			970		971,278
Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.81%), 7.14%, 04/25/33^(a)(c)			2,800		2,801,700
Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.31%), 6.63%, 07/15/33^(a)(c)			3,000		3,002,287
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.84%), 7.16%, 07/15/33^(a)(c)			2,500		2,499,137
Series 2021-4A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.43%, 07/15/33^(a)(c)			1,000		994,034
Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.72%, 07/15/34^(a)(c)			1,700		1,703,251
Series 2021-6A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/15/34^(a)(c)			550		550,015
CIT Mortgage Loan Trust, Series 2007-1, Class 1M2, (1-mo. CME Term SOFR + 1.86%), 7.19%, 10/25/37^(a)(c)			2,144		1,966,685
Citigroup Mortgage Loan Trust
Series 2007-AHL2, Class A3B, (1-mo. CME Term SOFR + 0.31%), 5.64%, 05/25/37^(c)			938		620,525
Series 2007-AHL2, Class A3C, (1-mo. CME Term SOFR + 0.38%), 5.71%, 05/25/37^(c)			437		288,928
Series 2007-WFH2, Class M3, (1-mo. CME Term SOFR + 0.82%), 6.15%, 03/25/37^(c)			5,000		4,610,326
Series 2007-WFH4, Class M3A, (1-mo. CME Term SOFR + 3.86%), 9.19%, 07/25/37^(c)			1,000		946,347
Clear Creek CLO
Series 2015-1A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.78%, 10/20/30^(a)(c)			121		120,918
Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.53%, 10/20/30^(a)(c)			330		329,341
Series 2015-1A, Class ER, (3-mo. CME Term SOFR + 6.56%), 11.88%, 10/20/30^(a)(c)			1,000		999,039
Clover CLO LLC
Series 2020-1A, Class AR, (3-mo. CME Term SOFR + 1.42%), 6.74%, 04/15/34^(a)(c)			500		500,508
Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.68%, 04/22/34^(a)(c)			500		500,300


Security		Par (000)			Value

Asset-Backed Securities (continued)
College Ave Student Loans LLC
Series 2021-B, Class B, 2.42%, 06/25/52^(a)	USD		490		$	428,910
Series 2021-B, Class C, 2.72%, 06/25/52^(a)			2,096			1,851,527
Series 2021-B, Class D, 3.78%, 06/25/52^(a)			500			449,318
Series 2021-C, Class B, 2.72%, 07/26/55^(a)			406			356,164
Series 2021-C, Class C, 3.06%, 07/26/55^(a)			3,647			3,186,816
Series 2021-C, Class D, 4.11%, 07/26/55^(a)			270			238,495
College Ave Student Loans Trust, Series 2024-A, Class A1B, (SOFR (30-day) + 1.75%), 06/25/54^(a)(c)(e)			6,399			6,399,000
Conseco Finance Corp.
Series 1996-10, Class B1, 7.24%, 11/15/28^(c)			33			32,340
Series 1998-4, Class M1, 6.83%, 04/01/30^(c)			673			631,740
Conseco Finance Securitizations Corp.
Series 2000-1, Class A5, 8.06%, 09/01/29^(c)			2,165			388,755
Series 2000-4, Class A6, 8.31%, 05/01/32^(c)			2,157			392,257
Cook Park CLO Ltd., Series 2018-1A, Class B, (3-mo. CME Term SOFR + 1.66%), 6.98%, 04/17/30^(a)(c)			250			249,949
Countrywide Asset-Backed Certificates
Series 2005-16, Class 1AF, 4.55%, 04/25/36^(c)			1,343			1,153,777
Series 2006-11, Class 3AV2, (1-mo. CME Term SOFR + 0.43%), 5.76%, 09/25/46^(c)			0	^(f)		31
Series 2006-22, Class M1, (1-mo. CME Term SOFR + 0.34%), 5.67%, 05/25/47^(c)			456			373,624
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1-mo. CME Term SOFR + 0.38%), 5.71%, 03/15/34^(c)			10			9,623
Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 2.47%, 09/27/66^(a)(c)			3,827			3,780,970
Credit-Based Asset Servicing & Securitization LLC
Series 2006-CB2, Class AF4, 3.05%, 12/25/36^(b)			15			12,791
Series 2006-MH1, Class B1, 6.75%, 10/25/36^(a)(b)			1,487			1,449,276
Series 2006-MH1, Class B2, 6.75%, 10/25/36^(a)(b)			1,793			1,339,044
Series 2006-SL1, Class A3, (1-mo. CME Term SOFR + 0.55%), 5.88%, 09/25/36^(a)(c)			5,556			285,435
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 5B1B, (1-mo. CME Term SOFR + 0.30%), 5.63%, 05/15/35^(a)(c)			1			636
CWHEQ Revolving Home Equity Loan Trust
Series 2006-C, Class 2A, (1-mo. CME Term SOFR + 0.29%), 5.62%, 05/15/36^(c)			502			488,838
Series 2006-I, Class 1A, (1-mo. CME Term SOFR + 0.25%), 5.58%, 01/15/37^(c)			145			133,138
Deer Creek CLO Ltd.
Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.76%, 10/20/30^(a)(c)			477			477,916
Series 2017-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/20/30^(a)(c)			750			742,930
Dewolf Park CLO Ltd.
Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.50%, 10/15/30^(a)(c)			6,900			6,898,860
Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.43%, 10/15/30^(a)(c)			500			498,411
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.50%), 6.82%, 07/15/36^(a)(c)			1,530			1,530,918


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Diameter Capital CLO 2 Ltd.
Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.80%, 10/15/36^(a)(c)	USD		250	$	250,228
Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/15/36^(a)(c)			500		500,852
Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3-mo. CME Term SOFR + 1.39%), 6.70%, 04/15/37^(a)(c)			470		469,811
Dryden 119 CLO Ltd., Series 2024-119A, Class C1, (3-mo. CME Term SOFR + 2.35%), 04/15/36^(a)(c)(e)			1,000		1,000,000
Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.68%, 01/15/31^(a)(c)			1,142		1,141,805
Dryden 40 Senior Loan Fund, Series 2015-40A, Class CR, (3-mo. CME Term SOFR + 2.36%), 7.67%, 08/15/31^(a)(c)			1,200		1,190,567
Dryden 42 Senior Loan Fund
Series 2016-42A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.13%, 07/15/30^(a)(c)			810		807,818
Series 2016-42A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.63%, 07/15/30^(a)(c)			250		249,987
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3-mo. CME Term SOFR + 1.30%), 6.62%, 04/20/34^(a)(c)			1,620		1,618,859
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/15/30^(a)(c)			7,240		7,253,364
Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, (3-mo. CME Term SOFR + 1.21%), 6.51%, 07/18/30^(a)(c)			872		872,819
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.70%, 01/15/31^(a)(c)			1,819		1,819,595
Dryden 58 CLO Ltd., Series 2018-58A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.08%, 07/17/31^(a)(c)			250		250,257
Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3-mo. CME Term SOFR + 1.31%), 6.63%, 07/15/31^(a)(c)			241		240,625
Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.16%, 07/18/30^(a)(c)			500		501,259
Dryden 68 CLO Ltd., Series 2019-68A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 07/15/35^(a)(c)			810		808,785
Dryden 77 CLO Ltd.
Series 2020-77A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.70%, 05/20/34^(a)(c)			2,000		2,000,700
Series 2020-77A, Class XR, (3-mo. CME Term SOFR + 1.26%), 6.58%, 05/20/34^(a)(c)			141		140,540
Dryden 78 CLO Ltd., Series 2020-78A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.08%, 04/17/33^(a)(c)			250		249,662
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3-mo. CME Term SOFR + 1.46%), 6.77%, 08/15/30^(a)(c)			1,060		1,060,018
Eaton Vance CLO Ltd.
Series 2014-1RA, Class A2, (3-mo. CME Term SOFR + 1.75%), 7.07%, 07/15/30^(a)(c)			250		250,484
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.71%), 7.03%, 10/15/30^(a)(c)			250		250,360


Security		Par (000)		Value

Asset-Backed Securities (continued)
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38^(a)	USD		644	$	618,536
EDvestinU Private Education Loan Issue No. 3 LLC
Series 2021-A, Class A, 1.80%, 11/25/45^(a)			231		205,448
Series 2021-A, Class B, 3.50%, 11/25/50^(a)			1,200		958,956
EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40^(a)			1,016		999,847
Elmwood CLO 15 Ltd.
Series 2022-2A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/22/35^(a)(c)			10,590		10,591,189
Series 2022-2A, Class D, (3-mo. CME Term SOFR + 3.67%), 8.99%, 04/22/35^(a)(c)			1,625		1,632,117
Elmwood CLO 27 Ltd.
Series 2024-3A, Class B, (3-mo. CME Term SOFR + 1.95%), 04/18/37^(a)(c)(e)			1,210		1,210,000
Series 2024-3A, Class D, (3-mo. CME Term SOFR + 3.45%), 04/18/37^(a)(c)(e)			250		250,000
Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.52%), 6.83%, 04/20/37^(a)(c)			250		250,627
Elmwood CLO II Ltd.
Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.73%, 04/20/34^(a)(c)			2,250		2,252,025
Series 2019-2A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 04/20/34^(a)(c)			900		900,919
Series 2019-2A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.58%, 04/20/34^(a)(c)			250		249,066
Elmwood CLO IV Ltd.
Series 2020-1A, Class A, (3-mo. CME Term SOFR + 1.50%), 6.82%, 04/15/33^(a)(c)			1,500		1,501,502
Series 2020-1A, Class D, (3-mo. CME Term SOFR + 3.41%), 8.73%, 04/15/33^(a)(c)			1,000		1,001,284
Elmwood CLO X Ltd., Series 2021-3A, Class C, (3-mo. CME Term SOFR + 2.21%), 7.53%, 10/20/34^(a)(c)			6,300		6,310,965
Elmwood CLO XII Ltd., Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.73%, 01/20/35^(a)(c)			960		960,334
FBR Securitization Trust, Series 2005-5, Class M2, (1-mo. CME Term SOFR + 0.82%), 6.15%, 11/25/35^(c)			2,089		2,034,207
Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.60%), 6.92%, 07/15/30^(a)(c)			250		249,643
First Franklin Mortgage Loan Trust
Series 2006-FF16, Class 2A3, (1-mo. CME Term SOFR + 0.39%), 5.72%, 12/25/36^(c)			461		188,562
Series 2006-FF17, Class A5, (1-mo. CME Term SOFR + 0.26%), 5.59%, 12/25/36^(c)			1,499		1,229,573
FirstKey Homes Trust
Series 2020-SFR1, Class G, 4.78%, 08/17/37^(a).			3,650		3,494,097
Series 2021-SFR1, Class F1, 3.24%, 08/17/38^(a)			4,464		4,021,121
Series 2021-SFR2, Class F1, 2.91%, 09/17/38^(a)			5,500		4,912,367
Series 2022-SFR1, Class E1, 5.00%, 05/19/39^(a)			4,000		3,847,613
Series 2022-SFR1, Class E2, 5.00%, 05/19/39^(a)			2,990		2,861,217


30		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
FirstKey Homes Trust
Series 2022-SFR2, Class E1, 4.50%, 07/17/39^(a)	USD		2,681	$	2,509,236
Series 2022-SFR3, Class E2, 3.50%, 07/17/38^(a)			6,928		6,366,800
Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 6.53%, 04/17/31^(a)(c)			959		959,020
Flatiron CLO 19 Ltd.
Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.67%, 11/16/34^(a)(c)			500		500,282
Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.59%, 11/16/34^(a)(c)			900		899,854
Flatiron CLO 20 Ltd.
Series 2020-1A, Class BR, (3-mo. CME Term SOFR + 1.92%), 05/20/36^(a)(c)(e)			1,330		1,330,000
Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.45%), 05/20/36^(a)(c)(e)			1,000		1,000,000
Flatiron CLO 21 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.17%, 07/19/34^(a)(c)			1,200		1,200,945
Foundation Finance Trust
Series 2021-2A, Class A, 2.19%, 01/15/42^(a)			1,542		1,417,852
Series 2024-1A, Class B, 12/15/49^(a)(e)			706		706,000
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1-mo. CME Term SOFR + 0.39%), 5.72%, 02/25/37^(c)			1,918		1,443,856
FS Rialto Issuer Ltd.
Series 2021-FL3, Class A, (1-mo. CME Term SOFR + 1.36%), 6.69%, 11/16/36^(a)(c)			2,094		2,083,140
Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 7.22%, 01/19/39^(a)(c)			9,467		9,426,820
Series 2022-FL5, Class A, (1-mo. CME Term SOFR + 2.30%), 7.63%, 06/19/37^(a)(c)			2,721		2,720,979
Series 2022-FL6, Class A, (1-mo. CME Term SOFR + 2.58%), 7.91%, 08/17/37^(a)(c)			6,015		6,046,139
Galaxy 33 CLO Ltd., Series 2024-33A, Class D1, (3-mo. CME Term SOFR + 3.55%), 04/20/37^(a)(c)(e)			1,900		1,885,518
Galaxy XIX CLO Ltd.
Series 2015-19A, Class A1RR, (3-mo. CME Term SOFR + 1.21%), 6.53%, 07/24/30^(a)(c)			410		410,019
Series 2015-19A, Class A2RR, (3-mo. CME Term SOFR + 1.66%), 6.98%, 07/24/30^(a)(c)			250		249,927
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, (3-mo. CME Term SOFR + 1.26%), 6.58%, 04/20/31^(a)(c)			2,527		2,527,497
Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3-mo. CME Term SOFR + 1.46%), 6.78%, 04/16/34^(a)(c)			1,000		1,002,683
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3-mo. CME Term SOFR + 1.28%), 6.61%, 05/16/31^(a)(c)			1,863		1,862,912
Galaxy XXVIII CLO Ltd., Series 2018-28A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.18%, 07/15/31^(a)(c)			510		510,401
Generate CLO 2 Ltd.
Series 2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.73%, 01/22/31^(a)(c)			1,051		1,051,707
Series 2A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.03%, 01/22/31^(a)(c)			250		250,076


Security		Par (000)		Value

Asset-Backed Securities (continued)
Generate CLO 2 Ltd.
Series 2A, Class ER, (3-mo. CME Term SOFR + 5.91%), 11.23%, 01/22/31^(a)(c)	USD		1,000	$	996,947
Generate CLO 6 Ltd.
Series 6A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.78%, 01/22/35^(a)(c)			250		250,179
Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.08%, 01/22/35^(a)(c)			4,500		4,448,842
Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. CME Term SOFR + 1.62%), 04/22/37^(a)(c)(e).			7,665		7,669,205
Generate CLO 8 Ltd., Series 8A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/20/34^(a)(c)			390		391,055
Gilbert Park CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.77%, 10/15/30^(a)(c)			168		167,832
GoldenTree Loan Management U.S. CLO 1 Ltd.
Series 2017-1A, Class A1R2, (3-mo. CME Term SOFR + 1.28%), 6.60%, 04/20/34^(a)(c)			250		249,750
Series 2021-11A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.71%, 10/20/34^(a)(c)			5,530		5,534,791
Series 2021-11A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.93%, 10/20/34^(a)(c)			1,750		1,690,006
Series 2021-9A, Class E, (3-mo. CME Term SOFR + 5.01%), 10.33%, 01/20/33^(a)(c)			1,000		966,608
Series 2021-9R, Class DR, (3-mo. CME Term SOFR + 3.35%), 04/20/37^(a)(c)(e)			750		750,000
GoldenTree Loan Management U.S. CLO 10 Ltd., Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.68%, 07/20/34^(a)(c)			250		250,152
GoldenTree Loan Management U.S. CLO 12 Ltd., Series 2022-12A, Class B, (3-mo. CME Term SOFR + 1.95%), 7.27%, 04/20/34^(a)(c)			2,500		2,496,179
GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class AJ, (3-mo. CME Term SOFR + 1.56%), 6.88%, 04/20/30^(a)(c)			850		855,295
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3-mo. CME Term SOFR + 1.33%), 6.63%, 01/18/31^(a)(c)			318		318,687
Goldman Home Improvement Trust
Series 2021-GRN2, Class B, 1.97%, 06/25/51^(a).			2,439		2,233,649
Series 2022-GRN2, Class A, 6.80%, 10/25/52^(a).			1,168		1,172,609
Golub Capital Partners CLO Ltd.
Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.28%, 07/20/34^(a)(c)			250		250,712
Series 2021-55A, Class A, (3-mo. CME Term SOFR + 1.46%), 6.78%, 07/20/34^(a)(c)			330		330,230
Series 2021-58A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.77%, 01/25/35^(a)(c)			1,780		1,780,377
Series 2024-71A, Class A, (3-mo. CME Term SOFR + 1.95%), 7.27%, 02/09/37^(a)(c)			6,000		6,025,328
GoodLeap Sustainable Home Solutions Trust
Series 2021-5CS, Class A, 2.31%, 10/20/48^(a)			1,340		1,077,395
Series 2022-3CS, Class A, 4.95%, 07/20/49^(a)			926		869,838
Series 2023-1GS, Class A, 5.52%, 02/22/55^(a)			1,488		1,444,861
Series 2023-3C, Class A, 6.50%, 07/20/55^(a)			692		714,311
Gracie Point International Funding LLC
Series 2023-1A, Class A, (SOFR (90-day) + 1.95%), 7.31%, 09/01/26^(a)(c)			1,475		1,484,304
Series 2024-1A, Class A, (SOFR (90-day) + 1.70%), 7.06%, 03/01/28^(a)(c)			4,053		4,063,451


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Greystone CRE Notes Ltd., Series 2021-FL3, Class A, (1-mo. CME Term SOFR + 1.13%), 6.46%, 07/15/39^(a)(c)	USD		849	$	838,480
Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.87%, 04/15/33^(a)(c)			500		501,666
GSAA Home Equity Trust
Series 2005-14, Class 1A2, (1-mo. CME Term SOFR + 0.81%), 6.14%, 12/25/35^(c)			283		120,943
Series 2006-14, Class A3A, (1-mo. CME Term SOFR + 0.61%), 5.94%, 09/25/36^(c)			4,667		1,431,132
Series 2006-18, Class AF3A, 5.77%, 11/25/36^(c).			1,369		407,160
Series 2006-4, Class 1A1, 4.21%, 03/25/36^(c)			695		469,557
Series 2007-2, Class AF3, 5.92%, 03/25/37^(c)			24		4,587
GSAMP Trust
Series 2007-H1, Class A1B, (1-mo. CME Term SOFR + 0.51%), 5.84%, 01/25/47^(c)			10		4,941
Series 2007-HS1, Class M5, (1-mo. CME Term SOFR + 3.49%), 8.82%, 02/25/47^(c)			3,566		3,497,567
Series 2007-HS1, Class M7, (1-mo. CME Term SOFR + 3.49%), 8.82%, 02/25/47^(c)			3,000		2,682,902
Gulf Stream Meridian 3 Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.58%), 6.90%, 04/15/34^(a)(c)			250		250,415
Gulf Stream Meridian 4 Ltd.
Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.46%), 6.78%, 07/15/34^(a)(c)			10,000		10,006,673
Series 2021-4A, Class A2, (3-mo. CME Term SOFR + 2.11%), 7.43%, 07/15/34^(a)(c)			1,000		1,004,358
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.38%, 07/15/34^(a)(c)			650		653,086
Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.68%, 07/15/35^(a)(c)			2,420		2,421,125
Highbridge Loan Management Ltd., Series 3A- 2014, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.74%, 07/18/29^(a)(c)			132		132,509
Hipgnosis Music Assets LP, Series 2022-1, Class A, 5.00%, 05/16/62^(a)			2,726		2,622,361
Home Equity Asset Trust, Series 2006-3, Class M2, (1-mo. CME Term SOFR + 0.71%), 6.04%, 07/25/36^(c)			280		255,443
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1-mo. CME Term SOFR + 2.14%), 4.03%, 07/25/34^(c)			14		13,428
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26^(a)			5,769		5,157,636
HPS Loan Management Ltd.
Series 10A-16, Class A1RR, (3-mo. CME Term SOFR + 1.40%), 6.72%, 04/20/34^(a)(c)			7,260		7,264,101
Series 6A-2015, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.53%, 02/05/31^(a)(c)			406		405,149
ICG U.S. CLO Ltd., Series 2014-3A, Class A1RR, (3-mo. CME Term SOFR + 1.29%), 6.62%, 04/25/31^(a)(c)			168		167,839
Invesco CLO Ltd., Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.12%, 04/20/35^(a)(c)			510		508,725
Jamestown CLO XV Ltd., Series 2020-15A, Class A, (3-mo. CME Term SOFR + 1.60%), 6.92%, 04/15/33^(a)(c)			1,750		1,750,000


Security		Par (000)		Value

Asset-Backed Securities (continued)
JPMorgan Mortgage Acquisition Trust
Series 2006-CH1, Class M7, (1-mo. CME Term SOFR + 1.31%), 6.64%, 07/25/36^(c)	USD		3,498	$	2,996,319
Series 2007-CH1, Class MF1, 4.55%, 11/25/36^(b)			100		96,319
KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3-mo. LIBOR US + 1.25%), 6.83%, 07/28/42^(c)			2,691		2,510,772
KKR CLO 10 Ltd., Series 10, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.29%, 09/15/29^(a)(c)			640		639,859
KKR CLO 17 Ltd., Series 17, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/15/34^(a)(c)			500		499,268
LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME Term SOFR + 1.33%), 6.65%, 01/20/31^(a)(c)			1,322		1,323,293
LCM XVIII LP, Series 18A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.60%, 04/20/31^(a)(c)			182		182,292
Legacy Mortgage Asset Trust
Series 2019-SL2, Class A, 3.38%, 02/25/59^(a)(c).			3,289		3,120,716
Series 2019-SL2, Class B, 0.00%, 02/25/59^(a)(d).			524		89,725
Series 2019-SL2, Class M, 4.25%, 02/25/59^(a)(c).			646		514,007
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33^(d)			444		414,346
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1-mo. CME Term SOFR + 0.20%), 5.53%, 06/25/37^(a)(c)			75		48,767
Lendmark Funding Trust
Series 2021-1A, Class B, 2.47%, 11/20/31^(a)			1,525		1,325,147
Series 2021-2A, Class B, 2.37%, 04/20/32^(a)			4,630		3,961,916
Series 2021-2A, Class D, 4.46%, 04/20/32^(a)			3,500		2,850,457
Series 2022-1A, Class A, 5.12%, 07/20/32^(a)			4,589		4,535,574
Series 2023-1A, Class D, 8.69%, 05/20/33^(a)			1,310		1,353,318
Series 2024-1A, Class B, 5.88%, 06/21/32^(a)			1,205		1,204,456
Series 2024-1A, Class C, 6.40%, 06/21/32^(a)			2,447		2,451,247
Series 2024-1A, Class D, 7.21%, 06/21/32^(a)			5,550		5,625,981
LoanCore Issuer Ltd., Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 6.87%, 01/17/37^(a)(c)			13,118		12,971,636
Loanpal Solar Loan Ltd.
Series 2020-2GF, Class A, 2.75%, 07/20/47^(a)			849		684,434
Series 2021-2GS, Class A, 2.22%, 03/20/48^(a)			3,269		2,541,578
Logan CLO I Ltd., Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.42%), 6.74%, 07/20/34^(a)(c)			4,000		4,002,806
Long Beach Mortgage Loan Trust
Series 2006-2, Class 1A, (1-mo. CME Term SOFR + 0.47%), 5.80%, 03/25/46^(c)			598		465,799
Series 2006-5, Class 2A3, (1-mo. CME Term SOFR + 0.41%), 5.74%, 06/25/36^(c)			3,031		1,402,970
Series 2006-7, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.76%, 08/25/36^(c)			5,530		2,175,234
Series 2006-7, Class 2A4, (1-mo. CME Term SOFR + 0.59%), 5.92%, 08/25/36^(c)			1,276		502,354
Series 2006-9, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.76%, 10/25/36^(c)			1,966		626,543
Series 2006-WL3, Class 2A4, (1-mo. CME Term SOFR + 0.71%), 6.04%, 01/25/36^(c)			3,128		2,720,415
Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3-mo. CME Term SOFR + 1.64%), 6.95%, 01/17/30^(a)(c)			820		820,238


32		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Madison Park Funding LXVII Ltd., Series 2024- 67A, Class B, (3-mo. CME Term SOFR + 2.05%), 04/25/37^(a)(c)(e)	USD		4,230	$	4,230,000
Madison Park Funding XI Ltd., Series 2013-11A, Class AR2, (3-mo. CME Term SOFR + 1.16%), 6.48%, 07/23/29^(a)(c)			1,928		1,928,406
Madison Park Funding XIII Ltd.
Series 2014-13A, Class AR2, (3-mo. CME Term SOFR + 1.21%), 6.52%, 04/19/30^(a)(c)			550		550,412
Series 2014-13A, Class BR2, (3-mo. CME Term SOFR + 1.76%), 7.07%, 04/19/30^(a)(c)			600		600,672
Madison Park Funding XIX Ltd., Series 2015-19A, Class AR3, (3-mo. CME Term SOFR + 1.60%), 6.92%, 01/22/37^(a)(c)			330		331,049
Madison Park Funding XLVI Ltd., Series 2020-46A, Class B1R, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/15/34^(a)(c)			250		249,270
Madison Park Funding XLVIII Ltd., Series 2021- 48A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.82%, 04/19/33^(a)(c)			500		499,317
Madison Park Funding XVIII Ltd.
Series 2015-18A, Class ARR, (3-mo. CME Term SOFR + 1.20%), 6.52%, 10/21/30^(a)(c)			3,370		3,369,219
Series 2015-18A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.18%, 10/21/30^(a)(c)			390		390,070
Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.18%, 01/15/33^(a)(c)			1,500		1,497,609
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3-mo. CME Term SOFR + 1.23%), 6.55%, 07/27/31^(a)(c)			963		962,724
Madison Park Funding XXIV Ltd., Series 2016- 24A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/20/29^(a)(c)			740		741,642
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.78%, 07/29/30^(a)(c)			2,638		2,640,097
Madison Park Funding XXVIII Ltd., Series 2018- 28A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.43%, 07/15/30^(a)(c)			500		497,245
Madison Park Funding XXX Ltd.
Series 2018-30A, Class E, (3-mo. CME Term SOFR + 5.21%), 10.53%, 04/15/29^(a)(c)			1,000		992,589
Series 2018-30X, Class E, (3-mo. CME Term SOFR + 5.21%), 10.53%, 04/15/29^(c)(g)			250		248,147
Madison Park Funding XXXI Ltd., Series 2018- 31A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.28%, 01/23/31^(a)(c)			250		249,669
Madison Park Funding XXXIII Ltd., Series 2019- 33A, Class AR, (3-mo. CME Term SOFR + 1.29%), 6.60%, 10/15/32^(a)(c)			1,790		1,790,537
Madison Park Funding XXXV Ltd., Series 2019- 35A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.98%, 04/20/32^(a)(c)			720		718,689
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.65%, 07/15/33^(a)(c)			2,130		2,130,341
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.70%, 07/17/34^(a)(c)			1,250		1,250,750


Security		Par (000)		Value

Asset-Backed Securities (continued)
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 9.23%, 01/22/35^(a)(c)	USD		750	$	747,718
Mariner Finance Issuance Trust
Series 2019-AA, Class C, 4.01%, 07/20/32^(a)			638		636,670
Series 2021-AA, Class A, 1.86%, 03/20/36^(a)			700		644,231
Series 2021-AA, Class B, 2.33%, 03/20/36^(a)			1,620		1,448,239
Series 2021-AA, Class C, 2.96%, 03/20/36^(a)			2,850		2,526,689
Series 2021-BA, Class C, 2.66%, 11/20/36^(a)			4,403		3,790,079
Series 2021-BA, Class E, 4.68%, 11/20/36^(a)			3,620		3,045,431
Series 2022-AA, Class A, 6.45%, 10/20/37^(a)			2,345		2,350,787
MASTR Asset-Backed Securities Trust
Series 2005-WF1, Class M8, (1-mo. CME Term SOFR + 1.97%), 7.30%, 06/25/35^(c)			1,119		1,141,509
Series 2006-AM2, Class A4, (1-mo. CME Term SOFR + 0.63%), 5.96%, 06/25/36^(a)(c)			238		213,377
Series 2006-WMC2, Class A4, (1-mo. CME Term SOFR + 0.41%), 5.74%, 04/25/36^(c)			3,259		733,071
Series 2007-HE1, Class A4, (1-mo. CME Term SOFR + 0.39%), 5.72%, 05/25/37^(c)			83		65,107
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1-mo. CME Term SOFR + 0.63%), 5.96%, 06/25/46^(a)(c)			12		11,120
MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33^(b)			897		783,130
Merrill Lynch First Franklin Mortgage Loan Trust
Series 2007-2, Class A2C, (1-mo. CME Term SOFR + 0.59%), 5.92%, 05/25/37^(c)			1,704		1,189,874
Series 2007-H1, Class 1A2, (1-mo. CME Term SOFR + 3.61%), 8.94%, 10/25/37^(c)			2,341		2,136,203
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1-mo. CME Term SOFR + 0.50%), 5.83%, 08/25/37^(c)			1,752		1,491,992
MF1 LLC
Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.64%), 7.96%, 09/17/37^(a)(c)			1,428		1,431,446
Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.15%), 7.48%, 06/19/37^(a)(c)			2,844		2,846,467
Series 2023-FL12, Class A, (1-mo. CME Term SOFR + 2.07%), 7.39%, 10/19/38^(a)(c)			1,306		1,302,258
MF1 Ltd., Series 2021-FL7, Class A, (1-mo. CME Term SOFR + 1.19%), 6.52%, 10/16/36^(a)(c)			487		483,775
MidOcean Credit CLO III Ltd., Series 2014-3A, Class A3A2, (3-mo. CME Term SOFR + 1.23%), 6.55%, 04/21/31^(a)(c)			750		751,229
MidOcean Credit CLO XII Ltd., Series 2023-12A, Class A1R, (3-mo. CME Term SOFR + 1.34%), 04/18/36^(a)(c)(e)			9,000		9,000,000
Mill City Solar Loan Ltd.
Series 2019-1A, Class A, 4.34%, 03/20/43^(a)			1,047		969,589
Series 2019-2GS, Class A, 3.69%, 07/20/43^(a)			1,782		1,593,480
Morgan Stanley ABS Capital I, Inc. Trust
Series 2007-NC1, Class A2D, (1-mo. CME Term SOFR + 0.33%), 5.66%, 11/25/36^(c)			5,005		2,343,476
Series 2007-SEA1, Class 2A1, (1-mo. CME Term SOFR + 3.91%), 9.24%, 02/25/47^(a)(c)			50		45,763
Morgan Stanley Mortgage Loan Trust
Series 2006-12XS, Class A4, 6.51%, 10/25/36^(b)			2,350		568,919
Series 2006-12XS, Class A6A, 6.23%, 10/25/36^(b)			582		172,891


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Morgan Stanley Mortgage Loan Trust
Series 2006-16AX, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 5.94%, 11/25/36^(c)	USD		613	$	173,341
Mosaic Solar Loan Trust
Series 2018-2GS, Class A, 4.20%, 02/22/44^(a)			981		911,669
Series 2019-1A, Class A, 4.37%, 12/21/43^(a)			1,502		1,409,497
Series 2019-2A, Class A, 2.88%, 09/20/40^(a)			240		213,215
Series 2020-2A, Class B, 2.21%, 08/20/46^(a)			1,300		1,048,041
Series 2021-1A, Class B, 2.05%, 12/20/46^(a)			366		287,293
Series 2021-2A, Class B, 2.09%, 04/22/47^(a)			3,311		2,520,075
Series 2022-3A, Class A, 6.10%, 06/20/53^(a)			798		820,118
Series 2023-1A, Class A, 5.32%, 06/20/53^(a)			2,712		2,680,974
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.18%, 10/20/30^(a)(c)			250		249,574
Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1-mo. CME Term SOFR + 0.52%), 5.85%, 04/25/37^(c)			380		352,566
Navient Private Education Loan Trust, Series 2020- IA, Class B, 2.95%, 04/15/69^(a)			1,880		1,533,925
Navient Private Education Refi Loan Trust
Series 2018-DA, Class A2A, 4.00%, 12/15/59^(a).			744		721,900
Series 2019-D, Class A2A, 3.01%, 12/15/59^(a)			2,424		2,293,435
Series 2020-CA, Class A2B, (1-mo. CME Term SOFR + 1.71%), 7.04%, 11/15/68^(a)(c)			2,654		2,680,635
Series 2021-DA, Class A, (Prime Rate + (1.99)%), 6.51%, 04/15/60^(a)(c)			1,019		979,912
Series 2021-DA, Class B, 2.61%, 04/15/60^(a)			1,110		1,017,020
Series 2021-DA, Class C, 3.48%, 04/15/60^(a)			5,000		4,417,727
Series 2021-DA, Class D, 4.00%, 04/15/60^(a)			5,000		4,532,577
Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59^(a)			1,094		1,050,017
Nelnet Student Loan Trust
Series 2021-A, Class A1, (1-mo. CME Term SOFR + 0.91%), 6.24%, 04/20/62^(a)(c)			1,303		1,293,296
Series 2021-A, Class A2, (1-mo. CME Term SOFR + 1.14%), 6.47%, 04/20/62^(a)(c)			2,680		2,653,398
Series 2021-A, Class APT2, 1.36%, 04/20/62^(a).			1,816		1,641,665
Series 2021-A, Class B1, 2.85%, 04/20/62^(a)			1,979		1,638,466
Series 2021-A, Class B2, 2.85%, 04/20/62^(a)			1,640		1,357,799
Series 2021-A, Class C, 3.75%, 04/20/62^(a)			124		101,295
Series 2021-A, Class D, 4.93%, 04/20/62^(a)			735		612,431
Series 2021-BA, Class B, 2.68%, 04/20/62^(a)			8,450		6,991,699
Series 2021-BA, Class C, 3.57%, 04/20/62^(a)			386		312,878
Series 2021-BA, Class D, 4.75%, 04/20/62^(a)			8,380		6,883,048
Series 2021-CA, Class B, 2.53%, 04/20/62^(a)			5,370		4,364,367
Series 2021-CA, Class C, 3.36%, 04/20/62^(a)			2,770		2,245,899
Series 2021-CA, Class D, 4.44%, 04/20/62^(a)			5,590		4,529,247
Series 2021-DA, Class B, 2.90%, 04/20/62^(a)			4,800		3,982,514
Series 2021-DA, Class C, 3.50%, 04/20/62^(a)			2,700		2,145,578
Series 2021-DA, Class D, 4.38%, 04/20/62^(a)			680		539,095
Series 2023-PL1A, Class A1A, (SOFR (30-day) + 2.25%), 7.57%, 11/25/53^(a)(c)			2,924		2,915,519
Neuberger Berman CLO XIV Ltd., Series 2013- 14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.61%, 01/28/30^(a)(c)			602		602,561
Neuberger Berman CLO XV Ltd., Series 2013-15A, Class BR2, (3-mo. CME Term SOFR + 1.61%), 6.93%, 10/15/29^(a)(c)			250		250,230
Neuberger Berman CLO XVII Ltd.
Series 2014-17A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.61%, 04/22/29^(a)(c)			970		970,098


Security		Par (000)		Value

Asset-Backed Securities (continued)
Neuberger Berman CLO XVII Ltd. Series 2014-17A, Class CR2, (3-mo. CME Term SOFR + 2.26%), 7.58%, 04/22/29^(a)(c)	USD		750	$	746,287
Neuberger Berman CLO XX Ltd.
Series 2015-20A, Class ARR, (3-mo. CME Term SOFR + 1.42%), 6.74%, 07/15/34^(a)(c)			525		524,738
Series 2015-20A, Class DRR, (3-mo. CME Term SOFR + 3.21%), 8.53%, 07/15/34^(a)(c)			1,000		1,006,655
Series 2015-20A, Class ERR, (3-mo. CME Term SOFR + 6.76%), 12.08%, 07/15/34^(a)(c)			750		747,813
Neuberger Berman CLO XXII Ltd., Series 2016- 22A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/17/30^(a)(c)			250		250,094
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.48%, 10/18/30^(a)(c)			3,807		3,805,523
Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class A2, (3-mo. CME Term SOFR + 1.66%), 6.97%, 10/19/31^(a)(c)			250		249,969
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.97%, 01/20/32^(a)(c)			910		906,850
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR, (3-mo. CME Term SOFR + 1.75%), 7.07%, 01/20/35^(a)(c)			1,000		998,023
Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.68%, 07/16/35^(a)(c)			3,000		3,002,334
Neuberger Berman Loan Advisers CLO 43 Ltd., Series 2021-43A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.71%, 07/17/35^(a)(c)			1,000		1,000,812
Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.71%, 10/14/35^(a)(c)			5,000		5,004,625
Neuberger Berman Loan Advisers CLO 46 Ltd., Series 2021-46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 01/20/36^(a)(c)			1,220		1,221,354
Neuberger Berman Loan Advisers CLO 55 Ltd., Series 2024-55A, Class C, (3-mo. CME Term SOFR + 2.35%), 04/22/38^(a)(c)(e)			1,000		1,000,000
New Residential Mortgage Loan Trust, Series 2022-SFR2, Class F, 4.00%, 09/04/39^(a).			3,692		3,156,057
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1-mo. CME Term SOFR + 0.51%), 5.84%, 10/25/36^(a)(c)			118		137,790
NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1-mo. CME Term SOFR + 0.59%), 5.92%, 11/25/36^(c)			3,772		1,150,938
Oakwood Mortgage Investors, Inc.
Series 1999-C, Class A2, 7.48%, 08/15/27			1,780		1,392,626
Series 2001-D, Class A2, 5.26%, 01/15/19^(c)			25		10,515
Series 2002-A, Class M1, 7.76%, 03/15/32^(c)			1,992		1,834,576
Series 2002-C, Class M1, 6.89%, 11/15/32^(c)			2,025		1,914,637
Ocean Trails CLO V, Series 2014-5A, Class BRR, (3-mo. CME Term SOFR + 2.21%), 7.53%, 10/13/31^(a)(c)			500		501,427
OCP CLO Ltd.
Series 2016-12A, Class BR2, (3-mo. CME Term SOFR + 1.81%), 7.11%, 04/18/33^(a)(c)			3,000		2,998,831
Series 2017-13A, Class A1AR, (3-mo. CME Term SOFR + 1.22%), 6.54%, 07/15/30^(a)(c)			3,063		3,064,256


34		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
OCP CLO Ltd.
Series 2017-13A, Class A2R, (3-mo. CME Term SOFR + 1.81%), 7.13%, 07/15/30^(a)(c)	USD		250	$	249,573
Series 2019-16A, Class AR, (3-mo. CME Term SOFR + 1.26%), 6.59%, 04/10/33^(a)(c)			1,490		1,494,724
Series 2019-17A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.62%, 07/20/32^(a)(c)			1,000		1,000,008
Series 2020-18A, Class AR, (3-mo. CME Term SOFR + 1.35%), 6.67%, 07/20/32^(a)(c)			1,100		1,100,587
Series 2020-20A, Class B1R, (3-mo. CME Term SOFR + 1.95%), 04/18/37^(a)(c)(e)			370		370,000
Series 2021-22A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.76%, 12/02/34^(a)(c)			2,020		2,020,538
Series 2021-22A, Class B1, (3-mo. CME Term SOFR + 1.96%), 7.28%, 12/02/34^(a)(c)			340		339,571
Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/15/34^(a)(c)			250		248,708
Octagon 57 Ltd., Series 2021-1A, Class B1, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/15/34^(a)(c)			870		869,485
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3-mo. CME Term SOFR + 1.22%), 6.54%, 04/16/31^(a)(c)			2,582		2,583,202
Octagon Investment Partners 29 Ltd., Series 2016- 1A, Class AR, (3-mo. CME Term SOFR + 1.44%), 6.76%, 01/24/33^(a)(c)			250		250,002
Octagon Investment Partners 33 Ltd., Series 2017- 1A, Class A1, (3-mo. CME Term SOFR + 1.45%), 6.77%, 01/20/31^(a)(c)			924		924,363
Octagon Investment Partners 36 Ltd., Series 2018- 1A, Class A1, (3-mo. CME Term SOFR + 1.23%), 6.55%, 04/15/31^(a)(c)			226		226,202
Octagon Investment Partners 37 Ltd., Series 2018- 2A, Class A2, (3-mo. CME Term SOFR + 1.84%), 7.17%, 07/25/30^(a)(c)			650		649,756
Octagon Investment Partners 39 Ltd., Series 2018- 3A, Class BR, (3-mo. CME Term SOFR + 1.80%), 10/20/30^(a)(c)(e)			5,640		5,651,305
Octagon Investment Partners 51 Ltd., Series 2021- 1A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.73%, 07/20/34^(a)(c)			1,250		1,248,921
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 1.61%), 6.92%, 07/19/30^(a)(c)			350		349,872
Octagon Investment Partners XVII Ltd.
Series 2013-1A, Class A1R2, (3-mo. CME Term SOFR + 1.26%), 6.59%, 01/25/31^(a)(c)			811		810,830
Series 2013-1A, Class A2R2, (3-mo. CME Term SOFR + 1.36%), 6.69%, 01/25/31^(a)(c)			500		500,086
OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.73%, 04/21/34^(a)(c)			1,500		1,500,670
OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.72%, 07/02/35^(a)(c)			250		250,146
OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.73%, 10/22/36^(a)(c)			1,000		1,000,825
OHA Credit Funding 5 Ltd., Series 2020-5A, Class A2A, (3-mo. CME Term SOFR + 1.71%), 7.01%, 04/18/33^(a)(c)			300		301,251


Security		Par (000)		Value

Asset-Backed Securities (continued)
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.72%, 07/20/34^(a)(c)	USD		670	$	670,441
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.61%, 02/24/37^(a)(c)			770		768,990
OHA Credit Funding 9 Ltd., Series 2021-9A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.27%, 07/19/35^(a)(c)			1,890		1,894,529
OHA Credit Partners XII Ltd., Series 2015-12A, Class B1R2, (3-mo. CME Term SOFR + 1.95%), 04/23/37^(a)(c)(e)			1,700		1,700,000
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.62%, 05/23/31^(a)(c)			757		758,011
OneMain Financial Issuance Trust
Series 2021-1A, Class A2, (SOFR (30-day) + 0.76%), 6.08%, 06/16/36^(a)(c)			1,201		1,196,714
Series 2021-1A, Class B, 1.95%, 06/16/36^(a)			4,700		4,116,564
Series 2021-1A, Class C, 2.22%, 06/16/36^(a)			4,680		4,020,127
Series 2023-2A, Class D, 7.52%, 09/15/36^(a)			1,720		1,763,354
Option One Mortgage Loan Trust
Series 2005-4, Class M3, (1-mo. CME Term SOFR + 0.85%), 6.18%, 11/25/35^(c)			460		370,966
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37^(b)			4,123		3,367,605
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37^(b)			2,486		2,075,770
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1-mo. LIBOR US + 1.20%), 6.64%, 10/15/37^(a)(c)			741		725,014
OSD CLO Ltd., Series 2021-23A, Class E, (3-mo. CME Term SOFR + 6.26%), 11.58%, 04/17/31^(a)(c)			1,000		987,365
OZLM Funding IV Ltd.
Series 2013-4A, Class A1R, (3-mo. CME Term SOFR + 1.51%), 6.83%, 10/22/30^(a)(c)			355		354,629
Series 2013-4A, Class A2R, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/22/30^(a)(c)			500		499,331
OZLM VI Ltd., Series 2014-6A, Class A2AS, (3-mo. CME Term SOFR + 2.01%), 7.33%, 04/17/31^(a)(c)			2,570		2,570,005
OZLM VIII Ltd.
Series 2014-8A, Class A2R3, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/17/29^(a)(c)			1,185		1,193,892
Series 2014-8A, Class BR3, (3-mo. CME Term SOFR + 2.36%), 7.68%, 10/17/29^(a)(c)			1,750		1,753,503
OZLM XIV Ltd., Series 2015-14A, Class A1SR, (3-mo. CME Term SOFR + 1.51%), 6.83%, 07/15/34^(a)(c)			1,500		1,504,518
OZLM XVIII Ltd., Series 2018-18A, Class B, (3-mo. CME Term SOFR + 1.81%), 7.13%, 04/15/31^(a)(c)			550		550,499
OZLM XXII Ltd.
Series 2018-22A, Class A1, (3-mo. CME Term SOFR + 1.33%), 6.65%, 01/17/31^(a)(c)			747		747,861
Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.08%, 01/17/31^(a)(c)			500		500,553
Pagaya AI Debt Selection Trust, Series 2021-2, Class NOTE, 3.00%, 01/25/29^(a)			529		515,378
Pagaya AI Technology in Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40^(a)			1,000		711,026


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 (continued)

March 31, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Palmer Square CLO Ltd.
Series 2013-2A, Class A1A3, (3-mo. CME Term SOFR + 1.26%), 6.58%, 10/17/31^(a)(c)	USD		3,048	$	3,049,875
Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.71%, 01/17/31^(a)(c)			518		518,574
Series 2014-1A, Class CR2, (3-mo. CME Term SOFR + 2.91%), 8.23%, 01/17/31^(a)(c)			400		402,094
Series 2015-1A, Class A1A4, (3-mo. CME Term SOFR + 1.39%), 6.71%, 05/21/34^(a)(c)			660		660,450
Series 2015-1A, Class A2R4, (3-mo. CME Term SOFR + 1.96%), 7.28%, 05/21/34^(a)(c)			1,000		999,499
Series 2015-2A, Class CR2, (3-mo. CME Term SOFR + 3.01%), 8.33%, 07/20/30^(a)(c)			1,250		1,250,289
Series 2020-3A, Class A1R2, (3-mo. CME Term SOFR + 1.65%), 6.96%, 11/15/36^(a)(c)			960		963,380
Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.73%, 01/15/35^(a)(c)			390		390,898
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/15/34^(a)(c)			250		249,233
Palmer Square Loan Funding Ltd.
Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 1.51%), 6.83%, 05/20/29^(a)(c)			3,560		3,568,461
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.58%, 07/20/29^(a)(c)			250		245,846
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/15/29^(a)(c)			250		250,298
Series 2021-4A, Class C, (3-mo. CME Term SOFR + 2.86%), 8.18%, 10/15/29^(a)(c)			250		250,280
Series 2022-2A, Class A2, (3-mo. CME Term SOFR + 1.90%), 7.21%, 10/15/30^(a)(c)			2,350		2,351,160
Series 2022-2A, Class B, (3-mo. CME Term SOFR + 2.20%), 7.51%, 10/15/30^(a)(c)			1,360		1,360,036
Series 2022-2A, Class C, (3-mo. CME Term SOFR + 3.10%), 8.41%, 10/15/30^(a)(c)			250		247,960
Series 2022-3A, Class A2R, (3-mo. CME Term SOFR + 1.60%), 04/15/31^(a)(c)(e)			10,380		10,379,897
Park Avenue Institutional Advisers CLO Ltd.
Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.78%, 08/23/31^(a)(c)			303		302,688
Series 2017-1A, Class DR, (3-mo. CME Term SOFR + 7.07%), 12.38%, 02/14/34^(a)(c)			900		839,886
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.98%, 07/15/34^(a)(c)			1,900		1,865,918
Pikes Peak CLO 1, Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.76%, 07/24/31^(a)(c)			740		741,026
Pikes Peak CLO 11, Series 2022-11A, Class A1, (3-mo. CME Term SOFR + 1.95%), 7.28%, 07/25/34^(a)(c)			3,000		3,018,745
Pikes Peak CLO 6, Series 2020-6A, Class AR2, (3-mo. CME Term SOFR + 1.43%), 6.75%, 05/18/34^(a)(c)			1,000		1,000,026
Popular ABS Mortgage Pass-Through Trust,
Series 2006-B, Class M1, (1-mo. CME Term SOFR + 0.65%), 5.98%, 05/25/36^(c)			3,540		3,315,735
PRET LLC
Series 2021-NPL6, Class A1, 2.49%, 07/25/51^(a)(b)			6,363		6,154,051
Series 2021-RN4, Class A1, 2.49%, 10/25/51^(a)(c)			5,348		5,228,682
Series 2023-RN2, Class A1, 8.11%, 11/25/53^(a)(b)			4,680		4,687,942


Security		Par (000)		Value

Asset-Backed Securities (continued)
Prodigy Finance DAC
Series 2021-1A, Class B, (1-mo. CME Term SOFR + 2.61%), 7.94%, 07/25/51^(a)(c)	USD		940	$	947,375
Series 2021-1A, Class C, (1-mo. CME Term SOFR + 3.86%), 9.19%, 07/25/51^(a)(c)			941		952,100
Series 2021-1A, Class D, (1-mo. CME Term SOFR + 6.01%), 11.34%, 07/25/51^(a)(c)			1,077		1,095,391
Progress Residential Trust
Series 2021-SFR10, Class E2, 3.67%, 12/17/40^(a)			976		861,523
Series 2021-SFR10, Class F, 4.61%, 12/17/40^(a)			3,942		3,481,501
Series 2021-SFR5, Class F, 3.16%, 07/17/38^(a)	.		1,808		1,635,730
Series 2021-SFR6, Class F, 3.42%, 07/17/38^(a)	.		3,577		3,245,344
Series 2021-SFR8, Class F, 3.18%, 10/17/38^(a)	.		4,500		4,026,617
Series 2021-SFR9, Class F, 4.05%, 11/17/40^(a)			2,400		2,075,276
Series 2022-SFR1, Class F, 4.88%, 02/17/41^(a)	.		5,000		4,391,891
Series 2022-SFR5, Class E1, 6.62%, 06/17/39^(a)			2,180		2,153,088
Series 2023-SFR2, Class E1, 4.75%, 10/17/28^(a)			1,041		956,650
Series 2024-SFR2, Class E1, 3.40%, 04/01/41^(a)			2,000		1,715,404
Series 2024-SFR2, Class E2, 3.65%, 04/01/41^(a)			2,000		1,706,113
Race Point VIII CLO Ltd., Series 2013-8A, Class AR2, (3-mo. CME Term SOFR + 1.30%), 6.62%, 02/20/30^(a)(c)			738		737,457
Rad CLO 15 Ltd.
Series 2021-15A, Class A, (3-mo. CME Term SOFR + 1.35%), 6.67%, 01/20/34^(a)(c)			390		390,312
Series 2021-15A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 01/20/34^(a)(c)			820		820,255
Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.78%, 01/20/34^(a)(c)			4,500		4,453,141
Rad CLO 2 Ltd., Series 2018-2A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.66%, 10/15/31^(a)(c)			1,155		1,156,198
Rad CLO 3 Ltd.
Series 2019-3A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.13%, 04/15/32^(a)(c)			325		324,092
Series 2019-3A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.43%, 04/15/32^(a)(c)			250		249,009
Series 2019-3A, Class DR, (3-mo. CME Term SOFR + 3.01%), 8.33%, 04/15/32^(a)(c)			250		245,047
Rad CLO 4 Ltd., Series 2019-4A, Class D, (3-mo. CME Term SOFR + 4.11%), 9.44%, 04/25/32^(a)(c)			500		504,599
Rad CLO 7 Ltd.
Series 2020-7A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 6.68%, 04/17/36^(a)(c)			250		249,692
Series 2020-7A, Class B1R, (3-mo. CME Term SOFR + 1.90%), 7.23%, 04/17/36^(a)(c)			2,500		2,499,750
Series 2020-7A, Class CR, (3-mo. CME Term SOFR + 2.60%), 7.93%, 04/17/36^(a)(c)			1,340		1,339,965
Series 2020-7A, Class D1R, (3-mo. CME Term SOFR + 4.15%), 9.48%, 04/17/36^(a)(c)			480		479,989
Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3-mo. CME Term SOFR + 2.16%), 7.48%, 01/15/34^(a)(c)			500		500,374
Redwood Funding Trust, Series 2023-1, Class A, 7.50%, 07/25/59^(a)(b)			636		635,229


36		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Regatta IX Funding Ltd.
Series 2017-1A, Class C, (3-mo. CME Term SOFR + 2.71%), 8.03%, 04/17/30^(a)(c)	USD		250	$	250,351
Series 2017-1A, Class D, (3-mo. CME Term SOFR + 4.16%), 9.48%, 04/17/30^(a)(c)			250		250,382
Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3-mo. CME Term SOFR + 1.42%), 6.74%, 04/20/34^(a)(c)			3,000		3,003,036
Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3-mo. CME Term SOFR + 1.86%), 7.19%, 06/20/34^(a)(c)			250		250,317
Regatta VIII Funding Ltd.
Series 2017-1A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/17/30^(a)(c)			1,255		1,259,886
Series 2017-1A, Class D, (3-mo. CME Term SOFR + 3.46%), 8.78%, 10/17/30^(a)(c)			250		251,535
Regatta X Funding Ltd., Series 2017-3A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.03%, 01/17/31^(a)(c)			330		330,214
Regatta XIX Funding Ltd., Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.85%), 7.17%, 04/20/35^(a)(c)			420		420,650
Regatta XVI Funding Ltd.
Series 2019-2A, Class B, (3-mo. CME Term SOFR + 2.31%), 7.63%, 01/15/33^(a)(c)			750		750,755
Series 2019-2A, Class D, (3-mo. CME Term SOFR + 4.16%), 9.48%, 01/15/33^(a)(c)			500		500,760
Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.19%, 10/15/33^(a)(c)			500		501,235
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.38%, 01/20/35^(a)(c)			1,500		1,493,143
Regional Management Issuance Trust
Series 2020-1, Class A, 2.34%, 10/15/30^(a)			610		598,754
Series 2020-1, Class B, 3.23%, 10/15/30^(a)			320		306,805
Series 2021-1, Class A, 1.68%, 03/17/31^(a)			127		122,667
Series 2021-2, Class B, 2.35%, 08/15/33^(a)			1,098		945,833
Series 2021-2, Class C, 3.23%, 08/15/33^(a)			820		690,480
Series 2021-3, Class A, 3.88%, 10/17/33^(a)(h)			10,210		9,304,373
Series 2022-1, Class A, 3.07%, 03/15/32^(a)			2,527		2,421,191
Series 2022-1, Class B, 3.71%, 03/15/32^(a)			5,452		5,121,319
Series 2022-1, Class C, 4.46%, 03/15/32^(a)			1,111		1,016,413
Series 2022-1, Class D, 6.72%, 03/15/32^(a)			2,072		1,936,383
Series 2022-2B, Class A, 7.10%, 11/17/32^(a)			6,193		6,254,669
Renaissance Home Equity Loan Trust, Series 2005-3, Class AF4, 5.14%, 11/25/35^(b)			640		630,515
Republic Finance Issuance Trust, Series 2021-A, Class D, 5.23%, 12/22/31^(a)			3,550		3,218,394
Riserva CLO Ltd., Series 2016-3A, Class ARR, (3-mo. CME Term SOFR + 1.32%), 6.62%, 01/18/34^(a)(c)			1,100		1,098,185
Rockford Tower CLO Ltd.
Series 2017-1A, Class AR2, (3-mo. CME Term SOFR + 1.36%), 6.68%, 04/20/34^(a)(c)			500		500,189
Series 2017-2A, Class BR, (3-mo. CME Term SOFR + 1.76%), 7.08%, 10/15/29^(a)(c)			1,250		1,249,015
Series 2017-2A, Class CR, (3-mo. CME Term SOFR + 2.16%), 7.48%, 10/15/29^(a)(c)			1,000		1,001,166
Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.43%, 10/15/29^(a)(c)			1,000		999,591


Security		Par (000)		Value

Asset-Backed Securities (continued)
Rockford Tower CLO Ltd.
Series 2017-3A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.77%, 10/20/30^(a)(c)	USD		2,207	$	2,208,563
Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.68%, 05/20/31^(a)(c)			613		613,943
Series 2018-2A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.38%, 10/20/31^(a)(c)			620		620,624
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.75%, 07/20/34^(a)(c)			3,500		3,500,770
Romark CLO II Ltd., Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.76%, 07/25/31^(a)(c)			220		220,918
Romark WM-R Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.29%), 6.61%, 04/20/31^(a)(c)			1,063		1,064,976
RR 12 Ltd., Series 2020-12A, Class A2R2, (3-mo. CME Term SOFR + 1.96%), 7.28%, 01/15/36^(a)(c)			1,210		1,211,102
RR 18 Ltd., Series 2021-18A, Class A2, (3-mo. CME Term SOFR + 1.86%), 7.18%, 10/15/34^(a)(c)			250		250,193
RR 19 Ltd., Series 2021-19A, Class A2, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/15/35^(a)(c)			500		501,371
RR 28 Ltd., Series 2024-28RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.84%, 04/15/37^(a)(c)			250		251,046
RR 3 Ltd., Series 2018-3A, Class A1R2, (3-mo. CME Term SOFR + 1.35%), 6.67%, 01/15/30^(a)(c)			3,160		3,161,281
Saxon Asset Securities Trust, Series 2004-2, Class MF5, 3.24%, 08/25/35^(b)			397		279,987
Securitized Asset-Backed Receivables LLC Trust
Series 2007-BR1, Class A2A, (1-mo. CME Term SOFR + 0.33%), 5.66%, 02/25/37^(c)			393		167,383
Series 2007-BR1, Class A2B, (1-mo. CME Term SOFR + 0.65%), 5.98%, 02/25/37^(c)			2,092		892,042
Series 2007-NC2, Class A2C, (1-mo. CME Term SOFR + 0.55%), 5.88%, 01/25/37^(c)			446		306,092
Service Experts Issuer LLC, Series 2021-1A, Class A, 2.67%, 02/02/32^(a)			2,029		1,893,562
SESAC Finance LLC
Series 2019-1, Class A2, 5.22%, 07/25/49^(a)			2,491		2,427,564
Series 2024-1, Class A2, 6.42%, 01/25/54^(a)			674		676,044
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1-mo. CME Term SOFR + 0.43%), 5.76%, 07/25/36^(c)			185		39,480
Shackleton CLO Ltd., Series 2013-3A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.70%, 07/15/30^(a)(c)			506		506,327
Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, (3-mo. CME Term SOFR + 1.42%), 6.74%, 04/17/34^(a)(c)			2,750		2,760,767
Signal Peak CLO 2 LLC, Series 2015-1A,
Class AR2, (3-mo. CME Term SOFR + 1.24%), 6.56%, 04/20/29^(a)(c)			595		594,921
Signal Peak CLO 5 Ltd.
Series 2018-5A, Class A1R, (3-mo. CME Term SOFR + 1.55%), 04/25/37^(a)(c)(e)			1,810		1,813,224
Series 2018-5A, Class BR, (3-mo. CME Term SOFR + 2.20%), 04/25/37^(a)(c)(e)			390		391,822


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3-mo. CME Term SOFR + 1.53%), 6.85%, 04/20/33^(a)(c)	USD		500	$	500,455
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.78%, 01/20/34^(a)(c)			500		494,571
Sixth Street CLO XX Ltd., Series 2021-20A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/20/34^(a)(c)			970		970,239
SLM Private Credit Student Loan Trust
Series 2005-A, Class A4, (3-mo. CME Term SOFR + 0.57%), 5.90%, 12/15/38^(c)			1,007		990,233
Series 2005-B, Class A4, (3-mo. CME Term SOFR + 0.59%), 5.92%, 06/15/39^(c)			767		750,375
Series 2006-BW, Class A5, (3-mo. CME Term SOFR + 0.46%), 5.79%, 12/15/39^(c)			1,429		1,376,498
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1-mo. CME Term SOFR + 4.86%), 10.19%, 10/15/41^(a)(c)			2,590		2,781,211
SMB Private Education Loan Trust
Series 2015-C, Class B, 3.50%, 09/15/43^(a)			1,620		1,572,101
Series 2016-B, Class A2A, 2.43%, 02/17/32^(a)			370		362,652
Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.34%, 09/15/34^(a)(c)			671		669,941
Series 2017-B, Class A2A, 2.82%, 10/15/35^(a)			449		434,669
Series 2017-B, Class A2B, (1-mo. CME Term SOFR + 0.86%), 6.19%, 10/15/35^(a)(c)			737		734,278
Series 2018-A, Class A2B, (1-mo. CME Term SOFR + 0.91%), 6.24%, 02/15/36^(a)(c)			1,541		1,535,947
Series 2019-B, Class A2A, 2.84%, 06/15/37^(a)			2,057		1,960,421
Series 2021-A, Class C, 2.99%, 01/15/53^(a)			2,055		1,746,921
Series 2021-A, Class D1, 3.86%, 01/15/53^(a)			532		460,479
Series 2021-A, Class D2, 3.86%, 01/15/53^(a)			362		313,518
Series 2021-B, Class A, 1.31%, 07/17/51^(a)			2,176		1,972,594
Series 2021-C, Class A2, (1-mo. CME Term SOFR + 0.91%), 6.24%, 01/15/53^(a)(c)			1,269		1,257,246
Series 2021-C, Class APT1, 1.39%, 01/15/53^(a).			1,145		1,010,127
Series 2021-C, Class B, 2.30%, 01/15/53^(a)			819		762,242
Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 03/15/56^(a)(c)(e)			6,833		6,860,998
Series 2024-A, Class B, 03/15/56^(a)(e)			6,500		6,514,318
SoFi Professional Loan Program LLC
Series 2018-A, Class B, 3.61%, 02/25/42^(a)			290		263,313
Series 2019-B, Class A2FX, 3.09%, 08/17/48^(a).			311		295,680
SoFi Professional Loan Program Trust
Series 2018-B, Class BFX, 3.83%, 08/25/47^(a)			156		142,485
Series 2018-D, Class BFX, 4.14%, 02/25/48^(a)			100		90,612
Series 2020-A, Class BFX, 3.12%, 05/15/46^(a)			226		182,987
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.66%, 01/26/31^(a)(c)			193		193,545
Sound Point CLO XV Ltd., Series 2017-1A, Class ARR, (3-mo. CME Term SOFR + 1.16%), 6.48%, 01/23/29^(a)(c)			127		126,504
Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3-mo. CME Term SOFR + 1.54%), 6.87%, 01/25/32^(a)(c)			1,000		1,000,659
Soundview Home Loan Trust
Series 2004-WMC1, Class M2, (1-mo. CME Term SOFR + 0.91%), 6.24%, 01/25/35^(c)			92		78,816
Series 2005-OPT3, Class M4, (1-mo. CME Term SOFR + 1.13%), 6.46%, 11/25/35^(c)			313		225,741


Security		Par (000)		Value

Asset-Backed Securities (continued)
Soundview Home Loan Trust
Series 2007-NS1, Class M1, (1-mo. CME Term SOFR + 0.46%), 5.79%, 01/25/37^(c)	USD		445	$	405,397
SPLT
Series 23-1, Class A, 6.00%, 10/12/30^(a)			7,644		7,646,851
Series 23-1, Class R1, 0.00%, 10/15/30^(a)(d)			43		2,500,587
Series 24-1, Class A,, 6.06%, 02/12/31^(a)			9,342		9,341,592
Series 24-1, Class R1, 0.00%, 02/12/31^(a)(d)			136		6,782,464
SpringCastle America Funding LLC, Series 2020- AA, Class A, 1.97%, 09/25/37^(a)			1,075		997,544
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.51%), 6.83%, 10/15/30^(a)(c)			199		199,077
Stratus CLO Ltd.
Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.06%), 6.38%, 12/29/29^(a)(c)			295		294,918
Series 2021-1A, Class E, (3-mo. CME Term SOFR + 5.26%), 10.58%, 12/29/29^(a)(c)			1,250		1,226,514
Series 2021-1A, Class SUB, 0.00%, 12/29/29^(a)(c)(d)			1,000		622,010
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 6.01%), 11.33%, 12/28/29^(a)(c)			1,550		1,550,086
Structured Asset Investment Loan Trust, Series 2004-10, Class A11, (1-mo. CME Term SOFR + 1.61%), 6.94%, 11/25/34^(c)			123		126,090
Structured Asset Securities Corp. Mortgage Loan Trust
Series 2007-GEL1, Class A3, (1-mo. CME Term SOFR + 0.71%), 6.04%, 01/25/37^(a)(c)			1,546		1,229,578
Series 2007-GEL2, Class M1, (1-mo. CME Term SOFR + 1.16%), 6.49%, 05/25/37^(a)(c)			1,650		1,203,450
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54^(a)			951		887,478
Sycamore Tree CLO Ltd., Series 2024-5A, Class B, (3-mo. CME Term SOFR + 2.25%), 04/20/36^(a)(c)(e)			2,150		2,150,000
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3-mo. CME Term SOFR + 1.22%), 6.54%, 04/16/31^(a)(c)			460		460,299
Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.73%, 10/15/31^(a)(c)			297		296,875
Symphony CLO XX Ltd., Series 2018-20A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 01/16/32^(a)(c)			640		639,308
Symphony CLO XXII Ltd., Series 2020-22A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.26%, 04/18/33^(a)(c)			560		559,753
Symphony CLO XXIII Ltd.
Series 2020-23A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.18%, 01/15/34^(a)(c)			1,150		1,148,567
Series 2020-23A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.58%, 01/15/34^(a)(c)			1,500		1,502,005
Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.73%, 01/15/34^(a)(c)			1,250		1,252,683
Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/20/33^(a)(c)			689		688,259
Symphony Static CLO I Ltd., Series 2021-1A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.44%, 10/25/29^(a)(c)			500		494,804


38		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.22%), 6.54%, 11/18/30^(a)(c)	USD		613	$	613,314
TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.13%, 07/15/30^(a)(c)			1,000		997,466
TCW CLO AMR Ltd., Series 2019-1A, Class ASNR, (3-mo. CME Term SOFR + 1.48%), 6.81%, 08/16/34^(a)(c)			250		249,397
TICP CLO IX Ltd., Series 2017-9A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.18%, 01/20/31^(a)(c)			250		250,632
TICP CLO V Ltd., Series 2016-5A, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.73%, 07/17/31^(a)(c)			250		251,277
TICP CLO VI Ltd.
Series 2016-6A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 6.70%, 01/15/34^(a)(c)			4,250		4,254,760
Series 2016-6A, Class BR2, (3-mo. CME Term SOFR + 1.76%), 7.08%, 01/15/34^(a)(c)			320		319,085
TICP CLO VII Ltd.
Series 2017-7A, Class BR2, (3-mo. CME Term SOFR + 1.90%), 04/15/33^(a)(c)(e)			2,740		2,736,659
Series 2017-7A, Class ER, (3-mo. CME Term SOFR + 7.31%), 12.63%, 04/15/33^(a)(c)			600		592,547
TICP CLO VIII Ltd., Series 2017-8A, Class A2R, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/20/34^(a)(c)			1,780		1,779,624
TICP CLO X Ltd., Series 2018-10A, Class B, (3-mo. CME Term SOFR + 1.73%), 7.05%, 04/20/31^(a)(c)			570		570,743
TICP CLO XI Ltd.
Series 2018-11A, Class AR, (3-mo. CME Term SOFR + 1.53%), 04/25/37^(a)(c)(e)			250		250,000
Series 2018-11A, Class B, (3-mo. CME Term SOFR + 1.99%), 7.31%, 10/20/31^(a)(c)			450		450,000
Series 2018-11A, Class BR, (3-mo. CME Term SOFR + 2.05%), 04/25/37^(a)(c)(e)			2,760		2,760,000
TICP CLO XII Ltd., Series 2018-12A, Class AR, (3-mo. CME Term SOFR + 1.43%), 6.75%, 07/15/34^(a)(c)			250		250,141
TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3-mo. CME Term SOFR + 6.96%), 12.28%, 10/20/32^(a)(c)			1,250		1,258,482
TICP CLO XV Ltd., Series 2020-15A, Class A, (3-mo. CME Term SOFR + 1.54%), 6.86%, 04/20/33^(a)(c)			1,250		1,251,139
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1-mo. CME Term SOFR + 1.11%), 6.44%, 05/25/58^(a)(c)			918		932,858
Trestles CLO IV Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.43%), 6.75%, 07/21/34^(a)(c)			250		250,000
Trestles CLO Ltd., Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.25%), 6.58%, 04/25/32^(a)(c)			650		650,260
Trestles CLO V Ltd., Series 2021-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.75%, 10/20/34^(a)(c)			7,230		7,233,120
Tricon American Homes Trust
Series 2018-SFR1, Class E, 4.56%, 05/17/37^(a)			2,000		1,967,895
Series 2019-SFR1, Class E, 3.40%, 03/17/38^(a)			2,000		1,892,823


Security		Par (000)		Value

Asset-Backed Securities (continued)
Tricon American Homes Trust Series 2020-SFR1, Class F, 4.88%, 07/17/38^(a)	. USD		7,351	$	7,102,943
Tricon Residential Trust
Series 2021-SFR1, Class F, 3.69%, 07/17/38^(a)	.		3,250		2,968,524
Series 2021-SFR1, Class G, 4.13%, 07/17/38^(a).			2,099		1,883,504
Trimaran Cavu Ltd.
Series 2019-1A, Class A2, (3-mo. CME Term SOFR + 2.16%), 7.48%, 07/20/32^(a)(c)			250		250,257
Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.84%, 10/25/34^(a)(c)			300		296,494
Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3-mo. CME Term SOFR + 1.66%), 6.96%, 10/18/31^(a)(c)			250		249,780
Venture 39 CLO Ltd., Series 2020-39A, Class A1, (3-mo. CME Term SOFR + 1.54%), 6.86%, 04/15/33^(a)(c)			340		340,655
VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51^(a)(b)			10,221		9,777,290
Voya CLO Ltd.
Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 6.56%, 04/25/31^(a)(c)			803		803,373
Series 2013-3A, Class A1RR, (3-mo. CME Term SOFR + 1.41%), 6.71%, 10/18/31^(a)(c)			472		471,835
Series 2015-1A, Class A1R, (3-mo. CME Term SOFR + 1.16%), 6.46%, 01/18/29^(a)(c)			29		29,398
Series 2015-3A, Class A1R, (3-mo. CME Term SOFR + 1.45%), 6.77%, 10/20/31^(a)(c)			476		476,387
Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 6.53%, 04/17/30^(a)(c)			143		142,414
Series 2017-3A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.62%, 04/20/34^(a)(c)			1,000		1,000,639
Series 2017-4A, Class A1, (3-mo. CME Term SOFR + 1.39%), 6.71%, 10/15/30^(a)(c)			865		865,629
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.56%), 6.87%, 04/19/31^(a)(c)			250		249,902
Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.58%, 07/15/31^(a)(c)			207		207,105
Series 2018-3A, Class A1A, (3-mo. CME Term SOFR + 1.41%), 6.73%, 10/15/31^(a)(c)			229		229,261
Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.20%), 07/20/32^(a)(c)(e)			4,000		4,000,000
Series 2021-2A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.18%, 10/20/34^(a)(c)			810		809,154
Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.39%), 6.71%, 04/20/35^(a)(c)			1,000		1,000,500
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE3, Class 1A, (1-mo. CME Term SOFR + 0.42%), 5.75%, 08/25/36^(c)			6,171		5,812,661
Series 2006-HE4, Class 2A2, (1-mo. CME Term SOFR + 0.47%), 5.80%, 09/25/36^(c)			205		55,677
Series 2006-HE5, Class 1A, (1-mo. CME Term SOFR + 0.42%), 4.66%, 10/25/36^(c)			2,434		1,790,981
Series 2007-HE3, Class 2A3, (1-mo. CME Term SOFR + 0.35%), 5.68%, 05/25/37^(c)			105		91,888
Wellfleet CLO Ltd., Series 2017-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.73%, 01/17/31^(a)(c)			1,141		1,141,430
Whitebox CLO II Ltd.
Series 2020-2A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/24/34^(a)(c)			410		411,269
Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.93%, 10/24/34^(a)(c)			250		248,216


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
Whitebox CLO II Ltd.
Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.68%, 10/24/34^(a)(c)	USD		500	$	503,366
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.80%, 10/15/34^(a)(c)			4,000		4,000,646
Whitebox CLO IV Ltd., Series 2023-4A, Class B, (3-mo. CME Term SOFR + 2.60%), 7.92%, 04/20/36^(a)(c)			1,000		1,004,000
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1-mo. CME Term SOFR + 0.51%), 5.84%, 06/25/37^(a)(c)			417		131,440


Total Asset-Backed Securities — 49.7% (Cost: $1,291,488,514)					1,238,439,903


Corporate Bonds

Banks — 0.0%
Washington Mutual Escrow Bonds
0.00% ^{(d)(h)(i)(j)(k)}			500		—
0.00% ^{(d)(h)(i)(j)(k)}			250		—


					—

Insurance — 0.0%
Ambac Assurance Corp., 5.10% ^(a)(k)			58		83,582


Total Corporate Bonds — 0.0% (Cost: $75,213)					83,582


Floating Rate Loan Interests^(h)

Financial Services — 0.3%
Project Pearl Pasco Holdings LLC, Advance, (1-mo. CME Term SOFR at 0.00% Floor + 2.86%), 8.19%, 09/15/24			1,114		1,113,474
Sirocco Lux S.A., Facility A, (3-mo. EURIBOR at 0.00% Floor + 3.90%), 7.87%, 02/28/26	EUR		6,913		7,458,363

					8,571,837

Oil, Gas & Consumable Fuels — 0.3%
Promontoria Beech DAC, Senior Loan, (1-mo. EURIBOR at 0.00% Floor + 3.75%), 7.61%, 05/17/27			5,964		6,418,397


Total Floating Rate Loan Interests — 0.6% (Cost: $15,157,309)					14,990,234


Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 19.9%
A&D Mortgage Trust, Series 2023-NQM5, Class A1, 7.05%, 11/25/68^(a)(b)	USD		6,061		6,139,358
Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 3.96%, 05/25/36^(c)			4,328		3,354,741
Agate Bay Mortgage Trust
Series 2015-1, Class B5, 3.65%, 01/25/45^(a)(c)			723		463,409
Series 2015-3, Class B5, 3.50%, 04/25/45^(a)(c)			832		535,510
Series 2015-4, Class B5, 3.50%, 06/25/45^(a)(c)			580		350,389
Ajax Mortgage Loan Trust
Series 2017-D, Class B, 0.00%, 12/25/57^(a)(c)(d).			86		28,957
Series 2020-C, Class C, 0.00%, 09/27/60^(a)(d)			11		9,518
Series 2020-C, Class RW, 0.00%, 09/27/60^(a)(d).			9		8,747
Series 2020-D, Class RW, 0.00%, 06/25/60^(a)(d).			13		12,879
Series 2021-C, Class A, 2.12%, 01/25/61^(a)(b)			2,425		2,351,705
Series 2021-C, Class B, 3.72%, 01/25/61^(a)(b)			817		782,538


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Ajax Mortgage Loan Trust
Series 2021-C, Class C, 0.00%, 01/25/61^(a)(d)	USD		2,024	$	1,960,252
Series 2021-D, Class A, 2.00%, 03/25/60^(a)(b)			6,167		5,876,654
Series 2021-D, Class B, 4.00%, 03/25/60^(a)(c)			1,634		1,490,016
Series 2021-D, Class C, 0.00%, 03/25/60^(a)(c)(d).			2,387		2,304,876
Series 2021-E, Class A1, 1.74%, 12/25/60^(a)(c)			11,140		9,446,465
Series 2021-E, Class A2, 2.69%, 12/25/60^(a)(c)			1,770		1,314,867
Series 2021-E, Class B1, 3.73%, 12/25/60^(a)(c)			1,068		721,411
Series 2021-E, Class B3, 3.96%, 12/25/60^(a)(c)			633		171,416
Series 2021-E, Class M1, 2.94%, 12/25/60^(a)(c)			698		480,087
Series 2021-E, Class SA, 0.00%, 12/25/60^(a)(c)(d)			7		3,263
Series 2021-F, Class A, 1.88%, 06/25/61^(a)(b)			16,085		15,283,900
Series 2021-F, Class B, 3.75%, 06/25/61^(a)(b)			1,945		1,843,050
Series 2021-F, Class C, 0.00%, 06/25/61^(a)(d)			3,603		2,935,001
Series 2022-A, Class A2, 3.00%, 10/25/61^(a)(c)			478		413,852
Series 2022-A, Class A3, 3.00%, 10/25/61^(a)(c)			255		216,785
Series 2022-A, Class B, 3.00%, 10/25/61^(a)			1,912		1,383,266
Series 2022-A, Class C, 3.00%, 10/25/61^(a)			945		834,940
Series 2022-A, Class M1, 3.00%, 10/25/61^(a)			279		231,510
Series 2022-A, Class M2, 3.00%, 10/25/61^(a)			1,250		1,001,561
Series 2022-A, Class M3, 3.00%, 10/25/61^(a)			80		61,699
Series 2022-B, Class A2, 3.00%, 03/27/62^(a)(c)			376		305,537
Series 2022-B, Class A3, 3.00%, 03/27/62^(a)(c)			322		259,030
Series 2022-B, Class B, 3.00%, 03/27/62^(a)			1,789		1,205,693
Series 2022-B, Class C, 3.00%, 03/27/62^(a)			1,349		1,044,202
Series 2022-B, Class M1, 3.00%, 03/27/62^(a)			241		193,013
Series 2022-B, Class M2, 3.00%, 03/27/62^(a)			1,198		914,264
Series 2023-A, Class A1, 3.50%, 07/25/62^(a)(b)			11,255		10,527,039
Series 2023-A, Class A2, 3.00%, 07/25/62^(a)(c)			515		438,450
Series 2023-A, Class A3, 2.50%, 07/25/62^(a)(c)			292		233,633
Series 2023-A, Class B, 2.50%, 07/25/62^(a)(c)			1,717		1,196,721
Series 2023-A, Class C, 2.50%, 07/25/62^(a)(c)			1,020		426,777
Series 2023-A, Class M1, 2.50%, 07/25/62^(a)(c)			884		687,501
Series 2023-C, Class A1, 3.50%, 05/25/63^(a)(b)			12,964		12,219,427
Series 2023-C, Class A2, 3.00%, 05/25/63^(a)(c)			789		665,949
Series 2023-C, Class A3, 2.50%, 05/25/63^(a)(c)			421		336,422
Series 2023-C, Class C, 2.50%, 05/25/63^(a)(c)			3,415		2,755,234
Series 2023-C, Class M1, 2.50%, 05/25/63^(a)(c)			368		290,514
Series 2023-C, Class M2, 2.50%, 05/25/63^(a)(c)			2,284		1,648,986
American Home Mortgage Assets Trust
Series 2006-4, Class 1A12, (1-mo. CME Term SOFR + 0.32%), 5.65%, 10/25/46^(c)			82		43,026
Series 2006-6, Class A1A, (1-mo. CME Term SOFR + 0.30%), 5.63%, 12/25/46^(c)			4,583		3,803,530
Series 2007-1, Class A1, (12-mo. Federal Reserve Cumulative Average US + 0.70%), 5.79%, 02/25/47^(c)			31		11,264
American Home Mortgage Investment Trust, Series 2007-1, Class GA1C, (1-mo. CME Term SOFR + 0.30%), 5.63%, 05/25/47^(c)			1,291		712,644
Angel Oak Mortgage Trust
Series 2019-5, Class B1, 3.96%, 10/25/49^(a)(c)			405		363,667
Series 2022-2, Class A1, 3.35%, 01/25/67^(a)(c)			250		228,983
Series 2023-7, Class A1, 4.80%, 11/25/67^(a)(b)			7,355		7,126,559
Series 2024-1, Class A1, 5.21%, 08/25/68^(a)(b)			1,122		1,097,784
APS Resecuritization Trust
Series 2016-1, Class 1MZ, 3.02%, 07/31/57^(a)(c)			2,291		887,175
Series 2016-3, Class 3A, (1-mo. CME Term SOFR + 2.96%), 8.29%, 09/27/46^(a)(c)			19		19,317


40		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Banc of America Alternative Loan Trust
Series 2006-4, Class 3CB1, (1-mo. CME Term SOFR + 0.91%), 6.00%, 05/25/46^(c)	USD		482	$	381,992
Series 2006-7, Class A4, 6.50%, 10/25/36^(b)			2,333		687,674
Banc of America Funding Trust
Series 2014-R2, Class 1C, 0.00%, 11/26/36^(a)(c)(d)			7,236		2,214,298
Series 2016-R2, Class 1A1, 4.70%, 05/01/33^(a)(c)			272		267,434
Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37			857		614,535
Barclays Mortgage Loan Trust
Series 2021-NPL1, Class A, 2.00%, 11/25/51^(a)(b)			8,763		8,365,210
Series 2021-NPL1, Class B, 4.63%, 11/25/51^(a)(b)			1,060		982,897
Series 2021-NPL1, Class C, 0.00%, 11/25/51^(a)(d)			2,312		2,470,528
Series 2022-NQM1, Class A1, 4.55%, 07/25/52^(a)(b)			3,483		3,397,106
Series 2022-RPL1, Class A, 4.25%, 02/25/28^(a)(b)			7,025		7,022,717
Series 2022-RPL1, Class B, 4.25%, 02/25/28^(a)(b)			1,242		807,383
Series 2022-RPL1, Class C, 0.00%, 02/25/28^(a)(d)			2,159		802,311
Series 2022-RPL1, Class SA, 0.00%, 02/25/28^(a)(d)			69		41,782
Series 2023-NQM3, Class A1, 6.90%, 10/25/63^(a)(b)			13,584		13,731,146
Series 2023-NQM3, Class A2, 7.36%, 10/25/63^(a)(b)			2,160		2,181,128
Series 2023-NQM3, Class A3, 7.69%, 10/25/63^(a)(b)			1,304		1,315,184
Series 2023-NQM3, Class B1, 8.10%, 10/25/63^(a)(c)			681		680,734
Series 2023-NQM3, Class B2, 8.10%, 10/25/63^(a)(c)			573		556,190
Series 2023-NQM3, Class B3, 8.10%, 10/25/63^(a)(c)			1,567		1,396,287
Series 2023-NQM3, Class M1, 8.10%, 10/25/63^(a)(c)			1,134		1,146,857
Series 2023-NQM3, Class SA, 0.00%, 10/25/63^(a)(c)(d)			1		953
Series 2024-NQM1, Class A1, 5.90%, 01/25/64^(a)(b)			2,260		2,245,555
Series 2024-NQM1, Class A2, 6.11%, 01/25/64^(a)(b)			1,539		1,520,063
Series 2024-NQM1, Class A3, 6.31%, 01/25/64^(a)(b)			1,176		1,169,279
Series 2024-NQM1, Class B1, 8.09%, 01/25/64^(a)(c)			512		511,955
Series 2024-NQM1, Class B2, 8.76%, 01/25/64^(a)(c)			469		467,289
Series 2024-NQM1, Class B3, 8.76%, 01/25/64^(a)(c)			1,007		837,011
Series 2024-NQM1, Class M1, 6.80%, 01/25/64^(a)(c)			879		871,552
Series 2024-NQM1, Class SA, 0.00%, 01/25/64^(a)(c)(d)			2		2,093


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
BCAP LLC Trust
Series 2011-RR4, Class 3A6, 4.52%, 07/26/36^(a)(c)	USD		1,153	$	1,093,818
Series 2011-RR5, Class 11A5, (1-mo. CME Term SOFR + 0.26%), 0.43%, 05/28/36^(a)(c)			249		236,260
Bear Stearns Asset-Backed Securities I Trust
Series 2006-AC1, Class 1A2, 6.25%, 02/25/36^(b)			119		114,960
Series 2006-AC2, Class 1A1, (1-mo. CME Term SOFR + 0.46%), 5.79%, 03/25/36^(c)			1,949		547,022
Bear Stearns Mortgage Funding Trust
Series 2006-SL1, Class A1, (1-mo. CME Term SOFR + 0.39%), 5.72%, 08/25/36^(c)			311		303,659
Series 2007-AR2, Class A1, (1-mo. CME Term SOFR + 0.45%), 5.78%, 03/25/37^(c)			175		160,061
Series 2007-AR4, Class 2A1, (1-mo. CME Term SOFR + 0.32%), 5.65%, 06/25/37^(c)			16		14,671
Chase Mortgage Finance Corp., Series 2016-SH1, Class M4, 3.75%, 04/25/45^(a)(c)			513		448,903
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37			9,040		3,721,071
CHNGE Mortgage Trust
Series 2022-1, Class A1, 3.01%, 01/25/67^(a)(c)			2,271		2,066,988
Series 2022-2, Class A1, 3.76%, 03/25/67^(a)(c)			7,703		7,218,582
Series 2022-4, Class A1, 6.00%, 10/25/57^(a)(b)			535		527,240
CIM Trust
Series 2019-J2, Class B4, 3.77%, 10/25/49^(a)(c).			869		641,893
Series 2023-I2, Class A2, 6.85%, 12/25/67^(a)(b)			893		896,692
Citicorp Mortgage Securities Trust
Series 2007-4, Class 1A14, 6.00%, 05/25/37			362		314,180
Series 2007-9, Class 1A1, 6.25%, 12/25/37			1,771		1,554,836
Series 2008-2, Class 1A1, 6.50%, 06/25/38			277		214,310
Citigroup Mortgage Loan Trust
Series 2007-6, Class 2A1, (1-mo. CME Term SOFR + 0.61%), 5.94%, 05/25/37^(c)			1,131		1,006,902
Series 2014-C, Class B2, 4.25%, 02/25/54^(a)			317		292,097
Series 2019-RP1, Class A1, 3.50%, 01/25/66^(a)(c)			1,292		1,230,821
Series 2022-A, Class A1, 6.17%, 09/25/62^(a)(b)			6,531		6,528,829
CitiMortgage Alternative Loan Trust, Series 2007- A3, Class 1A5, 6.00%, 03/25/37			1,592		1,427,330
COLT Mortgage Loan Trust
Series 2020-2, Class M1, 5.25%, 03/25/65^(a)(c)			761		739,602
Series 2022-3, Class B1, 4.23%, 02/25/67^(a)(c)			1,500		1,226,922
Countrywide Alternative Loan Trust
Series 2005-11CB, Class 2A1, 5.50%, 06/25/35 .			76		60,185
Series 2005-11CB, Class 2A6, 5.50%, 06/25/25 .			649		516,103
Series 2005-22T1, Class A1, (1-mo. CME Term SOFR + 0.46%), 5.42%, 06/25/35^(c)			999		828,791
Series 2005-51, Class 3A3A, (1-mo. CME Term SOFR + 0.75%), 6.08%, 11/20/35^(c)			385		325,514
Series 2005-59, Class 1A1, (1-mo. CME Term SOFR + 0.77%), 6.10%, 11/20/35^(c)			959		863,559
Series 2005-76, Class 2A1, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 6.09%, 02/25/36^(c)			374		324,128
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 .			987		477,737
Series 2006-28CB, Class A14, 6.25%, 10/25/36 .			651		337,277
Series 2006-29T1, Class 2A6, 6.50%, 10/25/36 .			2,254		1,388,694
Series 2006-6CB, Class 2A10, 6.00%, 05/25/36 .			175		71,682
Series 2006-J7, Class 1A2, 6.25%, 11/25/36			2,794		1,310,478


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Countrywide Alternative Loan Trust
Series 2006-OC1, Class 1A1, (1-mo. CME Term SOFR + 0.57%), 5.90%, 03/25/36^(c)	USD		685	$	652,337
Series 2006-OC10, Class 2A3, (1-mo. CME Term SOFR + 0.57%), 5.90%, 11/25/36^(c)			468		376,315
Series 2006-OC7, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 5.94%, 07/25/46^(c)			2,943		2,462,941
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37			1,124		524,659
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37			163		78,343
Series 2007-OA2, Class 1A1, (12-mo. Federal Reserve Cumulative Average US + 0.84%), 5.93%, 03/25/47^(c)			155		128,910
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2005-J2, Class 3A9, (1-mo. CME Term SOFR + 1.51%), 6.00%, 08/25/35^(c)			2,383		1,564,009
Series 2007-1, Class A2, 6.00%, 03/25/37			210		97,983
Series 2007-14, Class A18, 6.00%, 09/25/37			6,260		3,339,371
Series 2007-15, Class 2A2, 6.50%, 09/25/37			630		225,573
Series 2007-9, Class A1, 5.75%, 07/25/37			745		371,838
Series 2007-9, Class A11, 5.75%, 07/25/37			407		203,210
Series 2007-HYB1, Class 3A1, 4.45%, 03/25/37^(c)			1,257		1,044,775
Credit Suisse Mortgage Capital Certificates
Series 2009-12R, Class 3A1, 6.50%, 10/27/37^(a)			39		15,240
Series 2020-SPT1, Class B2, 3.39%, 04/25/65^(a)(c)			8,400		6,580,998
Series 2021-RPL9, Class A1, 2.44%, 02/25/61^(a)(c)			3,908		3,774,334
Credit Suisse Mortgage Trust
Series 2006-4, Class 1A3, 6.00%, 05/25/36			376		207,009
Series 2007-5, Class 1A11, 6.59%, 08/25/37^(c)			1,857		930,666
Series 2014-9R, Class 9A1, (1-mo. CME Term SOFR + 0.23%), 5.68%, 08/27/36^(a)(c)			73		57,120
Series 2014-SAF1, Class B5, 3.73%, 03/25/44^(a)(c)			1,578		1,151,805
Series 2015-6R, Class 5A2, (1-mo. CME Term SOFR + 0.29%), 3.98%, 03/27/36^(a)(c)			1,263		943,302
Series 2020-RPL2, Class A12, 3.54%, 02/25/60^(a)(c)			2,586		2,592,694
Series 2021-NQM1, Class M1, 2.13%, 05/25/65^(a)(c)			3,299		2,222,075
Series 2021-NQM8, Class M1, 3.26%, 10/25/66^(a)(c)			590		413,492
Series 2022-NQM1, Class A1, 2.27%, 11/25/66^(a)(c)			4,857		4,236,728
Series 2022-NQM3, Class A1B, 4.27%, 03/25/67^(a)(c)			2,291		2,138,227
Series 2022-NQM6, Class PT, 8.95%, 12/25/67^(a)(c)			8,524		8,628,364
Cross Mortgage Trust, Series 2023-H2, Class A1A, 7.14%, 11/25/68^(a)(b)			1,945		1,971,126
Deephaven Residential Mortgage Trust
Series 2021-1, Class B2, 3.96%, 05/25/65^(a)(c)			150		125,692
Series 2021-1, Class M1, 2.09%, 05/25/65^(a)(c)			1,620		1,399,535
Series 2021-3, Class B1, 3.27%, 08/25/66^(a)(c)			3,671		2,554,834
Series 2022-2, Class M1, 4.34%, 03/25/67^(a)(c)			884		749,518
Series 2022-3, Class B1, 5.26%, 07/25/67^(a)(c)			1,349		1,050,048
Series 2022-3, Class M1, 5.26%, 07/25/67^(a)(c)			2,742		2,487,670
Deutsche Alt-B Securities Mortgage Loan Trust,
Series 2006-AB3, Class A8, 6.36%, 07/25/36^(c)			15		12,770


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
FWD Securitization Trust
Series 2020-INV1, Class A2, 2.34%, 01/25/50^(a)(c)	USD		1,199	$	1,099,651
Series 2020-INV1, Class A3, 2.44%, 01/25/50^(a)(c)			25		23,024
GCAT Trust
Series 2020-NQM2, Class B1, 4.85%, 04/25/65^(a)(c)			2,533		2,296,425
Series 2022-HX1, Class A1, 2.89%, 12/27/66^(a)(c)			309		280,282
Series 2022-NQM4, Class A1, 5.27%, 08/25/67^(a)(b)			3,436		3,393,526
Series 2023-NQM4, Class A1, 4.25%, 05/25/67^(a)(c)			3,951		3,655,626
GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12-mo. Federal Reserve Cumulative Average US + 2.00%), 7.09%, 03/25/36^(c)			14		12,517
GS Mortgage-Backed Securities Corp. Trust
Series 2019-PJ2, Class A4, 4.00%, 11/25/49^(a)(c)			238		219,039
Series 2020-PJ2, Class B4, 3.55%, 07/25/50^(a)(c)			1,065		851,910
GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4, 4.00%, 05/25/62^(a)(c)			345		312,415
GSMPS Mortgage Loan Trust
Series 2004-4, Class 1AF, (1-mo. CME Term SOFR + 0.51%), 5.84%, 06/25/34^(a)(c)			2,885		2,534,034
Series 2005-RP2, Class 1AF, (1-mo. CME Term SOFR + 0.46%), 5.79%, 03/25/35^(a)(c)			50		45,027
Series 2005-RP3, Class 2A1, 3.98%, 09/25/35^(a)(c)			2,755		2,283,969
Series 2006-RP1, Class 1AF1, (1-mo. CME Term SOFR + 0.46%), 5.79%, 01/25/36^(a)(c)			41		33,089
Series 2006-RP2, Class 2A1, 4.24%, 04/25/36^(a)(c)			2,133		1,714,636
GSMSC Resecuritization Trust, Series 2015-5R, Class 1D, (1-mo. CME Term SOFR + 0.25%), 4.05%, 04/26/37^(a)(c)			3,989		2,320,218
GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 5.89%, 04/25/36^(c)			1,628		986,225
Homeward Opportunities Fund I Trust
Series 2020-2, Class B1, 5.45%, 05/25/65^(a)(c)			3,640		3,518,731
Series 2022-1, Class A1, 5.08%, 07/25/67^(a)(b)			6,172		6,091,219
Series 2022-1, Class M1, 5.05%, 07/25/67^(a)(c)			3,077		2,894,770
Impac Secured Assets Trust, Series 2006-2, Class 1A2B, (1-mo. CME Term SOFR + 0.45%), 5.78%, 08/25/36^(c)			1,659		1,651,162
IndyMac Index Mortgage Loan Trust
Series 2006-AR27, Class 2A2, (1-mo. CME Term SOFR + 0.51%), 5.84%, 10/25/36^(c)			189		166,295
Series 2006-AR35, Class 2A1A, (1-mo. CME Term SOFR + 0.45%), 5.78%, 01/25/37^(c)			340		300,205
Series 2007-AR19, Class 3A1, 3.75%, 09/25/37^(c)			617		406,634
Series 2007-FLX5, Class 2A2, (1-mo. CME Term SOFR + 0.35%), 5.68%, 08/25/37^(c)			2,494		2,157,763
IndyMac INDX Mortgage Loan Trust, Series 2007- FLX2, Class A1A, (1-mo. CME Term SOFR + 0.27%), 5.76%, 04/25/37^(c)			4,632		3,882,728


42		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
JPMorgan Alternative Loan Trust, Series 2006-S2, Class A5, 6.88%, 05/25/36^(b)	USD		4,136	$	3,474,691
JPMorgan Mortgage Trust
Series 2005-A4, Class B1, 5.09%, 07/25/35^(c)			291		265,001
Series 2020-5, Class B3, 3.57%, 12/25/50^(a)(c)			3,669		3,025,897
Series 2021-INV7, Class A3A, 2.50%, 02/25/52^(a)(c)			14,510		12,648,741
Series 2021-INV7, Class A4A, 2.50%, 02/25/52^(a)(c)			6,218		3,895,739
Series 2021-INV7, Class B1, 3.27%, 02/25/52^(a)(c)			3,722		3,080,827
Series 2021-INV7, Class B2, 3.27%, 02/25/52^(a)(c)			873		715,221
Series 2021-INV7, Class B3, 3.27%, 02/25/52^(a)(c)			1,215		966,890
Series 2021-INV7, Class B4, 3.27%, 02/25/52^(a)(c)			646		502,936
Series 2021-INV7, Class B5, 3.27%, 02/25/52^(a)(c)			266		194,525
Series 2021-INV7, Class B6, 3.21%, 02/25/52^(a)(c)			868		352,642
Legacy Mortgage Asset Trust, Series 2020-SL1, Class A, 5.73%, 01/25/60^(a)(b)			21		20,785
Lehman XS Trust, Series 2007-20N, Class A1, (1-mo. CME Term SOFR + 2.41%), 7.74%, 12/25/37^(c)			23		21,600
MASTR Reperforming Loan Trust, Series 2005-1, Class 1A3, 7.00%, 08/25/34^(a)			1,963		1,384,477
MASTR Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37^(a)(c)			868		629,017
MCM Trust
Series 2021-VFN1, Class Cert, 0.00%, 09/25/31^(d)(h)			1,424		934,090
Series 2021-VFN1, Class Note, 2.50%, 09/25/31^(a)(h)			1,841		1,767,624
Merrill Lynch Mortgage Investors Trust, Series 2006-AF2, Class AV1, (1-mo. CME Term SOFR + 0.43%), 5.76%, 09/25/37^(c)			568		303,181
MFA Trust
Series 2021-INV1, Class M1, 2.29%, 01/25/56^(a)(c)			700		627,998
Series 2022-NQM1, Class M1, 4.27%, 12/25/66^(a)(c)			2,112		1,820,952
Series 2024-RTL1, Class A1, 7.09%, 02/25/29^(a)(b)			3,231		3,232,026
MFRA Trust, Series 2022-CHM1, Class A1, 3.88%, 09/25/56^(a)(b)			6,030		5,735,157
Mill City Mortgage Loan Trust, Series 2023-NQM1, Class A1, 6.05%, 10/25/67^(a)(b)			4,499		4,482,067
Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3, 6.87%, 06/25/44^(a)(c).			198		196,418
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1-mo. LIBOR US + 0.34%), 5.78%, 04/16/36^(a)(c)			165		158,601
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1, 4.25%, 12/25/57^(a)(c).			1,136		1,088,891
Nomura Asset Acceptance Corp. Alternative Loan Trust
Series 2005-AP1, Class 2A4, 6.05%, 02/25/35^(b)			315		301,049
Series 2007-2, Class A4, (1-mo. CME Term SOFR + 0.95%), 6.28%, 06/25/37^(c)			563		449,105


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
OBX Trust, Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59^(a)(c)	USD		132	$	126,479
Preston Ridge Partners Mortgage LLC
Series 2021-4, Class A1, 1.87%, 04/25/26^(a)(b)			3,080		3,003,391
Series 2022-1, Class A1, 3.72%, 02/25/27^(a)(b)			4,126		4,007,615
Series 2023-1, Class A1, 6.88%, 02/25/28^(a)(c)			4,572		4,595,734
PRET LLC
Series 2024-NPL1, Class A1, 7.14%, 01/25/54^(a)(b)			7,238		7,756,187
Series 2024-NPL2, Class A1, 7.02%, 02/25/54^(a)(b)			6,580		6,558,288
PRKCM Trust
Series 2021-AFC2, Class A1, 2.07%, 11/25/56^(a)(c)			1,134		960,064
Series 2022-AFC1, Class A1A, 4.10%, 04/25/57^(a)(c)			470		449,858
Series 2022-AFC2, Class A1, 5.34%, 08/25/57^(a)(c)			7,069		6,960,638
RALI Trust
Series 2005-QA10, Class A21, 4.69%, 09/25/35^(c)			5,095		2,119,556
Series 2006-QA10, Class A2, (1-mo. CME Term SOFR + 0.47%), 5.80%, 12/25/36^(c)			1,451		1,234,406
Series 2006-QO1, Class 3A1, (1-mo. CME Term SOFR + 0.65%), 5.71%, 02/25/46^(c)			1,814		773,641
Series 2006-QO10, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.76%, 01/25/37^(c)			1,717		1,459,970
Series 2007-QH3, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.76%, 04/25/37^(c)			4,853		4,277,708
Series 2007-QO2, Class A1, (1-mo. CME Term SOFR + 0.26%), 5.59%, 02/25/47^(c)			123		41,929
RCKT Mortgage Trust, Series 2020-1, Class B4, 3.47%, 02/25/50^(a)(c)			917		762,799
RCO VI Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/27^(a)(b)			8,027		7,771,447
RCO VII Mortgage LLC, Series 2024-1, Class A1, 7.02%, 01/25/29^(a)(b)			4,480		4,467,042
Reperforming Loan REMIC Trust
Series 2005-R1, Class 1AF1, (1-mo. CME Term SOFR + 0.47%), 5.80%, 03/25/35^(a)(c)			1,330		1,257,484
Series 2005-R2, Class 1AF1, (1-mo. CME Term SOFR + 0.45%), 5.78%, 06/25/35^(a)(c)			252		236,173
Series 2005-R3, Class AF, (1-mo. CME Term SOFR + 0.51%), 5.84%, 09/25/35^(a)(c)			402		335,675
Residential Mortgage Loan Trust, Series 2019-3, Class B2, 5.66%, 09/25/59^(a)(c)			2,900		2,542,145
RFMSI Series Trust
Series 2005-SA4, Class 2A1, 5.17%, 09/25/35^(c)			1,878		1,158,958
Series 2006-SA2, Class 2A1, 5.44%, 08/25/36^(c)			432		299,951
RMF Buyout Issuance Trust
Series 2021-HB1, Class M3, 3.69%, 11/25/31^(a)(c)			3,379		2,950,881
Series 2021-HB1, Class M6, 6.00%, 11/25/31^(a)(c)(h)			1,185		857,530
Saluda Grade Alternative Mortgage Trust
Series 2024-RTL4, Class A1, 7.50%, 02/25/30^(a)(b)			5,668		5,619,208
Series 2024-RTL5, Class A1, 7.76%, 04/25/30^(a)(b)			4,013		4,012,953


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1, 4.75%, 04/26/60^(a)(c)	USD		848	$	821,912
SG Residential Mortgage Trust
Series 2022-2, Class A1, 5.35%, 08/25/62^(a)(b)			722		716,952
Series 2022-2, Class B1, 5.30%, 08/25/62^(a)(c)			3,715		3,349,127
Spruce Hill Mortgage Loan Trust, Series 2022- SH1, Class A3, 4.10%, 07/25/57^(a)(b)			759		677,026
Starwood Mortgage Residential Trust
Series 2020-3, Class B1, 4.75%, 04/25/65^(a)(c)			2,820		2,492,926
Series 2020-INV1, Class B1, 3.26%, 11/25/55^(a).			260		212,351
Series 2020-INV1, Class M1, 2.50%, 11/25/55^(a)			2,688		2,330,814
Series 2021-1, Class B1, 3.52%, 05/25/65^(a)(c)			648		532,551
Structured Asset Mortgage Investments II Trust,
Series 2006-AR5, Class 2A1, (1-mo. CME Term SOFR + 0.53%), 5.86%, 05/25/46^(c)			29		19,663
Structured Asset Securities Corp.
Series 2005-RF3, Class 1A, (1-mo. CME Term SOFR + 0.46%), 5.79%, 06/25/35^(a)(c)			693		593,553
Series 2005-RF5, Class 2A, 4.04%, 07/25/35^(a)(c)			1,768		1,606,687
Structured Asset Securities Corp. Mortgage Loan Trust
Series 2006-RF3, Class 1A2, 6.00%, 10/25/36^(a)			4,313		2,398,963
Series 2006-RF4, Class 2A1, 6.00%, 10/25/36^(a)			1,262		674,892
Thornburg Mortgage Securities Trust, Series 2006-3, Class A1, 4.06%, 06/25/46^(c)			971		606,876
Toorak Mortgage Corp., Series 2021-INV2, Class B1, 4.10%, 11/25/56^(a)(c)			3,755		2,892,433
TVC Mortgage Trust, Series 2023-RTL1, Class A1, 8.25%, 11/25/27^(a)(b)			4,107		4,109,689
Verus Securitization Trust
Series 2019-4, Class B1, 3.86%, 11/25/59^(a)(c)			800		685,222
Series 2020-4, Class B1, 5.05%, 05/25/65^(a)(c)			2,600		2,420,591
Series 2021-1, Class M1, 1.97%, 01/25/66^(a)(c)			3,000		2,266,108
Series 2021-6, Class B1, 4.05%, 10/25/66^(a)(c)			169		128,261
Series 2021-6, Class M1, 2.94%, 10/25/66^(a)(c)			462		334,221
Series 2021-R1, Class M1, 2.34%, 10/25/63^(a)			3,250		2,778,561
Series 2021-R2, Class B1, 3.25%, 02/25/64^(a)(c).			265		195,341
Series 2022-1, Class B1, 4.01%, 01/25/67^(a)(c)			1,507		1,113,022
Series 2022-3, Class B1, 4.08%, 02/25/67^(a)(c)			2,188		1,693,154
Visio Trust, Series 2019-2, Class B1, 3.91%, 11/25/54^(a)(c)			100		75,876
Vista Point Securitization Trust
Series 2020-2, Class A3, 2.50%, 04/25/65^(a)(c)			115		106,433
Series 2020-2, Class M1, 3.40%, 04/25/65^(a)(c)			170		155,305
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2005-11, Class A1, 5.75%, 01/25/36			1,158		968,945
Series 2005-11, Class A7, 5.75%, 01/25/36			2,354		1,968,203
Series 2005-9, Class 5A6, (1-mo. CME Term SOFR + 0.66%), 5.50%, 11/25/35^(c)			371		255,905
Series 2005-9, Class 5A9, 5.50%, 11/25/35			153		115,926
Series 2006-4, Class 1A1, 6.00%, 04/25/36			142		126,346
Series 2006-4, Class 3A1, 7.00%, 05/25/36^(b)			89		74,694
Series 2006-6, Class 3CB1, 7.00%, 08/25/36			4,212		1,653,621
Series 2006-AR1, Class A1A, (1-mo. CME Term SOFR + 0.61%), 5.94%, 02/25/36^(c)			1,157		895,117


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-AR5, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.99%), 6.08%, 06/25/46^(c)	USD		150	$	128,413
Series 2007-HY1, Class A2A, (1-mo. CME Term SOFR + 0.43%), 5.76%, 02/25/37^(c)			496		368,792
Series 2007-OA1, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.71%), 5.80%, 12/25/46^(c)			2,359		1,913,951
Series 2007-OA1, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.72%), 5.81%, 12/25/46^(c)			140		106,236
Series 2007-OA3, Class 5A, (12-mo. Federal Reserve Cumulative Average US + 1.25%), 6.34%, 04/25/47^(c)			594		489,257
Series 2007-OA4, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.89%, 05/25/47^(c)			2,000		1,634,199
Series 2007-OA5, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.75%), 5.84%, 06/25/47^(c)			463		369,120
Series 2007-OA5, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.89%, 06/25/47^(c)			1,722		1,348,700
Series 2007-OC2, Class A3, (1-mo. CME Term SOFR + 0.73%), 6.06%, 06/25/37^(c)			731		679,022
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR15, Class A1, 6.48%, 10/25/36^(c)			840		774,954
Western Alliance Bank
Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 8.47%, 07/25/59^(a)(c)			3,993		4,107,208
Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 9.02%, 07/25/59^(a)(c)			5,709		5,820,014
WinWater Mortgage Loan Trust, Series 2014-3, Class B5, 3.98%, 11/20/44^(a)(c)			923		693,417


					495,174,942

Commercial Mortgage-Backed Securities — 26.6%
245 Park Avenue Trust
Series 2017-245P, Class A, 3.51%, 06/05/37^(a)			5,000		4,588,519
Series 2017-245P, Class C, 3.66%, 06/05/37^(a)(c)			3,000		2,644,256
Series 2017-245P, Class E, 3.66%, 06/05/37^(a)(c)			1,151		941,855
280 Park Avenue Mortgage Trust
Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.50%, 09/15/34^(a)(c)			5,000		4,907,924
Series 2017-280P, Class B, (1-mo. CME Term SOFR + 1.38%), 6.70%, 09/15/34^(a)(c)			585		563,990
Series 2017-280P, Class E, (1-mo. CME Term SOFR + 2.42%), 7.74%, 09/15/34^(a)(c)			1,432		1,315,682
3650R Commercial Mortgage Trust, Series 2022- PF2, Class A5, 5.29%, 11/15/55^(c)			600		601,721
ACREC LLC, Series 2023-FL2, Class A, (1-mo. CME Term SOFR + 2.23%), 7.56%, 02/19/38^(a)(c)			3,250		3,248,257
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 6.59%, 04/15/34^(a)(c)			644		588,429


44		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Angel Oak SB Commercial Mortgage Trust, Series 2020-SBC1, Class A1, 2.07%, 05/25/50^(a)(c)	USD		6,084	$	5,535,868
Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5, 2.58%, 10/15/54^(a).			3,394		2,872,648
AREIT LLC
Series 2022-CRE7, Class A, (1-mo. CME Term SOFR + 2.24%), 7.57%, 06/17/39^(a)(c)			3,080		3,079,980
Series 2023-CRE8, Class A, (1-mo. CME Term SOFR + 2.11%), 7.44%, 08/17/41^(a)(c)			1,679		1,666,987
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1-mo. CME Term SOFR + 2.27%), 7.60%, 04/15/35^(a)(c)			1,128		1,095,108
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, (1-mo. CME Term SOFR + 1.10%), 6.42%, 09/15/32^(a)(c)			2,000		1,991,250
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class F, 3.60%, 04/14/33^(a)(c)			794		739,158
Series 2017-SCH, Class AL, (1-mo. CME Term SOFR + 0.95%), 6.27%, 11/15/32^(a)(c)			2,470		2,452,417
Series 2017-SCH, Class BF, (1-mo. CME Term SOFR + 1.45%), 6.77%, 11/15/33^(a)(c)			500		473,905
Series 2017-SCH, Class DL, (1-mo. CME Term SOFR + 2.05%), 7.37%, 11/15/32^(a)(c)			1,090		1,080,320
Series 2018-DSNY, Class B, (1-mo. CME Term SOFR + 1.45%), 6.77%, 09/15/34^(a)(c)			162		161,595
Series 2018-DSNY, Class D, (1-mo. CME Term SOFR + 2.00%), 7.32%, 09/15/34^(a)(c)			227		225,298
BANK
Series 2019-BN22, Class A4, 2.98%, 11/15/62			3,000		2,687,672
Series 2021-BN35, Class A5, 2.29%, 06/15/64			744		617,977
Bayview Commercial Asset Trust
Series 2006-1A, Class A1, (1-mo. CME Term SOFR + 0.52%), 5.85%, 04/25/36^(a)(c)			5,696		5,231,013
Series 2006-1A, Class A2, (1-mo. CME Term SOFR + 0.65%), 5.98%, 04/25/36^(a)(c)			13		11,772
Series 2006-4A, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.85%, 12/25/36^(a)(c)			1,183		1,105,840
Series 2006-SP2, Class A, (1-mo. CME Term SOFR + 0.53%), 5.86%, 01/25/37^(a)(c)			1,208		1,128,494
Series 2007-1, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.85%, 03/25/37^(a)(c)			5,220		4,858,720
Series 2007-2A, Class A1, (1-mo. CME Term SOFR + 0.52%), 5.85%, 07/25/37^(a)(c)			28		25,102
Series 2007-4A, Class A1, (1-mo. CME Term SOFR + 0.79%), 6.12%, 09/25/37^(a)(c)			5,010		4,634,805
Series 2007-6A, Class A4A, (1-mo. CME Term SOFR + 1.61%), 6.94%, 12/25/37^(a)(c)			3,224		2,778,848
BBCMS Mortgage Trust
Series 2015-SRCH, Class A1, 3.31%, 08/10/35^(a)			263		249,368
Series 2018-CHRS, Class E, 4.27%, 08/05/38^(a)(c)			1,000		709,148
Series 2018-TALL, Class A, (1-mo. CME Term SOFR + 0.92%), 6.25%, 03/15/37^(a)(c)			3,997		3,837,463
Series 2018-TALL, Class B, (1-mo. CME Term SOFR + 1.17%), 6.49%, 03/15/37^(a)(c)			781		726,453
Series 2023-5C23, Class D, 7.46%, 12/15/56^(a)(c)			332		318,826


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BDS LLC, Series 2022-FL12, Class A, (1-mo. CME Term SOFR + 2.14%), 7.46%, 08/19/38^(a)(c)	USD		1,870	$	1,876,975
Beast Mortgage Trust
Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 6.19%, 04/15/36^(a)(c)			2,901		2,879,433
Series 2021-SSCP, Class B, (1-mo. CME Term SOFR + 1.21%), 6.54%, 04/15/36^(a)(c)			268		262,775
Series 2021-SSCP, Class C, (1-mo. CME Term SOFR + 1.46%), 6.79%, 04/15/36^(a)(c)			325		318,563
Series 2021-SSCP, Class D, (1-mo. CME Term SOFR + 1.71%), 7.04%, 04/15/36^(a)(c)			312		304,008
Series 2021-SSCP, Class E, (1-mo. CME Term SOFR + 2.21%), 7.54%, 04/15/36^(a)(c)			268		257,522
Series 2021-SSCP, Class F, (1-mo. CME Term SOFR + 3.01%), 8.34%, 04/15/36^(a)(c)			253		243,141
Series 2021-SSCP, Class G, (1-mo. CME Term SOFR + 3.91%), 9.24%, 04/15/36^(a)(c)			283		268,140
Series 2021-SSCP, Class H, (1-mo. CME Term SOFR + 5.02%), 10.34%, 04/15/36^(a)(c)			208		197,256
BFLD Trust, Series 2020-EYP, Class E, (1-mo. CME Term SOFR + 3.81%), 9.14%, 10/15/35^(a)(c)			1,353		148,286
BHMS
Series 2018-ATLS, Class A, (1-mo. CME Term SOFR + 1.55%), 6.87%, 07/15/35^(a)(c)			2,850		2,846,232
Series 2018-ATLS, Class C, (1-mo. CME Term SOFR + 2.20%), 7.52%, 07/15/35^(a)(c)			2,600		2,543,656
BHP Trust, Series 2019-BXHP, Class C, (1-mo. CME Term SOFR + 1.57%), 6.90%, 08/15/36^(a)(c)			897		893,678
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 7.02%, 03/15/40^(a)(c)			2,114		2,117,964
BOCA Commercial Mortgage Trust, Series 2022- BOCA, Class A, (1-mo. CME Term SOFR + 1.77%), 7.10%, 05/15/39^(a)(c)			1,540		1,540,961
BPR Trust
Series 2021-TY, Class A, (1-mo. CME Term SOFR + 1.16%), 6.49%, 09/15/38^(a)(c)			1,255		1,247,156
Series 2021-TY, Class E, (1-mo. CME Term SOFR + 3.71%), 9.04%, 09/15/38^(a)(c)			3,138		3,098,837
Series 2022-SSP, Class A, (1-mo. CME Term SOFR + 3.00%), 8.33%, 05/15/39^(a)(c)			770		773,369
BWAY Mortgage Trust
Series 2013-1515, Class A2, 3.45%, 03/10/33^(a).			1,108		1,052,473
Series 2013-1515, Class C, 3.45%, 03/10/33^(a)			250		220,513
BX Commercial Mortgage Trust
Series 2019-XL, Class J, (1-mo. CME Term SOFR + 2.76%), 8.09%, 10/15/36^(a)(c)			2,743		2,703,939
Series 2020-VIV2, Class C, 3.54%, 03/09/44^(a)(c)			2,204		1,913,119
Series 2020-VIV3, Class B, 3.54%, 03/09/44^(a)(c)			2,788		2,452,037
Series 2020-VIV4, Class A, 2.84%, 03/09/44^(a)			781		674,921
Series 2020-VIVA, Class D, 3.55%, 03/11/44^(a)(c)			3,000		2,578,353
Series 2020-VKNG, Class F, (1-mo. CME Term SOFR + 2.86%), 8.19%, 10/15/37^(a)(c)			1,400		1,370,995
Series 2021-NWM, Class A, (1-mo. CME Term SOFR + 1.02%), 6.35%, 02/15/33^(a)(c)			1,061		1,042,488
Series 2021-NWM, Class B, (1-mo. CME Term SOFR + 2.26%), 7.59%, 02/15/33^(a)(c)			622		613,935


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Commercial Mortgage Trust
Series 2021-NWM, Class C, (1-mo. CME Term SOFR + 4.36%), 9.69%, 02/15/33^(a)(c)	USD		411	$	409,522
Series 2021-SOAR, Class G, (1-mo. CME Term SOFR + 2.91%), 8.24%, 06/15/38^(a)(c)			2,561		2,527,736
Series 2021-VINO, Class A, (1-mo. CME Term SOFR + 0.77%), 6.09%, 05/15/38^(a)(c)			4,672		4,636,737
Series 2021-VINO, Class F, (1-mo. CME Term SOFR + 2.92%), 8.24%, 05/15/38^(a)(c)			905		892,287
Series 2021-VIV5, Class A, 2.84%, 03/09/44^(a)(c)			1,522		1,291,742
Series 2021-XL2, Class F, (1-mo. CME Term SOFR + 2.36%), 7.68%, 10/15/38^(a)(c)			3,959		3,919,323
Series 2022-CSMO, Class C, (1-mo. CME Term SOFR + 3.89%), 9.21%, 06/15/27^(a)(c)			1,080		1,083,375
Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 7.27%, 11/15/28^(a)(c)			1,010		1,009,999
Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 7.09%, 12/09/40^(a)(c)			5,845		5,881,330
Series 2023-XL3, Class D, (1-mo. CME Term SOFR + 3.59%), 8.91%, 12/09/40^(a)(c)			4,580		4,614,292
Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 6.77%, 02/15/39^(a)(c)			1,330		1,333,324
Series 2024-MF, Class E, (1-mo. CME Term SOFR + 3.74%), 9.06%, 02/15/39^(a)(c)			2,181		2,184,981
Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 6.77%, 02/15/39^(a)(c)			5,000		5,006,208
Series 2024-XL4, Class D, (1-mo. CME Term SOFR + 3.14%), 8.47%, 02/15/39^(a)(c)			3,270		3,270,001
Series 2024-XL4, Class E, (1-mo. CME Term SOFR + 4.19%), 9.51%, 02/15/39^(a)(c)			1,770		1,759,850
Series 2024-XL5, Class A, (1-mo. CME Term SOFR + 1.39%), 03/15/41^(a)(c)(e)			3,642		3,643,833
BX Trust
Series 2019-CALM, Class E, (1-mo. CME Term SOFR + 2.11%), 7.44%, 11/15/32^(a)(c)			2,100		2,087,531
Series 2019-OC11, Class A, 3.20%, 12/09/41^(a).			2,786		2,479,363
Series 2021-ARIA, Class A, (1-mo. CME Term SOFR + 1.01%), 6.34%, 10/15/36^(a)(c)			3,062		3,031,380
Series 2021-ARIA, Class C, (1-mo. CME Term SOFR + 1.76%), 7.09%, 10/15/36^(a)(c)			150		147,944
Series 2021-ARIA, Class D, (1-mo. CME Term SOFR + 2.01%), 7.34%, 10/15/36^(a)(c)			1,249		1,224,020
Series 2021-ARIA, Class G, (1-mo. CME Term SOFR + 3.26%), 8.58%, 10/15/36^(a)(c)			829		803,133
Series 2021-LBA, Class AJV, (1-mo. CME Term SOFR + 0.91%), 6.24%, 02/15/36^(a)(c)			916		911,717
Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 6.24%, 02/15/36^(a)(c)			594		591,300
Series 2021-MFM1, Class A, (1-mo. CME Term SOFR + 0.81%), 6.14%, 01/15/34^(a)(c)			3,778		3,756,421
Series 2021-MFM1, Class G, (1-mo. CME Term SOFR + 4.01%), 9.34%, 01/15/34^(a)(c)			575		558,196
Series 2021-VIEW, Class E, (1-mo. CME Term SOFR + 3.71%), 9.04%, 06/15/36^(a)(c)			3,716		3,437,535
Series 2021-VIEW, Class F, (1-mo. CME Term SOFR + 4.04%), 9.37%, 06/15/36^(a)(c)			856		757,560
Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%), 7.49%, 08/15/39^(a)(c)			12,146		12,176,229
Series 2022-GPA, Class B, (1-mo. CME Term SOFR + 2.66%), 7.99%, 08/15/41^(a)(c)			355		356,135


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Trust
Series 2022-GPA, Class D, (1-mo. CME Term SOFR + 4.06%), 9.39%, 08/15/43^(a)(c)	USD		1,860	$	1,864,234
Series 2022-LBA6, Class A, (1-mo. CME Term SOFR + 1.00%), 6.33%, 01/15/39^(a)(c)			1,065		1,059,342
Series 2022-VAMF, Class A, (1-mo. CME Term SOFR + 0.85%), 6.18%, 01/15/39^(a)(c)			5,000		4,956,250
Series 2022-VAMF, Class B, (1-mo. CME Term SOFR + 1.28%), 6.61%, 01/15/39^(a)(c)			397		392,410
Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 05/15/38^(a)(c)			5,023		5,085,787
Series 2023-DELC, Class D, (1-mo. CME Term SOFR + 4.39%), 9.71%, 05/15/38^(a)(c)			270		271,350
Series 2024-CNYN, Class A, (1-mo. CME Term SOFR + 1.44%), 04/15/29^(a)(c)(e)			5,463		5,463,000
Series 2024-CNYN, Class D, (1-mo. CME Term SOFR + 2.69%), 04/15/29^(a)(c)(e)			1,950		1,951,686
Series 2024-CNYN, Class E, (1-mo. CME Term SOFR + 3.69%), 04/15/29^(a)(c)(e)			2,964		2,962,146
Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.34%, 03/15/26^(a)(c)			2,210		2,208,871
Series 2024-PAT, Class C, (1-mo. CME Term SOFR + 4.44%), 9.69%, 03/15/26^(a)(c)			4,722		4,721,758
Series 2024-PAT, Class D, (1-mo. CME Term SOFR + 5.39%), 10.64%, 03/15/26^(a)(c)			2,263		2,262,880
BXP Trust
Series 2017-GM, Class B, 3.43%, 06/13/39^(a)(c)			265		243,242
Series 2021-601L, Class D, 2.78%, 01/15/44^(a)(c)			1,120		720,201
CAMB Commercial Mortgage Trust
Series 2019-LIFE, Class D, (1-mo. CME Term SOFR + 2.05%), 7.37%, 12/15/37^(a)(c)			1,000		999,375
Series 2019-LIFE, Class E, (1-mo. CME Term SOFR + 2.45%), 7.77%, 12/15/37^(a)(c)			1,437		1,433,445
CD Mortgage Trust
Series 2016-CD1, Class A3, 2.46%, 08/10/49			4,339		4,041,707
Series 2017-CD6, Class B, 3.91%, 11/13/50^(c)			336		288,329
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.95%, 09/15/38^(a)(c)			5,474		5,528,749
CFCRE Commercial Mortgage Trust, Series 2016- C4, Class C, 4.84%, 05/10/58^(c)			130		121,255
CFK Trust
Series 2019-FAX, Class D, 4.64%, 01/15/39^(a)(c)			2,500		2,217,249
Series 2019-FAX, Class E, 4.64%, 01/15/39^(a)(c)			2,600		2,218,709
Citigroup Commercial Mortgage Trust
Series 2013-375P, Class C, 3.52%, 05/10/35^(a)(c)			100		92,497
Series 2016-P3, Class A4, 3.33%, 04/15/49			2,635		2,511,132
Series 2017-P7, Class A4, 3.71%, 04/14/50			6,000		5,632,224
COAST Commercial Mortgage Trust
Series 2023-2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.92%, 08/15/36^(a)(c)			1,482		1,486,032
Series 2023-2HTL, Class D, (1-mo. CME Term SOFR + 4.44%), 9.76%, 08/15/36^(a)(c)			2,600		2,599,995
Cold Storage Trust
Series 2020-ICE5, Class A, (1-mo. CME Term SOFR + 1.01%), 6.33%, 11/15/37^(a)(c)			4,554		4,544,233
Series 2020-ICE5, Class E, (1-mo. CME Term SOFR + 2.88%), 8.20%, 11/15/37^(a)(c)			1,966		1,962,295
Series 2020-ICE5, Class F, (1-mo. CME Term SOFR + 3.61%), 8.93%, 11/15/37^(a)(c)			1,729		1,722,318


46		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust
Series 2015-CR23, Class A4, 3.50%, 05/10/48	USD		2,000	$	1,951,642
Series 2015-CR26, Class A4, 3.63%, 10/10/48			3,535		3,423,692
Series 2015-LC19, Class B, 3.83%, 02/10/48^(c)			296		278,602
Series 2015-PC1, Class B, 4.29%, 07/10/50^(c)			3,175		3,000,228
Series 2016-667M, Class D, 3.18%, 10/10/36^(a)(c)			500		398,449
Credit Suisse Mortgage Capital Certificates
Series 2019-ICE4, Class A, (1-mo. CME Term SOFR + 1.03%), 6.35%, 05/15/36^(a)(c)			8,313		8,313,334
Series 2019-ICE4, Class B, (1-mo. CME Term SOFR + 1.28%), 6.60%, 05/15/36^(a)(c)			3,008		3,005,424
Series 2019-ICE4, Class E, (1-mo. CME Term SOFR + 2.20%), 7.52%, 05/15/36^(a)(c)			6,315		6,310,434
Series 2019-ICE4, Class F, (1-mo. CME Term SOFR + 2.70%), 8.02%, 05/15/36^(a)(c)			8,875		8,849,795
Credit Suisse Mortgage Trust
Series 2017-PFHP, Class A, (1-mo. CME Term SOFR + 1.00%), 6.32%, 12/15/30^(a)(c)			240		229,606
Series 2020-FACT, Class E, (1-mo. CME Term SOFR + 5.23%), 10.55%, 10/15/37^(a)(c)			1,134		1,057,156
Series 2021-980M, Class D, 3.54%, 07/15/31^(a)(c)			3,364		3,023,784
Series 2021-980M, Class E, 3.54%, 07/15/31^(a)(c)			2,195		1,935,886
Series 2021-BHAR, Class A, (1-mo. CME Term SOFR + 1.26%), 6.59%, 11/15/38^(a)(c)			4,487		4,470,174
Series 2021-BHAR, Class B, (1-mo. CME Term SOFR + 1.61%), 6.94%, 11/15/38^(a)(c)			649		644,517
Series 2021-BHAR, Class C, (1-mo. CME Term SOFR + 2.11%), 7.44%, 11/15/38^(a)(c)			1,095		1,086,128
Series 2021-BHAR, Class E, (1-mo. CME Term SOFR + 3.61%), 8.94%, 11/15/38^(a)(c)			633		624,123
Series 2022-NWPT, Class A, (1-mo. CME Term SOFR + 3.14%), 8.47%, 09/09/24^(a)(c)			3,759		3,769,494
CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40^(a)			1,289		1,350,737
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class C, 4.24%, 06/15/52^(c)			802		677,283
DBGS Mortgage Trust
Series 2018-5BP, Class A, (1-mo. CME Term SOFR + 0.89%), 6.22%, 06/15/33^(a)(c)			5,000		4,610,498
Series 2018-BIOD, Class D, (1-mo. CME Term SOFR + 1.60%), 6.92%, 05/15/35^(a)(c)			3,198		3,168,187
Series 2018-BIOD, Class F, (1-mo. CME Term SOFR + 2.30%), 7.62%, 05/15/35^(a)(c)			3,052		2,984,949
DC Trust
Series 2024-HLTN, Class A, 04/13/28^(a)(c)(e)			1,110		1,109,918
Series 2024-HLTN, Class F, 04/13/28^(a)(c)(e)			2,932		2,931,714
Deutsche Bank UBS Mortgage Trust
Series 2017-BRBK, Class D, 3.53%, 10/10/34^(a)(c)			990		842,687
Series 2017-BRBK, Class F, 3.53%, 10/10/34^(a)(c)			1,094		840,097
DK Trust
Series 2024-SPBX, Class A, (1-mo. CME Term SOFR + 1.50%), 03/15/34^(a)(c)(e)			2,860		2,864,988
Series 2024-SPBX, Class E, (1-mo. CME Term SOFR + 4.00%), 03/15/34^(a)(c)(e)			8,186		8,185,871
ELP Commercial Mortgage Trust, Series 2021-ELP, Class G, (1-mo. CME Term SOFR + 3.23%), 8.56%, 11/15/38^(a)(c)			660		636,594


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Extended Stay America Trust
Series 2021-ESH, Class A, (1-mo. CME Term SOFR + 1.19%), 6.52%, 07/15/38^(a)(c)	USD		3,657	$	3,655,874
Series 2021-ESH, Class D, (1-mo. CME Term SOFR + 2.36%), 7.69%, 07/15/38^(a)(c)			3,514		3,510,006
Series 2021-ESH, Class E, (1-mo. CME Term SOFR + 2.96%), 8.29%, 07/15/38^(a)(c)			2,843		2,838,893
Series 2021-ESH, Class F, (1-mo. CME Term SOFR + 3.81%), 9.14%, 07/15/38^(a)(c)			9,799		9,786,744
FREMF Mortgage Trust
Series 2018-K74, Class B, 4.09%, 02/25/51^(a)(c).			2,150		2,048,482
Series 2018-W5FX, Class CFX, 3.54%, 04/25/28^(a)(c)			4,100		3,517,081
Series 2020-K105, Class B, 3.53%, 03/25/53^(a)(c)			2,905		2,623,220
FS Rialto Issuer Ltd., Series 2022-FL7, Class A, (1-mo. CME Term SOFR + 2.90%), 8.22%, 10/19/39^(a)(c)			2,976		2,991,769
Great Wolf Trust, Series 2024-WOLF, Class A, (1-mo. CME Term SOFR + 1.54%), 03/15/39^(a)(c)(e)			3,080		3,084,813
GS Mortgage Securities Corp. II, Series 2018- GS10, Class A5, 4.16%, 07/10/51^(c)			4,100		3,835,368
GS Mortgage Securities Trust
Series 2015-GC32, Class C, 4.40%, 07/10/48^(c).			881		826,816
Series 2017-GS6, Class A3, 3.43%, 05/10/50			2,000		1,866,368
Series 2017-SLP, Class C, 3.92%, 10/10/32^(a)			293		285,288
Series 2019-GSA1, Class A4, 3.05%, 11/10/52			2,587		2,337,683
Series 2019-GSA1, Class C, 3.81%, 11/10/52^(c).			2,530		2,126,646
Series 2021-DM, Class A, (1-mo. CME Term SOFR + 1.00%), 6.33%, 11/15/36^(a)(c)			1,970		1,959,534
Series 2022-AGSS, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 11/15/27^(a)(c)			3,424		3,435,153
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.52%, 08/15/39^(a)(c)			3,170		3,189,948
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.42%, 03/15/28^(a)(c)			4,360		4,373,625
Series 2023-SHIP, Class C, 5.51%, 09/10/38^(a)(c)			1,000		979,139
Series 2023-SHIP, Class E, 7.43%, 09/10/38^(a)(c)			9,607		9,623,839
Harvest Commercial Capital Loan Trust, Series 2020-1, Class M4, 5.96%, 04/25/52^(a)(c)			669		609,079
HIG RCP LLC, Series 2023-FL1, Class A, (1-mo. CME Term SOFR + 2.27%), 7.60%, 09/19/38^(a)(c)			3,520		3,530,088
HIT Trust, Series 2022-HI32, Class A, (1-mo. CME Term SOFR + 2.39%), 7.72%, 07/15/24^(a)(c)			688		689,594
HONO Mortgage Trust
Series 2021-LULU, Class A, (1-mo. CME Term SOFR + 1.26%), 6.59%, 10/15/36^(a)(c)			4,812		4,634,557
Series 2021-LULU, Class E, (1-mo. CME Term SOFR + 3.46%), 8.79%, 10/15/36^(a)(c)			1,382		1,290,284
Series 2021-LULU, Class F, (1-mo. CME Term SOFR + 4.51%), 9.84%, 10/15/36^(a)(c)			1,629		1,497,328
Houston Galleria Mall Trust, Series 2015-HGLR, Class D, 3.98%, 03/05/37^(a)			578		545,659
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 2.94%, 12/10/41^(a)(c)			712		519,717
ILPT Commercial Mortgage Trust, Series 2022- LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 7.57%, 10/15/39^(a)(c)			5,218		5,213,092


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1-mo. CME Term SOFR + 2.49%), 7.81%, 08/15/39^(a)(c)	USD		3,483	$	3,500,415
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.14%, 12/15/48^(a)(c)			1,007		893,432
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class AS, 4.42%, 06/15/51			111		102,340
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2016-JP2, Class A4, 2.82%, 08/15/49			3,655		3,434,481
Series 2016-NINE, Class B, 2.85%, 09/06/38^(a)(c)			2,073		1,899,810
Series 2018-PHH, Class A, (1-mo. CME Term SOFR + 1.26%), 6.58%, 06/15/35^(a)(c)			1,938		1,806,724
Series 2020-609M, Class D, (1-mo. CME Term SOFR + 3.13%), 8.46%, 10/15/33^(a)(c)			700		540,903
Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.91%), 6.24%, 04/15/38^(a)(c)			277		276,509
Series 2021-MHC, Class E, (1-mo. CME Term SOFR + 2.56%), 7.89%, 04/15/38^(a)(c)			3,330		3,295,161
Series 2022-CGSS, Class A, (1-mo. CME Term SOFR + 2.87%), 8.20%, 12/15/36^(a)(c)			5,343		5,352,802
Series 2022-NLP, Class F, (1-mo. CME Term SOFR + 3.54%), 8.87%, 04/15/37^(a)(c)			3,360		2,722,523
Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.50%, 09/15/39^(a)(c)			5,605		5,620,743
Series 2022-OPO, Class D, 3.45%, 01/05/39^(a)(c)			2,481		1,787,417
KSL Commercial Mortgage Trust
Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.62%, 12/15/36^(a)(c)			3,000		3,017,813
Series 2023-HT, Class D, (1-mo. CME Term SOFR + 4.29%), 9.61%, 12/15/36^(a)(c)			11,220		11,276,087
Lehman Brothers Small Balance Commercial Mortgage Trust
Series 2007-2A, Class M1, (1-mo. CME Term SOFR + 0.51%), 5.84%, 06/25/37^(a)(c)			293		289,902
Series 2007-3A, Class M2, (1-mo. CME Term SOFR + 2.11%), 7.44%, 10/25/37^(a)(c)			3,340		2,886,035
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 08/15/40^(a)(c)			1,281		1,293,942
LUXE Trust, Series 2021-TRIP, Class E, (1-mo. CME Term SOFR + 2.86%), 8.19%, 10/15/38^(a)(c)			654		654,452
MCR Mortgage Trust, Series 2024-HTL, Class E, (1-mo. CME Term SOFR + 4.65%), 9.98%, 02/15/37^(a)(c)			1,710		1,705,691
Med Trust
Series 2021-MDLN, Class E, (1-mo. CME Term SOFR + 3.26%), 8.59%, 11/15/38^(a)(c)			436		434,001
Series 2021-MDLN, Class F, (1-mo. CME Term SOFR + 4.11%), 9.44%, 11/15/38^(a)(c)			6,027		6,015,182
Series 2021-MDLN, Class G, (1-mo. CME Term SOFR + 5.36%), 10.69%, 11/15/38^(a)(c)			6,536		6,523,553
MF1, Series 2021-W10, Class G, (1-mo. CME Term SOFR + 4.22%), 9.55%, 12/15/34^(a)(c)			560		525,285
MF1 LLC, Series 2024-FL14, Class A, (1-mo. CME Term SOFR + 1.74%), 7.06%, 03/19/39^(a)(c)			1,010		1,010,949
MHC Commercial Mortgage Trust Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.92%), 6.24%, 04/15/38^(a)(c)			4,197		4,177,227


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
MHC Commercial Mortgage Trust
Series 2021-MHC, Class F, (1-mo. CME Term SOFR + 2.72%), 8.04%, 04/15/38^(a)(c)	USD		191	$	189,352
Series 2021-MHC2, Class A, (1-mo. CME Term SOFR + 0.96%), 6.29%, 05/15/38^(a)(c)			2,268		2,257,006
MHP
Series 2021-STOR, Class A, (1-mo. CME Term SOFR + 0.81%), 6.14%, 07/15/38^(a)(c)			1,105		1,097,058
Series 2021-STOR, Class G, (1-mo. CME Term SOFR + 2.86%), 8.19%, 07/15/38^(a)(c)			3,426		3,378,891
Series 2021-STOR, Class J, (1-mo. CME Term SOFR + 4.06%), 9.39%, 07/15/38^(a)(c)			1,917		1,883,401
MIC Trust (The), Series 2023-MIC, Class A, 8.44%, 12/05/38^(a)(c)			1,670		1,732,833
MIRA Trust, Series 2023-MILE, Class A, 6.76%, 06/10/38^(a)			1,978		2,053,764
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C25, Class A5, 3.64%, 10/15/48			1,455		1,411,248
Series 2016-C32, Class A4, 3.72%, 12/15/49			1,060		1,014,977
Morgan Stanley Capital I Trust
Series 2015-MS1, Class A4, 3.78%, 05/15/48^(c).			2,000		1,945,133
Series 2017-ASHF, Class G, (1-mo. CME Term SOFR + 7.20%), 12.52%, 11/15/34^(a)(c)			939		872,335
Series 2017-H1, Class B, 4.08%, 06/15/50			2,400		2,168,299
Series 2018-MP, Class E, 4.28%, 07/11/40^(a)(c)			2,184		1,360,983
Series 2018-SUN, Class D, (1-mo. CME Term SOFR + 1.95%), 7.27%, 07/15/35^(a)(c)			1,000		995,000
Series 2018-SUN, Class F, (1-mo. CME Term SOFR + 2.85%), 8.17%, 07/15/35^(a)(c)			22		21,315
Series 2019-H7, Class AS, 3.52%, 07/15/52			1,900		1,717,502
Series 2019-H7, Class C, 4.13%, 07/15/52			5,000		4,364,286
Series 2019-H7, Class D, 3.00%, 07/15/52^(a)			3,000		2,199,312
MSWF Commercial Mortgage Trust, Series 2023-2, Class A5, 6.01%, 12/15/56^(c)			1,364		1,459,512
MTN Commercial Mortgage Trust
Series 2022-LPFL, Class A, (1-mo. CME Term SOFR + 1.40%), 6.73%, 03/15/39^(a)(c)			910		900,469
Series 2022-LPFL, Class F, (1-mo. CME Term SOFR + 5.29%), 10.62%, 03/15/39^(a)(c)			829		775,137
Natixis Commercial Mortgage Securities Trust, Series 2017-75B, Class A, 3.86%, 04/10/37^(a)			1,850		1,601,977
NJ Trust, Series 2023-GSP, Class A, 6.48%, 01/06/29^(a)(c)			1,470		1,536,060
Olympic Tower Mortgage Trust
Series 2017-OT, Class A, 3.57%, 05/10/39^(a)			2,920		2,528,208
Series 2017-OT, Class D, 3.95%, 05/10/39^(a)(c)			1,080		726,980
Series 2017-OT, Class E, 3.95%, 05/10/39^(a)(c)			498		316,396
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54^(a)			1,930		1,648,133
One Market Plaza Trust, Series 2017-1MKT, Class D, 4.15%, 02/10/32^(a)			1,127		983,999
One New York Plaza Trust
Series 2020-1NYP, Class A, (1-mo. CME Term SOFR + 1.06%), 6.39%, 01/15/36^(a)(c)			1,035		1,009,193
Series 2020-1NYP, Class AJ, (1-mo. CME Term SOFR + 1.36%), 6.69%, 01/15/36^(a)(c)			1,753		1,674,319
Series 2020-1NYP, Class B, (1-mo. CME Term SOFR + 1.61%), 6.94%, 01/15/36^(a)(c)			1,338		1,251,252
OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.41%, 10/15/28^(a)(c)			2,392		2,416,077


48		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
PKHL Commercial Mortgage Trust
Series 2021-MF, Class F, (1-mo. CME Term SOFR + 3.46%), 8.79%, 07/15/38^(a)(c)	USD		1,824	$	1,188,363
Series 2021-MF, Class G, (1-mo. CME Term SOFR + 4.46%), 9.79%, 07/15/38^(a)(c)			1,967		436,359
Ready Capital Mortgage Financing LLC
Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.55%), 7.88%, 10/25/39^(a)(c)			5,528		5,555,761
Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.47%), 7.80%, 06/25/37^(a)(c)			1,021		1,022,116
Series 2023-FL11, Class A, (1-mo. CME Term SOFR + 2.37%), 7.70%, 10/25/39^(a)(c)			3,024		3,026,550
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. CME Term SOFR + 2.25%), 7.58%, 01/19/37^(a)(c)			6,154		6,130,922
SCG Mortgage Trust, Series 2024-MSP, Class A, (1-mo. CME Term SOFR + 1.74%), 04/15/41^(a)(c)(e)			2,750		2,750,117
SG Commercial Mortgage Securities Trust
Series 2016-C5, Class B, 3.93%, 10/10/48			1,000		895,172
Series 2019-PREZ, Class E, 3.48%, 09/15/39^(a)(c)			3,391		2,657,967
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 07/15/41^(a)			3,500		2,892,977
SREIT Trust
Series 2021-MFP, Class F, (1-mo. CME Term SOFR + 2.74%), 8.07%, 11/15/38^(a)(c)			2,832		2,813,147
Series 2021-MFP2, Class A, (1-mo. CME Term SOFR + 0.94%), 6.26%, 11/15/36^(a)(c)			5,000		4,973,437
Series 2021-MFP2, Class F, (1-mo. CME Term SOFR + 2.73%), 8.06%, 11/15/36^(a)(c)			2,226		2,185,654
STWD Trust
Series 2021-FLWR, Class A, (1-mo. CME Term SOFR + 0.69%), 6.02%, 07/15/36^(a)(c)			1,446		1,431,540
Series 2021-FLWR, Class B, (1-mo. CME Term SOFR + 1.04%), 6.37%, 07/15/36^(a)(c)			7,000		6,923,437
Series 2021-FLWR, Class E, (1-mo. CME Term SOFR + 2.04%), 7.36%, 07/15/36^(a)(c)			1,738		1,713,559
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.51%, 05/15/37^(a)(c)			7,992		8,051,940
THPT Mortgage Trust, Series 2023-THL, Class A, 6.99%, 12/10/34^(a)(c)			969		991,637
TPGI Trust, Series 2021-DGWD, Class E, (1-mo. CME Term SOFR + 2.46%), 7.79%, 06/15/26^(a)(c)			2,879		2,872,007
TTAN, Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.96%), 6.29%, 03/15/38^(a)(c)			1,679		1,676,601
TYSN Mortgage Trust, Series 2023-CRNR, Class A, 6.58%, 12/10/33^(a)(c)			1,340		1,400,353
UBS Commercial Mortgage Trust, Series 2017-C4, Class AS, 3.84%, 10/15/50^(c)			765		703,784
Velocity Commercial Capital Loan Trust
Series 2018-2, Class M6, 7.05%, 10/26/48^(a)(c)			900		690,662
Series 2019-1, Class M2, 4.01%, 03/25/49^(a)(c)			164		143,793
Series 2019-2, Class M2, 3.39%, 07/25/49^(a)(c)			1,257		1,106,316
Series 2019-2, Class M3, 3.48%, 07/25/49^(a)(c)			574		502,775
Series 2019-2, Class M4, 3.99%, 07/25/49^(a)(c)			1,412		1,206,090
Series 2020-1, Class AFX, 2.61%, 02/25/50^(a)(c).			2,471		2,209,043
Series 2021-1, Class M4, 2.85%, 05/25/51^(a)(c)			1,946		1,426,367
Series 2021-3, Class M4, 3.48%, 10/25/51^(a)(c)			2,481		2,048,811
Series 2021-4, Class A, 2.52%, 12/26/51^(a)(c)			7,038		5,921,234


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Velocity Commercial Capital Loan Trust
Series 2021-4, Class M4, 4.48%, 12/26/51^(a)(c)	USD		1,215	$	910,437
Series 2022-1, Class M4, 5.20%, 02/25/52^(a)(c)			5,226		3,943,472
Series 2022-4, Class M2, 6.97%, 08/25/52^(a)(c)			1,087		1,054,697
Series 2022-4, Class M3, 7.54%, 08/25/52^(a)(c)			1,021		925,010
Series 2023-2, Class A, 6.22%, 05/25/53^(a)(c)			851		853,885
Series 2024-1, Class A, 6.55%, 01/25/54^(a)(c)			4,614		4,645,929
Series 2024-1, Class M2, 7.23%, 01/25/54^(a)(c)			357		355,102
Series 2024-1, Class M3, 8.44%, 01/25/54^(a)(c)			420		417,526
Wells Fargo Commercial Mortgage Trust
Series 2017-C39, Class B, 4.03%, 09/15/50			1,000		919,877
Series 2018-1745, Class A, 3.75%, 06/15/36^(a)(c)			3,155		2,757,770
Series 2018-C46, Class A4, 4.15%, 08/15/51			3,740		3,559,315
Series 2019-C50, Class B, 4.19%, 05/15/52			3,121		2,883,938
Series 2019-C53, Class A3, 2.79%, 10/15/52			1,000		898,443
Series 2020-SDAL, Class D, (1-mo. CME Term SOFR + 2.20%), 7.53%, 02/15/37^(a)(c)			1,612		1,603,986
Series 2020-SDAL, Class E, (1-mo. CME Term SOFR + 2.85%), 8.18%, 02/15/37^(a)(c)			1,600		1,588,069
Series 2021-C59, Class A4, 2.34%, 04/15/54			5,000		4,232,322
Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.64%, 05/15/31^(a)(c)			4,660		4,569,834
WMRK Commercial Mortgage Trust
Series 2022-WMRK, Class A, (1-mo. CME Term SOFR + 2.79%), 8.11%, 11/15/27^(a)(c)			3,829		3,843,371
Series 2022-WMRK, Class B, (1-mo. CME Term SOFR + 3.44%), 8.76%, 11/15/27^(a)(c)			1,435		1,439,936


					662,969,972

Interest Only Collateralized Mortgage Obligations — 0.2%
Ajax Mortgage Loan Trust, Series 2021-E, Class XS, 0.00%, 12/25/60^(a)(c)(d)			8,651		341,324
Barclays Mortgage Loan Trust
Series 2023-NQM3, Class XS, 0.82%, 10/25/63^(a)(c)			21,002		433,514
Series 2024-NQM1, Class XS, 2.45%, 01/25/64^(a)(c)			16,941		787,427
JPMorgan Mortgage Trust
Series 2021-INV7, Class A2X, 0.50%, 02/25/52^(a)(c)			30,837		885,133
Series 2021-INV7, Class A3X, 0.50%, 02/25/52^(a)(c)			18,372		355,224
Series 2021-INV7, Class A4X, 0.50%, 02/25/52^(a)(c)			7,873		348,850
Series 2021-INV7, Class A5X, 0.50%, 02/25/52^(a)(c)			3,358		96,383
Series 2021-INV7, Class AX1, 0.27%, 02/25/52^(a)(c)			60,440		872,620
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 5.93%, 02/25/38^(a)(c)			9,552		2,162,658


					6,283,133

Interest Only Commercial Mortgage-Backed Securities — 0.7%
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2017-SCH, Class XFCP, 0.00%, 11/15/19^(a)(c)(d)			95,950		432
Series 2017-SCH, Class XLCP, 0.00%, 11/15/19^(a)(c)(d)			56,050		73
BANK
Series 2019-BN22, Class XA, 0.59%, 11/15/62^(c)			38,467		1,058,565


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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interest Only Commercial Mortgage-Backed Securities (continued)
BANK
Series 2019-BN22, Class XB, 0.15%, 11/15/62^(c)	USD		85,561	$	704,167
Series 2020-BN28, Class XB, 0.97%, 03/15/63^(c)			29,820		1,591,667
Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XD, 1.24%, 02/15/50^(a)(c)			10,000		303,507
BBCMS Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35^(a)(c)			12,500		78,659
Benchmark Mortgage Trust
Series 2019-B12, Class XA, 1.02%, 08/15/52^(c)			36,803		1,221,535
Series 2019-B9, Class XA, 1.02%, 03/15/52^(c)			15,158		568,905
Series 2020-B17, Class XB, 0.53%, 03/15/53^(c)			17,599		404,321
Series 2020-B19, Class XA, 1.76%, 09/15/53^(c)			23,660		1,484,463
Series 2021-B23, Class XA, 1.27%, 02/15/54^(c)			18,262		1,077,335
BMO Mortgage Trust, Series 2023-C5, Class XA, 0.73%, 06/15/56^(c)			8,100		414,817
BX Trust, Series 2022-GPA, Class XCP, 0.00%, 08/15/23^(a)(c)(d)			65,811		1,928
CFK Trust, Series 2019-FAX, Class XA, 0.23%, 01/15/39^(a)(c)			62,648		686,294
Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.63%, 08/15/57^(c)			40,170		931,735
CSAIL Commercial Mortgage Trust
Series 2019-C16, Class XA, 1.54%, 06/15/52^(c)			9,619		591,345
Series 2019-C17, Class XA, 1.32%, 09/15/52^(c)			3,826		196,892
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50^(c)			11,214		292,159
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class X1, 0.21%, 05/03/32^(a)(c)			144,016		331,410
JPMDB Commercial Mortgage Securities Trust
Series 2016-C4, Class XC, 0.75%, 12/15/49^(a)(c)			8,570		137,844
Series 2017-C5, Class XB, 0.26%, 03/15/50^(c)			30,000		270,387
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49^(a)(c)			17,400		260,659
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.83%, 03/10/50^(a)(c)			8,473		126,514
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.18%, 12/15/47^(a)(c)			220		2,615
Morgan Stanley Capital I Trust
Series 2017-H1, Class XD, 2.15%, 06/15/50^(a)(c)			8,625		484,097
Series 2019-L2, Class XA, 1.00%, 03/15/52^(c)			10,947		422,342
MSWF Commercial Mortgage Trust, Series 2023-2, Class XA, 0.91%, 12/15/56^(c)			34,052		2,254,502
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39^(a)(c)			28,100		294,643
One Market Plaza Trust
Series 2017-1MKT, Class XCP, 0.00%, 02/10/32^(a)(c)(d)(h)			91,391		9
Series 2017-1MKT, Class XNCP, 0.12%, 02/10/32^(a)(c)			18,278		47,432
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.44%, 10/15/52^(c)			8,711		533,898
Wells Fargo Commercial Mortgage Trust Series 2015-LC20, Class XB, 0.48%, 04/15/50^(c)			7,000		31,683


Security		Par (000)		Value

Interest Only Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust Series 2016-BNK1, Class XD, 1.25%, 08/15/49^(a)(c)	USD		1,000	$	24,004
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 0.97%, 08/15/47^(c)			6,119		3,390


					16,834,228


Total Non-Agency Mortgage-Backed Securities — 47.4% (Cost: $1,250,772,446)					1,181,262,275


U.S. Government Sponsored Agency Securities

Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac, Series KJ48, Class A2, 5.03%, 10/25/31			1,413		1,414,878
Ginnie Mae
Series 2023-118, Class BA, 3.75%, 05/16/65^(c)			810		753,854
Series 2023-119, Class AD, 2.25%, 04/16/65			1,443		1,158,382


					3,327,114

Interest Only Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac
Series K116, Class X1, 1.42%, 07/25/30^(c)			23,782		1,632,592
Series KL05, Class X1P, 0.89%, 06/25/29^(c)			12,845		515,410
Ginnie Mae
Series 2016-36, Class IO, 0.66%, 08/16/57^(c)			2,643		70,155
Series 2017-24, Class IO, 0.75%, 12/16/56^(c)			11,622		379,688


					2,597,845


Total U.S. Government Sponsored Agency Securities — 0.2% (Cost: $7,005,013)					5,924,959


Total Long-Term Investments — 97.9% (Cost: $2,564,498,495)					2,440,700,953


		Shares

Short-Term Securities

Money Market Funds — 5.9%
Dreyfus Treasury Securities Cash Management, Institutional Class, 5.19%^(l)			147,201,332		147,201,332


Total Short-Term Securities — 5.9% (Cost: $147,201,332)					147,201,332


Total Investments Before TBA Sale Commitments — 103.8% (Cost: $2,711,699,827)					2,587,902,285


50		2 0 2 4 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, 2024

BATS: Series A Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)			Value


TBA Sale Commitments^(m)

Mortgage-Backed Securities — (0.9)%
Uniform Mortgage-Backed Securities
2.00%, 04/01/54	USD		(4,579	)	$	(3,621,803	)
2.50%, 04/01/54			(22,139	)		(18,296,867	)


Total TBA Sale Commitments — (0.9)% (Proceeds: $(21,864,982))						(21,918,670	)


Total Investments Net of TBA Sale Commitments — 102.9% (Cost: $2,689,834,845)						2,565,983,615

Liabilities in Excess of Other Assets — (2.9)%						(71,943,387	)


Net Assets — 100.0%					$	2,494,040,228

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

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

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

^(d)	Zero-coupon bond.

^(e)	When-issued security.

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

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

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

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

^(j)	Non-income producing security.

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

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

^(m)	Represents or includes a TBA transaction.

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

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased

Currency Sold

Counterparty

Settlement

Date

Unrealized

Appreciation

(Depreciation)

USD 13,234,142

EUR 12,102,000

UBS AG

06/20/24

133,705

OTC Credit Default Swaps — Buy Protection



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

CMBX.NA.9.BBB-		3.00	%		Monthly	Citigroup Global Markets, Inc.		09/17/58		USD	140	$	20,490	$	4,321	$	16,169
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58		USD	53		7,757		3,749		4,008
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58		USD	27		3,951		1,364		2,587
CMBX.NA.6.AAA		0.50			Monthly	Deutsche Bank AG		05/11/63		USD	1		—		—		—


												$	32,198	$	9,434	$	22,764


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, 2024

BATS: Series A Portfolio

OTC Credit Default Swaps — Sell Protection


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

CMBX.NA.9.A	2.00	%	Monthly	Goldman Sachs Bank USA	09/17/58	Not Rated	USD	3,587	$	(181,838	)	$	(63,802	)	$	(118,036	)
CMBX.NA.9.BBB-	3.00		Monthly	Deutsche Bank AG	09/17/58	Not Rated	USD	220		(32,198	)		(23,993	)		(8,205	)
CMBX.NA.10.BBB-	3.00		Monthly	Deutsche Bank AG	11/17/59	BBB-	USD	1,000		(188,229	)		(76,451	)		(111,778	)
CMBX.NA.10.BBB-	3.00		Monthly	Deutsche Bank AG	11/17/59	BBB-	USD	500		(94,115	)		(46,110	)		(48,005	)


									$	(496,380)		$	(210,356	)	$	(286,024	)

^(a)

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

^(b)

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

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



	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation

OTC Swaps	$	9,434	$	(210,356	)	$	22,764	$	(286,024	)

Derivative Financial Instruments Categorized by Risk Exposure

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



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

Assets — Derivative Financial Instruments
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts	$	—	$	—	$	—	$	133,705	$	—	$	—	$	133,705
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		32,198		—		—		—		—		32,198


	$	—	$	32,198	$	—	$	133,705	$	—	$	—	$	165,903


Liabilities — Derivative Financial Instruments
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received	$	—	$	496,380	$	—	$	—	$	—	$	—	$	496,380

For the period ended March 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



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

Net Realized Gain (Loss) from:
Forward foreign currency exchange contracts	$	—	$	—		$	—	$	246,266	$	—	$	—	$	246,266
Swaps		—		(9,850	)		—		—		—		—		(9,850	)


	$	—	$	(9,850	)	$	—	$	246,266	$	—	$	—	$	236,416

Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	$	—	$	—		$	—	$	138,356	$	—	$	—	$	138,356
Swaps		—		607,744			—		—		—		—		607,744


	$	—	$	607,744		$	—	$	138,356	$	—	$	—	$	746,100


52		2 0 2 4 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, 2024

BATS: Series A Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments



Forward foreign currency exchange contracts
Average amounts purchased — in USD			$12,786,195
Credit default swaps
Average notional value — buy protection			$220,889
Average notional value — sell protection			$7,888,583

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

Derivative Financial Instruments – Offsetting as of Period End

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



	Assets		Liabilities

Derivative Financial Instruments
Forward foreign currency exchange contracts	$	133,705	$	—
Swaps — OTC^(a)		32,198		496,380


Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	165,903	$	496,380


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


Total derivative assets and liabilities subject to an MNA	$	165,903	$	496,380

^(a)

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

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



Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)		Non- Cash Collateral Received^(b)		Cash Collateral Received^(b)			Net Amount of Derivative Assets^(c)(d)

Citigroup Global Markets, Inc.	$	20,490	$	—	$	—	$	—		$	20,490
Morgan Stanley & Co. International PLC		11,708		—		—		—			11,708
UBS AG		133,705		—		—		—			133,705


	$	165,903	$	—	$	—	$	—		$	165,903


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)		Non- Cash Collateral Pledged^(b)		Cash Collateral Pledged^(b)			Net Amount of Derivative Liabilities^(e)

Deutsche Bank AG	$	314,542	$	—	$	—	$	(314,542	)	$	—
Goldman Sachs International		181,838		—		—		(181,838	)		—


	$	496,380	$	—	$	—	$	(496,380	)	$	—

^(a)

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

^(b)

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

^(c)

Net amount represents the net amount receivable from the counterparty in the event of default.

^(d)

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

^(e)

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


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, 2024

BATS: Series A Portfolio

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.




	Level 1		Level 2			Level 3		Total


Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—	$	1,229,135,530		$	9,304,373	$	1,238,439,903
Corporate Bonds		—		83,582			—		83,582
Floating Rate Loan Interests		—		—			14,990,234		14,990,234
Non-Agency Mortgage-Backed Securities		—		1,177,703,022			3,559,253		1,181,262,275
U.S. Government Sponsored Agency Securities		—		5,924,959			—		5,924,959
Short-Term Securities
Money Market Funds		147,201,332		—			—		147,201,332
Liabilities
TBA Sale Commitments		—		(21,918,670	)		—		(21,918,670	)


	$	147,201,332	$	2,390,928,423		$	27,853,860	$	2,565,983,615

Derivative Financial Instruments^(a)
Assets
Credit Contracts	$	—	$	22,764		$	—	$	22,764
Foreign Currency Exchange Contracts		—		133,705			—		133,705
Liabilities
Credit Contracts		—		(286,024	)		—		(286,024	)


	$	—	$	(129,555	)	$	—	$	(129,555	)

^(a)

Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

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




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


Assets
Opening Balance, as of March 31, 2023	$	16,155,741		$	—^(a)	$	10,673,297		$	29,337,894		$	17,129		$	56,184,061
Transfers into Level 3^(b)		—			—		7,643,442			3,146			—			7,646,588
Transfers out of Level 3^(c)		(7,285,293	)		—		—			(26,367,966	)		—			(33,653,259	)
Accrued discounts/premiums		—			—		37,818			65,943			—			103,761
Net realized gain (loss)		—			—		(34,258	)		—			—			(34,258	)
Net change in unrealized appreciation (depreciation)^(d)(e)		433,925			—		(163,809	)		73,479			(17,129	)		326,466
Purchases		—			—		8,670,193			1,675,993			—			10,346,186
Sales		—			—		(11,836,449	)		(1,229,236	)		—			(13,065,685	)


Closing Balance, as of March 31, 2024	$	9,304,373		$	—^(a)	$	14,990,234		$	3,559,253		$	—		$	27,853,860


Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2024^(e)	$	433,925		$	—	$	(146,122	)	$	73,479		$	—		$	361,282

^(a)

Rounds to less than $1.

^(b)

As of March 31, 2023, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2024, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the fair value hierarchy.

^(c)

As of March 31, 2023, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2024, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

^(d)

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

^(e)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2024 is generally due to investments no longer held or categorized as Level 3 at period end.

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


54		2 0 2 4 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, 2024

BATS: Series A Portfolio

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Valuation Committee (the “Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $2,701,723. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.



	Value		Valuation Approach		Unobservable Inputs		Range of Unobservable Inputs Utilized^(a)		Weighted Average of Unobservable Inputs Based on Fair Value


Assets
Asset-Backed Securities	$	9,304,373		Income		Discount Rate		8%		—
Floating Rate Loan Interests		14,990,234		Income		Discount Rate		7% - 8%		7%
Non-Agency Mortgage-Backed Securities		857,530		Income		Discount Rate		11%		—


	$	25,152,137

^(a)

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

See notes to financial statements.


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

Schedule of Investments

March 31, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Corporate Bonds

Aerospace & Defense — 3.5%
Boeing Co. (The)
2.85%, 10/30/24	USD		980	$	962,182
2.20%, 02/04/26			1,120		1,048,543
2.70%, 02/01/27			200		184,221
2.95%, 02/01/30			200		172,731
3.25%, 02/01/35			194		152,655
3.38%, 06/15/46			140		94,411
3.85%, 11/01/48			135		95,138
3.90%, 05/01/49			31		22,088
3.75%, 02/01/50			374		260,170
5.81%, 05/01/50			2,805		2,653,888
5.93%, 05/01/60			345		323,449
L3Harris Technologies, Inc.
4.40%, 06/15/28			533		518,420
4.40%, 06/15/28			1,913		1,860,672
2.90%, 12/15/29			441		392,519
5.40%, 07/31/33			264		265,659
06/01/34^(a)			810		810,007
5.60%, 07/31/53			46		46,691
Lockheed Martin Corp.
4.50%, 05/15/36			37		35,141
3.80%, 03/01/45			161		131,820
5.70%, 11/15/54			115		122,559
5.20%, 02/15/55			339		338,441
Northrop Grumman Corp.
7.88%, 03/01/26			1,000		1,051,837
4.03%, 10/15/47			229		187,261
5.25%, 05/01/50			22		21,580
RTX Corp.
4.13%, 11/16/28			820		793,172
4.45%, 11/16/38			136		122,497
4.50%, 06/01/42			202		180,233
4.15%, 05/15/45			414		343,610
4.35%, 04/15/47			252		214,531
3.13%, 07/01/50			95		64,838
2.82%, 09/01/51			772		491,043
3.03%, 03/15/52			95		62,904
5.38%, 02/27/53			620		611,454
6.40%, 03/15/54			125		141,420


					14,777,785

Air Freight & Logistics — 0.0%
FedEx Corp.
2.40%, 05/15/31			69		58,565
4.55%, 04/01/46			37		31,911


					90,476

Automobile Components — 0.3%
Aptiv PLC, 3.10%, 12/01/51			283		178,487
Aptiv PLC/Aptiv Corp.
3.25%, 03/01/32			171		148,735
4.15%, 05/01/52			332		254,295
Magna International, Inc., 03/14/29^(a)			758		757,605


					1,339,122

Automobiles — 2.1%
Daimler Truck Finance North America LLC
5.60%, 08/08/25^(b)			165		165,098
5.15%, 01/16/26^(b)			306		304,878
5.00%, 01/15/27^(b)			369		367,957
Ford Motor Co.
6.10%, 08/19/32			2,679		2,714,671
5.29%, 12/08/46			82		72,904


Security		Par (000)		Value

Automobiles (continued)
General Motors Co.
5.00%, 04/01/35	USD		250	$	236,931
6.60%, 04/01/36			156		165,837
6.25%, 10/02/43			168		171,855
Mercedes-Benz Finance North America LLC, 5.00%, 01/11/34^(b)			505		500,752
Nissan Motor Acceptance Co. LLC
1.85%, 09/16/26^(b)			3,090		2,796,006
2.45%, 09/15/28^(b)			112		96,492
7.05%, 09/15/28^(b)			235		245,642
Volkswagen Group of America Finance LLC
3.35%, 05/13/25^(b)			350		341,649
1.25%, 11/24/25^(b)			655		612,009


					8,792,681

Banks — 13.8%
Bank of America Corp.
3.37%, 01/23/26			930		912,940
1.32%, 06/19/26			1,836		1,745,229
2.55%, 02/04/28			164		152,441
3.97%, 03/05/29			212		202,648
5.20%, 04/25/29			20		20,019
3.97%, 02/07/30			1,159		1,098,318
2.69%, 04/22/32			2,375		2,010,319
2.97%, 02/04/33			1,831		1,557,156
4.08%, 04/23/40			185		159,839
2.68%, 06/19/41			565		402,013
2.83%, 10/24/51			35		22,868
Series L, 4.75%, 04/21/45			39		36,068
Series N, 1.66%, 03/11/27			654		609,212
Bank of Ireland Group PLC, 6.25%, 09/16/26^(b)			1,204		1,210,935
Barclays PLC
3.93%, 05/07/25			760		758,457
5.20%, 05/12/26			600		593,821
5.83%, 05/09/27			1,232		1,234,616
5.09%, 06/20/30			1,100		1,059,672
Citigroup, Inc.
3.89%, 01/10/28			526		507,206
2.67%, 01/29/31			392		339,734
2.57%, 06/03/31			302		258,058
2.56%, 05/01/32			589		491,228
6.17%, 05/25/34			1,396		1,417,623
Commonwealth Bank of Australia, 03/13/34^(a)(b)			1,347		1,354,555
Danske Bank A/S, 5.71%, 03/01/30^(b)			2,278		2,292,555
Discover Bank
2.45%, 09/12/24			255		251,221
5.97%, 08/09/28			300		298,431
Fifth Third Bancorp
6.36%, 10/27/28			946		968,010
6.34%, 07/27/29			1,429		1,473,115
5.63%, 01/29/32			500		500,512
4.34%, 04/25/33			153		139,655
HSBC Holdings PLC
5.89%, 08/14/27			499		503,365
7.39%, 11/03/28			755		803,255
2.87%, 11/22/32			200		167,071
8.11%, 11/03/33			1,015		1,162,101
Huntington Bancshares, Inc.
6.21%, 08/21/29			109		111,563
5.02%, 05/17/33			100		95,281
5.71%, 02/02/35			1,455		1,450,811
Intesa Sanpaolo SpA, 5.02%, 06/26/24^(b)			416		414,626


56		2 0 2 4 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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Banks (continued)
JPMorgan Chase & Co.
2.95%, 02/24/28	USD		313	$	294,091
4.01%, 04/23/29			50		47,926
2.07%, 06/01/29			442		392,078
5.30%, 07/24/29			1,428		1,438,609
5.34%, 01/23/35			1,524		1,529,955
3.11%, 04/22/41			330		251,447
2.53%, 11/19/41			942		657,367
3.16%, 04/22/42			450		342,373
4.95%, 06/01/45			201		191,116
KeyCorp
4.79%, 06/01/33			35		32,045
6.40%, 03/06/35			850		868,025
Lloyds Banking Group PLC, 4.58%, 12/10/25			1,075		1,053,994
Mitsubishi UFJ Financial Group, Inc.
0.95%, 07/19/25			1,091		1,074,837
2.05%, 07/17/30			200		167,695
2.85%, 01/19/33			200		169,826
PNC Financial Services Group, Inc. (The)
6.88%, 10/20/34			854		935,155
5.68%, 01/22/35			776		783,068
Santander Holdings U.S.A., Inc., 6.17%, 01/09/30			605		610,453
Sumitomo Mitsui Financial Group, Inc.
5.46%, 01/13/26			1,040		1,043,501
3.78%, 03/09/26			21		20,463
5.88%, 07/13/26			461		467,826
2.17%, 01/14/27			200		185,218
Toronto-Dominion Bank (The), 4.69%, 09/15/27			478		473,442
Truist Financial Corp.
5.44%, 01/24/30			2,500		2,497,084
5.87%, 06/08/34			379		383,647
5.71%, 01/24/35			1,541		1,547,653
U.S. Bancorp, 5.68%, 01/23/35			2,155		2,175,967
Wells Fargo & Co.
3.91%, 04/25/26			1,235		1,212,101
3.58%, 05/22/28			1,260		1,197,898
5.57%, 07/25/29			1,236		1,250,649
6.30%, 10/23/29			779		811,360
2.88%, 10/30/30			160		141,439
5.39%, 04/24/34			303		301,113
6.49%, 10/23/34			459		492,311
5.50%, 01/23/35			2,017		2,021,749
5.61%, 01/15/44			597		588,118
4.65%, 11/04/44			65		56,800
4.40%, 06/14/46			28		23,298
5.01%, 04/04/51			630		591,494
Wells Fargo Bank N.A., 5.25%, 12/11/26			1,084		1,088,215
Westpac Banking Corp.
2.67%, 11/15/35			284		234,249
3.02%, 11/18/36			83		68,179
3.13%, 11/18/41			111		78,460


					58,578,841

Beverages — 0.5%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46			24		22,807
Anheuser-Busch InBev Finance, Inc., 4.90%, 02/01/46 .			310		291,112
Anheuser-Busch InBev Worldwide, Inc.
4.00%, 04/13/28			530		516,960
06/15/34^(a)			50		50,298
4.44%, 10/06/48			535		476,032
5.55%, 01/23/49			624		650,606


Security		Par (000)		Value

Beverages (continued)
Anheuser-Busch InBev Worldwide, Inc.
4.75%, 04/15/58	USD		26	$	23,986
5.80%, 01/23/59			254		273,183


					2,304,984

Biotechnology — 2.5%
AbbVie, Inc.
3.60%, 05/14/25			1,706		1,674,395
2.95%, 11/21/26			233		221,909
4.80%, 03/15/29			985		986,445
4.95%, 03/15/31			500		503,568
5.05%, 03/15/34			275		278,409
4.63%, 10/01/42			268		249,915
4.40%, 11/06/42			759		688,907
4.75%, 03/15/45			166		156,329
4.45%, 05/14/46			680		610,609
4.88%, 11/14/48			165		157,825
5.40%, 03/15/54			286		294,378
Amgen, Inc.
5.25%, 03/02/33			849		856,142
3.00%, 01/15/52			52		35,212
4.20%, 02/22/52			435		357,796
4.88%, 03/01/53			898		817,576
5.65%, 03/02/53			64		65,213
2.77%, 09/01/53			1,249		773,500
Gilead Sciences, Inc.
4.50%, 02/01/45			51		45,387
4.75%, 03/01/46			171		157,047
4.15%, 03/01/47			544		456,947
2.80%, 10/01/50			856		557,976
5.55%, 10/15/53			454		469,926


					10,415,411

Broadline Retail — 0.5%
Alibaba Group Holding Ltd.
4.20%, 12/06/47			200		164,442
3.15%, 02/09/51			500		333,005
Amazon.com, Inc.
3.15%, 08/22/27			1,370		1,305,732
3.10%, 05/12/51			197		141,485
2.70%, 06/03/60			400		247,908
3.25%, 05/12/61			159		111,663


					2,304,235

Building Products — 0.0%
Carrier Global Corp.
5.90%, 03/15/34			112		117,712
6.20%, 03/15/54			57		62,764


					180,476

Capital Markets — 6.3%
Ares Capital Corp., 5.88%, 03/01/29			1,084		1,080,758
Blue Owl Credit Income Corp., 7.75%, 01/15/29^(b)			1,024		1,054,617
Charles Schwab Corp. (The)
5.88%, 08/24/26			780		793,000
6.14%, 08/24/34			301		314,002
Credit Suisse AG
4.75%, 08/09/24			380		378,612
3.63%, 09/09/24			1,165		1,154,081
7.95%, 01/09/25			795		808,181
3.70%, 02/21/25			800		786,306
2.95%, 04/09/25			757		736,989
Deutsche Bank AG
1.45%, 04/01/25			190		190,000
4.10%, 01/13/26			100		97,606


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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Capital Markets (continued)
Deutsche Bank AG
6.12%, 07/14/26	USD		150	$	150,567
5.71%, 02/08/28			940		938,635
6.82%, 11/20/29			1,734		1,812,730
4.88%, 12/01/32			370		347,130
7.08%, 02/10/34			314		322,927
Goldman Sachs Group, Inc. (The)
2.60%, 02/07/30			500		437,659
1.99%, 01/27/32			29		23,467
2.62%, 04/22/32			830		696,579
2.38%, 07/21/32			243		199,347
2.65%, 10/21/32			725		603,215
6.45%, 05/01/36			45		48,006
Series VAR, 1.09%, 12/09/26			37		34,372
Intercontinental Exchange, Inc.
4.60%, 03/15/33			409		395,740
4.25%, 09/21/48			46		39,214
3.00%, 06/15/50			129		86,518
Morgan Stanley
2.19%, 04/28/26			70		67,533
4.68%, 07/17/26			1,520		1,503,622
1.59%, 05/04/27			1,390		1,285,740
1.51%, 07/20/27			735		674,584
3.77%, 01/24/29			1,011		962,345
5.16%, 04/20/29			714		713,424
5.45%, 07/20/29			425		428,727
6.41%, 11/01/29			850		891,278
2.70%, 01/22/31			470		410,632
2.24%, 07/21/32			50		40,844
6.63%, 11/01/34			985		1,077,695
5.47%, 01/18/35			1,130		1,140,101
3.22%, 04/22/42			815		623,341
4.30%, 01/27/45			260		228,306
UBS AG, (Secured Overnight Financing Rate + 0.93%),
6.29%, 09/11/25^(c)			456		458,983
UBS Group AG, 9.02%, 11/15/33^(b)			2,000		2,426,692


					26,464,105

Chemicals — 0.7%
DuPont de Nemours, Inc., 5.32%, 11/15/38			297		296,819
Eastman Chemical Co.
5.75%, 03/08/33			1,085		1,103,398
4.80%, 09/01/42			36		31,605
4.65%, 10/15/44			39		33,189
Ecolab, Inc.
2.70%, 12/15/51			183		118,327
2.75%, 08/18/55			48		30,569
Nutrien Ltd.
5.90%, 11/07/24			246		246,277
4.90%, 03/27/28			664		660,483
5.80%, 03/27/53			53		54,113
Sherwin-Williams Co. (The)
3.45%, 08/01/25			135		131,631
4.25%, 08/08/25			169		166,508
2.30%, 05/15/30			203		174,354
4.50%, 06/01/47			24		20,972
3.80%, 08/15/49			30		23,648
3.30%, 05/15/50			57		40,275
2.90%, 03/15/52			33		21,474


					3,153,642

Commercial Services & Supplies — 0.2%
GATX Corp., 5.40%, 03/15/27			360		362,463


Security		Par (000)		Value

Commercial Services & Supplies (continued)
Republic Services, Inc.
4.88%, 04/01/29	USD		398	$	398,621
1.45%, 02/15/31			133		105,898


					866,982

Communications Equipment — 0.7%
Cisco Systems, Inc.
4.95%, 02/26/31			505		509,457
5.05%, 02/26/34			370		374,982
5.30%, 02/26/54			100		102,648
Motorola Solutions, Inc.
4.60%, 05/23/29			33		32,344
2.30%, 11/15/30			110		92,336
2.75%, 05/24/31			81		68,642
04/15/34^(a)			1,639		1,635,762


					2,816,171

Consumer Finance — 4.0%
Ally Financial, Inc.
4.63%, 03/30/25			21		20,746
5.80%, 05/01/25			109		108,816
5.75%, 11/20/25			1,023		1,015,633
6.85%, 01/03/30			2,302		2,369,139
American Honda Finance Corp., 5.65%, 11/15/28			38		39,158
Capital One Financial Corp.
3.75%, 07/28/26			793		763,965
2.36%, 07/29/32			143		110,195
6.38%, 06/08/34			373		387,366
Ford Motor Credit Co. LLC
5.80%, 03/05/27			1,390		1,395,140
5.11%, 05/03/29			465		451,433
6.05%, 03/05/31			400		402,844
7.12%, 11/07/33			270		290,496
General Motors Financial Co., Inc.
1.20%, 10/15/24			1,000		976,124
2.90%, 02/26/25			1,045		1,019,392
4.35%, 04/09/25			284		280,493
5.80%, 06/23/28			383		390,493
5.75%, 02/08/31			105		106,138
Hyundai Capital America
1.00%, 09/17/24^(b)			1,711		1,673,875
5.80%, 06/26/25^(b)			965		967,216
6.25%, 11/03/25^(b)			760		767,771
5.70%, 06/26/30^(b)			990		1,008,847
Synchrony Financial, 5.15%, 03/19/29			1,320		1,268,200
Toyota Motor Credit Corp.
4.55%, 09/20/27			613		607,046
5.25%, 09/11/28			43		43,742
2.15%, 02/13/30			469		405,851
5.55%, 11/20/30			117		121,042


					16,991,161

Consumer Staples Distribution & Retail — 0.4%
7-Eleven, Inc., 0.95%, 02/10/26^(b)			755		697,631
CVS Health Corp.
5.00%, 02/20/26			268		267,064
5.13%, 07/20/45			296		272,775
4.25%, 04/01/50			160		129,649
5.88%, 06/01/53			180		183,116


					1,550,235

Containers & Packaging — 1.0%
Berry Global, Inc., 1.57%, 01/15/26			2,335		2,182,729
Smurfit Kappa Treasury ULC, 04/03/34^(a)(b)			425		425,162


58		2 0 2 4 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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Containers & Packaging (continued)
WRKCo, Inc.
4.65%, 03/15/26	USD		596	$	588,541
3.38%, 09/15/27			884		838,403
3.90%, 06/01/28			303		288,853


					4,323,688

Diversified Consumer Services — 0.3%
Northwestern University, 4.64%, 12/01/44			255		243,422
United Rentals North America, Inc., 6.00%, 12/15/29^(b).			819		824,427
University of Miami, Series 2022, 4.06%, 04/01/52			170		143,234
University of Southern California, Series 2017, 3.84%, 10/01/47			205		172,434


					1,383,517

Diversified REITs — 1.1%
American Tower Corp.
3.95%, 03/15/29			215		203,115
3.80%, 08/15/29			450		419,968
2.90%, 01/15/30			281		247,066
2.10%, 06/15/30			55		45,689
2.30%, 09/15/31			196		159,972
Equinix, Inc.
3.20%, 11/18/29			233		208,588
2.15%, 07/15/30			43		35,636
2.50%, 05/15/31			25		20,854
3.90%, 04/15/32			157		142,060
3.00%, 07/15/50			288		188,437
2.95%, 09/15/51			377		242,022
GLP Capital LP/GLP Financing II, Inc.
5.75%, 06/01/28			46		46,034
5.30%, 01/15/29			42		41,298
4.00%, 01/15/30			135		123,249
VICI Properties LP
5.13%, 05/15/32			1,302		1,245,360
04/01/54^(a)			85		83,838
VICI Properties LP/VICI Note Co., Inc.
4.63%, 12/01/29^(b)			141		133,347
4.13%, 08/15/30^(b)			960		872,934


					4,459,467

Diversified Telecommunication Services — 1.7%
AT&T Inc.
5.40%, 02/15/34			437		442,732
4.50%, 05/15/35			716		668,773
4.90%, 08/15/37			250		237,213
3.50%, 06/01/41			387		302,091
3.10%, 02/01/43			398		294,895
4.35%, 06/15/45			150		127,818
3.65%, 06/01/51			508		372,942
3.65%, 09/15/59			1,193		830,581
Sprint Capital Corp., 6.88%, 11/15/28			1,659		1,767,892
Telefonica Emisiones SAU
4.10%, 03/08/27			359		349,121
4.90%, 03/06/48			360		316,548
Verizon Communications, Inc.
2.36%, 03/15/32			931		765,092
5.05%, 05/09/33			122		121,954
5.85%, 09/15/35			665		700,553


					7,298,205

Electric Utilities — 8.7%
AES Corp. (The)
1.38%, 01/15/26			1,007		932,528
3.95%, 07/15/30^(b)			276		251,019
2.45%, 01/15/31			622		508,894


Security		Par (000)		Value

Electric Utilities (continued)
Alabama Power Co.
3.94%, 09/01/32	USD		551	$	510,908
5.85%, 11/15/33			25		26,324
Baltimore Gas & Electric Co.
3.50%, 08/15/46			40		29,869
3.75%, 08/15/47			38		29,505
3.20%, 09/15/49			82		56,534
2.90%, 06/15/50			20		13,119
4.55%, 06/01/52			30		26,184
Berkshire Hathaway Energy Co.
4.45%, 01/15/49			185		156,080
4.25%, 10/15/50			287		233,076
Colbun SA, 3.15%, 01/19/32^(b)			615		516,440
Duke Energy Carolinas LLC
3.95%, 11/15/28			380		367,354
3.95%, 03/15/48			96		76,534
3.20%, 08/15/49			914		637,901
Duke Energy Florida LLC
2.50%, 12/01/29			496		439,729
4.20%, 07/15/48			109		90,301
3.00%, 12/15/51			32		20,996
Duke Energy Progress LLC
3.45%, 03/15/29			732		688,653
6.30%, 04/01/38			23		24,912
4.10%, 03/15/43			210		174,890
3.70%, 10/15/46			25		19,201
3.60%, 09/15/47			250		186,503
5.35%, 03/15/53			214		208,750
Edison International
5.75%, 06/15/27			240		243,163
4.13%, 03/15/28			54		51,810
5.25%, 11/15/28			800		797,184
6.95%, 11/15/29			397		425,319
Emera U.S. Finance LP, 0.83%, 06/15/24			420		415,188
Enel Finance International NV, 1.38%, 07/12/26^(b)			1,145		1,047,405
Eversource Energy
4.75%, 05/15/26			150		148,444
2.90%, 03/01/27			27		25,383
4.60%, 07/01/27			74		72,732
5.45%, 03/01/28			339		343,185
Exelon Corp.
4.05%, 04/15/30			79		74,503
5.45%, 03/15/34			960		966,457
4.70%, 04/15/50			91		79,699
FirstEnergy Corp., Series B, 4.15%, 07/15/27			150		143,864
FirstEnergy Transmission LLC
4.35%, 01/15/25^(b)			965		953,219
4.55%, 04/01/49^(b)			89		75,308
Florida Power & Light Co.
5.95%, 02/01/38			389		418,787
3.15%, 10/01/49			140		98,548
2.88%, 12/04/51			167		109,756
Georgia Power Co.
4.70%, 05/15/32			1,013		989,691
4.95%, 05/17/33			69		68,032
5.25%, 03/15/34			1,105		1,116,158
Interstate Power & Light Co.
3.25%, 12/01/24			350		344,615
3.40%, 08/15/25			255		247,968
MidAmerican Energy Co.
3.65%, 04/15/29			390		370,924
3.95%, 08/01/47			25		20,081


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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Electric Utilities (continued)
MidAmerican Energy Co.
4.25%, 07/15/49	USD		45	$	38,289
3.15%, 04/15/50			29		20,214
2.70%, 08/01/52			61		37,981
5.85%, 09/15/54			19		20,273
5.30%, 02/01/55			185		183,002
NextEra Energy Capital Holdings, Inc.
6.05%, 03/01/25			519		520,974
5.75%, 09/01/25			933		937,003
4.90%, 02/28/28			291		290,087
2.75%, 11/01/29			23		20,539
5.00%, 02/28/30			27		27,093
2.25%, 06/01/30			231		196,690
Northern States Power Co.
2.60%, 06/01/51			298		183,560
4.50%, 06/01/52			100		87,831
NRG Energy, Inc.
2.45%, 12/02/27^(b)			558		501,565
4.45%, 06/15/29^(b)			22		20,797
Ohio Power Co.
4.00%, 06/01/49			469		371,854
Series D, 6.60%, 03/01/33			612		655,112
Series R, 2.90%, 10/01/51			106		68,057
Oncor Electric Delivery Co. LLC, 2.70%, 11/15/51			162		101,763
Pacific Gas & Electric Co.
3.45%, 07/01/25			975		948,425
3.30%, 12/01/27			565		525,017
2.50%, 02/01/31			315		261,947
4.45%, 04/15/42			45		36,863
4.00%, 12/01/46			136		101,915
4.95%, 07/01/50			678		583,210
3.50%, 08/01/50			525		358,710
5.25%, 03/01/52			470		419,396
PacifiCorp
4.13%, 01/15/49			28		21,984
3.30%, 03/15/51			32		21,348
2.90%, 06/15/52			365		223,726
5.35%, 12/01/53			24		22,327
5.50%, 05/15/54			23		22,128
PECO Energy Co.
4.90%, 06/15/33			21		21,005
3.70%, 09/15/47			34		26,671
3.90%, 03/01/48			36		29,178
2.85%, 09/15/51			31		20,012
4.38%, 08/15/52			246		213,570
Public Service Co. of Colorado, Series 36, 2.70%, 01/15/51			341		205,989
Public Service Electric & Gas Co.
3.10%, 03/15/32			272		238,442
4.90%, 12/15/32			959		954,637
2.05%, 08/01/50			79		44,756
3.00%, 03/01/51			311		212,713
San Diego Gas & Electric Co.
4.95%, 08/15/28			895		898,357
3.70%, 03/15/52			285		215,998
5.35%, 04/01/53			120		118,192
Series TTT, 4.10%, 06/15/49			177		144,236
Series WWW, 2.95%, 08/15/51			36		24,241
Southern California Edison Co.
1.10%, 04/01/24			1,135		1,135,000
4.00%, 04/01/47			490		387,821
3.65%, 02/01/50			73		54,065


Security		Par (000)		Value

Electric Utilities (continued)
Southern California Edison Co.
3.45%, 02/01/52	USD		228	$	161,076
5.70%, 03/01/53			53		53,113
5.88%, 12/01/53			59		60,806
Series 20A, 2.95%, 02/01/51			251		163,002
Series B, 4.88%, 03/01/49			33		29,485
Series E, 3.70%, 08/01/25			355		347,215
Series E, 5.45%, 06/01/52			471		460,481
Series H, 3.65%, 06/01/51			305		225,150
Southern Co. (The)
5.70%, 10/15/32			441		454,600
5.20%, 06/15/33			518		517,598
5.70%, 03/15/34			877		904,489
Tampa Electric Co.
4.30%, 06/15/48			240		200,628
4.45%, 06/15/49			39		33,401
3.45%, 03/15/51			210		149,277
Vistra Operations Co. LLC
3.55%, 07/15/24^(b)			1,679		1,666,956
5.13%, 05/13/25^(b)			2,498		2,475,906
Wisconsin Electric Power Co., 2.05%, 12/15/24			291		284,265


					36,835,638

Electrical Equipment — 0.1%
Otis Worldwide Corp., 5.25%, 08/16/28			319		323,145


Energy Equipment & Services — 0.1%
Halliburton Co.
3.80%, 11/15/25			109		106,543
2.92%, 03/01/30			205		183,831
4.50%, 11/15/41			54		48,119
5.00%, 11/15/45			163		153,033


					491,526

Financial Services — 2.0%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
1.75%, 01/30/26			242		225,958
2.45%, 10/29/26			820		761,501
5.75%, 06/06/28			1,195		1,210,951
Aviation Capital Group LLC
1.95%, 09/20/26^(b)			1,471		1,344,105
6.75%, 10/25/28^(b)			1,441		1,502,360
Fidelity National Information Services, Inc., 1.15%, 03/01/26			729		674,914
Glencore Funding LLC
5.70%, 05/08/33^(b)			744		756,041
6.50%, 10/06/33^(b)			541		578,678
04/04/34^(a)(b)			1,042		1,044,784
Nasdaq, Inc., 5.55%, 02/15/34			387		393,528


					8,492,820

Food Products — 0.2%
Kraft Heinz Foods Co.
3.00%, 06/01/26			248		237,380
4.88%, 10/01/49			540		488,658


					726,038

Ground Transportation — 1.8%
Burlington Northern Santa Fe LLC
5.75%, 05/01/40			350		369,618
4.40%, 03/15/42			235		211,690
4.90%, 04/01/44			385		365,899
4.15%, 04/01/45			52		44,382
4.05%, 06/15/48			35		29,154


60		2 0 2 4 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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Ground Transportation (continued)
Burlington Northern Santa Fe LLC
4.15%, 12/15/48		USD	33	$	28,044
3.55%, 02/15/50			35		26,593
3.05%, 02/15/51			38		26,084
2.88%, 06/15/52			123		80,535
5.20%, 04/15/54			28		27,754
Canadian National Railway Co.
3.85%, 08/05/32			553		513,839
5.85%, 11/01/33			65		69,505
3.65%, 02/03/48			25		20,161
4.45%, 01/20/49			23		20,721
4.40%, 08/05/52			23		20,540
6.13%, 11/01/53			18		20,634
CSX Corp.
3.80%, 03/01/28			65		62,876
4.25%, 03/15/29			44		43,072
3.80%, 11/01/46			67		53,291
4.30%, 03/01/48			77		66,522
4.75%, 11/15/48			34		31,257
4.50%, 03/15/49			91		79,853
2.50%, 05/15/51			33		20,213
Norfolk Southern Corp.
3.40%, 11/01/49			100		73,302
3.05%, 05/15/50			463		313,145
3.70%, 03/15/53			228		171,293
Penske Truck Leasing Co. LP/PTL Finance Corp.
3.45%, 07/01/24^(b)			60		59,632
3.95%, 03/10/25^(b)			159		156,467
4.00%, 07/15/25^(b)			2,115		2,071,126
5.70%, 02/01/28^(b)			347		351,712
6.05%, 08/01/28^(b)			412		423,901
03/30/29^(a)(b)			295		295,202
Ryder System, Inc.
2.85%, 03/01/27			272		254,969
5.65%, 03/01/28			35		35,670
5.25%, 06/01/28			459		461,098
Union Pacific Corp.
4.50%, 09/10/48			182		161,241
3.50%, 02/14/53			86		64,510
3.84%, 03/20/60			422		324,013


					7,449,518

Health Care Equipment & Supplies — 1.8%
Abbott Laboratories
3.75%, 11/30/26			85		83,066
4.75%, 11/30/36			170		168,605
5.30%, 05/27/40			132		136,291
4.75%, 04/15/43			134		128,998
Baxter International, Inc., 2.54%, 02/01/32			670		553,654
Becton Dickinson & Co.
3.73%, 12/15/24			48		47,380
3.70%, 06/06/27			635		610,070
4.69%, 02/13/28			247		244,489
4.87%, 02/08/29			1,085		1,078,522
GE HealthCare Technologies, Inc., 5.55%, 11/15/24			775		773,987
Medtronic Global Holdings SCA, 4.25%, 03/30/28			461		452,892
Medtronic, Inc., 4.38%, 03/15/35			407		389,180
Solventum Corp.
5.40%, 03/01/29^(b)			735		736,481
5.60%, 03/23/34^(b)			1,076		1,079,519
5.90%, 04/30/54^(b)			610		608,498
Thermo Fisher Scientific, Inc.
2.00%, 10/15/31			62		51,078


Security	Par (000)			Value

Health Care Equipment & Supplies (continued)
Thermo Fisher Scientific, Inc.
4.95%, 11/21/32		USD	426	$	427,835
5.09%, 08/10/33			102		103,121


					7,673,666

Health Care Providers & Services — 3.1%
Aetna, Inc.
3.50%, 11/15/24			656		647,231
3.88%, 08/15/47			540		411,972
Banner Health
2.91%, 01/01/42			183		134,575
2.91%, 01/01/51			65		43,862
Centene Corp.
4.63%, 12/15/29			1,453		1,379,448
3.38%, 02/15/30			29		25,663
3.00%, 10/15/30			262		224,638
2.50%, 03/01/31			78		64,157
CommonSpirit Health
3.35%, 10/01/29			450		412,694
2.78%, 10/01/30			139		120,565
3.91%, 10/01/50			340		265,981
12/01/54^(a)			180		182,135
Elevance Health, Inc.
2.38%, 01/15/25			35		34,141
5.50%, 10/15/32			428		438,850
4.63%, 05/15/42			81		73,577
4.65%, 01/15/43			47		42,778
5.10%, 01/15/44			222		210,751
4.65%, 08/15/44			222		200,031
HCA, Inc.
5.45%, 04/01/31			520		522,712
3.63%, 03/15/32			625		553,273
5.50%, 06/01/33			59		59,212
5.25%, 06/15/49			410		374,218
3.50%, 07/15/51			243		167,862
4.63%, 03/15/52			305		254,908
6.00%, 04/01/54			435		441,517
Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52.			251		204,089
Humana, Inc.
5.95%, 03/15/34			460		477,643
04/15/54^(a)			385		387,508
Memorial Health Services, 3.45%, 11/01/49			191		146,008
Mount Nittany Medical Center Obligated Group, Series 2022, 3.80%, 11/15/52			140		111,488
Nationwide Children’s Hospital, Inc., 4.56%, 11/01/52			174		160,276
RWJ Barnabas Health, Inc.
3.95%, 07/01/46			105		87,066
3.48%, 07/01/49			310		239,104
Sutter Health
Series 2018, 4.09%, 08/15/48			33		27,905
Series 20A, 2.29%, 08/15/30			388		332,556
Series 20A, 3.36%, 08/15/50			177		130,322
UnitedHealth Group, Inc.
04/15/31^(a)			1,141		1,141,527
3.50%, 08/15/39			433		356,684
2.75%, 05/15/40			215		158,207
5.70%, 10/15/40			382		399,554
4.63%, 11/15/41			370		343,869
4.75%, 07/15/45			238		223,138
4.25%, 06/15/48			40		34,540
3.70%, 08/15/49			150		117,608
2.90%, 05/15/50			75		50,622
3.25%, 05/15/51			48		34,508


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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Health Care Providers & Services (continued)
UnitedHealth Group, Inc.
4.75%, 05/15/52		USD	60	$	55,646
5.88%, 02/15/53			385		416,533
04/15/54^(a)			285		289,860
3.88%, 08/15/59			41		31,740


					13,244,752

Health Care REITs — 0.6%
Healthpeak OP LLC
3.00%, 01/15/30			74		65,536
2.88%, 01/15/31			98		84,139
5.25%, 12/15/32			333		330,283
Ventas Realty LP, 3.00%, 01/15/30			273		240,598
Welltower OP LLC
4.25%, 04/15/28			135		130,886
2.05%, 01/15/29			402		349,921
4.13%, 03/15/29			171		163,653
3.85%, 06/15/32			1,080		976,955


					2,341,971

Independent Power and Renewable Electricity Producers — 0.2%
Algonquin Power & Utilities Corp., 06/15/26^(a)(d)			730		726,048


Industrial REITs — 0.3%
Prologis LP
2.25%, 04/15/30			170		147,343
1.75%, 07/01/30			28		23,258
4.75%, 06/15/33			58		56,835
5.13%, 01/15/34			344		345,491
Prologis Targeted U.S. Logistics Fund LP
5.25%, 04/01/29^(b)			310		309,111
5.50%, 04/01/34^(b)			430		432,700


					1,314,738

Insurance — 0.9%
Aon Corp., 2.80%, 05/15/30			88		77,516
Aon Corp./Aon Global Holdings PLC
2.05%, 08/23/31			338		275,723
2.60%, 12/02/31			498		419,004
5.00%, 09/12/32			267		264,598
5.35%, 02/28/33			237		238,283
Aon North America, Inc.
5.45%, 03/01/34			1,441		1,457,633
5.75%, 03/01/54			683		700,215
Marsh & McLennan Cos., Inc.
3.75%, 03/14/26			200		195,556
2.25%, 11/15/30			91		77,362
Progressive Corp. (The)
3.00%, 03/15/32			77		67,090
4.20%, 03/15/48			24		20,792


					3,793,772

Interactive Media & Services — 0.3%
Meta Platforms, Inc.
3.85%, 08/15/32			398		372,952
4.95%, 05/15/33			126		127,536
4.45%, 08/15/52			288		255,987
5.60%, 05/15/53			112		118,377
Netflix, Inc.
5.88%, 11/15/28			160		166,325
5.38%, 11/15/29^(b)			27		27,553
4.88%, 06/15/30^(b)			21		20,853


					1,089,583


Security	Par (000)			Value

IT Services — 0.5%
Fiserv, Inc.
2.75%, 07/01/24		USD	170	$	168,732
3.85%, 06/01/25			417		409,084
4.40%, 07/01/49			85		72,113
Global Payments, Inc.
1.20%, 03/01/26			808		747,422
2.15%, 01/15/27			360		332,203
S&P Global, Inc.
5.25%, 09/15/33^(b)			101		103,206
3.25%, 12/01/49			258		186,686


					2,019,446

Machinery — 0.0%
Cummins, Inc., 5.45%, 02/20/54			170		173,802


Media — 1.4%
Charter Communications Operating LLC/Charter Communications Operating Capital
6.38%, 10/23/35			370		365,663
6.48%, 10/23/45			34		31,512
5.38%, 05/01/47			512		412,552
5.75%, 04/01/48			122		102,737
5.13%, 07/01/49			633		490,482
4.80%, 03/01/50			635		470,034
3.70%, 04/01/51			424		262,223
3.90%, 06/01/52			623		396,207
5.25%, 04/01/53			301		238,381
Comcast Corp.
3.75%, 04/01/40			582		483,782
4.60%, 08/15/45			231		206,536
3.40%, 07/15/46			490		365,844
4.00%, 03/01/48			40		32,463
4.00%, 11/01/49			102		82,582
2.80%, 01/15/51			116		74,220
2.89%, 11/01/51			260		168,772
2.45%, 08/15/52			144		84,483
2.94%, 11/01/56			1,461		919,855
Interpublic Group of Cos., Inc. (The), 3.38%, 03/01/41			103		76,872
Paramount Global
5.85%, 09/01/43			328		265,760
4.90%, 08/15/44			78		55,764
4.60%, 01/15/45			115		79,221
Time Warner Cable LLC, 4.50%, 09/15/42			137		101,353
Warnermedia Holdings, Inc., 3.79%, 03/15/25			160		157,035


					5,924,333

Metals & Mining — 0.9%
BHP Billiton Finance U.S.A. Ltd., 5.50%, 09/08/53			29		29,969
Freeport-McMoRan, Inc., 5.40%, 11/14/34			206		203,501
Glencore Canada Corp., 6.20%, 06/15/35			38		39,281
Newmont Corp., 2.25%, 10/01/30			40		34,038
Steel Dynamics, Inc.
2.40%, 06/15/25			372		358,210
1.65%, 10/15/27			612		545,355
3.25%, 10/15/50			180		119,747
Teck Resources Ltd.
6.00%, 08/15/40			45		45,146
6.25%, 07/15/41			111		113,385
5.20%, 03/01/42			183		167,193
5.40%, 02/01/43			331		308,096
Vale Overseas Ltd.
3.75%, 07/08/30			1,003		902,073
6.13%, 06/12/33			846		852,345


					3,718,339


62		2 0 2 4 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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Multi-Utilities — 2.0%
CenterPoint Energy Houston Electric LLC
4.95%, 04/01/33		USD	20	$	19,864
5.30%, 04/01/53			20		19,960
Series AC, 4.25%, 02/01/49			35		29,539
Series AD, 2.90%, 07/01/50			30		20,102
Series AG, 3.00%, 03/01/32			318		276,728
Series AJ, 4.85%, 10/01/52			22		20,469
CMS Energy Corp.
3.00%, 05/15/26			359		342,290
2.95%, 02/15/27			115		107,809
4.88%, 03/01/44			103		95,680
Constellation Energy Generation LLC, 6.13%, 01/15/34.			21		22,174
Consumers Energy Co.
4.90%, 02/15/29			1,348		1,352,319
2.50%, 05/01/60			131		75,518
Dominion Energy, Inc.
3.90%, 10/01/25			650		635,679
Series A, 3.30%, 03/15/25			100		97,911
Series A, 1.45%, 04/15/26			533		493,662
Series C, 3.38%, 04/01/30			156		141,772
Series C, 2.25%, 08/15/31			119		97,379
NiSource, Inc.
0.95%, 08/15/25			250		235,264
5.25%, 03/30/28			264		265,815
5.40%, 06/30/33			575		579,625
5.25%, 02/15/43			147		138,976
4.80%, 02/15/44			78		69,774
5.65%, 02/01/45			109		107,984
Sempra
5.40%, 08/01/26			1,174		1,177,395
3.40%, 02/01/28			722		682,189
3.70%, 04/01/29			208		194,460
Virginia Electric & Power Co.
6.35%, 11/30/37			313		339,050
4.00%, 01/15/43			49		40,594
Series B, 3.80%, 09/15/47			319		246,734
WEC Energy Group, Inc., 5.60%, 09/12/26			580		586,703


					8,513,418

Office REITs — 0.8%
Alexandria Real Estate Equities, Inc.
4.70%, 07/01/30			292		283,107
4.90%, 12/15/30			759		748,210
1.88%, 02/01/33			657		499,118
2.95%, 03/15/34			158		129,800
4.85%, 04/15/49			32		28,079
4.00%, 02/01/50			239		183,941
3.55%, 03/15/52			62		43,494
5.15%, 04/15/53			78		71,836
Boston Properties LP
2.90%, 03/15/30			143		122,481
2.45%, 10/01/33			160		120,509
Kilroy Realty LP
4.25%, 08/15/29			167		153,266
3.05%, 02/15/30			220		187,207
2.65%, 11/15/33			166		123,006
6.25%, 01/15/36			667		651,537


					3,345,591

Oil, Gas & Consumable Fuels — 9.6%
Atmos Energy Corp.
3.38%, 09/15/49			211		153,572
2.85%, 02/15/52			70		45,373
6.20%, 11/15/53			18		20,278


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
BP Capital Markets America, Inc., 3.06%, 06/17/41		USD	1,142	$	866,936
Cameron LNG LLC
3.30%, 01/15/35^(b)			505		420,215
3.40%, 01/15/38^(b)			25		20,654
Cenovus Energy, Inc.
5.40%, 06/15/47			22		20,721
3.75%, 02/15/52			106		77,934
Cheniere Corpus Christi Holdings LLC
5.88%, 03/31/25			2,246		2,246,646
3.70%, 11/15/29			194		180,453
Cheniere Energy Partners LP
4.00%, 03/01/31			713		648,052
3.25%, 01/31/32			50		42,592
5.95%, 06/30/33			757		773,936
Cheniere Energy, Inc., 04/15/34^(a)(b)			730		735,213
Columbia Pipelines Holding Co. LLC, 6.06%, 08/15/26^(b)			240		242,623
ConocoPhillips Co.
6.95%, 04/15/29			1,358		1,492,208
3.80%, 03/15/52			125		97,610
Coterra Energy, Inc., 3.90%, 05/15/27			27		25,987
DCP Midstream Operating LP, 3.25%, 02/15/32			2,058		1,772,505
Devon Energy Corp.
4.50%, 01/15/30			239		230,362
4.75%, 05/15/42			318		276,779
Diamondback Energy, Inc.
3.25%, 12/01/26			446		427,548
3.50%, 12/01/29			1,995		1,845,451
3.13%, 03/24/31			1,254		1,110,927
4.25%, 03/15/52			418		338,342
6.25%, 03/15/53			35		37,760
Enbridge, Inc.
2.50%, 01/15/25			615		600,396
3.70%, 07/15/27			297		285,483
5.70%, 03/08/33			1,299		1,330,376
2.50%, 08/01/33			544		438,334
6.25%, 03/01/78			780		759,159
8.50%, 01/15/84			753		818,161
Series 20-A, 5.75%, 07/15/80			202		191,172
Series NC5, 8.25%, 01/15/84			285		296,570
Energy Transfer LP
4.50%, 04/15/24			550		549,700
6.40%, 12/01/30			455		480,286
6.55%, 12/01/33			260		279,108
5.95%, 10/01/43			160		158,080
5.35%, 05/15/45			624		576,218
6.13%, 12/15/45			415		417,135
5.30%, 04/15/47			104		94,554
5.40%, 10/01/47			705		650,622
6.00%, 06/15/48			49		48,703
6.25%, 04/15/49			250		256,584
5.00%, 05/15/50			328		287,777
5.95%, 05/15/54			187		186,616
Enterprise Products Operating LLC
3.95%, 02/15/27			213		207,993
5.70%, 02/15/42			139		141,990
4.45%, 02/15/43			158		140,912
4.80%, 02/01/49			406		373,934
4.20%, 01/31/50			509		430,290
3.20%, 02/15/52			182		127,494
EOG Resources, Inc., 4.95%, 04/15/50			59		56,124


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 (continued)

March 31, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
EQT Corp.
3.90%, 10/01/27		USD	120	$	114,064
5.75%, 02/01/34			602		600,013
Hess Corp.
4.30%, 04/01/27			293		287,291
5.60%, 02/15/41			609		620,639
5.80%, 04/01/47			303		311,542
Kinder Morgan Energy Partners LP
6.50%, 09/01/39			81		84,366
4.70%, 11/01/42			253		215,905
Kinder Morgan, Inc.
5.55%, 06/01/45			250		238,546
5.05%, 02/15/46			349		309,872
Marathon Oil Corp., 4.40%, 07/15/27			315		306,099
Marathon Petroleum Corp.
4.70%, 05/01/25			86		85,270
4.75%, 09/15/44			161		143,253
MPLX LP
1.75%, 03/01/26			714		667,443
5.20%, 12/01/47			37		34,011
4.95%, 03/14/52			380		333,778
5.65%, 03/01/53			33		32,278
Occidental Petroleum Corp.
7.50%, 05/01/31			634		705,717
6.45%, 09/15/36			415		442,500
6.20%, 03/15/40			32		32,836
4.20%, 03/15/48			47		36,138
ONEOK, Inc.
5.20%, 07/15/48			67		61,507
6.63%, 09/01/53			335		369,204
Ovintiv, Inc.
5.65%, 05/15/25			1,298		1,298,222
5.65%, 05/15/28			1,503		1,527,851
Phillips 66, 3.30%, 03/15/52			356		249,009
Phillips 66 Co., 4.90%, 10/01/46			40		36,800
Pioneer Natural Resources Co.
1.13%, 01/15/26			43		40,017
5.10%, 03/29/26			165		164,792
1.90%, 08/15/30			589		494,788
2.15%, 01/15/31			237		199,398
Plains All American Pipeline LP/PAA Finance Corp.,
4.30%, 01/31/43			197		159,614
Sabine Pass Liquefaction LLC
5.88%, 06/30/26			111		111,876
5.00%, 03/15/27			145		144,576
4.20%, 03/15/28			188		182,027
Targa Resources Corp., 6.50%, 03/30/34			278		298,704
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.00%, 01/15/32			235		211,520
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28			333		320,801
Valero Energy Corp., 4.00%, 06/01/52			28		21,552
Viper Energy, Inc., 7.38%, 11/01/31^(b)			705		732,901
Western Midstream Operating LP
3.10%, 02/01/25			653		638,924
3.95%, 06/01/25			505		494,567
4.75%, 08/15/28			269		261,662
Williams Cos., Inc. (The)
4.00%, 09/15/25			367		359,999
3.75%, 06/15/27			555		534,086
5.30%, 08/15/28			1,890		1,906,009


					40,756,415


Security	Par (000)			Value

Pharmaceuticals — 2.1%
Bayer U.S. Finance II LLC
4.25%, 12/15/25^(b)		USD	215	$	209,632
4.38%, 12/15/28^(b)			1,260		1,185,954
Bayer U.S. Finance LLC, 6.50%, 11/21/33^(b)			965		981,895
Bristol-Myers Squibb Co.
5.10%, 02/22/31			150		151,451
4.35%, 11/15/47			55		47,492
4.55%, 02/20/48			52		46,516
5.55%, 02/22/54			493		506,993
6.40%, 11/15/63			200		228,582
Eli Lilly & Co.
4.70%, 02/09/34			1,560		1,551,310
5.00%, 02/09/54			265		263,508
Merck & Co., Inc.
3.70%, 02/10/45			25		20,402
4.00%, 03/07/49			37		31,068
5.00%, 05/17/53			32		31,329
Pfizer, Inc.
2.55%, 05/28/40			29		20,716
4.30%, 06/15/43			552		490,380
4.40%, 05/15/44			3,119		2,858,263
Takeda Pharmaceutical Co. Ltd., 3.18%, 07/09/50			307		213,948


					8,839,439

Residential REITs — 0.4%
AvalonBay Communities, Inc.
2.05%, 01/15/32			34		27,949
5.00%, 02/15/33			195		193,176
5.30%, 12/07/33			27		27,316
Camden Property Trust, 2.80%, 05/15/30			97		86,028
Invitation Homes Operating Partnership LP
2.30%, 11/15/28			155		137,146
4.15%, 04/15/32			137		125,379
5.50%, 08/15/33			910		906,494
2.70%, 01/15/34			153		121,788
Mid-America Apartments LP
3.60%, 06/01/27			98		94,134
1.70%, 02/15/31			42		33,816
UDR, Inc.
3.00%, 08/15/31			63		54,686
2.10%, 08/01/32			72		56,452


					1,864,364

Retail REITs — 1.1%
Brixmor Operating Partnership LP
2.25%, 04/01/28			170		150,955
2.50%, 08/16/31			125		102,612
Kimco Realty OP LLC, 3.20%, 04/01/32			341		293,848
Realty Income Corp.
4.70%, 12/15/28			62		61,065
5.63%, 10/13/32			792		808,496
2.85%, 12/15/32			168		139,722
4.90%, 07/15/33			86		83,093
5.13%, 02/15/34			787		772,266
Regency Centers LP
3.70%, 06/15/30			1,439		1,326,975
5.25%, 01/15/34			656		653,503
Simon Property Group LP
2.25%, 01/15/32			369		301,568
5.50%, 03/08/33			152		154,791


					4,848,894

Semiconductors & Semiconductor Equipment — 1.4%
Analog Devices, Inc., 2.80%, 10/01/41			189		137,205


64		2 0 2 4 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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Semiconductors & Semiconductor Equipment (continued)
Applied Materials, Inc., 3.30%, 04/01/27		USD	656	$	630,566
Broadcom, Inc.
4.15%, 04/15/32^(b)			370		343,263
2.60%, 02/15/33^(b)			374		303,748
3.42%, 04/15/33^(b)			608		527,075
3.14%, 11/15/35^(b)			424		342,550
3.19%, 11/15/36^(b)			502		399,518
3.50%, 02/15/41^(b)			86		66,750
Intel Corp.
3.05%, 08/12/51			30		20,222
5.70%, 02/10/53			566		585,088
5.60%, 02/21/54			230		234,346
5.90%, 02/10/63			313		332,076
KLA Corp.
4.10%, 03/15/29			492		480,494
5.00%, 03/15/49			263		255,508
3.30%, 03/01/50			159		116,710
4.95%, 07/15/52			201		193,734
Lam Research Corp., 2.88%, 06/15/50			138		94,236
NVIDIA Corp., 3.50%, 04/01/40			316		267,552
NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.50%, 05/11/31			502		420,535
QUALCOMM, Inc.
4.30%, 05/20/47			239		210,720
4.50%, 05/20/52			67		60,162


					6,022,058

Software — 1.6%
Autodesk, Inc., 2.40%, 12/15/31			1,091		913,726
Black Knight InfoServ LLC, 3.63%, 09/01/28^(b)			985		930,825
Oracle Corp.
3.60%, 04/01/40			150		118,241
5.38%, 07/15/40			800		776,016
3.65%, 03/25/41			125		98,150
4.50%, 07/08/44			300		256,442
4.13%, 05/15/45			364		293,821
4.00%, 07/15/46			172		135,496
4.00%, 11/15/47			1,006		785,351
3.60%, 04/01/50			1,280		924,769
3.95%, 03/25/51			61		46,478
4.38%, 05/15/55			27		21,730
VMware LLC
4.70%, 05/15/30			180		175,214
2.20%, 08/15/31			1,440		1,171,851


					6,648,110

Specialized REITs — 0.4%
Extra Space Storage LP, 5.40%, 02/01/34			1,590		1,583,007


Specialty Retail — 0.2%
Lowe’s Cos., Inc.
4.55%, 04/05/49			199		171,342
5.13%, 04/15/50			484		452,861
3.00%, 10/15/50			504		330,119


					954,322

Technology Hardware, Storage & Peripherals — 0.6%
Dell International LLC/EMC Corp.
5.85%, 07/15/25			125		125,630
6.02%, 06/15/26			79		80,010
04/15/34^(a)			236		236,553
3.38%, 12/15/41			82		60,999
8.35%, 07/15/46			43		55,620
3.45%, 12/15/51			55		38,701
Hewlett Packard Enterprise Co., 5.90%, 10/01/24			810		811,211


Security	Par (000)			Value

Technology Hardware, Storage & Peripherals (continued)
HP, Inc.
2.20%, 06/17/25		USD	1,200	$	1,155,022
4.75%, 01/15/28			109		108,366


					2,672,112
Tobacco — 1.0%
Altria Group, Inc.
4.80%, 02/14/29			28		27,725
4.50%, 05/02/43			27		22,749
3.88%, 09/16/46			30		22,470
5.95%, 02/14/49			505		513,954
4.45%, 05/06/50			28		22,264
3.70%, 02/04/51			128		89,448
BAT Capital Corp.
3.22%, 09/06/26			225		214,068
4.70%, 04/02/27			926		910,595
5.83%, 02/20/31			585		590,020
6.42%, 08/02/33			664		694,592
3.73%, 09/25/40			324		240,108
3.98%, 09/25/50			139		97,758
7.08%, 08/02/53			440		474,341
Reynolds American, Inc.
5.70%, 08/15/35			380		371,065
7.00%, 08/04/41			26		27,122


					4,318,279

Trading Companies & Distributors — 0.6%
Air Lease Corp.
3.38%, 07/01/25			844		822,485
1.88%, 08/15/26			1,740		1,604,204


					2,426,689

Wireless Telecommunication Services — 1.9%
America Movil SAB de CV, 4.38%, 04/22/49			525		451,500
Rogers Communications, Inc.
3.80%, 03/15/32			3,119		2,803,040
4.30%, 02/15/48			231		188,879
4.35%, 05/01/49			51		41,834
3.70%, 11/15/49			133		97,592
4.55%, 03/15/52			1,490		1,253,730
T-Mobile U.S.A., Inc.
2.05%, 02/15/28			765		685,446
3.88%, 04/15/30			723		677,294
2.70%, 03/15/32			451		379,263
4.38%, 04/15/40			350		311,725
3.00%, 02/15/41			165		121,530
4.50%, 04/15/50			150		130,020
3.30%, 02/15/51			265		185,297
3.40%, 10/15/52			780		553,249


					7,880,399


Total Corporate Bonds — 86.2%
(Cost: $375,921,505)					365,103,416


Foreign Agency Obligations

Mexico — 1.4%
Petroleos Mexicanos
6.88%, 08/04/26			2,775		2,692,444
6.70%, 02/16/32			2,470		2,056,275
7.69%, 01/23/50			1,782		1,280,402


					6,029,121


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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Panama — 0.1%
Banco Nacional de Panama, 2.50%, 08/11/30^(b)		USD	560	$	434,700


Total Foreign Agency Obligations — 1.5%
(Cost: $6,380,672)					6,463,821


Foreign Government Obligations

Chile — 0.2%
Republic of Chile, 3.50%, 01/25/50			955		695,861


Hungary — 0.1%
Hungarian People’s Republic, 6.75%, 09/25/52^(b)			590		633,707


Indonesia — 0.2%
Republic of Indonesia, 5.45%, 09/20/52			700		707,219


Italy — 0.3%
Republic of Italy, 0.88%, 05/06/24			1,332		1,325,739


Mexico — 0.7%
United Mexican States
6.34%, 05/04/53			1,316		1,301,606
6.40%, 05/07/54			1,750		1,748,360


					3,049,966

Panama — 0.3%
Republic of Panama
3.16%, 01/23/30			600		498,187
7.50%, 03/01/31			365		378,003
4.50%, 04/01/56			200		129,500
4.50%, 01/19/63			765		489,122


					1,494,812

Peru — 0.2%
Republic of Peru
3.00%, 01/15/34			515		422,139
3.30%, 03/11/41			410		307,756
2.78%, 12/01/60			285		164,499


					894,394

Philippines — 0.3%
Republic of Philippines, 5.50%, 01/17/48			1,110		1,125,385


Romania — 0.2%
Romania, 7.63%, 01/17/53^(b)			604		670,440


Saudi Arabia — 0.3%
Kingdom of Saudi Arabia
5.00%, 01/18/53^(b)			900		805,500
5.75%, 01/16/54^(b)			590		583,916


					1,389,416

Total Foreign Government Obligations — 2.8%
(Cost: $12,399,054)					11,986,939


Municipal Bonds

California — 0.6%
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45			1,075		1,228,791
State of California, GO, 7.63%, 03/01/40			950		1,163,116


					2,391,907

Illinois — 0.3%
Chicago O’Hare International Airport RB, Series B, 6.40%, 01/01/40			1,000		1,098,851


New York — 0.5%
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39			1,125		1,376,531


Security	Par (000)			Value

New York (continued)
New York State Dormitory Authority RB, Series F, 3.11%, 02/15/39		USD	590	$	507,259
Port Authority of New York & New Jersey RB, 4.46%, 10/01/62			385		346,057


					2,229,847

Total Municipal Bonds — 1.4%
(Cost: $5,550,147)					5,720,605


Preferred Securities

Capital Trusts — 4.9%

Banks — 2.6%
Bank of America Corp.
Series FF, 5.88%^(e)			362		356,462
Series RR, 4.38%^(e)			427		400,288
Bank of Montreal, 7.70%, 05/26/84			213		215,503
Barclays PLC
4.38%^(e)			627		514,007
9.63%^(e)			625		662,751
BNP Paribas SA
4.63%^(b)(e)			400		329,971
8.50%^(b)(e)			610		637,604
Citigroup, Inc., Series X, 3.88%^(e)			427		402,991
Credit Agricole SA, 4.75%^(b)(e)			580		509,410
ING Groep NV, 3.88%^(e)			640		534,976
JPMorgan Chase & Co.
Series KK, 3.65%^(e)			435		413,136
Series U, (3-mo. CME Term SOFR + 1.21%), 6.53%, 02/02/37^(c)			46		42,147
Series W, (3-mo. CME Term SOFR + 1.26%), 6.57%, 05/15/47^(c)			169		150,407
Lloyds Banking Group PLC, 8.00%^(e)			526		529,612
NatWest Group PLC, 6.00%^(e)			810		790,958
PNC Financial Services Group, Inc. (The)
Series T, 3.40%^(e)			723		631,931
Series U, 6.00%^(e)			422		412,525
Series W, 6.25%^(e)			423		409,960
Sumitomo Mitsui Financial Group, Inc., 6.60%^(e)			826		827,048
Truist Financial Corp.
Series P, 4.95%^(e)			235		230,555
Series Q, 5.10%^(e)			206		191,629
U.S. Bancorp
3.70%^(e)			575		498,703
Series J, 5.30%^(e)			349		334,135
Wells Fargo & Co., Series BB, 3.90%^(e)			869		826,789


					10,853,498

Capital Markets — 1.4%
Charles Schwab Corp. (The)
Series H, 4.00%^(e)			345		291,095
Series I, 4.00%^(e)			1,896		1,773,848
Goldman Sachs Group, Inc. (The)
Series T, 3.80%^(e)			417		388,407
Series U, 3.65%^(e)			456		416,493
UBS Group AG
4.38%^(b)(e)			1,140		937,446
4.88%^(b)(e)			770		707,027
7.00%^(e)(f)			273		272,400
9.25%^(b)(e)			883		996,498
9.25%^(b)(e)			335		362,964


					6,146,178


66		2 0 2 4 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, 2024

BATS: Series C Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Consumer Finance — 0.0%
Capital One Financial Corp., Series M, 3.95%^(e)		USD	217	$	192,756


Electric Utilities — 0.6%
American Electric Power Co., Inc., 5.70%, 08/15/25			1,383		1,385,830
Edison International, 7.88%, 06/15/54			565		580,439
Southern Co. (The), 4.48%, 08/01/24^(d)			662		658,707


					2,624,976

Insurance — 0.1%
Sumitomo Life Insurance Co., 5.88%^(b)(e)			240		239,057


Oil, Gas & Consumable Fuels — 0.2%
BP Capital Markets PLC, 6.45%^(e)			605		626,532
Transcanada Trust, 5.60%, 03/07/82			38		34,690


					661,222

Total Preferred Securities — 4.9% (Cost: $20,504,151)					20,717,687


U.S. Treasury Obligations
U.S. Treasury Bonds
4.75%, 11/15/43			225		233,402
3.00%, 05/15/45			250		199,317
2.75%, 08/15/47			2,110		1,579,038
U.S. Treasury Notes, 4.63%, 02/28/26			4,800		4,796,063


Total U.S. Treasury Obligations — 1.6% (Cost: $7,007,218)					6,807,820


Total Long-Term Investments — 98.4% (Cost: $427,762,747)					416,800,288

Security

Shares

Value

Short-Term Securities

Money Market Funds — 0.9%

Dreyfus Treasury Securities Cash Management, Institutional Class,
5.19%^(g)

3,672,106

Total Short-Term Securities — 0.9%

(Cost: $3,672,106)

3,672,106

Options Purchased — 0.2%

(Cost: $859,491)

951,410

Total Investments — 99.5%

(Cost: $432,294,344)

421,423,804

Other Assets Less Liabilities — 0.5%

2,173,236

Net Assets — 100.0%

423,597,040

^(a)	When-issued security.

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

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

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

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

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

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts



Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)

Long Contracts
U.S. Treasury Bonds (30 Year)		24		06/18/24	$	2,891	$	(21,449	)
U.S. Treasury Notes (10 Year)		2		06/18/24		222		278
U.S. Ultra Treasury Bonds		69		06/18/24		8,901		21,739
U.S. Treasury Notes (2 Year)		193		06/28/24		39,465		(88,905	)
U.S. Treasury Notes (5 Year)		248		06/28/24		26,540		63,681


								(24,656	)

Short Contracts
U.S. Ultra Treasury Notes (10 Year)		78		06/18/24		8,940		7,724


							$	(16,932	)


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, 2024

BATS: Series C Portfolio

OTC Interest Rate Swaptions Purchased

Notional

Paid by the Fund

Received by the Fund

Expiration

Exercise

Amount

Description

Rate

Frequency

Rate

Frequency

Counterparty

Date

Rate

(000)

Value

Put

2-Year Interest
Rate Swap,
01/18/27

3.96%

Annual

1-day SOFR, 5.34%

Annual

Bank of America N.A.

01/16/25

3.96

USD 60,200

470,983

10-Year Interest Rate Swap, 02/14/35

4.27%

Annual

1-day SOFR, 5.34%

Annual

JPMorgan Chase Bank N.A.

02/12/25

4.27

USD 14,340

211,308

30-Year Interest Rate Swap, 03/07/55

3.75%

Annual

1-day SOFR, 5.34%

Annual

Deutsche Bank AG

03/05/25

3.75

USD 6,380

269,119

951,410

Centrally Cleared Credit Default Swaps — Sell Protection


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

CDX.NA.IG.42.V1		1.00	%		Quarterly		06/20/29		BBB+	USD		10,050	$	(230,375	)	$	(218,225	)	$	(12,150	)

^(a)

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

^(b)

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

Centrally Cleared Interest Rate Swaps



														Upfront
									Notional					Premium			Unrealized
Paid by the Fund		Received by the Fund		Effective		Termination			Amount					Paid			Appreciation

Rate	Frequency	Rate	Frequency	Date		Date			(000)		Value			(Received)			(Depreciation)

1-day SOFR, 5.34%	Annual	3.83%	Annual		01/14/25^(a)		01/14/27	USD		6,790	$	(12,904	)	$	—		$	(12,904	)
1-day SOFR, 5.34%	Annual	3.44%	Annual		01/21/25^(a)		01/21/27	USD		21,130		(188,830	)		—			(188,830	)
1-day SOFR, 5.34%	Annual	3.98%	Annual		01/21/25^(a)		01/21/27	USD		3,360		3,221			585			2,636
3.80%	Annual	1-day SOFR, 5.34%	Annual		01/21/25^(a)		01/21/27	USD		1,870		4,375			(844	)		5,219
1-day SOFR, 5.34%	Annual	3.77%	Annual		02/14/25^(a)		02/14/35	USD		4,431		25,623			—			25,623
1-day SOFR, 5.34%	Annual	3.81%	Annual		02/14/25^(a)		02/14/35	USD		770		6,905			(107	)		7,012
3.62%	Annual	1-day SOFR, 5.34%	Annual		02/14/25^(a)		02/14/35	USD		180		1,072			(40	)		1,112
3.67%	Annual	1-day SOFR, 5.34%	Annual		03/04/25^(a)		03/04/35	USD		500		902			(275	)		1,177
1-day SOFR, 5.34%	Annual	3.40%	Annual		03/07/25^(a)		03/07/55	USD		1,952		(40,371	)		—			(40,371	)
1-day SOFR, 5.34%	Annual	3.57%	Annual		03/07/25^(a)		03/07/55	USD		480		4,251			1,286			2,965


											$	(195,756	)	$	605		$	(196,361	)

^(a)

Forward Swap.

OTC Credit Default Swaps — Buy Protection




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


AutoZone, Inc.		1.00	%	Quarterly	Citibank N.A.		06/20/29		USD	1,330	$	(46,330	)	$	(42,175	)	$	(4,155	)
Conagra Brands, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29		USD	744		(16,672	)		(14,295	)		(2,377	)
CVS Health Corp.		1.00		Quarterly	Bank of America N.A.		06/20/29		USD	1,330		(37,460	)		(34,883	)		(2,577	)
Dow Chemical Co. (The)		1.00		Quarterly	Morgan Stanley & Co. International PLC		06/20/29		USD	1,330		(23,012	)		(20,396	)		(2,616	)
DR Horton, Inc.		1.00		Quarterly	Barclays Bank PLC		06/20/29		USD	1,330		(35,031	)		(29,337	)		(5,694	)
Lowe’s Cos., Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29		USD	1,330		(43,751	)		(38,462	)		(5,289	)
Tyson Foods, Inc.		1.00		Quarterly	Bank of America N.A.		06/20/29		USD	1,330		(25,744	)		(22,923	)		(2,821	)


											$	(228,000	)	$	(202,471	)	$	(25,529	)


68		2 0 2 4 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, 2024

BATS: Series C Portfolio

OTC Credit Default Swaps — Sell Protection


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

Verizon Communications, Inc.	1.00	%	Quarterly	Deutsche Bank AG	12/20/24	BBB+	USD	2,211	$	12,353	$	4,345		$	8,008
Bank of America Corp.	1.00		Quarterly	JPMorgan Chase Bank N.A.	12/20/28	A-	USD	2,180		46,297		11,707			34,590
Teck Resources Ltd.	5.00		Quarterly	Bank of America N.A.	06/20/29	BBB-	USD	790		142,983		139,324			3,659


									$	201,633	$	155,376		$	46,257

^(a)

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

^(b)

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

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



	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation

Centrally Cleared Swaps^(a)	$	1,871	$	(219,491	)	$	45,744	$	(254,255	)
OTC Swaps		155,376		(202,471	)		46,257		(25,529	)

^(a)

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

Derivative Financial Instruments Categorized by Risk Exposure

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



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

Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	93,422	$	—	$	93,422
Options purchased
Investments at value — unaffiliated^(b)		—		—		—		—		951,410		—		951,410
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—		—		—		—		45,744		—		45,744
Swaps — OTC
Unrealized appreciation on OTC swaps;
Swap premiums paid		—		201,633		—		—		—		—		201,633


	$	—	$	201,633	$	—	$	—	$	1,090,576	$	—	$	1,292,209


Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	110,354	$	—	$	110,354
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		12,150		—		—		242,105		—		254,255
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received		—		228,000		—		—		—		—		228,000


	$	—	$	240,150	$	—	$	—	$	352,459	$	—	$	592,609

^(a)

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

^(b)

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


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, 2024

BATS: Series C Portfolio

For the period ended March 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



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

Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—		$	—	$	—	$	(242,986	)	$	—	$	(242,986	)
Options purchased^(a)		—		—			—		—		(35,993	)		—		(35,993	)
Options written		—		—			—		—		383,437			—		383,437
Swaps		—		(251,504	)		—		—		(199,523	)		—		(451,027	)


	$	—	$	(251,504	)	$	—	$	—	$	(95,065	)	$	—	$	(346,569	)


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	—	$	(560,239	)	$	—	$	(560,239	)
Options purchased^(b)		—		—			—		—		91,919			—		91,919
Swaps		—		(22,045	)		—		—		(196,361	)		—		(218,406	)


	$	—	$	(22,045	)	$	—	$	—	$	(664,681	)	$	—	$	(686,726	)

^(a)

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

^(b)

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long			$57,165,360
Average notional value of contracts — short			$29,442,305
Options:
Average notional value of swaption contracts purchased			$20,230,000
Average notional value of swaption contracts written			$62,901,250
Credit default swaps
Average notional value — buy protection			$17,379,379
Average notional value — sell protection			$6,715,804
Interest rate swaps
Average notional value — pays fixed rate			$15,297,000
Average notional value — received fixed rate			$21,510,000

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
Options^(a)	$	951,410	$	—
Swaps — centrally cleared		—		34,735
Swaps — OTC^(b)		201,633		228,000


Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,153,043	$	262,735


Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		(34,735	)


Total derivative assets and liabilities subject to an MNA	$	1,153,043	$	228,000

^(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.


70		2 0 2 4 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, 2024

BATS: Series C Portfolio



Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non- Cash Collateral Received^(b)		Cash Collateral Received^(b)			Net Amount of Derivative Assets^(c)

Bank of America N.A.	$	613,966	$	(123,627	)	$	—	$	(410,000	)	$	80,339
Deutsche Bank AG		281,472		—			—		—			281,472
JPMorgan Chase Bank N.A.		257,605		—			—		(257,605	)		—


	$	1,153,043	$	(123,627	)	$	—	$	(667,605	)	$	361,811


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non- Cash Collateral Pledged^(b)		Cash Collateral Pledged^(b)			Net Amount of Derivative Liabilities^(d)

Bank of America N.A.	$	123,627	$	(123,627	)	$	—	$	—		$	—
Barclays Bank PLC		35,031		—			—		—			35,031
Citibank N.A.		46,330		—			—		—			46,330
Morgan Stanley & Co. International PLC		23,012		—			—		—			23,012


	$	228,000	$	(123,627	)	$	—	$	—		$	104,373

^(a)

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

^(b)

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

^(c)

Net amount represents the net amount receivable from the counterparty in the event of default.

^(d)

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

Fair Value Hierarchy as of Period End




	Level 1		Level 2		Level 3		Total


Assets
Investments
Long-Term Investments
Corporate Bonds	$	—	$	365,103,416	$	—	$	365,103,416
Foreign Agency Obligations		—		6,463,821		—		6,463,821
Foreign Government Obligations		—		11,986,939		—		11,986,939
Municipal Bonds		—		5,720,605		—		5,720,605
Preferred Securities		—		20,717,687		—		20,717,687
U.S. Treasury Obligations		—		6,807,820		—		6,807,820
Short-Term Securities
Money Market Funds		3,672,106		—		—		3,672,106
Options Purchased
Interest Rate Contracts		—		951,410		—		951,410


	$	3,672,106	$	417,751,698	$	—	$	421,423,804

Derivative Financial Instruments^(a)
Assets
Credit Contracts	$	—	$	46,257	$	—	$	46,257
Interest Rate Contracts		93,422		45,744		—		139,166


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, 2024

BATS: Series C Portfolio

Fair Value Hierarchy as of Period End (continued)



	Level 1			Level 2			Level 3		Total

Liabilities
Credit Contracts	$	—		$	(37,679	)	$	—	$	(37,679	)
Interest Rate Contracts		(110,354	)		(242,105	)		—		(352,459	)


	$	(16,932	)	$	(187,783	)	$	—	$	(204,715	)

^(a)

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

See notes to financial statements.


72		2 0 2 4 B L A C K R O C K 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, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Municipal Bonds

Alabama — 4.9%
Black Belt Energy Gas District
RB, Series A, 05/01/55^(a)(b)	USD		535	$	577,445
Refunding RB, 4.00%, 06/01/51^(a)			1,715		1,726,117
County of Jefferson Sewer Revenue, Refunding RB, 5.25%, 10/01/49			3,020		3,243,103
Hoover IDB, RB, AMT, 6.38%, 11/01/50^(a)			1,295		1,395,251
Southeast Alabama Gas Supply District (The)
Refunding RB, 5.00%, 06/01/49^(a)			6,000		6,427,586
Refunding RB, Series A, 5.00%, 08/01/54^(a)			4,000		4,297,794
Southeast Energy Authority Cooperative District
RB, Series A, 4.00%, 11/01/51^(a)			1,785		1,781,338
RB, Series A-1, 5.50%, 01/01/53^(a)			655		703,844


					20,152,478

Arizona — 1.9%
Arizona IDA
RB, 5.00%, 07/01/45^(c)			265		240,714
RB, 7.10%, 01/01/55^(c)			910		928,283
RB, 5.00%, 07/01/55^(c)			285		245,334
RB, Series B, 5.13%, 07/01/47^(c)			195		183,474
Refunding RB, 5.50%, 07/01/52^(c)			610		569,008
Refunding RB, Series A, 5.00%, 07/01/26^(c)			175		174,429
Refunding RB, Series A, 5.13%, 07/01/37^(c)			605		608,773
Refunding RB, Series G, 5.00%, 07/01/47^(c)			185		172,430
Chandler IDA, RB, AMT, 5.00%, 06/01/49^(a)			200		200,212
City of Phoenix Arizona IDA (The), RB, 5.00%, 07/01/46^(c)			570		537,746
County of Pima IDA (The)
RB, 5.13%, 07/01/39			145		137,322
RB, 5.25%, 07/01/49			180		161,545
Refunding RB, 4.00%, 06/15/51^(c)			625		471,951
Refunding RB, 5.00%, 07/01/56^(c)			295		256,017
La Paz County IDA, RB, 5.88%, 06/15/48^(c)			285		261,433
Maricopa County IDA
RB, 5.25%, 10/01/40^(c)			280		282,516
RB, 5.50%, 10/01/51^(c)			280		277,755
RB, AMT, 4.00%, 10/15/47^(c)			1,470		1,292,842
Refunding RB, Series A, 4.13%, 09/01/38			230		234,228
Salt Verde Financial Corp., RB, 5.00%, 12/01/37			500		546,126


					7,782,138

Arkansas — 2.0%
Arkansas Development Finance Authority
RB, AMT, 4.50%, 09/01/49^(c)			2,600		2,565,772
RB, AMT, 4.75%, 09/01/49^(c)			4,165		4,138,342
RB, AMT, 5.70%, 05/01/53			350		361,400
RB, AMT, Series A, 6.88%, 07/01/48^(c)			900		967,910


					8,033,424

California — 2.9%
California HFA, RB, Series 2021-3, Class A, 3.25%, 08/20/36			945		870,941
California Municipal Finance Authority
RB, 5.63%, 07/01/44^(c)			150		149,757
RB, AMT, 4.00%, 07/15/29			2,500		2,461,525
California School Finance Authority
RB, Series A, 6.75%, 11/01/45^(c)			250		251,480
Refunding RB, 5.00%, 07/01/51^(c)			300		300,314
California Statewide Communities Development Authority, Refunding RB, Series A, 5.25%, 11/01/44^(c)			250		212,562
California Statewide Financing Authority RB, 6.00%, 05/01/43			315		315,169


Security		Par (000)		Value

California (continued)
California Statewide Financing Authority RB, 6.00%, 05/01/43	USD		85	$	85,046
City of Los Angeles Department of Airports, RB, AMT, 5.25%, 05/15/47			1,500		1,622,998
CMFA Special Finance Agency I, RB, Series A-2, 4.00%, 04/01/56^(c)			1,505		1,128,654
CSCDA Community Improvement Authority
RB, 4.00%, 10/01/46^(c)			1,055		823,298
RB, 4.00%, 07/01/56^(c)			205		152,213
RB, 4.00%, 03/01/57^(c)			505		361,529
RB, 4.00%, 07/01/58^(c)			300		200,311
RB, 4.00%, 07/01/58^(c)			265		183,175
RB, 4.00%, 12/01/59^(c)			435		284,580
RB, 4.00%, 12/01/59^(c)			1,080		621,440
RB, Series A, 3.00%, 09/01/56^(c)			1,090		723,108
Golden State Tobacco Securitization Corp., Refunding RB, Series B-2, 0.00%, 06/01/66^(d)			2,845		321,040
Hastings Campus Housing Finance Authority, RB, Series A, 0.00%, 07/01/61^(c)(d)			1,045		430,228
San Francisco City & County Redevelopment Agency Successor Agency, TA, 0.00%, 08/01/31^(c)(d)			580		407,279


					11,906,647

Colorado — 2.9%
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47			1,000		872,321
Aurora Crossroads Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/50			500		465,677
Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48			500		455,100
Banning Lewis Ranch Metropolitan District No. 8, GO, 4.88%, 12/01/51^(c)			500		392,866
Centerra Metropolitan District No. 1, TA, 5.00%, 12/01/47^(c)			155		144,637
City & County of Denver Airport System Revenue, Refunding RB, AMT, Series A, 4.13%, 11/15/53			455		430,968
Colorado Educational & Cultural Facilities Authority, Refunding RB, 5.00%, 12/15/45^(c)			500		487,207
Colorado Health Facilities Authority
RB, 5.25%, 11/01/39			195		221,742
RB, 5.50%, 11/01/47			120		133,495
RB, 5.25%, 11/01/52			305		329,011
RB, Series A, 5.00%, 05/15/35			250		203,175
RB, Series A, 5.00%, 05/15/44			270		184,700
RB, Series A, 5.00%, 05/15/49			420		271,060
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40			950		962,293
First Creek Village Metropolitan District
GO, Series A, 5.00%, 12/01/39			600		601,306
GO, Series A, 5.00%, 08/01/49			540		521,335
Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51			575		516,906
Lanterns Metropolitan District No. 2, GO, Series A, 4.50%, 12/01/50			500		376,196
Loretto Heights Community Authority, RB, 4.88%, 12/01/51			570		458,223
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48			500		494,741
North Range Metropolitan District No. 3, GO, Series A, 5.25%, 12/01/50			500		480,128
Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49			675		637,772


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, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Colorado (continued)
Pueblo Urban Renewal Authority, TA, 4.75%, 12/01/45^(c)	USD		725	$	491,188
Southlands Metropolitan District No. 1, GO, Refunding, Series A-1, 5.00%, 12/01/37			250		247,987
Thompson Crossing Metropolitan District No. 4, GO, Refunding, 5.00%, 12/01/49			645		592,183
Waters’ Edge Metropolitan District No. 2, GO, 5.00%, 12/01/51			560		482,237
Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48			500		475,221


					11,929,675

Connecticut — 0.3%
Connecticut State Health & Educational Facilities Authority, RB, Series A, 5.00%, 01/01/55^(c)			470		365,893
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45^(c)			675		675,150


					1,041,043

Delaware — 0.2%
Affordable Housing Opportunities Trust, RB, Series AH-01, Class B, 6.88%, 05/01/39^(c)			665		639,976


District of Columbia — 1.6%
District of Columbia Tobacco Settlement Financing Corp.
RB, 0.00%, 06/15/46^(d)			8,970		2,168,549
RB, 0.00%, 06/15/46^(d)			10,325		2,241,959
RB, 0.00%, 06/15/55^(d)			19,300		2,021,624


					6,432,132

Florida — 8.0%
Brevard County Health Facilities Authority
Refunding RB, 4.00%, 11/15/26^(c)			475		460,384
Refunding RB, 4.00%, 11/15/28^(c)			510		490,032
Refunding RB, 4.00%, 11/15/30^(c)			555		520,148
Refunding RB, 4.00%, 11/15/34^(c)			650		595,566
Refunding RB, 5.00%, 04/01/47			505		532,368
Refunding RB, 5.00%, 04/01/52			715		748,683
Buckhead Trails Community Development District
Special Assessment RB, 05/01/44^(b)			350		349,782
Special Assessment RB, Series 2022, 5.75%, 05/01/52			210		217,120
Cabot Citrus Farms Community Development District, Special Assessment RB, 5.25%, 03/01/29			675		680,887
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31			470		470,676
Capital Trust Agency, Inc.
RB, 5.00%, 06/15/49^(c)			100		97,062
RB, 5.75%, 06/01/54^(c)			420		344,848
RB, 5.00%, 01/01/55^(c)			1,570		1,308,550
RB, 4.88%, 06/15/56^(c)			1,335		1,060,763
RB, 0.00%, 07/01/61^(c)(d)			10,070		683,862
Celebration Pointe Community Development District No. 1, Special Assessment RB, 5.13%, 05/01/45			235		232,172
Charlotte County IDA, RB, 5.00%, 10/01/49^(c)			615		613,134
Coral Creek Community Development District, Special Assessment RB, 5.75%, 05/01/54			140		143,549
County of Miami-Dade Seaport Department, Refunding RB, AMT, Series A, 5.25%, 10/01/52			460		484,099
County of Osceola Transportation Revenue
Refunding RB, Series A-2, 0.00%, 10/01/46^(d)			935		297,370
Refunding RB, Series A-2, 0.00%, 10/01/47^(d)			900		270,819
Refunding RB, Series A-2, 0.00%, 10/01/48^(d)			635		191,307


Security		Par (000)		Value

Florida (continued)
County of Osceola Transportation Revenue Refunding RB, Series A-2, 0.00%, 10/01/49^(d)	USD		525	$	140,569
Crosswinds East Community Development District, Special Assessment RB, 5.75%, 05/01/54			105		105,125
Darby Community Development District, Special Assessment RB, Series 2, 5.88%, 05/01/35			1,025		1,007,664
Escambia County Health Facilities Authority
Refunding RB, 4.00%, 08/15/45			3,060		2,700,028
Refunding RB, (AGM), 3.00%, 08/15/50			2,500		1,857,640
Florida Development Finance Corp.
RB, 5.25%, 06/01/55^(c)			645		513,697
RB, 5.13%, 06/15/55^(c)			2,490		2,141,727
RB, 6.50%, 06/30/57^(c)			265		250,559
RB, Series A, 6.13%, 06/15/44^(c)			45		45,037
RB, Series C, 5.75%, 12/15/56^(c)			370		305,093
RB, AMT, 6.13%, 07/01/32^(a)(c)			1,375		1,403,464
RB, AMT, Series C, 07/01/57^(a)(b)(c)			1,000		999,986
Refunding RB, 4.00%, 06/01/46^(c)			300		206,587
Refunding RB, Series A, 4.50%, 12/15/56^(c)			1,085		804,739
Grand Oaks Community Development District
Special Assessment RB, 4.25%, 05/01/40			210		190,622
Special Assessment RB, 4.50%, 05/01/52			235		205,055
Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33			370		338,637
Lakewood Ranch Stewardship District
Special Assessment RB, 3.13%, 05/01/25			140		138,862
Special Assessment RB, 3.25%, 05/01/29			225		216,699
Special Assessment RB, 4.75%, 05/01/29			180		181,214
Special Assessment RB, 4.88%, 05/01/35			150		149,761
Special Assessment RB, 4.40%, 05/01/39			525		491,940
Special Assessment RB, 5.30%, 05/01/39			205		207,728
Special Assessment RB, 5.50%, 05/01/39^(c)			25		25,555
Special Assessment RB, 5.45%, 05/01/48			365		367,391
Special Assessment RB, 5.65%, 05/01/48^(c)			115		116,766
Special Assessment RB, 4.00%, 05/01/49^(c)			200		163,582
Special Assessment RB, 3.90%, 05/01/50			240		195,242
Orange County Health Facilities Authority, RB, 5.00%, 08/01/35			250		253,083
Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25			150		148,996
Parker Road Community Development District
Special Assessment Refunding RB, 3.10%, 05/01/25			100		98,895
Special Assessment Refunding RB, 3.38%, 05/01/30			335		312,640
Poitras East Community Development District, Special Assessment RB, 5.00%, 05/01/43			355		348,884
Portico Community Development District
Special Assessment RB, Series 2, 3.25%, 05/01/31			100		92,721
Special Assessment RB, Series 2, 4.00%, 05/01/50			425		344,865
Preserve at South Branch Community Development District
Special Assessment RB, 3.25%, 11/01/24			25		24,832
Special Assessment RB, 3.50%, 11/01/30			200		189,399
Sandridge Community Development District
Special Assessment RB, Series A1, 3.88%, 05/01/41			135		118,300
Special Assessment RB, Series A1, 4.00%, 05/01/51			130		106,882


74		2 0 2 4 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, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Florida (continued)
Sawyers Landing Community Development District, Special Assessment RB, 4.25%, 05/01/53	USD		815	$	624,356
Seminole County IDA, Refunding RB, 5.75%, 11/15/54			595		484,379
Shadowlawn Community Development District, Special Assessment RB, 05/01/54^(b)			920		921,265
Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34			365		328,366
Tolomato Community Development District, Special Assessment Refunding RB, Sub-Series A-2, 4.25%, 05/01/37			185		172,690
Trout Creek Community Development District
Special Assessment RB, 5.00%, 05/01/28			240		242,098
Special Assessment RB, 5.63%, 05/01/45			200		201,093
West Villages Improvement District
Special Assessment RB, 4.25%, 05/01/29			100		98,775
Special Assessment RB, 4.75%, 05/01/39			190		186,157
Special Assessment RB, 5.00%, 05/01/50			290		280,599
Special Assessment RB, 5.63%, 05/01/54			220		217,479
Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29^(c)			805		786,991
Windward at Lakewood Ranch Community
Development District
Special Assessment RB, 4.00%, 05/01/42			55		47,904
Special Assessment RB, 4.25%, 05/01/52			165		137,909


					33,033,708

Georgia — 0.9%
Development Authority of Cobb County (The), RB, Series A, 6.38%, 06/15/58^(c)			145		140,683
East Point Business & IDA, RB, Series A, 5.25%, 06/15/62^(c)			150		133,510
Main Street Natural Gas, Inc.
RB, Series A, 5.00%, 05/15/49			905		968,773
RB, Series B, 5.00%, 12/01/52^(a)			1,635		1,718,184
Municipal Electric Authority of Georgia, RB, 5.00%, 07/01/52			645		669,776


					3,630,926

Idaho — 0.1%
Idaho Health Facilities Authority, RB, 4.00%, 12/01/43			330		325,447


Illinois — 3.3%
Chicago Board of Education
GO, Series D, 5.00%, 12/01/46			485		485,119
GO, Refunding, Series A, 5.00%, 12/01/30			505		530,168
GO, Refunding, Series B, 4.00%, 12/01/35			230		229,997
GO, Refunding, Series B, 4.00%, 12/01/41			930		871,790
GO, Refunding, Series C, 5.00%, 12/01/34			625		644,628
Chicago O’Hare International Airport, Refunding RB, Series D, 5.00%, 01/01/46			1,000		1,004,260
Chicago Transit Authority Sales Tax Receipts Fund, Refunding RB, Series A, 4.00%, 12/01/49			810		746,379
City of Chicago Wastewater Transmission Revenue, Refunding RB, Series C, 5.00%, 01/01/39			500		501,667
Cook County Community College District No. 508, GO, 5.25%, 12/01/30			920		920,516
Illinois Finance Authority, Refunding RB, 6.13%, 02/01/45			150		150,006
Illinois State Toll Highway Authority, RB, Series A, 4.00%, 01/01/46			2,000		1,956,602
Metropolitan Pier & Exposition Authority RB, 5.50%, 06/15/53			390		397,836


Security		Par (000)		Value

Illinois (continued)
Metropolitan Pier & Exposition Authority
RB, 5.00%, 06/15/57	USD		660	$	672,827
Refunding RB, 4.00%, 06/15/50			1,895		1,764,662
State of Illinois
GO, 5.00%, 04/01/31			1,000		1,000,869
GO, 5.00%, 05/01/39			1,275		1,276,598
GO, Series D, 5.00%, 11/01/28			295		313,007
GO, Refunding, Series B, 5.00%, 10/01/27			105		111,081


					13,578,012

Indiana — 0.3%
City of Vincennes, Refunding RB, 6.25%, 01/01/29^(c)(e)(f)			325		225,875
Indiana Finance Authority, RB, AMT, 6.75%, 05/01/39			640		709,701
Indianapolis Local Public Improvement Bond Bank, RB, Series E, 6.00%, 03/01/53			400		427,248


					1,362,824

Iowa — 0.6%
Iowa Finance Authority, Refunding RB, Series E, 4.00%, 08/15/46			570		530,951
Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44			2,000		1,618,669
PEFA, Inc., RB, 5.00%, 09/01/49^(a)			400		408,786


					2,558,406

Kentucky — 0.6%
City of Henderson, RB, AMT, 4.70%, 01/01/52^(c)			130		128,000
Kentucky Public Energy Authority, RB, Series C, 4.00%, 02/01/50^(a)			2,310		2,329,685


					2,457,685

Louisiana — 0.7%
Lafayette Parish School Board Sale Tax Revenue
RB, 4.00%, 04/01/48			175		173,567
RB, 4.00%, 04/01/53			110		105,539
Louisiana Public Facilities Authority
RB, 5.25%, 06/01/51^(c)			455		378,383
RB, 5.25%, 06/01/60^(c)			840		669,023
RB, Series A, 6.50%, 06/01/62^(c)			150		143,849
RB, AMT, Series R2, 6.50%, 10/01/53^(a)(c)			505		534,117
Parish of St. James, RB, Series 2, 6.35%, 07/01/40^(c).			950		1,035,087


					3,039,565

Maine — 0.1%
Finance Authority of Maine, RB, AMT, 8.00%, 12/01/51^(c)			670		525,142


Maryland — 1.4%
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, 5.25%, 07/01/44			250		250,150
City of Baltimore
RB, 4.88%, 06/01/42			170		170,558
Refunding TA, 3.20%, 06/01/30^(c)			200		185,113
Refunding TA, 3.25%, 06/01/31^(c)			225		205,939
Refunding TA, 3.30%, 06/01/32^(c)			500		453,753
Refunding TA, 3.35%, 06/01/33^(c)			540		486,272
Refunding TA, 3.40%, 06/01/34^(c)			570		510,737
Refunding TA, 3.45%, 06/01/35^(c)			610		543,735
Maryland EDC, RB, AMT, 5.25%, 06/30/47			570		596,953
Maryland Health & Higher Educational Facilities Authority
RB, 7.00%, 03/01/55^(c)			1,940		2,016,528
Refunding RB, 5.00%, 07/01/40			500		504,815


					5,924,553


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, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Massachusetts — 0.8%
Massachusetts Development Finance Agency
RB, 5.00%, 01/01/48	USD		1,000	$	1,002,582
RB, 5.00%, 10/01/54			710		658,129
RB, Series A, 5.00%, 01/01/47			500		501,143
RB, Series N, 5.00%, 07/01/44			500		501,113
Massachusetts HFA
Refunding RB, AMT, Series A, 4.45%, 12/01/42			310		300,196
Refunding RB, AMT, Series A, 4.50%, 12/01/47			490		478,603


					3,441,766

Michigan — 0.6%
Michigan Strategic Fund
RB, 5.00%, 11/15/42			210		194,016
RB, AMT, 4.00%, 10/01/61^(a)			1,200		1,197,968
Wayne County Airport Authority
RB, Series B, 5.00%, 12/01/44			500		503,416
RB, Series D, 5.00%, 12/01/40			500		512,756
RB, AMT, 5.00%, 12/01/39			250		251,986


					2,660,142

Minnesota — 1.1%
City of Deephaven, Refunding RB, 5.25%, 07/01/37			605		606,894
City of Forest Lake, Refunding RB, 5.00%, 07/01/56			2,140		1,785,925
City of Minneapolis, RB, Series A, 5.75%, 07/01/55			960		819,827
Duluth EDA, Refunding RB, 5.25%, 02/15/58			425		432,760
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB, Series A, 5.50%, 07/01/38^(c)			240		241,528
Minnesota HFA, RB, (GNMA/FNMA/FHLMC COL), Series M, 6.00%, 01/01/53			695		738,592


					4,625,526

Missouri — 0.8%
City of St. Louis Missouri IDA (The), Refunding RB, 4.38%, 11/15/35			215		173,982
Kansas City IDA
RB, Series C, 7.50%, 11/15/46			64		51,137
RB, AMT, 5.00%, 03/01/54			1,275		1,310,137
Refunding RB, 2.00%, 11/15/46			52		2,317
Refunding RB, 5.00%, 11/15/46			116		95,263
Kansas City Land Clearance Redevelopment Authority
TA, 4.38%, 02/01/31^(c)			640		594,860
TA, 5.00%, 02/01/40^(c)			260		242,044
St. Louis County IDA, Refunding RB, 5.00%, 09/01/37			695		680,165


					3,149,905

Montana — 0.8%
City of Forsyth, Refunding RB, Series A, 3.90%, 03/01/31^(a)			3,500		3,413,078


Nebraska — 0.1%
Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45			500		506,751


Nevada — 0.2%
City of Las Vegas Special Improvement District No. 815, Special Assessment RB, 5.00%, 12/01/49			190		174,757
Tahoe-Douglas Visitors Authority
RB, 5.00%, 07/01/40			405		417,004
RB, 5.00%, 07/01/45			280		285,205


					876,966

New Hampshire — 0.5%
New Hampshire Business Finance Authority
RB, Series 2024-1, Class A, 4.25%, 07/01/51			625		621,066
RB, Series A, 4.13%, 08/15/40			320		274,479


Security		Par (000)		Value

New Hampshire (continued)
New Hampshire Business Finance Authority
RB, Series A, 4.25%, 08/15/46	USD		365	$	294,160
RB, Series A, 4.50%, 08/15/55			755		600,171
Refunding RB, 4.63%, 11/01/42^(c)			320		284,237
Refunding RB, AMT, 4.88%, 11/01/42^(c)			130		116,427


					2,190,540

New Jersey — 2.8%
Casino Reinvestment Development Authority, Inc., Refunding RB, 5.25%, 11/01/39			250		251,916
Middlesex County Improvement Authority
RB, Series B, 6.13%, 01/01/25			555		6,854
RB, Series B, 6.25%, 01/01/37			1,210		14,944
New Jersey EDA
RB, 5.25%, 11/01/54^(c)			945		831,068
RB, Series WW, 5.25%, 06/15/40			55		56,211
RB, Series WW, 5.25%, 06/15/40			945		965,813
RB, AMT, 6.50%, 04/01/31			75		75,258
Refunding RB, Series A, 6.00%, 08/01/49^(c)			250		250,054
New Jersey Health Care Facilities Financing Authority
RB, 4.00%, 07/01/51			1,065		1,029,202
Refunding RB, 4.25%, 07/01/44			395		395,266
Refunding RB, 5.00%, 07/01/44			220		220,541
New Jersey Higher Education Student Assistance Authority
Refunding RB, AMT, Series C, 4.25%, 12/01/50			1,540		1,419,502
Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49			820		662,898
New Jersey Transportation Trust Fund Authority
RB, Series AA, 5.25%, 06/15/41			205		209,209
RB, Series AA, 4.00%, 06/15/45			3,000		2,927,838
Tobacco Settlement Financing Corp.
Refunding RB, Series A, 5.00%, 06/01/35			375		398,044
Refunding RB, Sub-Series B, 5.00%, 06/01/46			1,675		1,700,718


					11,415,336

New York — 6.5%
Build NYC Resource Corp.
RB, Series A, 6.13%, 07/01/43			385		401,072
RB, Series A, 6.38%, 07/01/53			705		727,314
Refunding RB, AMT, 5.00%, 01/01/35^(c)			485		486,813
County of Cattaraugus, RB, 5.00%, 05/01/44			195		195,070
Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44			500		500,317
Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56			125		95,725
Metropolitan Transportation Authority, RB, Series B, 3.00%, 11/15/25			165		162,334
New York City Housing Development Corp., RB, Series C-1, 4.20%, 11/01/44			1,000		978,869
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Sub-Series E-1, 4.00%, 02/01/49			2,845		2,708,442
New York Counties Tobacco Trust IV, Refunding RB, Series A, 5.00%, 06/01/42			915		869,410
New York Counties Tobacco Trust VI, Refunding RB, Series 2B, 5.00%, 06/01/51			835		776,275
New York State Dormitory Authority, Refunding RB, Series A, 3.00%, 03/15/51			800		595,387
New York State Thruway Authority
Refunding RB, Series A, 4.00%, 03/15/49			3,690		3,519,401
Refunding RB, Series B, 4.00%, 01/01/45			1,190		1,154,237
New York Transportation Development Corp. RB, AMT, 5.00%, 07/01/34			500		501,005


76		2 0 2 4 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, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

New York (continued)
New York Transportation Development Corp.
RB, AMT, 5.00%, 10/01/35	USD		710	$	747,582
RB, AMT, 5.63%, 04/01/40			500		545,116
RB, AMT, 5.00%, 12/01/40			830		890,239
RB, AMT, 4.00%, 04/30/53			640		538,810
RB, AMT, 6.00%, 06/30/54			6,000		6,646,035
Refunding RB, AMT, 5.38%, 08/01/36			865		905,888
Oneida Indian Nation of New York, RB, Series B, 6.00%, 09/01/43^(c)			270		285,135
Suffolk Regional Off-Track Betting Co., RB, 12/01/34^(b)			405		411,083
Westchester County Local Development Corp.
Refunding RB, 5.00%, 07/01/41^(c)			510		492,822
Refunding RB, 5.00%, 07/01/56^(c)			560		518,192
Westchester Tobacco Asset Securitization Corp.
Refunding RB, Sub-Series C, 4.00%, 06/01/42			670		628,561
Refunding RB, Sub-Series C, 5.13%, 06/01/51			500		502,795


					26,783,929

North Carolina — 0.3%
North Carolina HFA, RB, (GNMA/FNMA/FHLMC), 6.00%, 07/01/53			805		856,610
North Carolina Medical Care Commission, Refunding RB, Series A, 5.25%, 01/01/41			230		219,465
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40^(c)			250		250,494


					1,326,569

North Dakota — 0.3%
City of Grand Forks, RB, (AGM), Series A, 5.00%, 12/01/53			350		367,442
County of Cass, Refunding RB, 5.25%, 02/15/58			855		882,354


					1,249,796

Ohio — 2.8%
Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, 5.00%, 06/01/55			8,895		8,398,362
County of Hamilton
Refunding RB, 5.00%, 01/01/46			190		171,254
Refunding RB, 4.00%, 08/15/50			915		857,854
County of Hardin
Refunding RB, 5.00%, 05/01/30			140		137,905
Refunding RB, 5.25%, 05/01/40			145		138,565
Refunding RB, 5.50%, 05/01/50			670		610,864
Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40^(c)			790		722,570
Port of Greater Cincinnati Development Authority, RB, 4.25%, 12/01/50^(c)			265		222,292
State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53			370		370,448


					11,630,114

Oklahoma — 1.4%
Oklahoma Development Finance Authority
RB, 7.25%, 09/01/51^(c)			3,290		3,452,062
RB, Series B, 5.00%, 08/15/38			475		486,310
RB, Series B, 5.50%, 08/15/52			580		596,114
Tulsa Authority for Economic Opportunity, TA, 4.38%, 12/01/41^(c)			235		215,535
Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45			965		913,980


					5,664,001

Oregon — 1.3%
Clackamas County Hospital Facility Authority, Refunding RB, Series A, 5.25%, 11/15/50			200		187,958


Security		Par (000)		Value

Oregon (continued)
Clackamas County School District No. 12 North Clackamas, GO, (School Bond Guaranty), Series A, 0.00%, 06/15/38^(d)	USD		275	$	143,805
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, 5.50%, 10/01/49			150		151,485
Oregon State Facilities Authority, RB, 5.25%, 06/15/55^(c)			305		272,734
Salem Hospital Facility Authority, Refunding RB, 4.00%, 05/15/49			5,000		4,527,306
Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36			300		261,547


					5,544,835

Pennsylvania — 2.2%
Allentown Neighborhood Improvement Zone Development Authority, RB, 5.00%, 05/01/42^(c)			2,125		2,144,127
Bucks County IDA, RB, 4.00%, 07/01/46			200		141,496
Montgomery County Higher Education & Health Authority, Refunding RB, 4.00%, 09/01/49			1,255		1,168,926
Montgomery County IDA, RB, 5.00%, 11/15/45			875		897,053
Pennsylvania Economic Development Financing Authority
RB, AMT, 5.75%, 06/30/48			490		543,816
RB, AMT, 5.25%, 06/30/53			770		818,248
Refunding RB, AMT, 5.50%, 11/01/44			500		500,081
Pennsylvania Higher Education Assistance Agency, RB, AMT, Series B, 3.00%, 06/01/47			1,010		754,574
Pennsylvania Higher Educational Facilities Authority, RB, 4.00%, 08/15/44			1,045		1,047,624
Philadelphia Authority for Industrial Development RB, 5.25%, 11/01/52			235		246,856
Refunding RB, Series 2015, 5.00%, 04/01/45			500		502,965
School District of Philadelphia (The), GO, Series A, 5.50%, 09/01/48			265		298,711


					9,064,477

Puerto Rico — 8.1%
Children’s Trust Fund, RB, Series A, 0.00%, 05/15/57^(d)			19,285		1,528,756
Commonwealth of Puerto Rico
GO, Series A, 0.00%, 07/01/33^(d)			537		353,733
GO, Series A1, 5.63%, 07/01/29			1,049		1,143,655
GO, Series A1, 5.75%, 07/01/31			440		491,948
GO, Series A1, 4.00%, 07/01/33			418		415,346
GO, Series A1, 4.00%, 07/01/35			375		367,987
GO, Series A1, 4.00%, 07/01/37			322		311,892
GO, Series A1, 4.00%, 07/01/41			438		411,899
GO, Series A1, 4.00%, 07/01/46			455		416,603
GO, Sub-Series CW, 0.00%, 11/01/43^(a)(d)(f)			2,899		1,673,405
GO, Sub-Series CW/CONV, 0.00%, 11/01/51^(a)(d)(f).			131		52,971
GO, Sub-Series CW/HTA-98, 0.00%, 11/01/51^(a)(d)(f)			7,043		4,138,032
GO, Sub-Series CW/HTA-98, 0.00%, 11/01/51^(a)(d)(f)			5,106		1,286,303
GO, Sub-Series CW/PRIFA, 0.00%, 11/01/51^(a)(d)(f).			5,894		2,786,542
Puerto Rico Electric Power Authority
RB, Series A, 5.00%, 07/01/29^(e)(f)			385		100,823
RB, Series A, 7.00%, 07/01/33^(e)(f)			1,795		470,070
RB, Series A, 6.75%, 07/01/36^(e)(f)			775		202,955
RB, Series A, 5.00%, 07/01/42^(e)(f)			325		85,110
RB, Series A, 7.00%, 07/01/43^(e)(f)			175		45,829
RB, Series A-1, 10.00%, 07/01/19^(e)(f)			42		11,001
RB, Series A-2, 10.00%, 07/01/19^(e)(f)			212		55,503
RB, Series A-3, 10.00%, 07/01/19^(e)(f)			177		46,357


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, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Puerto Rico (continued)
Puerto Rico Electric Power Authority
RB, Series B-3, 10.00%, 07/01/19^(e)(f)	USD		177	$	46,357
RB, Series C-1, 5.40%, 01/01/18^(e)(f)			486		127,363
RB, Series C-2, 5.40%, 07/01/18^(e)(f)			486		127,384
RB, Series C-3, 5.40%, 01/01/20^(e)(f)			49		12,877
RB, Series C-4, 5.40%, 07/01/20^(e)(f)			49		12,877
RB, Series CCC, 5.25%, 07/01/26^(e)(f)			125		32,735
RB, Series CCC, 5.00%, 07/01/27^(e)(f)			545		142,723
RB, Series CCC, 5.25%, 07/01/28^(e)(f)			70		18,331
RB, Series D-1, 7.50%, 01/01/20^(e)(f)			426		111,454
RB, Series D-2, 7.50%, 01/01/20^(e)(f)			840		220,068
RB, Series D-4, 7.50%, 07/01/20^(e)(f)			145		37,971
RB, Series TT, 5.00%, 07/01/18^(e)(f)			160		41,900
RB, Series TT, 5.00%, 07/01/25^(e)(f)			45		11,785
RB, Series TT, 5.00%, 07/01/26^(e)(f)			190		49,757
RB, Series TT, 5.00%, 07/01/32^(e)(f)			395		103,442
RB, Series WW, 5.50%, 07/01/17^(e)(f)			110		28,807
RB, Series WW, 5.50%, 07/01/18^(e)(f)			95		24,878
RB, Series WW, 5.50%, 07/01/19^(e)(f)			70		18,331
RB, Series WW, 5.38%, 07/01/22^(e)(f)			940		246,165
RB, Series WW, 5.38%, 07/01/24^(e)(f)			65		17,022
RB, Series WW, 5.00%, 07/01/28^(e)(f)			165		43,210
RB, Series WW, 5.25%, 07/01/33^(e)(f)			75		19,641
RB, Series WW, 5.50%, 07/01/38^(e)(f)			220		57,613
RB, Series XX, 5.25%, 07/01/27^(e)(f)			50		13,094
RB, Series XX, 5.25%, 07/01/35^(e)(f)			30		7,856
RB, Series XX, 5.75%, 07/01/36^(e)(f)			600		157,126
RB, Series XX, 5.25%, 07/01/40^(e)(f)			2,320		607,556
Refunding RB, Series AAA, 5.25%, 07/01/22^(e)(f)			160		41,900
Refunding RB, Series AAA, 5.25%, 07/01/28^(e)(f)			265		69,398
Refunding RB, Series AAA, 5.25%, 07/01/29^(e)(f)			40		10,475
Refunding RB, Series DDD, 5.00%, 07/01/19^(e)(f)			895		234,380
Refunding RB, Series UU, 0.00%, 07/01/17^(a)(d)(e)(f).			30		7,856
Refunding RB, Series UU, 0.00%, 07/01/18^(a)(d)(e)(f).			30		7,856
Refunding RB, Series UU, 0.00%, 07/01/20^(a)(d)(e)(f).			250		65,469
Refunding RB, Series UU, 4.45%, 07/01/31^(a)(e)(f)			300		78,563
Refunding RB, Series ZZ, 5.00%, 07/01/17^(e)(f)			70		18,331
Refunding RB, Series ZZ, 5.25%, 07/01/19^(e)(f)			235		61,541
Refunding RB, Series ZZ, 5.25%, 07/01/23^(e)(f)			930		243,546
Refunding RB, Series ZZ, 5.25%, 07/01/24^(e)(f)			150		39,282
Refunding RB, Series ZZ, 5.00%, 07/01/28^(e)(f)			75		19,641
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority
RB, AMT, Series 1, 6.75%, 01/01/45			165		197,012
RB, AMT, Series 2, 6.50%, 01/01/42			110		129,834
RB, AMT, Series 2, 6.75%, 01/01/45			165		196,434
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue
RB, Series A-1, 0.00%, 07/01/29^(d)			613		504,457
RB, Series A-1, 0.00%, 07/01/33^(d)			496		346,996
RB, Series A-1, 0.00%, 07/01/46^(d)			1,971		629,600
RB, Series A-1, 4.75%, 07/01/53			3,377		3,338,586
RB, Series A-1, 5.00%, 07/01/58			2,125		2,126,264
RB, Series A-2, 4.33%, 07/01/40			3,825		3,782,917
RB, Series A-2, 4.33%, 07/01/40			34		33,769
RB, Series A-2, 4.54%, 07/01/53			317		301,549
RB, Series A-2, 4.78%, 07/01/58			2,226		2,215,981
RB, Series B-1, 0.00%, 07/01/46^(d)			477		152,559


					33,589,239

Rhode Island — 0.1%
Rhode Island Student Loan Authority, RB, AMT, Series A, 3.63%, 12/01/37			460		436,131


Security		Par (000)		Value

South Carolina — 0.9%
Patriots Energy Group Financing Agency, RB, Series A1, 5.25%, 10/01/54^(a)	USD		1,880	$	2,012,642
South Carolina Jobs EDA
RB, 7.50%, 08/15/62^(c)			325		292,488
Refunding RB, 4.00%, 11/15/27			105		100,969
Refunding RB, 5.00%, 02/01/38			200		206,352
Refunding RB, 5.00%, 02/01/38			800		821,057
South Carolina Public Service Authority, Refunding RB, Series B, 4.00%, 12/01/56			200		182,684


					3,616,192

Tennessee — 1.7%
Chattanooga-Hamilton County Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44			250		250,108
Franklin Health & Educational Facilities Board, Refunding RB, 7.50%, 06/01/47^(c)(e)(f)			1,205		131,224
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, 4.00%, 10/01/49			220		190,296
Metropolitan Government Nashville & Davidson County IDB, Special Assessment RB, 0.00%, 06/01/43^(c)(d)			685		250,813
Metropolitan Government Nashville & Davidson County Sports Authority, RB, (AGM), Series A, 5.25%, 07/01/48			935		1,043,895
Metropolitan Nashville Airport Authority (The)
RB, AMT, Series B, 5.25%, 07/01/35			320		363,419
RB, AMT, Series B, 5.50%, 07/01/36			265		305,002
Tennergy Corp., RB, Series A, 5.50%, 10/01/53^(a)			2,320		2,476,104
Tennessee Energy Acquisition Corp., RB, Series A, 5.00%, 05/01/52^(a)			1,750		1,848,597


					6,859,458

Texas — 6.8%
Angelina & Neches River Authority, RB, AMT, 7.50%, 12/01/45^(c)			510		335,863
Arlington Higher Education Finance Corp.
RB, 5.63%, 08/15/54^(c)			1,305		1,179,795
RB, 7.88%, 11/01/62^(c)			280		282,656
Brazoria County IDC, RB, AMT, 7.00%, 03/01/39			375		346,478
Central Texas Turnpike System
Refunding RB, Series C, 5.00%, 08/15/37			200		200,791
Refunding RB, Series C, 5.00%, 08/15/42			250		250,910
City of Crandall, Special Assessment RB, 4.25%, 09/15/41^(c)			230		207,055
City of Fate, Special Assessment RB, 08/15/54^(b)(c)			100		100,114
City of Houston Airport System Revenue
RB, AMT, 4.00%, 07/01/41			700		651,755
RB, AMT, Series 1, 5.00%, 07/15/30			395		397,965
Refunding RB, AMT, 4.75%, 07/01/24			200		200,285
Refunding RB, AMT, 5.00%, 07/15/27			140		143,361
Refunding RB, AMT, 5.00%, 07/01/29			1,500		1,502,230
Refunding RB, AMT, Series C, 5.00%, 07/15/27			910		931,849
Refunding RB, AMT, Sub-Series A, 4.00%, 07/01/41			3,590		3,579,653
Refunding RB, AMT, (AGM), Series A, 5.25%, 07/01/48			485		523,136
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45			500		503,862
County of Hays, Special Assessment RB, 7.00%, 09/15/45			200		204,143
Dallas ISD, GO (Permanent School Fund Guaranteed), 5.00%, 02/15/48			1,375		1,486,202


78		2 0 2 4 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, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Texas (continued)
Del Valle ISD, GO (Permanent School Fund Guaranteed), 4.00%, 06/15/47	USD		1,335	$	1,313,618
Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42.			1,465		1,465,248
Fort Worth ISD, GO (Permanent School Fund Guaranteed), 4.00%, 02/15/48			230		223,195
Mission EDC, Refunding RB, AMT, 4.63%, 10/01/31^(c).			285		279,405
New Hope Cultural Education Facilities Finance Corp.
RB, 6.75%, 10/01/52			800		744,777
RB, Series A, 5.00%, 08/15/51^(c)			250		227,147
New Hope Higher Education Finance Corp., RB, Series A, 5.75%, 06/15/51^(c)			1,175		1,063,139
Newark Higher Education Finance Corp., RB, Series A, 5.50%, 08/15/35^(c)			300		305,120
Port Beaumont Navigation District
RB, AMT, 2.75%, 01/01/36^(c)			1,105		847,059
RB, AMT, 2.88%, 01/01/41^(c)			350		251,792
RB, AMT, 3.00%, 01/01/50^(c)			1,495		969,271
Refunding RB, AMT, 3.63%, 01/01/35^(c)			1,375		1,180,647
Refunding RB, AMT, 4.00%, 01/01/50^(c)			1,975		1,540,871
Tarrant County Cultural Education Facilities Finance Corp.
RB, 5.50%, 11/15/47			595		666,653
Refunding RB, 5.00%, 10/01/49			250		237,643
Texas Private Activity Bond Surface Transportation Corp.
RB, AMT, 5.00%, 06/30/58			315		318,323
RB, AMT, 5.50%, 12/31/58			1,050		1,151,840
Texas Transportation Commission State Highway 249 System
RB, 0.00%, 08/01/40^(d)			1,000		472,549
RB, 0.00%, 08/01/42^(d)			655		276,363
Texas Water Development Board, RB, 4.00%, 10/15/45			1,295		1,286,115


					27,848,878

Utah — 0.5%
Utah Charter School Finance Authority
RB, Series A, 5.00%, 06/15/52^(c)			285		235,013
Refunding RB, 5.00%, 10/15/44			1,615		1,617,286
Refunding RB, 5.00%, 06/15/55^(c)			230		207,036


					2,059,335

Vermont — 0.4%
East Central Vermont Telecommunications District
RB, Series A, 4.75%, 12/01/40^(c)			695		539,884
RB, Series A, 4.50%, 12/01/44^(c)			705		504,147
RB, Series A, 6.88%, 12/01/46^(c)			785		756,919


					1,800,950

Virginia — 0.7%
Ballston Quarter Community Development Authority
TA, Series A, 5.50%, 03/01/46			92		87,309
TA, Series A, 0.00%, 03/01/59^(d)			220		162,719
Hampton Roads Transportation Accountability Commission, RB, Series A, 4.00%, 07/01/55			285		272,887
James City County EDA
RB, Series A, 6.88%, 12/01/58			345		377,738
RB, Series C3, 5.25%, 12/01/27			250		250,618
Lower Magnolia Green Community Development Authority
Special Assessment RB, 5.00%, 03/01/35^(c)			230		230,012
Special Assessment RB, 5.00%, 03/01/45^(c)			85		81,139
Norfolk Redevelopment & Housing Authority RB, 4.00%, 01/01/29			250		232,829


Security		Par (000)		Value

Virginia (continued)
Norfolk Redevelopment & Housing Authority
RB, 5.00%, 01/01/34	USD		190	$	178,827
RB, 5.00%, 01/01/49			365		316,224
Virginia Beach Development Authority
RB, Series A, 7.00%, 09/01/53			360		403,868
RB, Series B3, 5.38%, 09/01/29			235		239,751


					2,833,921

Washington — 0.7%
King County Public Hospital District No. 4, GO, Refunding, 5.00%, 12/01/30			200		198,178
Port of Seattle, RB, AMT, Series C, 5.00%, 04/01/40			250		251,287
Washington State Housing Finance Commission
RB, Series A, 5.00%, 07/01/50^(c)			310		269,899
Refunding RB, 5.00%, 01/01/43^(c)			1,935		1,757,691
Refunding RB, 6.00%, 01/01/45^(c)			210		193,320
Refunding RB, Series A, 5.00%, 07/01/43			200		201,481
Refunding RB, Series A, 5.00%, 07/01/48			190		188,054


					3,059,910

West Virginia — 0.4%
City of Martinsburg, RB, Series A-1, 4.63%, 12/01/43			430		372,861
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48			1,215		1,167,169


					1,540,030

Wisconsin — 4.4%
Public Finance Authority
RB, 6.25%, 10/01/31^(c)(e)(f)			195		27,300
RB, 0.00%, 01/01/35^(c)(d)			1,105		552,616
RB, 4.50%, 01/01/35^(c)			700		668,049
RB, 5.00%, 06/15/41^(c)			210		192,346
RB, 6.85%, 11/01/46^(c)(e)(f)			275		137,500
RB, 7.00%, 11/01/46^(c)(e)(f)			155		77,500
RB, 5.38%, 07/15/47^(c)			335		320,908
RB, 7.00%, 10/01/47^(c)			195		27,300
RB, 5.63%, 06/15/49^(c)			1,430		1,191,838
RB, 5.00%, 06/15/51^(c)			195		160,519
RB, 5.25%, 12/01/51^(c)			1,060		805,563
RB, 5.00%, 06/15/55^(c)			550		455,734
RB, 5.00%, 06/15/55^(c)			2,750		2,056,091
RB, 5.00%, 07/01/55^(c)			880		734,875
RB, 5.00%, 01/01/56^(c)			875		751,038
RB, 4.75%, 06/15/56^(c)			440		301,285
RB, 5.00%, 06/15/56^(c)			145		116,213
RB, 0.00%, 01/01/60^(c)(d)			19,530		1,190,427
RB, Series A, 7.75%, 07/01/43^(c)			1,920		1,951,567
RB, Series A, 5.63%, 06/15/49^(c)			865		818,093
RB, AMT, 4.00%, 09/30/51			2,025		1,702,236
RB, AMT, 4.25%, 07/01/54			1,160		823,600
RB, AMT, 4.00%, 03/31/56			680		559,778
Refunding RB, AMT, Series B, 5.00%, 07/01/42			750		750,109
TA, Series A, 06/01/41^(b)(c)			130		126,377
Wisconsin Health & Educational Facilities Authority
RB, 08/15/44^(b)			1,305		1,343,463
RB, 08/15/54^(b)			250		256,311
Wisconsin Housing & EDA, RB, Series A, 4.55%, 07/01/37			165		165,667


					18,264,303


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

Schedule of Investments (continued)

March 31, 2024

BATS: Series E Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Wyoming — 0.2%
University of Wyoming, RB, (AGM), Series C, 4.00%, 06/01/51	USD		775	$	735,667


Total Municipal Bonds — 80.1% (Cost: $348,146,075)					330,541,526


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

Alabama — 1.3%
Black Belt Energy Gas District, RB, Series C-1, 5.25%, 02/01/53			5,095		5,387,374


New York — 1.7%
New York City Housing Development Corp.
RB, Series D-1-B, 4.25%, 11/01/45			1,000		919,786
Refunding RB, Series A-1, 4.15%, 11/01/38			1,414		1,386,232
Port Authority of New York & New Jersey, RB, AMT, Series 221, 4.00%, 07/15/55			5,015		4,550,707


					6,856,725


Total Municipal Bonds Transferred to Tender Option Bond Trusts — 3.0% (Cost: $12,510,442)					12,244,099


Total Long-Term Investments — 83.1% (Cost: $360,656,517)					342,785,625


		Shares

Short-Term Securities

Money Market Funds — 15.0%
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 3.54%^(h)			61,771,384		61,765,206


		Par (000)

Municipal Bonds

Florida — 1.2%
City of Gainesville Utilities System Revenue, Refunding RB, Series B, VRDN, (Barclays Bank plc SBPA), 4.50%, 04/01/24⁽ⁱ⁾	USD		2,500		2,500,000
JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.60%, 04/08/24⁽ⁱ⁾			2,500		2,500,000


					5,000,000


Security		Par (000)		Value

New York — 0.6%
City of New York, GO, Sub-Series A-2, VRDN, (Mizuho Bank Ltd. LOC), 4.50%, 04/01/24⁽ⁱ⁾	USD		2,500	$	2,500,000


Virginia — 0.6%
Loudoun County EDA, RB, Series F, VRDN, 3.75%, 04/08/24⁽ⁱ⁾			2,500		2,500,000


Total Municipal Bonds — 2.4% (Cost: $10,000,000)					10,000,000


Total Short-Term Securities — 17.4% (Cost: $71,764,391)					71,765,206


Total Investments — 100.5% (Cost: $432,420,908)					414,550,831
Other Assets Less Liabilities — 1.1%				4,658,047
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (1.6)%					(6,730,547	)


Net Assets — 100.0%				$	412,478,331

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

^(b)	When-issued security.

^(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)	Zero-coupon bond.

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

^(f)	Non-income producing security.

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

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

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

Derivative Financial Instruments Categorized by Risk Exposure

For the period ended March 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



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

Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—	$	—	$	—	$	(266,242	)	$	—	$	(266,242	)


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	—	$	266,330		$	—	$	266,330


80		2 0 2 4 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, 2024

BATS: Series E Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments



Futures contracts
Average notional value of contracts — short	$—	^(a)

^(a)

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

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

Fair Value Hierarchy as of Period End




	Level 1		Level 2		Level 3		Total


Assets
Investments
Long-Term Investments
Municipal Bonds	$	—	$	330,541,526	$	—	$	330,541,526
Municipal Bonds Transferred to Tender Option Bond Trusts		—		12,244,099		—		12,244,099
Short-Term Securities
Money Market Funds		61,765,206		—		—		61,765,206
Municipal Bonds		—		10,000,000		—		10,000,000
Unfunded Commitments^(a)		—		—		3,445,231		3,445,231


	$	61,765,206	$	352,785,625	$	3,445,231	$	417,996,062

^(a)

Unfunded commitments are valued at the unrealized appreciation (depreciation) on the commitment.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, TOB Trust Certificates of $6,647,000 are categorized as Level 2 within the fair value hierarchy.

See notes to financial statements.


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

Schedule of Investments

March 31, 2024

BATS: Series M Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities
ARI Fleet Lease Trust, Series 2024-A, Class A2, 5.30%, 11/15/32^(a)	USD		1,454	$	1,450,862
Chesapeake Funding II LLC, Series 2023-2A, Class A1, 6.16%, 10/15/35^(a)			1,238		1,245,752
Enterprise Fleet Financing LLC
Series 2023-2, Class A2, 5.56%, 04/22/30^(a)			2,229		2,230,568
Series 2024-1, Class A3, 5.16%, 09/20/30^(a)			294		293,233
Ford Credit Floorplan Master Owner Trust A, Series 2023-1, Class A1, 4.92%, 05/15/28^(a)			3,331		3,314,574
GMF Floorplan Owner Revolving Trust
Series 2023-1, Class A1, 5.34%, 06/15/28^(a)			1,805		1,813,782
Series 2023-2, Class A, 5.34%, 06/15/30^(a)			617		625,346
Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 09/20/40^(a)			111		98,883
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28^(a)			794		800,197
PFS Financing Corp.
Series 2023-A, Class A, 5.80%, 03/15/28^(a)			2,658		2,686,372
Series 2023-B, Class A, 5.27%, 05/15/28^(a)			3,792		3,796,117
Series 2023-C, Class A, 5.52%, 10/15/28^(a)			873		880,702


Total Asset-Backed Securities — 1.7% (Cost: $19,193,336)					19,236,388


Non-Agency Mortgage-Backed Securities

Commercial Mortgage-Backed Securities — 9.1%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35^(a)			945		910,423
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.50%, 09/15/34^(a)(b)			3,928		3,855,665
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C, 3.60%, 05/15/53^(a)(b)			400		347,163
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.49%, 04/14/33^(a)			2,164		2,073,301
BANK
Series 2018-BN11, Class B, 4.34%, 03/15/61^(b)			1,769		1,640,438
Series 2021-BN38, Class A5, 2.52%, 12/15/64			5,090		4,255,530
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 6.19%, 04/15/36^(a)(b)			1,099		1,090,912
Benchmark Mortgage Trust, Series 2018-B2, Class A5, 3.88%, 02/15/51^(b)			1,000		937,169
BFLD, Series 2019-DPLO, Class A, (1-mo. CME Term SOFR + 1.20%), 6.53%, 10/15/34^(a)(b)			70		69,912
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 7.02%, 03/15/40^(a)(b)			2,000		2,003,750
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33^(a)			3,920		3,723,478
BX Commercial Mortgage Trust
Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.34%, 02/15/39^(a)(b)			5,058		5,033,039
Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 7.27%, 11/15/28^(a)(b)			1,060		1,059,999
Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 7.09%, 12/09/40^(a)(b)			3,072		3,091,094
Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 6.77%, 02/15/39^(a)(b)			2,670		2,676,674
Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 6.77%, 02/15/39^(a)(b)			2,500		2,503,104


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Trust
Series 2019-OC11, Class D, 3.94%, 12/09/41^(a)(b)	. USD		1,489	$	1,312,141
Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 6.24%, 02/15/36^(a)(b)			217		216,521
Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%), 7.49%, 08/15/39^(a)(b)			1,045		1,047,514
Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.34%, 03/15/26^(a)(b)			1,530		1,529,218
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.95%, 09/15/38^(a)(b)			2,994		3,024,433
CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39^(a)			1,254		1,066,457
Citigroup Commercial Mortgage Trust
Series 2020-420K, Class B, 2.86%, 11/10/42^(a)			130		109,272
Series 2023-SMRT, Class A, 5.82%, 10/12/40^(a)(b)	.		1,370		1,393,506
Commercial Mortgage Trust
Series 2015-CR27, Class B, 4.34%, 10/10/48^(b)			2,917		2,768,365
Series 2015-LC23, Class ASB, 3.60%, 10/10/48			1,185		1,167,649
Series 2017-COR2, Class AM, 3.80%, 09/10/50			404		369,034
Credit Suisse Mortgage Capital Trust, Series 2020-NET, Class C, 3.53%, 08/15/37^(a)			266		245,528
CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40^(a)	.		763		799,063
Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40^(a)			900		731,215
GS Mortgage Securities Corp. II
Series 2005-ROCK, Class A, 5.37%, 05/03/32^(a)			910		893,358
Series 2005-ROCK, Class F, 5.52%, 05/03/32^(a)			706		668,656
GS Mortgage Securities Trust
Series 2014-GC24, Class A5, 3.93%, 09/10/47			4,000		3,959,860
Series 2021-ROSS, Class A, (1-mo. CME Term SOFR + 1.26%), 6.59%, 05/15/26^(a)(b)			730		679,169
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.52%, 08/15/39^(a)(b)			3,060		3,079,256
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.42%, 03/15/28^(a)(b)			1,100		1,103,437
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.44%, 07/10/39^(a)(b)			669		561,960
IMT Trust, Series 2017-APTS, Class BFX, 3.50%, 06/15/34^(a)(b)			2,425		2,401,466
JPMBB Commercial Mortgage Securities Trust
Series 2014-C23, Class ASB, 3.66%, 09/15/47			537		534,377
Series 2015-C28, Class A4, 3.23%, 10/15/48			4,058		3,951,125
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2016-NINE, Class A, 2.85%, 09/06/38^(a)(b)			1,790		1,674,514
Series 2020-609M, Class A, (1-mo. CME Term SOFR + 1.73%), 7.06%, 10/15/33^(a)(b)			2,000		1,960,125
Series 2020-609M, Class D, (1-mo. CME Term SOFR + 3.13%), 8.46%, 10/15/33^(a)(b)			600		463,631
Series 2021-2NU, Class A, 1.97%, 01/05/40^(a)			1,210		1,023,365
Series 2022-CGSS, Class A, (1-mo. CME Term SOFR + 2.87%), 8.20%, 12/15/36^(a)(b)			399		400,103
Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.50%, 09/15/39^(a)(b)			210		210,590
KSL Commercial Mortgage Trust, Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.62%, 12/15/36^(a)(b)			1,920		1,931,400
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49^(a)			489		487,686
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 08/15/40^(a)(b)			880		888,581


82		2 0 2 4 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, 2024

BATS: Series M Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Med Trust, Series 2021-MDLN, Class A, (1-mo. CME Term SOFR + 1.06%), 6.39%, 11/15/38^(a)(b) MF1	USD		2,888	$	2,880,919
Series 2021-W10, Class A, (1-mo. CME Term SOFR + 1.07%), 6.40%, 12/15/34^(a)(b)			480		476,400
Series 2021-W10, Class B, (1-mo. CME Term SOFR + 1.37%), 6.70%, 12/15/34^(a)(b)			640		627,200
MIRA Trust, Series 2023-MILE, Class A, 6.76%, 06/10/38^(a)			2,355		2,445,205
Morgan Stanley Capital I Trust
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49			1,529		1,493,287
Series 2018-H3, Class B, 4.62%, 07/15/51^(b)			740		692,790
Series 2018-MP, Class A, 4.28%, 07/11/40^(a)(b)			1,000		885,734
OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.41%, 10/15/28^(a)(b)			526		531,537
ORL Trust, Series 2023-GLKS, Class A, (1-mo. CME Term SOFR + 2.35%), 7.68%, 10/19/36^(a)(b)			1,963		1,970,209
Seasoned Credit Risk Transfer Trust
Series 2018-3, Class MA, 3.50%, 08/25/57^(b)			1,245		1,178,378
Series 2018-4, Class MA, 3.50%, 03/25/58			1,377		1,290,905
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.51%, 05/15/37^(a)(b)			1,250		1,259,375
Wells Fargo Commercial Mortgage Trust
Series 2015-LC22, Class ASB, 3.57%, 09/15/58			989		973,965
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57			1,322		1,295,447
Series 2015-P2, Class AS, 4.01%, 12/15/48			1,605		1,549,723
Series 2017-C41, Class B, 4.19%, 11/15/50^(b)			1,304		1,148,254
Series 2018-AUS, Class A, 4.06%, 08/17/36^(a)(b)			2,417		2,237,983
Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.64%, 05/15/31^(a)(b)			3,516		3,447,761


					104,309,298

Interest Only Commercial Mortgage-Backed Securities — 0.4%
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class XA, 0.95%, 05/15/53^(a)(b).			1,563		68,400
BANK
Series 2020-BN29, Class XA, 1.32%, 11/15/53^(b)			4,224		278,970
Series 2021-BN33, Class XA, 1.05%, 05/15/64^(b)			15,772		802,664
Benchmark Mortgage Trust
Series 2020-B20, Class XA, 1.61%, 10/15/53^(b)			15,375		992,501
Series 2020-B21, Class XA, 1.45%, 12/17/53^(b)			3,835		259,500
BMO Mortgage Trust, Series 2023-C5, Class XA, 0.73%, 06/15/56^(b)			8,808		451,044
Commercial Mortgage Trust, Series 2014-LC17, Class XA, 0.64%, 10/10/47^(b)			36,788		27,911
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA, 1.54%, 06/15/52^(b)			12,783		785,892
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.44%, 10/15/52^(b)			9,801		600,707
Wells Fargo Commercial Mortgage Trust
Series 2018-C44, Class XA, 0.71%, 05/15/51^(b)			8,096		190,390
Series 2020-C58, Class XA, 1.80%, 07/15/53^(b)			4,459		385,071


					4,843,050


Total Non-Agency Mortgage-Backed Securities — 9.5% (Cost: $114,555,538)					109,152,348


U.S. Government Sponsored Agency Securities

Collateralized Mortgage Obligations — 2.1%
Fannie Mae
Series 2010-134, Class KZ, 4.50%, 12/25/40			200		175,662
Series 2010-141, Class LZ, 4.50%, 12/25/40			410		386,678


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Fannie Mae
Series 2011-131, Class LZ, 4.50%, 12/25/41	USD		269	$	241,875
Series 2011-8, Class ZA, 4.00%, 02/25/41			568		535,864
Series 2013-81, Class YK, 4.00%, 08/25/43			200		181,258
Series 2017-100, Class ZJ, 3.50%, 12/25/47			3,032		2,650,637
Series 2017-76, Class PB, 3.00%, 10/25/57			900		646,733
Series 2018-32, Class PS, (SOFR (30-day) + 7.10%), 0.89%, 05/25/48^(b)			1,996		1,681,613
Series 2018-76, Class ZL, 4.00%, 10/25/58			4,609		4,083,323
Series 2022-25, Class KL, 4.00%, 05/25/52			1,500		1,317,972
Freddie Mac
Series 3745, Class ZA, 4.00%, 10/15/40			330		308,528
Series 3780, Class ZA, 4.00%, 12/15/40			1,321		1,257,621
Series 3960, Class PL, 4.00%, 11/15/41			899		868,598
Series 4161, Class BW, 2.50%, 02/15/43			1,400		1,182,185
Series 4355, Class ZL, 4.00%, 06/15/44			2,376		2,158,750
Series 4384, Class LB, 3.50%, 08/15/43			978		929,659
Series 4758, Class Z, 4.00%, 02/15/48			1,689		1,549,015
Series 4988, Class AK, 1.00%, 07/25/50			2,033		1,573,750
Series 5002, Class TJ, 2.00%, 07/25/50			2,004		1,683,573
Ginnie Mae
Series 2014-107, Class WX, 6.64%, 07/20/39^(b)			286		291,876
Series 2016-123, Class LM, 3.00%, 09/20/46			600		488,152


					24,193,322

Commercial Mortgage-Backed Securities — 1.4%
Freddie Mac
Series K082, Class A2, 3.92%, 09/25/28^(b)			2,400		2,329,170
Series K139, Class A2, 2.59%, 01/25/32^(b)			12,000		10,394,690
Series K154, Class A2, 3.42%, 04/25/32			3,500		3,285,019


					16,008,879

Interest Only Collateralized Mortgage Obligations — 1.0%
Fannie Mae
Series 2013-10, Class PI, 3.00%, 02/25/43			951		109,240
Series 2014-68, Class YI, 4.50%, 11/25/44			427		84,496
Series 2015-66, Class AS, (SOFR (30-day) + 6.14%), 0.82%, 09/25/45^(b)			2,334		161,384
Series 2016-60, Class SD, (SOFR (30-day) + 5.99%), 0.67%, 09/25/46^(b)			1,059		77,820
Series 2016-78, Class CS, (SOFR (30-day) + 5.99%), 0.67%, 05/25/39^(b)			1,354		97,194
Series 2017-68, Class IE, 4.50%, 09/25/47			1,610		281,100
Series 2020-32, Class IO, 4.00%, 05/25/50			1,740		356,065
Series 2020-32, Class PI, 4.00%, 05/25/50			1,806		378,260
Series 2021-23, Class CI, 3.50%, 07/25/46			2,392		422,078
Series 2021-41, Class IO, 3.50%, 07/25/51			4,560		804,856
Series 2021-88, Class IO, 2.50%, 12/25/51			2,097		289,134
Series 2024-7, Class IA, 3.50%, 11/25/49			5,766		715,951
Series 427, Class C71, 3.00%, 10/25/49			2,199		361,877
Freddie Mac
Series 4062, Class GI, 4.00%, 02/15/41			161		6,081
Series 4119, Class SC, (SOFR (30-day) + 6.04%), 0.72%, 10/15/42^(b)			1,437		150,750
Series 4901, Class CS, (SOFR (30-day) + 5.99%), 0.67%, 07/25/49^(b)			1,758		159,367
Series 4941, Class SH, (SOFR (30-day) + 5.84%), 0.52%, 12/25/49^(b)			3,748		335,897
Series 5109, Class ID, 2.50%, 05/25/51			1,875		279,253
Series 5112, Class KI, 3.50%, 06/25/51			1,459		264,299
Series 5127, Class AI, 3.00%, 06/25/51			770		125,154
Series 5159, Class PI, 3.00%, 11/25/51			4,095		595,262
Series 5176, Class QI, 3.00%, 12/25/51			2,348		345,525


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

Schedule of Investments (continued)

March 31, 2024

BATS: Series M Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interest Only Collateralized Mortgage Obligations (continued)
Ginnie Mae
Series 2017-101, Class SL, (1-mo. CME Term SOFR + 6.09%), 0.76%, 07/20/47^(b)	USD		1,466	$	159,172
Series 2020-115, Class IM, 3.50%, 08/20/50			2,225		360,965
Series 2020-146, Class DI, 2.50%, 10/20/50			3,015		396,936
Series 2020-175, Class DI, 2.50%, 11/20/50			1,044		133,895
Series 2020-185, Class MI, 2.50%, 12/20/50			3,748		490,973
Series 2021-104, Class IH, 3.00%, 06/20/51			4,376		700,432
Series 2021-149, Class KI, 3.00%, 08/20/51			8,496		1,364,108
Series 2022-5, Class LI, 3.50%, 01/20/52			11,306		1,945,806


					11,953,330

Interest Only Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac
Series K110, Class X1, 1.70%, 04/25/30^(b)			1,195		93,138
Series K116, Class X1, 1.42%, 07/25/30^(b)			2,075		142,444
Series K119, Class X1, 0.93%, 09/25/30^(b)			3,292		154,311
Series K122, Class X1, 0.88%, 11/25/30^(b)			5,035		227,730
Ginnie Mae
Series 2016-151, Class IO, 0.85%, 06/16/58^(b)			18,473		762,515
Series 2017-61, Class IO, 0.70%, 05/16/59^(b)			971		36,085


					1,416,223

Mortgage-Backed Securities — 104.8%
Fannie Mae Mortgage-Backed Securities
1.50%, 12/01/35 - 03/01/51			43,631		35,446,431
2.00%, 10/01/31 - 03/01/52			145,640		118,709,326
2.50%, 09/01/27 - 02/01/52			94,772		81,015,447
3.00%, 04/01/28 - 06/01/52			44,423		39,504,937
3.50%, 03/01/29 - 04/01/52			34,280		31,479,397
4.00%, 02/01/31 - 05/01/52			36,011		33,892,681
4.50%, 05/01/24 - 10/01/52			35,252		33,891,740
5.00%, 02/01/35 - 04/01/53			16,867		16,642,010
5.50%, 05/01/34 - 06/01/53			13,865		13,891,370
6.00%, 02/01/38 - 03/01/54			21,090		21,387,955
6.50%, 07/01/37 - 02/01/54			12,754		13,101,896
7.00%, 12/01/53 - 01/01/54			3,285		3,396,059
7.50%, 12/01/53 - 01/01/54			549		570,715
Freddie Mac Mortgage-Backed Securities
1.50%, 04/01/36 - 04/01/51			8,684		7,086,351
2.00%, 01/01/36 - 02/01/52			101,726		82,934,956
2.50%, 02/01/30 - 04/01/52			74,584		62,832,782
3.00%, 09/01/27 - 08/01/52^(c)			65,466		57,496,096
3.50%, 02/01/31 - 06/01/50			21,241		19,461,494
4.00%, 08/01/40 - 06/01/52			25,954		24,529,349
4.50%, 05/01/24 - 08/01/52			6,909		6,620,611
5.00%, 05/01/28 - 11/01/53			29,929		29,305,454
5.50%, 01/01/28 - 08/01/53			12,465		12,441,308
6.00%, 08/01/28 - 11/01/53			14,570		14,755,399
6.50%, 10/01/53 - 04/01/54			6,086		6,245,099
7.00%, 01/01/54			1,042		1,075,465
7.50%, 12/01/53 - 01/01/54			283		294,944
Ginnie Mae Mortgage-Backed Securities
2.00%, 08/20/50 - 04/15/54^(d)			55,598		45,588,351
2.50%, 04/20/51 - 04/15/54^(d)			54,728		46,614,890
3.00%, 12/20/44 - 04/15/54^(d)			38,437		33,906,841
3.50%, 01/15/42 - 04/15/54^(d)			32,827		29,927,048
4.00%, 04/20/39 - 04/15/54^(d)			29,681		27,903,243
4.50%, 09/20/39 - 04/15/54^(d)			18,528		17,886,623
5.00%, 07/15/33 - 04/15/54^(d)			17,227		16,946,451
5.50%, 07/15/38 - 04/15/54^(d)			3,631		3,638,150
6.00%, 03/20/53 - 04/15/54^(d)			2,024		2,041,589
6.50%, 04/15/54^(d)			9,592		9,751,926


Security		Par (000)			Value

Mortgage-Backed Securities (continued)
Uniform Mortgage-Backed Securities
1.50%, 04/01/39 - 04/01/54^(d)	USD		8,732		$	6,833,373
2.00%, 04/01/39 - 04/01/54^(d)			32,648			26,478,343
2.50%, 04/01/39 - 04/01/54^(d)			18,709			15,481,157
3.00%, 04/01/39 - 04/01/54^(d)			26,298			22,735,322
3.50%, 04/01/39 - 04/01/54^(d)			63,634			56,964,195
4.00%, 04/01/39 - 04/01/54^(d)			6,268			5,848,149
4.50%, 04/01/39 - 04/01/54^(d)			31,502			30,107,834
5.00%, 04/01/54^(d)			8,847			8,631,406
5.50%, 04/01/54^(d)			6,795			6,761,271
6.00%, 04/01/54^(d)			2,087			2,106,000
6.50%, 04/01/54^(d)			12,164			12,425,284
7.00%, 04/01/54^(d)			4,325			4,457,722


						1,201,044,440

Principal Only Collateralized Mortgage Obligations — 1.1%
Fannie Mae
Series 2023-36, Class AO, 0.00%, 08/25/50^(e)			3,849			2,711,020
Series 2024-16, Class PO, 0.00%, 03/25/51^(e)			1,700			1,157,746
Freddie Mac
Series 5319, Class PO, 0.00%, 08/25/50^(e)			7,310			5,012,640
Series 5341, Class AO, 0.00%, 06/25/50^(e)			4,367			3,071,282
Ginnie Mae, Series 2022-195, Class PO, 0.00%, 11/20/52^(e)			617			499,936


						12,452,624


Total U.S. Government Sponsored Agency Securities — 110.5% (Cost: $1,348,966,551)						1,267,068,818


Total Long-Term Investments — 121.7% (Cost: $1,482,715,425)						1,395,457,554


		Shares

Short-Term Securities

Money Market Funds — 0.5%
Dreyfus Treasury Securities Cash Management, Institutional Class, 5.19%^(f)			5,804,208			5,804,208


		Par (000)

U.S. Treasury Obligations^(g)— 2.4%
U.S. Treasury Bills, 5.30%, 04/23/24	USD		27,396			27,307,770


Total Short-Term Securities — 2.9% (Cost: $33,111,941)						33,111,978


Total Investments Before TBA Sale Commitments — 124.6% (Cost: $1,515,827,366)						1,428,569,532


TBA Sale Commitments^(d)

Mortgage-Backed Securities — (14.2)%
Ginnie Mae Mortgage-Backed Securities
2.00%, 04/15/54			(13,751	)		(11,263,866	)
2.50%, 04/15/54			(2,136	)		(1,819,053	)
3.00%, 04/15/54			(1,540	)		(1,357,931	)
3.50%, 04/15/54			(1,170	)		(1,064,557	)
4.00%, 04/15/54			(792	)		(741,066	)
4.50%, 04/15/54			(8,265	)		(7,944,270	)
5.00%, 04/15/54			(652	)		(640,757	)
5.50%, 04/15/54			(585	)		(584,451	)
6.00%, 04/15/54			(532	)		(536,650	)
6.50%, 04/15/54			(478	)		(485,970	)


84		2 0 2 4 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, 2024

BATS: Series M Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)			Value

Mortgage-Backed Securities (continued)
Uniform Mortgage-Backed Securities
1.50%, 04/01/39 - 04/01/54	USD		(2,383	)	$	(1,924,132	)
2.00%, 04/01/39 - 04/01/54			(10,582	)		(8,538,866	)
2.50%, 04/01/39 - 04/01/54			(32,349	)		(28,137,623	)
3.00%, 04/01/39 - 04/01/54			(4,207	)		(3,648,069	)
3.50%, 04/01/39 - 04/01/54			(2,715	)		(2,440,874	)
4.00%, 04/01/39 - 04/01/54			(16,411	)		(15,200,266	)
4.50%, 04/01/39 - 04/01/54			(13,980	)		(13,316,779	)
5.00%, 04/01/54			(20,194	)		(19,702,542	)
5.50%, 04/01/54			(1,315	)		(1,308,473	)
6.00%, 04/01/54			(26,369	)		(26,608,759	)
6.50%, 04/01/54			(6,662	)		(6,806,064	)
7.00%, 04/01/54			(8,650	)		(8,911,390	)


Total TBA Sale Commitments — (14.2)% (Proceeds: $(162,731,894))						(162,982,408	)


Total Investments Net of TBA Sale Commitments — 110.4% (Cost: $1,353,095,472)						1,265,587,124
Liabilities in Excess of Other Assets — (10.4)%						(119,203,655	)


Net Assets — 100.0%					$	1,146,383,469

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

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

^(c)	All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.

^(d)	Represents or includes a TBA transaction.

^(e)	Zero-coupon bond.

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

^(g)	Rates are discount rates or a range of discount rates as of period end.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts




Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)


Long Contracts
U.S. Treasury Notes (10 Year)		36		06/18/24	$	3,989	$	(1,176	)
U.S. Treasury Notes (5 Year)		283		06/28/24		30,285		105,401


								104,225

Short Contracts
3-month SOFR		8		06/18/24		1,893		2,337
U.S. Treasury Bonds (30 Year)		134		06/18/24		16,139		(340,830	)
U.S. Ultra Treasury Notes (10 Year)		296		06/18/24		33,924		(28,147	)
U.S. Treasury Notes (2 Year)		204		06/28/24		41,715		31,092
3-month SOFR		8		09/17/24		1,897		(2,313	)
3-month SOFR		9		12/17/24		2,141		15,121


								(322,740	)


							$	(218,515	)


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

Schedule of Investments (continued)

March 31, 2024

BATS: Series M Portfolio

Centrally Cleared Interest Rate Swaps



											Upfront
						Notional					Premium		Unrealized
Paid by the Fund		Received by the Fund		Termination		Amount					Paid		Appreciation

Rate	Frequency	Rate	Frequency	Date		(000)		Value			(Received)		(Depreciation)

0.18%	Quarterly	1-day Overnight Fed Funds Effective Rate, 5.33%	Quarterly		10/21/25	USD	232	$	18,107		$	—	$	18,107

1-day SOFR, 5.34%	Quarterly	0.17%	Quarterly		10/21/25	USD	232		(18,154	)		—		(18,154	)

0.56%	Quarterly	1-day Overnight Fed Funds Effective Rate, 5.33%	Quarterly		10/21/30	USD	83		16,554			—		16,554

1-day SOFR, 5.34%	Quarterly	0.53%	Quarterly		10/21/30	USD	83		(16,852	)		—		(16,852	)


								$	(345	)	$	—	$	(345	)

OTC Credit Default Swaps — Buy Protection



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

CMBX.NA.10.BBB-		3.00	%		Monthly	Goldman Sachs International		11/17/59	USD	3,976	$	748,325	$	171,103	$	577,222
CMBX.NA.10.BBB-		3.00			Monthly	Goldman Sachs International		11/17/59	USD	4,174		785,742		188,459		597,283

											$	1,534,067	$	359,562	$	1,174,505

OTC Credit Default Swaps — Sell Protection



Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency	Counterparty	Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.10.BBB-		3.00	%	Monthly	Goldman Sachs International		11/17/59	BBB-	USD	4,398	$	(827,737	)	$	(287,722	)	$	(540,015	)
CMBX.NA.10.BBB-		3.00		Monthly	J.P. Morgan Securities LLC		11/17/59	BBB-	USD	3,753		(706,330	)		(247,427	)		(458,903	)

											$	(1,534,067	)	$	(535,149	)	$	(998,918	)

^(a)

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

^(b)

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

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



	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation

Centrally Cleared Swaps^(a)	$	—	$	—		$	34,661	$	(35,006	)
OTC Swaps		359,562		(535,149	)		1,174,505		(998,918	)

^(a)


86		2 0 2 4 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, 2024

BATS: Series M Portfolio

Derivative Financial Instruments Categorized by Risk Exposure

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



	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	153,951	$	—	$	153,951
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—		—		—		—		34,661		—		34,661
Swaps — OTC
Unrealized appreciation on OTC swaps;
Swap premiums paid		—		1,534,067		—		—		—		—		1,534,067


	$	—	$	1,534,067	$	—	$	—	$	188,612	$	—	$	1,722,679

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	372,466	$	—	$	372,466
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		—		—		—		35,006		—		35,006
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received		—		1,534,067		—		—		—		—		1,534,067


	$	—	$	1,534,067	$	—	$	—	$	407,472	$	—	$	1,941,539

^(a)

For the period ended March 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



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

Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—		$	—	$	—	$	(1,138,373	)	$	—	$	(1,138,373	)
Swaps		—		(141,153	)		—		—		45			—		(141,108	)


	$	—	$	(141,153	)	$	—	$	—	$	(1,138,328	)	$	—	$	(1,279,481	)


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	—	$	303,172		$	—	$	303,172
Swaps		—		349,860			—		—		(45	)		—		349,815


	$	—	$	349,860		$	—	$	—	$	303,127		$	—	$	652,987

Average Quarterly Balances of Outstanding Derivative Financial Instruments



Futures contracts
Average notional value of contracts — long			$25,463,239
Average notional value of contracts — short			$76,096,535
Credit default swaps
Average notional value — buy protection			$8,150,000
Average notional value — sell protection			$9,450,846
Interest rate swaps
Average notional value — pays fixed rate			$315,014
Average notional value — received fixed rate			$315,014

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


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

Schedule of Investments (continued)

March 31, 2024

BATS: Series M Portfolio

Derivative Financial Instruments – Offsetting as of Period End

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




	Assets		Liabilities


Derivative Financial Instruments
Swaps — centrally cleared	$	—	$	28
Swaps — OTC^(a)		1,534,067		1,534,067


Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,534,067	$	1,534,095


Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		(28	)


Total derivative assets and liabilities subject to an MNA	$	1,534,067	$	1,534,067

^(a)

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

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



Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non- Cash Collateral Received^(b)		Cash Collateral Received^(b)			Net Amount of Derivative Assets^(c)

Goldman Sachs International	$	1,534,067	$	(827,737	)	$	—	$	(706,330	)	$	—


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non- Cash Collateral Pledged^(b)		Cash Collateral Pledged^(b)			Net Amount of Derivative Liabilities^(d)

Goldman Sachs International	$	827,737	$	(827,737	)	$	—	$	—		$	—
J.P. Morgan Securities LLC		706,330		—			—		(706,330	)		—

	$	1,534,067	$	(827,737	)	$	—	$	(706,330	)	$	—

^(a)

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

^(b)

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

^(c)

Net amount represents the net amount receivable from the counterparty in the event of default.

^(d)

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

Fair Value Hierarchy as of Period End




	Level 1		Level 2			Level 3		Total


Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—	$	19,236,388		$	—	$	19,236,388
Non-Agency Mortgage-Backed Securities		—		109,152,348			—		109,152,348
U.S. Government Sponsored Agency Securities		—		1,267,068,818			—		1,267,068,818
Short-Term Securities
Money Market Funds		5,804,208		—			—		5,804,208
U.S. Treasury Obligations		—		27,307,770			—		27,307,770

Liabilities
TBA Sale Commitments		—		(162,982,408	)		—		(162,982,408	)

	$	5,804,208	$	1,259,782,916		$	—	$	1,265,587,124


88		2 0 2 4 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, 2024

BATS: Series M Portfolio

Fair Value Hierarchy as of Period End (continued)




	Level 1			Level 2			Level 3		Total

Derivative Financial Instruments^(a)
Assets
Credit Contracts	$	—		$	1,174,505		$	—	$	1,174,505
Interest Rate Contracts		153,951			34,661			—		188,612
Liabilities
Credit Contracts		—			(998,918	)		—		(998,918	)
Interest Rate Contracts		(372,466	)		(35,006	)		—		(407,472	)


	$	(218,515	)	$	175,242		$	—	$	(43,273	)

^(a)

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

See notes to financial statements.


S C H E D U L E S O F I N V E S T M E N T S		89

Schedule of Investments

March 31, 2024

BATS: Series P Portfolio

(Percentages shown are based on Net Assets)


Security	Shares		Value


Investment Companies

Fixed-Income Funds — 23.9%
BATS: Series S Portfolio^(a)		148,298	$	1,348,560


Total Investments — 23.9% (Cost: $1,373,919)				1,348,560

Other Assets Less Liabilities — 76.1%				4,285,265


Net Assets — 100.0%			$	5,633,825

^(a)	Affiliate of the Fund.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:



Affiliated Issuer	Value at 03/31/23		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Value at 03/31/24		Shares Held at 03/31/24		Income		Capital Gain Distributions from Underlying Funds

BATS: Series S Portfolio	$	7,902,401	$	—	$	(6,581,500)	$	(336,866	)	$	364,525	$	1,348,560		148,298	$	201,632	$	—

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts



Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)

Long Contracts
U.S. Treasury Notes (5 Year)		2		06/28/24	$	214	$	634


Short Contracts
U.S. Treasury Notes (10 Year)		27		06/18/24		2,992		(20,998	)
U.S. Ultra Treasury Notes (10 Year)		28		06/18/24		3,209		(17,247	)
U.S. Treasury Notes (2 Year)		4		06/28/24		818		614

								(37,631	)

							$	(36,997	)

Centrally Cleared Interest Rate Swaps


												Upfront
							Notional					Premium		Unrealized
Paid by the Fund		Received by the Fund		Termination			Amount					Paid		Appreciation

Rate	Frequency	Rate	Frequency	Date			(000)		Value			(Received)		(Depreciation)
		1-day Overnight Fed Funds
0.18%	Quarterly	Effective Rate, 5.33%	Quarterly		10/21/25	USD		3,167	$	247,625		$	—	$	247,625
1-day SOFR, 5.34%	Quarterly	0.17%	Quarterly		10/21/25	USD		3,167		(248,264	)		—		(248,264	)
		1-day Overnight Fed Funds
0.56%	Quarterly	Effective Rate, 5.33%	Quarterly		10/21/30	USD		336		66,766			—		66,766
1-day SOFR, 5.34%	Quarterly	0.53%	Quarterly		10/21/30	USD		336		(67,969	)		—		(67,969	)
0.75%	Quarterly	1-day SOFR, 5.34%	Quarterly		10/21/35	USD		22		6,437			—		6,437
1-day Overnight Fed Funds
Effective Rate, 5.33%	Quarterly	0.79%	Quarterly		10/21/35	USD		22		(6,260	)		—		(6,260	)
0.84%	Quarterly	1-day SOFR, 5.34%	Quarterly		10/21/40	USD		39		14,520			—		14,520
1-day Overnight Fed Funds
Effective Rate, 5.33%	Quarterly	0.91%	Quarterly		10/21/40	USD		39		(13,989	)		—		(13,989	)


90		2 0 2 4 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, 2024

BATS: Series P Portfolio

Centrally Cleared Interest Rate Swaps (continued)


														Upfront
									Notional					Premium		Unrealized
Paid by the Fund			Received by the Fund			Termination			Amount					Paid		Appreciation

Rate	Frequency		Rate	Frequency		Date			(000)		Value			(Received)		(Depreciation)
0.91%		Quarterly	1-day SOFR, 5.34%		Quarterly		10/21/50	USD		22	$	10,279		$	—	$	10,279
1-day Overnight Fed Funds
Effective Rate, 5.33%		Quarterly	0.99%		Quarterly		10/21/50	USD		22		(9,813	)		—		(9,813	)

											$	(668	)	$	—	$	(668	)

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)	$	—	$	—	$	345,627	$	(346,295	)

^(a)

Derivative Financial Instruments Categorized by Risk Exposure

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



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

Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	1,248	$	—	$	1,248
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—		—		—		—		345,627		—		345,627


	$	—	$	—	$	—	$	—	$	346,875	$	—	$	346,875

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	38,245	$	—	$	38,245
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps		—		—		—		—		346,295		—		346,295


	$	—	$	—	$	—	$	—	$	384,540	$	—	$	384,540

^(a)

For the period ended March 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



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

Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—	$	—	$	—	$	397,910	$	—	$	397,910
Swaps		—		—		—		—		660		—		660


	$	—	$	—	$	—	$	—	$	398,570	$	—	$	398,570

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	—	$	923,325	$	—	$	923,325
Swaps		—		—		—		—		720		—		720


	$	—	$	—	$	—	$	—	$	924,045	$	—	$	924,045


S C H E D U L E S O F I N V E S T M E N T S		91

Schedule of Investments (continued)

March 31, 2024

BATS: Series P Portfolio

Average Quarterly Balances of Outstanding Derivative Financial Instruments



Futures contracts
Average notional value of contracts — long		$1,249,480
Average notional value of contracts — short	$	19,617,274
Interest rate swaps
Average notional value — pays fixed rate		$3,586,320
Average notional value — received fixed rate		$3,586,320

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

Fair Value Hierarchy as of Period End




	Level 1			Level 2			Level 3		Total


Assets
Investments
Long-Term Investments
Investment Companies	$	1,348,560		$	—		$	—	$	1,348,560

Derivative Financial Instruments^(a)
Assets
Interest Rate Contracts	$	1,248		$	345,627		$	—	$	346,875
Liabilities
Interest Rate Contracts		(38,245	)		(346,295	)		—		(384,540	)


	$	(36,997	)	$	(668	)	$	—	$	(37,665	)

^(a)

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

See notes to financial statements.


92		2 0 2 4 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, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities
AGL CLO 3 Ltd., Series 2020-3A, Class A, (3-mo. CME Term SOFR + 1.56%), 6.88%, 01/15/33^(a)(b)	USD		250	$	249,880
American Express Credit Account Master Trust
Series 2021-1, Class A, 0.90%, 11/15/26			1,385		1,344,537
Series 2022-1, Class A, 2.21%, 03/15/27			1,711		1,661,524
Series 2022-2, Class A, 3.39%, 05/15/27			3,560		3,486,453
Series 2022-3, Class A, 3.75%, 08/15/27			4,341		4,257,337
AmeriCredit Automobile Receivables Trust
Series 2021-3, Class A3, 0.76%, 08/18/26			596		584,964
Series 2022-1, Class A3, 2.45%, 11/18/26			548		538,432
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, (3-mo. CME Term SOFR + 1.35%), 6.67%, 01/28/31^(a)(b)			393		390,520
ARI Fleet Lease Trust, Series 2024-A, Class A2, 5.30%, 11/15/32^(a)			265		264,428
Atrium XIII, Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.08%, 11/21/30^(a)(b)			800		801,178
BA Credit Card Trust
Series 2022-A1, Class A1, 3.53%, 11/15/27			4,668		4,574,535
Series 2022-A2, Class A2, 5.00%, 04/15/28			822		819,848
Series 2023-A1, Class A1, 4.79%, 05/15/28			2,758		2,745,176
Bain Capital Credit CLO Ltd., Series 2021-5A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/23/34^(a)(b)			500		496,988
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 6.68%, 01/20/31^(a)(b)			390		389,984
Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.66%, 04/30/31^(a)(b)			413		412,759
BHG Securitization Trust, Series 2022-B, Class A, 3.75%, 06/18/35^(a)			9		8,973
Birch Grove CLO 2 Ltd., Series 2021-2A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.32%, 10/19/34^(a)(b)			250		250,627
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.34%, 07/25/34^(a)(b)			250		250,027
BMW Vehicle Owner Trust
Series 2022-A, Class A3, 3.21%, 08/25/26			2,162		2,129,185
Series 2023-A, Class A3, 5.47%, 02/25/28			629		631,580
Canyon CLO Ltd., Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/15/34^(a)(b)			250		249,449
Capital One Multi-Asset Execution Trust
Series 2022-A1, Class A1, 2.80%, 03/15/27			3,331		3,251,334
Series 2022-A2, Class A, 3.49%, 05/15/27			4,940		4,840,908
Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.66%, 05/17/27			2,053		2,013,830
CarMax Auto Owner Trust
Series 2021-1, Class A3, 0.34%, 12/15/25			210		207,366
Series 2021-2, Class A3, 0.52%, 02/17/26			257		252,578
Series 2022-2, Class A3, 3.49%, 02/16/27			2,687		2,645,914
Series 2022-3, Class A3, 3.97%, 04/15/27			1,390		1,371,096
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.68%, 07/17/31^(a)(b)			462		462,298
Cedar Funding VII CLO Ltd., Series 2018-7A, Class A2, (3-mo. CME Term SOFR + 1.39%), 6.71%, 01/20/31^(a)(b)			875		876,419
Chase Issuance Trust, Series 2023-A1, Class A, 5.16%, 09/15/28			2,680		2,693,660
Chesapeake Funding II LLC, Series 2023-2A, Class A1, 6.16%, 10/15/35^(a)			372		374,622


Security		Par (000)		Value

Asset-Backed Securities (continued)
CIFC Funding Ltd., Series 2014-3A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.78%, 10/22/31^(a)(b)	USD		984	$	985,472
CNH Equipment Trust
Series 2022-B, Class A3, 3.89%, 08/16/27			614		603,288
Series 2024-A, Class A3, 4.77%, 06/15/29			452		449,412
College Ave Student Loans LLC
Series 2021-B, Class A1, (1-mo. CME Term SOFR + 0.91%), 6.24%, 06/25/52^(a)(b)			188		181,976
Series 2021-C, Class B, 2.72%, 07/26/55^(a)			100		87,725
Series 2023-A, Class A1, (SOFR (30-day) + 1.90%), 7.22%, 05/25/55^(a)(b)			454		459,885
Credit Acceptance Auto Loan Trust
Series 2022-1A, Class A, 4.60%, 06/15/32^(a)			780		773,031
Series 2022-3A, Class A, 6.57%, 10/15/32^(a)			452		454,756
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.50%), 6.82%, 07/15/36^(a)(b)			250		250,150
Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%), 7.33%, 10/15/36^(a)(b)			250		250,426
Discover Card Execution Notes Trust, Series 2017-A5, Class A5, (1-mo. CME Term SOFR + 0.71%), 6.04%, 12/15/26^(b)			925		926,012
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34^(a)			55		54,753
Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, (3-mo. CME Term SOFR + 1.28%), 6.60%, 04/15/29^(a)(b)			150		149,898
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/15/30^(a)(b)			700		701,292
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45^(a)			68		60,131
ELFI Graduate Loan Program LLC
Series 2022-A, Class A, 4.51%, 08/26/47^(a)			464		443,544
Series 2023-A, Class A, 6.37%, 02/04/48^(a)			460		469,439
Enterprise Fleet Financing LLC
Series 2023-2, Class A2, 5.56%, 04/22/30^(a)			935		936,145
Series 2024-1, Class A2, 5.23%, 03/20/30^(a)			429		428,292
Series 2024-1, Class A3, 5.16%, 09/20/30^(a)			50		49,870
Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26^(a)			47		46,610
Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39^(a)	CAD		309		223,158
Ford Credit Auto Owner Trust
Series 2021-A, Class A3, 0.30%, 08/15/25	USD		70		69,022
Series 2022-B, Class A4, 3.93%, 08/15/27			417		408,145
Series 2023-1, Class A, 4.85%, 08/15/35^(a)			1,380		1,372,096
Series 2023-2, Class A, 5.28%, 02/15/36^(a)			1,125		1,138,268
Series 2023-A, Class A3, 4.65%, 02/15/28			201		199,209
Series 2024-1, Class A, 4.87%, 08/15/36^(a)			739		737,489
Series 2024-A, Class A3, 12/15/28^(c)			1,900		1,905,456
Ford Credit Floorplan Master Owner Trust A
Series 2018-4, Class A, 4.06%, 11/15/30			907		872,570
Series 2019-4, Class B, 2.64%, 09/15/26			264		259,676
Series 2023-1, Class A1, 4.92%, 05/15/28^(a)			1,246		1,239,856
Series 2023-1, Class A2, (SOFR (30-day) + 1.25%), 6.57%, 05/15/28^(a)(b)			260		263,784
Series 2023-1, Class B, 5.31%, 05/15/28^(a)			280		278,434
Foundation Finance Trust, Series 2024-1A, Class A, 12/15/49^(a)(c)			393		392,956


S C H E D U L E S O F I N V E S T M E N T S		93

Schedule of Investments (continued)

March 31, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1-mo. CME Term SOFR + 1.33%), 6.66%, 05/16/38^(a)(b)	USD		275	$	270,886
Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3-mo. CME Term SOFR + 1.66%), 6.98%, 07/24/30^(a)(b)			250		249,927
Generate CLO 2 Ltd., Series 2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.73%, 01/22/31^(a)(b)			1,293		1,293,082
Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. CME Term SOFR + 1.62%), 04/22/37^(a)(b)(c)			1,170		1,170,642
GM Financial Consumer Automobile Receivables Trust
Series 2022-1, Class A4, 1.51%, 04/17/28			277		259,726
Series 2022-2, Class A3, 3.10%, 02/16/27			847		832,234
Series 2022-2, Class A4, 3.25%, 04/17/28			629		605,909
Series 2022-3, Class A4, 3.71%, 12/16/27			887		861,707
Series 2023-4, Class A3, 5.78%, 08/16/28			668		677,811
GM Financial Revolving Receivables Trust
Series 2023-2, Class A, 5.77%, 08/11/36^(a)			1,031		1,064,374
Series 2024-1, Class A, 4.98%, 12/11/36^(a)			284		285,200
GoodLeap Sustainable Home Solutions Trust
Series 2021-4GS, Class A, 1.93%, 07/20/48^(a)			133		103,261
Series 2021-5CS, Class A, 2.31%, 10/20/48^(a)			55		43,837
Series 2022-1GS, Class A, 2.70%, 01/20/49^(a)			100		82,612
Series 2022-2CS, Class A, 4.00%, 04/20/49^(a)			74		65,942
Series 2023-1GS, Class A, 5.52%, 02/22/55^(a)			328		318,404
Series 2023-3C, Class A, 6.50%, 07/20/55^(a)			312		321,929
Honda Auto Receivables Owner Trust
Series 2021-1, Class A3, 0.27%, 04/21/25			67		66,823
Series 2023-1, Class A3, 5.04%, 04/21/27			1,050		1,047,283
Series 2023-4, Class A3, 5.67%, 06/21/28			937		948,339
Hyundai Auto Receivables Trust
Series 2021-C, Class A3, 0.74%, 05/15/26			373		364,228
Series 2022-B, Class A3, 3.72%, 11/16/26			507		500,185
Series 2023-A, Class A3, 4.58%, 04/15/27			998		988,996
Series 2023-B, Class A3, 5.48%, 04/17/28			1,424		1,433,375
Series 2023-C, Class A3, 5.54%, 10/16/28			1,087		1,098,864
Series 2024-A, Class A3, 02/15/29^(c)			1,466		1,465,910
Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.39%, 07/25/34^(a)(b)			250		249,236
John Deere Owner Trust
Series 2023-B, Class A3, 5.18%, 03/15/28			529		529,102
Series 2024-A, Class A3, 11/15/28^(c)			981		980,845
Lendmark Funding Trust, Series 2023-1A, Class A, 5.59%, 05/20/33^(a)			155		154,111
Mariner Finance Issuance Trust
Series 2020-AA, Class A, 2.19%, 08/21/34^(a)			110		108,255
Series 2021-AA, Class A, 1.86%, 03/20/36^(a)			140		128,846
Mercedes-Benz Auto Receivables Trust, Series 2023-2, Class A3, 5.95%, 11/15/28			760		773,390
MMAF Equipment Finance LLC, Series 2024-A, Class A3, 4.95%, 07/14/31^(a)			150		149,135
Navient Private Education Loan Trust, Series 2020-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.34%, 11/15/68^(a)(b)			1,101		1,094,007
Navient Private Education Refi Loan Trust
Series 2019-CA, Class A2, 3.13%, 02/15/68^(a)			201		193,381
Series 2019-GA, Class A, 2.40%, 10/15/68^(a)			82		77,421
Series 2020-BA, Class A2, 2.12%, 01/15/69^(a)			305		280,350
Series 2020-DA, Class A, 1.69%, 05/15/69^(a)			374		341,391
Series 2020-FA, Class A, 1.22%, 07/15/69^(a)			530		479,877
Series 2020-IA, Class A1A, 1.33%, 04/15/69^(a)			748		675,790
Series 2021-A, Class A, 0.84%, 05/15/69^(a)			64		56,130


Security		Par (000)		Value

Asset-Backed Securities (continued)
Navient Private Education Refi Loan Trust
Series 2021-BA, Class A, 0.94%, 07/15/69^(a)	USD		397	$	346,846
Series 2022-BA, Class A, 4.16%, 10/15/70^(a)			904		864,297
Navient Student Loan Trust, Series 2023-BA, Class A1B, (SOFR (30-day) + 1.70%), 7.02%, 03/15/72^(a)(b)			316		318,955
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28^(a)			167		168,303
Nelnet Student Loan Trust
Series 2021-A, Class APT2, 1.36%, 04/20/62^(a)			544		492,064
Series 2021-CA, Class AFL, (1-mo. CME Term SOFR + 0.85%), 6.18%, 04/20/62^(a)(b)			400		396,540
Neuberger Berman CLO XV Ltd., Series 2013-15A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 6.50%, 10/15/29^(a)(b)			375		375,386
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A3, 4.91%, 11/15/27			2,002		1,992,955
OCP CLO Ltd., Series 2020-19A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/20/34^(a)(b)			250		249,623
Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/15/34^(a)(b)			300		298,449
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.23%), 6.55%, 04/15/31^(a)(b)			394		393,591
OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.72%, 07/20/34^(a)(b)			1,000		1,000,659
OneMain Direct Auto Receivables Trust, Series 2021- 1A, Class A, 0.87%, 07/14/28^(a)			1,412		1,361,818
OneMain Financial Issuance Trust
Series 2019-2A, Class A, 3.14%, 10/14/36^(a)			402		378,209
Series 2023-1A, Class A, 5.50%, 06/14/38^(a)			445		451,655
Series 2023-2A, Class A2, (SOFR (30-day) + 1.50%), 6.82%, 09/15/36^(a)(b)			377		383,027
OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.08%, 01/17/31^(a)(b)			250		250,276
Pagaya AI Technology in Housing Trust, Series 2023-1, Class A, 3.60%, 10/25/40^(a)			495		456,043
Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.71%, 01/17/31^(a)(b)			648		648,217
Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.38%, 07/20/29^(a)(b)			544		543,737
Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 6.58%, 10/20/31^(a)(b)			747		746,341
PFS Financing Corp.
Series 2021-A, Class A, 0.71%, 04/15/26^(a)			230		229,521
Series 2022-D, Class A, 4.27%, 08/15/27^(a)			706		694,897
Series 2023-A, Class A, 5.80%, 03/15/28^(a)			1,030		1,040,994
Series 2023-C, Class A, 5.52%, 10/15/28^(a)			432		435,811
Pikes Peak CLO 8, Series 2021-8A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.33%, 07/20/34^(a)(b)			250		249,824
Porsche Financial Auto Securitization Trust
Series 2023-1A, Class A3, 4.81%, 09/22/28^(a)			1,080		1,073,944
Series 2023-2A, Class A3, 5.79%, 01/22/29^(a)			517		522,649
Prodigy Finance DAC, Series 2021-1A, Class A, (1-mo. CME Term SOFR + 1.36%), 6.69%, 07/25/51^(a)(b)			56		56,006
Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40^(a)			516		458,142


94		2 0 2 4 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, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
RAD CLO 1 Ltd., Series 2018-1A, Class AR, (3-mo. CME Term SOFR + 1.24%), 6.56%, 07/15/31^(a)(b)	USD		411	$	411,318
Regional Management Issuance Trust
Series 2021-1, Class A, 1.68%, 03/17/31^(a)			104		100,445
Series 2021-2, Class A, 1.90%, 08/15/33^(a)			421		377,308
Series 2022-2B, Class A, 7.10%, 11/17/32^(a)			140		141,394
Santander Drive Auto Receivables Trust
Series 2022-3, Class A3, 3.40%, 12/15/26			321		319,175
Series 2023-5, Class A3, 6.02%, 09/15/28			896		905,496
SLM Student Loan Trust, Series 2013-4, Class A, (SOFR (30-day) + 0.66%), 5.99%, 06/25/43^(b)			144		142,777
SMB Private Education Loan Trust
Series 2016-A, Class A2B, (1-mo. CME Term SOFR + 1.61%), 6.94%, 05/15/31^(a)(b)			103		103,327
Series 2016-B, Class A2B, (1-mo. CME Term SOFR + 1.56%), 6.89%, 02/17/32^(a)(b)			150		150,165
Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.34%, 09/15/34^(a)(b)			470		468,959
Series 2019-B, Class A2B, (1-mo. CME Term SOFR + 1.11%), 6.44%, 06/15/37^(a)(b)			617		618,791
Series 2021-A, Class A2A1, (1-mo. CME Term SOFR + 0.84%), 6.17%, 01/15/53^(a)(b)			780		772,395
Series 2021-A, Class APL, (1-mo. CME Term SOFR + 0.84%), 6.17%, 01/15/53^(a)(b)			916		890,828
Series 2022-A, Class APT, 2.85%, 11/16/54^(a)			630		577,692
Series 2022-B, Class A1A, 3.94%, 02/16/55^(a)			656		621,933
Series 2023-B, Class A1B, (SOFR (30-day) + 1.80%), 7.12%, 10/16/56^(a)(b)			714		728,286
Series 2023-C, Class A1A, 5.67%, 11/15/52^(a)			159		160,804
Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 03/15/56^(a)(b)(c)			770		773,155
SoFi Professional Loan Program Trust
Series 2020-A, Class A2FX, 2.54%, 05/15/46^(a)			185		173,431
Series 2020-C, Class AFX, 1.95%, 02/15/46^(a)			253		230,859
SPLT
Series 23-1, Class A, 6.00%, 10/12/30^(a)			302		302,008
Series 24-1, Class A,, 6.06%, 02/12/31^(a)			460		459,980
TCI-Symphony CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.51%, 07/15/30^(a)(b)			849		848,908
Toyota Auto Loan Extended Note Trust, Series 2023-1A, Class A, 4.93%, 06/25/36^(a)			1,589		1,591,462
Toyota Auto Receivables Owner Trust
Series 2020-C, Class A4, 0.57%, 10/15/25			1,085		1,076,839
Series 2022-B, Class A3, 2.93%, 09/15/26			1,076		1,058,105
Series 2022-B, Class A4, 3.11%, 08/16/27			573		551,206
Series 2023-B, Class A3, 4.71%, 02/15/28			764		758,361
Series 2023-C, Class A3, 5.16%, 04/17/28			340		340,309
Verizon Master Trust
Series 2024-1, Class A1A, 5.00%, 12/20/28			3,133		3,123,468
Series 2024-2, Class A, 4.83%, 12/22/31^(a)			266		265,790
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/26			630		615,448
Voya CLO Ltd., Series 2018-3A, Class A1A, (3-mo. CME Term SOFR + 1.41%), 6.73%, 10/15/31^(a)(b)			917		917,042
WF Card Issuance Trust, Series 2024-A1, Class A, 4.94%, 02/15/29			1,902		1,902,883
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3-mo. CME Term SOFR + 1.48%), 6.80%, 10/24/34^(a)(b)			400		399,800


Total Asset-Backed Securities — 32.2% (Cost: $127,455,424)					126,102,314


Security		Par (000)		Value

Corporate Bonds

Aerospace & Defense — 1.1%
BAE Systems PLC, 03/26/27^(a)(c)	USD		425	$	424,136
Boeing Co. (The), 2.20%, 02/04/26			1,470		1,376,213
L3Harris Technologies, Inc.
5.40%, 01/15/27			942		948,721
4.40%, 06/15/28			218		212,037
06/01/29^(c)			575		573,163
Lockheed Martin Corp., 4.50%, 02/15/29			585		579,453
RTX Corp.
2.65%, 11/01/26			38		35,808
5.75%, 01/15/29			315		325,937

					4,475,468

Automobiles — 0.3%
Nissan Motor Acceptance Co. LLC, 7.05%, 09/15/28^(a).			149		155,747
Traton Finance Luxembourg SA
0.00%, 06/14/24^(d)(e)	EUR		500		535,061
4.13%, 11/22/25^(d)			100		108,285
03/27/27^(c)(d)			300		323,914

					1,123,007

Banks — 5.9%
Banco de Sabadell SA, 4.00%, 01/15/30^(d)			100		109,324
Bank of America Corp.
1.53%, 12/06/25	USD		1,188		1,154,610
1.32%, 06/19/26			917		871,664
1.20%, 10/24/26			163		152,562
5.08%, 01/20/27			700		696,475
2.55%, 02/04/28			415		385,751
5.82%, 09/15/29			661		677,749
Barclays PLC
3.93%, 05/07/25			800		798,376
03/12/30^(c)			590		593,072
Citigroup, Inc.
3.11%, 04/08/26			507		494,167
3.40%, 05/01/26			1,109		1,067,801
5.61%, 09/29/26			233		233,371
3.89%, 01/10/28			245		236,246
5.17%, 02/13/30			700		696,734
Series VAR, 3.07%, 02/24/28			925		870,075
HSBC Holdings PLC
2.25%, 11/22/27			865		797,215
4.58%, 06/19/29			200		194,083
HSBC U.S.A., Inc., 5.29%, 03/04/27			745		749,332
JPMorgan Chase & Co.
3.96%, 01/29/27			97		94,684
1.58%, 04/22/27			238		220,653
5.04%, 01/23/28			960		956,690
3.78%, 02/01/28			391		376,549
5.30%, 07/24/29			1,779		1,792,216
6.09%, 10/23/29			820		852,482
KBC Group NV, 4.25%, 11/28/29^(d)	EUR		200		220,890
Morgan Stanley Bank N.A., 4.95%, 01/14/28	USD		1,390		1,384,275
NatWest Group PLC, 7.47%, 11/10/26			433		444,746
Toronto-Dominion Bank (The), 5.52%, 07/17/28			422		430,978
Truist Financial Corp.
6.05%, 06/08/27			1,032		1,045,929
5.44%, 01/24/30			275		274,679
U.S. Bancorp, 5.38%, 01/23/30			285		286,259
Wells Fargo & Co.
5.57%, 07/25/29			1,807		1,828,417
6.30%, 10/23/29			325		338,501


S C H E D U L E S O F I N V E S T M E N T S		95

Schedule of Investments (continued)

March 31, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Banks (continued)
Wells Fargo & Co. 5.20%, 01/23/30	USD		585	$	583,767
Westpac Banking Corp., 4.18%, 05/22/28^(a)			1,205		1,177,778

					23,088,100

Biotechnology — 0.3%
AbbVie, Inc., 4.80%, 03/15/29			1,140		1,141,673


Capital Markets — 1.9%
Charles Schwab Corp. (The), 5.88%, 08/24/26			547		556,117
Credit Suisse AG, 5.00%, 07/09/27			491		486,525
Deutsche Bank AG
1.45%, 04/01/25			518		518,000
2.13%, 11/24/26			150		141,452
5.37%, 09/09/27			150		150,777
6.82%, 11/20/29			150		156,811
Goldman Sachs Group, Inc. (The)
2.64%, 02/24/28			565		526,231
6.48%, 10/24/29			845		889,041
Morgan Stanley
2.48%, 01/21/28			871		810,227
4.21%, 04/20/28			160		155,477
5.16%, 04/20/29			1,405		1,403,866
6.41%, 11/01/29			215		225,441
UBS Group AG
4.70%, 08/05/27^(a)			1,100		1,079,363
0.25%, 11/05/28^(d)	EUR		294		280,287

					7,379,615

Chemicals — 0.0%
LYB International Finance III LLC, 1.25%, 10/01/25	USD		203		190,576


Communications Equipment — 0.1%
Motorola Solutions, Inc., 2.30%, 11/15/30			410		344,161


Consumer Finance — 1.8%
American Express Co.
2.55%, 03/04/27			772		721,019
5.10%, 02/16/28			440		439,321
Capital One Financial Corp.
3.30%, 10/30/24			258		254,486
4.17%, 05/09/25			700		698,571
4.99%, 07/24/26			300		298,065
6.31%, 06/08/29			343		352,623
Ford Motor Credit Co. LLC
6.95%, 06/10/26			669		683,534
5.80%, 03/05/27			915		918,384
7.35%, 11/04/27			670		702,677
03/08/29^(c)			200		200,796
General Motors Financial Co., Inc.
6.05%, 10/10/25			500		503,703
2.35%, 02/26/27			340		313,926
5.40%, 05/08/27			495		496,295
Hyundai Capital America
5.50%, 03/30/26^(a)			268		268,437
1.65%, 09/17/26^(a)			415		379,582

					7,231,419

Containers & Packaging — 0.0%
Sonoco Products Co., 2.25%, 02/01/27			121		112,105


Diversified REITs — 1.7%
American Tower Corp., 5.50%, 03/15/28			540		544,522
Crown Castle, Inc., 1.05%, 07/15/26			618		561,743
Equinix, Inc.
1.25%, 07/15/25			150		141,885


Security		Par (000)		Value

Diversified REITs (continued)
Equinix, Inc.
1.45%, 05/15/26	USD		125	$	114,976
2.90%, 11/18/26			672		630,371
1.80%, 07/15/27			600		537,863
3.20%, 11/18/29			420		375,996
VICI Properties LP, 4.38%, 05/15/25			2,479		2,436,677
VICI Properties LP/VICI Note Co., Inc.
4.63%, 06/15/25^(a)			538		529,749
4.63%, 12/01/29^(a)			730		690,379

					6,564,161

Diversified Telecommunication Services — 0.3%
British Telecommunications PLC, 4.25%, 01/06/33^(d)	EUR		100		112,287
NTT Finance Corp.
4.37%, 07/27/27^(a)	USD		275		270,161
1.59%, 04/03/28^(a)			200		176,457
Verizon Communications, Inc., 4.33%, 09/21/28			565		552,426

					1,111,331

Electric Utilities — 1.3%
Duke Energy Corp.
2.65%, 09/01/26			222		209,622
4.85%, 01/05/29			535		529,952
Edison International
3.55%, 11/15/24			123		121,337
4.70%, 08/15/25			380		375,333
Eversource Energy
4.75%, 05/15/26			285		282,044
2.90%, 03/01/27			353		331,860
5.45%, 03/01/28			245		248,025
Exelon Corp.
2.75%, 03/15/27			387		362,291
5.15%, 03/15/28			169		169,413
Georgia Power Co., 5.00%, 02/23/27			295		295,354
National Grid Electricity Transmission PLC, 0.19%, 01/20/25^(d)	EUR		295		309,166
NextEra Energy Capital Holdings, Inc.
1.88%, 01/15/27	USD		550		503,627
1.90%, 06/15/28			112		99,200
Pacific Gas & Electric Co., 3.45%, 07/01/25			255		248,050
San Diego Gas & Electric Co., 4.95%, 08/15/28			138		138,518
Southern California Edison Co., 5.65%, 10/01/28			110		113,157
Texas Electric Market Stabilization Funding N LLC, Series A-1, 4.27%, 08/01/34^(a)			308		297,824
Virginia Electric & Power Co., Series A, 3.80%,
04/01/28			293		281,279

					4,916,052

Financial Services — 0.3%
Glencore Funding LLC
6.13%, 10/06/28^(a)			423		437,115
04/04/29^(a)(c)			700		701,388

					1,138,503

Food Products — 0.0%
General Mills, Inc., 5.24%, 11/18/25			109		108,657


Ground Transportation — 0.7%
Canadian Pacific Railway Co.
1.35%, 12/02/24			1,398		1,359,316
4.00%, 06/01/28			114		109,873
Penske Truck Leasing Co. LP/PTL Finance Corp.
1.20%, 11/15/25^(a)			632		589,578
5.75%, 05/24/26^(a)			241		242,743


96		2 0 2 4 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, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Ground Transportation (continued)
Ryder System, Inc., 2.85%, 03/01/27	USD		370	$	346,833
SMBC Aviation Capital Finance DAC, 1.90%, 10/15/26^(a)			200		182,514

					2,830,857

Health Care Equipment & Supplies — 0.2%
Sartorius Finance BV, 4.25%, 09/14/26^(d)	EUR		300		327,015
Solventum Corp., 5.40%, 03/01/29^(a)	USD		330		330,665

					657,680

Health Care Providers & Services — 0.7%
HCA, Inc.
5.25%, 04/15/25			831		827,530
5.25%, 06/15/26			395		393,848
5.38%, 09/01/26			1,022		1,021,762
3.13%, 03/15/27			123		116,327
PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25			114		106,044
UnitedHealth Group, Inc., 04/15/29^(c)			200		199,311

					2,664,822

Health Care REITs — 0.0%
Healthpeak OP LLC, 1.35%, 02/01/27			100		90,242


Household Durables — 0.1%
DR Horton, Inc., 1.30%, 10/15/26			245		222,846


Insurance — 0.2%
Aon Corp./Aon Global Holdings PLC, 2.85%, 05/28/27			194		181,515
Aon North America, Inc., 5.15%, 03/01/29			730		733,998

					915,513

IT Services — 0.1%
Global Payments, Inc., 1.20%, 03/01/26			282		260,858


Media — 0.4%
Charter Communications Operating LLC/Charter
Communications Operating Capital
6.15%, 11/10/26			65		65,509
4.20%, 03/15/28			813		766,276
2.25%, 01/15/29			332		282,442
Informa PLC, 2.13%, 10/06/25^(d)	EUR		437		459,444

					1,573,671

Metals & Mining — 0.1%
Anglo American Capital PLC, 06/15/29^(c)(d)			380		410,086


Multi-Utilities — 0.5%
Consumers Energy Co., 4.60%, 05/30/29	USD		270		266,860
Engie SA, 3.63%, 12/06/26^(d)	EUR		300		324,973
National Grid North America, Inc., 4.15%, 09/12/27^(d)			290		318,066
NiSource, Inc., 5.25%, 03/30/28	USD		719		723,943
Sempra, 3.30%, 04/01/25			148		144,796

					1,778,638

Oil, Gas & Consumable Fuels — 2.6%
Diamondback Energy, Inc., 3.50%, 12/01/29			493		456,044
Energy Transfer LP
4.50%, 04/15/24			500		499,728
2.90%, 05/15/25			910		883,235
6.10%, 12/01/28			827		857,351
Eni SpA, 3.63%, 05/19/27^(d)	EUR		240		260,301
Kinder Morgan, Inc., 5.00%, 02/01/29	USD		305		303,746
Marathon Petroleum Corp., 4.70%, 05/01/25			235		233,004
MPLX LP, 1.75%, 03/01/26			886		828,227
Occidental Petroleum Corp.
8.50%, 07/15/27			300		325,623
6.38%, 09/01/28			220		228,457


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
ONEOK, Inc.
5.55%, 11/01/26	USD		490	$	494,485
5.65%, 11/01/28			412		421,148
Pioneer Natural Resources Co., 5.10%, 03/29/26			402		401,493
Sabine Pass Liquefaction LLC
5.63%, 03/01/25			1,691		1,689,521
5.00%, 03/15/27			101		100,705
Targa Resources Corp., 5.20%, 07/01/27			527		526,237
Western Midstream Operating LP, 6.35%, 01/15/29			195		202,233
Williams Cos., Inc. (The), 5.40%, 03/02/26			1,389		1,392,567

					10,104,105

Passenger Airlines — 0.2%
Delta Air Lines, Inc., 7.00%, 05/01/25^(a)			970		982,727


Pharmaceuticals — 0.3%
Bayer AG
4.00%, 08/26/26^(d)	EUR		280		304,281
0.75%, 01/06/27^(d)			200		198,339
Bristol-Myers Squibb Co., 4.90%, 02/22/29	USD		440		441,852
Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/28			309		304,603

					1,249,075

Professional Services — 0.1%
Teleperformance SE, 5.25%, 11/22/28^(d)	EUR		200		221,403


Semiconductors & Semiconductor Equipment — 0.5%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27	USD		1,099		1,065,403
Microchip Technology, Inc., 5.05%, 03/15/29			445		445,067
NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.70%, 05/01/25			655		634,878

					2,145,348

Software — 0.8%
Oracle Corp.
1.65%, 03/25/26			973		908,126
2.65%, 07/15/26			748		707,789
VMware LLC, 1.40%, 08/15/26			1,585		1,447,513
Workday, Inc., 3.50%, 04/01/27			278		266,202

					3,329,630

Specialized REITs — 0.2%
American Tower Corp.
3.38%, 10/15/26			502		479,480
3.55%, 07/15/27			6		5,704
02/15/29^(c)			255		254,876

					740,060

Tobacco — 0.9%
Altria Group, Inc., 6.20%, 11/01/28			879		916,157
BAT Capital Corp.
3.22%, 08/15/24			260		257,451
2.79%, 09/06/24			700		691,160
3.56%, 08/15/27			199		188,442
BAT International Finance PLC, 5.93%, 02/02/29			692		710,287
Philip Morris International, Inc.
5.13%, 11/15/24			474		472,868
4.88%, 02/13/26			241		240,038
5.13%, 11/17/27			114		114,590

					3,590,993

Wireless Telecommunication Services — 1.1%
Rogers Communications, Inc.
3.20%, 03/15/27			825		783,153
5.00%, 02/15/29			435		431,979


S C H E D U L E S O F I N V E S T M E N T S		97

Schedule of Investments (continued)

March 31, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)			Value

Wireless Telecommunication Services (continued)
Sprint LLC
7.13%, 06/15/24	USD		460		$	460,788
7.63%, 03/01/26			204			210,760
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 4.74%, 03/20/25^(a).			100			99,449
T-Mobile U.S.A., Inc.
1.50%, 02/15/26			224			209,132
2.25%, 02/15/26			769			727,672
2.63%, 04/15/26			585			555,690
3.75%, 04/15/27			343			330,346
4.85%, 01/15/29			470			466,519

						4,275,488


Total Corporate Bonds — 24.7% (Cost: $96,806,786)						96,968,870


Foreign Agency Obligations

Canada — 0.4%
CPPIB Capital, Inc., 0.50%, 09/16/24^(a)			1,480			1,447,483


Saudi Arabia — 0.0%
Saudi Arabian Oil Co., 2.88%, 04/16/24^(a)			220			219,362


Total Foreign Agency Obligations — 0.4% (Cost: $1,699,397)						1,666,845


Foreign Government Obligations

Canada — 0.2%
Ontario Teachers’ Finance Trust, 4.25%, 04/25/28^(a)			965			950,993


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


Total Foreign Government Obligations — 0.2% (Cost: $964,116)						950,996


Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 3.4%
Angel Oak Mortgage Trust
Series 2020-2, Class A1A, 2.53%, 01/26/65^(a)(b)			129			119,433
Series 2022-2, Class A1, 3.35%, 01/25/67^(a)(b)			286			261,695
Series 2023-6, Class A1, 6.50%, 12/25/67^(a)(g)			191			192,085
Arroyo Mortgage Trust, Series 2022-2, Class A1, 4.95%, 07/25/57^(a)(g)			250			245,713
Barclays Mortgage Loan Trust, Series 2024-NQM1, Class A1, 5.90%, 01/25/64^(a)(g)			486			482,703
BRAVO Residential Funding Trust, Series 2023-NQM6, Class A1, 6.60%, 09/25/63^(a)(g)			412			414,405
Chase Home Lending Mortgage Trust, Series 2019- ATR2, Class A3, 3.50%, 07/25/49^(a)(b)			144			127,339
COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 02/25/67^(a)(b)			123			116,737
Credit Suisse Mortgage Capital Trust, Series 2022- ATH1, Class A1A, 2.87%, 01/25/67^(a)(b)			271			251,628
Flagstar Mortgage Trust
Series 2020-1INV, Class A11, (1-mo. CME Term SOFR + 0.96%), 6.00%, 03/25/50^(a)(b)			409			385,579
Series 2021-12, Class A19, 5.00%, 11/25/51^(a)(b)			631			605,466
GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/66^(a)(b)			218			189,763
GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2, Class A4, 2.50%, 06/25/52^(a)(b)			511			409,716


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Homeward Opportunities Fund I Trust, Series 2022-1, Class A1, 5.08%, 07/25/67^(a)(g)	USD		181	$	178,925
JPMorgan Mortgage Trust
Series 2014-2, Class 1A1, 3.00%, 06/25/29^(a)(b)			199		189,976
Series 2021-7, Class A3, 2.50%, 11/25/51^(a)(b)			994		796,719
Series 2022-INV3, Class A3B, 3.00%, 09/25/52^(a)(b)			361		299,886
Series 2023-DSC1, Class A1, 4.63%, 07/25/63^(a)(b)			380		362,635
Series 2024-2, Class A3, 6.00%, 08/25/54^(a)(b)			164		163,345
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52^(a)(b)			421		351,376
MFA Trust
Series 2021-INV2, Class A1, 1.91%, 11/25/56^(a)(b)			272		233,587
Series 2023-INV2, Class A1, 6.78%, 10/25/58^(a)(g)			156		157,155
Series 2023-NQM3, Class A1, 6.62%, 07/25/68^(a)(g)			452		453,976
Mill City Mortgage Loan Trust, Series 2017-3, Class A1, 2.75%, 01/25/61^(a)(b)			142		139,535
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B, 3.50%, 10/25/59^(a)(b)			313		288,781
OBX Trust
Series 2020-EXP3, Class 2A1B, (1-mo. CME Term SOFR + 1.01%), 6.34%, 01/25/60^(a)(b)			868		858,768
Series 2022-INV3, Class A1, 3.00%, 02/25/52^(a)(b)			190		159,169
Series 2023-NQM6, Class A1, 6.52%, 07/25/63^(a)(g)			539		543,622
Preston Ridge Partners Mortgage LLC, Series 2024-RCF1, Class A1, 4.00%, 01/25/54^(a)(g)			105		100,313
PRKCM Trust
Series 2021-AFC2, Class A1, 2.07%, 11/25/56^(a)(b)			323		273,249
Series 2023-AFC3, Class A1, 6.58%, 09/25/58^(a)(g)			467		470,273
RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52^(a)(b)			440		367,041
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62^(a)(g)			145		143,737
Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/65^(a)(b)			155		145,660
Towd Point Mortgage Trust
Series 2015-1, Class A5, 4.53%, 10/25/53^(a)(b)			639		632,939
Series 2018-1, Class A1, 3.00%, 01/25/58^(a)(b)			246		239,187
Series 2018-2, Class A1, 3.25%, 03/25/58^(a)(b)			669		647,451
Series 2018-6, Class A1A, 3.75%, 03/25/58^(a)(b)			649		633,624
Verus Securitization Trust
Series 2022-1, Class A1, 2.72%, 01/25/67^(a)(g)			148		133,157
Series 2022-2, Class A1, 4.26%, 02/25/67^(a)(g)			240		223,435
Series 2022-3, Class A1, 4.13%, 02/25/67^(a)(g)			353		330,443

					13,320,226

Commercial Mortgage-Backed Securities — 5.5%
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.50%, 09/15/34^(a)(b)			600		588,951
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 6.59%, 04/15/34^(a)(b)			420		383,758
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class ASB, 2.58%, 05/15/53^(a)			500		463,431
Barclays Commercial Mortgage Trust
Series 2019-C3, Class B, 4.10%, 05/15/52			400		361,318
Series 2019-C5, Class ASB, 2.99%, 11/15/52			250		237,860
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 6.19%, 04/15/36^(a)(b)			964		956,940
Benchmark Mortgage Trust, Series 2022-B34, Class AM, 3.83%, 04/15/55^(b)			265		231,541


98		2 0 2 4 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, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
BX Commercial Mortgage Trust
Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.34%, 02/15/39^(a)(b)	USD		241	$	240,317
Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 7.09%, 12/09/40^(a)(b)			480		482,984
Series 2024-MF, Class B, (1-mo. CME Term SOFR + 1.69%), 7.02%, 02/15/39^(a)(b)			140		139,388
BX Trust
Series 2018-BILT, Class D, (1-mo. CME Term SOFR + 2.07%), 7.39%, 05/15/30^(a)(b)			270		269,325
Series 2022-IND, Class A, (1-mo. CME Term SOFR + 1.49%), 6.82%, 04/15/37^(a)(b)			689		689,813
Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 05/15/38^(a)(b)			460		465,750
Series 2024-BIO, Class A, (1-mo. CME Term SOFR + 1.64%), 6.97%, 02/15/41^(a)(b)			626		627,565
Series 2024-CNYN, Class A, (1-mo. CME Term SOFR + 1.44%), 04/15/29^(a)(b)(c)			132		132,100
Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.34%, 03/15/26^(a)(b)			250		249,872
Series 2024-PAT, Class B, (1-mo. CME Term SOFR + 3.04%), 8.29%, 03/15/26^(a)(b)			100		99,945
CD Mortgage Trust
Series 2016-CD2, Class A4, 3.53%, 11/10/49^(b)			520		484,559
Series 2017-CD5, Class A4, 3.43%, 08/15/50			525		492,529
CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.95%, 09/15/38^(a)(b)			450		454,495
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3, 3.22%, 11/10/49^(b)			820		762,760
Citigroup Commercial Mortgage Trust, Series 2018-B2, Class A4, 4.01%, 03/10/51			535		509,689
COAST Commercial Mortgage Trust, Series 2023-2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.92%, 08/15/36^(a)(b)			300		300,748
Commercial Mortgage Trust
Series 2013-CR8, Class B, 3.57%, 06/10/46^(a)(b)			131		127,203
Series 2014-CR16, Class A4, 4.05%, 04/10/47			374		372,885
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47			122		120,905
Series 2015-CR24, Class B, 4.35%, 08/10/48^(b)			500		475,739
Series 2015-LC23, Class A4, 3.77%, 10/10/48			550		532,859
Credit Suisse Mortgage Capital Trust, Series 2021-980M, Class C, 3.20%, 07/15/31^(a)			170		152,936
Credit Suisse Mortgage Trust, Series 2022-NWPT, Class A, (1-mo. CME Term SOFR + 3.14%), 8.47%, 09/09/24^(a)(b)			280		280,782
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.76%, 09/15/52			1,000		880,554
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.60%, 04/25/48^(a)(b)			290		283,968
GS Mortgage Securities Trust
Series 2015-GC30, Class AAB, 3.12%, 05/10/50			142		140,765
Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.52%, 08/15/39^(a)(b)			135		135,850
Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.42%, 03/15/28^(a)(b)			410		411,281
Series 2023-FUN, Class B, (1-mo. CME Term SOFR + 2.79%), 8.12%, 03/15/28^(a)(b)			415		416,167
ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 7.57%, 10/15/39^(a)(b)			500		499,530
JPMBB Commercial Mortgage Securities Trust Series 2014-C21, Class A5, 3.78%, 08/15/47			434		431,850


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
JPMBB Commercial Mortgage Securities Trust
Series 2014-C25, Class A4A1, 3.41%, 11/15/47	USD		367	$	361,812
Series 2015-C28, Class ASB, 3.04%, 10/15/48			262		258,763
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2017-JP6, Class A3, 3.11%, 07/15/50			414		392,950
Series 2019-BKWD, Class A, (1-mo. CME Term SOFR + 1.61%), 6.94%, 09/15/29^(a)(b)			164		155,618
Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.50%, 09/15/39^(a)(b)			180		180,506
Series 2022-OPO, Class D, 3.45%, 01/05/39^(a)(b)			100		72,044
KSL Commercial Mortgage Trust, Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.62%, 12/15/36^(a)(b)			200		201,188
Life Mortgage Trust, Series 2021-BMR, Class A, (1-mo. CME Term SOFR + 0.81%), 6.14%, 03/15/38^(a)(b)			531		524,887
LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 8.02%, 08/15/40^(a)(b)			183		184,778
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class ASB, 2.73%, 09/15/49			106		103,663
OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.41%, 10/15/28^(a)(b)			105		106,307
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, 08/25/57^(b)			1,074		1,016,734
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.51%, 05/15/37^(a)(b)			270		272,025
Wells Fargo Commercial Mortgage Trust
Series 2014-LC18, Class ASB, 3.24%, 12/15/47			223		220,958
Series 2015-C26, Class B, 3.78%, 02/15/48			515		496,482
Series 2015-C27, Class A5, 3.45%, 02/15/48			495		483,152
Series 2016-LC24, Class A3, 2.68%, 10/15/49			809		767,704
Series 2021-C60, Class ASB, 2.13%, 08/15/54			834		744,294

					21,432,777

Interest Only Commercial Mortgage-Backed Securities — 0.0%
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.70%, 09/15/48^(b)			4,197		32,622
Commercial Mortgage Trust
Series 2015-CR23, Class XA, 0.84%, 05/10/48^(b)			1,817		11,689
Series 2015-LC21, Class XA, 0.62%, 07/10/48^(b)			4,116		20,902
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.86%, 01/15/49^(b)			594		15,990

					81,203


Total Non-Agency Mortgage-Backed Securities — 8.9% (Cost: $36,191,207)					34,834,206


Preferred Securities

Capital Trusts — 0.2%

Electric Utilities — 0.2%
Southern Co. (The), 4.48%, 08/01/24^(g)			571		568,160


U.S. Government Sponsored Agency Securities

Agency Obligations — 4.8%
Fannie Mae
0.54%, 10/27/25			4,500		4,195,986
0.74%, 08/25/27			1,000		880,063
0.81%, 09/25/28			1,000		852,258
Federal Farm Credit Banks Funding Corp.
2.25%, 08/15/29			1,000		892,817


S C H E D U L E S O F I N V E S T M E N T S		99

Schedule of Investments (continued)

March 31, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Agency Obligations (continued)
Federal Farm Credit Banks Funding Corp.
2.17%, 10/29/29	USD		700	$	621,466
1.30%, 02/03/31			770		618,878
1.68%, 09/17/35			2,080		1,513,242
Federal Home Loan Banks
0.60%, 12/30/26			1,000		892,446
2.06%, 09/27/29			1,000		884,621
2.18%, 11/06/29			700		616,331
Freddie Mac
4.20%, 08/28/25			1,300		1,286,115
0.60%, 09/30/25			3,000		2,813,481
0.65%, 05/28/26			1,000		915,245
0.90%, 10/13/27			2,000		1,763,522

					18,746,471

Collateralized Mortgage Obligations — 1.3%
Fannie Mae
Series 2018-21, Class CA, 3.50%, 04/25/45			94		91,376
Series 2019-73, Class P, 3.00%, 03/25/48			472		442,352
Series 2020-79, Class JA, 1.50%, 11/25/50			448		390,004
Freddie Mac
Series 3959, Class MA, 4.50%, 11/15/41			45		44,684
Series 3986, Class M, 4.50%, 09/15/41			6		5,983
Series 4274, Class PN, 3.50%, 10/15/35			61		58,630
Series 4390, Class CA, 3.50%, 06/15/50			39		38,094
Series 4459, Class BN, 3.00%, 08/15/43			264		240,043
Series 4482, Class DH, 3.00%, 06/15/42			23		22,556
Series 4494, Class KA, 3.75%, 10/15/42			67		65,725
Series 4752, Class PL, 3.00%, 09/15/46			312		290,938
Series 4777, Class CB, 3.50%, 10/15/45			242		233,692
Series 4941, Class MB, 3.00%, 07/25/49			268		233,924
Series 5000, Class MA, 2.00%, 06/25/44			220		199,005
Series 5006, Class KA, 2.00%, 06/25/45			627		561,479
Series 5105, Class LA, 1.50%, 04/15/44			1,596		1,518,892
Ginnie Mae
Series 2017-136, Class GB, 3.00%, 03/20/47			392		355,744
Series 2020-127, Class LP, 1.50%, 06/20/50			400		311,248

					5,104,369

Commercial Mortgage-Backed Securities — 0.3%
Fannie Mae, Series 2014-M9, Class A2, 3.10%, 07/25/24^(b)			1,145		1,135,250


Mortgage-Backed Securities — 9.6%
Fannie Mae, Series 2022-65, Class FB, (SOFR (30-day) + 0.80%), 6.00%, 09/25/52^(b)			3,547		3,475,489
Fannie Mae Mortgage-Backed Securities
1.50%, 07/01/31			1,269		1,153,131
2.50%, 12/01/27 - 12/01/36			1,462		1,356,404
3.00%, 09/01/30 - 09/01/35			6,961		6,561,176
3.03%, 12/01/27			1,263		1,185,853
3.50%, 05/01/37			615		590,628
4.00%, 03/01/32 - 08/01/49			9,289		8,829,360
4.50%, 09/01/26 - 01/01/48			2,240		2,188,447
5.00%, 07/01/25 - 06/01/39			1,195		1,201,004
5.50%, 05/01/38			199		203,240
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.59%), 2.92%, 06/01/45^(b)			109		108,335
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.60%), 5.41%, 07/01/44^(b)			120		123,009
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.70%), 5.62%, 07/01/43^(b)			196		201,401
Freddie Mac Mortgage-Backed Securities 2.50%, 11/01/27 - 03/01/37			542		501,312


Security		Par (000)		Value

Mortgage-Backed Securities (continued)
Freddie Mac Mortgage-Backed Securities
3.00%, 12/01/31 - 02/01/36	USD		845	$	792,749
3.50%, 04/01/32 - 11/01/38			1,096		1,061,872
4.00%, 09/01/33 - 06/01/37			1,244		1,216,376
4.50%, 03/01/49 - 01/01/50			2,764		2,712,497
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 3.34%, 05/01/45^(b)			312		308,111
(Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 5.42%, 03/01/45^(b)			109		110,283
Uniform Mortgage-Backed Securities, 4.50%, 04/01/54^(h)			4,100		3,904,112

					37,784,789


Total U.S. Government Sponsored Agency Securities — 16.0% (Cost: $65,512,793)					62,770,879


U.S. Treasury Obligations
U.S. Treasury Notes
5.00%, 08/31/25			8,000		8,016,250
4.00%, 02/15/26			11,250		11,110,254
4.25%, 03/15/27			18,000		17,917,031


Total U.S. Treasury Obligations — 9.5% (Cost: $37,083,091)					37,043,535


Total Long-Term Investments — 92.1% (Cost: $366,284,217)					360,905,805


Short-Term Securities

Commercial Paper — 0.4%
HSBC U.S.A., Inc., 6.46%, 08/22/24⁽ⁱ⁾			1,500		1,466,570


		Shares

Money Market Funds — 1.1%
Dreyfus Treasury Securities Cash Management, Institutional Class, 5.19%^(j)			4,208,582		4,208,582


		Par (000)

U.S. Treasury Obligations⁽ⁱ⁾— 7.5%
U.S. Treasury Bills
5.30%, 05/30/24	USD		8,000		7,931,002
5.31%, 06/13/24			13,675		13,530,375
5.17%, 06/27/24			8,155		8,052,174

					29,513,551


Total Short-Term Securities — 9.0% (Cost: $35,189,218)					35,188,703


Total Investments Before TBA Sale Commitments — 101.1% (Cost: $401,473,435)					396,094,508


100		2 0 2 4 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, 2024

BATS: Series S Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

TBA Sale Commitments^(h)

Mortgage-Backed Securities — (1.0)%
Uniform Mortgage-Backed Securities, 4.50%, 04/01/54 . USD		(4,100	)	$	(3,904,112	)


Total TBA Sale Commitments — (1.0)% (Proceeds: $(3,927,672))					(3,904,112	)


Total Investments Net of TBA Sale Commitments — 100.1% (Cost: $397,545,763)					392,190,396

Liabilities in Excess of Other Assets — (0.1)%					(257,267	)


Net Assets — 100.0%				$	391,933,129

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

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

^(c)	When-issued security.

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

^(e)	Zero-coupon bond.

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

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

^(h)	Represents or includes a TBA transaction.

⁽ⁱ⁾	Rates are discount rates or a range of discount rates as of period end.

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

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts



Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)

Long Contracts
Euro-Schatz		6		06/06/24	$	684	$	534
U.S. Treasury Notes (2 Year)		722		06/28/24		147,638		(132,956	)


								(132,422	)

Short Contracts
Euro-Bobl		21		06/06/24		2,679		(13,064	)
U.S. Treasury Bonds (30 Year)		39		06/18/24		4,697		(99,395	)
U.S. Treasury Notes (10 Year)		96		06/18/24		10,637		(19,241	)
U.S. Ultra Treasury Bonds		3		06/18/24		387		(8,726	)
U.S. Ultra Treasury Notes (10 Year)		69		06/18/24		7,908		(42,874	)
U.S. Treasury Notes (5 Year)		443		06/28/24		47,408		(77,603	)


								(260,903	)


							$	(393,325	)

Forward Foreign Currency Exchange Contracts



Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	278,138		CAD	376,000	Deutsche Bank AG		06/20/24	$	222
USD	15,293		EUR	14,000	Deutsche Bank AG		06/20/24		138
USD	4,298,745		EUR	3,931,000	UBS AG		06/20/24		43,431

								$	43,791


S C H E D U L E S O F I N V E S T M E N T S		101

Schedule of Investments (continued)

March 31, 2024

BATS: Series S Portfolio

Centrally Cleared Credit Default Swaps — Sell Protection



Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency	Termination Date		Credit Rating^(a)		Notional Amount (000)^(b)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.IG.42.V1		1.00	%	Quarterly		06/20/29		BBB+		USD	16,460	$	(377,298	)	$	(360,400	)	$	(16,898	)

^(a)

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

^(b)

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

Centrally Cleared Interest Rate Swaps

Upfront

Notional

Premium

Unrealized

Paid by the Fund

Received by the Fund

Termination

Amount

Paid

Appreciation

Rate

Frequency

Rate

Frequency

Date

(000)

Value

(Received)

(Depreciation)

0.23%

Annual

1-day TONA, 0.07%

Annual

11/24/25

JPY

1,454,258

$ (3,566

)

—

(3,566

)

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)	$	—	$	(360,400	)	$	—	$	(20,464	)

^(a)

Derivative Financial Instruments Categorized by Risk Exposure

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



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

Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	534	$	—	$	534
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts		—		—		—		43,791		—		—		43,791

	$	—	$	—	$	—	$	43,791	$	534	$	—	$	44,325


Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	393,859	$	—	$	393,859
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		16,898		—		—		3,566		—		20,464

	$	—	$	16,898	$	—	$	—	$	397,425	$	—	$	414,323

^(a)


102		2 0 2 4 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, 2024

BATS: Series S Portfolio

For the period ended March 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:



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

Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—		$	—	$	—	$	198,411		$	—	$	198,411
Forward foreign currency exchange contracts		—		—			—		16,753		—			—		16,753
Swaps		—		(163,028	)		—		—		(55,467	)		—		(218,495	)

	$	—	$	(163,028	)	$	—	$	16,753	$	142,944		$	—	$	(3,331	)


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	—	$	(750,739	)	$	—	$	(750,739	)
Forward foreign currency exchange contracts		—		—			—		149,430		—			—		149,430
Swaps		—		20,515			—		—		25,992			—		46,507

	$	—	$	20,515		$	—	$	149,430	$	(724,747	)	$	—	$	(554,802	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts
Average notional value of contracts — long	$147,962,089
Average notional value of contracts — short	$70,037,055
Forward foreign currency exchange contracts
Average amounts purchased — in USD	$6,862,442
Average amounts sold — in USD	$663,311
Credit default swaps
Average notional value — buy protection	$7,252,500
Average notional value — sell protection	$4,115,000
Interest rate swaps
Average notional value — pays fixed rate	$—	^(a)
Average notional value — received fixed rate	$4,980,140

^(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
Forward foreign currency exchange contracts	$	43,791	$	—
Swaps — centrally cleared		—		1,157

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	43,791	$	1,157

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		(1,157	)

Total derivative assets and liabilities subject to an MNA	$	43,791	$	—


S C H E D U L E S O F I N V E S T M E N T S		103

Schedule of Investments (continued)

March 31, 2024

BATS: Series S Portfolio



Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)		Non- Cash Collateral Received^(b)		Cash Collateral Received^(b)		Net Amount of Derivative Assets^(c)(d)
Deutsche Bank AG	$	360	$	—	$	—	$	—	$	360
UBS AG		43,431		—		—		—		43,431


	$	43,791	$	—	$	—	$	—	$	43,791

^(a)

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

^(b)

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

^(c)

Net amount represents the net amount receivable from the counterparty in the event of default.

^(d)

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

Fair Value Hierarchy as of Period End



	Level 1			Level 2			Level 3		Total

Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—		$	126,102,314		$	—	$	126,102,314
Corporate Bonds		—			96,968,870			—		96,968,870
Foreign Agency Obligations		—			1,666,845			—		1,666,845
Foreign Government Obligations		—			950,996			—		950,996
Non-Agency Mortgage-Backed Securities		—			34,834,206			—		34,834,206
Preferred Securities		—			568,160			—		568,160
U.S. Government Sponsored Agency Securities		—			62,770,879			—		62,770,879
U.S. Treasury Obligations		—			37,043,535			—		37,043,535
Short-Term Securities
Commercial Paper		—			1,466,570			—		1,466,570
Money Market Funds		4,208,582			—			—		4,208,582
U.S. Treasury Obligations		—			29,513,551			—		29,513,551
Liabilities
TBA Sale Commitments		—			(3,904,112	)		—		(3,904,112	)


	$	4,208,582		$	387,981,814		$	—	$	392,190,396

Derivative Financial Instruments^(a)
Assets
Foreign Currency Exchange Contracts	$	—		$	43,791		$	—	$	43,791
Interest Rate Contracts		534			—			—		534
Liabilities
Credit Contracts		—			(16,898	)		—		(16,898	)
Interest Rate Contracts		(393,859	)		(3,566	)		—		(397,425	)

	$	(393,325	)	$	23,327		$	—	$	(369,998	)

^(a)

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

See notes to financial statements.


104		2 0 2 4 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, 2024

BATS: Series V Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Municipal Bonds

Alaska — 1.4%
Alaska Housing Finance Corp.
Refunding RB, Series A, VRDN, (Wells Fargo Bank NA SBPA), 3.65%, 04/08/24^(a)		USD	300	$	300,000
Refunding RB, Series D, VRDN, (Federal Home Loan Bank SBPA), 3.64%, 04/08/24^(a)			1,300		1,300,000

					1,600,000

California — 0.5%
Southern California Public Power Authority, Refunding RB, VRDN, (Bank of America NA SBPA), 4.39%, 04/01/24^(a)			600		600,000


Colorado — 3.1%
City of Colorado Springs Utilities System Revenue, Refunding RB, Series C, VRDN, (Sumitomo Mitsui Banking Corp. SBPA), 3.65%, 04/08/24^(a)			3,710		3,710,000


Connecticut — 2.4%
Connecticut Housing Finance Authority
Refunding RB, Sub-Series A-3, VRDN, (UBS AG SBPA), 3.67%, 04/08/24^(a)			2,100		2,100,000
Refunding RB, Sub-Series C-3, VRDN, (Royal Bank of Canada SBPA), 3.62%, 04/08/24^(a)			725		725,000

					2,825,000

Florida — 9.9%
County of Escambia, RB, VRDN, 4.45%, 04/01/24^(a)			2,400		2,400,000
County of St. Lucie Florida Power & Light Co., Refunding RB, VRDN, 3.80%, 04/08/24^(a)			400		400,000
Highlands County Health Facilities Development Corp., Refunding RB, VRDN, 3.65%, 04/08/24^(a)			1,950		1,950,000
Hillsborough County, RB, TECP, (Wells Fargo Bank NA SBPA), 3.65%, 05/30/24			1,000		1,000,167
JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.60%, 04/08/24^(a)			2,750		2,750,000
Orlando Utilities Commission, Refunding RB, Series B, VRDN, (TD Bank NA SBPA), 3.78%, 04/08/24^(a)			1,800		1,800,000
Pinellas County Housing Finance Authority, RB, VRDN, (FHLMC LOC), 3.65%, 04/08/24^(a)			1,400		1,400,000

					11,700,167

Georgia — 1.8%
Private Colleges & Universities Authority, RB, Series B, VRDN, 3.82%, 04/08/24^(a)			2,130		2,130,000


Illinois — 9.1%
Illinois Finance Authority
RB, Series D-2, VRDN, (TD Bank NA LOC), 4.50%, 04/01/24^(a)			2,000		2,000,000
Refunding RB, Sub-Series C-1, VRDN, (JPMorgan Chase Bank NA SBPA), 3.57%, 04/08/24^(a)			1,100		1,100,000
Illinois Finance Authority Northwestern University, RB, Sub- Series D, VRDN, 3.10%, 04/08/24^(a)			3,300		3,300,000
Illinois Finance Authority University of Chicago, Refunding RB, VRDN, 3.95%, 04/08/24^(a)			4,272		4,272,000

					10,672,000

Indiana — 0.6%
Indiana Finance Authority, RB, VRDN, (Barclays Bank plc LOC), 3.65%, 04/08/24^(a)			750		750,000


Security	Par (000)			Value

Iowa — 1.9%
Iowa Finance Authority
RB, Series E, VRDN, (GNMA/FNMA/FHLMC COL), (Fannie Mae LIQ), (Federal Home Loan Bank SBPA), 3.62%, 04/08/24^(a)		USD	1,100	$	1,100,000
Refunding RB, Series C, VRDN, (JPMorgan Chase Bank NA LOC), 3.50%, 04/08/24^(a)			1,100		1,100,000

					2,200,000

Louisiana — 2.8%
Louisiana Gasoline & Fuels Tax Revenue, Refunding RB, Series A-1, VRDN, (Toronto-Dominion Bank LOC), 4.50%, 04/01/24^(a)			1,900		1,900,000
Louisiana Offshore Terminal Authority, Refunding RB, VRDN, (JPMorgan Chase Bank NA LOC), 3.55%, 04/08/24^(a)			1,415		1,415,000

					3,315,000

Maryland — 0.2%
Maryland Health & Higher Educational Facilities Authority, Refunding RB, Series A, VRDN, (TD Bank NA LOC), 3.78%, 04/08/24^(a)			200		200,000


Massachusetts — 2.3%
City of Somerville, GO, Refunding, BAN, 5.00%, 05/30/24			1,000		1,002,622
Massachusetts Development Finance Agency, RB, VRDN, (Wells Fargo Bank NA SBPA), 3.64%, 04/08/24^(a)			1,150		1,150,000
Town of Plymouth, GO, Refunding, BAN, 5.00%, 06/28/24			500		501,237

					2,653,859

Minnesota — 2.1%
City of Minneapolis, Refunding RB, Series C, VRDN, (Wells Fargo Bank NA LOC), 4.52%, 04/01/24^(a)			1,450		1,450,000
County of Hennepin, GO, Refunding, Series B, VRDN, (TD Bank NA SBPA), 3.64%, 04/08/24^(a)			1,080		1,080,000

					2,530,000

Mississippi — 4.2%
Mississippi Business Finance Corp.
RB, Series A, VRDN, 4.62%, 04/01/24^(a)			450		450,000
RB, Series F, VRDN, 4.62%, 04/01/24^(a)			400		400,000
RB, Series G, VRDN, 4.35%, 04/01/24^(a)			2,100		2,100,000
Mississippi Development Bank, RB, VRDN, 4.62%, 04/01/24^(a)			2,000		2,000,000

					4,950,000

Nebraska — 2.1%
Lincoln Nebraska Electric, RB, TECP, (JPMorgan Chase Bank NA SBPA), 3.60%, 06/10/24			1,000		999,985
Nebraska Investment Finance Authority, RB, Series C, VRDN, (GNMA/FNMA/FHLMC), (Federal Home Loan Bank SBPA), 3.50%, 04/08/24^(a)			525		525,000
Omaha Public Power District, GO, TECP, (Bank of America NA SBPA), 3.60%, 07/02/24			1,000		999,848

					2,524,833

Nevada — 2.3%
County of Clark Department of Aviation, Refunding RB, Series D-2B, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 3.63%, 04/08/24^(a)			2,730		2,730,000


New York — 9.2%
City of New York
GO, Series A-4, VRDN, (TD Bank NA SBPA), 4.50%, 04/01/24^(a)			500		500,000
GO, Sub-Series B-4, VRDN, (Barclays Bank plc SBPA), 4.45%, 04/01/24^(a)			1,100		1,100,000


S C H E D U L E S O F I N V E S T M E N T S		105

Schedule of Investments (continued)

March 31, 2024

BATS: Series V Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

New York (continued)
City of New York
GO, Sub-Series F-6, VRDN, (JPMorgan Chase Bank NA SBPA), 4.55%, 04/01/24^(a)		USD	1,800	$	1,800,000
New York City Housing Development Corp.
RB, Series A-4, VRDN, (Royal Bank of Canada SBPA), 3.64%, 04/08/24^(a)			2,000		2,000,000
RB, VRDN, (Royal Bank of Canada SBPA), 3.60%, 04/08/24^(a)			300		300,000
New York City Municipal Water Finance Authority
RB, Series 2, VRDN, (Barclays Bank plc SBPA), 4.45%, 04/01/24^(a)			1,500		1,500,000
Refunding RB, Series 2, VRDN, (Mizuho Bank Ltd. SBPA), 4.57%, 04/01/24^(a)			600		600,000
Refunding RB, Series 5, VRDN, (Bank of America NA SBPA), 4.57%, 04/01/24^(a)			300		300,000
Refunding RB, Series AA, VRDN, (Bank of America NA SBPA), 4.63%, 04/01/24^(a)			1,800		1,800,000
New York State HFA, RB, Series A, VRDN, (Fannie Mae LIQ), 3.62%, 04/08/24^(a)			900		900,000

					10,800,000

North Dakota — 1.2%
North Dakota Housing Finance Agency, RB, Series E, VRDN, (TD Bank NA SBPA), 3.65%, 04/08/24^(a)			1,360		1,360,000


Ohio — 7.1%
Akron Bath Copley Joint Township Hospital District, RB, Series A-R, VRDN, (BMO Harris Bank NA LOC), 3.97%, 04/08/24^(a)			3,300		3,300,000
Ohio Higher Educational Facility Commission, Refunding RB, VRDN, (Ohio State Treasurer SBPA), 3.62%, 04/08/24^(a)			1,400		1,400,000
Ohio Water Development Authority, RB, TECP, (TD Bank NA SBPA), 3.30%, 05/03/24			1,000		999,975
Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series A, VRDN, (TD Bank NA SBPA), 3.55%, 04/08/24^(a)			2,625		2,625,000

					8,324,975

Pennsylvania — 1.6%
Pennsylvania Turnpike Commission, Refunding RB, VRDN, (TD Bank NA LOC), 3.70%, 04/08/24^(a)			850		850,000
Washington County Authority, Refunding RB, Series RF, VRDN, 3.55%, 04/08/24^(a)			1,000		1,000,000

					1,850,000

Rhode Island — 1.8%
Rhode Island Health & Educational Building Corp., RB, Series A, VRDN, (TD Bank NA SBPA), 3.97%, 04/08/24^(a)			2,100		2,100,000


South Carolina — 2.1%
South Carolina Housing Finance & Development Authority, RB, VRDN, (Federal Home Loan Bank LOC), 3.93%, 04/08/24^(a)			1,675		1,675,000
South Carolina Jobs EDA, RB, VRDN, (Federal Home Loan Bank LOC), 4.04%, 04/08/24^(a)			800		800,000

					2,475,000

South Dakota — 0.9%
South Dakota HDA, Refunding RB, Series B, VRDN, (South Dakota HDA SBPA), 3.64%, 04/08/24^(a)			1,025		1,025,000


Security	Par (000)			Value

Tennessee — 1.0%
Metropolitan Government Nashville & Davidson County, RB, TECP, (TD Bank NA LOC), 3.55%, 04/17/24		USD	1,000	$	999,942
Public Building Authority of Sevier County (The), RB, VRDN, (County GTD), (Bank of America NA LOC), 3.66%, 04/08/24^(a)			200		200,000

					1,199,942

Texas — 16.0%
Board of Regents University of Texas, RB, TECP, 3.45%, 09/20/24			1,000		1,000,217
Bowie County IDC, RB, VRDN, (JPMorgan Chase Bank NA LOC), 4.56%, 04/01/24^(a)			500		500,000
City of Houston Combined Utility System Revenue, Refunding RB, Series C, VRDN, (Barclays Bank plc LOC), 3.97%, 04/08/24^(a)			3,445		3,445,000
Lower Neches Valley Authority Industrial Development Corp., RB, VRDN, 4.62%, 04/01/24^(a)			1,000		1,000,000
Permanent University Fund
RB, Series A, VRDN, (University of Texas Investment Management Co. LIQ), 3.95%, 04/08/24^(a)			3,200		3,200,000
RB, TECP, (University of Texas Investment Management Co. LIQ), 3.60%, 07/11/24			1,000		999,980
Port of Port Arthur Navigation District, Refunding RB, VRDN, 3.60%, 04/08/24^(a)			2,700		2,700,000
Red River Education Finance Corp., RB, VRDN, (TD Bank NA SBPA), 3.60%, 04/08/24^(a)			1,000		1,000,000
State of Texas
GO, Series B, VRDN, (Federal Home Loan Bank SBPA), 3.55%, 04/08/24^(a)			1,005		1,005,000
GO, VRDN, (Federal Home Loan Bank SBPA), 3.55%, 04/08/24^(a)			2,410		2,410,000
GO, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 3.75%, 04/08/24^(a)			1,000		1,000,000
University of Texas, RB, TECP, 3.48%, 10/18/24			500		500,268

					18,760,465

Utah — 3.2%
City of Murray, RB, Series A, VRDN, 3.65%, 04/08/24^(a)			1,800		1,800,000
County of Utah, RB, Series E, VRDN, (JPMorgan Chase Bank NA SBPA), 3.60%, 04/08/24^(a)			2,000		2,000,000

					3,800,000

Virginia — 1.9%
Fairfax County IDA, Refunding RB, VRDN, 3.68%, 04/08/24^(a)			940		940,000
Loudoun County EDA, RB, Series B, VRDN, 3.79%, 04/08/24^(a)			1,295		1,295,000

					2,235,000

Washington — 1.3%
Washington Housing Finance Commission, Refunding RB, Series VR, VRDN, (Royal Bank of Canada SBPA), 3.62%, 04/08/24^(a)			1,500		1,500,000


Wisconsin — 5.5%
Public Finance Authority, Refunding RB, Series B, VRDN, (TD Bank NA LOC), 4.40%, 04/01/24^(a)			2,600		2,600,000
University of Wisconsin Hospitals & Clinics Authority, Refunding RB, Series C, VRDN, (BMO Harris Bank NA SBPA), 4.45%, 04/01/24^(a)			300		300,000
Wisconsin Housing & EDA RB, Series C, VRDN, (Federal Home Loan Bank SBPA), 3.70%, 04/08/24^(a)			1,700		1,700,000


106		2 0 2 4 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, 2024

BATS: Series V Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Wisconsin (continued)
Wisconsin Housing & EDA
RB, Series C, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 3.62%, 04/08/24^(a)		USD	1,390	$	1,390,000
RB, Series D, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 3.62%, 04/08/24^(a)			450		450,000


					6,440,000

Total Investments — 99.5%
(Cost: $116,960,750)					116,961,241
Other Assets Less Liabilities — 0.5%					555,332

Net Assets — 100.0%				$	117,516,573

^(a)

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

Fair Value Hierarchy as of Period End



	Level 1		Level 2		Level 3		Total

Assets
Investments
Short-Term Securities
Municipal Bonds	$	—	$	116,961,241	$	—	$	116,961,241

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		107

Statements of Assets and Liabilities

March 31, 2024


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

ASSETS
Investments, at value — unaffiliated^(a)	$	2,587,902,285		$	421,423,804		$	414,550,831
Cash		1,386,923			844,256			494,473
Cash pledged:
Collateral — OTC derivatives		900,000			—			—
Futures contracts		—			1,040,000			—
Centrally cleared swaps		—			1,051,000			—
Receivables:
Investments sold		—			1,471,328			1,857,029
TBA sale commitments		21,864,982			—			—
Capital shares sold		117,688			515,994			579,487
Dividends — unaffiliated		526,442			33,007			160,443
Interest — unaffiliated		13,979,536			4,640,178			4,710,456
From the Manager		154,838			131,653			44,184
Principal paydowns		24,075			—			—
Swap premiums paid		9,434			155,376			—
Unrealized appreciation on:
Forward foreign currency exchange contracts		133,705			—			—
OTC swaps		22,764			46,257			—
Unfunded commitments		—			—			3,445,231
Prepaid expenses		27,922			18,698			116,601


Total assets		2,627,050,594			431,371,551			425,958,735


LIABILITIES
Cash received:
Collateral — OTC derivatives		—			730,000			—
TBA sale commitments at value^(d)		21,918,670			—			—
Payables:
Investments purchased		97,569,538			4,280,094			4,839,993
Accounting services fees		24,551			9,393			9,213
Capital shares redeemed		254,958			474,623			289,001
Income dividend distributions		12,621,234			1,798,159			1,507,181
Interest expense and fees		—			—			83,547
Trustees’ and Officer’s fees		5,764			989			666
Other accrued expenses		43,248			44,112			30,706
Printing and postage fees		10,817			8,200			8,253
Professional fees		65,206			64,888			62,745
Registration fees		—			101,318			2,099
Variation margin on centrally cleared swaps		—			34,735			—
Swap premiums received		210,356			202,471			—
Unrealized depreciation on OTC swaps		286,024			25,529			—


Total accrued liabilities		133,010,366			7,774,511			6,833,404


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


Total other liabilities		—			—			6,647,000


Total liabilities		133,010,366			7,774,511			13,480,404

Commitments and contingent liabilities

NET ASSETS	$	2,494,040,228		$	423,597,040		$	412,478,331


NET ASSETS CONSIST OF:
Paid-in capital	$	2,680,324,152		$	489,928,127		$	441,326,892
Accumulated loss		(186,283,924	)		(66,331,087	)		(28,848,561	)


NET ASSETS	$	2,494,040,228		$	423,597,040		$	412,478,331


108		2 0 2 4 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

Statements of Assets and Liabilities (continued)

March 31, 2024


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

NET ASSET VALUE
Shares outstanding		265,471,558		46,780,567		40,657,220


Net asset value	$	9.39	$	9.05	$	10.15


Shares authorized		Unlimited		Unlimited		Unlimited


Par value	$	0.001	$	0.001	$	0.001


^(a)Investments, at cost — unaffiliated	$	2,711,699,827	$	432,294,344	$	432,420,908
^(d)Proceeds from TBA sale commitments	$	21,864,982	$	—	$	—

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		109

Statements of Assets and Liabilities (continued)

March 31, 2024


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

ASSETS
Investments, at value — unaffiliated^(a)	$	1,428,569,532		$	—		$	396,094,508
Investments, at value — affiliated^(b)		—			1,348,560			—
Cash		1,697,178			4,161,307			328,168
Cash pledged:
Collateral — OTC derivatives		760,000			—			—
Futures contracts		1,306,000			140,190			1,407,000
Centrally cleared swaps		1,000			3,000			251,000
Foreign currency, at value^(c)		—			—			151,742
Receivables:
Investments sold		21,643,052			—			3,086,376
TBA sale commitments		162,731,894			—			3,927,672
Capital shares sold		1,304,390			—			674,439
Dividends — unaffiliated		31,442			—			56,052
Dividends — affiliated		—			5,326			—
Interest — unaffiliated		3,885,575			—			1,863,599
From the Manager		152,454			36,115			164,737
Principal paydowns		—			—			2,916
Swap premiums paid		359,562			—			—
Unrealized appreciation on:
Forward foreign currency exchange contracts		—			—			43,791
OTC swaps		1,174,505			—			—
Prepaid expenses		30,570			9,662			16,949


Total assets		1,623,647,154			5,704,160			408,068,949


LIABILITIES
Cash received:
Collateral — OTC derivatives		820,000			—			—
Collateral — TBA commitments		736			—			—
TBA sale commitments at value^(d)		162,982,408			—			3,904,112
Payables:
Investments purchased		305,491,879			—			9,140,766
Accounting services fees		15,557			5,545			9,177
Capital shares redeemed		2,160,501			—			1,249,624
Income dividend distributions		3,880,983			—			1,535,045
Trustees’ and Officer’s fees		2,745			137			1,068
Other accrued expenses		52,166			6,601			38,936
Printing and postage fees		7,936			7,998			8,204
Professional fees		56,252			44,500			60,964
Registration fees		258,427			5,441			186,767
Variation margin on centrally cleared swaps		28			113			1,157
Swap premiums received		535,149			—			—
Unrealized depreciation on OTC swaps		998,918			—			—


Total liabilities		477,263,685			70,335			16,135,820


Commitments and contingent liabilities

NET ASSETS	$	1,146,383,469		$	5,633,825		$	391,933,129


NET ASSETS CONSIST OF:
Paid-in capital	$	1,340,694,668		$	30,991,247		$	421,515,551
Accumulated loss		(194,311,199	)		(25,357,422	)		(29,582,422	)


NET ASSETS	$	1,146,383,469		$	5,633,825		$	391,933,129


110		2 0 2 4 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

Statements of Assets and Liabilities (continued)

March 31, 2024


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

NET ASSET VALUE
Shares outstanding		138,482,026		541,772		43,099,774


Net asset value	$	8.28	$	10.40	$	9.09


Shares authorized		Unlimited		Unlimited		Unlimited


Par value	$	0.001	$	0.001	$	0.001


^(a)Investments, at cost — unaffiliated	$	1,515,827,366	$	—	$	401,473,435
^(b)Investments, at cost — affiliated	$	—	$	1,373,919	$	—
^(c)Foreign currency, at cost	$	—	$	—	$	152,859
^(d)Proceeds from TBA sale commitments	$	162,731,894	$	—	$	3,927,672

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		111

Statements of Assets and Liabilities (continued)

March 31, 2024


	BATS: Series V Portfolio

ASSETS
Investments, at value — unaffiliated^(a)	$	116,961,241
Cash		76,446
Receivables:
Capital shares sold		581,651
Interest — unaffiliated		490,891
From the Manager		73,764
Prepaid expenses		28,341


Total assets		118,212,334


LIABILITIES
Payables:
Accounting services fees		6,917
Capital shares redeemed		278,671
Income dividend distributions		336,232
Trustees’ and Officer’s fees		84
Other accrued expenses		6,020
Printing and postage fees		6,503
Professional fees		61,334


Total liabilities		695,761


Commitments and contingent liabilities

NET ASSETS	$	117,516,573


NET ASSETS CONSIST OF:
Paid-in capital	$	117,515,626
Accumulated earnings		947


NET ASSETS	$	117,516,573


NET ASSET VALUE

Shares outstanding		11,762,359


Net asset value	$	9.99


Shares authorized		Unlimited


Par value	$	0.001


^(a)Investments, at cost — unaffiliated	$	116,960,750

See notes to financial statements.


112		2 0 2 4 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

Statements of Operations

Year Ended March 31, 2024


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

INVESTMENT INCOME
Dividends — unaffiliated	$	8,185,280		$	318,895		$	1,343,809
Interest — unaffiliated		131,952,734			18,126,435			15,383,168
Other income		42,589			39,395			13,463


Total investment income		140,180,603			18,484,725			16,740,440


EXPENSES
Accounting services		149,438			56,230			54,029
Professional		103,293			83,003			146,217
Pricing		69,134			67,594			64,609
Registration		54,413			41,349			40,138
Custodian		45,843			8,025			5,374
Trustees and Officer		39,347			7,059			6,857
Transfer agent		22,038			175,091			28,971
Printing and postage		9,133			10,045			9,535
Miscellaneous		104,752			17,822			8,882


Total expenses excluding interest expense and fees		597,391			466,218			364,612
Interest expense		9,166			—			35
Interest expense and fees^(a)		—			—			329,633


Total expenses		606,557			466,218			694,280
Less:
Fees waived and/or reimbursed by the Manager		(583,178	)		(453,548	)		(360,494	)


Total expenses after fees waived and/or reimbursed		23,379			12,670			333,786


Net investment income		140,157,224			18,472,055			16,406,654


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(21,551,017	)		(21,317,218	)		(4,028,387	)
Options written		—			383,437			—
Futures contracts		—			(242,986	)		(266,242	)
Forward foreign currency exchange contracts		246,266			—			—
Foreign currency transactions		(4,542	)		(39	)		—
Swaps		(9,850	)		(451,027	)		—


		(21,319,143	)		(21,627,833	)		(4,294,629	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		68,649,044			23,531,177			3,577,397
Futures contracts		—			(560,239	)		266,330
Forward foreign currency exchange contracts		138,356			—			—
Swaps		607,744			(218,406	)		—
Unfunded floating rate loan interests		(17,129	)		—			—
Unfunded commitments		—			—			3,445,231


		69,378,015			22,752,532			7,288,958


Net realized and unrealized gain		48,058,872			1,124,699			2,994,329


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	188,216,096		$	19,596,754		$	19,400,983

^(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		113

Statements of Operations (continued)

Year Ended March 31, 2024


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

INVESTMENT INCOME
Dividends — unaffiliated	$	395,910		$	231,769		$	241,642
Dividends — affiliated		—			201,632			—
Interest — unaffiliated		45,236,297			—			16,321,498
Other income		55,378			75,093			86,359


Total investment income		45,687,585			508,494			16,649,499


EXPENSES
Transfer agent		183,904			14,311			183,100
Accounting services		93,562			34,268			56,244
Custodian		74,335			3,382			29,169
Professional		71,432			56,543			76,220
Pricing		71,341			26			51,408
Registration		60,041			24,211			87,075
Trustees and Officer		20,189			1,465			8,248
Printing and postage		8,816			8,320			7,968
Miscellaneous		54,077			2,994			35,146


Total expenses excluding interest expense		637,697			145,520			534,578
Interest expense		2			—			16


Total expenses		637,699			145,520			534,594
Less:
Fees waived and/or reimbursed by the Manager		(621,705	)		(143,062	)		(520,919	)


Total expenses after fees waived and/or reimbursed		15,994			2,458			13,675


Net investment income		45,671,591			506,036			16,635,824


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized loss from:
Investments — unaffiliated		(15,200,752	)		—			(3,500,819	)
Investments — affiliated		—			(336,866	)		—
Futures contracts		(1,138,373	)		397,910			198,411
Forward foreign currency exchange contracts		—			—			16,753
Foreign currency transactions		—			—			76,261
Swaps		(141,108	)		660			(218,495	)


		(16,480,233	)		61,704			(3,427,889	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(5,823,728	)		—			6,771,022
Investments — affiliated		—			364,525			—
Futures contracts		303,172			923,325			(750,739	)
Forward foreign currency exchange contracts		—			—			149,430
Foreign currency translations		—			(27	)		(4,555	)
Swaps		349,815			720			46,507


		(5,170,741	)		1,288,543			6,211,665


Net realized and unrealized gain (loss)		(21,650,974	)		1,350,247			2,783,776


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	24,020,617		$	1,856,283		$	19,419,600

See notes to financial statements.


114		2 0 2 4 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

Statements of Operations (continued)

Year Ended March 31, 2024


	BATS: Series V Portfolio

INVESTMENT INCOME
Interest — unaffiliated	$	2,962,662
Other income		267


Total investment income		2,962,929


EXPENSES
Professional		82,431
Accounting services		40,816
Registration		35,792
Transfer agent		17,792
Pricing		9,080
Printing and postage		8,371
Custodian		3,910
Trustees and Officer		3,236
Miscellaneous		17,549


Total expenses excluding interest expense		218,977
Interest expense		1,088


Total expenses		220,065
Less:
Fees waived and/or reimbursed by the Manager		(216,479	)


Total expenses after fees waived and/or reimbursed		3,586


Net investment income		2,959,343


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments		—
Net change in unrealized appreciation (depreciation) on investments		3,814


Net realized and unrealized gain		3,814


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	2,963,157

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		115

Statements of Changes in Net Assets


	BATS: Series A Portfolio						BATS: Series C Portfolio


	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/24			Year Ended 03/31/23

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	140,157,224		$	116,315,564		$	18,472,055		$	13,898,073
Net realized loss		(21,319,143	)		(36,526,036	)		(21,627,833	)		(30,835,501	)
Net change in unrealized appreciation (depreciation)		69,378,015			(93,175,475	)		22,752,532			(9,785,502	)


Net increase (decrease) in net assets resulting from operations		188,216,096			(13,385,947	)		19,596,754			(26,722,930	)


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to shareholders		(139,801,698	)		(116,299,178	)		(18,482,170	)		(13,928,770	)


CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		22,051,489			(81,749,602	)		43,563,103			(56,907,191	)


NET ASSETS
Total increase (decrease) in net assets		70,465,887			(211,434,727	)		44,677,687			(97,558,891	)

Beginning of year		2,423,574,341			2,635,009,068			378,919,353			476,478,244


End of year	$	2,494,040,228		$	2,423,574,341		$	423,597,040		$	378,919,353

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

See notes to financial statements.


116		2 0 2 4 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

Statements of Changes in Net Assets (continued)


	BATS: Series E Portfolio						BATS: Series M Portfolio


	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/24			Year Ended 03/31/23

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	16,406,654		$	13,768,461		$	45,671,591		$	31,605,143
Net realized loss		(4,294,629	)		(8,168,616	)		(16,480,233	)		(56,374,807	)
Net change in unrealized appreciation (depreciation)		7,288,958			(24,924,479	)		(5,170,741	)		(27,770,327	)


Net increase (decrease) in net assets resulting from operations		19,400,983			(19,324,634	)		24,020,617			(52,539,991	)


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to shareholders		(16,206,570	)		(20,539,863	)		(44,108,637	)		(31,852,649	)


CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		66,912,335			(282,588	)		60,573,605			64,095,151


NET ASSETS
Total increase (decrease) in net assets		70,106,748			(40,147,085	)		40,485,585			(20,297,489	)

Beginning of year		342,371,583			382,518,668			1,105,897,884			1,126,195,373


End of year	$	412,478,331		$	342,371,583		$	1,146,383,469		$	1,105,897,884

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

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		117

Statements of Changes in Net Assets (continued)


	BATS: Series P Portfolio						BATS: Series S Portfolio


	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/24			Year Ended 03/31/23

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	506,036		$	729,736		$	16,635,824		$	12,462,833
Net realized gain (loss)		61,704			7,184,652			(3,427,889	)		(11,552,187	)
Net change in unrealized appreciation (depreciation)		1,288,543			(2,813,282	)		6,211,665			1,523,646


Net increase in net assets resulting from operations		1,856,283			5,101,106			19,419,600			2,434,292


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to shareholders		(640,002	)		(485,022	)		(17,132,314	)		(13,672,605	)


CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		(22,168,143	)		(32,601,874	)		(11,225,214	)		3,836,805


NET ASSETS
Total decrease in net assets		(20,951,862	)		(27,985,790	)		(8,937,928	)		(7,401,508	)

Beginning of year		26,585,687			54,571,477			400,871,057			408,272,565


End of year	$	5,633,825		$	26,585,687		$	391,933,129		$	400,871,057

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

See notes to financial statements.


118		2 0 2 4 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

Statements of Changes in Net Assets (continued)


	BATS: Series V Portfolio


	Year Ended 03/31/24			Year Ended 03/31/23

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	2,959,343		$	824,129
Net change in unrealized appreciation (depreciation)		3,814			3,089


Net increase in net assets resulting from operations		2,963,157			827,218


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to shareholders		(2,961,031	)		(821,985	)


CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions		32,075,499			75,232,554


NET ASSETS
Total increase in net assets		32,077,625			75,237,787

Beginning of year		85,438,948			10,201,161


End of year	$	117,516,573		$	85,438,948

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

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		119

Financial Highlights

(For a share outstanding throughout each period)


	BATS: Series A Portfolio

	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of year	$	9.19		$	9.67		$	9.99		$	9.05		$	9.99

Net investment income^(a)		0.57			0.43			0.26			0.31			0.45
Net realized and unrealized gain (loss)		0.20			(0.48	)		(0.31	)		0.94			(0.94	)


Net increase (decrease) from investment operations		0.77			(0.05	)		(0.05	)		1.25			(0.49	)

Distributions^(b)
From net investment income		(0.57	)		(0.42	)		(0.27	)		(0.31	)		(0.45	)
From net realized gain		—			(0.01	)		—			—			—


Total distributions		(0.57	)		(0.43	)		(0.27	)		(0.31	)		(0.45	)


Net asset value, end of year	$	9.39		$	9.19		$	9.67		$	9.99		$	9.05


Total Return^(c)
Based on net asset value		8.66	%		(0.42	)%		(0.59	)%		13.95	%		(5.22	)%


Ratios to Average Net Assets^(d)
Total expenses		0.03	%		0.02	%		0.02	%		0.04	%		0.05	%


Total expenses after fees waived and/or reimbursed		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)


Net investment income		6.18	%		4.65	%		2.64	%		3.20	%		4.45	%


Supplemental Data
Net assets, end of year (000)	$	2,494,040		$	2,423,574		$	2,635,009		$	1,541,153		$	1,035,675


Portfolio turnover rate^(f)		53	%		43	%		45	%		26	%		48	%

^(a)	Based on average shares outstanding.

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

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

^(d)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(e)	Amount is less than 0.005%.

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



	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Portfolio turnover rate (excluding MDRs)		42	%		30	%		34	%		26	%		48	%

See notes to financial statements.


120		2 0 2 4 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

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series C Portfolio

	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of year	$	9.03		$	9.84		$	10.69		$	10.49		$	10.28

Net investment income^(a)		0.41			0.32			0.28			0.33			0.38
Net realized and unrealized gain (loss)		0.02			(0.81	)		(0.66	)		0.60			0.27

Net increase (decrease) from investment operations		0.43			(0.49	)		(0.38	)		0.93			0.65


Distributions^(b)
From net investment income		(0.41	)		(0.32	)		(0.29	)		(0.33	)		(0.38	)
From net realized gain		—			—			(0.18	)		(0.40	)		(0.06	)


Total distributions		(0.41	)		(0.32	)		(0.47	)		(0.73	)		(0.44	)


Net asset value, end of year	$	9.05		$	9.03		$	9.84		$	10.69		$	10.49


Total Return^(c)
Based on net asset value		4.98	%		(4.92	)%		(3.88	)%		8.70	%		6.31	%


Ratios to Average Net Assets^(d)
Total expenses		0.12	%		0.12	%		0.10	%		0.09	%		0.09	%

Total expenses after fees waived and/or reimbursed		0.00	%^(e)		0.00	%^(e)		0.01	%		0.00	%^(e)		0.00	%^(e)

Net investment income		4.66	%		3.50	%		2.59	%		2.96	%		3.55	%


Supplemental Data
Net assets, end of year (000)	$	423,597		$	378,919		$	476,478		$	534,926		$	464,267

Portfolio turnover rate		103	%		47	%		42	%		85	%		83	%

^(a)	Based on average shares outstanding.

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

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

^(d)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(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		121

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series E Portfolio

	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of year	$	10.01		$	11.14		$	11.75		$	10.53		$	10.91

Net investment income^(a)		0.46			0.43			0.46			0.45			0.43
Net realized and unrealized gain (loss)		0.13			(0.92	)		(0.56	)		1.22			(0.37	)

Net increase (decrease) from investment operations		0.59			(0.49	)		(0.10	)		1.67			0.06


Distributions^(b)
From net investment income		(0.45	)		(0.46	)		(0.45	)		(0.45	)		(0.44	)
From net realized gain		—			(0.18	)		(0.06	)		—			—


Total distributions		(0.45	)		(0.64	)		(0.51	)		(0.45	)		(0.44	)


Net asset value, end of year	$	10.15		$	10.01		$	11.14		$	11.75		$	10.53


Total Return^(c)
Based on net asset value		6.18	%		(4.21	)%		(1.07	)%		16.16	%		0.33	%


Ratios to Average Net Assets^(d)
Total expenses		0.20	%		0.26	%		0.11	%		0.15	%		0.18	%

Total expenses after fees waived and/or reimbursed		0.09	%		0.11	%		0.03	%		0.04	%		0.06	%

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)

Net investment income		4.66	%		4.16	%		3.80	%		4.06	%		3.78	%


Supplemental Data
Net assets, end of year (000)	$	412,478		$	342,372		$	382,519		$	400,615		$	313,282

Borrowings outstanding, end of year (000)	$	6,647		$	8,889		$	22,111		$	18,987		$	10,713

Portfolio turnover rate		19	%		37	%		26	%		31	%		54	%

^(a)	Based on average shares outstanding.

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

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

^(d)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(e)	Amount is less than 0.005%.

See notes to financial statements.


122		2 0 2 4 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

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series M Portfolio

	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of year	$	8.42		$	9.11		$	9.77		$	9.81		$	9.59

Net investment income^(a)		0.33			0.25			0.11			0.21			0.30
Net realized and unrealized gain (loss)		(0.15	)		(0.68	)		(0.59	)		0.05			0.25


Net increase (decrease) from investment operations		0.18			(0.43	)		(0.48	)		0.26			0.55

Distributions from net investment income^(b)		(0.32	)		(0.26	)		(0.18	)		(0.30	)		(0.33	)


Net asset value, end of year	$	8.28		$	8.42		$	9.11		$	9.77		$	9.81


Total Return^(c)
Based on net asset value		2.19	%		(4.76	)%		(4.98	)%		2.68	%		5.86	%


Ratios to Average Net Assets^(d)
Total expenses		0.06	%		0.06	%		0.06	%		0.05	%		0.06	%


Total expenses after fees waived and/or reimbursed		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)		0.00	%^(e)


Net investment income		3.99	%		2.97	%		1.11	%		2.12	%		3.03	%


Supplemental Data
Net assets, end of year (000)	$	1,146,383		$	1,105,898		$	1,126,195		$	1,197,167		$	1,006,778


Portfolio turnover rate^(f)		704	%		873	%		1,473	%		1,500	%		1,316	%

^(a)	Based on average shares outstanding.

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

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

^(d)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(e)	Amount is less than 0.005%.

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



	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Portfolio turnover rate (excluding MDRs)		420	%		521	%		665	%		896	%		813	%

See notes to financial statements.


F I N A N C I A L H I G H L I G H T S		123

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series P Portfolio

	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of year	$	9.75		$	8.95		$	8.69		$	7.92		$	9.25

Net investment income^(a)		0.31			0.15			0.04			0.06			0.12
Net realized and unrealized gain (loss)		0.78			0.76			0.22			0.71			(1.33	)


Net increase (decrease) from investment operations		1.09			0.91			0.26			0.77			(1.21	)

Distributions^(b)
From net investment income		(0.44	)		(0.11	)		—			—			(0.12	)
Return of capital		—			—			—			—			(0.00	)^(c)


Total distributions		(0.44	)		(0.11	)		—			—			(0.12	)


Net asset value, end of year	$	10.40		$	9.75		$	8.95		$	8.69		$	7.92


Total Return^(d)
Based on net asset value		11.44	%		10.14	%		2.99	%		9.72	%		(13.25	)%


Ratios to Average Net Assets^(e)
Total expenses		0.88	%		0.33	%		0.28	%		0.46	%		0.31	%


Total expenses after fees waived and/or reimbursed		0.01	%		0.00	%^(f)		0.00	%^(f)		0.00	%^(f)		0.00	%^(f)


Net investment income		3.06	%		1.55	%		0.45	%		0.71	%		1.33	%


Supplemental Data
Net assets, end of year (000)	$	5,634		$	26,586		$	54,571		$	53,175		$	41,305


Portfolio turnover rate		0	%		9	%		0	%		36	%		15	%

^(a)	Based on average shares outstanding.

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

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

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

^(e)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(f)	Amount is less than 0.005%.

See notes to financial statements.


124		2 0 2 4 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

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series S Portfolio

	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Net asset value, beginning of year	$	9.04		$	9.28		$	9.73		$	9.23		$	9.50

Net investment income^(a)		0.38			0.27			0.14			0.18			0.27
Net realized and unrealized gain (loss)		0.06			(0.21	)		(0.43	)		0.54			(0.23	)


Net increase (decrease) from investment operations		0.44			0.06			(0.29	)		0.72			0.04

Distributions^(b)
From net investment income		(0.39	)		(0.28	)		(0.16	)		(0.22	)		(0.31	)
From net realized gain		—			(0.02	)		—			—			—


Total distributions		(0.39	)		(0.30	)		(0.16	)		(0.22	)		(0.31	)


Net asset value, end of year	$	9.09		$	9.04		$	9.28		$	9.73		$	9.23


Total Return^(c)
Based on net asset value		4.98	%		0.62	%		(3.02	)%		7.80	%^(d)		0.34	%


Ratios to Average Net Assets^(e)
Total expenses		0.13	%		0.10	%		0.12	%		0.13	%		1.14	%


Total expenses after fees waived and/or reimbursed		0.00	%^(f)		0.00	%^(f)		0.01	%		0.02	%		0.99	%


Total expenses after fees waived and/or reimbursed and excluding interest expense		0.00	%^(f)		0.00	%^(f)		0.01	%		0.00	%^(f)		0.00	%^(f)


Net investment income		4.19	%		2.96	%		1.42	%		1.89	%		2.84	%


Supplemental Data
Net assets, end of year (000)	$	391,933		$	400,871		$	408,273		$	398,906		$	146,302


Portfolio turnover rate^(g)		166	%		127	%		68	%		124	%		144	%

^(a)	Based on average shares outstanding.

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

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

^(d)	Includes a payment received from an affiliate, which had no impact on the Fund’s total return.

^(e)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(f)	Amount is less than 0.005%.

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



	Year Ended 03/31/24			Year Ended 03/31/23			Year Ended 03/31/22			Year Ended 03/31/21			Year Ended 03/31/20

Portfolio turnover rate (excluding MDRs)		140	%		106	%		67	%		122	%		101	%

See notes to financial statements.


F I N A N C I A L H I G H L I G H T S		125

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BATS: Series V Portfolio

		Year Ended 03/31/24			Year Ended 03/31/23			Period From 05/05/21 to 03/31/22	^(a)

Net asset value, beginning of period	$	9.99		$	9.99		$	10.00

Net investment income^(b)		0.34			0.22			0.01
Net realized and unrealized loss		(0.00	)^(c)		(0.04	)		(0.01	)


Net increase from investment operations		0.34			0.18			0.00


Distributions from net investment income^(d)		(0.34	)		(0.18	)		(0.01	)


Net asset value, end of period	$	9.99		$	9.99		$	9.99


Total Return^(e)
Based on net asset value		3.44	%		1.83	%		0.01	%^(f)


Ratios to Average Net Assets^(g)
Total expenses		0.25	%		0.52	%		4.06	%^(h)(i)


Total expenses after fees waived and/or reimbursed		0.00	%^(j)		0.00	%^(j)		0.00	%^(h)(j)


Net investment income		3.39	%		2.21	%		0.13	%^(h)


Supplemental Data
Net assets, end of period (000)	$	117,517		$	85,439		$	10,201


Portfolio turnover rate		170	%		189	%		283	%

^(a)	Commencement of operations.

^(b)	Based on average shares outstanding.

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

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

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

^(f)	Not annualized.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

⁽ⁱ⁾	Audit, offering, organization and printing costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.35%.

^(j)	Amount is less than 0.005%.

See notes to financial statements.


126		2 0 2 4 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

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
BATS: Series C Portfolio	Series C	Diversified
BATS: Series E Portfolio	Series E	Diversified
BATS: Series M Portfolio	Series M	Diversified
BATS: Series P Portfolio	Series P	Diversified
BATS: Series S Portfolio	Series S	Diversified
BATS: Series V Portfolio	Series V	Diversified

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

The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.

2.	*SIGNIFICANT ACCOUNTING POLICIES*

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

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

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

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

Bank Overdraft: Certain Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.

Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

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

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board of Trustees of the Trust (the “Board”), the trustees who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.


N O T E S T O F I N A N C I A L S T A T E M E N T S		127

Notes to Financial Statements (continued)

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed Income Complex and reflected as Trustee and Officer expense on the Statements of Operations. The Trustee and Officer expense may be negative as a result of a decrease in value of the deferred accounts.

Offering Costs: Offering costs are amortized over a 12-month period beginning with the commencement of operations of a class of shares.

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

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

The Funds have an arrangement with their custodian whereby credits are earned on uninvested cash balances. For financial reporting purposes, custodian credits, if any, are included in interest income in the Statements of Operations.

3.	*INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of each Fund has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

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

•

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

•

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).

•

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

•

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.

•

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

•

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

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.


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



*Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services*

Market approach	(i)	recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
	(ii)	recapitalizations and other transactions across the capital structure; and
	(iii)	market multiples of comparable issuers.

Income approach	(i)	future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
	(ii)	quoted prices for similar investments or assets in active markets; and
	(iii)	other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach	(i)	audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
	(ii)	changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
	(iii)	relevant news and other public sources; and
	(iv)	known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

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

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

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

•

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

•

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

•

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4.	*SECURITIES AND OTHER INVESTMENTS*

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a Fund may subsequently have to reinvest the proceeds at lower interest rates. If a Fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities


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Notes to Financial Statements (continued)

issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

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

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

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

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

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

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

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result


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in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

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

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

Forward Commitments, When-Issued and Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions. These types of securities may be considered unfunded and may obligate the Funds to make future cash payments. An unfunded commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded commitments:




Fund Name	Investment Name	Commitment Amount		Value		Unrealized Appreciation (Depreciation)


Series E	Puerto Rico Electric Power Authority, Series B-1	$	2,323,863	$	2,774,886	$	451,023
Series E	Puerto Rico Electric Power Authority, Series B-2		11,249,141		14,243,349		2,994,208


						$	3,445,231

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

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

Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.


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

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

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

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

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

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




Fund Name	Interest Expense		Liquidity Fees		Other Expenses		Total


Series E	$	295,315	$	25,785	$	8,533	$	329,633

For the year ended March 31, 2024, the following table is a summary of each Fund’s TOB Trusts:




Fund Name	Underlying Municipal Bonds Transferred to TOB Trusts^(a)		Liability for TOB Trust Certificates^(b)		Range of Interest Rates on TOB Trust Certificates at Period End		Average TOB Trust Certificates Outstanding		Daily Weighted Average Rate of Interest and Other Expenses on TOB Trusts


Series E	$	12,244,099	$	6,647,000		3.67% - 3.94%	$	7,890,309		4.11	%

^(a)

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

^(b)

TOB Trusts may be structured on a non-recourse or recourse basis. When a Fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a Fund invests in a TOB Trust on a recourse basis, a Fund enters into a reimbursement agreement with the Liquidity Provider where a Fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a Fund invests in a recourse TOB Trust, a Fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Fund at March 31, 2024, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Fund at March 31, 2024.


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5.	*DERIVATIVE FINANCIAL INSTRUMENTS*

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

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

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

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

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.

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

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

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

•

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

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


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Notes to Financial Statements (continued)

swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

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

•

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

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

•

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

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

•

Forward swaps — The Funds may enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

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

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

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

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

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.


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Notes to Financial Statements (continued)

6.	*INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*

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

With respect to each Fund, except for Series E and Series V, the Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager.

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

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

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




Fund Name	Amounts Waived


Series A	$	583,178
Series C		453,548
Series E		360,494
Series M		621,705
Series P		143,062
Series S		520,919
Series V		216,479

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

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

During the year ended March 31, 2024, the Funds did not participate in the Interfund Lending Program.

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

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended March 31, 2024, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:



Fund Name	Purchases		Sales		Net Realized Gain (Loss)

Series V	$	4,106,561	$	15,309,771	$	—


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		135

Notes to Financial Statements (continued)

7.	*PURCHASES AND SALES*

For the year ended March 31, 2024, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:




Fund Name/Asset Type	Purchases		Sales


Series A
Non-U.S. Government Securities	$	1,307,978,619	$	1,140,068,759
Series C
Non-U.S. Government Securities		386,888,439		342,312,082
U.S. Government Securities		56,208,828		55,353,660
Series E
Non-U.S. Government Securities		96,673,677		57,841,452
Series M
Non-U.S. Government Securities		9,650,940,531		9,566,850,150
Series P
Non-U.S. Government Securities		—		6,581,500
Series S
Non-U.S. Government Securities		571,977,219		587,796,198
U.S. Government Securities		42,947,022		29,768,325
Series V
Non-U.S. Government Securities		172,621,950		139,895,000

For the year ended March 31, 2024, purchases and sales related to mortgage dollar rolls were as follows:




Fund Name	Purchases		Sales


Series A	$	240,794,546	$	241,130,273
Series M		3,862,944,810		3,861,913,779
Series S		97,850,566		97,795,816

8.	*INCOME TAX INFORMATION*

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

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of March 31, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.


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Notes to Financial Statements (continued)

The tax character of distributions paid was as follows:


Fund Name		Year Ended March 31, 2024		Year Ended March 31, 2023

Series A

Ordinary income	$	139,801,698	$	116,299,178


Series C

Ordinary income	$	18,482,170	$	13,928,770


Series E

Tax-exempt income	$	16,139,547	$	14,910,024
Ordinary income		67,023		107,742
Long term capital gains		—		5,522,097


	$	16,206,570	$	20,539,863

Series M

Ordinary income	$	44,108,637	$	31,852,649


Series P

Ordinary income	$	640,002	$	485,022


Series S

Ordinary income	$	17,132,314	$	13,672,605


Series V

Tax-exempt income	$	2,960,931	$	819,875
Ordinary income		100		2,110


	$	2,961,031	$	821,985

As of March 31, 2024, the tax components of accumulated net earnings (losses) were as follows:


Fund Name	Undistributed tax-exempt income		Undistributed Ordinary Income		Non-expiring Capital Loss Carryforwards^(a)			Net Unrealized Gains (Losses)^(b)			Total

Series A	$	—	$	1,201,681	$	(63,337,034	)	$	(124,148,571	)		$ (186,283,924	)
Series C		—		—		(54,102,185	)		(12,228,902	)		(66,331,087	)
Series E		245,863		—		(14,538,216	)		(14,556,208	)		(28,848,561	)
Series M		—		2,742,234		(109,703,098	)		(87,350,335	)		(194,311,199	)
Series P		—		116,735		(25,432,893	)		(41,264	)		(25,357,422	)
Series S		—		—		(23,638,429	)		(5,943,993	)		(29,582,422	)
Series V		456		—		—			491			947

^(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 and straddles, amortization and accretion methods for premiums and discounts on fixed income securities, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency exchange contracts, the accounting for swap agreements, the treatment of residual interests in tender option bond trusts and the classification of investments.

During the year ended March 31, 2024, the funds listed below utilized the following amounts of their respective capital loss carryforwards:


	Series P
Amount utilized		$ 922,427

As of March 31, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:




Fund Name	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)


Series A	$	2,711,731,637	$	12,961,479	$	(137,110,050)		$	(124,148,571	)
Series C		433,332,061		4,987,412		(17,079,975	)		(12,092,563	)
Series E		425,905,270		8,697,929		(23,254,137	)		(14,556,208	)
Series M		1,515,844,580		7,053,570		(94,403,905	)		(87,350,335	)
Series P		1,388,855		383,645		(424,835	)		(41,190	)
Series S		401,557,463		1,898,362		(7,344,574	)		(5,446,212	)
Series V		116,960,750		1,089		(598	)		491


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Notes to Financial Statements (continued)

9.	*BANK BORROWINGS*

The Trust, on behalf of each Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple SOFR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2024 unless extended or renewed. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended March 31, 2024, the Funds did not borrow under the credit agreement.

10.

PRINCIPAL RISKS

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

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

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

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

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

Certain obligations held by Series V have a credit enhancement or liquidity feature that may, under certain circumstances, provide for repayment of principal and interest on the obligation when due. These enhancements, which may include letters of credit, stand-by bond purchase agreements and/or third-party insurance, are issued by financial institutions. The value of the obligations may be affected by changes in creditworthiness of the entities that provide the credit enhancements or liquidity features. Series V monitors its exposure by reviewing the creditworthiness of the issuers, as well as the financial institutions issuing the credit enhancements and by limiting the amount of holdings with credit enhancements from one financial institution.

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

Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.

Valuation Risk: The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of


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Notes to Financial Statements (continued)

those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

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

Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.

Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has raised the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact certain Funds’ performance.

The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.

Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

LIBOR Transition Risk: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (’’LIBOR’’) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. The SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.


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		139

Notes to Financial Statements (continued)

11.

CAPITAL SHARE TRANSACTIONS

Transactions in capital shares were as follows:



	Year Ended 03/31/24						Year Ended 03/31/23


Fund Name	Shares			Amount			Shares			Amount

Series A

Shares sold		47,562,008		$	445,090,304			7,065,891		$	65,608,620

Shares redeemed		(45,775,267	)		(423,038,815	)		(15,979,376	)		(147,358,222	)


		1,786,741		$	22,051,489			(8,913,485	)	$	(81,749,602	)


Series C

Shares sold		15,783,759		$	140,503,861			12,713,591		$	114,532,902

Shares redeemed		(10,951,684	)		(96,940,758	)		(19,183,173	)		(171,440,093	)


		4,832,075		$	43,563,103			(6,469,582	)	$	(56,907,191	)


Series E

Shares sold		23,301,016		$	230,906,817			19,966,034		$	204,068,120

Shares redeemed		(16,841,996	)		(163,994,482	)		(20,111,185	)		(204,350,708	)


		6,459,020		$	66,912,335			(145,151	)	$	(282,588	)


Series M

Shares sold		47,160,356		$	389,133,798			39,412,723		$	334,004,244

Shares redeemed		(39,977,105	)		(328,560,193	)		(31,700,940	)		(269,909,093	)


		7,183,251		$	60,573,605			7,711,783		$	64,095,151


Series P

Shares sold		287,267		$	2,940,745			2,007,424		$	19,091,730

Shares redeemed		(2,472,653	)		(25,108,888	)		(5,378,955	)		(51,693,604	)


		(2,185,386	)	$	(22,168,143	)		(3,371,531	)	$	(32,601,874	)


Series S

Shares sold		12,836,280		$	115,922,375			20,222,887		$	183,515,986

Shares redeemed		(14,087,279	)		(127,147,589	)		(19,873,154	)		(179,679,181	)


		(1,250,999	)	$	(11,225,214	)		349,733		$	3,836,805


Series V

Shares sold		14,653,215		$	146,385,613			12,533,297		$	125,207,867

Shares redeemed		(11,442,454	)		(114,310,114	)		(5,002,457	)		(49,975,313	)


		3,210,761		$	32,075,499			7,530,840		$	75,232,554

12.

SUBSEQUENT EVENTS

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

Effective April 11, 2024, the 364-day credit agreement to which the Trust, on behalf of the Funds, and the Participating Funds are party, was amended to (i) decrease the aggregate commitment amount to $2.40 billion, and (ii) extend the termination date to April 2025.


140		2 0 2 4 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

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, BATS: Series S Portfolio and BATS: Series V Portfolio and the Board of Trustees of 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, BATS: Series S Portfolio, and BATS Series V Portfolio of BlackRock Allocation Target Shares (the “Funds”), including the schedules of investments, as of March 31, 2024, 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, 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, 2024, and the results of their operations 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(s)		Financial Highlights
BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, BATS: Series S Portfolio		For each of the five years in the period ended March 31, 2024.
BATS: Series V Portfolio		For each of the two years in the period ended March 31, 2024 and for the period from May 5, 2021 (commencement of operations) through March 31, 2022.

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 audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The 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, 2024, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

May 22, 2024

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


R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M		141

Important Tax Information (unaudited)

The following amounts, or maximum amounts allowable by law, are hereby designated as exempt-interest dividends for the fiscal year ended March 31, 2024:




Fund Name	Exempt-Interest Dividends


Series E	$	16,108,399
Series V		2,959,343

The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended March 31, 2024:




Fund Name	Qualified Dividend Income


Series C	$	434,184

The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended March 31, 2024:




Fund Name	Federal Obligation Interest


Series A	$	8,184,102
Series C		733,988
Series M		1,219,026
Series P		30,130
Series S		2,540,674

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended March 31, 2024 qualified for the dividends-received deduction for corporate shareholders:




Fund Name	Dividends-Received Deduction


Series C		0.83%

The Funds hereby designates the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended March 31, 2024:




Fund Name	Interest Dividends


Series A	$	137,231,994
Series C		18,598,346
Series M		42,909,167
Series P		431,315
Series S		17,060,429

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended March 31, 2024:




Fund Name	Interest-Related Dividends


Series A	$	96,926,425
Series C		14,842,277
Series M		42,792,525
Series P		431,315
Series S		14,788,812


142		2 0 2 4 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

Statement Regarding Liquidity Risk Management Program

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), BlackRock Allocation Target Shares (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, BATS: Series S Portfolio and BATS: Series V Portfolio (the “Funds”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.

The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on November 14-15, 2023 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain BlackRock funds, as the program administrator for each Fund’s Program, as applicable. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2022 through September 30, 2023 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:

The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a fund’s liquidity bucketing. A fund’s derivative exposure was also considered in such calculation.

Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size utilized for liquidity classifications. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.

Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered the terms of the credit facility committed to each Fund, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). The Committee also considered other types of borrowing available to the funds, such as the ability to use reverse repurchase agreements and interfund lending, as applicable.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program’s classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.


S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M		143

Trustee and Officer Information


Independent Trustees^(a)

Name Year of Birth^(b)	Position(s) Held (Length of Service)^(c)	Principal Occupation(s) During Past 5 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 5 Years

R. Glenn Hubbard 1958	Chair of the Board (Since 2022) Trustee (Since 2019)	Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988.	68 RICs consisting of 102 Portfolios	ADP (data and information services) from 2004 to 2020; Metropolitan Life Insurance Company (insurance); TotalEnergies SE (multi-energy)

W. Carl Kester^(d) 1951	Vice Chair of the Board (Since 2022) Trustee (Since 2019)	Baker Foundation Professor and George Fisher Baker Jr. Professor of Business Administration, Emeritus, Harvard Business School since 2022; George Fisher Baker Jr. Professor of Business Administration, Harvard Business School from 2008 to 2022; 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.	70 RICs consisting of 104 Portfolios	None

Cynthia L. Egan^(d) 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.	70 RICs consisting of 104 Portfolios	Unum (insurance); The Hanover Insurance Group (Board Chair); Huntsman Corporation (Lead Independent Director and non- Executive Vice Chair of the Board) (chemical products)

Lorenzo A. Flores 1964	Trustee (Since 2021)	Vice Chairman, Kioxia, Inc. since 2019; Chief Financial Officer, Xilinx, Inc. from 2016 to 2019; Corporate Controller, Xilinx, Inc. from 2008 to 2016.	68 RICs consisting of 102 Portfolios	None

Stayce D. Harris 1959	Trustee (Since 2021)	Lieutenant General, Inspector General of the United States Air Force from 2017 to 2019; Lieutenant General, Assistant Vice Chief of Staff and Director, Air Staff, United States Air Force from 2016 to 2017; Major General, Commander, 22nd Air Force, AFRC, Dobbins Air Reserve Base, Georgia from 2014 to 2016; Pilot, United Airlines from 1990 to 2020.	68 RICs consisting of 102 Portfolios	KULR Technology Group, Inc. in 2021; The Boeing Company (airplane manufacturer)

J. Phillip Holloman 1955	Trustee (Since 2021)	President and Chief Operating Officer, Cintas Corporation from 2008 to 2018.	68 RICs consisting of 102 Portfolios	PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation); Vestis Corporation (uniforms and facilities services)


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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 5 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 5 Years

Catherine A. Lynch^(d) 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.	70 RICs consisting of 104 Portfolios	PennyMac Mortgage Investment Trust

Arthur P. Steinmetz^(d) 1958	Trustee (Since 2023)	Consultant, Posit PBC (enterprise data science) since 2020; Director, ScotiaBank (U.S.) from 2020 to 2023; Chairman, Chief Executive Officer and President of OppenheimerFunds, Inc. from 2015, 2014 and 2013, respectively to 2019; Trustee, President and Principal Executive Officer of 104 OppenheimerFunds funds from 2014 to 2019; Portfolio manager of various OppenheimerFunds fixed income mutual funds from 1986 to 2014.	70 RICs consisting of 104 Portfolios	Trustee of 104 OppenheimerFunds funds from 2014 to 2019

		Interested Trustees^(a)(e)

Name Year of Birth^(b)	Position(s) Held (Length of Service)^(c)	Principal Occupation(s) During Past 5 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 5 Years

Robert Fairbairn 1965	Trustee (Since 2015)	Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; 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.	96 RICs consisting of 267 Portfolios	None

John M. Perlowski^(d) 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.	98 RICs consisting of 269 Portfolios	None

^(a)	The address of each Trustee is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001.

^(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: R. Glenn Hubbard, 2004 and W. Carl Kester, 1995. Certain other Independent Trustees became members of the boards of the closed-end funds in the Fixed-Income Complex as follows: Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016.

^(d)	Ms. Egan, Dr. Kester, Ms. Lynch, Mr. Steinmetz and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

^(e)	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.


T R U S T E E A N D O F F I C E R I N F O R M A T I O N		145

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 5 Years

Jennifer McGovern 1977	Vice President (Since 2014)	Managing Director of BlackRock, Inc. since 2016.

Trent Walker 1974	Chief Financial Officer (Since 2021)	Managing Director of BlackRock, Inc. since 2019; Executive Vice President of PIMCO from 2016 to 2019.

Jay M. Fife 1970	Treasurer (Since 2007)	Managing Director of BlackRock, Inc. since 2007.

Aaron Wasserman 1974	Chief Compliance Officer (Since 2023)	Managing Director of BlackRock, Inc. since 2018; Chief Compliance Officer of the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the iShares Complex since 2023; Deputy Chief Compliance Officer for the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the iShares Complex from 2014 to 2023.

Lisa Belle 1968	Anti-Money Laundering Compliance Officer (Since 2019)	Managing Director of BlackRock, Inc. since 2019; Global Financial Crime Head for Asset and Wealth Management of JP Morgan from 2013 to 2019.

Janey Ahn 1975	Secretary (Since 2019)	Managing Director of BlackRock, Inc. since 2018.

^(a)	The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10001.

^(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.

Effective July 1, 2023, Aaron Wasserman replaced Charles Park as Chief Compliance Officer of the Trust.

Effective December 31, 2023, Frank Fabozzi retired as Trustee of the Trust.

Effective January 19, 2024, Arthur Steinmetz became an Independent Trustee of the Trust.


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Additional Information

Proxy Results

A Special Meeting of Shareholders was held on November 9, 2023 for shareholders of record on September 11, 2023, to elect a Board of Trustees of the Funds.

Approved the Trustees as follows:


	Votes For	Votes Abstained

Lorenzo A. Flores	499,702,260	3,137,240
Stayce D. Harris	499,702,260	3,137,240
J. Phillip Holloman	499,374,315	3,465,185
Arthur P. Steinmetz	502,580,037	259,463

Board Members whose term of office continued after the Special Meeting of Shareholders because they were not up for election are R. Glenn Hubbard, W. Carl Kester, Cynthia L. Egan, Frank J. Fabozzi, Catherine A. Lynch, Robert Fairbairn and John M. Perlowski. Frank J. Fabozzi’s term as a Board Member of the Funds ended on December 31, 2023.

Tailored Shareholder Reports for Open-End Mutual Funds and ETFs

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

General Information

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

Householding

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

Availability of Proxy Voting Policies, Procedures and Voting Records

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

BlackRock Privacy Principles

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

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

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

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


A D D I T I O N A L I N F O R M A T I O N		147

Additional Information (continued)

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.


148		2 0 2 4 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

Additional Information (continued)

Fund and Service Providers

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisor^(a)

BlackRock International Limited

Edinburgh EH3 8BL, United Kingdom

Accounting Agent, Administrator and Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Custodian

The Bank of New York Mellon

New York, NY 10286

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Distributor

BlackRock Investments, LLC

New York, NY 10001

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trust

100 Bellevue Parkway

Wilmington, DE 19809

^(a)	Excludes BATS: Series E Portfolio and BATS: Series V Portfolio


A D D I T I O N A L I N F O R M A T I O N		149

Glossary of Terms Used in this Report


Currency Abbreviation

CAD		Canadian Dollar

EUR		Euro

JPY		Japanese Yen

USD		United States Dollar

Portfolio Abbreviation

ABS		Asset-Backed Security

AGM		Assured Guaranty Municipal Corp.

AMT		Alternative Minimum Tax

BAN		Bond Anticipation Notes

CLO		Collateralized Loan Obligation

COL		Collateralized

DAC		Designated Activity Co.

EDA		Economic Development Authority

EDC		Economic Development Corp.

EURIBOR		Euro Interbank Offered Rate

FHLMC		Federal Home Loan Mortgage Corp.

FNMA		Federal National Mortgage Association

GNMA		Government National Mortgage Association

GO		General Obligation Bonds

GTD		Guaranteed

HDA		Housing Development Authority

HFA		Housing Finance Agency

IDA		Industrial Development Authority

IDB		Industrial Development Board

IDC		Industrial Development Corp.

IO		Interest Only

ISD		Independent School District

LIBOR		London Interbank Offered Rate

LIQ		Liquidity Agreement

LOC		Letter of Credit

LP		Limited Partnership

OTC		Over-the-Counter

RB		Revenue Bonds

REMIC		Real Estate Mortgage Investment Conduit

SBPA		Stand-By Bond Purchase Agreements

SOFR		Secured Overnight Financing Rate

TA		Tax Allocation

TBA		To-be-Announced

TECP		Tax-Exempt Commercial Paper

TONA		Tokyo Overnight Average Rate

VRDN		Variable Rate Demand Note


150		2 0 2 4 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

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Want to know more?

blackrock.com | 800-441-7762

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

BATS-03/24-AR

(b) Not Applicable

Item 2 –

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

Item 3 –

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

Lorenzo A. Flores

Catherine A. Lynch

Arthur P. Steinmetz

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

Item 4 –

Principal Accountant Fees and Services

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



	(a) Audit Fees		(b) Audit-Related Fees¹		(c) Tax Fees²		(d) All Other Fees

Entity Name	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End

BATS: Series A Portfolio	$41,718	$41,718	$0	$44	$17,576	$17,600	$407	$218

BATS: Series C Portfolio	$36,720	$36,720	$0	$44	$17,576	$17,600	$407	$218

BATS: Series E Portfolio	$42,738	$42,738	$0	$44	$15,600	$15,600	$407	$218

BATS: Series M Portfolio	$32,640	$32,640	$0	$44	$17,576	$17,600	$407	$218

BATS: Series P Portfolio	$20,808	$20,808	$0	$44	$17,576	$17,600	$407	$218

BATS: Series S Portfolio	$36,720	$36,720	$0	$44	$17,576	$17,600	$407	$218

BATS: Series V Portfolio	$42,738	$42,738	$0	$44	$15,600	$22,100	$407	$218

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



	Current Fiscal Year End	Previous Fiscal Year End

(b) Audit-Related Fees¹	$0	$0

(c) Tax Fees²	$0	$0

(d) All Other Fees³	$2,149,000	$2,154,000

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

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

³ Non-audit fees of $2,149,000 and $2,154,000 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.

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

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

(f) Not Applicable

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



Entity Name	Current Fiscal Year End	Previous Fiscal Year End
BATS: Series A Portfolio	$17,983	$17,862
BATS: Series C Portfolio	$17,983	$17,862
BATS: Series E Portfolio	$16,007	$15,862
BATS: Series M Portfolio	$17,983	$17,862
BATS: Series P Portfolio	$17,983	$17,862
BATS: Series S Portfolio	$17,983	$17,862
BATS: Series V Portfolio	$16,007	$22,362

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

$2,149,000

$2,154,000

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

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

(i) – Not Applicable

(j) – Not Applicable

Item 5 –

Audit Committee of Listed Registrant – Not Applicable

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

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

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 –

Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 –

Recovery of Erroneously Awarded Compensation – Not Applicable

Item 14 –

Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) Section 302 Certifications are attached

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Allocation Target Shares


		By:		/s/ John M. Perlowski
				John M. Perlowski
				Chief Executive Officer (principal executive officer) of
				BlackRock Allocation Target Shares

Date: May 22, 2024

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


		By:		/s/ John M. Perlowski
				John M. Perlowski
				Chief Executive Officer (principal executive officer) of
				BlackRock Allocation Target Shares

Date: May 22, 2024


		By:		/s/ Trent Walker
				Trent Walker
				Chief Financial Officer (principal financial officer) of
				BlackRock Allocation Target Shares

Date: May 22, 2024