UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21457

Name of Fund:    BlackRock Allocation Target Shares

BATS: Series A Portfolio

BATS: Series C Portfolio

BATS: Series E Portfolio

BATS: Series M Portfolio

BATS: Series P Portfolio

BATS: Series S Portfolio

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

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

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

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

Date of fiscal year end: 03/31/2021

Date of reporting period: 03/31/2021

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

MARCH 31, 2021

2021 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

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

The 12-month reporting period as of March 31, 2021 reflected a remarkable period of disruption and adaptation, as the global economy dealt with the implications of the coronavirus (or “COVID-19”) pandemic. As the period began, the response to the virus’s spread was well underway, and countries around the world instituted economically disruptive countermeasures. Stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off, and unemployment claims spiked, causing a global recession and a sharp fall in equity prices.

As April 2020 began, stocks were near their lowest point since the beginning of the pandemic. However, a steady recovery began, as businesses started re-opening and governments learned to adapt to life with the virus. Equity prices continued to rise throughout the summer, fed by strong fiscal and monetary support and improving economic indicators. Many equity indices neared or surpassed all-time highs late in the reporting period following the implementation of mass vaccination campaigns and passage of an additional $1.9 trillion of fiscal stimulus. In the United States, both large- and small-capitalization stocks posted a significant advance. International equities also gained, as both developed countries and emerging markets rebounded substantially.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) was near all-time lows as the period began, reflecting a reduced investor appetite for risk. However, inflation concerns from a rapidly expanding economy raised yields late in the reporting period, leading to a negative overall return for most U.S. Treasuries. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to positive returns for corporate bonds, particularly high-yield corporates, which gained substantially.

The Fed remained committed to accommodative monetary policy by maintaining near zero interest rates and by announcing that inflation could exceed its 2% target for a sustained period without triggering a rate increase. To stabilize credit markets, the Fed also continued purchasing significant quantities of bonds, as did other influential central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion will continue to accelerate as vaccination efforts ramp up and pent-up consumer demand leads to higher spending. In early 2021, President Biden signed one of the largest economic rescue packages in U.S. history, which should provide a solid tailwind for economic growth. In our view, inflation is likely to increase somewhat as the expansion continues, but moderate inflation is less likely to be followed by interest rate hikes that could threaten the economic expansion due to the change in Fed policy.

Overall, we favor a positive stance toward risk, with an overweight in equities. We see U.S. and Asian equities outside of Japan benefiting from structural growth trends in technology, while emerging markets should be particularly helped by a vaccine-led economic expansion. While we are neutral overall on credit, rising inflation should provide tailwinds for inflation-protected bonds, and global high-yield and Asian bonds also present attractive opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

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

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of March 31, 2021
	6-Month			12-Month
U.S. large cap equities (S&P 500® Index)		19.07	%		56.35	%
U.S. small cap equities (Russell 2000® Index)		48.05			94.85
International equities (MSCI Europe, Australasia, Far East Index)		20.08			44.57
Emerging market equities (MSCI Emerging Markets Index)		22.43			58.39
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)		0.06			0.12
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)		(8.88	)		(8.23	)
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)		(2.73	)		0.71
Tax-exempt municipal bonds (S&P Municipal Bond Index)		1.46			5.29
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		7.35			23.65
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		22
Disclosure of Expenses		22
The Benefits and Risks of Leveraging		22
Derivative Financial Instruments		23
Financial Statements:
Schedules of Investments		24
Statements of Assets and Liabilities		102
Statements of Operations		105
Statements of Changes in Net Assets		107
Financial Highlights		110
Notes to Financial Statements		116
Report of Independent Registered Public Accounting Firm		130
Important Tax Information		131
Statement Regarding Liquidity Risk Management Program		132
Trustee and Officer Information		133
Additional Information		137
Glossary of Terms Used in this Report		139

3

Fund Summary as of March 31, 2021  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, 2021, the Fund outperformed its broad-based benchmark, the Bloomberg Barclays U.S. Universal Index, as well as its “Reference Benchmark” consisting of 50% Bloomberg Barclays U.S. Asset-Backed Securities Index and 50% Bloomberg Barclays Non-Agency Investment Grade CMBS Index. Shares of the Fund can be purchased or held only by or on behalf of (i) certain separately managed account clients; (ii) collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser; and (iii) mutual funds advised by BlackRock Advisors, LLC or its affiliates. Comparisons of the Fund’s performance versus its Reference Benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The largest contributor to the Fund’s performance relative to the benchmark was an overweight allocation to securitized assets, most notably non-agency residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”). Within non-agency RMBS, exposure to subprime securities led positive contributions. More broadly, strong fundamentals continued to support a recovery for non-agency RMBS from the COVID-19-related spread widening seen in March 2020. Robust housing data and a renewed demand for single-family homes alongside historically low interest rates created a strong technical environment for RMBS. CMBS prices were boosted following positive news surrounding vaccines and fiscal stimulus, with the rebound from pandemic-driven spread widening dispersed across property types and individual names. Spreads tightened within asset-backed securities (“ABS”) as well, especially for some of the larger sub-sectors such as prime autos and credit cards. With regard to collateralized loan obligations (“CLOs”), spreads tightened most notably across the higher-rated portion of the capital stack.

While allocations to non-agency RMBS, CMBS, ABS and CLOs all contributed positively to performance over the 12 months, some securitized subsectors detracted modestly, including auto ABS and prime non-agency RMBS.

The Fund’s cash position was increased in the wake of the disruption in financial markets when COVID-19 concerns crested, as the investment adviser sought to maintain liquidity and preserve capital. The cash position did not have any material impact on the Fund’s return for the period.

Describe recent portfolio activity.

Over the period, the Fund’s allocation to ABS was increased while allocations to non-agency RMBS, CMBS and CLOs were decreased.

Describe portfolio positioning at period end.

The Fund ended the period with an underweight duration (and corresponding interest rate sensitivity) relative to the benchmark. The Fund was positioned underweight in 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.

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Fund Summary as of March 31, 2021 (continued) BATS: Series A Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

The Fund commenced operations on September 21, 2015.

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

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

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

Performance Summary for the Period Ended March 31, 2021

				Average Annual Total Returns(a)
	6-Months Total Returns			1 Year			5 Years			Since    Inception(b)
BATS: Series A Portfolio		2.22	%		13.95	%		5.47	%		5.33%
Bloomberg Barclays U.S. Universal Index		(1.80	)		2.95			3.59			3.75
Reference Benchmark		0.18			5.71			3.18			3.25

^(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(a)
	Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)		Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)	Annualized Expense Ratio
	$  1,000.00	$  1,022.20	$  0.00			$  1,000.00	$  1,024.93	$  0.00		0.00	%

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

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

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, 2021 (continued) BATS: Series A Portfolio

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments	(a)
Asset-Backed Securities	53	%
Non-Agency Mortgage-Backed Securities	44
U.S. Government Sponsored Agency Securities	2
Floating Rate Loan Interests	1
Corporate Bonds	—(b	)

CREDIT QUALITY ALLOCATION

Credit Rating(c)	Percent of Total Investments	(a)
AAA/Aaa(d)	39	%
AA/Aa	4
A	3
BBB/Baa	3
BB/Ba	5
B	3
CCC/Caa	4
CC/Ca	5
C	1
N/R	33

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

^(b)  Amount is less than 1%.

^(c)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s 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.

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Fund Summary as of March 31, 2021  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, 2021, the Fund outperformed its benchmark, the Bloomberg Barclays U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s overweight positions in technology, independent energy and capital securities made the largest contributions to Fund performance. (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.) An allocation to fallen angels (investment-grade bonds that were downgraded to high yield) also contributed to the Fund’s relative outperformance.

Conversely, underweight positions in emerging-market issues that are included in the index detracted from results. Underweights in food/beverage and diversified manufacturing issuers also detracted.

Describe recent portfolio activity.

Early in the period, the Fund’s investment adviser sought to take advantage of wider yield spreads and large new-issue concessions to increase its position in corporate bonds. The investment adviser initially accomplished this by allocating toward higher-quality and defensive sectors. As these sectors recovered, the investment adviser rotated the portfolio in favor of the more cyclical areas of the market. Later in the period, it reduced risk as valuations normalized. However, the investment adviser continued to favor sectors—including energy and autos—that it believed would benefit from reopening of the economy following the COVID-19 pandemic. The investment adviser also adjusted duration (interest-rate sensitivity) in a tactical fashion throughout the period.

Describe portfolio positioning at period end.

The Fund’s leading overweight positions were in the banking, midstream energy, independent energy and technology sectors, while its largest underweights were in integrated energy, pharmaceuticals and sovereign issuers. The Fund’s duration was below that of the benchmark at period end.

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.

F U N D   S U M M A R Y 7

Fund Summary as of March 31, 2021 (continued) BATS: Series C Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

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

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

Performance Summary for the Period Ended March 31, 2021

				Average Annual Total Returns(a)
	6-Months Total Returns			1 Year			5 Years			10 Years
BATS: Series C Portfolio		(1.58	)%		8.70	%		5.18	%		5.48%
Bloomberg Barclays U.S. Credit Index		(1.79	)		7.88			4.67			4.83

^(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(a)
	Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)		Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)	Annualized Expense Ratio
	$  1,000.00	$  984.20	$  0.00			$  1,000.00	$  1,024.93	$  0.00		0.00	%

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

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

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

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Fund Summary as of March 31, 2021 (continued) BATS: Series C Portfolio

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments	(a)
Corporate Bonds	88	%
U.S. Treasury Obligations	4
Foreign Government Obligations	3
Preferred Securities	3
Municipal Bonds	2
Foreign Agency Obligations	—(b	)

CREDIT QUALITY ALLOCATION

Credit Rating(c)	Percent of Total Investments	(a)
AAA/Aaa(d)	4	%
AA/Aa	6
A	31
BBB/Baa	57
BB/Ba	2

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

^(b)  Amount is less than 1%.

^(c)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s 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.

F U N D   S U M M A R Y 9

Fund Summary as of March 31, 2021  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, 2021, the Fund outperformed its broad-based benchmark, the S&P^® Municipal Bond Index and its customized “Reference Benchmark,” consisting of 50% S&P^® Municipal High-Yield Index, 25% S&P^® Municipal Bond A Rating Band Index (using the returns of only those A rated bonds that have maturities greater than five years) and 25% S&P^® Municipal Bond BBB Rating Band Index (using the returns of only those BBB rated bonds that have maturities greater than five years). Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Duration and yield curve positioning both helped Fund performance during the period. The portfolio was long in duration relative to the benchmark, which helped performance given that yields fell. (Duration is a measure of interest-rate sensitivity; prices rise as yields decline). With respect to yield curve positioning, the Fund benefited from its concentrations in longer-dated maturities.

Holdings in the lower-rated segment of the investment-grade category, which included A and BBB rated securities, also helped Fund performance. Returns were particularly strong in the transportation and state tax-backed sectors, both of which entered the period at depressed levels due to the disruptions caused by COVID-19 in the first quarter of 2020. Positions in various Puerto Rico securities also made strong contributions.

The Fund’s use of leverage—which boosted income and amplified the effect of rising prices—further aided results. The Fund also actively sought to manage interest rate risk using U.S. Treasury futures. Since Treasury yields rose, as prices fell, this strategy contributed to results.

The Fund positioning in the BB and CCC-C rated categories was a slight detractor, as was its underweight in intermediate maturities.

Describe recent portfolio activity.

At the beginning of the reporting period, the market was dislocated due to COVID-19 and the associated lockdowns. As a result, yield spreads were well above average and liquidity conditions were unfavorable. The investment adviser used these unusual circumstances as an opportunity to increase the Fund’s weighting in non-investment grade securities.

During times in which the Fund faced redemptions, the investment adviser raised cash primarily through the sale of higher-quality, more liquid securities. The investment adviser also sought to manage the Fund’s capital gains by harvesting losses via sales of higher-cost, lower-yielding positions.

At the sector level, the Fund increased its allocations to charter school, tax-backed and corporate issues, and it reduced its weightings in health care, utilities and tobacco.

Describe portfolio positioning at period end.

The Fund’s duration (interest-rate sensitivity) was above that of the index. The Fund remained overweight in longer-term bonds, specifically the 20+ year maturity range, and it was underweight in short- and intermediate-term debt. The transportation and education sectors were its largest overweight positions, and the tax-backed local and school district sectors were its most notable underweights.

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.

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Fund Summary as of March 31, 2021 (continued) BATS: Series E Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

The Fund commenced operations on August 4, 2014.

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

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

^(c)  A customized weighted index comprised of the returns of the S&P^® Municipal High-Yield Index (50%)/S&P^® Municipal Bond A Rating Band Index (25%) using the returns of only those A rated bonds that have maturities greater than 5 years/S&P^® Municipal Bond BBB Rating Band Index (25%) using the returns of only those BBB rated bonds that have the maturities greater than 5 years.

Performance Summary for the Period Ended March 31, 2021

				Average Annual Total Returns(a)
	6-Months Total Returns			1 Year			5 Years			Since    Inception(b)
BATS: Series E Portfolio		8.05	%		16.16	%		6.45	%		7.09%
S&P® Municipal Bond Index		1.46			5.29			3.44			3.74
Reference Benchmark		4.84			11.88			5.80			5.88(c)

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

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

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

Past performance is not 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(a)

Including Interest Expense and Fees

Excluding Interest Expense and Fees

Including Interest Expense and Fees

Excluding Interest Expense and Fees

Beginning Account Value (10/01/20)

Ending Account Value (03/31/21)

Expenses Paid During the Period

(b)

Expenses Paid During the Period

(c)

Beginning Account Value (10/01/20)

Ending Account Value (03/31/21)

Expenses Paid During the Period

(b)

Ending Account Value (03/31/21)

Expenses Paid During the Period

(c)

$  1,000.00

$  1,080.50

$  0.19

$  0.00

$  1,000.00

$  1,024.75

$  0.18

$  1,024.93

$  0.00

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

^(b)  For shares of the Fund, expenses are equal to the annualized expense ratio of 0.04%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

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

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, 2021 (continued) BATS: Series E Portfolio

Portfolio Information

SECTOR ALLOCATION

Sector	Percent of Total Investments	(a)
County/City/Special District/School District	32	%
Education	17
Transportation	16
Health Care	15
Utilities	8
Tobacco	8
Housing	4

CREDIT QUALITY ALLOCATION

Credit Rating(b)	Percent of Total Investments	(a)
AA/Aa	14	%
A	13
BBB/Baa	16
BB/Ba	8
B	4
CC/Ca	3
N/R	42

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

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

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Fund Summary as of March 31, 2021  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, 2021, the Fund outperformed its benchmark, the Bloomberg Barclays MBS Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The largest contributors to the Fund’s performance relative to the benchmark included allocations to out-of-benchmark securitized sectors, specifically commercial mortgage-backed securities (“CMBS”) and agency collateralized mortgage obligations (“CMOs”). The Fund’s active benchmark strategy, which houses relative value decisions between specified pools and to-be-announced securities (“TBAs”) versus the index, also contributed positively. Relative value trades within the agency mortgage-backed security (“MBS”) market were also additive. Lastly, the Fund’s stance with respect to portfolio duration (and corresponding interest rate sensitivity) contributed to performance, along with yield curve positioning as the U.S. Treasury yield curve steepened in the first quarter of 2021.

There were no material detractors from the Fund’s performance relative to the benchmark.

Describe recent portfolio activity.

The Fund’s allocation to CMBS was increased primarily in AAA conduit paper and single-asset/single-borrower (“SASB”) transactions. The allocation to fixed rate CMOs was modestly reduced over the period. Within agency MBS, the allocation to TBAs was increased relative to that of specified pools as the TBA market has benefited from strong domestic bank demand and Fed purchases of mortgages. Within the coupon stack, the Fund underweighted the lowest coupons based on valuation.

The Fund’s cash position was elevated in the wake of the disruption in financial markets when COVID-19 concerns crested and at other times during the period as the investment adviser sought to maintain liquidity and preserve capital. The Fund’s cash position did not have a material impact on the Fund’s return for the period.

Describe portfolio positioning at period end.

At period end, the Fund was overweight in agency MBS versus the benchmark, with exposures favoring higher coupons relative to lower coupons and TBAs over specified pools. The Fund closed the period with an increased allocation to CMBS, favoring conduit and SASB issues. Finally, the Fund was slightly underweight duration versus the benchmark.

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

F U N D   S U M M A R Y 13

Fund Summary as of March 31, 2021 (continued) BATS: Series M Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

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

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

Performance Summary for the Period Ended March 31, 2021

				Average Annual Total Returns(a)
	6-Months Total Returns			1 Year			5 Years			10 Years
BATS: Series M Portfolio		(0.29	)%		2.68	%		2.96	%		4.28%
Bloomberg Barclays MBS Index		(0.86	)		(0.09	)		2.43			2.83

^(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(a)
	Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)		Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)	Annualized Expense Ratio
	$  1,000.00	$  997.10	$  0.00			$  1,000.00	$  1,024.93	$  0.00		0.00	%

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

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

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

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Fund Summary as of March 31, 2021 (continued) BATS: Series M Portfolio

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments	(a)
U.S. Government Sponsored Agency Securities	87	%
Non-Agency Mortgage-Backed Securities	11
U.S. Treasury Obligations	2
Asset-Backed Securities	—(b	)

CREDIT QUALITY ALLOCATION

Credit Rating(c)	Percent of Total Investments	(d)
AAA/Aaa(e)	96	%
AA/Aa	2
N/R	2

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

^(b)  Amount is less than 1%.

^(c)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s 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)  Total investments exclude short-term securities, options purchased, options written and TBA sale commitments.

^(e)  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.

F U N D   S U M M A R Y 15

Fund Summary as of March 31, 2021  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, 2021 the Fund outperformed the Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index and the Bloomberg Barclays U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The 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 BATS: Series S Portfolio (“Series S Portfolio”), a short-term proprietary fund. The use of derivatives is necessary to achieve the Fund’s objective and should therefore be evaluated in a portfolio context and not as a standalone strategy. Given that yields rose, the Fund’s use of derivatives to facilitate an inverse exposure to the 7- to 10-year part of the U.S. Treasury yield curve contributed positively to the Fund’s results.

The Fund’s position in the Series S Portfolio—which was helped by its allocations to investment grade corporate bonds, commercial mortgage-backed securities (CMBS), mortgage-backed securities and asset backed securities (ABS)—also contributed to performance.

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

Describe recent portfolio activity.

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

Describe portfolio positioning at period end.

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

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

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Fund Summary as of March 31, 2021 (continued) BATS: Series P Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

The Fund commenced operations on March 20, 2013.

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

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

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

Performance Summary for the Period Ended March 31, 2021

				Average Annual Total Returns(a)
	6-Months Total Returns			1 Year			5 Years			Since    Inception(b)
BATS: Series P Portfolio		7.95	%		9.72	%		(0.03	)%		(1.39)%
Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index		(6.98	)		(5.89	)		2.36			2.63
Bloomberg Barclays U.S. Bellwether 10 Year Swap Index		(8.90	)		(8.42	)		1.82			2.78

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

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

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(a)
	Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)		Beginning Account Value (10/01/20)	Ending Account Value (03/31/21)	Expenses Paid During the Period	(b)	Annualized Expense Ratio
	$  1,000.00	$  1,079.50	$  0.00			$  1,000.00	$  1,024.93	$  0.00		0.00	%

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

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

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

F U N D   S U M M A R Y 17

Fund Summary as of March 31, 2021 (continued) BATS: Series P Portfolio

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments
Fixed-Income Funds	100	%

PORTFOLIO HOLDINGS

Security	Percent of Total Investments
BATS: Series S Portfolio	100	%

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Fund Summary as of March 31, 2021  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, 2021, 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 allocations to investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), mortgage-backed securities (MBS), high yield corporates and asset-backed securities (ABS) were the primary contributors to performance. Its allocation to emerging-market sovereign debt was a minor detractor.

As part of its investment strategy, the Fund used interest rate derivatives to manage the portfolio’s duration and yield curve positioning. The use of derivatives contributed to results.

At period end, the Fund had an elevated cash balance that was committed for pending transactions. The cash balance had no material impact on Fund performance.

Describe recent portfolio activity.

After the coronavirus-induced sell-off of early 2020, the management team added to the Fund’s weighting in corporate bonds. This shift was based on the team’s view that yield spreads would tighten, partially as a result of the U.S. Federal Reserve’s support via its launch of credit facilities. As valuations started to look rich in late 2020, management reduced the position in corporates and rotated some of the proceeds into U.S. Treasuries and callable U.S. agency bonds. It believed the latter category offered attractive income in a low-yield environment.

Similarly, the Fund initially had a higher allocation to ABS and CMBS in the first half of the period, but management reduced the weightings in these areas as spreads tightened due to increased demand and muted supply. In the second half of the reporting period, it added to collateralized loan obligations (CLOs) on the belief that the securities offered attractive income relative to corporate bonds.

Describe portfolio positioning at period end.

The Fund’s duration was below that of the benchmark. (Duration is a measure of interest-rate sensitivity.) This aspect of its positioning reflected management’s view that the combination of additional fiscal stimulus, the COVID-19 vaccine rollout and rising inflation expectations could lead to higher yields and a steeper yield curve. The Fund finished the period with out-of-benchmark allocations to ABS, CMBS, agency MBS and investment-grade corporates.

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.

F U N D   S U M M A R Y 19

Fund Summary as of March 31, 2021 (continued) BATS: Series S Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

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

^(b)  An unmanaged index comprised of Treasury securities with maturities ranging from one to three years. On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE BofA 1-3 Year U.S. Treasury Index (the “Index”). Historical index data prior to 3/1/2021 is for the 3pm pricing variant of the Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the Index.

Performance Summary for the Period Ended March 31, 2021

				Average Annual Total Returns(a)
	6-Months Total Returns			1 Year			5 Years			10 Years
BATS: Series S Portfolio		0.96	%		7.80	%		3.29	%		2.95%
ICE BofA 1-3 Year U.S. Treasury Index		0.00			0.24			1.71			1.29

^(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(a)

Including Interest Expense

Excluding Interest Expense

Including Interest Expense

Excluding Interest Expense

Beginning Account Value (10/01/20)

Ending Account Value (03/31/21)

Expenses Paid During the Period

(b)

Expenses Paid During the Period

(c)

Beginning Account Value (10/01/20)

Ending Account Value (03/31/21)

Expenses Paid During the Period

(b)

Ending Account Value (03/31/21)

Expenses Paid During the Period

(c)

$  1,000.00

$  1,009.60

$  0.02

$  0.00

$  1,000.00

$  1,024.92

$  0.02

$  1,024.93

$  0.00

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

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

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

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

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Fund Summary  as of March 31, 2021 (continued) BATS: Series S Portfolio

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments	(a)
Corporate Bonds	33	%
Non-Agency Mortgage-Backed Securities	21
Asset-Backed Securities	18
U.S. Government Sponsored Agency Securities	15
U.S. Treasury Obligations	13
Foreign Agency Obligations	—(b	)

CREDIT QUALITY ALLOCATION

Credit Rating(c)	Percent of Total Investments	(a)
AAA/Aaa(d)	63	%
AA/Aa	2
A	14
BBB/Baa	18
N/R	3

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

^(b)  Amount is less than 1%.

^(c)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s 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.

F U N D   S U M M A R Y 21

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 the 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 on the previous pages 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 on the previous pages (which are based on a hypothetical investment of $1,000 invested on October 1, 2020 and held through March 31, 2021) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

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

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

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

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

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Derivative Financial Instruments

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

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Schedule of Investments   March 31, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities
ABFC Trust, Series 2007-WMC1, Class A2B, (1 mo. LIBOR US + 1.00%), 1.11%, 06/25/37(a)		USD   3,705	$	3,447,846
AGL CLO 3 Ltd., Series 2020-3A, Class A, (3 mo. LIBOR US + 1.30%), 1.54%, 01/15/33(a)(b)		250		250,635
AIMCO CLO, Series 2017-AA, Class AR, (3 mo. LIBOR US + 1.05%), 0.00%, 04/20/34(a)(b)		2,500		2,500,000
Ajax Mortgage Loan Trust
Series 2017-D, Class A, 3.75%, 12/25/57(b)		1,543		1,566,952
Series 2017-D, Class B, 0.00%, 12/25/57(a)(b)(c)		1,617		1,268,617
Series 2018-A, Class A, 3.85%, 04/25/58(b)(c)		1,673		1,676,776
Series 2018-A, Class B, 0.00%, 04/25/58(b)		594		325,330
Series 2018-B, Class A, 3.75%, 02/26/57(b)(c)		1,630		1,630,457
Series 2018-B, Class B, 0.00%, 02/26/57(b)		681		194,606
Series 2018-D, Class A, 3.75%, 08/25/58(a)(b)(c)		3,104		3,111,566
Series 2018-D, Class B, 0.00%, 08/25/58(a)(b)(c)		910		587,056
Series 2018-E, Class A, 4.38%, 06/25/58(a)(b)		3,343		3,375,743
Series 2018-E, Class B, 5.25%, 06/25/58(a)(b)(c)		367		369,999
Series 2018-E, Class C, 0.00%, 06/25/58(a)(b)(c)		908		680,934
Series 2018-F, Class A, 4.38%, 11/25/58(a)(b)(c)		3,295		3,336,173
Series 2018-F, Class B, 5.25%, 11/25/58(a)(b)(c)		420		422,633
Series 2018-F, Class C, 0.00%, 11/25/58(b)(c)		971		582,786
Series 2018-G, Class A, 4.38%, 06/25/57(a)(b)(c)		3,550		3,546,182
Series 2018-G, Class B, 5.25%, 06/25/57(a)(b)(c)		560		422,800
Series 2018-G, Class C, 0.00%, 06/25/57(b)(c)		1,430		1,406,156
Series 2019-A, Class A, 3.75%, 08/25/57(a)(b)		2,742		2,783,406
Series 2019-A, Class B, 5.25%, 08/25/57(a)(b)		350		346,509
Series 2019-A, Class C, 0.00%, 08/25/57(b)(c)		874		724,317
Series 2019-B, Class A, 3.75%, 01/25/59(a)(b)		2,719		2,760,831
Series 2019-B, Class B, 5.25%, 01/25/59(a)(b)(c)		409		308,795
Series 2019-B, Class C, 0.00%, 01/25/59(b)(c)		1,044		896,326
Series 2019-C, Class A, 3.95%, 10/25/58(a)(b)		3,134		3,138,780
Series 2019-E, Class A, 3.00%, 09/25/59(b)(d)		2,574		2,585,806
Series 2019-E, Class B, 4.88%, 09/25/59(b)(d)		350		343,803
Series 2019-E, Class C, 0.00%, 09/25/59(b)		778		520,463
Series 2019-G, Class A, 3.00%, 09/25/59(b)(d)		2,123		2,136,700
Series 2019-G, Class B, 4.25%, 09/25/59(b)(d)		224		217,117
Series 2019-G, Class C, 0.00%, 09/25/59(b)		572		479,929
Series 2019-H, Class A, 3.00%, 11/25/59(b)(d)		995		1,001,558
Series 2019-H, Class B, 4.25%, 11/25/59(b)(d)		140		135,698
Series 2019-H, Class C, 0.00%, 11/25/59(b)		347		307,553
Series 2020-A, Class A, 2.38%, 12/25/59(b)(d)		9,410		9,407,062
Series 2020-A, Class B, 3.50%, 12/25/59(b)(d)		999		996,636
Series 2020-A, Class C, 0.00%, 12/25/59(b)(c)		2,410		1,510,816
Series 2020-C, Class A, 2.25%, 09/27/60(b)(d)		3,716		3,710,498
Series 2020-C, Class B, 5.00%, 09/27/60(b)(d)		250		250,438
Series 2020-C, Class C, 0.00%, 09/27/60(b)		849		741,429
Series 2020-D, Class A, 2.25%, 06/25/60(b)(d)		3,578		3,573,025
Series 2020-D, Class B, 5.00%, 06/25/60(b)(d)		350		350,613
Series 2020-D, Class C, 0.00%, 06/25/60(b)		899		761,948
Allegro CLO II-S Ltd.
Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 1.30%, 10/21/28(a)(b)		2,000		1,997,926
Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.15%), 2.37%, 10/21/28(a)(b)		300		299,803
Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 3.22%, 10/21/28(a)(b)		750		727,868
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.13%), 1.35%, 01/17/31(a)(b)		1,000		1,000,650
ALM VII Ltd., Series 2012-7A, Class A1A2, (3 mo. LIBOR US + 1.17%), 1.41%, 07/15/29(a)(b)		1,000		999,523

Security	Par (000)		Value
Asset-Backed Securities (continued)
ALM XVII Ltd., Series 2015-17A, Class BR, (3 mo. LIBOR US + 2.10%), 2.34%, 01/15/28(a)(b)	USD	500	$	499,989
American Express Credit Account Master Trust
Series 2017-2, Class A, (1 mo. LIBOR US + 0.45%), 0.56%, 09/16/24(a)		8,000		8,029,754
Series 2017-5, Class A, (1 mo. LIBOR US + 0.38%), 0.49%, 02/18/25(a)		9,000		9,038,272
AmeriCredit Automobile Receivables Trust,
Series 2020-2, Class A2A, 0.60%, 12/18/23		13,459		13,479,949
AMSR Trust, Series 2020-SFR4, Class F, 2.86%, 11/17/37(b)		4,000		3,944,140
Anchorage Capital CLO 3-R Ltd.
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 1.27%, 01/28/31(a)(b)		1,250		1,250,303
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 1.72%, 01/28/31(a)(b)		1,000		998,831
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 2.07%, 01/28/31(a)(b)		500		496,697
Anchorage Capital CLO 4-R Ltd.
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 1.27%, 01/28/31(a)(b)		2,550		2,550,607
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 2.07%, 01/28/31(a)(b)		1,500		1,491,564
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.82%, 01/28/31(a)(b)		750		724,304
Anchorage Capital CLO 5-R Ltd.
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 1.69%, 01/15/30(a)(b)		1,700		1,674,694
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 2.09%, 01/15/30(a)(b)		3,000		2,995,005
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.40%), 5.64%, 01/15/30(a)(b)		1,000		938,489
Anchorage Capital CLO 7 Ltd.
Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 1.31%, 01/28/31(a)(b)		750		749,785
Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 1.97%, 01/28/31(a)(b)		1,500		1,498,297
Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 2.42%, 01/28/31(a)(b)		625		622,396
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.72%, 01/28/31(a)(b)		1,000		1,002,906
Anchorage Capital CLO 8 Ltd.
Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.00%), 1.22%, 07/28/28(a)(b)		4,047		4,040,654
Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.60%), 1.82%, 07/28/28(a)(b)		1,000		1,001,751
Series 2016-8A, Class CR, (3 mo. LIBOR US + 2.10%), 2.32%, 07/28/28(a)(b)		1,000		998,308
Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.00%), 3.22%, 07/28/28(a)(b)		750		750,053
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.75%), 5.97%, 07/28/28(a)(b)		2,060		1,982,340
Anchorage Capital CLO Ltd.
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 2.37%, 10/13/30(a)(b)		500		499,299
Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.80%), 7.02%, 10/13/30(a)(b)		1,000		979,144
Series 2018-10A, Class A2, (3 mo. LIBOR US + 1.50%), 1.74%, 10/15/31(a)(b)		450		449,291
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 1.32%, 04/15/31(a)(b)		1,387		1,387,753

24 2 0 2 1   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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities (continued)
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 1.23%, 04/20/31(a)(b)	USD	1,000	$	996,054
Apidos CLO XXI
Series 2015-21A, Class A1R, (3 mo. LIBOR US + 0.93%), 1.15%, 07/18/27(a)(b)		2,564		2,563,831
Series 2015-21A, Class DR, (3 mo. LIBOR US + 5.20%), 5.42%, 07/18/27(a)(b)		500		476,419
Apidos CLO XXIX, Series 2018-29A, Class D, (3 mo. LIBOR US + 5.25%), 5.47%, 07/25/30(a)(b)		500		467,169
Apidos CLO XXX, Series XXXA, Class A1A, (3 mo. LIBOR US + 1.14%), 1.36%, 10/18/31(a)(b)		400		399,336
Apidos CLO XXXI, Series 2019-31A, Class A2, (3 mo. LIBOR US + 1.65%), 1.89%, 04/15/31(a)(b)		250		250,070
Ares XLIII CLO Ltd., Series 2017-43A, Class E, (3 mo. LIBOR US + 6.47%), 6.71%, 10/15/29(a)(b)		750		748,536
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 1.41%, 10/15/30(a)(b)		600		600,678
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.24%), 0.59%, 05/25/35(a)		56		51,306
ASSURANT CLO Ltd.
Series 2018-3A, Class C, (3 mo. LIBOR US + 2.25%), 2.47%, 10/20/31(a)(b)		500		491,754
Series 2019-5A, Class A2, (3 mo. LIBOR US + 1.75%), 1.99%, 01/15/33(a)(b)		250		251,453
Atrium IX, Series 9A, Class AR2, (3 mo. LIBOR US + 0.99%), 1.18%, 05/28/30(a)(b)(c)		1,825		1,825,182
Atrium XII, Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), 1.05%, 04/22/27(a)(b)		949		949,515
Avery Point VI CLO Ltd., Series 2015-6A, Class AR2, (3 mo. LIBOR US + 0.90%), 1.06%, 08/05/27(a)(b)		1,500		1,498,695
Avery Point VII CLO Ltd., Series 2015-7A, Class AR2, (3 mo. LIBOR US + 0.96%), 1.20%, 01/15/28(a)(b)		440		439,464
Babson CLO Ltd., Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 1.41%, 10/20/30(a)(b)		1,000		999,270
Bain Capital Credit CLO Ltd.
Series 2016-2A, Class ARR, (3 mo. LIBOR US + 0.97%), 0.00%, 01/15/29(a)(b)		3,400		3,395,465
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 1.47%, 07/20/30(a)(b)		1,250		1,250,373
Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.96%), 1.18%, 04/23/31(a)(b)		250		249,750
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 1.30%, 07/19/31(a)(b)		1,000		997,439
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22(a)		5,740		2,963,576
Barings CLO Ltd.
Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 1.17%, 07/20/29(a)(b)		1,000		1,000,000
Series 2019-3A, Class A2, (3 mo. LIBOR US + 1.75%), 1.97%, 04/20/31(a)(b)		400		400,108

Security	Par (000)		Value
Asset-Backed Securities (continued)
Battalion CLO VII Ltd.
Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.04%), 1.26%, 07/17/28(a)(b)		USD    1,378	$	1,378,668
Series 2014-7A, Class BRR, (3 mo. LIBOR US + 2.50%), 2.72%, 07/17/28(a)(b)		750		749,223
Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%), 1.29%, 07/18/30(a)(b)		1,250		1,249,998
Battalion CLO X Ltd., Series 2016-10A, Class A1R2, (3 mo. LIBOR US + 1.17%), 1.29%, 01/25/35(a)(b)		3,230		3,216,322
Battalion CLO XI Ltd., Series 2017-11A, Class E, (3 mo. LIBOR US + 5.98%), 6.20%, 10/24/29(a)(b)		1,000		967,112
Bayview Financial Revolving Asset Trust
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 1.11%, 02/28/40(a)(b)		5,171		4,936,241
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 1.11%, 12/28/40(a)(b)		2,682		2,416,341
Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.93%), 1.04%, 12/28/40(a)(b)		2,347		2,290,313
BDS Ltd., Series 2019-FL3, Class A, (1 mo. LIBOR US + 1.40%), 1.51%, 12/15/35(a)(b)		5,299		5,300,302
Bear Stearns Asset-Backed Securities I Trust
Series 2005-HE8, Class M3, (1 mo. LIBOR US + 1.95%), 2.06%, 08/25/35(a)		4,570		4,340,480
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 0.43%, 03/25/37(a)		918		826,063
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 0.25%, 03/25/37(a)		93		88,094
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 0.46%, 04/25/37(a)		309		298,010
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A2R2, (3 mo. LIBOR US + 1.45%), 1.69%, 07/15/29(a)(b)		1,340		1,338,456
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.09%), 1.31%, 04/20/31(a)(b)		1,000		998,990
Benefit Street Partners CLO VI Ltd., Series 2015-VIA, Class A1R, (3 mo. LIBOR US + 1.24%), 1.46%, 10/18/29(a)(b)		250		250,052
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.32%, 01/20/31(a)(b)		1,900		1,902,135
Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.08%), 1.29%, 04/30/31(a)(b)		250		249,860
BlueMountain CLO Ltd.
Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.23%), 1.45%, 01/20/29(a)(b)		349		349,344
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 1.40%, 10/22/30(a)(b)		2,157		2,157,704
BlueMountain CLO XXIII Ltd., Series 2018-23A, Class A1, (3 mo. LIBOR US + 1.15%), 1.37%, 10/20/31(a)(b)		250		249,174
Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.09%, 07/17/24(b)		1,070		1,071,003
BSPRT Issuer Ltd., Series 2018-FL3, Class A, (1 mo. LIBOR US + 1.05%), 1.16%, 03/15/28(a)(b)		336		335,810

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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities (continued)
Burnham Park CLO Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.37%, 10/20/29(a)(b)		USD    4,000	$	3,997,630
Canyon Capital CLO Ltd., Series 2015-1A, Class AJ, (3 mo. LIBOR US + 1.35%), 1.59%, 04/15/29(a)(b)		250		250,013
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3 mo. LIBOR US + 1.03%), 1.24%, 04/30/31(a)(b)		2,350		2,348,040
Carlyle Global Market Strategies CLO Ltd.
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.97%), 1.19%, 04/17/31(a)(b)		3,754		3,749,865
Series 2014-3RA, Class A1A, (3 mo. LIBOR US + 1.05%), 1.26%, 07/27/31(a)(b)		248		247,958
Series 2014-3RA, Class A1B, (3 mo. LIBOR US + 1.30%), 1.51%, 07/27/31(a)(b)		1,000		1,000,598
Series 2015-3A, Class A2R, (3 mo. LIBOR US + 1.60%), 1.82%, 07/28/28(a)(b)		1,000		1,000,857
Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.50%), 8.72%, 07/20/32(a)(b)		55		50,650
Carrington Mortgage Loan Trust
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.25%), 0.36%, 10/25/36(a)		1,884		1,646,786
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.16%), 0.27%, 10/25/36(a)		58		55,856
Series 2007-FRE1, Class A3, (1 mo. LIBOR US + 0.26%), 0.37%, 02/25/37(a)		6,683		6,434,417
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44(a)(b)		7,235		7,577,284
CBAM Ltd.
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 1.47%, 07/20/30(a)(b)		1,500		1,500,001
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.23%), 1.45%, 10/17/29(a)(b)		2,500		2,500,798
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.70%), 1.92%, 10/17/29(a)(b)		500		499,987
Series 2018-6A, Class B1R, (3 mo. LIBOR US + 2.10%), 2.34%, 01/15/31(a)(b)		1,000		1,000,535
Cedar Funding II CLO Ltd.
Series 2013-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 0.00%, 04/20/34(a)(b)		250		250,000
Series 2013-1A, Class BRR, (3 mo. LIBOR US + 1.35%), 0.00%, 04/20/34(a)(b)		500		500,000
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.98%), 1.20%, 04/20/31(a)(b)		1,400		1,391,580
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 1.32%, 07/17/31(a)(b)		2,000		2,001,942
Cedar Funding VI CLO Ltd.
Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.09%), 1.31%, 10/20/28(a)(b)		500		500,436
Series 2016-6A, Class ARR, (3 mo. LIBOR US + 1.05%), 1.24%, 04/20/34(a)(b)		500		500,000
Cedar Funding VII CLO Ltd., Series 2018-7A, Class A1, (3 mo. LIBOR US + 1.00%), 1.22%, 01/20/31(a)(b)		350		350,054
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.25%), 1.47%, 10/17/30(a)(b)		2,750		2,751,065

Security	Par (000)		Value
Asset-Backed Securities (continued)
CIFC Funding Ltd.
Series 2013-2A, Class A1LR, (3 mo. LIBOR US + 1.21%), 1.44%, 10/18/30(a)(b)		USD    1,350	$	1,350,541
Series 2014-3A, Class A1R2, (3 mo. LIBOR US + 1.20%), 1.42%, 10/22/31(a)(b)		3,500		3,500,002
Series 2014-5A, Class A1R2, (3 mo. LIBOR US + 1.20%), 1.42%, 10/17/31(a)(b)		2,250		2,250,303
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.00%), 1.22%, 04/18/31(a)(b)		710		709,015
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.04%), 1.26%, 04/20/31(a)(b)		250		250,000
Citibank Credit Card Issuance Trust, Series 2018-A2, Class A2, (1 mo. LIBOR US + 0.33%), 0.44%, 01/20/25(a)		8,000		8,030,658
Citigroup Mortgage Loan Trust
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.27%), 0.38%, 05/25/37(a)		14		11,543
Series 2007-WFH2, Class M3, (1 mo. LIBOR US + 0.47%), 0.58%, 03/25/37(a)		5,000		4,757,489
Series 2007-WFH4, Class M3A, (1 mo. LIBOR US + 2.50%), 2.61%, 07/25/37(a)		1,000		1,035,556
Clear Creek CLO
Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 3.17%, 10/20/30(a)(b)		330		323,498
Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.30%), 6.52%, 10/20/30(a)(b)		1,000		954,339
Conseco Finance Corp.
Series 1996-10, Class B1, 7.24%, 11/15/28(a)		59		59,440
Series 1998-4, Class M1, 6.83%, 04/01/30(a)		1,170		1,137,840
Series 1998-8, Class M1, 6.98%, 09/01/30(a)		1,026		964,119
Conseco Finance Securitizations Corp.
Series 2000-1, Class A5, 8.06%, 09/01/29(a)		2,399		772,031
Series 2000-4, Class A6, 8.31%, 05/01/32(a)		2,419		761,069
Countrywide Asset-Backed Certificates
Series 2005-16, Class 1AF, 4.60%, 04/25/36(a)		1,511		1,477,256
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.16%), 0.27%, 09/25/46(a)		7		7,149
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.27%), 0.38%, 03/15/34(a)		31		29,660
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A, 3.33%, 02/15/28(b)		3,501		3,548,183
Credit-Based Asset Servicing & Securitization LLC
Series 2006-CB2, Class AF4, 3.10%, 12/25/36(d)		19		19,358
Series 2006-MH1, Class B1, 6.25%, 10/25/36(b)(d)		2,900		2,968,300
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.44%), 0.55%, 09/25/36(a)(b)		5,957		491,869
CWHEQ Revolving Home Equity Loan Resuritization Trust
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.30%), 0.41%, 12/15/33(a)(b)		25		22,475
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.19%), 0.30%, 05/15/35(a)(b)(c)		6		6,154
CWHEQ Revolving Home Equity Loan Trust
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.18%), 0.29%, 05/15/36(a)		1,786		1,738,008
Series 2006-G, Class 2A, (1 mo. LIBOR US + 0.15%), 0.26%, 10/15/36(a)		237		224,365

26 2 0 2 1   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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Deer Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.18%), 1.40%, 10/20/30(a)(b)	USD		1,000	$	1,001,141
Dorchester Park CLO DAC
Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.45%), 1.67%, 04/20/28(a)(b)			1,500		1,494,149
Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.75%), 1.97%, 04/20/28(a)(b)			500		499,318
Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3 mo. LIBOR US + 1.10%), 1.34%, 01/15/31(a)(b)			1,250		1,250,048
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%), 0.00%, 04/20/34(a)(b)			1,620		1,620,000
Dryden 49 Senior Loan Fund
Series 2017-49A, Class A, (3 mo. LIBOR US + 1.21%), 1.43%, 07/18/30(a)(b)			1,000		1,000,143
Series 2017-49A, Class AR, 0.00%, 07/18/30(a)(b)			1,000		1,000,000
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.12%), 1.36%, 01/15/31(a)(b)			2,000		2,000,062
Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/31(a)(b)			250		250,001
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.90%), 1.14%, 10/15/27(a)(b)			190		190,454
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3 mo. LIBOR US + 1.20%), 1.39%, 08/15/30(a)(b)			1,247		1,246,112
Eaton Vance CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.45%), 1.69%, 10/15/30(a)(b)			250		250,198
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38(a)(b)			1,648		1,712,892
EDvestinU Private Education Loan Issue No. 3 LLC
Series 2021-A, Class A, 1.80%, 11/25/45(b)			410		405,835
Series 2021-A, Class B, 3.50%, 11/25/50(b)			1,200		1,159,919
Elevation CLO Ltd., Series 2017-7A, Class A, (3 mo. LIBOR US + 1.22%), 1.46%, 07/15/30(a)(b)			500		500,026
Elmwood CLO II Ltd.
Series 2019-2A, Class A, (3 mo. LIBOR US + 1.45%), 1.67%, 04/20/31(a)(b)			250		250,041
Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 0.00%, 04/20/34(a)(b)			2,250		2,250,000
Elmwood CLO III Ltd., Series 2019-3A, Class A1, (3 mo. LIBOR US + 1.37%), 1.61%, 10/15/32(a)(b)			250		250,360
Elmwood CLO IV Ltd., Series 2020-1A, Class A, (3 mo. LIBOR US + 1.24%), 1.48%, 04/15/33(a)(b)(c)			500		500,900
FBR Securitization Trust, Series 2005-5, Class M2, (1 mo. LIBOR US + 0.71%), 0.81%, 11/25/35(a)			3,000		2,942,995
Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.34%), 1.58%, 07/15/30(a)(b)			250		250,062

Security		Par (000)		Value
Asset-Backed Securities (continued)
First Franklin Mortgage Loan Trust
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.14%), 0.25%, 12/25/36(a)	USD		558	$	325,366
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.15%), 0.26%, 12/25/36(a)			2,410		2,255,650
Flatiron CLO 19 Ltd., Series 2019-1A, Class A, (3 mo. LIBOR US + 1.32%), 1.51%, 11/16/32(a)(b)			500		501,786
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.28%), 0.39%, 02/25/37(a)			2,274		1,860,577
Galaxy XIX CLO Ltd., Series 2015-19A, Class A1RR, (3 mo. LIBOR US + 0.95%), 1.14%, 07/24/30(a)(b)			500		500,000
Galaxy XXIX CLO Ltd., Series 2018-29A, Class C, (3 mo. LIBOR US + 1.68%), 1.87%, 11/15/26(a)(b)			2,150		2,126,911
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3 mo. LIBOR US + 1.02%), 1.21%, 05/16/31(a)(b)			2,000		1,996,007
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.50%), 0.61%, 12/25/35(a)			9		8,495
GMACM Home Equity Loan Trust, Series 2006- HE1, Class A, (1 mo. LIBOR US + 0.32%), 0.42%, 11/25/36(a)			78		108,671
GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class AJ, (3 mo. LIBOR US + 1.30%), 1.52%, 04/20/30(a)(b)			850		851,252
GoldenTree Loan Opportunities IX Ltd.
Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.11%), 1.32%, 10/29/29(a)(b)			500		500,517
Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.66%), 5.87%, 10/29/29(a)(b)			750		717,734
GoldenTree Loan Opportunities XI Ltd.,
Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.07%), 1.29%, 01/18/31(a)(b)			500		500,351
Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3 mo. LIBOR US + 1.29%), 1.51%, 04/15/33(a)(b)			500		500,953
GSAA Home Equity Trust
Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.70%), 0.81%, 12/25/35(a)			283		122,897
Series 2006-4, Class 1A1, 2.99%, 03/25/36(a)			967		783,473
Series 2007-2, Class AF3, 5.92%, 03/25/37(a)			27		7,234
GSAMP Trust Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.20%), 0.31%, 01/25/47(a)			13		8,369
Series 2007-HS1, Class M5, (1 mo. LIBOR US + 2.25%), 2.36%, 02/25/47(a)			3,566		3,740,472
Series 2007-HS1, Class M7, (1 mo. LIBOR US + 2.25%), 2.36%, 02/25/47(a)			3,000		2,990,991
Halcyon Loan Advisors Funding Ltd. Series 2014-3A, Class B1R, (3 mo. LIBOR US + 1.70%), 1.92%, 10/22/25(a)(b)			1,600		1,602,423
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.08%), 1.30%, 07/25/27(a)(b)			92		91,679
Highbridge Loan Management Ltd., Series 12A-18, Class D, (3 mo. LIBOR US + 5.15%), 5.37%, 07/18/31(a)(b)			1,120		1,047,669

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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1 mo. LIBOR US + 2.03%), 2.13%, 07/25/34(a)	USD		24	$	24,272
HPS Loan Management Ltd.
Series 10A-16, Class A1R, (3 mo. LIBOR US + 1.14%), 1.36%, 01/20/28(a)(b)			4,963		4,966,092
Series 10A-16, Class C, (3 mo. LIBOR US + 3.65%), 3.87%, 01/20/28(a)(b)			500		495,278
Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 1.20%, 02/05/31(a)(b)			745		745,501
ICG U.S. CLO Ltd.
Series 2014-3A, Class A1RR, (3 mo. LIBOR US + 1.03%), 1.25%, 04/25/31(a)(b)			249		248,424
Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.14%), 1.36%, 10/19/28(a)(b)			1,123		1,123,599
Invitation Homes Trust, Series 2018-SFR3, Class E, (1 mo. LIBOR US + 2.00%), 2.11%, 07/17/37(a)(b)			1,517		1,516,572
Jamestown CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.34%), 1.58%, 04/15/33(a)(b)			1,750		1,753,064
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (1 mo. LIBOR US + 0.80%), 0.91%, 07/25/36(a)			3,498		3,403,730
Kayne CLO 8 Ltd., Series 2020-8A, Class A1, (3 mo. LIBOR US + 1.70%), 1.94%, 07/15/31(a)(b)			250		250,915
Kayne CLO II Ltd., Series 2018-2A, Class AR, (3 mo. LIBOR US + 1.08%), 1.23%, 10/15/31(a)(b)(c)			1,250		1,250,000
KKR CLO 17 Ltd., Series 17, Class AR, (3 mo. LIBOR US + 1.08%), 1.28%, 04/15/34(a)(b)			500		500,000
KKR CLO 23 Ltd., Series 23, Class E, (3 mo. LIBOR US + 6.00%), 6.22%, 10/20/31(a)(b)			500		473,195
KVK CLO Ltd., Series 2018-1A, Class A, (3 mo. LIBOR US + 0.93%), 1.11%, 05/20/29(a)(b)			373		372,792
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.07%), 1.29%, 01/20/31(a)(b)			2,000		2,000,136
LCM XVIII LP, Series 18A, Class A1R, (3 mo. LIBOR US + 1.02%), 1.24%, 04/20/31(a)(b)			250		250,161
LCM XXI LP, Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 1.10%, 04/20/28(a)(b)			437		436,657
Legacy Mortgage Asset Trust
Series 2019-SL2, Class A, 3.38%, 02/25/59(a)(b)(c)			2,457		2,464,777
Series 2019-SL2, Class B, 0.00%, 02/25/59(b)(c) .			581		87,164
Series 2019-SL2, Class M, 4.25%, 02/25/59(a)(b)(c)			600		597,900
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33 .			777		696,238
Lending Funding Trust, Series 2020-2A, Class A, 2.32%, 04/21/31(b)			4,680		4,675,854
Lendmark Funding Trust
Series 2018-2A, Class A, 4.23%, 04/20/27(b)			3,000		3,058,398
Series 2019-2A, Class A, 2.78%, 04/20/28(b)			3,720		3,822,858
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.13%), 1.24%, 05/15/28(a)(b)			1,149		1,149,151
Loanpal Solar Loan Ltd.
Series 2020-2GF, Class A, 2.75%, 07/20/47(b)			1,252		1,268,881
Series 2021-1GS, Class A, 2.29%, 01/20/48(b)			3,762		3,762,560
Series 2021-2GS, Class A, 2.22%, 03/20/48(b)			4,760		4,753,543

Security		Par (000)		Value
Asset-Backed Securities (continued)
Long Beach Mortgage Loan Trust
Series 2006-2, Class 1A, (1 mo. LIBOR US + 0.36%), 0.47%, 03/25/46(a)	USD		879	$	744,352
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.30%), 0.41%, 06/25/36(a)			3,694		2,260,568
Series 2006-7, Class 1A, (1 mo. LIBOR US + 0.16%), 0.26%, 08/25/36(a)			4,645		2,960,956
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.27%, 08/25/36(a)			6,663		3,578,681
Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.24%), 0.35%, 08/25/36(a)			1,538		835,694
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.27%, 10/25/36(a)			2,257		989,188
Series 2006-WL3, Class 2A4, (1 mo. LIBOR US + 0.60%), 0.71%, 01/25/36(a)			4,391		3,995,337
Madison Park Funding X Ltd.
Series 2012-10A, Class AR3, (3 mo. LIBOR US + 1.01%), 1.21%, 01/20/29(a)(b)			2,770		2,770,269
Series 2012-10A, Class CR3, (3 mo. LIBOR US + 2.10%), 2.30%, 01/20/29(a)(b)			1,000		998,297
Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 6.62%, 01/20/29(a)(b)			500		488,192
Madison Park Funding XI Ltd., Series 2013-11A, Class AR2, (3 mo. LIBOR US + 0.90%), 1.01%, 07/23/29(a)(b)			2,155		2,155,000
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.95%), 1.17%, 04/19/30(a)(b)			940		939,557
Madison Park Funding XIX Ltd., Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.92%), 1.14%, 01/22/28(a)(b)			330		330,060
Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.45%), 3.66%, 01/27/26(a)(b)			1,000		1,000,458
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.19%), 1.41%, 10/21/30(a)(b)			1,750		1,750,876
Madison Park Funding XXIII Ltd., Series 2017-23A, Class A, (3 mo. LIBOR US + 1.21%), 1.42%, 07/27/30(a)(b)			1,000		1,000,251
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3 mo. LIBOR US + 1.20%), 1.41%, 07/29/30(a)(b)			2,500		2,499,499
Madison Park Funding XXX Ltd.
Series 2018-30A, Class E, (3 mo. LIBOR US + 4.95%), 5.19%, 04/15/29(a)(b)			1,000		951,360
Series 2018-30X, Class E, (3 mo. LIBOR US + 4.95%), 5.19%, 04/15/29(a)			250		237,840
Mariner CLO LLC, Series 2016-3A, Class AR2, (3 mo. LIBOR US + 0.99%), 1.21%, 07/23/29(a)(b)			250		249,960
Mariner Finance Issuance Trust
Series 2019-AA, Class A, 2.96%, 07/20/32(b)			5,000		5,111,668
Series 2021-AA, Class A, 1.86%, 03/20/36(b)			700		697,480
Series 2021-AA, Class B, 2.33%, 03/20/36(b)			1,620		1,610,906
Series 2021-AA, Class C, 2.96%, 03/20/36(b)			2,850		2,829,800
MASTR Asset-Backed Securities Trust
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.52%), 0.63%, 06/25/36(a)(b)			350		326,274
Series 2006-WMC2, Class A4, (1 mo. LIBOR US + 0.30%), 0.41%, 04/25/36(a)			3,838		1,379,006

28 2 0 2 1   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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
MASTR Asset-Backed Securities Trust Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.28%), 0.39%, 05/25/37(a)	USD		83	$	74,170
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.26%), 0.37%, 06/25/46(a)(b)			24		23,202
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.54%, 03/20/26(b)			4,130		4,130,624
MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33(d)			1,149		988,706
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.24%), 0.35%, 05/25/37(a)			2,153		1,624,199
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 0.37%, 08/25/37(a)			1,721		1,388,274
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.97%), 1.19%, 04/21/31(a)(b)			1,230		1,227,140
Mill City Solar Loan Ltd.
Series 2019-1A, Class A, 4.34%, 03/20/43(b)			1,662		1,804,043
Series 2019-2GS, Class A, 3.69%, 07/20/43(b)			2,786		2,938,955
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-NC1, Class A2D, (1 mo. LIBOR US + 0.22%), 0.33%, 11/25/36(a)			6,209		3,986,048
Mosaic Solar Loan Trust
Series 2018-2GS, Class A, 4.20%, 02/22/44(b)			1,715		1,864,344
Series 2019-1A, Class A, 4.37%, 12/21/43(b)			2,754		3,010,724
Series 2019-2A, Class A, 2.88%, 09/20/40(b)			394		411,279
Series 2020-2A, Class B, 2.21%, 08/20/46(b)			2,496		2,486,640
Series 2021-1A, Class B, 2.05%, 12/20/46(b)			660		650,294
Mountain Hawk II CLO Ltd., Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.60%), 1.82%, 07/20/24(a)(b)			41		40,831
MP CLO VII Ltd., Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 1.30%, 10/18/28(a)(b)			1,143		1,142,817
Navient Private Education Loan Trust, Series 2020-IA, Class B, 2.95%, 04/15/69(b)			1,880		1,894,824
Navient Private Education Refi Loan Trust
Series 2018-DA, Class A2A, 4.00%, 12/15/59(b)			1,739		1,856,947
Series 2019-D, Class A2A, 3.01%, 12/15/59(b)			4,874		5,097,238
Series 2020-CA, Class A2B, (1 mo. LIBOR US + 1.60%), 1.71%, 11/15/68(a)(b)			4,100		4,233,072
Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59(b)(c)			2,572		2,717,894
Neuberger Berman CLO XX Ltd.
Series 2015-20A, Class AR, (3 mo. LIBOR US + 0.80%), 1.04%, 01/15/28(a)(b)			446		445,541
Series 2015-20A, Class DR, (3 mo. LIBOR US + 2.40%), 2.64%, 01/15/28(a)(b)			1,000		989,722
Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.00%), 5.24%, 01/15/28(a)(b)			750		747,445
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class A, (3 mo. LIBOR US + 1.17%), 1.39%, 10/18/30(a)(b)			1,050		1,050,297
Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class A2, (3 mo. LIBOR US + 1.40%), 1.62%, 10/19/31(a)(b)			250		250,152
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.40%), 0.51%, 10/25/36(a)(b)			407		446,641

Security		Par (000)		Value
Asset-Backed Securities (continued)
NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1 mo. LIBOR US + 0.24%), 0.35%, 11/25/36(a)	USD		4,486	$	1,968,439
Oakwood Mortgage Investors, Inc.
Series 2001-D, Class A2, 5.26%, 01/15/19(a)			34		22,974
Series 2002-A, Class M1, 7.76%, 03/15/32(a)			2,139		2,108,331
Series 2002-C, Class M1, 6.89%, 11/15/32(a)			2,479		2,218,353
OCP CLO Ltd.
Series 2016-12A, Class A1R, (3 mo. LIBOR US + 1.12%), 1.34%, 10/18/28(a)(b)			2,700		2,699,948
Series 2016-12A, Class CR, (3 mo. LIBOR US + 3.00%), 3.22%, 10/18/28(a)(b)			1,000		993,199
Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.26%), 1.50%, 07/15/30(a)(b)			1,250		1,250,216
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.96%), 1.18%, 04/16/31(a)(b)			3,000		2,999,390
Octagon Investment Partners 29 Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.18%), 1.40%, 01/24/33(a)(b)			250		249,612
Octagon Investment Partners 30 Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.20%), 6.42%, 03/17/30(a)(b)			540		513,067
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.18%), 1.42%, 07/15/29(a)(b)			250		250,065
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.19%), 1.41%, 01/20/31(a)(b)			500		500,157
Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.97%), 1.21%, 04/15/31(a)(b)			250		249,663
Octagon Investment Partners XVII Ltd.
Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.00%), 1.22%, 01/25/31(a)(b)			750		748,989
Series 2013-1A, Class A2R2, (3 mo. LIBOR US + 1.10%), 1.32%, 01/25/31(a)(b)			500		497,892
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.85%), 2.09%, 07/15/27(a)(b)			1,000		998,953
OHA Credit Funding 5 Ltd., Series 2020-5A, Class A2A, (3 mo. LIBOR US + 1.45%), 1.67%, 04/18/33(a)(b)			300		300,108
OHA Credit Funding 7 Ltd., Series 2020-7A, Class A, (3 mo. LIBOR US + 1.25%), 1.48%, 10/19/32(a)(b)			250		250,294
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 7.37%, 01/21/30(a)(b)			1,000		1,000,265
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 1.22%, 05/23/31(a)(b)			770		767,247
OneMain Financial Issuance Trust
Series 2019-1A, Class B, 3.79%, 02/14/31(b)			2,000		2,050,729
Series 2019-2A, Class A, 3.14%, 10/14/36(b)			4,770		5,070,075
Option One Mortgage Loan Trust
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(d)			4,053		3,991,832
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(d)			3,358		3,323,946

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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1 mo. LIBOR US + 1.20%), 1.31%, 10/15/37(a)(b)(c)	USD		2,663	$	2,619,027
OZLM Funding III Ltd., Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.70%), 2.92%, 01/22/29(a)(b)			1,070		1,069,962
OZLM Funding IV Ltd.
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.25%), 1.47%, 10/22/30(a)(b)			491		490,378
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.70%), 1.92%, 10/22/30(a)(b)			500		500,795
OZLM VIII Ltd., Series 2014-8A, Class BRR, (3 mo. LIBOR US + 2.20%), 2.42%, 10/17/29(a)(b)			500		499,001
OZLM XIV Ltd.
Series 2015-14A, Class A1AR, (3 mo. LIBOR US + 1.16%), 1.40%, 01/15/29(a)(b)			1,500		1,500,234
Series 2015-14A, Class A2AR, (3 mo. LIBOR US + 1.70%), 1.94%, 01/15/29(a)(b)			4,000		3,982,747
Series 2015-14A, Class B1R, (3 mo. LIBOR US + 2.10%), 2.34%, 01/15/29(a)(b)			1,500		1,497,586
Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.00%), 3.24%, 01/15/29(a)(b)			1,000		974,907
OZLM XX Ltd., Series 2018-20A, Class D, (3 mo. LIBOR US + 5.80%), 6.02%, 04/20/31(a)(b)			1,000		904,509
Palmer Square CLO Ltd.
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 1.35%, 01/17/31(a)(b)			1,000		1,000,045
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.65%), 2.87%, 01/17/31			400		393,068
Series 2015-1A, Class A1R3, (3 mo. LIBOR US + 1.00%), 1.24%, 05/21/29(a)(b)			660		660,245
Series 2015-1A, Class A2R3, (3 mo. LIBOR US + 1.40%), 1.64%, 05/21/29(a)(b)			260		260,175
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 2.97%, 07/20/30(a)(b)			750		738,883
Series 2015-2A, Class DR2, (3 mo. LIBOR US + 5.75%), 5.97%, 07/20/30(a)(b)			500		500,538
Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), 5.83%, 07/16/31(a)(b)			500		483,034
Palmer Square Loan Funding Ltd.
Series 2018-4A, Class A1, (3 mo. LIBOR US + 0.90%), 1.09%, 11/15/26(a)(b)			112		112,522
Series 2018-4A, Class B, (3 mo. LIBOR US + 1.90%), 2.09%, 11/15/26(a)(b)			1,000		1,000,568
Series 2018-5A, Class A2, (3 mo. LIBOR US + 1.40%), 1.62%, 01/20/27(a)(b)			250		250,114
Parallel Ltd.
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.85%), 1.07%, 07/20/27(a)(b)			455		455,230
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.75%), 1.97%, 07/20/27(a)(b)			1,000		971,672
Park Avenue Institutional Advisers CLO Ltd.
Series 2016-1A, Class A1R, (3 mo. LIBOR US + 1.20%), 1.38%, 08/23/31(a)(b)			350		350,100
Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.85%), 6.03%, 08/23/31(a)(b)			1,500		1,384,419
Series 2017-1A, Class DR, (3 mo. LIBOR US + 6.81%), 7.01%, 02/14/34(a)(b)			900		868,504
Pikes Peak CLO 1, Series 2018-1A, Class A, (3 mo. LIBOR US + 1.18%), 1.40%, 07/24/31(a)(b)			500		500,203

Security		Par (000)		Value
Asset-Backed Securities (continued)
Pikes Peak Clo 2, Series 2018-2A, Class A, (3 mo. LIBOR US + 1.29%), 1.51%, 01/18/32(a)(b)	USD		250	$	250,099
Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class M1, (1 mo. LIBOR US + 0.54%), 0.65%, 05/25/36(a)			6,824		6,533,917
Progress Residential Trust
Series 2017-SFR1, Class A, 2.77%, 08/17/34(b)			1,431		1,439,569
Series 2018-SFR3, Class E, 4.87%, 10/17/35(b)			5,000		5,071,616
Series 2018-SFR3, Class F, 5.37%, 10/17/35(b)			2,250		2,274,763
Series 2019-SFR3, Class E, 3.37%, 09/17/36(b)			3,000		3,046,369
Series 2019-SFR3, Class F, 3.87%, 09/17/36(b) .			1,000		1,017,824
Series 2019-SFR4, Class E, 3.44%, 10/17/36(b)			3,000		3,039,723
Series 2019-SFR4, Class F, 3.68%, 10/17/36(b)			2,500		2,541,168
Race Point VIII CLO Ltd., Series 2013-8A, Class AR2, (3 mo. LIBOR US + 1.04%), 1.22%, 02/20/30(a)(b)			1,135		1,135,795
Regatta VI Funding Ltd.
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.08%), 1.30%, 07/20/28(a)(b)			268		268,109
Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.70%), 2.92%, 07/20/28(a)(b)			250		249,967
Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.00%), 5.22%, 07/20/28(a)(b)			500		489,727
Regional Management Issuance Trust
Series 2019-1, Class A, 3.05%, 11/15/28(b)			3,960		4,026,779
Series 2020-1, Class A, 2.34%, 10/15/30(b)			720		727,108
Series 2020-1, Class B, 3.23%, 10/15/30(b)			320		325,547
Renaissance Home Equity Loan Trust,
Series 2005-3, Class AF4, 5.14%, 11/25/35(d)			2,020		2,182,740
Republic FInance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27(b)			4,050		4,107,923
Riserva CLO Ltd., Series 2016-3A, Class ARR, (3 mo. LIBOR US + 1.06%), 1.25%, 01/18/34(a)(b)			1,100		1,098,905
Rockford Tower CLO Ltd.
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.03%), 1.27%, 04/15/29(a)(b)			1,500		1,499,008
Series 2017-1A, Class AR2, (3 mo. LIBOR US + 1.10%), 0.00%, 04/20/34(a)(b)			1,500		1,500,000
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.89%, 04/15/29(a)(b)			1,000		988,487
Series 2017-1A, Class E, (3 mo. LIBOR US + 5.40%), 5.64%, 04/15/29(a)(b)			2,350		2,207,856
Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.50%), 1.74%, 10/15/29(a)(b)			1,250		1,231,114
Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.90%), 2.14%, 10/15/29(a)(b)			1,000		987,953
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.09%, 10/15/29(a)(b)			1,000		991,634
Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.25%), 6.49%, 10/15/29(a)(b)			1,000		990,698
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 1.41%, 10/20/30(a)(b)			2,144		2,144,537
Series 2017-3A, Class E, (3 mo. LIBOR US + 5.75%), 5.97%, 10/20/30(a)(b)			2,250		2,120,573
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.10%), 1.28%, 05/20/31(a)(b)			750		750,369
Series 2018-2A, Class E, (3 mo. LIBOR US + 6.00%), 6.22%, 10/20/31(a)(b)			1,000		951,350
Romark CLO II Ltd., Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.18%), 1.39%, 07/25/31(a)(b)			250		250,000

30 2 0 2 1   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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities (continued)
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 1.25%, 04/20/31(a)(b)		USD            1,237	$	1,235,766
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.09%), 1.33%, 01/15/30(a)(b)		2,250		2,252,508
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A, 0.62%, 05/15/23		5,729		5,732,385
Seneca Park CLO Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 3.50%), 3.72%, 07/17/26(a)(b)		250		250,100
SESAC Finance LLC, Series 2019-1, Class A2, 5.22%, 07/25/49(b)		2,118		2,237,022
Shackleton CLO Ltd., Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.12%), 1.36%, 07/15/30(a)(b)		995		994,063
Signal Peak CLO 1 Ltd., Series 2014-1A, Class ARR, (3 mo. LIBOR US + 1.17%), 1.39%, 01/17/29(a)(b)		5,000		5,000,927
Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, (3 mo. LIBOR US + 1.11%), 1.33%, 04/25/31(a)(b)		300		300,015
Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. LIBOR US + 1.27%), 1.49%, 04/20/33(a)(b)		500		501,125
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.24%), 1.46%, 07/20/30(a)(b)		1,500		1,500,280
SLM Private Credit Student Loan Trust
Series 2005-A, Class A4, (3 mo. LIBOR US + 0.31%), 0.49%, 12/15/38(a)		2,008		1,978,956
Series 2005-B, Class A4, (3 mo. LIBOR US + 0.33%), 0.51%, 06/15/39(a)		1,448		1,418,535
Series 2005-B, Class B, (3 mo. LIBOR US + 0.40%), 0.58%, 06/15/39(a)		1,117		1,108,512
Series 2006-BW, Class A5, (3 mo. LIBOR US + 0.20%), 0.38%, 12/15/39(a)		2,522		2,471,875
SLM Private Education Loan Trust
Series 2010-C, Class A5, (1 mo. LIBOR US + 4.75%), 4.86%, 10/15/41(a)(b)		3,490		3,781,551
Series 2014-A, Class B, 3.50%, 11/15/44(b)		2,405		2,426,819
SMB Private Education Loan Trust
Series 2015-C, Class B, 3.50%, 09/15/43(b)		2,365		2,459,290
Series 2016-B, Class A2A, 2.43%, 02/17/32(b)		2,252		2,305,358
Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.90%), 1.01%, 09/15/34(a)(b)		2,889		2,903,493
Series 2017-B, Class A2A, 2.82%, 10/15/35(b)		1,431		1,483,849
Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.75%), 0.86%, 10/15/35(a)(b)		2,350		2,358,283
Series 2018-A, Class A2B, (1 mo. LIBOR US + 0.80%), 0.91%, 02/15/36(a)(b)		4,312		4,312,289
Series 2019-B, Class A2A, 2.84%, 06/15/37(b)		4,884		5,083,105
Series 2021-A, Class B, 2.31%, 01/15/53(b)		1,120		1,088,694
Series 2021-A, Class C, 2.99%, 01/15/53(b)		2,760		2,711,349
Series 2021-A, Class D1, 3.86%, 01/15/53(b)		1,480		1,455,189
Series 2021-A, Class D2, 3.86%, 01/15/53(b)		800		789,063
SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX, 3.09%, 08/17/48(b)		1,098		1,129,947
SoFi RR Funding IV Trust, Series 2021-1, Class A, 2.98%, 12/31/25(b)(c)(d)		4,024		4,024,231
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.07%), 1.29%, 01/26/31(a)(b)		250		250,066

Security	Par (000)		Value
Asset-Backed Securities (continued)
Sound Point CLO XV Ltd.
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.37%, 01/23/29(a)(b)		USD                3,925	$	3,926,057
Series 2017-1A, Class ARR, (3 mo. LIBOR US + 0.90%), 1.09%, 01/23/29(a)(b)		4,175		4,175,000
Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.28%), 1.54%, 01/25/32(a)(b)		1,000		1,000,951
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.80%), 0.90%, 01/25/35(a)		117		113,026
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 09/25/37(b)		2,967		2,989,960
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.25%), 1.49%, 10/15/30(a)(b)		250		249,317
Stratus CLO Ltd., Series 2020-2A, Class A, (3 mo. LIBOR US + 1.30%), 1.57%, 10/15/28(a)(b)		500		500,234
Structured Asset Securities Corp. Mortgage Loan Trust
Series 2006-BC2, Class A1, (1 mo. LIBOR US + 0.16%), 0.26%, 09/25/36(a)		2,393		1,872,246
Series 2007-GEL1, Class A3, (1 mo. LIBOR US + 0.60%), 0.41%, 01/25/37(a)(b)		1,600		1,212,736
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54(b)		2,145		2,288,399
Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3 mo. LIBOR US + 0.96%), 1.18%, 04/16/31(a)(b)		500		498,955
Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3 mo. LIBOR US + 1.15%), 1.39%, 10/15/31(a)(b)		300		300,098
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.88%), 1.12%, 04/15/28(a)(b)		884		882,798
Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3 mo. LIBOR US + 1.08%), 1.19%, 04/20/33(a)(b)(c)		689		689,000
TCI-Flatiron CLO Ltd.
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.20%), 1.39%, 11/18/30(a)(b)		1,000		999,212
Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.96%), 0.00%, 04/20/34(a)(b)		1,000		1,000,000
THL Credit Wind River CLO Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.05%), 1.29%, 07/15/28(a)(b)		1,590		1,590,483
TICP CLO VI Ltd.
Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 1.26%, 01/15/34(a)(b)		4,250		4,233,589
Series 2016-6A, Class BR2, (3 mo. LIBOR US + 1.50%), 1.64%, 01/15/34(a)(b)		320		319,259
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.29%, 04/15/33(a)(b)		600		602,721
TICP CLO XII Ltd., Series 2018-12A, Class A, (3 mo. LIBOR US + 1.11%), 1.35%, 01/15/31(a)(b)		250		250,209
TICP CLO XIV Ltd., Series 2019-14A, Class A1A, (3 mo. LIBOR US + 1.34%), 1.56%, 10/20/32(a)(b)		400		400,475

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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities (continued)
TICP CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.28%), 1.50%, 04/20/33(a)(b)		USD                750	$	752,061
Towd Point Mortgage Trust
Series 2019-HY2, Class A1, (1 mo. LIBOR US + 1.00%), 1.11%, 05/25/58(a)(b)		2,482		2,503,160
Series 2019-SJ2, Class A2, 4.25%, 11/25/58(a)(b)		5,000		5,075,379
TRESTLES CLO Ltd., Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.99%), 1.19%, 04/25/32(a)(b)		650		650,000
Tricon American Homes Trust
Series 2017-SFR1, Class F, 5.15%, 09/17/34(b)		4,781		4,865,513
Series 2018-SFR1, Class E, 4.56%, 05/17/37(b)		2,000		2,081,699
Series 2019-SFR1, Class E, 3.40%, 03/17/38(b)		2,000		2,031,766
Upstart Pass-Through Trust, Series 2021-ST3, Class A, 2.00%, 05/20/27(b)		5,000		5,000,000
Venture 39 CLO Ltd., Series 2020-39A, Class A1, (3 mo. LIBOR US + 1.28%), 1.52%, 04/15/33(a)(b)		340		340,637
Vibrant CLO VII Ltd., Series 2017-7A, Class A1, (3 mo. LIBOR US + 1.27%), 1.49%, 09/15/30(a)(b)		1,000		999,156
Voya CLO Ltd.
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 0.97%), 1.19%, 04/25/31(a)(b)		1,000		999,654
Series 2013-3A, Class A1RR, (3 mo. LIBOR US + 1.15%), 1.37%, 10/18/31(a)(b)		498		498,366
Series 2014-3A, Class A1R, (3 mo. LIBOR US + 0.72%), 0.94%, 07/25/26(a)(b)		110		110,313
Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.97%), 1.19%, 07/23/27(a)(b)		930		929,205
Series 2017-3A, Class A1R, (3 mo. LIBOR US + 1.04%), 1.24%, 04/20/34(a)(b)(c)		1,000		1,000,000
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.13%), 1.37%, 10/15/30(a)(b)		1,000		1,000,435
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.00%), 1.24%, 07/15/31(a)(b)		250		250,000
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE3, Class 1A, (1 mo. LIBOR US + 0.16%), 0.26%, 08/25/36(a)		10,822		10,241,475
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.18%), 0.29%, 09/25/36(a)		246		109,901
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.16%), 0.26%, 10/25/36(a)		1,722		1,480,451
Wellfleet CLO Ltd., Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.15%), 1.37%, 01/17/31(a)(b)		1,525		1,525,604
Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 3.47%, 07/20/28(a)(b)		500		499,831
York CLO-2 Ltd.
Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.37%, 01/22/31(a)(b)		1,220		1,220,568
Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.65%), 5.87%, 01/22/31(a)(b)		1,000		938,946
York CLO-3 Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.25%), 1.47%, 10/20/29(a)(b)		1,000		1,000,220
Total Asset-Backed Securities — 46.6% (Cost: $723,010,652)				718,237,942

Security	Par (000)		Value
Corporate Bonds
Banks — 0.0%
Washington Mutual Escrow Bonds
0.00%(c)(e)(f)(g)		USD                500	$	—
0.00%(c)(e)(f)(g)		250		—
				—
Insurance — 0.0%
Ambac Assurance Corp., 5.10%(b)(g)		58		79,108
Ambac LSNI LLC, (3 mo. LIBOR US + 5.00%), 6.00%, 02/12/23(a)(b)		209		209,976
				289,084
Total Corporate Bonds — 0.0% (Cost: $284,657)				289,084
Floating Rate Loan Interests(a)
Distributors — 0.2%
Amazon Logistics, Term Loan, (1 mo. LIBOR US + 2.95%, 0.25% Floor), 3.20%, 10/09/23		3,413		3,413,263
Diversified Financial Services — 0.3%
RNTR-1 LLC (AKA Seer Sylvan), Initial Term Loan, (1 mo. LIBOR US + 2.38%, 0.25% Floor), 2.63%, 12/20/21(c)		3,691		3,681,635
Thrifts & Mortgage Finance — 0.1%
Caliber Home Loans, Inc.
Term Loan, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 3.12%, 04/24/21(c)		1,200		1,196,400
Term Loan, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 3.37%, 04/24/21(c)		807		804,851
				2,001,251
Total Floating Rate Loan Interests — 0.6% (Cost: $9,110,986)				9,096,149
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 8.6%
American Home Mortgage Assets Trust
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.21%), 0.32%, 10/25/46(a)		113		76,560
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.92%), 1.18%, 11/25/46(a)		1,021		451,932
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.70%), 0.96%, 02/25/47(a)		37		21,212
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1, 3.63%, 03/25/49(a)(b)		1,776		1,808,935
APS Resecuritization Trust
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.85%), 2.96%, 09/27/46(a)(b)		331		331,643
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.60%), 2.71%, 04/27/47(a)(b)		50		50,091
ARI Investments LLC, Series 2017-1, Class A, 4.61%, 01/06/25(c)		541		537,364
Banc of America Alternative Loan Trust, Series 2006-4, Class 3CB1, (1 mo. LIBOR US + 0.80%), 0.91%, 05/25/46(a)		746		585,352
Banc of America Funding Trust
Series 2014-R2, Class 1C, 0.00%, 11/26/36(a)(b) .		336		90,243
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(a)(b)		417		401,340

32 2 0 2 1   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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37		USD            1,610	$	1,573,012
BCAP LLC Trust, Series 2011-RR4, Class 3A6, 3.30%, 07/26/36(a)(b)		2,062		2,070,287
Bear Stearns Asset Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 02/25/36(d)		202		172,207
Bear Stearns Mortgage Funding Trust
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.28%), 0.39%, 08/25/36(a)		949		936,079
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.17%), 0.28%, 03/25/37(a)		275		258,464
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.21%), 0.32%, 06/25/37(a)		26		24,881
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37		10,400		6,634,883
Citicorp Mortgage Securities Trust
Series 2007-9, Class 1A1, 6.25%, 12/25/37		2,669		2,412,495
Series 2008-2, Class 1A1, 6.50%, 06/25/38		399		351,627
Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.50%, 01/25/66(a)(b)		3,051		3,202,770
CitiMortgage Alternative Loan Trust, Series 2007-A3, Class 1A5, 6.00%, 03/25/37		2,557		2,584,575
Countrywide Alternative Loan Trust
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.35%), 0.46%, 06/25/35(a)		1,319		1,099,336
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.64%), 0.75%, 11/20/35(a)		621		575,548
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.60%), 0.71%, 01/25/36(a)		452		430,558
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.00%), 1.26%, 02/25/36(a)		584		552,592
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36		840		599,261
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.23%), 0.34%, 11/25/36(a)		160		149,956
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.50%), 0.61%, 07/25/46(a)		2,144		1,993,612
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37		1,365		903,514
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37		204		133,688
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.84%), 1.10%, 03/25/47(a)		262		230,091
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2005-J2, Class 2A4, (1 mo. LIBOR US + 1.40%), 1.51%, 08/25/35(a)		1,181		979,730
Series 2007-15, Class 2A2, 6.50%, 09/25/37		731		428,259
Series 2007-HYB1, Class 3A1, 3.04%, 03/25/37(a)		2,610		2,445,194
Credit Suisse Commercial Mortgage Trust
Series 2007-5, Class 1A11, 7.00%, 08/25/37(a)		2,125		1,684,567
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.12%), 0.24%, 08/27/36(a)(b)		130		120,852
Series 2019-JR1, Class A1, 4.10%, 09/27/66(a)(b)		2,472		2,483,175
Series 2021-NQM1, Class M1, 2.13%, 05/25/65(a)(b)		3,299		3,300,000
Credit Suisse Mortgage Capital Certificates Series 2009-12R, Class 3A1, 6.50%, 10/27/37(b)		39		21,125

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Credit Suisse Mortgage Capital Certificates Series 2019-RPL4, Class A1, 3.48%, 08/26/58(a)(b)		USD                3,431	$	3,431,923
Deephaven Residential Mortgage Trust, Series 2021-1, Class M1, 2.09%, 05/25/65(a)(b)		1,620		1,613,790
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36(a)		22		21,783
GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.00%), 2.26%, 03/25/36(a)		27		26,332
GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ2, Class A4, 4.00%, 11/25/49(a)(b)		1,569		1,577,793
GSMPS Mortgage Loan Trust
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.35%), 0.46%, 03/25/35(a)(b)		73		68,068
Series 2005-RP3, Class 2A1, 3.60%, 09/25/35(a)(b)		4,343		4,250,202
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.35%), 0.46%, 01/25/36(a)(b)		59		48,673
Series 2006-RP2, Class 2A1, 3.83%, 04/25/36(a)(b)		3,051		2,965,527
GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 2.36%, 04/25/36(a)		2,193		1,762,145
IndyMac Index Mortgage Loan Trust
Series 2007-AR19, Class 3A1, 3.13%, 09/25/37(a)		292		206,487
Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.24%), 0.35%, 08/25/37(a)		4,126		3,832,420
JPMorgan Alternative Loan Trust, Series 2006-S2, Class A5, 6.88%, 05/25/36(d)		4,276		3,997,940
JPMorgan Mortgage Trust
Series 2005-A4, Class B1, 2.91%, 07/25/35(a)		433		444,938
Series 2020-5, Class B3, 3.71%, 12/25/50(a)(b)		3,945		4,010,923
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.15%), 1.26%, 12/25/37(a)		42		42,856
LHOME Mortgage Trust, Series 2019-RTL2, Class A1, 3.84%, 03/25/24(b)		6,000		6,040,715
LSTAR Securities Investment Ltd., Series 2019-3, Class A1, (1 mo. LIBOR US + 1.50%), 1.62%, 04/01/24(a)(b)		3,333		3,318,262
MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1, 4.27%, 05/25/36(a)(b)		1,463		1,325,356
MASTR Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37(a)(b)		1,216		1,101,040
MCM Trust
Series 2018-NPL1, Class B, 0.00%, 05/28/58(b)		1,041		556,647
Series 2018-NPL2, Class B, 0.00%, 10/25/28(b)		1,548		838,423
MFA Trust, Series 2021-INV1, Class M1, 2.29%, 01/25/56(a)(b)		700		697,569
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.34%), 0.46%, 04/16/36(a)(b)		314		289,342
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1, 4.25%, 12/25/57(a)(b)		2,406		2,551,952
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4, (1 mo. LIBOR US + 0.42%), 0.53%, 06/25/37(a)		779		658,662
NYMT Loan Trust, Series 2020-SP2, Class A1, 2.94%, 10/25/60(a)(b)		9,431		9,467,359

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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
OBX Trust, Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59(a)(b)		USD            1,819	$	1,863,981
RALI Trust, Series 2006-QO10, Class A1, (1 mo. LIBOR US + 0.16%), 0.43%, 01/25/37(a)		2,735		2,626,656
Reperforming Loan REMIC Trust
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.34%), 0.45%, 06/25/35(a)(b)		113		107,844
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.40%), 0.51%, 09/25/35(a)(b)		760		674,409
Starwood Mortgage Residential Trust, Series 2020- INV1, Class M1, 2.50%, 11/25/55(b)		2,688		2,694,293
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.42%), 0.53%, 05/25/46(a)		44		39,475
Structured Asset Securities Corp.
Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.35%), 0.46%, 06/25/35(a)(b)		1,041		926,461
Series 2005-RF5, Class 2A, 3.61%, 07/25/35(a)(b)		3,009		2,996,218
Thornburg Mortgage Securities Trust,
Series 2006-3, Class A1, 2.95%, 06/25/46(a)		1,550		1,343,220
Toorak Mortgage Corp. Ltd., Series 2019-2, Class A1, 3.72%, 09/25/22(d)		5,000		5,071,042
Verus Securitization Trust
Series 2020-4, Class B1, 5.05%, 05/25/65(a)(b)		2,600		2,736,599
Series 2021-1, Class M1, 1.97%, 01/25/66(a)(b)		3,000		2,991,407
Series 2021-R1, Class M1, 2.34%, 10/25/63(b)		3,250		3,262,467
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-4, Class 1A1, 6.00%, 04/25/36		273		272,592
Series 2006-4, Class 3A1, 6.50%, 05/25/36(d)		137		134,106
Series 2006-AR1, Class A1A, (1 mo. LIBOR US + 0.50%), 0.61%, 02/25/36(a)		1,618		1,387,813
Series 2007-HY1, Class A2A, (1 mo. LIBOR US + 0.16%), 0.27%, 02/25/37(a)		786		705,067
Series 2007-OA4, Class 2A, (Cost of Funds for the 11th District of San Francisco + 1.25%), 1.71%, 05/25/47(a)		3,071		2,862,873
Series 2007-OA5, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.75%), 1.01%, 06/25/47(a)		659		626,614
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR15, Class A1, 2.92%, 10/25/36(a)		1,648		1,617,927
				132,795,201
Commercial Mortgage-Backed Securities — 27.6%
245 Park Avenue Trust
Series 2017-245P, Class A, 3.51%, 06/05/37(b)		5,000		5,422,009
Series 2017-245P, Class C, 3.66%, 06/05/37(a)(b)		3,000		3,129,676
Series 2017-245P, Class E, 3.66%, 06/05/37(a)(b)		1,151		1,101,374
280 Park Avenue Mortgage Trust
Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 0.99%, 09/15/34(a)(b)		5,000		5,001,511
Series 2017-280P, Class E, (1 mo. LIBOR US + 2.12%), 2.23%, 09/15/34(a)(b)		1,705		1,683,595
Angel Oak SB Commercial Mortgage Trust, Series 2020-SBC1, Class A1, 2.07%, 05/25/50(a)(b)		13,687		13,710,681
AOA Mortgage Trust, Series 2015-1177, Class D, 3.01%, 12/13/29(a)(b)		1,849		1,845,785

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.10%), 2.21%, 04/15/35(a)(b)		USD            644	$	631,955
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, (1 mo. LIBOR US + 1.05%), 1.16%, 09/15/32(a)(b)		2,000		1,998,797
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class F, 3.60%, 04/14/33(a)(b)		1,294		1,326,954
Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.90%), 1.01%, 11/15/32(a)(b)		2,470		2,411,137
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.00%), 2.11%, 11/15/32(a)(b)		1,090		900,896
Bancorp Commercial Mortgage Trust, Series 2017-CRE2, Class AS, (1 mo. LIBOR US + 1.20%), 1.31%, 08/15/32(a)(b)		3,070		3,069,214
BANK
Series 2019-BN22, Class A4, 2.98%, 11/15/62		3,000		3,144,475
Series 2020-BN28, Class A4, 1.84%, 03/15/63		4,200		4,009,196
Series 2021-BN32, Class A5, 2.64%, 04/15/54		3,260		3,320,204
Barclays Commercial Mortgage Trust, Series 2019- C3, Class D, 3.00%, 05/15/52(b)		3,014		2,525,958
Bayview Commercial Asset Trust
Series 2006-1A, Class A1, (1 mo. LIBOR US + 0.41%), 0.51%, 04/25/36(a)(b)		9,566		8,979,412
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.54%), 0.65%, 04/25/36(a)(b)		21		20,321
Series 2006-4A, Class A2, (1 mo. LIBOR US + 0.27%), 0.38%, 12/25/36(a)(b)		2,072		1,947,733
Series 2006-SP2, Class A, (1 mo. LIBOR US + 0.28%), 0.39%, 01/25/37(a)(b)		2,034		1,959,496
Series 2007-1, Class A2, (1 mo. LIBOR US + 0.27%), 0.38%, 03/25/37(a)(b)		9,866		9,255,499
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 0.38%, 07/25/37(a)(b)		45		43,044
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.45%), 0.56%, 09/25/37(a)(b)		3,594		3,389,997
Series 2007-5A, Class A3, (1 mo. LIBOR US + 1.00%), 1.11%, 10/25/37(a)(b)		562		561,379
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 1.61%, 12/25/37(a)(b)		4,500		4,391,194
BBCMS Mortgage Trust
Series 2018-CHRS, Class E, 4.27%, 08/05/38(a)(b)		1,000		852,469
Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 0.83%, 03/15/37(a)(b)		5,000		4,949,951
Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.45%), 1.55%, 03/15/37(a)(b)		1,100		1,072,844
BBCMS Trust
Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b)		460		488,721
Series 2019-CLP, Class D, (1 mo. LIBOR US + 1.73%), 1.83%, 12/15/31(a)(b)		269		268,476
Series 2019-CLP, Class E, (1 mo. LIBOR US + 2.11%), 2.22%, 12/15/31(a)(b)		486		485,813
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 4.97%, 02/11/41(a)		430		426,881
Benchmark Mortgage Trust Series 2019-B10, Class 3CCA, 3.90%, 03/15/62(a)(b)		349		363,877

34 2 0 2 1   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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Benchmark Mortgage Trust
Series 2019-B15, Class A5, 2.93%, 12/15/72		USD                 4,747	$	4,959,723
Series 2019-B15, Class B, 3.56%, 12/15/72		1,921		2,017,928
Series 2020-B19, Class A5, 1.85%, 09/15/53		3,300		3,166,055
Series 2020-B21, Class A5, 1.98%, 12/17/53		2,790		2,689,681
Series 2021-B24, Class A5, 2.58%, 03/15/54		3,000		3,037,086
BFLD Trust, Series 2020-EYP, Class E, (1 mo. LIBOR US + 3.70%), 3.81%, 10/15/35(a)(b)		2,000		2,025,003
BHMS, Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.25%), 1.36%, 07/15/35(a)(b)		2,460		2,458,475
BWAY Mortgage Trust
Series 2013-1515, Class A2, 3.45%, 03/10/33(b) .		1,696		1,816,147
Series 2013-1515, Class C, 3.45%, 03/10/33(b)		250		262,183
BX Commercial Mortgage Trust
Series 2018-BIOA, Class A, (1 mo. LIBOR US + 0.67%), 0.78%, 03/15/37(a)(b)		2,500		2,500,735
Series 2018-BIOA, Class B, (1 mo. LIBOR US + 0.87%), 0.98%, 03/15/37(a)(b)		2,500		2,499,951
Series 2018-BIOA, Class E, (1 mo. LIBOR US + 1.95%), 2.06%, 03/15/37(a)(b)		2,000		1,999,978
Series 2018-IND, Class H, (1 mo. LIBOR US + 3.00%), 3.11%, 11/15/35(a)(b)		700		700,214
Series 2019-XL, Class A, (1 mo. LIBOR US + 0.92%), 1.03%, 10/15/36(a)(b)		2,958		2,959,764
Series 2019-XL, Class D, (1 mo. LIBOR US + 1.45%), 1.56%, 10/15/36(a)(b)		2,822		2,821,533
Series 2019-XL, Class G, (1 mo. LIBOR US + 2.30%), 2.41%, 10/15/36(a)(b)		4,703		4,699,337
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 2.76%, 10/15/36(a)(b)		7,101		7,096,413
Series 2020-BXLP, Class A, (1 mo. LIBOR US + 0.80%), 0.91%, 12/15/36(a)(b)		4,990		4,991,718
Series 2020-BXLP, Class F, (1 mo. LIBOR US + 2.00%), 2.11%, 12/15/36(a)(b)		2,218		2,214,838
Series 2020-FOX, Class E, (1 mo. LIBOR US + 3.60%), 3.71%, 11/15/32(a)(b)		2,000		2,005,634
Series 2020-VIV2, Class C, 3.54%, 03/09/44(a)(b)		2,204		2,234,537
Series 2020-VKNG, Class F, (1 mo. LIBOR US + 2.75%), 2.86%, 10/15/37(a)(b)		2,000		1,999,997
Series 2021-NWM, Class A, (1 mo. LIBOR US + 0.91%), 1.06%, 02/15/33(a)(b)(c)		1,269		1,269,000
Series 2021-NWM, Class B, (1 mo. LIBOR US + 2.15%), 2.30%, 02/15/33(a)(b)(c)		744		744,000
Series 2021-NWM, Class C, (1 mo. LIBOR US + 4.25%), 4.40%, 02/15/33(a)(b)(c)		491		491,000
BX Trust
Series 2019-CALM, Class E, (1 mo. LIBOR US + 2.00%), 2.11%, 11/15/32(a)(b)		3,000		2,992,510
Series 2019-OC11, Class A, 3.20%, 12/09/41(b) .		3,757		3,925,695
BXP Trust, Series 2017-GM, Class B, 3.43%, 06/13/39(a)(b)		265		283,012
CAMB Commercial Mortgage Trust
Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.75%), 1.86%, 12/15/37(a)(b)		1,000		1,000,299
Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.15%), 2.26%, 12/15/37(a)(b)		1,219		1,219,079
CD Mortgage Trust, Series 2016-CD1, Class A3, 2.46%, 08/10/49		5,000		5,164,559
CFCRE Commercial Mortgage Trust
Series 2016-C4, Class C, 4.86%, 05/10/58(a)		130		135,643
Series 2018-TAN, Class A, 4.24%, 02/15/33(b)		1,000		1,043,819

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
CFCRE Commercial Mortgage Trust
Series 2018-TAN, Class B, 4.69%, 02/15/33(b)		USD                 1,081	$	1,124,097
Series 2018-TAN, Class C, 5.30%, 02/15/33(b)		1,050		1,096,404
CFK Trust
Series 2019-FAX, Class D, 4.64%, 01/15/39(a)(b)		2,500		2,706,314
Series 2019-FAX, Class E, 4.64%, 01/15/39(a)(b).		2,500		2,571,516
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.93%), 1.04%, 11/15/36(a)(b)		230		230,069
Citigroup Commercial Mortgage Trust
Series 2013-375P, Class C, 3.52%, 05/10/35(a)(b)		100		102,086
Series 2015-GC27, Class C, 4.42%, 02/10/48(a)		491		519,898
Series 2016-P3, Class A4, 3.33%, 04/15/49		2,635		2,838,340
Series 2016-P3, Class D, 2.80%, 04/15/49(a)(b)		259		179,182
Series 2017-P7, Class A4, 3.71%, 04/14/50		6,000		6,606,468
Series 2019-PRM, Class E, 4.73%, 05/10/36(a)(b)		3,000		3,086,359
Series 2019-SMRT, Class A, 4.15%, 01/10/36(b) .		2,000		2,158,274
Series 2019-SMRT, Class D, 4.75%, 01/10/36(a)(b)		3,000		3,208,883
Series 2019-SST2, Class A, (1 mo. LIBOR US + 0.92%), 1.03%, 12/15/36(a)(b)		3,040		3,040,957
Citigroup/Deutsche Bank Commercial Mortgage
Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48		452		463,667
Cold Storage Trust
Series 2020-ICE5, Class A, (1 mo. LIBOR US + 0.90%), 1.01%, 11/15/37(a)(b)		4,915		4,921,633
Series 2020-ICE5, Class E, (1 mo. LIBOR US + 2.77%), 2.87%, 11/15/37(a)(b)		1,966		1,969,134
Commercial Mortgage Trust
Series 2013-GAM, Class A2, 3.37%, 02/10/28(b).		937		929,835
Series 2013-GAM, Class B, 3.43%, 02/10/28(a)(b)		1,500		1,426,301
Series 2013-WWP, Class D, 3.90%, 03/10/31(b) .		110		116,408
Series 2014-CR15, Class A2, 2.93%, 02/10/47		1,604		1,592,906
Series 2015-CR22, Class A2, 2.86%, 03/10/48		1,082		1,081,660
Series 2015-CR23, Class A4, 3.50%, 05/10/48(c)		2,000		2,169,062
Series 2015-CR26, Class A4, 3.63%, 10/10/48		3,535		3,865,093
Series 2015-LC19, Class D, 2.87%, 02/10/48(b) .		87		83,798
Series 2016-667M, Class D, 3.18%, 10/10/36(a)(b)		500		480,929
Series 2021-LBA, Class A, (1 mo. LIBOR US + 0.69%), 0.84%, 03/15/38(a)(b)		5,210		5,201,832
Credit Suisse Commercial Mortgage Trust
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.95%), 1.06%, 12/15/30(a)(b)		240		238,360
Series 2020-FACT, Class E, (1 mo. LIBOR US + 4.86%), 4.97%, 10/15/37(a)(b)		2,000		2,032,085
Credit Suisse Mortgage Capital Certificates
Series 2019-ICE4, Class A, (1 mo. LIBOR US + 0.98%), 1.09%, 05/15/36(a)(b)		4,760		4,764,427
Series 2019-ICE4, Class B, (1 mo. LIBOR US + 1.23%), 1.34%, 05/15/36(a)(b)		4,810		4,813,013
Series 2019-ICE4, Class E, (1 mo. LIBOR US + 2.15%), 2.26%, 05/15/36(a)(b)		850		851,293
CSAIL Commercial Mortgage Trust
Series 2016-C6, Class C, 4.95%, 01/15/49(a)		10		10,426
Series 2018-C14, Class A4, 4.42%, 11/15/51(a)		4,219		4,810,121

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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
CSAIL Commercial Mortgage Trust
Series 2019-C15, Class D, 3.00%, 03/15/52(b)		USD                35	$	29,597
Series 2019-C16, Class A3, 3.33%, 06/15/52		2,000		2,135,485
Series 2019-C16, Class C, 4.24%, 06/15/52(a)		1,622		1,635,880
Series 2019-C17, Class D, 2.50%, 09/15/52(b)		809		679,837
DBGS Mortgage Trust
Series 2018-5BP, Class A, (1 mo. LIBOR US + 0.65%), 0.75%, 06/15/33(a)(b)		5,000		4,998,371
Series 2018-BIOD, Class A, (1 mo. LIBOR US + 0.80%), 0.91%, 05/15/35(a)(b)		4,641		4,642,060
Series 2018-BIOD, Class G, (1 mo. LIBOR US + 2.50%), 2.61%, 05/15/35(a)(b)		435		433,138
Series 2019-1735, Class F, 4.20%, 04/10/37(a)(b)		160		129,523
Deutsche Bank UBS Mortgage Trust
Series 2017-BRBK, Class A, 3.45%, 10/10/34(b)		2,670		2,846,273
Series 2017-BRBK, Class D, 3.53%, 10/10/34(a)(b)		990		1,028,795
Series 2017-BRBK, Class F, 3.53%, 10/10/34(a)(b)		600		604,392
FREMF Mortgage Trust
Series 2018-K74, Class B, 4.09%, 02/25/51(a)(b)		2,150		2,345,267
Series 2020-K105, Class B, 3.53%, 03/25/53(a)(b)		2,905		3,029,069
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A, (1 mo. LIBOR US + 0.80%), 0.91%, 02/15/38(a)(b)		2,730		2,730,514
GPMT Ltd., Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.90%), 1.01%, 11/21/35(a)(b)		347		346,378
Grace Trust, Series 2020-GRCE, Class F, 2.68%, 12/10/40(a)(b)		2,000		1,710,294
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51(a)		4,100		4,620,652
GS Mortgage Securities Corp. Trust, Series 2019-BOCA, Class A, (1 mo. LIBOR US + 1.20%), 1.31%, 06/15/38(a)(b)		1,461		1,462,530
GS Mortgage Securities Trust
Series 2015-GC32, Class C, 4.42%, 07/10/48(a)		410		436,545
Series 2015-GC32, Class D, 3.35%, 07/10/48		53		49,076
Series 2017-GS6, Class A3, 3.43%, 05/10/50		2,000		2,172,438
Series 2019-GSA1, Class A4, 3.05%, 11/10/52		2,587		2,718,888
Series 2019-GSA1, Class C, 3.81%, 11/10/52(a)		5,000		5,125,202
GSCG Trust
Series 2019-600C, Class A, 2.94%, 09/06/34(b)		5,000		5,134,019
Series 2019-600C, Class F, 3.99%, 09/06/34(a)(b)		2,000		1,914,504
Hudson Yards Mortgage Trust, Series 2019-30HY, Class E, 3.44%, 07/10/39(a)(b)		2,000		1,993,389
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.11%, 12/15/48(a)(b)		1,190		1,153,595
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4, 3.06%, 11/13/52		1,968		2,076,877
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2015-JP1, Class C, 4.73%, 01/15/49(a)		315		344,556
Series 2016-JP2, Class A4, 2.82%, 08/15/49		779		823,806
Series 2016-NINE, Class A, 2.85%, 09/06/38(a)(b)		2,371		2,509,009
Series 2017-FL10, Class E, (1 mo. LIBOR US + 3.90%), 4.01%, 06/15/32(a)(b)		330		328,024
Series 2017-JP5, Class D, 4.62%, 03/15/50(a)(b)		1,240		1,211,443

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2018-PHH, Class A, (1 mo. LIBOR US + 0.91%), 2.41%, 06/15/35(a)(b)		USD                4,845	$	4,850,465
Series 2018-WPT, Class FFX, 5.54%, 07/05/33(a)(b)		223		224,464
Series 2019-COR5, Class C, 3.75%, 06/13/52		1,030		1,036,834
Series 2019-MFP, Class F, (1 mo. LIBOR US + 3.00%), 3.11%, 07/15/36(a)(b)		1,000		981,719
Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 2.88%, 10/15/33(a)(b)		700		702,400
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, (1 mo. LIBOR US + 1.80%), 1.91%, 05/15/36(a)(b)		1,159		1,157,537
Ladder Capital Commercial Mortgage Trust
Series 2014-909, Class A, 3.39%, 05/15/31(b)		1,000		999,222
Series 2014-909, Class C, 3.90%, 05/15/31(a)(b)		2,000		1,997,764
Series 2014-909, Class D, 3.90%, 05/15/31(a)(b)		2,000		1,996,954
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.25%), 0.36%, 03/25/37(a)(b)		138		133,226
Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%), 0.81%, 03/15/38(a)(b)		1,980		1,981,193
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class D, 4.15%, 07/15/50(a)(b)		233		229,016
Series 2015-C25, Class A5, 3.64%, 10/15/48		1,455		1,592,036
Series 2015-C26, Class C, 4.40%, 10/15/48(a)		1,000		1,061,699
Series 2015-C26, Class D, 3.06%, 10/15/48(b)		156		149,637
Series 2016-C32, Class A4, 3.72%, 12/15/49		1,060		1,168,708
Morgan Stanley Capital I Trust
Series 2014-CPT, Class E, 3.45%, 07/13/29(a)(b)		500		499,936
Series 2015-MS1, Class A4, 3.78%, 05/15/48(a)		2,000		2,194,386
Series 2017-CLS, Class A, (1 mo. LIBOR US + 0.70%), 0.81%, 11/15/34(a)(b)		4,330		4,331,367
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.60%), 2.71%, 11/15/34(a)(b)		843		841,988
Series 2017-H1, Class B, 4.08%, 06/15/50		2,400		2,590,601
Series 2017-H1, Class C, 4.28%, 06/15/50(a)		829		844,614
Series 2017-H1, Class D, 2.55%, 06/15/50(b)		1,010		820,246
Series 2017-HR2, Class D, 2.73%, 12/15/50(c)		160		136,000
Series 2018-H3, Class C, 4.85%, 07/15/51(a)		450		488,553
Series 2018-MP, Class E, 4.28%, 07/11/40(a)(b)		2,643		2,310,926
Series 2018-SUN, Class D, (1 mo. LIBOR US + 1.65%), 1.76%, 07/15/35(a)(b)		1,000		993,790
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 2.66%, 07/15/35(a)(b)		335		330,823
Series 2019-H7, Class AS, 3.52%, 07/15/52		1,900		2,029,625
Series 2019-H7, Class C, 4.13%, 07/15/52		5,000		4,967,519
Series 2019-H7, Class D, 3.00%, 07/15/52(b)		3,000		2,598,727
Morgan Stanley Mortgage Capital Trust, Series 2017-237P, Class A, 3.40%, 09/13/39(b)		5,400		5,775,216
MSCG Trust, Series 2018-SELF, Class E, (1 mo. LIBOR US + 2.15%), 2.26%, 10/15/37(a)(b)		3,100		3,107,785
Natixis Commercial Mortgage Securities Trust
Series 2017-75B, Class A, 3.86%, 04/10/37(b)		1,850		2,018,294
Series 2018-FL1, Class MCR1, (1 mo. LIBOR US + 2.35%), 2.46%, 06/15/35(a)(b)		598		588,172
Olympic Tower Mortgage Trust
Series 2017-OT, Class A, 3.57%, 05/10/39(b)		4,200		4,457,012

36 2 0 2 1   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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Olympic Tower Mortgage Trust
Series 2017-OT, Class D, 3.95%, 05/10/39(a)(b)		USD                1,080	$	1,056,272
Series 2017-OT, Class E, 3.95%, 05/10/39(a)(b)		498		438,863
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54(b)		3,442		3,474,341
Ready Capital Mortgage Financing LLC, Series 2021-FL5, Class A, (1 mo. LIBOR US + 1.00%), 1.11%, 04/25/38(a)(b)		3,100		3,100,000
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A, (1 mo. LIBOR US + 0.95%), 1.94%, 06/15/33(a)(b)		3,246		3,247,521
SG Commercial Mortgage Securities Trust
Series 2016-C5, Class B, 3.93%, 10/10/48		2,000		2,085,627
Series 2019-PREZ, Class E, 3.48%, 09/15/39(a)(b)		2,000		1,865,979
U.S., Series 2018-USDC, Class E, 4.49%, 05/13/38(a)(b)		1,010		861,387
Velocity Commercial Capital Loan Trust
Series 2019-2, Class M2, 3.39%, 07/25/49(a)(b)		2,859		2,883,689
Series 2019-2, Class M3, 3.48%, 07/25/49(a)(b)		1,126		1,125,032
Series 2019-2, Class M4, 3.99%, 07/25/49(a)(b)		3,259		3,221,604
Wells Fargo Commercial Mortgage Trust
Series 2016-NXS5, Class D, 4.99%, 01/15/59(a)		590		610,790
Series 2017-C39, Class C, 4.12%, 09/15/50		3,000		3,061,138
Series 2017-C39, Class D, 4.35%, 09/15/50(a)(b).		750		645,156
Series 2017-C41, Class B, 4.19%, 11/15/50(a)		2,000		2,135,218
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.85%), 0.96%, 12/13/31(a)(b)		846		832,017
Series 2018-1745, Class A, 3.75%, 06/15/36(a)(b)		5,000		5,455,781
Series 2018-C44, Class A5, 4.21%, 05/15/51		5,198		5,859,474
Series 2018-C44, Class C, 4.83%, 05/15/51(a)		1,484		1,516,871
Series 2018-C44, Class D, 3.00%, 05/15/51(b)		317		276,849
Series 2018-C46, Class A4, 4.15%, 08/15/51		3,740		4,207,806
Series 2019-C49, Class A5, 4.02%, 03/15/52		2,796		3,126,386
Series 2019-C53, Class A3, 2.79%, 10/15/52		1,000		1,021,460
Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.09%), 2.20%, 02/15/37(a)(b)		1,000		939,965
Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 2.85%, 02/15/37(a)(b)		1,600		1,463,928
				425,507,934
Interest Only Collateralized Mortgage Obligations — 0.2%
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 6.72%, 02/25/38(a)(b)		10,916		3,314,494
Interest Only Commercial Mortgage-Backed Securities — 2.1%
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class XD, 1.28%, 02/15/50(a)(b)		10,000		616,400
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2017-SCH, Class XFCP, 0.00%, 11/15/19(a)(b)		95,950		960
Series 2017-SCH, Class XLCP, 0.00%, 11/15/19(a)(b)		56,050		561
BANK
Series 2019-BN22, Class XA, 0.60%, 11/15/62(a)		38,988		1,700,082
Series 2019-BN22, Class XB, 0.15%, 11/15/62(a)		85,561		1,052,400
Series 2020-BN28, Class XB, 0.97%, 03/15/63(a)		29,820		2,415,781

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
BBCMS Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35(a)(b)		USD                12,500	$	150,750
Benchmark Mortgage Trust
Series 2019-B12, Class XA, 1.07%, 08/15/52(a)		38,451		2,400,033
Series 2019-B9, Class XA, 1.04%, 03/15/52(a)		15,908		1,078,876
Series 2020-B17, Class XB, 0.53%, 03/15/53(a)(c)		17,599		702,291
Series 2020-B19, Class XA, 1.78%, 09/15/53(a)		24,018		2,667,694
Series 2021-B23, Class XA, 1.28%, 02/15/54(a)		18,474		1,779,245
BX Commercial Mortgage Trust, Series 2018-IND, Class XCP, 0.00%, 11/15/35(a)(b)		329,623		6,691
CFK Trust, Series 2019-FAX, Class XA, 0.23%, 01/15/39(a)(b)		62,648		1,165,248
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class X, 0.51%, 01/10/36(a)(b)(c)		80,300		1,112,926
Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.65%, 08/15/57(a)		40,950		1,684,581
CSAIL Commercial Mortgage Trust
Series 2019-C16, Class XA, 1.56%, 06/15/52(a)		9,817		980,941
Series 2019-C17, Class XA, 1.37%, 09/15/52(a)		10,031		873,413
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(a)		11,214		548,813
GS Mortgage Securities Corp. II, Series 2005- ROCK, Class X1, 0.21%, 05/03/32(a)(b)		144,016		1,539,560
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.01%, 04/10/47(a)		537		12,802
JPMDB Commercial Mortgage Securities Trust
Series 2016-C4, Class XC, 0.75%, 12/15/49(a)(b)		8,570		298,122
Series 2017-C5, Class XB, 0.31%, 03/15/50(a)		30,000		567,000
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49(a)(b)		17,400		591,720
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.99%, 03/10/50(a)(b)		11,304		331,432
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.21%, 12/15/47(a)(b)		220		8,584
Morgan Stanley Capital I Trust
Series 2017-H1, Class XD, 2.20%, 06/15/50(a)(b)		8,625		929,861
Series 2019-L2, Class XA, 1.03%, 03/15/52(a)		11,252		760,793
Natixis Commercial Mortgage Securities Trust,
Series 2019-NEMA, Class X, 0.51%, 02/15/39(a)(b)		41,770		1,526,134
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39(a)(b)		28,100		617,919
One Market Plaza Trust
Series 2017-1MKT, Class XCP, 0.09%, 02/10/32(a)(b)		110,000		149,600
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32(a)(b)(c)		22,000		220
U.S., Series 2018-USDC, Class X, 0.32%, 05/13/38(a)(b)		103,122		2,376,457
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.49%, 10/15/52(a)		9,183		897,252
Wells Fargo Commercial Mortgage Trust Series 2015-LC20, Class XB, 0.48%, 04/15/50(a)		7,000		124,826

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, 2021 BATS: Series A Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust Series 2016-BNK1, Class XD, 1.26%, 08/15/49(a)(b)		USD                1,000	$	55,910
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 1.03%, 08/15/47(a)		8,410		225,173
				31,951,051
Total Non-Agency Mortgage-Backed Securities — 38.5% (Cost: $595,216,447)				593,568,680
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 1.6%
Fannie Mae
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.11%, 10/25/29(a)		96		97,737
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.00%), 4.11%, 05/25/30(a)		2,000		2,052,483
Freddie Mac
Series 2016-DNA4, Class M3, (1 mo. LIBOR US + 3.80%), 3.91%, 03/25/29(a)		1,891		1,965,027
Series 2017-DNA2, Class M2, (1 mo. LIBOR US + 3.45%), 3.56%, 10/25/29(a)		250		259,070
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.50%), 2.61%, 03/25/30(a)		2,493		2,540,885
Series 2018-DNA1, Class M2, (1 mo. LIBOR US + 1.80%), 1.91%, 07/25/30(a)		192		190,538
Series 2020-DNA6, Class B1, (Secured Overnight Financing Rate (30-day) + 3.00%), 3.02%, 12/25/50(a)(b)		2,000		1,968,869
Series 2021-DNA1, Class B1, (Secured Overnight Financing Rate (30-day) + 2.65%), 2.67%, 01/25/51(a)(b)		7,690		7,401,601
Series 2021-DNA2, Class B1, (Secured Overnight Financing Rate (30-day) + 3.40%), 3.42%, 08/25/33(a)(b)		5,000		4,950,002
Series 2021-HQA1, Class B1, (Secured Overnight Financing Rate (30-day) + 3.00%), 3.02%, 08/25/33(a)(b)		3,439		3,396,092
				24,822,304
Interest Only Commercial Mortgage-Backed Securities — 0.4%
Freddie Mac
Series K105, Class X1, 1.52%, 01/25/30(a)		9,993		1,153,226

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Freddie Mac
Series K116, Class X1, 1.43%, 07/25/30(a)		USD                23,983	$	2,665,042
Ginnie Mae
Series 2016-128, Class IO, 0.87%, 09/16/56(a)		3,856		210,335
Series 2016-36, Class IO, 0.81%, 08/16/57(a)		8,519		386,820
Series 2017-24, Class IO, 0.81%, 12/16/56(a)		30,018		1,422,970
				5,838,393
Total U.S. Government Sponsored Agency Securities — 2.0% (Cost: $32,408,657)				30,660,697
Total Long-Term Investments — 87.7% (Cost: $1,360,031,399)				1,351,852,552
	Shares
Short-Term Securities(h)
Money Market Funds — 13.8%
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.01%		212,015,042		212,015,042
Total Short-Term Securities — 13.8% (Cost: $212,015,042)				212,015,042
Total Investments — 101.5% (Cost: $1,572,046,441)				1,563,867,594
Liabilities in Excess of Other Assets — (1.5)%				(22,714,163	)
Net Assets — 100.0%			$	1,541,153,431

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

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

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

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

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

^(f)  Non-income producing security.

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

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

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

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Schedule of Investments  (continued) March 31, 2021 BATS: Series A Portfolio

Derivative Financial Instruments Outstanding as of Period End

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 Premiun Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.9.BBB-		3.00	%	Monthly	Citigroup Global Markets, Inc.	09/17/58	USD	140	$	15,362		$	4,697		$	10,665
CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC	09/17/58	USD	53		5,816			4,075			1,741
CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC	09/17/58	USD	27		2,963			1,483			1,480
CMBX.NA.6.AAA		0.50		Monthly	Deutsche Bank AG	05/11/63	USD	197		(865	)		36			(901	)
CMBX.NA.6.AAA		0.50		Monthly	Deutsche Bank AG	05/11/63	USD	478		(2,094	)		(327	)		(1,767	)
CMBX.NA.6.BBB-		3.00		Monthly	J.P. Morgan Securities LLC	05/11/63	USD	40		10,772			2,397			8,375
									$	31,954		$	12,361		$	19,593

OTC Credit Default Swaps — Sell Protection

Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency	Counterparty	Termination Date	Credit Rating(a)		Notional Amount (000)(b)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.9.BBB-		3.00	%	Monthly	Deutsche Bank AG	09/17/58		Not Rated	USD	1,213	$	(133,102	)	$	(143,809	)	$	10,707
CMBX.NA.9.BBB-		3.00		Monthly	Morgan Stanley & Co. International PLC	09/17/58		Not Rated	USD	1,000		(109,730	)		(192,193	)		82,463
CMBX.NA.10.BBB-		3.00		Monthly	Deutsche Bank AG	11/17/59		BBB-	USD	1,000		(124,767	)		(82,890	)		(41,877	)
CMBX.NA.10.BBB-		3.00		Monthly	Deutsche Bank AG	11/17/59		BBB-	USD	500		(62,384	)		(49,993	)		(12,391	)
CMBX.NA.6.BBB-		3.00		Monthly	Credit Suisse International	05/11/63		BB-	USD	40		(10,772	)		(2,990	)		(7,782	)
											$	(440,755	)	$	(471,875	)	$	31,120

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

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

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

	Swaps Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swaps		$    12,688	$	(472,202	)		$    115,431		$    (64,718	)

Derivative Financial Instruments Categorized by Risk Exposure

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

	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Swaps — OTC
Unrealized appreciation on OTC swaps;
Swap premiums paid	$	—	$	128,119	$	—	$	—	$	—	$	—	$	128,119
Liabilities — Derivative Financial Instruments
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received	$	—	$	536,920	$	—	$	—	$	—	$	—	$	536,920

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, 2021 BATS: Series A Portfolio

For the year ended March 31, 2021, 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
Swaps	$	—	$	103,167	$	—	$	—	$	—	$	—	$	103,167
Net Change in Unrealized Appreciation (Depreciation) on
Swaps	$	—	$	446,482	$	—	$	—	$	—	$	—	$	446,482

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Credit default swaps
Average notional value — buy protection	$	946,979
Average notional value — sell protection	$	3,503,000

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
Swaps — OTC(a)	$	128,119	$	536,920
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	128,119	$	536,920
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	128,119	$	536,920

^(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 Funds’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets(b)
Citigroup Global Markets, Inc.	$	15,362	$	—		$	—	$	—		$	15,362
Deutsche Bank AG		10,743		(10,743	)		—		—			—
J.P. Morgan Securities LLC		10,772		—			—		—			10,772
Morgan Stanley & Co. International PLC		91,242		(91,242	)		—		—			—
	$	128,119	$	(101,985	)	$	—	$	—		$	26,134
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Pledged		Cash Collateral Pledged(c)			Net Amount of Derivative Liabilities(d)
Credit Suisse International	$	10,772	$	—		$	—	$	—		$	10,772
Deutsche Bank AG		333,955		(10,743	)		—		(323,212	)		—
Morgan Stanley & Co. International PLC		192,193		(91,242	)		—		—			100,951
	$	536,920	$	(101,985	)	$	—	$	(323,212	)	$	111,723

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

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

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

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

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Schedule of Investments  (continued) March 31, 2021 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 investments categorized in the fair value hierarchy. The breakdown of the Fund’s investments 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	$	—	$	677,973,324		$	40,264,618	$	718,237,942
Corporate Bonds		—		289,084			—		289,084
Floating Rate Loan Interests		—		3,413,263			5,682,886		9,096,149
Non-Agency Mortgage-Backed Securities		—		586,354,495			7,214,185		593,568,680
U.S. Government Sponsored Agency Securities		—		30,660,697			—		30,660,697
Short-Term Securities
Money Market Funds		212,015,042		—			—		212,015,042
Unfunded Floating Rate Loan Interests(a)		—		794			—		794
	$	212,015,042	$	1,298,691,657		$	53,161,689	$	1,563,868,388
Derivative Financial Instruments(b)
Assets
Credit Contracts	$	—	$	115,431		$	—	$	115,431
Liabilities
Credit Contracts		—		(64,718	)		—		(64,718	)
	$	—	$	50,713		$	—	$	50,713

^(a)  Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

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

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

	Asset-Backed Securities			Corporate Bonds			Floating-Rate Loan Interest			Non-Agency Mortgage-Backed Securities			Total
Assets
Opening Balance, as of March 31, 2020	$	44,921,384		$	—	(a)	$	16,168,354		$	4,386,738		$	65,476,476
Transfers into Level 3(b)		2,706,831			—			—			2,941,376			5,648,207
Transfers out of Level 3(c)		(15,386,679	)		—			—			(1,069,065	)		(16,455,744	)
Accrued discounts/premiums		49,009			—			—			(133,663	)		(84,654	)
Net realized gain (loss)		68,055			—			4,235			12,025			84,315
Net change in unrealized appreciation (depreciation)(d)(e)		2,789,014			—			5,840			(22,636	)		2,772,218
Purchases		9,873,850			—			437,697			2,505,016			12,816,563
Sales		(4,756,846	)		—			(10,933,240	)		(1,405,606	)		(17,095,692	)
Closing Balance, as of March 31, 2021	$	40,264,618		$	—	(a)	$	5,682,886		$	7,214,185		$	53,161,689
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2021(e)	$	2,789,014		$	—		$	1,909		$	3,013		$	2,793,936

^(a)  Rounds to less than $1.

^(b)  As of March 31, 2020, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2021, 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, 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, 2021 is generally due to investments no longer held or categorized as Level 3 at period end.

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

See notes to financial statements.

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

Schedule of Investments March 31, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Corporate Bonds
Aerospace & Defense — 3.0%
Boeing Co.
1.17%, 02/04/23	USD	525	$	532,039
4.88%, 05/01/25		1,605		1,787,084
2.70%, 02/01/27		200		203,176
5.15%, 05/01/30		660		760,152
3.25%, 02/01/35		194		188,009
3.85%, 11/01/48		165		159,219
3.75%, 02/01/50		280		268,197
5.81%, 05/01/50		180		226,611
5.93%, 05/01/60		130		166,806
General Dynamics Corp., 4.25%, 04/01/40		330		388,458
L3Harris Technologies, Inc.
4.40%, 06/15/28		955		1,083,680
4.40%, 06/15/28		980		1,112,049
2.90%, 12/15/29		332		342,034
1.80%, 01/15/31		220		206,054
Lockheed Martin Corp.
4.07%, 12/15/42		530		612,995
2.80%, 06/15/50		100		94,315
Northrop Grumman Corp.
3.20%, 02/01/27		526		568,553
3.25%, 01/15/28		604		647,935
4.75%, 06/01/43		315		378,390
5.25%, 05/01/50		100		129,591
Northrop Grumman Systems Corp., 7.88%, 03/01/26		1,000		1,290,626
Raytheon Technologies Corp.
3.20%, 03/15/24		1,894		2,024,159
6.70%, 08/01/28		225		289,315
4.13%, 11/16/28		820		923,429
6.05%, 06/01/36		220		295,402
6.13%, 07/15/38		230		311,849
4.50%, 06/01/42		452		539,008
4.15%, 05/15/45		245		270,635
4.35%, 04/15/47		252		286,976
3.13%, 07/01/50		95		92,026
				16,178,772
Air Freight & Logistics — 0.2%
FedEx Corp.
3.25%, 04/01/26		120		129,819
3.10%, 08/05/29		567		594,625
4.10%, 02/01/45		340		367,662
4.55%, 04/01/46		135		152,959
				1,245,065
Airlines — 0.9%
Air Canada Pass-Through Trust, Series 2017-1, Class AA, 3.30%, 01/15/30(a)		111		107,880
American Airlines Pass-Through Trust
Series 2017-1, Class AA, 3.65%, 02/15/29		663		668,561
Series 2019-1, Class B, 3.85%, 02/15/28		381		346,059
British Airways Pass Through Trust, Series 2019-1, Class A, 3.35%, 06/15/29(a)		314		302,569
Delta Air Lines, Inc., 3.80%, 04/19/23		880		898,975
Doric Nimrod Air Alpha Pass-Through Trust,
Series 2013-1, Class A, 5.25%, 05/30/23(a)		312		303,985
U.S. Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 11/15/25		537		527,574
United Airlines Pass-Through Trust
Series 2019-2, Class AA, 2.70%, 05/01/32		217		210,514

Security	Par (000)		Value
Airlines (continued)
United Airlines Pass-Through Trust
Series 2020-1, Class A, 5.88%, 10/15/27	USD	1,010	$	1,119,757
Series 2020-1, Class B, 4.88%, 01/15/26		305		316,437
				4,802,311
Automobiles — 1.4%
Daimler Finance North America LLC, 0.75%, 03/01/24(a)		1,070		1,064,564
Ford Motor Co.
4.75%, 01/15/43		72		72,533
5.29%, 12/08/46		82		86,204
General Motors Co.
5.40%, 10/02/23		40		43,433
6.13%, 10/01/25		160		188,145
6.25%, 10/02/43		580		742,798
5.20%, 04/01/45		174		199,789
Nissan Motor Acceptance Corp.
2.60%, 09/28/22(a)		20		20,488
2.75%, 03/09/28(a)		575		570,322
Nissan Motor Co. Ltd.
3.04%, 09/15/23(a)		1,175		1,229,299
4.35%, 09/17/27(a)		645		701,452
4.81%, 09/17/30(a)		1,040		1,140,658
Volkswagen Group of America Finance LLC
0.75%, 11/23/22(a)		665		666,896
1.25%, 11/24/25(a)		930		918,866
				7,645,447
Banks — 16.5%
AIB Group PLC, 4.75%, 10/12/23(a)		1,650		1,803,313
Banco Santander SA
3.85%, 04/12/23		600		638,029
2.75%, 05/28/25		600		626,898
1.85%, 03/25/26		600		598,851
Bank of America Corp.
4.20%, 08/26/24		2,395		2,641,578
4.00%, 01/22/25		909		995,455
4.45%, 03/03/26		1,689		1,898,464
3.42%, 12/20/28		1,980		2,126,283
3.97%, 03/05/29		212		233,595
2.59%, 04/29/31		1,320		1,317,244
4.08%, 04/23/40		185		204,887
2.68%, 06/19/41		250		234,046
4.33%, 03/15/50		43		49,583
4.08%, 03/20/51		1,715		1,904,177
2.83%, 10/24/51		35		32,133
Series L, 3.95%, 04/21/25		790		866,202
Banque Federative du Credit Mutuel SA, 2.13%, 11/21/22(a)		615		632,022
Barclays PLC
3.65%, 03/16/25		420		451,404
5.20%, 05/12/26		620		700,730
5.09%, 06/20/30		1,600		1,812,146
3.81%, 03/10/42		455		445,735
BNP Paribas SA
4.71%, 01/10/25(a)		1,645		1,808,562
2.82%, 11/19/25(a)		575		605,277
2.22%, 06/09/26(a)		535		548,598
1.32%, 01/13/27(a)		675		660,144
4.38%, 03/01/33(a)		245		266,886
2.59%, 08/12/35(a)		465		437,333
BPCE SA, 2.38%, 01/14/25(a)		1,195		1,234,588
Canadian Imperial Bank of Commerce, 3.10%, 04/02/24		152		161,907

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Schedule of Investments  (continued) March 31, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Banks (continued)
Citigroup, Inc.
5.50%, 09/13/25	USD	232	$	268,905
3.11%, 04/08/26		415		442,997
3.20%, 10/21/26		500		537,289
4.30%, 11/20/26		1,250		1,394,341
1.12%, 01/28/27		450		440,177
4.45%, 09/29/27		1,100		1,241,445
3.89%, 01/10/28		1,205		1,324,516
4.13%, 07/25/28		250		276,656
4.08%, 04/23/29		25		27,813
2.67%, 01/29/31		100		100,473
4.41%, 03/31/31		815		930,088
2.57%, 06/03/31		1,965		1,963,463
4.75%, 05/18/46		220		262,173
Commonwealth Bank of Australia, 3.74%, 09/12/39(a)		290		302,769
Cooperatieve Rabobank UA, 1.34%, 06/24/26(a)		400		396,647
Danske Bank A/S
5.00%, 01/12/22(a)		555		573,615
3.00%, 09/20/22(a)		500		505,027
1.17%, 12/08/23(a)		1,340		1,347,326
Discover Bank, 4.68%, 08/09/28		300		319,980
HSBC Holdings PLC
3.26%, 03/13/23		985		1,009,742
3.80%, 03/11/25		430		464,335
4.25%, 08/18/25		500		549,778
2.63%, 11/07/25		310		323,983
4.30%, 03/08/26		280		313,436
Huntington Bancshares, Inc., 4.00%, 05/15/25		355		393,400
ING Groep NV
1.40%, 07/01/26(a)		505		502,394
1.73%, 04/01/27		350		350,202
Intesa Sanpaolo SpA
3.13%, 07/14/22(a)		1,030		1,058,889
3.38%, 01/12/23(a)		1,200		1,250,434
5.02%, 06/26/24(a)		416		454,401
JPMorgan Chase & Co.
0.56%, 02/16/25		700		694,796
2.01%, 03/13/26		885		910,090
2.08%, 04/22/26		1,460		1,499,514
4.13%, 12/15/26		1,160		1,306,446
3.96%, 01/29/27		345		381,555
1.04%, 02/04/27		750		731,502
3.63%, 12/01/27		1,758		1,910,198
3.78%, 02/01/28		1,170		1,289,553
4.01%, 04/23/29		1,215		1,354,944
3.88%, 07/24/38		765		848,920
3.11%, 04/22/41		330		328,134
2.53%, 11/19/41		860		787,713
4.95%, 06/01/45		350		436,679
Lloyds Banking Group PLC
1.33%, 06/15/23		905		913,727
2.91%, 11/07/23		400		414,440
0.70%, 05/11/24		1,135		1,134,508
4.45%, 05/08/25		300		335,300
4.58%, 12/10/25		1,975		2,205,153
2.44%, 02/05/26		200		207,128
Mitsubishi UFJ Financial Group, Inc.
3.22%, 03/07/22		575		590,188
2.67%, 07/25/22		218		224,204
3.76%, 07/26/23		1,100		1,178,479
2.05%, 07/17/30		850		818,114

Security	Par (000)		Value
Banks (continued)
Natwest Group PLC
3.88%, 09/12/23	USD	390	$	418,227
2.36%, 05/22/24		410		423,009
4.27%, 03/22/25		460		501,800
3.07%, 05/22/28		895		931,281
4.89%, 05/18/29		432		492,152
3.03%, 11/28/35		855		815,738
Nordea Bank Abp, 0.75%, 08/28/25(a)		1,560		1,524,274
PNC Financial Services Group, Inc., 3.45%, 04/23/29		294		317,690
Santander UK Group Holdings PLC
1.09%, 03/15/25		1,330		1,331,077
3.82%, 11/03/28		472		515,340
Santander UK PLC, 5.00%, 11/07/23(a)		617		675,610
Societe Generale SA, 1.49%, 12/14/26(a)		370		363,569
Standard Chartered PLC
1.32%, 10/14/23(a)		510		513,239
3.79%, 05/21/25(a)		650		699,749
2.82%, 01/30/26(a)		834		867,113
Sumitomo Mitsui Financial Group, Inc.
2.35%, 01/15/25		520		539,738
0.95%, 01/12/26		400		389,759
3.54%, 01/17/28		700		757,353
3.04%, 07/16/29		250		259,950
Swedbank AB, 0.85%, 03/18/24(a)		1,300		1,302,983
UniCredit SpA
6.57%, 01/14/22(a)		1,555		1,621,023
3.75%, 04/12/22(a)		1,255		1,291,979
2.57%, 09/22/26(a)		605		607,418
Wells Fargo & Co.
4.13%, 08/15/23		350		378,639
3.58%, 05/22/28		1,810		1,973,381
5.61%, 01/15/44		327		420,638
4.40%, 06/14/46		785		874,530
4.75%, 12/07/46		489		577,162
5.01%, 04/04/51		665		852,823
Westpac Banking Corp., 2.67%, 11/15/35		310		294,159
				88,295,452
Beverages — 1.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%, 02/01/36		1,022		1,197,241
4.90%, 02/01/46		175		209,045
Anheuser-Busch InBev Worldwide, Inc.
4.75%, 01/23/29		934		1,091,424
4.95%, 01/15/42		20		23,892
4.60%, 04/15/48		120		137,374
4.44%, 10/06/48		785		881,682
5.55%, 01/23/49		724		934,257
4.75%, 04/15/58		375		432,239
5.80%, 01/23/59		179		242,761
Fomento Economico Mexicano SAB de CV, 3.50%, 01/16/50		530		525,230
				5,675,145
Biotechnology — 1.9%
AbbVie, Inc.
2.85%, 05/14/23		1,000		1,043,079
3.85%, 06/15/24		1,100		1,197,497
3.80%, 03/15/25		1,215		1,327,436
3.60%, 05/14/25		740		806,175
2.95%, 11/21/26		230		244,877
4.05%, 11/21/39		300		335,882
4.40%, 11/06/42		795		924,022

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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Biotechnology (continued)
AbbVie, Inc.
4.70%, 05/14/45	USD	200	$	236,874
4.45%, 05/14/46		893		1,028,886
4.88%, 11/14/48		605		728,668
4.25%, 11/21/49		150		169,730
Amgen, Inc.
3.13%, 05/01/25		380		408,388
4.56%, 06/15/48		210		250,138
3.38%, 02/21/50		100		99,958
Gilead Sciences, Inc.
4.80%, 04/01/44		104		125,030
4.50%, 02/01/45		373		433,224
4.75%, 03/01/46		271		327,561
4.15%, 03/01/47		225		250,169
				9,937,594
Capital Markets — 4.8%
Bank of New York Mellon Corp., 3.00%, 10/30/28		80		84,931
CME Group, Inc., 5.30%, 09/15/43		14		18,914
Credit Agricole SA, 3.75%, 04/24/23(a)		275		292,316
Credit Suisse AG, 3.63%, 09/09/24		575		623,125
Credit Suisse Group AG
3.80%, 06/09/23		547		580,411
3.75%, 03/26/25		660		711,147
2.59%, 09/11/25(a)		1,565		1,622,869
2.19%, 06/05/26(a)		1,055		1,072,154
4.19%, 04/01/31(a)		765		832,185
Deutsche Bank AG
2.22%, 09/18/24		2,080		2,135,053
1.45%, 04/01/25		690		689,760
2.13%, 11/24/26		385		385,969
Goldman Sachs Group, Inc.
0.67%, 03/08/24		1,300		1,298,980
3.50%, 01/23/25		257		277,342
3.50%, 04/01/25		368		398,696
4.25%, 10/21/25		860		959,933
1.43%, 03/09/27		1,900		1,882,988
3.81%, 04/23/29		195		213,647
2.60%, 02/07/30		500		506,081
1.99%, 01/27/32		530		502,994
4.41%, 04/23/39		179		208,628
5.15%, 05/22/45		320		399,990
Intercontinental Exchange, Inc., 4.25%, 09/21/48		70		77,742
Morgan Stanley
4.88%, 11/01/22		895		954,214
0.53%, 01/25/24		1,000		998,177
2.19%, 04/28/26		1,430		1,477,522
3.63%, 01/20/27		1,270		1,393,509
3.95%, 04/23/27		448		495,746
3.77%, 01/24/29		300		328,122
3.62%, 04/01/31		895		971,741
4.46%, 04/22/39		156		182,496
4.30%, 01/27/45		705		825,963
Northern Trust Corp., 3.95%, 10/30/25		69		76,970
State Street Corp.
2.83%, 03/30/23		660		676,190
3.78%, 12/03/24		390		422,231
UBS Group AG
1.01%, 07/30/24(a)		975		980,669
1.36%, 01/30/27(a)		370		364,614
				25,924,019
Chemicals — 1.2%
Cabot Corp., 4.00%, 07/01/29		88		92,578

Security	Par (000)		Value
Chemicals (continued)
DuPont de Nemours, Inc.
5.32%, 11/15/38	USD	290	$	364,273
5.42%, 11/15/48		115		148,242
Eastman Chemical Co., 4.80%, 09/01/42		135		160,399
LYB International Finance BV, 4.88%, 03/15/44		172		198,688
LYB International Finance III LLC
2.88%, 05/01/25		1,155		1,219,194
4.20%, 10/15/49		146		155,131
NewMarket Corp., 2.70%, 03/18/31		490		478,028
Nutrition & Biosciences, Inc.
1.23%, 10/01/25(a)		2,460		2,417,783
3.47%, 12/01/50(a)		500		490,080
Sherwin-Williams Co.
2.75%, 06/01/22		7		7,157
3.13%, 06/01/24		478		509,183
3.45%, 08/01/25		134		145,576
2.30%, 05/15/30		150		147,731
4.50%, 06/01/47		49		57,243
				6,591,286
Commercial Services & Supplies — 0.4%
GATX Corp., 4.35%, 02/15/24		510		557,964
Republic Services, Inc.
0.88%, 11/15/25		540		528,551
3.95%, 05/15/28		550		613,804
Waste Management, Inc.
1.50%, 03/15/31		260		240,367
2.50%, 11/15/50		130		112,280
				2,052,966
Communications Equipment — 0.3%
Motorola Solutions, Inc.
4.60%, 05/23/29		1,390		1,576,687
2.30%, 11/15/30		200		189,157
				1,765,844
Consumer Finance — 3.0%
Ally Financial, Inc.
1.45%, 10/02/23		345		350,223
5.13%, 09/30/24		17		19,163
8.00%, 11/01/31		74		103,058
American Honda Finance Corp., 1.00%, 09/10/25		1,005		989,588
Capital One Bank USA N.A., 3.38%, 02/15/23		250		262,597
Capital One Financial Corp.
3.75%, 07/28/26		173		187,959
3.80%, 01/31/28		425		467,135
Ford Motor Credit Co. LLC
3.34%, 03/28/22		855		866,765
5.11%, 05/03/29		320		343,504
General Motors Financial Co., Inc.
3.45%, 01/14/22		545		555,940
3.15%, 06/30/22		95		97,674
5.20%, 03/20/23		2,235		2,423,835
5.10%, 01/17/24		81		89,576
2.90%, 02/26/25		1,287		1,349,404
4.35%, 04/09/25		1,230		1,349,088
2.75%, 06/20/25		1,100		1,148,293
Hyundai Capital America
0.80%, 01/08/24(a)		3,050		3,026,515
1.80%, 10/15/25(a)		310		309,129
Synchrony Financial
2.85%, 07/25/22		215		220,784
4.38%, 03/19/24		200		218,039

44 2 0 2 1   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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Consumer Finance (continued)
Toyota Motor Credit Corp.
1.15%, 08/13/27	USD	940	$	910,644
2.15%, 02/13/30		635		630,667
				15,919,580
Containers & Packaging — 0.3%
Berry Global, Inc., 1.57%, 01/15/26(a)		1,175		1,156,459
International Paper Co.
4.40%, 08/15/47		140		163,823
4.35%, 08/15/48		200		231,157
				1,551,439
Diversified Financial Services — 1.3%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
4.13%, 07/03/23		930		986,607
4.50%, 09/15/23		1,100		1,183,171
1.75%, 01/30/26		590		573,046
4.45%, 04/03/26		399		431,980
3.65%, 07/21/27		650		682,062
GE Capital Funding LLC
3.45%, 05/15/25(a)		1,240		1,340,664
4.40%, 05/15/30(a)		650		735,899
GE Capital International Funding Co., 4.42%, 11/15/35		1,081		1,237,485
				7,170,914
Diversified Telecommunication Services — 3.7%
AT&T Inc.
1.70%, 03/25/26		1,325		1,324,535
4.35%, 03/01/29		1,450		1,640,209
2.55%, 12/01/33(a)		390		370,262
4.50%, 05/15/35		1,935		2,182,419
5.25%, 03/01/37		400		482,591
5.35%, 09/01/40		384		474,918
3.50%, 06/01/41		645		636,254
5.15%, 03/15/42		400		483,121
4.90%, 06/15/42		250		291,746
4.75%, 05/15/46		583		670,747
3.80%, 12/01/57(a)		255		242,604
NTT Finance Corp., 1.16%, 04/03/26(a)		1,495		1,475,259
Telefonica Emisiones SAU
4.10%, 03/08/27		300		335,443
4.67%, 03/06/38		255		288,005
4.90%, 03/06/48		315		357,388
Verizon Communications, Inc.
3.38%, 02/15/25		459		497,862
1.45%, 03/20/26		235		235,019
3.88%, 02/08/29		250		278,112
4.02%, 12/03/29		500		559,276
1.50%, 09/18/30		810		743,671
2.55%, 03/21/31		260		259,764
4.50%, 08/10/33		550		638,836
4.27%, 01/15/36		1,770		2,000,602
5.25%, 03/16/37		745		939,202
4.81%, 03/15/39		380		454,773
2.65%, 11/20/40		650		594,003
3.40%, 03/22/41		290		294,404
3.85%, 11/01/42		950		1,019,381
3.55%, 03/22/51		240		239,663
				20,010,069
Electric Utilities — 6.9%
AEP Transmission Co. LLC, 3.80%, 06/15/49		90		97,425
AES Corp.
1.38%, 01/15/26(a)		980		955,150

Security	Par (000)		Value
Electric Utilities (continued)
AES Corp.
2.45%, 01/15/31(a)	USD	620	$	592,771
American Transmission Systems, Inc., 5.25%, 01/15/22(a)		400		412,513
Baltimore Gas & Electric Co.
3.50%, 08/15/46		200		204,218
3.20%, 09/15/49		250		242,754
2.90%, 06/15/50		20		18,493
DTE Electric Co.
3.70%, 03/15/45		143		151,224
3.95%, 03/01/49		200		223,550
Series A, 4.05%, 05/15/48		186		210,710
Duke Energy Carolinas LLC
3.75%, 06/01/45		420		449,183
3.95%, 03/15/48		200		219,391
3.20%, 08/15/49		681		667,829
Duke Energy Corp.
0.90%, 09/15/25		465		454,913
2.65%, 09/01/26		46		48,131
3.40%, 06/15/29		475		507,834
2.45%, 06/01/30		405		399,638
Duke Energy Florida LLC
2.50%, 12/01/29		1,335		1,361,412
4.20%, 07/15/48		460		526,730
Duke Energy Progress LLC
3.70%, 09/01/28		690		764,203
6.30%, 04/01/38		48		66,576
4.10%, 03/15/43		100		111,723
4.15%, 12/01/44		10		11,311
3.70%, 10/15/46		70		73,671
3.60%, 09/15/47		400		417,191
Entergy Arkansas LLC, 3.70%, 06/01/24		388		421,090
Entergy Corp.
0.90%, 09/15/25		925		903,274
2.80%, 06/15/30		275		276,912
Exelon Corp.
2.45%, 04/15/21		2,000		2,001,120
4.05%, 04/15/30		280		311,998
4.70%, 04/15/50		75		89,835
FirstEnergy Corp.
2.65%, 03/01/30		550		523,019
Series A, 3.35%, 07/15/22		970		984,550
Series B, 4.40%, 07/15/27		150		161,250
Series C, 7.38%, 11/15/31		284		379,768
FirstEnergy Transmission LLC, 4.35%, 01/15/25(a)		900		975,599
Florida Power & Light Co., 5.95%, 02/01/38		800		1,090,086
Interstate Power & Light Co., 3.25%, 12/01/24		350		377,762
Kentucky Utilities Co., 5.13%, 11/01/40		105		128,761
MidAmerican Energy Co.
3.65%, 04/15/29		700		776,491
4.25%, 07/15/49		675		792,769
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(a)		525		568,846
NextEra Energy Capital Holdings, Inc.
2.75%, 05/01/25		135		142,660
3.55%, 05/01/27		115		126,215
2.75%, 11/01/29		380		389,415
Northern States Power Co., 2.60%, 06/01/51		300		268,643
NRG Energy, Inc., 2.45%, 12/02/27(a)		580		576,501
Ohio Power Co.
1.63%, 01/15/31		165		153,756
6.60%, 03/01/33		675		902,428

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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Electric Utilities (continued)
Ohio Power Co.
4.00%, 06/01/49	USD	225	$	251,246
Oncor Electric Delivery Co. LLC
3.70%, 11/15/28		370		410,350
5.30%, 06/01/42		243		313,403
3.75%, 04/01/45		350		375,950
4.10%, 11/15/48		70		79,339
3.80%, 06/01/49		200		217,442
3.70%, 05/15/50		210		225,632
5.35%, 10/01/52(a)		417		564,958
Pacific Gas & Electric Co.
(3 mo. LIBOR US + 1.38%), 1.57%, 11/15/21(b)		1,685		1,688,221
1.37%, 03/10/23		995		995,288
4.25%, 08/01/23		250		266,693
3.45%, 07/01/25		975		1,031,817
3.30%, 12/01/27		965		1,007,792
4.45%, 04/15/42		345		340,478
4.00%, 12/01/46		136		126,196
4.95%, 07/01/50		509		523,097
PPL Electric Utilities Corp., 3.95%, 06/01/47		130		143,255
Progress Energy, Inc.
3.15%, 04/01/22		960		979,093
7.75%, 03/01/31		400		559,421
Public Service Co. of Colorado, 2.70%, 01/15/51		516		466,828
Southern California Edison Co.
1.10%, 04/01/24		1,135		1,134,984
2.25%, 06/01/30		265		256,546
4.00%, 04/01/47		148		152,457
2.95%, 02/01/51		175		153,636
Series B, 4.88%, 03/01/49		222		257,704
Series E, 3.70%, 08/01/25		400		436,858
Tampa Electric Co.
4.30%, 06/15/48		182		205,539
3.45%, 03/15/51		170		171,595
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(a)		357		383,069
Wisconsin Electric Power Co.
2.05%, 12/15/24		491		513,078
4.30%, 10/15/48		100		117,078
				36,860,335
Electrical Equipment — 0.1%
Carrier Global Corp., 2.24%, 02/15/25		360		372,761
Energy Equipment & Services — 0.2%
Halliburton Co.
3.80%, 11/15/25		78		85,780
2.92%, 03/01/30		810		808,403
				894,183
Equity Real Estate Investment Trusts (REITs) — 3.4%
Alexandria Real Estate Equities, Inc.
3.80%, 04/15/26		365		402,772
2.75%, 12/15/29		317		323,381
4.90%, 12/15/30		735		868,234
2.00%, 05/18/32		45		41,804
1.88%, 02/01/33		355		322,767
4.85%, 04/15/49		165		197,500
American Tower Corp.
2.25%, 01/15/22		965		978,475
3.50%, 01/31/23		1,130		1,189,016
5.00%, 02/15/24		2,290		2,555,212
3.38%, 05/15/24		23		24,659
2.75%, 01/15/27		1,015		1,059,498

Security	Par (000)		Value
Equity Real Estate Investment Trusts (REITs) (continued)
American Tower Corp.
3.95%, 03/15/29	USD	215	$	236,685
3.80%, 08/15/29		200		217,751
2.70%, 04/15/31		900		901,017
Boston Properties LP, 4.50%, 12/01/28		500		566,280
Camden Property Trust, 2.80%, 05/15/30		120		123,098
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23		720		766,610
Crown Castle International Corp.
1.35%, 07/15/25		460		459,037
3.65%, 09/01/27		356		387,946
3.80%, 02/15/28		250		272,346
4.30%, 02/15/29		305		341,878
3.10%, 11/15/29		460		474,811
3.30%, 07/01/30		115		120,376
2.25%, 01/15/31		350		336,402
4.15%, 07/01/50		30		32,215
Duke Realty LP, 2.88%, 11/15/29		192		197,036
Equinix, Inc.
2.90%, 11/18/26		971		1,024,082
1.80%, 07/15/27		622		610,557
3.00%, 07/15/50		100		88,132
2.95%, 09/15/51		195		171,671
ERP Operating LP, 2.50%, 02/15/30		350		351,224
Healthpeak Properties, Inc., 3.00%, 01/15/30		279		287,798
Mid-America Apartments LP
3.60%, 06/01/27		23		25,025
1.70%, 02/15/31		120		110,242
Prologis LP, 2.25%, 04/15/30		360		355,960
Realty Income Corp., 3.25%, 06/15/29		319		337,674
Regency Centers LP, 4.13%, 03/15/28		250		273,262
UDR, Inc.
3.00%, 08/15/31		64		65,067
2.10%, 08/01/32		70		65,039
Ventas Realty LP, 3.00%, 01/15/30		455		463,981
VEREIT Operating Partnership LP
2.20%, 06/15/28		225		220,793
2.85%, 12/15/32		120		116,214
				17,963,527
Food & Staples Retailing — 2.2%
7-Eleven, Inc.
(3 mo. LIBOR US + 0.45%), 0.65%, 08/10/22(a)(b)		1,165		1,166,195
0.80%, 02/10/24(a)		925		921,943
0.95%, 02/10/26(a)		755		735,445
CVS Health Corp.
1.30%, 08/21/27		585		561,976
4.30%, 03/25/28		1,171		1,329,766
1.88%, 02/28/31		1,465		1,376,047
4.78%, 03/25/38		560		660,904
2.70%, 08/21/40		165		151,952
5.30%, 12/05/43		200		248,233
5.13%, 07/20/45		496		607,229
5.05%, 03/25/48		822		1,009,120
Kroger Co., 4.45%, 02/01/47		235		264,944
Walmart, Inc.
3.55%, 06/26/25		273		300,993
3.70%, 06/26/28		1,615		1,816,372
3.63%, 12/15/47		505		555,261
				11,706,380
Food Products — 0.3%
Cargill, Inc., 1.38%, 07/23/23(a)		495		505,170

46 2 0 2 1   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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Food Products (continued)
General Mills, Inc.
4.20%, 04/17/28	USD	93	$	105,037
2.88%, 04/15/30		40		41,294
3.00%, 02/01/51(a)		2		1,870
Kraft Heinz Foods Co.
3.00%, 06/01/26		657		691,391
4.88%, 10/01/49		385		431,821
				1,776,583
Health Care Equipment & Supplies — 1.0%
Abbott Laboratories
3.75%, 11/30/26		566		635,313
4.75%, 11/30/36		385		476,409
4.75%, 04/15/43		117		149,198
Becton Dickinson and Co.
3.73%, 12/15/24		1,305		1,425,484
3.70%, 06/06/27		1,794		1,978,816
4.67%, 06/06/47		150		179,057
3.79%, 05/20/50		150		159,367
Medtronic, Inc., 4.63%, 03/15/45		230		290,047
				5,293,691
Health Care Providers & Services — 2.5%
Aetna, Inc.
2.80%, 06/15/23		350		365,088
3.50%, 11/15/24		656		708,481
3.88%, 08/15/47		200		209,360
Anthem, Inc.
2.38%, 01/15/25		35		36,579
2.25%, 05/15/30		294		289,345
4.65%, 01/15/43		47		55,853
5.10%, 01/15/44		318		394,985
3.13%, 05/15/50		290		276,731
Centene Corp.
4.25%, 12/15/27		315		331,341
3.38%, 02/15/30		220		222,061
3.00%, 10/15/30		315		314,477
2.50%, 03/01/31		415		396,333
Cigna Corp.
4.13%, 11/15/25		1,290		1,438,355
4.80%, 08/15/38		200		239,040
4.90%, 12/15/48		220		269,469
3.40%, 03/15/50		205		201,583
CommonSpirit Health
3.35%, 10/01/29		1,000		1,066,979
2.78%, 10/01/30		139		140,641
3.91%, 10/01/50		390		397,295
HCA, Inc.
5.00%, 03/15/24		785		873,433
5.25%, 06/15/26		430		494,224
5.50%, 06/15/47		625		777,371
5.25%, 06/15/49		360		440,521
Sutter Health
2.29%, 08/15/30		388		381,142
3.36%, 08/15/50		177		175,153
UnitedHealth Group, Inc.
3.75%, 07/15/25		770		852,774
3.50%, 08/15/39		104		111,950
2.75%, 05/15/40		215		211,396
4.63%, 11/15/41		645		797,467
4.75%, 07/15/45		382		481,375
4.25%, 06/15/48		40		47,686

Security	Par (000)		Value
Health Care Providers & Services (continued)
UnitedHealth Group, Inc.
3.70%, 08/15/49	USD	150	$	162,991
3.88%, 08/15/59		41		45,786
				13,207,265
Hotels, Restaurants & Leisure — 0.0%
McDonald’s Corp., 4.88%, 12/09/45		203		245,740
Household Durables — 0.4%
Lennar Corp., 4.88%, 12/15/23		880		961,250
Panasonic Corp., 2.54%, 07/19/22(a)		1,220		1,248,564
				2,209,814
Industrial Conglomerates — 0.8%
General Electric Co.
2.70%, 10/09/22		380		392,940
3.45%, 05/01/27		305		331,216
3.63%, 05/01/30		500		538,332
6.75%, 03/15/32		208		278,588
6.15%, 08/07/37		5		6,569
4.13%, 10/09/42		10		10,723
4.35%, 05/01/50		390		432,879
Honeywell International, Inc.
2.70%, 08/15/29		315		328,408
1.95%, 06/01/30		250		246,747
Roper Technologies, Inc.
1.00%, 09/15/25		255		250,633
1.75%, 02/15/31		175		162,504
Siemens Financieringsmaatschappij NV
0.65%, 03/11/24(a)		820		819,670
2.88%, 03/11/41(a)		545		525,000
				4,324,209
Insurance — 1.4%
Aflac, Inc., 1.13%, 03/15/26		1,300		1,289,488
Allstate Corp., Series B, 5.75%, 08/15/53		788		833,310
American International Group, Inc.
4.50%, 07/16/44		478		541,199
4.80%, 07/10/45		317		374,644
Aon PLC
4.00%, 11/27/23		1,760		1,895,258
3.50%, 06/14/24		30		32,232
4.60%, 06/14/44		150		178,438
Hartford Financial Services Group, Inc., 4.30%, 04/15/43		115		129,320
Marsh & McLennan Cos., Inc.
3.75%, 03/14/26		600		661,516
2.25%, 11/15/30		265		260,195
Prudential Financial, Inc.
3.94%, 12/07/49		100		109,472
4.35%, 02/25/50		425		491,916
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39(a)		90		129,885
Travelers Cos., Inc.
4.30%, 08/25/45		216		250,732
2.55%, 04/27/50		40		35,752
				7,213,357
Interactive Media & Services — 0.1%
Alphabet, Inc.
1.90%, 08/15/40		510		440,613
2.05%, 08/15/50		230		190,195
				630,808

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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Internet & Direct Marketing Retail — 1.0%
Alibaba Group Holding Ltd.
4.20%, 12/06/47	USD	200	$	219,317
3.15%, 02/09/51		535		497,967
Amazon.com, Inc.
3.15%, 08/22/27		1,705		1,865,564
3.88%, 08/22/37		100		114,578
4.05%, 08/22/47		225		263,337
2.50%, 06/03/50		250		223,610
2.70%, 06/03/60		150		133,045
Booking Holdings, Inc., 4.10%, 04/13/25		5		5,571
Expedia Group, Inc.
3.60%, 12/15/23(a)		1,220		1,298,511
6.25%, 05/01/25(a)		104		120,298
3.25%, 02/15/30		385		387,482
2.95%, 03/15/31(a)		95		93,699
				5,222,979
IT Services — 1.5%
Fidelity National Information Services, Inc., 3.10%, 03/01/41		105		103,141
Fiserv, Inc.
3.80%, 10/01/23		1,100		1,182,580
2.75%, 07/01/24		170		179,642
4.40%, 07/01/49		156		180,015
Global Payments, Inc.
1.20%, 03/01/26		1,220		1,200,996
3.20%, 08/15/29		295		310,697
2.90%, 05/15/30		350		357,293
4.15%, 08/15/49		500		545,586
International Business Machines Corp.
4.15%, 05/15/39		376		425,974
4.00%, 06/20/42		5		5,624
4.25%, 05/15/49		670		771,255
Mastercard, Inc.
1.90%, 03/15/31		265		260,477
3.65%, 06/01/49		30		32,744
3.85%, 03/26/50		96		108,782
PayPal Holdings, Inc.
1.65%, 06/01/25		1,935		1,970,610
3.25%, 06/01/50		295		293,513
Visa, Inc., 3.65%, 09/15/47		30		33,162
				7,962,091
Machinery — 0.2%
Deere & Co.
2.75%, 04/15/25		70		74,505
3.75%, 04/15/50		135		151,780
Otis Worldwide Corp.
2.57%, 02/15/30		108		108,777
3.11%, 02/15/40		153		150,622
PACCAR Financial Corp., 2.65%, 04/06/23		470		492,214
				977,898
Media — 2.8%
Charter Communications Operating LLC/Charter Communications Operating Capital
6.38%, 10/23/35		255		330,223
6.48%, 10/23/45		1,260		1,640,534
5.13%, 07/01/49		8		9,001
4.80%, 03/01/50		925		992,262
3.70%, 04/01/51		300		280,591
3.85%, 04/01/61		680		623,390
Comcast Corp. 3.95%, 10/15/25		410		458,027

Security	Par (000)		Value
Media (continued)
Comcast Corp.
4.15%, 10/15/28	USD	635	$	726,715
4.25%, 01/15/33		620		715,862
4.60%, 10/15/38		428		516,634
3.25%, 11/01/39		280		288,440
3.75%, 04/01/40		1,095		1,201,439
4.65%, 07/15/42		30		36,252
4.50%, 01/15/43		125		148,708
4.60%, 08/15/45		254		307,081
3.40%, 07/15/46		490		506,684
3.97%, 11/01/47		314		350,636
4.00%, 03/01/48		430		480,572
4.00%, 11/01/49		600		673,188
4.95%, 10/15/58		275		359,799
2.65%, 08/15/62		200		169,691
Cox Communications, Inc., 3.25%, 12/15/22(a)		105		109,763
Discovery Communications LLC
2.95%, 03/20/23		182		190,148
3.80%, 03/13/24		500		538,465
5.20%, 09/20/47		104		123,299
Fox Corp., 3.05%, 04/07/25		125		132,952
Grupo Televisa SAB, 6.63%, 01/15/40		405		521,944
Interpublic Group of Cos., Inc.
3.75%, 10/01/21		85		86,420
4.75%, 03/30/30		3		3,470
3.38%, 03/01/41		245		238,118
NBCUniversal Media LLC, 4.45%, 01/15/43		130		153,537
Time Warner Cable LLC, 4.50%, 09/15/42		137		146,427
ViacomCBS, Inc.
3.88%, 04/01/24		225		242,335
4.38%, 03/15/43		522		563,272
5.85%, 09/01/43		178		227,343
Walt Disney Co.
3.50%, 05/13/40		216		228,396
4.70%, 03/23/50		51		63,912
3.60%, 01/13/51		300		319,204
				14,704,734
Metals & Mining — 0.3%
BHP Billiton Finance USA Ltd., 5.00%, 09/30/43		168		217,294
Glencore Funding LLC, 4.13%, 05/30/23(a)		50		53,469
Newmont Corp.
2.80%, 10/01/29		80		82,218
2.25%, 10/01/30		300		292,241
Nucor Corp.
2.00%, 06/01/25		150		153,885
2.98%, 12/15/55(a)		13		11,753
Southern Copper Corp., 5.88%, 04/23/45		125		163,323
Steel Dynamics, Inc.
2.40%, 06/15/25		70		72,958
1.65%, 10/15/27		380		372,050
3.25%, 10/15/50		180		167,969
				1,587,160
Multiline Retail — 0.0%
Target Corp., 2.25%, 04/15/25		13		13,620
Multi-Utilities — 1.9%
Alliant Energy Finance LLC, 3.75%, 06/15/23(a)		510		543,344
CenterPoint Energy Resources Corp., 1.75%, 10/01/30		315		289,202
CMS Energy Corp., 3.00%, 05/15/26		310		328,873
Consumers Energy Co., 2.50%, 05/01/60		425		352,898
Dominion Energy, Inc. 3.90%, 10/01/25		650		714,963

48 2 0 2 1   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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Multi-Utilities (continued)
Dominion Energy, Inc. 3.38%, 04/01/30	USD	200	$	212,944
Eastern Energy Gas Holdings LLC, 4.60%, 12/15/44		100		111,696
NiSource, Inc.
0.95%, 08/15/25		250		245,244
3.60%, 05/01/30		175		189,676
5.25%, 02/15/43		55		67,845
4.38%, 05/15/47		364		407,901
ONE Gas, Inc., 1.10%, 03/11/24		1,300		1,299,630
Piedmont Natural Gas Co., Inc., 3.35%, 06/01/50		50		48,607
Sempra Energy, 3.40%, 02/01/28		2,125		2,278,930
Virginia Electric & Power Co.
4.00%, 01/15/43		260		288,651
4.60%, 12/01/48		510		626,463
3.30%, 12/01/49		661		657,394
2.45%, 12/15/50		745		636,454
Series A, 2.88%, 07/15/29		180		187,476
Series B, 6.00%, 01/15/36		626		837,657
				10,325,848
Oil, Gas & Consumable Fuels — 9.4%
BP Capital Markets America, Inc.
3.19%, 04/06/25		560		602,589
3.59%, 04/14/27		250		274,039
3.94%, 09/21/28		46		51,166
4.23%, 11/06/28		644		730,617
1.75%, 08/10/30		245		231,421
2.94%, 06/04/51		95		84,729
3.38%, 02/08/61		55		50,976
BP Capital Markets PLC, 3.28%, 09/19/27		117		126,364
Cameron LNG LLC, 3.30%, 01/15/35(a)		420		431,615
Cheniere Corpus Christi Holdings LLC, 5.88%, 03/31/25		2,010		2,290,516
Chevron Corp., 1.55%, 05/11/25		550		561,222
Chevron U.S.A., Inc.
5.05%, 11/15/44		88		111,626
4.95%, 08/15/47		266		334,435
4.20%, 10/15/49		114		129,820
Cimarex Energy Co., 4.38%, 06/01/24		310		337,146
ConocoPhillips
3.75%, 10/01/27(a)		635		701,648
4.30%, 08/15/28(a)		293		332,136
2.40%, 02/15/31(a)		80		78,936
4.88%, 10/01/47(a)		118		143,359
4.85%, 08/15/48(a)		180		218,404
Devon Energy Corp.
5.60%, 07/15/41		471		543,383
4.75%, 05/15/42		225		238,705
Diamondback Energy, Inc.
2.88%, 12/01/24		1,965		2,072,170
4.75%, 05/31/25		20		22,350
3.50%, 12/01/29		1,150		1,193,526
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22		485		515,266
Enbridge, Inc.
(Secured Overnight Financing Rate + 0.40%), 0.41%, 02/17/23(b)		340		340,517
2.50%, 01/15/25		815		849,427
4.50%, 06/10/44		635		687,054
6.25%, 03/01/78		780		816,584
Energy Transfer Operating LP
3.60%, 02/01/23		389		405,108
4.90%, 02/01/24		730		796,623
4.50%, 04/15/24		550		599,808

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Energy Transfer Operating LP
2.90%, 05/15/25	USD	860	$	894,932
4.20%, 04/15/27		394		429,370
6.50%, 02/01/42		210		250,432
6.13%, 12/15/45		250		287,585
5.30%, 04/15/47		84		88,652
6.00%, 06/15/48		82		94,327
6.25%, 04/15/49		470		551,689
Series 5Y, 4.20%, 09/15/23		1,186		1,270,061
Energy Transfer Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22		1,691		1,776,024
Enterprise Products Operating LLC
5.95%, 02/01/41		196		250,973
5.70%, 02/15/42		114		145,751
4.45%, 02/15/43		1,044		1,136,144
4.25%, 02/15/48		229		243,239
4.80%, 02/01/49		406		465,468
4.20%, 01/31/50		250		266,166
EOG Resources, Inc., 4.38%, 04/15/30		225		258,304
Hess Corp.
4.30%, 04/01/27		600		653,904
5.60%, 02/15/41		617		711,770
5.80%, 04/01/47		396		472,202
HollyFrontier Corp., 2.63%, 10/01/23		640		659,452
Kinder Morgan Energy Partners LP
7.30%, 08/15/33		800		1,089,386
6.95%, 01/15/38		100		134,164
5.00%, 03/01/43		150		169,050
Kinder Morgan, Inc.
3.15%, 01/15/23		2,295		2,396,304
5.55%, 06/01/45		150		179,372
5.05%, 02/15/46		475		536,944
3.60%, 02/15/51		300		279,526
Marathon Oil Corp.
2.80%, 11/01/22		474		486,187
4.40%, 07/15/27		1,484		1,633,615
Marathon Petroleum Corp.
4.50%, 05/01/23		1,465		1,571,264
4.75%, 09/15/44		151		167,481
MPLX LP
3.50%, 12/01/22		70		73,043
1.75%, 03/01/26		955		956,458
4.13%, 03/01/27		640		710,479
4.25%, 12/01/27		70		78,692
Occidental Petroleum Corp.
2.70%, 08/15/22		284		284,106
2.90%, 08/15/24		880		870,355
4.63%, 06/15/45		30		26,253
Ovintiv Exploration, Inc., 5.38%, 01/01/26		335		369,179
Ovintiv, Inc., 6.63%, 08/15/37		70		84,179
Pioneer Natural Resources Co.
1.13%, 01/15/26		255		250,352
1.90%, 08/15/30		470		436,190
2.15%, 01/15/31		195		184,356
Sabine Pass Liquefaction LLC
5.75%, 05/15/24		1,110		1,252,465
4.20%, 03/15/28		225		246,843
4.50%, 05/15/30		450		504,985
Spectra Energy Partners LP, 3.38%, 10/15/26		880		946,371
Sunoco Logistics Partners Operations LP
5.35%, 05/15/45		902		949,333
5.40%, 10/01/47		880		950,217

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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Texas Eastern Transmission LP, 2.80%, 10/15/22(a)	USD	750	$	768,734
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28		265		294,222
Valero Energy Corp.
2.70%, 04/15/23		820		851,244
1.20%, 03/15/24		1,000		1,003,013
2.85%, 04/15/25		160		167,271
Williams Cos., Inc., 4.50%, 11/15/23		1,300		1,415,685
				50,127,048
Paper & Forest Products — 0.1%
Celulosa Arauco y Constitucion SA, 5.50%, 04/30/49(a)		270		312,734
Pharmaceuticals — 1.5%
Bayer U.S. Finance II LLC
3.88%, 12/15/23(a)		1,025		1,104,638
4.25%, 12/15/25(a)		215		239,266
Bristol-Myers Squibb Co., 2.90%, 07/26/24		160		170,953
Johnson & Johnson, 3.55%, 03/01/36		302		337,244
Merck & Co., Inc.
1.45%, 06/24/30		58		55,256
3.70%, 02/10/45		19		20,919
Pfizer, Inc.
3.90%, 03/15/39		38		43,205
2.55%, 05/28/40		150		142,978
2.70%, 05/28/50		605		566,476
Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23		1,445		1,518,348
Takeda Pharmaceutical Co. Ltd.
4.40%, 11/26/23		900		983,680
5.00%, 11/26/28		625		739,668
2.05%, 03/31/30		800		771,030
3.18%, 07/09/50		435		415,467
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		514		517,212
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 07/21/21		108		108,067
Wyeth LLC, 5.95%, 04/01/37		293		407,653
				8,142,060
Road & Rail — 1.5%
Burlington Northern Santa Fe LLC
5.75%, 05/01/40		350		468,487
4.40%, 03/15/42		235		274,711
4.90%, 04/01/44		415		521,451
Canadian Pacific Railway Co., 2.05%, 03/05/30		125		120,760
CSX Corp.
3.25%, 06/01/27		195		212,043
3.80%, 03/01/28		480		532,725
4.25%, 03/15/29		135		153,323
4.30%, 03/01/48		105		119,685
4.75%, 11/15/48		71		85,341
3.80%, 04/15/50		20		21,222
Norfolk Southern Corp.
3.80%, 08/01/28		525		584,015
3.94%, 11/01/47		170		184,172
4.15%, 02/28/48		140		156,010
3.40%, 11/01/49		100		99,413
3.05%, 05/15/50		320		303,452
4.05%, 08/15/52		36		39,690
Penske Truck Leasing Co. LP/PTL Finance Corp.
3.45%, 07/01/24(a)		60		64,658
4.00%, 07/15/25(a)		2,045		2,244,930
Ryder System, Inc., 2.80%, 03/01/22		70		71,382

Security	Par (000)		Value
Road & Rail (continued)
Union Pacific Corp.
4.05%, 03/01/46	USD	105	$	116,745
4.50%, 09/10/48		215		252,833
3.80%, 10/01/51		164		176,065
3.95%, 08/15/59		159		171,181
3.84%, 03/20/60		814		865,117
2.97%, 09/16/62(a)		100		89,035
				7,928,446
Semiconductors & Semiconductor Equipment — 2.1%
Analog Devices, Inc.
2.50%, 12/05/21		340		344,333
2.95%, 04/01/25		155		164,726
Applied Materials, Inc., 3.30%, 04/01/27		705		767,133
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27		1,078		1,170,606
Broadcom, Inc.
3.15%, 11/15/25		128		136,427
3.46%, 09/15/26		259		277,767
4.75%, 04/15/29		1,315		1,478,559
3.42%, 04/15/33(a)		1,592		1,596,559
3.75%, 02/15/51(a)		185		176,900
Intel Corp., 4.75%, 03/25/50		375		470,060
KLA Corp.
4.65%, 11/01/24		40		44,697
4.10%, 03/15/29		939		1,055,660
5.00%, 03/15/49		60		75,481
3.30%, 03/01/50		595		571,492
Lam Research Corp., 3.75%, 03/15/26		890		986,473
NVIDIA Corp., 3.50%, 04/01/40		340		365,730
NXP BV/NXP Funding LLC, 5.55%, 12/01/28(a)		70		83,861
NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 06/18/29(a)		901		1,007,704
QUALCOMM, Inc.
4.30%, 05/20/47		365		429,694
3.25%, 05/20/50		100		101,478
				11,305,340
Software — 1.5%
Microsoft Corp.
3.45%, 08/08/36		143		158,482
2.53%, 06/01/50		1,580		1,438,706
2.92%, 03/17/52		904		890,487
Oracle Corp.
2.95%, 04/01/30		1,180		1,216,752
3.85%, 07/15/36		114		121,242
3.60%, 04/01/40		250		251,080
5.38%, 07/15/40		800		981,202
3.65%, 03/25/41		408		412,869
4.50%, 07/08/44		300		331,216
4.00%, 07/15/46		172		177,073
4.00%, 11/15/47		1,006		1,038,898
3.60%, 04/01/50		620		600,521
3.95%, 03/25/51		317		326,784
3.85%, 04/01/60		250		245,306
				8,190,618
Specialty Retail — 0.5%
Home Depot, Inc.
4.40%, 03/15/45		215		258,143
4.25%, 04/01/46		335		394,230
3.90%, 06/15/47		140		157,345
4.50%, 12/06/48		240		293,598
3.13%, 12/15/49		150		147,402

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Schedule of Investments  (continued) March 31, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Specialty Retail (continued)
Home Depot, Inc.
3.35%, 04/15/50	USD	200	$	207,424
Lowe’s Cos., Inc.
3.70%, 04/15/46		485		506,388
4.55%, 04/05/49		199		233,563
3.00%, 10/15/50		570		531,650
				2,729,743
Technology Hardware, Storage & Peripherals — 1.1%
Apple Inc.
2.20%, 09/11/29		25		25,332
3.85%, 05/04/43		481		544,014
4.38%, 05/13/45		775		930,793
4.65%, 02/23/46		400		497,362
3.85%, 08/04/46		730		818,380
3.75%, 09/12/47		200		221,216
2.65%, 02/08/51		515		470,597
Dell International LLC/EMC Corp., 8.35%, 07/15/46(a)		480		730,268
HP, Inc., 2.20%, 06/17/25		1,555		1,604,967
				5,842,929
Tobacco — 1.3%
Altria Group, Inc.
2.35%, 05/06/25		360		373,189
2.45%, 02/04/32		115		109,869
4.50%, 05/02/43		75		78,238
5.38%, 01/31/44		637		742,456
5.95%, 02/14/49		805		1,002,299
4.00%, 02/04/61		430		397,527
BAT Capital Corp.
4.70%, 04/02/27		1,240		1,395,801
3.56%, 08/15/27		105		111,775
2.26%, 03/25/28		300		295,365
4.39%, 08/15/37		170		178,232
Reynolds American, Inc.
4.45%, 06/12/25		885		982,031
5.70%, 08/15/35		875		1,037,797
7.00%, 08/04/41		70		90,564
				6,795,143
Trading Companies & Distributors — 0.4%
Air Lease Corp.
3.38%, 06/01/21		540		542,461
3.38%, 07/01/25		580		612,644
2.88%, 01/15/26		760		788,590
3.00%, 02/01/30		135		132,126
				2,075,821
Wireless Telecommunication Services — 0.6%
America Movil SAB de CV
3.63%, 04/22/29		250		267,734
4.38%, 04/22/49		525		601,340
Rogers Communications, Inc., 3.70%, 11/15/49		4		3,972
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(a)		43		42,819
T-Mobile USA, Inc.
3.50%, 04/15/25(a)		220		237,353
4.38%, 04/15/40(a)		495		549,975
3.00%, 02/15/41(a)		165		153,145
4.50%, 04/15/50(a)		365		409,855
3.30%, 02/15/51(a)		265		247,661

Security	Par (000)		Value
Wireless Telecommunication Services (continued)
Vodafone Group PLC
4.38%, 02/19/43	USD	427	$	475,523
5.25%, 05/30/48		340		424,469
				3,413,846
Total Corporate Bonds — 87.0% (Cost: $454,463,986)				465,122,614
Foreign Agency Obligations
Norway — 0.1%
Equinor ASA, 2.88%, 04/06/25		375		400,415
Panama — 0.1%
Banco Nacional de Panama, 2.50%, 08/11/30(a)		560		519,680
Saudi Arabia — 0.1%
Saudi Arabian Oil Co.
2.25%, 11/24/30(a)		485		465,382
4.25%, 04/16/39(a)		200		215,312
				680,694
Total Foreign Agency Obligations — 0.3% (Cost: $1,615,086)				1,600,789
Foreign Government Obligations
Chile — 0.1%
Republic of Chile, 3.50%, 01/25/50		710		723,091
Colombia — 0.2%
Republic of Colombia, 4.50%, 03/15/29		1,050		1,146,797
Indonesia — 0.8%
Republic of Indonesia
3.75%, 04/25/22(a)		3,000		3,092,812
4.13%, 01/15/25(a)		350		383,250
3.50%, 01/11/28		975		1,045,383
				4,521,445
Israel — 0.1%
State of Israel, 3.88%, 07/03/50		250		274,609
Mexico — 1.0%
United Mexican States
4.15%, 03/28/27		1,393		1,544,837
2.66%, 05/24/31		875		829,883
4.75%, 03/08/44		923		966,554
4.60%, 02/10/48		600		611,063
5.00%, 04/27/51		655		708,628
3.77%, 05/24/61		620		546,181
				5,207,146
Panama — 0.2%
Republic of Panama
3.16%, 01/23/30		400		415,750
4.30%, 04/29/53		240		257,025
4.50%, 04/01/56		200		219,438
				892,213
Peru — 0.4%
Republic of Peru
2.39%, 01/23/26		760		782,325
3.30%, 03/11/41		845		825,987
2.78%, 12/01/60		860		708,694
				2,317,006
Poland — 0.1%
Republic of Poland, 3.25%, 04/06/26		440		486,750

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, 2021 BATS: Series C Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Uruguay — 0.1%
Republic of Uruguay, 4.38%, 10/27/27	USD	315	$	357,722
Total Foreign Government Obligations — 3.0% (Cost: $15,420,435)				15,926,779
Municipal Bonds
California — 1.1%
City of San Francisco Public Utilities Commission Water Revenue RB, 3.30%, 11/01/39		495		521,131
Los Angeles Community College District, GO, Refunding, 1.61%, 08/01/28		1,170		1,161,085
Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45		1,075		1,675,377
State of California, GO, 7.63%, 03/01/40		1,125		1,809,540
University of California, RB, 3.35%, 07/01/29		550		607,150
				5,774,283
Illinois — 0.3%
Chicago O’Hare International Airport RB, 6.40%, 01/01/40		1,000		1,437,680
New Jersey — 0.0%
New Jersey Transportation Trust Fund Authority RB, 4.13%, 06/15/42		165		175,139
New York — 0.7%
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39		1,125		1,754,258
New York State Dormitory Authority RB, 3.11%, 02/15/39		590		608,296
Port Authority of New York & New Jersey, RB, 4.46%, 10/01/62		1,040		1,280,281
				3,642,835
Texas — 0.0%
Texas Transportation Commission RB, 2.56%, 04/01/42		210		207,867
Total Municipal Bonds — 2.1% (Cost: $9,117,639)				11,237,804
Preferred Securities
Capital Trusts — 2.6%
Banks — 1.9%
BNP Paribas SA, 4.63%(a)(c)		1,350		1,341,563
Citigroup, Inc., 3.88%(c)		1,300		1,293,929
HSBC Holdings PLC
4.00%(c)		200		199,000
4.60%(c)		345		341,119
6.00%(c)		520		569,270
6.38%(c)		500		551,000
JPMorgan Chase & Co.
Series FF, 5.00%(c)		208		215,020
Series I, (3 mo. LIBOR US + 3.47%), 3.68%(b)(c)		244		243,573
Series S, 6.75%(c)		925		1,012,875
Lloyds Banking Group PLC, 7.50%(c)		380		434,150
Natwest Group PLC, 6.00%(c)		1,010		1,108,172
U.S. Bancorp, Series J, 5.30%(c)		1,075		1,179,006
Wells Fargo & Co.
3.90%(c)		340		343,366
Series U, 5.88%(c)		1,125		1,238,625
				10,070,668
Capital Markets — 0.4%
Charles Schwab Corp, Series I, 4.00%(c)		500		507,400

Security	Par (000)		Value
Capital Markets (continued)
Charles Schwab Corp., Series H, 4.00%(c)	USD	673	$	661,559
State Street Corp.
Series F, (3 mo. LIBOR US + 3.60%), 3.78%(b)(c)		95		95,261
Series H, 5.63%(c)		735		772,706
UBS Group AG, 4.38%(a)(c)		230		226,895
				2,263,821
Electric Utilities — 0.1%
Exelon Corp., 3.50%		785		809,671
Multi-Utilities — 0.1%
Dominion Energy, Inc., 2.72%(d)		490		494,077
Oil, Gas & Consumable Fuels — 0.1%
TransCanada Trust
5.63%		359		380,540
5.88%		120		130,800
				511,340
Total Preferred Securities — 2.6% (Cost: $13,625,303)				14,149,577
U.S. Treasury Obligations
U.S. Treasury Bonds
1.13%, 05/15/40 - 08/15/40		10,748		8,751,246
1.38%, 11/15/40 - 08/15/50		1,252		1,030,077
2.38%, 11/15/49		868		861,642
2.00%, 02/15/50		77		70,690
1.63%, 11/15/50		421		351,061
1.88%, 02/15/51		5,284		4,689,550
U.S. Treasury Notes
0.13%, 09/15/23		600		598,359
1.13%, 02/15/31		2,346		2,216,604
Total U.S. Treasury Obligations — 3.5% (Cost: $20,977,048)				18,569,229
Total Long-Term Investments — 98.5% (Cost: $515,219,497)				526,606,792
	Shares
Short-Term Securities(e)
Money Market Funds — 0.8%
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.01%		4,417,272		4,417,272
Total Short-Term Securities — 0.8% (Cost: $4,417,272)				4,417,272
Total Investments — 99.3% (Cost: $519,636,769)				531,024,064
Other Assets Less Liabilities — 0.7%				3,902,123
Net Assets — 100.0%			$	534,926,187

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

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

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

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

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

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Schedule of Investments  (continued) March 31, 2021 BATS: Series C Portfolio

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Treasury Bonds (30 Year)		14		06/21/21	$	2,168	$	(29,645	)
U.S. Treasury Notes (10 Year)		78		06/21/21		10,222		(148,362	)
U.S. Ultra Treasury Bonds		38		06/21/21		6,911		(123,605	)
U.S. Ultra Treasury Notes (10 Year)		9		06/21/21		1,295		(4,559	)
U.S. Treasury Notes (2 Year)		50		06/30/21		11,037		(1,966	)
								(308,137	)
Short Contracts
U.S. Treasury Notes (5 Year)		212		06/30/21		26,172		164,241
							$	(143,896	)

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)

American Tower Corp

1.00

%

Quarterly

Morgan Stanley & Co. International PLC

06/20/21

BBB-

USD    1,875

$

2,256

$

(3,375

)

$

5,631

^(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

	Swaps Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swaps		$  —		$  (3,375	)		$  5,631		$  —

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, 2021 BATS: Series C 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(a)	$	—	$	—	$	—	$	—	$	164,241	$	—	$	164,241
Swaps — OTC
Unrealized appreciation on OTC swaps;
Swap premiums paid		—		5,631		—		—		—		—		5,631
	$	—	$	5,631	$	—	$	—	$	164,241	$	—	$	169,872
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	308,137	$	—	$	308,137
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received		—		3,375		—		—		—		—		3,375
	$	—	$	3,375	$	—	$	—	$	308,137	$	—	$	311,512

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

For the year ended March 31, 2021, 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	$	—	$	—	$	—	$	—	$	(1,402,443	)	$	—	$	(1,402,443	)
Options purchased(a)		—		—		—		—		(173,230	)		—		(173,230	)
Swaps		—		29,237		—		—		—			—		29,237
	$	—	$	29,237	$	—	$	—	$	(1,575,673	)	$	—	$	(1,546,436	)
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts	$	—	$	—	$	—	$	—	$	(85,399	)	$	—	$	(85,399	)
Options purchased(b)		—		—		—		—		172,695			—		172,695
Swaps		—		45,900		—		—		—			—		45,900
	$	—	$	45,900	$	—	$	—	$	87,296		$	—	$	133,196

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

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — long	$	31,481,612
Average notional value of contracts — short	$	14,035,534
Options
Average notional value of swaption contracts purchased	$	1,190,000
Credit default swaps
Average notional value — buy protection	$	2,611,875
Average notional value — sell protection	$	2,975,000

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

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Schedule of Investments  (continued) March 31, 2021 BATS: Series C Portfolio

Derivative Financial Instruments – Offsetting as of Period End

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

	Assets			Liabilities
Derivative Financial Instruments
Futures contracts	$	24,817		$	33,538
Swaps — OTC(a)		5,631			3,375
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	30,448		$	36,913
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(24,817	)		(33,538	)
Total derivative assets and liabilities subject to an MNA	$	5,631		$	3,375

^(a)  Includes unrealized appreciation (depreciation) on OTC swaps in the Statements of Assets and Liabilities.

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

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets(b)
Morgan Stanley & Co. International PLC	$	5,631	$	(3,375	)	$	—	$	—	$	2,256
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities
Morgan Stanley & Co. International PLC	$	3,375	$	(3,375	)	$	—	$	—	$	—

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

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

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of 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 investments categorized in the fair value hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

	Level 1		Level 2		Level 3		Total
Assets
Investments
Long-Term Investments
Corporate Bonds	$	—	$	465,122,614	$	—	$	465,122,614
Foreign Agency Obligations		—		1,600,789		—		1,600,789
Foreign Government Obligations		—		15,926,779		—		15,926,779
Municipal Bonds		—		11,237,804		—		11,237,804
Preferred Securities		—		14,149,577		—		14,149,577
U.S. Treasury Obligations		—		18,569,229		—		18,569,229
Short-Term Securities
Money Market Funds		4,417,272		—		—		4,417,272
	$	4,417,272	$	526,606,792	$	—	$	531,024,064
Derivative Financial Instruments(a)
Assets
Credit Contracts	$	—	$	5,631	$	—	$	5,631
Interest Rate Contracts		164,241		—		—		164,241

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

Schedule of Investments  (continued) March 31, 2021 BATS: Series C Portfolio

		Level 1				Level 2		Level 3			Total
Liabilities
Interest Rate Contracts	$		(308,137	)	$		—	$	—	$		(308,137	)
	$		(143,896	)	$		5,631	$	—	$		(138,265	)

^(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.

56 2 0 2 1   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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)			Value
Municipal Bonds
Alabama — 1.6%
County of Jefferson Sewer Revenue, Refunding RB, Series D, 6.50%, 10/01/53		USD	1,000	$	1,158,500
Hoover IDB, RB, AMT, 6.38%, 11/01/50(a)			1,645		2,043,649
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35			1,000		1,184,830
Tuscaloosa County IDA, Refunding RB, Series A, 5.25%, 05/01/44(b)			1,745		1,983,053
					6,370,032
Alaska — 0.0%
Northern Tobacco Securitization Corp., Refunding RB, Series A, 4.63%, 06/01/23			45		45,067
Arizona — 2.2%
Arizona IDA
RB, 5.00%, 07/01/45(b)			265		282,957
RB, 5.00%, 12/15/49(b)			105		115,696
RB, 7.10%, 01/01/55(b)			1,150		1,135,085
RB, 5.00%, 07/01/55(b)			285		298,962
RB, Series B, 5.13%, 07/01/47(b)			195		216,372
Refunding RB, 5.50%, 07/01/52(b)			610		655,396
Refunding RB, Series A, 5.00%, 07/01/26(b)			300		330,756
Refunding RB, Series A, 5.13%, 07/01/37(b)			605		671,338
Refunding RB, Series G, 5.00%, 07/01/47(b)			185		202,547
City of Phoenix IDA
RB, 5.00%, 07/01/46(b)			570		620,285
RB, 5.00%, 07/01/59			880		989,551
RB, Series A, 5.00%, 07/01/49(b)			270		275,597
Refunding RB, 5.00%, 07/01/35(b)			300		327,150
Refunding RB, 5.00%, 07/01/45(b)			100		107,382
Refunding RB, Series A, 5.00%, 07/01/35(b)			45		49,020
County of Pima IDA
RB, 5.13%, 07/01/39			145		146,946
RB, 5.25%, 07/01/49			180		181,496
Refunding RB, 5.00%, 07/01/56(b)			295		298,575
La Paz County IDA, RB, 5.88%, 06/15/48(b)			285		297,885
Maricopa County IDA
RB, 5.25%, 10/01/40(b)			280		289,377
RB, 5.50%, 10/01/51(b)			280		289,657
Refunding RB, Series A, 4.13%, 09/01/38			230		263,247
Salt Verde Financial Corp., RB, 5.00%, 12/01/37			500		691,100
					8,736,377
Arkansas — 1.8%
Arkansas Development Finance Authority
RB, AMT, 4.50%, 09/01/49(b)			3,045		3,312,138
RB, AMT, 4.75%, 09/01/49(b)			3,150		3,501,918
Pulaski County Public Facilities Board
RB, 5.00%, 12/01/39			230		268,562
RB, 5.00%, 12/01/42			250		275,407
					7,358,025
California — 5.0%
Bay Area Toll Authority, Refunding RB, 2.00%, 04/01/56(a)			5,420		5,758,100
California Community Housing Agency, RB, Series A-2, 4.00%, 08/01/47(b)			1,220		1,260,541
California County Tobacco Securitization Agency, Refunding RB, Series A, 5.00%, 06/01/36			300		302,535
California Municipal Finance Authority
RB, 5.63%, 07/01/44(b)			150		156,945
Refunding RB, Series A, 5.00%, 02/01/46			650		724,529
Refunding RB, Series B, 5.00%, 01/01/37			630		737,535

Security	Par (000)			Value
California (continued)
California Public Finance Authority, RB, 6.25%, 07/01/54(b)		USD	1,100	$	1,254,990
California School Finance Authority
RB, Series A, 6.75%, 11/01/45(b)			250		278,947
Refunding RB, 5.00%, 07/01/51(b)			300		336,435
California Statewide Communities Development Authority
Refunding RB, Series A, 5.25%, 11/01/44(b)			250		259,170
Refunding RB, (AGM), 5.00%, 11/15/49			500		582,910
California Statewide Financing Authority
RB, 5.63%, 05/01/29			20		20,083
RB, 6.00%, 05/01/43			315		315,775
RB, 6.00%, 05/01/43			85		85,209
City of Irvine, Special Tax Bonds, 5.00%, 09/01/44			250		274,870
City of Roseville, Special Tax Bonds, 5.00%, 09/01/44			500		515,535
CMFA Special Finance Agency I, RB, Series A-2, 4.00%, 04/01/56(b)			2,250		2,347,267
Golden State Tobacco Securitization Corp.
Refunding RB, Series A-1, 3.50%, 06/01/36			1,160		1,180,660
Refunding RB, Series A-1, 5.00%, 06/01/47			115		118,854
Refunding RB, Series A-2, 5.00%, 06/01/47			1,865		1,927,571
Hastings Campus Housing Finance Authority, RB,
Series A, 0.00%, 07/01/61(b)(c)			1,045		553,745
Riverside County Public Financing Authority, RB,
5.25%, 11/01/45			500		594,700
San Francisco City & County Redevelopment Agency
Successor Agency, TA, 0.00%, 08/01/31(b)(c)			580		353,933
					19,940,839
Colorado — 3.6%
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47			1,000		1,043,690
Arista Metropolitan District, GO, Refunding, 5.00%, 12/01/38			500		532,675
Aurora Crossroads Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/50			500		535,650
Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48			500		534,550
Broadway Station Metropolitan District No. 2, GO, Series A, 5.13%, 12/01/48			1,050		1,108,559
Centerra Metropolitan District No. 1, TA, 5.00%, 12/01/47(b)			155		159,988
Colorado Educational & Cultural Facilities Authority, Refunding RB, 5.00%, 12/15/45			500		545,680
Colorado Health Facilities Authority RB, 5.25%, 01/01/45			620		674,572
Refunding RB, 5.00%, 07/01/38			215		231,525
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40			950		1,050,130
DIATC Metropolitan District, GO, 3.25%, 12/01/29(b)			590		602,962
First Creek Village Metropolitan District
GO, Series A, 5.00%, 12/01/39			600		643,830
GO, Series A, 5.00%, 08/01/49			540		574,117
Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51			575		586,621
North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48			500		529,415
Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49			675		721,879
Pueblo Urban Renewal Authority, TA, 4.75%, 12/01/45(b)			930		989,818
Serenity Ridge Metropolitan District No. 2, GO, Refunding, Series A, 5.13%, 12/01/37			550		588,533

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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)			Value
Colorado (continued)
Southlands Metropolitan District No. 1
GO, Refunding, Series A-1, 5.00%, 12/01/37		USD	250	$	275,717
GO, Refunding, Series A-1, 5.00%, 12/01/47			180		194,377
Thompson Crossing Metropolitan District No. 4, GO,
Refunding, 5.00%, 12/01/49			645		685,596
Village at Dry Creek Metropolitan District No. 2, GO,
4.38%, 12/01/44			1,000		1,036,440
Westcreek Metropolitan District No. 2, GO, Series A,
5.38%, 12/01/48			500		530,130
					14,376,454
Connecticut — 0.4%
Connecticut State Health & Educational Facilities Authority
RB, Series A, 5.00%, 01/01/45(b)			190		207,263
RB, Series A, 5.00%, 01/01/55(b)			255		275,209
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45(b)			775		794,863
Mohegan Tribe of Indians of Connecticut
RB, Series A, 6.75%, 02/01/45(b)			98		100,756
Refunding RB, Series C-1, 6.25%, 02/01/30(b)			330		336,917
					1,715,008
District of Columbia — 1.7%
District of Columbia Tobacco Settlement Financing Corp.
RB, 0.00%, 06/15/46(c)			8,970		1,917,427
RB, 0.00%, 06/15/46(c)			10,325		1,515,607
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Refunding RB, 4.00%, 10/01/49			3,030		3,377,026
					6,810,060
Florida — 6.7%
Babcock Ranch Community Independent Special
District, Special Assessment RB, 4.25%, 11/01/21			125		126,223
Brevard County Health Facilities Authority, Refunding
RB, 5.00%, 04/01/39			500		555,770
Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31			480		530,419
Capital Trust Agency, Inc.
RB, 5.00%, 06/15/49(b)			100		105,279
RB, 5.75%, 06/01/54(b)			420		438,871
Celebration Pointe Community Development District
Special Assessment RB, 4.00%, 05/01/22(b)			55		55,482
Special Assessment RB, 5.13%, 05/01/45			235		244,673
Charlotte County IDA
RB, 5.00%, 10/01/34(b)			105		117,700
RB, 5.00%, 10/01/49(b)			510		546,776
Collier County Health Facilities Authority, Refunding
RB, Series A, 5.00%, 05/01/45			1,000		1,108,840
County of Broward Airport System Revenue, RB, AMT,
Series A, 4.00%, 10/01/49			610		676,386
County of Broward Port Facilities Revenue, RB, AMT,
Series B, 4.00%, 09/01/49			2,500		2,751,850
County of Osceola Transportation Revenue
Refunding RB, Series A-2, 0.00%, 10/01/46(c)			935		392,045
Refunding RB, Series A-2, 0.00%, 10/01/47(c)			900		363,051
Refunding RB, Series A-2, 0.00%, 10/01/48(c)			635		246,488
Refunding RB, Series A-2, 0.00%, 10/01/49(c)			525		196,486
County of Palm Beach, RB, 5.00%, 04/01/51(b)			110		114,687
Escambia County Health Facilities Authority,
Refunding RB, 4.00%, 08/15/45			505		560,212

Security	Par (000)			Value
Florida (continued)
Florida Development Finance Corp.
RB, 5.25%, 06/01/55(b)		USD	645	$	713,009
RB, 5.13%, 06/15/55(b)			2,490		2,502,276
RB, Series A, 6.13%, 06/15/44			45		48,141
RB, AMT, 5.00%, 08/01/29(a)(b)			470		485,999
RB, AMT, Series B, 7.38%, 01/01/49(b)			1,505		1,481,793
Grand Oaks Community Development District
Special Assessment RB, 4.25%, 05/01/40			210		212,635
Special Assessment RB, 4.50%, 05/01/52			235		239,395
Greater Orlando Aviation Authority, Refunding RB, AMT, 5.00%, 11/15/36			250		266,497
Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33			370		383,768
Hillsborough County Aviation Authority, Refunding RB, AMT, Series A, 5.00%, 10/01/44			350		389,714
Lakewood Ranch Stewardship District
Special Assessment RB, 3.00%, 05/01/24			155		156,814
Special Assessment RB, 3.13%, 05/01/25			315		320,342
Special Assessment RB, 3.25%, 05/01/29			225		232,639
Special Assessment RB, 4.75%, 05/01/29			180		201,377
Special Assessment RB, 4.95%, 05/01/29(b)			135		152,554
Special Assessment RB, 4.88%, 05/01/35			150		160,071
Special Assessment RB, 4.40%, 05/01/39			525		566,475
Special Assessment RB, 5.30%, 05/01/39			205		234,188
Special Assessment RB, 5.50%, 05/01/39(b)			135		156,122
Special Assessment RB, 5.13%, 05/01/46			100		105,428
Special Assessment RB, 5.45%, 05/01/48			365		415,403
Special Assessment RB, 5.65%, 05/01/48(b)			210		241,933
Special Assessment RB, 4.00%, 05/01/49(b)			200		207,128
Special Assessment RB, 3.90%, 05/01/50			240		245,887
Orange County Health Facilities Authority
RB, 5.00%, 08/01/35			250		283,437
Refunding RB, 5.00%, 08/01/41			695		765,730
Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25			300		305,454
Parker Road Community Development District
Special Assessment Refunding RB, 3.10%, 05/01/25			275		278,462
Special Assessment Refunding RB, 3.38%, 05/01/30			335		344,896
Pinellas County IDA, RB, 5.00%, 07/01/39			250		293,410
Portico Community Development District
Special Assessment RB, Series 2, 3.25%, 05/01/31			100		104,050
Special Assessment RB, Series 2, 4.00%, 05/01/50			425		431,392
Preserve at South Branch Community Development District
Special Assessment RB, 3.25%, 11/01/24			100		101,441
Special Assessment RB, 3.50%, 11/01/30			200		206,736
Sandridge Community Development District
Special Assessment RB, Series A1, 3.88%, 05/01/41			135		131,225
Special Assessment RB, Series A1, 4.00%, 05/01/51			130		124,192
Special Assessment RB, Series A-2, 3.88%, 05/01/31			155		151,976
Seminole County IDA
Refunding RB, 5.50%, 11/15/49			740		721,248
Refunding RB, 5.75%, 11/15/54			595		592,126

58 2 0 2 1   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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)			Value
Florida (continued)
Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34		USD	375	$	382,942
Tolomato Community Development District, Special Assessment Refunding RB, Sub-Series A-2, 4.25%, 05/01/37			185		196,017
Trout Creek Community Development District
Special Assessment RB, 4.50%, 05/01/23			165		168,970
Special Assessment RB, 5.00%, 05/01/28			240		267,504
Special Assessment RB, 5.63%, 05/01/45			200		216,640
West Villages Improvement District
Special Assessment RB, 4.25%, 05/01/29			100		107,532
Special Assessment RB, 4.75%, 05/01/39			190		206,745
Special Assessment RB, 5.00%, 05/01/50			290		315,340
Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29(b)			805		846,248
					26,794,539
Georgia — 0.8%
Gainesville & Hall County Hospital Authority, Refunding RB, (County GTD), 5.50%, 08/15/54			250		291,515
George L. Smith II Congress Center Authority
RB, 4.00%, 01/01/54(d)			380		420,493
RB, 5.00%, 01/01/54(d)			120		130,712
Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49			950		1,380,093
Municipal Electric Authority of Georgia, Refunding RB,
Sub-Series A, 4.00%, 01/01/49			845		944,330
					3,167,143
Guam — 0.2%
Territory of Guam
Refunding RB, Series A, 5.00%, 11/01/35			265		326,459
Refunding RB, Series A, 5.00%, 11/01/40			365		441,993
					768,452
Idaho — 0.1%
Idaho Health Facilities Authority, RB, 4.00%, 12/01/43			330		374,735
Illinois — 6.0%
Chicago Board of Education
GO, Series A, 5.00%, 12/01/41			200		203,478
GO, Series A, 5.00%, 12/01/42			570		581,286
GO, Series D, 5.00%, 12/01/46			190		219,862
GO, Series D, 5.00%, 12/01/46			485		511,161
GO, Series H, 5.00%, 12/01/46			625		713,562
GO, Refunding, Series A, 0.00%, 12/01/25(c)			135		125,187
GO, Refunding, Series A, 5.00%, 12/01/28			125		152,570
GO, Refunding, Series A, 5.00%, 12/01/29			155		190,968
GO, Refunding, Series A, 5.00%, 12/01/30			505		619,559
GO, Refunding, Series B, 4.00%, 12/01/35			230		236,548
GO, Refunding, Series C, 5.00%, 12/01/25			225		262,204
GO, Refunding, Series C, 5.00%, 12/01/34			625		730,269
GO, Refunding, Series D, 5.00%, 12/01/25			290		337,952
GO, Refunding, Series F, 5.00%, 12/01/22			215		230,508
Chicago O’Hare International Airport
Refunding RB, Series D, 5.00%, 01/01/39			260		279,430
Refunding RB, Series D, 5.00%, 01/01/46			1,000		1,131,590
City of Chicago
GO, Refunding, Series A, 5.25%, 01/01/32			530		581,601
GO, Refunding, Series A, 6.00%, 01/01/38			510		615,488
GO, Refunding, Series B, 5.43%, 01/01/42			2,345		2,543,410
City of Chicago Wastewater Transmission Revenue, Refunding RB, Series C, 5.00%, 01/01/39			500		566,455

Security	Par (000)			Value
Illinois (continued)
Cook County Community College District No. 508, GO, 5.25%, 12/01/30		USD	920	$	1,006,213
Illinois Finance Authority
Refunding RB, 6.13%, 02/01/45			150		155,475
Refunding RB, 5.00%, 02/15/47			900		976,185
Refunding RB, Series C, 5.00%, 02/15/41			650		773,130
Metropolitan Pier & Exposition Authority
RB, 0.00%, 12/15/52(c)			2,045		692,069
RB, 5.50%, 06/15/53			390		449,849
RB, 5.00%, 06/15/57			660		764,742
Refunding RB, 0.00%, 12/15/54(c)			7,170		2,209,220
Refunding RB, (State Appropriation), Series B, 5.00%, 06/15/52			80		82,743
State of Illinois
GO, 5.00%, 01/01/28			1,005		1,167,478
GO, 5.00%, 04/01/31			1,000		1,109,120
GO, 5.50%, 07/01/33			365		392,463
GO, 5.00%, 03/01/37			300		310,548
GO, 5.00%, 02/01/39			1,000		1,071,300
GO, 5.00%, 05/01/39			275		295,886
GO, Series A, 5.00%, 01/01/33			310		319,263
GO, Series A, 5.00%, 12/01/35			825		958,922
GO, Series D, 5.00%, 11/01/28			295		345,820
GO, Refunding, Series B, 5.00%, 10/01/27			105		126,222
					24,039,736
Indiana — 0.7%
City of Anderson, RB, 5.38%, 01/01/40			340		346,266
City of Vincennes, Refunding RB, 6.25%, 01/01/29(b)			350		350,210
Indiana Finance Authority
RB, AMT, 6.75%, 05/01/39			640		794,054
RB, AMT, 5.25%, 01/01/51			1,000		1,079,000
Refunding RB, 4.75%, 03/01/32			270		281,243
					2,850,773
Iowa — 1.3%
Iowa Finance Authority
RB, Series A, 5.00%, 05/15/48			940		1,062,698
Refunding RB, 3.13%, 12/01/22			530		540,425
Refunding RB, 5.25%, 12/01/25			310		334,478
Refunding RB, 5.25%, 12/01/50(a)			400		428,464
Refunding RB, Series E, 4.00%, 08/15/46			570		615,583
Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44			2,000		1,914,260
Iowa Tobacco Settlement Authority, Refunding RB, Series C, 5.50%, 06/01/42			485		490,888
					5,386,796
Louisiana — 0.9%
Juban Crossing Economic Development District, Refunding RB, 7.00%, 09/15/44(b)			475		456,009
Louisiana Local Government Environmental Facilities & Community Development Authority, RB, 5.00%, 07/01/54(b)			400		407,620
Louisiana Public Facilities Authority
RB, 5.00%, 06/01/41(b)			210		222,128
RB, 5.25%, 06/01/51(b)			455		483,401
RB, 5.25%, 06/01/60(b)			840		885,301
Parish of St. James, RB, Series 2, 6.35%, 07/01/40(b)			950		1,185,828
					3,640,287
Maryland — 2.0%
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, 5.25%, 07/01/44			250		255,363

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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)			Value
Maryland (continued)
City of Baltimore
Refunding RB, 4.00%, 09/01/27		USD	100	$	104,265
Refunding TA, 3.20%, 06/01/30(b)			200		200,176
Refunding TA, 3.25%, 06/01/31(b)			225		225,450
Refunding TA, 3.30%, 06/01/32(b)			500		500,030
Refunding TA, 3.35%, 06/01/33(b)			540		539,503
Refunding TA, 3.40%, 06/01/34(b)			570		568,786
Refunding TA, 3.45%, 06/01/35(b)			610		608,377
County of Frederick, Refunding TA, 4.63%, 07/01/43(b)			1,200		1,362,672
Maryland EDC
RB, AMT, 5.00%, 03/31/51			620		697,661
Refunding RB, 5.00%, 07/01/39			100		106,760
Maryland Health & Higher Educational Facilities Authority
RB, 7.00%, 03/01/55(b)			1,940		2,179,357
Refunding RB, 5.00%, 07/01/40			500		564,785
					7,913,185
Massachusetts — 1.5%
Massachusetts Development Finance Agency
RB, 5.00%, 01/01/43			500		584,010
RB, 5.00%, 01/01/48			1,000		1,152,630
RB, 5.00%, 10/01/54			710		735,972
RB, Series A, 5.00%, 01/01/47			500		571,225
RB, Series N, 5.00%, 07/01/44			500		565,305
Refunding RB, Series A, 4.00%, 07/01/44			1,250		1,387,113
Massachusetts HFA
RB, Series D-1, 2.55%, 12/01/50			230		227,461
Refunding RB, AMT, Series A, 4.45%, 12/01/42			620		654,763
					5,878,479
Michigan — 0.6%
Advanced Technology Academy, Refunding RB, 3.88%, 11/01/29			250		264,465
City of Detroit
GO, 5.00%, 04/01/34			90		105,090
GO, 5.00%, 04/01/35			90		104,783
GO, 5.00%, 04/01/36			65		75,486
GO, 5.00%, 04/01/37			100		115,812
GO, 5.00%, 04/01/38			45		51,983
Michigan Finance Authority, RB, AMT, 5.00%, 07/01/44			250		264,475
Wayne County Airport Authority
RB, Series B, 5.00%, 12/01/44			500		566,340
RB, Series D, 5.00%, 12/01/40			500		579,445
RB, AMT, 5.00%, 12/01/39			250		283,122
					2,411,001
Minnesota — 1.1%
City of Deephaven, Refunding RB, 5.25%, 07/01/37			605		655,693
City of Minneapolis
RB, 5.00%, 07/01/40			435		473,154
RB, Series A, 5.75%, 07/01/55			850		935,280
Duluth EDA
Refunding RB, 4.25%, 02/15/48			1,265		1,406,692
Refunding RB, 5.25%, 02/15/58			425		505,559
Housing & Redevelopment Authority of the City of St. Paul Minnesota
RB, Series A, 5.50%, 07/01/38(b)			240		266,129
Refunding RB, 5.50%, 09/01/36			310		353,047
					4,595,554

Security	Par (000)			Value
Missouri — 1.0%
City of St. Louis Missouri IDA
Refunding RB, 4.38%, 11/15/35		USD	215	$	202,569
Refunding RB, 4.75%, 11/15/47			240		225,605
Health & Educational Facilities Authority of the State of Missouri, Refunding RB, Series A, 4.00%, 07/01/40(d)			1,170		1,366,993
Kansas City IDA, Refunding RB, 5.75%, 11/15/36(b)(e)(f)			220		75,449
Kansas City Land Clearance Redevelopment Authority
TA, 4.38%, 02/01/31(b)			755		804,973
TA, 5.00%, 02/01/40(b)			260		276,565
Plaza at Noah’s Ark Community Improvement District,
Refunding TA, 5.00%, 05/01/35			400		348,984
St. Louis County IDA, Refunding RB, 5.00%, 09/01/37			695		781,034
					4,082,172
Nebraska — 0.1%
Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45			500		576,235
Nevada — 1.6%
City of Las Vegas Special Improvement District No. 815, Special Assessment RB, 5.00%, 12/01/49			190		209,330
City of Reno, Refunding RB, (AGM), Series A-1, 4.00%, 06/01/46			5,000		5,454,700
Tahoe-Douglas Visitors Authority
RB, 5.00%, 07/01/40			190		218,447
RB, 5.00%, 07/01/45			240		272,657
RB, 5.00%, 07/01/51			255		287,181
					6,442,315
New Hampshire — 0.5%
New Hampshire Business Finance Authority
RB, Series A, 4.13%, 08/15/40			320		323,085
RB, Series A, 4.25%, 08/15/46			365		365,993
RB, Series A, 4.50%, 08/15/55			755		757,205
Refunding RB, 4.63%, 11/01/42(b)			320		332,221
Refunding RB, Series A, 3.63%, 07/01/43(a)(b)			290		297,160
Refunding RB, AMT, 4.88%, 11/01/42(b)			130		135,665
					2,211,329
New Jersey — 6.3%
Casino Reinvestment Development Authority, Inc.
Refunding RB, 5.25%, 11/01/39			250		265,958
Refunding RB, 5.25%, 11/01/44			560		587,574
New Jersey EDA
RB, 5.00%, 07/01/32			200		210,390
RB, 5.25%, 11/01/54(b)			945		946,295
RB, Series EEE, 5.00%, 06/15/43			2,935		3,461,070
RB, Series WW, 5.25%, 06/15/40			55		66,014
RB, Series WW, 5.25%, 06/15/40			945		1,077,886
RB, AMT, 6.50%, 04/01/31			95		101,197
RB, AMT, 5.38%, 01/01/43			500		551,960
Refunding RB, Series A, 6.00%, 08/01/49(b)			250		261,445
Refunding RB, (AGM), 5.00%, 06/01/37			200		234,488
New Jersey Health Care Facilities Financing Authority
RB, 4.00%, 07/01/47			540		593,341
Refunding RB, 4.25%, 07/01/44			395		432,655
Refunding RB, 5.00%, 07/01/44			220		248,189
New Jersey Higher Education Student Assistance Authority, Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49			820		830,914
New Jersey Transportation Trust Fund Authority RB, 5.25%, 06/15/43			1,615		1,952,987

60 2 0 2 1   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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
New Jersey (continued)
New Jersey Transportation Trust Fund Authority
RB, Series AA, 5.00%, 06/15/38	USD		325	$	341,334
RB, Series AA, 5.25%, 06/15/41			205		233,673
RB, Series AA, 5.00%, 06/15/44			30		32,447
RB, Series AA, 5.00%, 06/15/44			30		33,062
RB, Series AA, 4.00%, 06/15/45			710		791,877
RB, Series AA, 5.00%, 06/15/46			450		502,794
RB, Series BB, 4.00%, 06/15/50			4,000		4,356,720
New Jersey Turnpike Authority
RB, Series A, 5.00%, 01/01/43			370		392,337
RB, Series A, 4.00%, 01/01/48			2,000		2,249,420
Tobacco Settlement Financing Corp.
Refunding RB, Series A, 5.00%, 06/01/35			375		461,235
Refunding RB, Series A, 5.25%, 06/01/46			1,100		1,304,017
Refunding RB, Sub-Series B, 5.00%, 06/01/46			2,500		2,899,100
					25,420,379
New Mexico — 0.1%
New Mexico Hospital Equipment Loan Council, Refunding RB, 5.50%, 07/01/42			325		343,112
New York — 9.5%
Build NYC Resource Corp., Refunding RB, AMT, 5.00%, 01/01/35(b)			285		315,945
Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 5.00%, 06/01/48			1,000		1,024,600
City of New York, GO, Series F-1, 5.00%, 03/01/44			3,000		3,765,780
County of Cattaraugus, RB, 5.00%, 05/01/44			195		204,134
Erie Tobacco Asset Securitization Corp., Refunding RB, Series A, 5.00%, 06/01/45			495		499,346
Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44			500		542,335
Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56			125		129,740
Metropolitan Transportation Authority
RB, Series B, 3.00%, 11/15/25			165		171,491
RB, Series C-1, 4.75%, 11/15/45			1,285		1,513,640
RB, Series C-1, 5.25%, 11/15/55			1,950		2,370,537
New York City Housing Development Corp., RB, Series C-1, 4.20%, 11/01/44			1,000		1,042,630
New York Counties Tobacco Trust IV
Refunding RB, 6.25%, 06/01/41(b)			550		556,958
Refunding RB, Series A, 5.00%, 06/01/42			915		922,723
Refunding RB, Series A, 5.00%, 06/01/45			225		226,892
New York Counties Tobacco Trust VI
Refunding RB, 5.00%, 06/01/45			835		889,183
Refunding RB, 5.00%, 06/01/51			420		439,341
New York Liberty Development Corp.
Refunding RB, 5.38%, 11/15/40(b)			150		167,984
Refunding RB, 5.00%, 11/15/44(b)			3,000		3,275,550
New York State Dormitory Authority
Refunding RB, 5.00%, 12/01/35(b)			215		249,101
Refunding RB, Series A, 4.00%, 03/15/47			2,000		2,297,440
Refunding RB, Series A, 5.00%, 03/15/49			5,000		6,259,200
New York State HFA, RB, (State of New York Mortgage Agency), Series L-1, 2.60%, 11/01/50			1,215		1,211,610
New York State Thruway Authority, Refunding RB, Series B, 4.00%, 01/01/45			1,190		1,348,925
New York Transportation Development Corp.
RB, AMT, 5.00%, 07/01/34			500		565,170
RB, AMT, 5.00%, 10/01/35			240		295,013
RB, AMT, 5.00%, 10/01/40			680		826,526
RB, AMT, 5.00%, 07/01/41			1,470		1,640,152
RB, AMT, 4.00%, 04/30/53			640		714,330

Security		Par (000)		Value
New York (continued)
New York Transportation Development Corp. Refunding RB, AMT, 5.38%, 08/01/36	USD		865	$	1,040,396
Tompkins County Development Corp., Refunding RB, 5.00%, 07/01/44			385		415,153
Westchester County Healthcare Corp., RB, Series A, 5.00%, 11/01/44			322		357,804
Westchester County Local Development Corp., Refunding RB, 5.00%, 01/01/34			1,080		1,131,322
Westchester Tobacco Asset Securitization Corp.
Refunding RB, Sub-Series C, 4.00%, 06/01/42			940		1,012,474
Refunding RB, Sub-Series C, 5.13%, 06/01/51			500		551,465
					37,974,890
North Carolina — 0.1%
North Carolina Medical Care Commission, Refunding RB, 5.25%, 01/01/41			250		263,265
Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40(b)			250		270,035
					533,300
North Dakota — 0.3%
County of Cass, Refunding RB, 5.25%, 02/15/58			855		1,014,175
Ohio — 3.3%
Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, 5.00%, 06/01/55			5,795		6,525,402
County of Franklin
RB, 6.13%, 07/01/40			30		32,220
RB, 6.13%, 07/01/40			555		586,563
County of Hamilton
Refunding RB, 5.00%, 01/01/46			190		201,298
Refunding RB, 4.00%, 08/15/50			915		1,051,463
County of Hardin
Refunding RB, 5.00%, 05/01/30			140		150,788
Refunding RB, 5.25%, 05/01/40			285		298,332
Refunding RB, 5.50%, 05/01/50			670		697,269
Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40(b)			455		477,527
Ohio Air Quality Development Authority, RB, AMT, 5.00%, 07/01/49(b)			880		952,107
Port of Greater Cincinnati Development Authority, RB, 4.25%, 12/01/50(b)			265		260,906
Southern Ohio Port Authority, RB, AMT, Series A, 7.00%, 12/01/42(b)			1,380		1,562,588
State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53			370		417,434
					13,213,897
Oklahoma — 1.9%
Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37			1,000		1,153,550
Oklahoma Development Finance Authority
RB, 7.25%, 09/01/51(b)			3,090		3,110,796
RB, Series B, 5.00%, 08/15/38			975		1,180,169
RB, Series B, 5.25%, 08/15/43			875		1,064,455
Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45			965		1,013,163
					7,522,133
Oregon — 0.8%
Clackamas County School District No. 12 North Clackamas, GO, (School Bond Guaranty), Series A, 0.00%, 06/15/38(c)			275		154,608
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, 5.50%, 10/01/49			150		158,478

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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Oregon (continued)
Oregon State Facilities Authority, RB, 5.25%, 06/15/55(b)	USD		305	$	293,962
Port of Morrow
GO, Refunding, Series D, 4.00%, 12/01/38(d)			1,455		1,665,189
GO, Refunding, Series D, 4.00%, 12/01/39(d)			500		571,050
Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36			300		320,547
					3,163,834
Pennsylvania — 2.5%
Allentown Neighborhood Improvement Zone Development Authority, RB, 5.00%, 05/01/42(b)			295		330,878
Bucks County IDA
RB, 4.00%, 07/01/46			100		106,376
RB, 4.00%, 07/01/51			100		106,108
Hospitals & Higher Education Facilities Authority of Philadelphia, RB, Series A, 5.63%, 07/01/42			130		136,832
Montgomery County Higher Education and Health Authority, Refunding RB, 4.00%, 09/01/49			1,255		1,376,133
Montgomery County IDA
Refunding RB, 5.25%, 01/15/45			500		552,170
Refunding RB, 5.38%, 01/01/50			170		171,499
Pennsylvania Economic Development Financing Authority
RB, AMT, Series P-3, 5.00%, 06/30/42			1,625		1,852,142
Refunding RB, AMT, 5.50%, 11/01/44			500		526,280
Pennsylvania Higher Education Assistance Agency, RB, AMT, Series B, 3.00%, 06/01/47			1,010		935,917
Pennsylvania Higher Educational Facilities Authority
RB, 4.00%, 08/15/44			1,045		1,199,921
Refunding RB, 5.00%, 07/15/38			250		269,083
Pennsylvania Turnpike Commission
RB, Series B, 5.25%, 12/01/44			1,000		1,155,830
RB, Sub-Series A, 5.50%, 12/01/42			660		804,137
Philadelphia Authority for Industrial Development, Refunding RB, Series 2015, 5.00%, 04/01/45			500		566,925
					10,090,231
Puerto Rico — 10.4%
Children’s Trust Fund
RB, Series A, 0.00%, 05/15/57(c)			15,375		1,059,338
RB, Series B, 0.00%, 05/15/57(c)			45,310		2,425,444
Refunding RB, 5.50%, 05/15/39			160		164,035
Commonwealth of Puerto Rico
GO, Series A, 5.25%, 07/01/22(e)(f)			75		65,285
GO, Series A, 5.13%, 07/01/31(e)(f)			207		180,187
GO, Series A, 6.00%, 07/01/38(e)(f)			160		142,500
GO, Series A, 5.75%, 07/01/41(e)(f)			90		77,013
GO, Series B, 5.25%, 07/01/17(e)(f)			30		25,619
GO, Refunding, Series A, 5.50%, 07/01/18(e)(f)			285		243,378
GO, Refunding, Series A, 5.50%, 07/01/32(e)(f)			90		78,342
GO, Refunding, Series A, 8.00%, 07/01/35(e)(f)			4,275		3,354,366
GO, Refunding, Series A, 5.50%, 07/01/39(e)(f)			865		715,948
GO, Refunding, Series A, 6.50%, 07/01/40(e)(f)			625		539,844
GO, Refunding, Series A, 5.00%, 07/01/41(e)(f)			4,485		3,544,396
GO, Refunding, Series B, 6.00%, 07/01/39(e)(f)			135		120,234
Puerto Rico Commonwealth Aqueduct & Sewer Authority
RB, Series A, 5.13%, 07/01/37			55		57,692
RB, Series A, 5.75%, 07/01/37			885		935,153
Puerto Rico Electric Power Authority
RB, Series 2013 A-RSA-1, 7.00%, 07/01/33(e)(f)			1,795		1,661,610
RB, Series 2013 A-RSA-1, 6.75%, 07/01/36(e)(f)			635		587,812
RB, Series 2013 A-RSA-1, 7.00%, 07/01/43(e)(f)			175		161,995

Security		Par (000)		Value
Puerto Rico (continued)
Puerto Rico Electric Power Authority
RB, Series A-3, 10.00%, 07/01/19(e)(f)	USD		177	$	163,853
RB, Series A-RSA-1, 5.00%, 07/01/29(e)(f)			385		347,452
RB, Series A-RSA-1, 5.00%, 07/01/42(e)(f)			470		424,163
RB, Series B-3, 10.00%, 07/01/19(e)(f)			177		163,853
RB, Series C-1, 5.40%, 01/01/18(e)(f)			486		438,915
RB, Series C-2, 5.40%, 07/01/18(e)(f)			486		438,987
RB, Series C-3, 5.40%, 01/01/20(e)(f)			49		44,375
RB, Series C-4, 5.40%, 07/01/20(e)(f)			49		44,375
RB, Series CCC, 5.00%, 07/01/27(e)(f)			545		468,700
RB, Series CCC-RSA-1, 5.25%, 07/01/26(e)(f)			125		112,809
RB, Series CCC-RSA-1, 5.25%, 07/01/28(e)(f)			70		63,173
RB, Series D-2-RSA-1, 7.50%, 01/01/20(e)(f)			840		777,899
RB, Series TT, 5.00%, 07/01/32(e)(f)			395		339,700
RB, Series TT-RSA-1, 5.00%, 07/01/23(e)(f)			855		771,615
RB, Series TT-RSA-1, 5.00%, 07/01/25(e)(f)			45		40,611
RB, Series TT-RSA-1, 5.00%, 07/01/26(e)(f)			190		171,470
RB, Series WW, 5.00%, 07/01/28(e)(f)			165		141,900
RB, Series WW, 5.50%, 07/01/38(e)(f)			130		111,800
RB, Series WW-RSA-1, 5.50%, 07/01/17(e)(f)			110		99,272
RB, Series WW-RSA-1, 5.50%, 07/01/18(e)(f)			95		85,735
RB, Series WW-RSA-1, 5.50%, 07/01/19(e)(f)			70		63,173
RB, Series WW-RSA-1, 5.38%, 07/01/22(e)(f)			110		99,272
RB, Series WW-RSA-1, 5.38%, 07/01/24(e)(f)			65		58,661
RB, Series WW-RSA-1, 5.25%, 07/01/33(e)(f)			75		67,686
RB, Series WW-RSA-1, 5.50%, 07/01/38(e)(f)			90		81,223
RB, Series XX-RSA-1, 5.25%, 07/01/27(e)(f)			50		45,124
RB, Series XX-RSA-1, 5.25%, 07/01/35(e)(f)			30		27,074
RB, Series XX-RSA-1, 5.75%, 07/01/36(e)(f)			45		40,611
RB, Series XX-RSA-1, 5.25%, 07/01/40(e)(f)			2,320		2,093,739
Refunding RB, Series AAA-RSA-1, 5.25%, 07/01/22(e)(f)			160		144,396
Refunding RB, Series AAA-RSA-1, 5.25%, 07/01/28(e)(f)			265		239,156
Refunding RB, Series AAA-RSA-1, 5.25%, 07/01/29(e)(f)			40		36,099
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/17(a)(e)(f)			30		24,450
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/18(a)(e)(f)			30		24,450
Refunding RB, Series UU-RSA-1, 0.00%, 07/01/20(a)(e)(f)			250		208,803
Refunding RB, Series UU-RSA-1, 0.86%, 07/01/31(a)(e)(f)			300		250,563
Refunding RB, Series ZZ, 5.25%, 07/01/23(e)(f)			930		799,800
Refunding RB, Series ZZ-RSA-1, 5.00%, 07/01/17(e)(f)			70		63,173
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/19(e)(f)			235		212,081
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/24(e)(f)			150		135,371
Refunding RB, Series ZZ-RSA-1, 5.25%, 07/01/26(e)(f)			20		18,049
Refunding RB, Series ZZ-RSA-1, 5.00%, 07/01/28(e)(f)			75		67,686
Puerto Rico Public Buildings Authority
Refunding RB, 10.00%, 07/01/34(e)(f)			85		89,675
Refunding RB, (Commonwealth GTD), Series F, 5.25%, 07/01/24(e)(f)			100		96,235
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue RB, Series A-1, 0.00%, 07/01/29(c)			613		507,944

62 2 0 2 1   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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Puerto Rico (continued)
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue
RB, Series A-1, 0.00%, 07/01/31(c)	USD		364	$	278,409
RB, Series A-1, 0.00%, 07/01/33(c)			132		93,526
RB, Series A-1, 0.00%, 07/01/46(c)			7,185		2,193,724
RB, Series A-1, 0.00%, 07/01/51(c)			6,386		1,412,456
RB, Series A-1, 4.75%, 07/01/53			2,854		3,091,995
RB, Series A-1, 5.00%, 07/01/58			2,268		2,493,348
RB, Series A-2, 4.33%, 07/01/40			2,225		2,382,063
RB, Series A-2, 4.33%, 07/01/40			34		36,400
RB, Series A-2, 4.54%, 07/01/53			317		339,247
RB, Series A-2, 4.78%, 07/01/58			1,978		2,144,726
RB, Series B-1, 0.00%, 07/01/46(c)			477		145,747
					41,496,983
Rhode Island — 0.9%
Rhode Island Student Loan Authority, RB, AMT, Series A, 3.63%, 12/01/37			595		624,316
Tobacco Settlement Financing Corp.
Refunding RB, Series A, 5.00%, 06/01/35			400		455,008
Refunding RB, Series A, 5.00%, 06/01/40			600		666,168
Refunding RB, Series B, 4.50%, 06/01/45			750		808,957
Refunding RB, Series B, 5.00%, 06/01/50			1,040		1,156,844
					3,711,293
South Carolina — 2.1%
South Carolina Jobs EDA
RB, Series A, 5.00%, 11/15/54			210		226,659
Refunding RB, 4.00%, 11/15/27			160		168,269
Refunding RB, 5.00%, 02/01/36			1,045		1,243,968
Refunding RB, 5.00%, 02/01/38			1,000		1,183,990
Refunding RB, 5.00%, 05/01/43			730		868,167
South Carolina Public Service Authority
RB, Series A, 5.50%, 12/01/54			1,240		1,410,971
Refunding RB, Series A, 5.00%, 12/01/50			190		215,819
Refunding RB, Series B, 5.13%, 12/01/43			390		432,159
Refunding RB, Series B, 4.00%, 12/01/56			200		217,502
Refunding RB, Series C, 5.00%, 12/01/46			140		158,504
Refunding RB, Series E, 5.25%, 12/01/55			1,930		2,248,547
					8,374,555
Tennessee — 1.4%
Chattanooga-Hamilton County Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44			250		270,863
Franklin Health & Educational Facilities Board, Refunding RB, 7.50%, 06/01/47(b)(e)(f)			1,205		362,033
Knox County Health Educational & Housing Facility Board, Refunding RB, 5.00%, 04/01/36			690		805,823
Memphis-Shelby County IDB
Refunding TA, 5.50%, 07/01/37			360		364,133
Refunding TA, 5.63%, 01/01/46			470		468,881
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board
Refunding RB, 5.00%, 10/01/48			1,800		1,959,696
Refunding RB, 4.00%, 10/01/49			220		229,187
Refunding RB, 5.25%, 10/01/58			1,095		1,247,030
					5,707,646
Texas — 3.8%
Arlington Higher Education Finance Corp.
RB, 5.00%, 08/15/41			225		240,741
RB, 5.00%, 01/15/51			490		509,448
RB, 5.63%, 08/15/54(b)			1,305		1,350,022
RB, Series A, 4.63%, 08/15/46			170		170,687
Brazoria County IDC, RB, AMT, 7.00%, 03/01/39			390		403,771

Security		Par (000)		Value
Texas (continued)
Central Texas Regional Mobility Authority, RB, Series A, 5.00%, 01/01/45	USD		500	$	567,825
Central Texas Turnpike System
Refunding RB, Series C, 5.00%, 08/15/37			200		226,160
Refunding RB, Series C, 5.00%, 08/15/42			250		281,662
City of Houston Airport System Revenue
RB, AMT, Series B-1, 5.00%, 07/15/35			100		110,015
Refunding RB, AMT, 4.75%, 07/01/24			500		527,255
Refunding RB, AMT, 5.00%, 07/15/27			140		162,120
Refunding RB, AMT, 5.00%, 07/01/29			500		544,985
Refunding RB, AMT, Series C, 5.00%, 07/15/27			910		1,053,016
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45			500		566,620
County of Hays, Special Assessment RB, 7.00%, 09/15/45			250		274,702
Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42			465		487,855
Mission EDC, Refunding RB, AMT, 4.63%, 10/01/31(b)			285		302,656
New Hope Cultural Education Facilities Finance Corp.
RB, 10.00%, 12/01/25(b)			695		691,733
RB, 5.00%, 08/15/39(b)			125		130,328
RB, 5.00%, 08/15/49(b)			195		200,893
RB, Series A, 5.00%, 08/15/51(b)			250		269,333
Refunding RB, Series A, 4.00%, 08/15/26(b)			775		779,503
Newark Higher Education Finance Corp.
RB, 5.00%, 06/15/38			125		127,825
RB, Series A, 5.50%, 08/15/35(b)			300		344,292
North Texas Tollway Authority
Refunding RB, 4.25%, 01/01/49			1,675		1,913,353
Refunding RB, Series B, 5.00%, 01/01/40			250		268,145
Port Beaumont Navigation District
Refunding RB, AMT, 3.63%, 01/01/35(b)			405		413,448
Refunding RB, AMT, 4.00%, 01/01/50(b)			875		902,125
Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, 5.00%, 10/01/49			250		269,635
Texas Transportation Commission
RB, 0.00%, 08/01/40(c)			1,000		462,030
RB, 0.00%, 08/01/42(c)			655		272,428
RB, 5.00%, 08/01/57			315		363,163
					15,187,774
Utah — 0.3%
Utah Charter School Finance Authority
RB, Series A, 5.00%, 06/15/41(b)			125		136,509
RB, Series A, 5.00%, 06/15/52(b)			160		171,081
RB, (Utah Charter School Credit Enhancement), 5.13%, 07/15/49(b)			545		545,627
Refunding RB, 5.00%, 06/15/55(b)			230		251,813
					1,105,030
Vermont — 0.2%
East Central Vermont Telecommunications District, RB, Series A, 4.75%, 12/01/40(b)			695		707,670
Virginia — 1.3%
Ballston Quarter Community Development Authority
TA, Series A, 5.00%, 03/01/26			120		121,440
TA, Series A, 5.13%, 03/01/31			230		230,402
Cherry Hill Community Development Authority, Special Assessment RB, 5.40%, 03/01/45(b)			250		268,940
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51			810		923,287
Fairfax County EDA, RB, Series A, 5.00%, 12/01/42			400		426,596
Henrico County EDA, Refunding RB, 4.00%, 10/01/45.			235		249,608
Lexington IDA, RB, Series A, 5.00%, 01/01/48			330		347,853

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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Virginia (continued)
Lower Magnolia Green Community Development Authority
Special Assessment RB, 5.00%, 03/01/35(b)	USD		240	$	257,926
Special Assessment RB, 5.00%, 03/01/45(b)			95		100,816
Norfolk Redevelopment & Housing Authority
RB, 4.00%, 01/01/29			250		260,545
RB, 5.00%, 01/01/34			190		204,001
RB, 5.00%, 01/01/49			365		384,071
Virginia HDA, RB, (GNMA/FNMA/FHLMC), Series I, 2.55%, 11/01/50			1,250		1,242,362
					5,017,847
Washington — 0.9%
Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A, 5.50%, 09/01/42			250		253,622
King County Public Hospital District No. 4, GO, Refunding, 5.00%, 12/01/30			200		212,118
Port of Seattle, RB, AMT, Series C, 5.00%, 04/01/40			250		281,632
Washington State Housing Finance Commission
RB, Series A, 5.00%, 07/01/50(b)			155		169,984
RB, Series A, 5.00%, 07/01/56(b)			175		189,452
Refunding RB, 5.00%, 01/01/43(b)			1,100		1,252,570
Refunding RB, 6.00%, 01/01/45(b)			210		224,698
Refunding RB, 5.00%, 01/01/48(b)			1,000		1,127,610
					3,711,686
West Virginia — 0.1%
City of Martinsburg, RB, Series A-1, 4.63%, 12/01/43			430		442,006
Wisconsin — 4.3%
Public Finance Authority
RB, 6.25%, 10/01/31(b)			195		205,015
RB, 0.00%, 01/01/35(b)(c)			1,285		574,819
RB, 4.50%, 01/01/35(b)			725		780,535
RB, 5.00%, 06/15/41(b)			210		217,711
RB, 5.00%, 11/15/41			375		434,501
RB, 5.00%, 01/01/42(b)			360		370,804
RB, 5.38%, 06/01/44(b)			245		245,649
RB, 6.85%, 11/01/46(b)			275		286,962
RB, 7.00%, 11/01/46(b)			155		162,832
RB, 5.38%, 07/15/47(b)			335		370,118
RB, 7.00%, 10/01/47(b)			195		202,574
RB, 5.50%, 12/01/48(b)(e)(f)			8		2,711
RB, 5.63%, 06/15/49(b)			1,440		1,410,869
RB, 5.00%, 04/01/50(b)			100		113,123
RB, 5.50%, 06/01/54(b)			300		287,073
RB, 5.00%, 01/01/55(b)			1,570		1,723,201
RB, 5.00%, 06/15/55(b)			550		551,293
RB, 5.00%, 06/15/55(b)			2,750		2,753,658
RB, 5.00%, 07/01/55(b)			880		898,489
RB, 5.00%, 01/01/56(b)			875		888,230
RB, 0.00%, 01/01/60(b)(c)			19,530		1,525,098
RB, Series A, 5.13%, 10/01/45			150		161,035
RB, Series A, 5.63%, 06/15/49(b)			885		920,134
Refunding RB, 5.00%, 10/01/34(b)			100		112,799
Refunding RB, 5.00%, 10/01/39(b)			165		183,124
Refunding RB, AMT, Series B, 5.00%, 07/01/42			750		779,025
Wisconsin Health & Educational Facilities Authority Refunding RB, 5.00%, 11/01/46			270		282,541

Security		Par (000)		Value
Wisconsin (continued)
Wisconsin Health & Educational Facilities Authority Refunding RB, 5.00%, 11/01/54	USD		455	$	471,749
Wisconsin Housing & EDA, RB, Series A, 4.55%, 07/01/37			165		177,261
					17,092,933
Total Municipal Bonds — 91.9% (Cost: $338,577,638)					368,315,967
Municipal Bonds Transferred to Tender Option Bond Trusts(h)
Colorado — 0.6%
Colorado Health Facilities Authority, Refunding RB, Series A-2, 4.00%, 08/01/49(g)			2,280		2,568,899
Florida — 0.8%
Escambia County Health Facilities Authority, Refunding RB, Series A, 4.00%, 08/15/45(g)			3,060		3,394,680
Illinois — 0.5%
Illinois Toll Highway Authority
RB, Series A, 5.00%, 01/01/40			660		758,528
RB, Series C, 5.00%, 01/01/38			1,000		1,153,031
					1,911,559
Massachusetts — 0.3%
Massachusetts HFA, Refunding RB, AMT, Series A, 4.50%, 12/01/47			982		1,059,537
New Jersey — 0.4%
New Jersey Higher Education Student Assistance Authority, Refunding RB, AMT, Sub-Series C, 4.25%, 12/01/50			1,540		1,629,941
New York — 3.4%
New York City Housing Development Corp.
RB, Series D-1-B, 4.25%, 11/01/45			1,000		1,062,349
Refunding RB, Series A-1, 4.15%, 11/01/38			1,550		1,725,181
New York State Dormitory Authority Personal Income Tax Revenue, Refunding RB, Series E, 5.00%, 03/15/36			3,330		3,925,437
Port Authority of New York & New Jersey
RB, AMT, Series 221, 4.00%, 07/15/60			5,015		5,576,621
Refunding RB, 194th Series, 5.25%, 10/15/55			1,000		1,165,390
					13,454,978
North Carolina — 0.5%
North Carolina Capital Facilities Finance Agency, Refunding RB, Series B, 5.00%, 10/01/55			1,000		1,201,010
North Carolina HFA Home Ownership, RB, Series 39-B, 4.00%, 01/01/48			696		752,333
					1,953,343
Oregon — 1.4%
Salem Hospital Facility Authority, Refunding RB, Series A, 4.00%, 05/15/49			5,000		5,677,000
Virginia — 0.3%
Hampton Roads Transportation Accountability Commission, RB, Series A, 4.00%, 07/01/60(g)			920		1,054,953
Washington — 0.4%
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45			1,340		1,556,727

64 2 0 2 1   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, 2021 BATS: Series E Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
West Virginia — 0.3%
Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48(g)		USD  1,215	$	1,376,082
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 8.9% (Cost: $33,292,057)				35,637,699
Non-Agency Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — 0.3%
California Housing Finance, Series 2021-1, Class A, 3.50%, 11/20/35		985		1,123,386
Total Non-Agency Mortgage-Backed Securities — 0.3% (Cost: $1,110,890)				1,123,386
Total Long-Term Investments — 101.1% (Cost: $372,980,585)				405,077,052
	Shares
Short-Term Securities(i)
Money Market Funds — 3.6%
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 0.01%		14,602,110		14,600,650
Total Short-Term Securities — 3.6% (Cost: $14,600,594)				14,600,650
Total Investments — 104.7% (Cost: $387,581,179)				419,677,702
Liabilities in Excess of Other Assets — (0.0)%				(19,059	)
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (4.7)%				(19,043,993	)
Net Assets — 100.0%			$	400,614,650

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

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

^(c)  Zero-coupon bond.

^(d)  When-issued security.

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

^(f)  Non-income producing security.

^(g)  All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between 06/01/26 to 07/01/28, is $4,043,653. See Note 4 of the Notes to Financial Statements for details.

^(h)  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.

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)	Value/ Unrealized Appreciation (Depreciation)
Short Contracts
U.S. Treasury Bonds (30 Year)		42		06/21/21	$    6,504	$	277,862
U.S. Treasury Notes (10 Year)		72		06/21/21	9,435		231,075
						$	508,937

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, 2021 BATS: Series E 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(a)	$	—	$	—	$	—	$	—	$	508,937	$	—	$	508,937

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

For the year ended March 31, 2021, 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	$	—	$	—	$	—	$	—	$	781,889	$	—	$	781,889
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts	$	—	$	—	$	—	$	—	$	508,937	$	—	$	508,937

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — short	$	8,323,098

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

Fair Value Hierarchy as of Period End

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

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

	Level 1		Level 2		Level 3		Total
Assets
Investments
Long-Term Investments
Municipal Bonds	$	—	$	368,315,967	$	—	$	368,315,967
Municipal Bonds Transferred to Tender Option Bond Trusts		—		35,637,699		—		35,637,699
Non-Agency Mortgage-Backed Securities		—		1,123,386		—		1,123,386
Short-Term Securities
Money Market Funds		14,600,650		—		—		14,600,650
	$	14,600,650	$	405,077,052	$	—	$	419,677,702
Derivative Financial Instruments(a)
Assets
Interest Rate Contracts	$	508,937	$	—	$	—	$	508,937

^(a)  Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, TOB Trust Certificates of $18,987,000 are categorized as Level 2 within the fair value hierarchy.

See notes to financial statements.

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Schedule of Investments March 31, 2021 BATS: Series M Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities
Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 09/20/40(a)	USD		183	$	190,738
Progress Residential Trust, Series 2017-SFR1, Class A, 2.77%, 08/17/34(a)			864		869,740
Total Asset-Backed Securities — 0.1% (Cost: $1,047,037)					1,060,478
Non-Agency Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — 15.9%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35(a)			945		1,034,054
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 0.99%, 09/15/34(a)(b)			3,928		3,929,187
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C, 3.60%, 05/15/53(a)(b)			400		413,456
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class B, 3.49%, 04/14/33(a)			2,164		2,312,807
Series 2018-DSNY, Class A, (1 mo. LIBOR US + 0.85%), 0.96%, 09/15/34(a)(b)			665		664,793
BANK
Series 2018-BN11, Class B, 4.35%, 03/15/61(b)			1,769		1,968,389
Series 2020-BN25, Class B, 3.04%, 01/15/63(b)			240		247,738
Series 2020-BN26, Class B, 2.91%, 03/15/63(b)			3,106		3,104,809
Benchmark Mortgage Trust, Series 2020-B20, Class B, 2.53%, 10/15/53			829		804,977
BFLD, Series 2019-DPLO, Class A, (1 mo. LIBOR US + 1.09%), 1.20%, 10/15/34(a)(b)			70		69,958
BFLD TRUST Mortgage-Backed Securities, Series 2020-EYP, Class A, (1 mo. LIBOR US + 1.15%), 1.26%, 10/15/35(a)(b)			2,778		2,802,466
BWAY Mortgage Trust, Series 2013-1515, Class A2, 3.45%, 03/10/33(a)			3,920		4,197,645
BX Commercial Mortgage Trust
Series 2019-XL, Class A, (1 mo. LIBOR US + 0.92%), 1.03%, 10/15/36(a)(b)			2,078		2,078,893
Series 2019-XL, Class D, (1 mo. LIBOR US + 1.45%), 1.56%, 10/15/36(a)(b)			3,950		3,950,146
Series 2020-FOX, Class D, (1 mo. LIBOR US + 2.10%), 2.21%, 11/15/32(a)(b)			3,096		3,103,763
Series 2020-VIV4, Class A, 2.84%, 03/09/44(a)			4,980		5,052,428
BX Trust
Series 2019-OC11, Class A, 3.20%, 12/09/41(a)			5,432		5,675,905
Series 2019-OC11, Class D, 4.08%, 12/09/41(a)(b) .			1,489		1,546,575
CD Mortgage Trust, Series 2018-CD7, Class C, 4.85%, 08/15/51(b)			1,800		1,954,264
CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39(a)			1,254		1,239,375
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.37%, 03/13/35(a)			4,700		4,901,298
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.93%), 1.04%, 11/15/36(a)(b)			715		715,215
Citigroup Commercial Mortgage Trust
Series 2016-P5, Class B, 3.70%, 10/10/49(b)			2,613		2,768,183
Series 2016-P6, Class B, 4.24%, 12/10/49(b)			895		934,942
Series 2020-420K, Class A, 2.46%, 11/10/42(a)			2,890		2,842,308
Series 2020-420K, Class B, 2.86%, 11/10/42(a)			130		129,251
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.78%, 11/10/31(a)(b)			2,005		2,083,138

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust
Series 2013-CR6, Class A3FL, (1 mo. LIBOR US + 0.63%), 0.74%, 03/10/46(a)(b)	USD		57	$	56,732
Series 2013-WWP, Class A2, 3.42%, 03/10/31(a)			1,950		2,048,266
Series 2014-LC15, Class A4, 4.01%, 04/10/47			2,025		2,193,062
Series 2014-UBS2, Class A5, 3.96%, 03/10/47			1,215		1,311,688
Series 2015-CR27, Class B, 4.34%, 10/10/48(b)			2,917		3,192,637
Series 2015-LC23, Class ASB, 3.60%, 10/10/48			3,491		3,709,222
Series 2017-COR2, Class AM, 3.80%, 09/10/50			404		443,198
Series 2017-PANW, Class A, 3.24%, 10/10/29(a)			3,960		4,116,203
Series 2019-521F, Class B, (1 mo. LIBOR US + 1.10%), 1.21%, 06/15/34(a)(b)			1,304		1,280,650
Credit Suisse Mortgage Capital Trust
Series 2020-NET, Class A, 2.26%, 08/15/37(a)			1,207		1,228,190
Series 2020-NET, Class C, 3.53%, 08/15/37(a)			266		275,125
CSAIL Commercial Mortgage Trust
Series 2018-CX11, Class A5, 4.03%, 04/15/51(b)			1,003		1,113,788
Series 2019-C16, Class A3, 3.33%, 06/15/52			5,013		5,352,594
Series 2019-C17, Class C, 3.93%, 09/15/52			1,203		1,193,536
DBGS Mortgage Trust, Series 2018-5BP, Class D, (1 mo. LIBOR US + 1.35%), 1.46%, 06/15/33(a)(b)			2,307		2,285,257
FRESB Mortgage Trust
Series 2019-SB60, Class A10F, 3.31%, 01/25/29(b)			2,799		2,923,238
Series 2019-SB61, Class A10F, 3.17%, 01/25/29(b)			2,151		2,233,490
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A, (1 mo. LIBOR US + 0.80%), 0.91%, 02/15/38(a)(b)			960		960,181
Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40(a)			900		890,972
GS Mortgage Securities Corp. II
Series 2005-ROCK, Class A, 5.37%, 05/03/32(a)			910		1,047,751
Series 2005-ROCK, Class F, 5.52%, 05/03/32(a)			706		802,153
GS Mortgage Securities Trust
Series 2012-GCJ9, Class C, 4.45%, 11/10/45(a)(b)			300		311,453
Series 2015-GC34, Class B, 4.47%, 10/10/48(b)			1,500		1,620,934
Series 2020-TWN3, Class A, (1 mo. LIBOR US + 2.00%), 2.11%, 11/15/37(a)(b)			5,300		5,323,439
Hawaii Hotel Trust, Series 2019-MAUI, Class A, (1 mo. LIBOR US + 1.15%), 1.26%, 05/15/38(a)(b)			100		100,061
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.44%, 07/10/39(a)(b)			669		683,552
IMT Trust, Series 2017-APTS, Class BFX, 3.50%, 06/15/34(a)(b)			2,425		2,561,919
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a)			349		369,600
JPMBB Commercial Mortgage Securities Trust
Series 2014-C23, Class ASB, 3.66%, 09/15/47			4,176		4,388,486
Series 2016-C1, Class ASB, 3.32%, 03/15/49			3,219		3,412,946
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2016-NINE, Class A, 2.85%, 09/06/38(a)(b)			1,790		1,894,190
Series 2018-AON, Class A, 4.13%, 07/05/31(a)			865		923,342
Series 2020-609M, Class A, (1 mo. LIBOR US + 1.37%), 1.48%, 10/15/33(a)(b)			2,000		2,004,980
Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 2.88%, 10/15/33(a)(b)			600		602,057
Series 2020-MKST, Class B, (1 mo. LIBOR US + 1.05%), 1.16%, 12/15/36(a)(b)			1,540		1,523,135
Series 2021-2NU, Class A, 1.97%, 01/05/40(a)			1,210		1,199,660

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, 2021 BATS: Series M Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
KKR Industrial Portfolio Trust
Series 2020-AIP, Class A, (1 mo. LIBOR US + 1.04%), 1.14%, 03/15/37(a)(b)	USD		599	$	599,147
Series 2021-KDIP, Class B, (1 mo. LIBOR US + 0.80%), 0.91%, 12/15/37(a)(b)			220		219,736
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49(a)			2,408		2,444,520
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A4, 4.04%, 11/15/46			1,170		1,259,594
Morgan Stanley Capital I Trust
Series 2014-CPT, Class A, 3.35%, 07/13/29(a)			4,700		4,699,548
Series 2014-CPT, Class E, 3.45%, 07/13/29(a)(b)			1,700		1,699,781
Series 2014-MP, Class A, 3.47%, 08/11/33(a)			14,700		14,740,550
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49			3,728		3,953,363
Series 2018-H3, Class A5, 4.18%, 07/15/51			623		697,190
Series 2018-H3, Class B, 4.62%, 07/15/51(b)			739		821,964
Series 2018-MP, Class A, 4.28%, 07/11/40(a)(b)			1,000		1,075,726
Series 2018-SUN, Class A, (1 mo. LIBOR US + 0.90%), 1.01%, 07/15/35(a)(b)			1,910		1,908,832
Series 2020-HR8, Class AS, 2.30%, 07/15/53			303		297,259
Series 2020-HR8, Class B, 2.70%, 07/15/53			364		366,688
MSCG Trust
Series 2018-SELF, Class A, (1 mo. LIBOR US + 0.90%), 1.01%, 10/15/37(a)(b)			661		660,991
Series 2018-SELF, Class C, (1 mo. LIBOR US + 1.18%), 1.29%, 10/15/37(a)(b)			2,015		2,012,551
NYC Commercial Mortgage Trust, 2.94%, 04/10/43(a)			1,380		1,421,373
Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MA, 3.50%, 03/25/58			2,596		2,790,238
Wells Fargo Commercial Mortgage Trust
Series 2015-LC22, Class ASB, 3.57%, 09/15/58			3,414		3,630,464
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57			3,577		3,807,290
Series 2015-P2, Class AS, 4.01%, 12/15/48			1,605		1,758,521
Series 2017-C41, Class B, 4.19%, 11/15/50(b)			1,304		1,392,619
Series 2020-C58, Class A4, 2.09%, 07/15/53			760		737,948
Series 2020-C58, Class AS, 2.40%, 07/15/53			270		263,424
WFRBS Commercial Mortgage Trust
Series 2012-C8, Class AFL, (1 mo. LIBOR US + 1.00%), 1.11%, 08/15/45(a)(b)			2,421		2,422,813
Series 2014-C21, Class A4, 3.41%, 08/15/47			2,804		2,959,657
Series 2014-LC14, Class A4, 3.77%, 03/15/47			5,374		5,700,956
					190,446,393
Interest Only Commercial Mortgage-Backed Securities — 0.6%
BANK, Series 2020-BN29, Class XA, 1.36%, 11/15/53(b)			4,336		446,589
Benchmark Mortgage Trust
Series 2020-B20, Class XA, 1.63%, 10/15/53(b)			23,090		2,499,427
Series 2020-B21, Class XA, 1.46%, 12/17/53(b)			3,868		417,875
Commercial Mortgage Trust, Series 2014-LC17, Class XA, 0.72%, 10/10/47(b)			49,721		997,479
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA, 1.56%, 06/15/52(b)			13,047		1,303,662
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/48(a)			115,988		41,315
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.01%, 04/10/47(b)			537		12,802
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.49%, 10/15/52(b)			10,332		1,009,529

Security		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust
Series 2018-C44, Class XA, 0.75%, 05/15/51(b)	USD		8,639	$	362,709
Series 2020-C58, Class XA, 1.89%, 07/15/53(b)			4,732		656,611
					7,747,998
Total Non-Agency Mortgage-Backed Securities — 16.5% (Cost: $197,339,497)					198,194,391
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 1.7%
Fannie Mae
Series 2010-134, Class KZ, 4.50%, 12/25/40			751		753,028
Series 2010-141, Class LZ, 4.50%, 12/25/40			881		938,873
Series 2011-131, Class LZ, 4.50%, 12/25/41			521		524,459
Series 2011-8, Class ZA, 4.00%, 02/25/41			1,204		1,270,208
Series 2013-81, Class YK, 4.00%, 08/25/43			200		223,339
Series 2017-76, Class PB, 3.00%, 10/25/57			900		929,665
Series 2018-21, Class CA, 3.50%, 04/25/45			2,668		2,753,436
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 7.11%, 05/25/48(b)			3,808		4,144,921
Freddie Mac
Series 3745, Class ZA, 4.00%, 10/15/40			349		390,201
Series 3780, Class ZA, 4.00%, 12/15/40			1,224		1,378,539
Series 3960, Class PL, 4.00%, 11/15/41			900		1,018,334
Series 4161, Class BW, 2.50%, 02/15/43			1,400		1,434,521
Series 4384, Class LB, 3.50%, 08/15/43			1,400		1,528,161
Ginnie Mae
Series 2014-107, Class WX, 6.80%, 07/20/39(b)			604		706,454
Series 2016-123, Class LM, 3.00%, 09/20/46(c)			600		642,000
Series 2019-5, Class P, 3.50%, 07/20/48			1,117		1,181,216
					19,817,355
Commercial Mortgage-Backed Securities — 0.0%
Ginnie Mae, Series 2019-7, Class V, 3.00%, 05/16/35			280		293,743
Interest Only Collateralized Mortgage Obligations — 1.6%
Fannie Mae
Series 2013-10, Class PI, 3.00%, 02/25/43			1,521		162,207
Series 2014-68, Class YI, 4.50%, 11/25/44			770		126,190
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 6.14%, 09/25/45(b)			4,654		880,347
Series 2015-74, Class IA, 6.00%, 10/25/45(c)			6,362		1,466,402
Series 2015-77, Class IO, 6.00%, 10/25/45(c)			7,511		1,731,329
Series 2016-60, Class SD, (1 mo. LIBOR US + 6.10%), 5.99%, 09/25/46(b)			1,993		368,141
Series 2016-78, Class CS, (1 mo. LIBOR US + 6.10%), 5.99%, 05/25/39(b)			2,574		474,510
Series 2017-38, Class S, (1 mo. LIBOR US + 6.10%), 5.99%, 05/25/47(b)			3,261		727,889
Series 2017-68, Class IE, 4.50%, 09/25/47			3,227		449,307
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 6.04%, 09/25/47(b)			2,120		501,971
Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 5.94%, 06/25/49(b)			5,292		1,147,089
Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 5.99%, 07/25/49(b)			1,900		326,784
Series 2019-5, Class SA, (1 mo. LIBOR US + 6.10%), 5.99%, 03/25/49(b)			13,981		2,703,159
Series 2020-32, Class IO, 4.00%, 05/25/50			3,825		548,936
Series 2020-32, Class PI, 4.00%, 05/25/50			3,970		629,211
Freddie Mac
Series 4062, Class GI, 4.00%, 02/15/41			466		36,791

68 2 0 2 1   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, 2021 BATS: Series M Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Interest Only Collateralized Mortgage Obligations (continued)
Freddie Mac
Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 6.04%, 10/15/42(b)	USD		2,684	$	546,869
Series 4533, Class JI, 5.00%, 12/15/45			1,272		249,637
Series 4901, Class CS, (1 mo. LIBOR US + 6.10%), 5.99%, 07/25/49(b)			3,366		637,642
Series 4941, Class SH, (1 mo. LIBOR US + 5.95%), 5.84%, 12/25/49(b)			7,573		1,331,306
Ginnie Mae
Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 6.09%, 07/20/47(b)			2,992		600,207
Series 2017-139, Class IB, 4.50%, 09/20/47			1,578		276,591
Series 2017-144, Class DI, 4.50%, 09/20/47			1,124		206,856
Series 2020-115, Class IM, 3.50%, 08/20/50			4,046		512,643
Series 2020-146, Class DI, 2.50%, 10/20/50			4,410		533,724
Series 2020-162, Class TI, 2.50%, 10/20/50			7,895		1,045,569
Series 2020-175, Class DI, 2.50%, 11/20/50			1,579		207,775
Series 2020-185, Class MI, 2.50%, 12/20/50			5,264		735,906
					19,164,988
Interest Only Commercial Mortgage-Backed Securities — 1.1%
Freddie Mac
Series K094, Class X1, 0.88%, 06/25/29(b)			4,311		276,670
Series K105, Class X1, 1.52%, 01/25/30(b)			15,315		1,767,319
Series K107, Class X1, 1.59%, 01/25/30(b)			3,757		456,710
Series K109, Class X1, 1.58%, 04/25/30(b)			2,874		350,345
Series K110, Class X1, 1.70%, 04/25/30(b)			1,203		155,024
Series K113, Class X1, 1.39%, 06/25/30(b)			4,900		535,989
Series K115, Class X1, 1.33%, 06/25/30(b)			5,933		624,353
Series K116, Class X1, 1.43%, 07/25/30(b)			2,092		232,525
Series K119, Class X1, 0.93%, 09/25/30(b)			3,322		250,241
Series K120, Class X1, 1.04%, 10/25/30(b)			20,925		1,741,739
Series K122, Class X1, 0.88%, 11/25/30(b)			5,083		367,384
Ginnie Mae
Series 2013-63, Class IO, 0.76%, 09/16/51(b)			13,639		399,366
Series 2016-105, Class IO, 0.96%, 10/16/57(b)			15,564		750,406
Series 2016-128, Class IO, 0.87%, 09/16/56(b)			16,061		876,108
Series 2016-151, Class IO, 1.03%, 06/16/58(b)			40,297		2,465,166
Series 2016-45, Class IO, 0.91%, 02/16/58(b)			11,228		577,028
Series 2017-53, Class IO, 0.65%, 11/16/56(b)			13,686		623,051
Series 2017-61, Class IO, 0.70%, 05/16/59(b)			2,998		156,841
Series 2017-64, Class IO, 0.76%, 11/16/57(b)			9,999		546,740
					13,153,005
Mortgage-Backed Securities — 134.8%
Fannie Mae Mortgage-Backed Securities
2.00%, 10/01/31 - 03/01/32			2,005		2,062,012
2.50%, 09/01/27 - 12/01/50			31,457		32,934,666
3.00%, 04/01/28 - 08/01/50(d)			67,367		70,910,961
3.50%, 03/01/29 - 06/01/49			22,569		24,373,432
4.00%, 02/01/31 - 01/01/49			7,547		8,260,139
4.50%, 05/01/24 - 02/01/50			33,094		36,408,057
5.00%, 02/01/35 - 01/01/49			11,733		13,369,126
5.50%, 05/01/34 - 05/01/44			4,308		5,027,648
6.00%, 02/01/38 - 07/01/41			2,604		3,104,357
6.50%, 07/01/37 - 01/01/38			30		34,490
Freddie Mac Mortgage-Backed Securities
2.50%, 02/01/30 - 04/01/31			2,779		2,910,811
3.00%, 09/01/27 - 09/01/50			87,663		92,844,977
3.50%, 09/01/30 - 08/01/50			50,251		54,303,860
4.00%, 08/01/40 - 06/01/50			37,994		41,623,656
4.50%, 05/01/24 - 09/01/48			1,452		1,617,791
5.00%, 05/01/28 - 03/01/49			5,112		5,818,474
5.50%, 01/01/28 - 06/01/41			1,050		1,220,976

Security		Par (000)		Value
Mortgage-Backed Securities (continued)
Freddie Mac Mortgage-Backed Securities 6.00%, 08/01/28 - 11/01/39	USD		470	$	557,367
Ginnie Mae Mortgage-Backed Securities
2.00%, 04/15/51(e)			44,360		44,789,738
2.50%, 04/15/51(e)			45,212		46,650,013
3.00%, 12/20/44 - 04/15/51(e)			88,033		91,811,597
3.50%, 01/15/42 - 04/15/51(d)(e)			56,255		59,784,613
4.00%, 04/20/39 - 04/15/51(e)			27,853		30,033,295
4.50%, 09/20/39 - 08/20/50			12,529		13,741,855
5.00%, 07/15/33 - 04/15/51(e)			7,130		7,877,046
5.50%, 07/15/38 - 12/20/41			641		750,670
Uniform Mortgage-Backed Securities
1.50%, 04/01/36(e)			16,863		16,939,131
2.00%, 04/01/36 - 04/01/51(e)			304,144		304,848,968
2.50%, 04/01/36 - 04/01/51(e)			362,835		371,987,368
3.00%, 04/01/36 - 04/01/51(e)			78,929		82,282,888
3.50%, 04/01/36 - 04/01/51(e)			59,173		62,515,239
4.00%, 04/01/36 - 04/01/51(e)			65,557		70,329,536
4.50%, 04/01/51(e)			2,300		2,503,766
5.00%, 04/01/51(e)			8,883		9,840,872
					1,614,069,395
Total U.S. Government Sponsored Agency Securities —139.2% (Cost: $1,669,925,373)					1,666,498,486
U.S. Treasury Obligations
U.S. Treasury Notes, 2.50%, 03/31/23			40,000		41,864,062
Total U.S. Treasury Obligations — 3.5% (Cost: $41,863,780)					41,864,062
Total Long-Term Investments — 159.3% (Cost: $1,910,175,687)					1,907,617,417
		Shares
Short-Term Securities
Money Market Funds — 0.6%
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.01%(f)			6,518,764		6,518,764
		Par (000)
U.S. Treasury Obligations(g) — 30.9%
U.S. Treasury Bills
0.04%, 04/01/21	USD		4,317		4,317,000
0.04%, 04/06/21			3,461		3,460,997
0.03%, 04/08/21			35,146		35,145,966
0.03%, 04/15/21			21,604		21,603,895
0.03%, 04/22/21			1,012		1,011,994
0.03%, 04/27/21			139,703		139,701,487
0.02%, 04/29/21			645		644,995
0.02%, 05/04/21			307		306,995
0.01%, 05/11/21			61,754		61,753,142
0.01%, 06/17/21			1,846		1,845,941
0.03%, 09/16/21			17,634		17,631,737
0.03%, 09/23/21			14,416		14,413,985
0.03%, 11/04/21			23,766		23,760,628

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, 2021 BATS: Series M Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
U.S. Treasury Bills
0.04%, 12/02/21	USD		2,820	$	2,819,280
0.04%, 12/30/21			41,590		41,574,230
					369,992,272
Total Short-Term Securities — 31.5% (Cost: $376,515,624)					376,511,036
Total Investments Before Options Written and TBA Sale Commitments — 190.8% (Cost: $2,286,691,311)					2,284,128,453
TBA Sale Commitments(e)
Mortgage-Backed Securities — (42.4)%
Ginnie Mae Mortgage-Backed Securities
3.00%, 04/15/51			2,259		(2,353,331	)
3.50%, 04/15/51			1,007		(1,062,621	)
4.00%, 04/15/51			567		(605,272	)
4.50%, 04/15/51			2,412		(2,608,729	)
Uniform Mortgage-Backed Securities
2.00%, 04/01/36 - 04/01/51			158,677		(158,977,018	)
2.50%, 04/01/36 - 04/01/51			209,498		(214,951,910	)
3.00%, 04/01/36 - 04/01/51			73,778		(76,888,997	)
3.50%, 04/01/36 - 04/01/51			11,626		(12,307,861	)
4.00%, 04/01/36 - 04/01/51			25,851		(27,730,381	)
4.50%, 04/01/51			9,027		(9,826,736	)
Total TBA Sale Commitments — (42.4)% (Proceeds: $(508,866,410))					(507,312,856	)
Options Written — (0.0)%
(Premiums Received: $(30,421))					(10,273	)
Total Investments Net of Options Written and TBA Sale Commitments — 148.4% (Cost: $1,777,794,480)					1,776,805,324
Liabilities in Excess of Other Assets — (48.4)%					(579,638,449	)
Net Assets — 100.0%				$	1,197,166,875

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

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

^(e)  Represents or includes a TBA transaction.

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

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Ultra Treasury Bonds		1		06/21/21	$	182	$	2,280
U.S. Treasury Notes (5 Year)		284		06/30/21		35,061		90,375
								92,655

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Schedule of Investments  (continued) March 31, 2021 BATS: Series M Portfolio

Futures Contracts (continued)

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Short Contracts
Euro Dollar		18		06/14/21	$	4,492	$	2,238
U.S. Treasury Bonds (30 Year)		32		06/21/21		4,955		124,448
U.S. Treasury Notes (10 Year)		374		06/21/21		49,012		(288,724	)
U.S. Ultra Treasury Notes (10 Year)		44		06/21/21		6,331		13,009
U.S. Treasury Notes (2 Year)		282		06/30/21		62,249		191,063
Euro Dollar		18		09/13/21		4,491		(928	)
Euro Dollar		18		12/13/21		4,488		(3,737	)
Euro Dollar		18		03/14/22		4,489		(4,800	)
Euro Dollar		9		06/13/22		2,243		1,000
Euro Dollar		9		09/19/22		2,242		85
Euro Dollar		9		12/19/22		2,239		1,450
Euro Dollar		9		03/13/23		2,237		211
								35,315
							$	127,970

Exchange-Traded Options Written

Description

Number of Contracts

Expiration Date

Exercise Price

Notional Amount (000)

Value

Call

U.S. Treasury Notes (5 Year)

263

04/23/21

USD

124.50

USD

32,744

$

(10,273

)

Centrally Cleared Interest Rate Swaps

Paid by the Fund			Received by the Fund				Termination Date			Notional Amount (000)		Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency		Rate		Frequency
1.65%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		08/15/21	USD		2,000	$	(14,575	)	$	23	$	(14,598	)
1.68%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		06/24/22	USD		15,500		(348,467	)		181		(348,648	)
1.72%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		06/26/22	USD		4,400		(101,657	)		51		(101,708	)
1.84%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		07/18/22	USD		8,000		(194,549	)		94		(194,643	)
3-month LIBOR, 0.19%		Quarterly		1.62%		Semi-Annual		07/21/22	USD		20,000		419,824			—		419,824
3-month LIBOR, 0.19%		Quarterly		1.63%		Semi-Annual		07/21/22	USD		8,000		169,369			—		169,369
1.81%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		07/25/22	USD		4,500		(107,255	)		53		(107,308	)
1.78%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		07/26/22	USD		9,700		(227,539	)		114		(227,653	)
3-month LIBOR, 0.19%		Quarterly		1.60%		Semi-Annual		08/04/22	USD		18,700		386,832			110		386,722
1.53%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		08/08/22	USD		15,500		(303,810	)		182		(303,992	)
3-month LIBOR, 0.19%		Quarterly		1.42%		Semi-Annual		09/10/22	USD		5,300		95,594			30		95,564
0.05%		At Termination		1-day Overnight Fed Funds     Effective Rate, 0.06%		At Termination		10/21/22	USD		308		258			—		258
Secured Overnight   Financing Rate, 0.01%		At Termination		0.05%		At Termination		10/21/22	USD		308		(85	)		—		(85	)
0.18%		At Termination		1-day Overnight Fed Funds     Effective Rate, 0.06%		At Termination		10/21/25	USD		232		5,773			—		5,773
Secured Overnight   Financing Rate, 0.01%		At Termination		0.17%		At Termination		10/21/25	USD		232		(5,495	)		—		(5,495	)
1.61%		Semi-Annual		3-month LIBOR, 0.19%		Quarterly		10/01/29	USD		6,300		(37,194	)		98		(37,292	)
0.56%		At Termination		1-day Overnight Fed Funds     Effective Rate, 0.06%		At Termination		10/21/30	USD		83		7,237			—		7,237
Secured Overnight   Financing Rate, 0.01%		At Termination		0.53%		At Termination		10/21/30	USD		83		(7,050	)		—		(7,050	)
												$	(262,789	)	$	936	$	(263,725	)

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, 2021 BATS: Series M Portfolio

OTC Credit Default Swaps — Buy Protection

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)		Value		Upfront Premiun Paid (Received)		Unrealized Appreciation (Depreciation)
CMBX.NA.10.BBB-		3.00	%		Monthly	Goldman Sachs International		11/17/59	USD	3,976	$	496,025	$	185,514	$	310,511
CMBX.NA.10.BBB-		3.00			Monthly	Goldman Sachs International		11/17/59	USD	4,174		520,827		204,332		316,495
											$	1,016,852	$	389,846	$	627,006

OTC Credit Default Swaps — Sell Protection

Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Counterparty		Termination Date		Credit Rating(a)		Notional Amount (000)(b)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.9.BBB-		3.00	%		Monthly		Deutsche Bank AG		09/17/58		Not Rated		USD	8,000	$	(877,837	)	$	(934,256	)	$	56,419
CMBX.NA.9.BBB-		3.00			Monthly		Goldman Sachs International		09/17/58		Not Rated		USD	10,400		(1,141,189	)		(460,324	)		(680,865	)
CMBX.NA.10.BBB-		3.00			Monthly		Goldman Sachs International		11/17/59		BBB-		USD	4,397		(548,663	)		(311,955	)		(236,708	)
CMBX.NA.10.BBB-		3.00			Monthly		J.P. Morgan Securities LLC		11/17/59		BBB-		USD	3,753		(468,189	)		(268,266	)		(199,923	)
															$	(3,035,878	)	$	(1,974,801	)	$	(1,061,077	)

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

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

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

	Swaps Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation			Value
Centrally Cleared Swaps(a)	$	936	$	—		$	1,084,747	$	(1,348,472	)	$	—
OTC Swaps		389,846		(1,974,801	)		683,425		(1,117,496	)		—
Options Written		N/A		N/A			20,148		—			(10,273	)

^(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(a)	$	—	$	—	$	—	$	—	$	426,159	$	—	$	426,159
Swaps — centrally cleared
Unrealized appreciation(a)		—		—		—		—		1,084,747		—		1,084,747
Swaps — OTC
Unrealized appreciation on OTC swaps;
Swap premiums paid		—		1,073,271		—		—		—		—		1,073,271
	$	—	$	1,073,271	$	—	$	—	$	1,510,906	$	—	$	2,584,177

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Schedule of Investments  (continued) March 31, 2021 BATS: Series M Portfolio

	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	298,189	$	—	$	298,189
Options written
Options written at value		—		—		—		—		10,273		—		10,273
Swaps — centrally cleared
Unrealized depreciation(a)		—		—		—		—		1,348,472		—		1,348,472
Swaps — OTC
Unrealized depreciation on OTC swaps;
Swap premiums received		—		3,092,297		—		—		—		—		3,092,297
	$	—	$	3,092,297	$	—	$	—	$	1,656,934	$	—	$	4,749,231

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

For the year ended March 31, 2021, 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	$	—	$	—	$	—	$	—	$	(2,773,883	)	$	—	$	(2,773,883	)
Options purchased(a)		—		—		—		—		(111,235	)		—		(111,235	)
Options written		—		—		—		—		1,390,814			—		1,390,814
Swaps		—		622,504		—		—		(211,597	)		—		410,907
	$	—	$	622,504	$	—	$	—	$	(1,705,901	)	$	—	$	(1,083,397	)
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts	$	—	$	—	$	—	$	—	$	1,277,969		$	—	$	1,277,969
Options written		—		—		—		—		1,625,676			—		1,625,676
Swaps		—		2,619,702		—		—		677,931			—		3,297,633
	$	—	$	2,619,702	$	—	$	—	$	3,581,576		$	—	$	6,201,278

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — long	$	33,715,321
Average notional value of contracts — short	$	115,087,757
Options
Average value of option contracts purchased	$	—	(a)
Average value of option contracts written	$	98,461
Credit default swaps
Average notional value — buy protection	$	8,150,000
Average notional value — sell protection	$	26,550,000
Interest rate swaps
Average notional value — pays fixed rate	$	52,311,537
Average notional value — received fixed rate	$	66,211,537

^(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.

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, 2021 BATS: Series M Portfolio

Derivative Financial Instruments – Offsetting as of Period End

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

	Assets			Liabilities
Derivative Financial Instruments
Futures contracts	$	57,751		$	31,694
Options		—			10,273
Swaps — centrally cleared		3,242			—
Swaps — OTC(a)		1,073,271			3,092,297
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,134,264		$	3,134,264
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(60,993	)		(41,967	)
Total derivative assets and liabilities subject to an MNA	$	1,073,271		$	3,092,297

^(a)  Includes unrealized appreciation (depreciation) on OTC swaps in the Statements of Assets and Liabilities.

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

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets
Deutsche Bank AG	$	56,419	$	(56,419	)	$	—	$	—		$	—
Goldman Sachs International		1,016,852		(1,016,852	)		—		—			—
	$	1,073,271	$	(1,073,271	)	$	—	$	—		$	—
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Pledged		Cash Collateral Pledged(b)			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	934,256	$	(56,419	)	$	—	$	(877,837	)	$	—
Goldman Sachs International		1,689,852		(1,016,852	)		—		(673,000	)		—
J.P. Morgan Securities LLC		468,189		—			—		(468,189	)		—
	$	3,092,297	$	(1,073,271	)	$	—	$	(2,019,026	)	$	—

^(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 pledged to the individual counterparty is not shown for financial reporting purposes.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of 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 investments categorized in the fair value hierarchy. The breakdown of the Fund’s investments 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	$	—	$	1,060,478	$	—	$	1,060,478
Non-Agency Mortgage-Backed Securities		—		198,194,391		—		198,194,391
U.S. Government Sponsored Agency Securities		—		1,662,658,755		3,839,731		1,666,498,486
U.S. Treasury Obligations		—		41,864,062		—		41,864,062
Short-Term Securities
Money Market Funds		6,518,764		—		—		6,518,764
U.S. Treasury Obligations		—		369,992,272		—		369,992,272

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Schedule of Investments  (continued) March 31, 2021 BATS: Series M Portfolio

	Level 1			Level 2			Level 3		Total
Liabilities
TBA Sale Commitments	$	—		$	(507,312,856	)	$	—	$	(507,312,856	)
	$	6,518,764		$	1,766,457,102		$	3,839,731	$	1,776,815,597
Derivative Financial Instruments(a)
Assets
Credit Contracts	$	—		$	683,425		$	—	$	683,425
Interest Rate Contracts		426,159			1,084,747			—		1,510,906
Liabilities
Credit Contracts		—			(1,117,496	)		—		(1,117,496	)
Interest Rate Contracts		(308,462	)		(1,348,472	)		—		(1,656,934	)
	$	117,697		$	(697,796	)	$	—	$	(580,099	)

^(a) Derivative financial instruments are swaps, futures contracts and options written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at fair 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 75

Schedule of Investments March 31, 2021 BATS: Series P Portfolio (Percentages shown are based on Net Assets)

Security	Shares		Value
Investment Companies
Fixed-Income Funds — 29.2%
BATS: Series S Portfolio(a)		1,595,569	$	15,524,886
Total Investments — 29.2% (Cost: $15,371,630)				15,524,886
Other Assets Less Liabilities — 70.8%				37,650,077
Net Assets — 100.0%			$	53,174,963

^(a)  Affiliate of the Fund.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer	Value at 03/31/20		Purchases at Cost		Proceeds from Sale		Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Value at 03/31/21		Shares Held at 03/31/21		Income		Capital Gain Distributions from Underlying Funds
BATS: Series S Portfolio	$	12,236,936	$	2,638,546		$  —	$	(19,012	)	$	668,416	$	15,524,886		1,595,569	$	246,455	$    —

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)		110		06/21/21	$	14,415	$	(376,864	)
U.S. Ultra Treasury Bonds		9		06/21/21		1,637		(72,144	)
U.S. Treasury Notes (2 Year)		10		06/30/21		2,207		(208	)
U.S. Treasury Notes (5 Year)		118		06/30/21		14,568		(156,799	)
								(606,015	)
Short Contracts
U.S. Treasury Bonds (30 Year)		2		06/21/21		310		685
U.S. Ultra Treasury Notes (10 Year)		193		06/21/21		27,768		878,449
								879,134
							$	273,119

Centrally Cleared Interest Rate Swaps

Paid by the Fund			Received by the Fund		Termination Date			Notional Amount (000)	Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate		Frequency	Rate	Frequency
			1-day Overnight Fed
			Funds Effective Rate,
	0.05%	At Termination	0.06%	At Termination		10/21/22	USD	3,287	$	2,751			$    —		$    2,751
	Secured Overnight
	Financing Rate, 0.01%	At Termination	0.05%	At Termination		10/21/22	USD	3,287		(910	)		—		(910	)
			1-day Overnight Fed
			Funds Effective Rate,
	0.18%	At Termination	0.06%	At Termination		10/21/25	USD	3,167		78,947			—		78,947
	Secured Overnight
	Financing Rate, 0.01%	At Termination	0.17%	At Termination		10/21/25	USD	3,167		(75,149	)		—		(75,149	)
	3-month LIBOR, 0.19%	Quarterly	1.88%	Semi-Annual		04/30/26	USD	5,450		265,159			57		265,102

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Schedule of Investments  (continued) March 31, 2021 BATS: Series P Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Termination Date			Notional Amount (000)	Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
2.23%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly		04/24/27	USD	26,460	$	(1,749,886	)		$  383			$  (1,750,269)
2.27%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly		05/18/27	USD	6,500		(438,560	)		94			(438,654	)
2.23%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly		08/11/27	USD	3,850		(226,308	)		61			(226,369	)
2.90%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly		11/15/27	USD	11,152		(1,222,848	)		(691	)		(1,222,157	)
3.18%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly		05/21/28	USD	7,500		(982,833	)		111			(982,944	)
		1-day Overnight Fed
0.56%	At Termination	Funds Effective Rate, 0.06%	At Termination		10/21/30	USD	336		29,188			—			29,188
Secured Overnight     Financing Rate, 0.01%	At Termination	0.53%	At Termination		10/21/30	USD	336		(28,434	)		—			(28,434	)
		Secured Overnight
0.75%	At Termination	Financing Rate, 0.01%	At Termination		10/21/35	USD	22		2,896			—			2,896
1-day Overnight Fed     Funds Effective Rate,
0.06%	At Termination	0.79%	At Termination		10/21/35	USD	22		(2,911	)		—			(2,911	)
		Secured Overnight
0.84%	At Termination	Financing Rate, 0.01%	At Termination		10/21/40	USD	39		6,617			—			6,617
1-day Overnight Fed     Funds Effective Rate,
0.06%	At Termination	0.91%	At Termination		10/21/40	USD	39		(6,558	)		—			(6,558	)
0.81%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly		04/07/50	USD	1,400		430,615			—			430,615
		Secured Overnight
0.91%	At Termination	Financing Rate, 0.01%	At Termination		10/21/50	USD	22		5,030			—			5,030
1-day Overnight Fed     Funds Effective Rate,     0.06%	At Termination	0.99%	At Termination		10/21/50	USD	22		(4,892	)		—			(4,892	)
								$	(3,918,086	)	$	15		$	(3,918,101	)

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

	Swaps Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation
Centrally Cleared Swaps(a)		$  706		$  (691	)		$  821,146		$  (4,739,247	)

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

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

Schedule of Investments  (continued) March 31, 2021 BATS: Series P 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(a)	$	—	$	—	$	—	$	—	$	879,134	$	—	$	879,134
Swaps — centrally cleared
Unrealized appreciation(a)		—		—		—		—		821,146		—		821,146
	$	—	$	—	$	—	$	—	$	1,700,280	$	—	$	1,700,280
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	606,015	$	—	$	606,015
Swaps — centrally cleared
Unrealized depreciation(a)		—		—		—		—		4,739,247		—		4,739,247
	$	—	$	—	$	—	$	—	$	5,345,262	$	—	$	5,345,262

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

For the year ended March 31, 2021, 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	$	—	$	—	$	—	$	—	$	743,506		$	—	$	743,506
Swaps		—		—		—		—		(3,833,364	)		—		(3,833,364	)
	$	—	$	—	$	—	$	—	$	(3,089,858	)	$	—	$	(3,089,858	)
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts	$	—	$	—	$	—	$	—	$	(578,418	)	$	—	$	(578,418	)
Swaps		—		—		—		—		6,528,372			—		6,528,372
	$	—	$	—	$	—	$	—	$	5,949,954		$	—	$	5,949,954

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — long	$	39,671,559
Average notional value of contracts — short	$	19,851,754
Interest rate swaps
Average notional value — pays fixed rate	$	8,886,526
Average notional value — received fixed rate	$	60,298,526

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

78 2 0 2 1   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, 2021 BATS: Series P 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 investments categorized in the fair value hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

	Level 1			Level 2			Level 3	Total
Assets
Investments
Long-Term Investments
Investment Companies	$	15,524,886		$	—		$       —	$	15,524,886
	$	15,524,886		$	—		$       —	$	15,524,886
Derivative Financial Instruments(a)
Assets
Interest Rate Contracts	$	879,134		$	821,146		$       —	$	1,700,280
Liabilities
Interest Rate Contracts		(606,015	)		(4,739,247	)	—		(5,345,262	)
	$	273,119		$	(3,918,101	)	$       —	$	(3,644,982	)

^(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 79

Schedule of Investments March 31, 2021 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. LIBOR US + 1.30%), 1.54%, 01/15/33(a)(b)	USD		250	$	250,635
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class A3, 0.37%, 08/18/25			2,040		2,037,746
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 1.31%, 01/28/31(a)(b)			470		469,865
ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, 08/15/28(a)			210		214,453
Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A1R, (3 mo. LIBOR US + 1.25%), 1.47%, 07/20/29(a)(b)			1,248		1,248,810
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 1.32%, 01/20/31(a)(b)			500		500,562
BMW Vehicle Lease Trust, Series 2021-1, Class A2, 0.20%, 03/27/23			2,550		2,549,436
BMW Vehicle Owner Trust, Series 2019-A, Class A4, 1.95%, 01/26/26			1,290		1,327,735
Carmax Auto Owner Trust, Series 2021-1, Class A3, 0.34%, 12/15/25			1,220		1,216,973
Cedar Funding VII CLO Ltd., Series 2018-7A, Class A1, (3 mo. LIBOR US + 1.00%), 1.22%, 01/20/31(a)(b)			1,500		1,500,232
Chesapeake Funding II LLC, Series 2018-1A, Class A1, 3.04%, 04/15/30(a)			575		577,796
CIFC Funding Ltd., Series 2014-3A, Class A1R2, (3 mo. LIBOR US + 1.20%), 1.42%, 10/22/31(a)(b)			2,000		2,000,001
CNH Equipment Trust, Series 2019-B, Class A3, 2.52%, 08/15/24			1,897		1,931,731
Credit Acceptance Auto Loan Trust Series 2019-3A, Class A, 2.38%, 11/15/28(a)			600		612,546
Series 2020-1A, Class A, 2.01%, 02/15/29(a)			1,310		1,332,223
Series 2020-2A, Class A, 1.37%, 07/16/29(a)			250		252,722
Series 2021-2A, Class A, 0.96%, 02/15/30(a)			970		968,879
Discover Card Execution Notes Trust, Series 2017-A5, Class A5, (1 mo. LIBOR US + 0.60%), 0.71%, 12/15/26(b)			925		935,256
Drive Auto Receivables Trust
Series 2019-4, Class A3, 2.16%, 05/15/23			210		210,162
Series 2020-2, Class A2B, (1 mo. LIBOR US + 0.53%), 0.64%, 07/17/23(b)			163		163,252
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%), 0.00%, 04/20/34(a)(b)			1,000		1,000,000
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45(a)			120		118,781
Enterprise Fleet Financing LLC
Series 2019-1, Class A2, 2.98%, 10/20/24(a)			867		877,917
Series 2020-1, Class A2, 1.78%, 12/22/25(a)			1,455		1,474,730
Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26(a)			1,110		1,109,259
Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39(a)	CAD		510		409,560
Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.30%, 08/15/25	USD		550		549,072
Ford Credit Floorplan Master Owner Trust A, Series 2019-4, Class A, 2.44%, 09/15/26			1,680		1,774,675
Honda Auto Receivables Owner Trust
Series 2019-3, Class A4, 1.85%, 08/15/25			790		809,792
Series 2019-4, Class A4, 1.87%, 01/20/26			500		514,431
Series 2020-1, Class A4, 1.63%, 10/21/26			900		923,694
Series 2021-1, Class A3, 0.27%, 04/21/25			1,030		1,028,540

Security		Par (000)		Value
Asset-Backed Securities (continued)
HPS Loan Management Ltd., Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 1.20%, 02/05/31(a)(b)	USD		1,490	$	1,491,002
Hyundai Auto Receivables Trust, Series 2018-B, Class A3, 3.20%, 12/15/22			770		778,185
John Deere Owner Trust, Series 2021-A, Class A2, 0.20%, 12/15/23			2,310		2,307,635
Mariner Finance Issuance Trust, Series 2021-AA, Class A, 1.86%, 03/20/36(a)			140		139,496
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.50%, 04/25/57(a)(b)			191		192,087
Navient Private Education Loan Trust, Series 2020-IA, Class A1A, 1.33%, 04/15/69(a)			1,549		1,532,860
Navient Private Education Refi Loan Trust
Series 2019-CA, Class A2, 3.13%, 02/15/68(a)			753		772,733
Series 2019-GA, Class A, 2.40%, 10/15/68(a)			261		267,702
Series 2020-DA, Class A, 1.69%, 05/15/69(a)			1,065		1,075,960
Series 2020-FA, Class A, 1.22%, 07/15/69(a)			1,508		1,514,275
Series 2021-A, Class A, 0.84%, 05/15/69(a)			174		173,572
Series 2021-BA, Class A, 0.94%, 07/15/69(a)			860		859,220
OCP CLO Ltd., Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.26%), 1.50%, 07/15/30(a)(b)			1,000		1,000,173
Palmer Square CLO Ltd. Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 1.35%, 01/17/31(a)(b)			1,250		1,250,057
Series 2018-2A, Class A1A, (3 mo. LIBOR US + 1.10%), 1.32%, 07/16/31(a)(b)			250		250,006
Park Avenue Institutional Advisers CLO Ltd. Series 2016-1A, Class A1R, (3 mo. LIBOR US + 1.20%), 1.38%, 08/23/31(a)(b)			2,025		2,025,579
Series 2018-1A, Class A1A, (3 mo. LIBOR US + 1.28%), 1.50%, 10/20/31(a)(b)			750		752,186
Series 2018-1A, Class A1AR, (3 mo. LIBOR US + 1.00%), 0.00%, 10/20/31(a)(b)			750		750,000
PFS Financing Corp.
Series 2020-B, Class A, 1.21%, 06/15/24(a)			930		938,685
Series 2020-F, Class A, 0.93%, 08/15/24(a)			153		153,894
Series 2020-G, Class A, 0.97%, 02/15/26(a)			370		371,472
Series 2021-A, Class A, 0.71%, 04/15/26(a)			230		228,826
RR 2 Ltd., Series 2017-2A, Class A1B, (3 mo. LIBOR US + 1.30%), 1.54%, 10/15/29(a)(b)			250		250,128
Santander Drive Auto Receivables Trust, Series 2021-1, Class A3, 0.32%, 09/16/24			1,750		1,749,262
SLM Student Loan Trust, Series 2013-4, Class A, (1 mo. LIBOR US + 0.55%), 0.66%, 06/25/43(b)			234		234,296
SMB Private Education Loan Trust
Series 2016-A, Class A2B, (1 mo. LIBOR US +
1.50%), 1.61%, 05/15/31(a)(b)			906		915,888
Series 2021-A, Class APL, 0.00%, 01/15/53(a)(c)			1,346		1,349,651
SoFi Professional Loan Program LLC
Series 2015-D, Class A2, 2.72%, 10/27/36(a)			144		146,359
Series 2016-A, Class A2, 2.76%, 12/26/36(a)			444		450,744
Series 2016-C, Class A2B, 2.36%, 12/27/32(a)			33		33,741
Series 2016-D, Class A2B, 2.34%, 04/25/33(a)			41		41,622
Series 2016-E, Class A2B, 2.49%, 01/25/36(a)			96		97,168
SoFi Professional Loan Program Trust
Series 2020-A, Class A2FX, 2.54%, 05/15/46(a)			380		391,071
Series 2020-C, Class AFX, 1.95%, 02/15/46(a)			695		705,899
Springleaf Funding Trust, Series 2015-BA, Class A, 3.48%, 05/15/28(a)			270		271,010
TICP CLO VI Ltd., Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 1.26%, 01/15/34(a)(b)			1,000		996,139

80 2 0 2 1   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, 2021 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Asset-Backed Securities (continued)
Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.25%, 04/25/56(a)(b)	USD	121	$	121,976
Toyota Auto Receivables Owner Trust, Series 2020-C, Class A4, 0.57%, 10/15/25		2,500		2,499,425
Verizon Owner Trust, Series 2020-A, Class A1A, 1.85%, 07/22/24		620		632,448
Voya CLO Ltd., Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.15%), 1.39%, 10/15/31(a)(b)		1,000		1,000,536
Westlake Automobile Receivables Trust, Series 2021-1A, Class A2A, 0.39%, 10/15/24(a)		1,340		1,340,234
York CLO-2 Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.15%), 1.37%, 01/22/31(a)(b)		1,500		1,500,698
Total Asset-Backed Securities — 16.2% (Cost: $63,933,093)				64,445,366
Corporate Bonds
Aerospace & Defense — 0.7%
Boeing Co.
2.80%, 03/01/23		450		466,326
2.20%, 02/04/26		200		199,380
Northrop Grumman Corp., 2.93%, 01/15/25		1,846		1,964,470
Raytheon Technologies Corp., 3.65%, 08/16/23		30		32,093
				2,662,269
Automobiles — 1.0%
Daimler Finance North America LLC
3.35%, 05/04/21(a)		150		150,363
1.45%, 03/02/26(a)		850		842,587
General Motors Co., 6.13%, 10/01/25		780		917,209
Nissan Motor Co. Ltd., 3.52%, 09/17/25(a)		2,145		2,272,265
				4,182,424
Banks — 8.3%
Banco Santander SA
2.75%, 05/28/25		1,800		1,880,693
1.85%, 03/25/26		200		199,617
Bank of America Corp.
3.55%, 03/05/24		750		791,306
0.98%, 09/25/25		1,600		1,595,839
1.32%, 06/19/26		1,745		1,739,677
1.20%, 10/24/26		1,200		1,184,445
Banque Federative du Credit Mutuel SA, 0.65%, 02/27/24(a)		700		697,956
Barclays PLC
1.01%, 12/10/24		1,200		1,199,012
3.65%, 03/16/25		540		580,376
BNP Paribas SA, 1.32%, 01/13/27(a)		1,815		1,775,055
Citigroup, Inc.
2.88%, 07/24/23		1,975		2,034,360
3.11%, 04/08/26		1,900		2,028,180
Cooperatieve Rabobank UA, 1.34%, 06/24/26(a)		1,195		1,184,984
Credit Agricole SA, 1.25%, 01/26/27(a)		650		635,732
Danske Bank A/S, 1.62%, 09/11/26(a)		805		796,296
Discover Bank, 2.45%, 09/12/24		250		261,685
DNB Bank ASA, 1.13%, 09/16/26(a)		525		517,424
Fifth Third Bancorp, 2.38%, 01/28/25		430		448,328
ING Groep NV
4.10%, 10/02/23		325		351,850
1.73%, 04/01/27		280		280,162
JPMorgan Chase & Co.
3.80%, 07/23/24		305		326,447
4.02%, 12/05/24		1,975		2,142,721

Security	Par (000)		Value
Banks (continued)
JPMorgan Chase & Co.
2.30%, 10/15/25	USD	940	$	978,480
2.08%, 04/22/26		455		467,314
Lloyds Banking Group PLC, 3.00%, 01/11/22		420		428,223
Mitsubishi UFJ Financial Group, Inc.
3.54%, 07/26/21		75		75,742
1.41%, 07/17/25		1,800		1,798,765
Mizuho Financial Group, Inc., 1.23%, 05/22/27		200		194,699
Natwest Group PLC
3.88%, 09/12/23		305		327,075
2.36%, 05/22/24		645		665,465
Skandinaviska Enskilda Banken AB, 0.85%, 09/02/25(a)		995		975,985
Standard Chartered PLC
0.99%, 01/12/25(a)		835		830,281
1.21%, 03/23/25(a)		245		245,486
Sumitomo Mitsui Financial Group, Inc.
2.44%, 10/19/21		375		379,497
0.95%, 01/12/26		1,570		1,529,804
UniCredit SpA, 2.57%, 09/22/26(a)		570		572,278
Wells Fargo & Co.
1.65%, 06/02/24		500		510,772
3.00%, 02/19/25		500		532,013
				33,164,024
Beverages — 0.2%
Anheuser-Busch InBev Worldwide, Inc., 4.15%, 01/23/25		655		727,905
Biotechnology — 0.8%
AbbVie, Inc., 2.60%, 11/21/24		2,990		3,156,837
Gilead Sciences, Inc., 3.70%, 04/01/24		130		140,018
				3,296,855
Capital Markets — 2.6%
Credit Suisse AG
3.63%, 09/09/24		1,000		1,083,695
2.95%, 04/09/25		1,000		1,060,042
Credit Suisse Group AG, 3.57%, 01/09/23(a)		625		637,837
Deutsche Bank AG, 1.45%, 04/01/25		345		344,880
Goldman Sachs Group, Inc.
4.00%, 03/03/24		600		653,823
3.50%, 01/23/25		450		485,618
Series VAR, 1.09%, 12/09/26		500		489,946
Morgan Stanley
3.13%, 01/23/23		170		177,998
2.72%, 07/22/25		1,000		1,054,919
Series F, 3.88%, 04/29/24		500		546,199
UBS Group AG
2.65%, 02/01/22(a)		200		203,793
3.49%, 05/23/23(a)		765		789,420
2.86%, 08/15/23(a)		1,100		1,134,029
1.01%, 07/30/24(a)		1,525		1,533,866
				10,196,065
Chemicals — 0.7%
DuPont de Nemours, Inc., 4.21%, 11/15/23		1,800		1,955,332
LYB International Finance III LLC, 1.25%, 10/01/25		500		493,688
Nutrition & Biosciences, Inc., 1.23%, 10/01/25(a)		455		447,192
				2,896,212
Commercial Services & Supplies — 0.1%
Republic Services, Inc., 0.88%, 11/15/25		365		357,261
Consumer Finance — 1.7%
American Honda Finance Corp., 2.90%, 02/16/24		1,000		1,061,488
Capital One Financial Corp.
3.90%, 01/29/24		400		432,471

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  (continued) March 31, 2021 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Consumer Finance (continued)
Capital One Financial Corp. 3.20%, 02/05/25	USD	400	$	426,424
ERAC USA Finance LLC, 2.60%, 12/01/21(a)		350		354,418
Ford Motor Credit Co. LLC, 5.58%, 03/18/24		500		539,645
General Motors Financial Co., Inc.
3.20%, 07/06/21		1,895		1,903,228
3.25%, 01/05/23		405		421,885
2.90%, 02/26/25		600		629,093
Nissan Motor Acceptance Corp., 2.00%, 03/09/26(a)		400		398,358
Synchrony Financial, 2.85%, 07/25/22		280		287,532
Toyota Motor Credit Corp., 1.80%, 02/13/25		400		410,966
				6,865,508
Containers & Packaging — 0.0%
WRKCo, Inc., 3.75%, 03/15/25		70		76,386
Diversified Financial Services — 0.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
3.95%, 02/01/22		900		920,835
3.50%, 05/26/22		370		380,359
2.88%, 08/14/24		250		257,835
3.50%, 01/15/25		450		471,887
CK Hutchison International 16 Ltd., 1.88%, 10/03/21(a)		295		296,936
LSEGA Financing PLC, 1.38%, 04/06/26(a)		800		792,173
				3,120,025
Diversified Telecommunication Services — 0.6%
AT&T Inc., 1.70%, 03/25/26		1,115		1,114,609
Verizon Communications, Inc.
0.75%, 03/22/24		285		285,313
1.45%, 03/20/26		105		105,008
3.88%, 02/08/29		195		216,927
1.75%, 01/20/31		700		651,864
				2,373,721
Electric Utilities — 0.9%
Duke Energy Corp.
3.95%, 10/15/23		590		634,438
0.90%, 09/15/25		235		229,902
FirstEnergy Corp., Series A, 3.35%, 07/15/22		159		161,385
ITC Holdings Corp., 2.70%, 11/15/22		85		87,730
Pacific Gas & Electric Co., 1.37%, 03/10/23		2,520		2,520,731
				3,634,186
Electrical Equipment — 0.2%
Carrier Global Corp., 2.24%, 02/15/25		105		108,722
Siemens Financieringsmaatschappij NV, 1.20%, 03/11/26(a)		600		593,032
				701,754
Energy Equipment & Services — 0.2%
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 2.77%, 12/15/22		225		233,347
Halliburton Co., 3.50%, 08/01/23		47		49,792
Schlumberger Finance Canada Ltd., 1.40%, 09/17/25		360		360,306
				643,445
Equity Real Estate Investment Trusts (REITs) — 1.3%
American Tower Corp.
2.25%, 01/15/22		140		141,955
3.00%, 06/15/23		82		86,287
2.40%, 03/15/25		1,405		1,465,788
Crown Castle International Corp.
3.20%, 09/01/24		185		198,665

Security	Par (000)		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Crown Castle International Corp. 1.35%, 07/15/25	USD	2,435	$	2,429,903
Equinix, Inc., 1.00%, 09/15/25		1,080		1,060,494
				5,383,092
Food & Staples Retailing — 0.5%
7-Eleven, Inc.
0.80%, 02/10/24(a)		990		986,728
0.95%, 02/10/26(a)		125		121,763
Alimentation Couche-Tard, Inc., 2.70%, 07/26/22(a)		350		359,219
CVS Health Corp., 1.30%, 08/21/27		610		585,992
				2,053,702
Food Products — 0.0%
Tyson Foods, Inc., 3.90%, 09/28/23		115		123,890
Health Care Providers & Services — 0.5%
Anthem, Inc.
2.95%, 12/01/22		50		51,941
2.38%, 01/15/25		1,220		1,275,050
HCA, Inc., 5.25%, 04/15/25		400		456,763
PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25		114		113,764
				1,897,518
Industrial Conglomerates — 0.1%
Roper Technologies, Inc., 1.00%, 09/15/25		465		457,037
Interactive Media & Services — 0.1%
Baidu, Inc., 2.88%, 07/06/22		300		307,312
IT Services — 0.7%
Fidelity National Information Services, Inc., 1.15%, 03/01/26		380		373,638
Fiserv, Inc., 2.75%, 07/01/24		1,635		1,727,732
Global Payments, Inc.
3.75%, 06/01/23		145		153,853
1.20%, 03/01/26		490		482,367
				2,737,590
Machinery — 0.0%
Otis Worldwide Corp., 2.06%, 04/05/25		205		211,078
Media — 0.3%
Interpublic Group of Cos., Inc., 3.75%, 10/01/21		45		45,752
ViacomCBS, Inc., 3.88%, 04/01/24		900		969,340
				1,015,092
Metals & Mining — 0.1%
Glencore Funding LLC, 1.63%, 09/01/25(a)		350		349,878
Nucor Corp., 2.00%, 06/01/25		90		92,331
Steel Dynamics, Inc., 2.40%, 06/15/25		25		26,056
				468,265
Multi-Utilities — 0.6%
Alliant Energy Finance LLC, 3.75%, 06/15/23(a)		245		261,018
CenterPoint Energy, Inc., 2.50%, 09/01/22		270		277,272
ONE Gas, Inc., 1.10%, 03/11/24		1,900		1,899,459
				2,437,749
Oil, Gas & Consumable Fuels — 2.4%
Canadian Natural Resources Ltd., 2.95%, 01/15/23		125		129,728
Diamondback Energy, Inc.
0.90%, 03/24/23		455		455,292
2.88%, 12/01/24		655		690,723
Enbridge, Inc., 2.90%, 07/15/22		225		231,376
Energy Transfer Operating LP
3.60%, 02/01/23		150		156,211
4.50%, 04/15/24		500		545,280

82 2 0 2 1   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, 2021 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Energy Transfer Operating LP 2.90%, 05/15/25	USD	360	$	374,622
Kinder Morgan Energy Partners LP, 4.15%, 02/01/24		600		651,700
Kinder Morgan, Inc., 4.30%, 06/01/25		800		893,373
Marathon Petroleum Corp., 4.70%, 05/01/25		235		264,120
MPLX LP
3.50%, 12/01/22		145		151,303
1.75%, 03/01/26		1,355		1,357,069
Occidental Petroleum Corp., 2.90%, 08/15/24		55		54,397
Ovintiv, Inc., 3.90%, 11/15/21		1,035		1,046,304
Phillips 66, 0.90%, 02/15/24		1,590		1,590,409
Pioneer Natural Resources Co., 1.13%, 01/15/26		310		304,349
Sabine Pass Liquefaction LLC, 5.75%, 05/15/24		500		564,174
				9,460,430
Paper & Forest Products — 0.1%
Georgia-Pacific LLC, 1.75%, 09/30/25(a)		460		468,016
Pharmaceuticals — 0.1%
Takeda Pharmaceutical Co. Ltd., 4.40%, 11/26/23		530		579,278
Road & Rail — 1.0%
Penske Truck Leasing Co. LP/PTL Finance Corp.
3.38%, 02/01/22(a)		440		448,122
2.70%, 03/14/23(a)		505		523,749
1.20%, 11/15/25(a)		1,725		1,694,429
Union Pacific Corp., 3.25%, 01/15/25		1,175		1,259,444
				3,925,744
Semiconductors & Semiconductor Equipment — 1.6%
Broadcom, Inc., 3.63%, 10/15/24		3,500		3,808,104
NXP BV/NXP Funding LLC, 4.88%, 03/01/24(a)		1,800		2,000,621
NXP BV/NXP Funding LLC/NXP USA, Inc.
2.70%, 05/01/25(a)		65		68,169
3.88%, 06/18/26(a)		300		330,205
				6,207,099
Software — 0.3%
Oracle Corp., 1.65%, 03/25/26		1,165		1,174,199
Technology Hardware, Storage & Peripherals — 0.3%
Dell International LLC/EMC Corp., 5.45%, 06/15/23(a)		1,000		1,092,857
Tobacco — 0.8%
Altria Group, Inc., 2.35%, 05/06/25		260		269,526
BAT Capital Corp., 2.79%, 09/06/24		700		737,694
BAT International Finance PLC, 1.67%, 03/25/26		2,095		2,073,584
				3,080,804
Trading Companies & Distributors — 0.3%
Air Lease Corp.
3.38%, 06/01/21		155		155,706
2.63%, 07/01/22		650		664,137
2.25%, 01/15/23		335		343,797
				1,163,640
Wireless Telecommunication Services — 0.2%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%, 09/20/21(a)		25		25,187
4.74%, 09/20/29(a)		400		428,280
T-Mobile USA, Inc., 1.50%, 02/15/26(a)		286		283,209
				736,676
Total Corporate Bonds — 30.1% (Cost: $118,762,564)				119,879,108

Security	Par (000)		Value
Foreign Agency Obligations
Saudi Arabia — 0.1%
Saudi Arabian Oil Co., 2.88%, 04/16/24(a)	USD	220	$	231,004
Total Foreign Agency Obligations — 0.1% (Cost: $218,814)				231,004
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 0.6%
Chase Home Lending Mortgage Trust, Series 2019- ATR2, Class A3, 3.50%, 07/25/49(a)(b)		423		435,154
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A, 2.55%, 05/20/34(b)		33		33,788
Flagstar Mortgage Trust, Series 2020-1INV, Class A11, (1 mo. LIBOR US + 0.85%), 0.96%, 03/25/50(a)(b)		1,003		1,003,140
JP Morgan Mortgage Trust, Series 2016-2, Class A1, 2.52%, 06/25/46(a)(b)		293		292,658
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B, 3.50%, 10/25/59(a)(b)		606		639,430
				2,404,170
Commercial Mortgage-Backed Securities — 18.9%
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 0.99%, 09/15/34(a)(b)		600		600,181
Alen Mortgage Trust, Series 2021-ACEN, Class A, (1 mo. LIBOR US + 1.15%), 1.26%, 04/15/34(a)(b)		420		420,125
BANK
Series 2018-BN10, Class ASB, 3.64%, 02/15/61		3,375		3,708,566
Series 2019-BN18, Class A2, 3.47%, 05/15/62		1,250		1,334,860
BBCMS Mortgage Trust, Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 0.83%, 03/15/37(a)(b)		1,000		989,990
Benchmark Mortgage Trust
Series 2018-B1, Class ASB, 3.60%, 01/15/51(b)		2,500		2,748,129
Series 2018-B2, Class ASB, 3.78%, 02/15/51(b)		2,750		3,020,312
Series 2018-B5, Class C, 4.61%, 07/15/51(b)		1,000		1,088,241
BX Commercial Mortgage Trust
Series 2018-IND, Class A, (1 mo. LIBOR US + 0.75%), 0.86%, 11/15/35(a)(b)		1,307		1,306,862
Series 2019-XL, Class A, (1 mo. LIBOR US + 0.92%), 1.03%, 10/15/36(a)(b)		1,076		1,076,620
Series 2020-BXLP, Class A, (1 mo. LIBOR US + 0.80%), 0.91%, 12/15/36(a)(b)		1,996		1,996,687
Series 2020-FOX, Class A, (1 mo. LIBOR US + 1.00%), 1.11%, 11/15/32(a)(b)		100		100,160
CGMS Commercial Mortgage Trust, Series 2017-B1, Class AAB, 3.24%, 08/15/50		1,210		1,305,142
Citigroup Commercial Mortgage Trust
Series 2014-GC21, Class A5, 3.86%, 05/10/47		761		825,713
Series 2016-C2, Class AAB, 2.71%, 08/10/49		1,986		2,084,810
Commercial Mortgage Trust
Series 2013-CR10, Class A4, 4.21%, 08/10/46(b)		1,750		1,880,791
Series 2013-CR6, Class ASB, 2.62%, 03/10/46		275		279,425
Series 2013-CR7, Class ASB, 2.74%, 03/10/46		332		338,693
Series 2013-SFS, Class A1, 1.87%, 04/12/35(a)		113		113,257
Series 2014-CR14, Class ASB, 3.74%, 02/10/47		519		540,815
Series 2014-CR16, Class A4, 4.05%, 04/10/47		1,000		1,085,669
Series 2014-CR17, Class C, 4.78%, 05/10/47(b)		1,500		1,594,810
Series 2014-CR21, Class A3, 3.53%, 12/10/47		877		935,717
Series 2014-UBS2, Class A5, 3.96%, 03/10/47		1,000		1,079,578
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47		831		870,466
Series 2015-3BP, Class A, 3.18%, 02/10/35(a)		1,050		1,114,585
Series 2015-CR23, Class A2, 2.85%, 05/10/48		880		879,731

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, 2021 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust
Series 2015-LC19, Class A4, 3.18%, 02/10/48	USD	1,600	$	1,714,283
Series 2021-LBA, Class A, (1 mo. LIBOR US + 0.69%), 0.84%, 03/15/38(a)(b)		700		698,903
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class C, 4.63%, 11/15/48(b)		1,500		1,602,767
GS Mortgage Securities Trust
Series 2012-ALOH, Class A, 3.55%, 04/10/34(a)		951		964,522
Series 2013-GC13, Class A5, 4.05%, 07/10/46(b)		625		667,941
Series 2013-GC16, Class AAB, 3.81%, 11/10/46		882		919,343
Series 2015-GC30, Class AAB, 3.12%, 05/10/50		903		941,807
Series 2015-GC34, Class A4, 3.51%, 10/10/48		1,250		1,358,931
Series 2015-GC34, Class AAB, 3.28%, 10/10/48		1,837		1,934,561
GSCG Trust, Series 2019-600C, Class A, 2.94%, 09/06/34(a)		750		770,103
Hawaii Hotel Trust, Series 2019-MAUI, Class A, (1 mo. LIBOR US + 1.15%), 1.26%, 05/15/38(a)(b)		552		552,337
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(a)		1,540		1,630,901
JPMBB Commercial Mortgage Securities Trust
Series 2014-C21, Class A5, 3.78%, 08/15/47		500		539,604
Series 2014-C25, Class A4A1, 3.41%, 11/15/47		448		475,630
Series 2015-C28, Class ASB, 3.04%, 10/15/48		1,363		1,423,928
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX, Class A4, 3.48%, 06/15/45		2,361		2,391,785
Series 2012-HSBC, Class D, 4.53%, 07/05/32(a)(b)		745		761,422
Series 2017-JP6, Class A3, 3.11%, 07/15/50		850		887,379
Series 2019-BKWD, Class A, (1 mo. LIBOR US + 1.00%), 1.11%, 09/15/29(a)(b)		241		241,295
Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%), 0.81%, 03/15/38(a)(b)		540		540,325
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C10, Class A4, 4.08%, 07/15/46(b)		2,000		2,111,664
Series 2013-C7, Class A4, 2.92%, 02/15/46		2,735		2,828,242
Series 2013-C8, Class A4, 3.13%, 12/15/48		700		726,459
Series 2014-C15, Class A4, 4.05%, 04/15/47		230		249,979
Series 2015-C25, Class A4, 3.37%, 10/15/48		330		354,178
Series 2016-C30, Class ASB, 2.73%, 09/15/49		267		280,935
Series 2016-C31, Class A5, 3.10%, 11/15/49		2,525		2,696,875
Morgan Stanley Capital I Trust
Series 2012-C4, Class A4, 3.24%, 03/15/45		1,895		1,921,091
Series 2014-CPT, Class A, 3.35%, 07/13/29(a)		1,800		1,799,827
One New York Plaza Trust, Series 2020-1NYP, Class A, (1 mo. LIBOR US + 0.95%), 1.06%, 01/15/26(a)(b)		580		583,595
Wells Fargo Commercial Mortgage Trust
Series 2014-LC18, Class ASB, 3.24%, 12/15/47		1,495		1,563,392
Series 2015-C29, Class A4, 3.64%, 06/15/48		3,000		3,276,723
Series 2017-C39, Class A5, 3.42%, 09/15/50		1,698		1,845,445
WFRBS Commercial Mortgage Trust
Series 2013-C13, Class A4, 3.00%, 05/15/45		174		181,442
Series 2014-LC14, Class A5, 4.05%, 03/15/47		721		779,670
				75,537,219
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.72%, 09/15/48(b)		4,505		122,731
Commercial Mortgage Trust Series 2015-CR23, Class XA, 0.89%, 05/10/48(b)		2,139		59,607

Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust Series 2015-LC21, Class XA, 0.69%, 07/10/48(b)	USD	4,993	$	121,772
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.92%, 01/15/49(b)		694		49,326
				353,436
Total Non-Agency Mortgage-Backed Securities — 19.6% (Cost: $78,395,981)				78,294,825
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 0.9%
Fannie Mae, Series 2018-21, Class CA, 3.50%, 04/25/45.		629		649,310
Freddie Mac
Series 3959, Class MA, 4.50%, 11/15/41		108		119,184
Series 3986, Class M, 4.50%, 09/15/41		99		104,329
Series 4253, Class PA, 3.50%, 08/15/41		85		86,203
Series 4274, Class PN, 3.50%, 10/15/35		202		216,826
Series 4390, Class CA, 3.50%, 06/15/50		223		231,880
Series 4459, Class BN, 3.00%, 08/15/43		464		493,796
Series 4482, Class DH, 3.00%, 06/15/42		214		220,674
Series 4494, Class KA, 3.75%, 10/15/42		349		362,878
Series 4777, Class CB, 3.50%, 10/15/45		1,070		1,120,996
				3,606,076
Commercial Mortgage-Backed Securities — 0.6%
Fannie Mae, Series 2014-M9, Class A2, 3.10%, 07/25/24(b)		2,343		2,502,042
Mortgage-Backed Securities — 11.9%
Fannie Mae Mortgage-Backed Securities
0.54%, 10/27/25		4,500		4,424,702
2.50%, 12/01/27 - 04/01/32		1,830		1,915,613
3.00%, 09/01/30 - 11/01/33		3,422		3,646,461
4.00%, 03/01/32 - 08/01/49		7,195		7,847,047
4.50%, 09/01/26 - 01/01/48		3,679		4,092,788
5.00%, 11/01/21 - 07/01/25		1		1,192
(12 mo. LIBOR US + 1.58%), 2.81%, 07/01/44(b)		388		403,268
(12 mo. LIBOR US + 1.59%), 3.06%, 10/01/45(b)		565		593,525
(12 mo. LIBOR US + 1.59%), 3.11%, 06/01/45(b)		440		461,308
(12 mo. LIBOR US + 1.69%), 2.72%, 07/01/43(b)		741		784,314
Federal Farm Credit Banks Funding Corp., 0.55%, 09/16/25		3,129		3,053,149
Freddie Mac Mortgage-Backed Securities
0.57%, 09/24/25		6,000		5,938,238
0.60%, 09/30/25		3,000		2,953,572
0.90%, 10/13/27		2,000		1,938,602
2.50%, 11/01/27		398		416,498
4.00%, 09/01/33		1,725		1,896,391
4.50%, 03/01/49		4,962		5,525,604
5.00%, 09/01/21(d)		0		8
5.50%, 05/01/22(d)		0		46
(12 mo. LIBOR US + 1.62%), 2.59%, 03/01/45(b)		657		685,274
(12 mo. LIBOR US + 1.62%), 3.17%, 05/01/45(b)		875		913,953
				47,491,553
Total U.S. Government Sponsored Agency Securities — 13.4% (Cost: $52,620,192)				53,599,671
U.S. Treasury Obligations
U.S. Treasury Bonds, 1.88%, 02/15/41		3,490		3,249,517

84 2 0 2 1   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, 2021 BATS: Series S Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
U.S. Treasury Obligations (continued)
U.S. Treasury Notes
0.13%, 11/30/22 - 01/15/24(e)	USD	36,300	$	36,200,008
0.38%, 12/31/25		9,200		8,984,734
Total U.S. Treasury Obligations — 12.1% (Cost: $48,808,626)				48,434,259
Total Long-Term Investments — 91.5% (Cost: $362,739,270)				364,884,233
Short-Term Securities
Certificates of Deposit — 1.3%
Barclays Bank PLC, New York
0.33%, 02/01/22		2,000		2,000,746
0.33%, 02/02/22		1,200		1,200,449
Deutsche Bank AG, New York, 0.58%, 08/11/21		2,000		2,000,594
				5,201,789
Commercial Paper(f) — 5.7%
AT&T Inc., 0.40%, 12/14/21		2,000		1,995,585
Electricite De France, 0.28%, 06/04/21		2,000		1,999,166
Enel Finance America LLC, 0.43%, 02/22/22		1,500		1,495,080
General Motors Financial Co., Inc.
0.40%, 04/26/21		1,200		1,199,614
0.40%, 04/27/21		2,000		1,999,331
0.40%, 05/07/21		2,000		1,999,036
0.45%, 05/11/21		1,600		1,599,127
HSBC Bank PLC, 0.27%, 02/02/22		2,000		1,996,099
Marathon Petroleum Corp., 0.50%, 05/07/21		2,000		1,999,564
Ovintiv, Inc.
1.00%, 04/07/21		970		969,845
1.00%, 04/08/21		2,000		1,999,630
Suncor Energy, Inc., 0.28%, 05/19/21		2,000		1,999,423
VW Credit, Inc., 0.38%, 02/16/22		1,500		1,495,170
				22,746,670

Security	Shares		Value
Money Market Funds — 0.2%
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.01%(g)		578,801	$	578,801
Total Short-Term Securities — 7.2% (Cost: $28,521,758)				28,527,260
Options Purchased — 0.3% (Cost: $1,083,202)				1,359,490
Total Investments Before Options Written — 99.0% (Cost: $392,344,230)				394,770,983
Options Written — (1.0)% (Premiums Received: $(2,342,980))				(3,996,414	)
Total Investments — 98.0% (Cost: $390,001,250)				390,774,569
Other Assets Less Liabilities — 2.0%				8,131,395
Net Assets — 100.0%			$	398,905,964

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

^(d)  Amount is less than $500.

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

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

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

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
Euro-Bobl		13		06/08/21	$	2,059	$	915
U.S. Treasury Notes (2 Year)		448		06/30/21		98,893		(69,740	)
								(68,825	)
Short Contracts
U.S. Treasury Notes (10 Year)		58		06/21/21		7,601		138,572
U.S. Ultra Treasury Bonds		3		06/21/21		546		11,339
U.S. Ultra Treasury Notes (10 Year)		35		06/21/21		5,035		101,183
U.S. Treasury Notes (5 Year)		793		06/30/21		97,898		1,027,816
								1,278,910
							$	1,210,085

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, 2021 BATS:SeriesSPortfolio

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	1,250,000		NZD	1,352,550	Standard Chartered Bank		06/16/21	$	5,311
NZD	1,373,532		AUD	1,260,000	Bank of America N.A.		06/16/21		1,742
NZD	1,363,032		AUD	1,250,000	JPMorgan Chase Bank N.A.		06/16/21		2,008
USD	391,213		CAD	488,000	Citibank N.A.		06/16/21		2,859
									11,920
AUD	1,260,000		NZD	1,374,313	Standard Chartered Bank		06/16/21		(2,288	)
								$	9,632

Exchange-Traded Options Purchased

Description	Number of Contracts		Expiration Date			Exercise Price			Notional Amount (000)		Value
Call
U.S. Treasury Notes (10 Year)		19		04/02/21	USD		132.50	USD		2,518	$	297
Put
U.S. Treasury Notes (10 Year)		45		05/21/21	USD		131.00	USD		5,895		45,703
Euro Dollar (1 Year) Mid-Curve		68		09/10/21	USD		99.63	USD		16,936		14,025
Euro Dollar (2 Year) Mid-Curve		68		09/10/21	USD		99.50	USD		16,915		93,075
												152,803
											$	153,100

OTC Interest Rate Swaptions Purchased

Description

Paid by the Fund

Received by the Fund

Expiration Date

Exercise Rate

Notional Amount (000)

Value

Rate

Frequency

Rate

Frequency

Counterparty

Call

1-Year Interest Rate Swap, 02/06/26

3-month LIBOR, 0.19%

Quarterly

1.23

%

Semi-Annual

Goldman Sachs Bank USA

02/04/25

1.23

%

USD

10,820

$

26,941

1-Year Interest Rate Swap, 02/26/26

3-month LIBOR, 0.19%

Quarterly

1.60

%

Semi-Annual

Bank of America N.A.

02/24/25

1.60

%

USD

8,920

33,220

10-Year Interest Rate Swap, 02/27/35

3-month LIBOR, 0.19%

Quarterly

1.49

%

Semi-Annual

Citibank N.A.

02/25/25

1.49

%

USD

320

5,794

1-Year Interest Rate Swap, 03/06/26

3-month LIBOR, 0.19%

Quarterly

1.71

%

Semi-Annual

Deutsche Bank AG

03/04/25

1.71

%

USD

17,350

72,723

10-Year Interest Rate Swap, 06/06/35

3-month LIBOR, 0.19%

Quarterly

1.28

%

Semi-Annual

Goldman Sachs Bank USA

06/04/25

1.28

%

USD

175

2,632

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Schedule of Investments  (continued) March 31, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Purchased (continued)

Description

Paid by the Fund

Received by the Fund

Counterparty

Expiration Date

Exercise Rate

Notional Amount (000)

Value

Rate

Frequency

Rate

Frequency

10-Year Interest Rate Swap, 06/07/35

3-month LIBOR, 0.19%

Quarterly

1.43%

Semi-Annual

Bank of America N.A.

06/05/25

1.43

%

USD

610

$

10,686

10-Year Interest Rate Swap, 06/07/35

3-month LIBOR, 0.19%

Quarterly

1.43%

Semi-Annual

Citibank N.A.

06/05/25

1.43

%

USD

1,140

20,033

10-Year Interest Rate Swap, 06/07/35

3-month LIBOR, 0.19%

Quarterly

1.43%

Semi-Annual

UBS AG

06/05/25

1.43

%

USD

175

3,066

10-Year Interest Rate Swap, 12/13/35

3-month LIBOR, 0.19%

Quarterly

1.49%

Semi-Annual

Barclays Bank PLC

12/11/25

1.49

%

USD

2,610

51,688

10-Year Interest Rate Swap, 01/19/50

3-month LIBOR, 0.19%

Quarterly

2.07%

Semi-Annual

JPMorgan Chase Bank N.A.

01/17/40

2.07

%

USD

240

11,782

10-Year Interest Rate Swap, 12/13/50

3-month LIBOR, 0.19%

Quarterly

1.52%

Semi-Annual

Barclays Bank PLC

12/11/40

1.52

%

USD

410

15,039

253,604

Put

1-Year Interest Rate Swap, 02/06/26

1.23%

Semi-Annual

3-month LIBOR, 0.19%

Quarterly

Goldman Sachs Bank USA

02/04/25

1.23

%

USD

10,820

$

112,889

1-Year Interest Rate Swap, 02/26/26

1.60%

Semi-Annual

3-month LIBOR, 0.19%

Quarterly

Bank of America N.A.

02/24/25

1.60

%

USD

8,920

74,566

10-Year Interest Rate Swap, 02/27/35

1.49%

Semi-Annual

3-month LIBOR, 0.19%

Quarterly

Citibank N.A.

02/25/25

1.49

%

USD

320

35,215

1-Year Interest Rate Swap, 03/06/26

1.71%

Semi-Annual

3-month LIBOR, 0.19%

Quarterly

Deutsche Bank AG

03/04/25

1.71

%

USD

17,350

135,427

10-Year Interest Rate Swap, 06/06/35

1.28%

Semi-Annual

3-month LIBOR, 0.19%

Quarterly

Goldman Sachs Bank USA

06/04/25

1.28

%

USD

175

22,099

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, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Purchased (continued)

Description	Paid by the Fund		Received by the Fund					Expiration Date		Exercise Rate			Notional Amount (000)		Value
	Rate	Frequency	Rate			Frequency	Counterparty
10-Year Interest Rate Swap, 06/07/35	1.43%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Bank of America N.A.		06/05/25		1.43	%	USD	610	$	70,897
10-Year Interest Rate Swap, 06/07/35	1.43%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Citibank N.A.		06/05/25		1.43	%	USD	1,140		132,264
10-Year Interest Rate Swap, 06/07/35	1.43%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	UBS AG		06/05/25		1.43	%	USD	175		20,339
10-Year Interest Rate Swap, 12/13/35	1.49%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Barclays Bank PLC		12/11/25		1.49	%	USD	2,610		299,677
10-Year Interest Rate Swap, 01/19/50	2.07%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	JPMorgan Chase Bank N.A.		01/17/40		2.07	%	USD	240		15,588
10-Year Interest Rate Swap, 12/13/50	1.52%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Barclays Bank PLC		12/11/40		1.52	%	USD	410		33,825
															$	952,786
															$	1,206,390

Exchange-Traded Options Written

Description	Number of Contracts		Expiration Date			Exercise Price			Notional Amount (000)		Value
Call
U.S. Treasury Notes (10 Year)		9		05/21/21	USD		134.00	USD		1,206	$	(1,266	)
Put
Euro Dollar (1 Year) Mid-Curve		68		09/10/21	USD		99.75	USD		16,958		(24,650	)
Euro Dollar (2 Year) Mid-Curve		68		09/10/21	USD		99.38	USD		16,894		(75,225	)
												(99,875	)
											$	(101,141	)

OTC Interest Rate Swaptions Written

Paid by the Fund

Received by the Fund

Expiration

Exercise

Notional Amount

Description

Rate

Frequency

Rate

Frequency

Counterparty

Date

Rate

(000)

Value

Call

10-Year Interest Rate Swap, 05/15/31

0.69

%

Semi-Annual

3-month LIBOR, 0.19

%

Quarterly

Bank of America N.A.

05/13/21

0.69

%

USD

1,030

$

(5

)

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Schedule of Investments  (continued) March 31, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Written (continued)

	Paid by the Fund		Received by the Fund					Expiration		Exercise			Notional Amount
Description	Rate	Frequency	Rate			Frequency	Counterparty	Date		Rate			(000)		Value
10-Year Interest Rate Swap, 06/04/31	0.75%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Deutsche Bank AG		06/02/21		0.75	% USD		750	$	(35	)
10-Year Interest Rate Swap, 06/16/31	0.96%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Barclays Bank PLC		06/14/21		0.96	% USD		6,250		(1,454	)
10-Year Interest Rate Swap, 06/27/31	0.74%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Bank of America N.A.		06/25/21		0.74	% USD		400		(56	)
10-Year Interest Rate Swap, 07/01/31	0.72%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	BNP Paribas S.A.		06/29/21		0.72	% USD		400		(58	)
10-Year Interest Rate Swap, 10/02/31	0.90%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Bank of America N.A.		09/30/21		0.90	% USD		890		(1,032	)
10-Year Interest Rate Swap, 01/20/32	1.65%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Bank of America N.A.		01/18/22		1.65	% USD		340		(4,617	)
10-Year Interest Rate Swap, 01/20/32	1.65%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	JPMorgan Chase Bank N.A.		01/18/22		1.65	% USD		1,030		(13,987	)
10-Year Interest Rate Swap, 01/22/32	1.04%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Bank of America N.A.		01/20/22		1.04	% USD		4,180		(13,528	)
10-Year Interest Rate Swap, 01/29/32	1.00%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Deutsche Bank AG		01/27/22		1.00	% USD		1,170		(3,552	)
10-Year Interest Rate Swap, 01/29/32	1.25%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Bank of America N.A.		01/27/22		1.25	% USD		1,070		(5,764	)
10-Year Interest Rate Swap, 02/20/32	1.62%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Bank of America N.A.		02/18/22		1.62	% USD		970		(12,567	)
10-Year Interest Rate Swap, 02/24/32	1.35%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Barclays Bank PLC		02/22/22		1.35	% USD		4,280		(30,885	)

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  (continued) March 31, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Written (continued)

	Paid by the Fund				Received by the Fund					Expiration		Exercise	Notional Amount
Description	Rate			Frequency	Rate			Frequency	Counterparty	Date		Rate	(000)		Value
2-Year Interest Rate Swap, 02/25/24		0.41	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Goldman Sachs Bank USA		02/23/22	0.41%	USD	6,600	$	(9,283	)
2-Year Interest Rate Swap, 03/03/24		0.51	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Deutsche Bank AG		03/01/22	0.51%	USD	9,930		(21,563	)
2-Year Interest Rate Swap, 03/04/24		0.49	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	JPMorgan Chase Bank N.A.		03/02/22	0.49%	USD	14,870		(29,426	)
2-Year Interest Rate Swap, 03/05/24		0.52	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Citibank N.A.		03/03/22	0.52%	USD	5,070		(11,355	)
2-Year Interest Rate Swap, 03/23/24		0.56	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Deutsche Bank AG		03/21/22	0.56%	USD	5,070		(13,124	)
2-Year Interest Rate Swap, 03/25/24		0.57	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Deutsche Bank AG		03/23/22	0.57%	USD	10,220		(26,974	)
10-Year Interest Rate Swap, 10/13/32		1.06	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Deutsche Bank AG		10/11/22	1.06%	USD	765		(4,664	)
10-Year Interest Rate Swap, 12/14/32		1.15	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Barclays Bank PLC		12/12/22	1.15%	USD	6,170		(46,725	)
10-Year Interest Rate Swap, 12/17/32		1.23	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Barclays Bank PLC		12/15/22	1.23%	USD	1,515		(12,876	)
10-Year Interest Rate Swap, 12/18/32		1.23	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Goldman Sachs Bank USA		12/16/22	1.23%	USD	758		(6,522	)
10-Year Interest Rate Swap, 12/18/32		1.25	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Goldman Sachs Bank USA		12/16/22	1.25%	USD	758		(6,656	)
10-Year Interest Rate Swap, 01/01/33		1.25	%	Semi-Annual		3-month LIBOR, 0.19	%	Quarterly	Citibank N.A.		12/30/22	1.25%	USD	840		(7,560	)

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Schedule of Investments  (continued) March 31, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Written (continued)

Description	Paid by the Fund		Received by the Fund		Counterparty	Expiration Date		Exercise Rate			Notional Amount (000)		Value
	Rate	Frequency	Rate	Frequency
10-Year Interest Rate Swap, 01/11/33	1.44%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	Barclays Bank PLC		01/09/23		1.44	%	USD	1,530	$	(18,645	)
10-Year Interest Rate Swap, 01/14/33	1.57%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	JPMorgan Chase Bank N.A.		01/12/23		1.57	%	USD	790		(11,813	)
10-Year Interest Rate Swap, 03/03/33	2.01%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	Bank of America N.A.		03/01/23		2.01	%	USD	1,510		(42,839	)
10-Year Interest Rate Swap, 03/04/33	1.98%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	BNP Paribas S.A.		03/02/23		1.98	%	USD	760		(20,725	)
10-Year Interest Rate Swap, 03/04/33	1.98%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	JPMorgan Chase Bank N.A.		03/02/23		1.98	%	USD	760		(20,529	)
10-Year Interest Rate Swap, 03/05/33	2.03%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	Barclays Bank PLC		03/03/23		2.03	%	USD	380		(10,979	)
														(409,798	)
Put
10-Year Interest Rate Swap, 05/15/31	3-month LIBOR, 0.19%	Quarterly	0.69%	Semi-Annual	Bank of America N.A.		05/13/21		0.69	%	USD	1,030	$	(108,403	)
10-Year Interest Rate Swap, 06/03/31	3-month LIBOR, 0.19%	Quarterly	1.00%	Semi-Annual	Bank of America N.A.		06/01/21		1.00	%	USD	1,600		(122,631	)
10-Year Interest Rate Swap, 06/04/31	3-month LIBOR, 0.19%	Quarterly	0.75%	Semi-Annual	Deutsche Bank AG		06/02/21		0.75	%	USD	750		(75,383	)
10-Year Interest Rate Swap, 06/13/31	3-month LIBOR, 0.19%	Quarterly	1.05%	Semi-Annual	Bank of America N.A.		06/11/21		1.05	%	USD	390		(28,417	)
10-Year Interest Rate Swap, 06/16/31	3-month LIBOR, 0.19%	Quarterly	0.96%	Semi-Annual	Barclays Bank PLC		06/14/21		0.96	%	USD	6,250		(510,280	)

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, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Written (continued)

Description	Paid by the Fund		Received by the Fund			Expiration Date		Exercise Rate			Notional Amount (000)		Value
	Rate	Frequency	Rate	Frequency	Counterparty
10-Year Interest Rate Swap, 06/27/31	3-month LIBOR, 0.19%	Quarterly	0.74%	Semi-Annual	Bank of America N.A.		06/25/21		0.74	%	USD	400	$	(41,013	)
10-Year Interest Rate Swap, 07/01/31	3-month LIBOR, 0.19%	Quarterly	0.72%	Semi-Annual	BNP Paribas S.A.		06/29/21		0.72	%	USD	400		(42,067	)
5-Year Interest Rate Swap, 09/05/26	3-month LIBOR, 0.19%	Quarterly	0.60%	Semi-Annual	Deutsche Bank AG		09/03/21		0.60	%	USD	2,370		(74,383	)
10-Year Interest Rate Swap, 10/02/31	3-month LIBOR, 0.19%	Quarterly	1.45%	Semi-Annual	Bank of America N.A.		09/30/21		1.45	%	USD	1,780		(85,738	)
10-Year Interest Rate Swap, 01/12/32	3-month LIBOR, 0.19%	Quarterly	1.15%	Semi-Annual	Bank of America N.A.		01/10/22		1.15	%	USD	240		(19,269	)
10-Year Interest Rate Swap, 01/20/32	3-month LIBOR, 0.19%	Quarterly	2.15%	Semi-Annual	Bank of America N.A.		01/18/22		2.15	%	USD	340		(6,675	)
10-Year Interest Rate Swap, 01/20/32	3-month LIBOR, 0.19%	Quarterly	2.15%	Semi-Annual	JPMorgan Chase Bank N.A.		01/18/22		2.15	%	USD	1,030		(20,220	)
10-Year Interest Rate Swap, 01/22/32	3-month LIBOR, 0.19%	Quarterly	1.54%	Semi-Annual	Bank of America N.A.		01/20/22		1.54	%	USD	4,180		(215,694	)
10-Year Interest Rate Swap, 01/29/32	3-month LIBOR, 0.19%	Quarterly	1.25%	Semi-Annual	Bank of America N.A.		01/27/22		1.25	%	USD	1,070		(79,208	)
10-Year Interest Rate Swap, 01/29/32	3-month LIBOR, 0.19%	Quarterly	1.50%	Semi-Annual	Deutsche Bank AG		01/27/22		1.50	%	USD	1,170		(64,137	)
10-Year Interest Rate Swap, 02/30/32	3-month LIBOR, 0.19%	Quarterly	1.62%	Semi-Annual	Bank of America N.A.		02/18/22		1.62	%	USD	970		(47,038	)
10-Year Interest Rate Swap, 02/24/32	3-month LIBOR, 0.19%	Quarterly	1.85%	Semi-Annual	Barclays Bank PLC		02/22/22		1.85	%	USD	4,280		(150,455	)

92 2 0 2 1   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, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Written (continued)

Description	Paid by the Fund		Received by the Fund			Expiration Date		Exercise Rate			Notional Amount (000)		Value
	Rate	Frequency	Rate	Frequency	Counterparty
2-Year Interest Rate Swap, 02/27/24	3-month LIBOR, 0.19%	Quarterly	0.75%	Semi-Annual	Deutsche Bank AG		02/25/22		0.75	%	USD	6,600	$	(15,731	)
10-Year Interest Rate Swap, 03/02/32	3-month LIBOR, 0.19%	Quarterly	1.60%	Semi-Annual	Deutsche Bank AG		02/28/22		1.60	%	USD	350		(17,538	)
2-Year Interest Rate Swap, 03/03/24	3-month LIBOR, 0.19%	Quarterly	0.51%	Semi-Annual	Deutsche Bank AG		03/01/22		0.51	%	USD	9,930		(44,222	)
2-Year Interest Rate Swap, 03/04/24	3-month LIBOR, 0.19%	Quarterly	0.49%	Semi-Annual	JPMorgan Chase Bank N.A.		03/02/22		0.49	%	USD	14,870		(70,174	)
10-Year Interest Rate Swap, 03/05/32	3-month LIBOR, 0.19%	Quarterly	1.60%	Semi-Annual	Deutsche Bank AG		03/03/22		1.60	%	USD	350		(17,654	)
2-Year Interest Rate Swap, 03/05/24	3-month LIBOR, 0.19%	Quarterly	0.52%	Semi-Annual	Citibank N.A.		03/03/22		0.52	%	USD	5,070		(22,310	)
10-Year Interest Rate Swap, 03/06/32	3-month LIBOR, 0.19%	Quarterly	1.60%	Semi-Annual	Bank of America N.A.		03/04/22		1.60	%	USD	770		(38,880	)
10-Year Interest Rate Swap, 03/06/32	3-month LIBOR, 0.19%	Quarterly	1.60%	Semi-Annual	Barclays Bank PLC		03/04/22		1.60	%	USD	342		(17,269	)
10-Year Interest Rate Swap, 03/06/32	3-month LIBOR, 0.19%	Quarterly	1.60%	Semi-Annual	Deutsche Bank AG		03/04/22		1.60	%	USD	545		(27,519	)
2-Year Interest Rate Swap, 03/23/24	3-month LIBOR, 0.19%	Quarterly	0.56%	Semi-Annual	Deutsche Bank AG		03/21/22		0.56	%	USD	5,070		(22,207	)
2-Year Interest Rate Swap, 03/25/24	3-month LIBOR, 0.19%	Quarterly	0.57%	Semi-Annual	Deutsche Bank AG		03/23/22		0.57	%	USD	10,220		(44,408	)
10-Year Interest Rate Swap, 10/13/32	3-month LIBOR, 0.19%	Quarterly	1.06%	Semi-Annual	Deutsche Bank AG		10/11/22		1.06	%	USD	765		(81,489	)

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, 2021 BATS: Series S Portfolio

OTC Interest Rate Swaptions Written (continued)

Description	Paid by the Fund		Received by the Fund				Expiration Date		Exercise Rate			Notional Amount (000)		Value
	Rate	Frequency	Rate		Frequency	Counterparty
10-Year Interest Rate Swap, 12/14/32	3-month LIBOR, 0.19%	Quarterly		1.15%	Semi-Annual	Barclays Bank PLC		12/12/22		1.15	%	USD	6,170	$	(636,565	)
10-Year Interest Rate Swap, 12/17/32	3-month LIBOR, 0.19%	Quarterly		1.23%	Semi-Annual	Barclays Bank PLC		12/15/22		1.23	%	USD	1,515		(148,400	)
10-Year Interest Rate Swap, 12/18/32	3-month LIBOR, 0.19%	Quarterly		1.23%	Semi-Annual	Goldman Sachs Bank USA		12/16/22		1.23	%	USD	758		(73,781	)
10-Year Interest Rate Swap, 12/18/32	3-month LIBOR, 0.19%	Quarterly		1.25%	Semi-Annual	Goldman Sachs Bank USA		12/16/22		1.25	%	USD	758		(73,049	)
10-Year Interest Rate Swap, 01/01/33	3-month LIBOR, 0.19%	Quarterly		1.25%	Semi-Annual	Citibank N.A.		12/30/22		1.25	%	USD	840		(81,183	)
10-Year Interest Rate Swap, 01/11/33	3-month LIBOR, 0.19%	Quarterly		1.44%	Semi-Annual	Barclays Bank PLC		01/09/23		1.44	%	USD	1,530		(127,619	)
10-Year Interest Rate Swap, 01/14/33	3-month LIBOR, 0.19%	Quarterly		1.57%	Semi-Annual	JPMorgan Chase Bank N.A.		01/12/23		1.57	%	USD	790		(58,821	)
10-Year Interest Rate Swap, 03/03/33	3-month LIBOR, 0.19%	Quarterly		2.01%	Semi-Annual	Bank of America N.A.		03/01/23		2.01	%	USD	1,510		(76,661	)
10-Year Interest Rate Swap, 03/04/33	3-month LIBOR, 0.19%	Quarterly		1.98%	Semi-Annual	BNP Paribas S.A.		03/02/23		1.98	%	USD	760		(39,820	)
10-Year Interest Rate Swap, 03/04/33	3-month LIBOR, 0.19%	Quarterly		1.98%	Semi-Annual	JPMorgan Chase Bank N.A.		03/02/23		1.98	%	USD	760		(40,107	)
10-Year Interest Rate Swap, 03/05/33	3-month LIBOR, 0.19%	Quarterly		2.03%	Semi-Annual	Barclays Bank PLC		03/03/23		2.03	%	USD	380		(19,057	)
															(3,485,475	)
														$	(3,895,273	)

94 2 0 2 1   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, 2021 BATS: Series S Portfolio

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund		Effective Date	Termination Date			Notional Amount (000)	Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
1.22%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		05/18/21	USD	10,000	$	(56,246	)	$	103	$	(56,349	)
1.30%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		05/20/21	USD	10,000		(60,747	)		103		(60,850	)
3-month LIBOR, 0.19%	Quarterly	1.10%	Semi-Annual	N/A		03/01/23	USD	1,660		27,554			—		27,554
3-month LIBOR, 0.19%	Quarterly	0.88%	Semi-Annual	N/A		03/02/23	USD	600		7,350			—		7,350
0.09%	At Termination	1-day SONIA, 0.05%	At Termination	N/A		03/16/23	GBP	19,320		7,936			2,994		4,942
3-month LIBOR, 0.19%	Quarterly	0.25%	Semi-Annual	07/08/22(a)		07/08/23	USD	770		(1,770	)		—		(1,770	)
3-month LIBOR, 0.19%	Quarterly	0.25%	Semi-Annual	08/17/21(a)		08/17/23	USD	1,440		(3,441	)		—		(3,441	)
3-month LIBOR, 0.19%	Quarterly	0.36%	Semi-Annual	N/A		06/02/25	USD	590		(10,871	)		—		(10,871	)
3-month LIBOR, 0.19%	Quarterly	0.48%	Semi-Annual	N/A		01/21/26	USD	2,140		(52,307	)		—		(52,307	)
1.54%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	02/25/25(a)		02/25/26	USD	4,060		21,304			—		21,304
1.71%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	03/06/25(a)		03/06/26	USD	3,120		10,848			—		10,848
1.35%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	03/22/22(a)		03/22/27	USD	673		3,975			—		3,975
3-month LIBOR, 0.19%	Quarterly	1.37%	Semi-Annual	03/22/22(a)		03/22/27	USD	1,153		(5,713	)		—		(5,713	)
3-month LIBOR, 0.19%	Quarterly	1.33%	Semi-Annual	03/29/22(a)		03/29/27	USD	487		(3,278	)		—		(3,278	)
3-month LIBOR, 0.19%	Quarterly	1.40%	Semi-Annual	03/30/22(a)		03/30/27	USD	480		(1,916	)		—		(1,916	)
0.65%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	04/20/22(a)		04/20/27	USD	540		22,292			—		22,292
3-month LIBOR, 0.19%	Quarterly	0.65%	Semi-Annual	06/20/22(a)		06/20/27	USD	625		(28,040	)		—		(28,040	)
3-month LIBOR, 0.19%	Quarterly	0.68%	Semi-Annual	06/20/22(a)		06/20/27	USD	625		(27,204	)		—		(27,204	)
0.50%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		08/17/27	USD	800		40,949			—		40,949
0.84%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		11/15/27	USD	1,780		61,320			—		61,320
1.27%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/30/21(a)		02/15/28	USD	1,720		20,706			—		20,706
3-month LIBOR, 0.19%	Quarterly	0.65%	Semi-Annual	07/12/23(a)		07/12/28	USD	820		(53,520	)		—		(53,520	)
0.65%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		06/02/30	USD	300		26,814			—		26,814
0.80%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		10/07/30	USD	480		38,489			—		38,489
1.70%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		10/27/30	USD	1,330		(5,892	)		—		(5,892	)
1.58%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		10/29/30	USD	1,180		9,088			—		9,088
0.81%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		11/10/30	USD	540		44,146			—		44,146
0.95%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		11/12/30	USD	570		38,900			—		38,900
1.78%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/30/21(a)		11/15/30	USD	1,420		941			—		941
0.92%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		12/10/30	USD	757		55,106			—		55,106
0.96%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		12/11/30	USD	460		31,671			—		31,671

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, 2021 BATS: Series S Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Effective Date	Termination Date			Notional Amount (000)	Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
0.93%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		12/18/30	USD	970	$	70,134	$	—	$	70,134
0.95%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		12/30/30	USD	520		36,873		—		36,873
1.02%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/08/31	USD	530		35,006		—		35,006
1.04%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/08/31	USD	530		34,051		—		34,051
1.05%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/11/31	USD	980		61,928		—		61,928
1.09%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/11/31	USD	530		31,958		—		31,958
1.09%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/12/31	USD	540		32,266		—		32,266
1.12%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/13/31	USD	970		55,136		—		55,136
1.13%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/13/31	USD	540		30,541		—		30,541
1.15%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/13/31	USD	90		4,907		—		4,907
1.18%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/14/31	USD	380		19,399		—		19,399
1.18%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/14/31	USD	270		13,796		—		13,796
1.19%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/14/31	USD	540		27,414		—		27,414
1.19%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		01/14/31	USD	270		13,745		—		13,745
1.17%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		02/04/31	USD	540		29,123		—		29,123
1.19%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		02/05/31	USD	275		14,158		—		14,158
1.19%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		02/05/31	USD	275		14,184		—		14,184
1.23%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		02/08/31	USD	550		26,572		—		26,572
1.26%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		02/09/31	USD	330		15,112		—		15,112
1.51%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		02/26/31	USD	520		11,733		—		11,733
1.59%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/01/31	USD	520		7,678		—		7,678
1.55%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/08/31	USD	570		10,750		—		10,750
1.57%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/08/31	USD	530		9,093		—		9,093
1.64%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/08/31	USD	265		2,903		—		2,903
1.65%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/08/31	USD	265		2,665		—		2,665
1.66%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/09/31	USD	540		4,952		—		4,952
1.68%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/09/31	USD	265		1,779		—		1,779
1.69%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/09/31	USD	265		1,679		—		1,679
1.70%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/09/31	USD	530		2,504		—		2,504
1.66%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/16/31	USD	265		2,548		—		2,548

96 2 0 2 1   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, 2021 BATS: Series S Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Effective Date	Termination Date			Notional Amount (000)	Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
1.68%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/19/31	USD	265	$	2,018		$	—		$	2,018
2.50%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	03/20/26(a)		03/20/31	USD	717		2,005			—			2,005
3-month LIBOR, 0.19%	Quarterly	2.50%	Semi-Annual	03/20/26(a)		03/20/31	USD	717		(2,150	)		—			(2,150	)
1.76%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/22/31	USD	270		62			—			62
1.77%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/22/31	USD	270		(321	)		—			(321	)
1.78%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/22/31	USD	265		(365	)		—			(365	)
1.73%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/24/31	USD	340		922			—			922
1.71%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		03/31/31	USD	110		636			—			636
1.80%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		04/01/31	USD	280		(734	)		—			(734	)
1.81%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		04/01/31	USD	450		(1,286	)		—			(1,286	)
1.78%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		04/06/31	USD	280		(109	)		—			(109	)
1.78%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		04/06/31	USD	490		(137	)		—			(137	)
1.79%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		04/06/31	USD	490		(554	)		225			(779	)
3-month LIBOR, 0.19%	Quarterly	0.75%	Semi-Annual	04/07/21(a)		04/07/31	USD	20		(1,933	)		—			(1,933	)
3-month LIBOR, 0.19%	Quarterly	0.87%	Semi-Annual	04/09/21(a)		04/09/31	USD	150		(12,810	)		—			(12,810	)
6-month EURIBOR, (0.51)%	Annual	(0.20)%	Semi-Annual	04/29/21(a)		04/29/31	EUR	50		(1,669	)		—			(1,669	)
0.76%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/03/21(a)		06/03/31	USD	551		54,565			—			54,565
3-month LIBOR, 0.19%	Quarterly	1.51%	Semi-Annual	08/19/21(a)		08/19/31	USD	90		(3,031	)		—			(3,031	)
3-month LIBOR, 0.19%	Quarterly	1.58%	Semi-Annual	08/25/21(a)		08/25/31	USD	1,190		(33,096	)		—			(33,096	)
3-month LIBOR, 0.19%	Quarterly	1.28%	Semi-Annual	01/21/22(a)		01/21/32	USD	140		(9,092	)		—			(9,092	)
1.59%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	02/22/22(a)		02/22/32	USD	200		7,593			—			7,593
1.62%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	02/22/22(a)		02/22/32	USD	100		3,545			—			3,545
0.97%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		08/17/40	USD	140		26,959			—			26,959
1.25%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		11/05/40	USD	50		7,216			—			7,216
1.89%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/30/21(a)		02/15/47	USD	490		32,775			(572	)		33,347
2.00%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/30/21(a)		02/15/47	USD	490		20,544			—			20,544
2.02%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/30/21(a)		02/15/47	USD	470		17,703			—			17,703
2.07%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/30/21(a)		02/15/47	USD	630		17,310			—			17,310
3-month LIBOR, 0.19%	Quarterly	2.11%	Semi-Annual	06/30/21(a)		02/15/47	USD	620		(11,948	)		—			(11,948	)
3-month LIBOR, 0.19%	Quarterly	1.02%	Semi-Annual	N/A		08/17/50	USD	100		(26,429	)		—			(26,429	)

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, 2021 BATS: Series S Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Effective Date	Termination Date			Notional Amount (000)	Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
1.10%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	N/A		11/25/50	USD	60	$	14,727		$	—	$	14,727
3-month LIBOR, 0.19%	Quarterly	1.87%	Semi-Annual	N/A		02/19/51	USD	80		(5,894	)		—		(5,894	)
3-month LIBOR, 0.19%	Quarterly	1.91%	Semi-Annual	N/A		02/22/51	USD	40		(2,629	)		—		(2,629	)
1.09%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/20/22(a)		06/20/52	USD	115		31,132			—		31,132
1.14%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	06/20/22(a)		06/20/52	USD	115		29,938			—		29,938
0.88%	Semi-Annual	3-month LIBOR, 0.19%	Quarterly	07/12/23(a)		07/12/53	USD	150		49,307			—		49,307
									$	987,801		$	2,853	$	984,948

^(a) Forward swap.

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

	Swaps Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation			Value
Centrally Cleared Swaps(a)	$	3,425	$	(572	)	$	1,410,511	$	(425,563	)	$	—
Options Written		N/A		N/A			711,978		(2,365,412	)		(3,996,414	)

^(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(a)	$	—	$	—	$	—	$	—	$	1,279,825	$	—	$	1,279,825
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts		—		—		—		11,920		—		—		11,920
Options purchased
Investments at value — unaffiliated(b)		—		—		—		—		1,359,490		—		1,359,490
Swaps — centrally cleared
Unrealized appreciation(a)		—		—		—		—		1,410,511		—		1,410,511
	$	—	$	—	$	—	$	11,920	$	4,049,826	$	—	$	4,061,746

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Schedule of Investments  (continued) March 31, 2021 BATS: Series S Portfolio

	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation(a)	$	—	$	—	$	—	$	—	$	69,740	$	—	$	69,740
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		2,288		—		—		2,288
Options written
Options written at value		—		—		—		—		3,996,414		—		3,996,414
Swaps — centrally cleared
Unrealized depreciation(a)		—		—		—		—		425,563		—		425,563
	$	—	$	—	$	—	$	2,288	$	4,491,717	$	—	$	4,494,005

^(a)  Net cumulative unrealized appreciation (depreciation) on futures 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.

For the year ended March 31, 2021, 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	$	—	$	—	$	—	$	—		$	970,579		$	—	$	970,579
Forward foreign currency exchange contracts		—		—		—		(23,216	)		—			—		(23,216	)
Options purchased(a)		—		—		—		—			172,120			—		172,120
Options written		—		—		—		—			(162,782	)		—		(162,782	)
Swaps		—		—		—		—			(48,463	)		—		(48,463	)
	$	—	$	—	$	—	$	(23,216	)	$	931,454		$	—	$	908,238
Net Change in Unrealized Appreciation (Depreciation) on
Futures contracts	$	—	$	—	$	—	$	—		$	1,691,714		$	—	$	1,691,714
Forward foreign currency exchange contracts		—		—		—		(5,954	)		—			—		(5,954	)
Options purchased(b)		—		—		—		—			235,290			—		235,290
Options written		—		—		—		—			(1,401,025	)		—		(1,401,025	)
Swaps		—		—		—		—			1,070,405			—		1,070,405
	$	—	$	—	$	—	$	(5,954	)	$	1,596,384		$	—	$	1,590,430

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

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts
Average notional value of contracts — long	$	158,101,078
Average notional value of contracts — short	$	117,833,054
Forward foreign currency exchange contracts
Average amounts purchased — in USD	$	3,783,661
Average amounts sold — in USD	$	885,267
Options
Average value of option contracts purchased	$	57,681
Average value of option contracts written	$	40,285
Average notional value of swaption contracts purchased	$	33,257,500
Average notional value of swaption contracts written	$	115,738,400
Interest rate swaps
Average notional value — pays fixed rate	$	18,663,365
Average notional value — received fixed rate	$	52,444,988

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 99

Schedule of Investments  (continued) March 31, 2021 BATS: Series S Portfolio

Derivative Financial Instruments – Offsetting as of Period End

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

	Assets			Liabilities
Derivative Financial Instruments
Futures contracts	$	105,871		$	14,031
Forward foreign currency exchange contracts		11,920			2,288
Options(a)		1,359,490			3,996,414
Swaps — centrally cleared		—			16,267
Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,477,281		$	4,029,000
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(258,971	)		(131,439	)
Total derivative assets and liabilities subject to an MNA	$	1,218,310		$	3,897,561

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

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

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Received			Cash Collateral Received			Net Amount of Derivative Assets(b)
Bank of America N.A.	$	191,111	$	(191,111	)	$	—		$	—		$	—
Barclays Bank PLC		400,229		(400,229	)		—			—			—
Citibank N.A.		196,165		(122,408	)		—			—			73,757
Deutsche Bank AG		208,150		(208,150	)		—			—			—
Goldman Sachs Bank USA		164,561		(164,561	)		—			—			—
JPMorgan Chase Bank N.A.		29,378		(29,378	)		—			—			—
Standard Chartered Bank		5,311		(2,288	)		—			—			3,023
UBS AG		23,405		—			—			—			23,405
	$	1,218,310	$	(1,118,125	)	$	—		$	—		$	100,185
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset(a)			Non- Cash Collateral Pledged(c)			Cash Collateral Pledged(c)			Net Amount of Derivative Liabilities(d)
Bank of America N.A.	$	950,035	$	(191,111	)	$	—		$	(758,924	)	$	—
Barclays Bank PLC		1,731,209		(400,229	)		(1,330,980	)		—			—
BNP Paribas S.A.		102,670		—			—			—			102,670
Citibank N.A.		122,408		(122,408	)		—			—			—
Deutsche Bank AG		554,583		(208,150	)		—			—			346,433
Goldman Sachs Bank USA		169,291		(164,561	)		—			—			4,730
JPMorgan Chase Bank N.A.		265,077		(29,378	)		—			—			235,699
Standard Chartered Bank		2,288		(2,288	)		—			—			—
	$	3,897,561	$	(1,118,125	)	$	(1,330,980	)	$	(758,924	)	$	689,532

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

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

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

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

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Schedule of Investments  (continued) March 31, 2021 BATS: Series S 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 investments categorized in the fair value hierarchy. The breakdown of the Fund’s investments 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	$	—		$	63,095,715		$	1,349,651	$	64,445,366
Corporate Bonds		—			119,879,108			—		119,879,108
Foreign Agency Obligations		—			231,004			—		231,004
Non-Agency Mortgage-Backed Securities		—			78,294,825			—		78,294,825
U.S. Government Sponsored Agency Securities		—			53,599,671			—		53,599,671
U.S. Treasury Obligations		—			48,434,259			—		48,434,259
Short-Term Securities
Certificates of Deposit		—			5,201,789			—		5,201,789
Commercial Paper		—			22,746,670			—		22,746,670
Money Market Funds		578,801			—			—		578,801
Options Purchased
Interest Rate Contracts		153,100			1,206,390			—		1,359,490
	$	731,901		$	392,689,431		$	1,349,651	$	394,770,983
Derivative Financial Instruments(a)
Assets
Foreign Currency Exchange Contracts	$	—		$	11,920		$	—	$	11,920
Interest Rate Contracts		1,279,825			1,410,511			—		2,690,336
Liabilities
Foreign Currency Exchange Contracts		—			(2,288	)		—		(2,288	)
Interest Rate Contracts		(170,881	)		(4,320,836	)		—		(4,491,717	)
	$	1,108,944		$	(2,900,693	)	$	—	$	(1,791,749	)

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

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 101

Statements of Assets and Liabilities

March 31, 2021

	BATS: Series A Portfolio			BATS: Series C Portfolio		BATS: Series E Portfolio
ASSETS
Investments at value — unaffiliated(a)	$	1,563,867,594		$	531,024,064	$	419,677,702
Cash		651,770			2,427,556		1,051
Cash pledged:
Collateral — OTC derivatives		490,000			—		—
Futures contracts		—			356,710		272,000
Receivables:
Investments sold		—			—		877,050
Capital shares sold		329,670			1,144,385		71,675
Dividends — unaffiliated		2,137			36		307
Interest — unaffiliated		3,597,128			4,389,421		4,309,453
From the Manager		55,720			74,006		56,961
Variation margin on futures contracts		—			24,817		18,000
Swap premiums paid		12,688			—		—
Unrealized appreciation on:
OTC swaps		115,431			5,631		—
Unfunded floating rate loan interests		794			—		—
Prepaid expenses		30,419			29,668		16,778
Total assets		1,569,153,351			539,476,294		425,300,977
LIABILITIES
Payables:
Investments purchased		23,619,344			2,480,350		4,256,281
Capital shares redeemed		—			638,221		12,843
Income dividend distributions		3,559,466			1,258,486		1,239,193
Interest expense and fees		—			—		56,993
Trustees’ and Officer’s fees		—			48		—
Other accrued expenses		215,595			77,764		77,551
Professional fees		68,595			58,325		56,466
Variation margin on futures contracts		—			33,538		—
Swap premiums received		472,202			3,375		—
Unrealized depreciation on OTC swaps		64,718			—		—
Total accrued liabilities		27,999,920			4,550,107		5,642,334
Other Liabilities
TOB Trust Certificates		—			—		18,987,000
Total other liabilities		—			—		18,987,000
Total liabilities		27,999,920			4,550,107		24,686,327
NET ASSETS	$	1,541,153,431		$	534,926,187	$	400,614,650
NET ASSETS CONSIST OF
Paid-in capital	$	1,554,445,724		$	518,309,852	$	370,755,706
Accumulated earnings (loss)		(13,292,293	)		16,616,335		29,858,944
NET ASSETS	$	1,541,153,431		$	534,926,187	$	400,614,650
NET ASSET VALUE
Shares outstanding	$	154,299,580		$	50,040,689	$	34,089,771
Net asset value	$	9.99		$	10.69	$	11.75
Shares authorized		Unlimited			Unlimited		Unlimited
Par value	$	0.001		$	0.001	$	0.001
(a) Investments at cost — unaffiliated	$	1,572,046,441		$	519,636,769	$	387,581,179

See notes to financial statements.

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Statements of Assets and Liabilities  (continued)

March 31, 2021

	BATS: Series M Portfolio			BATS: Series P Portfolio			BATS: Series S Portfolio
ASSETS
Investments at value — unaffiliated(a)	$	2,284,128,453		$	—		$	394,770,983
Investments at value — affiliated(b)		—			15,524,886			—
Cash		35,890			35,664,668			3,909,212
Cash pledged:
Collateral — OTC derivatives		2,470,000			—			830,000
Collateral — TBA commitments		561,000			—			—
Futures contracts		836,000			265,190			843,925
Centrally cleared swaps		291,960			1,869,570			1,596,930
Foreign currency at value(c)		—			—			140,614
Receivables:
Investments sold		49,340,029			—			—
Options written		—			—			15,532
TBA sale commitments		508,866,410			—			—
Capital shares sold		5,448,344			—			3,262,993
Dividends — affiliated		—			16,253			—
Dividends — unaffiliated		62			—			28
Interest — unaffiliated		3,349,770			—			1,099,419
From the Manager		108,735			26,293			64,202
Principal paydowns		—			—			196,985
Variation margin on futures contracts		57,751			30,531			105,871
Variation margin on centrally cleared swaps		3,242			22,780			—
Swap premiums paid		389,846			—			—
Unrealized appreciation on:
Forward foreign currency exchange contracts		—			—			11,920
OTC swaps		683,425			—			—
Prepaid expenses		47,118			14,374			33,207
Total assets		2,856,618,035			53,434,545			406,881,821
LIABILITIES
Options written at value(d)		10,273			—			3,996,414
TBA sale commitments at value(e)		507,312,856			—			—
Payables:
Investments purchased		1,144,728,860			—			3,208,546
Capital shares redeemed		1,585,470			163,221			90,742
Income dividend distributions		2,528,779			—			513,263
Trustees’ and Officer’s fees		155			—			—
Other accrued expenses		106,890			22,610			78,325
Professional fees		53,886			40,564			55,981
Variation margin on futures contracts		31,694			33,187			14,031
Variation margin on centrally cleared swaps		—			—			16,267
Swap premiums received		1,974,801			—			—
Unrealized depreciation on:
Forward foreign currency exchange contracts		—			—			2,288
OTC swaps		1,117,496			—			—
Total liabilities		1,659,451,160			259,582			7,975,857
NET ASSETS	$	1,197,166,875		$	53,174,963		$	398,905,964
NET ASSETS CONSIST OF
Paid-in capital	$	1,201,589,896		$	86,225,845		$	402,227,877
Accumulated loss		(4,423,021	)		(33,050,882	)		(3,321,913	)
NET ASSETS	$	1,197,166,875		$	53,174,963		$	398,905,964

F I N A N C I A L  S T A T E M E N T  S 103

Statements of Assets and Liabilities  (continued)

March 31, 2021

	BATS: Series M Portfolio		BATS: Series P Portfolio		BATS: Series S Portfolio
NET ASSET VALUE
Shares outstanding	$	122,549,731	$	6,122,602	$	41,001,265
Net asset value	$	9.77	$	8.69	$	9.73
Shares authorized		Unlimited		Unlimited		Unlimited
Par value	$	0.001	$	0.001	$	0.001
(a) Investments at cost — unaffiliated	$	2,286,691,311	$	—	$	392,344,230
(b) Investments at cost — affiliated	$	—	$	15,371,630	$	—
(c)  Foreign currency at cost	$	—	$	—	$	141,857
(d) Premiums received	$	30,421	$	—	$	2,342,980
(e) Proceeds from TBA sale commitments	$	508,866,410	$	—	$	—

See notes to financial statements.

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Statements of Operations

Year Ended March 31, 2021

	BATS: Series A Portfolio			BATS: Series C Portfolio			BATS: Series E Portfolio
INVESTMENT INCOME
Dividends — unaffiliated	$	40,655		$	2,457		$	3,908
Interest — unaffiliated		40,751,021			14,947,966			13,875,157
Other income		115			105			—
Total investment income		40,791,791			14,950,528			13,879,065
EXPENSES
Registration		119,319			57,441			60,678
Accounting services		100,260			61,773			53,424
Professional		86,645			68,398			91,681
Pricing		49,042			61,079			67,553
Transfer agent		34,677			140,357			27,468
Custodian		21,516			9,404			5,651
Printing and postage		13,969			13,836			12,966
Trustees and Officer		13,514			6,314			4,795
Miscellaneous		32,533			15,779			20,035
Total expenses excluding interest expense		471,475			434,381			344,251
Interest expense and fees(a)		—			—			148,164
Total expenses		471,475			434,381			492,415
Less:
Fees waived and/or reimbursed by the Manager		(469,345	)		(432,251	)		(344,194	)
Total expenses after fees waived and/or reimbursed		2,130			2,130			148,221
Net investment income		40,789,661			14,948,398			13,730,844
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(886,831	)		15,877,125			298,615
Futures contracts		—			(1,402,443	)		781,889
Swaps		103,167			29,237			—
		(783,664	)		14,503,919			1,080,504
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		108,360,770			11,243,302			34,390,147
Futures contracts		—			(85,399	)		508,937
Swaps		446,482			45,900			—
Unfunded floating rate loan interests		794			—			—
		108,808,046			11,203,803			34,899,084
Net realized and unrealized gain		108,024,382			25,707,722			35,979,588
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	148,814,043		$	40,656,120		$	49,710,432

^(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 105

Statements of Operations  (continued)

Year Ended March 31, 2021

	BATS: Series M Portfolio			BATS: Series P Portfolio			BATS: Series S Portfolio
INVESTMENT INCOME
Dividends — unaffiliated	$	5,298		$	—		$	2,220
Dividends — affiliated		—			246,455			—
Interest — unaffiliated		24,434,721			—			5,889,576
Other income		454			41			—
Total investment income		24,440,473			246,496			5,891,796
EXPENSES
Transfer agent		151,616			19,620			48,204
Custodian		97,570			2,370			21,492
Accounting services		94,187			35,244			51,912
Registration		83,024			37,087			43,085
Professional		68,919			46,555			62,530
Pricing		60,434			—			77,216
Printing and postage		14,114			12,225			14,292
Trustees and Officer		12,626			497			4,154
Miscellaneous		26,068			7,261			9,271
Total expenses excluding interest expense		608,558			160,859			332,156
Interest expense(a)		—			—			61,347
Total expenses		608,558			160,859			393,503
Less:
Fees waived and/or reimbursed by the Manager		(606,428	)		(160,689	)		(331,026	)
Total expenses after fees waived and/or reimbursed		2,130			170			62,477
Net investment income		24,438,343			246,326			5,829,319
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		29,207,121			—			3,281,559
Investments — affiliated		—			(19,012	)		—
Options written		1,390,814			—			(162,782	)
Futures contracts		(2,773,883	)		743,506			970,579
Forward foreign currency exchange contracts		—			—			(23,216	)
Foreign currency transactions		—			—			18,604
Payment by affiliate		—			—			59,952
Swaps		410,907			(3,833,364	)		(48,463	)
		28,234,959			(3,108,870	)		4,096,233
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(32,274,958	)		—			5,160,548
Investments — affiliated		—			668,416			—
Options written		1,625,676			—			(1,401,025	)
Futures contracts		1,277,969			(578,418	)		1,691,714
Forward foreign currency exchange contracts		—			—			(5,954	)
Foreign currency translations		—			(7	)		(2,930	)
Swaps		3,297,633			6,528,372			1,070,405
		(26,073,680	)		6,618,363			6,512,758
Net realized and unrealized gain		2,161,279			3,509,493			10,608,991
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	26,599,622		$	3,755,819		$	16,438,310

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

See notes to financial statements.

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Statements of Changes in Net Assets

	BATS: Series A Portfolio						BATS: Series C Portfolio
	Year Ended March 31,						Year Ended March 31,
	2021			2020			2021			2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	40,789,661		$	51,744,471		$	14,948,398		$	14,807,875
Net realized gain (loss)		(783,664	)		(3,408,768	)		14,503,919			14,189,592
Net change in unrealized appreciation (depreciation)		108,808,046			(108,064,041	)		11,203,803			(8,739,953	)
Net increase (decrease) in net assets resulting from operations		148,814,043			(59,728,338	)		40,656,120			20,257,514
DISTRIBUTIONS TO SHAREHOLDERS(a)
Decrease in net assets resulting from distributions to shareholders		(40,128,829	)		(52,227,829	)		(32,056,095	)		(17,172,880	)
CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions		396,792,718			170,345,298			62,059,277			88,253,994
NET ASSETS
Total increase in net assets		505,477,932			58,389,131			70,659,302			91,338,628
Beginning of year		1,035,675,499			977,286,368			464,266,885			372,928,257
End of year	$	1,541,153,431		$	1,035,675,499		$	534,926,187		$	464,266,885

^(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 107

Statements of Changes in Net Assets (continued)

	BATS: Series E Portfolio						BATS: Series M Portfolio
	Year Ended March 31,						Year Ended March 31,
	2021			2020			2021			2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	13,730,844		$	11,541,542		$	24,438,343		$	26,693,780
Net realized gain (loss)		1,080,504			(3,574,046	)		28,234,959			1,649,550
Net change in unrealized appreciation (depreciation)		34,899,084			(10,734,283	)		(26,073,680	)		21,387,602
Net increase (decrease) in net assets resulting from operations		49,710,432			(2,766,787	)		26,599,622			49,730,932
DISTRIBUTIONS TO SHAREHOLDERS(a)
Decrease in net assets resulting from distributions to shareholders		(13,607,770	)		(11,745,193	)		(35,084,303	)		(30,102,692	)
CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions		51,229,978			92,907,703			198,873,987			187,375,080
NET ASSETS
Total increase in net assets		87,332,640			78,395,723			190,389,306			207,003,320
Beginning of year		313,282,010			234,886,287			1,006,777,569			799,774,249
End of year	$	400,614,650		$	313,282,010		$	1,197,166,875		$	1,006,777,569

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

See notes to financial statements.

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Statements of Changes in Net Assets (continued)

	BATS: Series P Portfolio						BATS: Series S Portfolio
	Year Ended March 31,						Year Ended March 31,
	2021			2020			2021			2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	246,326		$	612,722		$	5,829,319		$	4,654,447
Net realized gain (loss)		(3,108,870	)		967,300			4,096,233			189,861
Net change in unrealized appreciation (depreciation)		6,618,363			(7,942,300	)		6,512,758			(3,761,080	)
Net increase (decrease) in net assets resulting from operations		3,755,819			(6,362,278	)		16,438,310			1,083,228
DISTRIBUTIONS TO SHAREHOLDERS(a)
From net investment income		—			(546,948	)		(6,345,846	)		(5,291,105	)
Return of capital		—			(1,094	)		—			—
Decrease in net assets resulting from distributions to shareholders		—			(548,042	)		(6,345,846	)		(5,291,105	)
CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		8,113,981			(3,438,937	)		242,511,087			(12,665,537	)
NET ASSETS
Total increase (decrease) in net assets		11,869,800			(10,349,257	)		252,603,551			(16,873,414	)
Beginning of year		41,305,163			51,654,420			146,302,413			163,175,827
End of year	$	53,174,963		$	41,305,163		$	398,905,964		$	146,302,413

^(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 109

Financial Highlights

(For a share outstanding throughout each period)

	BATS: Series A Portfolio
	Year Ended March 31,
	2021			2020			2019			2018			2017
Net asset value, beginning of year	$	9.05		$	9.99		$	10.14		$	10.14		$	9.82
Net investment income(a)		0.31			0.45			0.53			0.58			0.51
Net realized and unrealized gain (loss)		0.94			(0.94	)		(0.11	)		(0.03	)		0.43
Net increase (decrease) from investment operations		1.25			(0.49	)		0.42			0.55			0.94
Distributions(b)
From net investment income		(0.31	)		(0.45	)		(0.52	)		(0.49	)		(0.62	)
From net realized gain		—			—			(0.05	)		(0.06	)		—
Total distributions		(0.31	)		(0.45	)		(0.57	)		(0.55	)		(0.62	)
Net asset value, end of year	$	9.99		$	9.05		$	9.99		$	10.14		$	10.14
Total Return(c)
Based on net asset value		13.95	%		(5.22	)%		4.31	%		5.55	%		9.76	%
Ratios to Average Net Assets(d)
Total expenses		0.04	%		0.05	%		0.04	%		0.12	%		0.26	%
Total expenses after fees waived and/or reimbursed		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%		0.00	%
Net investment income		3.20	%		4.45	%		5.26	%		5.65	%		5.01	%
Supplemental Data
Net assets, end of year (000)	$	1,541,153		$	1,035,675		$	977,286		$	571,583		$	323,784
Portfolio turnover rate		26	%		48	%		43	%		45	%		84	%

^(a) Based on average shares outstanding.

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

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

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

	Year Ended March 31,
	2021			2020			2019			2018			2017
Investments in underlying funds		0.02	%		0.01	%		0.01	%		0.01	%		0.01	%

^(e)  Amount is less than 0.005%.

See notes to financial statements.

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Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series C Portfolio
	Year Ended March 31,
	2021			2020			2019			2018			2017
Net asset value, beginning of year	$	10.49		$	10.28		$	10.18		$	10.31		$	10.37
Net investment income(a)		0.33			0.38			0.39			0.37			0.36
Net realized and unrealized gain (loss)		0.60			0.27			0.10			(0.08	)		(0.04	)
Net increase from investment operations		0.93			0.65			0.49			0.29			0.32
Distributions(b)
From net investment income		(0.33	)		(0.38	)		(0.39	)		(0.37	)		(0.36	)
From net realized gain		(0.40	)		(0.06	)		(0.00	)(c)		(0.05	)		(0.02	)
Total distributions		(0.73	)		(0.44	)		(0.39	)		(0.42	)		(0.38	)
Net asset value, end of year	$	10.69		$	10.49		$	10.28		$	10.18		$	10.31
Total Return(d)
Based on net asset value		8.70	%		6.31	%		5.05	%		2.82	%		3.12	%
Ratios to Average Net Assets(e)
Total expenses		0.09	%		0.09	%		0.09	%		0.11	%		0.11	%
Total expenses after fees waived and/or reimbursed		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%		0.00	%
Net investment income		2.96	%		3.55	%		3.91	%		3.55	%		3.45	%
Supplemental Data
Net assets, end of year (000)	$	534,926		$	464,267		$	372,928		$	388,674		$	417,251
Portfolio turnover rate		85	%		83	%		55	%		31	%		32	%

^(a)  Based on average shares outstanding.

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

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

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

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

	Year Ended March 31,
	2021			2020			2019			2018			2017
Investments in underlying funds		0.00	%		0.00	%		0.00	%		0.00	%		0.01	%

^(f)  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 111

Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series E Portfolio
	Year Ended March 31,
	2021			2020			2019			2018			2017
Net asset value, beginning of year	$	10.53		$	10.91		$	10.78		$	10.49		$	10.75
Net investment income(a)		0.45			0.43			0.47			0.45			0.45
Net realized and unrealized gain (loss)		1.22			(0.37	)		0.21			0.30			(0.16	)
Net increase from investment operations		1.67			0.06			0.68			0.75			0.29
Distributions(b)
From net investment income		(0.45	)		(0.44	)		(0.47	)		(0.45	)		(0.45	)
From net realized gain		—			—			(0.08	)		(0.01	)		(0.10	)
Total distributions		(0.45	)		(0.44	)		(0.55	)		(0.46	)		(0.55	)
Net asset value, end of year	$	11.75		$	10.53		$	10.91		$	10.78		$	10.49
Total Return(c)
Based on net asset value		16.16	%		0.33	%		6.44	%		7.22	%		2.78	%
Ratios to Average Net Assets(d)
Total expenses		0.15	%		0.18	%		0.21	%		0.27	%		0.23	%
Total expenses after fees waived and/or reimbursed		0.04	%		0.06	%		0.08	%		0.06	%		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	%		0.00	%
Net investment income		4.06	%		3.78	%		4.35	%		4.17	%		4.21	%
Supplemental Data
Net assets, end of year (000)	$	400,615		$	313,282		$	234,886		$	180,142		$	146,346
Borrowings outstanding, end of year (000)	$	18,987		$	10,713		$	8,085		$	6,625		$	6,625
Portfolio turnover rate		31	%		54	%		53	%		100	%		87	%

^(a)  Based on average shares outstanding.

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

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

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

	Year Ended March 31,
	2021			2020			2019			2018			2017
Investments in underlying funds		0.01	%		0.01	%		0.01	%		0.02	%		0.01	%

^(e)  Amount is less than 0.005%.

See notes to financial statements.

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Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series M Portfolio
	Year Ended March 31,
	2021			2020			2019			2018			2017
Net asset value, beginning of year	$	9.81		$	9.59		$	9.47		$	9.69		$	9.93
Net investment income(a)		0.21			0.30			0.31			0.25			0.21
Net realized and unrealized gain (loss)		0.05			0.25			0.15			(0.16	)		(0.16	)
Net increase from investment operations		0.26			0.55			0.46			0.09			0.05
Distributions from net investment income(b)		(0.30	)		(0.33	)		(0.34	)		(0.31	)		(0.29	)
Net asset value, end of year	$	9.77		$	9.81		$	9.59		$	9.47		$	9.69
Total Return(c)
Based on net asset value		2.68	%		5.86	%		4.94	%		0.91	%		0.51	%
Ratios to Average Net Assets(d)
Total expenses		0.05	%		0.06	%		0.08	%		0.08	%		0.09	%
Total expenses after fees waived and/or reimbursed		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%		0.00	%
Net investment income		2.12	%		3.03	%		3.30	%		2.59	%		2.12	%
Supplemental Data
Net assets, end of year (000)	$	1,197,167		$	1,006,778		$	799,774		$	810,031		$	598,067
Portfolio turnover rate(f)		1,500	%		1,316	%		1,209	%		1,515	%		1,728	%

^(a)  Based on average shares outstanding.

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

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

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

	Year Ended March 31,
	2021			2020			2019			2018			2017
Investments in underlying funds		0.00	%		0.00	%		0.00	%		0.01	%		0.01	%

^(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 March 31,
	2021			2020			2019			2018			2017
Portfolio turnover rate (excluding MDRs)		896	%		813	%		683	%		833	%		1,040	%

See notes to financial statements.

F I N A N C I A L   H I G H L I G H T S 113

Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series P Portfolio
	Year Ended March 31,
	2021			2020			2019			2018			2017
Net asset value, beginning of year	$	7.92		$	9.25		$	9.56		$	9.38		$	8.95
Net investment income(a)		0.06			0.12			0.12			0.08			0.09
Net realized and unrealized gain (loss)		0.71			(1.33	)		(0.34	)		0.15			0.34
Net increase (decrease) from investment operations		0.77			(1.21	)		(0.22	)		0.23			0.43
Distributions(b)
From net investment income		—			(0.12	)		(0.09	)		(0.05	)		—
Return of capital		—			(0.00	)(c)		—			—			—
Total distributions		—			(0.12	)		(0.09	)		(0.05	)		—
Net asset value, end of year	$	8.69		$	7.92		$	9.25		$	9.56		$	9.38
Total Return(d)
Based on net asset value		9.72	%		(13.25	)%		(2.32	)%		2.49	%		4.80	%
Ratios to Average Net Assets(e)
Total expenses		0.46	%		0.31	%		0.20	%		0.19	%		0.13	%
Total expenses after fees waived and/or reimbursed		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%		0.00	%
Net investment income		0.71	%		1.33	%		1.24	%		0.89	%		1.00	%
Supplemental Data
Net assets, end of year (000)	$	53,175		$	41,305		$	51,654		$	84,080		$	121,054
Portfolio turnover rate		36	%		15	%		0	%		6	%		10	%

^(a)  Based on average shares outstanding.

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

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

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

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

	Year Ended March 31,
	2021			2020			2019			2018			2017
Investments in underlying funds		0.02	%		0.32	%		0.16	%		0.17	%		0.08	%

^(f) Amount is less than 0.005%.

See notes to financial statements.

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Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BATS: Series S Portfolio
	Year Ended March 31,
	2021			2020			2019			2018			2017
Net asset value, beginning of year	$	9.23		$	9.50		$	9.38		$	9.53		$	9.54
Net investment income(a)		0.18			0.27			0.25			0.20			0.19
Net realized and unrealized gain (loss)		0.54			(0.23	)		0.13			(0.09	)		0.11
Net increase from investment operations		0.72			0.04			0.38			0.11			0.30
Distributions from net investment income(b)		(0.22	)		(0.31	)		(0.26	)		(0.26	)		(0.31	)
Net asset value, end of year	$	9.73		$	9.23		$	9.50		$	9.38		$	9.53
Total Return(c)
Based on net asset value		7.80	%(d)		0.34	%		4.11	%		1.15	%		3.21	%
Ratios to Average Net Assets
Total expenses		0.13	%(e)		1.14	%(e)		0.69	%(e)		0.76	%(e)		0.48	%
Total expenses after fees waived and/or reimbursed		0.02	%(e)		0.99	%(e)		0.56	%(e)		0.59	%(e)		0.34	%
Total expenses after fees waived and/or reimbursed and excluding interest expense		0.00	%(e)(f)		0.00	%(e)(f)		0.00	%(e)(f)		0.00	%(e)		0.00	%
Net investment income		1.89	%(e)		2.84	%(e)		2.62	%(e)		2.11	%(e)		2.37	%
Supplemental Data
Net assets, end of year (000)	$	398,906		$	146,302		$	163,176		$	175,939		$	191,903
Portfolio turnover rate(g)		124	%		144	%		184	%		263	%		279	%

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

	Year Ended March 31,
	2021			2020			2019			2018
Investments in underlying funds		0.00	%		0.00	%		0.01	%		0.01	%

^(f)  Amount is less than 0.005%.

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

	Year Ended March 31,
	2021			2020			2019			2018			2017
Portfolio turnover rate (excluding MDRs)		122	%		101	%		112	%		148	%		163	%

See notes to financial statements.

F I N A N C I A L   H I G H L I G H T S 115

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

Shares of the Funds are offered to separate account clients of the adviser, BlackRock Advisors, LLC (the “Manager”) or certain of its affiliates. Series A is also offered to collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the 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 non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

2. SIGNIFICANT ACCOUNTING POLICIES

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

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined 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.

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

Distributions: Distributions from net investment income are declared daily and paid monthly, except for Series P, which declares and pays dividends at least annually. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The portion of distributions, if any, that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. 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.

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Notes to Financial Statements  (continued)

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, 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.

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

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

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

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. 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 a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

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

• Fixed-income 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.

If events (e.g., a market closure, 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 Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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Notes to Financial Statements  (continued)

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

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

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

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

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

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

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

• Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global 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 Global 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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Notes to Financial Statements  (continued)

in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

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

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

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

Fund Name	Borrower	Par		Commitment Amount		Value		Unrealized Appreciation (Depreciation)
Series A	Amazon Logistics, Term Loan	$	6,586,737	$	6,585,943	$	6,586,737	$	794

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. A Fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

In order to better define contractual rights and to secure rights that will help a fund mitigate 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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Notes to Financial Statements  (continued)

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

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

For the year ended March 31, 2021, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate were as follows:

Fund Name	Average Borrowings		Daily Weighted Average Interest Rate
Series S	$	22,935,187		0.26	%

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

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

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

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

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

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

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

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Notes to Financial Statements  (continued)

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

Fund Name	Interest Expense		Liquidity Fees		Other Expenses		Total
Series E		$    87,397		$    48,355		$    12,412		$    148,164

For the year ended March 31, 2021, 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	$	35,637,699	$	18,987,000		0.08% - 0.15%	$	17,007,584		0.85	%

^(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, 2021, 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, 2021.

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

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Notes to Financial Statements  (continued)

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 amounts reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.

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

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

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

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

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

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

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

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the 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, each Fund agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the 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).

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Notes to Financial Statements  (continued)

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

Master Netting Arrangements: In order to define 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 counterparties. An ISDA Master Agreement is a bilateral agreement betweens 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 Fund and the counterparty.

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

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

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

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

With respect to each Fund, except for Series E, 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 and Series S, the Manager does not charge the Funds a management fee, although investors in the Funds will pay a fee to BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, or their managed account program sponsor. With respect to Series A, the Manager does not charge the Fund a management fee, although investors in the Fund that are (i) retail and institutional separately managed account clients of BIM will pay a fee to BIM or their managed account program sponsor, (ii) participants in the collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of the Manager, that invest in the Fund will pay a fee to BTC, and (iii) mutual funds that are advised by the Manager or its affiliates will pay the Manager or its affiliate a management fee pursuant to a management agreement between each such fund and BlackRock or its affiliate. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations.

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Notes to Financial Statements  (continued)

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

Fund Name	Amounts Waived
Series A		$    469,345
Series C		432,251
Series E		344,194
Series M		606,428
Series P		160,689
Series S		331,026

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

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

During the year ended March 31, 2021, 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: During the year ended March 31, 2021, Series S received a reimbursement of $59,952 from an affiliate, which is included in payment by affiliate in the Statements of Operations related to an operating event.

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, 2021, 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 Loss
Series C		$    —		$    254,624		$    (103,229	)

7. PURCHASES AND SALES

For the year ended March 31, 2021, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term investments transactions, were as follows:

Fund Name/Asset Type	Purchases		Sales
Series A
Non-U.S. Government Securities	$	545,138,959	$	293,251,652
Series C
Non-U.S. Government Securities		375,279,544		317,842,826
U.S. Government Securities		88,456,764		98,550,083
Series E
Non-U.S. Government Securities		155,933,190		104,295,341
Series M
Non-U.S. Government Securities		18,816,262,864		18,599,927,586
U.S. Government Securities		41,917,532		14,073,395
Series P
Non-U.S. Government Securities		6,633,136		3,994,590
Series S
Non-U.S. Government Securities		357,201,770		248,272,739
U.S. Government Securities		188,684,434		147,434,880

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Notes to Financial Statements  (continued)

For the year ended March 31, 2021, purchases and sales related to mortgage dollar rolls were as follows:

Fund Name	Purchases		Sales
Series M	$	7,492,951,506	$	7,495,828,631
Series S		4,083,750		4,088,125

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 fiscal 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, 2021, 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.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent difference attributable to net operating losses was reclassified to the following accounts:

	Series A		Series C		Series E		Series M		Series P			Series S
Paid-in capital		$    —		$    —		$    —		$    —		$    (647,090	)		$    —
Accumulated earnings (loss)		—		—		—		—		647,090			—

The tax character of distributions paid was as follows:

	Period		Series A		Series C		Series E		Series M		Series P		Series S
Tax-exempt income(a)		03/31/21	$	—	$	—	$	13,502,771	$	—	$	—	$	—
		03/31/20		—		—		11,741,572		—		—		—
Ordinary income		03/31/21		40,128,829		22,856,090		104,999		35,084,303		—		6,345,846
		03/31/20		52,227,829		16,699,777		3,621		30,102,692		546,948		5,291,105
Long-term capital gains(b)		03/31/21		—		9,200,005		—		—		—		—
		03/31/20		—		473,103		—		—		—		—
Return of capital		03/31/20		—		—		—		—		1,094		—
Total		03/31/21	$	40,128,829	$	32,056,095	$	13,607,770	$	35,084,303	$	—	$	6,345,846
		03/31/20	$	52,227,829	$	17,172,880	$	11,745,193	$	30,102,692	$	548,042	$	5,291,105

^(a)  The Funds designate these amounts paid during the fiscal year ended March 31, 2021 as exempt-interest dividends.

^(b)  The Funds designate these amounts paid during the fiscal year ended March 31, 2021 as 20% rate long-term capital gain dividends.

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

	Series A			Series C		Series E			Series M			Series P			Series S
Undistributed ordinary income	$	522,298		$	1,475,970	$	27,289		$	1,016,725		$	—		$	—
Undistributed long-term capital gains		—			3,658,776		—			—			—			—
Non-expiring capital loss carryforwards(a)		(5,660,368	)		—		(1,947,294	)		(3,801,534	)		(29,439,857	)		(4,734,796	)
Net unrealized gains (losses)(b)		(8,154,223	)		11,481,589		31,778,949			(1,638,212	)		(3,366,205	)		1,412,883
Qualified late-year losses(c)		—			—		—			—			(244,820	)		—
	$	(13,292,293	)	$	16,616,335	$	29,858,944		$	(4,423,021	)	$	(33,050,882	)	$	(3,321,913	)

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

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

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

During the year ended March 31, 2021, the funds listed below utilized the following amounts of their respective capital loss carryforwards:

	Series E		Series M		Series S
Amount utilized	$	1,772,061	$	20,588,936	$	5,230,537

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Notes to Financial Statements  (continued)

As of March 31, 2021, 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:

	Series A			Series C			Series E			Series M			Series P			Series S
Tax cost	$	1,572,071,352		$	519,690,401		$	368,876,254		$	2,286,725,791		$	15,451,250		$	392,395,291
Gross unrealized appreciation	$	20,331,682		$	20,764,684		$	33,462,348		$	19,107,739		$	2,058,680		$	8,061,119
Gross unrealized depreciation		(28,486,699	)		(9,283,095	)		(1,647,900	)		(20,745,951	)		(5,424,882	)		(6,218,965	)
Net unrealized appreciation (depreciation)	$	(8,155,017	)	$	11,481,589		$	31,814,448		$	(1,638,212	)	$	(3,366,202	)	$	1,842,154

9. BANK BORROWINGS

The Trust, on behalf of the Funds, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2021 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, 2021, 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.

Should 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.

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.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

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Notes to Financial Statements  (continued)

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

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

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

With exchange-traded options purchased and 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.

Concentration 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 increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

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.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

11. CAPITAL SHARE TRANSACTIONS

Transactions in capital shares were as follows:

	Year Ended 03/31/21						Year Ended 03/31/20
Fund Name	Shares			Amounts			Shares			Amounts
Series A
Shares sold		60,842,553		$	601,725,262			56,175,142		$	566,598,019
Shares redeemed		(20,951,929	)		(204,932,544	)		(39,575,189	)		(396,252,721	)
		39,890,624		$	396,792,718			16,599,953		$	170,345,298

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Notes to Financial Statements  (continued)

	Year Ended 03/31/21						Year Ended 03/31/20
Fund Name	Shares			Amounts			Shares			Amounts
Series C
Shares sold		20,459,749		$	228,205,940			15,113,669		$	163,942,733
Shares redeemed		(14,686,532	)		(166,146,663	)		(7,124,584	)		(75,688,739	)
		5,773,217		$	62,059,277			7,989,085		$	88,253,994
Series E
Shares sold		12,192,027		$	137,455,055			17,189,745		$	193,043,655
Shares redeemed		(7,854,502	)		(86,225,077	)		(8,976,213	)		(100,135,952	)
		4,337,525		$	51,229,978			8,213,532		$	92,907,703
Series M
Shares sold		50,963,949		$	506,033,332			35,969,210		$	350,693,918
Shares redeemed		(31,004,779	)		(307,159,345	)		(16,794,450	)		(163,318,838	)
		19,959,170		$	198,873,987			19,174,760		$	187,375,080
Series P
Shares sold		3,776,282		$	31,318,249			2,498,617		$	21,721,096
Shares redeemed		(2,870,221	)		(23,204,268	)		(2,869,301	)		(25,160,033	)
		906,061		$	8,113,981			(370,684	)	$	(3,438,937	)
Series S
Shares sold		36,062,687		$	348,486,957			5,557,853		$	53,268,760
Shares redeemed		(10,915,607	)		(105,975,870	)		(6,877,962	)		(65,934,297	)
		25,147,080		$	242,511,087			(1,320,109	)	$	(12,665,537	)

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 15, 2021, the credit agreement was extended until April 2022 under substantially the same terms.

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 129

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, and BATS: Series S Portfolio of BlackRock Allocation Target Shares (the “Funds”), including the schedules of investments, as of March 31, 2021, 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 each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of March 31, 2021, 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 each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the 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, 2021, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks and brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

May 21, 2021

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

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Important Tax Information  (unaudited)

For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended March 31, 2021 that qualified for the dividends-received deduction were as follows:

Fund Name	Dividends-Received Deduction
Series C		1.70	%

The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended March 31, 2021:

Fund Name	Qualified Dividend Income
Series C		$    622,341

For the fiscal year ended March 31, 2021, the Fund hereby designate the following maximum amounts allowable as interest income eligible to be treated as Section 163(j) interest dividend:

Fund Name	Interest Dividends
Series A		$    40,771,439
Series C		14,819,829
Series M		34,473,476
Series S		6,532,459

For the fiscal year ended March 31, 2021, the Funds hereby designate the following maximum amounts allowable as interest-related and qualifed short-term capital gain dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:

Fund Name	Interest-Related and Qualified Short-Term Capital Gain Dividends
Series A		$    34,520,715
Series C		19,546,260
Series E		105,486
Series M		34,475,581
Series S		5,876,669

The Funds hereby designate the following amount of distributions from direct federal obligation interest for the fiscal year ended March 31, 2021:

Fund Name	Federal Obligation Interest
Series C		$    197,301
Series M		143,998
Series S		104,459

The law varies in each state as to whether and what percent of ordinary income dividends attribute 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.

I M P O R T A N T  T A X  I N F O R  M A T I O N 131

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 and BATS: Series S 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 18-19, 2020 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain 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, 2019 through September 30, 2020 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing a Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish a 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 impact of the coronavirus outbreak on the Funds and the overall market.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:

a) 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 and reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a Fund’s liquidity bucketing. Derivative exposure was also considered in such calculation.

b) 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 net redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size (“RATS”). 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.

c) Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered the terms of the credit facility committed to the Funds, 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). 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. 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.

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Trustee and Officer Information

Independent Trustees(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Richard E. Cavanagh 1946	Co-Chair of the Board and Trustee (Since 2019)	Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.	83 RICs consisting of 108 Portfolios	None
Karen P. Robards 1950	Co-Chair of the Board and Trustee (Since 2019)	Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.	83 RICs consisting of 108 Portfolios	Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017
Michael J. Castellano 1946	Trustee (Since 2019)	Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and from 2017 to September 2020; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) from 2015 to July 2020.	83 RICs consisting of 108 Portfolios	None
Cynthia L. Egan 1955	Trustee (Since 2019)	Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.	83 RICs consisting of 108 Portfolios	Unum (insurance); The Hanover Insurance Group (Board Chair) (insurance); Huntsman Corporation (chemical products); Envestnet (investment platform) from 2013 until 2016
Frank J. Fabozzi(d) 1948	Trustee (Since 2019)	Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year. Adjunct Professor of Finance, Carnegie Mellon University in fall 2020 semester.	85 RICs consisting of 110 Portfolios	None
R. Glenn Hubbard 1958	Trustee (Since 2019)	Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988.	83 RICs consisting of 108 Portfolios	ADP (data and information services) 2004- 2020; Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014

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Trustee and Officer Information  (continued)

Independent Trustees(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
W. Carl Kester(d) 1951	Trustee (Since 2019)	George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.	85 RICs consisting of 110 Portfolios	None
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.	85 RICs consisting of 110 Portfolios	None

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Trustee and Officer Information  (continued)

Interested Trustees(a)(e)
Name Year of Birth(b)	Position(s) Held (Length of Service)(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships Held During Past Five Years
Robert Fairbairn 1965	Trustee (Since 2015)	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.	113 RICs consisting of 258 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.	115 RICs consisting of 260 Portfolios	None
(a) The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Each Independent Trustees holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. (c)  Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Certain other Independent Trustees became members of the boards of the closed-end funds in the Fixed-Income Complex as follows: Michael J. Castellano, 2011; Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016. (d) Dr. Fabozzi, Dr. Kester, Ms. Lynch 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 Investment Company Act 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

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Trustee and Officer Information  (continued)

Officers Who Are Not Trustees(a)
Name Year of Birth(b)	Position(s) Held (Length of Service)	Principal Occupation(s) During Past Five Years
Jennifer McGovern 1977	Vice President (Since 2014)	Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Americas Product Development and Governance for BlackRock’s Global Product Group since 2019; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group from 2013 to 2019.
Trent Walker 1974	Chief Financial Officer (Since 2021)	Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds.
Jay M. Fife 1970	Treasurer (Since 2007)	Managing Director of BlackRock, Inc. since 2007.
Charles Park 1967	Chief Compliance Officer (Since 2014)	Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi AssetComplex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
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; Managing Director of RBS Securities from 2012 to 2013; Head of Financial Crimes for Barclays Wealth Americas from 2010 to 2012.
Janey Ahn 1975	Secretary (Since 2019)	Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.
(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. (b) Officers of the Trust serve at the pleasure of the Board.

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

Neal J. Andrews retired as the Chief Financial Officer effective December 31, 2020, and Trent Walker was elected as the Chief Financial Officer effective January 1, 2021.

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Additional Information

Regulation Regarding Derivatives

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

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 schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

Availability of Proxy Voting Policies, Procedures and Voting Records

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 441-7762; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

BlackRock Privacy Principles

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

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

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

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

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

A D D I T I O N A L  I N F O R M A T I O  N 137

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 10022

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

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Glossary of Terms Used in this Report

Currency Abbreviation
AUD	Australian Dollar
CAD	Canadian Dollar
NZD	New Zealand Dollar
USD	United States Dollar
Portfolio Abbreviation
ABS	Asset-Backed Security
AGM	Assured Guaranty Municipal Corp.
AKA	Also Known As
AMT	Alternative Minimum Tax
CD	Certificate of Deposit
CLO	Collateralized Loan Obligation
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
LIBOR	London Interbank Offered Rate
LP	Limited Partnership
OTC	Over-the-Counter
RB	Revenue Bonds
REMIC	Real Estate Mortgage Investment Conduit
SONIA	Sterling Overnight Index Average
TA	Tax Allocation
TBA	To-be-Announced

G L O S S A R Y  O F  T E R M S  U  S E D  I N  T H I S  R E P O R T 139

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-3/21-AR

(b) Not Applicable

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

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

Michael Castellano

Frank J. Fabozzi

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

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

Item 4 – Principal Accountant Fees and Services

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

	(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	$39,693	$40,902	$0	$0	$16,100	$15,500	$0	$0
BATS: Series C Portfolio	$34,946	$36,006	$0	$0	$16,100	$15,500	$0	$0
BATS: Series E Portfolio	$40,703	$41,922	$0	$0	$14,200	$13,600	$0	$0
BATS: Series M Portfolio	$31,108	$32,028	$0	$0	$16,100	$15,500	$0	$0
BATS: Series P Portfolio	$19,796	$20,400	$0	$0	$16,100	$15,500	$0	$0
BATS: Series S Portfolio	$34,946	$36,006	$0	$0	$16,100	$15,500	$0	$0

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

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$0	$0
(c) Tax Fees2	$0	$0
(d) All Other Fees3	$2,032,000	$1,984,000

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 $2,032,000 and $1,984,000 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	$16,100	$15,500
BATS: Series C Portfolio	$16,100	$15,500
BATS: Series E Portfolio	$14,200	$13,600
BATS: Series M Portfolio	$16,100	$15,500
BATS: Series P Portfolio	$16,100	$15,500
BATS: Series S Portfolio	$16,100	$15,500

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
$2,032,000	$1,984,000

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

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

Item 5 – Audit Committee of Listed 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 of this Form.

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

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 – Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) Section 302 Certifications are attached

(a)(3) Not Applicable

(a)(4) 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: June 3, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	BlackRock Allocation Target Shares

Date: June 3, 2021

By:	/s/ Trent Walker
	Trent Walker
	Chief Financial Officer (principal financial officer) of
	BlackRock Allocation Target Shares

Date: June 3, 2021