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

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

Date of fiscal year end: 03/31/2024

Date of reporting period: 09/30/2023

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

BlackRock Allocation Target Shares

· BATS: Series A Portfolio

· BATS: Series C Portfolio

· BATS: Series E Portfolio

· BATS: Series M Portfolio

· BATS: Series P Portfolio

· BATS: Series S Portfolio

· BATS: Series V Portfolio

Table of Contents

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 six-month period ended September 30, 2023, the Fund outperformed both its broad-based benchmark, the Bloomberg U.S. Universal Index, and its “Reference Benchmark” consisting of 50% Bloomberg U.S. Asset-Backed Securities Index and 50% Bloomberg Non-Agency Investment Grade CMBS Index. Shares of the Fund may be purchased and held only by or on behalf of (i) retail and institutional separately managed account clients who have retained BIM LLC to manage their accounts, or who have requested that their investment adviser consider investment recommendations provided by BIM LLC in connection with the management of their accounts, (ii) collective trust funds managed by BTC and (iii) mutual funds advised by BlackRock or its affiliates. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Positive contributions to the Fund’s performance relative to the benchmark over the period were led by out-of-benchmark allocations, most notably to collateralized loan obligations (“CLOs”) followed by non-agency residential mortgage-backed securities (“RMBS”). Within non-agency RMBS, contributions were highlighted by near-prime RMBS followed by legacy (pre-2008 financial crisis) subprime issues.

The largest detractor from relative performance was the Fund’s underweight exposure to asset-backed securities (“ABS”), most notably securities backed by auto loans and credit card receivables.

Describe recent portfolio activity.

The Fund rotated opportunistically among securitized assets subsectors during the reporting period, taking advantage of spread widening and market volatility. The Fund decreased its allocations to ABS, particularly to issues backed by consumer and credit card loans. The Fund increased its exposure to RMBS and commercial mortgage-backed securities (“CMBS”). The Fund also reduced its cash-equivalent exposure.

The Fund’s cash position averaged 9.2% during the period and was 7.2% at the end of the period as the Fund used cash and cash equivalents to tactically reduce risk. The Fund’s cash position did not have a material impact on performance during the period.

Describe portfolio positioning at period end.

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

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

Performance

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

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

Portfolio Information

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 six-month period ended September 30, 2023, the Fund outperformed its benchmark, the Bloomberg U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Duration and yield curve positioning was the leading contributor to performance. (Duration is a measure of interest rate sensitivity). An overweight position in the midstream energy sector also contributed, as did security selection in the banking and information technology industries. On the other hand, the Fund’s underweights in life insurance and healthcare detracted.

Describe recent portfolio activity.

The investment adviser maintained the view that tight monetary policy, high interest rates and restrictive financial conditions are likely to lead to slower economic growth. Additionally, the investment adviser believed these risks were not adequately reflected in the market given that credit spreads were on the low end of their historical range. (Credit spreads are the yield advantage offered by corporate bonds over Treasuries.)

With this as the backdrop, the investment adviser’s trading activity was focused on reducing credit risk. It accomplished this by rotating out of banking, technology and consumer cyclical issues—including the lodging, food and beverage, home construction and media/entertainment industries—and redeploying the proceeds into utilities and non-cyclical sectors. It also increased the Fund’s weighting in the automotive industry based on its positive fundamental view on this area, and it added to favored issuers in the energy sector. The investment adviser maintained an underweight in life insurance given the sector’s balance sheet exposure to commercial real estate investment trusts.

Later in the reporting period, the investment adviser used the primary market to add back some risk on the belief that high yields and muted supply could drive credit spreads tighter in the near term despite slowing economic growth. It also sought to take advantage of some idiosyncratic opportunities in the emerging markets.

The investment adviser actively shifted the portfolio’s duration over the course of the period in an effort to capitalize on elevated market volatility. In addition, it positioned the Fund for a steeper yield curve on the belief that the Fed was nearing the end of its tightening cycle. (The yield curve steepens when shorter-term bonds outperform longer-term issues.)

Describe portfolio positioning at period end.

The Fund’s largest overweights were in midstream energy, the emerging markets, and banking, while its largest underweights were in sovereign, media/entertainment, and healthcare issuers.

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.

Performance

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

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

Portfolio Information

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 six-month period ended September 30, 2023, the Fund underperformed its broad-based benchmark, the Bloomberg Municipal High Yield Bond Index, as well as the customized weighted index comprised of 65% Bloomberg Municipal Bond Index Total Return Index Value Unhedged/35% Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (the “Customized Reference Benchmark”). Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s duration was above that of the primary benchmark, which detracted from performance in the rising-rate environment. (Duration is a measure of interest-rate sensitivity.) An overweight in lower-coupon bonds detracted, as did an overweight in investment-grade issues. On a sector basis, the Fund’s positioning in utilities hurt results due largely to a position in the bonds of the Puerto Rico Electric Power Authority. Holdings in the transportation and education sectors detracted, as well.

The Fund’s cash position, which provided attractive income and preserved capital in the falling market, contributed to performance. Holdings in high-yield bonds also helped results, as did an underweight in intermediate-term securities. Underweights in zero coupon and premium coupon bonds further aided performance. The Fund used U.S. Treasury futures in an effort to mitigate interest rate risk, which was an additional contributor at a time of market weakness.

Describe recent portfolio activity.

The investment adviser focused on total return and positioning the Fund in low dollar price, positively convex bonds. (Positive convexity means a bond’s interest-rate sensitivity declines as yields rise.) This strategy did not serve the Fund well given that rates continued to climb, but the investment adviser believed it would help augment total returns on a longer-term basis. The investment adviser maintained a positive fundamental view on lower-rated issues based on their total return characteristics.

Describe portfolio positioning at period end.

The Fund continued to have an overweight duration positioning, mainly through its holdings in low coupon, low dollar price, positively convex bonds. It was also overweight in bonds with maturities of 25 years and longer, and it was overweight in investment-grade issues (due to the primary benchmark being 100% invested in high yield). At the sector level, it was underweight in school districts, state and local tax-backed issues, tobacco, and healthcare, and it was overweight in education, transportation, and utilities.

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.

Performance

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

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

Portfolio Information

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 six-month period ended September 30, 2023, the Fund outperformed its benchmark, the Bloomberg MBS Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s active benchmark strategy, which implements relative value decisions between specified pools and to-be-announced securities (“TBAs”), as well as pool selection contributed positively.

The detractors from the Fund’s relative performance were out-of-benchmark allocations, such as those to commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”).

Describe recent portfolio activity.

The Fund’s allocation to CMBS was modestly decreased over the period, while continuing to favor single-asset/single-borrower (“SASB”) issues. Exposure to fixed rate collateral mortgage obligations (“CMOs”) was modestly increased over the reporting period.

Describe portfolio positioning at period end.

The Fund maintained allocations to securitized sectors such as CMBS and residential mortgage-backed securities (“RMBS”). Within CMBS, positions were focused predominantly in the SASB subsector. The Fund continued to prefer lower coupon pools within agency RMBS. The Fund ended the period slightly overweight duration relative to its 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.

Performance

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

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

Portfolio Information

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 six-month period ended September 30, 2023, the Fund outperformed its benchmark, the Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

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

The Fund’s position in the Series S Portfolio made a small contribution 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 performance.

Describe recent portfolio activity.

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

Describe portfolio positioning at period end.

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

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.

Performance

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

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

Portfolio Information

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 six-month period ended September 30, 2023, the Fund outperformed its benchmark, the ICE BofA 1-3 Year U.S. Treasury Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s out-of-benchmark allocations to asset-backed securities (“ABS”), investment-grade corporate bonds, and commercial mortgage-backed securities (“CMBS”) were the main contributors to performance. The Fund used derivatives such as futures and swaps. The use of derivatives contributed to performance.

The Fund’s duration and yield curve positioning—which it achieved in part through the use of derivatives—was the largest detractor, followed by its allocation to U.S. Treasuries. (Duration is a measure of interest rate sensitivity). The Fund’s cash position had no material impact on performance.

Describe recent portfolio activity.

The investment adviser increased the Fund’s allocations to ABS, U.S. Treasuries, U.S. agency mortgage-backed securities (“MBS”), and non-agency MBS. The investment adviser significantly reduced the Fund’s allocation to CMBS due to the unique headwinds the sector faced.

Describe portfolio positioning at period end.

The Fund’s duration was longer than that of the benchmark, based on the view that the extent of the Fed’s interest rate hikes was close to being fully priced in by the markets following the sell-off late in the reporting period. Given that the benchmark is comprised solely of U.S. Treasuries, the Fund was underweight in Treasuries and overweight in all other segments of the market.

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.

Performance

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

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

Portfolio Information

Investment Objective

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

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2023, the Fund performed in line with its benchmark, the SIFMA Municipal Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Positive contributors to the Fund’s performance relative to the benchmark included holdings of variable rate demand notes (“VRDNs”) which quickly and efficiently repriced coupons in line with aggressive Fed rate increases.

Detractors from the Fund’s performance relative to the benchmark included a slightly longer stance with respect to duration (and corresponding interest rate sensitivity) driven by fixed rate exposure to tax-backed local and school district issues. The Fund’s cash position had no material impact on performance.

Describe recent portfolio activity.

The Fund initially focused on laddering commercial paper maturities along with selective maturity extension trades but moved to a more defensive position as the Fed became increasingly hawkish in its efforts to combat inflation. As Fed rate hikes weighed on the performance of fixed-rate instruments, the Fund reduced both municipal note and commercial paper holdings while increasing exposure to VRDNs in order to prioritize maintaining a high level of liquidity.

Describe portfolio positioning at period end.

The Fund’s duration positioning at period end remained slightly longer than the benchmark. The Fund maintained a bias for daily and weekly reset VRDNs over longer-dated commercial paper and municipal note holdings. While the Fund’s weighted average maturity at 13 days remained slightly longer than the benchmark’s 7 days, the Fund maintained its overall defensive bias amid the continued hawkish interest rate backdrop.

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.

Performance

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

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

Portfolio Information

About Fund Performance

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

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

Disclosure of Expenses

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

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

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

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

The Benefits and Risks of Leveraging

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

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

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

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

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

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

Derivative Financial Instruments

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